Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.

Bi c Ch.21: Chui thi gian trong kinh t lng

_________________

Phn V
_________________

CHUI THI GIAN

TRONG KINH T LNG

C c d liu ca chui thi gian v ang c s dng mt cch thng xuyn v su rng,

trong cc nghin cu thc nghim, ti mc cc nh kinh t lng gn y phi bt u ch

mt cch k lng ti cc d liu ny. Trong Chng 1 chng ta nhn thy rng mt gi nh
ngm, to c s cho vic phn tch hi qui lin quan ti cc d liu ca chui thi gian, l cc d
liu phi l dng. Nu khng nh vy th phng thc kim nh gi thuyt thng thng
da trn t, F, cc kim nh khi bnh phng (X2) v tng t c th tr nn khng ng tin cy.
Trong cc Chng 21 v 22 chng ta s xem xt k hn cc d liu ca chui thi gian.

Trong Chng 21, u tin chng ta xc nh chui thi gian dng v sau pht trin
cc kim nh tm ra xem mt chui thi gian c l dng hay khng. V vn ny chng ta
lm quen vi mt s khi nim lin quan, th d nh nghim n v, bc ngu nhin v chui
thi gian kt hp. Sau chng ta s phn bit s khc nhau gia chui thi gian vi xu hng
dng (TS) v chui dng vi sai phn (DS) v ch ra cc ng dng thc t ca chng. Mt vn
thng gp trong lnh vc hi qui lin quan ti cc d liu ca chui thi gian l hin thng
Hi qui khng xc thc v chng ta s bn v cc ngha thc tin ca n. Tip theo, chng ta
s lm quen vi khi nim ng kt hp v ch ra tm quan trng ca n i vi nghin cu
thc nghim. Tt c nhng khi nim ny s c minh ha mt cch r rng.

Chng 22 chng ta tp trung ch yu vo vic d bo s dng cc d liu ca chui

thi gian. Vi gi nh rng mt chui thi gian l dng hoc c th tr nn dng bng cc
chuyn ha thch hp, chng ta s chng t qu trnh m hnh ha ARIMA, c bit ti
nh Box v Jenkins, c th c s dng cho vic d bo nh th no. Chng ny chng ta
cng bn ti mt phng php d bo khc, c bit n vi tn gi l t hi qui vector
(VAR), v xem xt cc u im ca n so vi cc m hnh d bo kinh t lng truyn thng
dng h phng trnh ng thi. Chng ta cng s th hin, vi cc th d thch hp, cc m hnh
d bo ARIMA v VAR c thc hin nh th no.

Damodar N. Gujarati 1 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Hai chng ny mi ch cp mt cch cn bn v chui thi gian ca lnh vc kinh t

lng. y l mt trong cc phm vi nng ng nht ca nghin cu kinh t lng v c mt
lot cc cun sch chuyn ngnh vit v ti ny. Mc ch ca chng ta trong phm vi hai
chng ny l ch nhm gii thiu vi bn c th gii hp dn ca chui thi gian trong lnh
vc kinh t lng.

Damodar N. Gujarati 2 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

CHNG
21

CHUI THI GIAN

TRONG KINH T LNG. PHN I:

TNH DNG (TNH TI),

CC NGHIM N V,
V TNH NG KT HP

Nh nu Chng 1, mt trong hai d liu quan trng s dng trong nghin cu thc nghim
l d liu ca chui thi gian. chng ny v chng tip theo chng ta s xem xt k hn
nhng d liu v chng t ra mt lot cc thch thc i vi cc nh kinh t lng v cc
nh thc nghim.

Th nht, cng tc thc nghim da vo d liu chui (thi gian) gi nh rng chui thi
gian c cp ti phi l dng. Mc d Chng I chng ta lm quen vi quan im trc
gic ca tnh dng, chng ny chng ta s xem xt mt cch k lng hn. C th hn l
chng ta s c gng xc nh tnh dng c ngha l g v ti sao ta li phi bi ri khi mt
chui thi gian khng phi l chui dng.

Th hai, khi hi qui mt bin ca mt chui thi gian i vi mt bin ca chui thi
gian khc, ta thng thu c gi tr R2 rt cao, mc d khng h c mi lin h c ngha no
gia chng. Tnh hung ny l th d cho vn Hi qui khng xc thc (Hy xem mc 8.2).
Vn ny xut hin bi v nu nh c hai chui thi gian c xt n u th hin cc xu
hng mnh (xu hng ln hoc xung lin tc), th R2 c gi tr cao l do s hin din ca xu
hng loi ny, ch khng phi do mi quan h thc ca hai chui thi gian . Do , iu
quan trng l tm ra c mi quan h gia cc bin s kinh t l thc hay gi. Chng ta s thy
chng ny Hi qui khng xc thc c th xy ra nh th no nu cc chui thi gian khng
phi l dng.

Th ba, cc m hnh hi qui c cha cc d liu ca chui thi gian thng c dng
cho cng tc d bo. T nhng lun im trn, ta cn phi bit xem liu vic d bo nh th c
ng tin cy hay khng khi m cc chui thi gian c s dng khng phi l chui dng.

Damodar N. Gujarati 3 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Trong phn cn li ca chng ny chng ta s xem xt k hn v tnh dng ca mt

chui thi gian.

21.1 XEM XT MT VI CHUI THI GIAN C TRNG CA NN KINH T

HOA K

khi u, chng ta hy xem xt cc d liu ca chui thi gian nu trong Bng 21.1, cc
d liu v 05 chui thi gian ca nn kinh t Hoa k c trnh by cho tng Qu ca cc nm
1970 n 1991. C 88 quan st c ghi nhn cho mi chui thi gian. Cc chui ny l Tng
Sn phm X hi (GDP), Thu nhp Kh dng C nhn (PDI), Chi ph Tiu dng C nhn (PCE),
Li nhun v C tc.

Hnh 21.1 th hin th c dng t cc d liu ca chui GDP, PCI v PCE rt ra t

Bng 21.1 v Hnh 21.2 th hin hai chui thi gian cn li.

Mt th c vch ra da vo cc d liu cho nh vy thng l bc u tin

trong vic phn tch i vi bt k chui thi gian no. n tng u tin m chng ta c c
t cc chui thi gian c v thnh th trong cc Hnh 21.1 v 21.2 l tt c cc chui
dng nh u c xu hng tng, mc d xu hng ny khng phi l mt th duy tng, c
bit l i vi chui thi gian v Li nhun. Cc chui thi gian ny thc cht l cc th d v
cc chui thi gian khng dng. iu ny c ngha l g? Cu tr li c nu di y.

21.2. QU TRNH NGU NHIN DNG

D liu ca bt k chui thi gian no u c th c coi l c to ra nh mt qu trnh

ngu nhin v mt tp hp d liu c th, nh nu trong Bng 21.1, c th c coi l mt
kt qu (c bit), tc l mt mu, ca qu trnh ngu nhin . S khc bit gia qu trnh ngu
nhin v kt qu ca n ging nh s khc bit gia tng th v mu trong d liu i chiu.
Cng nh chng ta s dng cc d liu mu suy ra cc c lng v mt tp hp, th trong
lnh vc chui thi gian, chng ta dng kt qu suy ra cc c lng v qu trnh ngu nhin
. Mt dng ca qu trnh ngu nhin c cc nh phn tch v chui thi gian c bit quan
tm v xem xt k lng l ci c gi l Qu trnh ngu nhin dng.

Damodar N. Gujarati 4 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Ni chung, mt qu trnh ngu nhin c coi l dng nu nh trung bnh v phng sai ca n
khng i theo thi gian v gi tr ca ng phng sai gia hai thi on ch ph thuc vo
khong cch v tr v thi gian gia hai thi on ny ch khng ph thuc vo thi im
thc t m ng phng sai c tnh.1

1
Trong cc ti liu v chui thi gian, mt qu trnh ngu nhin nh vt c coi l mt qu trnh ngu nhin dng
yu. i vi mc ch ca Chng ny, v trong hu ht cc tnh hung thc tin quan trng, dng dng ny s p
ng.

Damodar N. Gujarati 5 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Bng 21.1
S liu Kinh t V m Hoa K, Qu I/1970 IV/1991

Qu GDP PDI PCE Li nhun C tc

1970-I 2,872.8 1 990.6 1,800.5 44.7 24.5
1970-II 2,860.3 2,020.1 1,807.5 44.4 23.9
1970-III 2,896.6 2,045.3 1,824.7 44.9 23.3
1970-IV 2,873.7 2,045.2 1,821.2 42.1 23.1
1971-I 2,942.9 2,073.9 1,849.9 48.8 23.8
1971-II 2,947.4 2,098.0 1,863.5 50.7 23.7
1971-III 2,966.0 2,106.6 1,876.9 54.2 23.8
1971-IV 2,980.8 2,121.1 1,904.6 55.7 23.7
1972-I 3,037.3 2,129.7 1,929.3 59.4 25.0
1972-II 3,089.7 2,149.1 1,963.3 60.1 25.5
1972-III 3,125.8 2,193.9 1,989.1 62.8 26,1
1972-IV 3,175.5 2,272.0 2,032.1 68.3 26.5
1973-I 3,253.3 2,300.7 2,063.9 79.1 27.0
1973-II 3,267.6 2,315.2 2,062.0 81.2 27.8
1973-III 3,264.3 2,337.9 2,073.7 81.3 28.3
1973-IV 3,289.1 2,382.7 2,067.4 85.0 29.4
1974-1 3,259.4 2,334.7 2,050.8 89.0 29.8
1974-Il 3,267.6 2,304.5 2,059.0 91.2 30.4
1974-III 3,239.1 2,315.0 2,065.5 97.1 30.9
1974-IV 3,226.4 2,313.7 2,039.9 86.8 30.5
1975-1 3,154.0 2,282.5 2,051.8 75.8 30.0
1975-II 3,190.4 2,390.3 2,086.9 81.0 29.7
1975-III 3,249.9 2,354.4 2,114.4 97.8 30,1
1975-IV 3,292.5 2,389.4 2,137.0 103.4 30.6
1976-1 3,356.7 2,424.5 2,179.3 108.4 32.6
1976-II 3,369.2 2,434.9 2,194.7 109.2 35.0
1976-III 3,381.0 2,444.7 2,213.0 110.0 36.6
1976-IV 3,416.3 2,459.5 2,242.0 110.3 38.3
1977-1 3,466.4 2,463.0 2,271.3 121.5 39.2
1977-11 3,525.0 2,490.3 2,280.8 129.7 40.0
1977-III 3,574.4 2,541.0 2,302.6 135.1 41.4
1977-IV 3,567.2 2,556.2 2,331.6 134.8 42.4
1978-1 3,591.8 2,587.3 2,347,1 137.5 43.5
1978-lI 3,707.0 2,631.9 2,394.0 154.0 44.5
1978-III 3,735.6 ?,653.2 2,404.5 158.0 46.6
1978-1'/ 3,779.6 2,680.9 2,421.6 167.8 48.9
1979-1 3,780.8 2,699.2 2,437.9 168.2 50.5
1979-II 3,784.3 2,697.6 2,435.4 174,1 51.8
1 979-III 3,807.5 2,715.3 2,454.7 178,1 52.7
1979-IV 3,814.6 2,72'8.1 2,465.4 173A 54.5
1980-1 3,830.8 2,742.9 2,464.6 174.3 57.6
1980-II 3,732.6 2 692.0 2,414.2 144.5 58.7
1980-III 3,733.5 2,722.5 2,440.3 151.0 59.3
1980-IV 3,808.5 2,777.0 2,469.2 154.6 60.5

Damodar N. Gujarati 6 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Bng 21.1 (Tip theo)

Qu GDP PDI PCE Li nhun C tc

1981-1 3,860.5 2,783.7 2,475.5 159.5 64.0
1981-II 3,844.4 2.776.7 2,476,1 143.7 68.4
1981-III 3.864.5 2.814,1 2.487.4 147.6 71.9
1981-IV 3,803.1 2.808.8 2,468.6 140.3 72.4
1982-1 3 756.1 2 795.0 2,484.0 114.4 70.0
1982-II 3,771.1 2,824.8 2,488.9 114.0 68.4
1982-Ill 3 754.4 2,829.0 2,502.5 114.6 69.2
1982-IV 3,759.6 2.832.6 2,539.3 109.9 72.5
1983-1 3,783.5 2,843.6 2,556.5 113.6 77.0
1983-II 3.886.5 2,867.0 2,604.0 133.0 80.5
1983-III 3.944.4 2,903.0 2,639.0 145.7 83.1
1983-IV 4,012,1 2,960.6 2,678.2 141.6 84.2
1984-1 4,089.5 3,033.2 2,703.8 155.1 83.3
1984-II 4,144.0 3,065.9 2,?41,1 152.6 82.2
1984-III 4,166.4 3 102.7 2,754.6 141.8 81.7
1984-IV 4 194.2 3,l18.5 2,784.8 136.3 83.4
1985-1 4,221.8 3 123.6 2 824.9 125.2 87.2
1985-II. 4.254.8 3,189.6 2 849.7 124.8 90.8
1985-III 4.309.0 3,156.5 2,893.3 129.8 94,1
1985-IV 4.333.5 3,178.7 2,895.1 134.2 97.4
1936-1 4,390.5 3,227.5 2,922.4 109.2 105.I
1986-II 4,387.7 3.281.4 2,947.9 106.0 110.7
1936-III 4 412.6 3,272.6 2,993.7 111.0 112.3
1986-IV 4 427.1 3,266.2 3,012.5 119.2 111.0
1987-1 4,460.0 3,295.2 3,011.5 140.2 108.0
1987-II 4 515.3 3 241.7 3 046.8 157.9 105.5
1987-III 4,559.3 3,235.7 3,075.8 169,1 105.1
1987-IV 4.625.5 3,335.3 3 074.6 176.0 106.3
1988-1 4,655.3 3 330.1 3 123.2 195.5 109.6
1988-II 4 704.8 3,386.3 3,147.8 207.2 113.3
1988-III 4 734.5 3 407.5 3,170.6 213.4 117.5
1988-IV 4 779.7 3.443.1 3,202.9 226.0 121.0
1989-1 4 809.8 3,473.9 3,200.9 221.3 124.6
1989-Il 4 832.4 3 450.9 3,203.6 206.2 127.1
1989-III 4,845.6 3.466.9 3.241.1 195.7 129.1
1989-IV 4,859.7 3 493.0 3 241.6 203.0 130.7
1990-1 4,880.8 3,531.4 3 258.8 199.1 132.3
1990-II 4~900.3 3.545.3 3,253.6 193.7 132.5
1990-III 4.903.3 3 547.0 3 231.2 196.3 133.8
1990-Iil 4.855.1 3 529.5 3,251.8 199.0 136.2
1991-1 4 824.0 3.514.8 3 241.1 189.7 137.8
1991-II 4,840.? 3 537.4 3,252.4 182.7 136.7
1991-III 4 862.7 3 539.9 3.271.2 189.6 138,1
1991-IV 4.868.0 3.547.5 3,271.1 190.3 138.5

Ghi ch: GDP (Tng sn phm x hi), t la thi gi 1987, trang A-96.
PDI (Thu nhp kh dng c nhn), t la thi gi 1987, trang A-112

Damodar N. Gujarati 7 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

PCE (Chi ph tiu dng c nhn), t la thi gi 1987, trang A-96.

Li nhun (Li nhun cng ty sau thu), t la thi gi 1987, trang A-110
C tc (Cc khon chi tr c tc cng ty tnh), t la thi gi 1987, trang A-110.
Ngun: B Thng mi Hoa K, Cc Phn tch Kinh t, Bo co Thng k Kinh doanh,
1963-1991, ra thng 6/1992.

minh gii cho lun im trn. Hy coi Yt l mt chui thi gian ngu nhin c cc tnh
cht sau:

Trung bnh: E (Yt) = (21.2.1)

Phng sai: Var (Yt) = E (Yt - )2 = 2 (21.2.2)
ng phng sai: k = E [(Yt - ) Yt+k - )] (21.2.3)

y, k - ng phng sai (hoc s ng phng sai) ti tr k - l phng sai gia cc gi

tr Yt v Yt+k, tc l gia hai gi tr ca Y cc thi on cch qung k. Nu k=0, chng ta c o,
n gin l phng sai ca Y (=2); nu k = 1, th 1 l ng phng sai gia hai gi tr k cn
nhau ca Y, tc l dng ng phng sai chng ta gp Chng 12 khi chng ta trnh by v
ch t tng quan.

Gi s chng ta dch chuyn chui Y ban u t Yt n Yt+m. V nu Yt l dng, th trung

bnh, phng sai v cc t ng phng sai ca Yt+m phi ng bng trung bnh, phng sai v
cc t ng phng sai ca Yt. Tm li, nu mt chui thi gian l dng, th trung bnh, phng
sai v t ng phng sai (ti cc tr khc nhau) s gi nguyn khng i d cho chng c
xc nh vo thi im no i na.

Nu mt chui thi gian khng phi l dng nh theo cch hiu va xc nh trn, th
n c gi l chui thi gian khng dng (xin lu l rng, chng ta ang trnh by v tnh
dng yu); i khi tnh khng dng c c l do s dch chuyn ca trung bnh.

th hin tt c iu ny, hy xem Hnh 21.3. Hnh 21.3a cho thy t sut sinh li thc
ca ch s c phiu S&P 500 i vi cc quan st hng nm t nm 1972 n 1986, v Hnh
21.3b cho thy khong bin thin li sut Ngn hng ti Anh quc (s chnh lch gia li sut
ngn hn v di hn) hng qu ca giai on 1952-1988. Hnh u tin l mt th d v chui
thi gian dng v hnh th 2 - chui thi gian khng dng.

Khi xt n cc chui thi gian ca nn kinh t Hoa k trong cc Hnh 21.1 v 21.2,
chng ta c cm tng rng cc chui thi gian ny l khng dng v b ngoi, t nht trung
bnh, phng sai v cc t ng phng sai ca tng chui ring bit dng nh khng phi l
bt bin theo thi gian. Lm sao m chng ta c th chc chn l Hnh 21.3a th hin mt chui
thi gian dng v cc Hnh 21.3b, 21.1 v 21.2 li th hin cc chui thi gian khng dng?
Chng ta s tho lun v cu hi ny phn tip theo.

Damodar N. Gujarati 8 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

21.3 KIM NH TNH DNG DA VO BIU TNG QUAN.

Mt cch kim nh n gin tnh dng l dng hm t tng quan (ACF). ACF vi tr k,
k hiu bng k, c xc nh nh sau:

k
k
0
(21.3.1)
ong phng sai o tre k

phng sai

Hy lu rng nu k = 0, th 0 = 1 (ti sao?)

Do c ng phng sai ln phng sai c tnh bng cng mt n v o, nn k l mt

i lng khng c n v o, l trung tnh, l s. N nm trong khong t -1 n +1, ging nh
bt k mt h s tng quan no. Nu chng ta v th k theo k, th th chng ta c c s
l biu tng quan tng th.

V trong thc t chng ta ch c mt kt qu (tc l mu) ca mt qu trnh ngu nhin,

nn chng ta ch c th tnh ton hm t tng quan mu, k. tnh hm ny, chng ta phi
tm ng phng sai mu tr k, k v phng sai mu o theo biu thc di y:2

k
(Y t Y )(Y t k Y )
n (21.3.2)

0
(Y t Y ) 2
(21.3.3)
n

y, n l ln ca mu v Y l trung bnh mu.

Do hm t tng quan mu ti tr k s l:

k
k (21.3.4)
0

hm ny n gin l t l gia ng phng sai mu vi phng sai mu. th th hin k

tr k c gi l Biu tng quan mu.

2
Ni mt cch cht ch, chng ta phi chia ng phng sai mu tr k cho (n-k) v phng sai mu cho (n-1)
hn l chia cho n (ti sao?). Nhng cc mu ln iu ny khng gy ra khc bit my.

Damodar N. Gujarati 9 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

HNH 21.3
Cc th d v chui thi gian tnh ti v khng tnh ti:
(a) Ch s S&P 500 (t sut sinh li thc 1872-1986): l mt chui thi gian tnh ti.
(b) Bin thin li sut ngn hng ti Anh quc (theo qu: I/1952IV/1988): mt chui
thi gian khng tnh ti.
(Ngun: Terence C. Mills. M hnh ho Kinh t lng ca cc Chui thi gian Ti chnh,
NXB DHTH Cambridge, New York, 1993, trang 25 v 27.)

Hnh 21.4 th hin biu tng quan mu ca chui thi gian GDP cho trong Bng
21.1, c c t chng trnh MICRO TSP phin bn 7.0. Chng ta trnh by biu tng
quan ny vi 25 tr.3 Liu biu tng quan mu Hnh 21.4 c ch cho ta thy chui thi
gian GDP l dng hay khng? Mt c tnh ni bt ca biu tng quan mu ny l n c
bt u vi gi tr rt cao (khong 0,97 tr) v gim xung mt cch rt u n. Ngay c

3
Mc d c cc kim nh v di ti a ca tr c s dng trong cc tnh ton, trong thc t cc tr ti
1/3 ln ca mu thng c s dng. Tuy nhin, vn ny rt thng xuyn l ch quan.

Damodar N. Gujarati 10 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

tr 14 (tc l tng quan gia cc GDP cch nhau 14 qu) h s t tng quan vn cn ln -
0,5. Dng tng quan kiu ny thng l mt du hiu cho thy rng chui thi gian l khng
dng, ngc li nu nh mt qu trnh l hon ton ngu nhin th t tng quan ca n s bng
khng (zero) bt k tr ln hn khng no.

ngha thng k ca bt k k no u c th u c th c nh gi bi sai s chun

ca n. Bartlett ch ra rng nu mt chui thi gian l thun ty ngu nhin, tc l, n th hin
(white noise) (Hy xem Phn 21.4), th cc h s t tng quan mu s c phn b gn nh
chun vi trung bnh bng 0 v phng sai = 1/n, y n l ln ca mu.4 i vi d liu ca

4
M.S. Barlett, V vic xc nh l thuyt cc tnh cht ca mu thuc chui thi gian t tng quan, Tp ch ca
Hi Thng k Hong gia, lot B, Quyn 27, 1946, trang 27-41 (on the theoretical Specification of Sampling
properties of Autocorrelated Time Series, Journal of the Royal Statistical Society, series B, Vol.27, 1946, trang 27-
41.

Damodar N. Gujarati 11 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

chng ta: n = 88, cng c ngha l l phng sai = 1/88 hoc sai s chun = 1/88 = 0,1066. Nh
vy, theo cc tnh cht ca mt phn b chun ha th khong tin cy 95% i vi k bt k s
bng 1,96 (0,1066) = 0,2089 - gi tr hai pha ca 0 (zero). Do vy, nu gi tr c tnh ca
k nm trong khong (-0,2089; 0,2089), chng ta s khng loi tr gi thuyt rng gi tr tht ca
k = 0. Tuy nhin, nu gi tr c tnh ny nm ngoi khong ni trn, chng ta c th loi tr gi
thuyt cho rng gi tr tht ca k = 0. Kong tin cy 95% ny c th hin bng hai ng
thng lin tc trong Hnh 21.4.

Bn c th thy rng tt c cc h s k ca cc tr ti k = 23 trong Hnh 21.4 u c

ngha thng k c bit, tc l khc 0 rt nhiu.

kim nh gi thuyt chung cho rng tt c cc h s t tng quan k ng thi

bng 0, ta c th s dng Tr thng k Q do Box v Pierce lp nn. Hm ny c xc nh nh
sau:

m
Q n k2 (21.3.5)
k 1

y, n = ln ca mu
m = thi lng ca tr

Tr thng k Q c phn b gn ging nh phn b khi bnh phng vi mdf. Trong khi p
dng, nu nh gi tr tnh c ca Q vt qu gi tr gng/ti hn ca Q theo bng khi bnh
phng mt mc chn, ta c th loi tr gi thuyt khng - theo tt c k = 0; t nht phi
c mt vi k 0.

Mt bin th ca Tr thng k Q dng Box-Pierce l tr thng k Ljung-Box (LB) c

xc nh di y:5

m
k2
LB n (n 2) ~ m2
(21.3.6)
k 1 n k

Mc d trong cc mu ln, c tr thng k Q ln tr thng k LB u tun theo phn b khi bnh

phng vi mdf, tr thng LB c coi l c cc tnh cht tt hn (mnh/hu hiu hn, v mt
thng k) i vi cc mu nh so vi tr thng k Q.

i vi d liu GDP ca chng ta, tr thng k Q vi 25 tr l vo khong 793 v tr

thng k LB - 891, c hai gi tr ny l rt ng k; cc gi tr p rt ra cc gi tr khi bnh
phng nh vy l gn nh bng 0. Do , c th kt lun rng hng phi tt c k ca d liu
GDP ca chng ta u bng 0.

5
G.M. Ljung v G.P.E.Box, V mt cch o lng khng thch hp trong cc m hnh chui thi gian,
Biometrika, Quyn 66, 1978, trang 66-72.

Damodar N. Gujarati 12 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Theo biu tng quan ny, chng ta i n kt lun tng th rng chui thi gian GDP
nu Bng 21.1 khng phi l chui dng.

21.4 KIM NH NGHIM N V I VI TNH DNG.

Mt cch kim nh tnh dng khc c ph bin gn y l kim nh nghim n v cch d

dng nht gii thiu v kim nh ny l xem xt m hnh sau:

Yt = Yt-1 + ut (21.4.1)

y Ut l s hng ch sai s ngu nhin xut pht t cc gi nh c in rng n c gi tr

trung bnh bng 0, phng sai 2 l hng s v khng t tng quan. S hng sai s ny cn
c bit ti di ci tn sai s nhiu ngu nhin (while noise error term) theo thut ng khoa
hc ng dng (engineering).6 T Chng 12 bn c s nhn ra rng Phng trnh (21.4.1) l
mt hi qui bc mt, hoc AR(1), m chng ta hi qui gi tr ca Y ti thi im t da trn
gi tr ca n ti thi im (t-1). V nu h s ca Yt-1 trong thc t bng 1, th chng ta ang
phi i mt vi ci gi l vn nghim n v, tc l tnh hung khng dng.7 Do vy nu
chng ta thc hin hi qui

Yt = Yt-1 + ut (21.4.2)

v tm ra rng = 1, th chng ta c th ni rng bin ngu nhin Yt c nghim n v. Trong

kinh t lng (v chui thi gian), mt chui thi gian c nghim n v c gi l bc ngu
nhin (chui thi gian). V mt bc ngu nhin l mt th d ca chui thi gian khng dng.8
V d, ta thy cc gi bn ti sn, nh cc gi c phiu chng hn, tun theo mt bc ngu
nhin, tc l, cc gi ny khng dng. Trong Ph lc ca chng ny chng ta thy rng mt
bc ngu nhin thc cht i din cho mt chui thi gian khng dng.

Phng trnh (24.1.2) thng c trnh by mt dng khc nhau sau:

Yt = ( - 1) Yt-1 + ut
= Yt-1 + ut (21.4.3)

6
Hy nh rng nu Ut khng ch l khng t tng quan m cn l c lp, th s hng sai s nh th c gi l
(strictly white noise). Xin cng lu rng nu s hng sai s l t tng quan, nh chng ta s ch ra sau y trong
phn trnh by v Kim nh Dickey-Fuller gia tng (ADF), th chng ta c th d dng chp nhn c trng hp
bt ng ny.
7
Mt quan im k thut: Ta c th vit (21.4.1) thnh Y t - Yt-1 = Ut. Tip n s dng ton t trn L sao cho
LYt = Yt-1. L2Yt = Yt-2 v tng t, ta c th vit (21.4.1) thnh (1-L) Yt = Ut. Thut ng nghim n v l ni ti
nghim ca a thc trong ton t tr.
8
Bc ngu nhin thng c so snh vi bc i ca k say ru khi ra khi qun ru, ngi say bc mt
khong cch ngu nhin Ut vo thi im t, v nu ngi ny c tip tc bc i mi, th k cui cng s cng
dt ra xa hn khi qun ru. iu tng t cng c dng ni v gi c phiu. Gi c phiu hm nay bng
gi c phiu hm qua cng vi mt c sc ngu nhin.

Damodar N. Gujarati 13 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

y = ( - 1) v , nh ta bit, l hm sai phn bc 1 c gii thiu Chng 12. Hy

lu rng Yt = (Yt - Yt-1). Vi nh ngha ny, ngi c c th thy mt cch d dng l
(21.4.2) v (21.4.3) l nh nhau. Tuy nhin, lc ny gi thuyt khng li l = 0 (ti sao?)

Nu thc s bng 0, ta c th vit (21.4.3) nh sau:

Yt = (Yt - Yt-1) = ut (21.4.4)

iu m phng trnh (21.4.4) ni ln l cc sai Phn bc 1 ca mt chui thi gian dng bc

ngu nhin (=ut) l mt chui thi gian dng do c gi nh rng ut l thun ty ngu nhin.

Vy l, nu nh mt chui thi gian c ly sai phn mt ln v chui sai phn l

dng, th ta c th ni rng chui ban u (dng bc ngu nhin) l mt chui kt hp bc1
c k hiu l I(1). Tng t nh vy, nu nh chui ban u phi c ly sai phn hai ln
(tc l ly sai phn bc 1 ca sai phn bc 1) tr thnh dng, th chui ban u c gi l
chui kt hp bc 2, hoc I(2). Tm li, nu mt chui thi gian phi c ly sai phn d ln,
th n s l chui kt hp bc d, hoc I(d). Do vy, bt k lc no nu ta c mt chui thi gian
kt hp bc 1 hoc ln hn, th c ngha l ta c mt chui thi gian khng dng. Theo qui c,
nu d = 0 th qu trnh I(o) h qu s th hin mt chui thi gian dng. Chng ta s s dng cc
thut ng qu trnh dng v qu trnh I(0) v[I(0) process] nh cc t ng ngha.

bit c liu chui thi gian Yt (chng hn nh GDP) c phi l chui khng dng
hay khng, hy thc hin hi qui (21.4.2) v kim tra xem c bng 1 v mt thng k khng,
hoc tng ng nh vy, hy c lng (21.4.3) v kim tra xem liu c phi =0 hay khng
trn c s tr thng k t. Tht khng may l gi tr t c c bng cch ny li khng tun theo
phn b students t ngay c i vi cc mu ln.

Theo gi thuyt khng rng = 1, tr thng k t c tnh theo qui c c bit ti nh

l tr thng k (tau) [ (tau statistic)], m cc gi tr ti hn ca n c sp thnh bng bi
Dickey v Fuller trn c s m phng Monte Carlo.9 Theo ti liu ny, kim nh Tau cn c
bit ti nh l kim nh Dickey-Fuller (DF), v s knh trng i vi nhng ngi pht
minh ra n. Hy lu rng nu gi thuyt khng rng = 1 b bc b (tc l, chui thi gian l
dng), th chng ta c th s dng kim nh t thng thng (students).

dng n gin nht ca n, chng ta c lng hi qui nh (21.4.2), sau chia h s

c c lng cho sai s chun ca n tnh tr thng k Dickey-Fuller v i chiu
vi cc bng Dickey-Fuller xem gi thuyt 0 = 1 c b bc b hay khng. Tuy nhin, cc
bng ny cha phi l hon ton y , chng c m rng mt cch ng k bi

9
D.A. Dickey v W.A. Fuller, Phn b ca cc hm c lng i vi cc chui thi gian t hi qui vi nghim
n v, Tp ch ca Hip hi Thng k Hoa K, Quyn 74, 1979, trang 427-431. Hy xem thm Nhp mn v
chui thi gian thng k ca W.A. Fuller, NXB John Wiley v cc con, New York, 1976.

Damodar N. Gujarati 14 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Mackinnon thng qua cc m phng Monte Carlo.10 Trong s cc chng trnh phn mm thng
k, ET, MICRO TSP v SHAZAM cho ra cc gi tr ti hn Dickey-Fuller v mackinnon ca
tr thng k DF.

Nu nh gi tr tuyt i tnh c ca tr thng k (tc l //) cao hn cc gi tr ti

hn tuyt i T hoc DF hoc Mackinnon DF, th chng ta s khng bc b gi thuyt cho rng
chui thi gian cho l dng. Nu mt khc, n thp hn gi tr ti hn, th chui thi gian s
l khng dng.11

V nhng l do v mt l thuyt v thc tin, kim nh Dickey-Fuller c p dng i

vi cc hi qui c thc hin cc dng sau:

Yt = Yt-1 + ut (21.4.3)
Yt = 1 + Yt-1 + ut (21.4.5)
Yt = 1 + 2t +Yt-1 + ut (21.4.6)

y, t l bin xu hng hoc bin thi gian. Trong mi trng hp gi thuyt khng s l =
0, tc l c nghim n v. S khc bit gia (21.4.3) v hai hi qui khc l ch c s bao
gm c hng s (giao im vi trc ta ) v s hng xu hng.

Nu s hng sai s ut l t tng quan, ta s bin i (21.4.6) thnh:

m
Y t 1 2t Y t 1 i Y t i t (21.4.7)
i 1

m , th d Y t 1 (Y t 1 Y t 2 ), Y t 2 (Y t 2 Y t 3 ) , tc l ta s dng cc s hng sai

phn ca tr. S lng cc s hng sai phn ca tr cn c thng c xc nh bng
thc nghim - Khi nim v vic cn phi c bao nhiu s hng s hng sai s trong (21.4.7)
l c lp vi chui. Gi thuyt khng vn l = 0 hoc = 1, c ngha l Y c nghim n v
(y l khng dng). Khi kim nh DF c p dng cho cc m hnh nh (21.4.7), n c gi l
kim nh gia tng Dickey-Fuller [Augmented Dickey-Fuller (ADF) test]. Tr thng k ca
kim nh ADF c cng mt phn b tim cn ging nh ca tr thng k DF, do vy c th s
dng cng cc gi tr ti hn ging nhau.

Chui Thi gian GDP ca Hoa k c phi l Dng hay khng?

Ta hy minh ha kim nh DF bng cch s dng cc d liu trong Bng 21.1. Theo phng
php MICRO TSP 7.0, cc hi qui tng ng vi (21.4.5) v (21.4.6) cho ra cc kt qu sau:

10
J.G. Mackinnon, Cc gi tr ti hn ca cc kim nh ng kt hp, trong R.F. Engle v C.W.J. Granger, Cc
mi quan h kinh t di hn: Cc tho lun v ng kt hp, Chng 13, NXB Oxford University, New York
1991.
11
Nu hi qui c thc hin dng (21.4.3), th tr thng k T c c lng thng s mang du m (-). Do
vy, mt gi tr m ln ca T thng l mt du hiu ca tnh dng.

Damodar N. Gujarati 15 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

GDP t = 32,9693 0,0025 GDPt-1

t = (1,3304) (0,3932) (21.4.8)
2
r = 0,0018 d = 1,3520

GDP t = 183,9751 + 1,3949t 0,0579GDPt-1

t = (1,7877) (1,5111) (1,5563) (21.4.9)
2
R = 0,0286 d = 1,3147

i vi mc ch ca chng ta, iu quan trng l tr thng k t (=tau) ca bin GDPt-1. Xin hy

nh rng gi thuyt khng ca ta l = 0, iu ny c ngha l = 1, hoc nghim n v. Vy
i vi m hnh (21.4.8) cc tr thng k ti hn 1%, 5% v 10%, c tnh bi Mackinnon, l -
3,5073; -2,8951; v -2,5844 tng ng. Do gi tr c tnh ca l - 0,3932, v mt gi tr tuyt
i l nh hn cc gi tr ti hn 1%, 5% v 10%, chng ta hng loi b gi thuyt 0 vi = 0,
tc l chui GDP th hin mt nghim n v, y l mt cch khc ni rng chui GDP l
khng dng. Trn c s kim nh biu tng quan, chng ta phi thy trc c kt lun
ny.

i vi m hnh (21.4.9) cc gi tr ti hn 1%, 5% v 10% ca l - 4,0673; -3,4620; -3,1570

tng ng. Gi tr tnh c ca t (=tau) - 1,5563 i vi GDPt-1 l khng ng k v mt thng
k, cho thy mt ln na rng = 0 hoc c nghim n v trong d liu GNP. Nhn dy, xin lu
rng cc gi tr ti hn DF ph thuc vo liu c s hng khng i v/hoc xu hng
hay khng.

bao gm c kh nng tng quan chui trong ut, chng ta c th s dng m hnh
(21.4.7) v sau p dng kim nh ADF; xin nh rng tr thng k Durbin-Watson d, cho
trong (21.4.8) v 21.4.9), m ch n mt kh nng nh th. Vi mt gi tr tr ca cc sai
phn bc 1 ca GDP, chng ta c c cc kt qu hi qui sau y:12

GDP t = 233,0806 + 1,8922 0,0787 GDPt-1 + GDPt-1

t = (2,3848) (2,1522) (2,2153) (3,4647) (21.4.10)
2
R = 0,1526 d = 2,0858

Do Durbin Watson d tng ln, c kh nng y c tng quan chui. Tuy vy, hy lu
rng = 2,2153 vn thp hn cc gi tr ti hn ADF : 4,0673 (1%); 3,4620 (5%); v
3,1570 (10%), iu ny ni ln rng chui thi gian GDP l khng dng.

Tm li, trn c s biu tng quan v cc kim nh nghim n v DF v ADF, cc

d liu GDP ca Hoa K i vi thi on I-1970 n VI-1991 l khng dng.

12
Vic b sung hai gi tr tr ca GDP khng lm cc kt qu thay i my

Damodar N. Gujarati 16 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Chui GDP Sai Phn Bc 1 c l Dng?

Chng ta hy cng lm li bi tp nu trn, nhng ln ny chng ta s tm xem liu GDP t =

(GDP t - GDPt-1) c l dng hay khng? thun tin ta dng Dt ch GDPt. Ta c kt qu
sau:

D t = 15,5313 0,6748Dt-1
t = (3,4830) (6,4956) (21.4.11)
r2= 0,3436

Cc gi tr ti hn T 1%, 5% v 10%, c tnh bi Mackinnon, l 3,5082; 2,8955; v

2,5846 tng ng. V mt gi tr tuyt i, gi tr 6,4956 ln hn bt k mt trong ba gi tr
ny, v th chng ta c th bc b gi thuyt rng (h s ca Dt-1) l bng 0. Tc l, cc d liu
GDP sai phn bc 1 khng th hin nghim n v, hoc c th ni rng cc d liu ny l dng.
iu c ngha: chng l I(0).13 Hnh 21.5 cho thy cc d liu GDP sai phn bc 1 so vi
chui GDP ban u nh Hnh 21.1, th chui sai phn GDP Hnh 21.5 khng th hin bt k
xu hng no.

Do GDPt l dng, nh nu trn, nn n l mt qu trnh ngu nhin I(0), c ngha l

t bn thn GDPt l mt chui thi gian I(1); v bn cht, n l mt bc ngu nhin.

ng thi, Do DF hoc ADF ch cho ta thy mt chui thi gian c l kt hp hay khng,
nn chng cn c bit n nh l kim nh s kt hp.

21.5 QU TRNH NGU NHIN C XU HNG DNG (TS) V SAI PHN DNG
(DS).

Trong cc hi qui lin quan ti d liu chui thi gian, bin thi gian hoc xu hng t thng
c dng nh mt trong cc bin hi qui c lp loi b vn tng quan khng xc thc
(hy xem Chng 8). D liu thuc cc chui thi gian kinh t thng c xu hng chuyn dch
theo cng mt hng bi v mt xu hng thng l chung cho chng. Th d nh, trong hi qui
ca PCE i vi PDI, nu nh chng ta quan st c R2 c gi tr rt cao, trng hp ny
thng xy ra, th iu c th phn nh khng phi mc thc ca mi lin h gia hai bin
, m n gin ch l xu hng chung hin hu gia chng.

13
Mt quan im k thut. C mt s tranh lun v vic liu ta c th p dng kim nh DF mt cch tun t, u
trn l vi d liu dng mc v sau l dng sai phn bc 1 hay khng. V vn ny, Hy tham kho D.A.
Dickey v S.S. Pantula, Xc nh bc ca sai phn trong cc qu trnh t hi qui, Tp ch Thng mi v Thng
k, Quyn 5, 1987, trang 455-461.

Damodar N. Gujarati 17 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

HNH 21.5 Cc sai phn bc I ca GDP, Hoa K, I/1970IV/1991.

trnh nhng mi lin h khng xc thc nh vy, thng thng phi thc hin hi qui
PCE i vi PDI v t, bin xu hng. H s ca PDI c c t php hi qui ny s th hin
nh hng tnh ln PCE, sau khi loi b tc ng ca xu hng. Ni mt cch khc, vic th
hin bin xu hng trong hi qui c tc dng san bng xu hng (tc l loi b nh hng ca
xu hng ra khi) i vi c PCE v PDI.

Gn y, mt nhnh mi cc nh kinh t lng v chui thi gian chng li phng

php thc tiin chung ny. Theo h, phng php thc tin chun ny ch c th c chp nhn
nu nh bin xu hng l xc nh (deterministic) ch khng phi l ngu nhin.14

Ni rng ra, xu hng s l xc nh nu nh n l hon ton c th d on c v

khng bin thin. C th thy t Hnh 21.1 nhng g m iu ny th hin. Nu phi v mt
ng thng xu hng cho c chui thi gian GDP c minh ha , th ta s thy l ch mt
ng thng xu hng khng th hin y c cc d liu. C th c mt ng thng xu
hng cho giai on I/1970-IV/1974, mt ng khc cho giai on I/1975-IV/1981 v mt
ng na cho giai on I/1982-IV/1991. Tm li, ng xu hng ny bn thn n thay i,
tc l n l ngu nhin. Nu y l trng hp phi xt n, th phng php thc tin chung v
san bng xu hng s tr nn sai lch.

Bng cch no m ta c th bit c rng xu hng ca mt chui, chng hn nh GDP,

l xc nh hay bin thin (tc l ngu nhin)? Ta c cu tr li trong hi qui (21.4.6). Khi
c lng hi qui ny, nu ta tm ra rng chui thi gian cho (th d: GDP) c nghim n v
(tc l khng dng), th c th kt lun l chui thi gian th hin mt xu hng ngu nhin.
Nu khng c nghim n v, th chui thi gian th hin xu hng xc nh.

14
Hy tham kho hai bi bit hp dn v qu gi: Charles R. Nelson v Charler I. Plosser, Cc xu hng v bc
ngu nhin trong chui thi gian kinh t v m: Mt s minh chng v cc ngha, Tp ch Kinh t Tin t, Quyn
10, 1982, trang 139-162; James H. Stock v Mark W. Watson, Cc xu hng bin thin trong cc chui thi gian
kinh t, Tp ch cc trin vng kinh t, Quyn 2, No.3, Ma h 1988, trang 147-174.

Damodar N. Gujarati 18 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Tr li cc hi qui (21.4.9) v (21.4.10), chng ta kt lun rng chui thi gian GDP
ca Hoa K thuc giai on I/1970-IV/1991 l khng dng. Do , chui thi gian nh vy th
hin xu hng ngu nhin. Nh mt h qu, nu nh ta thc hin hi qui ny:

GDPt = 1 + 2t= ut (21.5.1)

vi gi thit sai lm l c xu hng xc nh, th GDP san bng xu hng thu c:

ut = (GDPt - 1 - 2t) (21.5.2)

s chng c gi tr g my khi trong thc t xu hng l ngu nhin. Do , cc d bo da vo

(21.5.1) s l khng ng tin cy. V l do ny chng ta cnh bo Chng 5 l khng c
s dng ng hi qui c c lng theo cc d liu c trc a ra cc d bo qu
xa trong tng lai.

Tip theo chng ta gii htiu v hai khi nim c bn trong phn tch chui thi gian, c
th l qu trnh xu hng dng (TSP) v qu trnh sai phn dng (DSP). Nu trong hi qui:

Yt = 1 + 2t + ut (21.5.3)

ut thc ra l dng vi trung bnh bng 0, v phng sai 2, th (21.5.3) th hin mt TSP; nu ta
loi tr xu hng (tc l 1 + 2t) khi (21.5.3), th kt qu s l mt qu trnh dng. Tuy nhin,
nu Yt c pht sinh t

Yt - Yt-1 = + ut (21.5.4)

m l hng s v ut l dng vi trung bnh bng 0 v phng sai 2, th ta gi qu trnh nh

th l mt DSP. Hy nh rng (Yt - Yt-1) = Yt, tc l phng sai bc 1 ca Yt.

Quay li chui thi gian GDP ca chng ta, ta thy rng mc GDP khng phi l TSP,
trong khi nh thy hi qui (21.4.11), GDP l mt DSP.

Ni gn li, mt chui thi gian dng c th c m hnh ha nh mt qu trnh TS,

trong khi mt chui thi gian khng dng li th hin mt qu trnh DS. Nh Holden, Peel v
Thomson nhn nh:

Vi mt xu hng xc nh, cc bin c th c lm thnh dng bng cch a mt xu hng

v thi gian vo bt c hi qui no hoc bng cch thc hin mt hi qui s b i vi thi gian
v loi b xu hng c c lng [nh trong hi qui (21.5.2)]. Vi mt xu hng ngu

Damodar N. Gujarati 19 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

nhin, cc kim nh i vi ng kt hp (s c bn ti sau y) v tnh ng kt hp l cn

thit.15

Chng ta kt thc phn ny bng cch nu ra cu hi: Tm quan trng thc tin ca TSP v SDP
l g? Theo quan im d bo di hn, cc d bo c rt ra t TSP s l ng tin cy hn,
trong khi nhng d bo rt ra t DST s l khng ng tin cy v i khi l rt nguy him. Nh
Nathan Balke nhn xt; s hin hu ca mt xu hng ngu nhin c ngha l cc bin ng
trong mt chui thi gian l kt qu ca cc c sc khng ch i vi thnh phn mang tnh nht
thi hay chu k m cn i vi thnh phn mang tnh xu hng. 16 Tc l, nhng xo trn hoc
c sc i vi chui thi gian nh th s thay i hn mc ca chng mt cch vnh vin.

21.6 HI QUI KHNG XC THC

Cc hi qui lin quan ti cc d liu ca chui thi gian c cha kh nng thu c cc kt qu
khng xc thc hoc khng ng tin cy d rng b ngoi cc kt qu c v l tt nhng khi
xem xt k lng hn th chng tr nn ng ng. D thy tht r vn ny, chng ta hy cng
quay tr li cc d liu PCE v PDI ca Ho K c nu Bng 21.1. Gi s chng ta thc
hin hi qui PCE i vi PDI tm mi quan h gia chng. Bng cch s dng cc d liu
cho trong Bng 21.1, ta c c cc kt qu sau:

PCEt = -171,4412 + 0,9672 PDIt

t = (7,4809) (119,8711) (21.6.1)
2
R = 0,9940 d = 0,5316

Cc kt qu hi qui ny c v ln khng tng ni: R2 l qu cao, t l t ca PDI c gi tr qu

ln, xu hng tiu dng bin t (MPC) so vi PDI l dng v c gi tr cao. Ch c mt iu
khng nh l tr thng k Durbin-Watson d thp. Nh Granger v Newbold 17 xut, R2 >
d l mt tin tt ng vc rng hi qui c c lng l hu qu ca mt hi qui
khng xc thc.

Nu chng ta c lng phng trnh (21.4.9) i vi c PCE ln PDI, s c cc kt qu

sau:

PCEt = 91,7110 + 0,7704t 0,0432PCEt-1 (21.6.2)

t= (1,6358) (1,2983) (1,3276)
PDIt = 326,2089 + 2,8834t 0,1579PDIt-1 (21.6.3)
t= (2,7368) (2,5243) (2,5751)

15
K.Holden, D.A.Peel v J.L. Thompson, Nhp mn v D bo Kinh t, NXB HTH Cambridge, New York,
1990, trang 81.
16
Nathan S. Balke, Cc xu hng m hnh ha trong cc chui thi gian kinh t vi m, Tp ch Ph bnh v Kinh
t (Economic Review), Ngn hng D tr Lin bang ti Dallas, 05.1991, trang 21. y l mt bi bo rt ng c
c v cc qu trnh TS v DS.
17
C.W.J. Granger v P. Newbild, Cc hi qui khng xc thc trong kinh t lng, Tp ch Kinh t lng, Quyn
2, 1974, trang 111-120.

Damodar N. Gujarati 20 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

i vi mc ch hin thi, chng ta quan tm ti gi tr T ca PCE v PDI theo cc tr. Cc

gi tr ti hn T 1%, 5% v 10% hoc cc gi tr DF c tnh bi Mackinnon l 4,0673;
3,4620; v 3,1570 tng ng. Tip n, v mt gi tr tuyt i, cc gi tr =1,3276 v 2,5751
ca cc s hng tr PCE v PDI l nh hn cc gi tr ti hn T mc 10%. Do , kt lun
y l PCE v PDI u c mt nghim n v, tc l chng khng phi l dng.

V th, khi tnh hi qui PCE i vi PDI trong (21.6.1), ta c th thc hin hi qui mt
chui thi gian khng dng i vi mt chui thi gian khng dng khc. Trong trng hp nh
vy, cc phng thc kim nh chun t v F khng c gi tr.18 V mt ny, hi qui (21.6.1) l
khng xc thc. kt thc, hy nh rng trong (21.6.3) nu ta ly gi tr t = 2,5751 ca PDIt-1
trn c s kim nh t thng thng, th n s l ng k v mt thng k mc 2%. Nhng trn
c s kim nh T th n li khng ng k ngay c mc 10%, iu ny mt ln na cho thy
ti sao trong trng hp chui thi gian khng dng, ta khng c da vo cc gi tr c
c lng t.

Chng ta ngi c, nh mt bi tp, t ch ra rng cc chui sai phn bc 1 PCE v

PDI, PCEt v PDIt, l dng.

V PCE v PDI l dng, ti sao li khng hi qui chui trc i vi chui sau v loi
b vn v tnh khng dng, xu hng ngu nhin v cc vn c lin quan? Cu tr li l,
gii quyt vn v tnh khng dng theo kiu ny c th cng ging nh tr nh i cng vi
nc tm, bi v khi ly sai phn bc 1 (hoc bc cao hn) ta c th nh mt mi quan h di
hn qu gi gia PCE v PDI c cho trc bi cc mc (cng nh i vi sai phn bc 1) ca
hai bin ny. L thuyt kinh t hu nh c th hin nh mt mi quan h di hn gia cc bin
dng mc ca cc bin ch khng phi dng sai phn bc 1 ca chng. V th, gi thuyt thu
nhp c nh Milton Friedman mc nhin cng nhn rng mc tiu dng c nh l mt hm ca
mc thu nhp c nh; mi quan h khng c th hin theo sai phn bc 1 ca cc bin ny.
Cc mi quan h, chng hn, gia chi tiu ca chnh ph v cc khon thu v thu; cung ng tin
mt v gi c (Hy nh li l thuyt s lng v Tin); li sut tri phiu kho bc 3 thng v 6
thng; v.v... cng c th hin tt nht dng mc.

thy iu ny, hy tham chiu Bng 21.1. Mc d c PCE ln PDI u c xu hng

tng ln theo kiu ngu nhin, dng nh chng c xu hng cng nhau. Bin ng ny ging
nh i bn nhy, mi ngi theo mt bc ngu nhin, m cc bc ngu nhin ca h dng
nh li n khp vi nhau. S ng b, v mt trc gic l khi nhim ng sau chui thi gian
ng kt hp. Nh ta s ch ra phn tip theo, nu PCE v PDI l ng kt hp, th cc kt qu
hi qui cho (21.6.1) c th s khng phi l khng xc thc, v cc kim nh thng thng

18
Vn ny c ghi nhn bi Dickey v Fuller, op.cit. v gn y hn bi P.C.B. Phillips trong Cc hi qui
chui thi gian vi nghim n v, Econometrica, Quyn 55, 1987, trang 277-302, v Hng ti mt l thuyt
tim cn hp nht v t hi qui, Biometrica, Quyn 74, 1987, trang 535-547. i vi cc tho lun thuc cc sch
gio khao c th tip cn c v mt ny v cc phng din khc ca chui thi gian, Hy c Terence C. Mills,
Cc Phng php k thut v chui thi gian dnh cho cc nh kinh t, NXB HTH Cambridge, New York,
1990.

Damodar N. Gujarati 21 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

t v F s l ng. Nh Granger ghi nhn Mt kim nh v s ng kt hp c th c coi

nh mt tin kim nh loi b cc tnh hung hi qui khng xc thc.

21.7 NG KT HP

Hy tr li cc hi qui (21.6.1), (21.62) v (21.6.3). Hai hi qui ny ch ra rng c PCE v PDI l

cc qu trnh khng dng hoc bc ngu nhin [xin lu : mi qu trnh u l I(1)]. Mc d
vy, s kt hp tuyn tnh ca hai bin ny c th s l dng. C th hn, nu ta vit (21.6.1)
nh:19

ut = PCFt + 1 - 2PDIt (21.7.1)

v tm ra rng ut [tc l kt hp tuyt tnh (PCEt - 1 - 2PDIt)] l I(0) hoc dng, th ta ni rng
cc bin PCE v PDI l ng kt hp; Ni mt cch nm na, chng thuc cng mt bin song.
V trc gic, ta thy rng khi ut trong (21.7.1) l I(0), th cc xu hng trong PCE v PDI tr
nn cn bng vi nhau.20 V chng s c cng mt bc sng nu chng c kt hp vi nhau
cng mt bc. Nh vy, nu chui Y l I(1) v mt chui khc X cng l I(1), th chng c th
l ng kt hp. Ni rng ra, nu Y l I(d) v X cng l I(d) m d c cng gi tr, th hai chui
ny c th l ng kt hp. Nu ng l nh th, th hi qui i vi cc mc ca hai bin ,
ging nh trong (21.6.1), s l c ngha (tc l khng phi l khng xc thc); v chng ta s
khng mt bt k thng tin di hn qu gi no, ci m c th b mt i nu thay vo ta s
dng cc sai phn bc 1 ca chng.

Tm li, min l chng ta chc chn c rng nhng g c c t cc hi qui nh

(21.6.1) l I(0) hoc dng, th h phng php hi qui truyn thng (k c cc kim nh t v F)
m chng ta bit cho n nay vn p dng c i vi cc d liu lin quan ti chui thi
gian. ng gp qu bu ca cc khi nim v nghim n v, ng kt hp, v.v... l ch buc
ta phi tm ra liu cc s d ca hi qui c l dng hay khng. Theo cch din t ca l thuyt
ng kt hp, mt hi qui nh (21.6.1) c coi l hi qui ng kt hp v thng s 2 c
gi l thng s ng kt hp.21

Mt lot cc phng php kim nh ng kt hp c xut trong cc bi vit trn

tp ch. Hai phng php n gin l (1) kim nh DF v ADF i vi U t c c lng
bng hi qui ng kt hp v (2) kim nh ng kt hp Durbin-Watson (CRWD).22

19
C.W.J. Granger, Cc pht trin trong nghin cu v cc bin kinh t ng kt hp, Bn tin Kinh t v Thng k
ca HTH Oxford, Quyn 48, 1986, trang 226.
20
Cch xem xt ng kt hp bng trc gic ny c nu ra trong Tri thc v thc hnh kinh t lng ca
William E. Griffiths, R. Carter Hill, v George G. Judge, NXB John Wiley v cc con, New York, 1993, trang 700-
702.
21
Khi nim ng kp hp c th c m rng i vi m hnh hi qui c cha k kbin hi qui c lp. Trong
trng hp ny, ta s c k thng s ng kt hp. tho lun chung v iu ny, hy tham kho cc tham chiu
nu trong cc ch thch khc nhau.
22
S khc bit ny tn ti gia cc kim nh nghim n v v cc kim nh ng kt hp: Nh David A. Dickey,
Dennis W. Jansen, v Daniel I. Thornton quan st thy, Cc kim nh nghim n v c thc hin i vi cc
chui thi gian n bin (Univariate) [tc l duy nht]. Ngc li, ng kt hp li x l mi quan h gia mt
nhm cc bin, m (mt cch v iu kin) mi bin c nghim n v. Hy c cc bi vit ca h,

Damodar N. Gujarati 22 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Kim nh Engle-Granger (EG) hoc Kim nh EG Gia tng (AEG)

Chng ta bit cch p dng kim nh nghim n v DF hoc ADF. Tt c nhng g ta phi
lm l c lng mt hi qui nh (21.6.1), thu nhn cc s d, v s dng kim nh DF hoc
ADF.23 Tuy nhin, c mt iu cn phi phng khi thc hin. Do U c c lng theo
thng s ng kt hp 2 c c lng, nn cc gi tr ti hn quan trng DF hoc ADF s
khng tht thch hp. Engle v Granger tnh ton cc gi tr ny, vic ny c th tm thy
trong cc sch tham kho.24 Do vy, kim nh DF hoc ADF trong bi cnh ny c gi l
kim nh Engle-Granger (EG) v kim nh EG gia tng (AEG). Tuy nhin, hin nay TSP,
SHAZAM v cc phn mm khc li a ra cc gi tr ti hn ny cng vi cc thng tin khc.25

Chng ta hy cng quay li vi hi qui PCE PDI (21.6.1) v thc hin kim nh
nghim n v DF i vi cc s d c c lng theo hi qui ny.

Ta c c cc kt qu sau:

ut = -0,2716 ut-1
t = (-3,6725) (21.7.2)
r2 = 0,1422

Cc gi tr ti hn Engle-Granger (tr thng k t hi qui trc ) 1%, 5% v 10% tng ng

l 2,5899; 1,9439; v 1,6177. Do v mt gi tr tuyt i gi tr c c lng = 3,6725
vt qu bt c mt trong cc gi tr ti hn ny, nn kt lun c th l ut c c lng s
l dng (tc l, n khng c nghim n v), v v vy PCE v PDI, mc d l khng dng mt
cch ring bit, li l ng kt hp.26

Nhp mn v ng kt hp vi mt ng dng i vi tin t v thu nhp, Tp ch ph bnh kinh t, Ngn hng d

tr Lin bang ti St. Lyis, 03-04.1991, trang 59. Nh tn gi ca bi vit nu, y l mt s nhp mn tuyt vi
v kim nh ng kt hp.
23
Nu PCE v PDI khng phi l ng kt hp, th bt k mt lin kt tuyn tnh no ca chng cng s l khng
dng, v do , cc s d Ut cng s l khng dng.
24
R.F. Engle v C.W.J. Granger. ng kt hp v hiu chnh sai s: Th hin, c lung v kim nh,
Econometrica, Quyn 55, 1987, trang 251-276; R.F. Engle v B. Sam Yoo, D bo v kim nh trong cc h
thng ng kt hp, Tp ch Kinh t lng, Quyn 35, trang 143-159; R.F. Engle, Chui thi gian kinh t ng
kt hp: Mt tng quan vi cc kt qu mi, trong cun Cc mi quan h kinh t di hn : tri thc v ng kt
hp ca R.F. Engle v C.W.J. Granger, NXB HTH Oxford, 1991, Chng 12. Cun sch ny cng cha bi bit
nu trn y ca Mackinnon, cng nh cc bi tham lun hi tho khc v lnh vc ny.
25
Mt s cc gi tr ti hn EG v AEG cng c sao chp li trong cun c lng v suy lun trong kinh t
lng ca Russell Davidson v James G. Mackinnon, NXB HTH Oxford, New York 1993, Bng 20.2, trang 722.
Chng cng c th c tm thy trong cc phin bn MICRO-TSP 7.0 v SHAZAM 7.0.
26
Mt quan im k thut v hi qui ng kt hp c c lng (21.6.1): Do mi PCE v PDI l I(1), ta
khng th s dng cc sai s chun c c lng v cc gi tr lin quan t ca cc h s c c lng
nu trong hi qui ny cho mc ch a ra cc suy lun v cc thng s tp hp.

Damodar N. Gujarati 23 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Kim nh Hi qui ng Kt hp Durbin-Watson (CRDW)

Mt cch khc, nhanh hn, tm ra liu PCE v PDI c l ng kt hp hay khng l kim nh
CRDW, m cc gi tr ti hn ca n u tin c cung cp bi Sargan v Bhargava. 27 Trong
CRDW chng ta s dng gi tr d Durbin-Watson c c t hi qui ng kt hp, chng hn d
= 0,5316 cho trong (21.6.1). Nhng n y gi thuyt khng s l d = 0 hn l d chun = 2.
Da vo 10.000 m phng hnh thnh t 100 quan st cho mi m phng, cc gi tr ti hn 1%,
5% v 10% kim nh gi thuyt khng vi gi tr tht ca d = 0 l 0,511; 0,386 v 0,322
tng ng. Nh vy, nu gi tr d tnh c nh hn 0,511, th chng ta bc b gi thuyt ng
kt hp o83 mc 1%. Trong th d ca chng ta, gi tr ca d = 0,5316 l cao hn mc ti hn
ny, iu c th ng rng PCE v PDI l ng kt hp - mt kt lun tng t nh kt lun
t c trn c s kim nh EG.28

Tm li, da trn cc kim nh EG v CRDW, ta i ti kt lun rng PCE v PDI l

ng kt hp.29 Mc d chng th hin cc bc ngu nhin mt cch ring bit, dng nh vn
c mt mi quan h di hn n nh gia hai bin ny; chng s khng ri xa nhau, iu ny c
th thy r t Hnh 21.1.

21.8 NG KT HP V C CH HIU CHNH SAI S (ECM)

Chng ta va mi ch ra rng PCE v PDI l ng kt hp, tc l, c mt mi quan h cn bng

di hn gia hai bin ny. Tt nhin, trong bi cnh ngn hn c th c s mt cn bng. Do vy,
ta c th coi s hng sai s trong (21.7.1) l sai s cn bng.30 V chng ta c th s dng s
hng sai s ny lin h ng thi ngn hn ca PCE vi gi tr di hn ca n. C ch hiu
chnh sai s (ECM), c s dng ln u tin bi Sargan.31 v sau c ph bin rng ri
bi Engle v Granger, dng hiu chnh s mt cn bng. Khng i su vo cc chi tit l
thuyt, y chng ta ch th hin, vi th d PCE/PDI, ECM vn hnh ra so; cc chi tit c th
c tm thy trong bi hi tho ca Engle v Granger c nu phn trc (Hy xem ch
thch 24).

Hy xem xt m hnh sau nh mt th d n gin ca ECM:

27
J.D. Sargan v A.S. Bhargava, Kim nh cc s d t hi qui bnh phng nh nht i vi bc ngu nhin
c Gaussian to ra, Econometrica, Quyn 51, 1983, trang 153-174.
28
C s tranh lun ng quan tm v tnh u vit ca CRDW so vi DF, iu ny c th tm thy trong sch ca
Engle-Granger, op.cit. S tranh lun xoay quanh sc mnh ca hai tr thng k, tc l xc sut khng phm phi sai
s Loi II (type II error), (c ngha l chp nhn gi thuyt khng trong khi iu l khng ng/sa).
29
Cc kim nh EG v CRDW hin c b sung bi cc kim nh u vit hn do Johansen pht trin. Nhng
tho lun v phng php Johansen l nm ngoi phm vi cun sch ny. Hy tham kho S.Johansen v K.Juseliu
c lng v suy lun vi xc sut ti a v ng kt hp - vi cc ng dng i vi Nhu cu v Tin t, Bn tin
Kinh t v Thng k ca HTH Oxford, Quyn 52, 1990, trang 169-210.
30
Thut ng ny l do Griffiths v cc tc gi khc, op.cit., trang 701.
31
J.D. Sargan, Tin cng v gi c Vng Quc Anh: Mt nghin cu v h phng php lun Kinh t lng,
Xut bn ln u 1964 v c sao li trong cun Kinh t nh lng v phn tch kinh t lng ca K.F. Wallis
v D.F. Hendry, NXB Basil Blackwell, Oxford, 1984.

Damodar N. Gujarati 24 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

PCEt = 0 + 1PDIt + 2ut-1 + t (21.8.1)32

y, nh thng l l k hiu sai phn bc 1; ut-1 l gi tr ca s d t hi qui (21.6.1)

tr mt thi on (one-period lagged value), c lng thc nghim ca s hng sai s cn bng;
v l s hng sai s vi cc tnh cht thng thng.

Hi qui (21.8.1) lin h s thay i PCE vi s thay i PDI v sai s cn bng thi
on trc . Trong hi qui ny PDI th hin cc xo trn ngn hn ca PDI, trong khi s
hng hiu chnh sai s ut-1 th hin s iu chnh hng ti cn bng di hn. Nu nh 2 l ng
k v mt thng k, th n cho ta thy t l mt cn i no trong PCE mt thi on c hiu
chnh trong thi on tip theo. S dng cc d liu cho trong Bng 21.1, ta c cc kt qu
sau:

PCEt = 11,6918 + 0,2906PDIt 0,00867t-1 (21.8.2)

t= (5,3249) (4,1717) (1,6003)
2
R = 0,1717 d = 1,9233

Cc kt qu ny cho thy rng cc thay i ngn hn ca PDI c tc ng tch cc ng k ln

PCE v rng khong 0,09 sai bit gia gi tr thc v gi tr di hn, hoc cn bng, ca PCE
c loi tr hoc hiu chnh mi qu (ba thng). Tuy nhin, do gi tr p ca h s PCE l
khong 0,11, nn tm quan trng v mt thng k ca khm ph ny vn cn cha r.33 Khi xem
xt hi qui ng kt hp (21.6.1), ta thy MPC di hn l khong 0,97, iu ny ni ln rng
thc t c mi quan h 1/1 gia PCE v PDI v rng PCE iu chnh theo ng tng trng di
hn ca n mt cch nhanh chng tip theo sau mi xo trn.

Trc khi kt thc phn ny, nn ghi nh li nhc nh sau ca S.G.Hall:

Trong khi khi nim ng kt hp r rng l mt s cng c vng chc quan trng v l thuyt
ca m hnh hiu chnh sai s, vn cn c mt lot cc vn xung quanh vic ng dng thc t
ca n; cc gi tr ti hn v vic thc hin nhiu kim nh vi mu nh vn cn xa l i vi
cc m hnh a dng; vic kim tra mt cch chuyn su i vi biu tng quan c th vn l
mt cng c quan trng.34

32
Cc s hng sai phn tr b sung ca PDI cng c th c cp ti.
33
Hy nh rng Hi qui ECM m ta s dng l rt n gin. Cc bin th khc ca hi qui ny c th c tm
thy trong cc ti liu tham kho. Cng xin lu rng chng ta khng cp thm cc bin tu khc thng qua
vic cp cc sai phn tr bc cao hn ca PDI ln PCE.
34
S.G. Hall, Mt ng dng ca phng php c lng hai bc Granger v Engle i vi cc d liu tng tin
cng (Aggregate Wage) ca Vng Quc Anh, Bn tin kinh t v thng k ca HTH Oxford, Quyn 48, s 3,
08.1986, trang 238. Hy c John Y. Campbell v Pierre Perron, Cm by v c hi: Nhng g cc nh kinh t v
m phi bit v nghim n v, NBER (National, 1991, trang 141-219. Theo quan i ca ti, bi vit ny l loi
phi c i vi cc nh kinh t ng dng.

Damodar N. Gujarati 25 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

21.9 TM TT V CC KT LUN

1. Phn tch hi qui da trn cc d liu chui thi gian ngm gi nh rng chui thi gian
i tng l dng. Cc kim nh t v F c in u da vo gi nh ny.

2. Trong thc t, hu ht cc chui thi gian l khng dng.

3. Mt qu trnh ngu nhin c coi l dng yu nu nh trung bnh, phng sai v cc t

ng phng sai ca n l hng s theo thi gian (tc l chng bt bin theo thi gian).

4. mc khng chnh thc, tnh dng yu c th c kim nh bng biu tng

quan ca mt chui thi gian, l mt th t tng quan cc trn khc nhau. i
vi cc chui thi gian dng, biu tng quan thu hp li rt nhanh, trong khi i vi cc
chui thi gian khng dng th n bin mt mt cch t t. i vi mt chui thun ty
ngu nhin, t tng quan mi tr 1 v ln hn l bng 0.

5. mc chnh thc, tnh dng c th c thm nh bng cch tm xem liu chui thi
gian c cha nghim n v hay khng. Cc kim nh Dickey-Fuller (DF) v kim nh
DF gia tng (ADF) c th c dng cho mc ch ny.

6. Mt chui thi gian kinh t c th l xu hng - dng (TS) hoc sai phn - dng (DS).
Mt chui thi gian TS c mt xu hng xc nh, trong khi chui thi gian DS li c mt
xu hng bin thin hoc ngu nhin. Thc tin chung v vic a cc bin thi gian hoc
xu hng v mt m hnh hi qui san bng xu hng cc d liu ch thch hp i vi
chui thi gian TS. Cc kim nh DF v ADF c th c s dng xc nh liu mt
chui thi gian l TS v DS.

7. Hi qui mt bin ca chui thi gian i vi mt hoc nhiu bin khc ca chui thi gian
thng c th cho ra cc kt qu khng c ngha hoc khng xc thc. Hin tng ny
c gi l hi qui khng xc thc. Mt cch trnh khi n l tm xem liu chui thi
gian c phi l ng kt hp hay khng.

8. ng kt hp c ngha l mc d l khng dng mt cch n l, nhng lin kt tuyn tnh

ca hai hoc nhiu chui thi gian c th s l dng. Cc kim nh EG, AEG v CRDW c
th c dng tm ra liu hai hoc nhiu chui thi gian c l ng kt hp hay khng.

9. ng kt hp ca hai (hoc nhiu hn) chui thi gian ng rng c mt mi quan h di

hn (hoc cn bng) gia chng.

10. C ch hiu chnh sai s (ECM), c Engle v Granger pht trin, l mt phng tin
iu ha ng thi ngn hn ca mt bin kinh t vi ng thi di hn ca n.

11. Lnh vc kinh t lng chui thi gian vn ang tin trin. Cc kt qu v cc kim nh
c thit lp vn cn l, trong mt s trng hp, s b v cn nhiu cng vic phi lm.

Damodar N. Gujarati 26 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Mt cu hi quan trng ang cn c gii p l v sao mt s chui thi gian kinh t l

dng v mt s khc li l khng dng.

CC BI TP

Cu hi:

21.1Tnh dng yu c ngha l g?

21.2Mt chui thi gian kt hp c ngha l g?

21.3 ngha ca mt nghim n v l g?

21.4 Nu mt chui thi gian l I(3), th ta phi ly sai phn bao nhiu ln n tr thnh
dng?

21.5 Cc kim nh Dickey-Fuller (DF) v DF gia tng l g?

21.6 Cc kim nh Engle-Granger (EG) v EG gia tng l g?

21.7 ngha ca ng kt hp l g?

21.8 S khc bit, nu c, gia cc kim nh nghim n v v cc kim nh ng kt hp l

g?

21.9 Hi qui khng xc thc l g?

21.10 Mi lin h gia ng kt hp v hi qui khng xc thc l g?

21.11 S khc bit gia xu hng xc nh v xu hng ngu nhin l g?

21.12 Qu trnh xu hng - dng (TSP) v qu trnh sai phn - dng (DSP) c ngha l g?

21.13 Bc ngu nhin (M hnh) l g?

21.14 i vi mt qu trnh dng bc ngu nhin, phng sai l v hn, Bn c ng

khng? V sao?

21.15 C ch hiu chnh sai s (ECM) l g? Mi quan h ca n vi ng kt hp l g?

Damodar N. Gujarati 27 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

Bi tp

21.16 S dng d liu cho trong Bng 21.1. Hy lp cc biu tng quan mu ti 25
tr i vi cc chui thi gian PCE, PDI, li nhun v c tc. Bn thy c trng thi
chung g? V trc gic, nhng chui thi gian no trong s ny c v l dng?

21.17 i vi mi trong s chui thi gian ca bi tp 21.16. Hy dng kim nh DF tm

xem liu cc chui thi gian ny c cha nghim n v hay khng. Nu c nghim n
v, Bn s c trng ha chui thi gian nh th no?

21.18 Tip tc bi tp 21.17, Bn s quyt nh ra sao nu nh kim nh ADF l thch hp hn

so vi kim nh DF?

21.19 Hy xem xt cc chui thi gian Li nhun v C tc cho Bng 21.1. Do C tc ph

thuc vo Li nhun. Hy nghin cu m hnh n gin sau y:

C tc t = 1 + 2 Li nhun + ut

(a) Bn c cho rng hi qui ny s chu hu qu ca hin tng hi qui khng xc thc?
V sao?

(b) Cc chui thi gian C tc v Li nhun c l ng kt hp hay khng? Bn s kim

nh mt cch chnh xc iu ny nh th no? Nu nh sau khi kim nh, bn thy
rng chng l ng kt hp, liu cu tr li cho mc (a) trn ca bn c thay i
khng?

(c) Hy dng c ch hiu chnh sai s (ECM) nghin cu ng thi ngn hn v di

hn ca C tc trong mi quan h vi Li nhun

(d) Nu bn xem xt cc chui C tc v Li nhun mt cch ring r, liu chng c th

hin cc xu hng ngu nhin hoc xc nh khng? Bn s dng cc kim nh no?

*
(e) Gi s C tc v Li nhun l ng kt hp. Sau thay v ly hi qui C tc theo
Li nhun, bn hy ly hi qui Li nhun theo C tc. Liu mt hi qui nh th c
gi tr hay khng?

21.20 Hy ly cc sai phn bc 1 ca cc chui thi gian trong Bng 21.1 v v th ca

chng. Hy dng biu tng quan ca mi chui thi gian ti 25 tr. Bn c n
tng g v cc biu tng quan ny?

*
-Khng bt buc

Damodar N. Gujarati 28 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

21.21 Thay v ly hi qui C tc theo Li nhun dng mc, gi s bn ly hi qui ca sai

phn bc 1 ca C tc theo sai phn bc 1 ca Li nhun. Bn c a giao im vi trc
ta vo hi qui ny khng? V sao c hoc v sao khng? Hy trnh by cc tnh ton.

21.22 Hy tip tc vi bi tp trn. Bn s kim nh tnh dng ca hi qui sai phn bc 1 ra

sao? Trong th d ny, Bn s hy vng nhn c mt kt cc cho trc (priori) no v v
sao? Hy trnh by tt c cc php tnh.

21.23 Da vo s liu cc khu dn c mi (housing starts) - X thuc khu vc t nhn Vng

quc Anh trong giai on 1948-1984, Terence Mills thu c kt qu hi qui sau:*

Xt = 31,03 0,188 Xt-1

se = (12,50) (0,080)
(t=) (2,35)

Ghi ch: Gi tr ti hn 5% l -2,95 v 10% l -2,60

(a) Trn c s cc kt qu ny, chui thi gian khu dn c mi l dng hay khng dng?
Hoc, c nghim n v trong chui thi gian ny khng? Lm th no m bn bit
c?

(b) Nu bn s dng kim nh t thng thng, liu gi tr t quan st c c l ng k

v mt thng k khng? Trn c s , liu bn c kt lun rng chui thi gian ny
l dng?
(c) By gi hy xem xt cc kt qu hi qui sau:

2Xt = 4,76 1,39Xt-1 + 0,3132Xt-1

se = (5,06) (0,236) (0,163)
(t=) (5,89)

y 2 l ton t sai phn bc 2, tc l sai phn bc 1 ca sai phn bc 1. Gi tr c lng T

by gi l ng k v mt thng k. n y bn c th ni g v tnh dng ca chui thi gian
ang c xem xt ny?

Ghi chu: Mc ch ca hi qui nu trn l tm ra liu c mt nghim n v bc 2 trong

chui thi gian hay khng.

*
Terence C. Mills, op. cit., trang 127. Cc k hiu c hi khc i.

Damodar N. Gujarati 29 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi
Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II Kinh t lng c s - 3rd ed.
Bi c Ch.21: Chui thi gian trong kinh t lng

PH LC 21A

21.A1 M HNH BC NGU NHIN

Gi s {ut} l mt chui ngu nhin vi trung bnh v phng sai (hng s) 2 v n l

khng tng quan v chui. (Ghi ch: {} l ch mt chui). Vy th chui {Yt} c gi
l bc ngu nhin nu nh:

Yt = Yt-1 + ut (1)

Trong m hnh bc ngu nhin, nh (1) th hin, gi tr Y thi im t tng ng vi

gi tr ca n thi im (t-1) cng vi mt c sc ngu nhin. Hy coi Y0 = 0 thi
im t = 0 sao cho:

Y1 = u1
Y2 = Y1 + u2 = u1 + u2
Y3 = Y2 + u3 = u1 + u2 + u3

v ni chung

Yt = ut

Do ,

E(Yt) = E (ut) = t (2)

Theo cch tng t, ta c th ch ra rng

Phng sai (Yt) = t 2 (3)

Nh (2) v (3) cho thy, do c trung bnh ln phng sai ca Yt thay i theo thi gian t
(thc ra l tng ln trong trng hp ny), nn qu trnh l khng dng

Tuy nhin

Yt - Yt-1 = ut (4)

li l mt qu trnh hon ton ngu nhin. Tc l cc phng sai bc 1 ca mt chui thi

gian dng bc ngu nhin l dng.

Damodar N. Gujarati 30 Bin dch: Xun Thnh

Hiu nh: Cao Ho Thi