Luận văn Thạc sĩ Kinh tế: Đánh giá tác động của các biến kinh tế vĩ mô đến thị trường chứng khoán Việt Nam

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TÀI LIU THAM KHO
A. Tài liu Tiếng Vit
1. B tài chính, 2012. T giá hch toán hàng tháng.
http://www.mof.gov.vn/portal/page/portal/mof_vn/1641775
2. Chính ph, 2099. Ngh định s 09/2009/NĐ-CP ngày 05/02/2009 v/v Ban
hành quy chế qun lý tài chính ca Công ty nhà nước qun vn nhà
nước đầu vào lĩnh vc khác. http://hudfic.com.vn/Home/van-ban-tai-
lieu/nghidinh/2009/11/632.aspx
3. Fiachra Mac Cana, 2010. Th trường chng khoán Vit Nam Trin vng và
các nhân t tác đng.www.hsc.com.vn/hscportal/downloadFile?fileid=69605
4. Ngân hàng Nhà nước Vit Nam, 2011. Thông tư số 13/2011/TT-NHNN v
vic Quy đnh vic mua, bán ngoi t ca Tập đoàn kinh tế, Tng công ty nhà
nước.<http://vbqppl.moj.gov.vn/vbpq/Lists/Vn%20bn%20php%20lut/View_
Detail.aspx?ItemID=26602>
5. Ngân hàng Nhà nước Vit Nam, 2012. Lãi suất bản.
http://www.sbv.gov.vn/wps/portal/vn
6. Nguyn Hu Tun, 2012. Ch s chng khoán chịu tác động mnh bi yếu t
vĩ mô nào. http://www.bsc.com.vn/News/2012/2/27/222582.aspx
7. Nguyn Trng Hoài cng s, 2009. D báo phân tích d liu trong
kinh tế và tài chính. Hà Ni: Nhà Xut bn Thng kê.
8. Phan Th Bích Nguyt Phạm Dương Phương Thảo, 2013, Phân tích tác
động ca các nhân t kinh tế mô đến th trường chng khoán Vit Nam.
http://www.uef.edu.vn/resources/newsletter_uef/thang01_2013/6_phan_tich_
tac_dong.pdf
9. S giao dch chng khoán TP.HCM, 2012. Biểu đồ VN-Index giá c
phiếu. http://www.hsx.vn/hsx/Modules/Statistic/VN_Index_Stock.aspx
52 TÀI LIỆU THAM KHẢO A. Tài liệu Tiếng Việt 1. Bộ tài chính, 2012. Tỷ giá hạch toán hàng tháng. http://www.mof.gov.vn/portal/page/portal/mof_vn/1641775 2. Chính phủ, 2099. Nghị định số 09/2009/NĐ-CP ngày 05/02/2009 v/v Ban hành quy chế quản lý tài chính của Công ty nhà nước và quản lý vốn nhà nước đầu tư vào lĩnh vực khác. http://hudfic.com.vn/Home/van-ban-tai- lieu/nghidinh/2009/11/632.aspx 3. Fiachra Mac Cana, 2010. Thị trường chứng khoán Việt Nam – Triển vọng và các nhân tố tác động.www.hsc.com.vn/hscportal/downloadFile?fileid=69605 4. Ngân hàng Nhà nước Việt Nam, 2011. Thông tư số 13/2011/TT-NHNN về việc Quy định việc mua, bán ngoại tệ của Tập đoàn kinh tế, Tổng công ty nhà nước.<http://vbqppl.moj.gov.vn/vbpq/Lists/Vn%20bn%20php%20lut/View_ Detail.aspx?ItemID=26602> 5. Ngân hàng Nhà nước Việt Nam, 2012. Lãi suất cơ bản. http://www.sbv.gov.vn/wps/portal/vn 6. Nguyễn Hữu Tuấn, 2012. Chỉ số chứng khoán chịu tác động mạnh bởi yếu tố vĩ mô nào. http://www.bsc.com.vn/News/2012/2/27/222582.aspx 7. Nguyễn Trọng Hoài và cộng sự, 2009. Dự báo và phân tích dữ liệu trong kinh tế và tài chính. Hà Nội: Nhà Xuất bản Thống kê. 8. Phan Thị Bích Nguyệt và Phạm Dương Phương Thảo, 2013, Phân tích tác động của các nhân tố kinh tế vĩ mô đến thị trường chứng khoán Việt Nam. http://www.uef.edu.vn/resources/newsletter_uef/thang01_2013/6_phan_tich_ tac_dong.pdf 9. Sở giao dịch chứng khoán TP.HCM, 2012. Biểu đồ VN-Index và giá cổ phiếu. http://www.hsx.vn/hsx/Modules/Statistic/VN_Index_Stock.aspx
53
10. Tng cc thng kê, 2012. Ch s giá tiêu dùng các tháng trong năm.
http://www.gso.gov.vn/default.aspx?tabid=628&ItemID=12530
11. Tng cc thng kê, 2012. Ch s sn xut công nghip các tháng trong năm.
http://www.gso.gov.vn/default.aspx?tabid=630&idmid=4
B. Tài liu Tiếng Anh
1. Ahmet, B., 2010. The effects of Macroeconomics Variables on Stock
Returns: Evidence from Turkey. European Journal of Social Sciences, 14:
404-416.
2. Chen, N. F., Roll, R. and Ross, S. A., 1986. Economic Forces and the Stock
Market. The Journal of Business, 59: 383-403.
3. Cheung, Y.W. and Lilian, K. Ng., 1998. International evidence on the stock
market and aggregate economic activity. Journal of Empirical Finance, 5:
281-296.
4. Dickey, D. A. and Fuller, W. A., 1979. Distribution of the Estimators for
Autoregressive Time Series With a Unit Root. Journal of the American
Statistical Association, 74: 427-431.
5. Gujarati, 2004. Basic Econometrics. 4
th
ed. The Magraw Hill Companies
6. Hosseini, S. M., Ahmad, Z. and Lai, Y. W., 2011. The role of
Macroeconomics Variables on Stock Market Index in China and India.
International Journal of Economics and Finance, 3: 233-243.
7. Ibrahim, M. H., 1999. Macroeconomic Variables and Stock Prices in
Malaysia: An Empirical Analysis. Asian Economic Journal, 13: 219-231.
8. Ibrahim, M. H. and Yusoff, W. S. W., 2001. Macroeconomic variables,
exchange rate and stock price: A Malaysian perspective. IIUM Journal of
Economics and Management, 9: 141-163.
53 10. Tổng cục thống kê, 2012. Chỉ số giá tiêu dùng các tháng trong năm. http://www.gso.gov.vn/default.aspx?tabid=628&ItemID=12530 11. Tổng cục thống kê, 2012. Chỉ số sản xuất công nghiệp các tháng trong năm. http://www.gso.gov.vn/default.aspx?tabid=630&idmid=4 B. Tài liệu Tiếng Anh 1. Ahmet, B., 2010. The effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey. European Journal of Social Sciences, 14: 404-416. 2. Chen, N. F., Roll, R. and Ross, S. A., 1986. Economic Forces and the Stock Market. The Journal of Business, 59: 383-403. 3. Cheung, Y.W. and Lilian, K. Ng., 1998. International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance, 5: 281-296. 4. Dickey, D. A. and Fuller, W. A., 1979. Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74: 427-431. 5. Gujarati, 2004. Basic Econometrics. 4 th ed. The Magraw Hill Companies 6. Hosseini, S. M., Ahmad, Z. and Lai, Y. W., 2011. The role of Macroeconomics Variables on Stock Market Index in China and India. International Journal of Economics and Finance, 3: 233-243. 7. Ibrahim, M. H., 1999. Macroeconomic Variables and Stock Prices in Malaysia: An Empirical Analysis. Asian Economic Journal, 13: 219-231. 8. Ibrahim, M. H. and Yusoff, W. S. W., 2001. Macroeconomic variables, exchange rate and stock price: A Malaysian perspective. IIUM Journal of Economics and Management, 9: 141-163.
54
9. Ibrahim, M. H. and Aziz, H. 2003. Macroeconomic variables and the
Malaysian equity market: A view through rolling subsamples. Journal of
Economics Studies, 30: 6-27.
10. Kwon, C. S. and Shin, T. S., 1999. Cointegration and causality between
macroeconomic variables and stock market returns. Global Finance Journal,
10: 71-81.
11. Mahmood, W. M. W. and Dinniah, N. M., 2009. Stock returns and
Macroeconomics Variables: Evidence from six Asian Pacific Countries.
International Research Journal of Finance and Economics, 30: 154-164.
12. Maysami, R. C. and Koh, T. S., 2000. A vector error correction model of the
Singapore stock market. International Review of Economics and Finance, 9:
79-96.
13. Mehmet, G., Ismail, C. and Omer, B., 2012. Causal relationship between
macroeconomics variables and stock index in emerging economies: An
empirical application for Turkey. Africa Journal of Business Management, 6:
6177-6182.
14. Mookerjee, R. and Yu, Q., 1997. Macroeconomic variables and stock prices
in a small open economy: The case of Singapore. Pacific-Basin Finance
Journal, 5: 377 388.
15. Mukherjee, T. K. and Naka, A., 1995. Dynamic Relations between
macroeconomic variables and the Japanese stock market: an application of a
vector error correction model. The Journal of Financial Research, 18: 223 -
237.
16. Robert, D. and Gay, Jr., 2008. Effect of Macroeconomic Variables On Stock
Market Returns For Four Emerging Economies: Brazil, Russia, India and
China. International Business & Economics Research Journal, 7: 1-8.
54 9. Ibrahim, M. H. and Aziz, H. 2003. Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economics Studies, 30: 6-27. 10. Kwon, C. S. and Shin, T. S., 1999. Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10: 71-81. 11. Mahmood, W. M. W. and Dinniah, N. M., 2009. Stock returns and Macroeconomics Variables: Evidence from six Asian Pacific Countries. International Research Journal of Finance and Economics, 30: 154-164. 12. Maysami, R. C. and Koh, T. S., 2000. A vector error correction model of the Singapore stock market. International Review of Economics and Finance, 9: 79-96. 13. Mehmet, G., Ismail, C. and Omer, B., 2012. Causal relationship between macroeconomics variables and stock index in emerging economies: An empirical application for Turkey. Africa Journal of Business Management, 6: 6177-6182. 14. Mookerjee, R. and Yu, Q., 1997. Macroeconomic variables and stock prices in a small open economy: The case of Singapore. Pacific-Basin Finance Journal, 5: 377 – 388. 15. Mukherjee, T. K. and Naka, A., 1995. Dynamic Relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. The Journal of Financial Research, 18: 223 - 237. 16. Robert, D. and Gay, Jr., 2008. Effect of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India and China. International Business & Economics Research Journal, 7: 1-8.
55
17. Ssekuma, R., 2011. A study of cointegration models with applications.
http://uir.unisa.ac.za/bitstream/handle/10500/4821/thesis_ssekuma_r.pdf?se
quence=1
18. Sohail, N. and Hussain, Z., 2011. The Macroeconomic Variables and Stock
Returns in Pakistan: The Case of KSE 100 Index. International Research
Journal of Finance and Economics, 80: 66-74.
19. Tunah, H., 2010. The analysis of Relationships between Macroeconomic
Factors and Stock Returns: Evidence from Turkey using Var Model.
International Research Journal of Finance and Economics, 57: 169-182.
20. Wong, W-K., 2005. Money, Interest rate, and Stock Prices: New Evidence
from Singapore and the United States. U21 Global Working paper. No
007/2005
55 17. Ssekuma, R., 2011. A study of cointegration models with applications. http://uir.unisa.ac.za/bitstream/handle/10500/4821/thesis_ssekuma_r.pdf?se quence=1 18. Sohail, N. and Hussain, Z., 2011. The Macroeconomic Variables and Stock Returns in Pakistan: The Case of KSE 100 Index. International Research Journal of Finance and Economics, 80: 66-74. 19. Tunah, H., 2010. The analysis of Relationships between Macroeconomic Factors and Stock Returns: Evidence from Turkey using Var Model. International Research Journal of Finance and Economics, 57: 169-182. 20. Wong, W-K., 2005. Money, Interest rate, and Stock Prices: New Evidence from Singapore and the United States. U21 Global Working paper. No 007/2005
56
PH LC 1
KT QU KIM ĐNH TÍNH DNG BẰNG PHƢƠNG PHÁP ADF
Null Hypothesis: IR has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-1.835717
0.3608
Test critical values:
1% level
-3.516676
5% level
-2.899115
10% level
-2.586866
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IR)
Method: Least Squares
Date: 09/04/12 Time: 10:42
Sample (adjusted): 2006M02 2012M07
Included observations: 78 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
IR(-1)
-0.080386
0.043790
-1.835717
0.0703
C
0.008514
0.004726
1.801331
0.0756
R-squared
0.042458
Mean dependent var
0.000188
Adjusted R-squared
0.029858
S.D. dependent var
0.011932
S.E. of regression
0.011752
Akaike info criterion
-6.024204
Sum squared resid
0.010497
Schwarz criterion
-5.963776
Log likelihood
236.9440
Hannan-Quinn criter.
-6.000014
F-statistic
3.369855
Durbin-Watson stat
1.698008
Prob(F-statistic)
0.070311
56 PHỤ LỤC 1 KẾT QUẢ KIỂM ĐỊNH TÍNH DỪNG BẰNG PHƢƠNG PHÁP ADF Null Hypothesis: IR has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.835717 0.3608 Test critical values: 1% level -3.516676 5% level -2.899115 10% level -2.586866 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IR) Method: Least Squares Date: 09/04/12 Time: 10:42 Sample (adjusted): 2006M02 2012M07 Included observations: 78 after adjustments Variable Coefficient Std. Error t-Statistic Prob. IR(-1) -0.080386 0.043790 -1.835717 0.0703 C 0.008514 0.004726 1.801331 0.0756 R-squared 0.042458 Mean dependent var 0.000188 Adjusted R-squared 0.029858 S.D. dependent var 0.011932 S.E. of regression 0.011752 Akaike info criterion -6.024204 Sum squared resid 0.010497 Schwarz criterion -5.963776 Log likelihood 236.9440 Hannan-Quinn criter. -6.000014 F-statistic 3.369855 Durbin-Watson stat 1.698008 Prob(F-statistic) 0.070311
57
Null Hypothesis: LNCPI has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-0.351212
0.9113
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNCPI)
Method: Least Squares
Date: 09/04/12 Time: 10:43
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LNCPI(-1)
-0.001270
0.003615
-0.351212
0.7264
D(LNCPI(-1))
0.678694
0.085557
7.932616
0.0000
C
0.009339
0.018943
0.492996
0.6235
R-squared
0.459566
Mean dependent var
0.009018
Adjusted R-squared
0.444960
S.D. dependent var
0.009589
S.E. of regression
0.007144
Akaike info criterion
-7.006963
Sum squared resid
0.003777
Schwarz criterion
-6.915646
Log likelihood
272.7681
Hannan-Quinn criter.
-6.970437
F-statistic
31.46348
Durbin-Watson stat
1.924246
Prob(F-statistic)
0.000000
57 Null Hypothesis: LNCPI has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.351212 0.9113 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNCPI) Method: Least Squares Date: 09/04/12 Time: 10:43 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNCPI(-1) -0.001270 0.003615 -0.351212 0.7264 D(LNCPI(-1)) 0.678694 0.085557 7.932616 0.0000 C 0.009339 0.018943 0.492996 0.6235 R-squared 0.459566 Mean dependent var 0.009018 Adjusted R-squared 0.444960 S.D. dependent var 0.009589 S.E. of regression 0.007144 Akaike info criterion -7.006963 Sum squared resid 0.003777 Schwarz criterion -6.915646 Log likelihood 272.7681 Hannan-Quinn criter. -6.970437 F-statistic 31.46348 Durbin-Watson stat 1.924246 Prob(F-statistic) 0.000000
58
Null Hypothesis: LNEXC has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-0.025158
0.9529
Test critical values:
1% level
-3.516676
5% level
-2.899115
10% level
-2.586866
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNEXC)
Method: Least Squares
Date: 09/04/12 Time: 10:43
Sample (adjusted): 2006M02 2012M07
Included observations: 78 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LNEXC(-1)
-0.000319
0.012686
-0.025158
0.9800
C
0.006597
0.124214
0.053113
0.9578
R-squared
0.000008
Mean dependent var
0.003473
Adjusted R-squared
-0.013149
S.D. dependent var
0.011537
S.E. of regression
0.011612
Akaike info criterion
-6.048179
Sum squared resid
0.010248
Schwarz criterion
-5.987750
Log likelihood
237.8790
Hannan-Quinn criter.
-6.023988
F-statistic
0.000633
Durbin-Watson stat
2.090407
Prob(F-statistic)
0.979995
58 Null Hypothesis: LNEXC has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.025158 0.9529 Test critical values: 1% level -3.516676 5% level -2.899115 10% level -2.586866 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNEXC) Method: Least Squares Date: 09/04/12 Time: 10:43 Sample (adjusted): 2006M02 2012M07 Included observations: 78 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNEXC(-1) -0.000319 0.012686 -0.025158 0.9800 C 0.006597 0.124214 0.053113 0.9578 R-squared 0.000008 Mean dependent var 0.003473 Adjusted R-squared -0.013149 S.D. dependent var 0.011537 S.E. of regression 0.011612 Akaike info criterion -6.048179 Sum squared resid 0.010248 Schwarz criterion -5.987750 Log likelihood 237.8790 Hannan-Quinn criter. -6.023988 F-statistic 0.000633 Durbin-Watson stat 2.090407 Prob(F-statistic) 0.979995
59
Null Hypothesis: LNIPI has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-0.417176
0.9000
Test critical values:
1% level
-3.520307
5% level
-2.900670
10% level
-2.587691
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNIPI)
Method: Least Squares
Date: 09/04/12 Time: 10:43
Sample (adjusted): 2006M05 2012M07
Included observations: 75 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LNIPI(-1)
-0.021830
0.052327
-0.417176
0.6778
D(LNIPI(-1))
-0.615330
0.121840
-5.050309
0.0000
D(LNIPI(-2))
-0.455722
0.128539
-3.545388
0.0007
D(LNIPI(-3))
-0.270269
0.114664
-2.357046
0.0212
C
0.120527
0.258262
0.466685
0.6422
R-squared
0.312886
Mean dependent var
0.005680
Adjusted R-squared
0.273622
S.D. dependent var
0.073111
S.E. of regression
0.062311
Akaike info criterion
-2.649018
Sum squared resid
0.271786
Schwarz criterion
-2.494519
Log likelihood
104.3382
Hannan-Quinn criter.
-2.587329
F-statistic
7.968837
Durbin-Watson stat
2.077496
Prob(F-statistic)
0.000024
59 Null Hypothesis: LNIPI has a unit root Exogenous: Constant Lag Length: 3 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.417176 0.9000 Test critical values: 1% level -3.520307 5% level -2.900670 10% level -2.587691 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNIPI) Method: Least Squares Date: 09/04/12 Time: 10:43 Sample (adjusted): 2006M05 2012M07 Included observations: 75 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNIPI(-1) -0.021830 0.052327 -0.417176 0.6778 D(LNIPI(-1)) -0.615330 0.121840 -5.050309 0.0000 D(LNIPI(-2)) -0.455722 0.128539 -3.545388 0.0007 D(LNIPI(-3)) -0.270269 0.114664 -2.357046 0.0212 C 0.120527 0.258262 0.466685 0.6422 R-squared 0.312886 Mean dependent var 0.005680 Adjusted R-squared 0.273622 S.D. dependent var 0.073111 S.E. of regression 0.062311 Akaike info criterion -2.649018 Sum squared resid 0.271786 Schwarz criterion -2.494519 Log likelihood 104.3382 Hannan-Quinn criter. -2.587329 F-statistic 7.968837 Durbin-Watson stat 2.077496 Prob(F-statistic) 0.000024
60
Null Hypothesis: LNM2 has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-2.239160
0.1944
Test critical values:
1% level
-3.516676
5% level
-2.899115
10% level
-2.586866
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNM2)
Method: Least Squares
Date: 09/04/12 Time: 10:44
Sample (adjusted): 2006M02 2012M07
Included observations: 78 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LNM2(-1)
-0.013870
0.006194
-2.239160
0.0281
C
0.213530
0.088166
2.421913
0.0178
R-squared
0.061889
Mean dependent var
0.016190
Adjusted R-squared
0.049545
S.D. dependent var
0.022312
S.E. of regression
0.021753
Akaike info criterion
-4.792854
Sum squared resid
0.035962
Schwarz criterion
-4.732426
Log likelihood
188.9213
Hannan-Quinn criter.
-4.768664
F-statistic
5.013835
Durbin-Watson stat
2.056972
Prob(F-statistic)
0.028071
60 Null Hypothesis: LNM2 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.239160 0.1944 Test critical values: 1% level -3.516676 5% level -2.899115 10% level -2.586866 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2) Method: Least Squares Date: 09/04/12 Time: 10:44 Sample (adjusted): 2006M02 2012M07 Included observations: 78 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNM2(-1) -0.013870 0.006194 -2.239160 0.0281 C 0.213530 0.088166 2.421913 0.0178 R-squared 0.061889 Mean dependent var 0.016190 Adjusted R-squared 0.049545 S.D. dependent var 0.022312 S.E. of regression 0.021753 Akaike info criterion -4.792854 Sum squared resid 0.035962 Schwarz criterion -4.732426 Log likelihood 188.9213 Hannan-Quinn criter. -4.768664 F-statistic 5.013835 Durbin-Watson stat 2.056972 Prob(F-statistic) 0.028071
61
Null Hypothesis: LNVNI has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-2.186557
0.2128
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNVNI)
Method: Least Squares
Date: 09/04/12 Time: 10:44
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LNVNI(-1)
-0.081730
0.037378
-2.186557
0.0319
D(LNVNI(-1))
0.367700
0.104798
3.508659
0.0008
C
0.510125
0.233898
2.180968
0.0324
R-squared
0.170181
Mean dependent var
0.000769
Adjusted R-squared
0.147753
S.D. dependent var
0.121566
S.E. of regression
0.112226
Akaike info criterion
-1.498416
Sum squared resid
0.932012
Schwarz criterion
-1.407099
Log likelihood
60.68902
Hannan-Quinn criter.
-1.461890
F-statistic
7.588020
Durbin-Watson stat
2.014504
Prob(F-statistic)
0.001006
61 Null Hypothesis: LNVNI has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.186557 0.2128 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNVNI) Method: Least Squares Date: 09/04/12 Time: 10:44 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNVNI(-1) -0.081730 0.037378 -2.186557 0.0319 D(LNVNI(-1)) 0.367700 0.104798 3.508659 0.0008 C 0.510125 0.233898 2.180968 0.0324 R-squared 0.170181 Mean dependent var 0.000769 Adjusted R-squared 0.147753 S.D. dependent var 0.121566 S.E. of regression 0.112226 Akaike info criterion -1.498416 Sum squared resid 0.932012 Schwarz criterion -1.407099 Log likelihood 60.68902 Hannan-Quinn criter. -1.461890 F-statistic 7.588020 Durbin-Watson stat 2.014504 Prob(F-statistic) 0.001006