Phn tch d liu s dng phn mm Eviews 5.0 Nhm: Hng Qun TF1

Nguyn Trnh Ngc Thy TF1 Nguyn Khc Long V L Th Tuyt V Mnh Nguyn Mnh HngI.

TF2 TF2 TF2 TF2

San bng m: 1. San bng m gin n: S dng b s liu VN_Quaterly trong th mc DATA4

Phn tch cho chui GDP = , = + (1 ) Chn GDP, m ca s Series. [Series] Procs > Exponential Smoothing

Exponential Smoothing] > Single, v t tn chui l GDP_ESS (trong

Smoothed series)

Bng kt qu: Sample: 1990:1 2008:4 Included observations: 76 Method: Single Exponential Forecast Series: GDP_ESS Parameters: Sum of Squared Residuals Root Mean Squared Error End of Period Levels: Alpha 0.3120 1.03E+10 11647.74 126704.1

Mean

Biu :

2. Phng php tuyn tnh ca Holt: Chn GDP, m ca s Series. [Series] Procs > Exponential Smoothing Exponential Smoothing] > Holt-Winters No seasonal, t tn chui l

GDP_HN Bng kt qu:Method: Holt-Winters No Seasonal Forecast Series: GDP_HN Parameters: Alpha Beta Sum of Squared Residuals Root Mean Squared Error End of Period Levels: Mean Trend

0.0300 0.8001 6.72E+09 9401.643 126136.5 2971.115

Biu :

3. Phng php Holt-Winter: a. M hnh Cng: [Exponential Smoothing] Holt-Winters Additive , t tn chui l

GDP_HA Bng kt qu:Method: Holt-Winters Additive Seasonal Forecast Series: GDP_HA Parameters: Alpha Beta Gamma Sum of Squared Residuals Root Mean Squared Error End of Period Levels: Mean Trend Seasonals:

0.1800 0.4799 1.0000 3.02E+08 1994.939 126761.2 2052.432 -24705.60 5717.984 -290.4307 19278.05

2008:1 2008:2 2008:3 2008:4

Biu :

b. M hnh Nhn: [Exponential Smoothing] Holt-Winters Mutiplicative , t tn chui l

GDP_HM Bng kt qu:Method: Holt-Winters Multiplicative Seasonal Original Series: GDP Forecast Series: GDP_HM Parameters: Alpha Beta Gamma Sum of Squared Residuals Root Mean Squared Error End of Period Levels: Mean Trend Seasonals: 0.3101 0.6000 1.0000 63598622 914.7808 125568.7 1665.087 0.790690 1.047565 1.000662 1.161083

2008:1 2008:2 2008:3 2008:4

Biu :

I.

ARIMA a d liu t file exel qua Eviews: M eviews File Open Eviews workfile. Trong dng Files of type chn All files (*.*). Chn file exel cha d liu Open Next Finish.

Xt tnh dng: V th: Chn vnindexviewgraphline

Ta c biu :

D liu khng c tnh ma v

Kim nh tnh dng: ta dng kim nh n v Unit root test

M tp d liu vnindexview unit root test

Trong bng hin ra, phn Test type ta chn Augmented-Dickey Fuller, phn Test for unit root in ta chn mc Level ok

Ta c bng:

Chui cha dng, ta kim nh sau khi sai phn bc 1: Lm tng t nhng trong phn Test for unit root in ta chn 1st differece .

Chui dng

ACF, PACF: View Correlogram Level OK

Chui khng dng: Cc gi tr

rk ln v dng.

Chui khng c tnh ma v Ly sai phn bc 1 to ra chui ln ca VNIndex, ta vo Genr, trong khung Enter equation nhp df1nindex=log(vnindex).

Kim nh nghim n v trnchui ny cng cho ta M Df1vnindexView Correlogram 1st diference OK v th sai phn bc 1, ta lm nh sau: M mc df1vnindex view graph Line

M df1vnindex correlogram 1st difference Ta c bng:

Nh vy ta c m hnh ARIMA(p,1,q) vi: p {1,2,4,10} q {1,4,5,10} II. c lng m hnh, kim tra m hnh: Quick/estimate Equation g vo mc Equation Specification m hnh x nh trc. vi m hnh Arima( 2,1,1) V d: d(vnindex) c ar(1) ar(2) ma(1) ok

Chn View/Residual tests/correlogram-Q-Statistic : Dng xc nh tnh nhiu trng ca m hnh. ARIMA (2,1,1) R2 log akai schwart 0.065 1318.521 -5.248 -5.214 ARIMA (2,1,10) 0.087 1324.670 -5.260 -5.201 ARIMA (4,1,13) 0.107 1324.851 -5.270 -5.186 ARIMA (4,1,10) 0.112 1326.105 -5.283 -5.215 ARIMA (4,1,5) 0.097 1321.877 -5.270 -5.211

Ta chn c m hnh arima(4,1,10)

III.

D bo:arima( 4,1,10) Ti ca s Equation ca phng trnh, bm nt forecast

Chon cc yu cu thch hp cho d bo OK