Nhn dng chui thi gian

Chui thi gian c k vng thay i

Chui thi gian c phng sai thay i

Trn y l mt s v d minh ha gin n ca chui khng dng. C th thy, c im ca

nhng chui nh vy th thay i rt khc nhau theo thi gian. Do , tnh hiu qu ca vic d
bo hay hi quy s gp phi vn .
KIM NH TNH DNG
Gi s ta c mt chui d liu v gi go nh sau:

i vi vic khng nh mt chui c dng hay khng :

Nu ch quan st s khng chnh xc v phng php ny mang tnh ch quan cao.
Nu da vo vic tnh ton k vng, phng sai, hip phng sai s rt kh tm ra mt
chui tha mn c 3 iu kin ny v hu nh cc chui thi gian kinh t u khng dng
Do , ta s s dng phng php kim nh nghim n v xc nh mt chui c dng
hay khng. hiu c tng ca phng php ny, ta cn tm hiu nhng khi nim nh
nhiu trng, h s t tng quan, bc ngu nhin v gi thit kim nh
1.Nhiu trng
Trong m hnh hi quy c mt thnh phn c gi l nhiu trng, k hiu l

)
( )
(
)

Nh vy, chui Yt = Ut l mt chui dng

2. H s t tng quan
Mt chui Yt bt k c

( )
( )
(

(
)

)
[(

T cc gi tr ny, ta tnh c

)(

)]

, c c im:

 H s t tng quan tng th bc k

(

)(

Nu chia t v mu cho n, ta c
( )
Lu
Trn thc t, ta khng c h s t tng quan tng th m ch c:
H s t tng quan mu
)(

)
)

3. Bc ngu nhin
Chui Yt c gi l bc ngu nhin khi

(trong

Lc , ta s c:
K vng

( )

Phng sai

Suy ra
( )

(
( )

Vy chui

)
(

l mt chui khng dng do c phng sai thay i theo t

Nhng sai phn bc I ca bc ngu nhin

ny l mt chui dng

l nhiu trng)

 Mt bc ngu nhin Yt th s khng dng, v sai phn bc I l mt chui dng.

4.Xy dng gi thit
Xt mt chui thi gian Yt bt k, c dng hi quy n gin nh sau
(1)
Trong

l nhiu trng

T (1) suy ra
(
Nu

(2)

th Yt l mt bc ngu nhin nn s khng dng

Do , kt lun chui Yt l dng hay khng dng, ta s kim nh gi thit sau

(
(

)
)

Vi mt chui Yt , ta c th tnh c v ( ), t tnh ra gi tr kim nh

nu | | | | th ta bc b gi thit H0 , ngha l chui Yt l chui dng.
iu ny c th hin trn Eview nh sau

( ),

| | c 3 mc ngha 1%, 5% v 10%. Ta chp nhn gi thit

Do | |
tc y l chui khng dng.

Kim nh DF v ADF c p dng vi cc dng m hnh hi quy nh:

(thm h s chn)
(thm ng xu th ngu nhin)
(thm tng quan chui ca ut)

IV. X L CHUI KHNG DNG

Mt chui thi gian Yt dng hay khng dng th u c th c biu din theo mt trong cc
dng c cp trn.
Khi chui Yt khng dng, tc l
th Yt s l mt bc ngu nhin v c sai phn bc I (
) l mt chui dng

Gi

l ton t sai phn

Sai phn cp I, k hiu
Sai phn cp II, k hiu
Sai phn cp k, k hiu

( )
( )

(
(

Chui Yt c gi l lin kt bc I nu sai phn cp I l chui dng, k hiu I(1)

Chui Yt c gi l lin kt bc II nu sai phn cp II l chui dng, k hiu I(2)
Chui Yt c gi l lin kt bc d nu sai phn cp d l chui dng, k hiu I(d)
Nu d=0 th Yt l chui dng.
Nu chui Yt khng dng (vd chui gi go), th ta s ly sai phn cp I v kim tra tnh dng
ca chui sai phn cp I ny. Nu chui sai phn cp I khng dng th ta tin hnh ly sai phn
cp II v kim tra tnh dng. Qu trnh ny c thc hin cho n khi chn ra c mt chui
dng sai phn cp d no . Trn thc t, mt chui d liu kinh t thng dng sai phn
cp I hoc cp II.

V d : ly sai phn cp I ca chui gi go

Xem xt tnh dng bng kim nh nghim n v, kt qu nh sau

| | c 3 mc ngha 1%, 5% v 10%.Ta bc b gi thit

Do | |
tc y l chui dng