T c tng tr ng ti m nng GDP Vi t nam c l ng theo phng php Watson

1. M hnh Watson (1986) a ra phng php phn tch chu i s li u (log) GDP thnh hai thnh ph n, (log) GDP ti m nng (k hi u y t ) v (log) GDP chu k ( ct ), s d ng m hnh state-space. M hnh ny cho php c l ng nh ng bi n s khng quan st c (state) d a vo cc bi n s quan st c (space) sau khi c gi nh v m i quan h gi a hai thnh t ny. C hai thnh ph n y t v ct khng th o c/th ng k tr c ti p nn c coi l cc state variables.

y t = y t + ct

(1)

Watson (1986) cho r ng y t bi n i theo th i gian theo d ng random walk with drift, trong thnh t drift ( g t ), l t c tng tr ng ti m nng, cng l m t random walk process:

y t = g t 1 + y t 1 + t
g t = g t 1 + ut

(2) (3)

Thnh ph n GDP chu k ct c gi ct = 1ct 1 + 2 ct 2 + vt (4)

nh thay

i theo m hnh AR(2):

Nh v y bi u th c (2), (3), (4) bi u di n 3 bi n s khng quan st c v s l cc state equations trong m hnh state-space. Bi u th c (1) l signal equation, ngha l s li u th c t quan st c, hay cn g i l space equation. Phng php ph bi n nh t xc nh cc thnh t trong h (1)-(4) l s d ng Kalman's filter v m t s bi n th c a n. Bi vi t ny s d ng cng c Kalman filter c a Eviews 6.0.

2. c l ng S li u GDP theo qu c a VN c l y t Datastream b t u t Q4 1998 (5 qu u tin c m t s hi u ch nh v c l ng v s li u g c khng y ). Chu i s li u ny c x l y u t ma v b ng k thu t X12. y l m t chu i kh ng n cho vi c c l ng 5 bi n s c a m hnh (1)-(4), b i v y k t qu c l ng s khng chnh xc v ch c tnh tham kh o k thu t. xc nh s li u ban u (initial values) cho Kalman filter, ti dng HP filter phn tch chu i GDP thnh hai chu i y t v ct t m th i. Sau dng OLS t m c l ng 1 , 2 v variance cho vt , variance cho t v ut c c l ng tr c ti p t k t qu c a HPF. V i nh ng s li u ny v chu i GDP c a Vi t nam (sau X12), ti c l ng c t c tng tr ng GDP ti m nng c a Vi t nam cho giai o n 2000:Q12011:Q1 nh sau:

G_SS
.084 .080 .076 .072 .068 .064 .060 .056 99 00 01 02 03 04 05 06 07 08 09 10

Nh v y t c tng tr ng ti m nng c a Vi t nam dao ng trong kho ng 6%-8% trong 10 nm v a qua (tnh theo quarterly SAAR). So v i phng php HPF, t c tng tr ng ti m nng tnh theo phng php ny cao hn v t nh mu n hn. Tuy nhin c hai phng php u cho th y tng tr ng ti m nng c a VN gi m r t m nh v cha ph c h i l i k t cu c kh ng ho ng ti chnh v a r i. M t i m c n lu l qu 4 nm 2009 v 2010 c t c tng tr ng tng t bi n r t " ng ng " nh ti ch ra tr c y. N u lo i tr 2 qu ny ra th tng tr ng ti m nng c a VN n m d i 6.4% trong lin t c 2 nm qua.

Reference Watson M., 1986, Univariate detrending methods with stochastic trends, Journal of Monetary Economics, 18.

Appendix: Eview 6 code

pagecreate(page=quarterly) q 1998q4 2011q2 read(c3, s=Sheet1) "C:\GDP\GDP.xls" 1 gdp.x12(mode=m) gdp=log(gdp_sa) gdp.hpf gdp_hp genr gap=gdp-gdp_hp scalar v_gap=@var(gap) genr drift=@d(gdp_hp) scalar v_m=@var(drift) 'initial estimate equation px_z.ls gap = c(1)*gap(-1) + c(2)*gap(-2) vector ini_z=px_z.@coefs scalar v_z=(px_z.@se)^2 'state-space sspace vngdp genr y=(gdp) vngdp.append @signal y=ybar+z vngdp.append @state ybar = g(-1) + ybar(-1) + [var=(c(1))] vngdp.append @state g=g(-1) + [var=(c(2))] vngdp.append @state z = c(3)*z(-1) + c(4)*z1(-1) + [var=(c(5))] vngdp.append @state z1=z(-1) vector(4) mstate mstate.fill gdp_hp(1), drift(1), gap(1), 0 group tmp tmp.append gdp_hp drift gap gap(-1) stom(tmp,vtmp) matrix vstate0=@cov(vtmp) sym vstate=vstate0 c(1)=v_gap c(2)=v_m c(3)= ini_z(1) c(4)=ini_z(2) c(5)=v_z vngdp.append @mprior mstate vngdp.append @vprior vstate vngdp.ml vngdp.makestates *f genr g_ss=gf*4 g_ss.line