• Kiểm định chuỗi CPI và CN
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:09 Sample: 2007M01 2011M12 Lags: 2
Covariance Analysis: Ordinary Date: 04/20/12 Time: 01:48 Sample: 2007M01 2011M12 Included observations: 60 Correlation
t-Statistic
Probability CN CPI CT LT USD VANG XANG
CN 1.000000 --- --- CPI -0.220862 1.000000 -1.724621 --- 0.0899 --- CT 0.060752 -0.308455 1.000000 0.463530 -2.469537 --- 0.6447 0.0165 --- LT -0.008393 0.720066 -0.216920 1.000000 -0.063920 7.902897 -1.692306 --- 0.9493 0.0000 0.0960 --- USD 0.057219 -0.019550 -0.024393 0.186320 1.000000 0.436479 -0.148918 -0.185825 1.444263 --- 0.6641 0.8821 0.8532 0.1540 --- VANG 0.084466 0.083736 0.009986 0.099522 0.269063 1.000000 0.645584 0.639962 0.076058 0.761719 2.127580 --- 0.5211 0.5247 0.9396 0.4493 0.0376 --- XANG 0.005446 0.250062 -0.208405 0.091661 0.107250 0.249117 1.000000 0.041476 1.966903 -1.622801 0.701020 0.821528 1.958982 --- 0.9671 0.0540 0.1101 0.4861 0.4147 0.0549 ---
Null Hypothesis: Obs F-StatisticProb. CPI does not Granger Cause CN 58 0.30723 0.7368 CN does not Granger Cause CPI 2.98747 0.0590
• Kiểm định chuỗi CPI và CT
Pairwise Granger Causality Tests Date: 04/21/12 Time: 15:47 Sample: 2007:01 2011:12 Lags: 2
Null Hypothesis: Obs F-Statistic Probability CT does not Granger Cause CPI 58 1.52070 0.22794 CPI does not Granger Cause CT 4.18401 0.02055
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:13 Sample: 2007M01 2011M12 Lags: 3
Null Hypothesis: Obs F-StatisticProb.
CT does not Granger Cause CPI 57 1.63504 0.1931 CPI does not Granger Cause CT 3.21577 0.0305 Pairwise Granger Causality Tests
Date: 04/20/12 Time: 02:11 Sample: 2007M01 2011M12 Lags: 5
Null Hypothesis: Obs F-StatisticProb.
CT does not Granger Cause CPI 55 1.78376 0.1360 CPI does not Granger Cause CT 3.06469 0.0185
Date: 04/20/12 Time: 02:14 Sample: 2007M01 2011M12 Lags: 6
Null Hypothesis: Obs F-StatisticProb.
CT does not Granger Cause CPI 54 1.35702 0.2548 CPI does not Granger Cause CT 2.80548 0.0222
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:14 Sample: 2007M01 2011M12 Lags: 7
Null Hypothesis: Obs F-StatisticProb.
CT does not Granger Cause CPI 53 1.24358 0.3040 CPI does not Granger Cause CT 2.96170 0.0140
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:14 Sample: 2007M01 2011M12 Lags: 8
Null Hypothesis: Obs F-StatisticProb.
CT does not Granger Cause CPI 52 1.04145 0.4248 CPI does not Granger Cause CT 2.46267 0.0313
• Kiểm định chuỗi CPI và LT
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:18 Sample: 2007M01 2011M12 Lags: 4
Null Hypothesis: Obs F-StatisticProb. LT does not Granger Cause CPI 56 0.20511 0.9343 CPI does not Granger Cause LT 2.97552 0.0286
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:17 Sample: 2007M01 2011M12 Lags: 6
Null Hypothesis: Obs F-StatisticProb.
LT does not Granger Cause CPI 54 0.43883 0.8485 CPI does not Granger Cause LT 2.84898 0.0206 (adsbygoogle = window.adsbygoogle || []).push({});
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:18 Sample: 2007M01 2011M12 Lags: 7
Null Hypothesis: Obs F-StatisticProb.
LT does not Granger Cause CPI 53 0.37243 0.9127 CPI does not Granger Cause LT 2.29293 0.0473
• Kiểm định chuỗi CPI và VANG:
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:21 Sample: 2007M01 2011M12 Lags: 6
Null Hypothesis: Obs F-StatisticProb.
VANG does not Granger Cause CPI 54 1.52607 0.1940 CPI does not Granger Cause VANG 2.33306 0.0497
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:21 Sample: 2007M01 2011M12 Lags: 7
Null Hypothesis: Obs F-StatisticProb.
VANG does not Granger Cause CPI 53 1.48305 0.2027 CPI does not Granger Cause VANG 2.67527 0.0236
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:21 Sample: 2007M01 2011M12 Lags: 8
Null Hypothesis: Obs F-StatisticProb.
VANG does not Granger Cause CPI 52 1.28116 0.2848 CPI does not Granger Cause VANG 2.33164 0.0402
• Kiểm định chuỗi CPI và XANG
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:22 Sample: 2007M01 2011M12 Lags: 3
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 57 2.36257 0.0823 CPI does not Granger Cause XANG 4.04303 0.0119
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:22 Sample: 2007M01 2011M12 Lags: 4
Null Hypothesis: Obs F-StatisticProb. XANG does not Granger Cause CPI 56 2.02425 0.1063 CPI does not Granger Cause XANG 3.38955 0.0162 Pairwise Granger Causality Tests
Date: 04/20/12 Time: 02:23 Sample: 2007M01 2011M12 Lags: 5
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 55 1.55218 0.1936 CPI does not Granger Cause XANG 4.05121 0.0041
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:23 Sample: 2007M01 2011M12 Lags: 6
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 54 1.54361 0.1885 CPI does not Granger Cause XANG 4.02825 0.0029
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:23 Sample: 2007M01 2011M12 Lags: 7
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 53 1.73324 0.1304 CPI does not Granger Cause XANG 3.49830 0.0054
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:23 Sample: 2007M01 2011M12 Lags: 8
Null Hypothesis: Obs F-StatisticProb. (adsbygoogle = window.adsbygoogle || []).push({});
XANG does not Granger Cause CPI 52 2.25315 0.0466 CPI does not Granger Cause XANG 3.73359 0.0030
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:23 Sample: 2007M01 2011M12 Lags: 9
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 51 2.46217 0.0293 CPI does not Granger Cause XANG 2.95265 0.0114
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:23 Sample: 2007M01 2011M12 Lags: 10
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 50 2.14455 0.0533 CPI does not Granger Cause XANG 3.75721 0.0025
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:24 Sample: 2007M01 2011M12 Lags: 11
Null Hypothesis: Obs F-StatisticProb. XANG does not Granger Cause CPI 49 1.90978 0.0855 CPI does not Granger Cause XANG 3.46717 0.0045
Pairwise Granger Causality Tests Date: 04/20/12 Time: 02:24 Sample: 2007M01 2011M12 Lags: 12
Null Hypothesis: Obs F-StatisticProb.
XANG does not Granger Cause CPI 48 1.23263 0.3204 CPI does not Granger Cause XANG 3.79403 0.0029
Phụ lục 4: Kết quả ước lượng các mô hình VAR phân tích ảnh hưởng của các nhân tố tới mức tăng CPI phân loại theo mức độ trễ