Quản lý nhà nước đối tượng vàng tại Việt Nam - 23

Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-8.668593

0.0000

Test critical values:

1% level

-3.464827

5% level

-2.876595

10% level

-2.574874

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(FRES,2)

Method: Least Squares

Date: 01/14/18 Time: 17:39

Sample (adjusted): 2001M03 2016M12

Included observations: 190 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(FRES(-1))

-0.571173

0.065890

-8.668593

0.0000

C

99.33579

65.33263

1.520462

0.1301

R-squared

0.285564

Mean dependent var

-0.294737

Adjusted R-squared

0.281763

S.D. dependent var

1046.036

S.E. of regression

886.5038

Akaike info criterion

16.42292

Sum squared resid

1.48E+08

Schwarz criterion

16.45710

Log likelihood

-1558.177

Hannan-Quinn criter.

16.43676

F-statistic

75.14450

Durbin-Watson stat

1.991343

Prob(F-statistic)

0.000000

Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-16.84041

0.0000

Test critical values:

1% level

-3.462737

5% level

-2.875680

10% level

-2.574385

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(VCBXRATE,2)

Method: Least Squares

Date: 01/14/18 Time: 17:40

Sample (adjusted): 2000M03 2016M12

Included observations: 202 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(VCBXRATE(-1))

-1.172930

0.069650

-16.84041

0.0000

C

50.89182

15.65548

3.250736

0.0014

R-squared

0.586435

Mean dependent var

-0.084158

Adjusted R-squared

0.584367

S.D. dependent var

338.6205

S.E. of regression

218.3073

Akaike info criterion

13.61954

Sum squared resid

9531620.

Schwarz criterion

13.65229

Log likelihood

-1373.573

Hannan-Quinn criter.

13.63279

F-statistic

283.5994

Durbin-Watson stat

2.014610

Prob(F-statistic)

0.000000

Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-6.310424

0.0000

Test critical values:

1% level

-3.462737

5% level

-2.875680

10% level

-2.574385

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(VNCPI,2)

Method: Least Squares

Date: 01/14/18 Time: 17:40

Sample (adjusted): 2000M03 2016M12

Included observations: 202 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(VNCPI(-1))

-0.331901

0.052596

-6.310424

0.0000

C

0.115173

0.032464

3.547687

0.0005

R-squared

0.166046

Mean dependent var

-0.001436

Adjusted R-squared

0.161876

S.D. dependent var

0.414385

S.E. of regression

0.379366

Akaike info criterion

0.909219

Sum squared resid

28.78365

Schwarz criterion

0.941974

Log likelihood

-89.83111

Hannan-Quinn criter.

0.922472

F-statistic

39.82145

Durbin-Watson stat

2.015782

Prob(F-statistic)

0.000000

Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=12)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-12.71408

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(VNGOLD,2)

Method: Least Squares

Date: 01/14/18 Time: 17:41

Sample (adjusted): 2006M03 2016M12

Included observations: 130 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(VNGOLD(-1))

-1.116206

0.087793

-12.71408

0.0000

C

0.215723

0.166805

1.293267

0.1982

R-squared

0.558084

Mean dependent var

-0.002169

Adjusted R-squared

0.554631

S.D. dependent var

2.834754

S.E. of regression

1.891800

Akaike info criterion

4.128199

Sum squared resid

458.1000

Schwarz criterion

4.172315

Log likelihood

-266.3330

Hannan-Quinn criter.

4.146125

F-statistic

161.6477

Durbin-Watson stat

2.005013

Prob(F-statistic)

0.000000

Response of DLOG

(VNCPI):

Period

DLOG

(VNCPI)

DLOG

(VNGOLD)

DLOG

(INTERGOLD)

DLOG

(VCBXRATE)

DLOG

(FRES)

DLOG

(INTEREST)

1

0.007262

0.000000

0.000000

0.000000

0.000000

0.000000

(0.00060)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

2

0.004771

0.000654

-0.001115

-0.000190

-0.000281

0.000903

(0.00080)

(0.00090)

(0.00087)

(0.00083)

(0.00071)

(0.00086)

3

0.003324

0.000544

-0.000655

-0.000211

-0.000651

0.000382

(0.00092)

(0.00061)

(0.00060)

(0.00051)

(0.00092)

(0.00058)

4

0.002194

0.000275

-0.000402

-0.000108

-0.000709

0.000281

(0.00092)

(0.00044)

(0.00044)

(0.00035)

(0.00090)

(0.00039)

5

0.001420

0.000154

-0.000232

-6.80E-05

-0.000634

0.000192

(0.00083)

(0.00031)

(0.00031)

(0.00025)

(0.00078)

(0.00028)

6

0.000900

7.89E-05

-0.000129

-4.09E-05

-0.000512

0.000126

(0.00070)

(0.00023)

(0.00023)

(0.00017)

(0.00062)

(0.00020)

7

0.000558

3.69E-05

-6.81E-05

-2.37E-05

-0.000389

8.17E-05

(0.00056)

(0.00016)

(0.00017)

(0.00012)

(0.00047)

(0.00014)

8

0.000338

1.44E-05

-3.36E-05

-1.33E-05

-0.000283

5.17E-05

(0.00044)

(0.00011)

(0.00012)

(7.9E-05)

(0.00034)

(9.5E-05)

9

0.000199

3.16E-06

-1.46E-05

-7.14E-06

-0.000199

3.20E-05

(0.00033)

(7.9E-05)

(8.6E-05)

(5.3E-05)

(0.00025)

(6.5E-05)

10

0.000114

-1.92E-06

-4.69E-06

-3.59E-06

-0.000136

1.93E-05

(0.00025)

(5.5E-05)

(6.0E-05)

(3.5E-05)

(0.00017)

(4.5E-05)

Period

DLOG

(VNCPI)

DLOG

(VNGOLD)

DLOG

(INTERGOLD)

DLOG

(VCBXRATE)

DLOG

(FRES)

DLOG

(INTEREST)

1

-0.000594

0.077391

0.000000

0.000000

0.000000

0.000000

(0.00900)

(0.00636)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

2

-0.004820

-0.004371

-0.004931

-0.003850

-0.008260

0.002034

(0.00733)

(0.00945)

(0.00925)

(0.00887)

(0.00754)

(0.00914)

3

-0.002920

-0.000660

0.002800

0.000794

-0.005092

-0.002323

(0.00470)

(0.00242)

(0.00261)

(0.00239)

(0.00473)

(0.00321)

4

-0.003292

-0.001352

0.000865

0.000347

-0.002506

0.000290

(0.00323)

(0.00125)

(0.00133)

(0.00088)

(0.00292)

(0.00127)

5

-0.002377

-0.000537

0.000806

0.000121

-0.001188

-0.000297

(0.00227)

(0.00078)

(0.00082)

(0.00046)

(0.00184)

(0.00057)

6

-0.001778

-0.000415

0.000485

0.000119

-0.000448

-0.000176

(0.00163)

(0.00046)

(0.00051)

(0.00029)

(0.00125)

(0.00037)

7

-0.001263

-0.000243

0.000312

7.46E-05

-8.41E-05

-0.000141

(0.00118)

(0.00032)

(0.00034)

(0.00020)

(0.00088)

(0.00026)

8

-0.000873

-0.000146

0.000193

4.87E-05

7.75E-05

-0.000103

(0.00086)

(0.00021)

(0.00024)

(0.00014)

(0.00064)

(0.00018)

9

-0.000588

-8.51E-05

0.000117

3.11E-05

0.000133

-7.34E-05

(0.00062)

(0.00015)

(0.00016)

(9.7E-05)

(0.00046)

(0.00013)

10

-0.000387

-4.79E-05

6.90E-05

1.94E-05

0.000136

-5.05E-05

(0.00045)

(0.00010)

(0.00011)

(6.8E-05)

(0.00034)

(9.0E-05)

Period

DLOG

(VNCPI)

DLOG

(VNGOLD)

DLOG

(INTERGOLD)

DLOG

(VCBXRATE)

DLOG

(FRES)

DLOG

(INTEREST)

1

-0.001621

0.060561

0.036569

0.000000

0.000000

0.000000

(0.00823)

(0.00655)

(0.00301)

(0.00000)

(0.00000)

(0.00000)

2

-0.003789

-0.005077

-0.005840

-0.003785

0.000659

0.004883

(0.00669)

(0.00863)

(0.00843)

(0.00808)

(0.00689)

(0.00836)

3

-0.000231

0.001068

0.001621

0.000291

0.000287

-0.002539

(0.00397)

(0.00215)

(0.00232)

(0.00223)

(0.00398)

(0.00299)

4

-0.000908

-0.000499

-0.000189

0.000173

0.000430

0.000442

(0.00275)

(0.00088)

(0.00099)

(0.00055)

(0.00245)

(0.00108)

5

-0.000417

7.22E-05

0.000106

-2.52E-05

0.000288

-0.000138

(0.00187)

(0.00050)

(0.00054)

(0.00019)

(0.00144)

(0.00038)

6

-0.000272

-3.00E-05

2.14E-05

1.71E-05

0.000218

-3.51E-05

(0.00129)

(0.00027)

(0.00033)

(9.6E-05)

(0.00089)

(0.00019)

7

-0.000160

-1.77E-06

1.38E-05

5.63E-06

0.000154

-2.57E-05

(0.00088)

(0.00017)

(0.00021)

(6.2E-05)

(0.00056)

(0.00012)

8

-9.27E-05

5.82E-07

4.42E-06

2.96E-06

0.000106

-1.53E-05

(0.00059)

(0.00010)

(0.00013)

(4.1E-05)

(0.00036)

(8.0E-05)

9

-5.15E-05

2.49E-06

5.91E-07

1.41E-06

7.11E-05

-9.21E-06

(0.00040)

(6.5E-05)

(8.2E-05)

(2.6E-05)

(0.00024)

(5.4E-05)

10

-2.73E-05

2.80E-06

-1.18E-06

5.48E-07

4.67E-05

-5.25E-06

(0.00026)

(4.0E-05)

(5.1E-05)

(1.7E-05)

(0.00017)

(3.6E-05)

Period

DLOG

(VNCPI)

DLOG

(VNGOLD)

DLOG

(INTERGOLD)

DLOG

(VCBXRATE)

DLOG

(FRES)

DLOG

(INTEREST)

1

0.002977

0.002058

0.004919

0.016012

0.000000

0.000000

(0.00198)

(0.00195)

(0.00190)

(0.00132)

(0.00000)

(0.00000)

2

-0.000666

-0.000310

-0.002872

-0.001923

-0.001324

0.004972

(0.00175)

(0.00220)

(0.00214)

(0.00205)

(0.00176)

(0.00206)

3

0.001065

0.000690

0.000669

-0.000250

-0.001246

-0.001271

(0.00105)

(0.00090)

(0.00091)

(0.00089)

(0.00104)

(0.00101)

4

0.000188

-0.000316

-5.71E-05

0.000122

-0.000701

0.000260

(0.00068)

(0.00037)

(0.00039)

(0.00034)

(0.00061)

(0.00044)

5

0.000101

-1.46E-05

6.48E-05

-1.48E-05

-0.000448

1.97E-05

(0.00049)

(0.00017)

(0.00017)

(0.00012)

(0.00040)

(0.00017)

6

1.62E-05

-4.64E-05

3.86E-05

5.85E-06

-0.000271

1.35E-05

(0.00035)

(9.4E-05)

(0.00010)

(5.8E-05)

(0.00027)

(7.5E-05)

7

-1.93E-05

-2.99E-05

3.08E-05

4.90E-06

-0.000160

5.17E-06

(0.00025)

(5.9E-05)

(6.7E-05)

(3.6E-05)

(0.00018)

(4.5E-05)

8

-3.10E-05

-2.09E-05

2.21E-05

3.76E-06

-9.13E-05

7.53E-07

(0.00018)

(3.8E-05)

(4.4E-05)

(2.2E-05)

(0.00012)

(2.9E-05)

9

-3.13E-05

-1.41E-05

1.56E-05

2.92E-06

-5.02E-05

-1.30E-06

(0.00012)

(2.5E-05)

(2.9E-05)

(1.3E-05)

(8.4E-05)

(2.0E-05)

10

-2.70E-05

-9.30E-06

1.06E-05

2.14E-06

-2.62E-05

-1.88E-06

(8.6E-05)

(1.6E-05)

(1.9E-05)

(8.3E-06)

(5.7E-05)

(1.3E-05)