M HNH ARIMA

I. Gii Thiu M Hnh ARIMA:

Nh chng ta bit, trong nghin cu nh lng, tn ti 3 loi s liu c
bn l s liu theo thi gian, s liu cho v s liu hn hp. i vi cc vn
kinh t, loi s liu chng ta thng xuyn tip cn nht c l l s liu theo thi
gian, hay cn gi l cc chui thi gian nh chui s liu GDP, ch s VN-Index
hay gi vng theo thi gianTuy nhin, chui thi gian cng gy ra khng t kh
khn cho cc nh nghin cu, bi nhiu nghin cu cho thy, trong nhiu trng
hp, cc m hnh hi quy c in dng nh khng hiu qu vi loi d liu ny.
Vy, vn t ra l lm th no chng ta c th nghin cu mt chui thi
gian, rt ra nhng kt lun v s dng n d bo mt cch c hiu qu? tr
li cho cu hi ny c nhiu phng php khc nhau, tuy nhin, c hai phng php
c hu ht cc nh nghin cu tha nhn v s dng thng xuyn l hai m
hnh: ARIMA v VAR.
M hnh Trung bnh trt, ng lin kt, t hi quy ARIMA da trn trit l
hy d liu t ni, n khng s dng cc bin ngoi sinh c lp X1, X2, X3..
gii thch cho Y, m n s dng chnh cc gi tr trong qu kh ca Y gii
thch cho bn thn n hin ti. N cng khng gi nh bt k mt m hnh c
th no, m vic xc nh m hnh l da trn phn tch d liu c th tng trng
hp v c mt cht ngh thut ca ngi s dng. Chnh v th, ARIMA i khi
cn c gi l m hnh l thuyt mi v n khng da bt k mt l thuyt kinh
t no. V cng do , ARIMA c c tnh linh hot v tit kim hn hn cc
phng php khc, ng thi tnh hiu qu ca ARIMA trong cng tc d bo cng
c thc t chng minh.
Tt c nhng iu y mang n cho ARIMA mt v th nht nh trong lnh
vc nghin cu nh lng v ngy cng tr nn thng dng hn.

II. C S L Thuyt
1. Tnh Dng
1.1 Khi nim
D liu ca bt k chui thi gian no u c th c coi l c to ra
t mt qu trnh ngu nhin v mt tp hp d liu c th, c th c coi l
mt kt qu (c bit) ca qu trnh ngu nhin . Hay ni cc khc, c th xem
qu trnh ngu nhin l tng th v kt qu l mt mu c ca tng th .
Mt tnh cht ca qu trnh ngu nhin c cc nh phn tch v chui thi
gian c bit quan tm v xem xt k lng l Tnh dng.
Mt qu trnh ngu nhin Yt c coi l dng nu k vng, phng sai v
hip phng sai ti cng mt tr ca n khng i theo thi gian.
C th, Yt c gi l dng nu:

Trung bnh: E(Yt) = (t)

(1)

Phng sai: Var(Yt)= E(Yt )2 = 2 (t)

(2)

ng phng sai: Cov(Yt,Yt+k) = E[(Yt )(Yt+k )]= k (t)

(3)

iu kin th 3 c ngha l hip phng sai gia Yt v Yt+k ch ph thuc

vo tr v thi gian (k) gia hai thi on ny ch khng ph thuc vo thi
im t. V d Cov(Y2,Y7)=Cov(Y10,Y15)=Cov(Y30,Y35)==Cov(Yt,Yt+5). Nhng
Cov(Yt,Yt+5) c th khc Cov(Yt,Yt+6)
Qu trnh ngu nhin Yt c coi l khng dng nu n vi phm t nht
mt trong ba iu kin trn.
1.2 Hu qu ca Chui khng dng.
Trong m hnh hi quy c in, ta gi nh rng sai s ngu nhin c k
vng bng khng, phng sai khng i v chng khng tng quan vi nhau.
Vi d liu l cc chui khng dng, cc gi thit ny b vi phm, cc kim
nh t, F mt hiu lc, c lng v d bo khng hiu qu hay ni cch khc
phng php OLS khng p dng cho cc chui khng dng.
in hnh l hin tng hi quy gi mo: nu m hnh tn ti t nht mt
bin c lp c cng xu th vi bin ph thuc, khi c lng m hnh ta c
2

th thu c cc h s c ngha thng k v h s xc nh R2 rt cao. Nhng

iu ny c th ch l gi mo, R2 cao c th l do hai bin ny c cng xu th
ch khng phi do chng tng quan cht ch vi nhau.
Trong thc t, phn ln cc chui thi gian u l chui khng dng, kt
hp vi nhng hu qu trnh by trn y cho thy tm quan trng ca vic xc
nh mt chui thi gian c tnh dng hay khng.
1.3 Kim nh tnh dng
1.3.1 Da trn th ca chui thi gian
Mt cch trc quan chui Yt c tnh dng nu nh th Y=f(t) cho thy
trung bnh v phng sai ca qu trnh Yt khng i theo thi gian.
Ta xt chui ch s VNIndex t ngy 2/1/2009 n ngy 31/12/2010 c
th theo thi gian nh sau:
Hnh 1.3.1: th VNIndex theo thi gian
VNINDEX
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Nhn vo th ca VNIndex theo thi gian ta thy trung bnh ca n c xu

hng tng hoc gim theo tng thi k. Nh vy, c th suy on rng iu
kin mt b vi phm v VNIndex l chui khng dng.

Phng php ny cho ta ci nhn trc quan, nh gi ban u v tnh dng

ca chui thi gian. Tuy nhin, vi nhng chui thi gian c xu hng khng r
rng, phng php ny tr nn kh khn v i khi khng chnh xc.
1.3.2 Da trn lc tng quan
1.3.2.1 T 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:

Nu v th ca k theo k, ta c lc tng quan tng th. Tuy

nhin, trn thc t chng ta cha c tng th m ch c mu. Khi ta xy dng
hm t tng quan mu vi:

Trng hp mu c khch thc nh th mu s ca

l n-k-1 v ca

l n-1.
th th hin k tr k c gi l lc tng quan mu.
Bartlett ch ra rng nu mt chui l ngu nhin v dng, th cc h s
t tng quan mu s c phn phi xp x chun vi k vng ton bng 0 v
phng sai 1/n, vi n kh ln.

~ N(0, 1/n)

Ta cn kim nh gi thit: H0: k = 0

H1: k 0

(chui dng)

Nu

(-Z/2/ n , Z/2/ n ) th chp nhn gi thit H0 vi mc ngha

. Gi tr ca cc ch s Z tra trong bng c tnh ton sn.

Vi tin cy 95%, khong tin cy k ca VNIndex l 1,96/ 504 =
0.087. Nu

(-0,087; +0,087) ta chp nhn gi thit H0, ngc li, nu

khng thuc khong ny, ta bc b H0 (vi mc ngha 5%).

S dng phn mm EViews ta c bng kt qu hm ACF v lc
tng quan ca VNIndex vi 20 tr nh sau:
Bng 1.3.2: Lc tng quan v cc kt qu i km ca chui VNIndex

Khong tin cy 95%

(Vo View/Correlogram , xc nh biu t tng quan ca chui gc hay

chui sai phn bc mt, bc hai, v cui cng l xc nh tr k)
C th thy ton b k ca ACF ti 30 tr u khc 0 c ngha thng
k. Nh vy, VNIndex l chui khng dng. Mt cch trc quan ta c th nhn

nh da trn lc tng quan, nu th c xu hng gim chm, tng

i u dn theo tr th chui khng dng. Ngc li nu th gim
nhanh, ngu nhin, khng theo xu hng th chui dng.
1.3.2.2 T tng quan ring
Cc h s t tng quan k (k2) phn nh mc kt hp tuyn tnh ca
Yt v Yt+k. Tuy nhin, mc kt hp gia hai bin cn c th do mt s bin
khc gy ra. Trong trng hp ny l nh hng t cc bin Yt-1Yt-k+1. Do
o kt hp ring r gia Yt v Yt-k ta s dng hm tng quan ring PACF
vi h s tng quan ring kk c c lng theo cng thc quy ca
Durbin:

Nu

chui

dng th cc
c phn
phi chun
N(0,1/n). Do
,

kim

nh gi thit i vi kk tng t nh vi k.
1.3.2.3 Kim nh ng thi
Box Pierce a ra kim nh v s ng thi bng khng ca cc h s
tng quan: H0: 1=2==m=0
H1: tn ti t nht mt k=0
Gi thit H0 c kim nh bng thng k

Vi n: kch thc mu, m: di ca tr. Q ~

Bc b H0 khi Q >
Mt dng khc ca Q l thng k Ljung-Box (LB):

Vi

. Bc b H0 khi LB >

Thng k LB c xem l tt hn vi cc mu s nh so vi thng k

Q.
Vi Eviews, ta d dng c c cc gi tr ca LB vi cc tr khc
nhau (ct Q-Stat) v xc sut nh nht gi thit H 0 b bc b (ct
Prob).
Xem xt hnh 1.3.2, ta c th kt lun tng th rng VNIndex l chui thi
gian khng c tnh dng
1.3.3 Kim nh nghim n v (Unit root test)
1.3.3.1 Nhiu trng:
Mt Ut p ng y cc gi thit ca m hnh hi quy tuyn tnh c
in, tc c k vng bng khng, phng sai khng i v hip phng sai
bng khng gi l nhiu trng.
1.3.3.2 Bc ngu nhin
Nu Yt = Yt-1+Ut vi Ut l nhiu trng, th Yt c gi l bc ngu nhin.
Ta c: Y1=Y0+U1
Y2=Y1+U2=Y0+U1+U2
Yt=Y0+U1+U2++Ut
Do Y0 l hng s, cc Ui c lp vi nhau, phng sai khng bng 2
nn: Var(Yt)=t2 (thay i theo t). iu ny chng t Yt l chui khng dng
1.3.3.3 Kim nh nghim n v Dickey Fuller
Xt m hnh Yt = Yt-1+Ut vi Ut l nhiu trng.
Nu =1 th Yt l bc ngu nhin v khng dng. Do kim nh
tnh dng ca Yt ta kim nh gi thit: H0: =1 (chui khng dng)
H1: 1

 y ta khng th s dng kim nh t v Yt c th l chui khng dng.

Trong trng hp ny ta s dng tiu chun kim nh DF nh sau:

Phn phi theo quy lut DF

Nu

ta bc b gi thit H0 v kt lun chui dng.

Tiu chun DF cng c p dng cho cc m hnh sau:

(1)
(2)
(3)
Vi gi thit H0: =0 (chui dng). Nu Ut t tng quan, ta ci bin m
hnh (3) thnh m hnh:
(4)
Tiu chun DF p dng cho m hnh (4) c gi l tiu chun m rng
Dickey Fuller (ADF).
tin hnh kim nh nghim n v trn Eviews ta chn View/Unit Root
Test , s xut hin hp thoi Unit Root Test. Ta c cc la chon tng ng
vi cc dng phng trnh mc Include in test equation:

Intercept: nu dng phng trnh (2)

Trend and intercept: nu dng phng trnh (3)

None: nu dng phng trnh (1),

Trend and intercept v xc nh tr la chn Lag length: nu dng

phng trnh (4).

Kt qu kim nh chui VNIndex bng Eviews cho ta kt qu sau:

Hnh 1.3.4: Kt qu kim nh nghim n v chui VNIndex

Ta c 1,86 = nh hn tt c cc gi tr 0,01 , 0,05 v 0,1 nn ta chp

nhn gi thit H0: =1 tc VNIndex l chui khng dng.
1.4 Bin i chui khng dng thnh chui dng
Xt bc ngu nhin: Yt=Yt-1+Ut vi Ut l nhiu trng.
Ta ly sai phn cp I ca Yt: D(Yt)=Yt-Yt-1=Ut. Trong trng hp ny D(Yt)
l chui dng v Ut l nhiu trng.
Trng hp tng qut, vi mi chui thi gian nu sai phn cp I ca Y t
cha dng ta tip tc ly sai phn cp II, III Cc nghin cu chng minh
lun tn ti mt gi tr d xc nh sai phn cp d ca Yt l chui dng. Khi
Yt c gi l lin kt bc d, k hiu l I(d).
Sai phn cp d c ly nh sau:
Sai phn cp I ca Yt: D(Yt)=Yt-Yt-1
Sai phn cp II: D(D(Yt))=D2(Yt)=(Yt-Yt-1)-(Yt-1-Yt-2)
.
Sai phn cp d: D(Dd-1(Yt))
Ly sai phn cp I ca VNIndex ta c th theo thi gian nh sau:
Hnh 1.4.1: Biu chui sai phn cp I ca VNIndex theo thi gian

DVNINDEX
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Lc tng quan
Hnh 1.4.2: Lc tng quan chui sai phn cp I ca VNIndex

Hu ht cc h s tng quan khc 0 khng c ngha thng k, l c

tng quan gim nhanh sau tr th 2 v khng c xu hng nht nh.

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