KẾT QUẢ MINH HỌA CÁC BƯỚC PHÂN TÍCH TRÊN STATA DÀNH CHO TIME SERIES DATA (DỮ LIỆU CHUỖI THỜI GIAN) Các nội dung trao đổi (1) Nhập liệu, Các câu lệnh nền tảng, Thống kê, Tương quan(2) Mô hình hồi quy tuyến tính Các phép kiểm định sau mô hình (Đa cộng tuyến, Phương sai thay đổi, Sự tự tương quan)(3) Kiểm định Tính dừngTạo biến sai phân, Tính đồng liên kết(4) Tìm độ trễ phù hợp cho mô hình, Kiểm định nhân quả Granger(5) Mô hình VAR, VECM, ARDL
Trang 1Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA
KẾT QUẢ MINH HỌA CÁC BƯỚC PHÂN TÍCH TRÊN STATA DÀNH CHO TIME SERIES DATA (DỮ LIỆU CHUỖI THỜI GIAN)
encode weekly,gen(time)
tsset time
time variable: time, 1 to 204
delta: 1 unit
sum btc oil gold
Variable | Obs Mean Std Dev Min Max
-+ -
btc | 204 2480.591 3732.954 208.1 17706.9
oil | 204 53.71265 13.44025 29.42 97.65
gold | 204 1236.067 71.91159 1058.41 1366.4
pwcorr btc oil gold,sig
| btc oil gold
-+ -
btc | 1.0000
|
|
oil | 0.2695 1.0000
| 0.0001
|
gold | 0.4958 0.2653 1.0000
| 0.0000 0.0001
|
Ví dụ minh họa này được thể hiện bởi các biến sau:
- Biến phụ thuộc: btc
- Biến độc lập: oil, gold ĐĂNG KÝ HỌC TRỰC TUYẾN STATA QUA ZALO: 0905392489
***TỪ CƠ BẢN ĐẾN NÂNG CAO***
***CÓ ĐẦY ĐỦ TÀI LIỆU & DỮ LIỆU***
***ĐA DẠNG CÁC LOẠI DỮ LIỆU***
Trang 2Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA reg btc oil gold
Source | SS df MS Number of obs = 204
-+ - F(2, 201) = 36.48
Model | 753297073 2 376648537 Prob > F = 0.0000
Residual | 2.0755e+09 201 10325852.5 R-squared = 0.2663
-+ - Adj R-squared = 0.2590
Total | 2.8288e+09 203 13934942.9 Root MSE = 3213.4
-
btc | Coef Std Err t P>|t| [95% Conf Interval]
-+ -
oil | 41.21131 17.40451 2.37 0.019 6.892469 75.53016
gold | 23.69398 3.252896 7.28 0.000 17.2798 30.10816
_cons | -29020.34 3885.433 -7.47 0.000 -36681.78 -21358.9
-
vif
Variable | VIF 1/VIF
-+ -
gold | 1.08 0.929590
oil | 1.08 0.929590
-+ -
Mean VIF | 1.08
estat bgodfrey
Breusch-Godfrey LM test for autocorrelation
-
lags(p) | chi2 df Prob > chi2
-+ -
1 | 89.383 1 0.0000
-
H0: no serial correlation
estat dwatson
Durbin-Watson d-statistic( 3, 204) = 6655622
Trang 3Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA estat durbinalt
Durbin's alternative test for autocorrelation
-
lags(p) | chi2 df Prob > chi2
-+ -
1 | 155.969 1 0.0000
-
H0: no serial correlation
estat imtest,white
White's test for Ho: homoskedasticity
against Ha: unrestricted heteroskedasticity
chi2(5) = 24.43
Prob > chi2 = 0.0002
Cameron & Trivedi's decomposition of IM-test
-
Source | chi2 df p
-+ -
Heteroskedasticity | 24.43 5 0.0002
Skewness | 10.03 2 0.0067
Kurtosis | 4.22 1 0.0399
-+ -
Total | 38.67 8 0.0000
-
estat hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of btc
chi2(1) = 51.57
Prob > chi2 = 0.0000
Trang 4Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA reg btc oil gold,vce(robust)
Linear regression Number of obs = 204
F(2, 201) = 34.92
Prob > F = 0.0000
R-squared = 0.2663
Root MSE = 3213.4
-
| Robust
btc | Coef Std Err t P>|t| [95% Conf Interval]
-+ -
oil | 41.21131 18.47577 2.23 0.027 4.780124 77.64251
gold | 23.69398 3.091476 7.66 0.000 17.5981 29.78987
_cons | -29020.34 3670.371 -7.91 0.000 -36257.71 -21782.97
-
dfuller btc
Dickey-Fuller test for unit root Number of obs = 203
- Interpolated Dickey-Fuller -
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
-
Z(t) -4.720 -3.476 -2.883 -2.573
-
MacKinnon approximate p-value for Z(t) = 0.0001
dfuller oil
Dickey-Fuller test for unit root Number of obs = 203
- Interpolated Dickey-Fuller -
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
-
Z(t) -3.820 -3.476 -2.883 -2.573
-
MacKinnon approximate p-value for Z(t) = 0.0027
Trang 5Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA dfuller gold
Dickey-Fuller test for unit root Number of obs = 203
- Interpolated Dickey-Fuller -
Test 1% Critical 5% Critical 10% Critical
Statistic Value Value Value
-
Z(t) -5.872 -3.476 -2.883 -2.573
-
MacKinnon approximate p-value for Z(t) = 0.0000
vecrank btc oil gold
Johansen tests for cointegration Trend: constant Number of obs = 202 Sample: 3 - 204 Lags = 2 - 5%
maximum trace critical
rank parms LL eigenvalue statistic value
0 12 -3519.1494 47.4165 29.68
1 17 -3505.7662 0.12410 20.6502 15.41
2 20 -3498.1921 0.07225 5.5019 3.76
3 21 -3495.4412 0.02687
-
varbasic btc oil gold,lags(1/6)
Vector autoregression
Sample: 7 - 204 Number of obs = 198
Log likelihood = -3404.229 AIC = 34.96191
FPE = 3.07e+11 HQIC = 35.34507
Det(Sigma_ml) = 1.72e+11 SBIC = 35.90853
Equation Parms RMSE R-sq chi2 P>chi2
-
btc 19 2147.07 0.7058 475.0182 0.0000
oil 19 4.89621 0.8355 1005.925 0.0000
gold 19 49.0714 0.5830 276.8248 0.0000
-
-
| Coef Std Err z P>|z| [95% Conf Interval]
-+ -
Trang 6Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA
btc |
btc |
L1 | .3542388 .0722149 4.91 0.000 2127002 .4957773
L2 | .2984486 .0753942 3.96 0.000 1506787 .4462185
L3 | -.065839 .0783305 -0.84 0.401 -.219364 .0876859
L4 | .0373816 .0782815 0.48 0.633 -.1160474 .1908106
L5 | .178035 .0753952 2.36 0.018 0302632 .3258068
L6 | .1166573 .0727066 1.60 0.109 -.025845 .2591596
|
oil |
L1 | 3.690463 32.47784 0.11 0.910 -59.96493 67.34586
L2 | 20.4813 38.1316 0.54 0.591 -54.25526 95.21785
L3 | -13.69411 38.30835 -0.36 0.721 -88.77709 61.38887
L4 | -1.169097 38.4412 -0.03 0.976 -76.51247 74.17427
L5 | 14.97348 38.31845 0.39 0.696 -60.1293 90.07626
L6 | -21.08409 31.43334 -0.67 0.502 -82.6923 40.52412
|
gold |
L1 | .4016252 3.290742 0.12 0.903 -6.04811 6.85136
L2 | -1.827566 3.59732 -0.51 0.611 -8.878183 5.223051
L3 | 1.577025 3.601654 0.44 0.661 -5.482088 8.636138
L4 | -.2026692 3.599646 -0.06 0.955 -7.257845 6.852507
L5 | 1.976498 3.582762 0.55 0.581 -5.045586 8.998583
L6 | 1.575818 3.263266 0.48 0.629 -4.820067 7.971703
|
_cons | -4147.213 3748.917 -1.11 0.269 -11494.96 3200.53
-+ -
oil |
btc |
L1 | .0001564 .0001647 0.95 0.342 -.0001663 .0004792
L2 | -.0000163 .0001719 -0.09 0.924 -.0003533 .0003206
L3 | -.0000201 .0001786 -0.11 0.910 -.0003702 00033
L4 | .0000264 .0001785 0.15 0.882 -.0003234 .0003763
L5 | -.0000454 .0001719 -0.26 0.792 -.0003824 .0002916
L6 | .0001353 .0001658 0.82 0.414 -.0001897 .0004603
|
oil |
L1 | .5966507 .074063 8.06 0.000 4514898 .7418115
L2 | .1365484 .0869559 1.57 0.116 -.0338821 .3069789
L3 | -.0455542 .087359 -0.52 0.602 -.2167747 .1256663
L4 | .0254174 .087662 0.29 0.772 -.1463969 .1972317
L5 | .1481334 .087382 1.70 0.090 -.0231323 .3193991
L6 | -.0034109 .0716811 -0.05 0.962 -.1439033 .1370815
|
gold |
L1 | -.0098943 .0075043 -1.32 0.187 -.0246024 .0048138
L2 | -.0020139 .0082034 -0.25 0.806 -.0180922 .0140645
L3 | .0031547 .0082133 0.38 0.701 -.012943 .0192524
L4 | .0058635 .0082087 0.71 0.475 -.0102253 .0219522
L5 | .0039079 .0081702 0.48 0.632 -.0121054 .0199212
Trang 7Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA
L6 | .0050425 .0074416 0.68 0.498 -.0095428 .0196278
|
_cons | -.814733 8.549095 -0.10 0.924 -17.57065 15.94119
-+ -
gold |
btc |
L1 | .0013514 .0016505 0.82 0.413 -.0018835 .0045862
L2 | .0005997 .0017231 0.35 0.728 -.0027776 003977
L3 | -.0000992 .0017902 -0.06 0.956 -.003608 .0034096
L4 | .0001699 .0017891 0.09 0.924 -.0033368 .0036765
L5 | .0002019 .0017232 0.12 0.907 -.0031755 .0035792
L6 | .0001651 .0016617 0.10 0.921 -.0030918 003422
|
oil |
L1 | -.9910209 .7422825 -1.34 0.182 -2.445868 463826
L2 | .9941007 .8714994 1.14 0.254 -.7140067 2.702208
L3 | .572516 .875539 0.65 0.513 -1.143509 2.288541
L4 | -.7754237 .8785754 -0.88 0.377 -2.4974 .9465523
L5 | .2396505 .8757699 0.27 0.784 -1.476827 1.956128
L6 | -.503311 .7184104 -0.70 0.484 -1.911369 .9047474
|
gold |
L1 | .4168207 07521 5.54 0.000 2694117 .5642296
L2 | .1172469 .0822169 1.43 0.154 -.0438953 278389
L3 | -.0030631 .082316 -0.04 0.970 -.1643994 .1582733
L4 | .1125086 .0822701 1.37 0.171 -.0487378 .2737549
L5 | .1078904 .0818842 1.32 0.188 -.0525996 .2683805
L6 | .078346 .0745821 1.05 0.294 -.0678323 .2245242
|
_cons | 229.7954 85.68167 2.68 0.007 61.86238 397.7284
-
varsoc
Selection-order criteria
Sample: 7 - 204 Number of obs = 198
+ -+ |lag | LL LR df p FPE AIC HQIC SBIC | | + -| | 0 | -3757.84 6.3e+12 37.9883 38.0084 38.0381 | | 1 | -3455.62 604.44 9 0.000 3.3e+11 35.0265 35.1071 35.2258 |
| 2 | -3429.65 51.941 9 0.000 2.8e+11* 34.8551* 34.9962* 35.2038* |
| 3 | -3426.71 5.8885 9 0.751 2.9e+11 34.9162 35.1179 35.4144 | | 4 | -3417.35 18.721 9 0.028 2.9e+11 34.9126 35.1747 35.5603 | | 5 | -3406.88 20.929* 9 0.013 2.9e+11 34.8978 35.2204 35.6949 | | 6 | -3404.23 5.3031 9 0.807 3.1e+11 34.9619 35.3451 35.9085 | + -+ Endogenous: btc oil gold
Exogenous: _cons
Trang 8Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA varbasic btc oil gold,lags(1/2)
Vector autoregression
Sample: 3 - 204 Number of obs = 202
Log likelihood = -3495.441 AIC = 34.81625
FPE = 2.65e+11 HQIC = 34.9554
Det(Sigma_ml) = 2.15e+11 SBIC = 35.16018
Equation Parms RMSE R-sq chi2 P>chi2
-
btc 7 2181.75 0.6710 411.965 0.0000
oil 7 4.9301 0.8555 1195.793 0.0000
gold 7 49.0411 0.5489 245.7913 0.0000
-
-
| Coef Std Err z P>|z| [95% Conf Interval]
-+ -
btc |
btc |
L1 | .4597702 .067002 6.86 0.000 3284488 .5910916
L2 | .3912541 .0676756 5.78 0.000 2586124 .5238957
|
oil |
L1 | 2.008926 31.916 0.06 0.950 -60.54528 64.56313
L2 | 4.112748 30.9697 0.13 0.894 -56.58675 64.81225
|
gold |
L1 | 1.723003 3.262963 0.53 0.597 -4.672288 8.118294
L2 | 80394 3.223106 0.25 0.803 -5.513231 7.121111
|
_cons | -3013.525 3288.465 -0.92 0.359 -9458.799 3431.748
-+ -
oil |
btc |
L1 | .0001903 .0001514 1.26 0.209 -.0001065 000487
L2 | -.0000228 .0001529 -0.15 0.882 -.0003225 000277
|
oil |
L1 | .6796253 .0721206 9.42 0.000 5382715 .8209791
L2 | .2146843 .0699823 3.07 0.002 0775216 351847
|
gold |
L1 | -.0069252 .0073733 -0.94 0.348 -.0213766 .0075263
L2 | .0054021 .0072833 0.74 0.458 -.0088728 019677
|
_cons | 6.905984 7.430949 0.93 0.353 -7.658409 21.47038
-+ -
Trang 9Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA
gold |
btc |
L1 | .0019803 .0015061 1.31 0.189 -.0009715 .0049321
L2 | .0008251 .0015212 0.54 0.588 -.0021564 .0038066
|
oil |
L1 | -.9076225 .7174043 -1.27 0.206 -2.313709 498464
L2 | .6970902 .6961335 1.00 0.317 -.6673064 2.061487
|
gold |
L1 | .4956269 .0733445 6.76 0.000 3518743 .6393795
L2 | .2256714 .0724486 3.11 0.002 0836747 .3676681
|
_cons | 348.6949 73.91776 4.72 0.000 203.8188 493.5711
-
vargranger
Granger causality Wald tests
+ -+
| Equation Excluded | chi2 df Prob > chi2 |
| -+ -|
| btc oil | 25508 2 0.880 |
| btc gold | 87727 2 0.645 |
| btc ALL | 1.261 4 0.868 |
| -+ -|
| oil btc | 2.5854 2 0.275 |
| oil gold | 91342 2 0.633 |
| oil ALL | 3.4936 4 0.479 |
| -+ -|
| gold btc | 5.8054 2 0.055 |
| gold oil | 1.7955 2 0.407 |
| gold ALL | 6.9825 4 0.137 |
+ -+
Trang 10Liên hệ Zalo 24/7: 0905392489 Phân tích SPSS 0905392489 (Youtube) Hướng dẫn Phân tích STATA vec btc oil gold,lags(2/2)
Vector error-correction model
Sample: 3 - 204 Number of obs = 202
AIC = 34.87887
Log likelihood = -3505.766 HQIC = 34.99152
Det(Sigma_ml) = 2.38e+11 SBIC = 35.15729
Equation Parms RMSE R-sq chi2 P>chi2
-
D_btc 5 2199.94 0.2296 58.71876 0.0000
D_oil 5 5.04654 0.0895 19.35363 0.0017
D_gold 5 49.0641 0.2284 58.31273 0.0000
-
-
| Coef Std Err z P>|z| [95% Conf Interval]
-+ -
D_btc |
_ce1 |
L1 | -.065306 .0397682 -1.64 0.101 -.1432503 .0126382
|
btc |
LD | -.4345669 .0668044 -6.51 0.000 -.5655011 -.3036328
|
oil |
LD | -7.789311 31.54864 -0.25 0.805 -69.62351 54.04488
|
gold |
LD | -1.565185 3.23906 -0.48 0.629 -7.913627 4.783257
|
_cons | .2628764 161.2926 0.00 0.999 -315.8649 316.3906
-+ -
D_oil |
_ce1 |
L1 | .0001619 .0000912 1.77 0.076 -.0000169 .0003407
|
btc |
LD | .0000237 .0001532 0.15 0.877 -.0002766 .0003241
|
oil |
LD | -.2404535 .0723709 -3.32 0.001 -.3822979 -.0986092
|
gold |
LD | -.0008552 .0074302 -0.12 0.908 -.0154182 .0137078
|
_cons | -.0421841 .3699966 -0.11 0.909 -.7673642 .6829959
-+ -