1

HI QUY GI
TRONG KINH T LNG
(Spurious Regression)
inh Cng Khi
Thng 05/2012
GII THIU
Trong cc nghin cu nh lng khng him trng hp
chng ta gp kt qu hi quy cho thy c s tng quan
gia 2 chui thi gian khng c lin quan vi nhau.
V d, chng ta to ra 2 chui thi gian nh sau:


Vi u ~ N(0,1); v ~ N(0,1); Cov(u, v) = 0; Y
0
= 0; v X
0
= 0


t t t
t t t
v X X
u Y Y

1
1
2
GII THIU
Hi quy Y theo X cho thy c s tng quan gia 2 bin ny.
Theo Yule (1926) tng quan ny l tng quan gi bi v 2
chui thi gian ny khng dng (k c trong trng hp mu
ln).
Theo Granger v Newbold (1974), nu R
2
> d chng ta nghi
ng hi quy l hi quy gi



KIM NH TNH DNG
Phng php th
Hm t tng quan mu (SAC) v correlogram
Q-stat test
Dickey-Fuller test (H
0
: chui thi gian khng dng)


3
BIN I CHUI KHNG DNG
THNH CHUI DNG
i vi chui random walk (Y
t
= Y
t-1
+ u
t
)
Ly sai phn bc 1 hoc bc 2
i vi chui c tnh xu hng
Y
t
=
1
+
2
t + u
t,
Kh tnh xu hng bng cch hi quy hm s trn , sau tnh



*
2 1

t t t
Y t Y u
HI QUY NG KT HP
(Cointegrating Regression)

trong PCE l chi tiu tiu dng c nhn; PDI l thu
nhp kh dng c nhn
PCE v PDI l cc chui khng dng c th c hi quy
gi (hi quy khng xc thc)
Hi quy ng kt hp l hi quy mt chui c unit root
trn mt chui c unit root .


t t t
u PDI PCE
2 1

4
HI QUY NG KT HP (tt)
Tuy nhin, nu mt t hp tuyn tnh gia cc chui khng dng
ny l mt chui dng th hi quy ny l hi quy thc v c
gi l hi quy ng kt hp.

Kt qu hi quy th hin mi quan h di hn, hoc im cn
bng (equilibrium) gia cc 2 bin.

2
c gi l h s gc ng kt hp (cointegrating coefficients)

t t t
PDI PCE u
2 1

KIM NH NG KT HP
Kim nh Engle-Granger (EG)
H
0
: u^ c unit root (khng dng)
S dng k thut kim nh ca DF nhng cc tr ti hn ca EG
Gi tr kim nh DF l -3,78 so vi cc gi tr ti hn ca EG
tng ng 1%, 5%, v 10% l -2,5899; -1,9439; v 1,6177
u
t
c tnh dng, hay PCE
t
v PDI
t
l 2 chui ng kt hp

5
KIM NH NG KT HP (tt)
Kim nh hi quy ng kt hp Durbin_Watson (CRDW)
Ho: d = 0 ( = 1; u^ l chui khng dng)
So snh DW trong kt qu hi quy ban u (d=0,5316) vi cc
tr ti hn ca CRDW tng ng vi 1%, 5%, v 10% l
0,511; 0,386; v 0,322
Nu d ln hn tr ti hn bc b Ho
NG KT HP v
C CH HIU CHNH SAI S (ECM)
Trong ngn hn, s ng kt hp c th b mt cn bng.
u
t
th hin sai s cn bng (equilibrium error)
C ch hiu chnh sai s c s dng sa cha s mt cn
bng ny (Engle v Granger)

6
NG KT HP v
C CH HIU CHNH SAI S (ECM)
nh l Granger
PCE
t
=
0
+
1
PDI
t
+
2
u
t-1
+
t
PCE
t
v PDI
t
th hin bin ng ngn hn ca PCE
t
v
PDI
t,
trong khi u
t-1
th hin s hiu chnh hng ti di hn.
Du ca
2
c k vng l m.
NG KT HP v
C CH HIU CHNH SAI S (ECM)
PE
t
= 11,6918 + 0,2906 PDI
t
0,086 u
^
t-1

t (5,32) (4,17) (-1,60)
R
2
= 0,17 d = 1,923
|
2
| th hin tc khi phc trng thi cn bng.

1
o lng tc ng ngn hn ca PDI ln PCE