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T H I Quy Vecto PDF
T H I Quy Vecto PDF
Trong m hnh trn, mi phng trnh u cha p tr ca mi bin. Vi hai bin,
m hnh c 2
2
p h s gc v 2 h s chn. Vy trong trng hp tng qut nu m
hnh c k bin th s c k
2
p h s gc v k h s chn, khi k cng ln th s h s
phi c lng cng tng. iu ny i hi s quan st phi nhiu th kt qu mi
c ngha.
2. Mt s vn trong xy dng m hnh VAR:
Bn cnh nhng u im ni tri ca m hnh VAR : khng cn xc nh bin no
l bin ni sinh v bin no l bin ngoi sinh hay l ta c th s dng phng
php OLS cho tng phng trnh ring r th m hnh VAR cn vng phi mt
s hn ch:
- Do trng tm m hnh c t vo d bo nn VAR t ph hp cho phn tch
chnh sch.
- V khi xt n m hnh VAR ta cn phi xt n tnh dng ca cc bin trong
m hnh. Yu cu t ra khi ta c lng m hnh VAR l tt c cc bin phi
dng, nu trong trng hp cc bin ny cha dng th ta phi ly sai phn
m bo chui dng. Cng kh khn hn na nu mt hn hp cha cc bin
c tnh dng v cc bin khng c tnh dng th vic bin i d liu khng
phi l vic d dng.
- Kh khn trong vic la chn khong tr thch hp. Gi s m hnh VAR bn
ang xt c ba bin v mi bin s c 8 tr a vo tng phng trnh. Nh
xem xt trn th s h s m bn phi c lng l 3
2
.8+3=75. V nu ta tng
s bin v s tr a vo mi phng trnh th s h s m ta phi c lng s
kh ln. Ngoi ra, kh khn trong vic la chn khong tr cn c th hin
ch nu ta tng di ca tr s lm cho bc t do gim, do vy m nh hng
n cht lng cc c lng.
3. Phng php c lng m hnh VAR:
- Xt tnh dng ca cc bin trong m hnh. Nu cha dng th s dng k thut
ly sai phn a v cc chui dng.
- La chn khong tr ph hp.
- Xem xt mc ph hp ca m hnh chy ra (bng vic kim nh tnh dng
ca phn d. Nu phn d ca m hnh dng th m hnh nhn c ph hp
vi chui thi gian v ngc li
- So snh cc m hnh ph hp v la chn m hnh ph hp nht.
V d ta chy m hnh VAR cho chui s liu v tiu dng (CS) v thu nhp sau
thu (Y) trong thi k qu I/1974 IV/1984 ca Anh. ( File d liu nh km)
Trc tin ta kim nh tnh dng i vi 2 chui d liu CS v Y ta thy:
Theo kim nh Dickey-Fuller th chui CS l chui dng (gi tr |t| = 5,599 ln
hn cc gi tr thng k tng ng c 3 mc ngha 1%, 3% v 5%)
Chy tng tng t i vi chui y
Chui y l chui khng dng. V khi ly sai phn cho chui ny th ta nhn c
mt chui dng.
Khi c hai chui dng CS v d(Y) ta tin hnh chy c lng theo m hnh
VAR, vi tr 1-2,4 (lu cch vit tr trong m hnh VAR phi theo khong, tc
l khi nhp tr vo , bn phi nhp tng ng l 1 2 4 4)
Sau khi c lng c m hnh ta s xem xt tnh ph hp ca m hnh i
vi chui d liu bng cch kim nh tnh dng ca cc phn d. Nu phn d
dng th m hnh nhn c l ph hp v ngc li.
Kim nh tnh dng phn d ca CS ta thy phn d ny dng. Tng t i vi
phn d ca d(Y) ta cng c kt qu phn d ny dng. Vy m hnh ta chy ra
l ph hp vi chui d liu.
II- M HNH VECTOR HIU CHNH SAI S VECM:
Trc khi i vo m hnh vector hiu chnh sai s, ta s xem qua mt s khi nim
lin quan nh hi quy gi mo, ng lin kt v m hnh hiu chnh sai s.
1. Hi quy gi mo:
Khi hi quy vi cc chui thi gian, c th kt qu hi quy l gi mo do cc
chui ny c cng xu th. iu ny thng xy ra trong kinh t. c lng ca
cc h s hi quy khng phi ch chu nh hng ca bin c lp n bin ph
thuc m cn bao hm xu th.
Xt v d i vi chui tiu dng v thu nhp sau thu ca Costa Rica trong
khong thi gian 1963-1992 ta thy kt qu hi quy
Kt qu hi quy dng nh rt p v R
2
=0.98449 kh cao, cc t s |t| kh ln.
ch c d=0.36169 kh nh. Tuy nhin khi kim nh tnh dng ca hai chui d
liu ny ta thy c hai u khng dng. Do vy kt qu hi quy l gi mo.
Nh vy vic hi quy cc chui khng dng c th dn n hi quy gi mo. Khi
th cc tiu chun t v F l khng s dng c. Theo Granger v Newbold th
R
2
>d l du hiu hi quy gi mo (kt lun hon ton ph hp vi kt qu c
lng trn).
khc phc hi quy gi mo, ngi ta a thm bin xu th vo m hnh. Tuy
nhin vic a bin xu th vo m hnh ch chp nhn c nu bin ny l phi
ngu nhin.
2. ng lin kt:
Nh trn ta cp ti, vic hi quy cc chui thi gian khng dng thng dn
n kt qu hi quy gi mo. Tuy nhin, Engle v Granger
(1987) cho rng nu
kt hp tuyn tnh ca cc chui thi gian khng dng c th l mt chui dng v
cc chui thi gian khng dng c cho l ng lin kt. Kt hp tuyn tnh
dng c gi l phng trnh ng lin kt v c th c gii thch nh mi
quan h cn bng di hn gia cc bin. Ni cch khc, nu phn d trong m
hnh hi qui gia cc chui thi gian khng dng l mt chui dng, th kt qu
hi qui l thc v th hin mi quan h cn bng di hn gia cc bin trong m
hnh. V nu nh m hnh l ng lin kt th s khng xy ra trng hp hi quy
gi mo, v khi cc kim nh da trn tiu chun t v F vn c ngha. C
nhiu phng php kim nh mi quan h ng lin kt: kim nh Engle-
Granger, kim nh CRDWv theo phng php VAR ca Johasen.
3. Mi quan h nhn qu Granger
kim nh liu c tn ti mi quan h nhn qu Granger
gia hai chui thi
gian Y v X. kim nh trn Eview, ta xy dng hai phng trnh sau:
Y
t
=
0
+
1
Y
t-1
+ +
l
Y
t-l
+
1
X
t-1
+ +
l
X
t-l
+
t
(2.14)
X
t
=
0
+
1
X
t-1
+ +
l
X
t-l
+
1
Y
t-1
+ +
l
Y
t-l
+
t
(2.15)
xem cc bin tr ca X c gii thch cho Y (X tc ng nhn qu Granger ln
Y) v cc bin tr ca Y c gii thch cho X (Y tc ng nhn qu Granger ln X)
hay khng ta kim nh gi thit sau y cho mi phng trnh:
H
0
:
1
=
2
= =
l
= 0 (2.16)
kim nh gi thit ng thi ny, ta s dng thng k F ca kim nh Wald
v cch quyt nh nh sau: Nu gi tr thng k F tnh ton ln hn gi tr thng
k F ph phn mt mc ngha xc nh ta bc b gi thit H
0
v ngc li. C
bn kh nng nh sau:
- Nhn qu Granger mt chiu t X sang Y nu cc bin tr ca X c tc ng
ln Y, nhng cc bin tr ca Y khng c tc ng ln X.
- Nhn qu Granger mt chiu t Y sang X nu cc bin tr ca Y c tc ng
ln X, nhng cc bin tr ca X khng c tc ng ln Y.
- Nhn qu Granger hai chiu gia X v Y nu cc bin tr ca X c tc ng
ln Y v cc bin tr ca Y c tc ng ln X.
- Khng c quan h nhn qu Granger gia X v Y nu cc bin tr ca X khng
c tc ng ln Y v cc bin tr ca Y khng c tc ng ln X.
4. M hnh vector hiu chnh sai s VECM
Khi hi quy m hnh vi cc bin l chui thi gian th yu cu t ra l cc chui
ny phi dng. Trong trng hp chui cha dng th ta phi ly sai phn ca
chng cho n khi c c chui dng. Tuy nhin, khi m ta hi quy cc gi tr
sau khi ly sai phn c th s b st nhng thng tin di hn trong mi quan h
gia cc bin. Chnh v th khi hi quy nhng m hnh ly sai phn phi c
thm phn d E. V d i vi m hnh hai bin Y
1
v Y
2
ta c:
S hng