{"id":24508,"date":"2023-12-06T12:18:50","date_gmt":"2023-12-06T12:18:50","guid":{"rendered":"https:\/\/masterskills.org\/blog\/moi-quan-he-tuong-quan-chuoi-tu-tuong-quan-serial-correlation-autocorrelation-trong-thong-ke-la-gi-hau-qua.html"},"modified":"2023-12-22T09:50:56","modified_gmt":"2023-12-22T02:50:56","slug":"moi-quan-he-tuong-quan-chuoi-tu-tuong-quan-serial-correlation-autocorrelation-trong-thong-ke-la-gi-hau-qua","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/moi-quan-he-tuong-quan-chuoi-tu-tuong-quan-serial-correlation-autocorrelation-trong-thong-ke-la-gi-hau-qua.html","title":{"rendered":"M\u1ed1i quan h\u1ec7 T\u01b0\u01a1ng quan chu\u1ed7i\/T\u1ef1 t\u01b0\u01a1ng quan (Serial Correlation\/Autocorrelation) trong th\u1ed1ng k\u00ea l\u00e0 g\u00ec? H\u1eadu qu\u1ea3"},"content":{"rendered":"
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H\u00ecnh minh h\u1ecda. Ngu\u1ed3n: statisticshowto.datasciencecentral.com<\/i><\/p>\n<\/figcaption><\/figure>\n

T\u01b0\u01a1ng quan chu\u1ed7i\/T\u1ef1 t\u01b0\u01a1ng quan<\/font><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

T\u01b0\u01a1ng quan chu\u1ed7i\/T\u1ef1 t\u01b0\u01a1ng quan<\/b> trong ti\u1ebfng Anh l\u00e0 Serial Correlation\/Autocorrelation<\/b>.<\/p>\n

T\u01b0\u01a1ng quan chu\u1ed7i\/T\u1ef1 t\u01b0\u01a1ng quan l\u00e0 m\u1ed1i quan h\u1ec7 gi\u1eefa m\u1ed9t bi\u1ebfn v\u00e0 phi\u00ean b\u1ea3n tr\u1ec5 c\u1ee7a n\u00f3 trong c\u00e1c kho\u1ea3ng th\u1eddi gian kh\u00e1c nhau.<\/p>\n

H\u1eadu qu\u1ea3 c\u1ee7a t\u01b0\u01a1ng quan chu\u1ed7i<\/font><\/h3>\n

Gi\u1ed1ng nh\u01b0\u00a0ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/font>, v\u1ea5n \u0111\u1ec1 ch\u00ednh g\u00e2y ra b\u1edfi t\u01b0\u01a1ng quan chu\u1ed7i trong h\u1ed3i qui tuy\u1ebfn t\u00ednh l\u00e0 vi\u1ec7c \u01b0\u1edbc t\u00ednh kh\u00f4ng ch\u00ednh x\u00e1c v\u1ec1\u00a0sai s\u1ed1\u00a0chu\u1ea9n\u00a0c\u1ee7a h\u1ec7 s\u1ed1 h\u1ed3i qui \u0111\u01b0\u1ee3c t\u00ednh to\u00e1n b\u1edfi c\u00e1c ph\u1ea7n m\u1ec1m th\u1ed1ng k\u00ea.<\/p>\n

N\u1ebfu kh\u00f4ng c\u00f3 bi\u1ebfn \u0111\u1ed9c l\u1eadp n\u00e0o l\u00e0 gi\u00e1 tr\u1ecb tr\u1ec5 (lagged value) c\u1ee7a bi\u1ebfn ph\u1ee5 thu\u1ed9c (gi\u00e1 tr\u1ecb c\u1ee7a bi\u1ebfn ph\u1ee5 thu\u1ed9c t\u1eeb giai \u0111o\u1ea1n tr\u01b0\u1edbc), th\u00ec c\u00e1c tham s\u1ed1 \u01b0\u1edbc t\u00ednh s\u1ebd nh\u1ea5t qu\u00e1n v\u00e0 kh\u00f4ng c\u1ea7n \u0111i\u1ec1u ch\u1ec9nh c\u00e1c \u1ea3nh h\u01b0\u1edfng c\u1ee7a t\u01b0\u01a1ng quan chu\u1ed7i.<\/p>\n

Tuy nhi\u00ean, n\u1ebfu m\u1ed9t trong c\u00e1c bi\u1ebfn \u0111\u1ed9c l\u1eadp l\u00e0 gi\u00e1 tr\u1ecb b\u1ecb tr\u1ec5 c\u1ee7a bi\u1ebfn ph\u1ee5 thu\u1ed9c, th\u00ec t\u01b0\u01a1ng quan chu\u1ed7i s\u1ebd g\u00e2y ra t\u00ednh kh\u00f4ng nh\u1ea5t qu\u00e1n v\u00e0 \u01b0\u1edbc t\u00ednh gi\u00e1 tr\u1ecb kh\u00f4ng h\u1ee3p l\u1ec7 c\u1ee7a c\u00e1c tham s\u1ed1 th\u1ef1c. V\u00ed d\u1ee5: L\u1ee3i nhu\u1eadn c\u1ee7a t\u00edn phi\u1ebfu kho b\u1ea1c c\u1ee7a th\u00e1ng tr\u01b0\u1edbc l\u00e0 m\u1ed9t bi\u1ebfn \u0111\u1ed9c l\u1eadp trong m\u00f4 h\u00ecnh h\u1ed3i qui Fisher.<\/p>\n

Ki\u1ec3m tra t\u00ednh t\u01b0\u01a1ng quan chu\u1ed7i<\/font><\/h3>\n

C\u00f3 nhi\u1ec1u c\u00e1ch ki\u1ec3m tra v\u1ec1 t\u01b0\u01a1ng quan chu\u1ed7i trong m\u00f4 h\u00ecnh h\u1ed3i qui, nh\u01b0ng c\u00e1ch ph\u1ed5 bi\u1ebfn nh\u1ea5t l\u00e0 d\u1ef1a tr\u00ean th\u1ed1ng k\u00ea \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n b\u1edfi Durbin v\u00e0 Watson (1951):<\/p>\n

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C\u00f4ng th\u1ee9c c\u1ee7a m\u00f4 h\u00ecnh Durbin\u2013Watson. Trong \u0111\u00f3, \u03b5t<\/sub> l\u00e0 s\u1ed1 d\u01b0 (sai s\u1ed1) c\u1ee7a giai \u0111o\u1ea1n t trong m\u00f4 h\u00ecnh h\u1ed3i qui<\/p>\n<\/figcaption><\/figure>\n

N\u1ebfu ph\u01b0\u01a1ng sai c\u1ee7a sai s\u1ed1 kh\u00f4ng \u0111\u1ed5i theo th\u1eddi gian v\u00e0 c\u00e1c sai s\u1ed1 c\u0169ng kh\u00f4ng t\u01b0\u01a1ng quan chu\u1ed7i th\u00ec ta c\u00f3 c\u00f4ng th\u1ee9c th\u1ed1ng k\u00ea Durbin\u2013Watson s\u1ebd x\u1ea5p x\u1ec9 b\u1eb1ng 2:<\/p>\n

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C\u00f4ng th\u1ee9c<\/p>\n<\/figcaption><\/figure>\n

N\u1ebfu m\u1eabu r\u1ea5t l\u1edbn, th\u1ed1ng k\u00ea c\u1ee7a Durbin\u2013Watson s\u1ebd x\u1ea5p x\u1ec9 b\u1eb1ng 2 x (1 – r), Trong \u0111\u00f3 r l\u00e0 m\u1ed1i t\u01b0\u01a1ng quan gi\u1eefa sai s\u1ed1 c\u1ee7a m\u1ed9t kho\u1ea3ng th\u1eddi gian v\u1edbi kho\u1ea3ng th\u1eddi gian tr\u01b0\u1edbc \u0111\u00f3.<\/p>\n

Ph\u00e9p t\u00ednh g\u1ea7n \u0111\u00fang n\u00e0y r\u1ea5t h\u1eefu \u00edch v\u00ec n\u00f3 cho th\u1ea5y gi\u00e1 tr\u1ecb c\u1ee7a c\u00e1c m\u1ee9c \u0111\u1ed9 t\u01b0\u01a1ng quan chu\u1ed7i. Th\u1ed1ng k\u00ea Durbin\u2013Watson c\u00f3 gi\u00e1 tr\u1ecb t\u1eeb 0 (trong tr\u01b0\u1eddng h\u1ee3p t\u01b0\u01a1ng quan chu\u1ed7i c\u1ee7a +1) \u0111\u1ebfn 4 (trong tr\u01b0\u1eddng h\u1ee3p t\u01b0\u01a1ng quan chu\u1ed7i c\u1ee7a \u22121):<\/p>\n

– N\u1ebfu h\u1ed3i qui kh\u00f4ng c\u00f3 t\u01b0\u01a1ng quan chu\u1ed7i, th\u00ec sai s\u1ed1 s\u1ebd kh\u00f4ng t\u01b0\u01a1ng quan theo th\u1eddi gian v\u00e0 gi\u00e1 tr\u1ecb c\u1ee7a th\u1ed1ng k\u00ea Durbin\u2013Watson s\u1ebd b\u1eb1ng 2 x (1 – 0) = 2.<\/p>\n

– N\u1ebfu sai s\u1ed1 c\u00f3 t\u01b0\u01a1ng quan d\u01b0\u01a1ng, th\u00ec th\u1ed1ng k\u00ea Durbin\u2013Watson s\u1ebd nh\u1ecf h\u01a1n 2. V\u00ed d\u1ee5: N\u1ebfu t\u01b0\u01a1ng quan chu\u1ed7i c\u1ee7a sai s\u1ed1 l\u00e0 1, th\u00ec gi\u00e1 tr\u1ecb c\u1ee7a th\u1ed1ng k\u00ea Durbin\u2013Watson s\u1ebd l\u00e0 0.<\/p>\n

– N\u1ebfu sai s\u1ed1 c\u00f3 t\u01b0\u01a1ng quan \u00e2m, th\u00ec th\u1ed1ng k\u00ea Durbin\u2013Watson s\u1ebd l\u1edbn h\u01a1n 2. V\u00ed d\u1ee5: N\u1ebfu t\u01b0\u01a1ng quan chu\u1ed7i c\u1ee7a sai s\u1ed1 -1, th\u00ec gi\u00e1 tr\u1ecb c\u1ee7a th\u1ed1ng k\u00ea Durbin\u2013Watson s\u1ebd l\u00e0 4.<\/p>\n

C\u00e1ch kh\u1eafc ph\u1ee5c l\u1ed7i t\u01b0\u01a1ng quan chu\u1ed7i<\/font><\/h3>\n

C\u00f3 hai ph\u01b0\u01a1ng ph\u00e1p kh\u1eafc ph\u1ee5c l\u1ed7i t\u01b0\u01a1ng quan chu\u1ed7i:<\/p>\n

– Ph\u01b0\u01a1ng ph\u00e1p th\u1ee9 nh\u1ea5t: Ch\u00fang ta c\u00f3 th\u1ec3 \u0111i\u1ec1u ch\u1ec9nh c\u00e1c l\u1ed7i ti\u00eau chu\u1ea9n cho c\u00e1c tham s\u1ed1 h\u1ed3i qui tuy\u1ebfn t\u00ednh \u0111\u1ec3 t\u00ednh to\u00e1n t\u01b0\u01a1ng quan chu\u1ed7i.<\/p>\n

– Ph\u01b0\u01a1ng ph\u00e1p th\u1ee9 hai: Ch\u00fang ta c\u00f3 th\u1ec3 t\u1ef1 s\u1eeda \u0111\u1ed5i ph\u01b0\u01a1ng tr\u00ecnh h\u1ed3i qui \u0111\u1ec3 lo\u1ea1i b\u1ecf t\u01b0\u01a1ng quan chu\u1ed7i.<\/p>\n

Ph\u01b0\u01a1ng ph\u00e1p th\u1ee9 nh\u1ea5t t\u1ed1i \u01b0u h\u01a1n v\u00ec ph\u01b0\u01a1ng ph\u00e1p th\u1ee9 hai c\u00f3 th\u1ec3 d\u1eabn \u0111\u1ebfn \u01b0\u1edbc t\u00ednh tham s\u1ed1 kh\u00f4ng nh\u1ea5t qu\u00e1n. Hai ph\u01b0\u01a1ng ph\u00e1p ph\u1ed5 bi\u1ebfn n\u00e0y \u0111\u1ec1u \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n b\u1edfi Hansen (1982) v\u00e0 Newey v\u00e0 West (1987). Ch\u00fang l\u00e0 ti\u00eau chu\u1ea9n trong nhi\u1ec1u ph\u1ea7n m\u1ec1m th\u1ed1ng k\u00ea. \u01afu \u0111i\u1ec3m kh\u00e1c c\u1ee7a c\u00e1c ph\u01b0\u01a1ng ph\u00e1p n\u00e0y l\u00e0 ch\u00fang \u0111\u1ed3ng th\u1eddi s\u1eeda l\u1ed7i cho t\u00ednh\u00a0ph\u01b0\u01a1ng sai thay \u0111\u1ed5i<\/font>.<\/p>\n

(T\u00e0i li\u1ec7u tham kh\u1ea3o:\u00a0CFA level II, , Quantitative methods<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n T\u01b0\u01a1ng quan chu\u1ed7i\/T\u1ef1 t\u01b0\u01a1ng quan (ti\u1ebfng Anh: Serial Correlation\/Autocorrelation) l\u00e0 m\u1ed1i quan h\u1ec7 gi\u1eefa m\u1ed9t bi\u1ebfn v\u00e0 phi\u00ean b\u1ea3n tr\u1ec5 c\u1ee7a n\u00f3 trong c\u00e1c kho\u1ea3ng th\u1eddi gian kh\u00e1c nhau.\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\/24508"}],"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=24508"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/24508\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=24508"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=24508"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=24508"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}