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Bo co kt qu d bo bng phng php VAR/VECM Nhm 24

GVHD: Nguyn Duy Tm Page 1

I HC QUC GIA TPHCM

I HC KINH T LUT

KHOA KINH T HC

TI NGHIN CU

NG DNG M HNH VAR/VECM D BO TNH HNH

LM PHT VIT NAM

GVHD: Nguyn Duy Tm

SVTH : Nhm 24

1. Trn Th Minh Trang K104010084

2. Nguyn Th Trng K104010087

3. Nguyn Trang Anh Tun K104010095

TpHCM, ngy 27 thng 10 nm 2012



MC LC

CHNG I: TNG QUAN V PHNG PHP PHN TCH M HNH T HI QUY

VECTOR V M HNH VECTOR HIU CHNH SAI S VECM ............................................ 3

1. Gii thiu ............................................................................................................................ 3

2. L do chn ti................................................................................................................. 3

3. Mc tiu nghin cu ........................................................................................................... 4

4. i tng nghin cu ......................................................................................................... 4

5. Phm vi nghin cu ............................................................................................................ 4

CHNG II: C S L THUYT PHN TCH M HNH VAR/VECM ................................. 4

1. C s l thuyt .................................................................................................................... 4

1.1 M hnh t hi quy vector VAR ................................................................................... 4

1.1.1 Khi nim .............................................................................................................. 4

1.1.2 Mt s vn xy dng m hnh VAR: ................................................................. 5

1.1.3 Phng php c lng m hnh VAR ................................................................ 5

1.2 M hnh vector hiu chnh sai s VECM ..................................................................... 7

1.2.1 Hi quy gi mo ......................................................................................................... 7

1.2.2 ng lin kt .............................................................................................................. 7

1.2.3 Mi quan h nhn qu Granger ............................................................................. 8

1.2.4 M hnh vector hiu chnh sai s VECM( vector error correction model) ................ 8

CHNG III: PHNG PHP LY D LIU. ........................................................................... 9

1. Ngun d liu ..................................................................................................................... 9

2. Cch ly d liu ................................................................................................................ 10

CHNG 4: KT QU PHN TCH, LA CHN M HNH V D BO. ........................ 10

1. M hnh VAR ............................................................................................................. 10

2. M hnh VECM .......................................................................................................... 17

CHNG 5: KT LUN CHUNG .............................................................................................. 24

1. Kt lun m hnh d bo ................................................................................................... 24

2. nh gi tnh hnh lm pht Vit Nam .......................................................................... 24

3. Tnh kh thi ca m hnh VAR v VECM ....................................................................... 24

4. Hn ch ca bi bo co.................................................................................................... 24

TI LIU THAM KHO: ........................................................................................................... 25



CHNG I: TNG QUAN V PHNG PHP PHN TCH M HNH T HI

QUY VECTOR V M HNH VECTOR HIU CHNH SAI S VECM

1. Gii thiu

Nh chng ta bit, mi quan h gia cc bin s kinh t khng phi lc no

cng ch mang chiu hng nht nh. Cc bin s c lp (bin gii thch) khng

phi lun lun tc ng ln bin ph thuc m trong nhiu trng hp bin ph thuc

li tc ng ngc ln bin c lp. m bo tnh hp l, ta phi xt nh hng

qua li ca nhng bin ny cng mt lc. Chnh v th m hnh kinh t lng m ta

phi xt n khng phi l m hnh mt phng trnh m l m hnh nhiu phng

trnh.

Tuy nhin, c lng c cc m hnh ny ta phi m bo rng cc phng

trnh trong h c nh dng, mt s bin c coi l ni sinh (bin m gi tr c

xc nh bi m hnh, l bin ngu nhin) v mt s bin khc c coi l ngoi sinh

hay xc nh trc (ngoi sinh cng vi ni sinh tr).

Vic nh dng ny thng c thc hin bng cch gi thit rng mt s bin

c xc nh trc ch c mt trong mt s phng trnh. Quyt nh ny thng

mang tnh ch quan v b Chrishtopher Sims ch trch. Theo Sims, nu tn ti mi

quan h ng thi gia mt s bin th cc bin ny phi c xt c vai tr nh

nhau, tc l tt c cc bin xt n u l bin ni sinh. Da trn tinh thn m

Sims xy dng m hnh vector t hi quy VAR. 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.

2. L do chn ti

Nh chng ta bit, m hnh ARIMA ch tin hnh phn tch cc bin s kinh t

trn mt chui thi gian. Khi chng ta c nhiu chui thi gian khc nhau v cn phi

xem xt mi quan h, tc ng qua li gia chng th m hnh VAR v m hnh

VECM l mt s la chn ph hp.



M hnh VAR xem xt mi quan h gia nhng chui thi gian khc nhau. Nhn

chung, y l m hnh m rng cho nhiu chui thi gian ca m hnh ARIMA.

c bit, trong ti nghin cu ny, m hnh VAR v VECM rt thch hp trong

vic d bo tnh hnh lm pht Vit Nam cng nh th gii nhm a ra nhng gii

php ph hp.

3. Mc tiu nghin cu

- Cc khi nim trong phn tch m hnh t hi quy vector VAR v m hnh vector

hiu chnh sai s VECM.

- Phng php xy dng m hnh VAR v m hnh VECM.

- La chn khong tr thch hp.

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

- Quy trnh thc hin d bo bng 2 phng php trn.

- Gii thch ngha kinh t ca cc kt qu d bo.

4. i tng nghin cu

D bo tnh hnh lm pht Vit Nam trong tng lai c s bin ng nh th

no. T hoch nh cc chin lc vi m, v m, u t trong thi gian ti.

5. 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.

CHNG II: C S L THUYT PHN TCH M HNH VAR/VECM

1. C s l thuyt

1.1 M hnh t hi quy vector VAR

1.1.1 Khi nim

M hnh VAR l mt h phng trnh ng thi. trong cc bin u l bin ni

sinh. Bin c lp l cc bin ni sinh cc thi k tr.

Cu trc ca mt m hnh VAR gm nhiu phng trnh (m hnh h phng

trnh) v c cc tr ca cc bin s. Var l m hnh ng ca mt s bin thi gian.

Xt hai chui thi gian Y1 v Y2. M hnh Var tng qut i vi Y1 v Y2:



1 1 1 2 1

1 1

p p

t i t i t i tY Y Y U

1 2 221 1

p p

i t i i t i ttY Y Y U

Trong m hnh trn, mi phng trnh u cha p tr ca mi bin.

Vi 2 bin: m hnh c 22 p h s gc v 2 h s chn.

Suy ra vi k bin m hnh c 2k p h s gc v k h s chn. iu ny i hi s

quan st phi nhiu th kt qu c lng mi c ngha.

1.1.2 Mt s vn xy dng m hnh VAR:

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

Bc 1: Xt tnh dng ca cc bin trong m hnh. Nu cha dng th dng

k thut sai phn a v cc chui dng

Bc 2: La chn khong tr ph hp.

*** Cc cch xc nh khong tr thch hp:

Cch 1: kim nh t tng quan (nhc li chng hi quy).

Hu qu ca t tng quan



Cc c lng OLS vn l c lng tuyn tnh, khng chch, nhng

chng khng phi l c lng hiu qu na.

Phng sai c lng c ca OLS thng l chch. Khi tnh phng sai

v sai s tiu chun ca cc c lng OLS thng cho nhng gi tr thp

hn cc gi tr thc v do lm cho gi tr ca t ln, dn n kt lun sai

khi kim nh.

2 =RSS/df l c lng chch ca 2 v trong mt s trng hp l chch

v pha di.

Ga tr c lng 2R c th khng tin cy khi dng thay th cho gi tr

thc ca 2R

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

tn sut v th RESID(-1) v RESID theo thi gian.

- Kim nh LM ca Breusch Godfrey

Bc 1: c lng phng trnh v lu phn d tu

Bc 2: c lng m hnh hi quy sau y vi tr p ca phn d tu

(thng c xc nh da vo xem xt PAC trong gin t tng quan ca

phn d tu )

11 2 2 1... ...t t t pt R Rt R R p tu X X u u v (1)

Bc 3: Tnh thng k LM = (n-p) 2R t phng trnh hi quy (1). Thng

k LM ny s theo phn phi 2 vi s bc t do l p. Nu (n-p) 2R > 2 tra bng

mc ngha c chn, ta bc b gi thit 0H v kt lun rng m hnh c t

tng quan.

Cch 2: kim nh tnh ng lin kt.(dnh ring cho m hnh

VECM)



Theo cc tiu chun Lag, LogL, LR, FPE, AIC, SC, HQ , tr c th l 0;

2 v 3. tr cng nh cng tt v s quan st l c hn nn nu tng di ca

tr s lm cho bc t do b gim, do vy nh hng n cht lng ca c lng.

Bc 3: Kim nh tnh dng ca phn d so snh mc ph hp ca

cc m hnh.

Bc 4: So snh v la chn m hnh ph hp nht.

1.2 M hnh vector hiu chnh sai s VECM

Mt s khi nim lin quan ti m hnh VECM nh hi quy gi mo, ng lin

kt v m hnh hiu chnh sai s ECM.

1.2.1 Hi quy gi mo

Khi hi quy vi cc chui thi gian, kt qu hi quy c th l gi mo v 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 ln bin ph thuc

m cn bao hm xu th.

Vic hi quy cc bin khng dng c th dn n hi quy gi mo. Khi cc

tiu chun t v F khng s dng c. Theo Granger v Newbold, du hiu hi quy

gi mo:

R2 >d.

Khc phc hi quy gi mo: a thm bin xu th vo m hnh.(ch chp nhn

bin xu th phi ngu nhin).

1.2.2 ng lin kt

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 gii thch nh mi quan h cn bng di hn gia cc bin. Ngha

l, nu phn d trong m hnh hi quy gia cc chui thi gian khng dng l mt

chui dng, th kt qu hi quy l thc v th hin mi quan h cn bng di hn

gia cc bin trong m hnh.

Nu nh m hnh l ng lin kt th s khng xy ra trng hp hi quy gi

mo, 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 Engle- Granger,

kim nh CRDWv theo phng php Var ca Johansen.

1.2.3 Mi quan h nhn qu Granger

Kim nh mi quan h nhn qu gia hai chui thi gian X v Y, ta c

phng trnh:

Yt = 0 + 1 Yt-1 + + 1 Yt-1 + 1 Xt-1 + + 1 Xt-1 + t (1)

Xt = 0 + 1 Xt-1 + + 1 Xt-1 + 1 Yt-1 + + 1 Yt-1 + t (2)

Kim tra cc bin tr ca X c gii thch cho Y v cc bin tr ca Y c tc

ng ln X hay khng, ta kim nh gi thit sau :

H0: 1 = 2 = = l = 0

kim nh gi thit ng thi ny, ta s dng thng k F ca kim nh

Wald. Nu gi tr F tnh ton ln hn gi tr F ph phn mc ngha xc nh,

bc b H0. C 4 kh nng:

Nu cc bin tr ca X tc ng ln Y, nhng cc bin tr ca Y khng tc

ng ln X: Nhn qu Granger mt chiu X sang Y.

Nu cc bin tr ca Y tc ng ln X, nhng cc bin tr ca X khng tc

ng ln Y: Nhn qu Granger mt chiu Y sang X.

Nu cc bin tr ca X tc ng ln Y v cc bin tr ca Y tc ng ln X:

Nhn qu Granger hai chiu gia X v Y.

Nu cc bin tr ca X khng tc ng ln Y v cc bin tr ca Y khng

tc ng ln X: khng c nhn qu Granger gia X v Y.

1.2.4 M hnh vector hiu chnh sai s VECM( vector error correction model)

Yu cu t ra khi hi quy m hnh vi cc bin l chui thi gian l cc

chui ny phi dng. Nu chui cha dng th ta dng k thut sai phn n khi c

c chui dng. Tuy nhin, khi hi quy gi tr sau khi sai phn, ta c th b

st nhng thng tin di hn trong mi quan h gia cc bin. chnh v vy, ta phi

thm phn d E. Vi m hnh 2 bin Y1 v Y2:



1 1 2 2 3 1t t tY Y E

S hng 3 1tE l phn mt cn bng. m hnh trn c gi l m hnh hiu

chnh sai s ECM. l 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 vector hiu chnh sai s c dng:

1 1 1 1 1...t t t p t p tX X X X U

Trong Xt l mt vector ca n bin khc nhau.

**Mt s vn khi xy dng m hnh VECM:

c im c bn ca m hnh ny l xem xt tc ng ca cc c shock ca

bin ny ln bin khc, c bit l trong kinh t.

Bc 1: Ly logarit ca chui d liu chui n nh hn.

Bc 2: Kim nh tnh dng i vi chui d liu. la chn khong tr

thch hp.

Bc 3: kim nh mi quan h nhn qu Granger xem xt mi quan h

gia cc bin trong m hnh.

H0:

Nu tt c cc gi tr F tnh ton ln hn cc gi tr F ph phn tng ng

mc ngha 5%, tc l cc bin u c mi quan h vi nhau.

bc b H0(gi thit phn Null Hypothesis).

Bc 4: xt tnh ng lin kt gia cc bin. Ta kim nh da trn cc

bin cha ly sai phn.

Bc 5: sau khi tin hnh cc kim nh lin quan, nu cc chui l khng

dng v c mi quan h ng lin kt, ta s dng m hnh VECM c

lng.

CHNG III: PHNG PHP LY D LIU.

1. Ngun d liu

Ngun d liu thu thp thuc loi d liu th cp, c ly t nhiu t chc uy tn

nh: IFS (t chc thng k ti chnh quc t thuc IMF), www.eia.gov.



2. Cch ly d liu

B d liu c ly trong du lieu VAR VECM.xls t qu I/2000 n qu

IV/2010 .

CHNG 4: KT QU PHN TCH, LA CHN M HNH V D BO.

D liu m hnh thu thp cho thy tnh hnh lm pht Vit Nam thng qua cc bin:

i vi m hnh VAR: CPI(ch s gi tiu dng Vit Nam) v OIL(ch s gi du th

gii).

i vi m hnh VECM: CPI(ch s gi tiu dng Vit Nam) , OIL(ch s gi du th

gii) v IR(d tr ngoi hi c tnh bng triu USD).

D liu trch t file du lieu VAR VECM.xls

1. M hnh VAR

Bc 1: Kim tra tnh dng ca 2 bin OIL v CPI



Bin CPI khng dng v gi tr ln t-Statistic < test critical values

cc mc ngha 1%, 5%, 10%.



Bin OIL cng khng dng



c c chui dng, ta tin hnh ly sai phn bc 1 ca 2 bin:

Sau khi ly sai phn, chui CPI dng.



Sau khi ly sai phn, chui OIL dng.



Bc 2: Ta tin hnh chy m hnh var

Nhp khong tr: Lag intervals for Endogenous: 1 2 4 4



Cho ra kt qu c lng nh

sau:



Bc 3: Kim nh tnh dng ca phn d:

Ta s dng biu :

Kt lun: phn d ny dng v m hnh ng tin cy.

2. M hnh VECM

Bc 1:



m bo tnh n nh cho 2 bin, ta tin hnh ly logarit.

Kt qu khi 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.

Bc 2:

Kim nh mi quan h nhn qu Granger :

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.

Cho ra kt qu:



Bc 3: Kim tra cc

ng lin kt:

Tip theo ta s xem

xt tnh ng lin kt

gia cc bin trong

m hnh. Ring phn

kim nh tnh ng

lin kt th ta s kim

nh da trn cc

chui cha ly sai

phn.



Bc 4: Tin hnh c lng bng m hnh VECM :

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.



KT QU VECM:



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.



Nhn th, ta thy cc gi tr dao ng xung quanh gi tr 0, do phn d ca

m hnh ny dng. chng t m hnh a ra ph hp vi chui d liu.

Nu mun xem xt s tc ng ca bin ny ln bin kia khi c mt c sc xy ra,

ta dng hm phn ng y.

CHNG 5: KT LUN CHUNG

1. Kt lun m hnh d bo

Nh chng ta bit, mi quan h gia cc bin s kinh t khng phi lc no cng ch

mang chiu hng nht nh. Cc bin s c lp (bin gii thch) khng phi lun lun

tc ng ln bin ph thuc m trong nhiu trng hp bin ph thuc li tc ng

ngc ln bin c lp. m bo tnh hp l, ta phi xt nh hng qua li ca nhng

bin ny cng mt lc. Chnh v th m hnh kinh t lng m ta phi xt n khng

phi l m hnh mt phng trnh m l m hnh nhiu phng trnh. M hnh ARIMA

ch tin hnh phn tch trn mt chui thi gian. Khi c nhiu chui thi gian th m

hnh VAR/VECM l mt s ph hp.

2. nh gi tnh hnh lm pht Vit Nam

Lm pht hin nay ang gy ra mi lo ngi ln cho cc cp hoch nh chnh sch, cc

doanh nghip v cho ngi dn. Do , tm hiu nguyn nhn v nh lng cc yu t

tc ng bng ng dng m hnh VAR/VECM l mt cng c hu hiu nhm d bo,

tm ra bin php kim sot lm pht, gp phn vo n nh tnh hnh kinh t x hi v

cc vn cp thit.

3. Tnh kh thi ca m hnh VAR v VECM

M hnh VAR/VECM c tnh ng dng cao trong vic phn tch v d bo cc ch s

kinh t c nhy cao nh lm pht, li sut, gi vng, gi du th gii, gi kh, v gi

c cc mt hng c th trn th trng Vit Nam v th gii trn nhiu chui thi gian.

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:



- Do phng php thc hin d bo trong chng ny khc vi nhng chng trc

nn vic c ti liu, tm kim thng tin gp rt rt nhiu kh khn

- Do kin thc cn hn ch v cha kinh nghim nn nhm cn mc nhng sai lm

khng trnh khi, nh vic phn tch v nh gi m hnh, cch nhn nhn vn ,

TI LIU THAM KHO: 1. Ti liu M hnh t hi quy vector VAR-M hnh vector hiu chnh sai s VECM.

2. Hng dn s dng Eviews 6.0 Th.s Phng Thanh Bnh

3. Modeling an Forecasting a Firms Statements with a VAR/VECM.

4. Cc bi bo co,cc cng trnh nghin cu chuyn lm pht Vit Nam.

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