BaiGiangChuyenDe5

KHA BI DNG V D BO S DNG EVIEWSH NI THNG 4 - 2011

NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE

CHNG TRNH TNG QUAN V D BO HI QUY TRONG EVIEWS M HNH D BO CHUI THI GIAN N BIN M HNH D BO CHUI THI GIAN A BIN M HNH VAR - VECM


PHN 1: TNG QUAN V D BO- HI QUY TRN EVIEWS


TNG QUAN V D BOD bo trong kinh t:Mt s k thut trong d bo:M hnh hi quyM hnh kinh t lng v mM hnh CGEM hnh d bo chui thi gian n binM hnh d bo chui thi gian a bin


TNG QUAN V D BONguyn l d bo:Xt on hnh vi trong qu kh => d bo cho tng lai=> yu cu v cu trc=> yu cu v s liuYu t ngu nhinSai s trong d boYu cu d bo: ngn hn, trung hn, di hn


PHN I: M HNH CHUI THI GIAN N BIN I. SAN CHUI II. M HNH ARIMA


CHUI THI GIANTn sut xut hin thp (Low frequency): GDPLm pht, m,Tn s xut hin cao (high frequency):gi c phiugi du, vng, la M trn th trng quc t.v


CHUI THI GIAN


CHUI THI GIANCc thnh phn ca chui xtXu th TChu k CMa v SBt quy tc I3 thnh phn u c gi nh l khng thay i theo thi gian tng ca san chui:T s liu qu kh => c tnh cc thnh phn xy dng chui mi x*t


I. SAN CHUI

Trung bnh trt (MA)Hiu chnh ma v s dng MASan m gin nSan m Holt- Winter


1.SAN CHUI TRUNG BNH TRT(MA)Cng thc:

tng: Tch thnh phn I S dng tt vi T v I Lnh trong eviews: genr xnew=@movav(x(+k),2k+1)


MA3


MA12


2. HIU CHNH MA V (SA) S DNG MA Ti sao SA:Tch c tc ng ca ma v=> nm c bn cht ca chui s (peak, trough, turning point, ..)=> c th so snh cc thng (qu) lin tip nhauSA: s liu qu, thng


3. SAN M GIN N tng: vai tr gim dn theo thi gianKhng T, SCng thc:


4. SAN M HOLT-WINTERST s liu qu kh, xc nh ra:thnh phn xu ththnh phn ma v=> d bo: thnh lp chui mi s dng 2 thnh phn ny


4.HOLT-WINTERS VI XU THx*n = xn+(1- )Tn-1Tn= (x*n-x*n-1)+(1- )Tn-1Gi tr ban u: T2 = x2-x1; x*2=x2D bo:x*n+1 = x*n + Tnx*n+h = x*n + hTn (s liu: gtsx, gdp)


4. HOLT-WINTERS VI T VA SY*t = (Yt/Ft-s) +(1- )(Y*t-1+Tt-1)Tt = (Y*t Y*t-1) +(1- )Tt-1Ft = Yt/Y*t-1 + (1- )Ft-sTrong : F: ch s thi v, s: s thi k trong 1 nmD bo: d bo cho thi k (n+h) vi thi k hin ti: nY*(n+h) = (Y*n +h Tn)Fn+h-s vi h =1,2,..sY*(n+h) = (Y*n +h Tn)Fn+h-2s vi h= s+1;..; 2sv.v


THC HNH TRN EVIEWSTHC HNH VI S LIU gtsx


II. M HNH ARMAPHNG PHP BOX- JENKINS


MT S KHI NIMNhiu trng (white noise):E(t) = 0 vi mi tVar(t) = 2 vi mi tcov(t, t-s) = 0 vi mi t s=> sc ngu nhin ngha:


MT S KHI NIMChui dng xtE(xt) = vi mi tVar(xt) = 2 vi mi tcov(xt, xt-s) = s vi mi t,sCh quan tm n chui dng


CHUI T HI QUY AR(1)Xt chui c dng:xt = a0 +a1xt-1+ tTrong t l nhiu trng ngha: gi tr hm nay bng tng c trng s ca gi tr trong qu kh v sc ngu nhinNu bit chui l dng, c dng AR(1) => c th c lng c ai => d bo c cho xt


CHUI T HI QUY AR(1)V d 1: xt = 1.5xt-1 + t=>xt = t+1.5 t-1++1.5k t-k+V d 2: xt = 1xt-1 + t=>xt = t+ t-1++ t-k+V d 3: xt = 0.5xt-1 + t=> Vi AR(1): |a1|

CHUI T HI QUY AR(p)Chui c dngxt = a0 +a1xt-1+..+apxt-p + t AR(p)t : nhiu trng ngha: gi tr hm nay bng tng c trng s gi tr trong qu kh v sc ngu nhinCc h s ca chui AR(p) cn tha mn cc iu kin chui l dng. Nu bit chui l dng AR(p), bit p, => c th c lng => d bo


CHUI TRUNG BNH TRT MA(q)Chui c dng:xt = t+a1t-1 : MA(1)xt = t+a1t-1+..+aqt-q MA(q)vi t: nhiu trng ngha: l tng c trng s ca cc tc ng ca cc sc ngu nhin trong qu khQ: Chui MA c dng khng?


CHUI TRUNG BNH TRT MA(q)MA(q) c gi l kh nghch nu n c th biu din c di dng ARV d: ut = t+0.5t-1 ut = t+0.5(ut-1 0.5 t-2)ut = t+ 0.5ut-1 0.52 ut-2+ .l chui kh nghch


M HNH ARMA(p,q)xt = a0+ a1xt-1+..+apxt-p + utut = b1 t-1++ bq t-q+ tTrong x l chui dng=> nu bit c p v q => c th c lng cc h s v d bo cho xt=> Lm th no xc nh p, q?=> Da vo ACF v PACF


M HNH ARMA(p,q)Chui c dng:xt = a0 +a1xt-1+..+apxt-p + t+b1t-1+..+bqt-q Tnh dng v kh nghch:Dng khi AR(p) dngKh nghch khi MA(q) kh nghch


DI MT S IU KIN C BN MT CHUI DNG C TH BIU DIN C DI DNG ARMA(P,Q) DNG, KH NGHCH VI P V Q B


HM T TNG QUAN ACFHm c dng: s = s/0 Trong : s= cov(xt, xt-s); 0= var(xt); ngha: Th hin mi tng quan gia xt v xt-


ACF cho MA(q)MA(1): yt = b1t-1 + t;cov(ytyt) = E((b1t-1 + t)(b1t-1 + t))=(1+b12) 2cov (ytyt-1) = E((b1t-1 + t)(b1t-2 + t-1))=b1 2cov (ytyt-2) = E((b1t-1 + t)(b1t-3 + t-2))=0 => 0 = 1; 1 = b1/(1+b12); s = 0 vi s>1MA(2): yt = b1t-1 + b2t-2 + t => s =0 vi s>2MA(q): s =0 vi s>q


HM T TNG QUAN RING PACFK hiu: kk l h s tng quan gia xt v xt-k sau khi tch mi tng quan gia xt-1, .., xt-k+1 v xt


PACF CHO AR(p)PACF ca AR(1): 11= 1 22=..= kk =..=0PACF ca AR(2): 11= 1; 22 = (2 21)/(1- 21)33=..= kk =..=0PACF ca AR(p):(p+1)(p+1)=..= kk =..=0


ACF CHO AR(1)


Chart2

0.38192427930.1827709424-0.1827709424

0.08542861010.1827709424-0.1827709424

-0.0436670283

-0.1359563116

0.1528814279

-0.0384842996

-0.0854319743

-0.0459765063

0.0833352093

0.0492942326

-0.0828665334

0.0891570103

0.0252739736

0.054039192

-0.0207771003

0.1473652415

-0.1357390287

-0.0042817222

-0.1109736437

0.1129328497

0.0437982826

-0.0220216088

0.0519132063

-0.0554802076

Partial Autocorrelation (PACF)

Chartgtsx

6803.2

6762.6

7071.3

7440.9

7857.7

8322.1

8651.6

8902.6

9728.4

10017.2

10521

11296.1

9326.9

7946.4

9110.7

9251.7

9621.6

9970.6

9791.7

10117.9

10309.1

10507.1

10639.6

11503.3

10973

9551

10774

10342.7

11682.8

11313.8

11260.9

11310.9

10702.5

11447.9

12165.9

12894.6

12009.2

11277.4

12161

12262.2

12216.2

12495.4

12584.7

12727.4

12786.2

12868

13478.1

14357.5

13264.6

11527.2

13090.5

13501.6

13885.3

13766.7

14241.8

14201.3

14689

14614.2

15507.2

16460.1

16190.1

14230.1

16013.3

16448.8

16576.8

17176

monthly

t s liu ca Linh-mpi

n vt ng 1994

Ngungso

timegtsxcn

1995T16803.2

1995T26762.6

1995T37071.3

1995T47440.9

1995T57857.7

1995T68322.1

1995T78651.6

1995T88902.6

1995T99728.4

1995T1010017.2

1995T1110521

1995T1211296.1

1996T19326.9

1996T27946.4

1996T39110.7

1996T49251.7

1996T59621.6

1996T69970.6

1996T79791.7

1996T810117.9

1996T910309.1

1996T1010507.1

1996T1110639.6

1996T1211503.3

1997T110973

1997T29551

1997T310774

1997T410342.7

1997T511682.8

1997T611313.8

1997T711260.9

1997T811310.9

1997T910702.5

1997T1011447.9

1997T1112165.9

1997T1212894.6

1998T112009.2

1998T211277.4

1998T312161

1998T412262.2

1998T512216.2

1998T612495.4

1998T712584.7

1998T812727.4

1998T912786.2

1998T1012868

1998T1113478.1

1998T1214357.5

1999T113264.6

1999T211527.2

1999T313090.5

1999T413501.6

1999T513885.3

1999T613766.7

1999T714241.8

1999T814201.3

1999T914689

1999T1014614.2

1999T1115507.2

1999T1216460.1

2000T116190.1

2000T214230.1

2000T316013.3

2000T416448.8

2000T516576.8

2000T617176

2000T717202.4

2000T817111.2

2000T916193.1

2000T1016905.6

2000T1116742

2000T1217536.4

2001T116671.7

2001T217506

2001T318582

2001T418475.4

2001T518412.4

2001T619271.2

2001T719577.1

2001T819945.3

2001T919584.2

2001T1018924.7

2001T1119265.2

2001T1221154.7

2002T121200

2002T218377.4

2002T321615.8

2002T421972.6

2002T520305.3

2002T622870.6

2002T723399.1

2002T823555

2002T923117.7

2002T1021200.1

2002T1121113.8

2002T1222364.8

2003T124805.2

2003T222208.2

2003T324087.1

2003T424803.8

2003T525077.2

2003T625097.8

2003T724457.6

2003T826251.4

2003T926152.9

2003T1026508.2

2003T1127702.2

2003T1227928.9

2004T126574.8

2004T227347.7

2004T328289

2004T429020.5

2004T529978

2004T630612.3

2004T731139.8

2004T830002.2

2004T928796.9

2004T1030138.2

2004T1131099.1

2004T1230532.6

2005T129247.4

2005T227659.7

2005T332820.7

2005T433937.9

2005T534526.6

2005T635779.1

2005T735617.3

2005T836774.2

2005T936926.6

2005T1036886.5

2005T1138212.7

2005T1242478

2006T140952

2006T236325

2006T342412

2006T442973

2006T536329

2006T642803

2006T742588

2006T834461

2006T946221

2006T1031719

2006T1144649

2006T1250534

2007T149212

2007T235392

2007T345154

2007T447344.6443155431

2007T547953.3556844569

2007T650065

2007T750257

2007T842997

2007T949584

2007T1049764

2007T1151157

2007T1255949

2008T152874

2008T247919

2008T359763

2008T454694

2008T554620

2008T656049

2008T755967

2008T855590

2008T954106

2008T1054327

2008T1151014

2008T1255843

2009T150644

chartgdp

27648.0434259748

35980.7211213408

31703.1671211973

36636.068331487

29041.8799384354

38118.2278134531

33493.7694617182

38980.1227863933

31421.110281254

41482.5232521215

36342.8104144274

42535.5560521972

33944.2589734957

44910.7920473944

39433.6554119317

45754.2935671782

36903.4468726389

48746.3564979682

42951.4018708249

49931.794758568

40342.1664325422

53426.0583820923

47014.6301995948

54784.1449857707

43930.01763005

58213.7420662692

51552.2224793083

60136.6196080041

47270.7929840775

62855.4761637816

55834.2423075626

65303.4885445783

49687.9068427414

66038.2757708194

59410.5893134986

69459.2280729406

51576

68930

62613

73153

54477.0944746827

73560.6054851159

66942.6239101242

78685.3343300772

58354.8390821029

78725.2329314916

71710.0196939143

83744.5506293907

62163.3855698405

83812.4675220629

77127.023736281

90144.4241718157

66542.0452

89706.1691140678

82902.497

97092.09672

71272.90573024

96055.6085322433

89774.1117597

105332.4955797

76545.3959538063

103497.082155846

97926.0484124728

115020.581376253

81984

111361

106416

125612

88263

120257

115706

137217

94901

127257

123195

144828

GDP

gdp_94

1990Q127648.0434259748

1990Q235980.7211213408

1990Q331703.1671211973

1990Q436636.068331487

1991Q129041.8799384354

1991Q238118.2278134531

1991Q333493.7694617182

1991Q438980.1227863933

1992Q131421.110281254

1992Q241482.5232521215

1992Q336342.8104144274

1992Q442535.5560521972

1993Q133944.2589734957

1993Q244910.7920473944

1993Q339433.6554119317

1993Q445754.2935671782

1994Q136903.4468726389

1994Q248746.3564979682

1994Q342951.4018708249

1994Q449931.794758568

1995Q140342.1664325422

1995Q253426.0583820923

1995Q347014.6301995948

1995Q454784.1449857707

1996Q143930.01763005

1996Q258213.7420662692

1996Q351552.2224793083

1996Q460136.6196080041

1997Q147270.7929840775

1997Q262855.4761637816

1997Q355834.2423075626

1997Q465303.4885445783

1998Q149687.9068427414

1998Q266038.2757708194

1998Q359410.5893134986

1998Q469459.2280729406

1999Q151576

1999Q268930

1999Q362613

1999Q473153

2000Q154477.0944746827

2000Q273560.6054851159

2000Q366942.6239101242

2000Q478685.3343300772

2001Q158354.8390821029

2001Q278725.2329314916

2001Q371710.0196939143

2001Q483744.5506293907

2002Q162163.3855698405

2002Q283812.4675220629

2002Q377127.023736281

2002Q490144.4241718157

2003Q166542.0452

2003Q289706.1691140678

2003Q382902.497

2003Q497092.09672

2004Q171272.90573024

2004Q296055.6085322433

2004Q389774.1117597

2004Q4105332.4955797

2005Q176545.3959538063

2005Q2103497.082155846

2005Q397926.0484124728

2005Q4115020.581376253

2006Q181984

2006Q2111361

2006Q3106416

2006Q4125612

2007Q188263

2007Q2120257

2007Q3115706

2007Q4137217

2008Q194901

2008Q2127257

2008Q3123195

2008Q4144828

gr_wn

Correlogram of tseries

date:4/5/11

time:12:02

Included observations:115

LagACPACQ-StatProb

10.14182510550.14182510552.37402386940.1233687245

20.13697245080.11925686594.60796493490.0998603601

30.03865635740.0047966354.78748274220.1880367063

4-0.1352662633-0.16254421727.00537124160.135604652

50.11359071570.15398675778.58362447820.1268696209

6-0.0176286661-0.01484296038.62198602490.195979762

7-0.041031788-0.07091561168.8317354750.264963625

8-0.0657766529-0.0833416179.37579130080.311592765

9-0.0148705780.0711216799.40386072720.4008596285

100.08064085990.083303403110.23716710080.4199381186

11-0.0272587621-0.07753884310.33329791540.5006793721

120.07873526670.061014043711.14311154660.5166955207

13-0.0360685592-0.018203530411.31472096510.5844706989

140.08710687810.110042945712.32552560290.5801783197

150.0510631258-0.024106723312.67635703440.6272801822

160.11695654490.132977377214.53543484580.5588899111

17-0.0076348531-0.084452781414.54343795960.6283302207

18-0.01941467880.013196586114.59572239080.6895134128

19-0.1146884273-0.153349299216.43925856360.627799103

20-0.04120587450.055807773216.67973823370.673660924

210.06740494480.070619521417.33007658130.690913725

220.00780687730.007014093617.33889428410.7443870729

230.07955665010.046870835818.26454864340.7429856858

24-0.0609858007-0.085950367418.81446896610.7618102802

It was written by Kurt Annen, see www.web-reg.de. This program is freeware. But I would highly appreciate if you could give me credit for my work by providing me with information about possible open positions as an economist. My focus as an economist is

gr_wn

0.1827709424-0.1827709424

0.1827709424-0.1827709424

Autocorrelation (ACF)

Sheet4

0.1827709424-0.1827709424

0.1827709424-0.1827709424


stationary


date:4/5/11

time:12:04


LagACPACQ-StatProb

10.38192427930.381924279317.21604488570.0000333607

20.21883362230.085428610122.91812555490.0000105534

30.0720399043-0.043667028323.54159034860.0000311359

4-0.0842705565-0.135956311624.40241054290.0000663281

50.05500157680.152881427924.77244425860.0001541596

6-0.0044904906-0.038484299624.77493337260.0003758156

7-0.0553211871-0.085431974325.15621240910.0007118975

8-0.0653420034-0.045976506325.6931017920.0011850927

9-0.02166473480.083335209325.75267960960.0022421974

100.04500016590.049294232626.01217080910.0037238513

11-0.0060841738-0.082866533426.01695990550.0064523118

120.07173324220.089157010326.68914270940.0085636024

130.03933882670.025273973626.89328187570.0128664255

140.07511246110.05403919227.64488108110.0158527309

150.0758324241-0.020777100328.41861846480.0190907996

160.13280465750.147365241530.81565757340.0142042912

17-0.0064626892-0.135739028730.8213919230.0209946976

18-0.0182951228-0.004281722230.86782020640.0298167519

19-0.1063386733-0.110973643732.45269494880.0277751948

20-0.04746307980.112932849732.77175463050.0357377855

210.05330725190.043798282633.17850545080.0442748584

220.0226917633-0.022021608833.25300218650.0584025255

230.07208994530.051913206334.01305761670.0649696242

24-0.0200022696-0.055480207634.07221389780.0833938221


stationary

0.1827709424-0.1827709424

0.1827709424-0.1827709424


arima

0.1827709424-0.1827709424

0.1827709424-0.1827709424


rand0.30.30.34

0.46402459050.9717875108WNAR(1)AR(2)

0.22495579860.37086705010.020.020.02

0.79841570550.0288867960.37953308890.0348867960.05

0.31153496950.14200768750.07148910220.15247372630.1650076875

0.28542718780.17024306880.19308060810.21598518670.2413456826

0.89579592830.21763103440.23553237910.28242659040.3491908727

0.91628844080.87303673290.47954205420.957764711.0641653344

0.9749474240.21376255540.93716549950.50109196840.6803360309

0.57350350350.77039742520.4448817830.92072501571.3209612761

0.95165436720.49152352710.91785448340.76774103191.1447511703

0.07852738530.40497998020.61301752120.63530228981.1904837609

0.8106385910.90415375570.67622610691.09474444261.6523435855

0.38055089080.68656905961.11012447351.01499239241.605511007

0.45391209140.76671884230.91658471231.071216561.8082956603

0.82976667950.07938233120.79053354170.40074729921.1758561578

0.02418457120.31746299540.17462122980.43768718511.2597427871

0.93316123660.85905169730.57517850460.99035785291.6401210923

0.84583889640.07334784170.88105604980.37045519751.0089118492

0.62428159150.70217480650.28400028360.81331136571.5372411629

0.22042573730.10357632520.7332477040.3475697350.9289118754

0.12883517190.22891087710.17224958840.33318179761.0059132636

0.01863695870.43854475020.36047430220.53849928951.0592288224

0.0584602080.31060371990.53172586610.47215350670.9725154986

0.08558228230.21044053230.37373587960.35208658430.8588644485

0.21533377310.25040161750.28556101750.35602759280.8341701796

0.07166460210.26563849760.33009316680.37244677540.8069156932

0.74863013150.3222367160.36230951240.43397074860.8468391055

0.10869602270.8109340560.56551693280.94112528061.3409340598

0.23225667420.61748148420.99617850130.89981906841.3274507962

0.09355755590.2895969370.70436056530.55954265751.1432104256

0.91970584660.29003452740.37660729520.45789732461.076961311

0.15567700980.03398204920.30022914210.17135124650.7431120226

0.79848823540.13613090370.07482132030.18753627770.7118773847

0.78384813130.32574149170.23385335120.3820023750.7907134093

0.37546911190.96786414630.61610073561.08246485881.4502699209

0.81910712320.04861259940.98244792610.3733520570.7789183952

0.89803931130.87087671970.30987561530.98288233681.5707899504

0.26306996630.66382712571.07002485750.95869182681.4315712274

0.81216117970.48541376850.80945125630.77302131651.443384971

0.066314250.96563243790.77510349991.19753883291.8858546963

0.64536922490.54636288741.12954130420.90562453731.6205689755

0.17828418160.85037296340.80147477651.12206032461.9671228239

0.06733352560.88430240891.11566368611.22092050632.0392948617

0.56908875240.28998839260.97129892670.65626454451.5734854927

0.49868470190.02267305990.29679031060.21955242331.169446586

0.08564698510.23363969390.09276496810.29950542091.1032971809

0.16931223190.33481755750.33408496110.42466918381.0607725748

0.24290552230.95392148040.62099400161.08132223551.6455733101

0.44167225720.89923490921.22369195311.22363157991.7769616071

0.38821742170.63013345331.08827494520.99722292731.7279723927

0.75170333560.96575824790.91986092771.26492512612.0863573436

0.11126655840.66619098791.16561554431.04566852571.8939442025

0.96294131060.78113529220.90053157551.09483584992.0509835242

0.03615118990.72333157820.99813476571.05178233321.9888492372

0.58801523720.32183751210.81988283190.63737221211.61334131

0.97251978010.40484591460.44329128650.59605757831.5500367312

0.31865870490.238147830.47629026360.41696510351.2491627116

0.7699758470.66133222750.43654749820.78642175851.5510585688

0.83016466350.30395749480.75251947590.53988402241.2060662217

0.91486740070.96019830550.59201698651.12216351221.8355783915

0.40390111050.08557521650.98587087040.42222427021.0714917361

0.77753075160.14227274120.12825703890.26894002221.0572534489

0.3249287710.71281715930.3561178890.7934991661.3937308528

0.2232317770.43998591970.84481293520.67803566941.2310304443

0.97034371020.99063412510.73717615721.19404482591.827303732

0.78983599440.47391542711.13280875320.83212887481.4645078292

0.50355734990.69238144140.68162985950.94202010391.738505223

0.04928963280.82163590290.93887221231.10424193411.8520800275

0.20962143870.69684701081.03069000621.02811959111.8481057871

0.39243276010.77426715690.92912715791.08270303421.9582471327

0.64286337070.24296940330.84715797790.56778031351.4632051645

0.00311355780.61553133890.42762880490.7858654331.7004952347

0.10579491780.82177769050.86206464611.05753732041.8389076196

0.53425038940.55175579970.98730443040.86901699581.6871329608

0.63760941590.71359207240.76583342140.97429717111.8388895649

0.68952074360.99725650271.01276902321.2895456542.128618843

0.79665752110.28366362951.08235559150.67052732571.5590609056

0.56051456290.12527366890.32124573020.32643186661.2939400297

0.35730766940.35479775920.23171299660.45272731911.262455641

0.15277428750.31659489120.44977622650.45241308691.134011818

0.27967475220.9811306550.61093408771.11685458111.7454313654

0.44992996830.88704231631.24724334991.22209869071.820692526

0.5342826630.321533740.98350243830.68816334721.4641986084

0.11064895770.22506693620.38905382080.43151594031.2691022208

0.25536069190.69019186180.43212449470.81964664391.5609461995

0.26662042670.70885193330.90284744180.95474592651.6203043074

0.51130327550.2345759930.77922473120.52099977091.2537633173

0.15092331050.38312956460.34951486240.53942949591.2955003847

0.1239181030.7343151750.60342411710.89614402381.550914301

0.13476706850.72588090270.95207944580.99472410981.6418418805

0.50832798670.80819409060.96833912991.10661132351.8316946202

0.14697593340.42065758510.93439136610.75264098211.5359863201

0.34256308640.42436582550.54796733270.65015812011.4961095604

0.69153617920.00735868940.42657343230.20240612540.9768318359

0.64865160290.39279811280.12519812320.45351995041.1737538051

0.63802999120.56866765940.56339841060.70472364451.2607935039

0.50789886540.43603817520.6994791120.64745526861.2168341081

0.31780472050.13043737490.47516938770.32467395550.9223990229

0.58758703990.5312474010.28981159530.62864958771.2099133012

0.79421557480.31965904440.62714511430.50825392071.0077492736

0.17845422290.95575927240.60638682611.10823544861.6613680158

0.44365759610.04967906310.97066299130.38214969770.9168689706

0.3246667040.89360385870.31776022071.0082487681.7037497134

0.81307341420.36782196411.00395044790.67029659451.2221575578

0.92930158640.04083109880.38007129370.24192007710.9674895825

0.28942355230.61464410750.2252243310.68722013061.3102378329

0.36202461230.19668776860.67365043810.40285380780.9324155066

0.14983329390.23123699490.26605886710.35209313720.941329617

0.57417622320.87719039750.49439411420.98281833871.4769671193

0.24543664990.11688909770.91225712690.41173459930.9014568034

0.03178496570.60681405390.29893331390.73033443371.3563995029

0.20682986960.44648008650.74075807990.66558041661.1780929585

0.38188734020.54103700780.60879118880.74071113271.3485084645

0.77107004690.48225474460.68571343110.70446808441.2941755101

0.1815275290.8342728450.73253659811.04561327031.6788450578

0.91201450740.80610082171.07610309151.11978480281.7651607944

Crude Oil (petroleum), Price index - Monthly Price - Commodity Prices

MonthValue

Feb-8630.83

Mar-8623.96

Apr-8622.23

May-8625.17

Jun-8622.33

Jul-8618.44

Aug-8625.1

Sep-8626.29

Oct-8626.28

Nov-8627.14

Dec-8628.95

Jan-8733.95

Feb-8732.46

Mar-8733.29

Apr-8733.87

May-8734.51

Jun-8735.06

Jul-8736.72

Aug-8735.38

Sep-8734.33

Oct-8734.91

Nov-8733.5

Dec-8731.44

Jan-8830.95

Feb-8829.83

Mar-8827.83

Apr-8830.73

May-8830.67

Jun-8829.04

Jul-8827.1

Aug-8827.29

Sep-8824.74

Oct-8822.86

Nov-8823.4

Dec-8827.43

Jan-8930.75

Feb-8930.92

Mar-8933.87

Apr-8936.27

May-8934.07

Jun-8933.28

Jul-8933.05

Aug-8931.57

Sep-8933.1

Oct-8934.44

Nov-8934.38

Dec-8936.23

Jan-9038.48

Feb-9036.78

Mar-9033.87

Apr-9030.5

May-9030.29

Jun-9027.91

Jul-9031.45

Aug-9049.79

Sep-9063.11

Oct-9065.34

Nov-9059.13

Dec-9049.86

Jan-9142.63

Feb-9134.61

Mar-9134.05

Apr-9134.52

May-9134.96

Jun-9133.19

Jul-9135.52

Aug-9136.06

Sep-9137.31

Oct-9140.34

Nov-9138.15

Dec-9132.95

Jan-9232.77

Feb-9233.01

Mar-9232.48

Apr-9234.91

May-9236.56

Jun-9239.1

Jul-9237.8

Aug-9236.74

Sep-9237.81

Oct-9237.52

Nov-9235.39

Dec-9233.57

Jan-9332.25

Feb-9334.1

Mar-9334.62

Apr-9334.5

May-9334

Jun-9332.49

Jul-9330.63

Aug-9330.74

Sep-9329.56

Oct-9330.75

Nov-9328.23

Dec-9325.02

Jan-9426.56

Feb-9425.77

Mar-9425.64

Apr-9428.38

May-9430.78

Jun-9432.27

Jul-9433.8

Aug-9431.81

Sep-9430.23

Oct-9430.88

Nov-9432.26

Dec-9430.26

Jan-9531.67

Feb-9532.72

Mar-9532.54

Apr-9535.19

May-9534.55

Jun-9532.5

Jul-9530.1

Aug-9530.9

Sep-9531.41

Oct-9530.32

Nov-9531.51

Dec-9533.62

Jan-9633.34

Feb-9633.12

Mar-9636.41

Apr-9638.82

May-9635.76

Jun-9634.76

Jul-9636.63

Aug-9637.84

Sep-9641.47

Oct-9643.92

Nov-9641.73

Dec-9644.05

Jan-9743.63

Feb-9738.46

Mar-9736.4

Apr-9733.7

May-9736.52

Jun-9733.82

Jul-9734.59

Aug-9735.25

Sep-9735.14

Oct-9737.74

Nov-9735.96

Dec-9732.33

Jan-9828.19

Feb-9826.51

Mar-9824.75

Apr-9825.02

May-9826.17

Jun-9823.39

Jul-9823.84

Aug-9823.44

Sep-9825.88

Oct-9824.88

Nov-9822.31

Dec-9819.54

Jan-9921.22

Feb-9920.14

Mar-9924.09

Apr-9929.49

May-9930.22

Jun-9930.45

Jul-9935.16

Aug-9937.92

Sep-9941.98

Oct-9941.66

Nov-9945.46

Dec-9946.91

Jan-0047.23

Feb-0050.85

Mar-0051.48

Apr-0043.95

May-0051.05

Jun-0055.5

Jul-0052.78

Aug-0055.12

Sep-0060.14

Oct-0058.93

Nov-0060.61

Dec-0047.27

Jan-0148.5

Feb-0151.01

Mar-0146.9

Apr-0148.11

May-0151.65

Jun-0150.61

Jul-0146.52

Aug-0148.4

Sep-0146.99

Oct-0138.88

Nov-0135.05

Dec-0134.75

Jan-0235.95

Feb-0237.48

Mar-0244.39

Apr-0247.74

May-0248.2

Jun-0245.98

Jul-0248.33

Aug-0250.22

Sep-0253.05

Oct-0251.64

Nov-0246.49

Dec-0252.26

Jan-0357.63

Feb-0361.6

Mar-0356.83

Apr-0347.75

May-0348.85

Jun-0352.26

Jul-0353.59

Aug-0355.63

Sep-0350.41

Oct-0354.41

Nov-0354.61

Dec-0356.14

Jan-0458.74

Feb-0458.65

Mar-0463.03

Apr-0463.16

May-0470.37

Jun-0466.64

Jul-0470.96

Aug-0478.83

Sep-0477.73

Oct-0487.38

Nov-0478.61

Dec-0473.02

Jan-0580.38

Feb-0583.2

Mar-0595.37

Apr-0594.94

May-0589.71

Jun-05101.09

Jul-05105.71

Aug-05115.97

Sep-05115.58

Oct-05109.03

Nov-05103.19

Dec-05105.83

Jan-06117.11

Feb-06112.09

Mar-06114.31

Apr-06127.6

May-06128.84

Jun-06128.15

Jul-06135.97

Aug-06134.81

Sep-06116.62

Oct-06108.78

Nov-06109.22

Dec-06114.52

Jan-07100.52

Feb-07108.08

Mar-07113.85

Apr-07122.28

May-07122.52

Jun-07128.08

Jul-07138.12

Aug-07131.63

Sep-07144.05

Oct-07153.84

Nov-07171.38

Dec-07168.05

Jan-08170.25

Feb-08175.34

Mar-08191.1

Apr-08204.24

May-08230.52

Jun-08247

Jul-08249.66

Aug-08215.3

Sep-08187.06

Oct-08136.34

Nov-08101.25

Dec-0877.71

Jan-0982.58

Feb-0978.83

Mar-0987.89

Apr-0994.55

May-09109.28

Jun-09129.99

Jul-09121.64

Aug-09134.68

Sep-09128.47

Oct-09139.21

Nov-09145.82

Dec-09140.86

Jan-10144.95

Feb-10140.4

Mar-10148.94

Apr-10158.13

May-10142.15

Jun-10140.45

Jul-10139.96

Aug-10142.57

Sep-10143.08

Oct-10153.57

Nov-10158.91

Dec-10169.33

Jan-11174.28

Feb-11184.1

ACF CHO MA(1)


Chart3

0.23772006450.1835708191-0.1835708191

0.11754535610.1835708191-0.1835708191

0.0122230075

-0.1435582533

0.0846199167

0.0078171088

-0.0615325301

-0.0604361381

-0.0127843063

0.0736856027

0.0107919826

0.086688963

-0.0106411427

0.0642083295

0.0628155087

0.134399613

-0.0177819399

-0.0286923547

-0.1446924078

-0.0640033445

0.0554492685

0.0078929077

0.0518679228

-0.0638789134


Chartgtsx

6803.2

6762.6

7071.3

7440.9

7857.7

8322.1

8651.6

8902.6

9728.4

10017.2

10521

11296.1

9326.9

7946.4

9110.7

9251.7

9621.6

9970.6

9791.7

10117.9

10309.1

10507.1

10639.6

11503.3

10973

9551

10774

10342.7

11682.8

11313.8

11260.9

11310.9

10702.5

11447.9

12165.9

12894.6

12009.2

11277.4

12161

12262.2

12216.2

12495.4

12584.7

12727.4

12786.2

12868

13478.1

14357.5

13264.6

11527.2

13090.5

13501.6

13885.3

13766.7

14241.8

14201.3

14689

14614.2

15507.2

16460.1

16190.1

14230.1

16013.3

16448.8

16576.8

17176

monthly

t s liu ca Linh-mpi

n vt ng 1994

Ngungso

timegtsxcn

1995T16803.2

1995T26762.6

1995T37071.3

1995T47440.9

1995T57857.7

1995T68322.1

1995T78651.6

1995T88902.6

1995T99728.4

1995T1010017.2

1995T1110521

1995T1211296.1

1996T19326.9

1996T27946.4

1996T39110.7

1996T49251.7

1996T59621.6

1996T69970.6

1996T79791.7

1996T810117.9

1996T910309.1

1996T1010507.1

1996T1110639.6

1996T1211503.3

1997T110973

1997T29551

1997T310774

1997T410342.7

1997T511682.8

1997T611313.8

1997T711260.9

1997T811310.9

1997T910702.5

1997T1011447.9

1997T1112165.9

1997T1212894.6

1998T112009.2

1998T211277.4

1998T312161

1998T412262.2

1998T512216.2

1998T612495.4

1998T712584.7

1998T812727.4

1998T912786.2

1998T1012868

1998T1113478.1

1998T1214357.5

1999T113264.6

1999T211527.2

1999T313090.5

1999T413501.6

1999T513885.3

1999T613766.7

1999T714241.8

1999T814201.3

1999T914689

1999T1014614.2

1999T1115507.2

1999T1216460.1

2000T116190.1

2000T214230.1

2000T316013.3

2000T416448.8

2000T516576.8

2000T617176

2000T717202.4

2000T817111.2

2000T916193.1

2000T1016905.6

2000T1116742

2000T1217536.4

2001T116671.7

2001T217506

2001T318582

2001T418475.4

2001T518412.4

2001T619271.2

2001T719577.1

2001T819945.3

2001T919584.2

2001T1018924.7

2001T1119265.2

2001T1221154.7

2002T121200

2002T218377.4

2002T321615.8

2002T421972.6

2002T520305.3

2002T622870.6

2002T723399.1

2002T823555

2002T923117.7

2002T1021200.1

2002T1121113.8

2002T1222364.8

2003T124805.2

2003T222208.2

2003T324087.1

2003T424803.8

2003T525077.2

2003T625097.8

2003T724457.6

2003T826251.4

2003T926152.9

2003T1026508.2

2003T1127702.2

2003T1227928.9

2004T126574.8

2004T227347.7

2004T328289

2004T429020.5

2004T529978

2004T630612.3

2004T731139.8

2004T830002.2

2004T928796.9

2004T1030138.2

2004T1131099.1

2004T1230532.6

2005T129247.4

2005T227659.7

2005T332820.7

2005T433937.9

2005T534526.6

2005T635779.1

2005T735617.3

2005T836774.2

2005T936926.6

2005T1036886.5

2005T1138212.7

2005T1242478

2006T140952

2006T236325

2006T342412

2006T442973

2006T536329

2006T642803

2006T742588

2006T834461

2006T946221

2006T1031719

2006T1144649

2006T1250534

2007T149212

2007T235392

2007T345154

2007T447344.6443155431

2007T547953.3556844569

2007T650065

2007T750257

2007T842997

2007T949584

2007T1049764

2007T1151157

2007T1255949

2008T152874

2008T247919

2008T359763

2008T454694

2008T554620

2008T656049

2008T755967

2008T855590

2008T954106

2008T1054327

2008T1151014

2008T1255843

2009T150644

chartgdp

27648.0434259748

35980.7211213408

31703.1671211973

36636.068331487

29041.8799384354

38118.2278134531

33493.7694617182

38980.1227863933

31421.110281254

41482.5232521215

36342.8104144274

42535.5560521972

33944.2589734957

44910.7920473944

39433.6554119317

45754.2935671782

36903.4468726389

48746.3564979682

42951.4018708249

49931.794758568

40342.1664325422

53426.0583820923

47014.6301995948

54784.1449857707

43930.01763005

58213.7420662692

51552.2224793083

60136.6196080041

47270.7929840775

62855.4761637816

55834.2423075626

65303.4885445783

49687.9068427414

66038.2757708194

59410.5893134986

69459.2280729406

51576

68930

62613

73153

54477.0944746827

73560.6054851159

66942.6239101242

78685.3343300772

58354.8390821029

78725.2329314916

71710.0196939143

83744.5506293907

62163.3855698405

83812.4675220629

77127.023736281

90144.4241718157

66542.0452

89706.1691140678

82902.497

97092.09672

71272.90573024

96055.6085322433

89774.1117597

105332.4955797

76545.3959538063

103497.082155846

97926.0484124728

115020.581376253

81984

111361

106416

125612

88263

120257

115706

137217

94901

127257

123195

144828

GDP

gdp_94

1990Q127648.0434259748

1990Q235980.7211213408

1990Q331703.1671211973

1990Q436636.068331487

1991Q129041.8799384354

1991Q238118.2278134531

1991Q333493.7694617182

1991Q438980.1227863933

1992Q131421.110281254

1992Q241482.5232521215

1992Q336342.8104144274

1992Q442535.5560521972

1993Q133944.2589734957

1993Q244910.7920473944

1993Q339433.6554119317

1993Q445754.2935671782

1994Q136903.4468726389

1994Q248746.3564979682

1994Q342951.4018708249

1994Q449931.794758568

1995Q140342.1664325422

1995Q253426.0583820923

1995Q347014.6301995948

1995Q454784.1449857707

1996Q143930.01763005

1996Q258213.7420662692

1996Q351552.2224793083

1996Q460136.6196080041

1997Q147270.7929840775

1997Q262855.4761637816

1997Q355834.2423075626

1997Q465303.4885445783

1998Q149687.9068427414

1998Q266038.2757708194

1998Q359410.5893134986

1998Q469459.2280729406

1999Q151576

1999Q268930

1999Q362613

1999Q473153

2000Q154477.0944746827

2000Q273560.6054851159

2000Q366942.6239101242

2000Q478685.3343300772

2001Q158354.8390821029

2001Q278725.2329314916

2001Q371710.0196939143

2001Q483744.5506293907

2002Q162163.3855698405

2002Q283812.4675220629

2002Q377127.023736281

2002Q490144.4241718157

2003Q166542.0452

2003Q289706.1691140678

2003Q382902.497

2003Q497092.09672

2004Q171272.90573024

2004Q296055.6085322433

2004Q389774.1117597

2004Q4105332.4955797

2005Q176545.3959538063

2005Q2103497.082155846

2005Q397926.0484124728

2005Q4115020.581376253

2006Q181984

2006Q2111361

2006Q3106416

2006Q4125612

2007Q188263

2007Q2120257

2007Q3115706

2007Q4137217

2008Q194901

2008Q2127257

2008Q3123195

2008Q4144828

gr_wn


date:4/5/11

time:12:02


LagACPACQ-StatProb

10.14182510550.14182510552.37402386940.1233687245

20.13697245080.11925686594.60796493490.0998603601

30.03865635740.0047966354.78748274220.1880367063

4-0.1352662633-0.16254421727.00537124160.135604652

50.11359071570.15398675778.58362447820.1268696209

6-0.0176286661-0.01484296038.62198602490.195979762

7-0.041031788-0.07091561168.8317354750.264963625

8-0.0657766529-0.0833416179.37579130080.311592765

9-0.0148705780.0711216799.40386072720.4008596285

100.08064085990.083303403110.23716710080.4199381186

11-0.0272587621-0.07753884310.33329791540.5006793721

120.07873526670.061014043711.14311154660.5166955207

13-0.0360685592-0.018203530411.31472096510.5844706989

140.08710687810.110042945712.32552560290.5801783197

150.0510631258-0.024106723312.67635703440.6272801822

160.11695654490.132977377214.53543484580.5588899111

17-0.0076348531-0.084452781414.54343795960.6283302207

18-0.01941467880.013196586114.59572239080.6895134128

19-0.1146884273-0.153349299216.43925856360.627799103

20-0.04120587450.055807773216.67973823370.673660924

210.06740494480.070619521417.33007658130.690913725

220.00780687730.007014093617.33889428410.7443870729

230.07955665010.046870835818.26454864340.7429856858

24-0.0609858007-0.085950367418.81446896610.7618102802


gr_wn

0.1827709424-0.1827709424

0.1827709424-0.1827709424


GR_AR(1)

0.1827709424-0.1827709424

0.1827709424-0.1827709424


Sheet5


date:4/5/11

time:12:04


LagACPACQ-StatProb

10.38192427930.381924279317.21604488570.0000333607

20.21883362230.085428610122.91812555490.0000105534

30.0720399043-0.043667028323.54159034860.0000311359

4-0.0842705565-0.135956311624.40241054290.0000663281

50.05500157680.152881427924.77244425860.0001541596

6-0.0044904906-0.038484299624.77493337260.0003758156

7-0.0553211871-0.085431974325.15621240910.0007118975

8-0.0653420034-0.045976506325.6931017920.0011850927

9-0.02166473480.083335209325.75267960960.0022421974

100.04500016590.049294232626.01217080910.0037238513

11-0.0060841738-0.082866533426.01695990550.0064523118

120.07173324220.089157010326.68914270940.0085636024

130.03933882670.025273973626.89328187570.0128664255

140.07511246110.05403919227.64488108110.0158527309

150.0758324241-0.020777100328.41861846480.0190907996

160.13280465750.147365241530.81565757340.0142042912

17-0.0064626892-0.135739028730.8213919230.0209946976

18-0.0182951228-0.004281722230.86782020640.0298167519

19-0.1063386733-0.110973643732.45269494880.0277751948

20-0.04746307980.112932849732.77175463050.0357377855

210.05330725190.043798282633.17850545080.0442748584

220.0226917633-0.022021608833.25300218650.0584025255

230.07208994530.051913206334.01305761670.0649696242

24-0.0200022696-0.055480207634.07221389780.0833938221


Sheet5

0.1827709424-0.1827709424

0.1827709424-0.1827709424


stationary

0.1827709424-0.1827709424

0.1827709424-0.1827709424


arima


date:4/5/11

time:12:07


LagACPACQ-StatProb

10.23772006450.23772006456.61326728980.0101221783

20.11754535610.06469022538.24464968040.0162067924

30.0122230075-0.03117524418.26244869750.0408879327

4-0.1435582533-0.156940199510.74002185230.0296465434

50.08461991670.165969635111.60874527220.0405605099

60.0078171088-0.019954401711.61622750820.0710987591

7-0.0615325301-0.094980778312.08416582540.0978247798

8-0.0604361381-0.05816193412.53983577190.1286938795

9-0.01278430630.083717019312.5604196820.1835261081

100.07368560270.067681331413.25081014180.2099848821

110.0107919826-0.067746514613.26576313330.2763107802

120.0866889630.086175677414.24005770910.2856420983

13-0.0106411427-0.016674490714.25488350450.3561419222

140.06420832950.08250201114.80007061920.3919567472

150.0628155087-0.010518871715.32713225790.4281200541

160.1343996130.15971515317.76456589920.3378626113

17-0.0177819399-0.127226730517.80767305630.4010703285

18-0.02869235470.010312479717.92107591140.4608632577

19-0.1446924078-0.155679171820.83535219810.3459694652

20-0.06400334450.079306837521.41164119010.3732697504

210.05544926850.029999979221.84883251310.408265576

220.0078929077-0.005609493921.85778717220.4684042043

230.05186792280.023767086222.24873531940.5052811316

24-0.0638789134-0.080356464422.84829907480.528767758


arima

0.1835708191-0.1835708191

0.1835708191-0.1835708191


0.1835708191-0.1835708191

0.1835708191-0.1835708191


rand0.30.30.340.2

0.1604287590.9717875108WNAR(1)AR(2)ma(1)

0.4802483440.37086705010.020.020.020.02

0.13045601430.0288867960.37953308890.0348867960.050.3766444093

0.46129976460.14200768750.07148910220.15247372630.16500768750.0572883335

0.32435171040.17024306880.19308060810.21598518670.24134568260.1760563012

0.15955136560.21763103440.23553237910.28242659040.34919087270.2137692757

0.38312980680.87303673290.47954205420.957764711.06416533440.3922383809

0.0588184060.21376255540.93716549950.50109196840.68033603090.915789244

0.41453320510.77039742520.4448817830.92072501571.32096127610.3678420404

0.48352397210.49152352710.91785448340.76774103191.14475117030.8687021307

0.84981084890.40497998020.61301752120.63530228981.19048376090.5725195232

0.30590047610.90415375570.67622610691.09474444261.65234358550.5858107314

0.40134800880.68656905961.11012447351.01499239241.6055110071.0414675676

0.1044360760.76671884230.91658471231.071216561.80829566030.8399128281

0.0254245790.07938233120.79053354170.40074729921.17585615780.7825953086

0.91411841490.31746299540.17462122980.43768718511.25974278710.1428749302

0.26981439280.85905169730.57517850460.99035785291.64012109230.4892733348

0.89694999980.07334784170.88105604980.37045519751.00891184920.8737212657

0.38125948380.70217480650.28400028360.81331136571.53724116290.213782803

0.87820247940.10357632520.7332477040.3475697350.92891187540.7228900715

0.38703725810.22891087710.17224958840.33318179761.00591326360.1493585007

0.57818164890.43854475020.36047430220.53849928951.05922882240.3166198272

0.90908380910.31060371990.53172586610.47215350670.97251549860.5006654941

0.8473334960.21044053230.37373587960.35208658430.85886444850.3526918263

0.20807943960.25040161750.28556101750.35602759280.83417017960.2605208558

0.50287684280.26563849760.33009316680.37244677540.80691569320.303529317

0.69780250990.3222367160.36230951240.43397074860.84683910550.3300858408

0.70693396960.8109340560.56551693280.94112528061.34093405980.4844235272

0.95024543220.61748148420.99617850130.89981906841.32745079620.9344303528

0.05730907490.2895969370.70436056530.55954265751.14321042560.6754008716

0.15481124890.29003452740.37660729520.45789732461.0769613110.3476038425

0.23799165210.03398204920.30022914210.17135124650.74311202260.2968309372

0.75272479090.13613090370.07482132030.18753627770.71187738470.0612082299

0.46583986560.32574149170.23385335120.3820023750.79071340930.2012792021

0.96326316650.96786414630.61610073561.08246485881.45026992090.519314321

0.55851263640.04861259940.98244792610.3733520570.77891839520.9775866662

0.54435840540.87087671970.30987561530.98288233681.57078995040.2227879433

0.64254593740.66382712571.07002485750.95869182681.43157122741.0036421449

0.99213471990.48541376850.80945125630.77302131651.4433849710.7609098794

0.26245629240.96563243790.77510349991.19753883291.88585469630.6785402561

0.66964328830.54636288741.12954130420.90562453731.62056897551.0749050154

0.14859668220.85037296340.80147477651.12206032461.96712282390.7164374801

0.506493640.88430240891.11566368611.22092050632.03929486171.0272334452

0.97647530930.28998839260.97129892670.65626454451.57348549270.9423000874

0.9427441240.02267305990.29679031060.21955242331.1694465860.2945230046

0.92434814180.23363969390.09276496810.29950542091.10329718090.0694009987

0.97018809550.33481755750.33408496110.42466918381.06077257480.3006032054

0.09314453190.95392148040.62099400161.08132223551.64557331010.5256018536

0.5370197380.89923490921.22369195311.22363157991.77696160711.1337684622

0.80877596810.63013345331.08827494520.99722292731.72797239271.0252615999

0.78123203680.96575824790.91986092771.26492512612.08635734360.8232851029

0.39618813530.66619098791.16561554431.04566852571.89394420251.0989964455

0.1042835310.78113529220.90053157551.09483584992.05098352420.8224180463

0.3464909140.72333157820.99813476571.05178233321.98884923720.9258016079

0.20677959240.32183751210.81988283190.63737221211.613341310.7876990806

0.60759445020.40484591460.44329128650.59605757831.55003673120.402806695

0.04175579870.238147830.47629026360.41696510351.24916271160.4524754806

0.02207908960.66133222750.43654749820.78642175851.55105856880.3704142755

0.30118074960.30395749480.75251947590.53988402241.20606622170.7221237264

0.4088529270.96019830550.59201698651.12216351221.83557839150.4959971559

0.77658964920.08557521650.98587087040.42222427021.07149173610.9773133488

0.90505377520.14227274120.12825703890.26894002221.05725344890.1140297647

0.04170597860.71281715930.3561178890.7934991661.39373085280.2848361731

0.69667535040.43998591970.84481293520.67803566941.23103044430.8008143432

0.95929683560.99063412510.73717615721.19404482591.8273037320.6381127447

0.29618792580.47391542711.13280875320.83212887481.46450782921.0854172105

0.00059849060.69238144140.68162985950.94202010391.7385052230.6123917153

0.49524343930.82163590290.93887221231.10424193411.85208002750.856708622

0.81685518880.69684701081.03069000621.02811959111.84810578710.9610053051

0.17715396160.77426715690.92912715791.08270303421.95824713270.8517004422

0.64954316190.24296940330.84715797790.56778031351.46320516450.8228610375

0.09033291630.61553133890.42762880490.7858654331.70049523470.366075671

0.34369557340.82177769050.86206464611.05753732041.83890761960.779886877

0.92027395310.55175579970.98730443040.86901699581.68713296080.9321288505

0.9348944790.71359207240.76583342140.97429717111.83888956490.6944742142

0.42059623310.99725650271.01276902321.2895456542.1286188430.9130433729

0.21190210370.28366362951.08235559150.67052732571.55906090561.0539892286

0.71200939370.12527366890.32124573020.32643186661.29394002970.3087183633

0.59094007280.35479775920.23171299660.45272731911.2624556410.1962332207

0.72418822060.31659489120.44977622650.45241308691.1340118180.4181167374

0.94334577950.9811306550.61093408771.11685458111.74543136540.5128210222

0.61987676820.88704231631.24724334991.22209869071.8206925261.1585391183

0.01448131780.321533740.98350243830.68816334721.46419860840.9513490643

0.76308506950.22506693620.38905382080.43151594031.26910222080.3665471272

0.5220786370.69019186180.43212449470.81964664391.56094619950.3631053086

0.52820139060.70885193330.90284744180.95474592651.62030430740.8319622485

0.85161149850.2345759930.77922473120.52099977091.25376331730.7557671319

0.29753641790.38312956460.34951486240.53942949591.29550038470.3112019059

0.85302551050.7343151750.60342411710.89614402381.5509143010.5299925996

0.50800645720.72588090270.95207944580.99472410981.64184188050.8794913556

0.45301240060.80819409060.96833912991.10661132351.83169462020.8875197208

0.91277067870.42065758510.93439136610.75264098211.53598632010.8923256076

0.36381909450.42436582550.54796733270.65015812011.49610956040.5055307502

0.81758340720.00735868940.42657343230.20240612540.97683183590.4258375634

0.85192478730.39279811280.12519812320.45351995041.17375380510.0859183119

0.53374396760.56866765940.56339841060.70472364451.26079350390.5065316447

0.92189035090.43603817520.6994791120.64745526861.21683410810.6558752944

0.72110871440.13043737490.47516938770.32467395550.92239902290.4621256502

0.75269190580.5312474010.28981159530.62864958771.20991330120.2366868551

0.79061763630.31965904440.62714511430.50825392071.00774927360.5951792099

0.48055609630.95575927240.60638682611.10823544861.66136801580.5108108988

0.42181808870.04967906310.97066299130.38214969770.91686897060.965695085

0.69648770330.89360385870.31776022071.0082487681.70374971340.2283998348

0.84324506750.36782196411.00395044790.67029659451.22215755780.9671682515

0.60326434080.04083109880.38007129370.24192007710.96748958250.3759881838

0.14158375130.61464410750.2252243310.68722013061.31023783290.1637599203

0.22108621990.19668776860.67365043810.40285380780.93241550660.6539816612

0.88922998980.23123699490.26605886710.35209313720.9413296170.2429351676

0.45807276310.87719039750.49439411420.98281833871.47696711930.4066750744

0.59068460470.11688909770.91225712690.41173459930.90145680340.9005682171

0.57916030740.60681405390.29893331390.73033443371.35639950290.2382519085

0.84358021590.44648008650.74075807990.66558041661.17809295850.6961100712

0.53427616070.54103700780.60879118880.74071113271.34850846450.554687488

0.07057235020.48225474460.68571343110.70446808441.29417551010.6374879567

0.66955561390.8342728450.73253659811.04561327031.67884505780.6491093136

0.18603986380.80610082171.07610309151.11978480281.76516079440.9954930094

Crude Oil (petroleum), Price index - Monthly Price - Commodity Prices

MonthValue

Feb-8630.83

Mar-8623.96

Apr-8622.23

May-8625.17

Jun-8622.33

Jul-8618.44

Aug-8625.1

Sep-8626.29

Oct-8626.28

Nov-8627.14

Dec-8628.95

Jan-8733.95

Feb-8732.46

Mar-8733.29

Apr-8733.87

May-8734.51

Jun-8735.06

Jul-8736.72

Aug-8735.38

Sep-8734.33

Oct-8734.91

Nov-8733.5

Dec-8731.44

Jan-8830.95

Feb-8829.83

Mar-8827.83

Apr-8830.73

May-8830.67

Jun-8829.04

Jul-8827.1

Aug-8827.29

Sep-8824.74

Oct-8822.86

Nov-8823.4

Dec-8827.43

Jan-8930.75

Feb-8930.92

Mar-8933.87

Apr-8936.27

May-8934.07

Jun-8933.28

Jul-8933.05

Aug-8931.57

Sep-8933.1

Oct-8934.44

Nov-8934.38

Dec-8936.23

Jan-9038.48

Feb-9036.78

Mar-9033.87

Apr-9030.5

May-9030.29

Jun-9027.91

Jul-9031.45

Aug-9049.79

Sep-9063.11

Oct-9065.34

Nov-9059.13

Dec-9049.86

Jan-9142.63

Feb-9134.61

Mar-9134.05

Apr-9134.52

May-9134.96

Jun-9133.19

Jul-9135.52

Aug-9136.06

Sep-9137.31

Oct-9140.34

Nov-9138.15

Dec-9132.95

Jan-9232.77

Feb-9233.01

Mar-9232.48

Apr-9234.91

May-9236.56

Jun-9239.1

Jul-9237.8

Aug-9236.74

Sep-9237.81

Oct-9237.52

Nov-9235.39

Dec-9233.57

Jan-9332.25

Feb-9334.1

Mar-9334.62

Apr-9334.5

May-9334

Jun-9332.49

Jul-9330.63

Aug-9330.74

Sep-9329.56

Oct-9330.75

Nov-9328.23

Dec-9325.02

Jan-9426.56

Feb-9425.77

Mar-9425.64

Apr-9428.38

May-9430.78

Jun-9432.27

Jul-9433.8

Aug-9431.81

Sep-9430.23

Oct-9430.88

Nov-9432.26

Dec-9430.26

Jan-9531.67

Feb-9532.72

Mar-9532.54

Apr-9535.19

May-9534.55

Jun-9532.5

Jul-9530.1

Aug-9530.9

Sep-9531.41

Oct-9530.32

Nov-9531.51

Dec-9533.62

Jan-9633.34

Feb-9633.12

Mar-9636.41

Apr-9638.82

May-9635.76

Jun-9634.76

Jul-9636.63

Aug-9637.84

Sep-9641.47

Oct-9643.92

Nov-9641.73

Dec-9644.05

Jan-9743.63

Feb-9738.46

Mar-9736.4

Apr-9733.7

May-9736.52

Jun-9733.82

Jul-9734.59

Aug-9735.25

Sep-9735.14

Oct-9737.74

Nov-9735.96

Dec-9732.33

Jan-9828.19

Feb-9826.51

Mar-9824.75

Apr-9825.02

May-9826.17

Jun-9823.39

Jul-9823.84

Aug-9823.44

Sep-9825.88

Oct-9824.88

Nov-9822.31

Dec-9819.54

Jan-9921.22

Feb-9920.14

Mar-9924.09

Apr-9929.49

May-9930.22

Jun-9930.45

Jul-9935.16

Aug-9937.92

Sep-9941.98

Oct-9941.66

Nov-9945.46

Dec-9946.91

Jan-0047.23

Feb-0050.85

Mar-0051.48

Apr-0043.95

May-0051.05

Jun-0055.5

Jul-0052.78

Aug-0055.12

Sep-0060.14

Oct-0058.93

Nov-0060.61

Dec-0047.27

Jan-0148.5

Feb-0151.01

Mar-0146.9

Apr-0148.11

May-0151.65

Jun-0150.61

Jul-0146.52

Aug-0148.4

Sep-0146.99

Oct-0138.88

Nov-0135.05

Dec-0134.75

Jan-0235.95

Feb-0237.48

Mar-0244.39

Apr-0247.74

May-0248.2

Jun-0245.98

Jul-0248.33

Aug-0250.22

Sep-0253.05

Oct-0251.64

Nov-0246.49

Dec-0252.26

Jan-0357.63

Feb-0361.6

Mar-0356.83

Apr-0347.75

May-0348.85

Jun-0352.26

Jul-0353.59

Aug-0355.63

Sep-0350.41

Oct-0354.41

Nov-0354.61

Dec-0356.14

Jan-0458.74

Feb-0458.65

Mar-0463.03

Apr-0463.16

May-0470.37

Jun-0466.64

Jul-0470.96

Aug-0478.83

Sep-0477.73

Oct-0487.38

Nov-0478.61

Dec-0473.02

Jan-0580.38

Feb-0583.2

Mar-0595.37

Apr-0594.94

May-0589.71

Jun-05101.09

Jul-05105.71

Aug-05115.97

Sep-05115.58

Oct-05109.03

Nov-05103.19

Dec-05105.83

Jan-06117.11

Feb-06112.09

Mar-06114.31

Apr-06127.6

May-06128.84

Jun-06128.15

Jul-06135.97

Aug-06134.81

Sep-06116.62

Oct-06108.78

Nov-06109.22

Dec-06114.52

Jan-07100.52

Feb-07108.08

Mar-07113.85

Apr-07122.28

May-07122.52

Jun-07128.08

Jul-07138.12

Aug-07131.63

Sep-07144.05

Oct-07153.84

Nov-07171.38

Dec-07168.05

Jan-08170.25

Feb-08175.34

Mar-08191.1

Apr-08204.24

May-08230.52

Jun-08247

Jul-08249.66

Aug-08215.3

Sep-08187.06

Oct-08136.34

Nov-08101.25

Dec-0877.71

Jan-0982.58

Feb-0978.83

Mar-0987.89

Apr-0994.55

May-09109.28

Jun-09129.99

Jul-09121.64

Aug-09134.68

Sep-09128.47

Oct-09139.21

Nov-09145.82

Dec-09140.86

Jan-10144.95

Feb-10140.4

Mar-10148.94

Apr-10158.13

May-10142.15

Jun-10140.45

Jul-10139.96

Aug-10142.57

Sep-10143.08

Oct-10153.57

Nov-10158.91

Dec-10169.33

Jan-11174.28

Feb-11184.1

ACF cho MA(q), PACF cho AR(p)MA(1):s = 0 vi s>1MA(2): s =0 vi s>2MA(q): s =0 vi s>qAR(1): 1= 1 2=..= k =..=0AR(2): 3=..= k =..=0AR(p):p+1=..= k =..=0


PHNG PHP BOX-JENKINS (n>=50)B1: nh dng m hnhKim nh tnh dng ca chui,Nu chui l khng dng=> bin i v chui dngXc nh p v qB2: c lng m hnhB3: Thm nh m hnhB4: D bo


B1: nh dng m hnh:Kim nh tnh dng ca chuiNu khng dng => bin i v chui dngXc nh p v q


KIM NH TNH DNG CA CHUIXt m hnh:xt = xt-1+ tnu || chui l dng =>vic kim nh tnh dng chuyn v bi ton kim nhKim nh tnh dng:Kim nh Dickey-FullerH0: =1; H1: kim nh h s (-1)

KIM TRA TNH DNG CA CHUICc la chn khc:xt =a0+ xt-1+ txt = a0+ xt-1+ bt+ tKim nh ADF: xt = (-1)xt-1+b1xt-1+..+ bpxt-p + tv la chn tng ngQ: khi thc hin th s dng la chn no?


B1: NH DNG M HNHKim nh tnh dng ca chuiNu khng dng => bin i v chui dngXc nh p v q


BIN I THNH CHUI DNG3 ngun chnh lm dng khng dng:xu th tt nhxu th ngu nhinyu t ma vDng xu th (tt nh): xt = a0 + a1t + utc lng m hnh trn OLSLy phn d => c chui dng Dng sai phn: (xu th ngu nhin) thng ly sai phn s c chui dng. Chui I(d)


BIN I THNH CHUI DNGYu t ma v=>Thc hin kh yu t ma vx*t = xt xt-4 ( hay x*t = (1-L4)xt ) x*t = xt xt-12 ( hay x*t = (1-L12)xt )Va ma v va ngu nhin:x*t = (1-L)(1-L4)xt chng hn


B1: NH DNG M HNHKim nh tnh dng ca chuiNu khng dng => bin i v chui dngXc nh p v q


XC NH P V QDa vo lc ADF v PADFAR(1): PACF: bng 0 t bc 2, ACF: gimAR(2): PACF bng 0 t bc 3 bc, ACF: gimMA(1): ACF=0 t k=2, PACF gimMA(2): ACF=0 t k=3, PACF gimARMA(p,q): ?C th c mt s m hnh ng vin khc nhau


B2. C LNG M HNHAR(p):

ARMA(p,q):

ARMAX(p,q) vi bin ngoi sinh


3. THM NH M HNHKim tra tnh kh nghch, tnh dng ca chuiKim nh phn d: phn d phi l nhiu trngCc tiu chun la chn: => AIC, BIC, hm loglikelihoodKim tra kh nng d bo ca m hnh


KIM NH PHN DXem xt lc tng quanKim nh Q (Ljung-Box): H0: khng c ttq n bc K

Trong : rk: h s tng quan mu bc kKim nh LM


B3. THM NH M HNHKim tra tnh kh nghch, tnh dng ca chuiKim nh phn d: phn d phi l nhiu trngCc tiu chun la chn: => AIC, BIC, hm loglikelihoodKim tra kh nng d bo ca m hnh


CC TIU CHUN LA CHN Tiu chun AICBICLog likelihood


B3. THM NH M HNHKim tra tnh kh nghch, tnh dng ca chuiKim nh phn d: phn d phi l nhiu trngCc tiu chun la chn: => AIC, BIC, hm loglikelihoodKim tra kh nng d bo ca m hnh


D BO TRONG MUChn mt phn ca mu S dng d bonh gi sai sThc hin trn eviews


NH GI SAI S Xu th nhiu khi khng r => cn la chn mt s k thut khc nhau d boTiu chun la chn:


4. D BOTHC HNH VI CHUI S LIU GI (ARIMA)SAI S D BO


CU HI THO LUNKhi no nn s dng m hnh chui thi gian n bin


PH LC ACF CHO ARAR(1): yt = b1yt-1 + t;

=> cov(yj, j+1) =..= cov(yj, j+m)=0 cov(ytyt-1)= E((b1yt-1+ t)yt-1 )=b1y2,=> 1 = b1cov(yt,yt-k) = b1k y2 => k = b1k


PH LC: SAI S D BOAR(1):yt+1 = ayt + t+1 => yf = aytyt+2 = a2yt + ayt+1 + t+2 => yf = a2yt,..D bo:yft+1 = aytyft+k = akytSai s:var|t(yt+1) = vart(ayt + t+1) = 2 var|t(yt+k) = (1+a2+..+a2(k-1)) 2


PHN II: M HNH CHUI THI GIAN A BIN


I. M HNH VAR (T HI QUY DNG VEC T)


M HNH VAR V DM hnh v lm pht vi nn kinh t ng


M HNH VARM hnh vi hai bin, 1 bc tr

Nhn xt: V phi ca phng trnh ch cha bin trC tnh i xng


M HNH VARDng ma trn:

Tng qut


C LNG VAR


CC BC C LNG VARB1: kim nh tnh dng ca cc bin, thc hin bin i n khi c chui dngB2: Tm bc tr thch hp: tiu chun LR, tiu chun AIC, SBCB3: Kim nh v la chn m hnhTnh n nh ca m hnh (ph lc A)Phn d c phi l nhiu trng?Gin lc m hnh: Kim nh Granger Chn la m hnh B4: Phn tch v s dng kt qu (d bo, hm phn ng, phn r phng sai)


B2: CHN DI TRc lng m hnh:


B2: CHN DI TRView/Lag Structure/Lag length criteria


B3: KIM NH V GIN LC M HNHM hnh c n nh khng :View/Lag Structure/AR root table Tt c nghim u nm trong vng trn n v? Nhiu c trng khng?


B3: KIM NH V GIN LC M HNHC nn b bt mt s bin/ tr khng?

La chn m hnh:


D BO D bo trong mu D bo ngoi mu


D BO NGOI MUB1: M rng kch thc mu cho thi gian d boB2: Chuyn sang mi trng m hnhB3: c lng m hnh v D bo


B1: M RNG KCH THC MUGi s mu: 1990-2008, mun d bo cho 2009-2010Sa kch thc mu nh mong mun


B2: CHUYN SANG MI TRNG M HNHThc hin: sau khi c lng VAR


B3: D BOMn hnh hin:

Chn solve, => kt qu d bo s c ghi li y_0


D BO TRONG MUThc hin tng t nh d bo ngoi mu, khc nhau vic la chn mu c lng


PHN TCH C CH TRUYN TI SCHM PHN NG (IRF)PHN R CHOLESKYPHN TCH PHNG SAI


HM PHN NG (IRF)Q: Tc ng ca sc chnh sch 12(0), 12(1),.. ,12(k), : tc ng ca c sc 1 n v ca bin y2 ti thi im t ln y1 sau 0, 1,.., k giai on; ..=> ij(t): hm phn ng th hin tc ng ca c sc 1 n v ca bin j ln bin i sau t giai on


V D V HM PHN NG


PHN R CHOLESKYTHC HNH TRN EVIEWS


PHN R PHNG SAITHC HNH TRN EVIEWS- VAR1


XY DNG KCH BN PHN TCH CHNH SCH S DNG VARTHC HNH TRN EVIEWS


XY DNG KCH BNQ: Nu bin iu khin din bin A th cc bin ni sinh s nh th no?=> kch bn 1: ph gi ng tin 5% (scenario1)=> kch bn 2: gi nguyn t gi (scenario2)


V DNgha l:

ngha


HM PHN NG (IRF)Q: Tc ng ca sc chnh sch ln cc bin khc? => s dng phn tch IRFThc hin: Biu din cc bin ph thuc nh mt hm ca cc c sc (impulse)Xt h (1.2): yt = B0 + B1yt-1+ et , nu h n nh =>


PHN R PHNG SAIMc ch: xem xt vai tr tc ng ca c sc ln sai s d boThc hin nh sau: T (1.4)

Do gi tr d bo sau n bc l:

Sai s d bo


PHN R PHNG SAIChng hn khi n = 1

Hay:

Do phng sai ca sai s d bo l:


PHN R PHNG SAIKhi vai tr ca mi c sc ln phng sai ca sai s d bo c th hin trong cc t s sau:


V dCho m hnh sau:y = 0.8 yt-1 +0.2 zt-1 + e1tzt = 0.2 yt-1 +0.8 zt-1 + e2tGi s e1t = yt+ 0.5Zt, e2t = zt, tm hm phn ng ca y khi yt sc 1 n v, Chui y,z c dng khng?


THC HNHS liu: t 2000m1-2008m1Bin s: core, grgdp, grm2/ grr1, grm2, grtygia, grnhapkhau


PH LC- IU KIN VAR(1) N NHXt VAR(1): xt = Axt-1 + etXt h thun nht: xt = A xt-1xit= ci t =>c1 t = a11c1 t-1 +..+a1kck t-1 ----------------------------------------------------ck t = ak1c1 t-1 +..+akkck t-1H ny tng ng vi:c1 (a11-) + a12c2 +..+a1kck =0----------------------------------c1ak1 + a12c2 +..+(akk - )ck =0


PH LC- IU KIN VAR(1) N NH h c nghim khng tm thng th nh thc ca ma trn phi bng 0. Mt khc nh thc ny phi l hm ca :a0(- 1)(- k) = 0Vi 1,.., k l cc nghim ring ca ma trn => => xit = d1 1t+..+dkkt => h n nh th cc i (cc nghim ring ca ma trn A) phi nm trong vng trn n v


C LNG VECMB1: nh dng m hnhKim nh tnh ng tch hp Nu chui l khng dng=> bin i v chui dngXc nh p v qB2: c lng m hnhB3: Thm nh m hnhB4: D bo


C LNG VECMB1. Kim tra xem cc bin c phi l CI(1)?B2. Chn bc tr/ c lng m hnh vi s bc tr chn/ s quan h di hnB3. Kim nh m hnhB4. Phn tch kt qu v d boB5.Phn tch hm phn ng/ phn r phng sai


M HNH VECM


MT S KHI NIMCh quan tm ng tch hp CI(1)V d v chui ng tch hp xt = ayt+1tyt= yt-1+ 2tTrong 1, 2 l nhiu trng v khng tng quan vi nhaux v y l ng tch hp (c/m?)


V D V MT S KHI NIMTng qut: x1;,..;xk l cc chui ng tch hp CI(p,b):x1;,..;xk: I(p)tn ti 1,.., k khng ng thi bng 0 sao cho: 1x1+..+ kxk: I(p-b), b>0Lu : nu (1,.., k) l mt vc t ng tch hp ca tp cc chui {x1,..,xk} th a.(1,.., k) cng l mt vc t ng tch hp ca cc chui {x1,..,xk} vi a 0=> chun ha S quan h ng tch hp ca {x1,..,xk} l s vc t ng tch hp c lp tuyn tnh ca cc chui ny


MT S KHI NIMng tch hp v mi quan h cn bng di hn:

Nu l thuyt v cu tin l ng th et phi l chui dng, v mi s khc bit gia cu tin thc t v cu tin c lng phi mang tnh tm thiC ch hiu chnh sai s: => khi cc chui sai lch vi ng cn bng di hn th c ch ny iu chnh lm nh bt sai lch ny trong bc sau, m bo h thng tr v mi cn bng di hn


M HNH VECMXt m hnh VAR sau:

M hnh trn tng ng vi

D dng c.m c nu x, y l I(1) v l nhiu trng th(2.1)c nh thc bng 0 (2.3)(2.2)


M HNH VECMS dng (2.3), bin i (2.2) thnh:

(2.4): m hnh VECM gin n(1, ): vc t ng tch hp, trong = a2/(a1-1) 1, 2 : cc h s hiu chnhVit dng ma trn

(2.4)


NHN XT T M HNH VECM(2)Quan h gia v ng tch hpNu cc chui l CI(1,1) th hng ca ma trn bng 1Nu hng bng 0 => cc chui l dngNu hng bng 2 => cc chui l khng ng tch hp Nu c 1, 2 u khc 0: 2 bin u phn ng vi s sai lch ra khi quan h cn bng.Nu c 1 trong chng bng 0: ch c 1 bin c phn ng, bin cn li khng phn ng=> Granger trong m hnh VECM c pht biu li nh sau:


GRANGER TRONG M HNH VECM(2)M hnh VECM tng qut:

Nhn qu Granger trong m hnh VECM: x c hiu l khng gy ra y theo ngha Granger nu gi tr tr ca x khng c mt trong p.t ca y, v y khng phn ng hiu chnh


CC THNH PHN CA M HNH VECM

Quan h cn bng di hnH s hiu chnh ca yH s hiu chnh ca x


PH LC 5: MH VECM TNG QUTXt m hnh VAR:

Khi VECM c th vit di dng

= (- I + B1+..+Bp); M1 = (B2+..+Bp);, Mp-1 = Bprank() = s q.h ng tch hpKhi rank() = r => kxk = kxr kxr, m y = I(0)


QUAN H GIA MA TRN V Q.H .T.HRank = 0

Rank = mMa trn ch cha cc h s bng 0Khng c quan h ng tch hp, M hnh VECM tr thnh VARca sai phn bc nht, x

Tt c cc hng c lp tuyn tnh, tn ti -1Cc x l I(0)VECM tr thnh VAR


QUAN H GIA MA TRN V Q.H .T.HRank = 1

Rank = r

C duy nht mt quan h ng tch hp

C r mi quan h ng tch hp c lp

Hng ca ma trn = s gi tr ring khc 0 ca ma trn=> xt s nghim ring ca ma trn => kim nh Johansenxi I(1) => 0r 0

PH LC 5: KIM NH JOHANSONKim nh vt (trace test)H0: r r0; H1: r >r0

Kim nh da trn gi tr ring ln nht (max eigenvalue test)H0: r = r0, H1: r = r0+1

Cc kim nh ny thc hin theo th t v dng li khi H0 u tin khng b bc b


C LNG VECMB1. Kim tra xem cc bin c phi l CI(1)?B2. Chn bc tr: thc hin VAR cho I(1) chn B3. c lng m hnh vi s bc tr chn, xc nh hng ca ma trn / kim nh nh trong VARB4.Phn tch kt qu/ h s di hn/ h s hiu chnhB5.Phn tch hm phn ng/ phn r phng sai


B3Kim nh v ng tch hp: k. nh JohansenC cc la chn tng ng y=yt-1+ ty=(yt-1+a0)+b0c0+ ty=(yt-1+a0)+ ty=(yt-1+a0 +a1t)+b0 c0+ ty=(yt-1+a0 +a1t)+b0 (c0+c1t)+ t


B3c kt qu kim nh ng tch hpc lng VECMThc hin cc kim nh:Kim nh v phn d:Tng quan chuiPhn phi chun Phng sai khng iKim nh Granger/ bt tr


PL1: VN NH DNG CA SVARQ: t cc h s ca m hnh VAR dng rt gn c suy ra c cc tham s ca SVAR?


PL1: VN NH DNG CA SVARM hnh (1.1) vit li thnh:

Do nu 1- a11a12 0 th:


PL1: VN NH DNG CA SVART h trn v (1.2) =>

(1.3)


PL1: VN NH DNG CA SVARKhi c lng (1.2) s thu c c lng ca 9 tham s (?)Nhng (1.1) c 10 tham s cn c lng: khng nh dng c => m hnh l nh dng c th cn phi a thm rng buc ln m hnhTy bi ton m a ra cc rng buc thch hp


GII THIU M HNH


TNH KH NGHCH CA CHUI MA*MA(1): xt = t+0.1t-1 =>t=xt-0.1 t-1; t-1=xt-1-0.1 t-2 => xt = t +0.1(xt-1-0.1 t-2)=..= t + 0.1xt-1 +..+(0.1)k xt-k +=> kh nghchMA(1): xt = t+t-1 => xt = t+xt-1-xt-2+..+xt-(2k+1)-=> khng kh nghch


PHNG TRNH C TRNG*Phng trnh xt = a1xt-1 c phng trnh c trng l: (-a1)= 0, c nghim l =a1 xt = a1xt-1 + a2xt-2: (2 a1-a2)= 0, c 2 nghim xt = a1xt-1 + ..+ apxt-p: (p a1p-1-..-ap)= 0 c p nghimChui AR dng nu cc nghim c trng ca n nm trong vng trn n vChui MA kh nghch nu cc nghim c trng ca n nm trong vng trn n v


M HNH CHUI THI GIAN N BIN M HNH VAR M HNH VECM


GII THIUQ: Mt khch hng s tr n/ khngMt cng ty c b ph sn hay khngNgi c phng vn s chp nhn/khngMt ngi s quyt nh s dng xe but/khngMt ngi khch c chn mua hng/ khngBin ph thuc l bin nh tnhXt trng hp c hai quyt nh: c/khng


GII THIUQuan tm: pi = P( Yi = 1) Mc ch:nh gi xc sut ri ro => x. mc li sut hoc cc yu cu tng ngc lng s ngi dn tham gia mt dch v v.v=> 3 m hnh:M hnh xc sut tuyn tnh (hn ch)M hnh probitM hnh logit


M HNH PROBITDng phi tuyn: pi = g(X1, X2,.., Xk)Gi s: pi = F(a1+a2Xi) ( xem ph lc 2) Trong :

Nhn xt:tc ng phi tuyn ca X ln xc sutpi nm trong khong [0,1]Phng php u.l: ML (Ph lc)


C KT QU C LNGT cc kt qu c lng tnh c:Xc sut Y = 1 khi X = X0 no pi = P(Y = 1| X=X0) = F(a1+a2X0)nh hng bin ca X n P(Y = 1) ti X0


C KT QU C LNGV d: ..\Baigiang\Econometrics\KTL2\logit_probit.csv M hnh: p(Y=honor) = F(a1+ a2F +a3Math +a4read)Kt qu c lng


NH GI/ LA CHN M HNHKim nh m hnh:linktestKim nh H-LPearson test (khi m>>)nh gi m hnhCc tiu chun thng tinMc Fadden R2?Bng k vng - d boThc hnh: autorepair


NG DNG CA M HNHTi chnh: Bo him y t: quyt nh la chn mua dch vMarketing: la chn new brands Doanh nghip: quyt nh la chn ngn hng giao dch/ m ti khonGiao thng: quyt nh la chn phng tin giao thng, v.v


M RNGY c th nhn nhiu gi tr:nh gi cht lng dch v: rt tt tt bnh thng km: m hnh probit c th bc Mua hng mu: xanh, vng, => m hnh probit a cp


The ROC curve plots the false positive rate on the X axis and 1 - the false negative rate on the Y axis. It shows the trade-off between the two rates. If the area under the ROC curve is close to 1, you have a very good test. If the area is close to 0.5, you have a lousy test. 0.50 to 0.75 = fair 0.75 to 0.92 = good 0.92 to 0.97 = very good 0.97 to 1.00 = excellent.


An ROC curve is a graphical representation of the trade off between the false negative and false positive rates for every possible cut off. Equivalently, the ROC curve is the representation of the tradeoffs between sensitivity (Sn) and specificity (Sp).By tradition, the plot shows the false positive rate on the X axis and 1 - the false negative rate on the Y axis. You could also describe this as a plot with 1-Sp on the X axis and Sn on the Y axis.


PH LC: M HNH LOGIT (1)Cng thc s dng:

Nhn xt: m bo 0

PH LC: M HNH LOGIT (2)T cc kt qu c lng tnh c:Xc sut Y = 1 khi X = X0 no pi = P(Y = 1| X=X0) =

nh hng bin ca X n P(Y = 1) bng

Tc ng bin mnh nht khi


PH LC: M HNH LOGIT (3)=> xc sut mt ngi l c nh khi thu nhp = 20 l:Exp(- 6.55+0.38x20)/[1+ Exp(- 6.55+0.38x20) ]= 0.74Khi lng tng ln t 20 ln 21 n v th xc sut mt ngi c nh s tng ln: = 0.74x(1-0.74)x0.38 = 0.073


PH LC: M HNH LOGIT (4)odd ratio = pi/ (1 pi) ngha ca t s:


M HNH PHN TCH S LIU MNG Phn tch nh gi tc ng d bo Nhiu u vit


CC GI THIT CA OLSvar(ui) = 2 vi mi i (homoscedasticity)cov(ui, uj) = 0 vi i j (no autocorrelation)Y: ngu nhin, X khng ngu nhin => cov(X,u) = 0nh dng hm ng ui ~N(0, 2)E(ui) = 0 (no systematic error)Khng c a cng tuyn hon ho


KHI NIM 5 h gia nh, thu nhp v chi tiu trong 3 nm


KHI NIMS liu mng: cng mt tp n v (N) (h gia nh, doanh nghip, nn kinh t) c quan st dc theo mt s thi im (T)S liu cn xng: khng b mt quan st giaKch thc ca s liu: N ln, T nhN nh, T lnN nh, T nhN ln, T ln


KHI NIMS liu mng c th c:Bin s nhn cc gi tr khc nhau gia cc n v, nhng vi mi n v th khng thay i theo thi gian. (a bn hot ng, nng lc ca CEO, gii tnh, ..)Bin s nhn cc gi tr khc nhau cho mi thi k, nhng ging nhau gia cc n v (t gi hi oi, c.s kinh t v m,..)Bin s thay i c hai chiu: vn, lao ng,,


U VIT CA S LIU MNGXt v d: Khi nh gi cc yu t nh hng n nng sut lao ng=> chn ngu nhin 20 tha rung cc tnh => hi quy thu c: NS^ = 4 0.5PB Q: C th tin tng kt qu trn khng? A: cha chc: NS cn ph thuc vo ph nhiu ca t, khng quan st c. Cht lng t c tng quan vi lng PB => vn v tng quan gia X v u


KHI BI TON C BIN KHNG QUAN ST C M C TNG QUAN VI BIN C LP => CC UL OLS L KHNG NG TIN CY


U VIT CA S LIU MNGVn thiu bin khng quan st cC th thc hin cc nghin cu tinh vi, phc tp hn: ng thi ca cc n v khc nhau dc theo thi gian,.v.vNhiu s liu=> suy din thng k ng tin cy hni vi cc nc ang pht trin, VN:Yu t vi m v.s v mThng gii quyt c vn v a cng tuyn cao trong chui thi gian,v.v


M HNH PHN TCH S LIU MNGXt m hnh t gc bin b b st:khng i theo iKhng i theo tthay i theo c t v iChng ta xt trng hp th 1M hnh c dng:Yit = a0 + 1X1it+..+ kXkit + ci+ uit, uit tha mn gi thit ca OLSci: khng quan st c


M HNH PHN TCH S LIU MNG K hiu: vij = ci+uijTy thuc vo bn cht ca yu t ci, ta c 3 loi m hnh sau OLS gp (POLS)M hnh tc ng c nh (FE)M hnh tc ng ngu nhin (RE)


M HNH OLS GPNu khng c ci: tr v m hnh thng thng => OLS gp: ul OLS cho ton b quan st OLS l tt nht (khi v tha mn cc gi thit OLS)


M HNH TC NG NGU NHINNu tn ti ci:Nu ci khng tng quan vi X => v: sai s ngu nhin tng hpssnn tng hp ny khng vi phm gi thit 3=> m hnh tc ng ngu nhin


M HNH TC NG C NHKhi ci l c tng quan vi X, khi c FE v POLS u chch=> Khng th nhm ci vo vij c=> S dng m hnh tc ng c nh=> cc phng php x l ci khc nhau s dn n cc phng php c lng khc nhau:c lng dchi quy vi bin gi


FE V REFE: Khng nh gi c tc ng ca cc yu t nh: gii tnh, nng lc, xut pht im ca a phngKhng suy din c cho cc c th ngoi muRETp quan st phi mang tnh ngu nhinGa thit v s khng tng quan gia c v X thng l qu cht


LA CHN M HNHNu bin b b st l khng ng k => POLS l tt nhtNu bin b b st khng tng quan vi X => RE l hiu qu hn FE (nhng phi gi thit v s khng tng quan gia c v u)Nu bin b b st l tng quan vi X th RE l chch v khng vng=> chn FELa chn gia POLS v RE: s dng xttest0Nu RE c la chn => s chn gia FE hay RE: Hausman


TH TC LA CHN M HNHRExttest0P>>POLSFEHausmanP>>REFE


MT S LNH THNG DNG xtset id time: khai bo s liu dng mngxtreg y x1 x2 xk, re : chy m hnh r.exttest0: la chn re v polsxtreg y x1 x2 xk, feest store tdcd: lu gi kt qu va c lnghausman tdcd: kim nh la chn re v feThc hnh trn stata vi s liu productivity


PH LC: KIM NH HAUSMAN tng:Nu ci v X l khng tng quan=>FE v RE: vng, RE hiu qu hnNu ci v X l tng quan=> RE khng vng=> nu s khc bit gia ULFE v ULRE qu ln th l du hiu ca s c tng quan => chn FE


PH LC: V TNH T TNG QUAN CA Vvij = ci + uij; uij khng tng quan, p.s khng i=> cov(vij; vis) = cov(ci + uij; ci + uis)== var(ci) +cov(ci, uis) + cov(ci;uij) khi j s= var(ci) +var(uij)+cov(ci, uis) + cov(ci;uij) khi j =sGi tr ny ni chung l khc 0, ngay c khi c va u l khng tng quan


GII THIU ng dng:D bo ngn hnKhi khng c nhiu thng tin v cc yu t tc ng Thng l cc chui s v m/ ti chnh/ chng khon


PH LC 4: CC TIU CHUN LA CHN TR Kim nh LR (likelihood ratio):

m: tng cc h s trong mi p.t, q: tng tt c rng bucTiu chun


VAR V SVARSVAR v VAR

Vn nh dng


VN NH DNG CA SVARM hnh (1.1) vit li thnh:

Do nu 1- a11a12 0 th:


QUAN H GIA E V Nu (1.2) l nh dng c =>


Nhn xtM hnh: atheoreticalM hnh d bo (ngn hn? trung hn?)Phn tch c ch chuyn ti sc gia cc bin tc ng ca sc ca mt bin ln cc bin khc theo thi gian vai tr tng i ca tng sc i vi sai s d bo


PHN R CHOLESKYLa chn => Quay v bi ton nh dng:=> chng hn c th gi s rng sc trn bin y2t khng c nh hng tc thi n y1t: a11 = 0 =>

=> phn r Cholesky


HM PHN NG (IRF)Nhn xt: sc ln mt bin chnh sch tc ng ln c h thng, theo t Mc ch ca phn tch IRF: tm hiu tc ng ca cc c sc ln cc bin ph thuc trong m hnh theo thi gian Thc hin: Biu din cc bin ph thuc nh mt hm ca cc c sc (impulse)Xt h (1.2): yt = B0 + B1yt-1+ et , nu h n nh =>


HM PHN NG (IRF)Hay:

T p.t ny c th suy ra c tc ng ca cc c sc h thng ln tng bin s ca m hnh

(1.4)


HM PHN NG (IRF) ngha ca cc h s trong (1.4)11(0), 11(1),.. ,11(k), : tc ng ca c sc 1 n v ca bin y1 ti thi im t ln chnh n sau 0, 1,.., k giai on12(0), 12(1),.. ,12(k), : tc ng ca c sc 1 n v ca bin y2 ti thi im t ln y1 sau 0, 1,.., k giai on; ..=> ij(t): hm phn ng th hin tc ng ca c sc 1 n v ca bin j ln bin i sau t giai on


HM PHN NG (IRF)ij(0): nhn t tc ng (impact multiplier) : nhn t di hn (long run multiplier)Q: lm sao tnh c hm phn ng


PHN R CHOLESKY bit c gi tr ca cc hm ny, cn c c lng ca cc h s to nn ij, ngha l cc ai v bi=> Quay v bi ton nh dng:=> chng hn c th gi s rng sc trn bin y2t khng c nh hng tc thi n y1t: a11 = 0 =>

=> phn r Cholesky


V DXt h VAR dng rt gn vi gi tr c lng:

S dng phn r Cholesky, vi gi thit sc ln bin z khng c tc ng tc thi ln bin y, ngha l a11 = 0Gii h phng trnh (1.3) v vi gi thit a11 = 0:a10 = a20 = 0; a11 = 0, a12 =b11 = 0.6, a13 = b12 = 0.2a21 = 0.7, a22 = - 0.22, a23 = 0.44


V D=> Khi ta c:


V D V MT S KHI NIMV d: future price v spot priceCng l I(1) C xu hng ging nhau => y(t) x(t)? nh ngha: x1;,..;xk l cc chui ng tch hp nu: x1;,..;xk: I(1)tn ti 1,.., k khng ng thi bng 0 sao cho: 1x1+..+ kxk: I(0)Vc t (1,.., k): vc t ng tch hp ca (x1;,..; xk )


Khi c S, MA s lm mt S. 2 cases: take all sample/ just up to 2005m6genr ss=@mean(saiso)Lu : khi s dng cc tiu chun ny cng nn xem xt n ph hp ca cc gi tr d bo

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