1 B TR NG GIÁO D C VÀ ÀO T O I H C KINH T TP H D TH THANH SANG NGHIÊN C U TÁC C A L M PHÁT CHÍ MINH NG N T NG TR NG KINH T VI T NAM GIAI O N 1986 - 2013 LU N V N TH C S KINH T Tp H Chí Minh - N m 2015 B TR NG GIÁO D C VÀ ÀO T O I H C KINH T TP H D TH THANH SANG NGHIÊN C U TÁC C A L M PHÁT CHÍ MINH NG N T NG TR NG KINH T VI T NAM GIAI O N 1986 - 2013 Chuyên ngành: Tài – Ngân hàng Mã s : 60340201 LU N V N TH C S KINH T NG IH NG D N KHOA H C: TS NGUY N V N L Tp H Chí Minh - N m 2015 NG L I CAM OAN Tôi xin cam đoan lu n v n “Nghiên c u tác đ ng c a l m phát đ n t ng tr ng kinh t d is h Vi t Nam giai đo n 1986 – 2013” cơng trình nghiên c u c a ng d n c a TS Nguy n V n L nghiên c u trung th c ch a đ đ ng Các n i dung k t qu c công b S li u mơ hình phân tích c tác gi thu th p, x lý có ghi rõ ngu n g c Ngoài ra, lu n v n s d ng m t s n i dung tham kh o t nghiên c u tr c có ghi rõ danh m c tài li u tham kh o ph n trích d n Tp H Chí Minh, ngày 15 tháng n m 2015 H c viên th c hi n D Th Thanh Sang M CL C Trang Trang ph bìa L i cam đoan M cl c Danh m c ch vi t t t Danh m c b ng bi u, hình TĨM T T CH NG GI I THI U 1.1 V n đ nghiên c u 1.2 M c tiêu nghiên c u 1.3 it ng nghiên c u ph m vi nghiên c u 1.3.1 it ng nghiên c u 1.3.2 Ph m vi nghiên c u 1.4 Ph ng pháp nghiên c u 1.5 B c c lu n v n CH NG T NG QUAN LÝ THUY T VÀ CÁC NGHIÊN C U TR C ÂY 2.1 Lý thuy t t ng tr ng kinh t l m phát 2.1.1 Lý thuy t v t ng tr ng kinh t 2.1.2 Lý thuy t v l m phát 2.1.3 Lý thuy t v quan h gi a t ng tr ng kinh t l m phát 12 2.2 T ng quan nghiên c u v l m phát t ng tr ng kinh t tr 2.2.1 Nghiên c u v m i quan h gi a l m phát t ng tr 2.2.2 Nghiên c u v ng CH NG PH 3.1 Mơ hình ph c 16 ng kinh t 16 ng l m phát 20 NG PHÁP VÀ D LI U NGHIÊN C U 27 ng pháp nghiên c u 27 3.1.1 Mơ hình nghiên c u 27 3.1.2 Ph ng pháp nghiên c u 31 3.2 D li u nghiên c u 37 CH NG K T QU NGHIÊN C U 39 4.1 Th c tr ng v t ng tr ng kinh t l m phát Vi t Nam giai đo n 1986-2013 39 4.1.1 Th c tr ng t ng tr ng kinh t 39 4.1.2 Th c tr ng l m phát 41 4.1.3 M t s sách th c hi n liên quan đ n l m phát t ng tr t ng kinh Vi t Nam giai đo n 1986-2013 44 4.2 K t qu nghiên c u 48 4.2.1 Ki m đ nh nghi m đ n v bi n s d ng mô hình 48 4.2.2 cl ng mơ hình t ng tr 4.2.3 Phân tích ng CH ng kinh t 50 ng l m phát 58 NG K T LU N VÀ KI N NGH 63 5.1 K t lu n 63 5.2 M t s g i ý sách 64 5.2.1 G i ý sách nh m ki m ch l m phát, n đ nh t ng tr 5.2.2 G i ý sách t ng tr 5.3 H n ch c a nghiên c u h Tài li u tham kh o Ph l c ng 64 ng kinh t 65 ng nghiên c u ti p theo 66 DANH M C CÁC CH VI T T T ADF (Augmented Dickey Fuller): Ki m đ nh nghi m đ n v ADF BG: Ki m đ nh Breusch-Godfrey CPI (Consumer Price Index): Ch s giá tiêu dùng DW (Durbin Watson): Ki m đ nh Durbin Watson GDP (Gross Domestic Products): T ng s n ph m n c GSO: S li u t t ng c c th ng kê Vi t Nam NHTW: Ngân hàng trung ng OLS (Ordinary least square): Ph US (USD): ô la M 10 VN : Vi t Nam đ ng 11 WB: S li u t WorldBank ng pháp bình ph ng bé nh t DANH M C B NG BI U B ng 2.1: Tóm t t m t s nghiên c u th c nghi m v quan h gi a l m phát t ng tr ng kinh t 23 B ng 3.1: Tóm t t bi n s d ng mơ hình nghiên c u 30 B ng 3.2: Quy t c quy t đ nh s d ng ki m đ nh th ng kê d 35 B ng 4.1: T ng h p k t qu ki m đ nh nghi m đ n v theo ph ng pháp ki m đ nh ADF 49 B ng 4.2: Các mơ hình t ng tr ng kinh t ch a có y u t đ u t , chi tiêu ph t giá th B ng 4.3: Các mơ hình t ng tr giá th ng m i 52 ng có y u t đ u t , chi tiêu ph t ng m i 55 B ng 4.4: K t qu mơ hình t ng tr ph ng kinh t GDP bình quân đ u ng i theo ng pháp OLS 57 B ng 4.5: H s t ng quan gi a l m phát t ng tr ng theo giai đo n 58 B ng 4.6: H s t ng quan tích lu gi a l m phát t ng tr ng kinh t 60 DANH M C HÌNH Hình 4.1: GDP bình qn đ u ng i t c đ t ng tr ng (tính theo giá c đ nh n m 2005 -USD) 39 Hình 4.2: GDP bình quân đ u ng im ts n c khu v c (USD) 40 Hình 4.3: Di n bi n ch s giá tiêu dùng - CPI Vi t Nam (1986-2013) 41 Hình 4.4: L m phát t i n n c phát tri n, n c phát tri n châu Á, c m i n i phát tri n Vi t Nam giai đo n 2001- 2011 42 Hình 4.5: M c t ng cung ti n c a Vi t Nam so v i n Hình 4.6: L m phát t ng tr ng GDP bình quân đ u ng c 43 i Vi t Nam giai đo n 1986-2013 45 TÓM T T Lu n v n nghiên c u tác đ ng c a l m phát đ n t ng tr Nam giai đo n 1986 – 2013 ph l ng pháp h i qui bình ph ng mơ hình t ng tr ng kinh t Vi t th c hi n nghiên c u này, tác gi s d ng ng bé nh t (OLS- Ordinary least square) đ c ng kinh t v i bi n gi i thích theo nghiên c u c a Kanhaiya Singh Kaliappa Kalirajan (2003) t p chí Journal of Policy Modeling Tác gi nghiên c u m c nh h b ng h s t ng c a l m phát đ n t ng tr ng quan tích lu chu i th i gian đ xác đ nh ng c a Vi t Nam theo ph ng kinh t ng l m phát ng pháp nghiên c u c a Tr n Hoàng Ngân c ng s (2010) t p chí Ngân hàng s 13 tháng 7/2011 K t qu nghiên c u cho th y l m phát bi n gi i thích có tác đ ng ng đo n 1986 – 2013 Ng c chi u v i t ng tr ng l m phát đ c xác đ nh ng kinh t giai Vi t Nam 4%, Chính ph có th th c hi n bi n pháp ki m soát l m phát cho l m phát l m phát tác đ ng làm cho t ng tr T tr ng kinh t khố: L m phát, mơ hình t ng tr ng GDP bình quân đ u ng ARCH test CHSQ m c 4%/n m m c t t nh t ng kinh t , ng ng l m phát, t ng i, OLS, DW statistics, LM serial correlation, 10 CH NG GI I THI U 1.1 V n đ nghiên c u M t s nghiên c u g n ch ng minh v m i quan h gi a l m phát t ng tr ng kinh t cho r ng: có m i t ng quan ngh ch tác đ ng c a l m phát làm gi m đ u t t ng n ng su t (Stanley Fisher (1993), Robert J Barro (1995), Atish Ghosh Steven Phillips (1998)) nh ng m t s nghiên c u c a Michael Sarel (1995), Moshsin S Khan Abdelhak S Senhadji (2001) cho r ng tác h i c a l m phát đ n t ng tr ng kinh t không ph i ph bi n mà ch xu t hi n ng l m phát Các n c phát tri n th ng d b t n th ng ng v i cú s c ngu n cung gây bi n đ ng l n đ i v i l m phát làm nh h ng đ n tiêu dùng, ho t đ ng đ u t s n xu t Theo m t nghiên c u c a Kanhaiya Singh Kaliappa Kalirajan (2003) n đo n n m 1971 – 1998 nghiên c u m i liên h gi a l m phát t ng tr ng kinh t p chí Journal of Policy Modeling, b ng phân tích th c nghi m t t mơ hình h i qui đa bi n g m nh ng y u t nh h ng khác bên c nh y u t l m phát đ ki m tra s v ng m nh tác đ ng c a l m phát đ n t ng tr nghiên c u nh h ng m c c a l m phát đ i v i t ng tr ng kinh t ng kinh t n cho th y nghiên c u c a Kanhaiya Singh Kaliappa Kalirajan (2003) khơng tìm đ c m c ng ng l m phát phát có tác đ ng tiêu c c nghiên c u khác đ i v i tr n đ phát tri n kinh t b n v ng l m t t c m c t ng tr ng kinh t c a t Vi t Nam, nghiên c u s d ng ph ng quan c a l m phát t ng tr 5-6%, M t ng h p c a Vi t Nam, nghiên c u c a Tr n Hoàng Ngân c ng s (2010) v i chu i s li u l m phát t ng t đo n n m 1987-2010 n ng kinh t giai ng pháp phân tích h s ng kinh t xác đ nh ng ng l m phát m c l m phát không làm gây h i đ n n n kinh t n Trong b i c nh Vi t Nam m t nhóm n m c c c phát tri n trình h i nh p phát tri n hi n nay, trãi qua th i k kh ng ho ng kinh t toàn c u làm gia t ng l m phát gi m t c đ t ng tr n n kinh t Vi t Nam đ t ng c ng kinh t M c tiêu hi n c a ng n đ nh kinh t v mơ, ki m sốt l m 78 27 Tr ng Quang Hùng Nguy n Hoài B o, 2004 Nhìn l i lý thuy t truy n th ng v l m phát phân tích tr B- Trang Web s d ng tham kh o http://cafef.vn http://data.worldbank.org http://tapchitaichinh.vn http://voer.edu.vn http://www.chinhphu.vn http://www.gso.gov.vn http://www.worldbank.org ng h p Vi t Nam 79 Ph l c 1: K t qu ki m đ nh nghi m đ n v theo ph ng pháp ADF Null Hypothesis: YPC has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -3.068034 -3.699871 -2.976263 -2.627420 0.0412 *MacKinnon (1996) one-sided p-values Null Hypothesis: P has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -5.238211 -3.699871 -2.976263 -2.627420 0.0002 *MacKinnon (1996) one-sided p-values Null Hypothesis: AGRIV has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -0.989066 -3.699871 -2.976263 -2.627420 0.7425 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(AGRIV) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -4.722340 -3.711457 -2.981038 -2.629906 0.0009 *MacKinnon (1996) one-sided p-values 80 81 Null Hypothesis: POP has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.757914 -3.724070 -2.986225 -2.632604 0.3915 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(POP) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -2.231614 -3.711457 -2.981038 -2.629906 0.2006 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(POP,2) Method: Least Squares Date: 03/12/15 Time: 06:12 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob D(POP(-1)) C -0.123425 0.113676 0.055308 0.061586 -2.231614 1.845812 0.0352 0.0773 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.171846 0.137339 0.053763 0.069372 40.15044 4.980101 0.035239 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.021731 0.057885 -2.934649 -2.837872 -2.906781 2.064165 82 Null Hypothesis: LIT has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -0.089321 -3.752946 -2.998064 -2.638752 0.9396 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(LIT) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -2.720847 -3.752946 -2.998064 -2.638752 0.0858 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIT,2) Method: Least Squares Date: 05/12/15 Time: 06:24 Sample (adjusted): 1991 2013 Included observations: 23 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LIT(-1)) D(LIT(-1),2) D(LIT(-2),2) D(LIT(-3),2) C -0.029656 2.249664 -1.989791 0.749737 0.016458 0.010900 0.175109 0.331780 0.201248 0.006384 -2.720847 12.84723 -5.997318 3.725433 2.578017 0.0140 0.0000 0.0000 0.0015 0.0190 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.989846 0.987590 0.008672 0.001354 79.37977 438.6906 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.005900 0.077844 -6.467806 -6.220959 -6.405725 1.956790 83 Null Hypothesis: GDIZPV has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.409435 -3.724070 -2.986225 -2.632604 0.5614 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(GDIZPV) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -5.231410 -3.724070 -2.986225 -2.632604 0.0003 *MacKinnon (1996) one-sided p-values Null Hypothesis: GDIZPB has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -0.333797 -3.699871 -2.976263 -2.627420 0.9071 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(GDIZPB) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -6.274554 -3.711457 -2.981038 -2.629906 0.0000 *MacKinnon (1996) one-sided p-values 84 Null Hypothesis: GCEZ has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.687800 -3.752946 -2.998064 -2.638752 0.4239 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(GCEZ) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -5.058835 -3.711457 -2.981038 -2.629906 0.0004 *MacKinnon (1996) one-sided p-values Null Hypothesis: TOT has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -6.116549 -3.699871 -2.976263 -2.627420 0.0000 85 cl Ph l c 2: K t qu ng h i qui ki m đ nh mơ hình (1) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 06:50 Sample: 1986 2013 Included observations: 28 Variable Coefficient Std Error t-Statistic Prob C P 5.516784 -0.011674 0.254778 0.002158 21.65331 -5.408315 0.0000 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.529411 0.511311 0.025209 39.02954 -44.37988 29.24987 0.000011 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 4.941879 1.752644 3.312848 3.408006 3.341939 1.809117 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 3.430390 6.224789 Prob F(2,24) Prob Chi-Square(2) 0.3089 0.4045 Prob F(1,25) Prob Chi-Square(1) 0.2413 0.2252 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 1.440590 1.471069 Null Hypothesis: E1 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.000573 -3.699871 -2.976263 -2.627420 0.0475 86 Ph l c 3: K t qu cl ng h i qui ki m đ nh mơ hình (2) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 09:30 Sample (adjusted): 1987 2013 Included observations: 27 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV 5.431076 -0.010929 0.171862 0.321496 0.004037 0.130904 16.89312 -2.706962 1.312885 0.0000 0.0123 0.0588 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.578408 0.526609 0.025726 38.44949 -43.08371 7.305279 0.003327 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.108867 1.542432 3.413608 3.557590 3.456421 1.712441 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 3.585703 6.637594 Prob F(2,22) Prob Chi-Square(2) 0.4049 0.3062 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 2.215035 2.196865 Prob F(1,24) Prob Chi-Square(1) 0.1497 0.1383 Null Hypothesis: E2 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=6) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.111368 -3.711457 -2.981038 -2.629906 0.0381 87 Ph l c 4: K t qu cl ng h i qui ki m đ nh mơ hình (3) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 09:42 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV DPOPL1 5.641754 -0.017225 0.091571 -0.137276 2.018740 0.006892 0.071722 0.135923 2.794691 -2.499274 1.276749 -1.009954 0.0106 0.0359 0.0599 0.0183 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.577161 0.533137 0.027470 34.23599 -40.46975 2.279877 0.007529 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.264377 1.339846 3.420750 3.614303 3.476487 1.766602 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.229761 12.47929 Prob F(2,20) Prob Chi-Square(2) 0.4014 0.4020 Prob F(1,23) Prob Chi-Square(1) 0.1368 0.1260 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 2.376605 2.341334 Null Hypothesis: E3 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=5) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.107795 -3.737853 -2.991878 -2.635542 0.0394 88 Ph l c 5: K t qu cl ng h i qui ki m đ nh mơ hình (4) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 10:02 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV DPOPL1 DLITL1 6.424033 -0.017604 0.077233 -0.121383 0.191786 2.709834 0.007073 0.027911 0.047824 0.094816 2.370637 -2.488901 2.767116 -2.538118 2.022717 0.0274 0.0245 0.0686 0.0849 0.0620 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.594235 0.540279 0.020892 33.91852 -40.34864 1.696601 0.088390 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.264377 1.339846 3.488357 3.730299 3.558027 1.767131 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 3.404314 12.20444 Prob F(2,19) Prob Chi-Square(2) 0.1024 0.1022 Prob F(1,23) Prob Chi-Square(1) 0.1651 0.1521 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 2.055504 2.050951 Null Hypothesis: E4 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=5) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.199791 -3.724070 -2.986225 -2.632604 0.02112 89 Ph l c 6: K t qu cl ng h i qui ki m đ nh mơ hình (5) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 11:15 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV DPOPL1 DLITL1 DGDIZPV 5.442580 -0.017164 0.060784 -0.146458 0.349362 0.063477 1.749224 0.007209 0.016367 0.120710 0.305783 0.029764 3.111425 -2.380912 3.713814 -1.213304 1.142516 2.132677 0.0002 0.0322 0.0030 0.0797 0.0896 0.0318 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.609229 0.574037 0.089293 33.24555 -40.08812 2.399783 0.002677 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.264377 1.339846 3.545240 3.835570 3.628845 1.711313 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.919308 13.63168 Prob F(2,18) Prob Chi-Square(2) 0.1612 0.1811 Prob F(1,23) Prob Chi-Square(1) 0.1381 0.1271 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 2.360907 2.327310 Null Hypothesis: E5 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=5) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.139177 -3.737853 -2.991878 -2.635542 0.0369 90 Ph l c 7: K t qu cl ng h i qui ki m đ nh mơ hình (6) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 11:47 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV DPOPL1 DLITL1 DGDIZPV DGDIZPB 5.513058 -0.016546 0.124388 -0.157181 0.064040 0.066971 -0.042410 2.833039 0.007853 0.025497 0.085011 0.047012 0.030318 0.033015 1.945987 -2.106965 4.878534 -1.848948 1.362205 2.208951 -1.284567 0.0330 0.0041 0.0021 0.0543 0.0703 0.0246 0.0892 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.621317 0.580049 0.030922 33.15186 -40.05143 2.120243 0.037671 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.264377 1.339846 3.619341 3.958059 3.716879 1.725057 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 10.77334 14.53338 Prob F(2,17) Prob Chi-Square(2) 0.2010 0.2107 Prob F(1,23) Prob Chi-Square(1) 0.1387 0.1277 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 2.353095 2.320323 Null Hypothesis: E6 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=5) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.127734 -3.737853 -2.991878 -2.635542 0.0378 91 Ph l c 8: K t qu cl ng h i qui ki m đ nh mơ hình (7) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 12:11 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV DPOPL1 DLITL1 DGDIZPV DGDIZPB DGCEZ 5.450569 -0.015487 0.140696 -0.163143 0.294662 0.069465 -0.051712 -0.064450 2.908855 0.008693 0.116551 0.143433 0.247906 0.046129 0.028912 0.200495 1.873785 -1.781548 1.207162 -1.137416 1.188603 1.505885 -1.788599 -0.321457 0.0397 0.0538 0.0641 0.0784 0.0798 0.0210 0.0083 0.1516 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.665534 0.620092 0.033239 32.96263 -39.97701 2.929655 0.050649 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.264377 1.339846 3.690539 4.077646 3.802012 1.689631 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 3.90982 14.02487 Prob F(1,17) Prob Chi-Square(1) 0.2003 0.2402 Prob F(1,23) Prob Chi-Square(1) 0.1769 0.1717 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 3.430086 3.244490 Null Hypothesis: E7 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=5) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.180726 -3.737853 -2.991878 -2.635542 0.0339 92 Ph l c 9: K t qu cl ng h i qui ki m đ nh mơ hình (8) Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 12:36 Sample (adjusted): 1988 2013 Included observations: 26 after adjustments Variable Coefficient Std Error t-Statistic Prob C P DAGRIV DPOPL1 DLITL1 DGDIZPV DGDIZPB DGCEZ TOT 5.227682 -0.016970 0.133113 -0.161145 0.123211 0.051886 -0.089030 -0.004126 0.120198 2.877462 0.009669 0.118103 0.074859 0.085804 0.011545 0.070193 0.204613 0.070224 1.816768 -1.755093 1.127092 -2.152646 1.435958 4.494239 -1.268360 -0.167634 1.711637 0.0450 0.0424 0.0883 0.0037 0.0949 0.0034 0.0650 0.1604 0.0419 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.703998 0.650880 0.035901 30.33874 -38.89868 2.018484 0.045901 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.264377 1.339846 3.684514 4.120009 3.809920 1.840454 Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 2.79762 15.89513 Prob F(2,15) Prob Chi-Square(2) 0.3108 0.3204 Prob F(1,23) Prob Chi-Square(1) 0.2153 0.1991 Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 1.623788 1.648597 Null Hypothesis: E8 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=5) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -3.255919 -3.737853 -2.991878 -2.635542 0.0289