M hnh ARIMA d bo

lm pht Vit Nam

Vng Th Tho Bnh
NCS Khoa Ton kinh t - Trng H Kinh t Quc dn

Ni dung chnh
Gii thiu m hnh ARIMA(p,d,q)

Gii thiu m hnh SARIMA(p,d,q)(P,D,Q)s

La chn SARIMA(p,d,q)(P,D,Q)12 d
bo lm pht Vit Nam nm 2008
La chn SARIMA(p,d,q)(P,D,Q)12 d
bo lm pht Vit Nam nm 2009
Kt qu d bo

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Gii thiu m hnh ARIMA(p,d,q)

M hnh t hi quy v trung bnh trt
ARMA(p,q) l m hnh kt hp gia thnh phn
t hi quy bc p v trung bnh trt bc q, c
dng:
Yt = 0 + 1 Yt-1 + 2 Yt-2 + ... + p Yt-p + 0 ut +
+ 1 ut-1 + 2 ut-2 + ... + q ut-q
iu kin chui dng l
-1 < i, j < 1, vi i=1,2,...; j=1,2,...
p dng chui ARMA(p,q) cho chui sai phn
bc d, ta c m hnh ARIMA(p,d,q).
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Gii thiu m hnh SARIMA

p dng chui ARIMA(p,d,q) cho chui sai
phn ma v bc D, t hi quy ma v bc P,
trung bnh trt ma v bc Q, ta c m hnh
SARIMA(p,d,q)(P,D,Q)S
SARIMA(p,d,q)(P, D, Q) c vit di
dng nh sau:
p(L) P(Ls) (1-L)d(1-Ls)D Yt = q(L) Q(Ls) ut
Trong k hiu L l ton t tr.
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D bo lm pht Vit Nam nm 2008

Ch s CPI

CPI

160
120
CPI
80
40

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

Nm
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D bo lm pht 2008 bng m hnh ARIMA

(Xem: V.T.T.Bnh, Tp ch Kinh t i ngoi, thng 8, 2008)

- S liu: CPI t thng 1 nm 2001 n thng 2 nm 2008

(nm 1994=100)
- Dng ADF kim nh thy log(CPI) khng dng m sai phn
ca log(CPI) dng.

Lc
tng
quan ca
sai phn
log(CPI)
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nh gi lm pht bng m hnh ARIMA

(Xem: V.T.T.Bnh, Tp ch Kinh t i ngoi, thng 8, 2008)

Xt SARIMA(1,1,1) (1,0,0)12;
SARIMA(1,1,12) (1,0,0)12
SARIMA(12,1,1) (1,0,0)12
SARIMA(12,1,12) (1,0,0)12
Chn c m hnh SARIMA(1,1,12)(1,0,0)12
v kim tra thy phn d l nhiu trng nn m hnh l
m hnh tt nn c th p dng d bo. Tip theo,
cp nht thm s liu ht nm 2008, chng ta c th
d bo lm pht cc thng u nm 2009 v cho kt
qu kh chnh xc.
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M hnh SARIMA d bo lm pht 2009

S liu: CPI giai on 2001:M1 - 2008:M12 t GSO.
Kim tra tnh dng cho thy CPI l I(1)
nh dng
ARIMA(1,1,3)(1,0,0)12, hoc ARIMA(1,1,5)(1,0,0)12
Sau khi xem xt, i chiu tiu chun AIC, SIC
chng ta nh dng ARIMA ma v trn l: dng sai
phn thng, t hi quy thng bc 1, trung bnh trt
thng bc 3 v trung bnh trt thng bc 5, bc
ma v l 12, t hi quy ma v bc 1. Kt qu hi quy
nh bng sau.
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M hnh SARIMA d bo lm pht 2009

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M hnh SARIMA d bo lm pht 2009

cc tham s c lng u c ngha thng k
Cc tham s u tha mn iu kin dng v kh
nghch
H s

R2

v R ln nn m hnh la chn hp l

Tiu chun AIC, SIC b nht trong cc m hnh ng

c
Kim nh t tng quan phn d bng cch v
lc tng quan c chui phn d l nhiu trng
M hnh c th tin cy dng d bo
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Kt qu d bo
Kt qu c th:

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M hnh SARIMA d bo lm pht 2009

Nh vy, thc hin d bo tng bc cho ta kt
qu:
- Vi chui s liu 2001M1-2008M12, cho d bo lm
pht thng 1, thng
2 nm 2009 kh chnh xc so vi
2
R
thng bo ca TCTK.
- D bo lm pht thng 3 nm 2009 s l 11,6% so
vi thng 3 nm 2008.

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