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การประยุกต์ใช้ ARIMA Model เพื่อการวิจัย
การประยุกต์ใช้ ARIMA Model เพื่อการวิจัย
การประยุกต์ใช้ ARIMA Model เพื่อการวิจัย
ARIMA Model
Application of ARIMA Model for Research
*
Jindamas Sutthichaimethee
*
*Lecturer Plan and Policy Analyst, Ministry of Science and Technology
101
102
S U D D H I P A R I T A D
Non Stationary
Stationary Cointegration Error Correction Mechanism (ECM)
(The Best Model)
: //
S U D D H I P A R I T A D
Abstract
This article is intended to create The Best Model ARIMA Model, which
applies to the variable structure called ARIMAX Model. Statistics Model of
steps and can take the model used for forecasting the maximum efficiency.
For information on the system economy, most will look a Non
Stationary, so researchers need to be updated to look as Stationary and if
the data is Co-integration parties is essential to introduce the Error Correction
Mechanism assembly in that model and The Best Model to create a model
estimating the correct and appropriate for that type of information will
result in the forecast errors are low and can be used to accurately follow.
Keyword : Structure Variable / Time Series Data / The Best Model
103
104
S U D D H I P A R I T A D
1.
(Model)
Box-Jenkins
(Model)
BoxJenkins George E.P. Box
Gwilym M.Jenkins .. 1970
ARIMA Model
.. 1994
BoxJenkins
(Time Series Data)
Stochastic Process
Stationary Time Series
Nonstationary Time Series
(Stationary)
Stationary
(Actual Value)
Model
2. ARIMA
BoxJenkins
ARIMA Model
1.Stationary Y
Stochastic Variable Time Series
Stationary
3
Mean :
t
E(Yt) = E(Yt-k) =
Variance :
Var(Y ) = E(Y - ) = E(Y - ) =
Covariance :
E [(Y - ) (Y - ) ] =
Covariance
Y (Time)
3
Stationary
Stationary Stochastic Process
Stationary
(Mean or Expected
Value) (Variance)
(Covariance)
(Constant Over Time)
(Distance or Lag)
t
t -k
t -k
S U D D H I P A R I T A D
105
1 Stationary
Nonstationary
Nonstationary
Mean :
E(Y ) = E(Y ) = t
Variance :
Var(Y ) = E(Y - ) = E(Y - ) = t
Covariance :
E [(Y - ) (Y - ) ] = t
Nonstationary Stochastic Process
t
Nonstationary
Random Walk
t-k
t -k
t -k
2 Nonstationary
106
S U D D H I P A R I T A D
Stationary
Dickey Fuller (DF), Augmented Dickey
and Fuller (ADF)
Nonstationary
Unit Root
Nonstationary
Unit Root Regression
Model Ordinary Least Square (OLS)
(Significance)
Spurious
Regression ( , 2549)
Non
stationary Stationary Weak
Stationary First
Moment Second Moment
Strictly Stationary
Moment
Moment
Moment
2
Stationary
Nonstationary
Observation
(Shock)
Stationary
Nonstationary
Model
Nonstationary
(Long Run Mean Level) (
, 2544)
Stationary
Dickey Fuller (DF) Augmented
Dickey Fuller (ADF)
Dickey Fuller Test
Augmented Dickey Fuller Test Unit
Root Test DickeyFuller
Nonstationary
(Difference Regression)
First Order Autoregressive
Process 3
. Y = Y + (Random Walk
Process Pure Random Walk)
. Y = +Y + (Random Walk
with Drift Intercept)
. Y = + T + Y + (Random
Walk with Drift Linear Time Trend
Drift Term T T )
Y =
=
(Coefficient of Lagged)
= Error Term
, Mean = 0,
Variance =
(Hypothesis) Unit Root
Test
H0 : = 0, Nonstationary
H : < 1, Stationary
t
t-1
t-1
t-1
S U D D H I P A R I T A D
Yt
Nonstationary
Accept H0 = 0
Exponential
Explosive
. Yt = Yt-1 + t
(1)
(1)
(Mean)
(Drift Term)
. Yt =1+Yt-1 + t (2)
1 = (Drift Term)
(2)
Unit Root Test
Trend Stationary (TS)
Difference Stationary (DS)
. Yt =1+ 2T + Yt-1 + t
T =
(Time Trend)
2 =
t
Stationary
0 2 t ~ IID,
(0, 2)
(Time Series) First Difference
Stationary
Difference Stationary
Yt = Yt-1
107
Yt = 1+ 2T + Yt - 1 + t (4)
(4)
Level H Accept
H0 Nonstationary = 0
Tau Statistics
Absolute Term
DF Critical Absolute Term
t
White Noise
Autocorrelation
Augmented Dickey Fuller (ADF)
Goodness of Fit
Dickey Fuller
(DF)
(Lagged)
(Dependent Variable)
Autocorrelation
(Hypothesis) Unit Root
Test
H0 : = 0, Nonstationary
H : < 1, Stationary
Level Reject H0
Accept H
Stationary 0
Tau Statistics
Absolute Term
ADF Critical Absolute Term
t
White Noise
Stationary Yt
Integrated d
108
S U D D H I P A R I T A D
/=pi2
Yt ~ I (d)
Yt =
Yt =
(6)
Yt =
(7)
(5)
p =
(Lagged Values of First Difference of the
Variable)
(5), (6)
(7)
Augmented Dickey Fuller (6)
Yt =
DF ADF
ADF Error Term
White Noise
Error Term Mean
2. Cointegration
Eagle and Granger
Cointegration
(Time Series) 2
(Steady State)
Stationary
Engle Granger
Cointegration
(Error)
Cointegrating
Regression
(Hypothesis) Reject H0
Stationary
(Linear Combination)
Cointegration
DickeyFuller (DF)
Augmented DickeyFuller (ADF)
Cointegration
1
Integrated
(Dependent Variable : Yt )
(Independent Variable : Xt )
Unit Root Test Integrated
Cointegration
Integrated
2 Cointegrating
Parameter
(Error Term) Ordinary
Least Squares (OLS)
ut = Yt- - Xt
(8)
3 ut
Stationary ut
(Linear Combination) White Noise
Augment Dickey
109
S U D D H I P A R I T A D
Fuller (ADF)
Autocorrelation
Reject H0
Accept H Tau Test
(Absolute)
Tau Critical MacKinnon
ut
Stationary Unit Root Yt
Xt
(Cointegration) Reject
H Accept H0 ut
Nonstationary Unit Root
Yt Xt
(NonCointegration)
3. Error Correction Mechanisms (ECM)
Cointegration
(Short Run
Dynamic Adjustment)
(Model)
(Macro Model)
ECM ECM
ECM Model
Co integration
Stationary
Cointegration
ECM
Yt =
(9)
(9)
(ECM Model)
(Error Team : ut - i )
Model
Yt Xt
ECM Model
()
Y t
() Yt
3. ARIMA Model
ARIMA Model
BoxJenkins
4 (1) (Identification) (2) (Parameter Estimator) (3)
(Diagnostic Checking) (4)
(Forecast)
1. (Identification)
Box Jenkins
Stationary invertible
. Autoregressive Model of
Order p AR(p)
Yt = + Y + Y + ... + Y + (10)
(10)
1 t-1
1 t-2
p t-p
110
S U D D H I P A R I T A D
AR (1)
Yt = + Y +
(11)
| 1 | < 1
Stationary
l AR (2)
Yt = + Y + Y +
(12)
- < 1
Stationary
q
(Moving Average Model of Order q)
MA(q)
Yt = + t - 1 t - 1- 2 t - 2- ... - 2 t - 1
(13)
(13)
l MA(1)
Yt = + t - 1 t - 1
(14)
| 1 | < 1
Invertible or Stationary
l
1 t-1
1 t-1
2 t-2
MA(2)
Yt = + t - 1 t - 1 - 2 t - 2
(15)
1 + 2 < 1, 2 + 1< 1
| 1 | < 1
Invertible or Stationary
.
Autoregressive p q (Mixed
Autoregressive and Moving Average
Model of Order p and q) ARMA
(p, q)
Yt = + 1Yt - 1 + 2Yt - 2 + ... + pYt - p + t
- 1 t - 1 -
2 t - 2 - ... - q t - q
ARMA(1, 1)
Yt = + Y +
(16)
| 1 | < 1
Stationary
| 1 | < 1
Invertible or Stationary
. Integrated
Autoregressive (Autoregressive Integrated
Moving Average) ARIMA(p, d, q)
d (Different Term)
l ARIMA(0,1,1) IMA(1,1)
Yt - Yt - 1 = + t - 1 t - 1 (17)
| 1 | < 1
Invertible or Stationary
l ARIMA(1,1,0) ARI(1,1)
Yt - Yt - 1 - (Y + Y ) = + (18)
| 1 | < 1
Stationary
l
1 t-1
t-1
t-1
S U D D H I P A R I T A D
ARIMA(1,1,1)
Yt - Yt - 1 - (Y + Y ) = + - 1 t - 1
(19)
| 1 | < 1, | 1 | < 1
Invertible or
Stationary
l ARIMA(0,1,0)
Yt - Yt - 1 =
(20)
. Integrated
Autoregressive (Seasonal
Autoregressive Integrated Moving Average)
SARIMA(p, d, q)L d
L
Yt - Yt - 12 = - * t - 12
| 1 | < 1
Yt - Yt - 12 =
12
* = (Parameter)
(Seasonal Moving Average Model)
2. (Parameter Estimation)
(Parameter Estimation)
1
(Ordinary Least Square : OLS)
l
t-1
t-1
111
3. (Diagnostic
Checking)
2
.
0
tstatistic
H0 : = 0 H : 0
t = / S
(21)
=
S =
. Box Pierce Chi
Square Test ( Q ) Box Pierce
112
/ 2,(k - np)
2
S U D D H I P A R I T A D
(22) Q
ChiSquare
(Degree of
Freedom) k - n p
Q
Q
4. (Forecast)
4. ARIMA Model
ARIMA Model Statistics
Model
Structure Variables
ARIMAX Model
ARIMAX Model
ARIMA Model
ARIMAX Model
1
1
2538-2547 ARIMA
Model 1-4
2548
-
Autoregressive Integrated Moving
Average X (ARIMAX)
ARIMA
ARIMA
3
Stationary
(Determine Order of Integration)
Cointegration
ARIMAX
()
S U D D H I P A R I T A D
=
t
=
t - i
=
t-i
=
t - i
=
t - i
ECM = Error Correction Mechanism
MA(i) = Moving Average
i
= (GDP)
t - i
= t
=
(First Difference)
=
t
()
=
t
=
t - i
= t - i
=
t - i
=
t
ECM = Error Correction Mechanism
MA(i) = Moving Average
i
113
= (GDP)
t - i
= t
=
(First Difference)
t
()
=
t
=
t - i
= t - i
=
t - i
ECM = Error Correction Mechanism
MA(i) = Moving Average
i
= (GDP)
t - i
= t
= (First Difference)
t
Stationary
114
S U D D H I P A R I T A D
9
( ),
( ), ( ),
( ),
( ), ( ),
( ),
(Et ) (GDP)
(It ) ARIMAX
Sta-
Lag
ADF Test
1 Unit
Root (At Level)
Status
1%
5%
10%
-3.2138
-4.2191
-3.5331
-3.1983
I(0)
-2.4634
-4.2191
-3.5331
-3.1983
I(0)
-1.3101
-4.2191
-3.5331
-3.1983
I(0)
-3.2676
-4.2191
-3.5331
-3.1983
I(0)
-2.6385
-4.2191
-3.5331
-3.1983
I(0)
-1.4694
-4.2191
-3.5331
-3.1983
I(0)
-1.7578
-4.2191
-3.5331
-3.1983
I(0)
-1.9339
-4.2191
-3.5331
-3.1983
I(0)
-8.9689
4.2191
-3.5331
-3.1983
I(0)
: Logarithm
115
S U D D H I P A R I T A D
It Trend Stationary
It )
Nonstationary
Stationary (Differencing)
First
Differencing Stationary
Two
Unit Root
Unit Root First Differencing
1 ADF Test
Statistic (Level)
Nonstationary
ADF (Critical)
1%
5% Box Jenkins
Lag
ADF Test
Status
1%
5%
10%
- 6.2169
- 4.2268
- 3.5366
- 3.2003
I(1)
- 6.0058
- 4.2268
- 3.5366
- 3.2003
I(1)
- 4.3705
- 4.2268
- 3.5366
- 3.2003
I(1)
- 5.2999
- 4.2268
- 3.5366
- 3.2003
I(1)
- 6.6846
- 4.2268
- 3.5366
- 3.2003
I(1)
- 4.8247
- 4.2268
- 3.5366
- 3.2003
I(1)
- 4.6358
- 4.2268
- 3.5366
- 3.2003
I(1)
- 3.4325
- 4.2268
- 3.5366
- 3.2003
I(1)
: Logarithm
116
S U D D H I P A R I T A D
2
Stationary (Unit Root Test)
(At First Difference)
ADF TStatistic
(MacKinnon Critical Value)
Stationary
1%, 5%
10% Differencing
ARIMAX
Model
(Cointegration Test)
Stationary
Cointegration
Co
integration
Cointegration
Stationary
Integrated (I(d))
Cointegration ADF (
Statistic) (MacKinnon
Critical Value) 3
1%, 5% 10%
Residual Stationary
Error Correction Mechanism
Co
integration
Residual x
Status
1%
5%
10%
-3.3441
- 2.6272
-1.9499
-1.6115
I(0)
Residual y
-3.5094
- 2.6272
-1.9499
-1.6115
I(0)
Residual z
-8.2431
- 2.6272
-1.9499
-1.6115
I(0)
: Residual x = Residual
Residual y = Residual
Residual z = Residual
S U D D H I P A R I T A D
3. ARIMAX
(), ()
()
= 0.86181
+ 0.32296
0.95722
+
(23.12164)***(5.08672) ***
(42.50558) ***1.52574 +
0.60955
0.12175
+ (23.76910)***(8.60323) ***
(2.57628)** 0.93264
+
0.78845
0.68147
+ (3.88292)***(2.73838)***
(0.68148)***0.000134
(9.10267)*** ()
2
R
= 0.811650
2
Adjust R
= 0.741019
LM Statistic = 7.53944
ARCH Test
= 0.123382
Ramsey RESET Test = 0.001763
Jarque Bera = 0.341645
: tstatistic
*** 1%
** 5%
* 10%
= 0.34076
0.99002
1.28113
+(1.47138)
(595634.7) ***(3.65073) ***
1.04543
+ 1.30037
0.86857
+
(3.57268)*** (1.79248)*
(3.48704) ***0.00003
(2.91406)***
()
117
= 0.342569
2
Adjust R
= 0.236531
LM Statistic
= 5.346580
ARCH Test
= 0.551461
Ramsey RESET Test = 0.444123
Jarque Bera = 0.379525
R2
= 0.78347
0.88538
+1.03606
+(9.25121)***
(20.2410) ***(2.10172)**
1.21828
0.30323
+ 0.00009
(2.12692)**
(3.33231)*** (4.75533)*** ()
2
R
= 0.810356
2
Adjust R
= 0.776491
LM Statistic
= 2.363755
ARCH Test
= 0.709357
Ramsey RESET Test = 0.171932
Jarque Bera = 0.747478
1 - 4 2548
118
S U D D H I P A R I T A D
2548
52,011
55,413
48,040
52,000
54,955
49,000
58,324
53,981
39,281
59,945
54,080
40,141
53,215
45,008
25,423
55,084
44,978
23,504
50,453
47,121
35,441
49,897
46,015
32,421
0.05
0.02
0.01
4
The Best Model
ARIMA Model
Correlogram
5.
The Best
Model
Box-Jinkins
(Actual)
ARIMA Model ARIMAX
Model
The Best
Model
S U D D H I P A R I T A D
119
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. 1, : , 2553.
. . 1,
: , 2553.
. . 1,
: , 2553.
. (2553)
. .
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nd