4.5.1.1. i v i lãi su t ti n g i.
Ki m đnh Durbin- Watson (DW) là m c đ t t ng quan b c 1: v i
Giá tr th ng kê DW s ki m đnh gi thi t H0: hay không có hi n t ng t
B ng 4.6: K t qu ki m đnh Durbin- Watson v t t ng qỐan c a bi n lãi su t ti n g i.
Dependent Variable: D(DR) Method: Least Squares Date: 09/16/14 Time: 14:32 Sample (adjusted): 2 168
Included observations: 165 after adjustments
White heteroskedasticity-consistent standard errors & covariance
Variable Coefficient Std. Error t-Statistic Prob.
C 0.391992 0.186519 2.101625 0.0371
D(TCK) 0.538877 0.129028 4.176426 0.0000
TCK(-1) -0.018298 0.025767 -0.710133 0.4786
DR(-1) -0.032676 0.035669 -0.916079 0.3610
S.E. of regression 0.603980 Akaike info criterion 1.853391
Sum squared resid 58.73141 Schwarz criterion 1.928687
Log likelihood -148.9048 Hannan-Quinn criter. 1.883956
Durbin-Watson stat 1.633582
B ng 4.6 th hi n k t qu ki m đnh t t ng quan v i bi n lãi su t ti n g i. Theo
đó, giá tr DW g n b ng 2 đư không bác b gi thi t H0 nên có r t ít kh n ng x y ra hi n t ng t t ng quan.
4.5.1.2. i v i lãi su t cho vay.
B ng 4.7: K t qu ki m đnh Durbin- Watson v t t ng qỐan c a bi n lãi su t
cho vay.
Dependent Variable: D(LR) Method: Least Squares Date: 09/16/14 Time: 14:35 Sample (adjusted): 3 168
Included observations: 163 after adjustments
White heteroskedasticity-consistent standard errors & covariance
Variable Coefficient Std. Error t-Statistic Prob.
C 0.904693 0.496538 1.822002 0.0703
D(TCK) 0.493297 0.126583 3.897031 0.0001
TCK(-1) 0.047931 0.045952 1.043052 0.2985
LR(-1) 0.159598 0.125513 1.271570 0.2054
LR(-2) -0.263247 0.178936 -1.471179 0.1432
R-squared 0.320111 Mean dependent var -0.009571
Adjusted R-squared 0.302898 S.D. dependent var 0.721646
S.E. of regression 0.602521 Akaike info criterion 1.854807
Sum squared resid 57.35903 Schwarz criterion 1.949707
Log likelihood -146.1668 Hannan-Quinn criter. 1.893335
F-statistic 18.59768 Durbin-Watson stat 2.425999
K t qu ki m đnh th hi n t i b ng 4.7 v i giá tr DW (=2.43) 2 đư không bác b gi thi t H0 và cho r ng có r t ít kh n ng x y ra hi n t ng t t ng quan ph n
4.5.1.3. i v i lãi su t trái phi u chính ph .
B ng 4.8: K t qu ki m đnh Durbin- Watson v t t ng qỐan c a bi n lãi su t
trái phi u chính ph .
Dependent Variable: D(GR) Method: Least Squares Date: 09/16/14 Time: 14:37 Sample (adjusted): 2 168
Included observations: 165 after adjustments
White heteroskedasticity-consistent standard errors & covariance
Variable Coefficient Std. Error t-Statistic Prob.
C 0.053775 0.243923 0.220459 0.8258
D(TCK) 0.204733 0.126450 1.619084 0.1074
TCK(-1) -0.009054 0.050001 -0.181076 0.8565
R-squared 0.022614 Mean dependent var -0.000121
S.D. dependent var 0.895279 S.E. of regression 0.890545
Akaike info criterion 2.624048 Sum squared resid 128.4773
Schwarz criterion 2.680519 Log likelihood -213.4839
Hannan-Quinn criter. 2.646972 F-statistic 1.874089
Durbin-Watson stat 1.956150
T ng t nh lưi su t ti n g i và lãi su t cho vay, ki m đnh Durbin- Watson t i b ng 4.8 v t t ng quan đ i v i lãi su t trái phi u chính ph cho giá tr DW (= 1.96) đư ng h gi thuy t H0 cho r ng không có hi n t ng t t ng quan.