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Phân tích định lượng về tác động của chính sách tiền tệ tới một số nhân tố vĩ mô của Việt Nam trong thời kì đổi mới - 28


Null Hypothesis: DM has a unit root Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -15.72114 0.0000

Test critical values:

1% level

-3.481623


5% level

-2.883930


10% level

-2.578788

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Phân tích định lượng về tác động của chính sách tiền tệ tới một số nhân tố vĩ mô của Việt Nam trong thời kì đổi mới - 28

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(DM)

Method: Least Squares Date: 11/30/07 Time: 23:17

Sample (adjusted): 1995M04 2005M12 Included observations: 129 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

DM(-1)

-2.297599

0.146147 -15.72114

0.0000

D(DM(-1))

0.417455

0.081443 5.125726

0.0000

C

-0.012169

0.023933 -0.508466

0.6120

R-squared

0.842705

Mean dependent var

-0.001780

Adjusted R-squared

0.840208

S.D. dependent var

0.679650

S.E. of regression

0.271683

Akaike info criterion

0.254619

Sum squared resid

9.300266

Schwarz criterion

0.321127

Log likelihood

-13.42295

F-statistic

337.5212

Durbin-Watson stat

2.245614

Prob(F-statistic)

0.000000


Ghi chó: DM = lnm



Null Hypothesis: D(DM) has a unit root Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -19.63407 0.0000

Test critical values:

1% level

-3.482035


5% level

-2.884109


10% level

-2.578884

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(DM,2)

Method: Least Squares Date: 11/30/07 Time: 23:17

Sample (adjusted): 1995M05 2005M12 Included observations: 128 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(DM(-1))

-2.715056

0.138283 -19.63407

0.0000

D(DM(-1),2)

0.566786

0.074353 7.622962

0.0000

C

0.001374

0.034279 0.040090

0.9681

R-squared

0.907542

Mean dependent var

-0.008503

Adjusted R-squared

0.906063

S.D. dependent var

1.265306

S.E. of regression

0.387806

Akaike info criterion

0.966533

Sum squared resid

18.79915

Schwarz criterion

1.033378

Log likelihood

-58.85813

F-statistic

613.4844

Durbin-Watson stat

2.537391

Prob(F-statistic)

0.000000


Ghi chó: D(DM) = lnm- lnm(-1)


Null Hypothesis: X has a unit root Exogenous: None

Lag Length: 1 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic 3.276941 0.9997

Test critical values:

1% level

-2.582872


5% level

-1.943304


10% level

-1.615087

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(X)

Method: Least Squares Date: 11/30/07 Time: 23:20

Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

X(-1)

0.003073

0.000938 3.276941

0.0014

D(X(-1))

-0.203320

0.086778 -2.342985

0.0207

R-squared

0.034332

Mean dependent var

37.46852

Adjusted R-squared

0.026787

S.D. dependent var

146.7014

S.E. of regression

144.7232

Akaike info criterion

12.80279

Sum squared resid

2680933.

Schwarz criterion

12.84690

Log likelihood

-830.1812

Durbin-Watson stat

2.029361


Ghi chó: X = TYGIA


Null Hypothesis: D(X) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -13.97498 0.0000

Test critical values:

1% level

-3.481217


5% level

-2.883753


10% level

-2.578694

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(X,2)

Method: Least Squares Date: 11/30/07 Time: 23:21

Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(X(-1))

-1.208072

0.086445 -13.97498

0.0000

C

45.24881

13.04092 3.469757

0.0007

R-squared

0.604083

Mean dependent var

0.076215

Adjusted R-squared

0.600990

S.D. dependent var

228.0445

S.E. of regression

144.0494

Akaike info criterion

12.79345

Sum squared resid

2656029.

Schwarz criterion

12.83757

Log likelihood

-829.5745

F-statistic

195.3002

Durbin-Watson stat

2.033391

Prob(F-statistic)

0.000000


Ghi chó: DX = TYGIA – TYGIA(-1)



Null Hypothesis: DAPF has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -344.3452 0.0001

Test critical values:

1% level

-3.481217


5% level

-2.883753


10% level

-2.578694

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(DAPF)

Method: Least Squares Date: 11/30/07 Time: 23:24

Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

DAPF(-1)

-1.000364

0.002905 -344.3452

0.0000

C

0.000674

0.001166 0.578102

0.5642

R-squared

0.998922

Mean dependent var

0.035227

Adjusted R-squared

0.998913

S.D. dependent var

0.401653

S.E. of regression

0.013241

Akaike info criterion

-5.795749

Sum squared resid

0.022441

Schwarz criterion

-5.751633

Log likelihood

378.7237

F-statistic

118573.6

Durbin-Watson stat

2.117251

Prob(F-statistic)

0.000000


Null Hypothesis: D(DAPF) has a unit root Exogenous: Constant

Lag Length: 0 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -235.7732 0.0001

Test critical values:

1% level

-3.481623


5% level

-2.883930


10% level

-2.578788

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(DAPF,2) Method: Least Squares

Date: 11/30/07 Time: 23:25

Sample (adjusted): 1995M04 2005M12 Included observations: 129 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(DAPF(-1))

-0.999539

0.004239 -235.7732

0.0000

C

2.34E-05

0.001709 0.013691

0.9891

R-squared

0.997721

Mean dependent var

-0.035434

Adjusted R-squared

0.997703

S.D. dependent var

0.403483

S.E. of regression

0.019339

Akaike info criterion

-5.037976

Sum squared resid

0.047499

Schwarz criterion

-4.993638

Log likelihood

326.9494

F-statistic

55589.01

Durbin-Watson stat

3.032300

Prob(F-statistic)

0.000000


Null Hypothesis: CGG has a unit root Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -5.297726 0.0000

Test critical values:

1% level

-3.481217


5% level

-2.883753


10% level

-2.578694

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(CGG)

Method: Least Squares Date: 11/29/07 Time: 23:28

Sample (adjusted): 1995M03 2005M12 Included observations: 130 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

CGG(-1)

-0.545747

0.103015 -5.297726

0.0000

D(CGG(-1))

-0.228721

0.086499 -2.644211

0.0092

C

16172.60

3567.957 4.532735

0.0000

R-squared

0.387175

Mean dependent var

295.5270

Adjusted R-squared

0.377525

S.D. dependent var

28551.03

S.E. of regression

22525.94

Akaike info criterion

22.90553

Sum squared resid

6.44E+10

Schwarz criterion

22.97170

Log likelihood

-1485.859

F-statistic

40.11855

Durbin-Watson stat

2.082944

Prob(F-statistic)

0.000000


Null Hypothesis: D(CGG) has a unit root Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=1)


t-Statistic Prob.*


Augmented Dickey-Fuller test statistic -13.74743 0.0000

Test critical values:

1% level

-3.481623


5% level

-2.883930


10% level

-2.578788

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation Dependent Variable: D(CGG,2) Method: Least Squares

Date: 11/29/07 Time: 23:28

Sample (adjusted): 1995M04 2005M12 Included observations: 129 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

D(CGG(-1))

-2.002017

0.145628 -13.74743

0.0000

D(CGG(-1),2)

0.333083

0.084029 3.963900

0.0001

C

557.6965

2074.968 0.268773

0.7885

R-squared

0.778486

Mean dependent var

21.84752

Adjusted R-squared

0.774970

S.D. dependent var

49672.58

S.E. of regression

23563.35

Akaike info criterion

22.99575

Sum squared resid

7.00E+10

Schwarz criterion

23.06226

Log likelihood

-1480.226

F-statistic

221.4065

Durbin-Watson stat

2.163454

Prob(F-statistic)

0.000000

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