1.

Mô tả thống kê các biến

R_VNINDEX R_VNFINANCE R_30 R_LAND R_HNXINDEX CANHIEMCOVID GIANCACH

 Mean  0.000777  0.000897  0.000950  0.000699  0.002636  614098.5  0.177102
 Median  0.002126  0.002017  0.001963  0.001392  0.003969  2086.000  0.000000
 Maximum  0.048600  0.054792  0.050318  0.040938  0.053917  7421508.  1.000000
 Minimum -0.069076 -0.073023 -0.069624 -0.059058 -0.083760  0.000000  0.000000
 Std. Dev.  0.013613  0.014683  0.014539  0.011789  0.015714  1311222.  0.382097
 Skewness -1.279104 -0.867282 -1.080233 -0.749830 -1.044700  3.210445  1.691651
 Kurtosis  7.974308  7.042630  7.110071  6.501364  6.800000  14.13083  3.861682

 Jarque-Bera  728.7536  450.7303  502.1752  337.9279  438.0137  3845.994  283.9073

 Probability  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000

 Sum  0.434116  0.501263  0.531181  0.390706  1.473771  3.43E+08  99.00000

 Sum Sq. Dev.  0.103401  0.120296  0.117956  0.077550  0.137793  9.59E+14  81.46691

 Observations  559  559  559  559  559  559  559

2. Kiểm định tính dừng uniroot test

2.1 chuỗi r_vnindex

level

Null Hypothesis: R_VNINDEX has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -21.95733  0.0000

Test critical values: 1% level -3.441840
5% level -2.866501
10% level -2.569472

*MacKinnon (1996) one-sided p-values.

Sai phân bậc 1

Null Hypothesis: D(R_VNINDEX) has a unit root

Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -17.91787  0.0000

Test critical values: 1% level -3.441968
5% level -2.866557
10% level -2.569502

2.2 chuỗ r_vnfinance

Level

Null Hypothesis: R_VNFINANCE has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -21.89349  0.0000

Test critical values: 1% level -3.441840
5% level -2.866501
10% level -2.569472

*MacKinnon (1996) one-sided p-values.

Sai phân bậc 1

Null Hypothesis: D(R_VNFINANCE) has a unit root
Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -18.23309  0.0000

Test critical values: 1% level -3.441968
5% level -2.866557
10% level -2.569502

*MacKinnon (1996) one-sided p-values.

2.3 r_30(vn30)
Level

Null Hypothesis: R_30 has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -22.78369  0.0000

Test critical values: 1% level -3.441840
5% level -2.866501
10% level -2.569472

*MacKinnon (1996) one-sided p-values.

sai phân bậc 1

Null Hypothesis: D(R_30) has a unit root

Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -17.92734  0.0000

Test critical values: 1% level -3.441968
5% level -2.866557
10% level -2.569502

*MacKinnon (1996) one-sided p-values.

2.4 r_land

Level

Null Hypothesis: R_LAND has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -22.12999  0.0000

Test critical values: 1% level -3.441840
5% level -2.866501
10% level -2.569472

*MacKinnon (1996) one-sided p-values.

Sai phân bậc 1

Null Hypothesis: D(R_LAND) has a unit root

Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -18.28306  0.0000

Test critical values: 1% level -3.441968
5% level -2.866557
 10% level -2.569502

*MacKinnon (1996) one-sided p-values.

2.5 r_hnxindex
Level

Null Hypothesis: R_HNXINDEX has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -21.89846  0.0000

Test critical values: 1% level -3.441840
5% level -2.866501
10% level -2.569472

*MacKinnon (1996) one-sided p-values.

Sai phân bậc 1

Null Hypothesis: D(R_HNXINDEX) has a unit root

Exogenous: Constant
Lag Length: 8 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -13.99189  0.0000

Test critical values: 1% level -3.442032
5% level -2.866585
10% level -2.569517

*MacKinnon (1996) one-sided p-values.

2.6 canhiemcovid
Level

Null Hypothesis: CANHIEMCOVID has a unit root

Exogenous: Constant
Lag Length: 15 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic  5.466143  1.0000

Test critical values: 1% level -3.442142
5% level -2.866634
10% level -2.569543

Sai phân bậc 1

Null Hypothesis: D(CANHIEMCOVID) has a unit root

Exogenous: Constant
Lag Length: 11 (Automatic - based on SIC, maxlag=18)

t-Statistic   Prob.*

Augmented Dickey-Fuller test statistic -4.075582  0.0012

Test critical values: 1% level -3.442076
5% level -2.866605
10% level -2.569528

*MacKinnon (1996) one-sided p-values.

Note: Các biến từ 2.1 – 2.5 đều dừng ở level nên đương nhiên dừng ở
sai phân bậc 1, biến 2.6 chỉ dừng ở sai phân bậc 1. Khi lựa chọn mô
hình để phù hợp mình dùng chuỗi sai phân và khi ước lượng đánh giá
tác động mình cũng dừng sai phân vì liên quan đến kỹ thật thì nên để
các biến dừng ở cùng bậc khi phân tích các em nhé.