{"id":24219,"date":"2023-12-06T12:01:16","date_gmt":"2023-12-06T12:01:16","guid":{"rendered":"https:\/\/masterskills.org\/blog\/kiem-dinh-nghiem-don-vi-unit-root-test-cua-chuoi-thoi-gian-la-gi.html"},"modified":"2023-12-22T09:37:35","modified_gmt":"2023-12-22T02:37:35","slug":"kiem-dinh-nghiem-don-vi-unit-root-test-cua-chuoi-thoi-gian-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/kiem-dinh-nghiem-don-vi-unit-root-test-cua-chuoi-thoi-gian-la-gi.html","title":{"rendered":"Ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb (Unit root test) c\u1ee7a chu\u1ed7i th\u1eddi gian l\u00e0 g\u00ec?"},"content":{"rendered":"<div class=\"vnbcbc-body vceditor-content wi-active\" data-role=\"content\">\n<figure class=\"VCSortableInPreviewMode\" type=\"Photo\" style=\"\">\n<div><\/div><figcaption class=\"PhotoCMS_Caption\">\n<p data-placeholder=\"[nh\u1eadp ch\u00fa th\u00edch]\" class=\"NLPlaceholderShow\">H\u00ecnh minh h\u1ecda. Ngu\u1ed3n: nghiencuudinhluong.com<\/p>\n<\/figcaption><\/figure>\n<h2>Ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb (Unit root test)<\/h2>\n<p><b>Kh\u00e1i ni\u1ec7m<\/b><\/p>\n<p><b>Ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb<\/b> trong ti\u1ebfng Anh l\u00e0 <b>Unit root test<\/b>.<\/p>\n<p><b>Ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb<\/b> l\u00e0 vi\u1ec7c ki\u1ec3m tra xem chu\u1ed7i th\u1eddi gian c\u00f3 t\u00ednh d\u1eebng hay kh\u00f4ng.<\/p>\n<h3>C\u00e1ch ti\u1ebfn h\u00e0nh ki\u1ec3m \u0111\u1ecbnh \u0111\u01a1n v\u1ecb<\/h3>\n<p>Dickey v\u00e0 Fuller (1981) \u0111\u00e3 \u0111\u01b0a ra\u00a0ki\u1ec3m \u0111\u1ecbnh Dickey v\u00e0 Fuller (DF) v\u00e0 ki\u1ec3m \u0111\u1ecbnh Dickey v\u00e0 Fuller m\u1edf r\u1ed9ng (ADF). Nghi\u00ean c\u1ee9u n\u00e0y s\u1eed d\u1ee5ng ki\u1ec3m \u0111\u1ecbnh ADF \u0111\u1ec3 th\u1ef1c hi\u1ec7n ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb n\u00ean ch\u1ec9 t\u1eadp trung v\u00e0o l\u00ed thuy\u1ebft c\u1ee7a m\u00f4 h\u00ecnh n\u00e0y.<\/p>\n<p>C\u1ee5 th\u1ec3, theo Dickey v\u00e0 Fuller (1981) m\u00f4 h\u00ecnh ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb m\u1edf r\u1ed9ng ADF c\u00f3 d\u1ea1ng:<\/p>\n<figure class=\"VCSortableInPreviewMode noCaption\" type=\"Photo\" style=\"\">\n<div><\/div><figcaption class=\"PhotoCMS_Caption\">\n<p data-placeholder=\"[Nh\u1eadp ch\u00fa th\u00edch \u1ea3nh]\" class=\"NLPlaceholderShow\">\n<\/figcaption><\/figure>\n<p>M\u00f4 h\u00ecnh (2) kh\u00e1c v\u1edbi m\u00f4 h\u00ecnh (1) l\u00e0 c\u00f3 th\u00eam bi\u1ebfn xu h\u01b0\u1edbng v\u1ec1 th\u1eddi gian t. Bi\u1ebfn xu h\u01b0\u1edbng l\u00e0 m\u1ed9t bi\u1ebfn c\u00f3 gi\u00e1 tr\u1ecb t\u1eeb 1 \u0111\u1ebfn n, trong \u0111\u00f3 1 \u0111\u1ea1i di\u1ec7n cho quan s\u00e1t \u0111\u1ea7u ti\u00ean trong d\u1eef li\u1ec7u v\u00e0 n \u0111\u1ea1i di\u1ec7n cho quan s\u00e1t cu\u1ed1i c\u00f9ng trong chu\u1ed7i d\u1eef li\u1ec7u.<\/p>\n<p>Nhi\u1ec5u tr\u1eafng l\u00e0 s\u1ed1 h\u1ea1ng ch\u1ec9 sai s\u1ed1 ng\u1eabu nhi\u00ean xu\u1ea5t ph\u00e1t t\u1eeb c\u00e1c gi\u1ea3 \u0111\u1ecbnh c\u1ed5 \u0111i\u1ec3n r\u1eb1ng n\u00f3 c\u00f3 gi\u00e1 tr\u1ecb trung b\u00ecnh b\u1eb1ng 0, ph\u01b0\u01a1ng sai l\u00e0 h\u1eb1ng s\u1ed1 v\u00e0 kh\u00f4ng t\u1ef1 t\u01b0\u01a1ng quan.<\/p>\n<p>Nghi\u00ean c\u1ee9u s\u1ebd ti\u1ebfn h\u00e0nh ki\u1ec3m \u0111\u1ecbnh trong c\u1ea3 hai tr\u01b0\u1eddng h\u1ee3p kh\u00f4ng c\u00f3 v\u00e0 c\u00f3 xu h\u01b0\u1edbng v\u1ec1 th\u1eddi gian b\u1eb1ng c\u00e1ch s\u1eed d\u1ee5ng l\u1ea7n l\u01b0\u1ee3t c\u00e1c m\u00f4 h\u00ecnh (1) v\u00e0 (2).<\/p>\n<p>K\u1ebft qu\u1ea3 c\u1ee7a ki\u1ec3m \u0111\u1ecbnh ADF th\u01b0\u1eddng r\u1ea5t nh\u1ea1y c\u1ea3m v\u1edbi s\u1ef1 l\u1ef1a ch\u1ecdn chi\u1ec1u d\u00e0i \u0111\u1ed9 tr\u1ec5 k n\u00ean ti\u00eau chu\u1ea9n th\u00f4ng tin AIC (Akaike\u2019s Information Criterion) c\u1ee7a Akaike (1973) \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 ch\u1ecdn l\u1ef1a k t\u1ed1i \u01b0u cho m\u00f4 h\u00ecnh ADF. C\u1ee5 th\u1ec3, gi\u00e1 tr\u1ecb k \u0111\u01b0\u1ee3c l\u1ef1a ch\u1ecdn sao cho AIC nh\u1ecf nh\u1ea5t.<\/p>\n<p><b>Gi\u1ea3 thuy\u1ebft ki\u1ec3m \u0111\u1ecbnh:<\/b><\/p>\n<p>H<sub>0<\/sub>: \u03b2 = 0 (Y<sub>t<\/sub> l\u00e0 chu\u1ed7i d\u1eef li\u1ec7u kh\u00f4ng d\u1eebng)<\/p>\n<p>H<sub>1<\/sub>: \u03b2 &lt; 0 (Y<sub>t<\/sub> l\u00e0 chu\u1ed7i d\u1eef li\u1ec7u d\u1eebng)<\/p>\n<p>Trong ki\u1ec3m \u0111\u1ecbnh ADF, gi\u00e1 tr\u1ecb ki\u1ec3m \u0111\u1ecbnh ADF kh\u00f4ng theo ph\u00e2n ph\u1ed1i chu\u1ea9n. Theo Dickey v\u00e0 Fuller (1981) gi\u00e1 tr\u1ecb t \u01b0\u1edbc l\u01b0\u1ee3ng c\u1ee7a c\u00e1c h\u1ec7 s\u1ed1 trong c\u00e1c m\u00f4 h\u00ecnh (1) v\u00e0 (2) s\u1ebd theo ph\u00e2n ph\u1ed1i x\u00e1c su\u1ea5t \u03c4 (\u03c4 = gi\u00e1 tr\u1ecb h\u1ec7 s\u1ed1 \u01b0\u1edbc l\u01b0\u1ee3ng\/sai s\u1ed1 c\u1ee7a h\u1ec7 s\u1ed1 \u01b0\u1edbc l\u01b0\u1ee3ng). Gi\u00e1 tr\u1ecb t\u1edbi h\u1ea1n \u03c4 \u0111\u01b0\u1ee3c x\u00e1c \u0111\u1ecbnh d\u1ef1a tr\u00ean b\u1ea3ng gi\u00e1 tr\u1ecb t\u00ednh s\u1eb5n c\u1ee7a Mackinnon (1996).<\/p>\n<p>\u0110\u1ec3 ki\u1ec3m \u0111\u1ecbnh gi\u1ea3 thuy\u1ebft H<sub>0<\/sub> nghi\u00ean c\u1ee9u so s\u00e1nh gi\u00e1 tr\u1ecb ki\u1ec3m \u0111\u1ecbnh \u03c4 t\u00ednh to\u00e1n v\u1edbi gi\u00e1 tr\u1ecb \u03c4 t\u1edbi h\u1ea1n c\u1ee7a Mackinnon v\u00e0 k\u1ebft lu\u1eadn v\u1ec1 t\u00ednh d\u1eebng c\u1ee7a c\u00e1c chu\u1ed7i quan s\u00e1t.<\/p>\n<p>C\u1ee5 th\u1ec3, n\u1ebfu tr\u1ecb tuy\u1ec7t \u0111\u1ed1i c\u1ee7a gi\u00e1 tr\u1ecb t\u00ednh to\u00e1n l\u1edbn h\u01a1n tr\u1ecb tuy\u1ec7t \u0111\u1ed1i gi\u00e1 tr\u1ecb t\u1edbi h\u1ea1n th\u00ec gi\u1ea3 thuy\u1ebft H<sub>0<\/sub> s\u1ebd b\u1ecb b\u00e1c b\u1ecf, t\u1ee9c chu\u1ed7i d\u1eef li\u1ec7u c\u00f3 t\u00ednh d\u1eebng v\u00e0 ng\u01b0\u1ee3c l\u1ea1i ch\u1ea5p nh\u1eadn gi\u1ea3 thuy\u1ebft H<sub>0<\/sub>, t\u1ee9c d\u1eef li\u1ec7u kh\u00f4ng c\u00f3 t\u00ednh d\u1eebng.<\/p>\n<p>(Ngu\u1ed3n tham kh\u1ea3o: <i>Trung t\u00e2m nghi\u00ean c\u1ee9u \u0111\u1ecbnh l\u01b0\u1ee3ng<\/i>)<\/p>\n<p><\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"<div class=\"vnbcbc-sapo\" data-role=\"sapo\">\n                            Ki\u1ec3m \u0111\u1ecbnh nghi\u1ec7m \u0111\u01a1n v\u1ecb (ti\u1ebfng Anh: Unit root test) l\u00e0 vi\u1ec7c ki\u1ec3m tra xem chu\u1ed7i th\u1eddi gian c\u00f3 t\u00ednh d\u1eebng hay kh\u00f4ng.\n                        <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[414],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/24219"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=24219"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/24219\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=24219"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=24219"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=24219"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}