Luận án Tác động của đầu tư trực tiếp nước ngoài đến phát triển kinh tế - xã hội: Nghiên cứu trường hợp tỉnh Hải Dương

5.780688 0.0286 C -0.535286 0.167879 -3.188513 0.0859 @TREND -0.021110 0.007145 -2.954398 0.0980 LNFDI(-1) 0.119985 0.034927 3.435345 0.0753 DLNDSDT(-1) -3.080420 0.419888 -7.336292 0.0181 R-squared 0.993134 Mean dependent var 0.003204 Adjusted R-squared 0.955371 S.D. dependent var 0.054908 S.E. of regression 0.011600 Akaike info criterion -6.307291 Sum squared resid 0.000269 Schwarz criterion -5.759528 Log likelihood 56.15104 Hannan-Quinn criter. -6.357997 F-statistic 26.29897 Durbin-Watson stat 2.702977 Prob(F-statistic) 0.037184 182 PHỤ LỤC 4 XÁC ĐỊNH HỆ SỐ DÀI HẠN VÀ NGẮN HẠN BẰNG PHẦN MỀM EVIEWS 9 1. Mô hình LNGRDP – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: LNGRDP Selected Model: ARDL(2, 0) Date: 02/23/18 Time: 01:11 Sample: 1997 2016 Included observations: 18 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(LNGRDP(-1)) 0.422057 0.212640 1.984842 0.0687 D(LNFDI) 0.007575 0.015254 0.496553 0.6278 D(@TREND()) 0.061773 0.016333 3.782080 0.0023 CointEq(-1) -0.688167 0.156687 -4.391974 0.0007 Cointeq = LNGRDP - (0.0110*LNFDI + 9.3086 + 0.0898*@TREND ) Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI 0.011007 0.023726 0.463915 0.6504 C 9.308568 0.098028 94.958335 0.0000 @TREND 0.089764 0.005223 17.187877 0.0000 2. Mô hình LNVDTTN – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: LNVDTTN Selected Model: ARDL(5, 3) Date: 02/23/18 Time: 02:36 Sample: 1997 2016 Included observations: 15 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(LNVDTTN(-1)) 0.725657 0.244108 2.972691 0.0410 D(LNVDTTN(-2)) 0.506253 0.187278 2.703209 0.0539 D(LNVDTTN(-3)) 0.357611 0.135206 2.644927 0.0573 D(LNVDTTN(-4)) 0.273599 0.176024 1.554326 0.1951 D(LNFDI) 0.005579 0.124803 0.044704 0.9665 D(LNFDI(-1)) -0.118084 0.079223 -1.490528 0.2103 D(LNFDI(-2)) 0.224362 0.075976 2.953049 0.0418 D(@TREND()) 0.203100 0.050451 4.025665 0.0158 CointEq(-1) -1.448905 0.372054 -3.894341 0.0176 Cointeq = LNVDTTN - (-0.0163*LNFDI + 7.2966 + 0.1402*@TREND ) Long Run Coefficients 183 Variable Coefficient Std. Error t-Statistic Prob. LNFDI -0.016292 0.083126 -0.195990 0.8542 C 7.296640 0.452982 16.108001 0.0001 @TREND 0.140175 0.015679 8.940024 0.0009 3. Mô hình DLNICOR – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: LNICOR Selected Model: ARDL(3, 4) Date: 03/04/18 Time: 16:26 Sample: 1997 2016 Included observations: 13 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(LNICOR(-1)) 1.164841 0.202003 5.766460 0.0104 D(LNICOR(-2)) 0.303230 0.120459 2.517283 0.0864 D(LNFDI) 0.130446 0.107146 1.217470 0.3105 D(LNFDI(-1)) -0.418840 0.110685 -3.784057 0.0324 D(LNFDI(-2)) 0.365162 0.123108 2.966190 0.0592 D(LNFDI(-3)) -0.739570 0.103691 -7.132448 0.0057 D(@TREND()) -0.109295 0.039666 -2.755398 0.0704 CointEq(-1) -2.368349 0.287388 -8.240960 0.0037 Cointeq = LNICOR - (0.4502*LNFDI -1.4373 -0.0461*@TREND ) Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI 0.450188 0.075005 6.002116 0.0093 C -1.437266 0.376063 -3.821875 0.0315 @TREND -0.046148 0.017655 -2.613924 0.0794 4. Mô hình LNCNXD – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: LNCNXD Selected Model: ARDL(3, 5) Date: 02/23/18 Time: 01:46 Sample: 1997 2016 Included observations: 15 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(LNCNXD(-1)) 0.587528 0.227980 2.577101 0.0615 D(LNCNXD(-2)) -0.137516 0.171774 -0.800560 0.4682 D(LNFDI) -0.031231 0.010710 -2.916124 0.0434 D(LNFDI(-1)) 0.009528 0.010901 0.874079 0.4314 D(LNFDI(-2)) 0.001392 0.009935 0.140083 0.8954 D(LNFDI(-3)) 0.003314 0.008979 0.369051 0.7308 D(LNFDI(-4)) 0.029437 0.009478 3.105898 0.0360 D(@TREND()) 0.054370 0.009804 5.545556 0.0052 CointEq(-1) -1.785515 0.327214 -5.456724 0.0055 184 Cointeq = LNCNXD - (-0.0479*LNFDI + 3.8055 + 0.0305*@TREND ) Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI -0.047888 0.010696 -4.477032 0.0110 C 3.805469 0.053420 71.237445 0.0000 @TREND 0.030451 0.002551 11.937782 0.0003 5. Mô hình DLNTMDV – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: DLNTMDV Selected Model: ARDL(2, 0) Date: 02/23/18 Time: 02:29 Sample: 1997 2016 Included observations: 17 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(DLNTMDV(-1)) 0.490363 0.233115 2.103526 0.0572 D(LNFDI) 0.018564 0.008291 2.239091 0.0449 D(@TREND()) -0.005192 0.002121 -2.448375 0.0307 CointEq(-1) -2.166774 0.397609 -5.449503 0.0001 Cointeq = DLNTMDV - (0.0086*LNFDI -0.0326 -0.0024*@TREND ) Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI 0.008568 0.003584 2.390472 0.0341 C -0.032580 0.018974 -1.717074 0.1116 @TREND -0.002396 0.000919 -2.608683 0.0229 6. Mô hình DLNOPEN – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: DLNOPEN Selected Model: ARDL(4, 4) Date: 02/23/18 Time: 02:20 Sample: 1997 2016 Included observations: 15 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(DLNOPEN(-1)) 2.364054 0.618435 3.822640 0.0187 D(DLNOPEN(-2)) 0.976126 0.379053 2.575170 0.0616 D(DLNOPEN(-3)) 0.241754 0.136234 1.774548 0.1506 D(LNFDI) 0.119792 0.027604 4.339736 0.0123 D(LNFDI(-1)) -0.183213 0.034927 -5.245559 0.0063 D(LNFDI(-2)) 0.046565 0.042734 1.089656 0.3371 D(LNFDI(-3)) -0.091815 0.020388 -4.503486 0.0108 D(@TREND()) -0.165636 0.023954 -6.914623 0.0023 CointEq(-1) -4.862949 0.780692 -6.229025 0.0034 Cointeq = DLNOPEN - (0.1319*LNFDI -0.4578 -0.0341*@TREND ) 185 Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI 0.131873 0.007768 16.976207 0.0001 C -0.457837 0.039998 -11.446498 0.0003 @TREND -0.034061 0.001846 -18.450968 0.0001 7. Mô hình DLNKT – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: DLNKT Selected Model: ARDL(1, 4) Date: 02/23/18 Time: 02:06 Sample: 1997 2016 Included observations: 16 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(LNFDI) 0.342389 0.146501 2.337117 0.0476 D(LNFDI(-1)) -0.171859 0.151704 -1.132862 0.2901 D(LNFDI(-2)) 0.147153 0.170943 0.860831 0.4144 D(LNFDI(-3)) 0.065741 0.116005 0.566702 0.5865 D(@TREND()) -0.006299 0.052483 -0.120019 0.9074 CointEq(-1) -1.078469 0.279681 -3.856065 0.0048 Cointeq = DLNKT - (0.1324*LNFDI -0.9467 -0.0058*@TREND ) Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI 0.132376 0.197979 0.668637 0.5225 C -0.946733 0.939976 -1.007189 0.3433 @TREND -0.005841 0.048136 -0.121336 0.9064 8. Mô hình LNLD – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: LNLD Selected Model: ARDL(6, 1) Date: 02/23/18 Time: 02:57 Sample: 1997 2016 Included observations: 14 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(LNLD(-1)) 3.767437 1.450316 2.597666 0.0602 D(LNLD(-2)) 3.230149 1.230078 2.625972 0.0584 D(LNLD(-3)) 2.950709 1.061624 2.779430 0.0498 D(LNLD(-4)) 1.705313 0.707405 2.410660 0.0735 D(LNLD(-5)) 0.468175 0.345119 1.356562 0.2464 D(LNFDI) -0.010947 0.006561 -1.668337 0.1706 D(@TREND()) 0.075280 0.024449 3.079053 0.0370 CointEq(-1) -5.567217 1.785986 -3.117167 0.0356 Cointeq = LNLD - (-0.0042*LNFDI + 6.7481 + 0.0135*@TREND ) 186 Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI -0.004208 0.000981 -4.290232 0.0127 C 6.748063 0.004450 1516.448353 0.0000 @TREND 0.013522 0.000159 85.077489 0.0000 9. Mô hình DLNDSDT – LNFDI ARDL Cointegrating And Long Run Form Dependent Variable: DLNDSDT Selected Model: ARDL(5, 4) Date: 02/23/18 Time: 01:33 Sample: 1997 2016 Included observations: 14 Cointegrating Form Variable Coefficient Std. Error t-Statistic Prob. D(DLNDSDT(-1)) 2.013993 0.371467 5.421723 0.0324 D(DLNDSDT(-2)) 1.509911 0.260151 5.803981 0.0284 D(DLNDSDT(-3)) 1.034424 0.147245 7.025204 0.0197 D(DLNDSDT(-4)) 0.359542 0.070189 5.122515 0.0361 D(LNFDI) 0.052328 0.014784 3.539499 0.0714 D(LNFDI(-1)) -0.012327 0.011976 -1.029240 0.4116 D(LNFDI(-2)) 0.053322 0.013649 3.906569 0.0597 D(LNFDI(-3)) -0.072992 0.012627 -5.780688 0.0286 D(@TREND()) -0.021110 0.007145 -2.954398 0.0980 CointEq(-1) -3.080420 0.419888 -7.336292 0.0181 Cointeq = DLNDSDT - (0.0390*LNFDI -0.1738 -0.0069*@TREND ) Long Run Coefficients Variable Coefficient Std. Error t-Statistic Prob. LNFDI 0.038951 0.007410 5.256529 0.0343 C -0.173770 0.036880 -4.711837 0.0422 @TREND -0.006853 0.001686 -4.065062 0.0555 187 PHỤ LỤC 5 KIỂM ĐỊNH CHUẨN ĐOÁN BẰNG PHẦN MỀM EVIEWS 9 I. Mô hình LNGRDP – LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 0.606459 Prob. F(4,13) 0.6650 Obs*R-squared 2.830644 Prob. Chi-Square(4) 0.5866 Scaled explained SS 2.613894 Prob. Chi-Square(4) 0.6244 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 01:12 Sample: 1999 2016 Included observations: 18 Variable Coefficient Std. Error t-Statistic Prob. C 0.028920 0.056787 0.509274 0.6191 LNGRDP(-1) -0.006138 0.006835 -0.897976 0.3855 LNGRDP(-2) 0.002844 0.008066 0.352636 0.7300 LNFDI 0.000491 0.000579 0.849274 0.4111 @TREND 0.000187 0.000620 0.302089 0.7674 R-squared 0.157258 Mean dependent var 0.000482 Adjusted R-squared -0.102047 S.D. dependent var 0.000934 S.E. of regression 0.000980 Akaike info criterion -10.78747 Sum squared resid 1.25E-05 Schwarz criterion -10.54014 Log likelihood 102.0872 Hannan-Quinn criter. -10.75336 F-statistic 0.606459 Durbin-Watson stat 1.747117 Prob(F-statistic) 0.665019 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.216221 Prob. F(5,8) 0.9458 Obs*R-squared 2.142903 Prob. Chi-Square(5) 0.8290 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 01:16 Sample: 1999 2016 Included observations: 18 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. LNGRDP(-1) 0.117487 0.323895 0.362733 0.7262 LNGRDP(-2) -0.063948 0.396376 -0.161331 0.8758 LNFDI -0.004691 0.025969 -0.180642 0.8611 C -0.480358 2.319156 -0.207126 0.8411 @TREND -0.003755 0.025705 -0.146065 0.8875 RESID(-1) -0.245554 0.478991 -0.512648 0.6220 RESID(-2) -0.297920 0.405485 -0.734725 0.4835 RESID(-3) -0.020074 0.409655 -0.049003 0.9621 RESID(-4) 0.052565 0.385911 0.136209 0.8950 RESID(-5) -0.121271 0.466173 -0.260142 0.8013 R-squared 0.119050 Mean dependent var -9.08E-16 188 Adjusted R-squared -0.872018 S.D. dependent var 0.022597 S.E. of regression 0.030917 Akaike info criterion -3.814833 Sum squared resid 0.007647 Schwarz criterion -3.320182 Log likelihood 44.33350 Hannan-Quinn criter. -3.746628 F-statistic 0.120123 Durbin-Watson stat 1.995475 Prob(F-statistic) 0.997720 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: LNGRDP LNGRDP(-1) LNGRDP(-2) LNFDI C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.895567 12 0.3881 F-statistic 0.802040 (1, 12) 0.3881 F-test summary: Sum of Sq. df Mean Squares Test SSR 0.000544 1 0.000544 Restricted SSR 0.008680 13 0.000668 Unrestricted SSR 0.008137 12 0.000678 Unrestricted Test Equation: Dependent Variable: LNGRDP Method: ARDL Date: 02/23/18 Time: 01:19 Sample: 1999 2016 Included observations: 18 Maximum dependent lags: 5 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (5 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* LNGRDP(-1) -0.045294 0.888791 -0.050961 0.9602 LNGRDP(-2) 0.037432 0.556018 0.067322 0.9474 LNFDI 0.014320 0.017118 0.836542 0.4192 C 5.163540 2.049389 2.519551 0.0269 @TREND -0.002728 0.073880 -0.036930 0.9711 FITTED^2 0.048371 0.054012 0.895567 0.3881 R-squared 0.998066 Mean dependent var 10.34591 Adjusted R-squared 0.997261 S.D. dependent var 0.497517 S.E. of regression 0.026039 Akaike info criterion -4.197221 Sum squared resid 0.008137 Schwarz criterion -3.900431 Log likelihood 43.77499 Hannan-Quinn criter. -4.156298 F-statistic 1238.789 Durbin-Watson stat 2.282181 Prob(F-statistic) 0.000000 *Note: p-values and any subsequent tests do not account for model selection. II. Mô hình LNVDTTN - LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 1.132353 Prob. F(10,4) 0.4921 Obs*R-squared 11.08445 Prob. Chi-Square(10) 0.3510 Scaled explained SS 0.641136 Prob. Chi-Square(10) 1.0000 189 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 02:37 Sample: 2002 2016 Included observations: 15 Variable Coefficient Std. Error t-Statistic Prob. C -0.009716 0.069511 -0.139772 0.8956 LNVDTTN(-1) 0.001550 0.008807 0.175936 0.8689 LNVDTTN(-2) 0.004479 0.004625 0.968374 0.3877 LNVDTTN(-3) -0.004944 0.004971 -0.994643 0.3762 LNVDTTN(-4) 0.002321 0.005179 0.448079 0.6773 LNVDTTN(-5) -0.003445 0.004738 -0.727107 0.5074 LNFDI 0.000488 0.003360 0.145348 0.8915 LNFDI(-1) 0.001074 0.002378 0.451537 0.6750 LNFDI(-2) 0.001527 0.002133 0.715865 0.5136 LNFDI(-3) -0.001809 0.002045 -0.884481 0.4264 @TREND 5.05E-06 0.001358 0.003721 0.9972 R-squared 0.738964 Mean dependent var 0.001706 Adjusted R-squared 0.086372 S.D. dependent var 0.002253 S.E. of regression 0.002153 Akaike info criterion -9.298598 Sum squared resid 1.85E-05 Schwarz criterion -8.779361 Log likelihood 80.73949 Hannan-Quinn criter. -9.304129 F-statistic 1.132353 Durbin-Watson stat 3.021954 Prob(F-statistic) 0.492051 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.078876 Prob. F(1,3) 0.7971 Obs*R-squared 0.384278 Prob. Chi-Square(1) 0.5353 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 02:37 Sample: 2002 2016 Included observations: 15 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. LNVDTTN(-1) 0.104236 0.526135 0.198117 0.8556 LNVDTTN(-2) -0.026785 0.217820 -0.122968 0.9099 LNVDTTN(-3) -0.019419 0.221547 -0.087653 0.9357 LNVDTTN(-4) 0.029873 0.243726 0.122570 0.9102 LNVDTTN(-5) -0.020407 0.213387 -0.095632 0.9298 LNFDI -0.028733 0.175222 -0.163981 0.8802 LNFDI(-1) -0.006009 0.102928 -0.058378 0.9571 LNFDI(-2) 0.008619 0.095372 0.090375 0.9337 LNFDI(-3) -0.011747 0.096171 -0.122147 0.9105 C -0.287741 3.116428 -0.092330 0.9323 @TREND -0.002218 0.058045 -0.038213 0.9719 RESID(-1) -0.255659 0.910308 -0.280849 0.7971 R-squared 0.025619 Mean dependent var -3.81E-15 190 Adjusted R-squared -3.547113 S.D. dependent var 0.042759 S.E. of regression 0.091180 Akaike info criterion -1.961400 Sum squared resid 0.024941 Schwarz criterion -1.394960 Log likelihood 26.71050 Hannan-Quinn criter. -1.967434 F-statistic 0.007171 Durbin-Watson stat 2.088624 Prob(F-statistic) 1.000000 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: LNVDTTN LNVDTTN(-1) LNVDTTN(-2) LNVDTTN(-3) LNVDTTN(-4) LNVDTTN(-5) LNFDI LNFDI(-1) LNFDI(-2) LNFDI(-3) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.414499 3 0.7064 F-statistic 0.171809 (1, 3) 0.7064 F-test summary: Sum of Sq. df Mean Squares Test SSR 0.001387 1 0.001387 Restricted SSR 0.025597 4 0.006399 Unrestricted SSR 0.024211 3 0.008070 Unrestricted Test Equation: Dependent Variable: LNVDTTN Method: ARDL Date: 02/23/18 Time: 02:38 Sample: 2002 2016 Included observations: 15 Maximum dependent lags: 5 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (5 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* LNVDTTN(-1) 1.351197 2.618063 0.516105 0.6414 LNVDTTN(-2) -0.851493 1.537105 -0.553959 0.6182 LNVDTTN(-3) -0.631146 1.182392 -0.533787 0.6305 LNVDTTN(-4) -0.294923 0.552803 -0.533503 0.6307 LNVDTTN(-5) -1.073802 1.940623 -0.553328 0.6186 LNFDI -0.017262 0.150597 -0.114624 0.9160 LNFDI(-1) 0.254077 0.438354 0.579617 0.6028 LNFDI(-2) 0.474496 0.864453 0.548898 0.6213 LNFDI(-3) -0.956281 1.767851 -0.540928 0.6261 C 27.92557 41.96634 0.665428 0.5534 @TREND 0.831966 1.518228 0.547985 0.6218 FITTED^2 -0.176354 0.425464 -0.414499 0.7064 R-squared 0.995568 Mean dependent var 9.070093 Adjusted R-squared 0.979319 S.D. dependent var 0.624676 S.E. of regression 0.089834 Akaike info criterion -1.991137 Sum squared resid 0.024211 Schwarz criterion -1.424697 Log likelihood 26.93353 Hannan-Quinn criter. -1.997171 F-statistic 61.26764 Durbin-Watson stat 2.148567 Prob(F-statistic) 0.003016 191 *Note: p-values and any subsequent tests do not account for model selection. III. Mô hình DLNICOR – LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 2.618215 Prob. F(9,3) 0.2314 Obs*R-squared 11.53184 Prob. Chi-Square(9) 0.2410 Scaled explained SS 0.803356 Prob. Chi-Square(9) 0.9998 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 03/04/18 Time: 16:28 Sample: 2004 2016 Included observations: 13 Variable Coefficient Std. Error t-Statistic Prob. C 0.040191 0.031073 1.293447 0.2864 LNICOR(-1) 0.001291 0.004501 0.286837 0.7929 LNICOR(-2) 0.009661 0.004139 2.333809 0.1018 LNICOR(-3) 0.010048 0.003908 2.570920 0.0824 LNFDI -0.008297 0.003476 -2.386593 0.0970 LNFDI(-1) 0.000201 0.003496 0.057536 0.9577 LNFDI(-2) 0.003657 0.003591 1.018408 0.3835 LNFDI(-3) -0.003896 0.003994 -0.975381 0.4013 LNFDI(-4) -0.001754 0.003364 -0.521275 0.6382 @TREND 0.001187 0.001287 0.922651 0.4242 R-squared 0.887065 Mean dependent var 0.003563 Adjusted R-squared 0.548260 S.D. dependent var 0.005998 S.E. of regression 0.004031 Akaike info criterion -8.117287 Sum squared resid 4.88E-05 Schwarz criterion -7.682710 Log likelihood 62.76236 Hannan-Quinn criter. -8.206612 F-statistic 2.618215 Durbin-Watson stat 3.117975 Prob(F-statistic) 0.231424 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 19.06419 Prob. F(2,1) 0.1599 Obs*R-squared 12.66776 Prob. Chi-Square(2) 0.0018 Test Equation: Dependent Variable: RESID Method: ARDL Date: 03/04/18 Time: 16:29 Sample: 2004 2016 Included observations: 13 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. LNICOR(-1) 0.056093 0.041718 1.344592 0.4071 LNICOR(-2) 0.065277 0.037133 1.757914 0.3293 LNICOR(-3) 0.035670 0.036806 0.969133 0.5100 LNFDI -0.065427 0.032007 -2.044154 0.2896 LNFDI(-1) -0.049506 0.034234 -1.446090 0.3852 LNFDI(-2) -0.001098 0.034454 -0.031863 0.9797 LNFDI(-3) -0.038319 0.034875 -1.098742 0.4701 192 LNFDI(-4) -0.022121 0.030776 -0.718762 0.6033 C 0.870475 0.337744 2.577326 0.2356 @TREND 0.023870 0.014873 1.604912 0.3547 RESID(-1) -1.721113 0.285904 -6.019895 0.1048 RESID(-2) -1.595808 0.448648 -3.556925 0.1745 R-squared 0.974443 Mean dependent var -3.23E-16 Adjusted R-squared 0.693317 S.D. dependent var 0.062126 S.E. of regression 0.034405 Akaike info criterion -4.620034 Sum squared resid 0.001184 Schwarz criterion -4.098543 Log likelihood 42.03022 Hannan-Quinn criter. -4.727225 F-statistic 3.466216 Durbin-Watson stat 1.204374 Prob(F-statistic) 0.398121 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: LNICOR LNICOR(-1) LNICOR(-2) LNICOR(-3) LNFDI LNFDI(-1) LNFDI(-2) LNFDI(-3) LNFDI(-4) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.085218 2 0.9399 F-statistic 0.007262 (1, 2) 0.9399 F-test summary: Sum of Sq. df Mean Squares Test SSR 0.000168 1 0.000168 Restricted SSR 0.046316 3 0.015439 Unrestricted SSR 0.046148 2 0.023074 Unrestricted Test Equation: Dependent Variable: LNICOR Method: ARDL Date: 03/04/18 Time: 16:30 Sample: 2004 2016 Included observations: 13 Maximum dependent lags: 3 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (4 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* LNICOR(-1) -0.227183 0.325487 -0.697980 0.5574 LNICOR(-2) -0.992659 1.545697 -0.642208 0.5865 LNICOR(-3) -0.351849 0.589219 -0.597144 0.6110 LNFDI 0.153614 0.301772 0.509040 0.6613 LNFDI(-1) 0.165162 0.296691 0.556678 0.6337 LNFDI(-2) 0.477099 0.696915 0.684587 0.5643 LNFDI(-3) -0.421412 0.677008 -0.622462 0.5971 LNFDI(-4) 0.852513 1.331392 0.640317 0.5875 C -4.028403 7.420703 -0.542860 0.6416 @TREND -0.126591 0.208681 -0.606627 0.6058 FITTED^2 -0.045933 0.539004 -0.085218 0.9399 R-squared 0.971888 Mean dependent var 1.458533 Adjusted R-squared 0.831325 S.D. dependent var 0.369861 S.E. of regression 0.151902 Akaike info criterion -1.110657 Sum squared resid 0.046148 Schwarz criterion -0.632623 Log likelihood 18.21927 Hannan-Quinn criter. -1.208915 193 F-statistic 6.914285 Durbin-Watson stat 3.326334 Prob(F-statistic) 0.132878 *Note: p-values and any subsequent tests do not account for model selection. IV. Mô hình LNCNXD - LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 1.105050 Prob. F(10,4) 0.5031 Obs*R-squared 11.01342 Prob. Chi-Square(10) 0.3565 Scaled explained SS 1.286972 Prob. Chi-Square(10) 0.9995 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 01:47 Sample: 2002 2016 Included observations: 15 Variable Coefficient Std. Error t-Statistic Prob. C -0.001547 0.006763 -0.228781 0.8303 LNCNXD(-1) 8.15E-05 0.001355 0.060158 0.9549 LNCNXD(-2) 0.001323 0.001300 1.017685 0.3664 LNCNXD(-3) -0.000872 0.000957 -0.911785 0.4135 LNFDI -3.44E-05 5.97E-05 -0.576965 0.5949 LNFDI(-1) -2.30E-05 5.81E-05 -0.394989 0.7130 LNFDI(-2) 7.37E-06 6.07E-05 0.121375 0.9092 LNFDI(-3) -2.51E-05 5.53E-05 -0.454165 0.6733 LNFDI(-4) -2.99E-05 5.00E-05 -0.597413 0.5824 LNFDI(-5) 1.24E-05 5.28E-05 0.235081 0.8257 @TREND 2.04E-05 5.46E-05 0.373328 0.7278 R-squared 0.734228 Mean dependent var 3.55E-05 Adjusted R-squared 0.069798 S.D. dependent var 6.67E-05 S.E. of regression 6.43E-05 Akaike info criterion -16.32109 Sum squared resid 1.65E-08 Schwarz criterion -15.80186 Log likelihood 133.4082 Hannan-Quinn criter. -16.32662 F-statistic 1.105050 Durbin-Watson stat 2.914158 Prob(F-statistic) 0.503067 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 4.902733 Prob. F(2,2) 0.1694 Obs*R-squared 12.45880 Prob. Chi-Square(2) 0.0020 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 01:48 Sample: 2002 2016 Included observations: 15 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. LNCNXD(-1) 0.204232 0.160063 1.275948 0.3301 LNCNXD(-2) -0.007664 0.177160 -0.043261 0.9694 LNCNXD(-3) 0.102915 0.105502 0.975478 0.4322 194 LNFDI -0.002404 0.006490 -0.370441 0.7466 LNFDI(-1) 0.005801 0.006624 0.875716 0.4735 LNFDI(-2) -0.008350 0.009358 -0.892273 0.4664 LNFDI(-3) -0.007189 0.006742 -1.066284 0.3980 LNFDI(-4) 0.002956 0.006491 0.455390 0.6935 LNFDI(-5) -0.001255 0.006500 -0.193103 0.8647 C -1.024383 0.816785 -1.254165 0.3365 @TREND -0.002837 0.005958 -0.476095 0.6809 RESID(-1) -1.354696 0.554330 -2.443847 0.1345 RESID(-2) 0.262940 1.070669 0.245584 0.8289 R-squared 0.830587 Mean dependent var -9.07E-16 Adjusted R-squared -0.185891 S.D. dependent var 0.006170 S.E. of regression 0.006719 Akaike info criterion -7.449383 Sum squared resid 9.03E-05 Schwarz criterion -6.835740 Log likelihood 68.87037 Hannan-Quinn criter. -7.455920 F-statistic 0.817122 Durbin-Watson stat 3.119336 Prob(F-statistic) 0.671670 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: LNCNXD LNCNXD(-1) LNCNXD(-2) LNCNXD(-3) LNFDI LNFDI(-1) LNFDI(-2) LNFDI(-3) LNFDI(-4) LNFDI(-5) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.805884 3 0.4793 F-statistic 0.649450 (1, 3) 0.4793 F-test summary: Sum of Sq. df Mean Squares Test SSR 9.48E-05 1 9.48E-05 Restricted SSR 0.000533 4 0.000133 Unrestricted SSR 0.000438 3 0.000146 Unrestricted Test Equation: Dependent Variable: LNCNXD Method: ARDL Date: 02/23/18 Time: 01:49 Sample: 2002 2016 Included observations: 15 Maximum dependent lags: 5 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (5 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* LNCNXD(-1) -2.623041 3.019942 -0.868573 0.4490 LNCNXD(-2) -9.669202 11.10125 -0.871001 0.4478 LNCNXD(-3) 1.745029 2.002810 0.871290 0.4477 LNFDI -0.420567 0.483246 -0.870295 0.4482 LNFDI(-1) -0.151500 0.175177 -0.864843 0.4507 LNFDI(-2) -0.134221 0.155148 -0.865115 0.4506 LNFDI(-3) -0.023036 0.028802 -0.799818 0.4823 LNFDI(-4) -0.044617 0.052106 -0.856257 0.4548 LNFDI(-5) -0.392624 0.450778 -0.870993 0.4479 C 67.06447 74.79788 0.896609 0.4360 @TREND 0.729635 0.837980 0.870706 0.4480 195 FITTED^2 -1.586552 1.968709 -0.805884 0.4793 R-squared 0.996159 Mean dependent var 3.830633 Adjusted R-squared 0.982075 S.D. dependent var 0.090260 S.E. of regression 0.012084 Akaike info criterion -6.003265 Sum squared resid 0.000438 Schwarz criterion -5.436825 Log likelihood 57.02449 Hannan-Quinn criter. -6.009299 F-statistic 70.73152 Durbin-Watson stat 2.786908 Prob(F-statistic) 0.002438 *Note: p-values and any subsequent tests do not account for model selection. V. Mô hình DLNTMDV – LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 0.825410 Prob. F(4,12) 0.5338 Obs*R-squared 3.668097 Prob. Chi-Square(4) 0.4528 Scaled explained SS 1.094764 Prob. Chi-Square(4) 0.8951 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 02:30 Sample: 2000 2016 Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -0.000580 0.000657 -0.882678 0.3947 DLNTMDV(-1) 0.002220 0.003645 0.608977 0.5539 DLNTMDV(-2) 0.003219 0.003590 0.896407 0.3877 LNFDI 0.000146 0.000128 1.142691 0.2755 @TREND -2.78E-05 3.27E-05 -0.851476 0.4112 R-squared 0.215770 Mean dependent var 0.000253 Adjusted R-squared -0.045639 S.D. dependent var 0.000285 S.E. of regression 0.000291 Akaike info criterion -13.20448 Sum squared resid 1.02E-06 Schwarz criterion -12.95941 Log likelihood 117.2381 Hannan-Quinn criter. -13.18012 F-statistic 0.825410 Durbin-Watson stat 2.402978 Prob(F-statistic) 0.533790 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.013700 Prob. F(1,11) 0.9089 Obs*R-squared 0.021147 Prob. Chi-Square(1) 0.8844 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 02:31 Sample: 2000 2016 Included observations: 17 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. DLNTMDV(-1) -0.037669 0.405696 -0.092851 0.9277 DLNTMDV(-2) -0.014159 0.271738 -0.052104 0.9594 196 LNFDI 0.000342 0.009133 0.037409 0.9708 C -0.001185 0.045679 -0.025946 0.9798 @TREND -0.000104 0.002385 -0.043615 0.9660 RESID(-1) 0.058913 0.503325 0.117048 0.9089 R-squared 0.001244 Mean dependent var 8.57E-18 Adjusted R-squared -0.452736 S.D. dependent var 0.016379 S.E. of regression 0.019742 Akaike info criterion -4.741566 Sum squared resid 0.004287 Schwarz criterion -4.447491 Log likelihood 46.30331 Hannan-Quinn criter. -4.712335 F-statistic 0.002740 Durbin-Watson stat 1.980313 Prob(F-statistic) 0.999998 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: DLNTMDV DLNTMDV(-1) DLNTMDV(-2) LNFDI C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.893584 11 0.3907 F-statistic 0.798492 (1, 11) 0.3907 F-test summary: Sum of Sq. df Mean Squares Test SSR 0.000291 1 0.000291 Restricted SSR 0.004293 12 0.000358 Unrestricted SSR 0.004002 11 0.000364 Unrestricted Test Equation: Dependent Variable: DLNTMDV Method: ARDL Date: 02/23/18 Time: 02:31 Sample: 2000 2016 Included observations: 17 Maximum dependent lags: 5 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (5 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* DLNTMDV(-1) -0.829531 0.293803 -2.823425 0.0166 DLNTMDV(-2) -0.526416 0.238534 -2.206879 0.0495 LNFDI 0.024042 0.010368 2.318899 0.0407 C -0.092067 0.049291 -1.867832 0.0886 @TREND -0.006550 0.002624 -2.496490 0.0297 FITTED^2 -14.88990 16.66312 -0.893584 0.3907 R-squared 0.517026 Mean dependent var 0.005950 Adjusted R-squared 0.297493 S.D. dependent var 0.022757 S.E. of regression 0.019074 Akaike info criterion -4.810398 Sum squared resid 0.004002 Schwarz criterion -4.516323 Log likelihood 46.88838 Hannan-Quinn criter. -4.781166 F-statistic 2.355112 Durbin-Watson stat 2.219813 Prob(F-statistic) 0.109836 *Note: p-values and any subsequent tests do not account for model selection. VI. Mô hình DLNOPEN – LNFDI 197 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 1.315685 Prob. F(10,4) 0.4257 Obs*R-squared 11.50285 Prob. Chi-Square(10) 0.3197 Scaled explained SS 0.840608 Prob. Chi-Square(10) 0.9999 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 02:22 Sample: 2002 2016 Included observations: 15 Variable Coefficient Std. Error t-Statistic Prob. C -0.006863 0.003274 -2.096044 0.1041 DLNOPEN(-1) -0.001431 0.001885 -0.759397 0.4899 DLNOPEN(-2) -0.002155 0.002689 -0.801452 0.4678 DLNOPEN(-3) -0.004548 0.002718 -1.673151 0.1696 DLNOPEN(-4) -0.002078 0.001481 -1.402922 0.2333 LNFDI 0.000550 0.000300 1.831656 0.1410 LNFDI(-1) 0.000249 0.000437 0.570274 0.5990 LNFDI(-2) 0.000203 0.000380 0.534869 0.6211 LNFDI(-3) 0.000608 0.000465 1.307932 0.2610 LNFDI(-4) 0.000220 0.000222 0.993926 0.3765 @TREND -0.000428 0.000260 -1.641624 0.1760 R-squared 0.766857 Mean dependent var 0.000247 Adjusted R-squared 0.183999 S.D. dependent var 0.000366 S.E. of regression 0.000331 Akaike info criterion -13.04581 Sum squared resid 4.37E-07 Schwarz criterion -12.52658 Log likelihood 108.8436 Hannan-Quinn criter. -13.05135 F-statistic 1.315685 Durbin-Watson stat 1.238679 Prob(F-statistic) 0.425655 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.154506 Prob. F(1,3) 0.7205 Obs*R-squared 0.734692 Prob. Chi-Square(1) 0.3914 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 02:22 Sample: 2002 2016 Included observations: 15 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. DLNOPEN(-1) -0.037781 0.217574 -0.173644 0.8732 DLNOPEN(-2) -0.047977 0.304038 -0.157798 0.8846 DLNOPEN(-3) -0.041402 0.300554 -0.137751 0.8992 DLNOPEN(-4) -0.024070 0.165179 -0.145720 0.8934 LNFDI -0.004116 0.032800 -0.125487 0.9081 LNFDI(-1) 0.007886 0.049550 0.159147 0.8837 LNFDI(-2) 0.005096 0.041412 0.123053 0.9098 LNFDI(-3) 0.002785 0.048640 0.057251 0.9579 LNFDI(-4) 0.000898 0.023071 0.038930 0.9714 198 C -0.029018 0.347072 -0.083609 0.9386 @TREND -0.003491 0.028399 -0.122915 0.9099 RESID(-1) 0.267596 0.680780 0.393073 0.7205 R-squared 0.048979 Mean dependent var 2.59E-16 Adjusted R-squared -3.438096 S.D. dependent var 0.016258 S.E. of regression 0.034250 Akaike info criterion -3.919687 Sum squared resid 0.003519 Schwarz criterion -3.353247 Log likelihood 41.39766 Hannan-Quinn criter. -3.925721 F-statistic 0.014046 Durbin-Watson stat 1.955269 Prob(F-statistic) 1.000000 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: DLNOPEN DLNOPEN(-1) DLNOPEN(-2) DLNOPEN(-3) DLNOPEN(-4) LNFDI LNFDI(-1) LNFDI(-2) LNFDI(-3) LNFDI(-4) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.996560 3 0.3924 F-statistic 0.993133 (1, 3) 0.3924 F-test summary: Sum of Sq. df Mean Squares Test SSR 0.000920 1 0.000920 Restricted SSR 0.003700 4 0.000925 Unrestricted SSR 0.002780 3 0.000927 Unrestricted Test Equation: Dependent Variable: DLNOPEN Method: ARDL Date: 02/23/18 Time: 02:23 Sample: 2002 2016 Included observations: 15 Maximum dependent lags: 4 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (4 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* DLNOPEN(-1) -1.223473 0.326314 -3.749377 0.0331 DLNOPEN(-2) -1.212317 0.303824 -3.990193 0.0282 DLNOPEN(-3) -0.673748 0.257484 -2.616658 0.0792 DLNOPEN(-4) -0.211957 0.139591 -1.518414 0.2262 LNFDI 0.103204 0.032254 3.199751 0.0493 LNFDI(-1) 0.222197 0.081696 2.719809 0.0726 LNFDI(-2) 0.165641 0.039153 4.230625 0.0242 LNFDI(-3) -0.017002 0.052051 -0.326634 0.7654 LNFDI(-4) 0.073939 0.027168 2.721505 0.0725 C -1.891302 0.451608 -4.187933 0.0248 @TREND -0.141997 0.033727 -4.210228 0.0245 FITTED^2 0.667640 0.669944 0.996560 0.3924 R-squared 0.992627 Mean dependent var 0.121572 Adjusted R-squared 0.965591 S.D. dependent var 0.164109 S.E. of regression 0.030442 Akaike info criterion -4.155432 Sum squared resid 0.002780 Schwarz criterion -3.588991 199 Log likelihood 43.16574 Hannan-Quinn criter. -4.161465 F-statistic 36.71508 Durbin-Watson stat 2.380289 Prob(F-statistic) 0.006422 *Note: p-values and any subsequent tests do not account for model selection. VII. Mô hình DLNKT - LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 1.121983 Prob. F(7,8) 0.4330 Obs*R-squared 7.926266 Prob. Chi-Square(7) 0.3391 Scaled explained SS 1.669586 Prob. Chi-Square(7) 0.9759 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 02:06 Sample: 2001 2016 Included observations: 16 Variable Coefficient Std. Error t-Statistic Prob. C -0.217064 0.138432 -1.568018 0.1555 DLNKT(-1) 0.016007 0.035452 0.451519 0.6636 LNFDI 0.009409 0.018570 0.506688 0.6260 LNFDI(-1) 0.017561 0.022296 0.787639 0.4536 LNFDI(-2) -0.004462 0.019230 -0.232061 0.8223 LNFDI(-3) 0.004776 0.021668 0.220392 0.8311 LNFDI(-4) 0.026308 0.014705 1.789063 0.1114 @TREND -0.013532 0.006653 -2.034015 0.0764 R-squared 0.495392 Mean dependent var 0.018896 Adjusted R-squared 0.053859 S.D. dependent var 0.025334 S.E. of regression 0.024642 Akaike info criterion -4.261882 Sum squared resid 0.004858 Schwarz criterion -3.875588 Log likelihood 42.09506 Hannan-Quinn criter. -4.242101 F-statistic 1.121983 Durbin-Watson stat 1.790709 Prob(F-statistic) 0.432982 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 21.44214 Prob. F(1,7) 0.0024 Obs*R-squared 12.06218 Prob. Chi-Square(1) 0.0005 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 02:07 Sample: 2001 2016 Included observations: 16 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. DLNKT(-1) -0.908799 0.246008 -3.694186 0.0077 LNFDI -0.191946 0.088063 -2.179651 0.0657 LNFDI(-1) 0.361354 0.121623 2.971109 0.0208 LNFDI(-2) -0.141121 0.086035 -1.640276 0.1450 LNFDI(-3) 0.185722 0.099135 1.873417 0.1032 200 LNFDI(-4) -0.100519 0.065241 -1.540733 0.1673 C -0.416700 0.586143 -0.710918 0.5001 @TREND -0.025806 0.028387 -0.909076 0.3935 RESID(-1) 1.576484 0.340452 4.630566 0.0024 R-squared 0.753886 Mean dependent var 7.44E-17 Adjusted R-squared 0.472614 S.D. dependent var 0.141970 S.E. of regression 0.103101 Akaike info criterion -1.407896 Sum squared resid 0.074409 Schwarz criterion -0.973314 Log likelihood 20.26316 Hannan-Quinn criter. -1.385641 F-statistic 2.680268 Durbin-Watson stat 2.424165 Prob(F-statistic) 0.105760 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: DLNKT DLNKT(-1) LNFDI LNFDI(-1) LNFDI(-2) LNFDI(-3) LNFDI(-4) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 2.778518 7 0.0274 F-statistic 7.720164 (1, 7) 0.0274 F-test summary: Sum of Sq. df Mean Squares Test SSR 0.158563 1 0.158563 Restricted SSR 0.302334 8 0.037792 Unrestricted SSR 0.143771 7 0.020539 Unrestricted Test Equation: Dependent Variable: DLNKT Method: ARDL Date: 02/23/18 Time: 02:08 Sample: 2001 2016 Included observations: 16 Maximum dependent lags: 4 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (4 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* DLNKT(-1) 0.530983 0.301037 1.763849 0.1211 LNFDI 0.411707 0.110845 3.714255 0.0075 LNFDI(-1) -0.318542 0.141875 -2.245233 0.0596 LNFDI(-2) 0.265731 0.116828 2.274542 0.0571 LNFDI(-3) -0.321848 0.140834 -2.285307 0.0562 LNFDI(-4) 0.124763 0.109611 1.138239 0.2925 C -0.678741 0.814468 -0.833355 0.4322 @TREND -0.035850 0.040126 -0.893422 0.4013 FITTED^2 -2.751270 0.990193 -2.778518 0.0274 R-squared 0.874710 Mean dependent var 0.111444 Adjusted R-squared 0.731521 S.D. dependent var 0.276587 S.E. of regression 0.143314 Akaike info criterion -0.749242 201 Sum squared resid 0.143771 Schwarz criterion -0.314661 Log likelihood 14.99393 Hannan-Quinn criter. -0.726988 F-statistic 6.108785 Durbin-Watson stat 2.121298 Prob(F-statistic) 0.013749 *Note: p-values and any subsequent tests do not account for model selection. VIII. Mô hình LNLD - LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 1.126268 Prob. F(9,4) 0.4911 Obs*R-squared 10.03860 Prob. Chi-Square(9) 0.3474 Scaled explained SS 0.338038 Prob. Chi-Square(9) 1.0000 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 02:59 Sample: 2003 2016 Included observations: 14 Variable Coefficient Std. Error t-Statistic Prob. C 0.000638 0.011550 0.055236 0.9586 LNLD(-1) 0.000177 0.000503 0.352279 0.7424 LNLD(-2) -0.000401 0.000456 -0.880102 0.4285 LNLD(-3) 0.000119 0.000394 0.300994 0.7784 LNLD(-4) -0.000207 0.000479 -0.431553 0.6883 LNLD(-5) 0.000360 0.000468 0.769321 0.4846 LNLD(-6) -0.000139 0.000331 -0.421047 0.6954 LNFDI -5.48E-07 6.29E-06 -0.087243 0.9347 LNFDI(-1) -2.91E-06 6.42E-06 -0.453634 0.6736 @TREND 1.95E-06 2.34E-05 0.083247 0.9377 R-squared 0.717043 Mean dependent var 3.93E-06 Adjusted R-squared 0.080389 S.D. dependent var 3.70E-06 S.E. of regression 3.55E-06 Akaike info criterion -22.08186 Sum squared resid 5.05E-11 Schwarz criterion -21.62539 Log likelihood 164.5730 Hannan-Quinn criter. -22.12412 F-statistic 1.126268 Durbin-Watson stat 2.535441 Prob(F-statistic) 0.491125 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.327556 Prob. F(1,3) 0.6072 Obs*R-squared 1.378125 Prob. Chi-Square(1) 0.2404 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 03:00 Sample: 2003 2016 Included observations: 14 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. LNLD(-1) 0.217835 0.689811 0.315790 0.7729 202 LNLD(-2) 0.016299 0.522492 0.031194 0.9771 LNLD(-3) 0.083031 0.473999 0.175171 0.8721 LNLD(-4) 0.085558 0.568827 0.150412 0.8900 LNLD(-5) 0.195065 0.635128 0.307127 0.7788 LNLD(-6) 0.070522 0.397944 0.177215 0.8706 LNFDI 0.001497 0.007655 0.195606 0.8574 LNFDI(-1) 0.001698 0.007922 0.214401 0.8440 C -4.509368 15.38987 -0.293009 0.7886 @TREND -0.009078 0.031147 -0.291458 0.7897 RESID(-1) -0.417819 0.730038 -0.572325 0.6072 R-squared 0.098437 Mean dependent var 1.92E-15 Adjusted R-squared -2.906771 S.D. dependent var 0.002057 S.E. of regression 0.004067 Akaike info criterion -8.141066 Sum squared resid 4.96E-05 Schwarz criterion -7.638949 Log likelihood 67.98746 Hannan-Quinn criter. -8.187546 F-statistic 0.032756 Durbin-Watson stat 2.165908 Prob(F-statistic) 0.999976 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: LNLD LNLD(-1) LNLD(-2) LNLD(-3) LNLD(-4) LNLD(-5) LNLD(-6) LNFDI LNFDI(-1) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.516937 3 0.6409 F-statistic 0.267223 (1, 3) 0.6409 F-test summary: Sum of Sq. df Mean Squares Test SSR 4.50E-06 1 4.50E-06 Restricted SSR 5.50E-05 4 1.38E-05 Unrestricted SSR 5.05E-05 3 1.68E-05 Unrestricted Test Equation: Dependent Variable: LNLD Method: ARDL Date: 02/23/18 Time: 03:01 Sample: 2003 2016 Included observations: 14 Maximum dependent lags: 6 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (1 lag, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* LNLD(-1) 8.723295 18.43177 0.473275 0.6683 LNLD(-2) 5.752888 12.17988 0.472327 0.6689 LNLD(-3) 2.995246 6.351308 0.471595 0.6694 LNLD(-4) 13.62155 28.76580 0.473533 0.6682 LNLD(-5) 13.46443 28.44567 0.473338 0.6683 LNLD(-6) 5.077718 10.73546 0.472986 0.6685 LNFDI 0.122443 0.258148 0.474313 0.6677 LNFDI(-1) 0.138977 0.293089 0.474182 0.6677 C -366.4991 781.7913 -0.468794 0.6712 @TREND -0.816364 1.725119 -0.473222 0.6684 FITTED^2 0.840947 1.626833 0.516923 0.6409 203 R-squared 0.998678 Mean dependent var 6.921677 Adjusted R-squared 0.994272 S.D. dependent var 0.054226 S.E. of regression 0.004104 Akaike info criterion -8.122768 Sum squared resid 5.05E-05 Schwarz criterion -7.620651 Log likelihood 67.85938 Hannan-Quinn criter. -8.169248 F-statistic 226.6679 Durbin-Watson stat 2.178479 Prob(F-statistic) 0.000432 *Note: p-values and any subsequent tests do not account for model selection. IX. Mô hình DLNDSDT – LNFDI 1. Kiểm định phương sai sai số Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 0.359286 Prob. F(11,2) 0.8948 Obs*R-squared 9.295818 Prob. Chi-Square(11) 0.5946 Scaled explained SS 0.316412 Prob. Chi-Square(11) 1.0000 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 02/23/18 Time: 01:34 Sample: 2003 2016 Included observations: 14 Variable Coefficient Std. Error t-Statistic Prob. C -0.000117 0.000779 -0.149759 0.8947 DLNDSDT(-1) -6.80E-05 0.000500 -0.135945 0.9043 DLNDSDT(-2) -0.000392 0.000721 -0.543813 0.6411 DLNDSDT(-3) -0.000271 0.000766 -0.354588 0.7568 DLNDSDT(-4) -0.000370 0.000675 -0.547999 0.6387 DLNDSDT(-5) 0.000165 0.000326 0.507749 0.6621 LNFDI -1.60E-05 6.86E-05 -0.233418 0.8372 LNFDI(-1) 4.96E-06 6.25E-05 0.079318 0.9440 LNFDI(-2) 2.52E-05 5.56E-05 0.453329 0.6947 LNFDI(-3) -5.40E-06 6.34E-05 -0.085248 0.9398 LNFDI(-4) 1.53E-05 5.86E-05 0.261078 0.8185 @TREND -3.56E-07 3.32E-05 -0.010724 0.9924 R-squared 0.663987 Mean dependent var 1.92E-05 Adjusted R-squared -1.184085 S.D. dependent var 3.64E-05 S.E. of regression 5.38E-05 Akaike info criterion -17.05266 Sum squared resid 5.80E-09 Schwarz criterion -16.50490 Log likelihood 131.3686 Hannan-Quinn criter. -17.10337 F-statistic 0.359286 Durbin-Watson stat 2.809025 Prob(F-statistic) 0.894833 2. Kiểm định tự tương quan Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.554506 Prob. F(1,1) 0.5925 Obs*R-squared 4.993925 Prob. Chi-Square(1) 0.0254 Test Equation: Dependent Variable: RESID Method: ARDL Date: 02/23/18 Time: 01:37 Sample: 2003 2016 Included observations: 14 Presample missing value lagged residuals set to zero. 204 Variable Coefficient Std. Error t-Statistic Prob. DLNDSDT(-1) 0.036611 0.131748 0.277888 0.8274 DLNDSDT(-2) 0.062762 0.195372 0.321245 0.8021 DLNDSDT(-3) 0.070819 0.209879 0.337430 0.7928 DLNDSDT(-4) 0.030526 0.169891 0.179680 0.8868 DLNDSDT(-5) -0.026580 0.087249 -0.304648 0.8117 LNFDI -0.004898 0.018013 -0.271895 0.8310 LNFDI(-1) -0.003202 0.015870 -0.201738 0.8733 LNFDI(-2) -0.003395 0.014329 -0.236945 0.8519 LNFDI(-3) -0.005174 0.016970 -0.304897 0.8116 LNFDI(-4) -0.002754 0.014792 -0.186190 0.8828 C 0.089390 0.225101 0.397109 0.7594 @TREND 0.004254 0.009916 0.429047 0.7420 RESID(-1) -0.852257 1.144504 -0.744652 0.5925 R-squared 0.356709 Mean dependent var -2.58E-17 Adjusted R-squared -7.362784 S.D. dependent var 0.004550 S.E. of regression 0.013157 Akaike info criterion -6.605592 Sum squared resid 0.000173 Schwarz criterion -6.012182 Log likelihood 59.23915 Hannan-Quinn criter. -6.660523 F-statistic 0.046209 Durbin-Watson stat 2.942312 Prob(F-statistic) 0.999441 3. Định dạng mô hình (Kiểm định Ramsey RESET) Ramsey RESET Test Equation: UNTITLED Specification: DLNDSDT DLNDSDT(-1) DLNDSDT(-2) DLNDSDT(-3) DLNDSDT(-4) DLNDSDT(-5) LNFDI LNFDI(-1) LNFDI(-2) LNFDI(-3) LNFDI(-4) C @TREND Omitted Variables: Squares of fitted values Value df Probability t-statistic 0.056907 1 0.9638 F-statistic 0.003238 (1, 1) 0.9638 F-test summary: Sum of Sq. df Mean Squares Test SSR 8.69E-07 1 8.69E-07 Restricted SSR 0.000269 2 0.000135 Unrestricted SSR 0.000268 1 0.000268 Unrestricted Test Equation: Dependent Variable: DLNDSDT Method: ARDL Date: 02/23/18 Time: 01:38 Sample: 2003 2016 Included observations: 14 Maximum dependent lags: 5 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (5 lags, automatic): Fixed regressors: C @TREND Variable Coefficient Std. Error t-Statistic Prob.* DLNDSDT(-1) -0.070637 0.169187 -0.417508 0.7482 DLNDSDT(-2) -0.536111 0.604076 -0.887490 0.5379 DLNDSDT(-3) -0.507343 0.606290 -0.836799 0.5564 DLNDSDT(-4) -0.715628 0.744859 -0.960757 0.5127 DLNDSDT(-5) -0.380315 0.378238 -1.005491 0.4983 LNFDI 0.056252 0.072041 0.780834 0.5780 LNFDI(-1) 0.037385 0.035762 1.045367 0.4859 LNFDI(-2) 0.014207 0.037122 0.382714 0.7673 LNFDI(-3) -0.057524 0.076313 -0.753796 0.5888 LNFDI(-4) 0.078592 0.100015 0.785802 0.5760 205 C -0.575143 0.739407 -0.777843 0.5791 @TREND -0.022843 0.032081 -0.712037 0.6061 FITTED^2 -0.597345 10.49680 -0.056907 0.9638 R-squared 0.984737 Mean dependent var 0.042569 Adjusted R-squared 0.801578 S.D. dependent var 0.036768 S.E. of regression 0.016378 Akaike info criterion -6.167668 Sum squared resid 0.000268 Schwarz criterion -5.574257 Log likelihood 56.17367 Hannan-Quinn criter. -6.222599 F-statistic 5.376420 Durbin-Watson stat 2.748636 Prob(F-statistic) 0.326085 *Note: p-values and any subsequent tests do not account for model selection. 206 PHỤ LỤC 6 Kiểm định phần dư: tổng tích lũy của phần dư (CUSUM) và tổng tích lũy hiệu chỉnh của phần dư (CUSUMSQ) 1. Mô hình LNGRDP – LNFDI -12 -8 -4 0 4 8 12 04 05 06 07 08 09 10 11 12 13 14 15 16 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 04 05 06 07 08 09 10 11 12 13 14 15 16 CUSUM of Squares 5% Significance 207 2. Mô hình LNVDTTN – LNFDI -6 -4 -2 0 2 4 6 2013 2014 2015 2016 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 2013 2014 2015 2016 CUSUM of Squares 5% Significance 208 3. Mô hình LNICOR – LNFDI -6 -4 -2 0 2 4 6 2014 2015 2016 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 2014 2015 2016 CUSUM of Squares 5% Significance 209 4. Mô hình LNCNXD – LNFDI -6 -4 -2 0 2 4 6 2013 2014 2015 2016 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 2013 2014 2015 2016 CUSUM of Squares 5% Significance 210 5. Mô hình DLNTMDV – LNFDI -12 -8 -4 0 4 8 12 05 06 07 08 09 10 11 12 13 14 15 16 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 05 06 07 08 09 10 11 12 13 14 15 16 CUSUM of Squares 5% Significance 211 6. Mô hình DLNOPEN – LNFDI -6 -4 -2 0 2 4 6 2013 2014 2015 2016 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 2013 2014 2015 2016 CUSUM of Squares 5% Significance 212 7. Mô hình DLNKT – LNFDI -10.0 -7.5 -5.0 -2.5 0.0 2.5 5.0 7.5 10.0 2009 2010 2011 2012 2013 2014 2015 2016 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 2009 2010 2011 2012 2013 2014 2015 2016 CUSUM of Squares 5% Significance 213 8. Mô hình LNLD - LNFDI -6 -4 -2 0 2 4 6 2013 2014 2015 2016 CUSUM 5% Significance -0.4 0.0 0.4 0.8 1.2 1.6 2013 2014 2015 2016 CUSUM of Squares 5% Significance 214 `9. Mô hình DLNDSDT – LNFDI -6 -4 -2 0 2 4 6 2015 2016 CUSUM 5% Significance 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 2015 2016 CUSUM of Squares 5% Significance