Minh họa SVAR trên Stata

. *****Nhap du lieu tu sheet data trong file Excel data2202.xls . import excel data2202.xlsx, sheet("data") firstrow clear . drop DATE . gen month = m(2000m1) + _n - 1 . format %tm month . tsset month time variable: month, 2000m1 to 2009m6 delta: 1 month . order IIP CPI REX VNI DR FFR OIL . save data2202.dta, replace file data2202.dta saved . use data2202.dta, clear . global Yt IIP CPI REX VNI DR FFR OIL . *Tinh dung cua chuoi thoi gian goc . tsline $Yt, title("Do thi phan tan cua cac bien") scale(0.8) name(Level, replace) . graph export Level.png, as(png) replace (note: file Level.png not found) (file Level.png written in PNG format) . foreach var of varlist $Yt { 2. di "Kiem dinh nghiem don vi cho bien `var' " 3. *quietly tsline `var' . dfuller `var', lag(1) 4. } Kiem dinh nghiem don vi cho bien IIP Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.002 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.2859 Kiem dinh nghiem don vi cho bien CPI Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.834 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.3639 Kiem dinh nghiem don vi cho bien REX Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.785 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.3879 Kiem dinh nghiem don vi cho bien VNI Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.876 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.3436 Kiem dinh nghiem don vi cho bien DR Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.007 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.2836 Kiem dinh nghiem don vi cho bien FFR Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -1.745 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.4081 Kiem dinh nghiem don vi cho bien OIL Augmented Dickey-Fuller test for unit root Number of obs = 112 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -2.676 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0783 . *Tinh dung cua chuoi sai phan bac 1 . foreach var of varlist $Yt { 2. gen d`var' = d.`var' 3. di "Kiem dinh nghiem don vi cho bien d`var' " 4. dfuller d.`var', lag(1) 5. } (1 missing value generated) Kiem dinh nghiem don vi cho bien dIIP Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -11.769 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 (1 missing value generated) Kiem dinh nghiem don vi cho bien dCPI Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -3.886 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0021 (1 missing value generated) Kiem dinh nghiem don vi cho bien dREX Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -7.230 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 (1 missing value generated) Kiem dinh nghiem don vi cho bien dVNI Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -6.449 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 (1 missing value generated) Kiem dinh nghiem don vi cho bien dDR Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -5.458 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0000 (1 missing value generated) Kiem dinh nghiem don vi cho bien dFFR Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -4.484 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0002 (1 missing value generated) Kiem dinh nghiem don vi cho bien dOIL Augmented Dickey-Fuller test for unit root Number of obs = 111 ---------- Interpolated Dickey-Fuller --------- Test 1% Critical 5% Critical 10% Critical Statistic Value Value Value ------------------------------------------------------------------------------ Z(t) -4.775 -3.506 -2.889 -2.579 ------------------------------------------------------------------------------ MacKinnon approximate p-value for Z(t) = 0.0001 . global dYt dIIP dCPI dREX dVNI dDR . global dXt dIIP dCPI dREX dVNI dDR dFFR dOIL . tsline $dXt, title("Do thi phan tan cua cac bien") scale(0.8) name(Difference, replace) . graph export Difference.png, as(png) replace (note: file Difference.png not found) (file Difference.png written in PNG format) . *Xac dinh do tre toi uu . foreach var of varlist $dYt { 2. di "Xac dinh do tre toi uu cho mo hinh `var' " 3. varsoc `var' $dXt, maxlag(4) 4. } Xac dinh do tre toi uu cho mo hinh dIIP Selection-order criteria Sample: 2000m6 - 2009m6 Number of obs = 109 +---------------------------------------------------------------------------+ |lag | LL LR df p FPE AIC HQIC SBIC | |----+----------------------------------------------------------------------| | 0 | 985.201 3.8e-17 -17.9486 -17.8785 -17.7758 | | 1 | 1103.42 236.44 49 0.000 1.1e-17 -19.2187 -18.658* -17.836* | | 2 | 1154.5 102.16 49 0.000 1.0e-17* -19.2569* -18.2055 -16.6643 | | 3 | 1183.64 58.275 49 0.171 1.5e-17 -18.8924 -17.3504 -15.09 | | 4 | 1232.51 97.745* 49 0.000 1.6e-17 -18.8901 -16.8574 -13.8778 | +---------------------------------------------------------------------------+ Endogenous: dIIP dIIP dCPI dREX dVNI dDR dFFR dOIL Exogenous: _cons Xac dinh do tre toi uu cho mo hinh dCPI Selection-order criteria Sample: 2000m6 - 2009m6 Number of obs = 109 +---------------------------------------------------------------------------+ |lag | LL LR df p FPE AIC HQIC SBIC | |----+----------------------------------------------------------------------| | 0 | 985.201 3.8e-17 -17.9486 -17.8785 -17.7758 | | 1 | 1103.42 236.44 49 0.000 1.1e-17 -19.2187 -18.658* -17.836* | | 2 | 1154.5 102.16 49 0.000 1.0e-17* -19.2569* -18.2055 -16.6643 | | 3 | 1183.64 58.275 49 0.171 1.5e-17 -18.8924 -17.3504 -15.09 | | 4 | 1232.51 97.745* 49 0.000 1.6e-17 -18.8901 -16.8574 -13.8778 | +---------------------------------------------------------------------------+ Endogenous: dCPI dIIP dCPI dREX dVNI dDR dFFR dOIL Exogenous: _cons Xac dinh do tre toi uu cho mo hinh dREX Selection-order criteria Sample: 2000m6 - 2009m6 Number of obs = 109 +---------------------------------------------------------------------------+ |lag | LL LR df p FPE AIC HQIC SBIC | |----+----------------------------------------------------------------------| | 0 | 985.201 3.8e-17 -17.9486 -17.8785 -17.7758 | | 1 | 1103.42 236.44 49 0.000 1.1e-17 -19.2187 -18.658* -17.836* | | 2 | 1154.5 102.16 49 0.000 1.0e-17* -19.2569* -18.2055 -16.6643 | | 3 | 1183.64 58.275 49 0.171 1.5e-17 -18.8924 -17.3504 -15.09 | | 4 | 1232.51 97.745* 49 0.000 1.6e-17 -18.8901 -16.8574 -13.8778 | +---------------------------------------------------------------------------+ Endogenous: dREX dIIP dCPI dREX dVNI dDR dFFR dOIL Exogenous: _cons Xac dinh do tre toi uu cho mo hinh dVNI Selection-order criteria Sample: 2000m6 - 2009m6 Number of obs = 109 +---------------------------------------------------------------------------+ |lag | LL LR df p FPE AIC HQIC SBIC | |----+----------------------------------------------------------------------| | 0 | 985.201 3.8e-17 -17.9486 -17.8785 -17.7758 | | 1 | 1103.42 236.44 49 0.000 1.1e-17 -19.2187 -18.658* -17.836* | | 2 | 1154.5 102.16 49 0.000 1.0e-17* -19.2569* -18.2055 -16.6643 | | 3 | 1183.64 58.275 49 0.171 1.5e-17 -18.8924 -17.3504 -15.09 | | 4 | 1232.51 97.745* 49 0.000 1.6e-17 -18.8901 -16.8574 -13.8778 | +---------------------------------------------------------------------------+ Endogenous: dVNI dIIP dCPI dREX dVNI dDR dFFR dOIL Exogenous: _cons Xac dinh do tre toi uu cho mo hinh dDR Selection-order criteria Sample: 2000m6 - 2009m6 Number of obs = 109 +---------------------------------------------------------------------------+ |lag | LL LR df p FPE AIC HQIC SBIC | |----+----------------------------------------------------------------------| | 0 | 985.201 3.8e-17 -17.9486 -17.8785 -17.7758 | | 1 | 1103.42 236.44 49 0.000 1.1e-17 -19.2187 -18.658* -17.836* | | 2 | 1154.5 102.16 49 0.000 1.0e-17* -19.2569* -18.2055 -16.6643 | | 3 | 1183.64 58.275 49 0.171 1.5e-17 -18.8924 -17.3504 -15.09 | | 4 | 1232.51 97.745* 49 0.000 1.6e-17 -18.8901 -16.8574 -13.8778 | +---------------------------------------------------------------------------+ Endogenous: dDR dIIP dCPI dREX dVNI dDR dFFR dOIL Exogenous: _cons . *Thiet lap ma tran dang Ae = Bu va uoc luong SVAR . matrix A = (.,0,0,0,0\.,.,0,0,0\.,.,.,0,.\.,.,.,.,.\0,.,.,0,.) //a51 = a54 = 0 . svar $dYt, aeq(A) exog(dOIL dFFR) small Estimating short-run parameters Iteration 0: log likelihood = -1263.488 Iteration 1: log likelihood = -962.15784 Iteration 2: log likelihood = -801.50302 Iteration 3: log likelihood = -456.88826 Iteration 4: log likelihood = -352.18054 Iteration 5: log likelihood = -160.73137 Iteration 6: log likelihood = -68.024162 Iteration 7: log likelihood = -54.235579 Iteration 8: log likelihood = 29.057074 Iteration 9: log likelihood = 135.23066 Iteration 10: log likelihood = 283.87433 Iteration 11: log likelihood = 344.53437 Iteration 12: log likelihood = 456.19236 Iteration 13: log likelihood = 511.45748 Iteration 14: log likelihood = 626.25002 Iteration 15: log likelihood = 655.28811 Iteration 16: log likelihood = 823.36564 Iteration 17: log likelihood = 873.63695 Iteration 18: log likelihood = 926.78721 Iteration 19: log likelihood = 939.52482 Iteration 20: log likelihood = 942.54593 Iteration 21: log likelihood = 942.58361 Iteration 22: log likelihood = 942.58363 Structural vector autoregression ( 1) [a_1_2]_cons = 0 ( 2) [a_1_3]_cons = 0 ( 3) [a_1_4]_cons = 0 ( 4) [a_1_5]_cons = 0 ( 5) [a_2_3]_cons = 0 ( 6) [a_2_4]_cons = 0 ( 7) [a_2_5]_cons = 0 ( 8) [a_3_4]_cons = 0 ( 9) [a_5_1]_cons = 0 (10) [a_5_4]_cons = 0 (11) [b_1_1]_cons = 1 (12) [b_1_2]_cons = 0 (13) [b_1_3]_cons = 0 (14) [b_1_4]_cons = 0 (15) [b_1_5]_cons = 0 (16) [b_2_1]_cons = 0 (17) [b_2_2]_cons = 1 (18) [b_2_3]_cons = 0 (19) [b_2_4]_cons = 0 (20) [b_2_5]_cons = 0 (21) [b_3_1]_cons = 0 (22) [b_3_2]_cons = 0 (23) [b_3_3]_cons = 1 (24) [b_3_4]_cons = 0 (25) [b_3_5]_cons = 0 (26) [b_4_1]_cons = 0 (27) [b_4_2]_cons = 0 (28) [b_4_3]_cons = 0 (29) [b_4_4]_cons = 1 (30) [b_4_5]_cons = 0 (31) [b_5_1]_cons = 0 (32) [b_5_2]_cons = 0 (33) [b_5_3]_cons = 0 (34) [b_5_4]_cons = 0 (35) [b_5_5]_cons = 1 Sample: 2000m4 - 2009m6 No. of obs = 111 Exactly identified model Log likelihood = 942.5836 ------------------------------------------------------------------------------ | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- /a_1_1 | 12.55558 .8426756 14.90 0.000 10.88289 14.22828 /a_2_1 | 3.793663 1.218619 3.11 0.002 1.374723 6.212603 /a_3_1 | -3.131366 1.262549 -2.48 0.015 -5.637506 -.6252266 /a_4_1 | 2.838085 1.294017 2.19 0.031 .2694806 5.406689 /a_5_1 | 0 (constrained) /a_1_2 | 0 (constrained) /a_2_2 | 192.7428 12.93605 14.90 0.000 167.0649 218.4206 /a_3_2 | -94.78667 21.34374 -4.44 0.000 -137.1537 -52.41969 /a_4_2 | 30.72968 20.59644 1.49 0.139 -10.15394 71.61329 /a_5_2 | -21.9373 36.85309 -0.60 0.553 -95.09012 51.21551 /a_1_3 | 0 (constrained) /a_2_3 | 0 (constrained) /a_3_3 | -80.23554 19.47898 -4.12 0.000 -118.901 -41.57007 /a_4_3 | 21.67679 8.888802 2.44 0.017 4.032657 39.32092 /a_5_3 | 45.79863 32.04692 1.43 0.156 -17.814 109.4113 /a_1_4 | 0 (constrained) /a_2_4 | 0 (constrained) /a_3_4 | 0 (constrained) /a_4_4 | 14.75917 .9905708 14.90 0.000 12.79291 16.72544 /a_5_4 | 0 (constrained) /a_1_5 | 0 (constrained) /a_2_5 | 0 (constrained) /a_3_5 | .9112769 .6284975 1.45 0.150 -.3362807 2.158835 /a_4_5 | .1382689 .1693104 0.82 0.416 -.1978095 .4743473 /a_5_5 | 1.53034 .3765731 4.06 0.000 .7828487 2.277832 -------------+---------------------------------------------------------------- /b_1_1 | 1 (constrained) /b_2_1 | 0 (constrained) /b_3_1 | 0 (constrained) /b_4_1 | 0 (constrained) /b_5_1 | 0 (constrained) /b_1_2 | 0 (constrained) /b_2_2 | 1 (constrained) /b_3_2 | 0 (constrained) /b_4_2 | 0 (constrained) /b_5_2 | 0 (constrained) /b_1_3 | 0 (constrained) /b_2_3 | 0 (constrained) /b_3_3 | 1 (constrained) /b_4_3 | 0 (constrained) /b_5_3 | 0 (constrained) /b_1_4 | 0 (constrained) /b_2_4 | 0 (constrained) /b_3_4 | 0 (constrained) /b_4_4 | 1 (constrained) /b_5_4 | 0 (constrained) /b_1_5 | 0 (constrained) /b_2_5 | 0 (constrained) /b_3_5 | 0 (constrained) /b_4_5 | 0 (constrained) /b_5_5 | 1 (constrained) ------------------------------------------------------------------------------ . est store a51a54 . *Kiem tra cac van de mo hinh . varstable, graph Eigenvalue stability condition +----------------------------------------+ | Eigenvalue | Modulus | |--------------------------+-------------| | .6888438 | .688844 | | -.2004628 + .5175118i | .554981 | | -.2004628 - .5175118i | .554981 | | .01343865 + .5504429i | .550607 | | .01343865 - .5504429i | .550607 | | -.2634406 | .263441 | | .2055882 + .1385301i | .247905 | | .2055882 - .1385301i | .247905 | | .2344219 | .234422 | | -.1534766 | .153477 | +----------------------------------------+ All the eigenvalues lie inside the unit circle. VAR satisfies stability condition. . graph export cricle1.png, as(png) replace (note: file cricle1.png not found) (file cricle1.png written in PNG format) . varlmar Lagrange-multiplier test +--------------------------------------+ | lag | chi2 df Prob > chi2 | |------+-------------------------------| | 1 | 42.5095 25 0.01583 | | 2 | 36.7678 25 0.06073 | +--------------------------------------+ H0: no autocorrelation at lag order . varwle Equation: dIIP +---------------------------------------+ | lag | F df df_r Prob > F | |-----+---------------------------------| | 1 | 5.29544 5 98 0.0002 | | 2 | 4.13805 5 98 0.0019 | +---------------------------------------+ Equation: dCPI +---------------------------------------+ | lag | F df df_r Prob > F | |-----+---------------------------------| | 1 | 9.95393 5 98 0.0000 | | 2 | 4.41941 5 98 0.0011 | +---------------------------------------+ Equation: dREX +---------------------------------------+ | lag | F df df_r Prob > F | |-----+---------------------------------| | 1 | .875849 5 98 0.5003 | | 2 | 1.66002 5 98 0.1515 | +---------------------------------------+ Equation: dVNI +---------------------------------------+ | lag | F df df_r Prob > F | |-----+---------------------------------| | 1 | 5.32906 5 98 0.0002 | | 2 | 2.26566 5 98 0.0538 | +---------------------------------------+ Equation: dDR +---------------------------------------+ | lag | F df df_r Prob > F | |-----+---------------------------------| | 1 | 10.8441 5 98 0.0000 | | 2 | 3.29008 5 98 0.0087 | +---------------------------------------+ Equation: All +---------------------------------------+ | lag | F df df_r Prob > F | |-----+---------------------------------| | 1 | 5.87674 25 98 0.0000 | | 2 | 2.59918 25 98 0.0004 | +---------------------------------------+ . vargranger Granger causality Wald tests +------------------------------------------------------------------------+ | Equation Excluded | F df df_r Prob > F | |--------------------------------------+---------------------------------| | dIIP dCPI | .62225 2 98 0.5388 | | dIIP dREX | 1.1063 2 98 0.3349 | | dIIP dVNI | 3.385 2 98 0.0379 | | dIIP dDR | .18885 2 98 0.8282 | | dIIP ALL | 1.2822 8 98 0.2616 | |--------------------------------------+---------------------------------| | dCPI dIIP | 8.0598 2 98 0.0006 | | dCPI dREX | 3.5861 2 98 0.0314 | | dCPI dVNI | 2.3057 2 98 0.1051 | | dCPI dDR | .18136 2 98 0.8344 | | dCPI ALL | 3.4384 8 98 0.0016 | |--------------------------------------+---------------------------------| | dREX dIIP | 1.487 2 98 0.2311 | | dREX dCPI | 3.2184 2 98 0.0443 | | dREX dVNI | .40848 2 98 0.6658 | | dREX dDR | .50135 2 98 0.6073 | | dREX ALL | 1.6216 8 98 0.1283 | |--------------------------------------+---------------------------------| | dVNI dIIP | .31647 2 98 0.7295 | | dVNI dCPI | 3.4888 2 98 0.0344 | | dVNI dREX | 1.3608 2 98 0.2612 | | dVNI dDR | 4.0149 2 98 0.0211 | | dVNI ALL | 2.1611 8 98 0.0370 | |--------------------------------------+---------------------------------| | dDR dIIP | 4.573 2 98 0.0126 | | dDR dCPI | 12.572 2 98 0.0000 | | dDR dREX | 24.607 2 98 0.0000 | | dDR dVNI | 1.9874 2 98 0.1425 | | dDR ALL | 8.6439 8 98 0.0000 | +------------------------------------------------------------------------+ . *Phan tich IRF, FEVD . irf set, clear irf file has been cleared . irf set a51a54.irf, replace (file a51a54.irf created) (file a51a54.irf now active) . irf create a51a54, step(12) (file a51a54.irf updated) . di "Thuc hien muc tieu 1" Thuc hien muc tieu 1 . di "Do thi phan tich IRF, FEVD cho bien dVNI tu cu soc dDR" Do thi phan tich IRF, FEVD cho bien dVNI tu cu soc dDR . irf graph oirf, impulse(dDR) response(dVNI) title("Phan hoi cua dVNI tru > oc cu soc tu dDR") . graph export idVNI_dDR.png, as(png) replace (note: file idVNI_dDR.png not found) (file idVNI_dDR.png written in PNG format) . irf graph fevd, impulse(dDR) response(dVNI) title("Phan hoi cua dVNI tru > oc cu soc tu dDR") . graph export fdVNI_dDR.png, as(png) replace (note: file fdVNI_dDR.png not found) (file fdVNI_dDR.png written in PNG format) . di "Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR" Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR . irf table oirf, impulse(dDR) response(dVNI) std title("Phan hoi cua dVNI > truoc cu soc tu dDR") Phan hoi cua dVNI truoc cu soc tu dDR +--------------------------------------------------------+ | | (1) (1) (1) (1) | | step | oirf Lower Upper S.E. | |--------+-----------------------------------------------| |0 | 0 0 0 0 | |1 | -.004549 -.01707 .007972 .006388 | |2 | .013049 -.000263 .02636 .006792 | |3 | .006891 -.000753 .014535 .0039 | |4 | .002062 -.002544 .006668 .00235 | |5 | .000315 -.002688 .003318 .001532 | |6 | .000294 -.001304 .001892 .000815 | |7 | .0002 -.000801 .001202 .000511 | |8 | .000082 -.000463 .000627 .000278 | |9 | .000025 -.000302 .000353 .000167 | |10 | .000023 -.000194 .000239 .00011 | |11 | .000031 -.00012 .000181 .000077 | |12 | .00002 -.000087 .000127 .000055 | +--------------------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dDR, and response = dVNI . irf table fevd, impulse(dDR) response(dVNI) title("Phan hoi cua dVNI tru > oc cu soc tu dDR") Phan hoi cua dVNI truoc cu soc tu dDR +--------------------------------------------+ | | (1) (1) (1) | | step | fevd Lower Upper | |--------+-----------------------------------| |0 | 0 0 0 | |1 | 0 0 0 | |2 | .003393 -.015267 .022053 | |3 | .029739 -.017824 .077303 | |4 | .036272 -.021428 .093971 | |5 | .036816 -.021523 .095154 | |6 | .036736 -.021463 .094935 | |7 | .036743 -.021497 .094982 | |8 | .036746 -.021503 .094994 | |9 | .036745 -.021505 .094995 | |10 | .036744 -.021505 .094994 | |11 | .036744 -.021505 .094994 | |12 | .036744 -.021505 .094994 | +--------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dDR, and response = dVNI . *irf table oirf, irf(a51a54) step(12) //day du FEVD cua 5 bien . *irf table fevd, irf(a51a54) step(12) //day du FEVD cua 5 bien . di "Thuc hien muc tieu 2" Thuc hien muc tieu 2 . di "Do thi phan tich IRF, FEVD cho bien dIIP tu cu soc dVNI" Do thi phan tich IRF, FEVD cho bien dIIP tu cu soc dVNI . irf graph oirf, impulse(dVNI) response(dIIP) title("Phan hoi cua dIIP tr > uoc cu soc tu dVNI") . graph export idIIP_dVNI.png, as(png) replace (note: file idIIP_dVNI.png not found) (file idIIP_dVNI.png written in PNG format) . irf graph fevd, impulse(dVNI) response(dIIP) title("Phan hoi cua dIIP tr > uoc cu soc tu dVNI") . graph export fdIIP_dVNI.png, as(png) replace (note: file fdIIP_dVNI.png not found) (file fdIIP_dVNI.png written in PNG format) . di "Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR" Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR . irf table oirf, impulse(dVNI) response(dIIP) std title("Phan hoi cua dII > P truoc cu soc tu dVNI") Phan hoi cua dIIP truoc cu soc tu dVNI +--------------------------------------------------------+ | | (1) (1) (1) (1) | | step | oirf Lower Upper S.E. | |--------+-----------------------------------------------| |0 | 0 0 0 0 | |1 | -.015221 -.028613 -.00183 .006833 | |2 | .01337 -.000046 .026786 .006845 | |3 | .005487 -.001588 .012563 .00361 | |4 | -.005744 -.012294 .000806 .003342 | |5 | -.000536 -.004454 .003382 .001999 | |6 | .001865 -.001431 .005162 .001682 | |7 | -.000328 -.002326 .001671 .00102 | |8 | -.000475 -.001977 .001027 .000766 | |9 | .00016 -.000798 .001117 .000488 | |10 | .000053 -.000543 .00065 .000305 | |11 | -.000055 -.000468 .000358 .000211 | |12 | -1.3e-06 -.000234 .000232 .000119 | +--------------------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dVNI, and response = dIIP . irf table fevd, impulse(dVNI) response(dIIP) title("Phan hoi cua dIIP tr > uoc cu soc tu dVNI") Phan hoi cua dIIP truoc cu soc tu dVNI +--------------------------------------------+ | | (1) (1) (1) | | step | fevd Lower Upper | |--------+-----------------------------------| |0 | 0 0 0 | |1 | 0 0 0 | |2 | .030553 -.022501 .083606 | |3 | .050726 -.027451 .128902 | |4 | .053025 -.026237 .132288 | |5 | .056645 -.027616 .140905 | |6 | .056334 -.027227 .139894 | |7 | .056716 -.027508 .14094 | |8 | .056688 -.027474 .14085 | |9 | .05671 -.02749 .14091 | |10 | .056709 -.02749 .140909 | |11 | .056709 -.02749 .140908 | |12 | .056709 -.02749 .140909 | +--------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dVNI, and response = dIIP . di "Do thi phan tich IRF, FEVD cho bien dCPI tu cu soc dVNI" Do thi phan tich IRF, FEVD cho bien dCPI tu cu soc dVNI . irf graph oirf, impulse(dVNI) response(dCPI) title("Phan hoi cua dCPI tr > uoc cu soc tu dVNI") . graph export idCPI_dVNI.png, as(png) replace (note: file idCPI_dVNI.png not found) (file idCPI_dVNI.png written in PNG format) . irf graph fevd, impulse(dVNI) response(dCPI) title("Phan hoi cua dCPI tr > uoc cu soc tu dVNI") . graph export fdCPI_dVNI.png, as(png) replace (note: file fdCPI_dVNI.png not found) (file fdCPI_dVNI.png written in PNG format) . di "Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR" Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR . irf table oirf, impulse(dVNI) response(dCPI) std title("Phan hoi cua dCP > I truoc cu soc tu dVNI") Phan hoi cua dCPI truoc cu soc tu dVNI +--------------------------------------------------------+ | | (1) (1) (1) (1) | | step | oirf Lower Upper S.E. | |--------+-----------------------------------------------| |0 | 0 0 0 0 | |1 | .000575 -.000327 .001478 .000461 | |2 | -.000528 -.001457 .000401 .000474 | |3 | -.000739 -.001561 .000082 .000419 | |4 | -.000027 -.000611 .000557 .000298 | |5 | -9.0e-06 -.000439 .000421 .000219 | |6 | -.000184 -.000496 .000127 .000159 | |7 | -.000087 -.000292 .000117 .000104 | |8 | -.000014 -.00016 .000133 .000075 | |9 | -.000031 -.000137 .000075 .000054 | |10 | -.000029 -.000103 .000045 .000038 | |11 | -.000013 -.000063 .000037 .000025 | |12 | -8.9e-06 -.000046 .000028 .000019 | +--------------------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dVNI, and response = dCPI . irf table fevd, impulse(dVNI) response(dCPI) title("Phan hoi cua dCPI tr > uoc cu soc tu dVNI") Phan hoi cua dCPI truoc cu soc tu dVNI +--------------------------------------------+ | | (1) (1) (1) | | step | fevd Lower Upper | |--------+-----------------------------------| |0 | 0 0 0 | |1 | 0 0 0 | |2 | .008159 -.017376 .033694 | |3 | .012728 -.00962 .035076 | |4 | .02256 -.017088 .062208 | |5 | .021741 -.016723 .060206 | |6 | .021451 -.016582 .059485 | |7 | .021953 -.017384 .061289 | |8 | .022005 -.017633 .061643 | |9 | .021973 -.017647 .061593 | |10 | .021977 -.017689 .061644 | |11 | .021985 -.017717 .061688 | |12 | .021985 -.017725 .061694 | +--------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dVNI, and response = dCPI . di "Thuc hien muc tieu 3" Thuc hien muc tieu 3 . di "Do thi phan tich IRF, FEVD cho bien dREX tu cu soc dVNI" Do thi phan tich IRF, FEVD cho bien dREX tu cu soc dVNI . irf graph oirf, impulse(dVNI) response(dREX) title("Phan hoi cua dREX tr > uoc cu soc tu dVNI") . graph export idREX_dVNI.png, as(png) replace (note: file idREX_dVNI.png not found) (file idREX_dVNI.png written in PNG format) . irf graph fevd, impulse(dVNI) response(dREX) title("Phan hoi cua dREX tr > uoc cu soc tu dVNI") . graph export fdREX_dVNI.png, as(png) replace (note: file fdREX_dVNI.png not found) (file fdREX_dVNI.png written in PNG format) . di "Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR" Bang phan tich IRF, FEVD cho bien dVNI tu cu soc dDR . irf table oirf, impulse(dVNI) response(dREX) std title("Phan hoi cua dRE > X truoc cu soc tu dVNI") Phan hoi cua dREX truoc cu soc tu dVNI +--------------------------------------------------------+ | | (1) (1) (1) (1) | | step | oirf Lower Upper S.E. | |--------+-----------------------------------------------| |0 | 0 0 0 0 | |1 | -4.0e-06 -.001936 .001928 .000985 | |2 | .000764 -.000968 .002496 .000884 | |3 | .000428 -.000569 .001424 .000509 | |4 | -.000279 -.001011 .000452 .000373 | |5 | 7.6e-07 -.000468 .000469 .000239 | |6 | .00021 -.000101 .000521 .000159 | |7 | .000027 -.000147 .000202 .000089 | |8 | -.000031 -.000163 .000101 .000067 | |9 | .000026 -.000062 .000114 .000045 | |10 | .000024 -.000029 .000076 .000027 | |11 | 2.3e-06 -.000031 .000036 .000017 | |12 | 2.6e-06 -.000021 .000026 .000012 | +--------------------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dVNI, and response = dREX . irf table fevd, impulse(dVNI) response(dREX) title("Phan hoi cua dREX tr > uoc cu soc tu dVNI") Phan hoi cua dREX truoc cu soc tu dVNI +--------------------------------------------+ | | (1) (1) (1) | | step | fevd Lower Upper | |--------+-----------------------------------| |0 | 0 0 0 | |1 | 0 0 0 | |2 | 1.1e-07 -.00011 .00011 | |3 | .003927 -.013854 .021708 | |4 | .005111 -.015507 .02573 | |5 | .005608 -.016273 .027488 | |6 | .005597 -.016236 .027431 | |7 | .005886 -.016205 .027976 | |8 | .005887 -.016204 .027978 | |9 | .005892 -.016203 .027987 | |10 | .005896 -.016189 .027982 | |11 | .0059 -.016185 .027985 | |12 | .0059 -.016185 .027985 | +--------------------------------------------+ 95% lower and upper bounds reported (1) irfname = a51a54, impulse = dVNI, and response = dREX . di "ma tran he so tuong quan dong thoi - A" ma tran he so tuong quan dong thoi - A . mat list e(A) e(A)[5,5] dIIP dCPI dREX dVNI dDR dIIP 12.555584 0 0 0 0 dCPI 3.7936633 192.74279 0 0 0 dREX -3.1313664 -94.786675 -80.235541 0 .91127693 dVNI 2.8380847 30.729677 21.676789 14.759173 .1382689 dDR 0 -21.937305 45.798628 0 1.5303403 . di "ma tran Sigma" ma tran Sigma . mat list e(Sigma) symmetric e(Sigma)[5,5] dIIP dCPI dREX dVNI dDR dIIP .00634346 dCPI -.00012486 .00002938 dREX -.00008985 -.00001869 .00013403 dVNI -.0008363 -.00001888 -.00013447 .0050309 dDR .00089931 .00098054 -.00065965 -.00454777 .35247573 . di "ma tran he so uoc luong theo VAR" ma tran he so uoc luong theo VAR . mat list e(b_var) e(b_var)[1,65] dIIP: dIIP: dIIP: dIIP: dIIP: dIIP: dIIP: L. L2. L. L2. L. L2. L. dIIP dIIP dCPI dCPI dREX dREX dVNI y1 -.42470034 -.28209766 -.83806541 1.8872722 .24576272 1.1586927 -.2284041 dIIP: dIIP: dIIP: dIIP: dIIP: dIIP: dCPI: L2. L. L2. L. dVNI dDR dDR dOIL dFFR _cons dIIP y1 .19245842 -.00691465 .00312316 -.00455864 .04753101 .01120077 .01437752 dCPI: dCPI: dCPI: dCPI: dCPI: dCPI: dCPI: L2. L. L2. L. L2. L. L2. dIIP dCPI dCPI dREX dREX dVNI dVNI y1 .02330732 .69950698 .07176715 .1222546 .04799765 .0084106 -.01337587 dCPI: dCPI: dCPI: dCPI: dCPI: dREX: dREX: L. L2. L. L2. dDR dDR dOIL dFFR _cons dIIP dIIP y1 -.00009034 -.0004613 .021977 -.01305002 .00140798 -.00909528 -.02245899 dREX: dREX: dREX: dREX: dREX: dREX: dREX: L. L2. L. L2. L. L2. L. dCPI dCPI dREX dREX dVNI dVNI dDR y1 -.4504183 -.181411 -.13925931 -.24977102 .00112693 .01066429 .00185395 dREX: dREX: dREX: dREX: dVNI: dVNI: dVNI: L2. L. L2. L. dDR dOIL dFFR _cons dIIP dIIP dCPI y1 .00021995 -.00970152 .02679559 .00179634 -.0648507 .00211549 -3.5223521 dVNI: dVNI: dVNI: dVNI: dVNI: dVNI: dVNI: L2. L. L2. L. L2. L. L2. dCPI dREX dREX dVNI dVNI dDR dDR y1 .2347271 -.88567136 .62331259 .31804371 -.0882767 -.00812681 .02750159 dVNI: dVNI: dVNI: dDR: dDR: dDR: dDR: L. L2. L. L2. dOIL dFFR _cons dIIP dIIP dCPI dCPI y1 .17999078 .13580164 .02506405 1.3800066 1.8334354 54.692069 .02980736 dDR: dDR: dDR: dDR: dDR: dDR: dDR: L. L2. L. L2. L. L2. dREX dREX dVNI dVNI dDR dDR dOIL y1 36.15058 -9.6817723 1.2014753 -1.2008841 .08988558 -.0045433 2.2065959 dDR: dDR: dFFR _cons y1 -.5103564 -.36499307 . . save SVAR2202.dta, replace file SVAR2202.dta saved . log close name: log: F:\3. MODEL\vietlod.com\SVAR2502.smcl log type: smcl closed on: 25 Feb 2016, 14:31:44 ------------------------------------------------------------------------------------------

Minh họa SVAR trên Stata

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Kiểm định Fisher Exact – Monte Carlo

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