Phụ lục 2
Kiểm định tính dừng
Kiểm định ADF với tiêu chuẩn SIC
OIL
OPGAP
Null Hypothesis: OPGAP has a unit root
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Exogenous: Constant
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Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-11.15897
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0.0000
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Test critical values:
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1% level
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-3.476143
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5% level
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-2.881541
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10% level
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-2.577514
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*MacKinnon (1996) one-sided p-values.
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IMP
Null Hypothesis: D(LIMP) has a unit root
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Exogenous: Constant
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Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-12.95988
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0.0000
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Test critical values:
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1% level
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-3.476472
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5% level
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-2.881685
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10% level
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-2.577591
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*MacKinnon (1996) one-sided p-values.
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CPI
Null Hypothesis: D(LCPI) has a unit root
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Exogenous: Constant
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Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-6.377652
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0.0000
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Test critical values:
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1% level
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-3.476472
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5% level
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-2.881685
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10% level
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-2.577591
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*MacKinnon (1996) one-sided p-values.
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M2
Null Hypothesis: D(LM) has a unit root
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Exogenous: Constant
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Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-10.01005
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0.0000
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Test critical values:
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1% level
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-3.477835
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5% level
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-2.882279
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10% level
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-2.577908
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*MacKinnon (1996) one-sided p-values.
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NEER
Null Hypothesis: D(LNEER) has a unit root
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Exogenous: Constant
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Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
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t-Statistic
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Prob.*
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Augmented Dickey-Fuller test statistic
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-12.61856
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0.0000
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Test critical values:
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1% level
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-3.477835
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5% level
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-2.882279
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10% level
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-2.577908
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*MacKinnon (1996) one-sided p-values.
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Phụ lục 3
Thống kê các chỉ tiêu để lựa chọn độ trễ tối ưu
VAR Lag Order Selection Criteria
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Endogenous variables: D(LOIL) OPGAP D(LIMP) D(LCPI) D(LM) D(LNEER)
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Exogenous variables: C
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Date: 04/06/13 Time: 16:17
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Sample: 2001M01 2013M01
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Included observations: 130
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Lag
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LogL
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LR
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FPE
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AIC
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SC
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0
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331.9558
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NA
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2.67e-10
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-5.014704
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-4.882356*
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1
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392.6784
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114.9059*
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1.83e-10*
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-5.395052*
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-4.468618
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2
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417.0750
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43.91393
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2.19e-10
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-5.216539
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-3.496018
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3
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439.1610
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37.71602
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2.74e-10
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-5.002477
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-2.487870
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4
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469.9937
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49.80666
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3.02e-10
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-4.922980
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-1.614286
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5
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496.0712
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39.71809
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3.61e-10
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-4.770326
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-0.667546
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6
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518.2051
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31.66850
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4.66e-10
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-4.557002
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0.339865
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7
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549.3365
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41.66822
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5.32e-10
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-4.482101
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1.208852
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8
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577.3977
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34.96845
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6.51e-10
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-4.359964
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2.125076
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9
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600.7530
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26.94853
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8.79e-10
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-4.165431
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3.113695
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10
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642.7448
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44.57590
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9.20e-10
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-4.257613
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3.815600
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* indicates lag order selected by the criterion
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LR: sequential modified LR test statistic (each test at 5% level)
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FPE: Final prediction error
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AIC: Akaike information criterion
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SC: Schwarz information criterion
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HQ: Hannan-Quinn information criterion
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