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M hnh ARIMA d bolm pht Vit Nam

Vng Th Tho Bnh

NCS Khoa Ton kinh t - Trng H Kinh t Quc dn

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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

Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

Ni dung chnh

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M hnh t hi quy v trung bnh trtARMA(p,q) l m hnh kt hp gia thnh phn

t hi quy bc p v trung bnh trt bc q, cdng:

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 phnbc d, ta c m hnh ARIMA(p,d,q).Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

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

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p dng chui ARIMA(p,d,q) cho chui saiphn 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 didng 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.

Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

Gii thiu m hnh SARIMA

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D bo lm pht Vit Nam nm 2008

Trang 3Trang 3Trang 3Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

Ch s CPI

40

80

120

160

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

Nm

C

PI

CPI

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D bo lm pht 2008 bng m hnh ARIMA(Xem: V.T.T.Bnh, Tp ch Kinh ti ngoi, thng 8, 2008)

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- 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 phnca log(CPI) dng.

Lc tng

quan casai phnlog(CPI)

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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 ktqu kh chnh xc.Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

nh gi lm pht bng m hnh ARIMA(Xem: V.T.T.Bnh, Tp ch Kinh ti ngoi, thng 8, 2008)

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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, SICchng ta nh dng ARIMA ma v trn l: dng sai

phn thng, t hi quy thng bc 1, trung bnh trtthng bc 3 v trung bnh trt thng bc 5, bcma v l 12, t hi quy ma v bc 1. Kt qu hi quy

nh bng sau.Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

M hnh SARIMA d bo lm pht 2009

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M hnh SARIMA d bo lm pht 2009

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cc tham sc lng u c ngha thng k

Cc tham su tha mn iu kin dng v khnghch

H s R2 v ln nn m hnh la chn hp l

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

Kim nh t tng quan phn d bng cch vlc tng quan c chui phn d l nhiu trng

M hnh c th tin cy dng d bo

Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

M hnh SARIMA d bo lm pht 2009

2R

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Kt qu c th:

Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

Kt qu d bo

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Nh vy, thc hin d bo tng bc cho ta ktqu:

- Vi chui s liu 2001M1-2008M12, cho d bo lmpht thng 1, thng 2 nm 2009 kh chnh xc so vithng bo ca TCTK.

- D bo lm pht thng 3 nm 2009 s l 11,6% sovi thng 3 nm 2008.

Vng ThVng ThVng Th ThThTho Bo Bo Bnhnhnh

M hnh SARIMA d bo lm pht 2009

2R