Mối quan hệ giữa lạm phát và tăng trưởng kinh tế ở việt nam luận văn thạc sĩ 2015

B IH -MARKETING - TR N TH M I QUAN H GI A L NG KINH T : 60.34.02.01 LU Tp HCM, VI T NAM B IH -MARKETING - TR N TH M I QUAN H GI A L NG KINH T VI T NAM : 60.34.02.01 LU NG D N KHOA H C: PGS.TS TR N NGUY N NG C ANH Tp HCM, th 3/2016 ch C n Nguy n Ng ng d n Th ng d y, truy t n t ki n th c ih Marketing tr ct p ng n, anh ch h p 4-1, cao h , s chia nh ng ki n th c : Tr n Th ng lu Vi t Nam i quan h gi a l u c i s ng kinh t ng d n c a PGS TS Tr n Nguy n Ng Ngo i tr nh u tham kh ng lu xin cam ho c s d nh n b t k b ng c p i h c ho Tp 2016 H Tr n Th 1.1 1.2 M u 1.3 Ph u 1.4 u 1.5 c ti n 1.6 Gi i thi u k t c .4 : C S L LU N V M I QUAN H GI A L M PH T V T NG NG KINH T 2.1 L 2.1.1 2.1.2 m .5 ng l 2.1.2.1 Ch s 2.1.2.2 Ch s u ch nh GDP ( GDP deflator) .6 2.1.3 il 2.1.3.1 c at l l 2.1.3.2 tl 2.1.4 .7 2.1.4.1 L 2.1.4.2 L y .9 2.1.4.3 L 10 2.2 ng kinh t 10 2.2.1 m .10 2.2.2 ng 10 2.2.2.1 T ng s n ph m qu c n i GDP 10 2.2.2.2 T ng GDP 12 2.2.2.3 2.3 i 12 M i quan h gi a l ng kinh t 12 2.3.1 ng c 2.3.2 ng c a Keynes 13 2.3.3 n 12 t c a ch ng ti n .15 2.3.4 .17 2.4 u th c nghi m 18 2.4.1 u th c nghi 2.4.2 24 : THI T K 3.1 gi i 18 Gi thuy , 3.1.1 3.1.2 3.1.3 D li 3.2 thuy U .29 d li u .29 u 29 u 29 u .30 n c u 31 3.2.1 Ki ng c a chu i th i gian (ADF) 31 3.2.2 Ki tr 32 3.2.3 Ki t Johansen 32 3.2.4 Ki Granger .33 3.2.5 h i quy vecto VAR 34 3.2.6 hi u ch nh VECM 34 3.2.7 n 3.2.8 35 ng l thu t CRDL 36 : K T QU 4.1 O LU N 37 Th c tr ng v l ng kinh t Vi t Nam 37 4.1.1 n 1986-1995 37 4.1.2 n 1996 4.1.3 n 2006-2015 39 4.2 K t qu 2005 38 c nghi m 42 4.2.1 d li 4.2.1.1 Th 4.2.1.2 u 42 v d li s Ki ng c a chu i d li u 44 4.2.1.3 4.2.1.4 tr t i d li u 45 Ki t Johansen .46 4.2.1.5 47 4.2.2 4.2.3 n 42 .48 n 4.2.3.1 K t qu 4.2.3.2 K t qu .51 n y 51 52 4.2.4 .53 4.2.5 55 4.2.6 4.3 ng l 56 Th o lu n 59 T LU 62 5.1 K t lu n 62 5.2 G 5.3 H n ch c 5.3.1 H n ch c 5.3.2 62 u ti p theo 65 65 u ti p theo 65 U THAM KH O .66 PH L C 70 DANH M C B NG B 25 B ng 4.1: L ng kinh t n Error! Bookmark not defined B ng 4.2: L ng kinh t Vi n 1986-1995 37 B ng 4.3: L ng kinh t Vi n 1996-2005 38 B ng 4.4: L ng kinh t Vi n 2006-2015 39 B d li u 43 44 B ng 4.7 :Ki nh ADF Chu i g c 44 B ng 4.8 : Ki nh ADF Chu B ng 4.9: K t qu B ng 4.10 : K t qu ki tr t c 44 .45 nh v t ma tr n (Trace) 46 Ki i c a ma tr n (Maximum Eigenvalue) 47 47 49 B ng 4.14: K t qu 52 53 55 B ng 4.17: K t qu ki B ng 4.18 : K t qu ch 56 ng l c th c hi n nhi u l n v i k ch y t 5-13% 57 DANH M .14 y 14 : Di n bi n l n 1986-1995 .37 n bi n l n 1996-2005 .39 n bi n l n 2006-2015 .40 46 n yc n D(Ln LnCPI) 51 Ph l Vector Autoregression Estimates Date: 12/18/15 Time: 09:46 Sample (adjusted): 1996Q2 2015Q2 Included observations: 77 after adjustments Standard errors in ( ) & t-statistics in [ ] D(LNGDP) D(LNCPI) D(LNGDP(-1)) -1.057016 (0.11735) [-9.00762] -0.000676 (0.02786) [-0.02426] D(LNGDP(-2)) -1.033574 (0.12712) [-8.13094] 0.005637 (0.03018) [ 0.18674] D(LNGDP(-3)) -0.995015 (0.13244) [-7.51274] -0.002059 (0.03145) [-0.06548] D(LNGDP(-4)) -0.086397 (0.12200) [-0.70820] -0.037660 (0.02897) [-1.30005] D(LNCPI(-1)) 0.375479 (0.50498) [ 0.74355] 0.826554 (0.11991) [ 6.89324] D(LNCPI(-2)) -0.697688 (0.64203) [-1.08670] -0.400781 (0.15245) [-2.62894] D(LNCPI(-3)) 1.177199 (0.63959) [ 1.84055] 0.220509 (0.15187) [ 1.45195] D(LNCPI(-4)) -0.985810 (0.50055) [-1.96945] -0.019575 (0.11886) [-0.16470] C 0.075431 (0.01352) [ 5.57986] 0.006444 (0.00321) [ 2.00745] 80 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 0.945385 0.938960 0.257036 0.061481 147.1346 110.2820 -2.630702 -2.356751 0.020409 0.248848 0.506805 0.448782 0.014492 0.014599 8.734575 220.9924 -5.506295 -5.232344 0.015941 0.019663 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 8.06E-07 6.28E-07 331.2783 -8.137098 -7.589195 Estimation Proc: =============================== LS(NOCONST) D(LNGDP) D(LNCPI) VAR Model: =============================== D(LNGDP) = C(1,1)*D(LNGDP(-1)) + C(1,2)*D(LNGDP(-2)) + C(1,3)*D(LNGDP(3)) + C(1,4)*D(LNGDP(-4)) + C(1,5)*D(LNCPI(-1)) + C(1,6)*D(LNCPI(-2)) + C(1,7)*D(LNCPI(-3)) + C(1,8)*D(LNCPI(-4)) D(LNCPI) = C(2,1)*D(LNGDP(-1)) + C(2,2)*D(LNGDP(-2)) + C(2,3)*D(LNGDP(3)) + C(2,4)*D(LNGDP(-4)) + C(2,5)*D(LNCPI(-1)) + C(2,6)*D(LNCPI(-2)) + C(2,7)*D(LNCPI(-3)) + C(2,8)*D(LNCPI(-4)) VAR Model - Substituted Coefficients: =============================== D(LNGDP) = - 0.695148983671*D(LNGDP(-1)) - 0.642783890088*D(LNGDP(-2)) - 0.598109263886*D(LNGDP(-3)) + 0.284460793626*D(LNGDP(-4)) + 0.717913621897*D(LNCPI(-1)) - 0.144230815661*D(LNCPI(-2)) + 1.51984346111*D(LNCPI(-3)) - 0.506666228915*D(LNCPI(-4)) D(LNCPI) = 0.0302373282054*D(LNGDP(-1)) + 0.0390205631685*D(LNGDP(-2)) + 0.0318470589112*D(LNGDP(-3)) - 0.00597841822216*D(LNGDP(-4)) + 0.855807392636*D(LNCPI(-1)) - 0.353500736266*D(LNCPI(-2)) + 0.249779790857*D(LNCPI(-3)) + 0.0213563467169*D(LNCPI(-4)) 81 Ph l Vector Error Correction Estimates Date: 12/18/15 Time: 09:47 Sample (adjusted): 1996Q2 2015Q2 Included observations: 77 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 LNGDP(-1) 1.000000 LNCPI(-1) -0.840644 (0.11667) [-7.20557] C -0.493122 Error Correction: D(LNGDP) D(LNCPI) CointEq1 -0.073367 (0.06829) [-1.07431] 0.031911 (0.01588) [ 2.00906] D(LNGDP(-1)) -0.997513 (0.12964) [-7.69439] -0.026557 (0.03015) [-0.88076] D(LNGDP(-2)) -0.990555 (0.13314) [-7.44013] -0.013075 (0.03097) [-0.42223] D(LNGDP(-3)) -0.971045 (0.13416) [-7.23786] -0.012485 (0.03120) [-0.40010] D(LNGDP(-4)) -0.085300 (0.12186) [-0.69997] -0.038137 (0.02834) [-1.34554] D(LNCPI(-1)) 0.434091 (0.50735) [ 0.85560] 0.801061 (0.11800) [ 6.78856] D(LNCPI(-2)) -0.727883 (0.64192) -0.387648 (0.14930) 82 [-1.13392] [-2.59645] D(LNCPI(-3)) 1.211100 (0.63965) [ 1.89339] 0.205763 (0.14877) [ 1.38309] D(LNCPI(-4)) -1.029457 (0.50163) [-2.05221] -0.000591 (0.11667) [-0.00507] C 0.073091 (0.01368) [ 5.34378] 0.007462 (0.00318) [ 2.34556] 0.946310 0.939098 0.252683 0.061412 131.2110 110.9396 -2.621808 -2.317417 0.020409 0.248848 0.534829 0.472343 0.013669 0.014283 8.559224 223.2446 -5.538820 -5.234429 0.015941 0.019663 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 7.68E-07 5.81E-07 334.2541 -8.110496 -7.440837 Estimation Proc: =============================== EC(NOCONST,C,1) LNGDP LNCPI VAR Model: =============================== D(LNGDP) = A(1,1)*(B(1,1)*LNGDP(-1) + B(1,2)*LNCPI(-1) + B(1,3)) + C(1,1)*D(LNGDP(-1)) + C(1,2)*D(LNGDP(-2)) + C(1,3)*D(LNGDP(-3)) + C(1,4)*D(LNGDP(-4)) + C(1,5)*D(LNCPI(-1)) + C(1,6)*D(LNCPI(-2)) + C(1,7)*D(LNCPI(-3)) + C(1,8)*D(LNCPI(-4)) + C(1,9) D(LNCPI) = A(2,1)*(B(1,1)*LNGDP(-1) + B(1,2)*LNCPI(-1) + B(1,3)) + C(2,1)*D(LNGDP(-1)) + C(2,2)*D(LNGDP(-2)) + C(2,3)*D(LNGDP(-3)) + 83 C(2,4)*D(LNGDP(-4)) + C(2,5)*D(LNCPI(-1)) + C(2,6)*D(LNCPI(-2)) + C(2,7)*D(LNCPI(-3)) + C(2,8)*D(LNCPI(-4)) + C(2,9) VAR Model - Substituted Coefficients: =============================== D(LNGDP) = - 0.0733667496341*( LNGDP(-1) - 0.840643980412*LNCPI(-1) 0.493121700031 ) - 0.99751291403*D(LNGDP(-1)) - 0.990555020546*D(LNGDP(2)) - 0.971045435273*D(LNGDP(-3)) - 0.085300175048*D(LNGDP(-4)) + 0.434090725662*D(LNCPI(-1)) - 0.727883013418*D(LNCPI(-2)) + 1.2111002999*D(LNCPI(-3)) - 1.0294567178*D(LNCPI(-4)) + 0.0730909591238 D(LNCPI) = 0.0319110925189*( LNGDP(-1) - 0.840643980412*LNCPI(-1) 0.493121700031 ) - 0.0265570055943*D(LNGDP(-1)) 0.0130745616685*D(LNGDP(-2)) - 0.0124847856116*D(LNGDP(-3)) 0.0381366774264*D(LNGDP(-4)) + 0.801060686061*D(LNCPI(-1)) 0.38764752583*D(LNCPI(-2)) + 0.205763029474*D(LNCPI(-3)) 0.000591275118924*D(LNCPI(-4)) + 0.00746175991332 84 Ph l c 5: H ng l K=5% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069429 0.003537 -0.003196 0.071860 -0.021557 0.071542 19.63057 -0.044476 -0.301316 0.0000 0.9649 0.7660 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.052791 -0.033319 0.014777 0.004804 71.49187 0.613062 0.550688 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.479350 -5.333085 -5.438782 0.654483 k=6% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.070201 0.003333 -0.030303 0.055232 0.007192 0.055673 21.06296 -0.548649 0.129191 0.0000 0.5888 0.8984 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.049603 -0.036797 0.014802 0.004820 71.44987 0.574107 0.571422 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.475990 -5.329725 -5.435422 0.673902 k=6.6% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069329 0.003047 0.009582 0.046299 -0.039258 0.047921 22.75218 0.206969 -0.819215 0.0000 0.8379 0.4215 R-squared Adjusted R-squared S.E of regression 0.077037 -0.006869 0.014586 Mean dependent var S.D dependent var Akaike info criterion 85 0.070332 0.014537 -5.505280 Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.004681 71.81601 0.918135 0.414027 Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -5.359015 -5.464713 0.586949 k=6.7% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069314 0.003053 0.009274 0.046036 -0.038928 0.047608 22.70558 0.201463 -0.817678 0.0000 0.8422 0.4223 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.505169 -5.358904 -5.464602 0.587291 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.076934 -0.006981 0.014587 0.004681 71.81462 0.916812 0.414532 k=6.8% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069300 0.008970 -0.038602 0.003058 0.045776 0.047298 22.65896 0.195958 -0.816144 0.0000 0.8464 0.4232 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.076832 -0.007092 0.014588 0.004682 71.81324 0.915495 0.415037 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.505059 -5.358794 -5.464491 0.587629 k=6.9% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069092 0.002839 0.037068 0.040700 -0.075454 0.043263 24.33279 0.910779 -1.744069 0.0000 0.3723 0.0951 86 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.164412 0.088450 0.013879 0.004238 73.05918 2.164385 0.138648 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.604734 -5.458469 -5.564167 0.617723 k=7% Variable Coefficie nt Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069061 0.002843 0.036562 0.040487 -0.074913 0.043004 24.28973 0.903042 -1.742014 0.0000 0.3763 0.0955 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.164173 0.088189 0.013881 0.004239 73.05560 2.160619 0.139085 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.604448 -5.458183 -5.563881 0.617814 k=7.1% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069031 0.002847 0.036060 0.040278 -0.074378 0.042747 24.24638 0.895291 -1.739948 0.0000 0.3803 0.0958 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.163933 0.087927 0.013883 0.004240 73.05201 2.156839 0.139525 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 87 0.070332 0.014537 -5.604161 -5.457896 -5.563593 0.617900 k=7.2% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069002 0.002851 0.035564 0.040071 -0.073847 0.042493 24.20278 0.887524 -1.737874 0.0000 0.3844 0.0962 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.163692 0.087664 0.013885 0.004241 73.04841 2.153046 0.139968 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.603873 -5.457608 -5.563305 0.617980 k=7.3% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.068973 0.002855 0.035072 0.039866 -0.073321 0.042241 24.15895 0.879745 -1.735791 0.0000 0.3885 0.0966 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.163450 0.087400 0.013887 0.004243 73.04479 2.149242 0.140414 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.603583 -5.457318 -5.563016 0.618056 k=7.4% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.068944 0.002859 0.034585 0.039664 -0.072799 0.041991 24.11493 0.871954 -1.733700 0.0000 0.3927 0.0970 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood 0.163207 0.087135 0.013889 0.004244 73.04117 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 88 0.070332 0.014537 -5.603293 -5.457028 -5.562726 F-statistic Prob(F-statistic) 2.145429 0.140863 Durbin-Watson stat 0.618127 k=7.5% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.068916 0.002863 0.034103 0.039464 -0.072283 0.041743 24.07076 0.864153 -1.731603 0.0000 0.3968 0.0973 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.162964 0.086870 0.013891 0.004245 73.03753 2.141609 0.141314 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.603003 -5.456738 -5.562435 0.618193 k=7.6% Variable C D(CPI) DU*(D(CPI)-k) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic 0.068889 0.002867 24.02646 0.033625 0.039266 0.856343 -0.071771 0.041498 -1.729501 0.162720 0.086604 0.013893 0.004246 73.03389 2.137783 0.141767 Prob 0.0000 0.4010 0.0977 Mean dependent var 0.070332 S.D dependent var 0.014537 Akaike info criterion -5.602712 Schwarz criterion -5.456446 Hannan-Quinn criter -5.562144 Durbin-Watson stat 0.618255 k=7.7% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.068861 0.002871 0.033153 0.039071 -0.071264 0.041255 23.98205 0.848526 -1.727393 0.0000 0.4053 0.0981 R-squared Adjusted R-squared 0.162476 0.086337 Mean dependent var S.D dependent var 89 0.070332 0.014537 S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.013895 0.004248 73.03025 2.133952 0.142223 Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -5.602420 -5.456155 -5.561852 0.618313 k=7.8% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.068835 0.002876 0.032685 0.038878 -0.070762 0.041015 23.93757 0.840702 -1.725281 0.0000 0.4096 0.0985 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.162232 0.086071 0.013897 0.004249 73.02660 2.130119 0.142680 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.602128 -5.455863 -5.561560 0.618367 k=7.9% Variable C D(CPI) DU*(D(CPI)-k) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic 0.068808 0.002880 23.89304 0.032222 0.038688 0.832872 -0.070265 0.040777 -1.723165 0.161987 0.085804 0.013899 0.004250 73.02295 2.126284 0.143140 Prob 0.0000 0.4139 0.0989 Mean dependent var 0.070332 S.D dependent var 0.014537 Akaike info criterion -5.601836 Schwarz criterion -5.455571 Hannan-Quinn criter -5.561268 Durbin-Watson stat 0.618417 k=8% Variable Coefficient Std Error t-Statistic Prob C D(CPI) 0.068782 0.002884 0.031763 0.038499 23.84848 0.825039 0.0000 0.4182 90 DU*(D(CPI)-k) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) -0.069772 0.040541 0.161742 0.085537 0.013901 0.004251 73.01930 2.122449 0.143600 -1.721047 0.0993 Mean dependent var 0.070332 S.D dependent var 0.014537 Akaike info criterion -5.601544 Schwarz criterion -5.455279 Hannan-Quinn criter -5.560976 Durbin-Watson stat 0.618464 k=8.1% Variable C D(CPI) DU*(D(CPI)-k) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic 0.068757 0.002888 23.80392 0.031310 0.038313 0.817202 -0.069284 0.040307 -1.718927 0.161497 0.085269 0.013903 0.004252 73.01564 2.118614 0.144063 Prob 0.0000 0.4226 0.0997 Mean dependent var 0.070332 S.D dependent var 0.014537 Akaike info criterion -5.601251 Schwarz criterion -5.454986 Hannan-Quinn criter -5.560684 Durbin-Watson stat 0.618507 k=8.2% Variable C D(CPI) DU*(D(CPI)-k) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error t-Statistic 0.068731 0.002893 23.75938 0.030861 0.038129 0.809363 -0.068801 0.040075 -1.716805 0.161252 0.085002 0.013905 0.004254 73.01199 2.114782 0.144527 Prob 0.0000 0.4270 0.1001 Mean dependent var 0.070332 S.D dependent var 0.014537 Akaike info criterion -5.600959 Schwarz criterion -5.454694 Hannan-Quinn criter -5.560392 Durbin-Watson stat 0.618547 k=8.3% Variable Coefficient Std Error 91 t-Statistic Prob C D(CPI) DU*(D(CPI)-k) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.068707 0.002897 0.030416 0.037948 -0.068322 0.039846 0.161007 0.084735 0.013907 0.004255 73.00834 2.110953 0.144992 23.71487 0.801524 -1.714682 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.0000 0.4314 0.1005 0.070332 0.014537 -5.600667 -5.454402 -5.560100 0.618585 k=8.4% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069082 0.002919 0.022903 0.038911 -0.058877 0.041003 23.66779 0.588595 -1.435918 0.0000 0.5621 0.1651 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.130383 0.051327 0.014159 0.004410 72.56021 1.649246 0.215084 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.070332 0.014537 -5.564817 -5.418552 -5.524249 0.591898 k=8.5% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.069062 0.002923 0.022475 0.038729 -0.058407 0.040773 23.62987 0.580318 -1.432495 0.0000 0.5676 0.1661 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.130028 0.050940 0.014162 0.004412 72.55511 1.644085 0.216052 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 92 0.070332 0.014537 -5.564409 -5.418144 -5.523841 0.591913 k=9% Variable Coefficient Std Error t-Statistic Prob C D(CPI) DU*(D(CPI)-k) 0.068972 0.002942 0.020412 0.037851 -0.056134 0.039651 23.44067 0.539287 -1.415684 0.0000 0.5951 0.1709 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.128293 0.049047 0.014176 0.004421 72.53020 1.618914 0.220840 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 93 0.070332 0.014537 -5.562416 -5.416151 -5.521848 0.591990 Ph l c 6: Ki Granger Pairwise Granger Causality Tests Date: 01/19/16 Time: 01:02 Sample: 1995Q1 2015Q2 Lags: Null Hypothesis: Obs Prob 81 69.9479 2.34304 2.E-12 0.1299 Obs F-Statistic Prob 80 5.90758 6.96286 0.0041 0.0017 Obs F-Statistic Prob 79 4.45270 5.16670 0.0063 0.0027 Obs F-Statistic Prob 78 LNCPI does not Granger Cause LNGDP LNGDP does not Granger Cause LNCPI F-Statistic 0.32645 6.29624 0.8593 0.0002 Lags: Null Hypothesis: LNCPI does not Granger Cause LNGDP LNGDP does not Granger Cause LNCPI Lags: Null Hypothesis: LNCPI does not Granger Cause LNGDP LNGDP does not Granger Cause LNCPI Lags: Null Hypothesis: LNCPI does not Granger Cause LNGDP LNGDP does not Granger Cause LNCPI 94