Bo co kt qu d bo bng phng php VAR/VECM Nhm 24

I HC QUC GIA TPHCM

I HC KINH T LUT
KHOA KINH T HC

TI NGHIN CU

NG DNG M HNH VAR/VECM D BO TNH HNH

LM PHT VIT NAM

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SVTH : Nhm 24
1. Trn Th Minh Trang K104010084
2. Nguyn Th Trng K104010087
3. Nguyn Trang Anh Tun K104010095

TpHCM, ngy 27 thng 10 nm 2012

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MC LC
CHNG I: TNG QUAN V PHNG PHP PHN TCH M HNH T HI QUY
VECTOR V M HNH VECTOR HIU CHNH SAI S VECM ............................................ 3
1.

Gii thiu ............................................................................................................................ 3

2.

L do chn ti................................................................................................................. 3

3.

Mc tiu nghin cu ........................................................................................................... 4

4.

i tng nghin cu ......................................................................................................... 4

5.

Phm vi nghin cu ............................................................................................................ 4

CHNG II: C S L THUYT PHN TCH M HNH VAR/VECM ................................. 4

C s l thuyt .................................................................................................................... 4

1.

1.1

M hnh t hi quy vector VAR ................................................................................... 4

1.1.1

Khi nim .............................................................................................................. 4

1.1.2

Mt s vn xy dng m hnh VAR: ................................................................. 5

1.1.3

Phng php c lng m hnh VAR................................................................ 5

1.2

M hnh vector hiu chnh sai s VECM ..................................................................... 7

1.2.1 Hi quy gi mo ......................................................................................................... 7

1.2.2 ng lin kt .............................................................................................................. 7
1.2.3

Mi quan h nhn qu Granger ............................................................................. 8

1.2.4 M hnh vector hiu chnh sai s VECM( vector error correction model) ................ 8
CHNG III: PHNG PHP LY D LIU. ........................................................................... 9
1.

Ngun d liu ..................................................................................................................... 9

2.

Cch ly d liu ................................................................................................................ 10

CHNG 4: KT QU PHN TCH, LA CHN M HNH V D BO. ........................ 10

1.

M hnh VAR ............................................................................................................. 10

2.

M hnh VECM .......................................................................................................... 17

CHNG 5: KT LUN CHUNG .............................................................................................. 24

1.

Kt lun m hnh d bo ................................................................................................... 24

2.

nh gi tnh hnh lm pht Vit Nam .......................................................................... 24

3.

Tnh kh thi ca m hnh VAR v VECM ....................................................................... 24

4.

Hn ch ca bi bo co.................................................................................................... 24

TI LIU THAM KHO: ........................................................................................................... 25

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CHNG I: TNG QUAN V PHNG PHP PHN TCH M HNH T HI

QUY VECTOR V M HNH VECTOR HIU CHNH SAI S VECM
1. Gii thiu
Nh chng ta bit, mi quan h gia cc bin s kinh t khng phi lc no
cng ch mang chiu hng nht nh. Cc bin s c lp (bin gii thch) khng
phi lun lun tc ng ln bin ph thuc m trong nhiu trng hp bin ph thuc
li tc ng ngc ln bin c lp. m bo tnh hp l, ta phi xt nh hng
qua li ca nhng bin ny cng mt lc. Chnh v th m hnh kinh t lng m ta
phi xt n khng phi l m hnh mt phng trnh m l m hnh nhiu phng
trnh.
Tuy nhin, c lng c cc m hnh ny ta phi m bo rng cc phng
trnh trong h c nh dng, mt s bin c coi l ni sinh (bin m gi tr c
xc nh bi m hnh, l bin ngu nhin) v mt s bin khc c coi l ngoi sinh
hay xc nh trc (ngoi sinh cng vi ni sinh tr).
Vic nh dng ny thng c thc hin bng cch gi thit rng mt s bin
c xc nh trc ch c mt trong mt s phng trnh. Quyt nh ny thng
mang tnh ch quan v b Chrishtopher Sims ch trch. Theo Sims, nu tn ti mi
quan h ng thi gia mt s bin th cc bin ny phi c xt c vai tr nh
nhau, tc l tt c cc bin xt n u l bin ni sinh. Da trn tinh thn m
Sims xy dng m hnh vector t hi quy VAR. M hnh VECM l mt dng ca
m hnh VAR tng qut, c s dng trong trng hp chui d liu l khng dng
v cha ng mi quan h ng kt hp.
2. L do chn ti
Nh chng ta bit, m hnh ARIMA ch tin hnh phn tch cc bin s kinh t
trn mt chui thi gian. Khi chng ta c nhiu chui thi gian khc nhau v cn phi
xem xt mi quan h, tc ng qua li gia chng th m hnh VAR v m hnh
VECM l mt s la chn ph hp.
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M hnh VAR xem xt mi quan h gia nhng chui thi gian khc nhau. Nhn
chung, y l m hnh m rng cho nhiu chui thi gian ca m hnh ARIMA.
c bit, trong ti nghin cu ny, m hnh VAR v VECM rt thch hp trong
vic d bo tnh hnh lm pht Vit Nam cng nh th gii nhm a ra nhng gii
php ph hp.
3. Mc tiu nghin cu
- Cc khi nim trong phn tch m hnh t hi quy vector VAR v m hnh vector
hiu chnh sai s VECM.
- Phng php xy dng m hnh VAR v m hnh VECM.
- La chn khong tr thch hp.
- So snh cc m hnh v la chn m hnh ph hp.
- Quy trnh thc hin d bo bng 2 phng php trn.
- Gii thch ngha kinh t ca cc kt qu d bo.
4. i tng nghin cu
D bo tnh hnh lm pht Vit Nam trong tng lai c s bin ng nh th
no. T hoch nh cc chin lc vi m, v m, u t trong thi gian ti.
5.
-

Phm vi nghin cu
Dng d liu: tt c dng d liu.
Lng d liu: cng nhiu quan st cng tt.
di d bo: trung hn.

CHNG II: C S L THUYT PHN TCH M HNH VAR/VECM

1. C s l thuyt
1.1 M hnh t hi quy vector VAR
1.1.1 Khi nim

M hnh VAR l mt h phng trnh ng thi. trong cc bin u l bin ni

sinh. Bin c lp l cc bin ni sinh cc thi k tr.
Cu trc ca mt m hnh VAR gm nhiu phng trnh (m hnh h phng
trnh) v c cc tr ca cc bin s. Var l m hnh ng ca mt s bin thi gian.
Xt hai chui thi gian Y1 v Y2. M hnh Var tng qut i vi Y1 v Y2:

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p

Y1t iY1t 1 iY2t i U1t

p

Y2t iY1t i iY2t i U 2t

Trong m hnh trn, mi phng trnh u cha p tr ca mi bin.

Vi 2 bin: m hnh c 22 p h s gc v 2 h s chn.
Suy ra vi k bin m hnh c k 2 p h s gc v k h s chn. iu ny i hi s
quan st phi nhiu th kt qu c lng mi c ngha.
1.1.2 Mt s vn xy dng m hnh VAR:

u im:
Khng cn xc nh u l bin ni sinh hay ngoi sinh.
Nu di tr ca cc bin trong cc phng trnh u ging nhau,
ta c th dng phng php OLS c lng, khng cn dng ti
cc phng php c lng h phng trnh.
Hn ch:
M hnh VAR t ph hp cho vic d bo chnh sch.
Tt c cc bin phi dng, nu cha th phi ly sai phn m bo
chui dng. Kh khn hn na khi c mt hn hp cc bin dng v
khng dng.
Kh khn trong vic la chn khong tr thch hp.
Do s quan st l c hn, nu tng di ca tr s lm cho bc t
do b gim, nh hng n cht lng cc c lng.
Trong mt s trng hp, gii thch du ca cc h s khng phi d
dng. C th cng mt bin s nhng cc tr khc nhau li c bin
khc nhau.
1.1.3 Phng php c lng m hnh VAR

Bc 1: Xt tnh dng ca cc bin trong m hnh. Nu cha dng th dng

k thut sai phn a v cc chui dng
Bc 2: La chn khong tr ph hp.
*** Cc cch xc nh khong tr thch hp:
Cch 1: kim nh t tng quan (nhc li chng hi quy).
Hu qu ca t tng quan
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Cc c lng OLS vn l c lng tuyn tnh, khng chch, nhng
chng khng phi l c lng hiu qu na.
Phng sai c lng c ca OLS thng l chch. Khi tnh phng sai
v sai s tiu chun ca cc c lng OLS thng cho nhng gi tr thp
hn cc gi tr thc v do lm cho gi tr ca t ln, dn n kt lun sai
khi kim nh.

2 =RSS/df l c lng chch ca 2 v trong mt s trng hp l chch

v pha di.
Ga tr c lng R 2 c th khng tin cy khi dng thay th cho gi tr
thc ca R 2
Phng sai v sai s tiu chun ca cc gi tr d bo khng c tin cy.
Kim nh t tng quan
-

Phng php th
Thng dng th phn d theo thi gian, gin t tng quan, th

tn sut v th RESID(-1) v RESID theo thi gian.

-

Kim nh LM ca Breusch Godfrey

Bc 1: c lng phng trnh v lu phn d u t

Bc 2: c lng m hnh hi quy sau y vi tr p ca phn d u t

(thng c xc nh da vo xem xt PAC trong gin t tng quan ca
phn d u t )

u t 1 2 X 2t ... R X Rt R 1 u t 1 ... R p u t p vt (1)

Bc 3: Tnh thng k LM = (n-p) R 2 t phng trnh hi quy (1). Thng
k LM ny s theo phn phi 2 vi s bc t do l p. Nu (n-p) R 2 > 2 tra bng
mc ngha c chn, ta bc b gi thit H 0 v kt lun rng m hnh c t
tng quan.
Cch 2: kim nh tnh ng lin kt.(dnh ring cho m hnh
VECM)
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Theo cc tiu chun Lag, LogL, LR, FPE, AIC, SC, HQ , tr c th l 0;
2 v 3. tr cng nh cng tt v s quan st l c hn nn nu tng di ca
tr s lm cho bc t do b gim, do vy nh hng n cht lng ca c lng.
Bc 3: Kim nh tnh dng ca phn d so snh mc ph hp ca
cc m hnh.
Bc 4: So snh v la chn m hnh ph hp nht.
1.2 M hnh vector hiu chnh sai s VECM

Mt s khi nim lin quan ti m hnh VECM nh hi quy gi mo, ng lin

kt v m hnh hiu chnh sai s ECM.
1.2.1 Hi quy gi mo

Khi hi quy vi cc chui thi gian, kt qu hi quy c th l gi mo v cc

chui ny c cng xu th. iu ny thng xy ra trong kinh t. c lng ca cc
h s hi quy khng phi ch chu nh hng ca bin c lp ln bin ph thuc
m cn bao hm xu th.
Vic hi quy cc bin khng dng c th dn n hi quy gi mo. Khi cc
tiu chun t v F khng s dng c. Theo Granger v Newbold, du hiu hi quy
gi mo:
R2 >d.
Khc phc hi quy gi mo: a thm bin xu th vo m hnh.(ch chp nhn
bin xu th phi ngu nhin).
1.2.2 ng lin kt

Engle v Granger (1987) cho rng nu kt hp tuyn tnh ca cc chui thi

gian khng dng c th l mt chui dng v cc chui thi gian khng dng
c cho l ng lin kt. Kt hp tuyn tnh dng c gi l phng trnh ng
lin kt v c gii thch nh mi quan h cn bng di hn gia cc bin. Ngha
l, nu phn d trong m hnh hi quy gia cc chui thi gian khng dng l mt
chui dng, th kt qu hi quy l thc v th hin mi quan h cn bng di hn
gia cc bin trong m hnh.
Nu nh m hnh l ng lin kt th s khng xy ra trng hp hi quy gi
mo, khi cc kim nh da trn tiu chun t v F vn c ngha. C nhiu
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phng php kim nh mi quan h ng lin kt: kim nh Engle- Granger,
kim nh CRDWv theo phng php Var ca Johansen.
1.2.3 Mi quan h nhn qu Granger

Kim nh mi quan h nhn qu gia hai chui thi gian X v Y, ta c

phng trnh:
Yt = 0 + 1 Yt-1 + + 1 Yt-1 + 1 Xt-1 + + 1 Xt-1 + t (1)
Xt = 0 + 1 Xt-1 + + 1 Xt-1 + 1 Yt-1 + + 1 Yt-1 + t (2)
Kim tra cc bin tr ca X c gii thch cho Y v cc bin tr ca Y c tc
ng ln X hay khng, ta kim nh gi thit sau :
H0 : 1 = 2 = = l = 0
kim nh gi thit ng thi ny, ta s dng thng k F ca kim nh
Wald. Nu gi tr F tnh ton ln hn gi tr F ph phn mc ngha xc nh,
bc b H0. C 4 kh nng:
Nu cc bin tr ca X tc ng ln Y, nhng cc bin tr ca Y khng tc
ng ln X: Nhn qu Granger mt chiu X sang Y.
Nu cc bin tr ca Y tc ng ln X, nhng cc bin tr ca X khng tc
ng ln Y: Nhn qu Granger mt chiu Y sang X.
Nu cc bin tr ca X tc ng ln Y v cc bin tr ca Y tc ng ln X:
Nhn qu Granger hai chiu gia X v Y.
Nu cc bin tr ca X khng tc ng ln Y v cc bin tr ca Y khng
tc ng ln X: khng c nhn qu Granger gia X v Y.

1.2.4 M hnh vector hiu chnh sai s VECM( vector error correction model)

Yu cu t ra khi hi quy m hnh vi cc bin l chui thi gian l cc

chui ny phi dng. Nu chui cha dng th ta dng k thut sai phn n khi c
c chui dng. Tuy nhin, khi hi quy gi tr sau khi sai phn, ta c th b
st nhng thng tin di hn trong mi quan h gia cc bin. chnh v vy, ta phi
thm phn d E. Vi m hnh 2 bin Y1 v Y2:
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Y1 1 2 Y2t 3 Et 1 t
S hng 3 Et 1 l phn mt cn bng. m hnh trn c gi l m hnh hiu
chnh sai s ECM. l m hnh c lng s ph thuc ca mc thay i ca
Y1 vo mc thay i ca Y2 v mc mt cn bng thi k trc.
** M hnh vector hiu chnh sai s c dng:
X t X t 1 1X t 1 ... p 1X t p 1 Ut

Trong Xt l mt vector ca n bin khc nhau.

**Mt s vn khi xy dng m hnh VECM:
c im c bn ca m hnh ny l xem xt tc ng ca cc c shock ca
bin ny ln bin khc, c bit l trong kinh t.
Bc 1: Ly logarit ca chui d liu chui n nh hn.
Bc 2: Kim nh tnh dng i vi chui d liu. la chn khong tr
thch hp.
Bc 3: kim nh mi quan h nhn qu Granger xem xt mi quan h
gia cc bin trong m hnh.
H0 :
Nu tt c cc gi tr F tnh ton ln hn cc gi tr F ph phn tng ng
mc ngha 5%, tc l cc bin u c mi quan h vi nhau.
bc b H0(gi thit phn Null Hypothesis).
Bc 4: xt tnh ng lin kt gia cc bin. Ta kim nh da trn cc
bin cha ly sai phn.
Bc 5: sau khi tin hnh cc kim nh lin quan, nu cc chui l khng
dng v c mi quan h ng lin kt, ta s dng m hnh VECM c
lng.

CHNG III: PHNG PHP LY D LIU.

1. Ngun d liu
Ngun d liu thu thp thuc loi d liu th cp, c ly t nhiu t chc uy tn
nh: IFS (t chc thng k ti chnh quc t thuc IMF), www.eia.gov.
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2. Cch ly d liu
B d liu c ly trong du lieu VAR VECM.xls t qu I/2000 n qu
IV/2010 .

CHNG 4: KT QU PHN TCH, LA CHN M HNH V D BO.

D liu m hnh thu thp cho thy tnh hnh lm pht Vit Nam thng qua cc bin:
i vi m hnh VAR: CPI(ch s gi tiu dng Vit Nam) v OIL(ch s gi du th
gii).
i vi m hnh VECM: CPI(ch s gi tiu dng Vit Nam) , OIL(ch s gi du th
gii) v IR(d tr ngoi hi c tnh bng triu USD).

D liu trch t file du lieu VAR VECM.xls

1. M hnh VAR

Bc 1: Kim tra tnh dng ca 2 bin OIL v CPI

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Bin CPI khng dng v gi tr ln t-Statistic < test critical values

cc mc ngha 1%, 5%, 10%.

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Bin OIL cng khng dng

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c c chui dng, ta tin hnh ly sai phn bc 1 ca 2 bin:

Sau khi ly sai phn, chui CPI dng.

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Sau khi ly sai phn, chui OIL dng.

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Bc 2: Ta tin hnh chy m hnh var

Nhp khong tr: Lag intervals for Endogenous: 1 2 4 4

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Cho ra kt qu c lng nh
sau:

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Bc 3: Kim nh tnh dng ca phn d:

Ta s dng biu :

Kt lun: phn d ny dng v m hnh ng tin cy.

2. M hnh VECM

Bc 1:
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m bo tnh n nh cho 2 bin, ta tin hnh ly logarit.

Kt qu khi ly logarit:

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Cng nh c lng bt k mt m hnh vi d liu l chui thi gian, vic

trc tin ta s kim nh tnh dng i vi cc chui d liu ny.
Bc 2:
Kim nh mi quan h nhn qu Granger :
Sau khi nhn c cc chui dng, ta tin hnh kim nh mi quan h nhn qu
Granger xem xt mi quan h gia cc bin trong m hnh.

Cho ra kt qu:

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Bc 3: Kim tra cc
ng lin kt:
Tip theo ta s xem
xt tnh ng lin kt
gia cc bin trong
m hnh. Ring phn
kim nh tnh ng
lin kt th ta s kim
nh da trn cc
chui cha ly sai
phn.

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Bc 4: Tin hnh c lng bng m hnh VECM :

Sau khi tin hnh cc kim nh lin quan th ta nhn thy y l cc
chui khng dng v c mi quan h ng lin kt, do phn tip theo ta s s
dng m hnh VECM c lng.

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KT QU VECM:

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Bc 5:
Sau khi c lng m hnh th ta tip tc kim nh s ph hp ca m hnh
bng cch kim nh phn d tng t nh m hnh Var. Hoc n gin hn ta c
th xem cc th phn d ca di y xem xt tnh dng.

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Nhn th, ta thy cc gi tr dao ng xung quanh gi tr 0, do phn d ca
m hnh ny dng. chng t m hnh a ra ph hp vi chui d liu.
Nu mun xem xt s tc ng ca bin ny ln bin kia khi c mt c sc xy ra,
ta dng hm phn ng y.

CHNG 5: KT LUN CHUNG

1. Kt lun m hnh d bo
Nh chng ta bit, mi quan h gia cc bin s kinh t khng phi lc no cng ch
mang chiu hng nht nh. Cc bin s c lp (bin gii thch) khng phi lun lun
tc ng ln bin ph thuc m trong nhiu trng hp bin ph thuc li tc ng
ngc ln bin c lp. m bo tnh hp l, ta phi xt nh hng qua li ca nhng
bin ny cng mt lc. Chnh v th m hnh kinh t lng m ta phi xt n khng
phi l m hnh mt phng trnh m l m hnh nhiu phng trnh. M hnh ARIMA
ch tin hnh phn tch trn mt chui thi gian. Khi c nhiu chui thi gian th m
hnh VAR/VECM l mt s ph hp.
2. nh gi tnh hnh lm pht Vit Nam
Lm pht hin nay ang gy ra mi lo ngi ln cho cc cp hoch nh chnh sch, cc
doanh nghip v cho ngi dn. Do , tm hiu nguyn nhn v nh lng cc yu t
tc ng bng ng dng m hnh VAR/VECM l mt cng c hu hiu nhm d bo,
tm ra bin php kim sot lm pht, gp phn vo n nh tnh hnh kinh t x hi v
cc vn cp thit.
3. Tnh kh thi ca m hnh VAR v VECM
M hnh VAR/VECM c tnh ng dng cao trong vic phn tch v d bo cc ch s
kinh t c nhy cao nh lm pht, li sut, gi vng, gi du th gii, gi kh, v gi
c cc mt hng c th trn th trng Vit Nam v th gii trn nhiu chui thi gian.

4. Hn ch ca bi bo co
Trong sut qu trnh thc hin ti bo co, mc d nhm rt c gng hon thnh bi
vit ny mt cch hon thin nht, nhng vn khng trnh khi nhng hn ch:
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Do phng php thc hin d bo trong chng ny khc vi nhng chng trc
nn vic c ti liu, tm kim thng tin gp rt rt nhiu kh khn
Do kin thc cn hn ch v cha kinh nghim nn nhm cn mc nhng sai lm
khng trnh khi, nh vic phn tch v nh gi m hnh, cch nhn nhn vn ,

TI LIU THAM KHO:

1.
2.
3.
4.

Ti liu M hnh t hi quy vector VAR-M hnh vector hiu chnh sai s VECM.
Hng dn s dng Eviews 6.0 Th.s Phng Thanh Bnh
Modeling an Forecasting a Firms Statements with a VAR/VECM.
Cc bi bo co,cc cng trnh nghin cu chuyn lm pht Vit Nam.

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