Bang 4.3 Két qua kiém éi•h tinh dirng cua c‹ac bién
4.5 Kiem djnh hi(n tupog tjy twong
Ciic giii thiét ctrl kiém djnh nhii sau:
@: Khf›ng cé hi9> ×png try tuong quan ii muc tré duqc xein xét; H;: Co hi n tuprig tp tuong quan ii muc tré duqc xem xét.
Néu p-value nho hon muc y nghia thi b:ie bo gid thiét , tiic ID mo hinh
EAR dog xem xét con ttin tar hi(n tupng t tuong quan va ngupc lai.
Do mo hinh VAR dupc xay d g co do tré toi uu la mo( t, nén trong kiérn
'co y nghia
37
VAR Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag order h Date: 05/10/14 Time: 23:38 Sample: 2008M0l 20l3Ml2 Included observations: 70 Legs 40.5580 0.2763 2 29.8436 0.7555
Probs from chi-square with 36 df.
Theo ket qua kiém djmh, khong céi tp tuong quan phan du do p-value o timg d tre deu 1‹in hon o (o = l0°z'«) ta chap nh gia thiet He, vi thé phan du md›
hinh l$ nhieu trdng.
4.6Mo hlnh VAR
Theo két qué hoi quy ciia mo hinh VAR, co 6 phuong trinh Sqe su dpng trong nghién ciru nay. San day, chung ta sé xem xét phuong trinh the hi(n
moi quan h( giiia chi so gi:I chting kho:in vdi dg tre cua chinh no va dg
ccfiiiaa cc::iiee nnhhféinn ttoo kkiinnhh ttee vi mo kh:ie.
Trong mii hinh nghien emu, gié tri. t-statistic tuong ting véi ciic muc y nghia
liin luqt nhu sau:
- |t — statistic| fi 2.639 he |t — statistic|
- |I — statistic| ± 1.664 h( so cé y nghia thong ké ’a rniic 10%».
39 [-1.31056] [ 2.23745] ( 2.31863] [ 4.94495] [ 0.78598] [-0.9221 I] R-squared 0.1729 0.1689 0. 1070 0.2692 0. 1298 0.0721 Adj. R- squared 0.0941 0.0898 0.0219 0.1996 0.0470 -0.0163 5196.0780 4073.8640 92.1922 0,0020 58.1854 32.6692 S.E. equation 9,0817 8.0414 1.2097 0.0057 0.9610 0.7201 F-statistic 2.1952 2,1344 1.2580 3.8681 1.5666 0.8161 likelihood -250.0764 -24 J.5605 -108.9640 266.0717 -92.8556 -72.6535 Akaike AIC 7.3450 7.1017 3.3133 -7.4020 2.8530 2.2758 Schwarz SC 7.5699 7.3266 3.5381 -7.1772 3.0779 2.5007 Mean dependent 0.0663 2.3994 0.4110 0.0069 -0.0495 -0.0436 S.D. dependent 9.5420 8.4287 I ,2232 0.0064 0.9844 0.7143
Determinant resid covariance (dof adj.) 0.0705 Determinant resid covariancé 0.0374
Log likelihood -4s0.9s44
Akaike information criterion 14,9424
SchWflfZ t2riterion 16.2s I s
(*, **, *** trong ii:rig vcri céc mdc j nghi“a lén luo.I la I0’Z«, 5’Z«, /%).
' Ket qua nghién ciiu cho thay c:ie bien IIP(-I) va EX(-1) cé› thé gi:ii thich duqc cho nhiiiig thay dot trong chi so gia chtiiig khoén mot c:ich co y nghia. ' Phuong trinh co the Tac v’iéi lpi nhu sau:
VNI = 0.32 * VNI(-1) + 0.31 * IIP(-1) + 1.78 * EX(-1)
+ 145.7 * DM2_SA(- I) — 0.07 * DI_SA(-1) + 0.67 *DCPI(-1)
Theo phuong trinh trén, trong khoéng thoi gian tir th:ing 01/2008 dén théng 12/2013, khi chi so VNI tang 1% thi trong dieu ki(n c:ic yéu to khéc khong
doi, chi so VN-Index cua thang lien sau do sé tang 0.32%. Tuong tu néu giii tri san xuat cong nghi(p tiing 1% sé kéo theo chi so VN-Index cua th:ing sau
40
mat gi$ 1ºz'» so véi Oéi la My) thi chi so VN-Index c»× thi ny sau tiing I.78'z'», véi diéu ki(n cfc yéu t6 khé c k hfing dci.