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2
2
t
t
t o
k t t
k t t
k t t k
o
k
k
Y Var
n
Y Y
Y Y E
Y Y Cov
n
Y Y Y Y
Y Y Y Y E
SAC
=
= =
=
= =
= =
Nu SAC = f(t) ca chui thi gian gim nhanh v tt dn v 0 th chui c tnh dng.
Kim nh Dickey-Fuller (kim nh nghim n v) nhm xc nh xem chui thi gian
c phi l Bc Ngu Nhin (Random Walk; ngha l Y
t
= 1*Y
t-1
+ e
t
) hay khng. Nu
chui l Bc Ngu Nhin th khng c tnh dng. Tuy nhin, Nu chui khng c tnh
dng th cha chc l Bc Ngu Nhin.
bin i chui khng dng thnh chui dng, thng thng nu ly sai phn mt ln
hoc hai ln th s c mt chui kt qu c tnh dng.
Chui gc: Y
t
Chui sai phn bc 1: W
t
= Y
t
Y
t-1
Chui sai phn bc 2: V
t
= W
t
W
t-1
Tnh ma v
Tnh ma v l hnh vi c tnh chu k ca chui thi gian trn c s nm lch. Tnh ma
v c th c nhn ra da vo th SAC = f(t). Nu c sau m thi on th SAC li c
gi tr cao (ngha l th SAC c nh cao) th y l du hiu ca tnh ma v. Chui
thi gian c tn ti tnh ma v s khng c tnh dng. Phng php n gin nht kh
tnh ma v l ly sai phn th m. Nu Y
t
c tnh ma v vi chu k m thi on th chui
m t t t
Y Y Z
= s c kho st thay v chui Y
t
.
M hnh ARIMA
Theo Box- Jenkin mi qu trnh ngu nhin c tnh dng u c th biu din bng m
hnh T Hi Qui Kt Hp Trung Bnh Trt ARIMA.
M Hnh T Hi Qui Bc p - AR(p)
Trong m hnh t hi qui qu trnh ph thuc vo tng c trng s ca cc gi tr qu kh
v s hng nhiu ngu nhin
t p t p t t t
Y Y Y Y + + + + + =
...
2 2 1 1
M Hnh Trung Bnh Trt Bc q MA(q)
Trong m hnh trung bnh trt, qu trnh c m t hon ton bng tng c trng s ca
cc ngu nhin hin hnh c tr
q t q t t t t
Y
+ = ...
2 2 1 1
M Hnh Hi Quy Kt Hp Trung Bnh Trt - ARIMA(p,d,q)
Phng trnh tng qut ca m hnh ARIMA l:
q t q t t p t p t t
Y Y Y
+ + + + = ... ...
1 1 1 1
3
Nhn dng m hnh
Nhn dng m hnh ARIMA(p,d,q) l tm cc gi tr thch hp ca p, d, q. Vi d l bc sai
phn ca chui thi gian c kho st, p l bc t hi qui v q l bc trung bnh trt.
Vic xc nh p v q s ph thuc vo cc th SPAC = f(t) v SAC = f(t). Vi SAC
c gii thiu trn v SPAC l T Tng Quan Ring Phn Mu (Sample Partial Auto-
Correlation); ngha l tng quan gia Y
t
v Y
t-p
sau khi loi b tc ng ca cc Y
trung gian.
Chn m hnh AR(p) nu th SPAC c gi tr cao ti tr 1, 2, ..., p v gim nhiu
sau p v dng hm SAC gim dn.
Chn m hnh MA(q) nu th SAC c gi tr cao ti tr 1, 2, ..., q v gim nhiu
sau q v dng hm SPAC gim dn. Tm li,
Loi m hnh Dng th SAC = f(t) Dng th SPAC = f(t)
AR(p) Gim dn C nh p
MA(q) C nh q Gim dn
ARMA(p, q) Gim dn Gim dn
c lng cc thng s ca m hnh ARIMA(p, d, q)
Cc thng s f
i
v q
j
ca m hnh ARIMA s c xc nh theo phng php bnh
phng ti thiu (OLS-Ordinary Least Square) sao cho:
Vi
Kim tra chn on m hnh
Sau khi xc nh p, d, q v cc f
i ,
q
j
; ngha l xc nh c phng trnh cho m hnh
ARIMA, iu cn phi lm l tin hnh kim nh xem s hng e
t
ca m hnh c phi l
mt nhiu trng (white noise, nhiu ngu nhin thun ty) hay khng. y l yu cu ca
mt m hnh tt.
V mt l thuyt, e
t
c to ra bi qu trnh nhiu trng nu:
Vic kim nh tnh nhiu trng s da trn th SAC ca chui e
t.
D bo
Da trn phng trnh ca m hnh ARIMA, tin hnh xc nh gi tr d bo im v
khong tin cy ca d bo.
D bo im:
t
Y
Khong tin cy: ) (
) (
t t t t t
k Y Y k Y + < <
Vi tin cy 95%, k =2.
III. S DNG M HNH ARIMA TRONG D BO GI
minh ha, nghin cu p dng m hnh ARIMA trong vic d bo gi c sng ti
thnh ph H Ch Minh. Nghin cu s dng chui gm 111 d liu thng t thng
1/1990 n thng 3/1999 v phn mm EVIEWS d bo gi tr thng 4/1999.
Min Y Y
t t
2
)
(
)
(
t t t
Y Y =
) , 0 ( ~
2
N
t
+
0 ) ( =
t
E
const Var
t
= =
2
) (
0 ) , ( = = +
k t t k
Cov
4
Cc d liu qu kh ca gi c sng c t tn l RFISH v chui sai phn bc 1 c
t tn l DRFISH. th RFISH = f(t) v DRFISH = f(t) c trnh by nh sau:
th RFISH cho thy chui RFISH khng c tnh dng. th DRFISH cho thy chui
DRFISH cng khng c tnh dng. Qua th trn v d liu ta nhn thy chui c tnh
ma v theo qu. Cc kim nh theo hm t tng quan mu hay kim nh Dickey-
Fuller trong EVIEWS cng cho cho thy chui RFISH v DRFISH khng c tnh dng do
d liu c tnh ma v.
S dng phn mm EVIEW kh tnh ma v v tin hnh th nghim cho nhiu m
hnh ARIMA, cui cng ta c m hnh ti u c dng ARIMA(2,1,2) vi thi on kh
tnh ma v l m = 12. Kt qu v cc thng s f
i
v q
j
c trnh by trong bng sau:
Dependent Variable: D(RFISH)
Method: Least Squares
Date: 2/3/2002 Time: 18:17
Sample(adjusted): 1991:04 1999:03
Included observations: 96 after adjusting endpoints
Convergence achieved after 50 iterations
Backcast: 1990:02 1991:03
Variable Coefficien
t
Std. Error t-Statistic Prob.
C -283.3601 1010.997 -0.280278 0.7799
AR(2) 0.413278 0.135466 3.050799 0.0030
SAR(12) 0.963121 0.044544 21.62164 0.0000
MA(2) -0.846851 0.118603 -7.140218 0.0000
SMA(12) -0.781433 0.078476 -9.957634 0.0000
R-squared 0.614807 Mean dependent var 203.1250
Adjusted R-squared 0.597875 S.D. dependent var 3545.923
S.E. of regression 2248.588 Akaike info criterion 18.32467
Sum squared resid 4.60E+08 Schwarz criterion 18.45823
Log likelihood -874.5842 F-statistic 36.31124
Durbin-Watson stat 1.718345 Prob(F-statistic) 0.000000
Sau khi xc nh c phng trnh cho m hnh ARIMA, cn phi tin hnh kim nh
tnh nhiu trng ca e
t .
Kt qu kim nh da trn th SAC ca chui e
t.
cho thy e
t
c
tnh nhiu trng v c trnh by nh sau:
4000
8000
12000
16000
20000
24000
28000
32000
36000
40000
90 91 92 93 94 95 96 97 98
RFISH
-12000
-8000
-4000
0
4000
8000
12000
90 91 92 93 94 95 96 97 98
DRFISH
5
Date: 2/3/2002 Time: 18:20
Sample: 1991:04 1999:03
Included observations: 96
Q-statistic probabilities adjusted for
4 ARMA term(s)
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
. |*. | . |*. | 1 0.108 0.108 1.1485
.*| . | .*| . | 2 -
0.060
-
0.072
1.5093
. | . | . | . | 3 -
0.002
0.013 1.5099
.*| . | .*| . | 4 -
0.107
-
0.115
2.6913
. | . | . | . | 5 -
0.046
-
0.021
2.9138 0.088
. | . | . | . | 6 0.003 -
0.005
2.9147 0.233
. | . | . | . | 7 -
0.027
-
0.031
2.9925 0.393
.*| . | .*| . | 8 -
0.069
-
0.076
3.5015 0.478
. | . | . | . | 9 -
0.040
-
0.037
3.6719 0.598
. | . | . | . | 10 -
0.008
-
0.011
3.6789 0.720
. | . | . | . | 11 -
0.035
-
0.046
3.8174 0.801
. |*. | . |*. | 12 0.176 0.173 7.2986 0.505
. |*. | . | . | 13 0.069 0.011 7.8428 0.550
. | . | . | . | 14 0.010 0.025 7.8547 0.643
.*| . | .*| . | 15 -
0.059
-
0.079
8.2589 0.690
.*| . | .*| . | 16 -
0.168
-
0.133
11.559 0.482
. | . | . | . | 17 0.021 0.064 11.614 0.560
. | . | .*| . | 18 -
0.050
-
0.085
11.915 0.613
. | . | . | . | 19 0.031 0.057 12.036 0.676
. | . | .*| . | 20 -
0.017
-
0.060
12.072 0.739
.*| . | .*| . | 21 -
0.112
-
0.087
13.648 0.692
.*| . | .*| . | 22 -
0.094
-
0.099
14.771 0.678
.*| . | .*| . | 23 -
0.083
-
0.084
15.649 0.681
.*| . | **| . | 24 -
0.177
-
0.248
19.750 0.474
. |** | . |** | 25 0.198 0.221 24.964 0.249
. |*. | . | . | 26 0.133 0.014 27.356 0.198
6
. | . | .*| . | 27 -
0.053
-
0.062
27.733 0.226
. | . | . | . | 28 -
0.039
-
0.013
27.944 0.262
. | . | .*| . | 29 -
0.024
-
0.070
28.023 0.307
. | . | . | . | 30 -
0.017
0.023 28.065 0.355
. | . | .*| . | 31 0.005 -
0.075
28.069 0.407
. | . | .*| . | 32 -
0.010
-
0.059
28.084 0.460
. | . | . | . | 33 -
0.002
0.061 28.084 0.513
.*| . | .*| . | 34 -
0.072
-
0.075
28.878 0.524
. | . | . | . | 35 -
0.040
-
0.028
29.128 0.563
. | . | . |*. | 36 0.045 0.117 29.450 0.596
Kt qu ca m hnh d bo c trnh by trong tp d liu RFISHF. th ca RFISH
v RFISHF c trnh by chung nh sau:
Da trn phng trnh ca m hnh ARIMA, tin hnh xc nh gi tr d bo im v
khong tin cy ca d bo.
D bo im l
t
Y
-Y
t
)/ Y
t
*100 = (26267 26000)/26000 * 100 = 1,03%
4000
8000
12000
16000
20000
24000
28000
32000
36000
40000
90 91 92 93 94 95 96 97 98
RFISH RFISHF
7
KT LUN
Kt qu d bo cho thy th ca m hnh d bo RFISHF bm rt st th ca
chui d liu gc RFISH. iu ny chng t m hnh ARIMA(2,1,2) ny gii thch
c s s bin ng ca chui thi gian v gi c sng ti Thnh Ph H Ch Minh.
Gi tr d bo xp x vi gi tr trn thc t (sai s d bo nh) v khong tin cy 95%
cng cha gi tr thc . iu ny chng t tin cy ca m hnh d bo.
Ngoi v d minh ha trn, nghin cu cng p dng m hnh ARIMA d bo
cho hn 20 loi mt hng ti Thnh Ph H Ch Minh theo qui trnh tng t v cng t
c cc kt qu d bo vi tin cy cao. Tm li, M hnh ARIMA l mt m hnh
ng tin cy i vi d bo ngn hn.
TI LIU THAM KHO
Bowerman B.L., and OConnell R.T., 1993. Forecasting and Time Series. 3
rd
ed.,
Wadsworth, Inc.
Cao Ho Thi v Cc Cng S 1998. Bn Dch Kinh T Lng C S (Basic Econometrics
ca Gujarati D.N.). Chng Trnh FulBright v Ging Dy Kinh T ti Vit Nam.
EVIEWS, 2000. Quantitative Micro Software.
Pindyck R.S., and Rubinfeld D.L., 1991. Econometric Models and Economic Forecast. 3
rd
ed., McGraw-Hill.
Ramanathan R., 2001. Introductory Econometrics with Applications. 5
th
ed., Harcourt
College Publishers
Lin h : Cao Ho Thi
a ch : Khoa Qun L Cng Nghip, i Hc Bch Khoa Tp. HCM
268 L Thng Kit, Q.10, Tp. HCM
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