I Heiko Hesse (2008) sir dung so lieu gOp dm 99 qu'Oc gia; Anwesha Aditya va Saikat Sinha Roy (2010) sir dung so lieu ctia 65 quOc gia; Arailym Kadyrova (2011) sir dung so lieu cila 88 quoc gia
13 Vic xay dung mo hinh VAR cho cac phucmg trinh (3.3), (3.4) dugc tier' hanh twang to
Trong dO al, a2, a3, a4, a5 a6 la hang s6 phan anh sg thay dgi cua bien php thugc
khOng dugc giai thich bad cac bien trong mO hinh; con cac N se) , yii , Oji , coji , , lan lugt la cac cac he s6 co gian cua bien phg thugc theo cac bien giai thich trong mo hinh; lit la vec to cac nlau trang. Neu cac he s6 61i lan han 0 va co nghia thgng ke, tirc la gia thiet Ho bi bac 116, khi dO ta co the ket luan da clang h6a mat hang xuat khau thnc day tang trugng kinh to Viet Nam.
3.3.1.2. Phitang pluip dinh luyng
Phuong phap ix& lugng tac dgng aim da clang h6a mat hang xudt khau den tang truong kinh to theo mg hinh VAR, can thgc hien cac buac sau:
Btrac 1, chung ta can phal kiem dinh tinh dimg cua cac bien s6 trong mo hinh thirc
nghiem. Neu nhu cac chu6i khOng dung, chimg ta phai lay sai phan cho tai khi nao no co tinh dimg tnrOc khi dua vao m6 hinh thgc nghiem, neu khong thi ket qua uOc lugng se khong chinh xac. Bed vi khi trac lugng mo hinh vad chu6i thed gian khong dimg c6 the se thu dugc he s6 mare lugng coy nghia thgng ke cao va R2 cao, ke ca khi cac bien trong mg hinh hoan toan kh6ng c6 quan he vai nhau. Hien tugng nay dugc goi la "h6i quy gia mao" (spurious regression) do cac bien co the co cling xu the [8, 86].
De kiem tra tinh dirng cua cac bien s6 trong mo hinh, nguad ta thugng sir dung lugc d6 to tuang quan hoac kiem dinh nghiem don vi (unit root test). Mgt trong nhfing kiem dinh nghiem don vi dugc sir dung ph6 bien la kiem dinh ADF (Augmented Dickey-Fuller). Kiem dinh nay dugc tin hanh nhu sau:
Xet mo hinh to h6i quy AR(1):
Yt = PYt_i + ut ; trong do th la nhieu trang (3.11)
Neu p = 1, khi da Yt la mgt buOc ngau nhien, Yt la mgt chu6i khong dirng. Do d6 de kiem dinh tinh dirng aim chu6i Yt, ta se kiem dinh gia thiet:
Ho: p =1 ; HI: p <1
(3.12) Ta bien dgi: AYt = Yt - = (P-1)Yt-1+ lit
AYt = 6Yt_i + ut ; ut la nhiexu tang (3.13) Neu cac ut tg Wang quan, cai bien va uac lugng mo hinh sau:
tt,
AY, = Igo + fl + + a AY,_, + u (3.14)
Bay gig gia thiet (3.12) tuang duang vai Ho: 6 =0 (Chu8i la khong dimg) H1: 6 4 (Chu6i dimg)
Neu gia thiet Ho bi bac bO, chu6i Yt la chu6i dirnsg. Lite nay ta c6 the tien hanh phan tich VAR d6i vai chu6i Yt. Ngtrgc lai, lieu gia thiet Ho khong bi bac b6 (dugc chap nhan) tirc la chu6i Yt c6 nghiem don vi. Dieu do ham )'T rang Yt la chai kitting dung. Luc nay ta phai lay sai phan bac nhat d6i \Jai Yt r6i tiep tuc kiem dinh. Neu sai phan bac nhat chua dung, ta tiep tuc lay sai phan bac thin n cho tai khi chai dung r6i mai dua vao phan tich trong mo hinh VAR.
Buck 2, xac dinh d6 dai tre dm m6 hinh VAR. De xac dinh busk trex trong phan
tich chai thai gian la mot van de phirc tap. De xac dinh bac p (bu6c tte) dm mo hinh VAR, ngu6i ta thuang dung ba tieu chuan (1) Sai s6 du bao cue)i ding (FPE); (2) tieu chuan Akaike (AIC); (3) tieu chart Schwartz (BIC). Bac dm VAR dugc xac dinh bang cach cgc lieu dm FPE, AIC, BIC.
Bithc 3, ix& luting mo hinh VAR bang phuong phap binh phuong nhO nit&
(OLS) hoac phuong phap trac luting hgp 1T cue dai (ML); Kiem dinh tinh phit hap cila mo hinh (kiem dinh nhiL tang dia phan du); So sanh cac mo hinh phit hap, lua chon mo hinh phi' hap nit& va phan tich ket qua ket qua uac luting dugc tir m6 hinh VAR.
3.3.2. Mo ti cac bi'n va so HO
De thuc hien nghien ciru dinh luting tac &Ong dia da clang h6a mat hang xuat khau den tang truang kinh to Viet Nam, Luan an sir dung s6 lieu theo quy (quarterly data series) trong giai doan tir quy 1 nam 1995 (1995Q1) den quy 4 nam 2011
(2011Q4). Ngu6n s6 lieu dugc sir dung trong nghien cuu nay dugc thu thap tir T6ng
cue th6ng ke (GSO), B6 cong thuong, T6ng cue Hai quan, quy tien to qu6c to IMF. Cu the la:
- Bien tang truang kinh to dugc sir dung trong luan an la logarit tang trtfang tong san ph'am que)c not cila Viet Nam (1nGRGDP). Se) lieu GDP lay theo quy, dugc thu thap tir ngu6n cita T6ng civic th6ng ke. vi chai du lieu GDP theo q4 c6 tinh mita vu kha manh, do dO truac khi chay mo hinh h6i quy, luan an tien hanh hieu chinh yeti to miia vv. Phtrong phap dugc chon a hieu chinh yeu to mita vu la phuong phap san mu Holt-Winters \Ted cac s6 lan lugt la: Alpha = 0.07, Beta = 0.27, Gamma = 0 (Ket qua hieu chinh yeu to mita vu, xem them a phan Phu luc).
- Do gioi han ve se) liu, nen luan an sir dung von dAti tu phat trien xa h6i (1nINVEST) dai dien cho bin von san xu'at (lnK) trong mo hinh h6i quy. S6 lieu von dau tu Oat trien xa h'6i theo quy dugc thu thap tir ngu6n dia. T6ng cuc th6ng ke. vi chai du lieu d'au tu theo quy c6 tinh mita vu kha cao, do do truck khi chay mo hinh h6i quy, luan an tien hanh hieu chinh yeu to mita vu theo phuong phap phuong phap
san mu Holt-Winters voi cac s6 Van lugt la: Alpha = 0.09, Beta = 0.38, Gamma = 0 (Ket qua hieu chinh yeu to mua vu, xem them a phAn Phu luc).
- Bien lao &Ong dugc sir dung trong luan an la logarit tang truang lao d6ng tir 15 tu6i tra len dang lam viec trong cac linh vuc dm nen kinh to (1nLABOR). S6 lieu nay
dugc thu thap tir ngu6n cita T6ng cuc th6ng ke.
- Bien kim ngach xuAt khdu dugc sir dung trong luan an la logarit tong kim ngach xuAt khAu dm Viet Nam (1nEXPORT). S6 lieu nay dugc thu thap tir ngu6n cita Tang cue Th6ng ke va T6ng cuc Hai quan.
- Bien cung tin dugc sir dung trong luan an la logarit cung tien M2 lAy theo qu3'T (lnM2). S6 lieu nay dugc thu thap to th6ng ke tai chinh qu6c to (IFS) dm quy tin to qu6c to (IMF).
- Bien da clang hoa mat hang xuAt khAu theo guy, day la bien khong có san. D6i \Ted bien s6 nay, luan an tinh toan va lira chon chi s6 ED = 1-HI lam dai dien cho bien da dang h6a mat hang xuAt khAu (trong do HI la chi s6 tap trung h6a xudt khdu Herfindahl)". Chi s6 nay dugc tinh toan dtra ten b6 so lieu cac mat hang xuAt khAu theo qty, thu thap tit T6ng cuc th6ng ke (GSO), B6 cong thuo'ng, T6ng cuc Hai quan.
De phan tich anh huang cita da clang hoa theo chieu r6ng va da clang h6a theo chieu sau den tang truang kinh te. Luan an tinh toan va ldy chi s6 Theilb lam dai dien cho bien da clang had theo theo chieu rOng (HED), va chi s6 Theilw dai dien cho bien da clang h6a mat hang xudt khAu theo chieu sau (VED)'5. Cac chi s6 nay dugc tinh toan dtra tren l36 s6 lieu cac mat hang xudt khdu theo qty, thu thap tir T6ng cuc th6ng ke (GSO), B6 cong thuong, T6ng cue Hai quan.
- Bien gia D06 la bien dinh tinh, nhan gia tri la 0 neu nam do nam trong giai clop tir 2006 tra ve truck, va nhan gia tri 1 nett nam trong cac nam tir 2007 den nay.
- Bien D00*ED la bien tuang tac giera da dang hoa mat hang xat kh'Au va bien gia D00. Bien D00*HED la bien tuang tac giira da clang hoa theo chieu e6ng va bien gia D00. Bien D00*VED la bien tuang tac giva da clang hoa theo chieu sau va bien gia D00. Trong dO bien gia D00 nhan gia tri la 1 nett nam dO nam trong giai doan 2000 tra ve tru6c, va nhan gia tri 1 neu nam trong cac nam to 2001 den nay.
14 ,Phtrung phap tinh toan cac chi so' do lu'erng da clang Ma mat hang xuat khau dugc trinh bay chi tiet trong chuong 1