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KHÓA BỒI DƯỠNG VỀ DỰ BÁO SỬ DỤNG EVIEWS. HÀ NỘI – THÁNG 4 - 2011. CHƯƠNG TRÌNH. TỔNG QUAN VỀ DỰ BÁO – HỒI QUY TRONG EVIEWS MÔ HÌNH DỰ BÁO CHUỖI THỜI GIAN ĐƠN BIẾN MÔ HÌNH DỰ BÁO CHUỖI THỜI GIAN ĐA BIẾN – MÔ HÌNH VAR - VECM. PHẦN 1: TỔNG QUAN VỀ DỰ BÁO- HỒI QUY TRÊN EVIEWS. - PowerPoint PPT Presentation
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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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN 1: TNG QUAN V D BO- HI QUY TRN EVIEWS
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN I: M HNH CHUI THI GIAN N BIN I. SAN CHUI II. M HNH ARIMA
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
CHUI THI GIAN
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
I. SAN CHUI
Trung bnh trt (MA)Hiu chnh ma v s dng MASan m gin nSan m Holt- Winter
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
MA3
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
MA12
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
3. SAN M GIN N tng: vai tr gim dn theo thi gianKhng T, SCng thc:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
THC HNH TRN EVIEWSTHC HNH VI S LIU gtsx
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
II. M HNH ARMAPHNG PHP BOX- JENKINS
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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?
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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-
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
ACF CHO AR(1)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
Partial Autocorrelation (PACF)
stationary
Correlogram of tseries
date:4/5/11
time:12:04
Included observations:115
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
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
stationary
0.1827709424-0.1827709424
0.1827709424-0.1827709424
Autocorrelation (ACF)
arima
0.1827709424-0.1827709424
0.1827709424-0.1827709424
Partial Autocorrelation (PACF)
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
Autocorrelation (ACF)
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)
GR_AR(1)
0.1827709424-0.1827709424
0.1827709424-0.1827709424
Partial Autocorrelation (PACF)
Sheet5
Correlogram of tseries
date:4/5/11
time:12:04
Included observations:115
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
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
Sheet5
0.1827709424-0.1827709424
0.1827709424-0.1827709424
Autocorrelation (ACF)
stationary
0.1827709424-0.1827709424
0.1827709424-0.1827709424
Partial Autocorrelation (PACF)
arima
Correlogram of tseries
date:4/5/11
time:12:07
Included observations:114
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
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
arima
0.1835708191-0.1835708191
0.1835708191-0.1835708191
Autocorrelation (ACF)
0.1835708191-0.1835708191
0.1835708191-0.1835708191
Partial Autocorrelation (PACF)
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B1: nh dng m hnh:Kim nh tnh dng ca chuiNu khng dng => bin i v chui dngXc nh p v q
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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?
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B1: NH DNG M HNHKim nh tnh dng ca chuiNu khng dng => bin i v chui dngXc nh p v q
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B1: NH DNG M HNHKim nh tnh dng ca chuiNu khng dng => bin i v chui dngXc nh p v q
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B2. C LNG M HNHAR(p):
ARMA(p,q):
ARMAX(p,q) vi bin ngoi sinh
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
CC TIU CHUN LA CHN Tiu chun AICBICLog likelihood
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
D BO TRONG MUChn mt phn ca mu S dng d bonh gi sai sThc hin trn eviews
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
NH GI SAI S Xu th nhiu khi khng r => cn la chn mt s k thut khc nhau d boTiu chun la chn:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
4. D BOTHC HNH VI CHUI S LIU GI (ARIMA)SAI S D BO
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
CU HI THO LUNKhi no nn s dng m hnh chui thi gian n bin
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN II: M HNH CHUI THI GIAN A BIN
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
I. M HNH VAR (T HI QUY DNG VEC T)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
M HNH VAR V DM hnh v lm pht vi nn kinh t ng
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
M HNH VARM hnh vi hai bin, 1 bc tr
Nhn xt: V phi ca phng trnh ch cha bin trC tnh i xng
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
M HNH VARDng ma trn:
Tng qut
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
C LNG VAR
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B2: CHN DI TRc lng m hnh:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B2: CHN DI TRView/Lag Structure/Lag length criteria
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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?
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B3: KIM NH V GIN LC M HNHC nn b bt mt s bin/ tr khng?
La chn m hnh:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
D BO D bo trong mu D bo ngoi mu
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B1: M RNG KCH THC MUGi s mu: 1990-2008, mun d bo cho 2009-2010Sa kch thc mu nh mong mun
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B2: CHUYN SANG MI TRNG M HNHThc hin: sau khi c lng VAR
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
B3: D BOMn hnh hin:
Chn solve, => kt qu d bo s c ghi li y_0
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
D BO TRONG MUThc hin tng t nh d bo ngoi mu, khc nhau vic la chn mu c lng
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN TCH C CH TRUYN TI SCHM PHN NG (IRF)PHN R CHOLESKYPHN TCH PHNG SAI
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
V D V HM PHN NG
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
V D V HM PHN NG
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN R CHOLESKYTHC HNH TRN EVIEWS
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN R PHNG SAITHC HNH TRN EVIEWS- VAR1
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
XY DNG KCH BN PHN TCH CHNH SCH S DNG VARTHC HNH TRN EVIEWS
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
V DNgha l:
ngha
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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 =>
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
PHN R PHNG SAIChng hn khi n = 1
Hay:
Do phng sai ca sai s d bo l:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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:
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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?
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
THC HNHS liu: t 2000m1-2008m1Bin s: core, grgdp, grm2/ grr1, grm2, grtygia, grnhapkhau
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
M HNH VECM
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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?)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
NGUYEN THI MINH - KTQD - KHOA TOAN KINH TE
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)
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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:
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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
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CC THNH PHN CA M HNH VECM
Quan h cn bng di hnH s hiu chnh ca yH s hiu chnh ca x
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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)
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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
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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
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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
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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
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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
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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?
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PL1: VN NH DNG CA SVARM hnh (1.1) vit li thnh:
Do nu 1- a11a12 0 th:
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PL1: VN NH DNG CA SVART h trn v (1.2) =>
(1.3)
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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
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GII THIU M HNH
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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
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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
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M HNH CHUI THI GIAN N BIN M HNH VAR M HNH VECM
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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
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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
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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)
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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
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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
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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
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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
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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
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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.
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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.
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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
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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
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PH LC: M HNH LOGIT (4)odd ratio = pi/ (1 pi) ngha ca t s:
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M HNH PHN TCH S LIU MNG Phn tch nh gi tc ng d bo Nhiu u vit
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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
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KHI NIM 5 h gia nh, thu nhp v chi tiu trong 3 nm
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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
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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,,
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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
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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
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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
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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
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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)
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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)
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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
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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
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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
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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
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TH TC LA CHN M HNHRExttest0P>>POLSFEHausmanP>>REFE
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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
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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
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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
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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
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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
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VAR V SVARSVAR v VAR
Vn nh dng
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VN NH DNG CA SVARM hnh (1.1) vit li thnh:
Do nu 1- a11a12 0 th:
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QUAN H GIA E V Nu (1.2) l nh dng c =>
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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
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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
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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 =>
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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)
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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
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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
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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
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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
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V D=> Khi ta c:
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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 )
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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