Day 7 Unit Root Tests - Methods and Problems New

D bo s dng m hnh chui thi gian
(Time Series Models for Forecasting)
Kim nh nghim n v: Phng php v vn
Unit Root Tests: Methods and Problems

Nguyn Ngc Anh Trung tm Nghin cu Chnh sch v Pht trin Nguyn Vit Cng i hc Kinh t Quc dn
Economics 20 - Prof. Anderson 1
n tp bui trc
Chui cn bng >< chui khng cn bng Hm s (autocorrelation fucntion) v th t tng quan (correlogram) Kim nh Q v kim nh Ljung-Box Hi qui khng gi tr Xu hng: Xc nh (Deterministic) hay ngu nhin (Stochastic)? Gii thiu qua v ARMA
n nh
Tnh cht ca cc c lng (VD OLS) s ph thuc vo vic dy s c n nh/cn bng hay khng Dy s yt l n nh nu hm xc sut khng ph thuc vo thi gian C ngha l:

E(yt) khng i theo t Var(yt) khng ph thuc vo t Cov(yt,yt+s) ph thuc vo s v khng vo t

n nh yu
Cn bng yu nu mt dy s c m-men bc nht v bc 2 khng ph thuc vo t Cn bng yu s l nhng trng hp ta gii quyt v gp phi
Economics 20 - Prof. Anderson
Qua trnh ngu nhin gin n nht yt = 0 + t

Trong t l nhiu trng (white noise) l bin phn phi iid c trung bnh l 0 v phng sai l 2 Kim tra v thy rng :

E(yt)=0 Var(yt)= 2 Cov(yt,yt-s)=0
0.6 0.4 0.2 0 -0.2 -0.4 -0.6
White Noise
Y cng l nhiu trng rt t gp trong cc dy s thi gian trong kinh t Bui trc Xt = ut ut ~ IID(0, 2 )
Dy s t qui bc nht - AR(1)
yt = 0 + 1 yt 1 + t
E ( yt yt 1 ,..., y0 ) = 0 + 1 yt 1
Gi tr ca k hin ti ch ph thuc vo k trc
Khi no th dy s AR(1) c tnh n nh (stationary)?
Ly k vng ton ca biu thc ta c :

E ( yt ) = 0 + 1 E ( yt 1 )
Nu cn bng, ta c th vit nh sau :

0 E ( yt ) = E ( yt 1 ) = 1 1
Khng ph thuc vo thi gian

Xt ti phng sai 2 2 Var ( yt ) = 1 Var ( yt 1 ) +

Nu dy s cn bng th :
2 Var ( yt ) = 1 12
Ch c ngha nu nh |1 | <1 y chnh l iu kin cn bng cho chui AR(1) Nu 1 =1 th nh bi trc, ta bit, y chnh l bc ngu nhin (khng c trt nu 0 =0, v c trt nu 0 =/=0) Phng sai ca dy s ln dn theo thi gian
Dy s t qui ph qut (General Auto-Regressive Processes)
Dy s t qui bc p AR(p) c dng nh sau : p
yt = 0 + i =1 i yt i + t
Dy s ny s n nh, nu nghim ca dy s m bc p nm trong vng trn nghim n v
z i =1 i z p i
p p
iu kin cn l : (xem phn ly k vng ton ca phng sai trn)
1 < i =1 i < 1
p
Dy s trung bnh trt (Moving-Average Processes)

Mt dy s ht sc ph bin khc l dy s trung bnh trt bc 1 MA(1), c dng sau :
yt = 0 + t + t 1
Dy s trung bnh trt lun l dy s cn bng:

E ( yt ) = 0
Tnh n nh ca dy s MA
2 Var ( yt ) = Var ( t ) + 2Var ( t 1 ) = 2 1 +
2 Cov ( yt , yt 1 ) = E + + = Var = ( )( ) ( ) t 1 t 1 t 2 t 1 t
Cov ( yt , yt 2 ) = E ( t + t 1 )( t 2 + t 3 ) =0
Mi ng phng sai xa hn u bng khng
Dy s MA(q)
yt = 0 + t + i =1i t i
q
Dy s ny lun cn bng ng phng sai gia hai quan st s l zero nu nh khong cch gia hai quan st l ln hn q thi k
Quan h gia dy s AR v MA
Trng hai dy s c v khng quan h, nhng thc ra c quan h gia hai dy s Xt dy s AR(1) vi 0=0:
yt = 1 yt 1 + t
Thay yt-1 ta c:
yt = 1 [1 yt 2 + t 1 ] + t = 12 yt 2 + t + 1 t 1
Tip tc thay ta c
yt = y
3 1 t 3
+ t + 1 t 1 +
i 1 t i 1
2 1 t 2
yt = t + i =1
+ y
Nh vy, dy s AR(1) c th c biu din di dng dy s MA() v c trng s ngy cng gim dn Cn c tnh cn bng, m bo rng ton t cui cng s bng 0
S dng php ton tr (lag operator) C th b qua
Php ton tr :
Lyt = yt 1
Ls yt = yt s
C th vit dy s AR(1) nh sau:

yt = 1 Lyt + t [1 1 L ] yt = t
15
yt =
t [1 1L]
i yt = t 1 + i =1 (1 L ) = t + i =1 1i t i
Tng t nh vic thay th dn

Vi dy s AR(p) - B qua
1 p i Li yt = 0 + t ( L ) yt = 0 + t i =1
Nu (L) l c th nghich o, ta s c (invertible) :
yt =
( L )( 0 + t )
Nh vy dy s AR(p) c th c vit di dng mt dy s MA() nht nh no

T dy MA thnh dy AR
S dng php tr ta c th vit dy s MA(q) nh sau:
yt = ( L ) t
Nu (L) l c th nghch o:
1 ( L ) yt = t
Nh vy dy s MA(q) c th c biu din thnh dy s AR() c th no

Chui ARMA
Cc dy s thi gian c th c c phn AR v phn MA Mt dy s ARMA(p,q) c th c vit nh sau
yt = 0 + i =1 i yt i + t + i =1i t i
p q
19
Kim nh nghim n v
Lm th no bit mt dy s c cn bng hay khng? Do phn MA lun cn bng, nn s ch tp trung vo phn AR
20
Xu hng: Xc nh (Deterministic) hay ngu nhin (Stochastic)?

1
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.75 .5
100
.25
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M hnh 1 M hnh 2
Yt = a1 + Yt 1 + t
Yt = a 1 + a 2 Yt 1 + a 3 t +
(a2 <1 a3 >0)
Yt = a 1 + a 2 Yt 1 + a 3 t +
Chui s ny c xu hng xc nh nu (if a3 > 0) Cc suy din thng k s c gi tr (vi iu kin l a < 1).
2
Chui ny c th c chuyn sang chui cn bng bng cch loi b xu hng xc nh
Yt a 3 t = a 1 + a 2 Yt 1 +
Yt = a1 + Yt 1 + t
Chui ny khng cn bng Xu hng l ngu nhin Suy din thng k s khng c gi tr C th cn bng thng qua ly sai phn (difference stationary)
Yt Yt 1 = a1 + t
23
Bc ng nht (tch hp) ca mt dy sOrder of Integration of a Series

Mt dy s sau khi ly sai phn (difference) tr thnh dy s cn bng c gi l dy s c tch hp bc 1 , v k hiu l I(1). Ni chung, mt dy s thi gian tr thnh cn bng sau khi c sai phn d ln c gi l c bc tch hp d, k hiu l I(d). Mt dy s khng cn ly sai phn m vn l dy s cn bng c gi l c tch hp 0, v k hiu l I(0)
Yt = b0+ Yt 1 + t I (1) Yt = Yt Yt 1 = b0+ t I (0)

Cc xc nh cc chui khng cn bng cch khng chnh thng
(1) th s liu
12 RW2 10
(a) Trung bnh c thay i?
0 0 50 100 150 200 250 300 350 400 450 500
(b) Phng sai c thay i ?

200 150 100 50 0 -50 -100 -150 -200 0 50 100 150 200 250 300 350 400 450 500 var
25
S dung Correlogram Vi dy s cn bng, th tim cn 0 rt nhanh. Chui s khng c b nh (no memory)

0.50 0.25 0.00 -0.25
(2)
whitenoise
0 1.0 0.5 0.0 -0.5
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ACF-whitenoise
10
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(2)
S dng Correlogram Vi dy s c dng bc ngu nhin, th correlogram khng tim cn 0. C tng quan rt cao gia cc k (High autocorrelation for large values of k)
12.5 10.0 7.5 5.0 2.5 0.0 0 1.00 0.75 0.50 0.25 50 100 150 200 250 300 350 400 450 500
randomwalk
ACF-randomwalk
10
27
Kim nh thng k s dung t-test
Xy dng m hnh AR(1) c trt (b0) Yt = b0 + b1Yt-1 + t t ~ iid(0,2) Phng php gin n l c lng phng trnh (1) s dng OLS v xem xt cc con s c lng b1
(1)
S dng t-test vi gi thuyt trng Ho: b1 = 1 (khng cn bng) vi gi thuyt thay th Ha: b1 < 1 (cn bng). Kim nh : TS = (b1 1) / (Std. Err.(b1)) Bc b gi thuyt trng khi gi tr t ln v c du m gi tr ti hn (critical value) mc - 5% l -1.65
Kim ng thng k chui cn cng: kim nh t Kim nh t i vi dy s AR(1) c trt (b0) Yt = b0 + b1Yt-1 + t
t ~ iid(0,2)
(1)
Mt s vn vi phng php ny (1) Bin tr ph thuc => b1 s b c lng trch xung , c bit l nhng mu nh (2) Khi b1 =1, chng ta s c chui khng cn bng, v vic s dng phng php hi qui l khng c gi tr
29
Kim nh nghim n v - Nhng vn c bn

yt = 0 + 1 yt 1 + t
Mun kim nh H0:1=1 so vi H1:1<1 S dng t-statistic nhng khng s dng bng thng thn S dng bng Dickey-Fuller Tables Nn gi l kim nh Dickey-Fuller
30
Kim nh Dickey Fuller (DF) Dickey v Fuller (1979): Tr Yt-1 t 2 v ca phng trnh
yt = 0 + (1 1) yt 1 + t = 0 + 1 yt 1 + t
= 1 1
t ~ iid(0,2)
(2)
Mun kim nh H0:1=0 vi H1: 1<0 c lng bng OLS v tnh con s kim nh t mt cch thng thng Nhng s dng con s thng k t mt cch khc: Do phn phi ca t trong trng hp ny b lch
Kim nh Dickey Fuller (DF)

S dng kim nh t vi gi thuyt trng l Ho: 1 = 0 (khng cn bng hay c nghim n v - Unit Root) v gi thuyt thay th - Ha: 1 < 0 (cn bng). - Khi kim nh c gi tr ln v c du m bc b gi thuyt chui cn bng (reject nonstationarity) - y chnh l kim nh nghim n v (unit root test) v phng trnh slide trc Ho: b1 =1.
Mt s dng kim nh DF (Variants of DF test)

C 3 m hnh hi qui c th s dng kim nh nghim n v
Yt = Yt 1 + Yt = b0 + Yt 1 + Yt = b0 + Yt 1 + b2 t +
S khc bit gia cc m hnh ny l s hin din ca cc biu thc b0 v b2t. 1 kim nh xem Y c phi l mt bc ngu nhin(Random Walk) hay khng 2 kim nh xem Y c phi l mt bc ngu nhin c trt hay khng (Random Walk with Drift) 3 kim nh xem Y c phi l mt bc ngu nhin c h s trt v c xu hng hay khng (Random walk with Drift and Deterministic Trend)
M hnh n gin nht (ch thch hp khi ta cho rng khng c cc Yu t khc trong m hnh (true regression model))
Yt = Yt 1 +
S dng kim nh t v so snh vi gi tr ti hn do Dickey v Fuller tnh ton. Nu gi tr t nm ngoi khong tin cy, bc b gi thuyt trng l c nghim n v (unit root)
Statistic
34
M hnh c trt (drift)
Yt = b0 + Yt 1 +
1
Kim nh s dng kim nh F xem = b0 = 0 , s dng bng phi chnh thng
S dng kim nh t xem beta c bng khng khng? =0 , s dng bng phi chnh thng (non-standard tables)
35
V d Dy s c s quan st n = 25 vi mc ngha 5% cho phng trnh -critical value = -3.00 t-test critical value = -1.65
pt-1 = -0.007 - 0.190pt-1 (-1.05) (-1.49)
= -0.190
= -1.49 > -3.00
Do khng th bc b H0 c unit root.
36
Kim nh DF c tnh ti yu t xu hng ca dy s i khi dy s thi gian c xu hng i ln hoc i xung (khng cn bng v trung bnh ca dy s - non-stationary mean). V th nn ua xu hng vo m hnh v s dng kim nh DF. Yt = b0 + Yt-1 + b2 trend + t (4)
Hon ton c kh nng l dy s Yt s cn bng xung quanh mt xu hng no . Nu khng a yu t xu hng vo m hnh th dy s s khng cn bng/n nh ( non-stationary.)
37
Cc kim nh DF khc nhau Tm tt cc loi kim nh t
Yt = b0 + Yt-1 + b2 trend + t (a) Ho: = 0 Ha: < 0 Yt = b0 + Yt-1 + t (b) Ho: = 0 Yt = Yt-1 + t (c) Ho: = 0
Ha: < 0
Ha: < 0
Gi tr ti hn c th xem trong cc sch hoc Fuller (1976)
38
Kim nh DF S dng kim nh loi F (F-type test)
3 1
Yt = b0 + Yt-1 + b2 trend + t (a) Ho: = b2 = 0 Ha: 0 v/hoc b2 0 Yt = b0 + Yt-1 + t (b) Ho: = b0 = 0
Ha: 0 v/hoc b0 0
Cc gi tr ti hn c th xem bi nghin cu ca Dickey v Fuller (1981)
39
Tm tt Dickey-Fuller Tests
M hnh Gi thuyt Kim nh Gi tr ti hn cho khong tiin cy 95% v 99%
Yt = b0 + Yt 1 + b2 t + = 0
-3.45 and -4.04 3.11 and 3.78 2.79 and 3.53 6.49 and 8.73 4.88 and 6.50 -2.89 and -3.51 2.54 and 3.22 4.71 and 6.70 -1.95 and -2.60
b0 = 0 given = 0 b2 = 0 given = 0 = b2 = 0 = b0 = b2 = 0
Yt = b0 + Yt 1 +
=0 b0 = 0 given = 0 = b0 = 0
Yt = Yt 1 +
=0
(Gi tr ti hn cho n = 100)
40
Kim nh Dickey Fuller gi thit rng cc residuals t trong m hnh hi qui DF l khng t tng quan Gii php: a cc bin tr ca bin ph thuc vo m hnh Vi s liu theo qu, c th tr 4 bc ta c Yt = b0 + Yt-1 + 1Yt-1 + 2Yt-2 + 3Yt-3 + 4Yt-4 + t
Kim inh Dickey Fuller b xung (Augmented Dickey Fuller)
(3)
Lc ny c vn pht sinh khi cn phn bit cc m hnh S dng phng php t chung ti ring (general to specific) loi b cc bin khng c ngha Kim tra m hnh cui cng (parsimonious model) xem c t tng quan hay khng S dng kim nh F-test i vi cc bin c ngha S dng h s thng tin. Cn nhc gia m hnh parsimony vi phng sai ca phn d (residual)
Xem xt chui s v Correlogram

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ACF-Y
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Bin Y ny r rng l c xu hng, v chng ta phi xem xt xem xu hng ny l xc nh (deterministic) hay ngu nghin (stochastic). Sau khi to ra bin sai phn Y , ta c lng m hnh c tr ca Y. S lng tr nhiu n mc ta ngh l ph hp. (trong v d trn, tr ca bin sai phn Y l 4)
Kim nh nghim n v (Unit Root Testing)

Sau khi c lng xong m hnh
Yt = b0 + b2 t + Yt 1 + 1Yt 1 +
Cc gi thuyt c th kim nh l
H0 : b0 , b2 , = b0 , 0, 0 v H1: b0 , b2 , b0 , 0, 0
kim nh, s dng F-Test v tham s phi
43
V d - Real GDP (2000 Prices) Seasonally Adjusted (1) V th theo thi gian khng cn bng (trung bnh thay i theo thi gian, v correlogram GDP khng bng khng)
100
Y
75
50
Time r
1.00 0.75 0.50 0.25 1955 1960
ACF-Y
1965
1970
1975
1980
1985
1990
1995
2000
k
0 5 10
44
Kim nh nghim n v (1) Ly sai phn cn bng (Trung bnh khng i v correlogram bng khng)
3 2 1 0 -1 1955 1960
ACF-DY DY
1965
1970
1975
1980
1985
1990
1995
2000
1.0 0.5 0.0 -0.5
Time
10
k 45
Kim nh nghim n v (3) Xc nh s bc tr - s dng ADF test c lng m hnh chung v kim nh serial correlation
EQ ( 1) Yt = b0 +b2 trend+ Yt-1 + 1Yt-1 + 2Yt-2 + 3Yt-3 + 4Yt-4 + t Coefficient Constant Trend Y_1 DY_1 DY_2 DY_3 DY_4 0.538887 0.00701814 -0.0156708 -0.0191048 0.137352 0.188071 0.0474897 Std.Error 0.3597 0.004836 0.01330 0.07395 0.07297 0.07354 0.07473 t-value t-prob Part.R^2 1.50 1.45 -1.18 -0.258 1.88 2.56 0.635 0.136 0.148 0.240 0.796 0.061 0.011 0.526 0.0121 0.0114 0.0075 0.0004 0.0190 0.0345 0.0022
AR 1-5 test: F(5,178) = 1.7263 [0.1308] Kim nh chp nhn gi thuyt rng khng c tng quan Vn tip tc s dng F-test v Schwarz Criteria kim tra m hnh
46
Kim nh nghim n v
(3) Xc nh s bc tr s dng kim nh ADF test
Model EQ ( 1) EQ ( 2) EQ ( 3) EQ ( 4) EQ ( 5) Yt = b0+b2 trend+ Yt-1 + 1Yt-1 + 2Yt-2 + 3Yt-3 + 4Yt-4 + t Yt = b0+b2 trend+ Yt-1 + 1Yt-1 + 2Yt-2 + 3Yt-3 + t Yt = b0+b2 trend+ Yt-1 + 1Yt-1 + 2Yt-2 + t Yt = b0+b2 trend+ Yt-1 + 1Yt-1 + t Yt = b0+b2 trend+ Yt-1 + t
S dng c F-test v Schwarz information Criteria (SC). Gim s bc tr (number of lags) khi F-test chp nhn gi thuyt Chn m hnh (phng trnh) c SC l nh nht tc l chn m hnh c phng sai ca phn d (residual) v s cc tham s nh nht
Kim nh nghim n v
(3) Xc nh bc tr s dng ADF test
Progress to date Model T EQ( 1) 190 EQ( 2) 190 EQ( 3) 190 EQ( 4) 190 EQ( 5) 190 p 7 6 5 4 3 OLS OLS OLS OLS OLS log-likelihood -156.91128 -157.12068 -160.37203 -162.16872 -162.17130 Schwarz Criteria 1.8450 1.8196 1.8262 1.8175 1.7899
Tests of model reduction EQ( 1) --> EQ( 2): F(1,183) = EQ( 1) --> EQ( 3): F(2,183) = EQ( 1) --> EQ( 4): F(3,183) = EQ( 1) --> EQ( 5): F(4,183) =
0.40382 [0.5259] 3.3947 [0.0357]* 3.4710 [0.0173]* 2.6046 [0.0374]*
Accept model reduction Reject model reduction
Mt s kt qu mu thun nhau. F-tests cho rng phng trnh (2) tt hn phng trnh s (1) v phng trnh (3) th khng tt hn phng trnh (2)
48
Kim nh nghim n v (B) Tin hnh mt cch chnh thc
Coefficient Constant Trend Y_1 DY_1 DY_2 DY_3 AR 1-5 test: 0.505231 0.00655304 -0.0141798 -0.0119522 0.142437 0.185573
Std.Error 0.3552 0.004772 0.01307 0.07297 0.07241 0.07332
t-value t-prob Part.R^2 1.42 1.37 -1.08 -0.164 1.97 2.53 0.157 0.171 0.279 0.870 0.051 0.012 0.0109 0.0101 0.0064 0.0001 0.0206 0.0336
F(5,179) = 0.68451 [0.6357]
Vn chnh l kim nh gi thuyt serial correlation assumption. CHng ta c chp nhn gi thuyt trng la khng c serial correlation khng? Chng ta chp nhn!
49
Mt s vn i vi kim nh nghim n v
50
Vn th : Structural Breaks
Perron (1989) cho rng cc chui thi gian khng phi l cc chu c nghim n v, m l cc chui cn bng c xu hng v c bin i v cu trc (Structural Breaks) V d Khng hong nm 1929 Cn sc gi du Thay i cng ngh Nhng s kin ny s lm thay i trung bnh (mean) ca cc dy S nh GDP. Nu ta khng nhn ra cc structural break, th s Lun tm thy nghim n v cho d khng c nghim
Khi c bin i v cu trc th mi kim nh nghim n v u b trch. C xu hng khng bc b gi thuyt c nghim n v
Vn 2 : Lc kim nh thp (Low Power)

Lc kim nh ca mt php kim nh l xc sut bc b gi thuyt trng khi gi thuyt ny sai (reject a false Null Hypothesis) Kim nh nghim n v
Kh kim nh gia 2 dy s (1) c nghim n v; (2) gn nghim n v Kh kim nh gia xu hng v trt (Trend and Drift)
Y1 Z1
Y l dy s nghim n v Z l dy s xp x nghim n v
-2
-4
-6
-8 0 10 20 30 40 50 60 70 80 90 100
52
Kim dnh = 0 trong m hnh Yt = b0 + Yt-1 + t Kt qu kim nh da vo sai s chun (standard error) ca
- Sai s chun cho bit c lng ca chng ta chnh xc n u - cng nhiu quan st, sai s chun cng nh Trong trng hp ny, lc kim nh ca mt kim nh l kh nng bc b gi thuyt trng v vic dy s khng cn bng khi gi thuyt ny sai. (ni mt cch khc, l kh nng chp nhn gi thuyt thay th l chui cn bng). Lc kim nh thp c ngha l mt dy s c th l cn bng, nhng kim nh DF li cho rng dy s c nghim n v Lc kim nh thp s gy ra vn nghim trng khi dy s l cn bng, nhng li xp x dy s c nghim n v. Gii php l tng s quan st ca dy s.
53

Day 7 Unit Root Tests - Methods and Problems New

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Day 7 Unit Root Tests - Methods and Problems New

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D bo s dng m hnh chui thi gian

(Time Series Models for Forecasting)

Kim nh nghim n v: Phng php v vn

Unit Root Tests: Methods and Problems

E(yt) khng i theo t Var(yt) khng ph thuc vo t Cov(yt,yt+s) ph thuc vo s v khng vo t

Economics 20 - Prof. Anderson

Qua trnh ngu nhin gin n nht yt = 0 + t

E(yt)=0 Var(yt)= 2 Cov(yt,yt-s)=0

0.6 0.4 0.2 0 -0.2 -0.4 -0.6

Dy s t qui bc nht - AR(1)

Economics 20 - Prof. Anderson

Khi no th dy s AR(1) c tnh n nh (stationary)?

Ly k vng ton ca biu thc ta c :

Nu cn bng, ta c th vit nh sau :

Khng ph thuc vo thi gian

Xt ti phng sai 2 2 Var ( yt ) = 1 Var ( yt 1 ) +

Dy s t qui ph qut (General Auto-Regressive Processes)

Dy s t qui bc p AR(p) c dng nh sau : p

Dy s ny s n nh, nu nghim ca dy s m bc p nm trong vng trn nghim n v

iu kin cn l : (xem phn ly k vng ton ca phng sai trn)

Economics 20 - Prof. Anderson

Dy s trung bnh trt (Moving-Average Processes)

Dy s trung bnh trt lun l dy s cn bng:

S dng php ton tr (lag operator) C th b qua

C th vit dy s AR(1) nh sau:

Economics 20 - Prof. Anderson

Tng t nh vic thay th dn

Nu (L) l c th nghich o, ta s c (invertible) :

Nh vy dy s AR(p) c th c vit di dng mt dy s MA() nht nh no

Nh vy dy s MA(q) c th c biu din thnh dy s AR() c th no

Economics 20 - Prof. Anderson

Economics 20 - Prof. Anderson

Xu hng: Xc nh (Deterministic) hay ngu nhin (Stochastic)?

Chui ny c th c chuyn sang chui cn bng bng cch loi b xu hng xc nh

Economics 20 - Prof. Anderson

Bc ng nht (tch hp) ca mt dy sOrder of Integration of a Series

Yt = b0+ Yt 1 + t I (1) Yt = Yt Yt 1 = b0+ t I (0)

Cc xc nh cc chui khng cn bng cch khng chnh thng

(a) Trung bnh c thay i?

0 0 50 100 150 200 250 300 350 400 450 500

(b) Phng sai c thay i ?

Economics 20 - Prof. Anderson

Cc xc nh cc chui khng cn bng cch khng chnh thng

S dung Correlogram Vi dy s cn bng, th tim cn 0 rt nhanh. Chui s khng c b nh (no memory)

0 1.0 0.5 0.0 -0.5

Economics 20 - Prof. Anderson

Cc xc nh cc chui khng cn bng cch khng chnh thng

Economics 20 - Prof. Anderson

Kim nh thng k s dung t-test

Economics 20 - Prof. Anderson

Kim nh nghim n v - Nhng vn c bn

Economics 20 - Prof. Anderson

Kim nh Dickey Fuller (DF)

Mt s dng kim nh DF (Variants of DF test)

Economics 20 - Prof. Anderson

M hnh c trt (drift)

Economics 20 - Prof. Anderson

pt-1 = -0.007 - 0.190pt-1 (-1.05) (-1.49)

= -1.49 > -3.00

Do khng th bc b H0 c unit root.

Economics 20 - Prof. Anderson

Economics 20 - Prof. Anderson

Cc kim nh DF khc nhau Tm tt cc loi kim nh t

Gi tr ti hn c th xem trong cc sch hoc Fuller (1976)