M HNH KINH T LNG NG:

M HNH T HI QUI V M HNH

PHN PHI TR

inh Cng Khi

Thng 05/2012

GII THIU CC M HNH

KINH T LNG NG

M hnh t hi qui

Yt X t Yt 1 ut

M hnh phn phi tr

Yt 0 X t 1 X t 1 2 X t 2 ut

Vai tr ca tr trong kinh t hc

Yt 0 X t 1 X t 1 .. k X t k ut

0 l s nhn ngn hn (short-run multiplier)

0 + 1+ l s nhn tc thi (intermediate multiplier)

i 0

i 0 1 .. k l s nhn di hn hay s nhn tng.

i*

i
i

c gi l i chun ha.

Vai tr ca tr (tt)

20

i 0

mi

L do ca tr

L do tm l

L do cng ngh

L do th ch

Cch tip cn Koyck ca m hnh

phn phi tr
Yt 0 X t 1 X t 1 .. k X t k ut (1)

Gi s k = 0k vi k=0, 1, 2, , v 0 < < 1 (t l gim)

Thay k vo (1) ta c

Yt = + 0 Xt + 0 Xt-1 + 0 2Xt-2 + + ut
Yt-1 = + 0 Xt-1 + 0 2Xt-2 + 0 3Xt-3 + + ut-1
Yt Yt-1 = (1 ) + 0 Xt + (ut ut-1)
Yt = (1 ) + 0 Xt + Yt-1 + vt

(vt = ut ut-1)

M hnh iu chnh k vng

(Adaptive Expectation Model)
Yt 0 1 X *t ut
trong Y = cu tin (s d tin thc)
X*= li sut di hn k vng (khng quan st c)
Gi s

X t* X t*1 ( X t X t*1 )

0<1 h s k vng

X t* X t (1 ) X t*1

M hnh iu chnh k vng (tt)

Yt = 0 + 1 [Xt + (1 )X*t-1]+ ut

Yt = 0 + 1 Xt + 1(1 ) X*t-1 + ut
Yt = 0 + 1 Xt + (1 )Yt-1 + ut (1 )ut-1
Yt = 0 + 1 Xt + (1 )Yt-1 + vt
trong vt = ut (1 )ut-1.

M hnh iu chnh ring phn

(Partial Adjustment Model)
Y *t 0 1 X t ut
trong Y* = tr lng vn mong c (khng quan st c)
X = gi tr sn lng
Gi s

Yt Yt 1 (Y *t Yt 1 ) It

0<1 (h s iu chnh)

Y t Yt* (1 )Yt 1

M hnh iu chnh ring phn(tt)

Yt = (0 + 1 Xt + ut) + (1 )Yt-1

Yt = 0 + 1 Xt + (1 )Yt-1 + ut

c lng cc m hnh t hi qui

Koyck:
Yt = (1 ) + 0 Xt + Yt-1 + (ut ut-1)

K vng iu chnh:
Yt = 0 + 1 Xt + (1 )Yt-1 + [ut (1 )ut-1]

iu chnh ring phn:

Yt = 0 + 1 Xt + (1 )Yt-1 + ut

c lng cc m hnh t hi qui

C 2 vn c lng cn xem xt

S hin din bin gii thch ngu nhin c lng b chch v

khng nht qun.
M hnh Koyck: Cov (Yt, ut ut-1) = -2.

C kh nng c tng quan chui

M hnh Koyck: E(vt ,vt-1) = -2

Phng php bin cng c (IV)

IV nhm khc phc vn bin gii thch ngu nhin (Yt-1)

Tm mt bin i din Z c tng quan cht vi Yt-1 nhng

khng c tng quan vi vt.

Liviantan xut s dng Xt-1 lm bin cng c

Kim nh tnh t tng quan

trong m hnh t hi qui

Kim nh Durbin h (H0: Khng c tng quan chui)

n
1 n[var( 2 )]

d
2

h ~ N(0,1)

Kim nh Breusche-Godfrey (kim nh nn t Lagrance)

Phn phi tr Almon (a thc)

i a0 aii a2i 2

i a0 aii a2i 2 a3i 3

Phn phi tr Almon (tt)

Yt 0 X t 1 X t 1 .. k X t k ut
Yt i 0 i X t i ut
k

Nu

i a0 aii a2i 2

Phn phi tr Almon (tt)

Yt i 0 (a0 a1i a2i 2 ) X t i ut
k

Yt a0 i 0 X t i a1 i 0 iX t i a2 i 0 i 2 X t i ut
k

Z 0t i 0 X t i
k

Z1t i 0 iX t i
k

Z 2t i 0 i 2 X t i
k

Yt a0 Z 0t a1Z1t a2 Z 2t ut
Ch : Xc nh tr k v bc m da trn AIC v SIC

Kim nh nhn qu Granger

GDP M hay M GDP?

c lng cp phng trnh

GDPt i 1 i M t i j 1 j GDPt j u1t

n

M t i 1 i M t i j 1 j GDPt j u2t
n

Xc nh tr da trn AIC v SIC

Kim nh nhn qu Granger

C tnh nhn qu mt chiu M GDP khi cc i 0 c

ngha thng k, nhng cc i khng c ngha thng k.

C tnh nhn qu mt chiu GDP M khi cc i khng c

ngha thng k, nhng cc i 0 c ngha thng k.

C tnh nhn qu song phng nu i v i 0 v c ngha

thng k.

GDP v M c lp nu cc h s c lng trn khng c

ngha thng k

Kim nh nhn qu Granger

Cc bc thc hin kim nh M GDP

Hi qui GDP theo cc s hng tr ca n, thu c RSSR.

Hi qui GDP bao gm c cc s hng tr ca M, thu RSSU.

Dng kim nh F kim nh gi thuyt H0: 1 == n = 0.

Nu chng ta bc b H0 th M GDP.

Lp li cc bc tng t kim nh GDP M?

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