Tai Lieu VECM 2013

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:

yttt eYY 1

xttt eXX 1

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 log(1 )=+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,] ma trn cc bin

= [,11 ,12,21 ,22

] ma trn h s bin Yt-1 v Yt-2

= [1,2,

], ma trn sai s mi phng trnh.

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

Kim tra tnh dng v khc phc tnh khng

dng

Chn tr ti u

Kim nh s ph hp ca m hnh

X l d liu

Kim tra ng lin kt bng phng php

Johansen

c lng m hnh VECM

II.1. Kim tra tnh dng v khc phc tnh khng dng

Chui d liu ADF test

Ch s CPI LCPI -2.607041

DLCPI -3.297289***

Ch s th trng chng khon LVNI -1.939163

DLVNI -7.184180***

Sn lng cng nghip LIP -1.741453

DLIP -9.080271***

Gi du 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

0 730.3428 NA 1.65e-10 -11.17450 -11.08627 -11.13865

1 802.0559 137.9098 7.00e-11 -12.03163 -11.59047* -11.85237*

2 824.3699 41.53838 6.35e-11 -12.12877 -11.33468 -11.80610

3 840.2817 28.64125 6.37e-11 -12.12741 -10.98040 -11.66134

4 862.8875 39.29925 5.78e-11* -12.22904* -10.72910 -11.61956

5 874.3701 19.25538 6.23e-11 -12.15954 -10.30667 -11.40666

6 890.1483 25.48786 6.30e-11 -12.15613 -9.950331 -11.25984

7 901.9935 18.40569 6.79e-11 -12.09221 -9.533485 -11.05251

8 923.5770 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

Schwarz criterion -

11.3499

-

10.68063

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 Trace 0.05

No. of CE(s) Eigenvalue 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


LVNI LOIL LIP LCPI

1.000000 0.000000 -8.916929 10.06348

(2.09338) (2.89323)

0.000000 1.000000 -2.177389 1.749459

(0.26469) (0.36583)


parentheses)

D(LVNI) -0.021613 0.017209

(0.01027) (0.05424)

D(LOIL) 0.009169 -0.233844

(0.00885) (0.04674)

D(LIP) 0.019426 0.085020

(0.01444) (0.07630)

D(LCPI) -0.001507 -0.002868

(0.00071) (0.00377)

3 Cointegrating

Equation(s):

Log

likelihood 910.2552


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)


parentheses)

D(LVNI) -0.055215 0.019629 0.177116

(0.02335) (0.05367) (0.11328)

D(LOIL) 0.006772 -0.233671 0.428973

(0.02034) (0.04676) (0.09869)

D(LIP) 0.029560 0.084291 -0.364939

(0.03319) (0.07629) (0.16101)

D(LCPI) 0.001357 -0.003074 0.017821

(0.00161) (0.00371) (0.00783)

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]

C 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]

D(LCPI(-1)) 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(-2)) 0.264656 0.402542 0.605428 0.385192

(0.08851) (1.77227) (1.08704) (1.27454)

[ 2.99016] [ 0.22713] [ 0.55695] [ 0.30222]

D(LCPI(-3)) 0.065059 -0.638686 -0.150521 0.707015

(0.08907) (1.78356) (1.09397) (1.28266)

[ 0.73041] [-0.35810] [-0.13759] [ 0.55121]

D(LCPI(-4)) -0.155269 -0.270705 -0.500495 -0.645624

(0.08122) (1.62640) (0.99757) (1.16964)

[-1.91161] [-0.16644] [-0.50171] [-0.55199]

D(LIP(-1)) 0.004924 -0.649981 -0.373130 -0.072329

(0.00790) (0.15818) (0.09702) (0.11375)

[ 0.62337] [-4.10917] [-3.84589] [-0.63583]

D(LIP(-2)) 0.015681 -0.455581 -0.276572 -0.038659

(0.00794) (0.15894) (0.09748) (0.11430)

[ 1.97564] [-2.86644] [-2.83708] [-0.33822]

D(LIP(-3)) 0.000981 -0.264169 -0.132204 0.043312

(0.00734) (0.14703) (0.09018) (0.10574)

[ 0.13359] [-1.79672] [-1.46598] [ 0.40962]

D(LIP(-4)) -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)) 0.012902 0.092937 0.255990 -0.022084

(0.00693) (0.13880) (0.08514) (0.09982)

[ 1.86124] [ 0.66957] [ 3.00685] [-0.22123]

D(LOIL(-2)) -0.008013 -0.221815 0.156534 0.213370

(0.00721) (0.14438) (0.08856) (0.10383)

[-1.11129] [-1.53635] [ 1.76765] [ 2.05500]

D(LOIL(-3)) -0.002035 0.027888 0.042844 0.152239

(0.00733) (0.14684) (0.09006) (0.10560)

[-0.27753] [ 0.18992] [ 0.47571] [ 1.44168]

D(LOIL(-4)) 0.020618 -0.074280 0.044075 -0.211562

(0.00716) (0.14339) (0.08795) (0.10312)

[ 2.87921] [-0.51801] [ 0.50113] [-2.05157]

D(LVNI(-1)) -0.009775 0.180805 -0.034609 0.489179

(0.00628) (0.12584) (0.07718) (0.09050)

[-1.55539] [ 1.43682] [-0.44840] [ 5.40551]

D(LVNI(-2)) -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)) 0.001064 0.044087 -0.140562 -0.191376

(0.00695) (0.13911) (0.08533) (0.10004)

[ 0.15314] [ 0.31692] [-1.64735] [-1.91293]

D(LVNI(-4)) -0.004822 0.010309 -0.048126 0.068976

(0.00626) (0.12543) (0.07693) (0.09020)

[-0.76977] [ 0.08219] [-0.62556] [ 0.76468]

C 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

1 20.65156 0.1923

2 16.17100 0.4411

3 21.88412 0.1470

4 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.

GII THIU M HNH VECMHi quy gi moGii thch vn hi quy gi mong lin ktM hnh VECMTHC HNH

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Tai Lieu VECM 2013