CHƢƠNG 5 KẾT LUẬN VÀ HÀM Ý CHÍNH SÁCH
5.2. Hàm ý chính sách
Tóm lại, các phát hiện của chúng tơi cung cấp bằng chứng về mối quan hệ nhân quả miền tần số đơn chiều giữa giá chứng khốn và sản xuất cơng nghiệp, chỉ trong dài hạn (các miền tần số thấp), chiều từ giá chứng khốn đến sản xuất cơng nghiệp. Nghiên cứu của chúng tơi chỉ ra rằng giá chứng khốn là nhân tố dẫn dắt tăng trƣởng sản xuất công nghiệp. Trong trƣờng hợp này, để điều chỉnh sản xuất cơng nghiệp trong dài hạn, các
chính sách kinh tế Việt Nam nên tập trung vào môi trƣờng thị trƣờng chứng khoán. Bên cạnh đó, một tác động chu kỳ kinh doanh xuất hiện giữa thị trƣờng chứng khoán và hoạt động kinh tế, thậm chí nếu kết quả khơng có ý nghĩa thống kê tại mức 5%. Tuy nhiên, để tạo tính đến các tác động phản chu kỳ, các chính sách của chính phủ nên hƣớng vào cả hoạt động cơng nghiệp và thị trƣờng chứng khốn.
Nhằm góp phần phát triển thị trƣờng chứng khoán, tác giả xin đƣa ra các kiến nghị nhƣ sau:
Thứ nhất, hồn thiện khn khổ pháp lý, cần tập trung sửa đổi các quy định nhằm nâng cao chất lƣợng quản trị công ty theo chuẩn mực và thơng lệ quốc tế.
Thứ hai, hồn thiện các điều kiện để đƣa TTCK phái sinh vào hoạt động theo hƣớng triển khai các sản phẩm từ đơn giản đến phức tạp, giúp nhà đầu tƣ có cơng cụ phịng ngừa rủi ro.
Thứ ba, UBCK tiếp tục gắn kết với các bộ, ngành trong thúc đẩy tiến độ cổ phần hóa, thối vốn gắn với đăng ký giao dịch, niêm yết trên TTCK. Với các trƣờng hợp doanh nghiệp không tuân thủ việc gắn hoạt động chào bán cổ phần lần đầu ra công chúng với lên sàn, thì phải có chế tài xử lý nghiêm.
Thứ tƣ, nỗ lực nâng hạng thị trƣờng theo hƣớng phân định rõ hơn việc gì cần đề xuất Chính phủ hỗ trợ, việc nào Bộ Tài chính, UBCK, các thành viên thị trƣờng phải lo theo một lộ trình cụ thể.
Thứ năm, Bộ tài chính, UBCK phối hợp chặt chẽ với các bộ, ngành để thực hiện tốt hơn nữa hoạt động thanh kiểm tra, xử lý nghiêm các hành vi vi phạm.
[1] A.Bagehot, Description of Money Market with Currency Monopoly, Homewood, 1873.
[2] Aviral K.T, Mihai I.M, Claudiu T.A, Phouphet Kyophilavong (2015) ―Frequency domain causality analysis of stock market and economic
activity in India‖,International Review of Economics and Finance 39 (2015)
224–238
[3] A.Nasseh and J. Strauss, Stock prices and domestic and international macroeconomic activity: a cointegration approach, The Quarterly Review of Economics and Finance, 0(2), (2000), 229-45.
[4] A.Singh, Stock Markets, Financial Liberalisation and Economic Development, Economic Journal, 107(442), (1997), 771-782.
[5] Ahmed, S. (2008). Aggregate economic variables and stock market in India. International Research Journal of Finance and Economics, 14, 14–64.
[6] Antonios, A. (2010). Stock market and economic growth: An empirical analysis for Germany. Business and Economics Journal, BEJ-1, 1–12.
[7] B.S. Bernanke and K. N. Kuttner, What Explains the Stock Market’s Reaction to Federal Reserve Policy? Federal Reserve Bank of New York, 2003
[8] B.S. Lee, Causal relations among stock returns, interest rates, real activity and inflation, Journal of Finance, 47, (1992), 1591-1603.
[9] BERNANKE, B., and GERTLER, M. (1989) ―Agency Costs, Net Worth and Business Fluctuations,‖ American Economic Review, Vol. 79 (1): 14-31.
[10] Bhattachary, B. B., & Mukherjee, J. (2006). Indian stock price movement and the macroeconomic context — A time series analysis. Journal of International Business and Economics, 5, 167–181.
activity? Time series evidence from the G-7 countries. Journal of Banking and Finance, 23, 1771–1792.
[13] Hongbin, Stock Market Development and Economic Growth: Evidence of China, The Index of Science & Engineering, (SEI) Database, 2007.
[14] D.A. Dickey and W.A Fuller, The likelihood ratio statistics for autoregressive time series with a unit root test, Economic Review, 49, (1981), 1057-1072. [15] Dasgupta, R. (2013). The influence of macroeconomic variables on Indian stock
market — An empirical study. Asian Journal of Research in Banking and Finance, 3, 1–25.
[16] E.F. Fama, Stock returns, real activity, inflation and money, American Economic Review, 71, (1981), 545-565.
[17] Fama, E. (1990). Stock returns, expected returns, and real activity. Journal of Finance, 45, 1089–1108.
[18] G. Bekaert and C. Harvey, Capital Flows and the Behaviour of Emerging Market Equity Returns, NBER Working Paper Series, 6669, (1998).
[19] G. Muradoglu, K. Metin and R. Argac, Is there a long run relationship between stock returns and monetary variables: Evidence from an emerging market? Applied Financial Economics, 11(6), (2001), 641-49
[20] Goldsmith, R. W. (1969). Financial structure and development. New Haven: Yale University Press.
[21] Granger, C. W. J. (1969). Investigation causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424–438.
[22] Gurley, J., & Shaw, E. (1955). Financial aspects of economic development. American Economic Review, 45, 515–537.
real stock price changes with empirical evidence from the G-7 economies. The Quarterly Review of Economics and Finance, 42, 543–575.
[25] Henry, O., Olekalns, N., & Shields, K. (2010). Sign and phase asymmetry: News, economic activity and the stock market. Journal of Macroeconomics, 32, 1083–1100.
[26] J. Robinson, The generalization of the general theory: The Rate of Interest and Other Essays, MacMillan, London, UK. 1952
[27] Johansen, S. (1991). Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models. Econometrica, 59, 1551–1580.
[28] John Hicks, A Theory of Economic History, Clarendon Press, 1969.
[29] Joseph Stiglitz, The Role of the State in Financial Markets, Proceedings of the World Bank Annual Conference on Development Economics, 1993: Supplement to World Bank onomic Review and World Bank Research Observer, 1, (1994), 19-62.
[30] K. Adjasi and B. Biekepe, Stock exchange and economic growth: the case of selected African countries, University of Stellenbosch Business School, Cape Town, South Africa, 2006.
[31] K.B. Luintel and M. Khan, A quantitative reassessment of the finance-growth nexus, Evidence from a multivariate VAR, Journal of Development Economics, 60, (1999), 381-405.
[32] Kalra, R. (2012). Impact of macroeconomic variables on Indian stock market. IUP Journal of Financial Risk Management, 9, 43–54
[33] KIYOTAKI, N., and MOORE, J. (1997) ―Credit Cycles,‖ Journal of Political Economy, 105: 211-48.
[35] Lamont, O. A. (2001). Economic tracking portfolios. Journal of Econometrics, 105, 161–184.
[36] M. Everett Rogers, Diffusion of Innovations, 5th edition, The Free Press, New York, USA, 2003
[37] M. Khan and A. Senhadji, Financial Development and Economic Growth: An Overview, IMF Working Paper, 2000.
[38] M.S. A. Majid, Re-Examining the Finance-Growth Nexus: Empirical Evidence from Indonesia, Gadjah Mad International Journal of Business, 2(9), (2007), 137-156.
[39] Mehr, Stock market consequences of macroeconomic fundamentals, Institute of Business and Technology Karachi, Pakistan, 2005
[40] Michael Ehrmann and Marcel Fratzscher, Taking Stock: Monetary Policy Transmission to Equity Markets, Journal of Money, Credit, and Banking 36(4), (2004), 719-737.
[41] MODIGLIANI, F. (1971) ―Consumer Spending and Monetary Policy: the Linkages,‖ Federal Reserve Bank of Boston Conference Series: Paper No. 5 [42] Mohanamani. P 1 , Dr. T. Sivagnanasithi (2014) ―Indian Stock market and
Aggregate macroeconomic variables: Time Series Analysis‖, IOSR Journal of Economics and Finance (IOSR-JEF) e-ISSN: 2321-5933, p-ISSN: 2321 5925.Volume 3, Issue 6. (May-Jun. 2014), PP 68-74 www.iosrjournals.org [43] N.F. Chen, R. Richard and S.A. Ross, Economic forces and the‖, stock market.
Journal of Business, 59, (1986), 383-403.
[44] N.F. Chen, R. Richard and S.A. Ross, Economic forces and the stock market.Journal of Business, 59, (1986), 383-403.
[46] Naik, P. K., & Padhi, P. (2012). The impact of macroeconomic fundamentals on stock prices revisited: Evidence from Indian data. Eurasian Journal of Business and Economics, 5, 25–44.
[47] Naka, A., Mukherjee, T. K., & Tufte, D. R. (1998). Macroeconomic variables and the performance of the Indian stock market. Working paper 1998–06. University of New Orleans, Department of Economics and Financial
[48] Pethe, A., Karnik, A., 2000. ―Do Indian Stock Markets Matter? - Stock Market Indices and Macro-economic Variables‖, Economic and Political Weekly 35:5, pp. 349-356.
[49] P. Howells and B. Keith, Financial Markets and Institutions, 3rd Edition, Prentice Hall, 2000.
[50] P. Mauro, Stock Returns and Output Growth in Emerging and Advanced Economies, IMF Working Paper, 89, (2000).
[51] P.J. Dawson, Financial development and economic growth in developing countries, Progress in Development Studies, 4(8), (2008), 325-331.
[52] Padhan, P. C. (2007). The nexus between stock market and economic activity: An empirical analysis for India. International Journal of Social Economics, 34, 741–753.
[53] Pal, K., & Mittal, R. (2011). Impact of macroeconomic indicators on Indian capital markets. Journal of Risk Finance, 12, 84–97.
[54] Panopoulou, E. (2009). Financial variables and euro area growth: A non- parametric causality analysis. Economic Modelling, 26, 1414–1419.
[56] Pethe, A., & Karnik, A. (2000). Do Indian stock market maters? Stock market indices and macroeconomic variables. Economic and Political Weekly, 35, 349– 356.
[57] R. Levine and S. Zervos, Stock Market Development and Long-Run Growth, World Bank, Policy Research Working Paper, 1582, (1996)
[58] R. Levine and S. Zervos, Stock markets, banks and economic growth, American Economic Review, 88, (1998), 537-558.
[59] R. Levine, Stock Markets, Growth and Tax Policy, Journal of Finance, 46(4), (1991), 1445-1465.
[60] R.M. Solow, A contribution to the Theory of Economic Growth, Quarterly Journal of Economics, 70, (1956), 65-94.
[61] Ray, P. (2012). Testing Granger causal relationship between macroeconomic variables and stock price behaviour: Evidence from India. Advances in Applied Economics and Finance, 3, 470–481
[62] Ray, P., & Sarkar, J. (2014). Macroeconomic link to Indian capital market: A post-liberalization evidence. Modern Economy, 5, 272–288.
[63] Reboredo, J. C., & Rivera-Castro, M. A. (2014). Wavelet-based evidence of the impact of oil prices on stock returns. International Review of Economics and Finance, 29, 145–176.
[64] S. Charkravarty, Stock market and macroeconomic behavior in India, Institute of Economic Growth, Delhi, India, 2005
[65] S. Van Nieuwerburgh, F. Buelens, and L. Cuyvers, Stock market development and economic growth in Belgium, Explorations in Economic History, 43, (2006), 13-38.
Statistics, 6, 461–464
[68] Schwert, W. G. (1990). Stock returns and real activity: A century of evidence. Journal of Finance, 45, 1237–1257.
[69] Shleifer and Summers, Breach of Thrust in Hostile Corporate: Causes and Consequences, University of Chicago Press, pp.33-56, Chicago, 1988.
[70] Singh, D. (2010). Causal relationship between macro-economic variables and stock market: A case study for India. Pakistan Journal of Social Sciences, 30, 263–274.
[71] Srivastava, A. (2010). Relevance of macro economic factors for the Indian stock market. Decision, 37, 69–89.
[72] TOBIN, J. (1969) ―A General Equilibrium Approach to Monetary Theory,‖ Journal of Money, Credit, and Banking, Vol. 1: 15-29.
[73] Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225–250.
[74] Tripathy, N. (2011). Causal relationship between macro-economic indicators and stock market in India. Asian Journal of Finance & Accounting, 3, 208–226 [75] Tsouma, E. (2009). Stock returns and economic activity in mature and emerging
markets. The Quarterly Review of Economics and Finance, 49, 668–685.
[76] V.R Bencivenga and B.D. Smith, Financial Intermediation and Endogenous Growth, Review of Economic studies, 52(2), (1991), 195-209.
[77] Valerino F. Garcia and L. Liu, Macroeconomic Determinants of Stock Market, Journal of Applied Economics, 2, (1999), 29-59.
Tài liệu trong nước
[1] Diệp Trí Minh (2000), Quan hệ giữa hình thành thị trường chứng khoán với phát triển kinh tế Tạp chí Phát triển kinh tế- ĐH Kinh Tế TP.HCM (05/2000) [2] Nguyễn Phong Châu (1996) TTCK mới nổi và tăng trưởng kinh tế và ứng dụng
cho Việt Nam, Luận văn thạc sỹ kinh tế- Cao Học Hà Lan, Trường ĐH Kinh Tế TPHCM.
[3] Nguyễn Thị Lệ Hoa (2008), Những giải pháp để thúc đẩy TTCK Việt Nam pháttriển bền vững, tạp chí Phát triển kinh tế- ĐH Kinh Tế TP.HCM (05/2008). [4] Phan Thị Bích Nguyệt và Phạm Dương Phương Thảo (2013), ― Phân tích tác
động của các nhân tố kinh tế vĩ mơ đến thị trường chứng khốn Việt Nam‖, Tạp chí phát triển và Hội Nhập, số 8 (18) - Tháng 01- 02/2013, Trang 34- 45
[5] Su Dinh Thanh, Nguyen Thi Mai Hoai, Nguyen Van Bon. / Journal of Economic Development 24(1), (2016) 32-53
[6] Trần Thị Mộng Tuyết (2008) phát triển TTCK Việt Nam đến năm 2020, , Tạp chí Phát triển kinh tế- ĐH Kinh Tế TP.HCM (07/2008).
[7] Trần Thị Quế Giang (2013) Tài chính tồn cầu và vai trị của tài chính đối với phát triển kinh tế, Tạp chí Phát triển kinh tế- ĐH Kinh Tế TP.HCM (03/2007), trang 28 -37.
[8] Trần Thị Thuỳ Linh (2007), Phát triển TTCK VN trong giai đoạn hội nhập đến năm 2020, Tạp chí Phát triển kinh tế- ĐH Kinh Tế TP.HCM (03/2007)
[9] Trần Thọ Đạt (2010), Mơ hình tăng trưởng kinh tế (Chương trình sau đại học), Nhà Xuất Bản Đại Học Kinh Tế Quốc Dân Lao Động- Xã Hội, trang 22-23 [10] Trần Văn Hoàng và Tống Bảo Trân (2014) sử dụng kiểm định nhân quả để phân
[11] Võ Thị Hà Hạnh (2010) Những nhân tố quyết định của sự phát triển TTCK ở những nước ASEAN, Tạp chí Phát triển kinh tế- ĐH Kinh Tế TP.HCM (06/2010)
CPI REER R IPI SP TB Mean 8.761610 115.7892 21883.97 10.84028 525.8780 -0.479696 Median 7.305000 112.1416 21686.76 8.960497 500.8879 -0.487034 Maximum 28.32035 148.0773 41083.89 37.08207 1110.986 1.863868 Minimum -0.002206 89.66691 7796.400 -10.14000 234.6220 -2.850000 Std. Dev. 6.619111 16.52726 9158.209 7.132187 185.6823 0.793283 Skewness 1.243685 0.394969 0.304584 1.312910 1.231878 -0.223983 Kurtosis 4.019695 1.914330 2.010659 5.710532 4.860194 3.487733 Jarque-Bera 43.36072 10.81608 8.099282 85.45149 57.18249 2.631342 Probability 0.000000 0.004480 0.017429 0.000000 0.000000 0.268294 Sum 1261.672 16673.64 3151292. 1561.001 75726.44 -69.07619 Sum Sq. Dev. 6265.205 39060.49 1.20E+10 7274.137 4930341. 89.98970 Observations 144 144 144 144 144 144
KIỂM ĐỊNH TÍNH DƯNG Kiểm định ADF và KPSS CPI-ADF test level
Null Hypothesis: CPI has a unit root Exogenous: Constant
Lag Length: 6 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.216728 0.2014 Test critical values: 1% level -3.478547
5% level -2.882590 10% level -2.578074 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI)
Method: Least Squares Date: 04/11/17 Time: 17:22
Sample (adjusted): 2005M08 2016M12 Included observations: 137 after adjustments
D(CPI(-6)) -0.331750 0.083230 -3.985939 0.0001 C 0.210406 0.115619 1.819816 0.0711 R-squared 0.705976 Mean dependent var -0.020185 Adjusted R-squared 0.690021 S.D. dependent var 1.251893 S.E. of regression 0.697001 Akaike info criterion 2.172560 Sum squared resid 62.66953 Schwarz criterion 2.343070 Log likelihood -140.8203 Hannan-Quinn criter. 2.241851 F-statistic 44.24847 Durbin-Watson stat 1.994246 Prob(F-statistic) 0.000000
CPI-ADF test at 1st difference
Null Hypothesis: D(CPI) has a unit root Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.138945 0.0000 Test critical values: 1% level -3.478547
5% level -2.882590 10% level -2.578074 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI,2)
Method: Least Squares Date: 04/11/17 Time: 17:23
Sample (adjusted): 2005M08 2016M12 Included observations: 137 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(CPI(-1)) -0.322254 0.062708 -5.138945 0.0000 D(CPI(-1),2) 0.124118 0.086228 1.439428 0.1524 D(CPI(-2),2) 0.016413 0.082094 0.199931 0.8418 D(CPI(-3),2) 0.331705 0.082081 4.041191 0.0001 D(CPI(-4),2) -0.004472 0.082720 -0.054059 0.9570 D(CPI(-5),2) 0.385669 0.080786 4.773958 0.0000 C -0.009204 0.060498 -0.152141 0.8793 R-squared 0.311313 Mean dependent var 0.002313 Adjusted R-squared 0.279527 S.D. dependent var 0.833423
CPI-KPSS test at level
Null Hypothesis: CPI is stationary Exogenous: Constant
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel
LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.429470 Asymptotic critical values*: 1% level 0.739000 5% level 0.463000 10% level 0.347000 *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
Residual variance (no correction) 43.50837 HAC corrected variance (Bartlett kernel) 351.3847
KPSS Test Equation Dependent Variable: CPI Method: Least Squares Date: 04/11/17 Time: 17:24 Sample: 2005M01 2016M12 Included observations: 144
Variable Coefficient Std. Error t-Statistic Prob. C 8.761610 0.551593 15.88421 0.0000 R-squared 0.000000 Mean dependent var 8.761610 Adjusted R-squared 0.000000 S.D. dependent var 6.619111 S.E. of regression 6.619111 Akaike info criterion 6.624719 Sum squared resid 6265.205 Schwarz criterion 6.645343 Log likelihood -475.9798 Hannan-Quinn criter. 6.633100 Durbin-Watson stat 0.034233
CPI-KPSS test at 1st difference
Null Hypothesis: D(CPI) is stationary Exogenous: Constant
10% level 0.347000 *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
Residual variance (no correction) 1.498654 HAC corrected variance (Bartlett kernel) 6.749429
KPSS Test Equation Dependent Variable: D(CPI) Method: Least Squares Date: 04/11/17 Time: 17:24
Sample (adjusted): 2005M02 2016M12 Included observations: 143 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. C -0.034722 0.102732 -0.337988 0.7359 R-squared 0.000000 Mean dependent var -0.034722 Adjusted R-squared 0.000000 S.D. dependent var 1.228498 S.E. of regression 1.228498 Akaike info criterion 3.256430 Sum squared resid 214.3075 Schwarz criterion 3.277149 Log likelihood -231.8348 Hannan-Quinn criter. 3.264850 Durbin-Watson stat 0.445788
IPI-ADF test at level
Null Hypothesis: IPI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.986796 0.0000 Test critical values: 1% level -3.476472
5% level -2.881685 10% level -2.577591 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IPI)
IPI(-1) -0.589210 0.073773 -7.986796 0.0000 C 6.226831 0.958417 6.496998 0.0000 R-squared 0.311486 Mean dependent var -0.172939 Adjusted R-squared 0.306603 S.D. dependent var 7.551227 S.E. of regression 6.287941 Akaike info criterion 6.529032 Sum squared resid 5574.887 Schwarz criterion 6.570470 Log likelihood -464.8258 Hannan-Quinn criter. 6.545870 F-statistic 63.78892 Durbin-Watson stat 2.150767 Prob(F-statistic) 0.000000
IPI-KPSS test at level
Null Hypothesis: ADF_IPI is stationary Exogenous: Constant
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel
LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.899874 Asymptotic critical values*: 1% level 0.739000 5% level 0.463000 10% level 0.347000 *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
Residual variance (no correction) 50.51484 HAC corrected variance (Bartlett kernel) 237.1354
KPSS Test Equation
Dependent Variable: ADF_IPI Method: Least Squares Date: 04/11/17 Time: 17:27 Sample: 2005M01 2016M12 Included observations: 144
Variable Coefficient Std. Error t-Statistic Prob. C 10.84028 0.594349 18.23892 0.0000 R-squared 0.000000 Mean dependent var 10.84028 Adjusted R-squared 0.000000 S.D. dependent var 7.132187
R-ADF test at level
Null Hypothesis: R has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.767014 0.8249 Test critical values: 1% level -3.476805
5% level -2.881830 10% level -2.577668 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(R)
Method: Least Squares Date: 04/11/17 Time: 17:29
Sample (adjusted): 2005M03 2016M12 Included observations: 142 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. R(-1) -0.007323 0.009547 -0.767014 0.4444 D(R(-1)) 0.466489 0.075781 6.155714 0.0000 C 288.1470 224.1419 1.285556 0.2007 R-squared 0.214239 Mean dependent var 234.2189 Adjusted R-squared 0.202933 S.D. dependent var 1135.861 S.E. of regression 1014.081 Akaike info criterion 16.70225 Sum squared resid 1.43E+08 Schwarz criterion 16.76470 Log likelihood -1182.860 Hannan-Quinn criter. 16.72763 F-statistic 18.94924 Durbin-Watson stat 1.970830 Prob(F-statistic) 0.000000
R-ADF test at 1st difference
Null Hypothesis: D(R) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(R,2)
Method: Least Squares Date: 04/11/17 Time: 17:30
Sample (adjusted): 2005M03 2016M12