I HC QUC GIA TP H CH MINH I HC CNG NGH THNG TIN

BO CO MN HC PHNG PHP TON TRONG TIN HC

TI M HNH PHN TCH CHUI THI GIAN ARMA V NG DNG TRONG D BO GDP CA VIT NAM
Ging vin hng dn: PGS.TS. Vn Nhn Hc vin thc hin: Bi Tin S MSHV: CH1002007 Lp cao hc kha 5

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H Ni, Thng 12/2010

Mc lc

Li cm n
Em xin by t lng bit n chn thnh i vi PGS.TS.Trn Vn Nhn, ngi dy chng em chuyn Phng php ton trong tin hc . Nhng kin thc Thy truyn t cho chng em gip em c th hiu mt cch y v mn hc, c ngha thit thc cho cng tc chuyn mn, ng thi to iu kin cho chng em hon thnh tt chng trnh hc. V iu kin thi gian v kh nng c hn nn tiu lun khng th trnh khi nhng thiu st. Em rt mong nhn c kin ng gp ca thy tiu lun c hon thin. Xin chc Thy cng cc Thy c trong Trng i hc Cng ngh Thng tin - i hc Quc gia Thnh ph H Ch Minh li chc sc kho, hnh phc v thnh t.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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M u
Ngy mai s ra sao?, Nu ta tin hnh nh vy th ci g s xy ra?, Chng khon c tng im vo tun ny khng?, Gi vng ngy mai s ra sao? ..., c l y l nhng cu hi mi mi mang tnh thi s. Trong cuc sng hng ngy, vi cc hot ng ring t ca mi c nhn, trong cc hot ng ca c quan Chnh ph, cc tp on, cc cng ty ln, nh v ngay c cc quc gia hng mnh, vic on trc xu th tng lai ng vai tr cc k quan trng trong cng tc qun l, iu hnh, hoch nh chnh sch. C nhiu cch cch d on cc xu th, trong tiu lun ny em xin trnh by v m hnh phn tch, d bo chui thi gian (Time serial) mt phng php ton hc, theo ngi ta c th rt ra c nhng quy lut ca mt qu trnh c quan st thng qua chui s liu. y l m hnh ton hc rt st vi thc t c ng dng hu ht trong cc lnh nh: Vt l, Sinh hc, Nng nghip, K hoch, Tm l, Ngn ng, Kinh t, Ti chnh, Ngn hng,.... ng dng chy m hnh ny c nhiu phn mm tnh ton nh SAS, SPLUS, EVIEW, SPSS, MINITAB, STATA, hoc t nht cng l Microsoft Excell, trong tiu lun em trnh by s b v phn mm Eview, mt cng c tt chy m hnh phn tch chui thi gian. Da trn phng php ra, v s dng phn mm Eview em tnh ton mt bi ton thc t trong
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 3

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s dng s liu v GDP ca Vit Nam kim chng. Kt qu thu c rt kh quan. chnh xc ca d bo l ng tin cy. Tiu lun ngoi phn m u v kt lun, s c 3 chng: Chng 1: Cc kin thc c bn v chui thi gian. Chng 2: Gii thiu s b v phn mm EViews Chng 3: ng dng phn tch thi gian d bo GDP ca Vit Nam

Chng 1: Cc kin thc c bn v chui thi gian

1. Khi nim v cc thsi d v chui thi gian. Mc tiu ca cc phn tch trong kinh t, ti chnh ng dng l ch ra cc quy lut, a ra cc cnh bo, d bo a ra cc quyt nh. d bo c i hi phi c mt s lng cc quan st cho cc i lng thch hp nghin cu mi lin h gia cc i lng ny. Cc quan st ny c th c tin hnh u t qua tng thi k chng hn theo tng thng, theo tng Qu hoc hng nm hoc ch trong nhng thi im c bit nh thi k xy ra khng hong kinh t. Dy cc quan st ny c gi l chui thi gian. Nh vy, chi thi gian l tp hp cc quan st m mi quan st ghi nhn ti thi im t vi t T. Chui thi gian c gi l ri rc nu nh T l tp ri rc (Th d cc quan st c thc hin cch nhau mt khong thi gian u n nh l doanh thu cc ph internet hng thng ca mt nh cung cp dch v internet t thng 12 nm 1997 n thng 12 nm 2010). Tri li nu T l mt khong th chui c gi l lin tc. Biu ghi nhp tim cu mt bnh nhn trong 2 gi l 1 v d minh hoa cho chi thi gian lin tc vi T = [0, 2]. 2. Mc ch ca vic phn tch chui thi gian. Tt c cc k thut d bo chui thi gian da trn gi nh l c mt mu hnh c bn tim n trong cc s liu ang nghin cu cng vi cc yu t ngu nghin nh hng ln h thng ang xt. Cng vic chnh ca phn tch chui thi gian l nghin
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cu cc k thut tch mu hnh c bn ny v s dng n nh l c s d bo cho tng lai. Vn l ch phn ln cc chui thi gian trong cuc sng thc ti l rt phc tp nn cc k thut n gin nh lm trn s liu khng th s dng c cho phng php phn tch chui thi gian. K thut d bo Box Jenkins l phng php d bo cc chui thi gian c phc tp cao. K thut ny c Box v Gwinlym Jenkins xut nm 1970 v thng c gi phng php d bo t hi quy kt hp trung bnh trt (ARIMA - autoregressive integrated moving average). d bo c, trc ht ta gi thit c mt m hnh xc sut biu din dy s liu. Sau khi chn ra mt m hnh gn vi dy s liu, chng ta tin hnh c lng cc tham s ca m hnh, kim tra m hnh c s dng c thch hp khng. Cch tip cn chung phn tch chui thi gina l: - V cc s liu ca chui ln mt mt phng ta xt cc c trng chnh ca chng, ch n + Xu th, + Thnh phn theo ma, + Nhng im thi gian thay i dng iu n, + Nhng quan st d thng. - Kh cc xu th v thnh phn theo ma bng hai phng php chnh: + c long cc xu th hay cc biu din theo ma nh phng php bnh phng ti thiu sau tr cc gi tr ca hnh va c lng vo s liu. + Sai phn s liu: Xt mt chui thi gian mi {Y t} t chui ban u nh ton t sai phn Yt = Xt Xt-d (hoc lp li mt vi ln sai phn nh vy). Mc tiu l nhn c chui dng. Khi nim v chui dng chng ta cp tip phn sau.
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3. D bo D bo l c lng cc gi tr tng lai y t+h vi h 1 ca mt bin ngu nhin d trn cc quan st v cc gi tr qu kh ca n y 1, y2, y3, ,...yn . D bo yt+h thng c k hiu l t(h). Cht lng ca d bo ph thuc vo nhiu yu t. Trc ht n ph thuc vo xu hng pht trin ca chui thi gian. nuu chui thi gian l hm u n theo thi gian th cng d d bo. V d tin trnh pht trin kinh t khng c nhng bit ng c bit nh khng hong kinh t th cc d d bo tng sn phn quc ni GDP cho nhng nm sau. Cho n nay, cc phng php d bo chui thi gian cha c cc nghin cu no cho php d bo c gi tr t bin. Tnh chnh xc ca d bo chui thi gian cn ph thuc xa gn ca thi gian. D bo cc gi tr cng gn hin ti cng chnh xc. Nh vy vic c lng GDP cho nm sau, qu sau s chnh xc hn vic c lng GDP cho 10 nm sau. Ngoi ra, phng php c lng, phn mm h tr cng ng vai tr ht sc quan trng khi thc hin cng tc d bo. Nu ch c phng php v s dng cng c l giy trng v bt ch th s gian kh s v cng khi chng ta mun lm d bo chui thi gian, tuy nhin bng s h tr ca cc phn mm phn tch chuyn bit chng hn nh EVIEWS th vic d bo thc hin kh d dng. Trong phn tip theo em xin trnh by nhng nh ngha c bn nht cn dng cho vic trnh by bo co. thun tin cho vic trnh by trong ni dung bo co em xin b qua cc chng minh phc tp v cc nh l, cc mnh lin quan. 4. Qa trnh dng v phn tch h s t tng quan 4.1 Khi nim v qu trnh dng. Qu trnh dng l qu trnh ngu nhin, c mt vi c trng khng bin i theo thi gian. y l mt khi nim ct li trong vic phn tch chui thi gian. Nu c trng l phn phi ng thi ca cc {Xt} th ta c

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nh ngha 4.1.1: Qu trnh ngu nhin {Xt} c gi l dng theo ngha cht nu nh vi mi t1 < t2 < t3 < .....< tk v h > 0 ta c (Xt1, Xt2, ....Xtk) c cng phn phi vi (Xt1+h, Xt2+h, ....Xtk+h). nh ngha 4.1.2: Gi s {Xt} l chui thi gian vi EXt2 < . Khi a) Hm s x(t) = EXt, t T gi l hm trung bnh b) Hm hai bin x(t, s) := cov(Xt,Xs) = E[(Xt - x(t))(Xs - x(s))] c gi l hm t hip phng sai. nh ngha 4.1.3: Qu trnh ngu nhin gi l dng theo ngha rng nu: a) Hm x(t) := EXt hng s theo thi gian. b) Vi mi h = 0; 1; 2, .... c nh hm s c) x(t+h, t) :=E[(Xt - x(t))(Xt+h - x(t+h))] khng ph thuc vo t, tc l x(t+h, t):= x(t). nh ngha 4.1.4: Nu {Xt} t = 0; 1; 2, .... l qu trnh dng vi EX t2 < th hm (theo h): x(h) = cov(Xt, Xt+h) h = 0; 1; 2, .... gi l hm t hip phng sai (autocovariance) cn x(h) =x(h)/x(0) := cov(Xt, Xt+h) h = 0; 1; 2, .... l hm t tng quan. nh ngha 4.1.5: Chui thi gian {Xt} l tuyn tnh nu n c th biu din di dng: Xt =
j:=

j Zt-j

Vi mi t, trong Zt l dy s c phn phi nhiu trng (WN(0,2 )), cn i l dy cc hng s vi

j:=

j < .

4.2 H s tng quan v t tng quan mu 4.2.1 H s tng quan mu:

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Nu ta quan st c n gi tr ca chui {X t} l x1, x2, ....xn v n gi tr ca chui {Yt} l y1, y2, ....yn Th h s hip phng sai = cov(X,Y) s c biu din bi
= XY - X * Y

Cn h s tng quan ca X v Y c tnh bi cng thc:

XY X Y

( X 2 X 2 )(Y 2 Y 2

( )

( )

'

X=

1 n 1 n x Y = yi L trung bnh s hc ca cc s o xi, yi tng ng v i ; n n i =1 i =1

X2 =

1 n 2 1 n 2 1 n 2 x Y = y XY = i; i; x iy n i =1 n i =1 n i =1

4.2.2 H s t tng quan mu Gi s c quan st {x t} ca chui thi gian {X t}. Khi c lng ca h s t
x(h) cho bi: hip phng sai x(h) l h s t hip phng sai mu
n h ( h) = 1 x X n t =1 t + h

)(x X)
t

V h s t tng quan mu l
( h) = ( h) (0) (vi tr thi gian l h), trong

n = s quan st ca i lng X xt = th hin ca Xt ti thi im t X gi tr trung bnh ca cc th hin ca chui thi gian Nhn vo cng thc ta thy h v h o mi tng quan gia on s liu x 1, x2, ....xn-h vi on s liu xh+1, xh+2, ....xn cch nhau 1 tr thi gian l h. Chng ta d dng chng minh c gi tr h s t tng quan mu h nng gia -1 v +1. Hn n, d dng nhn thy h = h vi tr th gian h. Do vy ta ch xt vi nhng h 0.
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nh ngha 4.2.6. Vi tin cy 1- (hay mc c ngha l ), nu c gi tr

(k ) thuc khong tin cy ny, tc l:

u /2

1 1 < (k ) < u /2 n n

(*)

(k ) c gi l xp x 0 Th (k ) khng tho mn bt ng thc ny, ta ni (k ) khc 0 thc s Nu (k ) ca mt chui tho mn bt Quy tc 4.2.7.1 Nu cc h s t tng quan

ng thc (*) nh ngha 4.2.7 th ta xem rng dy s liu cho c phn b mt

(k ) khng tho mn bt ng thc (*) cch ngu nhin. Ngc li, d ch mt gi tr

th trong chui ang xt nht thit phi c tn ti mt mi lin kt no . (Vit tnh ton nhng h s t tng quan ny s rt kh khn, nu chng ta khng s dng phn mm h tr, vi s tr gip ca phn mm Eviews chng ta c
(k ) nm th kim nh kh d dng bng cch chy lnh v quan st cc gi tr

trong di phn cch gii hn mc ngha 95%, nh hnh nh minh ha di y)

Hnh 1: quan st H s t tng quan v H s tng quan ring ca mt chui s liu theo thi gian Ch : Nu vic phn tch cc h s t tng quan ch ra rng dy s ang xt l ngu nhin, th gia cc gi tr ca s liu khng tn ti mt mi lin kt no c. Do
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vy c m hnh ho tm xu th tim n trong n cgn v ch v ta dng vic phn tch chui thi gian. 4.2.3 H s t tng quan ring H s t tng quan ring l khi nim t c s dng hn so vi h s t tng quan trong vic phn tch chui thi gian. Trn thc t, h s t tng quan ring ch gip cho ta vic nhn dng m hnh t hi quy trung bnh trt ARMA d bo (K thut phn tch m hnh ARMA s c trnh by chng sau). H s t tng quan ring ng vai tr quyt nh trong vic m hnh ho ARMA. Vic hnh dung v phng din l thuyt ca h s t tng quan ring khng qu kh, tuy nhin s tnh ton n cng gp kh nhiu rc ri. cho d hnh dung chng ta hiu l h s t tng quan ring ca chui s liu {X t} nhm o mc kt hp gia chui thi gian {Xt} v chui thi gian tr {Xt-k} khi nh hng ca cc quan st xen vo gia b loi tr (th d k = 4 th ta loi cc X t-1, Xt-2, Xt-3, ra khi vic tnh ton). nh ngha 4.3.7. H s t tng quan ring ca choi thi gian dng {Xt}, c k hiu l (k), chnh l h s tng quan cu hai bin ngu nhin Xt - E[Xt | Xt-1, Xt-2, ....,Xt-k+1 ] v Xt-k - E[Xt-k | Xt-1, Xt-2, ....,Xt-k+1] Ni cch khc (k) o s ph thuc ca X t v Xt-k sau khi loi bo cc nh hng ca gi tr trung gian - Trong hnh 1 trn trung ta c th quan st c gi tr t tng quan ring bng s tr gip ca phn mm Eviews. 5. Phng php d bo chui thi gian ARMA 5.1 D bo chui thi gian dng Gi s ta c chui thi gian dng {X t} vi gi tr trung bnh v hm t tng quan (h) c bit. Ta mun d bo gi tr X n+h theo cc gi tr ca X1, X2, ..........,Xn . Mc tiu ca chng ta l tm mt hm s g(x 1, x2,..........xn) g(X1, X2, ..........,Xn) l d bo cho Xn+h c sai s bnh phng trung bnh nh nht. Ta k hiu d bo tt nht ny l P nXn+h . Ngi ta chng minh c rng trong trng hp {X t}
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c phn phi chun th ta c th chn g l mt t hp tuyn tnh theo c bin x 1, x2,..........xn. Mt khc, phn ln cc chui thi gian trong thc t u c phn phi chun hoc xp x chun, hoc chng ta c th bin i chng tr thnh chui thi gian c phn phi gn chun, v vy l t nhin ta gi thit. PnXn+h = a0 + a1Xn + ...........+ anX1 Vn by gi l tm cc h s a0, a1.............. an 5.2 Qu trnh t hi quy AR (Auto Regressive): Qa trnh t hi quy cp p (k hiu tt AR(p) ) l qu trnh m cc s liu ca chui thi gian s lin h vi nhau theo biu thc: Xt = 1 Xt-1 + 2 Xt-2 + 3 Xt-3 + .....+ p Xt-p Trong : 1 , 2 , 3 ... p : l cc h s ca phng trnh Cn Zt l n trng ( hay l nhiu trng - white noise ), k hiu l WN(0,2), ngha l chui c lp, cng phn phi vi trung bnh zero v phng sai 2. Ta gi chui s liu Xt l t hi quy v gi tr hin ti ca n c truy hi t cc gi tr Xt-1 , Xt-2
....,

+ Zt

Xt-p ng trc n. n trng Zt biu th cc yu t ngu nhin tham gia vo m Cc gi tr 1 , 2 , 3 ... p l cc h s bng s m ta mi quan h gia cc

khng th gii thch c bng m hnh. gi tr thc ti vi cc gi tr trc n. Gi tr ca p l cp ca qu trnh t hi quy AR(p). 5.3 Qu trnh trung bnh trt MA(q): Chui thi gian Xt l qu trnh trung bnh trt cp q (vit tt l MA(q) ) nu: Xt = Zt + 1 Zt-1 + 2 Zt-2 + 3 Zt-3 + .....+ q Zt-q Trong : Zt l dy s c phn phi nhiu trng (WN(0,2 ))

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1, 2 , .....q l cc h s ch mi lin h ca cc ga tr Xt v cc gi tr ca nhiu cho n thi im t. q l cp ca m hnh trung bnh trt MA(q), 5.4 Qu trnh t hi quy kt hp trung bnh trt ARIMA(p,q): M hnh ARIMA(p,q) l s hn hp ca 2 qu trnh AR v MA. Dng chung ca qu trnh c nh ngha bi cng thc sau: Xt = 1 Xt-1 + 2 Xt-2 + 3 Xt-3 + .....+ p Xt-p + Zt + 1 Zt-1 + 2 Zt-2 + 3 Zt-3

+ .....+ q Zt-q (* *) Trong : cc i lng ca cng thc ny c gii thch nh phn 5.3, 5.4. Qu trnh Xt tho mnh (* *) gi l qu trnh t hi quy cp P, trng bnh trc cp q v k hiu l ARMA (p, q). C mt lu l ARIMA(p,0) = AP(p) v ARIMA(0,q) = MA(q). 5.5 K thut d bo qu trnh ARMA Cu hi t ra l khi tin hnh d bo mt chui thi gian theo m hnh ARIMA th lm sao ta bit c l n tun theo mt qu trnh t hi quy AR ( v nu c th gi tr ca p bc ca m hnh bng bao nhiu?) hay mt qu trnh trung bnh trt MA (v nu c th gi tr ca q bc bng bao nhiu) hay mt qu trnh ARMA (v nu c th cc gi tr ca p v q bng bao nhiu) . Phng php ca hai nh khoa hc BoxJenkins s gip ta gii quyt vn ny. Bc 1: Nhn dng v c lng V chui s liu ln mt phng ta v xt cc c trng chnh ca chng, trong phi ch n xu th, thnh phn theo ma, thi im thay i dng iu ln, cc quan st d thng. V th hm t tng quan v hm t tng quan ring , tm cc gi tr thch hp ca p v q. Bc 2: Kim tra: Sau khi la chn c m hnh ARIMA v c lng c cc tham s p, q bc 1, ta phi kim tra xem m hnh c ph hp vi d liu
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quan st c hay khng bi rt c th c mt m hnh ARIMA khc cng ph hp vi cc d liu quan st. Cch kim tra l xem sai s bnh phng (R bnh phng). Cui cng ta s la chn m hnh no c sai s bnh phng nh nht. Vic kim tra nhn dng m hnh bc ny nhiu khi mang tnh ngh thut, phi my m v tn nhiu cng sc mc d c nhng nguyn tc nht nh. Bc 3: D bo: Mt trong s cc l do v tnh ph bin ca phng php lp m hnh ARIMA l s kh chnh xc ca n khi d bo. Tnh chnh xc ca d bo ph thuc vo nhiu yu t. Trc ht n ph thuc vo xu hng pht trin ca chui thi gian, chng hn nu tin trnh pht trin kinh t khng c nhng bin ng c bit th d dng d bo tng sn phm quc ni GDP cho nhng nm sau. Cht lng d bo cn ph thuc cn ph thuc vo thi gian nh d bo. D bo cng gn hin ti th cng chnh xc. Hin nhin vic d bo GDP cho nm sau s chnh xc hn vic d bo GDP cho 10 nm tip theo.

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Chng 2: Gii thiu s b v phn mm Eviews

Hin nay, trn th gii c trn 300 phn mm chuyn dng cho phn tch s liu thng k, ti Vit Nam hin nay cng c nhiu phn mm phn tch s liu c s dng nh EXCEL, SAS, SPSS, S_Plus, Statisca, STATA, EVIEWS c dng mt s trng i hc, c s nghin cu hoc mt s c quan qun l.v.v. Cc phn mm ny u c im chung l gip chng ta x l d liu mt cch nhanh chng. Tuy nhin mi phn mm li c nhng c im ring. STATA c th tt cc d liu t cc cuc iu tra thng k ln. SPSS c u im x l d liu m t tt di dng bng biu; EXCEL th c khp mi my tnh PC thng thng m khng cn phi ci t g thm . . . Trong phn tip theo xin gii thiu phn mm phn tch s liu EVIEWS hin ang c dng nhiu vit Nam hin nay. u im chnh ca EViews c th l gip chng ta tim ra cc quan h thng k v d bo gi tr tng lai t cc kt qu hin c. Cc lnh vc m Eviews cho kt qu nhanh chng v rt tin ch l D bo doanh s Phn tch chi ph v d bo D bo cc ch tiu kinh t lng
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M phng Phn tch v nh gi s liu khoa hc Phn tch ti chnh, phn tch chui thi gian v d liu dng bng.

Eviews chy trong mi trng Window c pht trin bi cng ty QMS (Quantitative Micro Software a ch www.eviews.com ). Phin phi mi nht ca Eviews l phin bn 5.0. Vic s dng Eviews khng qa kh i vi ngi quen lm vic vi mi trng Windows bi Eviews s dng h thng bng chn v cc hp hi thoi. Mt s tnh nng c bn v c th ca Eviews nh sau: Cho php Nhp, m rng va hiu chnh s liu (lm sch s liu) Tnh ton cc thng k m t: Ma trn h s tnga quan, ma trn hip phng sai Tnh cc chui s liu da trn cng thc v cc hm mu V v in cc th, cc biu c lng v m hnh hi quy tuyn tnh bng OLS(Ordinary Least Squares, TSLS = Two- Stage Least Squares), c lng m hnh ph tuyn c lng m hnh Probit and Logit c lng h phng trnh tuyn tnh v ph tuyn c lng v phn tch vc t t hi quy Qu trnh c sai s trung bnh trt v t hi quy theo ma Tr phn phi a thc D bo d trn phng php hi quy
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Gii cc m hnh nhiu phng trnh Theo di d liu theo thi gian (lch s ca d liu) Dc v ghi ra fie d liu di dng bng chun Khi s dng Eviews thng thng s chy qua 3 bc sau: Bin tp d liu (Data Editing): Ngi s dng c th bin tp d liu cho cc m hnh phn tch thng qua Menu v cc cu lnh thn thin vi ngi s dng Window nh: New, Open, save, save as . Tnh ton d liu (Data Computing). Eview c th cung cp cng thc tnh ton tng i phc tp, ngi s dng phi c nhng am hiu nht nh v mt ngha thng k ca cng thc ny. Phn tch thng k (Satatistical Analysis): Eviews c th thc hin c cc k thut lit k trn. Cc thuc tnh quan trng ca chng trnh Eviews i tng: i tng trong Eview l cc chui s liu ( series), cc biu thc ton hc, m hnh, ma trn, bin s, bng biu, th.v.v. Mi mt i tng c s dng tng ng thng qua cc chc nng ca menu trn ca s chng trnh. Ca s chnh: Xut hin ngay sau khi khi ng Eviews, gm mt thanh tiu , mt menu chnh, ca s lnh, dng trng thi v vng lm vic. Vng lm vic s xut hin chnh gia ca s chnh v hin th khi cc i tng c to ra. Ca s lnh: Xut hin pha di thanh Menu trong ca s chnh, c dng tin hnh nhng cu lnh n gin. Ca s tp tin lm vic (workfile window): Ca s xut hin khi ti ca s chnh ta click chut vo Menu File/New/Workfile. Khi a cc m hnh vo chy trn Eviews
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

chng ta cn thit lp d liu cho m hnh bng cch nhp d liu vo t ca s Workfile. Ca s ny chnh l bc u tin ngi dng bt u vi Eviews. Ca s Group (Group window): Ca s xut hin khi chn cng lc nhiu bin s (2 bin tr ln) trn ca s Workfile. Sau chn Open/ as Group. Trong ca s ny d liu liu xut hin trn cc bng tnh khc nhau, v chng ta c th quan st chng bng cch bin i thnh cc th. Ca s biu thc (Equation window): Ca s xut hin khi ti Menu chng trnh ta chn Objects/New objects/Equation, hp hi thoi hin ra cho php nhp nhng biu thc cn s dng vo. Ti y s hin th cho ta nhng kt qu t nhng tnh ton c lng cng thc nhp vo. Ca s dy s liu: Hin th cho ta chui s liu theo thi gian trn cc bng tnh khc nhau bng cch click vo tn bin trn c hin th trn workfile. Phn tip theo trong bi vit ny xin gii thiu vi bn c mt s thao tc lm vic vi Eviews : - Khi ng v copy d liu - Gii thiu Menu chnh trong ca s EViews - Workfile - Nhp d liu t phn mm khc - Nhp d liu bng Copy v Paste - Nhp d liu bng bn phm - V th Khi ng Eviews Ci t theo ti liu hng dn c km theo phn mm. Biu tng ca EViews trn mn hnh Windows nhn nh th ny :
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 17

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Nhn p vo biu tng EViews v EViews bt u hot ng. Hy ghi nhn menu chnh, ca s lnh, ca s chnh v dng trng thi (status line). Menu chnh bao gm nhng la chn sau: File; Edit; Objects; View; Procs; Quick Options; Window Help Nhp chut vo mi mt trong nhng la chn ny v kim tra cc Menu con xut hin pha di. Khi m EViews ln u tin, ca s chnh cn trng v cha xc nh tp tin lm vic no (workfile) s dng .

M tp tin lm vic (Workfile) lu gi t trc: T File/Open/Eviews Workfile; mt mn hnh m ra, trn lit k cc tp tin trong th mc mc nh (default folder). Nu th mc mc nh khng phi l th mc m ngi s dng
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

mong mun, th c th tm trong cc th mc cho ti khi tm ra th mc m ngi s dng mun dng

ch ra cc workfile trn EViews, dng "Files of type" cn xc nh Workfile (*.wf1). V ngi s dng d nh s lm vic vi th mc ny thng xuyn th nhp chut nh du vo vung gip cp nht th mc mc nh gc tri-phi di ca s Open nh trn y. Ln sau, khi khi ng EViews, khi thc hin thao tc File/Open/Eviews Workfile s t ng ch ti th mc ny.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

M workfile c tn demo bng cch nhp p vo n. Cch khc,ngi s dng c th bi en n bng cch nhp n, sau nhp Open. Vi workfile ang m , mn hnh c dng:

Thanh trn cng trn menu ca Workfile ch ton b ng dn i vi Workfile ny; thanh trng trng di y ca mn hnh cng ch ng dn ny, v n ch workfile ang s dng : WF = demo. Menu ca workfile cha cc nt bm dnh cho View; Procs, Objects, Print. Save, Detail +/-, Show , Fetch, Store, Delete, Genr, Sample Cc phm bm vi +/ - l cc phm chuyn i thc hin cc chc nng bt v tt. Thng tin v workfile ny xut hin di thanh menu: Range; Display Filter Default Equation; Sample

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Cui cng, pha trong ca s ca workfile, chng ta thy tt c cc i tng ang c mt trong workfile ny : cc chui (cc bin ), cc nhm chui , vector h s , vector phn d, v bt c phng trnh, th hay bng no c t tn. By gi hy ng demo.wf1 bng cch nhp vo du X gc phi pha trn ca workfile ny. By gi hy nhp File. Ghi nh rng cc workfile mi m gn nht s hin ra pha di cng ca menu tri ra pha di. Nu ngi s dng mun m li mt trong s , ch vic nhp vo tn ca n.

Nhp d liu t cc phn mm khc D liu c th c nhp vo t cc tp tin Lotus, Excel, SPSS, MINITAB hoc ASCII. Trong mi trng hp u dng phng php nh nhau. D liu ny nm trong mt tp tin Excel c tn DEMO.xls. Ngi s dng cn kim tra li tp tin ny bng cch m file nay ra xc nh - Tp tin ny c bao nhiu bin, - C phi cc tn ca bin xut hin phi trn ca tp tin khng , - Khng cch gia cc ct d liu - C bao nhiu quan st (bao nhiu hng d liu).
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Sau ng tp tin ny li.

Tr li vi menu chnh : nhn File/New/Workfile. Bng vic nhp New trong chui ny chng ta bo cho EViews rng chng ta c nh pht trin mt workfile mi. Vic ny lm cho EViews m ra mt hp thoi chng ta xc nh cc thuc tnh nht nh ca d liu, nhp vo Workfile structure type "unstructured/ undated," v chng ta nh my 27 vo "observation.". Ti Names (optional) nu ta g tn vo th Eview s s dng tn lm tn mc nh ca Workfile trong trng hp chng ta khng g g Eviews s mc nh tn l UNTITLED.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

By gi hy nhp OK. Mt workfile mi xut hin vi tn l UNTITLED (do ta khng g g vo phn Names (optional)). Nhn Procs/Import/Read Text-Lotus-Excel... v mt hp thoi xut hin m cc tp tin. Hy m bo l dng files of type ch Text-ASCII. Excel v Lotus cng l nhng la chn c sn. Hy a v DEMO.XLS v nhp m n.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Mt hp thoi khc - phc tp hn - xut hin. a danh sch cc bin vo theo th t OBS, GDP, PR, M1, RP.Kim tra li cc la chn cn li (bn khng cn bt c la chn no ).

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

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Nhn OK v d liu uc nhp vo. Xem v kim tra d liu: x dng phm Ctrl v nhp chut vo cc bin gdp, M1, obs, pr, rp sau nhp p vo vng nh du bng d liu s c hin ra nh sau:

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Lu gi EViews workfile mi ny l mt hay. Nhp File/Save As v lu gi tp tin ny di tn pm . EViews t ng b sung thm phn ui .wf1 ca workfile. Nhp d liu bng cch copy v dn (Copy v Paste) Sau khi cc bin c xc nh, cc gi tr ca chng c th c thu vo bng cch s dng lnh copy, sau dn vo hnh ca bng tnh EViews. Ngi s dng c th copy v dn t nhiu ngun, bao gm c th in t. i khi ngi s dng phi lu gi d liu ny trc ht nh l mt tp tin ngn ng (text file), sau copy v dn n. Trc khi bt u thao tc copy/paste ny, ngi s dng phi to ra cc bin trong workfile mc tiu. Hy tng tng rng ngi s dng mun copy v dn mt bin c tn X vo workfile ca mnh. u tin, hy m workfile ny, sau nhp Genr v nh my X = NA; hnh ng ny to ra mt bin c tn X nhng tt c cc gi tr ca n u khng c .

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

M Bin X bng cch click ln bin X trn mn hnh Workfile. By gi nhp Edit+/- . Lc ny, Ngi s dng hy bi en v copy d liu cho X t ngun ca n, sau nhp vo u tin ca bin X trn EViews v nhp Edit/Paste phn menu chnh. D liu ny ri vo v tr v Anh/Ch hon tt thao tc ny bng cch tt edit (nhp Edit+/-).

Nhp d liu qua bn phm

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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

Bo co mn hc Phng php ton trong tin hc

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Phng php ny n gin nhng phin phc; nu vic np d liu cn c thc hin bng tay th ngi ta thch lm bng cch s dng mt chng trnh bng tnh (nh l Excel), sau nhp vo EViews. Lm vic trong mt Workfile Trong phn ny chng ta i tm hiu cch thc lm vic trong mt Workfile qua vic thc thc hin cc mc tiu nh thng k m t, v th, xy dng hm kinh t lng . . . La chn cc i tng t mt Workfile Nhp File/Open/Eviews Workfile sau nhp p vo demo_sy.wf1. Vi mc ch la chn mt i tng (hoc nhiu i tng) lm vic, Ngi s dng hy bi en chng. Nu Anh/Ch mun bi en nhiu i tng, th hy gi phm Ctrl v nhp vo mi mc , hoc ko con tr qua cc mc m bn mun bi en. Hy bi en gdp v M1. Nhp p vo mt trong cc mc bi en (hoc nhp chut phi), chn Open as Group, v sau c hai mc u hin trn bng tnh. Nhp name v tn t tn cho nhm GDP_M1; ng bng tnh li.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Nhp vo nhm GDP_M1; by gi n c bi en. Nhn p vo n, v n m ra thnh dng bng tnh. Xem v bin tp cc hng mc vo Workfile Kim tra chui cons v inc. Hy s dng cc phm di chuyn trn bng tnh. V th trong Eviews Nhn View/Graph/Line trn menu ca nhm.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

EViews cp nht nng ng cc th v bng tnh cho ph hp vi cc thay i trong d liu. Nu chng ta mun lu th ny nh mt ghi nhn cho d liu gc, th chng ta c th nhp vo phm Freeze, sau t cho th ny tn gi : Graph_1 (hay bt c tn no bn mun). Lu rng khi chng ta Freeze (ng bng) th ny, cc la chn trong menu mi s sn sng.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Tm cc tiu thc thng k ca mu Nhp View/Descriptive Statistics/Common Sample

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

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Tnh h s tng quan gia cc bin trong EViews Nhp View/Correlations

Nu my vi tnh ca ngi s dng c kt ni vi mt my in, th c th in bng cch nhp vo Print. V th khng cn m chui di dng bng By gi hy tr li workfile. Hy vo menu chnh v nhp vo Quick/Graph dng v th linh ng hn. Cch v ny khng cn phi m chui d liu nh cch v trn.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Mt ca s m ra yu cu ngi s dng xc nh chui hoc cc nhm; n ch ra GDP_M1; Ngi s dng cn nh my cons inc v nhn OK. Mt ca s m ra cho php Anh/Ch la chn nhiu phng n v th khc nhau. Nhn vo phm ? pha di Graph Type, chn Scatter Diagram, v nhn OK. Bin m Ngi s dng lit k u tin c v trn trc honh. Hy lu ti s a dng ca cc la chn trong menu.

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

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Chng 3: ng dng phn tch thi gian d bo GDP ca Vit Nam

Cc ch tiu kinh t v m nh tng sn phm trong nc (GDP), tng thu nhp quc gia (GNP ), tch ly ti sn, tiu dng cui cng, xut nhp khu hng ha dch v, ... thu ht s quan tm khng ch ca cc nh qun l, hoch nh chnh sch, cc nh kinh t v m m cn c gii doanh nghip, cc nh u t nc ngoi v cc t chc ti chnh kinh t quc t. Vit Nam ch tiu tng sn phm trong nc (GDP) c s dng ph bin rt nhiu lnh vc, c bit trong cng tc ch o, iu hnh nn kinh t ca cc nh lnh o ng v Nh nc. Trong phn tch ti chnh ngn sch ch tiu GDP c

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

s dng cng vi mt s ch tiu khc to thnh nhng ch tiu tng hp quan trng: - T l ng vin GDP vo Ngn sch Nh nc - Chi Ngn sch Nh nc so vi GDP - T l chi u t so vi GDP - T l bi chi Ngn sch Nh nc so vi GDP - Gnh nng n (tng s n quc gia/chnh ph so vi GDP ca nm) . Thi gian gn y Tng cc Thng k cng b nh k trn cc phng tin thng tin i chng v tc tng trng GDP theo tng qu trong nm. Vi cc nh kinh t vic nghin cu, phn tch a ra cc cnh bo nh hng n tng hay gim GDP s gip ch rt nhiu cho cc nh qun l a ra cc quyt nh ca mnh. Bn cnh nu chng ta d bo c GDP tuy khng th chnh xc tuyt i nhng mc sai s cho php th rt c ngha. Trong chng ny em xin trnh by v cch vn dng phng php d bo chui thi gian trn c s s dng phn mm Eviews d bo GDP ca Vit Nam trong nm 2011. Trong phn ny chng ta s i nghin cu chui thi gian GDP Vit Nam t Qy 1 nm 1999 n Qy 4 nm 2005 ( ln ca mu l 28 quan st). ng thi s dng cc k thut d bo ca m hnh ARIMA trnh by trn d bo GDP ca Vit nam trong Qy 1 v Qu 2 nm 2006. Hnh 3.1: Biu GDP theo thi gian

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Hnh 2. th bin din s liu GDP theo Qu ca Vit Nam t nm 2000-2010 (Ngun: Tnh ton ca tc gi t d liu ca GSO) Ta c nhn xt nh sau: Trong giai on t nm 2000 n nm 2006 GDP ca Vit Nam c Quy lut qu 1 bao gi cng c gi tr nh nht so vi cc qu trong mt nm, tip GDP qu 3 c gi tr nh hn GDP qu 2 v qu 4, GDP qu 2 c gi tr ln qu 1 v qu 3 tuy nhin thp hn GDP qu 4. GDP qu 4 c gi tr ln nht trong cc qu. Trong giai on 2007-2010 GDP ca Vit Nam tng ln kh u n theo tng qu, tuy nhin quy lut c thay i, GDP ca Qu 3 ln hn GDP ca qu 2, Qu 1 thp nht, GDP qu 4 cao nht, iu ny gi cho ta s s dng m hnh phn tch chui thi gian ARIMA d bo GDP ca Vit Nam. Bc 1: Nhn dng m hnh: Chng ta v biu t tng quan v t tng quan ring nhn dng m hnh

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Hnh 3: Nhn dng m hnh bng biu t tng quan v t tng quan ring Hnh 3 Cho chng ta thy biu ca hm t tng quan (Autocorrelation) v hm t tng quan ring (Partial Correlation) ring ca chui GDP Vit Nam u vt ra khi di phn cch ( ) t y chng ta thy chui thi gian GDP l chui dng v chng ta xc nh bc ca m hnh ARIMA tc l i xc nh bc ca AR v bc ca MA. Ta quan st c bc ca AR l p =1,2,3... 8. Bc ca MA l q= 1, 2, 5 Bc 2: Thit lp m hnh d bo v c lng m hnh ARIMA d bo GDP qu 2 nm 2010.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 37

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Bng vic m phng cc m hnh trn phn mm EVIEW chng ta i kim nh m tng ng vi bc ca cc h s p, q nu trn. Nh cp vic kim nh ny mang tnh Ngh thut, c ngha l chung ta dng phng php th, sai la chn m hnh tt v chp nhn c v mt kim nh thng k, kt qu cui cng ta c lng c m hnh vi phng trnh nh sau: GDP2010 = C(1)*GDP2010(-4) + [AR(1)=C(2)] Cc h s tng ng l: GDP2010 = 1.156270893*GDP2010(-4) + [AR(1)=0.6958877702] M hnh c lng h s tng quan bi R_squared = 0.987654 rt gn vi gi tr 1, iu ny cho thy mc tin cy 95%, m hnh d bo ca ta l chp c, ta kim tra v kim nh thng k ca m hnh Durbin-Watson = 1.540024 cng l chp nhn c. C th nh sau:

Hnh 4. M hnh d bo GDP ca Vit Nam Ta tip tc kim tra phn d ca m hnh xem phn d c l phn phi nhiu trng khng?

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Hnh 5: Kim nh phn d ca m hnh d bo GDP Vit Nam Kim tra tnh chnh xc ca m hnh: kim tra m hnh xem c ph hp

hay khng, chng ta phi i kim tra phn d ca m hnh. Phn d ca m hnh phi m bo phn phi nhiu trng (white noise), nu n phn phi theo nhiu trng iu ny ng ngha vi phn d ca m hnh l hon ton ngu nhin. Bng mt vi thao tc lnh trn phn mm EVIEW ta quan st biu t tng quan v t tng quan ring ca phn d m hnh, ta nhn thy cc gi tr t tng quan v t tng quan ring u nm trong 2 gii gii hn ( chn trn. ), iu cho chng ta thy phn d ca m hnh hon ton ngu nhin nh vy ta c th tin tng hu chc chn vi m hnh la

Kim nh White kim nh xem phng sai ca sai s thay i hay

thun nht.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 39

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Eviews c sn kim nh White. Ta dng ngay kim nh ny bng cch chn. View/Residual Test/White Hetereoscedaticity (no cross terms). Trong trng hp ny khng c s hng cho v ch c mt bin c lp GDP2010(4). Trong trng hp c nhiu bin c lp, khi c th a thm s hng cho, bng cch chn. View/Residual Test/White Hetereoscedaticity ( cross terms). White Heteroskedasticity Test: F-statistic 7.06865 Probability 7 Obs*R-squared 10.8664 Probability 3 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 12/30/10 Time: 11:29 Sample: 2001:2 2010:2 Included observations: 37 Variable Coefficient C -3.98E+08 GDP2010(-4) 3396.687 GDP2010(-4)^2 -0.003111 R-squared 0.293687 Adjusted R0.252139 squared S.E. of regression 2.79E+08 Sum squared 2.64E+18 resid Log likelihood -770.4070 Durbin-Watson 2.049683 stat GDP2010(-4) v GDP2010(-4)^2. Gi tr ca thng k 2 = Obs*R-squared = 10.86643, vi p-value =0.004369. C hai kim nh ny u cho bit phng sai ca yu t ngu nhin khng ph thuc vo GDP2010(-4) v GDP2010(-4)^2, ngha l phng sai khng thay i.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 40

0.002710 0.004369

Std. Error t-Statistic 2.93E+08 -1.359719 2558.905 1.327399 0.004877 -0.637858 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Prob. 0.1829 0.1932 0.5278 1.56E+08 3.22E+08 41.80578 41.93640 7.068657 0.002710 ph thuc vo

Gi tr ca thng k F = 7.068657 cho bit RESID^2 khng

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Kim nh BG (Breusch -Godfrey) pht hin t tng quan sai s Eviews thc hin kim nh BG mt cch t ng. Sau khi c lng m hnh ta chn VIEW v tip tc theo bng sau y: View/Residual test/Serial Correlation LM test Residual test: Kim nh phn d Serial Correlation LM test: Kim nh tng quan chui bng nhn t Lagrange. Bng sau y s tip din, cn nhp vo bc ca t tng quan. Trong trng hp ny l 4. Breusch-Godfrey Serial Correlation LM Test: F-statistic 2.294871 Probability Obs*R-squared 8.280584 Probability Test Equation: Dependent Variable: RESID Method: Least Squares Date: 12/30/10 Time: 11:43 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic GDP2010(-4) 0.023747 0.026887 0.883211 AR(1) -0.204826 0.630132 -0.325053 RESID(-1) 0.260455 0.602419 0.432349 RESID(-2) 0.332614 0.439791 0.756299 RESID(-3) -0.132484 0.384757 -0.344332 RESID(-4) -0.442480 0.338897 -1.305648 R-squared 0.223800 Mean dependent var Adjusted R0.098606 S.D. dependent var squared S.E. of regression 11967.72 Akaike info criterion Sum squared resid 4.44E+09 Schwarz criterion Log likelihood -396.6563 Durbin-Watson stat Gi tr ca F = 2.294871, p = 0.081509; (n-1)*R2= 8.280584, p = 0.081824. 0.081509 0.081824

Prob. 0.3839 0.7473 0.6685 0.4552 0.7329 0.2013 966.5613 12605.33 21.76521 22.02644 2.069071

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

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C hai thng tin trn u i n kt lun khng tn ti hin tng t tng quan phn d n tng quan cp 4. Bc 3: D bo T kt qu c lng cc h s trn ta c chuyn i d dng sang d bo GDP. Cch chuyn i ny c thc hin bng phn mm EVIEW mt cch n gin nhp FORECAST v chn cc OPTIONS tng ng cn thit. Ta nhn c kt qu d bo GDP ca Vit Nam trong Qu 2 nm 2010 theo gi thc t l GDP d bo = 496235 t ng. So snh vi s liu m Tng Cc Thng k cng b GDP qu 2 nm 2010 theo gi thc t l GDP thc t = 508996 t ng ta nhn thy s liu GDP d bo chnh lch vi s liu GDP thc t l kh nh 12761 t ng (xp x 2,5%). Tin hnh quan st biu gia s GDP thc t v s GDP d bo theo m hnh nhn thy 2 ng biu din ny kh trng khp nhau:

M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam

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Bo co mn hc Phng php ton trong tin hc

Bi Tin S

Hnh 6: So snh biu s liu ca GDP thc t v GDP d bo.

Kt lun
1. M hnh Phn tch chui thi gian ARIMA l mt k thut d bo kh phc tp v mt l thuyt, tuy nhin vi s tr gip ca cc phn mm chuyn dng nh EVIEWS, SPSS, STATA . . . th vic ng dng n cng tr nn n gin, vic chuyn giao cng ngh ny phc v cho tc nghip cc c quan hoch nh v ban hnh chnh chnh sch ca Nh nc l rt cn thit. 2. M hnh ARIMA rt thch hp cho cc d bo ngn hn, c th tn sut quan st l ngy, tun, thng, qu, nm . . . V c ngha quan trng khi chng ta ng trong vic d bo cc chui s liu v ti chnh, gi c nh: Gi chng khon, gi c hng ho, gi vng, gi du,.... 3. S dng phng php d bo bng chui thi gian khng cho chng ta bit c cc nguyn nhn tc ng ti kt qu d bo m ch khng nh quy lut ca s liu cho chng ta kt qu d bo l nh th (Phng php chui thi gian khng d bo c cc bin ng t xut). Phng php ny khc vi cc phng php d bo
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 43

Bo co mn hc Phng php ton trong tin hc

Bi Tin S

khc nh m hnh hi quy, kinh t lng l cc phng php d bo trong c bin d bo, bin ph thuc, kt qu ca d bo c dng ln theo kch bn d bo, ngha l ta phi a vo m hnh cc gi nh ca cc bin ph thuc. Chng hn khi d bo GDP theo phng php kinh t lng ta phi a ra kch bn cho nm nm 2011 v d l li xut = 15%/1nm, t gi VN/USD = 20000VN/1USD,... 4. Bng cc kim nh thng k trnh by trn chng ta khng nh c m hnh d bo nh trn l kh tt. Vic d bo GDP ca Vit Nam trong nm 2011 ta c thc hin c c bng cnh tip tc cp nht s liu c ca Qu 3/2010 v Qu 4/2010 (cui thng 12/2010 Tng cc Thng k s cng b s liu Qu 4) v bng nhng thao tc s dng phn mm Eviews theo cc k thut ca M hnh ARIMA trnh by ./. Ti liu tham kho chnh: [1] Tp bi ging mn hc Phng php ton trong tin hc ca PGS.TS Vn Nhn. [2] Do Van Nhon and Dang Van Hung, A Systematic Design of Real-time Systems using Duration calculus, United Nations University/International institute for Software Technology 2000. [3] Nguyn Vn Hu - Nguyn Hu D, Phn tch thng k v d bo, NXB i hc Quc gia H Ni, 2003

[4] Bi Tin S, Phn mm phn tch s liu Eviews, Tp ch Tin hc ti chnh, s 20 xut
bn thng 02/2005. [5] Bi Tin S, Phn tch chui thi gian v d bo GDP Vit Nam, Tp ch Tin hc ti chnh, s 37 xut bn thng 07/2006.

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