Because of the macroeconomic variables are integrated level 1, ie I (1), while VAR model requires that all variables must stop, that I (0), to avoid spurious regression. Therefore, all economic variables initial platform should take the form of first differences 1.
For the quarterly data series is quite short, therefore, all research conducted in selected always late Career VAR model is 1, or VAR (1). Verification of stability of the VAR model (Figure 1.A) prove that the model completely stable that can be used in analysis and forecasting.
The paper conducted decomposition of variance (VDF) VAR model to peel the variability of the real exchange rate (REER) relative over time by other shocks. However, a note that the sort order of the variables in the Cholesky triangular matrix will affect the entire outcome when conducting calculations and IRFs VDF. In this study, the order of the variables are arranged as follows: d (RR), d (lnM2), d (lnOPEN), d (lnREER), d (lnPROD), d (lnNFA). This order is based on a frame of reference attached under d (lnREER), the variables behind the real exchange rate implies that there is no immediate impact to the real exchange rate which must later period is late, the variable will stand before operation right up to the real exchange rate in the first period.
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