M HNH T HI QUY VECTOR VAR - M HNH VETOR HIU CHNH SAI S VECM

I- T HI QUY VECTO (VAR) M hnh ARIMA ch tin hnh phn tch da trn mt chui thi gian. Khi chng ta c nhiu chui thi gian khc nhau v cn phi xem xt mi quan h gia chng th m hnh VAR tr thnh mt s la chn ph hp. M hnh VAR xem xt mi quan h gia nhng chui thi gian khc nhau. Hiu mt cch n gin, y l m hnh m rng cho nhiu chui thi gian ca m hnh AR. VAR l m hnh h phng trnh t hi quy rt c th. Tnh c th th hin ch: Tt c nhng bin trong m hnh u l bin ni sinh. Nhng phng trnh trong h s dng cc bin c lp ging nhau. Bin c lp l bin ni sinh cc thi k tr.

1. Khi nim M hnh VAR v cu trc gm nhiu phng trnh (vector) v cc tr ca cc bin s (autoregressive). Ta xt hai chui thi gian Y1 v Y2. M hnh VAR tng qut i vi Y1 v Y2 c dng sau y:

Trong m hnh trn, mi phng trnh u cha p tr ca mi bin. Vi hai bin, m hnh c 22p h s gc v 2 h s chn. Vy trong trng hp tng qut nu m

hnh c k bin th s c k2p h s gc v k h s chn, khi k cng ln th s h s phi c lng cng tng. iu ny i hi s quan st phi nhiu th kt qu mi c ngha. 2. Mt s vn trong xy dng m hnh VAR: Bn cnh nhng u im ni tri ca m hnh VAR : khng cn xc nh bin no l bin ni sinh v bin no l bin ngoi sinh hay l ta c th s dng phng php OLS cho tng phng trnh ring r th m hnh VAR cn vng phi mt s hn ch: Do trng tm m hnh c t vo d bo nn VAR t ph hp cho phn tch chnh sch. V khi xt n m hnh VAR ta cn phi xt n tnh dng ca cc bin trong m hnh. Yu cu t ra khi ta c lng m hnh VAR l tt c cc bin phi dng, nu trong trng hp cc bin ny cha dng th ta phi ly sai phn m bo chui dng. Cng kh khn hn na nu mt hn hp cha cc bin c tnh dng v cc bin khng c tnh dng th vic bin i d liu khng phi l vic d dng. Kh khn trong vic la chn khong tr thch hp. Gi s m hnh VAR bn ang xt c ba bin v mi bin s c 8 tr a vo tng phng trnh. Nh xem xt trn th s h s m bn phi c lng l 32.8+3=75. V nu ta tng s bin v s tr a vo mi phng trnh th s h s m ta phi c lng s kh ln. Ngoi ra, kh khn trong vic la chn khong tr cn c th hin ch nu ta tng di ca tr s lm cho bc t do gim, do vy m nh hng n cht lng cc c lng. 3. Phng php c lng m hnh VAR: Xt tnh dng ca cc bin trong m hnh. Nu cha dng th s dng k thut ly sai phn a v cc chui dng. La chn khong tr ph hp.

Xem xt mc ph hp ca m hnh chy ra (bng vic kim nh tnh dng ca phn d. Nu phn d ca m hnh dng th m hnh nhn c ph hp vi chui thi gian v ngc li

So snh cc m hnh ph hp v la chn m hnh ph hp nht.

V d ta chy m hnh VAR cho chui s liu v tiu dng (CS) v thu nhp sau thu (Y) trong thi k qu I/1974 IV/1984 ca Anh. ( File d liu nh km) Trc tin ta kim nh tnh dng i vi 2 chui d liu CS v Y ta thy:

Theo kim nh Dickey-Fuller th chui CS l chui dng (gi tr |t| = 5,599 ln hn cc gi tr thng k tng ng c 3 mc ngha 1%, 3% v 5%) Chy tng tng t i vi chui y

Chui y l chui khng dng. V khi ly sai phn cho chui ny th ta nhn c mt chui dng.

Khi c hai chui dng CS v d(Y) ta tin hnh chy c lng theo m hnh VAR, vi tr 1-2,4 (lu cch vit tr trong m hnh VAR phi theo khong, tc l khi nhp tr vo , bn phi nhp tng ng l 1 2 4 4)

Sau khi c lng c m hnh ta s xem xt tnh ph hp ca m hnh i vi chui d liu bng cch kim nh tnh dng ca cc phn d. Nu phn d dng th m hnh nhn c l ph hp v ngc li.

Kim nh tnh dng phn d ca CS ta thy phn d ny dng. Tng t i vi phn d ca d(Y) ta cng c kt qu phn d ny dng. Vy m hnh ta chy ra l ph hp vi chui d liu. II- M HNH VECTOR HIU CHNH SAI S VECM: Trc khi i vo m hnh vector hiu chnh sai s, ta s xem qua mt s khi nim lin quan nh hi quy gi mo, ng lin kt v m hnh hiu chnh sai s. 1. Hi quy gi mo: Khi hi quy vi cc chui thi gian, c th kt qu hi quy l gi mo do 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 n bin ph thuc m cn bao hm xu th. Xt v d i vi chui tiu dng v thu nhp sau thu ca Costa Rica trong khong thi gian 1963-1992 ta thy kt qu hi quy

Kt qu hi quy dng nh rt p v R2=0.98449 kh cao, cc t s |t| kh ln. ch c d=0.36169 kh nh. Tuy nhin khi kim nh tnh dng ca hai chui d liu ny ta thy c hai u khng dng. Do vy kt qu hi quy l gi mo. Nh vy vic hi quy cc chui khng dng c th dn n hi quy gi mo. Khi th cc tiu chun t v F l khng s dng c. Theo Granger v Newbold th R2>d l du hiu hi quy gi mo (kt lun hon ton ph hp vi kt qu c lng trn). khc phc hi quy gi mo, ngi ta a thm bin xu th vo m hnh. Tuy nhin vic a bin xu th vo m hnh ch chp nhn c nu bin ny l phi ngu nhin. 2. ng lin kt: Nh trn ta cp ti, vic hi quy cc chui thi gian khng dng thng dn n kt qu hi quy gi mo. Tuy nhin, 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 th c gii thch nh mi quan h cn bng di hn gia cc bin. Ni cch khc, nu phn d trong m hnh hi qui gia cc chui thi gian khng dng l mt chui dng, th kt qu hi qui l thc v th hin mi quan h cn bng di hn gia cc bin trong m hnh. V nu nh m hnh l ng lin kt th s khng xy ra trng hp hi quy gi mo, v khi cc kim nh da trn tiu chun t v F vn c ngha. C nhiu phng php kim nh mi quan h ng lin kt: kim nh EngleGranger, kim nh CRDWv theo phng php VAR ca Johasen. 3. Mi quan h nhn qu Granger kim nh liu c tn ti mi quan h nhn qu Granger gia hai chui thi gian Y v X. kim nh trn Eview, ta xy dng hai phng trnh sau: Y = + Y + + Y + X + + X + (2.14)
t t 0 0 1 1 t-1 t-1 l l t-l t-l 1 1 t-1 t-1 l l t-l t-l t t

X = + X + + X + Y + + Y + (2.15) xem cc bin tr ca X c gii thch cho Y (X tc ng nhn qu Granger ln Y) v cc bin tr ca Y c gii thch cho X (Y tc ng nhn qu Granger ln X) hay khng ta kim nh gi thit sau y cho mi phng trnh: H : = = = = 0 (2.16)
0 1 2 l

kim nh gi thit ng thi ny, ta s dng thng k F ca kim nh Wald v cch quyt nh nh sau: Nu gi tr thng k F tnh ton ln hn gi tr thng k F ph phn mt mc ngha xc nh ta bc b gi thit H v ngc li. C
0

bn kh nng nh sau: Nhn qu Granger mt chiu t X sang Y nu cc bin tr ca X c tc ng ln Y, nhng cc bin tr ca Y khng c tc ng ln X. Nhn qu Granger mt chiu t Y sang X nu cc bin tr ca Y c tc ng ln X, nhng cc bin tr ca X khng c tc ng ln Y.

Nhn qu Granger hai chiu gia X v Y nu cc bin tr ca X c tc ng ln Y v cc bin tr ca Y c tc ng ln X.

Khng c quan h nhn qu Granger gia X v Y nu cc bin tr ca X khng c tc ng ln Y v cc bin tr ca Y khng c tc ng ln X.

4. M hnh vector hiu chnh sai s VECM Khi hi quy m hnh vi cc bin l chui thi gian th yu cu t ra l cc chui ny phi dng. Trong trng hp chui cha dng th ta phi ly sai phn ca chng cho n khi c c chui dng. Tuy nhin, khi m ta hi quy cc gi tr sau khi ly sai phn c th s b st nhng thng tin di hn trong mi quan h gia cc bin. Chnh v th khi hi quy nhng m hnh ly sai phn phi c thm phn d E. V d i vi m hnh hai bin Y1 v Y2 ta c:

S hng

chnh l phn mt cn bng. 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 trn c gi l m hnh hiu chnh sai s ECM. 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. M hnh VECM tng qut:
Xt = Xt1 + 1 Xt1 + + p1 Xtp+1 + Ut .

Xt v d chy chui d liu ca m chng khon VNM (cng ty Vinamilk) t 19/01/2006 n 20/01/2011 da trn gi ng ca, gi m ca, gi cao nht v gi thp nht. T ta xem xt mi quan h gia cc loi gi ny trong m hnh v a ra c d bo gi. V c bit mt vn khng th b qua khi chy m hnh ny l xem xt tc ng ca cc c shock ca bin ny ln bin khc. (File d liu km theo)

Trc tin i vi chui d liu ny, ta s ly logarit ca chng chui d liu n nh hn. thun tin th trong cc phn tip theo khi ni n cc chui gi th bn hiu l cc chui ny sau khi c ly logarit. 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 (chui gi m ca, ng ca, cao nht v thp nht). Kt qu l cc chui ny u khng dng ti I(0) m c 4 chui ny s dng ti I(1). Ta s xem xt m hnh ny vi khong tr 1-2, tc l tr ti cc gi tr 1, 2. 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.

Ta thy, tt c cc gi tr thng k F tnh ton u ln hn cc gi tr thng k F ph phn tng ng mc ngha 5%. Do m ta bc b gi thit H0 (gi thit bn phn Null Hypothesis). Hay ni cch khc l tt c cc bin ny u c mi quan h qua li ln nhau.

Tip theo ta s xem xt tnh ng lin kt gia cc bin trong m hnh. Lu l ring phn kim nh tnh ng lin kt th ta s kim nh da trn cc chui gi cha ly sai phn.

Kt qu l c 3 mi quan h ng lin kt gia cc bin. 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. Cch chy m hnh cng tng t nh m hnh VAR trn, tuy nhin i vi m hnh VECM bin xu hng v chn c mc nh sn v chng ta s la chn 1 trong 5 trng hp di:

Sau khi c lng ta c kt qu sau:

Trong cc Eq l cc phng trnh ng kt hp. Kt qu c lng m hnh c th c vit li nh sau:

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.

So snh cc m hnh khi thay i tr la chn m hnh ph hp nht. y ta cn c th xem xt s tc ng ca bin nay ln bin kia khi c mt s thay i, mt c sc xy ra. Ta s dng hm phn ng y:

C th hiu l s phn ng ca gi ng ca trong hin ti ln tng lai khi c bt k mt s thay i, mt c sc no trong gi cao nht, thp nht v gi m ca. Ngoi ra ta cn c th s dng m hnh trn d bo gi chng khon. Tuy nhin cn phi qua mt s cc kim nh khc na nn khng c cp n y. Nh vy chng ta c nhiu phng php d bo khc nhau. Khng c mt phng php no li ph hp trong mi trng hp. Vic la chn phng php no khng ch ty thuc vo kh nng ca ngi s dng m cn i hi phi c nhng kinh nghim nht nh.

Ti liu tham kho: Modeling and Forecasting a Firms Financial Statements with a VAR VECM Model- Bernardus F. N. Van Doornik, Otavio R. De Medeiros, Gustavo R. De Oliveira

A Vector Error Correction Model (VECM) of Stockmarket Returns - Nagaratnam J Sreedharan Kinh t lng nng cao-Phm Tr Cao Hng dn s dng Eview 5.1-Phng Thanh Bnh