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TI M HNH PHN TCH CHUI THI GIAN ARMA V NG DNG TRONG D BO GDP CA VIT NAM
Ging vin hng dn: PGS.TS. Vn Nhn Hc vin thc hin: Bi Tin S MSHV: CH1002007 Lp cao hc kha 5
Bi Tin S
Mc lc
Li cm n
Em xin by t lng bit n chn thnh i vi PGS.TS.Trn Vn Nhn, ngi dy chng em chuyn Phng php ton trong tin hc . Nhng kin thc Thy truyn t cho chng em gip em c th hiu mt cch y v mn hc, c ngha thit thc cho cng tc chuyn mn, ng thi to iu kin cho chng em hon thnh tt chng trnh hc. V iu kin thi gian v kh nng c hn nn tiu lun khng th trnh khi nhng thiu st. Em rt mong nhn c kin ng gp ca thy tiu lun c hon thin. Xin chc Thy cng cc Thy c trong Trng i hc Cng ngh Thng tin - i hc Quc gia Thnh ph H Ch Minh li chc sc kho, hnh phc v thnh t.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
Bi Tin S
M u
Ngy mai s ra sao?, Nu ta tin hnh nh vy th ci g s xy ra?, Chng khon c tng im vo tun ny khng?, Gi vng ngy mai s ra sao? ..., c l y l nhng cu hi mi mi mang tnh thi s. Trong cuc sng hng ngy, vi cc hot ng ring t ca mi c nhn, trong cc hot ng ca c quan Chnh ph, cc tp on, cc cng ty ln, nh v ngay c cc quc gia hng mnh, vic on trc xu th tng lai ng vai tr cc k quan trng trong cng tc qun l, iu hnh, hoch nh chnh sch. C nhiu cch cch d on cc xu th, trong tiu lun ny em xin trnh by v m hnh phn tch, d bo chui thi gian (Time serial) mt phng php ton hc, theo ngi ta c th rt ra c nhng quy lut ca mt qu trnh c quan st thng qua chui s liu. y l m hnh ton hc rt st vi thc t c ng dng hu ht trong cc lnh nh: Vt l, Sinh hc, Nng nghip, K hoch, Tm l, Ngn ng, Kinh t, Ti chnh, Ngn hng,.... ng dng chy m hnh ny c nhiu phn mm tnh ton nh SAS, SPLUS, EVIEW, SPSS, MINITAB, STATA, hoc t nht cng l Microsoft Excell, trong tiu lun em trnh by s b v phn mm Eview, mt cng c tt chy m hnh phn tch chui thi gian. Da trn phng php ra, v s dng phn mm Eview em tnh ton mt bi ton thc t trong
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 3
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s dng s liu v GDP ca Vit Nam kim chng. Kt qu thu c rt kh quan. chnh xc ca d bo l ng tin cy. Tiu lun ngoi phn m u v kt lun, s c 3 chng: Chng 1: Cc kin thc c bn v chui thi gian. Chng 2: Gii thiu s b v phn mm EViews Chng 3: ng dng phn tch thi gian d bo GDP ca Vit Nam
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cu cc k thut tch mu hnh c bn ny v s dng n nh l c s d bo cho tng lai. Vn l ch phn ln cc chui thi gian trong cuc sng thc ti l rt phc tp nn cc k thut n gin nh lm trn s liu khng th s dng c cho phng php phn tch chui thi gian. K thut d bo Box Jenkins l phng php d bo cc chui thi gian c phc tp cao. K thut ny c Box v Gwinlym Jenkins xut nm 1970 v thng c gi phng php d bo t hi quy kt hp trung bnh trt (ARIMA - autoregressive integrated moving average). d bo c, trc ht ta gi thit c mt m hnh xc sut biu din dy s liu. Sau khi chn ra mt m hnh gn vi dy s liu, chng ta tin hnh c lng cc tham s ca m hnh, kim tra m hnh c s dng c thch hp khng. Cch tip cn chung phn tch chui thi gina l: - V cc s liu ca chui ln mt mt phng ta xt cc c trng chnh ca chng, ch n + Xu th, + Thnh phn theo ma, + Nhng im thi gian thay i dng iu n, + Nhng quan st d thng. - Kh cc xu th v thnh phn theo ma bng hai phng php chnh: + c long cc xu th hay cc biu din theo ma nh phng php bnh phng ti thiu sau tr cc gi tr ca hnh va c lng vo s liu. + Sai phn s liu: Xt mt chui thi gian mi {Y t} t chui ban u nh ton t sai phn Yt = Xt Xt-d (hoc lp li mt vi ln sai phn nh vy). Mc tiu l nhn c chui dng. Khi nim v chui dng chng ta cp tip phn sau.
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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3. D bo D bo l c lng cc gi tr tng lai y t+h vi h 1 ca mt bin ngu nhin d trn cc quan st v cc gi tr qu kh ca n y 1, y2, y3, ,...yn . D bo yt+h thng c k hiu l t(h). Cht lng ca d bo ph thuc vo nhiu yu t. Trc ht n ph thuc vo xu hng pht trin ca chui thi gian. nuu chui thi gian l hm u n theo thi gian th cng d d bo. V d tin trnh pht trin kinh t khng c nhng bit ng c bit nh khng hong kinh t th cc d d bo tng sn phn quc ni GDP cho nhng nm sau. Cho n nay, cc phng php d bo chui thi gian cha c cc nghin cu no cho php d bo c gi tr t bin. Tnh chnh xc ca d bo chui thi gian cn ph thuc xa gn ca thi gian. D bo cc gi tr cng gn hin ti cng chnh xc. Nh vy vic c lng GDP cho nm sau, qu sau s chnh xc hn vic c lng GDP cho 10 nm sau. Ngoi ra, phng php c lng, phn mm h tr cng ng vai tr ht sc quan trng khi thc hin cng tc d bo. Nu ch c phng php v s dng cng c l giy trng v bt ch th s gian kh s v cng khi chng ta mun lm d bo chui thi gian, tuy nhin bng s h tr ca cc phn mm phn tch chuyn bit chng hn nh EVIEWS th vic d bo thc hin kh d dng. Trong phn tip theo em xin trnh by nhng nh ngha c bn nht cn dng cho vic trnh by bo co. thun tin cho vic trnh by trong ni dung bo co em xin b qua cc chng minh phc tp v cc nh l, cc mnh lin quan. 4. Qa trnh dng v phn tch h s t tng quan 4.1 Khi nim v qu trnh dng. Qu trnh dng l qu trnh ngu nhin, c mt vi c trng khng bin i theo thi gian. y l mt khi nim ct li trong vic phn tch chui thi gian. Nu c trng l phn phi ng thi ca cc {Xt} th ta c
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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nh ngha 4.1.1: Qu trnh ngu nhin {Xt} c gi l dng theo ngha cht nu nh vi mi t1 < t2 < t3 < .....< tk v h > 0 ta c (Xt1, Xt2, ....Xtk) c cng phn phi vi (Xt1+h, Xt2+h, ....Xtk+h). nh ngha 4.1.2: Gi s {Xt} l chui thi gian vi EXt2 < . Khi a) Hm s x(t) = EXt, t T gi l hm trung bnh b) Hm hai bin x(t, s) := cov(Xt,Xs) = E[(Xt - x(t))(Xs - x(s))] c gi l hm t hip phng sai. nh ngha 4.1.3: Qu trnh ngu nhin gi l dng theo ngha rng nu: a) Hm x(t) := EXt hng s theo thi gian. b) Vi mi h = 0; 1; 2, .... c nh hm s c) x(t+h, t) :=E[(Xt - x(t))(Xt+h - x(t+h))] khng ph thuc vo t, tc l x(t+h, t):= x(t). nh ngha 4.1.4: Nu {Xt} t = 0; 1; 2, .... l qu trnh dng vi EX t2 < th hm (theo h): x(h) = cov(Xt, Xt+h) h = 0; 1; 2, .... gi l hm t hip phng sai (autocovariance) cn x(h) =x(h)/x(0) := cov(Xt, Xt+h) h = 0; 1; 2, .... l hm t tng quan. nh ngha 4.1.5: Chui thi gian {Xt} l tuyn tnh nu n c th biu din di dng: Xt =
j:=
j Zt-j
j:=
j < .
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Nu ta quan st c n gi tr ca chui {X t} l x1, x2, ....xn v n gi tr ca chui {Yt} l y1, y2, ....yn Th h s hip phng sai = cov(X,Y) s c biu din bi
= XY - X * Y
( X 2 X 2 )(Y 2 Y 2
( )
( )
'
X=
X2 =
1 n 2 1 n 2 1 n 2 x Y = y XY = i; i; x iy n i =1 n i =1 n i =1
4.2.2 H s t tng quan mu Gi s c quan st {x t} ca chui thi gian {X t}. Khi c lng ca h s t
x(h) cho bi: hip phng sai x(h) l h s t hip phng sai mu
n h ( h) = 1 x X n t =1 t + h
)(x X)
t
V h s t tng quan mu l
( h) = ( h) (0) (vi tr thi gian l h), trong
n = s quan st ca i lng X xt = th hin ca Xt ti thi im t X gi tr trung bnh ca cc th hin ca chui thi gian Nhn vo cng thc ta thy h v h o mi tng quan gia on s liu x 1, x2, ....xn-h vi on s liu xh+1, xh+2, ....xn cch nhau 1 tr thi gian l h. Chng ta d dng chng minh c gi tr h s t tng quan mu h nng gia -1 v +1. Hn n, d dng nhn thy h = h vi tr th gian h. Do vy ta ch xt vi nhng h 0.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 8
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u /2
1 1 < (k ) < u /2 n n
(*)
(k ) c gi l xp x 0 Th (k ) khng tho mn bt ng thc ny, ta ni (k ) khc 0 thc s Nu (k ) ca mt chui tho mn bt Quy tc 4.2.7.1 Nu cc h s t tng quan
th trong chui ang xt nht thit phi c tn ti mt mi lin kt no . (Vit tnh ton nhng h s t tng quan ny s rt kh khn, nu chng ta khng s dng phn mm h tr, vi s tr gip ca phn mm Eviews chng ta c
(k ) nm th kim nh kh d dng bng cch chy lnh v quan st cc gi tr
Hnh 1: quan st H s t tng quan v H s tng quan ring ca mt chui s liu theo thi gian Ch : Nu vic phn tch cc h s t tng quan ch ra rng dy s ang xt l ngu nhin, th gia cc gi tr ca s liu khng tn ti mt mi lin kt no c. Do
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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vy c m hnh ho tm xu th tim n trong n cgn v ch v ta dng vic phn tch chui thi gian. 4.2.3 H s t tng quan ring H s t tng quan ring l khi nim t c s dng hn so vi h s t tng quan trong vic phn tch chui thi gian. Trn thc t, h s t tng quan ring ch gip cho ta vic nhn dng m hnh t hi quy trung bnh trt ARMA d bo (K thut phn tch m hnh ARMA s c trnh by chng sau). H s t tng quan ring ng vai tr quyt nh trong vic m hnh ho ARMA. Vic hnh dung v phng din l thuyt ca h s t tng quan ring khng qu kh, tuy nhin s tnh ton n cng gp kh nhiu rc ri. cho d hnh dung chng ta hiu l h s t tng quan ring ca chui s liu {X t} nhm o mc kt hp gia chui thi gian {Xt} v chui thi gian tr {Xt-k} khi nh hng ca cc quan st xen vo gia b loi tr (th d k = 4 th ta loi cc X t-1, Xt-2, Xt-3, ra khi vic tnh ton). nh ngha 4.3.7. H s t tng quan ring ca choi thi gian dng {Xt}, c k hiu l (k), chnh l h s tng quan cu hai bin ngu nhin Xt - E[Xt | Xt-1, Xt-2, ....,Xt-k+1 ] v Xt-k - E[Xt-k | Xt-1, Xt-2, ....,Xt-k+1] Ni cch khc (k) o s ph thuc ca X t v Xt-k sau khi loi bo cc nh hng ca gi tr trung gian - Trong hnh 1 trn trung ta c th quan st c gi tr t tng quan ring bng s tr gip ca phn mm Eviews. 5. Phng php d bo chui thi gian ARMA 5.1 D bo chui thi gian dng Gi s ta c chui thi gian dng {X t} vi gi tr trung bnh v hm t tng quan (h) c bit. Ta mun d bo gi tr X n+h theo cc gi tr ca X1, X2, ..........,Xn . Mc tiu ca chng ta l tm mt hm s g(x 1, x2,..........xn) g(X1, X2, ..........,Xn) l d bo cho Xn+h c sai s bnh phng trung bnh nh nht. Ta k hiu d bo tt nht ny l P nXn+h . Ngi ta chng minh c rng trong trng hp {X t}
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c phn phi chun th ta c th chn g l mt t hp tuyn tnh theo c bin x 1, x2,..........xn. Mt khc, phn ln cc chui thi gian trong thc t u c phn phi chun hoc xp x chun, hoc chng ta c th bin i chng tr thnh chui thi gian c phn phi gn chun, v vy l t nhin ta gi thit. PnXn+h = a0 + a1Xn + ...........+ anX1 Vn by gi l tm cc h s a0, a1.............. an 5.2 Qu trnh t hi quy AR (Auto Regressive): Qa trnh t hi quy cp p (k hiu tt AR(p) ) l qu trnh m cc s liu ca chui thi gian s lin h vi nhau theo biu thc: Xt = 1 Xt-1 + 2 Xt-2 + 3 Xt-3 + .....+ p Xt-p Trong : 1 , 2 , 3 ... p : l cc h s ca phng trnh Cn Zt l n trng ( hay l nhiu trng - white noise ), k hiu l WN(0,2), ngha l chui c lp, cng phn phi vi trung bnh zero v phng sai 2. Ta gi chui s liu Xt l t hi quy v gi tr hin ti ca n c truy hi t cc gi tr Xt-1 , Xt-2
....,
+ Zt
Xt-p ng trc n. n trng Zt biu th cc yu t ngu nhin tham gia vo m Cc gi tr 1 , 2 , 3 ... p l cc h s bng s m ta mi quan h gia cc
khng th gii thch c bng m hnh. gi tr thc ti vi cc gi tr trc n. Gi tr ca p l cp ca qu trnh t hi quy AR(p). 5.3 Qu trnh trung bnh trt MA(q): Chui thi gian Xt l qu trnh trung bnh trt cp q (vit tt l MA(q) ) nu: Xt = Zt + 1 Zt-1 + 2 Zt-2 + 3 Zt-3 + .....+ q Zt-q Trong : Zt l dy s c phn phi nhiu trng (WN(0,2 ))
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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1, 2 , .....q l cc h s ch mi lin h ca cc ga tr Xt v cc gi tr ca nhiu cho n thi im t. q l cp ca m hnh trung bnh trt MA(q), 5.4 Qu trnh t hi quy kt hp trung bnh trt ARIMA(p,q): M hnh ARIMA(p,q) l s hn hp ca 2 qu trnh AR v MA. Dng chung ca qu trnh c nh ngha bi cng thc sau: Xt = 1 Xt-1 + 2 Xt-2 + 3 Xt-3 + .....+ p Xt-p + Zt + 1 Zt-1 + 2 Zt-2 + 3 Zt-3
+ .....+ q Zt-q (* *) Trong : cc i lng ca cng thc ny c gii thch nh phn 5.3, 5.4. Qu trnh Xt tho mnh (* *) gi l qu trnh t hi quy cp P, trng bnh trc cp q v k hiu l ARMA (p, q). C mt lu l ARIMA(p,0) = AP(p) v ARIMA(0,q) = MA(q). 5.5 K thut d bo qu trnh ARMA Cu hi t ra l khi tin hnh d bo mt chui thi gian theo m hnh ARIMA th lm sao ta bit c l n tun theo mt qu trnh t hi quy AR ( v nu c th gi tr ca p bc ca m hnh bng bao nhiu?) hay mt qu trnh trung bnh trt MA (v nu c th gi tr ca q bc bng bao nhiu) hay mt qu trnh ARMA (v nu c th cc gi tr ca p v q bng bao nhiu) . Phng php ca hai nh khoa hc BoxJenkins s gip ta gii quyt vn ny. Bc 1: Nhn dng v c lng V chui s liu ln mt phng ta v xt cc c trng chnh ca chng, trong phi ch n xu th, thnh phn theo ma, thi im thay i dng iu ln, cc quan st d thng. V th hm t tng quan v hm t tng quan ring , tm cc gi tr thch hp ca p v q. Bc 2: Kim tra: Sau khi la chn c m hnh ARIMA v c lng c cc tham s p, q bc 1, ta phi kim tra xem m hnh c ph hp vi d liu
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quan st c hay khng bi rt c th c mt m hnh ARIMA khc cng ph hp vi cc d liu quan st. Cch kim tra l xem sai s bnh phng (R bnh phng). Cui cng ta s la chn m hnh no c sai s bnh phng nh nht. Vic kim tra nhn dng m hnh bc ny nhiu khi mang tnh ngh thut, phi my m v tn nhiu cng sc mc d c nhng nguyn tc nht nh. Bc 3: D bo: Mt trong s cc l do v tnh ph bin ca phng php lp m hnh ARIMA l s kh chnh xc ca n khi d bo. Tnh chnh xc ca d bo ph thuc vo nhiu yu t. Trc ht n ph thuc vo xu hng pht trin ca chui thi gian, chng hn nu tin trnh pht trin kinh t khng c nhng bin ng c bit th d dng d bo tng sn phm quc ni GDP cho nhng nm sau. Cht lng d bo cn ph thuc cn ph thuc vo thi gian nh d bo. D bo cng gn hin ti th cng chnh xc. Hin nhin vic d bo GDP cho nm sau s chnh xc hn vic d bo GDP cho 10 nm tip theo.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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M phng Phn tch v nh gi s liu khoa hc Phn tch ti chnh, phn tch chui thi gian v d liu dng bng.
Eviews chy trong mi trng Window c pht trin bi cng ty QMS (Quantitative Micro Software a ch www.eviews.com ). Phin phi mi nht ca Eviews l phin bn 5.0. Vic s dng Eviews khng qa kh i vi ngi quen lm vic vi mi trng Windows bi Eviews s dng h thng bng chn v cc hp hi thoi. Mt s tnh nng c bn v c th ca Eviews nh sau: Cho php Nhp, m rng va hiu chnh s liu (lm sch s liu) Tnh ton cc thng k m t: Ma trn h s tnga quan, ma trn hip phng sai Tnh cc chui s liu da trn cng thc v cc hm mu V v in cc th, cc biu c lng v m hnh hi quy tuyn tnh bng OLS(Ordinary Least Squares, TSLS = Two- Stage Least Squares), c lng m hnh ph tuyn c lng m hnh Probit and Logit c lng h phng trnh tuyn tnh v ph tuyn c lng v phn tch vc t t hi quy Qu trnh c sai s trung bnh trt v t hi quy theo ma Tr phn phi a thc D bo d trn phng php hi quy
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Gii cc m hnh nhiu phng trnh Theo di d liu theo thi gian (lch s ca d liu) Dc v ghi ra fie d liu di dng bng chun Khi s dng Eviews thng thng s chy qua 3 bc sau: Bin tp d liu (Data Editing): Ngi s dng c th bin tp d liu cho cc m hnh phn tch thng qua Menu v cc cu lnh thn thin vi ngi s dng Window nh: New, Open, save, save as . Tnh ton d liu (Data Computing). Eview c th cung cp cng thc tnh ton tng i phc tp, ngi s dng phi c nhng am hiu nht nh v mt ngha thng k ca cng thc ny. Phn tch thng k (Satatistical Analysis): Eviews c th thc hin c cc k thut lit k trn. Cc thuc tnh quan trng ca chng trnh Eviews i tng: i tng trong Eview l cc chui s liu ( series), cc biu thc ton hc, m hnh, ma trn, bin s, bng biu, th.v.v. Mi mt i tng c s dng tng ng thng qua cc chc nng ca menu trn ca s chng trnh. Ca s chnh: Xut hin ngay sau khi khi ng Eviews, gm mt thanh tiu , mt menu chnh, ca s lnh, dng trng thi v vng lm vic. Vng lm vic s xut hin chnh gia ca s chnh v hin th khi cc i tng c to ra. Ca s lnh: Xut hin pha di thanh Menu trong ca s chnh, c dng tin hnh nhng cu lnh n gin. Ca s tp tin lm vic (workfile window): Ca s xut hin khi ti ca s chnh ta click chut vo Menu File/New/Workfile. Khi a cc m hnh vo chy trn Eviews
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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chng ta cn thit lp d liu cho m hnh bng cch nhp d liu vo t ca s Workfile. Ca s ny chnh l bc u tin ngi dng bt u vi Eviews. Ca s Group (Group window): Ca s xut hin khi chn cng lc nhiu bin s (2 bin tr ln) trn ca s Workfile. Sau chn Open/ as Group. Trong ca s ny d liu liu xut hin trn cc bng tnh khc nhau, v chng ta c th quan st chng bng cch bin i thnh cc th. Ca s biu thc (Equation window): Ca s xut hin khi ti Menu chng trnh ta chn Objects/New objects/Equation, hp hi thoi hin ra cho php nhp nhng biu thc cn s dng vo. Ti y s hin th cho ta nhng kt qu t nhng tnh ton c lng cng thc nhp vo. Ca s dy s liu: Hin th cho ta chui s liu theo thi gian trn cc bng tnh khc nhau bng cch click vo tn bin trn c hin th trn workfile. Phn tip theo trong bi vit ny xin gii thiu vi bn c mt s thao tc lm vic vi Eviews : - Khi ng v copy d liu - Gii thiu Menu chnh trong ca s EViews - Workfile - Nhp d liu t phn mm khc - Nhp d liu bng Copy v Paste - Nhp d liu bng bn phm - V th Khi ng Eviews Ci t theo ti liu hng dn c km theo phn mm. Biu tng ca EViews trn mn hnh Windows nhn nh th ny :
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Nhn p vo biu tng EViews v EViews bt u hot ng. Hy ghi nhn menu chnh, ca s lnh, ca s chnh v dng trng thi (status line). Menu chnh bao gm nhng la chn sau: File; Edit; Objects; View; Procs; Quick Options; Window Help Nhp chut vo mi mt trong nhng la chn ny v kim tra cc Menu con xut hin pha di. Khi m EViews ln u tin, ca s chnh cn trng v cha xc nh tp tin lm vic no (workfile) s dng .
M tp tin lm vic (Workfile) lu gi t trc: T File/Open/Eviews Workfile; mt mn hnh m ra, trn lit k cc tp tin trong th mc mc nh (default folder). Nu th mc mc nh khng phi l th mc m ngi s dng
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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ch ra cc workfile trn EViews, dng "Files of type" cn xc nh Workfile (*.wf1). V ngi s dng d nh s lm vic vi th mc ny thng xuyn th nhp chut nh du vo vung gip cp nht th mc mc nh gc tri-phi di ca s Open nh trn y. Ln sau, khi khi ng EViews, khi thc hin thao tc File/Open/Eviews Workfile s t ng ch ti th mc ny.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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M workfile c tn demo bng cch nhp p vo n. Cch khc,ngi s dng c th bi en n bng cch nhp n, sau nhp Open. Vi workfile ang m , mn hnh c dng:
Thanh trn cng trn menu ca Workfile ch ton b ng dn i vi Workfile ny; thanh trng trng di y ca mn hnh cng ch ng dn ny, v n ch workfile ang s dng : WF = demo. Menu ca workfile cha cc nt bm dnh cho View; Procs, Objects, Print. Save, Detail +/-, Show , Fetch, Store, Delete, Genr, Sample Cc phm bm vi +/ - l cc phm chuyn i thc hin cc chc nng bt v tt. Thng tin v workfile ny xut hin di thanh menu: Range; Display Filter Default Equation; Sample
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Cui cng, pha trong ca s ca workfile, chng ta thy tt c cc i tng ang c mt trong workfile ny : cc chui (cc bin ), cc nhm chui , vector h s , vector phn d, v bt c phng trnh, th hay bng no c t tn. By gi hy ng demo.wf1 bng cch nhp vo du X gc phi pha trn ca workfile ny. By gi hy nhp File. Ghi nh rng cc workfile mi m gn nht s hin ra pha di cng ca menu tri ra pha di. Nu ngi s dng mun m li mt trong s , ch vic nhp vo tn ca n.
Nhp d liu t cc phn mm khc D liu c th c nhp vo t cc tp tin Lotus, Excel, SPSS, MINITAB hoc ASCII. Trong mi trng hp u dng phng php nh nhau. D liu ny nm trong mt tp tin Excel c tn DEMO.xls. Ngi s dng cn kim tra li tp tin ny bng cch m file nay ra xc nh - Tp tin ny c bao nhiu bin, - C phi cc tn ca bin xut hin phi trn ca tp tin khng , - Khng cch gia cc ct d liu - C bao nhiu quan st (bao nhiu hng d liu).
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M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
Bi Tin S
Tr li vi menu chnh : nhn File/New/Workfile. Bng vic nhp New trong chui ny chng ta bo cho EViews rng chng ta c nh pht trin mt workfile mi. Vic ny lm cho EViews m ra mt hp thoi chng ta xc nh cc thuc tnh nht nh ca d liu, nhp vo Workfile structure type "unstructured/ undated," v chng ta nh my 27 vo "observation.". Ti Names (optional) nu ta g tn vo th Eview s s dng tn lm tn mc nh ca Workfile trong trng hp chng ta khng g g Eviews s mc nh tn l UNTITLED.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
By gi hy nhp OK. Mt workfile mi xut hin vi tn l UNTITLED (do ta khng g g vo phn Names (optional)). Nhn Procs/Import/Read Text-Lotus-Excel... v mt hp thoi xut hin m cc tp tin. Hy m bo l dng files of type ch Text-ASCII. Excel v Lotus cng l nhng la chn c sn. Hy a v DEMO.XLS v nhp m n.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Mt hp thoi khc - phc tp hn - xut hin. a danh sch cc bin vo theo th t OBS, GDP, PR, M1, RP.Kim tra li cc la chn cn li (bn khng cn bt c la chn no ).
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Nhn OK v d liu uc nhp vo. Xem v kim tra d liu: x dng phm Ctrl v nhp chut vo cc bin gdp, M1, obs, pr, rp sau nhp p vo vng nh du bng d liu s c hin ra nh sau:
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Lu gi EViews workfile mi ny l mt hay. Nhp File/Save As v lu gi tp tin ny di tn pm . EViews t ng b sung thm phn ui .wf1 ca workfile. Nhp d liu bng cch copy v dn (Copy v Paste) Sau khi cc bin c xc nh, cc gi tr ca chng c th c thu vo bng cch s dng lnh copy, sau dn vo hnh ca bng tnh EViews. Ngi s dng c th copy v dn t nhiu ngun, bao gm c th in t. i khi ngi s dng phi lu gi d liu ny trc ht nh l mt tp tin ngn ng (text file), sau copy v dn n. Trc khi bt u thao tc copy/paste ny, ngi s dng phi to ra cc bin trong workfile mc tiu. Hy tng tng rng ngi s dng mun copy v dn mt bin c tn X vo workfile ca mnh. u tin, hy m workfile ny, sau nhp Genr v nh my X = NA; hnh ng ny to ra mt bin c tn X nhng tt c cc gi tr ca n u khng c .
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
M Bin X bng cch click ln bin X trn mn hnh Workfile. By gi nhp Edit+/- . Lc ny, Ngi s dng hy bi en v copy d liu cho X t ngun ca n, sau nhp vo u tin ca bin X trn EViews v nhp Edit/Paste phn menu chnh. D liu ny ri vo v tr v Anh/Ch hon tt thao tc ny bng cch tt edit (nhp Edit+/-).
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
Bi Tin S
Phng php ny n gin nhng phin phc; nu vic np d liu cn c thc hin bng tay th ngi ta thch lm bng cch s dng mt chng trnh bng tnh (nh l Excel), sau nhp vo EViews. Lm vic trong mt Workfile Trong phn ny chng ta i tm hiu cch thc lm vic trong mt Workfile qua vic thc thc hin cc mc tiu nh thng k m t, v th, xy dng hm kinh t lng . . . La chn cc i tng t mt Workfile Nhp File/Open/Eviews Workfile sau nhp p vo demo_sy.wf1. Vi mc ch la chn mt i tng (hoc nhiu i tng) lm vic, Ngi s dng hy bi en chng. Nu Anh/Ch mun bi en nhiu i tng, th hy gi phm Ctrl v nhp vo mi mc , hoc ko con tr qua cc mc m bn mun bi en. Hy bi en gdp v M1. Nhp p vo mt trong cc mc bi en (hoc nhp chut phi), chn Open as Group, v sau c hai mc u hin trn bng tnh. Nhp name v tn t tn cho nhm GDP_M1; ng bng tnh li.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Nhp vo nhm GDP_M1; by gi n c bi en. Nhn p vo n, v n m ra thnh dng bng tnh. Xem v bin tp cc hng mc vo Workfile Kim tra chui cons v inc. Hy s dng cc phm di chuyn trn bng tnh. V th trong Eviews Nhn View/Graph/Line trn menu ca nhm.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
EViews cp nht nng ng cc th v bng tnh cho ph hp vi cc thay i trong d liu. Nu chng ta mun lu th ny nh mt ghi nhn cho d liu gc, th chng ta c th nhp vo phm Freeze, sau t cho th ny tn gi : Graph_1 (hay bt c tn no bn mun). Lu rng khi chng ta Freeze (ng bng) th ny, cc la chn trong menu mi s sn sng.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Nu my vi tnh ca ngi s dng c kt ni vi mt my in, th c th in bng cch nhp vo Print. V th khng cn m chui di dng bng By gi hy tr li workfile. Hy vo menu chnh v nhp vo Quick/Graph dng v th linh ng hn. Cch v ny khng cn phi m chui d liu nh cch v trn.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Mt ca s m ra yu cu ngi s dng xc nh chui hoc cc nhm; n ch ra GDP_M1; Ngi s dng cn nh my cons inc v nhn OK. Mt ca s m ra cho php Anh/Ch la chn nhiu phng n v th khc nhau. Nhn vo phm ? pha di Graph Type, chn Scatter Diagram, v nhn OK. Bin m Ngi s dng lit k u tin c v trn trc honh. Hy lu ti s a dng ca cc la chn trong menu.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
s dng cng vi mt s ch tiu khc to thnh nhng ch tiu tng hp quan trng: - T l ng vin GDP vo Ngn sch Nh nc - Chi Ngn sch Nh nc so vi GDP - T l chi u t so vi GDP - T l bi chi Ngn sch Nh nc so vi GDP - Gnh nng n (tng s n quc gia/chnh ph so vi GDP ca nm) . Thi gian gn y Tng cc Thng k cng b nh k trn cc phng tin thng tin i chng v tc tng trng GDP theo tng qu trong nm. Vi cc nh kinh t vic nghin cu, phn tch a ra cc cnh bo nh hng n tng hay gim GDP s gip ch rt nhiu cho cc nh qun l a ra cc quyt nh ca mnh. Bn cnh nu chng ta d bo c GDP tuy khng th chnh xc tuyt i nhng mc sai s cho php th rt c ngha. Trong chng ny em xin trnh by v cch vn dng phng php d bo chui thi gian trn c s s dng phn mm Eviews d bo GDP ca Vit Nam trong nm 2011. Trong phn ny chng ta s i nghin cu chui thi gian GDP Vit Nam t Qy 1 nm 1999 n Qy 4 nm 2005 ( ln ca mu l 28 quan st). ng thi s dng cc k thut d bo ca m hnh ARIMA trnh by trn d bo GDP ca Vit nam trong Qy 1 v Qu 2 nm 2006. Hnh 3.1: Biu GDP theo thi gian
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Hnh 2. th bin din s liu GDP theo Qu ca Vit Nam t nm 2000-2010 (Ngun: Tnh ton ca tc gi t d liu ca GSO) Ta c nhn xt nh sau: Trong giai on t nm 2000 n nm 2006 GDP ca Vit Nam c Quy lut qu 1 bao gi cng c gi tr nh nht so vi cc qu trong mt nm, tip GDP qu 3 c gi tr nh hn GDP qu 2 v qu 4, GDP qu 2 c gi tr ln qu 1 v qu 3 tuy nhin thp hn GDP qu 4. GDP qu 4 c gi tr ln nht trong cc qu. Trong giai on 2007-2010 GDP ca Vit Nam tng ln kh u n theo tng qu, tuy nhin quy lut c thay i, GDP ca Qu 3 ln hn GDP ca qu 2, Qu 1 thp nht, GDP qu 4 cao nht, iu ny gi cho ta s s dng m hnh phn tch chui thi gian ARIMA d bo GDP ca Vit Nam. Bc 1: Nhn dng m hnh: Chng ta v biu t tng quan v t tng quan ring nhn dng m hnh
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Hnh 3: Nhn dng m hnh bng biu t tng quan v t tng quan ring Hnh 3 Cho chng ta thy biu ca hm t tng quan (Autocorrelation) v hm t tng quan ring (Partial Correlation) ring ca chui GDP Vit Nam u vt ra khi di phn cch ( ) t y chng ta thy chui thi gian GDP l chui dng v chng ta xc nh bc ca m hnh ARIMA tc l i xc nh bc ca AR v bc ca MA. Ta quan st c bc ca AR l p =1,2,3... 8. Bc ca MA l q= 1, 2, 5 Bc 2: Thit lp m hnh d bo v c lng m hnh ARIMA d bo GDP qu 2 nm 2010.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 37
Bi Tin S
Bng vic m phng cc m hnh trn phn mm EVIEW chng ta i kim nh m tng ng vi bc ca cc h s p, q nu trn. Nh cp vic kim nh ny mang tnh Ngh thut, c ngha l chung ta dng phng php th, sai la chn m hnh tt v chp nhn c v mt kim nh thng k, kt qu cui cng ta c lng c m hnh vi phng trnh nh sau: GDP2010 = C(1)*GDP2010(-4) + [AR(1)=C(2)] Cc h s tng ng l: GDP2010 = 1.156270893*GDP2010(-4) + [AR(1)=0.6958877702] M hnh c lng h s tng quan bi R_squared = 0.987654 rt gn vi gi tr 1, iu ny cho thy mc tin cy 95%, m hnh d bo ca ta l chp c, ta kim tra v kim nh thng k ca m hnh Durbin-Watson = 1.540024 cng l chp nhn c. C th nh sau:
Hnh 4. M hnh d bo GDP ca Vit Nam Ta tip tc kim tra phn d ca m hnh xem phn d c l phn phi nhiu trng khng?
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Hnh 5: Kim nh phn d ca m hnh d bo GDP Vit Nam Kim tra tnh chnh xc ca m hnh: kim tra m hnh xem c ph hp
hay khng, chng ta phi i kim tra phn d ca m hnh. Phn d ca m hnh phi m bo phn phi nhiu trng (white noise), nu n phn phi theo nhiu trng iu ny ng ngha vi phn d ca m hnh l hon ton ngu nhin. Bng mt vi thao tc lnh trn phn mm EVIEW ta quan st biu t tng quan v t tng quan ring ca phn d m hnh, ta nhn thy cc gi tr t tng quan v t tng quan ring u nm trong 2 gii gii hn ( chn trn. ), iu cho chng ta thy phn d ca m hnh hon ton ngu nhin nh vy ta c th tin tng hu chc chn vi m hnh la
thun nht.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 39
Bi Tin S
Eviews c sn kim nh White. Ta dng ngay kim nh ny bng cch chn. View/Residual Test/White Hetereoscedaticity (no cross terms). Trong trng hp ny khng c s hng cho v ch c mt bin c lp GDP2010(4). Trong trng hp c nhiu bin c lp, khi c th a thm s hng cho, bng cch chn. View/Residual Test/White Hetereoscedaticity ( cross terms). White Heteroskedasticity Test: F-statistic 7.06865 Probability 7 Obs*R-squared 10.8664 Probability 3 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 12/30/10 Time: 11:29 Sample: 2001:2 2010:2 Included observations: 37 Variable Coefficient C -3.98E+08 GDP2010(-4) 3396.687 GDP2010(-4)^2 -0.003111 R-squared 0.293687 Adjusted R0.252139 squared S.E. of regression 2.79E+08 Sum squared 2.64E+18 resid Log likelihood -770.4070 Durbin-Watson 2.049683 stat GDP2010(-4) v GDP2010(-4)^2. Gi tr ca thng k 2 = Obs*R-squared = 10.86643, vi p-value =0.004369. C hai kim nh ny u cho bit phng sai ca yu t ngu nhin khng ph thuc vo GDP2010(-4) v GDP2010(-4)^2, ngha l phng sai khng thay i.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 40
0.002710 0.004369
Std. Error t-Statistic 2.93E+08 -1.359719 2558.905 1.327399 0.004877 -0.637858 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
Prob. 0.1829 0.1932 0.5278 1.56E+08 3.22E+08 41.80578 41.93640 7.068657 0.002710 ph thuc vo
Bi Tin S
Kim nh BG (Breusch -Godfrey) pht hin t tng quan sai s Eviews thc hin kim nh BG mt cch t ng. Sau khi c lng m hnh ta chn VIEW v tip tc theo bng sau y: View/Residual test/Serial Correlation LM test Residual test: Kim nh phn d Serial Correlation LM test: Kim nh tng quan chui bng nhn t Lagrange. Bng sau y s tip din, cn nhp vo bc ca t tng quan. Trong trng hp ny l 4. Breusch-Godfrey Serial Correlation LM Test: F-statistic 2.294871 Probability Obs*R-squared 8.280584 Probability Test Equation: Dependent Variable: RESID Method: Least Squares Date: 12/30/10 Time: 11:43 Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic GDP2010(-4) 0.023747 0.026887 0.883211 AR(1) -0.204826 0.630132 -0.325053 RESID(-1) 0.260455 0.602419 0.432349 RESID(-2) 0.332614 0.439791 0.756299 RESID(-3) -0.132484 0.384757 -0.344332 RESID(-4) -0.442480 0.338897 -1.305648 R-squared 0.223800 Mean dependent var Adjusted R0.098606 S.D. dependent var squared S.E. of regression 11967.72 Akaike info criterion Sum squared resid 4.44E+09 Schwarz criterion Log likelihood -396.6563 Durbin-Watson stat Gi tr ca F = 2.294871, p = 0.081509; (n-1)*R2= 8.280584, p = 0.081824. 0.081509 0.081824
Prob. 0.3839 0.7473 0.6685 0.4552 0.7329 0.2013 966.5613 12605.33 21.76521 22.02644 2.069071
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
C hai thng tin trn u i n kt lun khng tn ti hin tng t tng quan phn d n tng quan cp 4. Bc 3: D bo T kt qu c lng cc h s trn ta c chuyn i d dng sang d bo GDP. Cch chuyn i ny c thc hin bng phn mm EVIEW mt cch n gin nhp FORECAST v chn cc OPTIONS tng ng cn thit. Ta nhn c kt qu d bo GDP ca Vit Nam trong Qu 2 nm 2010 theo gi thc t l GDP d bo = 496235 t ng. So snh vi s liu m Tng Cc Thng k cng b GDP qu 2 nm 2010 theo gi thc t l GDP thc t = 508996 t ng ta nhn thy s liu GDP d bo chnh lch vi s liu GDP thc t l kh nh 12761 t ng (xp x 2,5%). Tin hnh quan st biu gia s GDP thc t v s GDP d bo theo m hnh nhn thy 2 ng biu din ny kh trng khp nhau:
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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Bi Tin S
Kt lun
1. M hnh Phn tch chui thi gian ARIMA l mt k thut d bo kh phc tp v mt l thuyt, tuy nhin vi s tr gip ca cc phn mm chuyn dng nh EVIEWS, SPSS, STATA . . . th vic ng dng n cng tr nn n gin, vic chuyn giao cng ngh ny phc v cho tc nghip cc c quan hoch nh v ban hnh chnh chnh sch ca Nh nc l rt cn thit. 2. M hnh ARIMA rt thch hp cho cc d bo ngn hn, c th tn sut quan st l ngy, tun, thng, qu, nm . . . V c ngha quan trng khi chng ta ng trong vic d bo cc chui s liu v ti chnh, gi c nh: Gi chng khon, gi c hng ho, gi vng, gi du,.... 3. S dng phng php d bo bng chui thi gian khng cho chng ta bit c cc nguyn nhn tc ng ti kt qu d bo m ch khng nh quy lut ca s liu cho chng ta kt qu d bo l nh th (Phng php chui thi gian khng d bo c cc bin ng t xut). Phng php ny khc vi cc phng php d bo
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam 43
Bi Tin S
khc nh m hnh hi quy, kinh t lng l cc phng php d bo trong c bin d bo, bin ph thuc, kt qu ca d bo c dng ln theo kch bn d bo, ngha l ta phi a vo m hnh cc gi nh ca cc bin ph thuc. Chng hn khi d bo GDP theo phng php kinh t lng ta phi a ra kch bn cho nm nm 2011 v d l li xut = 15%/1nm, t gi VN/USD = 20000VN/1USD,... 4. Bng cc kim nh thng k trnh by trn chng ta khng nh c m hnh d bo nh trn l kh tt. Vic d bo GDP ca Vit Nam trong nm 2011 ta c thc hin c c bng cnh tip tc cp nht s liu c ca Qu 3/2010 v Qu 4/2010 (cui thng 12/2010 Tng cc Thng k s cng b s liu Qu 4) v bng nhng thao tc s dng phn mm Eviews theo cc k thut ca M hnh ARIMA trnh by ./. Ti liu tham kho chnh: [1] Tp bi ging mn hc Phng php ton trong tin hc ca PGS.TS Vn Nhn. [2] Do Van Nhon and Dang Van Hung, A Systematic Design of Real-time Systems using Duration calculus, United Nations University/International institute for Software Technology 2000. [3] Nguyn Vn Hu - Nguyn Hu D, Phn tch thng k v d bo, NXB i hc Quc gia H Ni, 2003
[4] Bi Tin S, Phn mm phn tch s liu Eviews, Tp ch Tin hc ti chnh, s 20 xut
bn thng 02/2005. [5] Bi Tin S, Phn tch chui thi gian v d bo GDP Vit Nam, Tp ch Tin hc ti chnh, s 37 xut bn thng 07/2006.
M hnh phn tch chui thi gian ARMA v ng dng trong d bo GDP ca Vit Nam
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