TI LIU VECM

I. GII THIU M HNH VECM

I.1. Hi quy gi mo
Hu ht cc chui thi gian trong kinh t v m c xu hng v do trong hu ht
nhng trng hp l chui khng dng (v d GDP, FDI). Vn ca chui thi gian
khng dng hay c xu hng l hi quy OLS c th dn n nhng kt lun khng
chnh xc. Theo Asteriou, trong nhng trng hp ny kt qu hi quy c R2 cao v c
gi tr t cao nhng cc bin c s dng trong phn tch khng c gi tr gii thch.
Asteriou ni r nhiu chui thi gian kinh t c bit c t l tng trng c bn, c th
l hng s hoc khng, v d GDP, gi, cung tin c xu hng tng trng theo hng
nm. Nhng chui thi gian nh vy l khng dng v trung bnh tip tc tng theo thi
gian tuy nhin nhng chui ny li khng c ng lin kt m sai phn ca n c th
dng theo thi gian. y l mt trong nhng l do chnh ca vic ly log cc d liu
trc khi tin hnh phn tch.
Hi quy gia hai chui d liu khng lin quan (v khng dng) iu m chng ta nhn
c qua h s R2 cao chng qua th hin xu th cng nhau (hoc tri ngc nhau) ca
hai chui d liu. Mc d R2 c th cao nhng kt qu c th khng c ngha kinh t.
Bi v cc c lng ca OLS c th khng bn vng theo thi gian, v do cc kim
nh thng k c suy ra t m hnh l khng c gi tr.
Granger v Newbold (1974) s dng phn tch m phng Monter Carlo to ra mt
lng ln cc chui Yt v Xt c nghim n v theo dng sau:
Yt Yt 1 eyt
X t X t 1 ext

thnh phn eyt v ext l do my t ng to mt cch ngu nhin.

V chui d liu Yt v Xt l c lp vi nhau nn bt k hi quy no gia chng cng
dn n kt qu khng chnh xc. Tuy nhin, khi h hi quy rt nhiu Yt khc nhau theo
Xt th kt qu l h bc b gi thit Ho l h s ca Xt bng khng vi khong 75%

trng hp. H cng tm ra rng cc phng trnh hi quy ca h c R2 rt cao v DW

thp.
I.2. Gii thch vn hi quy gi mo.
Theo Asteriou, ngun gc ca vn hi quy gi mo n t thc t X v Y l hai chui
khng dng, do s kt hp tuyn tnh ca chng (phn d ca pt hi quy) c th
khng dng. Nu iu ny xy ra th khi kt hp X v Y trong mt phng trnh hi
quy, chng ta vi phm nhng gi nh c bn ca OLS. Nu phn d l khng dng,
chng ta k vng rng theo thi gian rt cuc nhng phn d ny cng s ln ln.
Nhng ti sao OLS li c kt qu R2 cao, l v OLS la chn nhng thng s sao cho
cc tng phn d bnh phng l b nht.
I.3. ng lin kt
Khi nim v ng lin kt c Granger nhc n u tin v sau c cc tc
gi khc nghin cu k hn. Cc chui thi gian trong kinh t gy ra mt vn kh
khn tim tng trong nghin cu kinh t lng thc nghim v vn hi quy gi mo.
Mt cch gii quyt vn l ly sai phn ca chui cho n khi no tnh dng
t c th dng li. Tuy nhin, tng ny khng phi l ti u v chng ta s mt i
tnh di hn, nhng thng tin di hn qu gi ca chui d liu.
Mt s kt hp tuyn tnh ca hai chui d liu khng dng thng thng s c k
vng l khng dng. Tuy nhin, v tnh cht c bit, trong mt s trng hp nht nh,
chng ta k vng rng chng s di chuyn cng nhau v do s kt hp ca hai chui
ny l dng. Trong nhng trng hp nh vy, ta gi hai chui d liu ny l c tnh
ng lin kt.
Kim nh ng lin kt
Kim inh ng lin kt theo phng php Jonhansen
Mc tiu: Xc nh s t hp tuyn tnh ca mt s bin khng dng vi mt s bin
dng, t cho thy tn ti bao nhiu mi quan h cn bng trong di hn
Trong phng trnh ng lin kt ny, bin Yit c th c trung bnh khc 0, c th c
xu hng. Do , phng trnh ng lin kt c th c thm h s chn v tnh xu th:

Cc trng hp kim nh
3.1.

Kim nh Trace Statistics

Gi thuyt H0: C nhiu nht r mi quan h ng lin kt (r = 0, 1, 2, , k-1)

H1: C m mi quan h ng lin kt
Kt qu thng k s tun theo kim nh: LRtr = - n
=+1 log(1 )
Vi l cc gi tr ring c sp xp theo th t t ln n nh nht.
3.2.

Kim nh Maximum Eigenvalue

Gi thuyt H0: C nhiu nht r mi quan h ng lin kt (r = 0, 1, 2, , k-1)

H1: C m mi quan h ng lin kt
Kt qu thng k s theo kim nh: LRmax ( + 1) = - n. log(1 )
= LRtr ( + 1 ) LRtr( )
I.4. M hnh VECM (Vector Error Correcrtion Model):
Khi xem xt mt chui cc bin khng dng chng ta cn thn trng khi m t mi
quan h gia cc bin ny. Mi quan h ny ph thuc nhiu vo tnh cht dng ca
mi bin. Gi s nu 2 bin khng dng ny u l 2 chui tch hp cng bc p, iu
ny c th hm cho vic xem xt mt mi quan h cn bng di hn gia 2 bin ny.
Khi nim ng tch hp (Cointegration) c a ra m t cho mi quan h ny.
V mt kinh t lng, hai hoc nhiu bin quan st c mi quan h ng tch hp vi
nhau c ngha l cc bin ny c cng bc tch hp (u l cc chui I(p)) v tn ti mt
t hp tuyn tnh ca cc bin ny l mt chui dng (I(0)).
Hai chui {y1,t} v {y2,t} l ng tch hp nu:
{y1,t} v {y2,t} u l chui tch hp bc p: I(p)
Tn ti mt b s (a1,a2) khng ng thi bng 0 sao cho: a1*y1,t +a2*y2,t l mt chui
dng: I(0).
M hnh VECM l mt trong nhng m hnh c a ra quan st mi quan h ng
tch hp ny gia cc chui thi gian. Gi s hai chui y1,t v y2,t l 2 chui tch hp

bc 1, ta s dng m hnh VAR dng rt gn( reduced form VAR) m t mi quan

h gia 2 bin ny: Yt= A0+ A1*Yt-1+ A2*Yt-2+ Et (*)
Vi = [

1,
2,

,11
= [
,21

] ma trn cc bin
,12
,22 ] ma trn h s bin Yt-1 v Yt-2

1,
= [ ], ma trn sai s mi phng trnh.
2,
Phng trnh (*) c bin i thnh:
Yt= A0+ (-I+A1+A2)*Yt-1 - A2*Yt-1+ Et (**)
Vi gi nh rng Et l chui dng, ta nhn thy v tri ca phng trnh (**) l mt
chui dng, cc hng t bn phi cng phi l chui dng. do , (-I+A1A2)*Yt-1 phi
l chui dng hay mt t hp tuyn tnh ca y1,t v y2,t l mt chui dng. Vy y1,t v
y2,t c quan h ng tch hp.
M hnh VAR c biu din di dng phng trnh (**) c gi l m hnh VECM.
Phng trnh (**) s c vit di dng h phng trnh nh sau:
y1,t y1,t-1= a1,0+ 1*(y1,t-1+*y2,t-1) +1,t
y2,t - y2,t-1 = a2,0 +2*(y1,t-1+*y2,t-1) +2,t
ngha m hnh:
H s trong ngoc n biu hin mi quan h di hn gia 2 bin y1,t v y2,t, h s
1, 2 th hin cho c ch iu chnh trong ngn hn.

II. THC HNH:

Bi nghin cu ca GEORGE FILIS, University of Portsmouth, UK Department of
Economics Macro economy, stock market and oil prices: Do meaningful relationships
exist among their cyclical fluctuations?
Xem xt mi quan h gia ch s gi hng tiu dng, sn lng cng nghip, th trng
chng khong v gi du.
Ngun d liu:
Consumer price index (CPI): http://www.elibrary-data.imf.org
Industrial production (IP): www.gso.gov.vn
Ch s th trng chng khon (vni): http://www.cophieu68.vn
Gi du Vit Nam (oil): http://www.eia.gov

X l d liu

Kim tra tnh dng v

khc phc tnh khng
dng
Chn tr ti u

Kim tra ng lin kt

bng phng php
Johansen
c lng m hnh
VECM

Kim nh s ph hp
ca m hnh

II.1. Kim tra tnh dng v khc phc tnh khng dng
Chui d liu
Ch s CPI

Ch s th trng chng khon

Sn lng cng nghip

Gi du

ADF test
LCPI

-2.607041

DLCPI

-3.297289***

LVNI

-1.939163

DLVNI

-7.184180***

LIP

-1.741453

DLIP

-9.080271***

LOIL

-3.012252

DLOIL

-8.427109***

II.2. La chn tr ti u

VAR Lag Order Selection

Criteria
Endogenous variables: DLCPI DLIP DLOIL
DLVNI
Exogenous variables: C
Date: 10/31/13 Time: 15:16
Sample: 2001M01 2012M07
Included observations: 130
Lag

LogL

LR

FPE

AIC

SC

HQ

730.3428

NA

1.65e-10

-11.17450 -11.08627 -11.13865

802.0559

137.9098

7.00e-11

-12.03163 -11.59047* -11.85237*

824.3699

41.53838

6.35e-11

-12.12877 -11.33468 -11.80610

840.2817

28.64125

6.37e-11

-12.12741 -10.98040 -11.66134

862.8875

39.29925

5.78e-11* -12.22904* -10.72910 -11.61956

874.3701

19.25538

6.23e-11

-12.15954 -10.30667 -11.40666

890.1483

25.48786

6.30e-11

-12.15613 -9.950331 -11.25984

901.9935

18.40569

6.79e-11

-12.09221 -9.533485 -11.05251

923.5770

32.20928*

6.32e-11

-12.17811 -9.266458 -10.99501

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5%
level)
FPE: Final prediction error
AIC: Akaike information
criterion
SC: Schwarz information
criterion
HQ: Hannan-Quinn information criterion

Kt qu kim nh cho thy c 2 tr c th la chn c cho m hnh.

Tiu ch la chn

tr 2

tr 4

Log likelihood

860.223

882.129

Akaike information

criterion

12.1209

12.15118

11.3499

10.68063

Schwarz criterion

La chn tr theo tiu ch AIC (cng nh cng tt)

Chn m hnh c tr l 4

II.3. Kim tra ng lin kt

Date: 10/31/13 Time: 15:31

Sample (adjusted): 2001M06 2012M07
Included observations: 134 after adjustments
Trend assumption: Linear deterministic trend
Series: LVNI LOIL LIP LCPI
Lags interval (in first differences): 1 to 4

Unrestricted Cointegration Rank Test (Trace)

Hypothesize
d
No. of CE(s) Eigenvalue

Trace

0.05

Statistic

Critical
Value

Prob.**

None *

0.223392

56.25245

47.85613

0.0067

At most 1

0.098107

22.37455

29.79707

0.2781

At most 2

0.061727

8.537852

15.49471

0.4098

At most 3

6.80E-07

9.11E-05

3.841466

0.9937

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesize
d

Max-Eigen

0.05

No. of CE(s) Eigenvalue

Statistic

Critical
Value

Prob.**

None *

0.223392

33.87790

27.58434

0.0068

At most 1

0.098107

13.83670

21.13162

0.3786

At most 2

0.061727

8.537761

14.26460

0.3266

At most 3

6.80E-07

9.11E-05

3.841466

0.9937

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

LVNI

LOIL

LIP

LCPI

0.078440

6.106480

-13.99563

11.47242

-1.321390

3.409494

4.358944

-7.333008

2.741121

-0.197409

-1.783819

0.980584

0.152699

-1.076814

-2.188147

7.297085

Unrestricted Adjustment Coefficients (alpha):

D(LVNI)

-0.006112

0.015993

-0.012259

-3.74E-05

D(LOIL)

-0.033316

-0.008916

-0.000874

-1.99E-05

D(LIP)

0.021421

-0.013430

0.003697

-8.38E-05

D(LCPI)

-0.001071

0.001077

0.001045

-9.67E-07

1 Cointegrating
Equation(s):

Log
likelihood

899.0679

Normalized cointegrating coefficients (standard error in parentheses)

LVNI

LOIL

LIP

LCPI

1.000000

77.84883

-178.4241

146.2568

(15.2429)

(31.7633)

(32.5334)

Adjustment coefficients (standard error in

parentheses)
D(LVNI)

-0.000479
(0.00062)

D(LOIL)

-0.002613
(0.00053)

D(LIP)

0.001680
(0.00086)

D(LCPI)

-8.40E-05
(4.3E-05)

2 Cointegrating
Equation(s):

Log
likelihood

905.9863

Normalized cointegrating coefficients (standard error in parentheses)

LVNI

LOIL

LIP

LCPI

1.000000

0.000000

-8.916929

10.06348

(2.09338)

(2.89323)

-2.177389

1.749459

0.000000

1.000000

(0.26469)

(0.36583)

Adjustment coefficients (standard error in

parentheses)
D(LVNI)

-0.021613

0.017209

(0.01027)

(0.05424)

0.009169

-0.233844

(0.00885)

(0.04674)

0.019426

0.085020

(0.01444)

(0.07630)

-0.001507

-0.002868

(0.00071)

(0.00377)

D(LOIL)

D(LIP)

D(LCPI)

3 Cointegrating
Equation(s):

Log
likelihood

910.2552

Normalized cointegrating coefficients (standard error in parentheses)

LVNI

LOIL

LIP

LCPI

1.000000

0.000000

0.000000

-0.470280
(0.52453)

0.000000

1.000000

0.000000

-0.822737
(0.24526)

0.000000

0.000000

1.000000

-1.181321
(0.11217)

Adjustment coefficients (standard error in

parentheses)

D(LVNI)

-0.055215

0.019629

0.177116

(0.02335)

(0.05367)

(0.11328)

0.006772

-0.233671

0.428973

(0.02034)

(0.04676)

(0.09869)

0.029560

0.084291

-0.364939

(0.03319)

(0.07629)

(0.16101)

0.001357

-0.003074

0.017821

(0.00161)

(0.00371)

(0.00783)

D(LOIL)

D(LIP)

D(LCPI)

C 1 ng lin kt gia cc chui d liu

Tin hnh c lng m hnh VECM

Vi phng trnh tc ng trong di hn l:

LCPI

LIP

LOIL

LVNI

1.000000

-1.219937

0.532275

0.006837

(0.09346)

(0.10055)

(0.04380)

II.4. Kt qu c lng m hnh

Vector Error Correction Estimates
Date: 10/31/13 Time: 17:46
Sample (adjusted): 2001M06 2012M07
Included observations: 134 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:

CointEq1

LCPI(-1)

1.000000

LIP(-1)

-1.219937
(0.09346)
[-13.0529]

LOIL(-1)

0.532275
(0.10055)
[ 5.29388]

LVNI(-1)

0.006837
(0.04380)
[ 0.15611]

5.993503

Error Correction:

D(LCPI)

D(LIP)

D(LOIL)

D(LVNI)

CointEq1

-0.012287

0.245755

-0.382215

-0.070114

(0.00629)

(0.12597)

(0.07726)

(0.09059)

[-1.95315]

[ 1.95093] [-4.94690]

[-0.77397]

0.492594

-0.560612

1.769106

-2.004029

(0.08639)

(1.72983)

(1.06101)

(1.24402)

[ 5.70203]

[-0.32408] [ 1.66738]

[-1.61093]

D(LCPI(-1))

D(LCPI(-2))

0.264656

0.402542

0.605428

0.385192

(0.08851)

(1.77227)

(1.08704)

(1.27454)

D(LCPI(-3))

D(LCPI(-4))

D(LIP(-1))

D(LIP(-2))

D(LIP(-3))

D(LIP(-4))

[ 2.99016]

[ 0.22713] [ 0.55695]

[ 0.30222]

0.065059

-0.638686 -0.150521

0.707015

(0.08907)

(1.78356)

(1.09397)

(1.28266)

[ 0.73041]

[-0.35810] [-0.13759]

[ 0.55121]

-0.155269

-0.270705 -0.500495

-0.645624

(0.08122)

(1.62640)

(0.99757)

(1.16964)

[-1.91161]

[-0.16644] [-0.50171]

[-0.55199]

0.004924

-0.649981 -0.373130

-0.072329

(0.00790)

(0.15818)

(0.09702)

(0.11375)

[ 0.62337]

[-4.10917] [-3.84589]

[-0.63583]

0.015681

-0.455581 -0.276572

-0.038659

(0.00794)

(0.15894)

(0.09748)

(0.11430)

[ 1.97564]

[-2.86644] [-2.83708]

[-0.33822]

0.000981

-0.264169 -0.132204

0.043312

(0.00734)

(0.14703)

(0.09018)

(0.10574)

[ 0.13359]

[-1.79672] [-1.46598]

[ 0.40962]

-0.017828

-0.152738 -0.038492

0.059864

(0.00511)

(0.10238)

(0.06280)

(0.07363)

[-3.48680]

[-1.49184] [-0.61296]

[ 0.81306]

D(LOIL(-1))

D(LOIL(-2))

D(LOIL(-3))

D(LOIL(-4))

D(LVNI(-1))

D(LVNI(-2))

0.012902

0.092937

0.255990

-0.022084

(0.00693)

(0.13880)

(0.08514)

(0.09982)

[ 1.86124]

[ 0.66957] [ 3.00685]

[-0.22123]

-0.008013

-0.221815

0.156534

0.213370

(0.00721)

(0.14438)

(0.08856)

(0.10383)

[-1.11129]

[-1.53635] [ 1.76765]

[ 2.05500]

-0.002035

0.027888

0.042844

0.152239

(0.00733)

(0.14684)

(0.09006)

(0.10560)

[-0.27753]

[ 0.18992] [ 0.47571]

[ 1.44168]

0.020618

-0.074280

0.044075

-0.211562

(0.00716)

(0.14339)

(0.08795)

(0.10312)

[ 2.87921]

[-0.51801] [ 0.50113]

[-2.05157]

-0.009775

0.180805

-0.034609

0.489179

(0.00628)

(0.12584)

(0.07718)

(0.09050)

[-1.55539]

[ 1.43682] [-0.44840]

[ 5.40551]

-0.003210

-0.019337

0.129554

-0.092461

(0.00694)

(0.13893)

(0.08522)

(0.09992)

[-0.46262]

[-0.13918] [ 1.52029]

[-0.92539]

D(LVNI(-3))

D(LVNI(-4))

0.001064

0.044087

-0.140562

-0.191376

(0.00695)

(0.13911)

(0.08533)

(0.10004)

[ 0.15314]

[ 0.31692] [-1.64735]

[-1.91293]

-0.004822

0.010309

-0.048126

0.068976

(0.00626)

(0.12543)

(0.07693)

(0.09020)

[-0.76977]

[ 0.08219] [-0.62556]

[ 0.76468]

0.002258

0.036300

0.000517

0.010910

(0.00085)

(0.01693)

(0.01038)

(0.01218)

[ 2.67075]

[ 2.14404] [ 0.04975]

[ 0.89603]

R-squared

0.562785

0.503426

0.336555

0.320523

Adj. R-squared

0.498710

0.430652

0.239327

0.220945

Sum sq. resids

0.004674

1.874013

0.705023

0.969210

S.E. equation

0.006348

0.127103

0.077960

0.091407

F-statistic

8.783265

6.917675

3.461474

3.218801

Log likelihood

497.5228

95.93600

161.4356

140.1129

Akaike AIC

-7.157057

-1.163224 -2.140831

-1.822580

Schwarz SC

-6.767795

-0.773962 -1.751568

-1.433318

Mean dependent

0.007348

0.010970

0.008371

0.000966

S.D. dependent

0.008965

0.168449

0.089387

0.103561

Determinant resid covariance (dof

adj.)

3.11E-11

Determinant resid covariance

1.75E-11

Log likelihood

899.0679

Akaike information criterion

-12.28460

Schwarz criterion

-10.64105

Trong :
Tc hiu chnh trong ngn hn:
ECM(-1)=DLCPI(-1) 1.2199*DLIP(-1) + 0.5323*DLOIL(-1) + 0.0068*DLVNI(-1)
+ 5.9935
Phng trnh ECM ca tng bin:

D(DLCPI)=-0.0019*(DLCPI(-1)-17.6787*DLIP(-1) + 1.7175*DLOIL(-

1) + 1.1329*DLVNI(-1) + 0.16833)-0.3562*D(DLCPI(-1))0.0825*D(DLCPI(-2))-0.0066*D(DLCPI(-3))-0.1483*D(DLCPI(-4)) 0.0155*D(DLIP(-1)) + 0.0089*D(DLIP(-2)) + 0.0133*D(DLIP(-3)) 0.0026*D(DLIP(-4)) + 0.0141*D(DLOIL(-1)) + 0.0019*D(DLOIL(-2)) 0.005*D(DLOIL(-3)) + 0.0102*D(DLOIL(-4)) - 0.0072*D(DLVNI(-1)) 0.0064*D(DLVNI(-2)) - 0.0033*D(DLVNI(-3)) - 0.0088*D(DLVNI(-4)) +
7.93e-06

D(DLIP) = 0.2316*( DLCPI(-1) - 17.6787*DLIP(-1) +

1.7175*DLOIL(-1) + 1.1329*DLVNI(-1) + 0.1683) - 2.8766*D(DLCPI(-1)) +

0.8269*D(DLCPI(-2)) + 1.3112*D(DLCPI(-3)) + 0.1091*D(DLCPI(-4)) +
2.1218*D(DLIP(-1)) + 1.4042*D(DLIP(-2)) + 0.8723*D(DLIP(-3)) +
0.3578*D(DLIP(-4)) - 0.1715*D(DLOIL(-1)) - 0.3005*D(DLOIL(-2)) 0.2972*D(DLOIL(-3)) - 0.3218*D(DLOIL(-4)) + 0.0398*D(DLVNI(-1)) 0.0635*D(DLVNI(-2)) - 0.0236*D(DLVNI(-3)) + 0.1386*D(DLVNI(-4)) 0.0009

D(DLOIL) = - 0.0312*( DLCPI(-1) - 17.6787*DLIP(-1) +

1.7175*DLOIL(-1) + 1.1329*DLVNI(-1) + 0.1683) + 1.1189*D(DLCPI(-1)) +

1.4514*D(DLCPI(-2)) + 1.2122*D(DLCPI(-3)) + 0.4452*D(DLCPI(-4)) 0.4886*D(DLIP(-1)) - 0.3772*D(DLIP(-2)) - 0.1832*D(DLIP(-3)) 0.0407*D(DLIP(-4)) - 0.5134*D(DLOIL(-1)) - 0.2723*D(DLOIL(-2)) 0.2535*D(DLOIL(-3)) - 0.1955*D(DLOIL(-4)) + 0.0334*D(DLVNI(-1)) +

0.1419*D(DLVNI(-2)) - 0.0518*D(DLVNI(-3)) - 0.07816*D(DLVNI(-4)) +

0.0001

D(DLVNI) = - 0.0080*( DLCPI(-1) - 17.6787*DLIP(-1) +

1.7175*DLOIL(-1) + 1.1329*DLVNI(-1) + 0.1683) - 2.0021*D(DLCPI(-1)) 0.7666*D(DLCPI(-2)) + 0.7508*D(DLCPI(-3)) + 0.4738*D(DLCPI(-4)) 0.1374*D(DLIP(-1)) - 0.1162*D(DLIP(-2)) - 0.0308*D(DLIP(-3)) +
0.03339*D(DLIP(-4)) - 0.0192*D(DLOIL(-1)) + 0.1914*D(DLOIL(-2)) +
0.2539*D(DLOIL(-3)) - 0.0400*D(DLOIL(-4)) - 0.3157*D(DLVNI(-1)) 0.3173*D(DLVNI(-2)) - 0.3897*D(DLVNI(-3)) - 0.2532*D(DLVNI(-4)) 0.0034
II.5. Kim nh tnh vng chc ca m hnh
Kim nh tnh dng
t-Statistic
Resid01

-11.38297***

Resid02

-11.85380***

Resid03

-11.53454***

Resid04

-11.4097***

Kt qu kim nh cc phn d sau khi c lng m hnh cho thy tt c cc phn d

dng vi mc ngha 10%. Do , kt qu c lng l ph hp.
Kim nh t tng quan LM
VEC Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag order
Date: 10/31/13 Time: 18:02
Sample: 2001M01 2012M07
Included observations: 134
Lags

LM-Stat

Prob

20.65156

0.1923

16.17100

0.4411

21.88412

0.1470

13.37409

0.6452

Probs from chi-square with 16 df.

Kt qu kim nh sau khi c lng m hnh ti tr bc 4 cho thy khng c t

tng quan vi mc ngha 10%.

Do , kt qu c lng l ph hp.