hnh Arima vi phng php Box - Jenkins v ng dng d bo lm pht ca Vit Nam Khi to bi: tinkinhte | ng bi : tinkinhte | Cp nht:

: 09/06/2010 21:18 E-mail | Bn in | Lu xem sau ng Nguyn Chng Trng i hc Kinh t, i hc Nng Tm tt S tc ng ca lm pht c c tch cc v tiu cc theo nhng cch thc khc nhau ty thuc vo cu trc ca nn kinh t, kh nng thch ng vi s thay i lin tc ca lm pht v mc tin liu mt cch ton din v lm pht. V vy, d bo lm pht khng ch c ngha trong vic cung cp cc thng tin cho nhng nh hoch nh chnh sch m cn i vi c cc nh kinh doanh trong vic iu chnh cc chin lc; V tnh n nh kinh t v m c lin quan n mc tng ng hay khc bit gia cc d bo v lm pht ca cc nh kinh doanh v ca cc nh hoch nh chnh sch. M hnh ARIMA vi phng php Box-Jenkins c ng dng d bo lm pht hng thng ca Vit Nam vi d liu t Tng cc Thng k. 1. Gii thiu Nhiu nghin cu, c bit l cc nghin cu thc nghim cho thy s tc ng ca lm pht c c tch cc v tiu cc theo nhng cch thc khc nhau ty thuc vo cu trc ca nn kinh t, kh nng thch ng vi s thay i lin tc ca lm pht v mc tin liu mt cch ton din v lm pht. Lm pht cao c xu hng lm thay i cc cn bng thc ca nn kinh t lm chch hng cc ngun lc khi thc hin cc giao dch; gim tn hiu thng tin v gi tng i v vy dn n tnh trng phn b ngun lc khng hiu qu. Khi lm pht tng lm gi tr ca tin gim khin chc nng l n v hch ton ca tin thay i, iu ny lm cho vic hch ton chi ph-li nhun ca doanh nghip tr nn kh khn; tc hi ca lm pht khng d kin c gia tng s bt n nh, dn n tnh trng ti phn phi ca ci mt cch ty tin (chng hn, khi lm pht cao hn so vi d kin ngi i vay c li v ngi cho vay b thit). V vy, d bo lm pht khng ch c ngha trong vic cung cp cc thng tin i vi nhng nh hoch nh chnh sch kinh t v m m cn i vi c cc nh kinh doanh trong vic iu chnh cc chin lc kinh doanh.

C nhiu phng php tip cn trong phn tch v d bo lm pht. Mc ch ca bi vit ny nhm ng dng m hnh ARIMA vi phng php Box-Jenkins d bo lm pht Vit Nam. George Box v Gwilym Jenkins (1976) nghin cu m hnh ARIMA (Autoregressive Integrated Moving Average - T hi qui tch hp Trung bnh trt), v tn ca h thng c dng gi tn cc qu trnh ARIMA tng qut, p dng vo vic phn tch v d bo cc chui thi gian. Phng php BoxJenkins vi bn bc lp: nhn dng m hnh th nghim; c lng; kim nh bng chn on; v d bo. 2. D bo lm pht ca Vit Nam 2.1. Nhn dng m hnh Trong thc t, chng ta phi i mt vi hai cu hi quan trng: (1) Bng cch no chng ta xc nh c mt chui thi gian l dng; (2) Nu chng ta xc nh c mt chui thi gian khng dng, th c cch no c th lm cho chng tr nn dng. Mc d c nhiu cch kim tra tnh dng, nhng c hai cch c s dng ph bin nht l th (phn tch th v kim nh bng th tng quan (correlogram) v kim nh nghim n v (unit root test)[1] (Gujarati, 2003). Ton t dch chuyn li v sai phn (Back-shift Operator and Differences) iu trc tin cn phi lu l hu ht cc chui thi gian u khng dng, v cc thnh phn AR v MA ca m hnh ARIMA ch lin quan n cc chui thi gian dng. Cho nn, cn phi c mt k hiu phn bit nhng chui thi gian khng dng gc vi nhng chui tng ng c tnh dng ca n sau khi bin i sai phn. Mt k hiu rt hu ch l ton t dch chuyn li (tr), L, c dng nh sau: LYt=Yt 1; ni cch khc, L, thc hin trn Yt, c tc dng dch chuyn d liu tr li mt thi on. p dng L trn Yt hai ln s dch chuyn d liu tr li 2 thi on: L(LYt)=L2Yt=Yt - 2

i vi d liu thng, nu dch chuyn n cng thng trong nm trc, th dng L12, v k hiu l L12Yt = Yt-12. Ton t dch chuyn li thun tin trong vic m t qu trnh tnh sai phn. Sai phn bc nht: DYt = Yt - Yt - 1 S dng ton t dch chuyn li, c th vit li nh sau. DYt = Yt - LYt = (1 - L)Yt Lu rng sai phn bc nht c biu din bi (1 - L). Tng t, nu tnh sai phn bc hai (ngha l, sai phn bc nht ca sai phn bc nht), th: Sai phn bc hai D2Yt = DYt - DYt -1 = (1 - 2L + L2) Yt = (1 - L)2Yt Lu sai phn bc hai c k hiu l (1 - L)2. (iu quan trng l phi nhn thy c sai phn bc hai khng phi l sai phn th hai, c k hiu l 1 - L2. Tng t, sai phn th mi hai s l 1 - L12, nhng sai phn bc mi hai s l (1 - L)12) Mc ch ca vic ly sai phn l t c trng thi dng, v tng qut nu ly sai phn bc th d s t c dng, DdYt = (1 - L)dYt l chui dng, Phng php Box-Jenkins da vo: 1. Phn tch th V th d liu chui thi gian, thng qua hnh dng ca th thc nghim cung cp nhng gi ban u v bn cht ca chui thi gian. th cung cp hnh nh trc quan cho php chng ta c th nh gi mt chui thi gian c dng hay khng. 2. Kim nh bng th tng quan thng qua hm t tng quan v hm t tng quan tng phn. Hm t tng quan mu(Sample Autocorrelation Function-SACF)

Hm t tng quan ti tr k (hay bc tr k) k hiu rk l:

Bn cnh h s tng quan rk, sai s chun ca rk gi l srk v tr thng k trk s c s dng gip chng ta nhn dng th nghim mt m hnh Box-Jenkins. Sai s chun ca rk l

Hm t tng quan ca mu (SACF) l mt hm hay th ca t tng quan ca mu tr k = 1, 2, . . . SACF c th c dng gip chng ta tm ra mt chui thi gian dng zb, zb+1,,zn. Vic ny c th c thc hin v chng ta c th lin kt ng thi ca SACF vi s dng ca chui thi gian. Tng qut, vi mt chui s liu khng c tnh ma c th ch ra rng: 1. Nu SACF ca chui thi gian zb, zb+1,, znhoc gim tht nhanh hoc gim dn kh nhanh th gi tr ca chui thi gian c xem l dng. 2. Nu SACF ca chui thi gian zb, zb+1 ,, zngim dn tht chm th chui thi gian c xem l khng dng. ngha chnh xc ca t kh nhanh v tht chm c phn ty v tt nht c xc nh bng kinh nghim. Hn th na, kinh nghim ch ra rng vi d liu khng vi tnh ma, vic SACF gim kh nhanh, nu c, thng xy ra sau mt tr k b hn hay bng 2. Hm t tng quan tng phn ca mu (Sample Partial Autocorrelation Function-SPACF) Chng ta s nh ngha hm t tng quan tng phn ca mu (SPACF).

1. Gi tr tng quan tng phn ca mu ti tr k l:

y: rkj= rk-1,j - rkk .rk-1,k-jvi j=1, 2, , k-1 2. Sai s chun ca rkkl srkk =1/(n-b+1)1/2 (2.5) 3. Tr thng k trkkl l trkk = rkk/ srkk (2.6) 4. Hm t tng quan tng phn ca mu (SPACF) l mt danh sch hay th ca cc tr s t tng quan tng phn ca mu cc tr k=1,2, i lng ny m t mt cch trc gic cc tr t tng quan ca mu i vi cc gi tr quan st chui thi gian ngn cch bng mt tr k ln n v thi gian Mt ln na, p dng phng php lun Box-Jenkins, chng ta phi th v c gng phn loi ng thi ca SPACF. u tin, SPACF ca mt chui thi gian khng c tnh ma c th gim tht nhanh. iu ny c ngha g, ta ni rng mt nh nhn tr k tn ti trong SPACF nu rkk, tr t tng quan tng phn ca mu tr k, l ln theo ngha thng k. Kt lun rng rkk l ln theo ngha thng k mt cch c bn tng ng vi vic loi b gi thuyt khng cho rng tr t tng quan tng phn l thuyt tr k, k hiu Pkk, bng khng. (H0 : Pkk = 0). Ta c th nh gi mt nh nhn tr k tn ti trong SPACF hay khng bng cch xem tr thng k t tng ng vi rkk. y ta xem mt nh nhn tr k tn ti trong SPACF nu tr tuyt i ca l ln hn 2. Hn th na, chng ta ni rng SPACF gim tht nhanh sau tr k nu khng c nh nhn no cc tr ln hn k trong SPACF . Vi d liu khng c tnh ma, kinh nghim ch ra rng nu SPACF tt, mt cch tng qut n s gim tht nhanh sau mt tr b hn hay bng 2. Th hai, chng ta ni rng SPACF gim dn nu

hm ny khng gim tht nhanh nhng gim i theo mt dng n nh. SPACF c th gim dn theo (1) mt dng hm m tt dn (khng dao ng hoc c dao ng), (2) mt dng sng hnh sin tt dn hoc (3) mt dng b tri bi mt trong hai dng trn hoc mt t hp ca chng. Hn na, SPACF c th gim dn kh nhanh hoc gim dn tht chm. Qu trnh nhn dng ca mt m hnh ARIMA khng c tnh ma hay c tnh ma ph thuc vo nhng cng c thng k - l, h s t tng quan, h s ring phn, v th tng quan; v hiu bit v qu trnh ang nghin cu cng nh i hi kinh nghim v phn on tt (Newbold and Bos, 1994). M hnh ARIMA m rng bao gm cc yu t thi v c k hiu tng qut l:

D liu c s dng l Ch s gi tiu dng (CPI) hng thng theo phng php lin hon t thng 1 nm 1996 n thng 12 nm 2006 ca Tng Cc Thng k cng b. T l lm pht hng thng s c xc nh[2]:

Trong : : t l lm pht thi im t (biu th bng %) CPLt : Ch s gi tiu dng thi im t CPLt-1 : Ch s gi tiu dng thi im t-1 Hnh 2.1. T l lm pht hng thng (%)

Hnh 2.2. th tng quan ca d liu sau khi bin i sai phn

Da vo hnh dng ca th thc nghim ca d liu gc (Hnh 2.1) v th tng quan ca d liu sau khi bin i sai phn (Hnh 2.2).

Cc m hnh c nhn dng nh sau:

2.2. c lng cc tham s C bn c hai cch c lng nhng tham s 1. Th v sai Xem xt nhiu gi tr khc nhau v chn gi tr (hay tp gi tr, nu c lng nhiu hn mt tham s) sao cho tng ca nhng bnh phng phn d t gi tr nh nht. 2. Ci thin lp - chn mt c lng ban u v chy bng mt chng trnh my tnh tinh chnh c lng lp i lp li[1]. Bng 2.1. Kt qu cc tham s ca cc m hnh c c lng[2]

M hnh 1 DS12.inf inf _cons ARMA Ma L1. ARMA12 Ma L1. 1.000 0.001 0.15 Coef. z

M hnh 2 DS12.inf Coef. z inf _cons ARMA ar

M hnh 3 DS12.inf Coef. z inf

0.002 0.05 _cons ARMA ar 0.166 1.63 L1. ma L1. 0.458 6.53 ARMA12 ar L1. ma L1.

0.001 0.36

0.616 10.36 L1. ARMA12 ar L1.

0.448 4.4

0.909 -11.11

0.088 -0.86

1.000

2.3. Kim nh m hnh Sau khi c lng cc tham s ca mt m hnh ARIMA c nhn dng th, chng ta cn phi kim nh kim nghim rng m hnh l thch hp. C hai cch thc c bn thc hin iu ny: 1. Xem xt nhng phn d - xem n theo dng no cha c bit khng. 2. Xem xt nhng thng k ly mu ca gii php ti u hin ti (sai s chun, ma trn tng quan...)-kim tra xem c th n gin ho m hnh khng. Bng 2.2. Kt qu cc thng s kim nh

Model

Obs Chi-Square

ll(model) df AIC -85.63 -109.78 -79.28 4 4 5

BIC

M hnh 1 119 109.42 M hnh 2 119 45.94 M hnh 3 119 115.46

169.26 180.38 227.55 238.67 168.57 182.46

Da vo Bng 2.1 v Bng 2.2 vi cc tiu chun kim nh c la chn l z, Chi-Square ( X2 ), AIC (Akaike Information Criterion) v BIC (Bayesian Information Criterion), m hnh ph hp nht v c la chn l M hnh 1. 2.4. D bo bng m hnh ARIMA M hnh ARIMA (0,1,1)(0,1,1)12 (2.8) Tuy nhin, s dng mt m hnh c nhn dng cho d bo, cn phi m rng m hnh (2.8) tr thnh: (2.9) Khi s dng phng trnh ny d bo mt thi on tip theo - ngha l, Yt+1 chng ta tng nhng ch s ln mt, t u n cui, nh trong phng trnh (2.9). (2.10) S hng ut+1 s khng bit c v gi tr k vng ca nhng sai s ngu nhin tng lai bng 0, nhng t m hnh thch hp, chng ta c th thay th nhng gi tr ut, ut-11, v ut-12 bng nhng gi tr c xc nh bng thc nghim ca chng - ngha l, nh nhng gi tr thu c sau ln lp sau cng ca gii thut Marquardt. D nhin, v chng ta d bo xa hn na trong tng lai, chng ta s khng c nhng gi tr thc nghim cho nhng s hng u sau mt khong no , v v vy tt c nhng gi tr k vng ca chng s c gi tr l khng. i vi nhng gi tr Y ban u ca qu trnh d bo, chng ta s bit nhng gi tr Yt, Yt-11, v Yt-12. Tuy nhin, sau mt lc, nhng gi tr Y trong phng trnh (2.10) s l nhng gi tr c d bo ch khng phi l nhng gi tr qu kh. V vy

cc gi tr thc t cn phi c cp nht lin tc ci thin tin cy ca cc gi tr d bo. Bng 2.3. Kt qu d bo lm pht hng thng t thng 1 n thng 12 nm 2007 Thng Thng Thng Thng Thng Thng Thng Thng Thng Thng Thng Thng 1 2 3 4 5 6 7 8 9 10 11 12 0.79 1.46 -1.06 -0.10 0.60 0.44 0.20 0.31 0.34 0.48 0.89 0.76

TI LIU THAM KHO 1. Tng cc Thng k, Ch s gi tiu dng cc thng trong nm, 2007. 2. Box, G.E.P., and G.M. Jenkins, Time Series Analysis: Forecasting and Control, Revised Edition, Holden Day, San Francisco, 1976. 3. Gujarati, D., Basic Econometrics, 4th ed., McGraw Hill, New York, 2003. 4. Newbold, P. and Bos, T., Introductory business and economic forecasting (2nd edition), International Thomson Publishing, 1994.

[1]

Kim nh c s dng ph bin l kim nh Dickey-Fuller tng cng (Augmented Dickey-Fuller-ADF).

[3]

Phng php Ci thin lp c ng dng rng ri hn v gii thut mnh.(gii thut Marquardt)
[4] [2]

S dng phn mm Stata

C nhiu cch xc nh t l lm pht da vo cc phng php tnh ch s gi khc nhau nh Ch s gi sn xut (PPI), Ch s iu chnh GDP (GDP deflator), Ch s gi dy chuyn (chained price index; hoc t l lm pht c bn (core inflation)-loi tr nhng loi hng ho v dch v m gi c ca chng bin ng theo thi v hoc tht th