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TI NGHIN CU
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2.
L do chn ti................................................................................................................. 3
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1.
1.1
1.1.1
1.1.2
1.1.3
1.2
1.2.4 M hnh vector hiu chnh sai s VECM( vector error correction model) ................ 8
CHNG III: PHNG PHP LY D LIU. ........................................................................... 9
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Hn ch ca bi bo co.................................................................................................... 24
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Phm vi nghin cu
Dng d liu: tt c dng d liu.
Lng d liu: cng nhiu quan st cng tt.
di d bo: trung hn.
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u im:
Khng cn xc nh u l bin ni sinh hay ngoi sinh.
Nu di tr ca cc bin trong cc phng trnh u ging nhau,
ta c th dng phng php OLS c lng, khng cn dng ti
cc phng php c lng h phng trnh.
Hn ch:
M hnh VAR t ph hp cho vic d bo chnh sch.
Tt c cc bin phi dng, nu cha th phi ly sai phn m bo
chui dng. Kh khn hn na khi c mt hn hp cc bin dng v
khng dng.
Kh khn trong vic la chn khong tr thch hp.
Do s quan st l c hn, nu tng di ca tr s lm cho bc t
do b gim, nh hng n cht lng cc c lng.
Trong mt s trng hp, gii thch du ca cc h s khng phi d
dng. C th cng mt bin s nhng cc tr khc nhau li c bin
khc nhau.
1.1.3 Phng php c lng m hnh VAR
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v pha di.
Ga tr c lng R 2 c th khng tin cy khi dng thay th cho gi tr
thc ca R 2
Phng sai v sai s tiu chun ca cc gi tr d bo khng c tin cy.
Kim nh t tng quan
-
Phng php th
Thng dng th phn d theo thi gian, gin t tng quan, th
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1.2.4 M hnh vector hiu chnh sai s VECM( vector error correction model)
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1. M hnh VAR
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Cho ra kt qu c lng nh
sau:
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Bc 1:
GVHD: Nguyn Duy Tm
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Kt qu khi ly logarit:
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Cho ra kt qu:
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KT QU VECM:
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Bc 5:
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.
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4. Hn ch ca bi bo co
Trong sut qu trnh thc hin ti bo co, mc d nhm rt c gng hon thnh bi
vit ny mt cch hon thin nht, nhng vn khng trnh khi nhng hn ch:
GVHD: Nguyn Duy Tm
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Ti liu M hnh t hi quy vector VAR-M hnh vector hiu chnh sai s VECM.
Hng dn s dng Eviews 6.0 Th.s Phng Thanh Bnh
Modeling an Forecasting a Firms Statements with a VAR/VECM.
Cc bi bo co,cc cng trnh nghin cu chuyn lm pht Vit Nam.
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