Kiể Tra Tính Dừng Của Biến Inf


Null Hypothesis: D(LNOILP) has a unit root

Exogenous: Constant





Lag Length: 5 (Automatic - based on SIC, maxlag=8)



t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-6.285538

0.0000

Test critical values:

1% level

-3.499167



5% level

-2.891550



10% level

-2.582846


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


Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LNOILP,2)

Method: Least Squares





Date: 03/29/20 Time: 16:45

Sample (adjusted): 1995Q4 2019Q4

Included observations: 97 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(LNOILP(-1))

-2.968530

0.472279

-6.285538

0.0000

D(LNOILP(-1),2)

1.141000

0.434936

2.623375

0.0102

D(LNOILP(-2),2)

0.469707

0.371494

1.264372

0.2094

D(LNOILP(-3),2)

0.656031

0.291961

2.246978

0.0271

D(LNOILP(-4),2)

0.508306

0.185156

2.745285

0.0073

D(LNOILP(-5),2)

0.346295

0.087438

3.960480

0.0001

C

0.008721

0.046240

0.188595

0.8508

R-squared

0.915053

Mean dependent var

-0.008847

Adjusted R-squared

0.909390

S.D. dependent var

1.507963

S.E. of regression

0.453919

Akaike info criterion

1.327631

Sum squared resid

18.54379

Schwarz criterion


1.513435

Log likelihood

-57.39011

Hannan-Quinn criter.

1.402761

F-statistic

161.5815

Durbin-Watson stat

1.577295

Prob(F-statistic)

0.000000



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Phụ lục 8: Kiể tra tính dừng của biến INF



Null Hypothesis: INF has a unit root

Exogenous: Constant





Lag Length: 1 (Automatic - based on SIC, maxlag=12)



t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-4.520885

0.0003

Test critical values:

1% level

-3.495677



5% level

-2.890037



10% level

-2.582041


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


Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INF)

Method: Least Squares





Date: 03/29/20 Time: 17:12

Sample (adjusted): 1994Q3 2019Q4

Included observations: 102 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

INF(-1)

-0.383075

0.084735

-4.520885

0.0000

D(INF(-1))

-0.026835

0.098001

-0.273824

0.7848

C

1.909260

0.616261

3.098138

0.0025

R-squared

0.206749

Mean dependent var

-0.129580

Adjusted R-squared

0.190724

S.D. dependent var

4.633251

S.E. of regression

4.168063

Akaike info criterion

5.721750

Sum squared resid

1719.902

Schwarz criterion


5.798955

Log likelihood

-288.8093

Hannan-Quinn criter.

5.753013

F-statistic

12.90142

Durbin-Watson stat

1.491611

Prob(F-statistic)

0.000010




Phụ lục 9: Xác định Lag ph hợp

VAR Lag Order Selection Criteria

Endogenous variables: LNGDP LNIG LNIP LNIF LNLAB Exogenous variables: C

Date: 03/29/20 Time: 16:53 Sample: 1994Q1 2019Q4

Included observations: 92


Lag

LogL

LR

FPE

AIC

SC

HQ

0

-16.84992

NA

1.11e-06

0.474998

0.612052

0.530314

1

398.7073

776.9113

2.28e-10

-8.015376

-7.193054

-7.683480

2

414.7403

28.23205

2.78e-10

-7.820442

-6.312851

-7.211965

3

443.7618

47.94857

2.58e-10

-7.907866

-5.715006

-7.022809

4

566.1189

188.8555

3.18e-11

-10.02432

-7.146195

-8.862687

5

635.0972

98.96881*

1.27e-11*

-10.98037*

-7.416976*

-9.542156*

6

651.9566

22.35715

1.60e-11

-10.80341

-6.554740

-9.088608

7

666.2527

17.40387

2.20e-11

-10.57071

-5.636776

-8.579333

8

686.5369

22.48907

2.74e-11

-10.46819

-4.848992

-8.200236

9

717.1104

30.57347

2.84e-11

-10.58936

-4.284885

-8.044819

10

737.1791

17.88733

3.90e-11

-10.48215

-3.492415

-7.661036

11

764.8175

21.63003

4.86e-11

-10.53951

-2.864502

-7.441812

12

805.7922

27.61342

4.97e-11

-10.88679

-2.526511

-7.512509


* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error

AIC: Akaike information criterion SC: Schwarz information criterion

HQ: Hannan-Quinn information criterion


Phụ lục 10: Kết quả ước lượng Var của hình 1


Vector Autoregression Estimates

Date: 03/29/20 Time: 16:54

Sample (adjusted): 1995Q2 2019Q4

Included observations: 99 after adjustments

Standard errors in ( ) & t-statistics in [ ]


LNGDP

LNIG

LNIP

LNIF

LNLAB

LNGDP(-1)

-0.267409

-0.018613

-0.030726

0.007027

-0.002236


(0.11298)

(0.02884)

(0.02518)

(0.02487)

(0.00236)


[-2.36688]

[-0.64543]

[-1.22042]

[ 0.28253]

[-0.94664]


LNGDP(-2)


0.032481


-0.020104


-0.070305


0.024117


0.001462


(0.10980)

(0.02803)

(0.02447)

(0.02417)

(0.00230)


[ 0.29582]

[-0.71731]

[-2.87330]

[ 0.99766]

[ 0.63682]


LNGDP(-3)


-0.132052


-0.005382


-0.017536


0.002986


3.95E-05


(0.11463)

(0.02926)

(0.02554)

(0.02524)

(0.00240)


[-1.15201]

[-0.18395]

[-0.68652]

[ 0.11831]

[ 0.01646]


LNGDP(-4)


-0.449641


0.024725


-0.017560


-0.005635


0.000932


(0.11365)

(0.02901)

(0.02533)

(0.02502)

(0.00238)


[-3.95645]

[ 0.85236]

[-0.69335]

[-0.22520]

[ 0.39212]


LNGDP(-5)


0.028838


-0.024515


-0.026289


0.034959


0.004474


(0.12139)

(0.03098)

(0.02705)

(0.02673)

(0.00254)


[ 0.23756]

[-0.79121]

[-0.97181]

[ 1.30808]

[ 1.76245]


LNIG(-1)


-0.836509


0.741354


-0.051393


0.070286


-0.001412


(0.62101)

(0.15851)

(0.13839)

(0.13672)

(0.01299)


[-1.34702]

[ 4.67706]

[-0.37137]

[ 0.51409]

[-0.10877]


LNIG(-2)


1.209775


0.010827


-0.086638


0.016693


0.025871


(0.69632)

(0.17773)

(0.15517)

(0.15330)

(0.01456)


[ 1.73739]

[ 0.06092]

[-0.55834]

[ 0.10889]

[ 1.77683]


LNIG(-3)


-1.019671


-0.008634


0.043881


-0.051875


-0.015019


(0.69903)

(0.17842)

(0.15577)

(0.15390)

(0.01462)


[-1.45870]

[-0.04839]

[ 0.28170]

[-0.33708]

[-1.02754]



LNIG(-4)

-1.189123

0.092244

0.118252

0.666607

0.017847


(0.67616)

(0.17259)

(0.15068)

(0.14886)

(0.01414)


[-1.75865]

[ 0.53448]

[ 0.78481]

[ 4.47804]

[ 1.26230]


LNIG(-5)


1.366447


-0.002507


-0.034530


-0.592064


-0.010753


(0.60677)

(0.15488)

(0.13522)

(0.13359)

(0.01269)


[ 2.25198]

[-0.01619]

[-0.25537]

[-4.43209]

[-0.84753]


LNIP(-1)


0.412219


0.080308


0.824575


-0.119652


-0.001356


(0.66070)

(0.16864)

(0.14723)

(0.14546)

(0.01382)


[ 0.62391]

[ 0.47621]

[ 5.60052]

[-0.82259]

[-0.09814]


LNIP(-2)


-1.393423


-0.023042


0.123487


0.044165


-0.010466


(0.82738)

(0.21118)

(0.18437)

(0.18215)

(0.01730)


[-1.68415]

[-0.10911]

[ 0.66976]

[ 0.24246]

[-0.60492]


LNIP(-3)


1.576246


0.060621


-0.091606


-0.104120


0.026775


(0.84268)

(0.21509)

(0.18779)

(0.18552)

(0.01762)


[ 1.87051]

[ 0.28184]

[-0.48782]

[-0.56123]

[ 1.51952]


LNIP(-4)


1.617218


0.356269


0.379144


0.078652


3.14E-05


(0.80803)

(0.20625)

(0.18006)

(0.17789)

(0.01690)


[ 2.00144]

[ 1.72741]

[ 2.10562]

[ 0.44213]

[ 0.00186]


LNIP(-5)


-1.622513


-0.246589


-0.191623


-0.130965


-0.015143


(0.64394)

(0.16436)

(0.14350)

(0.14177)

(0.01347)


[-2.51967]

[-1.50028]

[-1.33538]

[-0.92380]

[-1.12458]


LNIF(-1)


0.456875


-0.169304


-0.128542


1.013071


0.021925


(0.53468)

(0.13648)

(0.11915)

(0.11771)

(0.01118)


[ 0.85447]

[-1.24054]

[-1.07882]

[ 8.60616]

[ 1.96102]


LNIF(-2)


-0.169873


0.030899


-0.062443


-0.115628


-0.012679


(0.40229)

(0.10268)

(0.08965)

(0.08857)

(0.00841)


[-0.42226]

[ 0.30092]

[-0.69655]

[-1.30554]

[-1.50728]


LNIF(-3)


-0.570712


0.128414


0.145860


-0.008670


0.010234


(0.38914)

(0.09933)

(0.08672)

(0.08567)

(0.00814)


[-1.46660]

[ 1.29286]

[ 1.68202]

[-0.10120]

[ 1.25773]


LNIF(-4)


0.435642


0.546427


0.407077


0.273644


-0.009575


(0.40106)

(0.10237)

(0.08937)

(0.08830)

(0.00839)




[ 1.08622]

[ 5.33782]

[ 4.55479]

[ 3.09915]

[-1.14168]


LNIF(-5)


0.298780


-0.374448


-0.304901


-0.388862


0.008377


(0.52299)

(0.13349)

(0.11654)

(0.11514)

(0.01094)


[ 0.57129]

[-2.80504]

[-2.61616]

[-3.37728]

[ 0.76604]


LNLAB(-1)


-4.254661


0.234239


-0.744656


0.393245


0.503110


(5.24671)

(1.33920)

(1.16919)

(1.15510)

(0.10971)


[-0.81092]

[ 0.17491]

[-0.63690]

[ 0.34044]

[ 4.58578]


LNLAB(-2)


3.652858


0.261861


-0.160863


0.113406


0.046925


(5.36287)

(1.36885)

(1.19508)

(1.18068)

(0.11214)


[ 0.68114]

[ 0.19130]

[-0.13460]

[ 0.09605]

[ 0.41845]


LNLAB(-3)


3.154496


1.291632


1.405561


-1.759243


0.012234


(5.18892)

(1.32444)

(1.15631)

(1.14238)

(0.10850)


[ 0.60793]

[ 0.97523]

[ 1.21556]

[-1.53998]

[ 0.11275]


LNLAB(-4)


6.955417


-4.061596


-2.763525


3.223795


0.626477


(5.32864)

(1.36011)

(1.18745)

(1.17314)

(0.11142)


[ 1.30529]

[-2.98623]

[-2.32728]

[ 2.74801]

[ 5.62246]


LNLAB(-5)


-11.90621


0.928455


1.888666


-0.211273


-0.351317


(5.57676)

(1.42344)

(1.24274)

(1.22776)

(0.11661)


[-2.13497]

[ 0.65226]

[ 1.51976]

[-0.17208]

[-3.01269]


C


42.78890


12.67515


5.234659


-16.00811


1.319322


(32.2244)

(8.22511)

(7.18096)

(7.09443)

(0.67382)


[ 1.32784]

[ 1.54103]

[ 0.72896]

[-2.25643]

[ 1.95796]

R-squared

0.396715

0.986646

0.995002

0.985716

0.997905

Adj. R-squared

0.190110

0.982073

0.993290

0.980824

0.997187

Sum sq. resids

13.50915

0.880119

0.670847

0.654777

0.005907

S.E. equation

0.430182

0.109802

0.095863

0.094708

0.008995

F-statistic

1.920166

215.7450

581.2785

201.4982

1390.726

Log likelihood

-41.88315

93.30456

106.7446

107.9448

341.0002

Akaike AIC

1.371377

-1.359688

-1.631204

-1.655450

-6.363641

Schwarz SC

2.052923

-0.678141

-0.949657

-0.973904

-5.682094

Mean dependent

12.95621

10.22809

9.856438

11.15513

10.72309

S.D. dependent

0.478013

0.820079

1.170274

0.683915

0.169609

Determinant resid covariance (dof adj.)

3.10E-12






Determinant resid covariance

6.76E-13

Log likelihood

684.7743

Akaike information criterion

-11.20756

Schwarz criterion

-7.799829

Number of coefficients

130


Phụ lục 11: Kiể định Granger cho mô hình 1


VAR Granger Causality/Block Exogeneity Wald Tests

Date: 03/29/20 Time: 16:54

Sample: 1994Q1 2019Q4

Included observations: 99


Dependent variable: LNGDP

Excluded

Chi-sq

df

Prob.

LNIG

12.09947

5

0.0335

LNIP

15.99280

5

0.0069

LNIF

6.237149

5

0.2838

LNLAB

7.792617

5

0.1680

All

38.30004

20

0.0081


Dependent variable: LNIG

Excluded

Chi-sq

df

Prob.

LNGDP

2.419647

5

0.7885

LNIP

11.06886

5

0.0500

LNIF

50.31918

5

0.0000

LNLAB

10.94834

5

0.0524

All

102.1658

20

0.0000


Dependent variable: LNIP

Excluded

Chi-sq

df

Prob.

LNGDP

8.698377

5

0.1217

LNIG

1.556249

5

0.9065

LNIF

40.82137

5

0.0000

LNLAB

6.241682

5

0.2834

All

68.79958

20

0.0000


Dependent variable: LNIF



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