Chng trnh Ging dy Kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

CHNG
22

KINH T LNG V CHUI THI GIAN II:

D BO VI M HNH
ARIMA V VAR
Sau khi tho lun v tm quan trng ca chui thi gian c tnh dng trong chng trc, ta
chuyn sang tho lun hai cu hi thc tin trong chng ny: (1) Lm th no lp m hnh
mt chui thi gian dng, tc l, ta c th s dng m hnh hi quy no m t hnh vi ca n?
v (2) Lm th no s dng m hnh thch hp cho mc ch d bo? Nh lu trong phn
Gii thiu, d bo l mt phn quan trng ca phn tch kinh t lng, thm ch cn l ni dung
quan trng nht i vi mt s ngi.
Mt phng php rt ph bin trong vic lp m hnh chui thi gian l phng php
trung bnh trt kt hp t hi quy (autoregressive integrated moving average - ARIMA),
thng c gi l phng php lun Box-Jenkins.1 Trong chng ny, ta s trnh by cc
nguyn l c bn ca cch tip cn Box-Jenkins i vi vic lp m hnh v d bo kinh t. Mt
phng php thay th cho phng php Box-Jenkins l t hi quy vct (VAR). Ta cng tho
lun cc ni dung thit yu ca phng php ph bin ny.
22.1 CC PHNG PHP D BO KINH T
Ni tng qut, c bn phng php d bo kinh t da vo d liu chui thi gian: (1) m hnh
hi quy n phng trnh, (2) m hnh hi quy phng trnh ng thi, (3) m hnh trung bnh
trt kt hp t hi quy (ARIMA), v (4) m hnh t hi quy vct (VAR).
v d cho m hnh hi quy n phng trnh, hy xem xt hm cu xe hi. Trn c s
ca l thuyt kinh t, ta mc nh rng mc cu xe hi l hm s ca gi xe hi, chi qung co,
thu nhp ca ngi tiu dng, li sut (tnh bng chi ph vay n) v cc bin s thch hp khc.
T d liu chui thi gian, ta c lng mt m hnh thch hp cho nhu cu xe hi m c th
c s dng d bo mc cu xe hi trong tng lai. Tt nhin, nh lu trong Mc 5.10,
cc sai s d bo tng ln nhanh chng nu ta d bo qu xa trong tng lai.
Trong Chng 18, 19 v 20, ta xem xt cc m hnh phng trnh ng thi. Vo thi
k hong kim trong thp nin 60 v 70, vic xy dng cc m hnh ca nu kinh t Hoa K da
1

G. P. E. Box & G. M. Jenkins, Time Series Analysis: Forecasting and Control (Phn tch chui thi gian: D bo
v Kim sot), ti bn, Holden Day, San Francisco, 1978.

Damodar N. Gujarati

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

vo cc phng trnh ng thi chim u th trong d bo kinh t. 2 Nhng sau ny, s quyn r
ca phng php d bo ny suy gim do cc c sc du la nm 1973 v 1979 v do ch
trch ca Lucas.3 S cng kch ca ph bnh ny l cc tham s c lng t mt m hnh kinh
t lng ph thuc vo chnh sch p dng trong thi gian m hnh c c lng v s thay
i nu c thay i v chnh sch. Ni ngn gn, cc tham s c lng khng c nh khi xut
hin cc thay i v chnh sch.
V d, trong thng 10 nm 1979, H thng D tr Lin bang (Fed) thay i chnh sch
tin t ca mnh kh mnh m. Thay cho vic nhm vo kim sot mc li sut, Fed cng b t
nay tr i s gim st tc gia tng mc cung tin. Vi s thay i dt khot nh vy, mt m
hnh kinh t lng c lng t d liu trong qu kh s c t gi tr khi d bo trong thi k
mi.
S ra i ca cun sch Time Series Analysis: Forecasting and Control (Phn tch chui
thi gian: d bo v kim sot) dn ti mt k nguyn mi ca cc cng c d bo. c bit
rng ri di ci tn phng php lun Box-Jenkins (BJ), nhng v mt k thut c gi l
phng php lun ARIMA, trng tm ca cc phng php d bo mi ny khng phi l xy
dng cc m hnh n phng trnh hay phng trnh ng thi m l phn tch cc tnh cht xc
sut hay ngu nhin ca bn thn cc chui thi gian kinh t theo trit l hy d liu t ni.
Khng ging nh cc m hnh hi quy trong Yt c gii thch bi k bin lm hi quy X1, X2,
X3, ..., Xk, trong cc m hnh chui thi gian kiu BJ Yt c th c gii thch bi cc gi tr trong
qu kh hay gi tr tr ca bn thn bin Y v cc sai s ngu nhin.4 V l do ny, cc m hnh
ARIMA i khi c gi l m hnh l thuyt a bi v cc m hnh ny khng th suy ra c t
bt c l thuyt kinh t no v cc l thuyt kinh t thng l c s cho cc m hnh phng
trnh ng thi.
Phng php lun VAR, v b ngoi, ging vi phng php xy dng m hnh phng
trnh ng thi ch ta xem xt mt s bin ni sinh cng vi nhau. Nhng tng bin ni sinh
c gii thch bi cc gi tr tr hay gi tr qu kh ca n v cc gi tr tr ca tt c cc bin
ni sinh trong m hnh; thng th trong m hnh khng c cc bin ngoi sinh.
Trong phn cn li ca chng ny ta tho lun cc nn tng ca cch tip cn BoxJenkins v VAR trong d bo kinh t. Tho lun ca chng ta ch mc c bn v mang tnh
khm ph. Ngi c mun nghin cu vn ny su hn nn xem phn ti liu tham kho.5
2

V phn tch mang tnh gio khoa cch s dng cc m hnh phng trnh ng thi trong d bo, xem Robert S.
Pindyck & Daniel L. Rubinfeld, Econometric Models & Economic Forecasts, (Cc m hnh kinh t lng v d bo
kinh t), McGraw-Hill, xut bn ln th 3, New York, 1991, Chng 11, 12 v 13.
3
Robert Lucas, Econometric Policy Evaluation: A Critique (nh gi sch lc kinh t lng: mt ph bnh), ti
ti liu ca Hi ngh Carnegie-rochester, ng cong Phillips, North-Holland, Amsterdam, 1976, trang 19-46.
4
Ta ch tho lun cc m hnh ARIMA n, tc l, cc m hnh ARIMA c mt chui thi gian. Nhng ta c th
m rng phn tch cho cc m hnh bi. V cc m hnh ny, xem ti liu tham kho.
5
Xem Pindyck & Rubinfeld, op. Cit, Phn 3; Alan Pankratx, Forecasting with Dynamic Regression Models (D bo
vi cc m hnh hi quy ng), John Wiley & Sons, New York, 1991 (y l mt cun sch ng dng); v Andrew
Harvey, The Econometric Analysis of Time Series (Phn tch kinh t lng v chui thi gian), the MIT Press, xut
bn ln th 2, Cambridge, Mass., 1990 (y l cun sch cao cp). Mt tho lun ton din nhng c th c hiu
c cng c th tm thy trong Terence C. Mills, Time Series Techniques for Economists (K thut chui thi gian
Damodar N. Gujarati

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

22.2 LP M HNH AR, MA V ARIMA VI D LIU CHUI THI GIAN

gii thiu cc quan nim khc nhau, mt s c in v mt s mi, hy phn tch d liu
chui thi gian GDP ca Hoa K trong Bng 21.1. th chui thi gian ny c trnh by
trong Hnh 21.1 (GDP khng sai phn) v 21.5 (GDP sai phn bc mt); nh li rng GDP
dng khng sai phn khng c tnh dng nhng dng sai phn bc mt c tnh dng.
Nu mt chui thi gian c tnh dng, ta c th lp m hnh theo nhiu cch khc nhau.
Qu trnh t hi quy (AR)
Gi Yt i din cho GDP vo thi gian t. Nu ta lp m hnh Yt nh sau:
(Yt ) = 1(Yt1 ) + ut

(22.2.1)

vi l gi tr trung bnh ca Y v ut l mt s hng sai s ngu nhin khng tng quan, c gi

tr trung bnh bng 0 v phng sai khng i 2 (n c gi l yu t nhiu ngu nhin thun
ty - white noise) th ta ni rng Yt tun theo qu trnh ngu nhin t hi quy bc nht hay
AR(1) m ta gp trong Chng 12. y, gi tr Y trong thi on t ph thuc vo gi tr ca
n trong thi on trc v vo mt yu t ngu nhin; cc gi tr ca Y c biu din di
dng lch khi gi tr trung bnh ca n. Ni mt cch khc, m hnh ny cho bit gi tr d
bo ca Y trong thi on t ch n gin l t l (=1) ca gi tr ca n trong thi on (t 1)
cng vi yu t nhiu ngu nhin trong thi gian t; mt ln na, cc gi tr ca Y cng c biu
din xung quanh gi tr trung bnh ca n.
Nhng nu xem xt m hnh sau
(Yt ) = 1(Yt1 ) + 2(Yt2 ) + ui

(22.2.2)

th ta c th ni rng Yt tun theo qu trnh t hi quy bc hai hay AR(2). Tc l, gi tr ca Y

trong thi on t ph thuc vo gi tr ca n trong hai thi on trc , vi cc gi tr ca Y
c biu din xung quanh gi tr trung bnh .
Ni chung, ta c th vit
(Yt ) = 1(Yt1 ) + 2(Yt2 ) + ui + ... + p(Ytp ) + ui

(22.2.3)

Trong trng hp ny, Yt l qu trnh t hi quy bc p hay AR(p).

Lu rng trong tt c cc m hnh trn, ch c cc gi tr hin ti v qu kh ca Y c
a vo m hnh; khng c bin lm hi quy no khc. Do vy, ta ni rng d liu t ni. y
l mt loi m hnh dng rt gn m ta gp trong tho lun trc y v cc m hnh phng
trnh ng thi.
Qu trnh trung bnh trt (MA)
Qu trnh AR va tho lun khng phi l c ch duy nht c th to ra Y. Gi s ta lp m hnh
Y nh sau:
Yt = + 0ut + 1ut1

(22.2.4)

cho cc nh kinh t), Cambridge University Press, New York, 1990.

Damodar N. Gujarati

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

vi l hng s v u, nh trc y, s hng sai s nhiu ngu nhin thun ty. y, Y trong
thi gian t bng mt hng s cng vi trung bnh trt ca sai s hin ti v qu kh. Vy, trong
trng hp ny, ta ni rng Y tun theo qu trnh trung bnh trt bc nht hay MA(1).
Nhng nu Y tun theo biu thc
Yt = + 0ut + 1ut1 + 2 ut2

(22.2.5)

th l mt qu trnh MA(2). Tng qut hn

Yt = + 0ut + 1ut1 + 2 ut2 + ... + q utq

(22.2.6)

l mt qu trnh MA(q). Ni ngn gn, mt qu trnh trung bnh trt n gin l mt kt hp

tuyn tnh ca cc s hng nhiu ngu nhin thun ty.

Qu trnh t hi quy v trung bnh trt (ARMA)

Tt nhin, c nhiu kh nng l Y c cc c im ca c AR v MA v do vy c c im
ARMA. Vy, Yt tun theo qu trnh ARMA(1, 1) nu n c th vit di dng
Yt = + 1Yt1 + 0ut + 1ut1

(22.2.7)

bi v c mt s hng t hi quy v mt s hng trung bnh trt. Trong (22.2.7), l hng s.

Ni chung, mt qu trnh ARMA(p, q), s c p s hng t hi quy v q s hng trung
bnh trt.
Qu trnh trung bnh trt kt hp t hi quy (ARIMA)
Cc m hnh chui thi gian m ta tho lun c da vo gi thit l cc chui thi gian
nghin cu c tnh dng yu theo nh ngha trong Chng 21. Ni ngn gn, gi tr trung bnh
v phng sai ca chui thi gian c tnh dng yu l hng s v ng phng sai ca n khng
i theo thi gian. Nhng ta bit rng nhiu chui thi gian kinh t khng c tnh dng, tc l
chng kt hp (integrated); v d, chui thi gian kinh t trong Bng 21.1 l kt hp.
Nhng ta cng thy trong Chng 21 rng nu mt chui thi gian l kt hp bc nht
[c ngha l n c dng I(1)], th cc sai phn bc mt ca n l I(0), tc l, c tnh dng. Tng
t, nu mt chui thi gian l I(2), sai phn bc hai ca n l I(0). Ni chung, nu mt chui thi
gian l I(d), sau khi tnh sai phn d ln ta c mt chui I(0).
Do vy, nu ta phi tnh sai phn mt chui thi gian d ln lm cho n c tnh dng v
sau p dng m hnh ARMA(p, q), ta ni rng chui thi gian ban u l ARIMA(p, d, q), tc
l n l mt chui thi gian trung bnh trt kt hp t hi quy, vi p biu th s cc s hng
t hi quy, d biu th s ln chui thi gian phi c tnh sai phn cho ti khi c tnh dng, v q
l s cc s hng trung bnh trt. Vy, mt chui thi gian ARIMA(2, 1, 2) phi c sai phn
mt ln (d=1) n c tnh dng. V chui thi gian c tnh dng (sai phn bc mt) c th
c lp m hnh di dng ARMA(2, 2), tc l, n c hai s hng AR v hai s hng MA. Tt
nhin, nu d = 0 (ngha l chui thi gian khi u c tnh dng), ARIMA(p, d = 0, q) =
Damodar N. Gujarati

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

ARMA(p, q). Ch rng mt qu trnh ARIMA(p, 0, 0) c ngha l qu trnh c tnh dng AR(p)
thun ty; mt qu trnh ARIMA(0, 0, q) c ngha l qu trnh c tnh dng MA(q) thun ty. Khi
bit cc gi tr ca p, d v q, ta c th pht biu qu trnh no ang c lp m hnh.
im quan trng cn lu l s dng phng php lun Box-Jenkins, ta phi c chui
thi gian c tnh dng hay chui thi gian c tnh dng sau khi thc hin mt hay nhiu php
sai phn. L do ca gi thit v tnh dng c th c gii thch nh sau:
Mc tiu ca B-J [Box-Jenkins] l xc nh v c lng mt m hnh thng k c th c gii
thch l to ra d liu mu. Nu sau m hnh c lng ny c s dng d bo, ta
phi gi thit rng cc c im ca m hnh ny khng i theo thi gian v c bit l trong cc
khong thi gian tng lai. Vy, l do n gin ca vic yu cu d liu c tnh dng l bn thn
mi m hnh suy lun t cc d liu ny c th c gii thch l c tnh dng hay n nh, t
cung cp c s c gi tr cho vic d bo.6

22.3 PHNG PHP LUN BOX-JENKINS (BJ)

Cu hi ng gi nghn vng r rng l: Xem xt mt chui thi gian, v d nh chui thi gian
GDP ca Hoa K trong Hnh 21.1, lm sao ta bit c l n tun theo mt qu trnh AR thun
ty (v nu c th gi tr ca p bng bao nhiu) hay mt qu trnh MA thun ty (v nu c th
gi tr ca q bng bao nhiu) hay mt qu trnh ARMA (v nu c th cc gi tr ca p v q bng
bao nhiu) hay mt qu trnh ARIMA m ta phi bit cc gi tr ca p, d v q. Phng php lun
BJ xut hin ng lc tr li cho cu hi trn. Phng php ny gm bn bc:
Bc 1. Nhn dng. Tc l, tm cc gi tr thch hp ca p, d v q. Ta s trnh by ngn gn
biu tng quan (correlogram) v biu tng quan ring phn (partial
correlogram) h tr cho cng vic ny nh th no.
Bc 2. c lng. Sau khi nhn dng cc gi tr thch hp ca p v q, bc tip theo l
c lng cc thng s ca cc s hng t hi quy v trung bnh trt trong m hnh.
i khi php tnh ny c th c thc hin bng phng php bnh phng ti thiu
nhng i khi ta phi s dng cc phng php c lng phi tuyn (thng s phi
tuyn). Do by gi cng vic ny c th c thc hin t ng bng mt s phn
mm thng k, ta khng cn phi lo lng v trnh t ton hc ca php c lng ny;
sinh vin no mun tm hiu su c th xem cc ti liu tham kho v vn ny.
Bc 3. Kim tra chn on. Sau khi la chn m hnh ARIMA c th v c lng cc
tham s ca n, ta tm hiu xem m hnh la chn c ph hp vi d liu mc chp
nhn hay khng bi v c th mt m hnh ARIMA khc cng ph hp vi d liu.
l l do ti sao phng php lp m hnh ARIMA ca Box-Jenkins l mt ngh thut
nhiu hn l mt khoa hc; cn phi c k nng tt la chn ng m hnh
ARIMA. Mt kim nh n gin v m hnh la chn l xem xem cc phn d c
lng t m hnh ny c tnh ngu nhin thun ty hay khng; nu c, ta c th chp
nhn s ph hp ny ca m hnh; nu khng, ta phi lp li t u: Nh vy,
6

Mechael Pokorny, An Introduction to Econometrics (Gii thiu kinh t lng), Basil Blackwell, new York, 1987,
trang 343.

Damodar N. Gujarati

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Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

phng php lun BJ l mt qu trnh lp li.

Bc 4. D bo. Mt trong s cc l do v tnh ph bin ca phng php lp m hnh
ARIMA l thnh cng ca n trong d bo. Trong nhiu trng hp, cc d bo thu
c t phng php ny tin cy hn so vi cc d bo tnh t phng php lp m
hnh kinh t lng truyn thng, c bit l i vi d bo ngn hn. Tt nhin, tng
trng hp phi c kim tra c th.
Vi tho lun tng qut ny, by gi ta xem xt chi tit bn bc. Trong ton b phn
sau, ta s s dng d liu GDP trong Bng 21.1 minh ha cho cc lun im khc nhau.
22.4 NHN DNG
Cc cng c ch yu nhn dng l hm t tng quan (ACF), hm t tng quan ring
phn (PACF), v cc biu tng quan v da vo cc hm ny. Cc biu ny ch dn
gin l cc im ca ACF v PACF v theo tr.
Trong chng trc, ta nh ngha hm ACF(k) (tng th) v ACF(k) mu. Khi
nim t tng quan ring phn ging nh khi nim h s hi quy ring phn. Trong m hnh
hi quy bi k bin, h s hi quy th k, k, tnh tc thay i gi tr trung bnh ca bin ph
thuc khi bin c lp th k, Xk, thay i mt n v, vi iu kin l tt c cc bin c lp khc
khng i.
Tng t, tng quan ring phn kk tnh tng quan gia cc quan st (chui thi
gian) cch nhau k thi on sau khi kim sot cc tng quan ti cc tr trung gian (ngha
l tr nh hn k). Ni mt cch khc, t tng quan ring phn l t tng quan gia Yt v
Ytk sau khi loi b tc ng ca cc gi tr Y trung gian.7 Trong mc 7.9, ta gii thiu khi
nim tng quan ring phn trong phn tch hi quy v ch ra quan h ca n vi cc tng quan
n gin. Nhng tng quan ring phn nh vy by gi c th tnh t ng trong hu ht cc
phn mm thng k.
Trong Hnh 22.1, ta biu din biu tng quan v tng quan ring phn ca chui
GDP. T hnh ny, ta rt ra hai c im: Th nht, ACF gim rt chm, nh trong Hnh 21.4,
ACF ti 23 tr u khc khng v ngha thng k do chng nm ngoi gii hn tin cy 95%.
Th hai, sau tr th nht, PACF gim mnh v tt c cc PACF sau tr 1 u khng c
ngha thng k.

Trong s liu chui thi gian, phn ln tng quan gia Yt v Ytk c th l do cc tng quan vi nhng tr
gia Yt1, Yt2, ... , Ytk+1. Tng quan ring phn kk loi b tc ng ca nhng bin gia ny.

Damodar N. Gujarati

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Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

tr
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

Cc phng php nghin cu II

Bi c

ACF
mu (k)
*************
************
************
***********
***********
**********
**********
*********
*********
********
********
*******
*******
******
******
******
*****
*****
****
****
****
***
***
**
**

0,969
0,935
0,901
0,866
0,830
0,791
0,752
0,713
0,675
0,638
0,601
0,565
0,532
0,500
0,468
0,437
0,405
0,375
0,344
0,313
0,279
0,246
0,214
0,182
0,153

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

PACF
mu (kk)
0,969
-0,058
-0,020
-0,045
-0,024
-0,062
-0,029
-0,024
-0,009
-0,010
-0,020
-0,012
-0,020
-0,012
-0,021
-0,001
-0,041
-0,005
-0,038
-0,017
-0,066
-0,019
-0,008
-0,018
0,017

*************
*
*
*

*
*
*

Khoang tin cay 95%

Khoang tin cay 95%

HNH 22.1 Biu tng quan v tng quan ring phn, GDP, Hoa K, 1970-I n 1991-IV.

Do chui thi gian GDP ca Hoa K khng c tnh dng, ta phi lm cho n c tnh dng
trc khi c th p dng phng php Box-Jenkins. Trong Hnh 21.5 ta v cc sai phn bc mt
ca GDP. Khng ging nh Hnh 21.1, ta khng quan st thy bt c xu hng no trong chui
thi gian ny, c l cho thy chui thi gian GDP sai phn bc mt c tnh dng. 8 Mt p dng
chnh thc ca kim nh nghim n v Dickey-Fuller cho thy rng iu ny ng. Ta cng
c th nhn thy iu ny qua cc biu tng quan ACF v PACF c lng trong Hnh 22.2.
By gi ta c mt mu hnh ACF v PACF rt khc bit. Cc ACF ti tr 1, 3 v 12 c v nh
khc 0 v mt thng k; nh li t Chng 21 rng cc gii hn tin cy 95% gn ng cho k l
0,2089 v +0,2089. (Ch : Nh tho lun trong Chng 21, cc gii hn tin cy ny l tim
cn v do vy c th coi l gn ng). Nhng ti tt c cc tr khc, chng khng khc 0 v
mt thng k. iu ny cng ng i vi cc t tng quan ring phn, pkk.

Kh c th ni phng sai ca chui ny c tnh dng hay khng, c bit l trong khong 1979-1980. Cm vn
du la nm 1979 v s thay i ng k trong chnh sch tin t ca Fed (H thng d tr lin ban) trong nm 1979
c th l nguyn do cho kh khn ca chng ta.

Damodar N. Gujarati

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

tr

Cc phng php nghin cu II

Bi c

ACF
mu (k)

1
2
3
4
5
6
7
*
8****
9
*
10
11
12 * * *
13
**
14 * * *
15
**
16
17
*
18
19
*
20
21
22
23
*
24
25

****
**
*
*

*
*
*

**

0,316
0,186
0,049
0,051
-0,007
-0,019
-0,073
-0,289
-0,067
0,019
0,037
-0,239
-0,117
-0,204
-0,128
-0,035
-0,056
0,009
-0,045
0,066
0,084
0,039
-0,068
-0,032
0,013

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

PACF
mu (kk)
0,316
0,095
-0,038
0,033
-0,032
0,020
-0,062
-0,280
0,128
0,100
-0,008
-0,311
0,011
-0,114
-0,051
-0,021
-0,019
0,122
-0,071
-0,126
0,089
-0,060
-0,121
-0,041
0,092

****
*

*
****

**
*

****
*
*

**
*
**
*
*
**
*
*

Khoang tin cay 95%

Khoan gtin cay 95%

HNH 22.2 Biu tng quan v tng quan ring phn, sai phn bc mt ca GDP, Hoa K, 1970-I
n 1991-IV.

By gi, cc biu tng quan trong Hnh 22.2 cho php ta tm mu hnh ARMA ca
chui thi gian GDP nh th no? (Ch : Ta s ch xem xt chui GDP sai phn bc mt bi v
n c tnh dng). Mt cch thc hin iu ny l xem xt ACF, PACF v cc biu tng
quan gn vi chng ca mt s cc qu trnh ARMA la chn, nh AR(1), AR(2), MA(1),
ARMA(1, 1), ARIMA(2, 2), v.v... Do tng qu trnh ngu nhin ny biu th cc mu hnh tiu
biu ca ACF v PACF, nu chui thi gian ang nghin cu ph hp vi mt trong s cc mu
hnh th ta c th xc nh chui thi gian vi qu trnh . Tt nhin, ta s phi p dng cc
kim nh chn on tm xem m hnh ARMA la chn c chnh xc mc chp nhn
hay khng.

Damodar N. Gujarati

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

BNG 22.1
Cc dng l thuyt ca ACF v PACF
Loi m hnh

Dng tiu biu ca ACF

Dng tiu biu ca PACF

AR(p)

Suy gim theo s m hay vi dng sng

hnh sin tt dn hay c hai.

nh cao ng k qua cc tr
p

MA(q)

nh cao ng k qua cc tr q

Suy gim theo s m

ARMA(p, q)

Suy gim theo s m

Suy gim theo s m

Lu : Cc thut ng theo s m hay theo cp s nhn ng ngha vi nhau (Nh li tho lun ca chng ta v tr
phn phi Koyck).

Nghin cu cc tnh cht ca cc qu trnh ARIMA chun khc nhau s tn nhiu cng
sc. Ci m ta nh lm l a ra cc hng dn tng qut (xem Bng 22.1); cc ti liu tham
kho c th cho ta bit chi tit v cc qu trnh ngu nhin khc nhau.
Lu rng cc ACF v PACF ca cc qu trnh AR(p) v MA(q) c cc dng tri ngc;
trong trng hp AR(p), AC gim theo cp s nhn hay theo s m nhng PACF t ti gii hn
sau mt s tr nht nh, tri li hin tng i ngc s xy ra i vi qu trnh MA(q).
V mt hnh hc, cc dng ny c biu din trong Hnh 22.3.
Cnh bo. Do trn thc t ta khng quan st cc ACF v PACF l thuyt m da vo cc d liu
mu ca chng, cc gi tr ACF v PACF c lng s khng ph hp chnh xc vi cc gi tr
l thuyt. Ci m ta ang tm kim l s ging nhau gia cc ACF v PACF l thuyt vi cc d
liu mu t chng c th ch cho ta hng i ng trong vic xy dng cc m hnh
ARIMA. V l l do ti sao vic lp m hnh ARIMA cn phi c nhiu k nng m tt nhin
cc k nng ny ch c thng qua thc hnh.
Xc nh ARIMA cho GDP ca Hoa K. Quay li vi biu tng quan v tng quan ring
phn ca GDP Hoa K c tnh dng (sau khi tnh sai phn bc mt) trong giai on 1970-I n
1991-IV c trong Hnh 22.2, ta nhn thy g?
Nh li rng ACF v PACF trnh by trong hnh l cc s lng mu, ta khng c mt
dng tt nh trong Bng 22.1. Cc t tng quan gim cho ti tr 4, sau , tr ti tr 8 v
12, tt c cn li u khng khc khng v mt thng k (cc ng m trong hnh cho ta cc
gi tr gii hn tin cy 95% gn ng). Cc t tng quan ring phn vi nhng nh cao ti
tr 1, 8, v 12 c v c ngha thng k nhng s cn li khng c; nu h s tng quan ring
phn ch c ngha thng k ti tr 1, ta c th xc nh iu ny nh l mt m hnh
AR(1). Do vy, hy gi thit rng qu trnh to ra GDP (sai phn bc mt) hu nh l mt qu
trnh AR(12). Tt nhin, ta khng phi tnh ti tt c cc s hng AR cho ti 12 bi v t biu
tng quan ring phn ta bit rng ch c cc s hng AR ti tr 1, 8 v 12 l c ngha.
22.5 C LNG M HNH ARIMA
t Yt* biu th cc sai phn bc 1 ca GDP Hoa K. Vy, m hnh AR xc nh th nghim l

Yt* 1Yt*1 8Yt*8 12Yt*12

Damodar N. Gujarati

(22.5.1)

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

HNH 22.3
ACF v PACF ca cc qu trnh la
chn: (a) AR(2): 1 = 0,5, 2 = 0,3; (b)
MA(2): 1 = 0,5, 2 = 0,3; (c) ARMA
(1, 1): 1 = 0,5, 1 = 0,5.

S dng MICRO TSP 7.0, ta c cc c lng sau:

Yt* 23,0894 0,3428Yt*1 0,2994Yt*8 0,2644Yt*12

se = (2,9774)
t = (7,7547)

(0,0987) (0,1016)
(3,4695) (2,9475)
R2 = 0,2931 d = 1,7663

(0,0986)
(2,6817)

(22.5.2)

Bi tp dnh cho ngi c l c lng mt m hnh ch cha Yt*1 v mt m hnh cha c

Yt*1 v Yt*8 v so snh cc kt qu vi nhng kt qu trong (22.5.2).

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

22.6 KIM TRA CHN ON

Lm sao ta bit c m hnh trong (22.5.2) ph hp mt cch tng i hp l vi d liu?
Mt chn on n gin l tnh cc phn d t (22.5.2) v tnh ACF v PACF ca cc phn d
ny cho ti tr 25. ACF v PACF c lng c trnh by trong Hnh 22.4. Nh hnh v ny
biu th, khng c t tng quan hay t tng quan ring phn no c ngha thng k. Tng
ca 25 bnh phng t tng quan cng khng c ngha thng k, nh c biu th bi cc
thng k Q Box-Pierce v LB Ljung-Box (xem Chng 21). Ni mt cch khc, biu tng
quan ca c cc t tng quan v t tng quan ring phn cho ta n tng rng cc phn d
c lng t (22.5.2) l thun nht ngu nhin. Vy, c th khng cn tm kim mt m hnh
ARIMA no khc.
22.7 D BO
Lu rng ta c d liu GDP trong giai on 1970-I n 1991-IV. Gi s, trn c s ca m
hnh (22.5.2), ta mun d bo GDP trong bn qu u ca nm 1992. Nhng trong (22.5.2), bin
ph thuc l s thay i ca GDP so vi qu trc. Do vy, nu s dng (22.5.2), ci m ta c
th tnh c l d bo thay i gia qu I nm 1992 v qu IV ca nm 1991, qu II ca nm
1992 so vi qu I ca nm 1992, v.v
d bo gi tr GDP ch khng phi l s thay i ca n, ta c th thc hin ngc
php tnh sai phn bc 1 m ta s dng tnh nhng thay i. (Ni mt cch mang tnh k
thut hn, ta kt hp chui sai phn bc 1). Vy, tnh gi tr d bo ca GDP (khng phi l
GDP) trong thi on 1992-I, ta vit li m hnh (22.5.1) nh sau:
Y1992-I Y1991-IV = + 1[Y1991-IV Y1991-III]
+ 8[Y1989-IV Y1989-III]
+ 12[Y1988-IV Y1988-III] + u1992-I

(22.7.1)

Y1992-I = + (1 + 1)Y1991-IV 1Y1991-III + 8Y1989-IV 8Y1989-III

+ 12Y1988-IV 12Y1988-III + u1992-I

(22.7.2)

Tc l,

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T tng quan

Cc phng php nghin cu II

Bi c

T tng quan ring phn

*
*

*
*

*
*

**
*

*
*

**
*
**
*

*
**
*
*

**

**
**
*
**

**
**
*
*

**
*

*
*
*

tr

ACF
(k)

PACF
mu (kk)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

0,043
0,113
0,020
-0,100
-0,068
-0,029
-0,040
-0,112
0,065
0,126
0,099
-0,026
0,120
-0,181
-0,128
-0,073
-0,121
0,017
-0,007
-0,085
0,055
0,010
-0,038
-0,053
-0,002

0,043
0,112
0,012
-0,116
-0,065
0,001
-0,019
-0,118
0,069
0,151
0,076
-0,106
0,102
-0,150
-0,131
-0,050
-0,038
0,059
-0,027
-0,163
0,059
-0,016
-0,103
-0,072
0,100

Khoang tin cay 95%

Thng k Q Box-Peirce
Thng k (LB) Ljung-Box

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

Khoang tin cay 95%

14,42
17,63

Xc sut
Xc sut

Sai s chun (SE) ca cc tng quan

0,9540
0,8578

0,110

HNH 22.4 Biu tng quan ca cc phn d tnh c t m hnh ARIMA (22.5.2).

Ta bit cc gi tr , 1, 8 v 12 t hi quy c lng (22.5.1). Ta gi thit gi tr u1992-I

bng 0 (ti sao?). Vy, ta c th d dng tnh gi tr d bo ca u1992-I. c lng c th bng s
ca gi tr d bo ny l9
Y1992-I = 23,0894 + (1 + 0,3428)Y1991-IV 0,3428Y1991-III
+ (0,2994)Y1989-IV (0,2994)Y1989-III
+ (0,2644)Y1988-IV (0,2644)Y1988-III
= 23,0894 + 1,3428(4868) 0,3828(4862,7)
0,2994(4859,7) + 0,2994(4845,6) 0,2644(4779,7)
+ 0,2644(4734,5)
= 4876,7 (gn ng)
9

Mc d cc phn mm my tnh tiu chun thc hin t ng php ton ny, chng ti vn trnh by cc php tnh
chi tit minh ha cho c ch.

Damodar N. Gujarati

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

Vy gi tr d bo ca GDP trong thi on 1992-I vo khong 4.877 t USD (gi USD nm

1987). ng thi, gi tr thc t ca GDP thc trong thi on 1992-I l 4.873,7USD; sai s d
bo l c tnh qu mc 3 triu USD.
Ch rng nu s dng (22.5.2) tnh s thay i d bo ca GDP t 1991-IV n
1992-I, ta s tnh c ch s ny l 4,25 t USD.
22.8 CC KHA CNH TIP THEO CA PHNG PHP LUN BJ
Trong cc on trn, ta mi ch gii thiu phng php xy dng m hnh BJ mang tnh i
cng. C rt nhiu kha cnh ca phng php lun ny m ta khng xem xt do hn ch v
khng gian, v d nh tnh bin i theo ma. Nhiu chui thi gian cho thy c hnh vi ma.
Cc v d v doanh thu ca cc ca hng bch ha trong mi lin h vi cc k ngh di ngy,
tiu dng kem theo ma, i li trong ngy l quc gia, v.v V d, nu ta c d liu v doanh
thu hng qu ca cc ca hng bch ha, cc d liu doanh thu s cho thy cc nh cao trong
qu IV. Trong trng hp ny, ta c th loi b nh hng ma bng cch ly cc khc bit ca
d liu doanh thu qu IV v sau quyt nh loi m hnh ARIMA no l ph hp.
Ta mi ch phn tch chui thi gian n trong mt khong thi gian. Nhng khng g c
th ngn vic m rng phng php BJ cho nghin cu hai hay nhiu chui thi gian ng thi.
Vic khm ph ch ny nm ngoi phm vi ca chng ta. Ngi c quan tm c th xem ti
liu tham kho.10 Tuy nhin trong phn sau, ta s tho lun ni dung ny trong bi cnh ca t
hi quy vct.
22.9 T HI QUY VCT (VAR)
T Chng 18 n 20, ta xem xt cc m hnh phng trnh ng thi hay cu trc. Trong
cc m hnh ny, mt s bin c coi l ni sinh v mt s c coi l ngoi sinh hay xc
nh trc (ngoi sinh cng vi ni sinh tr). Trc khi c lng cc m hnh ny, ta phi m
bo chc chn rng cc phng trnh trong h c nhn dng (hoc chnh xc hoc c lng
qu ln). S nhn dng ny thng c thc hin bng cch gi thit rng mt s bin xc nh
trc ch c mt trong mt s phng trnh. Quyt nh ny thng mang tnh ch quan v b
Christopher Sims ch trch mnh m.11
Theo Sims, nu c s ng thi gia mt tp cc bin th tt c phi c xt trn cng
mt c s; gia bin ngoi sinh v ni sinh, khng c c mt s phn bit tin nghim no.
Da trn tinh thn ny Sims xy dng m hnh VAR ca mnh.
Cc tng c bn ban u ca m hnh ny c xy dng trong kim nh nhn
qu Granger tho lun Chng 17. Ti cc phng trnh (17.14.1) v (17.14.2), trong gii
thch GNP hin hnh trn c s mc cung tin tr v GNP tr v gii thch mc cung tin hin
hnh trn c s mc cung tin tr v GNP tr, ta coi GNP v mc cung tin, v bn cht, l mt
10

V ti liu phn tch ni dung ny c th c hiu c, xem Terence C. Mills, Time Series Techniques for
Economists (Cc k thut chui thi gian cho cc nh kinh t), Cambridge University Press, New York, 1990, Phn
III.
11
C. A. Sims, Macroeconomics and Reality (Kinh t v m v hin thc), Econometrica, tp 48, 1980, trang 1-48.

Damodar N. Gujarati

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

cp bin ni sinh. Trong h phng trnh ny, khng c bin ngoi sinh.
Tng t, trong m hnh doanh thu xe hi (Auto Sale, AS) v tn phiu kho bc
(Treasury Bill, TB) tho lun trong V d 17.9, AS c gii thch trn c s cc gi tr tr ca
chnh n cng nh cc gi tr tr ca TB v TB c gii thch trn c s cc gi tr tr ca chnh
n v cc gi tr tr ca AS.
Tt c cc v d ny l nhng minh ha v cc m hnh t hi quy vct; thut ng t
hi quy l do s xut hin ca gi tr tr ca bin ph thuc trong v phi v thut ng vct l
do ta lm vic vi mt vct ca hai (hay nhiu) bin.
c lng VAR
Quay li vi v d AS/TB, ta thy rng khi a ra cc s hng tr 8 ca tng bin lm bin
lm hi quy, ta khng th bc b gi thit cho rng c quan h nhn qu hai pha gia AS v TB.
Tc l, AS tc ng ti TB v TB li tc ng ti AS. Cc kiu tnh th ny ph hp l tng
cho vic p dng VAR.
gii thch m hnh VAR c c lng nh th no, ta s tip tc vi m hnh
AS/TB. n gin, gi thit rng mi phng trnh gm c bn gi tr tr ca AS v bn gi tr
tr ca TB vi vai tr l bin lm hi quy. Trong trng hp ny, ta c th c lng tng
phng trnh bng phng php OLS.12 Do vy, m hnh thc t m ta c lng l:
4

j 1

j 1

ASt j ASt j j TB t j u1t

TB t j ASt j j TB t j u 2t
j 1

(22.9.1)

(22.9.2)

j 1

vi u l sai s ngu nhin, gi l sc y hay i mi trong ngn ng VAR.

S dng lnh VAREST trong MICRO TSP 7.0, ta tnh c cc c lng ca cc tham
s ca m hnh AS/TB trong (22.9.1) v (22.9.2). Cc kt qu c trnh by trong Bng 22.2.
Do (22.9.1) v (22.9.2) l cc hi quy OLS, kt qu ca cc hi quy trong Bng 22.2 c gii
thch theo cch thng thng. Tt nhin, vi mt vi tr ca cng cc bin, tng h s c
lng s khng c ngha thng k, c th l do a cng tuyn. Nhng cng vi nhau, chng c
th c ngha trn c s ca kim nh F. Vy, trong hi quy AS ch c cc h s AS ti tr 1
v 2 l c ngha thng k, cn cc h s cn li khng c. Mt khc, trong hi quy TB, tt c
cc h s TB tr cng nh h s ca AS ti tr 1 c ngha thng k.
D bo bng VAR
M hnh VAR c lng trong Bng 22.2 c th c s dng d bo cc gi tr tng lai
ca AS v TB. V d, d bo AS trong thi gian 1979-I, ta cn d liu AS v TB ti cc tr
1978-IV, 1978-III, 1978-II v 1978-I. Sau khi d bo AS trong thi gian 1979-I, ta c th d bo
12

Ta c th s dng k thut SURE ( Semmingly Unrelated Regression, hi quy c v nh khng c lin quan)
c lng hai phng trnh cng vi nhau. Tuy nhin, do mi hi quy bao gm cng mt s bin ni sinh tr, c
lng OLS ca tng phng trnh ring r cho ta cc c lng ng nht (v hiu qu).

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Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

AS trong thi gian 1979-II theo cch tng t; by gi ta cn d liu AS v TB trong thi gian
1979-I, 1978-IV, 1978-III v 1978-II. Nhng ch rng d liu 1979-I s l gi tr d bo tnh
c trc y, do d liu thc t 1979-I khng c bi v mu ca chng ta kt thc vo thi
gian 1978-IV. Nh ngi c c th nghi ng, trong quy tc ny, mi sai lm trong d bo AS
trong thi gian 1979-I s dn ti sai lm trong cc d bo tip theo.
Mt s vn trong xy dng m hnh VAR
Nhng ngi ng h VAR nhn mnh cc u im ca phng php ny: (1) y l phng
php n gin; ta khng cn phi lo lng v vic xc nh cc bin no l bin ni sinh v bin
no l bin ngoi sinh. Tt c cc bin trong VAR u l bin ni;13 (2) Php c lng n
gin, tc l, phng php OLS thng thng c th c p dng cho tng phng trnh ring
r; (3) Cc d bo tnh c bng phng php ny, trong nhiu trng hp, tt hn cc d bo
tnh c t cc m hnh phng trnh ng thi phc tp hn.14
BNG 22.2
M hnh VAR AS/TB
VAREST // Bin ph thuc l AS
Khong SMPL: 1959.1 - 1978.4
S cc quan st: 80
Bin
AS (-1)
AS (-2)
AS (-3)
AS (-4)
TB (-1)
TB (-2)
TB (-3)
TB (-4)
C

H s

Sai s chun

0,5555045
0,3129130
0,0357919
0,0324633
-0,1761464
0,1498503
-0,2791645
0,2041068
1,0779153

R bnh phng
R bnh phng hiu chnh
Sai s chun ca hi quy
Mc hp l log
Thng k Durbin-Watson

0,738664
0,709218
0,702709
-80,51620
2,075730

0,1170769
0,1363310
0,1363381
0,1246661
0,1642311
0,2559182
0,2495872
0,1482409
0,4998183

Thng k T

ngha 2 pha

4,7447848
2,2952445
0,2587279
0,2604022
-1,0725520
0,5855397
-1,1185050
1,3768588
2,1566141

0,00000
0,02470
0,79660
0,79530
0,28710
0,56000
0,26710
0,17290
0,03440

Gi tr trung bnh ca bin ph thuc

lch chun ca bin ph thuc
Tng cc bnh phng phn d
Thng k F
Xc sut (thng k F)

7,868741
1,303142
35,05978
25,08514
0,000000

VAREST // Bin ph thuc l TB

Ngy: 29-5-1994 / Thi gian: 8:27
Khong SMPL: 1959.1 - 1978.4
S cc quan st: 80

13

i khi cc bin ngoi sinh thun ty c a vo m hnh tnh ti cc yu t xu hng v yu t ma.

V d, xem T. Kinal & J. B. Ratner, Regional Forecasting Models with Vector Autoregression: The Case of New
York State (Cc m hnh d bo vng bng phng php t hi quy vct: Trng hp Bang New York), Bi tho
lun s 155, Khoa Kinh t hc, i hc Bang New York ti Albany, 1982.
14

Damodar N. Gujarati

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Chng trnh ging dy kinh t Fulbright

Bin

H s

Cc phng php nghin cu II

Bi c

Sai s chun

AS (-1)
0,1983992
AS (-2)
-0,0728026
AS (-3)
-0,0553507
AS(-4)
0,1361520
TB (-1)
1,2740809
TB (-2)
-0,6893779
TB (-3)
0,4829150
TB (-4)
-0,2293524
C
-0,7823958
R bnh phng
0,921100
R bnh phng hiu chnh
0,912210
Sai s chun ca hi quy
0,490734
Mc hp l log
-51,79294
Thng k Durbin-Watson
2,029895

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

Thng k T

0,0817601
2,4266004
0,0952062
-0,7646830
0,0966079
-0,5729423
0,0870601
1,5638857
0,1146901
11,1088960
0,1787194
-3,8573189
0,1742982
2,7706251
0,1035234
-2,2154630
0,3490461
-2,2415258
Gi tr trung bnh ca bin ph thuc
lch chun ca bin ph thuc
Tng cc bnh phng phn d
Thng k F
Xc sut (thng k F)

ngha 2 pha
0,0178
0,4470
0,5685
0,1223
0,0000
0,0002
0,0071
0,0299
0,0281
4,824005
1,656238
17,09820
103,6089
0,000000

Nhng nhng ngi ch trch phng php xy dng m hnh VAR nu ra mt s vn

sau y:
1. Khng nh cc m hnh phng trnh ng thi, m hnh VAR l m hnh l thuyt a bi v
n s dng t thng tin tin nghim hn. Nh li rng trong cc m hnh phng trnh ng
thi, vic loi tr hay a vo cc bin nht nh ng mt vai tr trng yu trong vic xc
nh m hnh.
2. Do trng tm c t vo d bo, cc m hnh VAR t ph hp cho phn tch chnh sch.
3. Thch thc thc nghim ln nht trong phng php xy dng m hnh VAR l la chn
khong tr thch hp. Gi s bn c m hnh VAR ba bin v quyt nh a 8 tr ca mi
bin vo tng phng trnh. Bn s c 24 tham s tr trong mi phng trnh cng vi s
hng khng i, v nh vy c tt c 25 tham s. Tr khi c mu ln, c lng nhiu tham
s s s dng rt nhiu bc t do vi tt cc vn kh khn lin quan.15
4. Ni mt cch cht ch, trong mt m hnh VAR m bin, tt c m bin phi (cng) c tnh
dng. Nu iu kin ny khng c tha mn, ta s phi bin i d liu mt cch thch hp
(v d bng cch ly sai phn bc 1). Nh Harvey lu , cc kt qu t d liu bin i
c th khng tha ng. Harvey cn lu tip l Do vy, phng php thng c nhng
ngi ng h VAR p dng l thc hin cc mc , thm ch nu mt s chui thi gian
khng c tnh dng. Trong trng hp ny, iu quan trng l nhn ra tc ng ca cc
nghim n v i vi s phn phi ca cc c lng.16 Ti t hn, nu m hnh cha hn
hp cc bin I(0) v I(1), tc l, mt hn hp ca cc bin c tnh dng v khng c tnh dng
th bin i d liu khng phi l vic d dng.
15

Nu ta c m hnh VAR m phng trnh vi p gi tr tr ca m bin, ta phi c lng tt c l (m + pm2) thng

s.
16
Andrew Harvey, The Econometric Analysis of Time Series (Phn tch kinh t lng v chui thi gian), The MIT
Press, xut bn ln th 2, Cambridge Mass., 1990, trang 83.

Damodar N. Gujarati

16

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

5. Do cc h s n l trong cc m hnh VAR c lng thng kh gii thch, nhng ngi p

dng k thut ny trn thc t thng c lng ci gi l hm phn ng y (Impulse
Response Function, IRF). IRF pht hin phn ng ca bin ph thuc trong h VAR i vi
cc c sc ca cc s hng sai s, nh u1 v u2 trong Phng trnh (22.9.1) v (22.9.2). Gi s
u1 trong phng trnh AS tng ln vi gi tr bng mt lch chun. Mt c sc hay thay i
nh th s lm thay i AS trong giai on hin ti ln tng lai. Nhng do AS xut hin
trong hi quy TB, thay i gi tr u1 cng s c tc ng ti TB. Tng t, thay i gi tr ca
u2 trong phng trnh TB i mt lch chun s c tc ng ti AS. IRF pht hin tc ng
ca nhng c sc nh vy trong mt vi thi on tng lai. Mc d gi tr s dng ca phn
tch IRF b nhiu nh nghin cu nghi ng, n l trng tm ca phn tch VAR.17
V so snh gia kt qu ng dng ca VAR vi cc k thut d bo khc, ngi c c
th xem ti liu tham kho.18

Mt ng dng ca VAR: M hnh VAR cho nn kinh t Texas

kim nh chm ngn: Khi du la bin i th nn kinh t Texas cng bin i, Thomas
Fomby v Joseph Hirschberg xy dng m hnh VAR ba bin cho nn kinh t Texas trong
giai on 1974-I n 1988-I.19 Ba bin xem xt l (1) t l thay i phn trm ca gi du la
thc, (2) t l thay i phn trm thu dng lao ng phi nng nghip Texas, v (3) t l thay i
phn trm thu dng lao ng phi nng nghip trong phn cn li ca Hoa K. Cc tc gi a
s hng khng i v hai gi tr tr ca tng bin vo mi phng trnh. Do vy, s cc tham s
c lng trong mi phng trnh l 7. Cc kt qu ca c lng OLS ca m hnh VAR c
trnh by trong Bng 22.3. Cc kim nh F trong bng ny l kim nh gi thit cho rng cc
h s tr u cng bng 0. Vy, kim nh F i vi bin x (t l thay i phn trm ca gi du
la thc) cho thy rng tt c cc s hng tr ca x u khc khng v mt thng k; xc sut F
nhn gi tr 12,5536 theo gi thit khng cho rng chng cng ng thi bng khng rt thp,
khong 0,00004. Mt khc, hai gi tr tr ca y (t l thay i phn trm thu dng lao ng phi
nng nghip Texas) cng khng khc khng ng k gii thch cho x; gi tr F ch bng 1,36.
Tt c cc thng k F khc u c gii thch tng t.
Trn c s ca cc kt qu ny v cc kt qu khc trnh by trong bi vit ca mnh,
Fomby v Hirschberg kt lun rng chm ngn v nn kinh t Texas khng chnh xc cho lm,
do sau s bt n nh ban u xut pht t cc c sc du la OPEC, nn kinh t Texas gi y
ph thuc t hn vo nhng bin ng v gi du la.
17

D. E. Runkle, Vector Autoregression and Reality, Journal of Business and Economic Statistics (T hi quy
vct v hin thc, Tp ch Thng k Kinh doanh v Kinh t), tp 5, 1987, trang 437-454.
18
S. McNees, Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts,
Journal of Business and Economic Statistics (D bo s chnh xc ca cc k thut thay th: so snh cc d bo
kinh t v m Hoa K, Tp ch Thng k Kinh doanh v Kinh t, tp 4, 1986, trang 5-15; E. Mahmoud, Accuracy in
Forecasting: A Survey, Journal of Forecasting (Tnh chnh xc trong d bo: mt kho st, Tp ch D bo), tp 3,
1984, trang 139-159.
19
Thomas B. Fomby & Joseph G. Hirschberg, Texas in Transition: Dependence on Oil and the National Economy
Economic Review (Texas trong thi k chuyn i: Ph thuc vo du la v nn kinh t quc gia, Tp ch Kinh t),
Ngn hng d tr lin bang Dallas, 1/1989, trang 11-28.

Damodar N. Gujarati

17

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

BNG 22.3
c lng cc kt qu ca h VAR Texas bc hai*: 1974-I n 1988-I
Bin ph thuc : x (t l thay i phn trm ca gi du la thc)
Bin
tr
H s
Sai s chun
x
1
0,7054
0,1409
x

-0,3351

y
y
z
z

1
2
1
2

-1,3525
3,4371
3,4566
-4,8703

Hng s

0,1500
2,7013
2,4344
2,8048
2,7500
0,1696E1

-0,993E2

Mc ngha
0,8305E5
0,3027E1
0,6189
0,1645
0,2239
0,8304E1
0,5589

R 2 = 0,2982; Q(21) = 8,2618 (P = 0,9939)

Cc kim nh ngha chung, bin ph thuc = x
Bin
Thng k F
x
12,5536
y
1,3646
z
1,5693

Mc ngha
0,4283E4
0,2654
0,2188

Bin ph thuc : y (t l thay i phn trm thu dng lao ng phi nng nghip Texas)
Bin
tr
H s
Sai s chun
Mc ngha
x
1
0,2228E1
0,8759E2
0,1430E1
x

-0,188E2

0,6462

y
z
z
Hng s

2
1
2
0

0,9322E2
0,1678
0,1512
0,1742
0,1708
0,1053E1

0,4234E1
0,2655
-0,1715
-0,1602E2

0,8407
0,3554E3
0,7807
0,1342
0,3205
0,1351

R 2 = 0,6316; Q(21) = 21,5900 (P = 0,4234)

Cc kim nh ngha chung, bin ph thuc = y
Bin
Thng k F
x
3,6283
y
19,1440
z
1,1684

Mc ngha
0,3424E4
0,8287E6
0,3197

Bin ph thuc : z (t l thay i phn trm thu dng lao ng phi NN trong phn cn li ca Hoa K)
Bin
tr
H s
Sai s chun
Mc ngha
x
1
-0,8330E2
0,2299
0,6849E2
x

-0,4805

0,7226

z
Hng s

2
0

0,3635E2
0,3849

0,7289E2
0,1312
0,1182
0,1362
0,1336
0,8241E3

-0,1366E1
-0,2387E2

0,6202
0,5170E2
0,1828E2
0,3004E2
0,9190
0,5701E2

R 2 = 0,6503; Q(21) = 15,6182 (P = 0,7907)

Cc kim nh ngha chung, bin ph thuc = y
Bin
Thng k F
x
0,7396
y
8,2714
z
27,9609

Damodar N. Gujarati

18

Mc ngha
0,4827
0,8360E3
0,1000E7

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

NGUN: Economic Review (Tp ch Kinh t), Ngn hng D tr Lin Bang Dallas, 1/1989, trang 21.
* Hai s hng tr ca mi bin.

22.10 TM TT V KT LUN
1. Cc cch tip cn Box-Jenkins v VAR trong d bo kinh t l cc phng php thay th cho
cc m hnh n phng trnh v phng trnh ng thi truyn thng.
2. d bo cc gi tr ca mt chui thi gian, chin lc Box-Jenkins c bn c tin hnh
nh sau:
(a) Th nht, xem xt chui thi gian xem n c tnh dng hay khng. Bc ny c th c
thc hin bng cch tnh hm t tng quan (ACF) v hm t tng quan ring phn
(PACF) hay bng phn tch nghim n v chnh thc. Cc biu tng quan gn vi
ACF v PACF thng l cc cng c chn on bng th gic tt.
(b) Nu chui thi gian khng c tnh dng, ly sai phn ca n 1 hay nhiu ln lm cho
n c tnh dng.
(c) Sau , ACF v PACF ca chui thi gian c tnh dng c tnh tm xem chui thuc
loi t hi quy thun ty hay trung bnh trt thun ty hay l mt hn hp ca c hai. T
cc hng dn tng qut trong Bng 22.1, ta c th xc nh cc gi tr ca p v q trong
qu trnh ARMA lm ph hp m hnh. Trong giai on ny, m hnh ARMA(p, q) la
chn mang tnh th nghim.
(d) Tip theo, m hnh th nghim c c lng.
(e) Cc phn d t m hnh th nghim ny c xem xt tm xem chng c ngu nhin
thun ty hay khng. Nu c, m hnh th nghim c kh nng ph hp tt vi qu trnh
ngu nhin ang nghin cu. Nu khng, qu trnh c lp li t u. Do vy, phng
php Box-Jenkins l qu trnh lp li.
3. Phng php d bo VAR xem xt mt vi chui thi gian cng mt lc. Sau y l cc c
im ni bt ca VAR:
(a) N ng l mt h ng thi trong tt c cc bin c coi l bin ni sinh.
(b) Trong php lp m hnh VAR, gi tr ca mt bin c biu din l mt hm tuyn tnh
ca cc gi tr qu kh hay tr ca bin v tt c cc bin khc trong m hnh.
(c) Nu tng phng trnh cha cng mt s cc bin tr trong h, n c th c c lng
bng phng php OLS m khng cn s dng bt c phng php h thng no nh
bnh phng ti thiu hai giai on (2SLS) hay hi quy c v khng c lin quan
(SURE).
(d) S n gin ny ca phng php lp m hnh VAR c th l hn ch ca n. Khi cc
quan st c s lng hn ch nh trong hu ht cc phn tch kinh t, vic a ra mt s
tr ca tng bin c th s dng nhiu bc t do.20
20

Nhng ngi p dng cc thng k Bayes tin rng vn ny c th c ti thiu ha. Xem R. Litterman, A

Damodar N. Gujarati

19

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

(e) Nu c mt vi tr trong tng phng trnh, khng phi lc no cng c th d dng

gii thch tng h s, c bit l nu cc du ca cc h s thay i k tip nhau. V l do
ny, ngi ta xem xt hm phn ng y (IRF) trong php lp m hnh VAR tm xem
bin ph thuc phn ng nh th no i vi mt c sc trong mt hay nhiu phng
trnh ca h.
(f) C rt nhiu tranh lun v tnh u vit ca cc phng php d bo khc nhau. Cc
phng php d bo n phng trnh, phng trnh ng thi, Box-Jenkins v VAR c
c nhng ngi ng h ln gim pha. Tt c nhng g m ta c th ni l khng c mt
phng php n l no c th thch hp trong mi tnh hung. Nu c mt phng php
nh vy th khng cn phi tho lun cc phng php thay th khc nhau. Mt iu
chc chn l cc phng php lun Box-Jenkins v VAR gi y tr thnh mt phn
hp nht trong kinh t lng.
BI TP
Cu hi
22.1

u l cc phng php ch yu trong d bo kinh t?

22.2

u l nhng khc bit chnh gia phng php d bo kinh t phng trnh ng thi
v Box-Jenkins?

22.3

Trnh by s lc nhng bc chnh khi ng dng phng php Box-Jenkins trong d

bo.

22.4

iu g xy ra nu cc k thut Box-Jenkins c p dng i vi mt chui thi gian

khng c tnh dng?

22.5

u l nhng khc bit gia phng php Box-Jenkins v VAR trong d bo kinh t?

22.6

V kha cnh no VAR mang tnh l thuyt a?

22.7

Nu i tng ch yu l d bo, VAR s thc hin c nh gi mang tnh ph bnh

v pht biu ny.

22.8

Do s cc tr a vo m hnh VAR c th l mt vn ch quan, lm sao ta quyt

nh a vo bao nhiu tr trong mt ng dng c th?

22.9

Bnh lun pht biu sau: Box-Jenkins v VAR l cc v d n gin ca php tnh ton
khng c l thuyt.

22.10 u l s ni kt, nu c, gia cc kim nh nhn qu Granger v php lp m hnh

VAR?
Bi tp
22.11 Xem d liu v PDI (Personal Disposable Income, thu nhp kh dng c nhn) trong
Bng 21.1. Gi s bn mun lm ph hp mt m hnh ARIMA thch hp vo d liu
Statistical Approach to Economic Forecasting, Journal of Business and Economic Statistics (Mt cch tip cn
thng k i vi d bo kinh t, Tp ch Thng k Kinh doanh v Kinh t), tp 4, 1986, trang 1-4.

Damodar N. Gujarati

20

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi

Chng trnh ging dy kinh t Fulbright

Cc phng php nghin cu II

Bi c

Kinh t lng c s - 3rd ed.

Ch 22: Kinh t lng v chui thi gian II:
d bo vi m hnh ARIMA v VAR

ny. Trnh by s lc cc bc cn lm thc hin nhim v ny.

22.12 Lp li bi tp 22.11 cho d liu PCE (Personal Consumption Expenditure, chi tiu dng
c nhn) trong Bng 21.1.
22.13 Lp li bi tp 22.11 cho d liu li nhun trong Bng 21.1.
22.14 Lp li bi tp 22.11 cho d liu c tc trong Bng 21.1.
22.15 Trong bi tp 17.28, bn c gii thiu Tiu thc Schwarz xc nh khong thi gian
tr. Bn s dng tiu thc ny nh th no xc nh khong thi gian tr thch hp
trong mt m hnh VAR?
22.16 S dng d liu PCE v PDI trong Bng 21.1, xy dng m hnh VAR chui thi gian
hai chiu cho giai on 1970-I n 1990-IV. S dng m hnh ny d bo cc gi tr
ca nhng bin ny trong 4 qu ca nm 1991 v so snh cc gi tr d bo vi cc gi tr
thc t trong Bng 21.1.
22.17 Lp li bi tp 22.16, s dng d liu c tc v li nhun.
*22.18 S dng phn mm MICRO TSP 7.0 hay phn mm thng k khc v c lng hm
phn ng y trong mt giai on ti 8 tr cho m hnh VAR m bn thit lp
trong bi tp 22.16.
*22.19 Lp li bi tp 22.18 cho m hnh VAR m bn thit lp trong bi tp 22.17.
22.20 Tham chiu cc kt qu hi quy VAR trong Bng 22.3. T cc kim nh F khc nhau
c bo co trong ba hi quy trnh by trong bng, bn c th ni g v bn cht ca
quan h nhn qu trong ba bin?
22.21 Tip tc bi tp 20.20, bn c th on ti sao cc tc gi la chn biu din ba bin
trong m hnh bng t l thay i phn trm ch khng phi l cc s tuyt i ca cc
bin ny khng? (Gi : tnh dng).

Khng bt buc.

Damodar N. Gujarati

21

Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi