Chương 11 KTL

Chng trnh Giang day Kinh te Fulbright
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Nhap mon kinh te lng vi cac ng dung
Chng 11: D bao

Ramu Ramanathan 1 Thuc Doan/Hao Thi

CHNG 11

D BAO

Ly do quan trong cua viec thiet lap mo hnh kinh te lng la e tao ra cac
gia tr d bao cua mot hoac nhieu bien kinh te. Chng 1 chung ta a trnh
bay mot so v du ve d bao, va Muc 3.9 chung ta a s dung mo hnh hoi quy
n e minh hoa cac nguyen tac c ban cua d bao
(1)
. Trong chng nay, chung
ta tiep tuc van e d bao mot cach chi tiet hn. Chung ta se mo ta nhng
phng phap khac nhau, cung nh nhng phng phap anh gia cac gia tr d
bao va ket hp cac d bao c tao ra bi cac mo hnh khac nhau. Tuy nhien,
do D bao la mot chu e rat rong, nen chng nay ch gii thieu nhng van e
co lien quan. a co rat nhieu sach viet ve chu e nay, oc gia co the tham khao
neu muon biet them chi tiet.
Mac du thuat ng d bao (hoac thuat ng tng ng d oan) thng
c s dung trong ng canh la co gang d oan tng lai, cac nguyen tac cua
no cung hoan toan co the ng dung e d oan cac bien cheo. Chang han,
ngi ta co the s dung v du ve bat ong san chng 3, 4, 6 va 7 e d oan
c gia trung bnh cua ngoi nha khi cho trc cac ac iem cua no.
Ve phan loai cac phng phap d bao, co the phan biet hai nhom phng
phap. D bao kinh te lng da tren mo hnh hoi quy e noi ket mot hoac mot
vai bien phu thuoc vi mot so bien oc lap. Phng phap nay rat pho bien do
no co kha nang giai thch cac thay oi cac bien phu thuoc theo s thay oi
cua cac bien kinh te hay cac bien ong thai khac ac biet la nhng thay oi
trong cac bien ve chnh sach. Ngc vi phng phap kinh te lng, phng
phap d bao chuoi thi gian chu yeu da tren nhng no lc e d oa n cac gia
tr cua mot bien can c vao nhng gia tr trong qua kh cua chnh bien ay.
Nhng nhom nay rat rong va ranh gii gia chung la khong ro rang. Chang
han, trong khi mot so mo hnh kinh te lng c thiet lap ch da tren cac gia
tr qua kh cua bien phu thuoc, th mot so mo hnh chuoi thi gian thuan tuy
(phi kinh te lng) lai ket noi mot bien vi cac gia tr cua cac bien khac (v du
nh cac mo hnh t hoi quy vect a e cap chng 10). Phng phap chuoi
thi gian thng c xem la troi hn phng phap kinh te lng khi d bao
ngan han. Cac mo hnh kinh te lng se thch hp hn trong trng hp mo
hnh hoa cac anh hng dai han hn. Cac mo hnh tong hp ca hai nho m

(1)
Nen oc lai Muc 3.9

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Chng 11: D bao

phng phap nay thng tao ra c tiem nang cai thien cac d bao ca ngan
han lan dai han. Muc 11.6 se thao luan ve d bao kinh te lng va Muc 11.7 se
trnh bay tong quan ve d bao chuoi thi gian.

11.1 Cac Gia Tr Thch Hp, D Bao Kiem nh Va Tien Nghiem

Trong moi trng d bao co ba thi oan c quan tam. au tien, ngi khao
sat s dung d lieu trong thi oan n
1
, en n
2
(v du nh t 1948 en 1982) e
c lng mot hoac mot vai mo hnh. T viec c lng o (oi khi con goi la
d bao trong mau) se thu c cac gia tr thch hp, ngha la cac gia tr d
bao c tnh cho thi oan t n
1
en n
2
cua mau (t 1948 en 1982 nh trong
v du). Chang han, xet mo hnh hoi quy sau:

t tk k t t t
u X X X Y + + + + = ...
3 3 2 2 1

(11.1)
Gia tr thch hp tnh cho thi oan t la:
tk k t t
t X X X Y

+ + + + = ...
3 3 2 1
^
(11.2)
Tiep theo, cac gia tr d bao ngoai mau c tao ra cho cac thi oan n
2
+
1 tr i. Thi ky sau mau nay co the c chia thanh hai phan : cac thi oan
t n
2
+ 1 en n
3
(chang han nh t 1983 en 1994), trong o gia tr thc te cua
Y va tat ca cac X
s
eu a biet; va thi oan n
3
+ 1 tr i (chang han, t 1995
tr i) trong o cac gia tr cua X
s
va Y eu cha biet. Cac gia tr d bao c
tao ra cho thi ky t n
2
+ 1 en n
3
c goi la cac gia tr d bao kiem nh, va
cac gia tr d bao c tao ra cho thi ky t n
3
+ 1

tr i c goi la cac gia tr
d bao tien nghiem. Hnh 11.1 minh hoa ba thi oan d bao nay. V Y
t
a
biet trong thi gian n
2
+ 1 en n
3
nen co the so sanh cac gia tr d bao vi cac
gia tr thc te cua chung va anh gia c viec d bao ngoai mau cua mo hnh
(se trnh bay ro hn trong muc tiep theo). Do d lieu trong thi oan d bao
kiem nh cha c s dung trc o e tnh ra cac gia tr c lng cua cac
tham so nen viec d bao kiem nh se thc s cho biet kha nang d bao cua
mo hnh. Cac d bao tien nghiem c thc hien cho nhng thi oan ma gia
tr thc cua ca bien phu thuoc lan bien oc lap eu cha biet, do o no la cac
d bao trong tng lai cha biet.
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Chng 11: D bao

Hnh 11.1 Cac thi oan d bao trong mau, kiem nh va tien nghiem

V DU 11.1
Lay v du: Mot nha phan tch trong bo phan d bao phu tai ien cua mot n
v phuc vu muon d bao tong doanh thu khu vc ho dan c. Nha phan tch co
mot so mo hnh thang noi ket mc tieu thu ien cac ho dan vi dang thc
thi tiet trong thang va nhng tac ong theo mua khac: gia ban ien, tong cac
dung cu s dung ien, thu nhap ho gia nh, v.v... Gia s rang ngi d bao co
d lieu theo thang trong 10 nam (120 quan sat). e so sanh kha nang d bao
cua cac mo hnh khac nhau, au tien ngi khao sat co the s dung cac quan
sat t 1 en 100 e c lng cac mo hnh (ay la thi ky trong mau). Sau o,
co ta s dung cac mo hnh a c c lng e tao ra cac gia tr d bao kiem
nh ve mc s dung ien trong cac thi oan t 101 en 120, s dung gia tr
a biet cua cac bien oc lap. V cac gia tr cua bien phu thuoc cung a c
biet mot cach chac chan trong thi ky sau mau, cac gia tr d bao co the c
anh gia can c theo cac gia tr a biet nay va mot trong cac mo hnh se c
chon la la tot nhat. Tiep o, mo hnh c chon nay se c c lng lai,
bang cach s dung toan bo mau (trong v du nay la tat ca 120 quan sat) va cac
gia tr d bao tien nghiem (da tren mo hnh a c c lng lai) se c
tao ra cho nhng thi oan sau thi oan 120. Nhng gia tr d bao tien
nghiem se la c s e hoach nh cong suat phat ien trong tng lai va gia
ien se c xac nh.

11.2 anh Gia Cac Mo Hnh:

Hau het cac nha d bao anh gia cac mo hnh cua ho theo nang lc d bao cua
mo hnh. Mot so phng phap c s dung e anh gia nang lc d bao.
Trong muc 3.9, sai so bnh phng trung bnh (MSE) a c gii thieu la
mot cach e so sanh cac gia tr d bao t cac mo hnh khac nhau. Vi mot mo
hnh tong quat co k he so hoi quy, MSE c nh ngha nh sau:

t Y

n
1
n
2
n
3
t
Thi ky c lng
D bao trong mau
D
bao
Kiem
nh
D bao
Tien
nghiem
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Chng 11: D bao

k n
Y Y
MSE
t
f
t
=

2
) (

trong o n la so cac quan sat, Y
t
la gia tr thc te cua bien phu thuoc, Y
t
f
la gia
tr c d bao t mo hnh. Trong thi ky mau, MSE tng ng vi
2
, la
c lng cua phng sai cua so hang sai so u
t
.
Tieu chuan la chon mo hnh a e cap trong muc 4.3 cung co the c s
dung e anh gia nang lc d bao. Cach lam la dung moi mo hnh so sanh e
d oan cac gia tr cua Y trong thi ky kiem nh. Ke o, tnh tong bnh
phng sai so (ESS) bang (Y
t
f
- Y
t
)
2
va sau o dung tieu chuan chon mo
hnh trong bang 4.3. Mo hnh nao co cac gia tr thong ke nay thap hn th c
xem la tot hn xet ve nang lc d bao.

Cach th ba e anh gia mo hnh la da tren c s c lng cua phep hoi
quy n gia gia tr d bao va gia tr quan sat nh sau:

Y
t
= a + b Y
t
f

+ e
t

Neu viec d bao la hoan hao trong suot cac thi oan t, th ta se co
a bang
0 va
b bang 1. ieu nay co the c kiem chng chnh thc bang cach s
dung t test thch hp.
Cuoi cung, neu tat ca cac quan sat bien phu thuoc eu la dng th ngi
ta co the tnh sai so phan tram tuyet oi, APE
t

t t
Y Y Y / 100
(
=

va sai so
phan tram tuyet oi trung bnh (MAPE) a c nh ngha trong chng 3
la (1/n)
t t
Y Y Y / 100
va chon mo hnh nao co gia tr MAPE thap. Chung

ta a thay nhieu v du trong o MAPE va MSE c tnh va nang lc d bao
cua mo hnh c anh gia.

11.3 Gia Tr D Bao Co ieu Kien Va Vo ieu Kien

Khi xet cac gia tr d bao kiem nh hay tien nghiem ieu quan trong la phan
biet gia cac gia tr d bao co ieu kien va khong ieu kien. Gia tr d bao co
ieu kien co c khi bien phu thuoc c d bao vi gia thiet la cac bien oc
lap co cac gia tr cu the (co the la cac gia tr a biet). e co mot v du n
gian ve d bao co ieu kien, hay xet mo hnh sau:

H
t
= + P
t
+ u
t
(11.3)
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Chng 11: D bao


trong o H
t
la so can ho mot thanh pho nao o va P
t
la dan so cua thanh pho
o. Nh a neu trong muc 3.9, gia tr d bao co ieu kien cua H khi cho trc
P, chang han la P
0
, la
0
P H

+ = . Gia s cho dan so thi iem (n+1) la
P
n+1
, th gia tr d bao co ieu kien cua H vi ieu kien P = P
n+1
la
1
1
+

+
+ =
n
n P H . Do o, gia thiet rang dan so thi iem tiep theo la P
n+1

chung ta se co c d bao co ieu kien cua so can ho trong thi oan tiep
theo la
1 +

+
n
P .
Cac gia tr d bao khong ieu kien co c khi cac gia tr cua cac bien
ngoai sinh khong c cho trc ma c tao ra t chnh mo hnh hoac t mot
mo hnh phu tr. Do vay, cac bien oc lap khong c o mot cach chac chan
ma mang tnh bat nh. Trong v du ve can ho, dan so trong tng lai cua
thanh pho la so cha biet. Mot mo hnh phu tr ve nhap c, sinh san va t
vong co the c s dung e co c cac d bao ve dan so thi oan n+1
(goi la 1 +
n P ). Cac gia tr d bao ve so can ho co c bang cach phoi hp mo

hnh kinh te lng vi mo hnh dan so la khong ieu kien. Do vay, ta co
+

+
+ =
1
1
n
n P H , trong o 1 +
n P la gia tr d bao cua dan so, co c t mo

hnh phu tr. Cac mo hnh VAR a trnh bay trong chng trc la nhng cong
cu rat tot e tao ra cac gia tr d bao khong ieu kien.
Cac gia tr thch hp c tao ra trong thi ky trong mau la co ieu kien
(v cac gia tr cua X
s
c cho trc), nhng cac gia tr d bao trong thi ky
tien nghiem la khong ieu kien v chung oi hoi cac bien oc lap phai c d
bao trc khi bien phu thuoc c d bao. Cac gia tr d bao trong thi ky
kiem nh co the la co ieu kien hoac khong ieu kien tuy thuoc vao cach tao
ra chung.
en luc nay, can lu y mot vai iem khong nhat quan trong cac tai lieu ly
thuyet co lien quan en viec s dung thuat ng co ieu kien va khong ieu
kien. Mot so tac gia nh ngha nhng thuat ng nay hoan toan ngc lai vi
nh ngha c trnh bay a y. ieu nay khong ung. Thuat ng co ieu kien
xuat x t thuat ng trong ly thuyet xac suat trong o ta xet phan phoi co ieu
kien, ky hieu la P (Y/X), cua mot bien ngau nhien cho trc gia tr cua mot
bien ngau nhien khac. Tr trung bnh co ieu kien cua phan phoi nay la E
(Y/X). Mot gia tr d bao cua Y la mot c lng cua E (Y/X) va se phu thuoc
vao X. Do o, gia tr d bao cua Y vi mot gia tr cua X cho trc la mot gia
tr d bao co ieu kien. Tr trung bnh khong ieu kien cua Y, ky hieu la E (Y),
la gia tr ky vong cua Y tren mat o xac suat hp f(x,y) va khong phu thuoc
vao X. Mot c lng cua E(Y) la mot gia tr d bao khong ieu kien trong o
X cung c xem la mot bien ngau nhien.
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Chng 11: D bao


V DU 11.2
Doanh thu trong ieu kien Bnh thng hoa thi tiet c thc hien bi n
v hng li ien la mot v du hay ve d bao co ieu kien. e nh gia s
dung ien, cac dung cu dung ien c cac nhan vien phu trach n v tien ch
cong cong eu an yeu cau e co c chuoi c ieu chnh theo thi tiet
ve doanh thu ien chuoi nay co c bang cach hoi Lng tieu thu va qua
la bao nhieu neu thi tiet la bnh thng ? Thi tiet bnh thng c o mot
cach ien hnh bang cach lay gia tr trung bnh cua nhiet o, o am, toc o gio,
v.v trong suot thi oan 10 nam (hoac dai hn).
Sau o, cac gia tr ng vi thi tiet bnh thng c thay cho cac bien thi
tiet va mot gia tr d bao c tao ra. Hieu so gia gia tr d bao tieu thu ien
trong ieu kien thi tiet thc te va gia tr d bao tieu thu ien trong ieu kien
thi tiet bnh thng chnh la so hieu chnh do thi tiet. Ro rang, khong co
chuyen thi tiet bnh thng duy nhat. Thc ra, cac gia tr trung bnh so o
thi tiet trong 10 nam va cac gia tr trung bnh cua so o thi tiet trong 20 nam
se tao ra so hieu chnh thi tiet khac nhau. Do vay, cac gia tr d bao la co
ieu kien tuy theo nh ngha thi tiet bnh thng. Neu ta cung d bao thi
tiet va dung no e d bao mc s dung ien, th chung ta se co cac d bao
khong ieu kien.

11.4 D Bao T Cac Xu Hng Theo Thi Gian

Hau het cac chuoi thi gian cua cac bien tong hp eu bieu hien mot dang
thc tang hoac giam t t, goi la xu hng. Ngi ta co the thch hp bang
mot ng cong trn vi mot xu hng ro net. Sau o ng cong thch hp o
co the c ngoai suy e tao ra cac gia tr d bao cua bien phu thuoc. Phng
phap d bao nay goi la lam thch hp bang ng xu hng. Khong can co
mo hnh hay ly thuyet ve ong thai kinh te lng ro ret, ch can mot gia thiet
n gian la cac dang thc trong qua kh se con tiep tuc trong tng lai. e
xac nh loai ng cong xu hng e lam thch hp, ngi khao sat ve o th
bien phu thuoc theo thi gian va nhan dang xem xu hng la tuyen tnh, bac
hai hay luy tha, hay co dang thc nao khac. Chung ta liet ke mot so dang
ng xu hng c s dung pho bien:

(A) ng thang Y
t
=
1
+
2
t + u
t

(B) Bac hai Y
t
=
1
+
2
t +
3
t
2
+ u
t

(C) Bac ba Y
t
=
1
+
2
t +
3
t
2
+
4
t
3
u
t

(D) Log-tuyen tnh Y
t
=
1
+
2
ln ( t ) + u
t

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Chng 11: D bao

(E) Nghch ao Y
t
=
1
+
2
(1 / t) + u
t

(F) Tuyen tnh-log ln (Y
t
) =
1
+
2
t + u
t
; Y
t
> 0
(G) Log-hai lan ln (Y
t
) =
1
+
2
ln( t ) + u
t
; Y
t
> 0
(H) Logistic ln
(
t
t
Y
Y
1
=
1
+
2
t + u
t
; 0 < Y
t
< 1

Nam cong thc au co Y
t
la bien phu thuoc, hai cong thc tiep theo co
ln(Y
t
) la bien phu thuoc, va cong thc cuoi cung co dang log hoa oi vi Y
t
.
Can nhan manh rang cac gia tr cua
2
R ch so sanh c gia hai mo hnh co
cung bien phu thuoc. Hn na, dang log hoa oi hoi Y
t
va Y
t
/ (1 Y
t
) phai
dng. ng cong log la dang hu ch khi Y
t
gia 0 & 1 hoac khi Y
t
la tr
so phan tram. Nh a neu trong muc 6.12, ng cong log am bao rang cac
gia tr c d bao luon gia 0 va 1 (hoac 0 en 100 neu bien phu thuoc la
so phan tram).
Chung ta a lu y trong chng 6 la neu bien phu thuoc co dang log th cac
gia tr d bao se b thien lech. e tm hieu ieu nay ro hn, lay luy tha mo
hnh log-hai lan ben tren. Ta co:
t t t
u u t
t
Y
e t e e Y e
2 1 2 1
) ln( ln
= = =
+ +

Lay gia tr ky vong cua ca hai ve:
2 1 2 1
] [ ) (

t e e E t e Y E
t
u
t
=
bi v E (u
t
) = 0 khong co ngha la E 1 ) ( =
t
u
e . Tuy vay, co the c lng E
] [
t
u
e bang cach dung d kien la E ] [
t
u
e =
2 /
2
e (khong chng minh). Mot c

lng cua
2 /
2
e la
2 /
2
e . Do o, mot d bao ung cua Y

t
la:
2 /
2
2 1

=

e t e Y t

e tao ra cac gia tr d bao t cac ng xu hng, cac quan he sau ay se
c s dung (cho cac sai so khong d oan c u
t
bang 0):

ng thang t Y t
2 1

+ =
Bac hai
2
3 2 1
t t Y t

+ + =
Bac ba
3
4
2
3 2 1
t t t Y t

+ + + =
Log- tuyen tnh ) ln(
2 1
t Y t

+ =
Nghch ao ) / 1 (
2 1
t Y t

+ =
Tuyen tnh-log
) 2 / (
2
2 1

+ +
=
t
t e Y
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Chng 11: D bao

Log-hai lan
) 2 / (
2
2 1

=

e t e Y t
Logistic
)] 2 / ( [
2
2 1
1
1

+ +
+
=
t
t
e
Y

Neu ng xu hng bieu hien moi tng quan chuoi trong cac phan d th
cac gia tr d bao co the c cai thien bang cach khai thac cau truc cua phan
d, nh a c mo ta trong chng 9 va 10.
ng dung pho bien cua cac ng xu hng la e tach mot xu hng ro net
(goi la tach xu hng) va sau o khao sat s phan tan cua bien phu thuoc
c quan sat t ng xu hng c thch hp hoa. Trong trng hp nay,
au tien nha phan tch lam thch hp bang mot trong so cac ng cong c
liet ke ben tren va sau o thu c cac phan d
t
u . Sau o, cac gia tr cua cac
phan d nay co the c ket noi vi cac bien ma co the ly giai s dao ong
chung quanh xu hng. Phng phap nay thng c cac nha phan tch chu
ky kinh doanh s dung, au tien ho lam thch hp mot xu hng dai han cho
bien phu thuoc ang xet (gia co phieu, GNP, that nghiep, v.v...), tach phan xu
hng va thu c t u
, va sau o noi ket phan d vi nhng bien rat ngan han

nh mua vu, cac thong bao ve chnh sach nha nc, cac s kien quoc te noi
bat, v.v...
Can nhan manh la rieng viec lam thch hp bang mot ng xu hng
thng la cha u, nhng no la viec hu ch trong mot chien lc mo hnh hoa
rong hn, trong o mot bien phu thuoc c noi ket vi nhieu bien oc lap co
the bao gom cac xu hng. Viec thch hp hoa ng cong n gian th khong
da tren bat ky mot c che ro ret nao ma la tren gia thiet, ma thng la sai, la
cac ong thai trong qua kh se con tiep dien.

Bai Tap Thc Hanh 11.1
Trong cac ng cong tuyen tnh log, log-hai lan va logistic a neu, hay giai
ra Y
t
la ham theo t va kiem chng cac gia tr d bao cho trc. Sau o, ve o
th
t
Y theo cac gia thiet khac nhau ve dau cua
. Nhng hnh dang nao ma

cac ng cong co the co ?
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Chng 11: D bao


ng Dung: Thch Hp Hoa Cac ng Xu Hng Cua Tien Cong Lao
ong California.
DATA 10-5 cho d lieu nam ve tien cong trung bnh gi California t 1960
1994. Hnh 11.2 ve d lieu nay theo thi gian, cho thay rang mc tien cong
rat on nh cho en nam 1965, t o no tang len theo mc tang dan trong suot
2 thap ky va giam lai va phai. Tat ca 8 ng xu hng a trnh bay trc
ay c c lng bang cach dung d lieu trong thi ky 1960 1989. Do co
chng c ro ret ve tng quan chuoi, cac thong so c c lng theo quy
trnh Cochrane Orcutt a c mo ta trong chng 9. Sau o, cac gia tr d
bao ngoai mau c phat ra cho thi ky 1990 1994, sau khi cho phep ieu
chnh t tng quan oi vi cac gia tr d bao cung nh cac sai lech trong d
bao do cac cong thc logarit. Ke en, ham hoi qui Y
t
= a + b Y
t
f
+ e
t
, noi ket
gia tr thc te cua bien phu thuoc vi gia tr d bao cua chung, se c c
lng. Sau o, tnh toan sai so phan tram tuyet oi trung bnh (MAPE) va cac
thong so thong ke e chon mo hnh a mo ta trong chng 4. Bang 11.1 trnh
bay tom tat cac thong ke (Phan thc hanh may tnh muc 11.1 se cung cap chi
tiet e tao ra lai cac ket qua nay). Khi viec d bao la tot, chung ta mong i
a
tien gan en 0 va
b tien gan en 1. Xet ve cac o o nay th mo hnh bac hai

(B) la tot nhat.
Mo hnh (B) cung la tot nhat xet theo MAPE va tat ca cac tr thong ke e
chon la mo hnh. Bang 11.2 cho cac gia tr tien cong thc te va d bao cung
nh cac sai so phan tram tuyet oi (APE) oi vi mo hnh (B) trong suot cac
nam (xin xem phan thc hanh may tnh 11.2 e biet them chi tiet). Chung ta
lu y la APE vt qua gia tr 5% ch nam 1961 va 1981, nhng thap hn 5%
trong tat ca cac nam con lai. Nh a e cap trc ay, kiem nh thc s ve
nang lc d bao cua mot mo hnh la mo hnh o d bao tot en mc nao
ngoai thi ky mau c dung trong qua trnh anh gia. ieu can quan tam lu
y la APE trong giai oan hau mau 1990 1994 la khong vt qua 1.68%. Do
vay, mo hnh B, s dung xu hng thi gian bac hai thc hien kha nang d
bao kha tot noi chung.
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Chng 11: D bao

Hnh 11.2 Mc Tien Cong Lao ong Trung Bnh Gi California

BAI TAP THC HANH 11.2
Thc hien lai phan tch ben tren, s dung d lieu ve tien cong My c trnh
bay trong DATA 10 5.

Bang 11.1 So sanh kha nang d bao cua cac ng xu hng.

Cac mo hnh A B C D E F G
a
2.879 1.818 -6.296 2.449 2.498 3.854 3.299
b
0.748 0.849 1.582 0.799 0.795 0.648 0.712
MAPE 1.799 0.610 3.794 0.850 0.876 4.950 2.002
SGMASQ 0.112 0.013 0.385 0.021 0.023 0.673 0.142
AIG 0.149 0.017 0.514 0.029 0.030 0.898 0.190
FPE 0.156 0.018 0.539 0.030 0.032 0.942 0.199
HQ 0.098 0.011 0.338 0.019 0.020 0.590 0.125
SCHWARZ 0.128 0.015 0.440 0.024 0.026 0.768 0.163
SHIBATA 0.121 0.014 0.416 0.023 0.024 0.726 0.154
GCV 0.186 0.022 0.642 0.036 0.038 1.121 0.237
RICE 0.335 0.039 1.156 0.064 0.068 2.018 0.427

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Chng 11: D bao

Bang 11.2 Cac Sai So Phan Tram Tuyet oi (APE) Cua Mo Hnh B.

Year Wage Wagehat APE Year Wage Wagehat APE
1961 2.72 2.55 6.64 1978 6.43 6.42 0.59
1962 2.79 2.70 3.64 1979 7.03 6.86 2.97
1963 2.88 2.82 2.57 1980 7.70 7.45 3.72
1964 2.96 2.96 0.65 1981 8.56 8.11 8.71
1965 3.05 3.08 1.44 1982 9.24 8.96 3.54
1966 3.16 3.21 2.06 1983 9.52 9.63 1.60
1967 3.29 3.36 2.55 1984 9.77 9.90 1.83
1968 3.44 3.52 2.90 1985 10.12 10.14 0.73
1969 3.62 3.71 2.84 1986 10.36 10.48 1.68
1970 3.80 3.91 3.51 1987 10.75 10.71 0.84
1971 4.02 4.12 3.02 1988 10.80 11.09 3.14
1972 4.25 4.37 3.21 1989 11.16 11.13 0.80
1973 4.44 4.62 4.47 1990 11.48 11.47 0.62
1974 4.76 4.83 1.90 1991 11.87 11.76 1.39
1975 5.22 5.16 1.62 1992 12.19 12.13 1.00
1976 5.59 5.63 1.21 1993 12.38 12.42 0.84
1977 6.00 6.01 0.63 1994 12.44 12.59 1.68

Lam Trn Mot Chuoi Thi Gian Ve Kinh Te.
Khi mot chuoi c ve theo thi gian, ta co the thay co nhng dao ong xung
quanh mot ng xu hng trn. Mot nha quan sat ch quan tam en mot xu
hng ro net co the muon th lam trn cac chuoi bang cach lam giam nhng
bien ong ngan han cua chuoi. ieu nay co the c thc hien bang nhieu
cach. Mot cach la tnh gia tr trung bnh trt co dang:
) ... (
1
1 1 +
+ + + =
m t t t t
X X X
m
Y
trong o X
t
la chuoi goc va Y
t
la chuoi mi co c bang cach lay trung bnh
m so lieu lien tiep. V du, vi m = 3, ta lay trung bnh 3 gia tr quan sat au
tien, ke o lay trung bnh 3 gia tr quan sat th 2, 3 & 4, ke o la 3, 4 & 5 v.v...
Mc o trn tuy thuoc vao o ln cua m, m cang ln th chuoi ket qua thu
c cang trn. Tuy nhien, khi s dung Y
t

trong hoi quy, can phai nh la Y
t

ch c xac nh trong day (m,n) va do o, ta b mat i (m-1) so lieu quan sat.
Mot cach khac na la lam trn theo luy tha trong o chuoi mi la gia
tr trung bnh co trong so cua cac gia tr hien tai va qua kh cua chuoi vi cac
trong so giam dan theo hnh hoc. Do o, ta co:
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Phng phap phan tch
Bai oc
Chng 11: D bao


| | ... ) 1 ( ) 1 (
2
2
1
+ + + =
t t t t
X X X Y
vi 0 < <1. Co the bieu dien chuoi dang n gian hn bang cach lu y la vi
t-1

| | ... ) 1 ( ) 1 (
3
2
2 1 1
+ + + =
t t t t
X X X Y
t o rut ra phng trnh sau ay:
1
) 1 (

+ =
t t t
Y X Y
Neu tien gan en 1 th X
t
c gan cho trong so ln va do o chuoi ket
qua se khong trn giong nh X
t
. Do vay, gia tr cang nho th Y
t
se cang trn.
Lu y la cach lam trn theo luy tha ch lam mat i mot gia tr quan sat.

V DU 11.3
Hnh 11.3 bieu dien tong so nhng lao ong phi nong nghiep My, tnh theo
n v tram ngan ngi, va hai chuoi a c lam trn theo luy tha vi =
0.2 va 0.7 (Phan thc hanh may tnh 11.3 ch ro cac bc e tao ra cac con so
thc te). Lu y la o th vi = 0.2 trn hn o th cua 2 chuoi kia.

Lam trn theo luy tha cung hu ch khi ieu chnh cac gia tr d bao e
cho phep cac sai so d bao c tao ra trong qua kh gan. Cu the, goi Y
t
la
gia tr thc cua Y vao thi iem t va
a
t
Y
1 +
la gia tr d bao c tao ra vao thi
iem t+1 bang mot mo hnh nao o (ky hieu la a).

Hnh 11.3 Chuoi nhng ngi lao ong thc te va chuoi c lam trn
theo
luy tha
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Bai oc
Chng 11: D bao


Tr so ieu chnh c thc hien tai thi iem t+1 oi vi gia tr d bao
au tien la mot to hp tuyen tnh cua gia tr d bao trc o va cac sai so ieu
chnh. Do o, chung ta co d bao thch nghi
b
t
Y
1 +
cho thi oan t+1 la:

( ) ( )( )
a
t
b
t
a
t t
a
t
b
t
Y Y Y Y Y Y + =
+ +
1
1 1
0 <
<1

Trong o Y
t
b
la d bao thch nghi c tao ra bi thi oan trc. M rong
bieu thc nay, ong thi sap xep lai, ta co phng trnh sau:

( ) ) (
1 1
b
t t
a
t
b
t
a
t
b
t
Y Y Y Y Y Y + =
+ +

Trong o, yeu to ieu chnh thng c chon la mot so nho. e bat au
qua trnh, thng gia thiet la
b
t
a
t
Y Y = . Do o, phng phap nay co mot qua
trnh t nhan thc trong o cac sai so d bao gan nhat c s dung e ieu
chnh cac gia tr d bao trong nhng thi oan tiep sau.

11.5 Ket Hp Cac D Bao

Trong nghien cu thc te, quy trnh pho bien c cac nha phan tch chap
nhan la c lng mot so cac phng an mo hnh, cho chung trai qua cac kiem
nh gia thuyet va cuoi cung chon lay mo hnh nao la tot nhat theo muc tieu
ma mo hnh c d nh. Neu muc tieu la e d bao, cach ien hnh (nh a
c ghi chu trc ay) la e danh mot phan cua d lieu co c e thc hien
d bao sau mau, co c cac gia tr d bao t cac mo hnh khac nhau va chon
mo hnh nao co kha nang d bao tot nhat trong giai oan sau mau. Trong phan
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Bai oc
Chng 11: D bao

trc, chung ta a s dung nhieu phng an e d bao mc tien cong va ket
luan la mo hnh bac hai la tot nhat theo quan iem d bao. Cac mo hnh a
c anh gia la kem hn xet theo quan iem d bao thng c bo i.
Tuy nhien, nam 1969 Bates & Granger a ch ra la cac mo hnh b bo i
van cha nhng thong tin ve cac ong thai ro net cua bien phu thuoc va lap
luan rang viec ket hp d bao t nhieu mo hnh se tot hn la t mot mo hnh
duy nhat. Lay mot v du n gian, gia s f
1
va f
2
la cac gia tr d bao t 2 mo
hnh hoac phng phap khac nhau. e trnh bay n gian, gia s chung la oc
lap nhau va co phng sai
2
bang nhau. Xet gia tr trung bnh so hoc cua 2
gia tr d bao f =
) (
2
1
2 1
f f +
. Phng sai cua gia tr d bao ket hp f la:
2
/2,
ngha la t hn phng sai cua moi d bao rieng le. Do o, ro rang la viec ket
hp cac gia tr d bao cung ang c thc hien. Trong phan ng dung muc
11.2, ta thay rang cac mo hnh bac 2, log tuyen tnh va nghch ao a cho cac
gia tr d bao kha hp ly. Viec ket hp cac gia tr d bao co the hu ch,
nhng cac mo hnh khac a tao ra cac gia tr d bao rat toi va do vay nen c
huy bo.
Trong phan nay, chung ta se thao luan 1 so phng phap oi vi ket hp
cac d bao va nghien cu cac ac tnh cua viec ket hp nh the. ay chung
ta ch xet co the cac to hp tuyen tnh cua cac d bao. Cau hoi can quan tam
la lam sao e xac nh cac trong so toi u cho cac d bao khac nhau. Cac bc
nh sau:

Bc 1: Dung d lieu trong thi ky mau e c lng cac mo hnh khac
nhau.
Bc 2: D bao cac gia tr cua bien phu thuoc trong thi ky mau.
Bc 3: Dung cac gia tr a thch hp hoa va cac gia tr thc cua bien phu
thuoc e xay dng tap cac trong so e ket hp cac d bao.
Bc 4: Tao cac gia tr d bao ngoai mau t cac mo hnh rieng biet.
Bc 5: Ket hp cac d bao nay bang cach s dung cac trong so a tm c
bc 3. Neu cac mo hnh se c anh gia ve nang lc d bao
trong thi ky hau mau th chung ta can cac gia tr thc cua bien phu
thuoc.

Chung toi trnh bay ba phng phap ket hp d bao khac nhau va so sanh
gia tr tng oi cua chung. Phan tch trnh bay ay c trch t mot bai
nghien cu cua Granger va Ramanathan nam 1984.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
Chng 11: D bao

Phng phap A

Goi Y
t
la gia tr thc tai thi iem t cua bien phu thuoc, va f
t1
, f
t2
, ..., f
tk
la cac
gia tr d bao c tao ra bi k phng phap d bao hoac mo hnh khac nhau.
Mot so d bao t cac mo hnh kinh te lng, mot so khac t cac mo hnh chuoi
thi gian va cung co mot so t y kien chuyen gia cua nhng nha phan tch
co hieu biet ve ong thai cua Y. Mot cach cam tnh, phng phap ng nhien
la tao ra gia tr trung bnh co trong so cua cac gia tr d bao nay, cac trong so
se c xac nh t mot ac iem toi u nao o. Do vay, gia tr d bao ket hp
se la:
tk k t t t
f f f f + + + = ...
2 2 1 1

Trong phng phap au tien, chung ta gia thiet rang tong cac trong so
bang 1, ngha la 1 =
i
. Sai so trong gia tr d bao to hp la: u
t
=Y
t
- f
t
. Do
o, tong bnh phng cua cac sai so d bao la

=
2 2
) (
t t t
f Y u trong o
phep tong se lay t thi oan 1 en T, sao cho cac gia tr d bao va thc te
eu san co. Phng phap ket hp toi u la chon cac trong so
i
sao cho tong
bnh phng sai so d bao la nho nhat. De thay la cac gia tr d bao co the
c c lng bang cach s dung bat ky chng trnh hoi quy nao. e thay
ieu o, lu y la:

t tk k t t t t t
u f f f u f Y + + + + = + = ...
2 2 1 1

(11.4)

vi
1
+
2
+ ...+
k
= 1 hay
k
= 1 -
1
-
2
- ...
k-1

thay vao phng trnh (11.4) ta co:

Y
t
=
1
f
t1 +
2
f
t2
+ +
k-1
f
t, k-1
+ (1 -
1
-
2
-
k-1
) + u
t

Chuyen f
tk
sang ve trai va at tha so chung, ta co:

Y
t
- f
tk
=
1
(

f
t1
f
tk
)

+

2
(f
t2
f
tk
) + +
k-1
(f
t, k-1
f
tk
) + u
t

(11.5)

Chung ta de thay la cac gia tr co the c c lng bang cach hoi quy Y
t
-
f
tk
theo f
t1
f
tk
, f
t2
f
tk
, ...

, f
t, k-1
f
tk
, khong co hang so trong c lng.
k

c c lng la 1 -
1 2 1
...

k
. Lu y la cac trong so c c lng
co the dau am.
Gia tr trung bnh cua sai so d bao ) ( t u
do f co bang 0 khong? ngha la

(1/n) 0 =
t
u ?
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Phng phap phan tch
Bai oc
Chng 11: D bao

) ... ( ) (
2 2 1 1 tk k t t t t t
t
f f f Y f Y u

= =

(11.6)

Gia thiet rang moi mo hnh d bao rieng le eu co sai so d bao trung
bnh bang 0; ngha la gia thiet la 0 ) ( =
ti t
f Y ng vi moi gia tr i. Th
t
ti
Y f

= . Thay vao phng trnh (11.6) ta co:

=
t k t t t
t
Y Y Y Y u ...
2 1

(11.7)

= 0 ) ... 1 )( (
2
1
=

k t
Y

do tong cua cac trong so c c lng bang 1. Suy ra, ieu kien u cho sai
so to hp d bao trung bnh bang 0 la moi d bao co sai so d bao trung bnh
bang 0. Tong quat, khong co g am bao la moi day d bao la khong b thien
lech ngha la chung khong b d oan qua ln hn cung khong qua nho hn,
ve mat trung bnh. V ly do nay, gia tr d bao ket hp co the co sai so d bao
trung bnh khac khong.

Phng Phap B
Chang co g bat kha xam pham ve yeu cau rang tong cac trong so trong cac
day gia tr d bao bang 1. Gia s rang chung ta khong at ra han che o.
Chung ta co the co c day d bao ket hp tot hn khong ? Cau tra li la co,
vi ieu kien tieu chuan e tot hn la cc tieu sai so bnh phng trung bnh
cua d bao. T phng trnh (11.4) ta thay rang qua trnh bay gi la lay hoi
qui Y theo f
1
, f
2
...f
k
mot lan na vi khong co hang so, nhng khong co rang
buoc. Bi v chung ta lay cc tieu tong khong co rang buoc cua cac sai so bnh
phng trung bnh cua d bao, gia tr cc tieu se khong ln hn trong trng
hp phng phap A. Do vay, neu ESS
A
la tong bnh phng cac sai so c
lng trong phng trnh (11.5) va ESS
B
la tong bnh phng cac sai so c
lng trong phng phap B, th ESS
B
ESS
A
, khoang doi se la ESS
A
ESS
B
.
Trong trng hp nay trung bnh cua cac sai so ket hp d bao co = 0 khong ?
ay ta cung thay

( )

|
|
|
.
|
\
|
=

k t
t Y u ... 1
2 1

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Phng phap phan tch
Bai oc
Chng 11: D bao

Neu moi d bao rieng le co sai so trung bnh = 0. Nhng ch tr khi tnh c
tong cac trong so c lng = 1, con th sai so trung bnh d bao se 0. Do o,
mac du chung ta co li ve MSE, nhng chung ta co the tao ra mot d bao ket
hp co sai so trung bnh 0 ngay ca khi moi d bao rieng le co trung bnh cac
sai so bang 0. Lu y la neu bat ky mot d bao nao trong so o b thien lech th
d bao ket hp cung co the se b thien lech.
Co the co giai phap tot nhat cho ca hai the gii khong ? ngha la, co the co
sai so bnh phng trung bnh cc tieu va sai so trung bnh = 0, tham ch neu
mot vai d bao rieng le co trung bnh cac so 0. Granger va Ramanhan
(1984) a a ra mot phng phap d bao ket hp nh the. ieu nay se c
mo ta tiep theo.

Phng Phap C
Neu cac day d bao rieng le b thien lech, th gia tr trung bnh co trong so cua
chung cung co the b thien lech. Gia s chung ta co the co c c lng cua
khoang thien lech nay. Th bang cach tr khoang thien lech c c lng
nay chung ta se co the co mot d bao khong thien lech cua bien phu thuoc,
mac du mot vai d bao rieng le b thien lech. ay la ong c ang sau phng
phap cua Granger Ramanathan (GR). Thu thuat meo ay la cong them
mot thanh phan hang so vao d bao va e cho thanh phan hang so c c
lng se ieu chnh theo khoang thien lech.

Do o, d bao cai bien se la: . ...
2 2 1 1 0 tk k t t t
f f f f + + + + = Khong co
rang buoc nao oi vi cac gia tr ca. Sai so d bao la u
t
= Y
t
f
t
. Do o cong
thc tr thanh mo hnh hoi quy boi quen thuoc.

t tk k t t t t
u f f f f f + + + + + + = ...
3 3 2 2 1 1 0

(11.8)

Lu y la phng phap B la mot trng hp ac biet cua mo hnh nay, vi
rang buoc
0
=0, va phng phap A la trng hp ac biet vi
0
=0 va
1
+
2

+...+
k
= 1. Qua trnh e anh gia cac trong so la tien hanh hoi quy Y
t
theo
hang so f
t1
, f
t2
, ... va f
tk
khong rang buoc. Bi v gia tr cc tieu khong rang
buoc th khong ln hn cc tieu co rang buoc nen ta co ESS
C
ESS
B
ESS
A
.
Do vay, phng phap C la tot nhat xet theo sai so d bao bnh phng trung
bnh cc tieu. Vay sai so d bao ke t hp trung bnh co bang 0 hay khong? e
tra li hay lu y la:

u
^
t
= (Y
t
- f
^
t
)= (Y
t
-
^
1
f
t1
-
^
2
f
t2
- -
^
k
f
tk
) (11.9)
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Phng phap phan tch
Bai oc
Chng 11: D bao

Nhng viec cc tieu hoa sai so d bao bnh phng trung bnh

2
u theo
0
se cho phng trnh chuan la:

0 u f ... f f Y (
t tk k 2 t 2 1 t 1 0 t
= =

T ay suy ra rang 0 =
t
u va do vay, sai so d bao ket hp trung bnh = 0.
Lu y la chung ta a khong at ieu kien cac day sai so d bao rieng le bat ky
phai co sai so d bao trung bnh ba ng 0. Do o, phng phap C la tot nhat bi
v no cho sai so d bao bnh phng trung bnh nho nhat va co d bao ket hp
khong thien lech tham ch neu cac day d bao rieng le b thien lech. V ly do
nay Granger va Ramanathan chu trng la nen bo thong le trong thc te la
tnh trung bnh co trong so cua cac phng an d bao va thay vao o nen s
dung ket hp tuyen tnh khong rang buoc bao gom ca thanh phan bang so.

Mot So M Rong oi Vi Ket Hp D Bao Chuan.
Trong phng phap hoi quy oi vi ket hp d bao va c trnh bay
(phng phap C), chung ta ngam gia nh la cac sai so trong phng trnh
(11.8) la oc lap vi nhau theo chuoi vi phng sai khong oi. ieu nay co
the khong thoa, bi v cac sai so co the t tng quan hoac co bieu hien cua
hieu ng ARCH. Trong nhng trng hp nh the, chung ta co the ap dung
nhng ky thuat a e ngh chng 9 e chnh sa cac van e nay.
Ngi ta cung co the nghi ng rang cac trong so oi vi cac ket hp (ngha
la cac gia tr trong phng trnh 11.8) khong la hang so ma thay oi theo
thi gian. Lu y la ieu nay khac vi cac sai so b tng quan theo thi gian
(tng quan chuoi) hay b phng sai cua sai so thay oi (ARCH). De dang
cho phep cac trong so thay oi theo thi gian nh the. Cach n gian la gia
nh rang trong phng trnh (11.8), t
i io i 1
+ = vi t the hien thi gian t
1 en n, va i = 0, 1, ..., k. ieu nay dan en mo hnh cai bien:

t tk k tk k t t t
u tf f tf f t Y + + + + + + + = ) ( ... ) (
1 0 1 11 1 10 01 00

Viec phai lam la tao ra cac thanh phan tng tac, gia thi gian va moi d
bao, va ke o la a cac bien mi nay vao mo hnh trong phng trnh (11.8)

V DU 11.4
Bessler va Brandt (1981) a ket hp cac d bao ve gia ln theo quy trong giai
oan 1976.1 en 1979.2 t mot mo hnh kinh te lng, mot mo hnh chuoi thi
gian goi la ARIMA (c mo ta muc 11.7), va t cac y kien chuyen gia.
Granger va Ramanathan a ap dung rieng tng mo hnh trong 3 phng phap
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vi 16 gia tr quan sat t tap d lieu nay va thu c cac trong so toi u. Sau
o ho mang cac phng phap nay vao mot kiem nh d bao hau mau trong
thi oan 17 en 24. Ho cung thc hien mot so sanh trong mau vi tat ca 24
gia tr quan sat e c lng cac trong so. Bang 11.3 cho thay rang cac
phng phap d bao ban au cho ra cac gia tr d bao co ve nh b thien lech,
mac du cac khoang thien lech nay khong gop phan nhieu vao MSE. D bao
rieng le tot nhat la d bao theo phng phap chuoi thi gian ARIMA. Chung
ta cung lu y la bat ky loai hnh d bao ket hp nao cung cai thien MSE mot
cach ang ke. Nh ly thuyet a d oan, phng phap C cho sai so d bao
trung bnh = 0 va MSE thap nhat. Hn na, nh kiem nh hau mau trong
bang 11.4 cho thay, cac sai so trung bnh khong con bang 0 na neu cac trong
so c c lng t cac thi oan en 16 c dung e d bao gia cho cac
thi oan t 17 24. Mac du phng phap C luon tot hn cac phng phap
kia, viec ket hp 3 d bao khong luon luon tot hn viec ket hp ch 2 d bao
thoi.

Bang 11.3 - Cac trong so va cac sai so d bao trong mau oi vi d lieu
gia ln.

Cac trong so

D bao
Sai so
trung
bnh
Tong
bnh
phng
cac
sai so
Hang so Kinh te
lng
ARIMA Chuyen
gia
au tien
Kinh te lng -1.71 610.4 1.00
ARIMA -0.03 420.7 1.00
Chuyen gia 0.59 522.7 1.00
Phng phap ket hp A (khong co hang so, tong cac trong so = 1)
Ca ba -0.26 334.7 0.00 0.30 0.27 0.43
Kinh te lng va ARIMA -0.35 409.8 0.00 0.19 0.81 0.00
ARIMA va chuyen gia 0.21 360.8 0.00 0.00 0.45 0.55
Chuyen gia va kinh te l ng -0.44 344.6 0.00 0.62 0.00 0.38
Phng phap ket hp B (khong rang buoc, khong hang so)
Ca ba 0.06 331.4 0.00 0.35 0.22 0.43
Kinh te lng va ARIMA 0.11 403.4 0.00 0.26 0.73 0.00
Chuyen gia va kinh te lng 0.06 337.4 0.00 0.51 0.00 0.48
Phng phap ket hp )
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Ca ba 0.00 319.6 7.57 0.19 0.26 0.38
Chuyen gia va kinh te lng 0.00 327.8 6.80 0.36 0.00 0.48
Nguon: Granger va Ramanathan (1984)

Bang 11.4 Cac trong so va cac sai so d bao ngoai mau oi vi d lieu gia ln.

Cac trong so

D bao
Sai so
trung
bnh
Tong
bnh
phng
cac
sai so
Hang so Kinh te
lng
ARIMA Chuyen
gia
au tien
Kinh te lng -0.95 322.8 1.00
ARIMA 0.78 245.1 1.00
Chuyen gia -2.13 160.2 1.00
Phng phap ket hp A (khong co hang so, tong cac trong so = 1)
Ca ba -1.14 199.1 0.00 0.47 0.15 0.38
Phng phap ket hp B (khong rang buoc, khong hang so)
Ca ba -0.59 199.8 0.00 0.50 0.16 0.33
Phng phap ket hp C (khong rang buoc, co hang so)
Ca ba -0.86 193.4 3.50 0.45 0.13 0.34
ARIMA va chuyen gia -0.32 180.2 7.72 0.00 0.63 0.20
Nguon: Granger va Ramanathan (1984)

Can nhan manh rang, mot cach tong quat, ket qua v du co the khong ung
cho cac tap d lieu khac. Hoan toan co kha nang la MSE va sai so trung bnh
co the xau hn trong thi ky hau mau so vi thi ky trong mau. Bohara,
Mc.Nown va Bath (1987) a chng minh la trong mot so trng hp cac d
bao rieng le trong thi ky hau mau co the tot hn phng phap ket hp d bao
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bang cach s dung mo hnh C cua Granger Ramanathan, mac du trong giai
oan trong mau phng phap GR luon luon tot hn. Cac nghien cu khac cho
thay rang phng phap GR cung se tot hn cac phng phap khac trong cac
trng hp hau mau. Nh Granger (1989a) a ch ro, viec ket hp cac d bao
ch that s thch hp khi cac phng phap khac nhau rat c ban c s dung
e tao ra cac d bao, chang han nh kinh te lng va chuoi thi gian. Tap ch
Journal of Forecasting (1989) va Internaitonal Journal of Forecasting (1981)
eu a danh rieng mot ky ve ket hp cac d bao, bao gom nhieu bai bao hay,
mot so s dung cac phng phap tien tien.

11.6 D Bao T Cac Mo Hnh Kinh Te Lng:
Phng phap d bao kinh te lng au tien bao gom viec xay dng mot mo
hnh kinh te lng e ket noi bien phu thuoc vi mot so bien oc lap c
xem la co tac ong anh hng en no. Ke o, mo hnh c anh gia va s
dung e tao ra cac d bao co ieu kien va/hoac khong ieu kien cho bien phu
thuoc. Cac mo hnh thng c xay dng tren c s ca thong ke lan kinh te
lng.
V du, xet bai toan d bao doanh so ban ien hang thang cua mot n v
phuc vu. Ly thuyet kinh te cho ta biet rang ngi tieu dung se la chon nhng
o dung ien (bao gom thiet b si, ieu hoa va un nc nong trong gia
nh) tren c s mc thu nhap, gia cua thiet b, va cac ac iem nhan khac nh
thanh phan nhan khau cua ho gia nh. Mc o s dung thc te cua cac thiet b
nay thng la thay oi theo thi tiet va cac tac ong theo mua khac nh ngay
thng hay cuoi tuan, ky ngh hay ky he, v.v... Do o, mo hnh kinh te lng
ve doanh so ien se ket noi doanh so ien hang thang vi cac so o thi tiet
nh so ngay lanh va nong gap phai trong thang (xem ng dung muc 9.7), cac
bien gia hang thang e xet en cac tac ong theo mua khac, thu nhap, so
lng thiet b va gia ien. e anh gia cac phng phap va mo hnh khac
nhau, thng nha d bao tao ra cac gia tr d bao co ieu kien da tren nhng
gia tr a biet cua cac bien oc lap trong thi ky hau mau. Cac gia tr d bao
co ieu kien cung thng c tao ra di nhng tnh huong khac nhau trong
tng lai. Mc tang trng nhanh ve dan so va thu nhap, mc tang trng
trung bnh ve cac bien kinh te/nhan khau hoc, hay mc tang trng thap. Cac
phng an khac nhau ve thay oi gia ien cung c chon la. e co c cac
thay oi gia tr d bao khong ieu kien ve doanh thu ien, nha phan tch n
v phuc vu cung phai mo hnh hoa ong thai cua chnh cac bien oc lap. Cac
phng phap thong dung la lam thch hp cac xu hng thi gian hoac s dung
n thuan cac phng phap chuoi thi gian nh c trnh bay trong phan tiep
theo.
Sau ay la mot so cac cong thc thong dung trong d bao.

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D Bao Kinh Te Lng Vi Cac Bien Phu Thuoc Khong Tre Hay Cac Sai
So Co Tng Quan Chuoi.
ay la trng hp n gian nhat cua d bao kinh te lng. Mo hnh ro net
nhat co dang phng trnh (11.1) trong o cac sai so co ong thai tot va thoa
man gia thiet 3.2 en 3.7. Mot gia tr d bao cho thi oan n + h (ngha la, d
bao trc h bc) c cho bi:

k h n k h n h n h n
X X X Y
, 3 , 3 2 , 2 1
...
+
+

+
+ + + + =
(11.10)

Nh a e cap trc ay, gia tr d bao la co ieu kien neu nh cac gia tr
X
n+h,i
gia nh la c cho t mot c che ngoai sinh nao o.

D Bao Kinh Te Lng Vi Cac Bien Phu Thuoc Khong Tre Nhng Cac
Sai So Co Tng Quan Theo Chuoi.
Chung ta a thay trong chng 9 rang neu cac sai so cua mo hnh hoi quy la
co tng quan chuoi th chung ta co the co c cac d bao cai tien bang cach
dung thong tin o. Trong phng trnh (11.1) gia s rang u
t
tuan theo qua trnh
t hoi quy bac mot (
t
c gia nh la co ong thai tot)
t t t
u + =
1
(11.11)
Neu
la c lng cua he so tng quan theo chuoi, ta co:

n n u u

+
= 1 n n n u u u

+

+
= =
2
1 2 n
h
h n u u

+
=
V n u
co the rut ra c t mau, nen ta co the co c sai so d bao h bc tot

hn trc va do o se co c d bao Y
n+h
cai thien nh sau:
n
h
k h n k h n h n
h n u X X X Y

+
+ + + + + =
, 3 , 3 2 , 2 1
...
(11.12)

Trong trng hp tong quat cua mot cau truc sai so t hoi quy bac q

t q t q t t t
u u u u + + + + =

..
2 2 1 1
(11.13)
Sai so d bao trc 1 bc c c lng la:
q n
q n
n n u u u u +

+ + + = 1
1 2 1
1 ... (11.14)
Do o, d bao trc 1 bc Y
n+1
la:
1
, 1 3 , 1 3 2 , 1 2 1
1 ... +
+

+
+ + + + + = n
k n k n n
n u X X X Y
(11.15)

Cac d bao tiep theo sau o se c tao ra theo cach tng t nh vay.
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D Bao Kinh Te Lng Vi Cac Bien Phu Thuoc Tre Va Cac Sai So Co
Tng Quan Chuoi.
Cong thc kinh te lng tong quat nhat cua mot bien phu thuoc rieng le la
cong thc co ca cac bien phu thuoc tre va cac sai so t tng quan:

t tk k t P t P t t
u X X Y Y Y + + + + + + + =

... ...
1 1 1 1 0

(11.16)

t q t q t t t
u u u u + + + + =

...
2 2 1 1

(11.17)

Quy trnh c lng mot dang n gian hn cua mo hnh nay c mo ta
Muc 10.2. Vi cac gia tr cho trc X
n+1,1
, X
n+1,2
, ..., X
n+1,k
gia tr d bao trc
1 bc c cho bi:
p n
p
n n
n Y Y Y Y
+
+ + + + =
1 1
2 1 0 1 ... (11.18)

Trong o:
q n
q
n n n u u u u +

+ + + = 1 1
2 1
1 ... (11.19)
oi vi nhng bc xa hn, qua trnh nay se c lap lai vi 1 +
n Y thay v Y
n+1

V Du Thc Nghiem: D Bao Ngan Han Ve Doanh So ien
Enghe & Granger (1986) a thc hien mot nghien cu so sanh nhieu mo hnh
khac nhau va phng phap luan d bao khac nhau oi vi doanh so ien hang
thang. Mot phan cua nghien cu cua ho se c trnh bay ay. Muon biet
them chi tiet, xin oc bai bao cua ho. D lieu e cap en chuoi theo thang t
1964 en 1981 California. Viec c lng c tnh cho 168 thi oan
(khoang 1961 1977). Cac d bao kiem nh co c 36 thi oan t 1978
1980. Bang 11.5 trnh bay cac gia tr c lng cua 1 trong so cac mo hnh
c s dung, va bang 11.6 trnh bay cac gia tr thong ke kiem nh oi vi
mot so loai ac trng cua mo hnh. Bien phu thuoc la lng tieu thu ien dan
dung cho moi khach hang. CDD va HDD la so ngay mat & nong, c nh
ngha trong v du ng dung muc 9.7. Trong bang 11.6, RPINC/C la thu nhap
trung bnh thc va RELCP750 la gia ien trung bnh thc. Mo hnh con co cac
bien gia theo thang (MAY b loai bo e tranh a cong tuyen hoan toan).
AUTO bieu dien cac thanh phan tng quan theo chuoi (cac o tre 1, 12 va 13
c s dung). Cac bien ky hieu % Dist (bang 11.5) la cac xac suat trong
1
1 2 1 2 1 1 1
+
+ + + + + n
k n k n n
u X X X
, , ,
...
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phan phoi chi-square ve pha ben trai cua chi-square quan sat c (100 tr i
tr i mc y ngha). Nhng so lieu cao hn 95% bieu th mc y ngha 5%. Ch
co s tng tac gia CDD va thi gian cung nh gia HDD va thi gian la
nhng tng tac ang ke. Engle va Granger a anh gia lai mo hnh e a
vao nhng thanh phan tng tac nay.
Cac tr d bao khong ieu kien co c t mo hnh nay (ky hieu la
AUTO-B) va mot mo hnh n gian khong co tng quan theo chuoi (ky hieu
la OLS-A) c ve tren hnh 11.4. Can bac hai cua sai so bnh phng trung
bnh (RMSE) oi vi d bao trc mot thi oan la 15.4 oi vi OLS-A va
13.6 oi vi AUTO-B. Ca hnh ve va cac gia tr RMSE cho thay mo hnh co
cac thanh phan t hoi quy co kha nang d bao tot hn. Engle va Granger cung
a c lng mot loat cac mo hnh khac cho mi tieu bang khac. Viec nay a
c trnh bay trong bai bao cua ho.

Bang 11.5 Cac kiem nh chan oan oi vi Mo hnh California Auto-A

Test Stat. d.f. % of Dist. Test Test Dist.
2.749 1 90.269 AUTO1 CHI-SQ
1.998 1 84.254 AUTON CHI-SQ
18.600 10 95.436 AUTO1-N CHI-SQ
0.898 1 65.668 AUTO MAX CHI-SQ
4.019 1 95.501 YLAGD1 CHI-SQ
2.669 1 89.769 YLAGDN CHI-SQ
9.320 12 32.468 YLAG1-N CHI-SQ
0.627 1 57.186 Y-MAX CHI-SQ
13.765 1 99.979 ARCH1 CHI-SQ
0.308 1 42.153 ARCHN CHI-SQ
19.761 12 92.826 ARCH1-N CHI-SQ
26.913 24 69.147 ARCH1-2N CHI-SQ
1.212 1 72.918 TIME TND CHI-SQ
12.175 2 99.773 GDDMA * TIME, HDDMA *
TIME

9.597 6 85.733 CDD
2
, HDD
2
, CDD ( -1 )
2

HDD ( -1)
2
, CDD (-2 ), HDD (-2)
2

6.368 2 95.859 RELCP250, RELCP500
4.432 3 78.158 TIME, D70, T70
7.466 3 94.156 TIME, D72, T72
20.915 3 99.989 TIME, D74, T74
2.7491 1 90.269 AUTO-2
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3.8405 3 72.079 AUTO-3, AUTO-4, AUTO-6
Nguon: Engle & Granger, 1986, in lai vi s cho phep cua Vien nghien cu ien lc.

Bang 11.6 Cac gia tr c lng cua mo hnh Auto A cho California

Bien phu thuoc = DELC / C
Tong cac phan d bnh phng = 11.245
Trung bnh cua bien phu thuoc = 394,63
o lech chuan = 64,732
Sai so hoi quy chuan = 8,806
R
2
= 0,983
R
2
hieu chnh = 0,981
Tr thong ke F (22.145) = 403,55
So quan sat = 168

Bien o tre Beta / Rho Std. Error E-stat
CDD 0 0.123 0.028 4.406
CDD 1 0.171 0.028 6.047
CDD 2 0.102 0.027 3.672
HDD 0 0.063 0.012 4.952
HDD 1 0.010 0.013 7.418
HDD 2 0.032 0.013 2.522
RPINC/C 0 13.492 36.630 0.368
RELCP750 0 -8.780 4.716 -1.861
JAN 0 77.899 11.159 6.980
FEB 0 38.327 10.277 3.729
MAR 0 23.834 8.599 2.771
APR 0 3.743 6.043 0.619
JUN 0 17.025 6.559 2.595
JUL 0 32.158 10.978 2.929
AUG 0 29.562 14.513 2.036
SEP 0 35.415 15.522 2.281
OCT 0 26.262 13.761 1.008
NOV 0 33.551 11.741 2.857
DEC 0 53.550 11.100 4.824
CONST 0 516.190 247.140 2.088
AUTO 1 0.709 0.061 11.603
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AUTO 12 0.580 0.072 7.962
AUTO 13 -0.315 0.083 -3.789
Nguon: Engle va Granger, 1986 In lai vi s cho phep cua Vien nghien cu ien lc

Hnh 11.4 So sanh d bao California.

11.7 D Bao T Cac Mo Hnh Chuoi Thi Gian
Nh a e cap trc ay, cac mo hnh kinh te lng chu yeu da tren mot
ong thai ro net cua cac oi tng co lien quan en he thong kinh te. Tuy
nhien mot ho cac mo hnh thay the khac c s dung rong rai, ac biet trong
d bao ngan han, c goi la cac mo hnh chuoi thi gian. Chu yeu, cac mo
hnh nay noi ket mot bien phu thuoc vi cac gia tr cua no trong qua kh va
vi cac sai so ngau nhien ma co the co tng quan theo chuoi. Mot cac tong
quat, cac mo hnh chuoi thi gian khong da tren bat ky mot ong thai kinh te
ro net nao. Cho en cach ay 30 nam, cac mo hnh chuoi thi gian c s
dung pho bien nhat trong ky thuat va cac khoa hoc vat ly. Tuy nhien, trong
khoang 2 thap ky gan ay, cac phng phap chuoi thi gian a c s dung
rat rong rai trong kinh te hoc ac biet la trong d bao ngan han, trong o cac
mo hnh chuoi thi gian a chng to la thch hp hn so vi cac mo hnh kinh
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Chng 11: D bao

te lng. Trong phan nay, chung toi gii thieu s lc ve nhng van e co lien
quan en phng phap chuoi thi gian. e co tai lieu tot ve cac mo hnh va d
bao chuoi thi gian mc o ai hoc, xin xem cac sach Granger (1989b) va
Diebold (2001). Con tai lieu cap cao hn th xin xem Harvey (1990) va
Granger & Newbold (1986).
Cac chuoi thi gian thng c mo hnh hoa dang tong (hay tch) cua 3
thanh phan: (1) thanh phan xu hng, (2) thanh phan mua, va (3) thanh
phan ngau nhien. Do o, ta co:
Y
t
= T
t
+ S
t
+ u
t
hay Y
t
= T
t
S
t
u
t

Trong o, Y la bien phu thuoc, T la thanh phan xu hng, S la thanh phan
mua va u la thanh phan sai so ngau nhien. V du ve mot xu hng theo thi
gian dang tuyen tnh n gian la T
t
= + t . Trong muc 11.4, nhieu dang
thc xu hng khac a c thch hp hoa. Neu Y
t
tang trng dang luy tha
th trc tien nen chuyen sang dang logarit. Nh ten goi, thanh phan mua la
thanh phan do hien tng mua vu xay ra thng xuyen chang han nh thang,
quy, tuan, ngay, gi, cac ngay ngh le, v.v.... Chung ta a thay nhieu v du
trong o cac bien gia ch mua co the c dung e c lng cac dang thc
mua. Cac ky thuat rat phc tap a c xay dng e c lng cac thanh phan
nay, nhng trc nhng nam 1930 cac nha khao sat a khong quan tam en
nhng phng phap nay va a hnh thanh cau truc khac cho cac bien chuoi
thi gian. Phan tiep theo se trnh bay cau truc nay.

Cau Truc Cua Cac Mo Hnh Chuoi Thi Gian
CAC MO HNH T HOI QUY (AR): Mo hnh chuoi thi gian t hoi quy hoan toan
(trng hp ac biet cua phng trnh 11.16) co cau truc nh sau:

t p t p t t t
u Y Y Y Y + + + + =

...
2 2 1 1
(11.20)

Trong o Y
t
la quan sat th t oi vi bien phu thuoc sau khi tr i gia tr trung
bnh cua chnh no, va u
t
la thanh phan sai so co ong thai tot co trung bnh
bang 0 va phng sai khong oi va khong tng quan vi u
s
neu t s (khai
niem nay goi la nhieu trang white noise). Thanh phan hang so c bo qua
v Y
t
c bieu dien dang o thien lech khoi gia tr trung bnh. oc gia se
nhan ra ngay rang ay la trng hp ac biet cua mo hnh o tre co phan phoi
trong chng 10 va la mot trng hp ac biet cua phng trnh (11.16) vi tat
ca gia tr
s
cho bang 0. Noi cach khac, Y
t
c mo hnh hoa ch vi qua kh
cua no va khong vi cac bien oc lap khac. ay la cac mo hnh t hoi qui,
AR va mo hnh trong phng trnh (11.20) c goi la mo hnh AR (p), vi p
la bac t hoi quy.
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CAC MO HNH TRUNG BNH TRT (MA): Mo hnh sau ay goi la mo hnh
trung bnh trt MA bac q, ky hieu la MA (q).

q t q t t t t
v v v v Y

= ...
2 2 1 1
(11.21)

vi v
t
la chuoi sai so nhieu trang. Do o, Y
t
la to hp tuyen tnh cua cac bien
ngau nhien nhieu trang. Chung ta a gap thanh phan sai so nay Muc 10.2

CAC MO HNH ARMA. Phoi hp gia cac cong thc t hoi quy va trung bnh
trt tao ra mo hnh ARMA. Do o, mo hnh ARMA (p, q) co dang tong quat:

Y
t
=
1
Y
t-1
+
2
Y
t-2
+...+
p
Y
t-p
(11.22)
+ v
t
-
1
v
t-1
-
2
v
t-2
- ... -
q
v
t-q

Ham T Tng Quan Va o Th Tng Quan
Xet he so tng quan r(s) gia u
t
va u
t-s
oi vi nhng gia tr cua s t 0 en t-1.
Ham nay goi la ham t tng quan. nh ngha ham t tng quan nh sau:

) u ( E
) u u ( E
) u ( Var
) u , u ( Cov
) u , u ( Cov ) s ( r
2
t
s t t
t
s t t
s t t

= = =

no co the c c lng bang he so tng quan cua mau gia u
t
va u
t-s
.
o th tng quan la o th cua r(s) theo s, vi s = 0, 1, ..., t-1. No la mot
ch dan hu ch e xac nh mc o tng quan cua thanh phan sai so (u
t
) vi
cac sai so trong qua kh u
t-1
, u
t-2
,...
Trong phu luc 9A cho thay rang trong trng hp cua qua trnh t hoi quy
bac nhat AR(1) c cho bi phng trnh (9.2), ham t tng quan co dang
r(s) =
s
. o th tng quan cua AR(1) c trnh bay trong hnh 11.5 vi
=0.3, 0.6 va 0.9 va s =1 ti 10. Hnh 11.6 trnh bay tng t nhng vi cac gia
tr am cua . Lu y rang r(s) la oc lap vi t. Hn na, neu < 1 th phng
sai cua u
t
se la xac nh (a chng minh trong phu luc 9A). Do o, qua trnh
AR(1) la dng vi ieu kien la tr tuyet oi cua he so t tng quan khong
vt qua 1. Neu am, r(s) se oi dau. Neu ln th o th tng quan cua
AR(1) se giam dan theo thi gian, con neu nho th ham se giam nhanh en
0. Tnh hu ch cua ham t tng quan va o th tng quan se c trnh bay
ky hn phan sau cua chng nay.

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Chng 11: D bao

Tnh Dng
Trong chng nay, chung ta t han che trong trng hp ma ham t tng
quan r(s) la oc lap vi t, thi oan ma cac tng quan cua phan d hien tai va
qua kh c o, va ch phu thuoc vao khoang cach (s) gia thi oan t va
thi oan (t s) ma ngi ta tnh tng quan. Hn na, u
t
c gia nh la co
phng sai hu han. Nh a ghi chu trong muc 10.10, ac tnh nay c goi la
tnh dng, va bat ky chuoi thi gian nao tuan theo ieu nay se c goi la
chuoi thi gian dng. Do vay, qua trnh ma tao ra cac nhieu roi ngau nhien la
khong bien ong theo thi gian. Khi co tnh dng, Var (u
t-s
) va Var (u
t
) la nh
nhau. Granger (1989a) va Diebold (2001) trnh bay chi tiet hn ve o th
tng quan, tnh dng va cac cong thc t hoi quy.

Hnh 11.5 o th tng quan vi mo hnh AR (1) ( > 0)

1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
r(s)
s
1 2 3 4 5 6 7 8 9 10
= 0.9
- - - = 0.6
----- = 0.3
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Chng 11: D bao

Hnh 11.6 o th tng quan vi mo hnh AR (1) ( < 0)
CAC MO HNH KHONG DNG, SAI PHAN HOA VA ARIMA: Chung ta va thay iem
dng co ac tnh la tng quan gia mot bien tai thi oan t (Y
t
) va gia tr cua
no thi oan s (Y
s
) ch phu thuoc vao khoang cach ( t s ) gia hai thi
oan. Mot chuoi dng co gia tr trung bnh la hang so (khong nhat thiet = 0) va
phng sai khong oi theo thi gian. Qua trnh tao ra chuoi nay la khong bien
ong theo thi gian. Tuy nhien, hau het cac chuoi trong kinh te co tnh khong
dng bi v chung tang trng dan theo thi gian. Chang han, neu Y
t
co xu
hng theo thi gian dang tuyen tnh hay luy tha th no se khong dng. Viec
c lng cua qua trnh ARMA oi hoi Y
t
phai mot chuoi dng. Trong trng
hp nh the ta phai lam g ? Hau het cac chuoi thi gian khong dng eu co
the c chuyen thanh dang dng thong qua qua trnh sai phan hoa. Xet mot
xu hng tuyen tnh co dang Y
t
= + t. Sai phan bac nhat cua Y
t
c nh
ngha la: Y
t
= Y
t
Y
t-1
. Ta thay:

Y
t
= + t

- (t-1) =

la hang so va do o no co tnh dng. Do o, xu hng tuyen tnh co the c
loai bo bang cach lay sai phan mot lan. Neu mot chuoi tang trng theo luy
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Chng 11: D bao

tha vi mc tang khong oi, ln(Y
t
) se co xu hng tuyen tnh va co the lay
sai phan. De dang chng minh c la xu hng bac 2 co the c loai bo
bang cach lay sai phan 2 lan. Sai phan bac hai (ky hieu la
2
Y) c nh
ngha la sai phan bac nhat cua sai phan bac nhat. Do o:

2 1 2 1 1
2
2 ) ( ) (

+ = =
t t t t t t t t
Y Y Y Y Y Y Y Y (11.23)

Mot dang khac ma trong o tnh khong dng thng xuat hien o la tnh
mua. Tnh khong dng trong cac chuoi theo thang va theo quy thng co the
c loai bo bang cach lay sai phan thch hp:
4
= Y
t
Y
t-4
oi vi d lieu
theo quy va
12
= Y
t
Y
t-12
oi vi d lieu theo thang.

BAI TAP THC NGHIEM 11.3

a) Chng minh rang xu hng bac hai: Y
t
= + t + t
2
co the c loai bo
bang cach lay sai phan bac hai
b) Chng minh rang sai phan theo quy:
4
= Y
t
- Y
t-4
cung loai bo c xu
hng tuyen tnh, va tng t vi
12
.

Gia s rang, mot chuoi thi gian khong dng co the c chuyen thanh
mot chuoi dng bang cach lay sai phan d lan. Th chuoi o c goi la tch
hp bac d va c viet la I(d). Chuoi dng do sai phan sau o se co the c
mo hnh hoa theo ARMA (p, q). Trong trng hp nay qua trnh tao ra chuoi
Y
t
c goi la trung bnh trt tch hp t hoi quy, va mo hnh la mo hnh
ARIMA, ky hieu ARIMA (p, d, q).

c Lng va D Bao Vi Mo Hnh Arima
Box & Jenkins (1970) e xuat mot phng phap cu the cho mo hnh hoa chuoi
thi gian, bao gom 3 giai oan:
1. Nhan dang, xac nh p, d, q
2. c lng, bao gom viec c lng cac tham so cua phng trnh (11.22)
trong o ve trai la chuoi c lay sai phan d lan.
3. Kiem tra chan oan, bao gom viec ap dung cac kiem nh khac nhau e
xem mo hnh c lng co thch hp vi d lieu mot cach thoa ang hay
khong. Neu mo hnh cha thch hp th lap lai qua trnh.

NHAN DANG: Bi v hau het cac chuoi thi gian trong kinh te thay oi theo
thi gian mot cach co he thong, bc au tien cua giai oan nhan dang la chon
d, so lan lay sai phan e lam cho no xap x dng. o th ve chuoi theo thi
gian thng cho thay chng c ve ban chat cua chuoi. Neu chuoi bieu th s
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Chng 11: D bao

tang trng theo luy tha, th au tien hay lay logarit va ve no theo thi gian.
Neu ro rang la co xu hng tuyen tnh, hay lay sai phan chuoi (hay log cua
no) mot lan va ve chuoi a lay sai phan. Neu van the hien xu hng, co the
can lay sai phan lan th hai. Chuoi thi gian ve kinh te hiem khi can phai lay
sai phan hn hai lan.
Cach th hai e nhan ra xem co can thiet phai lay sai phan la tnh ham t
tng quan (ACF) a c nh ngha trc ay va ve o th tng quan. o
th tng quan la o th cua cac he so tng quan gia mot chuoi va cac gia tr
cua no trong qua kh. Neu o th nay giam t t (nh la =0.9 trong hnh
11.4) th co ch nh phai lay sai phan. Tiep theo ve o th tng quan cua cac
sai phan bac nhat. Neu o th nay cung giam t t, th co ch nh phai lay sai
phan bac hai.
Tnh khong dng do cac anh hng mua c x ly bang cach tach mua
cho chuoi. Cach n gian e tach thanh phan mua trong mot chuoi d lieu
thang la lay sai phan Y
t
Y
t-12
. Hoac, ta lay hoi quy Y
t
theo cac bien gia theo
mua va sau o lay phan d cua phng trnh a c thch hp hoa, vi cac
anh hng mua a b loai ra. Cac phng phap phc tap khac c trnh bay
trong Granger (1989a), Granger & Newbold (1986) va Diebold (2001). Neu
cac anh hng mua xuat hien, ACF se co nh nhon nhng khoang eu
an (xem hnh11.7 minh hoa ve d lieu thang). Sai phan Y
t
Y
t-12
thng loai
bo cac anh hng mua va xu hng tuyen tnh (xem hnh 11.8 minh hoa cho
cung mot chuoi theo thang).
Cac chon la ban au ve bac cua t hoi quy va cac thanh phan trung bnh
trt (p va q) thng c thc hien ong thi. oi vi nhng gia tr o tre ln
(ky hieu la k), ACF ly thuyet cua mo hnh AR (p) se xap x dang A
p
k
(vi 1 <
<1). Neu la dng, th ACF se giam dan (xem hnh 11.5). Neu la am, th
ham so se c bao bi mot cap ng cong, nh trong hnh 11.9. Vi mo
hnh MA (q) o th tng quan ve ly thuye t la bang 0 oi vi cac o tre ln
hn q nhng khong co dang cu the trc q (xem hnh 11.10) o th tng quan
c lng co the dung nh mot ch dan e chon gia tr q. Neu o th tng
quan van duy tr gan 0 sau mot o tre cu the nao o, th o tre o se la la
chon tot cho gia tr q.
e chon gia tr ban au cho p, s dung mot ham khac goi la ham t tng
quan rieng phan (PACF) va o th i kem goi la o th tng quan rieng
phan. Gia s chung ta thch hp hoa mot mo hnh t hoi quy bac nhat co
dang:

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Chng 11: D bao

Hnh 11.7 o th tng quan oi vi d lieu doanh so ban ien theo
thang

Hnh 11.8 o th tng quan oi vi d lieu sai phan 12 thang
Y
t
= a
11
Y
t-1
+ u
t
va c lng a
11
bang OLS (thanh phan hang so c bo qua
bang cach lay Y
t
la o lech khoi gia tr trung bnh cua chuoi). Tiep theo,
chung ta c lng mo hnh AR (2) co dang Y
t
= a
21
Y
t-1
+ a
22
Y
t-2
+ u
t
va thu
c 22
a . Bang cach tien hanh nay chung ta co the thu c kk a
la he so ho i
qui c lng cua Y
t-k
khi mo hnh t tng quan bac k c c lng. o th
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Chng 11: D bao

kk a
la o th tng quan rieng phan. No la tng quan gia Y

t
va Y
t-k
sau khi
anh hng cua cac Y khac a c loai bo. o th tng quan rieng phan ve ly
thuyet co ac tnh la neu bac cua t hoi quy la p th a
kk
= 0 vi moi k > p.

Hnh 11.9 o th tng quan Hnh 11.10 o th
tng quan
oi vi AR (p) oi vi
MA (q)

Do o, o th tng quan rieng phan c c lng co the c s dung
nh mot ch dan e chon gia tr p. Neu o th t tng quan rieng phan van
duy tr gan 0 sau mot o tre cu the nao o, th o tre o se la la chon tot cho
p. Hng dan e nhan dang mo hnh chuoi thi gian s bo co the c tom tat
nh sau:

1. Neu o th t tng quan con lai gan bang 0 sau mot o tre nao o, q chang
han, th s la chon thch hp cho bac cua MA la q.
2. Neu o th t tng quan rieng phan con lai gan 0 sau mot o tre nao o, p
chang han, th s la chon thch hp cho bac cua AR la p.
3. Neu hai ieu tren khong xay ra nhng ca hai o th rot cuc lai la giam ti 0,
chung ta co the bat au vi mot mo hnh ARMA (1,1) n gian.

C LNG: Quy trnh c lng cac tham so cua mo hnh chuoi thi gian
kha phc tap va gom ca viec giai he phng trnh phi tuyen. Co nhieu chng
trnh may tnh co the tnh o th tng quan va o th tng quan rieng phan
c s dung e nhan dang mo hnh, va sau o t ong thc hien qua trnh
c lng (EViews, FORECAST MASTER, FORECAST PRO, TSP,
MicroTSP, v.v....).

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Chng 11: D bao

KIEM TRA CHAN OAN: Giai oan kiem tra chan oan bao gom viec cho
mo hnh c lng chu cac loai kiem nh khac nhau e am bao la no thch
hp mot cach thoa ang vi d lieu. Cach tot nhat e khao sat xem mot mo
hnh co thch hp hay khong vi d lieu la tien hanh kiem chng hau mau,
ngha la, e danh mot phan cua mau (khong s dung e c lng) e d bao
kiem nh va sau o em so sanh cac gia tr d bao vi gia tr a biet cua Y.
Cac tr thong ke tom tat thng c s dung la sai so bnh phng trung bnh
va tieu ch thong tin Akaike (xem Muc 4.3). Mot cach n gian khac la lam
thch hp mo hnh qua mc, ngha la thch hp hoa mot mo hnh co bac hi
cao hn va sau o kiem nh xem cac tham so doi them co khac 0 mot cach
ang ke khong.
Trong moi trng hp, neu mo hnh thch hp tot vi d lieu, th phan d
t mo hnh ( t v
trong phng trnh 11.22) se la nhieu trang. Qui trnh thong

thng la tnh phan d va ham t tng quan cua chung va sau o khao sat
xem co phai cac phan d xap x mot chuoi nhieu trang. Box va Pierce (1970)
a e xuat mot kiem nh chnh thc cho viec nay. Qui trnh la tnh tr thong
ke Box Pierce.

=
=
=
K k
k
k
r n Q
1
2
(11.24)

Vi r
k
la t tng quan bac k cua cac phan d ( t v
), n la so quan sat, va K la
gia tr c chon trc cua cac t tng quan (chang han, 20 hay cao hn).
Neu chuoi phan d la nhieu trang, th Q se co phan phoi chi square, vi K
p q bac t do. Neu Q ln hn gia tr chuan cua chi-square, th chung ta ket
luan la chuoi phan d khong la nhieu trang. Mot kiem nh gan ay c s
dung pho bien la cua Ljung & Box (1978). Tr thong ke kiem nh Ljung
Box cho bi
LJB = n (n+2)
=
= (
(
K k
k
k
k n
r
1
2
'
(11.25)
Trong o n = n d la so cac quan sat c s dung sau khi chuoi c lay sai
phan d lan. Di gia thiet khong cho rang cac phan d thc chat la nhieu
trang, LJB co phan phoi chi-square vi o t do la K-p-q. Tieu chuan e chap
nhan hay loai bo trong kiem nh tng t nh trong kiem nh Box-Pierce.

D BAO: Bc cuoi cung la thc hien viec d bao that s. Chung ta thay t
phng trnh (11.22) rang gia tr d bao trc mot thi oan c cho bi (cho
v
n+1
tien en 0):

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Phng phap phan tch
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Chng 11: D bao

p n
p
n n
n Y Y Y Y
+
+ + + =
1 1
2 1 1 ... (11.26)

Neu chuoi phai c lay sai phan e lam cho no dng, th tr d bao la
n n n Y Y Y

+
= 1 1 t o 1 +
n Y se c tnh ra la 1 +

+ n
n
Y Y . Neu chuoi c
lay sai phan 2 lan, th t phng trnh (11.23) ta co:

1
2
1 1
2
+
+
+ =
n n n n
Y Y Y Y

Hnh 11.11. Nhu cau tong cong cua Nang lng he thong

V Du Thc Nghiem: D Bao Doanh So ien Hang Thang
Gurel (1987) a thc hien mot nghien cu so sanh ve mot so cac phng phap
khac nhau e d bao nhu cau nang lng hang thang cua he thong cua Cong
ty thuy ien Ontario; mot trong nhng phng phap nay la phng phap Box-
Jenkins c mo ta ay. Hnh 11.11 la o th cua nhu cau tong nang lng
he thong trong thi ky, t thang 1/1970 en thang 4/1984. o th cho thay ca
tnh mua manh lan xu hng tang dan. Tieu chuan AIC va can bac hai sai so
bnh phng trung bnh (RMSE) c trnh bay ay cho 4 mo hnh ARMA
khac nhau.
q n
q
n n v v v +

1 1
2 1
...
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Phng phap phan tch
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Chng 11: D bao

Bac ARMA AIC RMSE
(1, 1) 1.930 320
(4, 1) 1.927 312
(1, 4) 1.926 311
(0, 4) 1.924 311

Hnh 11.12 D bao Box Jerkins ve Nang lng he thong

ARMA (0, 4) la mo hnh tot nhat, nhng Gunel a tm ra tnh mua manh
c bieu th bi ACF. e loai bo tnh khong dng do hieu ng mua, Gurel
hoi quy chuoi nang lng theo mot hang so va 11 bien gia theo thang va tnh
cac phan d. Cac phan d sau o c mo hnh hoa bang cach s dung phng
phap Box-Jerkins. ARIMA (0, 1, 4) ro rang cho thay la troi hn cac phng an
khac ma tac gia a th. Cac tr d bao hau mau c thc hien en thang
6/1985. Hnh 11.12 la mot so sanh cua mot so cac mo hnh khac nhau. Mac du
o th khong bieu th ro, mo hnh nay (ky hieu BJ7 trong o th) d bao tot.
Cac so o thong ke cung cho thay rang mo hnh khong co tng quan chuoi va
sai so d bao nho nhat.

TOM TAT:
Mot trong cac ng dung chu yeu cua mo hnh kinh te lng la e d ba o
hay d oan. Co hai nhom phng phap d bao: Kinh te lng va chuoi thi
gian. D bao kinh te lng at c s tren mo hnh hoi quy e noi ket mot (hay
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Phng phap phan tch
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Chng 11: D bao

nhieu) bien phu thuoc vi mot so bien oc lap. D bao chuoi thi gian noi ket
bien phu thuoc vi cac gia tr cua no trong qua kh va co gang s dung moi
quan he nay e d bao bien phu thuoc.
Mot moi trng d bao bao gom ba thi oan. Mot ngi khao sat s dung
mot mau cac quan sat va c lng mo hnh. Cac gia tr d bao cua bien phu
thuoc trong thi ky trong mau nay con c goi la cac gia tr thch hp hoa.
Cac gia tr d bao ngoai mau co the la kiem nh hay tien nghiem. D bao
kiem nh la oi vi giai oan ma trong o cac gia tr thc te cua bien phu
thuoc va oc lap eu a biet. Cac gia tr d bao nh the thng c so sanh
vi gia tr thc te e anh gia nang lc d bao cua mo hnh. Cac d bao tien
nghiem la d bao cho tng lai vi cac gia tr cua bien oc lap c d bao t
cac mo hnh khac.
D bao co the la co ieu kien hoac khong ieu kien. Khi cac gia tr cua cac
bien oc lap la biet trc th ta co d bao co ieu kien. D bao khong ieu kien
c tao ra khi cac gia tr cua cac bien ngoai sinh khong c biet trc ma la
c tao ra t ban than mo hnh hay t mot mo hnh ho tr khac.
Viec anh gia nang lc d bao cua mot mo hnh c thc hien theo mot
so cach. au tien, chung ta lay ra mot phan cua mau va khong s dung chung
cho muc ch c lng. Ke en, chung ta tao ra cac d bao cho mau c lay
ra (ay la d bao kiem nh) va tnh sai so d bao va tong bnh phng sai so
d bao (ESS). Gia tr nay co the c dung e tnh cac tr thong ke e la
chon mo hnh c trnh bay trong bang 4.3. Mot mo hnh co cac gia tr thap
hn hau het cac tr thong ke tieu chuan th c xem la troi hn. Hn na,
chung ta tien hanh hoi quy cac gia tr d bao theo 1 hang so va gia tr thc te.
Neu d bao la hoan hao, chung ta se ky vong la thanh phan hang so c lng
se gan bang 0 va thanh phan o doc c lng gan bang 1.
Lam Thch hp bang ng xu hng la mot ky thuat c s dung pho
bien e dien ta bien phu thuoc cua mot ham ch theo thi gian. Dang ham
nhan c co the la tuyen tnh, bac hai, log tuyen tnh, nghch ao, tuyen tnh
log, log-hai lan hay logistic.
Mot nha quan sat ma ch quan tam en xu hng ro net cua mot chuoi thi
gian hn la en s bien ong xung quanh xu hng o th co the lam trn d
lieu bang cach s dung tr trung bnh cua mot so cac thanh phan lien tiep nhau
(goi la trung bnh trt) hoac lam trn theo luy tha, ngha la tao ra mot trung
bnh co trong so cua cac gia tr hien tai va qua kh cua chuoi, cac trong so
giam dan theo luy tha khi chung ta lui ve qua kh. Ky thuat nay co the c
s dung oi vi cac sai so d bao e co c cac d bao thch nghi.
Khi nhieu phng an mo hnh co dau hieu la tao ra c cac gia tr d bao
kha tot, th tot hn ta nen ket hp cac d bao hn la chon lay mot mo hnh tot
nhat va bo cac mo hnh khac. Phng phap toi u e ket hp d bao la lay hoi
quy (s dung d lieu cua mau hay d lieu giai oan kiem nh) cac gia tr thc
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Chng 11: D bao

te theo mot hang so va cac tr d bao c tao ra t cac phng an mo hnh.
Cac he so c lng sau o c dung nh cac trong so oi vi d bao ket
hp. Trong thi ky mau, tr d bao ket hp co tong sai so bnh phng nho
nhat, vi sai so d bao bnh phng bang 0, ngay ca khi cac d bao rieng le b
thien lech.
Trong cac mo hnh kinh te lng, cac tr d bao c tao ra bang cach thay
cac gia tr d bao hay gia nh cho cac bien oc lap. Neu co tng quan chuoi
trong cac phan d, cac sai so co the c mo hnh hoa vi qua trnh t hoi quy
va thong tin c dung e thu c cac d bao co hieu qua hn.
Nh a e cap trc ay, cac mo hnh chuoi thi gian noi ket mot bien phu
thuoc vi cac gia tr cua no trong qua kh. Mot chuoi thi gian t hoi quy hoan
toan (Mo hnh AR) se noi ket bien phu thuoc vi cac gia tr cua no trong qua
kh vi cac sai so nhieu trang. Mo hnh trung bnh trt (Mo hnh MA) noi ket
mot bien phu thuoc vi mot to hp tuyen tnh cua cac thanh phan sai so nhieu
trang. Mo hnh ARMA to hp cac ac tnh cua AR va MA vao trong mot mo
hnh.
o th tng quan la mot o th hu ch e giup nhan ra cac dang thc trong
moi tng quan gia cac chuoi. No ve ham t tng quan, ngha la cho he so
tng quan gia cac gia tr cua mot chuoi tai thi gian t va tai t-s vi cac gia
tr s khac nhau.
ac tnh dng co tnh chat la chuoi co tr trung bnh va phng sai khong
oi theo thi gian, va tng quan gia mot bien tai thi gian t va tai s (t s)
ch tuy thuoc vao khoang cach ts gia 2 thi oan. Mot chuoi khong dng
thng co the c lay sai phan (bang cach tnh s thay oi gia mot thi
oan va thi oan ke tiep) e lam cho no dng. oi khi co the phai tien hanh
lay sai phan nhieu lan hoac chuyen sang dang log trc khi lay sai phan. Mot
xu hng tuyen tnh co the c loai bo bang cach lay sai biet 1 lan, xu hng
bac hai co the c loai bo bang cach lay sai phan 2 lan, v.v.... D lieu theo
quy va thang thng bieu hien cac tac ong mua. No co the c loai bo
bang cach sai phan bac 4 hay 12, ngha la Y
t
Y
t-4
hay Y
t
Y
t-n
. Cac mo hnh
ARIMA la nhng mo hnh c lay sai phan bac nhat nhieu lan e tao ra tnh
trang dng va sau o lay mot mo hnh ARMA e thch hp chung.
Viec c lng mot mo hnh chuoi thi gian bao gom 3 giai oan: (1)
Nhan dang, (2) c lng va (3) Kiem nh chan oan. Nhan dang la qua
trnh xac nh bac cua sai phan, cua mo hnh t hoi quy va cua mo hnh trung
bnh trt. Cac o th tng quan va tng quan rieng phan c dung e nhan
dang cac mo hnh. Kiem nh chan oan la qua trnh cho mo hnh trai qua
kiem nh e xem no co thch hp mot cach thoa ang hay khong? Hai kiem
nh thng c dung ay la Box Pierce va Ljung Box. Mot khi mo hnh
a c anh gia la phu hp, cac d bao se c tao ra t mo hnh c c
lng.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
Chng 11: D bao


Thuat ng:
Absolute percent error (APE) : Sai so phan tram tuyet oi
Adaptive forecast : D bao thch nghi
ARIMA models : Cac mo hnh ARIMA
ARMA models : Cac mohnh ARMA
Autocorrelation function : Ham t tng quan
Autoregressive integrated moving average : Trung bnh trt tch hp t
hoi quy.
Autoregressive (AR) models : Cac mo hnh t hoi quy
Box Pierce statistic : Tr thong ke Box Pierce
Combining forecast : D bao ket hp
Conditional forecast : D bao co ieu kien
Correlogram : o th tng quan
Deseasonalization : Tach mua
Detrending : Tach xu hng
Diagnostic checking : Kiem nh chan oan
Differencing : Lay sai phan
Econometric forecasting : D bao kinh te lng
Estimation : c lng
Ex-ante forecast : D bao tien nghiem
Exponential smoothing : Lam trn theo luy tha
Ex-post forecast : D bao kiem nh
First difference : Sai phan bac nhat
Fitted value : Gia tr c lam thch hp
Forecasting : D bao
Identification : Nhan dang
In-samle forecast : D bao trong mau
Integrated of order d, I(d) : c tch hp bac d, I(d)
Ljing-Box tes statistic : Tr thong ke kiem nh Ljing-
Box
Mean absolute percent error (MAPE) : Sai so phan tram tuyet oi
trung bnh
Mean squared error (MSE) : Sai so bnh phng trung bnh
Moving average (MA) model : Mo hnh trung bnh trt MA
Non Stationarity : Tnh khong dng
Out of sample forecast : D bao ngoai mau
Partial auto correlation function (PACF) : Ham t tng quan rieng phan
Partial correlogam : o th tng quan rieng phan
Post sample period : Thi ky hau mau
Prediction : D oan
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
Chng 11: D bao

Random term : Thanh phan ngau nhien
Seasonal term : Thanh phan mua
Second difference : Sai phan bac 2
Smooth curve : ng cong trn
Smoothing : Lam trn
Stationarity : Tnh dng
Stationary time series : Chuoi thi gian dng
Stochatic term : Thanh phan ngau nhien
Time series forecasting : D bao chuoi thi gian
Time varrying weights : Cac trong so thay oi theo
thi gian
Trend : Xu hng
Trend line fitting : Thch hp bang ng xu
hng
Trend term : Thanh phan xu hng
Unconditional forecast : D bao khong ieu kien
White noise : Nhieu trang

Tai lieu tham khao:
- Bates, J.M., and C.W.J.Granger. The Combination of Forecasts. Operations
Research Quanterly 20 (1969): 451-469.
- Bessler, D. A., and J. A. Brandt. Forecasting Livestock Prices with
Individual and Composite Methods. Applied Economics 13 (1981): 513-522.
- Bohara, A., R. McNown, and J. T. Batts. A Re-evaluation of the
Combination and Adjustment of Forecast. Applied Economics 19 (1987):
437-455.
- Box, G. E. P., and G. M. Jenkins. Time Series Analyis, Forecasting, and
Control. San Francisco: Holen Day, 1970.
- Box, G. E. P., and D. A. Pierce. Distribution of Residual Autocorrelations in
Autoregressive Integrated Moving Average Time Series Models. J. Amer.
Stat. Assor. 65 (1970): 1509 1526.
- Brailsford, Timothy J., and Robert W. Fall. An Evaluation of Volatility
Forecasting Techniques. Journal of Banking and Finance 20, no. 3 (April
1996): 419-438.
- Clements, Michael P., and David F. Hendry. Macro economic Forecasting
and Modelling. Economic Journal105, no. 431 (July 1995): 1001-1013.
- Diebold, F. X. Elements of Forecasting. Cincinnati: South Western, 2001.
- Economic Report of the President. Washington, D.C.: U.S. Government
Printing Office, 1987.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
Chng 11: D bao

- Engle, R. F., and C.W. J. Granger. Forecasting Electricity Sales over the Short
Term: A Comparison of New Methodologies, Section 2. Electric Power
Research Institude, EM-4772, September 1986.
- Granger, C. W. J. Combining Forecasts Twenty Years Later. Journal of
Forecasting, 1989a.
- _____, Forecasting in Business and Economics. New York: Academic Press,
1989b.
- Granger, C. W. J., and P. Newbold. Forecasting Economic Time Series.
Orlando: Academic Press, 1986.
- Granger, C. W. J., and Ramu Ramanathan. Improved Methods of Combining
Forecasts. Journal of Forecasting 3 (1984): 197-204.
- Gunel, I. Forecasting System Energy Demand. Forecast Master Program
Case Studies. Electric Power Research Institude, EM-5114, April 1987.
- Hamilton, J. D. Time Series Analysis. Princeton, N.J.: Princeton University
Press, 1994.
- Harvey, A. C. The Econometric Analysis of Time Series. Cambridge, Mass.:
The MIT Press, 1990.
- Howrey, E. Philip. An Analysis of RSQE Forecasts: 1971 1992. Atlantic
Economic Journal 23, no. 3 (September 1995): 203-219.
- International Journal of Forecasting. Special section on combining forecasts
(November 1989). Jansen, Dennis W., and Ruby Pandey Kishan. An
Evaluation of Federal Reserve Forecasting. Journal of Macroeconomics 18,
no. 1 (Winter 1996): 89-109.
- Journal of Forecasting. Special issue on combining forecasts (July 1989).

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Chng trnh Giang day Kinh te Fulbright

Nien khoa 2003-2004

va chon mo hnh nao co gia tr MAPE thap. Chung

n P ). Cac gia tr d bao ve so can ho co c bang cach phoi hp mo

n P la gia tr d bao cua dan so, co c t mo

e (khong chng minh). Mot c

e . Do o, mot d bao ung cua Y

, va sau o noi ket phan d vi nhng bien rat ngan han

. Nhng hnh dang nao ma

b tien gan en 1. Xet ve cac o o nay th mo hnh bac hai

do f co bang 0 khong? ngha la

la c lng cua he so tng quan theo chuoi, ta co:

co the rut ra c t mau, nen ta co the co c sai so d bao h bc tot

a . Bang cach tien hanh nay chung ta co the thu c kk a

la o th tng quan rieng phan. No la tng quan gia Y

trong phng trnh 11.22) se la nhieu trang. Qui trnh thong

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