MỤC LỤC
Gi& thuyet 2: pl khac nhau theo cac dan vi cheo va khong doi theo thoi gian; p2 va p3. Gi& thuyet 4: pi, p2, va p3 khac nhau theo cac dan vi cheo nhirng khong thay doi theo.
Ket qua kiem dinh sir khong dong nhat cua dom vi cheo va tho*i gian.
Sai so phan tram tri tuyet doi trung binh MSE Mean Squared Error Sai so binh phirorig.
Mo ta sir van dong bang mo hinh quan tarn den viec hieu cau true cua chuoi thd’i gian - cac chuoi thd’i gian phu thuoc nhu* the nao vao thd’i gian, vao chfnh no va vao cac bien so khde, nham hieu diro’C sir van dong cua nen kinh te va kiem dinh cac gid thuyet. DGP laJthvrc the vi no tao ra chuoi then gian voi cac gia tri trong thu-c te; nha nghien cun khong the biet dirge there te mot each hoan toan vi co nhieu dieu khong chac chan co the xay ra ngay ca khi nha nghien cun khong muon.
Chuoi thod gian Yt dung chat/ mgnh (Strictly/ Strong stationary process) neu phan phoi xac suat dong thcri (joint probability distribution) cua hai quan sat bat ky t£r qua trinh (K& Yc+s) chi phu thupc vao khoang each thoi gian gifra cac quan sat (s), ma khong phu thuoc vao th64 diem quan sat (£). Tuy nhien, nhu* da de cap trong chu’omg 1, do gia tri cua tu* hiep phu'crng sai phu thupc vao don vi do lirong cua Yt, tu* hiep phunng sai khong phai la do lu'd'ng hun fch de danh gia moi quan he giira Yt va cac gia tri tru'6'c do cua chfnh no.
Chuoi thcri gian Yt la khei nghich (invertible) neu no the dirge trinh bay bo*i mot MA co bac xdc dinh hoac mot qua trinh tir hoi qui hoi tu (convergent). Ti'nh kha nghich 1^ thuoc tlnh quan trong bd*i viec sir dung ham tu* tiromg quan (ACF) va tu* tiro’ng quan rieng phan (PACF) de x&c dinh mo hinh ARMA co gi& dinh ngam rang chuoi Yt co the dirge xem 1A gan voi mot mo.
Thong thirorig, dieu kien nay con diro’c dien giai la: cac nghiem cua phiro’ng trinh dac trirng nam ngoai vong tron do*n. | hang so bang 0 va khong co so hang khac co the dirge dien dat nhir mot mo hinh MA(oo), Ket qud nay rat quan trong de suy ra ACF cua mot qud trinh tg hoi qui.
| phat bieu rang mot chuoi dirng bat ky co the diro’c phan I tach thanh tong cua hai qua trinh khong lien quan, gbm qua. LT&c hrcrng va dir bao bang mo hinh chuoi th&i gian dcrn bien.
Ky hieu I trong mo hinh ARIMA phan anh bac dung/ bac tfch hop cua qua trinh ARMA dang xem xet Mo hinh ARIMA tong quat co ky hieu ARIMA(p, d, q) vui p la so bac tre cua qua trinh tp hoi qui (thanh phan AR), d la so lan lay sai phan de co dupe chuoi dung, va q la so bac tre cua sai so (thanh phan MA). Trong khi do, he so tir tu’o'ng quan rieng phan, ky hieu Tkk, do lud'ng tu’o’ng quan gitra quan sat each do k thcri diem va thcri diem hien tai (t), sau khi da loai trir tac dong cua cac bac tre trung gian giira k va t (cac bac tre < k).
Bir&c 2: Chuyen chuoi cpi sang dang sai phan bac 1 va kiem dinh tfnh du ng cua saiphan bac 1.
• Method: chon LS-Least square (NLS and ARMA). Hinh 2.10 trinh bay ket qu3 uoc Itrong mo hinh ARMAfl, 1) trong ctra so Equation. Dieu kien de mo hinh ARMA dung va kha nghich la gia tri tuyet doi cua nghiem ph iron g trinh dac trirng.
Ket qua nghich dao cila nghiem dac trirng trong Hinh 2.12 co 3 cot, cot dau tien la gia tri nghich dao cua nghiem, cot thu hai la gia tri tuyet doi. Phan dird’i Id nghiem nghich dao cua da thirc MA co gia tri tuyet doi ciia tat cd nghiem deu nhd hon 1.
Biro’c nay so sanh cac gia tri R2, R2 hieu chinh va cac tieu chuan thong tin cua cac mo hinh ARIMA da a&c Iirpng de chon ra mo hinh tot nhat dya tren bang tong hop cac thong so cua.
• Mo hinh chuoi then gian dem bien dirge sir dung khi hanh vi cua bien so can giai thfch dirge quyet dinh bd*i nhung thong tin ve gia tri cua chi'nh no trong qua khir va/hoac gia tri hien tai va qua khir cua hang nhieu. Dvr bao mau chbng lan co so Itrp'ng quan sat trong mau de thtrc hien iro'c Itrp'ng la co dinh, nhtrng quan sat dau tien va quan sat cuoi cung cua mau se lien tuc gia tang theo ttrng thai diem cua giai doan dtr bao.
De ir6*c lirgng bang OLS, can phai chuyen he phu'crng trinh SVAR sang dang de qui/ tarn giac bang each xac dinh cac rang buoc (restrictions] cho mot trong hai he so u'O'c 1 png cung thou diem bang 0, tire la hoac ai2 hoac az2 phai bang 0. Viec xac dinh cac rang buoc cho mo hinh SVAR du'O'c goi la nhan dang mo hinh SVAR. Liru y rang, viec xac dinh he so u'O'c lu'p'ng nao bang 0 phai dira vao cor sor ly thuyet. Gia sir, ly thuyet chi ra rang gia tri tai thai diem t cua Yn co tac dong den gia tri tai thcri diem t cua nhirng khong chiu tac dong ngu’crc lai cua Y2t er cung then diem, khi do co the xac dinh a.12 = 0. Khi do, tirng phirorig trinh trong mo hinh SVAR co the dirge U'O’C liro'ng bang OLS. O' dang khai quat ho'n, mo hinh SVAR cua g bien viet rut gon co dang:. g) he so tac dong cung thoi diem cua cac bien noi sinh, po la vecto. Nham lam giam nhe nhumg nhirp'C diem nay cua mo hinh VAR, dong thcri tang tfnh tin cay ve mat thong ke khi str dung mo hinh VAR, phan tich VAR t hirerng kem theo 3 c6ng cu bao gbm: kiem dinh y nghTa khoi (block significance test), phan ung day (impulse response) va phan ra phircrng sai (variance decomposition).
Trong triro-ng hgp nay, bac 8 dirge lira chon vi: (i) bien so vT mo gitra phat trien tai chfnh va tang tru’d'ng kinh te; (ii) thong thtrong tac dong cua chfnh sach tien te co anh htrong den nen kinh te trong vong 2 nam; (iii) dir lieu co tan suat quf. Trong tru’d’ng hgp cac tieu chuan thong tin khong thong nhat, lira chon bac tre toi tru theo tieu chuan thong tin nao cung can co ly giai thoa dang dtra tren dac diem cua cac tieu chuan thong tin da dirge gio-i thieu trong chiro'ng 2.
Neu tri thong ke lorn horn gia tri bac bo, bac bo gia thuyet Ho, ket luan phan du* co hien tircrng tu* tiromg quan. Ngiroc lai, neu tri thong ke nhd hern gia tri bac bo, khong du co1 s& thong ke de bac bo gia thuyet Ho, ket luan phan dir khong co hien tirang tir tirong quan.
(block) va xem xet khi cd rang buoc va khi khong cd rang buoc, mo hinh nao se cd ket qua ird'c lirang tot han thong qua thiro'c do tong binh phirang phan du* (SSR). Do cac rang buoc dtrac ap dung doi voi bac tre cua bien dang dirac xem xet la nguyen nhan, thuat ngtr nhan qua (causality) & day cd y nghTa gia tri tre cua mot bien so cd anh hird'ng gia tri hien tai cua mot bien so khac.
Neu he so iracluo-ng cac bien tre cua Yz co y nghTa thong ke trong phuo’ng trinh cda Yi ma he so uac luomg cac bien tre cua Yi khong co y nghTa thong ke trong phuo’ng trinh cua Yz. Neu he so u'O'c luomg cac bien tre cua Yi co y nghTa thong ke trong phu'o'ng trinh cua Yz, he so U'O'c luomg cac bien tre cua Yz cung co y nghTa thong ke trong phu'o’ng trinh cua Yj.
Theo do, bien so d vi tri thir nhat, Yu, se khong chiu tac dong ciing tho-i diem cua bien so o’ vi tri thu* hai; bien o’ vi tri thu* hai, Yzt, chi chiu tac dong cung then diem cua bien d* vi tri thir nhat ma khong chiu tac dong cung thcri diem cua cac bien khac,. Nhir vay, ket qua phan ung day tirong dong vai ket qua kiem dinh nhan qua Granger, FIDE khong phan ung cua cu soc cua Y nhung Y co phan ung von cu soc cua FIDE, mac du mile phan ilng khong Ion va khong keo dai.
• Hinh phai: khoang gifra hai dtrang sai so chuan chila gia tri 0 tir t=3 phan anh mile phan ling cua Y doi vcri soc FIDE khong khac 0 o' mile y nghia 5% tir t=3. Nhtrvay, theo sau cu soc cua FIDE, Y co tang o’ qui thu' hai rbi khong phan ilng tu* qui thil 3.
Cac Xt chi nam o’ ve phai cua phiro'ng trinh ham y rang khong co phircmg trinh veri cac bien ngoai sinh la bien phu thuoc trong he phircrng trinh VAR vi cac bien ngoai sinh la bien ma gia tri dirge xac dinh bcri cac yeu to ngoai mo hinh. Tuy nhien, VAR cung co nhung nhucrc diem Ion nhu mo hinh yeu ve cor sor ly thuyet, ket qua u'6'c I iron g phu thuoc vao bac tre lua chon, co qua nhieu tham so trong mo hinh lam giam bac tu do, co yeu cau dung doi voi bien so trong mo hinh.