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Kinh t lng v d bo GVHD: inh Kim

LI CM N

Em xin gi li cm n chn thnh ti:

- Ban Gim Hiu v cc thy c ang cng tc ti trng i hc Cng

Nghip Thnh ph H Ch Minh to iu kin v thi gian, c s vt cht gip

chng em c c thun li trong sut qu trnh hc tp ti trng.

- Th.S inh Kim tn tnh hng dn ch bo chng em hon thnh

ng v ni dung ca bi tiu lun qua chng em c th hc tt mn Kinh t

lng v d bo, mt trong nhng iu kin tr thnh mt nh kinh t ti gii trong

tng lai.

TP H Ch Minh, ngy 20 thng 11 nm 2011

Nguyn Th Kim Yn 3 Mssv: 09205301

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NHN XT CA GING VIN

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LI M U

Kinh t lng l mt mn khoa hc ra i trong nhng nm 30 ca th k 20. S rai ca kinh t lng lin quan n vic pht trin rng ri nhng php ton v thng

k trong cc lnh vc a ngnh nh: sinh vt hc, tm l hc, x hi hc, c bit victon hc ha c ch trng nhiu n lnh vc kinh t.

Kinh t lng l tp hp cc cng c nhm mc ch d bo cc bin s kinh t. VEviews l mt cng c c u im chnh l c th cho chng ta kt qu nhanh chngkhi tin hnh c lng, phn tch v hm hi quy cho cc m hnh kinh t.

Do khi thc hin ti tiu lun s 17 lin quan ti phn tch m hnh v d bogi bn nh ti qun Cam bang California vi bin ph thuc l SALEPRIC v 4 binc lp SQFT, GARAGE, CITY, AGE, em s dng phn mm Eviews 6 cho titiu lun ny. Qua cc bc t ra cc gi thit lin quan, thit lp m hnh, c lngtham s ca m hnh, phn tch kt qu m hnh xem c ph hp hay khng v i tiquyt nh c s dng n vo trong d bo.


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TL S 17

Phn I : trn ExcelS dng d liu Data BT 11 trn Excel, dngRegression trnData Analysis c

lng hm hi quy mu c dng sau :

SALEPRIC = B1 + B2*SQFT + B3*GARAGE +B4*CITY + B5*AGESALEPRIC : gi bn nh ti qun Cam,bang California (nghn USD)

SQFT : din tch nh tnh bng feet vungGARAGE : s ch u xe hi trong garageCITY : = 1 i vi nh Coto de Caza, = 0 nu Dove CanyonAGE : tui th cn nh tinh theo nm

Phn II : trn Eviewsa/ Hy chuyn d liu t file Excel phn 1 sang thnh d liu di dng workfile

ca Eviews v lu li di tn : Data TL 17. Sau dng cng c Eviews :- Lp bng cc tham s thng k ca cc bin c lp, v th cc bin c lp

trn cng mt bng.- Lp ma trn Correlation Matrix gm c bin ph thuc v tt c cc bin c lp.- c lng phng trnh hi quy di dng nh cu phn I

b/ Hy kim nh Wald ( bin tha ) cho 4 bin c lp nu trnc/ T m hinh cu a phn II hy kim nh White v BG cho m hnh nyd/ Hy d bo gi tr trung bnh v gi tr c bit ca gi bn nh theo m hnh sau:

SALEPRIC = C1 + C2*SQFT + C3*GARAGE +C4*CITY + C5*AGE

Cho bit: SQFT = 7400, GARAGE = 4 ,CITY = 0, AGE = 10V tin cy 1- = 95% .

Biu din trc quan th d bo bng cch v th khong d bo trung bnh, dbo c bit, tng ng vi cc cn trn v cn di theo s quan st lm bin trn trchonh chung cho cc i lng khc.


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BNG S LIU

S liu c cho nh sau:

SALEPRIC: Gi bn tnh bng nghn USDSQFT:Din tch nh tnh bng feet vungGARAGE: S ch u xe hiCITY: =1 nu nh city Ct de Caza, = 0 nu Dove CanyonAGE: Tui th ca nh tnh bng nm

obs SALEPRIC SQFT GARAGE CITY AGE1 350 2583 3 0 52 360 3308 3 0 33 365 2926 3 0 24 372 3050 3 0 85 373 3528 3 0 36 373 2830 3 0 47 375 3521 3 0 78 349 3003 3 0 49 380 3230 3 0 8

10 380 3230 3 0 711 380 3230 3 0 712 380 2900 3 0 713 380 3080 3 0 314 370 3080 3 0 315 380 3525 3 0 416 385 3050 3 0 717 385 3050 3 0 818 389 3528 3 0 419 390 2680 3 0 320 390 3500 3 0 821 390 3521 3 0 722 390 2700 3 0 223 392 2662 3 0 424 392 3371 3 0 325 392 3371 3 0 426 393 3371 3 0 327 395 2900 3 0 428 395 3275 3 0 829 399 3080 3 0 230 400 3155 3 0 331 400 3155 3 0 3


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32 400 3308 3 0 733 399.9 3371 3 0 234 400 3050 3 0 735 401 2789 3 0 436 402.5 3275 3 0 737 405 3180 3 0 838 405 3512 3 0 839 407 3275 3 0 640 410 3512 3 0 841 410 2789 3 0 442 412 3371 3 0 343 412 3275 3 0 644 415.984 3155 3 0 345 416 3757 3 0 246 418 3275 3 0 747 419.95 3879 3 0 248 425 3275 3 0 549 425 3515 3 0 250 426 3700 3 0 551 430 3110 3 0 952 430 3770 3 0 953 432 3512 3 0 754 432 3371 3 0 255 434 3367 3 0 856 435 3700 3 0 557 439.402 3515 3 0 258 440 3770 3 0 759 440 3413 3 0 260 565 3500 3 0 361 605 3757 3 0 262 609.9 3757 3 0 763 620 3879 3 0 364 653 4035 3 0 265 670 4035 3 0 266 440 3525 3 0 467 445 3308 3 0 668 459.9 3528 3 0 469 449.96 3515 3 0 270 450 3371 3 0 471 450 3528 3 0 472 459.5 3757 3 0 273 460 2600 2 0 3


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74 549.95 2879 3 0 375 460 4000 3 0 576 462 3757 3 0 277 449.9 3500 4 0 378 464.82 3515 3 0 279 464.9 3308 3 0 680 465 3100 3 0 881 457.325 3879 3 0 282 449.95 3515 3 0 383 475 3929 3 0 584 475 4000 3 0 685 419.95 3879 3 0 286 479.95 4136 3 0 287 480 3512 3 0 988 482.75 3879 3 0 289 489.95 3879 3 0 290 490 4035 3 0 291 495 3500 4 0 492 497.5 3770 3 0 893 499.9 4035 3 0 294 500 3800 3 0 895 510 4035 3 0 296 510 3500 4 0 497 514.9 4018 3 0 898 514.9 3308 3 0 899 527.5 3757 3 0 2

100 535 4035 3 0 2101 535 3879 3 0 3102 539 3854 3 0 3103 539 3500 3 0 4104 547 4035 3 0 2105 552 4136 3 0 3106 556.7 3700 4 0 3107 480 2865 3 1 11108 485 3384 3 1 5109 485 3568 3 1 8110 487 3384 3 1 4111 490 3305 3 1 9112 492 3227 3 1 4113 495 3295 3 1 8114 504 3259 3 1 5115 505 3668 3 1 7


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116 517 3685 3 1 9117 520 3350 3 1 3118 525 2800 3 1 11119 526 3170 3 1 8120 529 3300 3 1 9121 530 3475 3 1 11122 530 3380 3 1 9123 531.05 3620 3 1 1124 532.5 3305 3 1 9125 535 3475 2 1 19126 535 3305 3 1 8127 535 3900 3 1 8128 540 4389 3 1 8129 540 3305 3 1 9130 545 3500 3 1 11131 547.5 3369 3 1 10132 571 3485 3 1 11133 550 3920 3 1 6134 555 3475 3 1 10135 555 3781 3 1 8136 560 2735 3 1 11137 560 3390 3 1 8138 560 3700 3 1 9139 562 3668 3 1 7140 565 4089 2 1 8141 565 4170 3 1 1142 570 2812 3 1 10143 570 4010 3 1 9144 570 3379 3 1 9145 575 3920 3 1 5146 575 3865 3 1 12147 575 4579 3 1 8148 580 3968 4 1 2149 580 3750 4 1 8150 583 4000 3 1 8151 585 3457 3 1 9152 589 3400 3 1 9153 590 3427 3 1 2154 591 4500 3 1 8155 597.5 3970 3 1 9156 600 4818 3 1 10157 600 4600 3 1 6


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158 600 3685 3 1 8159 600 3457 3 1 11160 610 3700 3 1 8161 620 4100 3 1 1162 625 4300 3 1 2163 625 3820 3 1 5164 627.5 4160 3 1 1165 629.9 3712 3 1 1166 640 4200 3 1 7167 645 4000 3 1 7168 651 4500 3 1 9169 657 3818 3 1 13170 663 3885 4 1 2171 675 3968 3 1 2172 690 4839 3 1 9173 695 3637 3 1 2174 700 4335 3 1 2175 700 4300 3 1 3176 710 4870 3 1 7177 712.95 4459 4 1 0178 720 3741 3 1 10179 730 4400 3 1 8180 730 4500 3 1 2181 740 4579 3 1 8182 749 3450 3 1 8183 750 4402 3 1 9184 750 4350 3 1 6185 760 4400 3 1 8186 765 4600 3 1 2187 774.95 4024 4 1 0188 780 3900 3 1 2189 795 3900 3 1 4190 814 4000 3 1 7191 842 4569 3 1 7192 880 4581 3 1 2193 885 5000 3 1 6194 920 5000 5 1 8195 925 4650 4 1 2196 925 4300 3 1 9197 925 4400 3 1 7198 944 4387 4 1 1199 981 4970 4 1 1


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200 985 5126 3 1 9201 994 5076 4 1 1202 2600 8685 5 1 16203 2900 11000 3 1 9204 1010 5517 4 1 1205 1100 5500 3 1 2206 1100 4900 3 1 2207 1112 5800 3 1 2208 1120 8300 3 1 7209 1135 5506 4 1 1210 1235 6000 5 1 5211 1350 5475 4 1 2212 1380 6649 3 1 5213 1395 5400 4 1 9214 1400 10000 4 1 3215 1400 5862 4 1 2216 1425 7000 3 1 9217 1475 6338 4 1 8218 1520 6593 5 1 2219 1600 7000 5 1 5220 1625 8300 4 1 8221 1750 7338 4 1 1222 1775 9500 4 1 8223 1800 7948 5 1 1224 2500.5 9000 7 1 11

Phn 1: Trn Excel

c lng hm hi quy trn Excel ta vo Tools Data Analysis Regression OK ta c bng kt qu nh sau:


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Da vo bng trn ta c :

B1 = -752.9956 ; B2 = 0.220565B3 = 135.4504 ; B4 = 87.24892B5 = 6.214612

Vy hm hi quy mu l:

SALEPRIC = -752.9956+ 0.220565*SQFT + 135.4504*GARAGE+87.24892*CITY + 6.214612*AGE

ngha ca hm hi quy:


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- Trong iu kin cc yu t khc khng i, khi din tch cn nh tng ln 1 feetvung th gi bn nh ti qun Cam bang California tng ln 0,220565 nghnUSD.

- Trong iu kin cc yu t khc khng i nu s ch u xe tng ln 1 th gibn nh ti qun Cam bang California tng ln 135,45 nghn USD.

- Trong iu kin cc yu t khc khng i nu nh Coto de Caza th gi bnnh ti qun Cam bang California tng ln 87,25 nghn USD.- Trong iu kin cc yu t khc khng i nu tui ca cn nh tng ln 1 th

gi bn ca cn nh tng ln 6, 215 nghn USD.

Phn 2 : Trn Eviews

a) Chuyn d liu t file Excel sang d liu d liu Workfile ca Eviews v luli di tn: Data DL 17.

Bng cc tham s thng k ca cc bin c lp


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Mean : Gi tr trung bnh.Median : Trung v.Maximum : Gi tr ln nht.Minimum : Gi tr nh nht.Std.Dev. (Standard Deviation) : lch chun.Skenewness : bt cn xng.Kurtosis : nhn.

Jarque-Bera : gi tr phn phi Jarque-Bera dng kim nh phn phi chun.Probability : Gi tr xc sut ti hn.Sum : Tng cc gi tr.Sum Sq.Dev. (Sum Square Deviation) : Tng bnh phng cc sai s chun.Observations : S quan st.

Nhn xt:

lch chun ca bin SQFT l ln (1275.312), cho thy phn tn ca n xungquanh gi tr trung bnh cao, t gi tr nh nht l 2583 n gi tr ln nht l 11000.

Do bin SQFT trong cc quan st khng c mc tng ng cao, m ri rc rt nhiu gi tr rt khc nhau.

lch chun ca bin GARAGE = 0.519634, CITY = 0.500400 v AGE = 3.254414th tng i nh cho thy phn tn ca cc bin xung quanh gi tr trung bnh thp.Da vo gi tr Min, Max l thy rng cc bin ny trong cc quan st c mc tng ng.

th cc bin c lp:


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Ma trn Correlation Matrix gm c bin ph thuc v tt c bin c lp

Nhn xt:

Quan st ta thy bin c lp SQFT gii thch rt tt cho bin SALEPRIC, 91.93%.Bin c lp GARAGE gii thch tng i tt cho bin SALEPRIC, 65.36%.BinNguyn Th Kim Yn 16 Mssv: 09205301

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c lp CITY gii thch tng i tt cho bin SALEPRIC,50.33%. Bin AGE giithch khng tt lm cho bin SALEPRIC, 8.999%.

Mc tng quan gia bin SQFT v cc bin GARAGE v CITY tng i kh lnln lt l 58.18% v 42.75%.

c lng phng trnh hi quy:

M hnh hi quy l:

SALEPRIC = -752.9956 + 0.220565 * SQFT + 135.4504 * GARAGE + 87.24892 *CITY + 6.214612 * AGE

Nhn xt bng hi quy:

H s xc nh R2 l 0.884225 tc l cc bin c lp gii thch c cho binph thuc ti 88.44225%. ph hp ca m hnh ny l kh cao.

Gi tr kim nh Fisher l 418.1480 tng i ln nn ta c th kt lun mhnh c tnh hp l v bn vng cao.

P-value ca tt c cc bin c lp u nh hn 0.05 nn ta c th ni phhp (c mt) ca cc bin c lp l rt tt.

Vy y l m hnh tt v bn vng.


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b) Kim nh Wald (bin tha) cho 4 bin c lp:

Nhn xt:

Da vo bng kt qu trn, ta thy gi tr p-value = 0.0000 < 0.05 (mc ngha=5%) nn ta bc b gi thit. Ngha l c 4 bin c lp SQFT, GARAGE, CITY,AGE u ng thi nh hng n bin ph thuc SALEPRIC, iu c nghahm hi quy mu ph hp.

Kim nh Wald (bin tha) cho bin c lp: SQFT


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Nhn xt:

T bng kt qu trn, ta thy P-value = 0.0000 < 0.05 (mc ngha = 5%) nn ta bc

b gi thit. => Bin SQFT thc s l mt bin cn thit cho m hnh.


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Kim nh Wald (bin tha) cho bin c lp: GARAGE

Nhn xt:

T bng kt qu trn cho thy: gi tr P-value = 0.0000 < 0.05 (mc ngha = 5%)nn ta bc b gi thit.

Bin GARAGE thc s l mt bin cn thit cho m hnh.

Kim nh Wald (bin tha) cho bin c lp: CITY


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Nhn xt:


Bin CITY thc s l mt bin cn thit cho m hnh.

Kim nh Wald (bin tha) cho bin c lp: AGE


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Nhn xt:


Bin AGE thc s l mt bin cn thit cho m hnh.

Qua vic thc hin kim nh Wald cho 4 bin ri ln lt cho tng bin, ta nhn thyc 4 bin SQFT, GARAGE, CITY, AGE u cn thit cho m hnh, khng tha vkhng gy nh hng khng tt cho m hnh.

c) Kim nh White


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T bng kt qu trn ta thy:

Obs*R-squared =nR2 = 165.7949 > X2(df) = X20.05(13)= 22.3620324948

ta bc b gi thit Ho, tc l m hnh hi quy xy ra hin tng phng saithay i.

Do ta khc phc hin tng phng sai thay i, ta dng phng php FGL hi quy li phn d sau kim nh li phng sai gim ti a phngsai thay i.

Kim nh BG


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T bng c lng ta chn View / Residual Tests/ Serial Correlation LM Test.V trong ca s Lag Speciffication, mc Lags to includeta chn p=1 (p l bc tngquan hay cn gi l tr trong tng quan). Chn OK ta c bng kt qu sau y.

Theo bng kt qu trn (n-p)R2= 1.844992 c xc sut (p-value) l 0.1744 lnhn mc ngha = 0.05, nn ta chp nhn gi thit Ho, tc l khng c t tngquan bc nht.

D bo gi tr trung bnh v gi tr c bit ca gi bn nh theo m hnh

SALEPRIC = C1 + C2*SQFT + C3*GARAGE +C4*CITY + C5*AGE


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B1: Ta c lng m hnh hi quy

B2: To thm bin quan st th (n+1) in cc gi tr ca cc bin c lp


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B3: Ta ln lt t tn bin d bo cho bin ph thuc (SALEPRIC) l Salepricf, chobin sai s d bo (sai s d bo SE(Yo)) l Se_1dubao, v vi SE (Yo^) l Se_2dubao,tip n tnh tr s tra bng t/2(n-k) c t tn l Tinv.

C th trn ca s Equation c cha phng trnh hi quy, chn Forecast


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Lp bin Se_2dubao thng qua Se_1dubao v Sigma c lng

tnh gi tr t/2(n-k) vi n-k=224-5=219, /2= 2.5%.Ta vo dng trng dng thaotc lnh trn Workfile chnh, g ScalarTinv=@qtdist(0.975,219).

B4: Thit lp cc cn trn (Upper) v cn di (Lower) cho cc khong d bo trungbnh(TB) v c bit (CB)

Ta vo dng trng dng thao tc lnh trn Workfile chnh, ln lt to cc lnh

Genr UpperTB=salepricf + tinv*Se_2dubao

Genr LowerTB=salepricf - tinv*Se_2dubaoGenr UpperCB=salepricf + tinv*Se_1dubao

Genr LowerCB=salepricf - tinv*Se_1dubao

T bng gi tr cc bin trn y cho ta bit :

Gi tr ca khong d bo gi tr trung bnh ca gi bn nh ti qun Cam Californiatng ng vi din tch nh SQFT = 7400 feet vung, s ch u xe hi GARAGE =4, nh Dove Canyon CITY =0, tui th AGE = 10 nm l: [ 1410.144; 1556.127 ]

V khong d bo c bit tng ng l: [ 1221.441; 1744.830 ]

B5: V th

mailto:Tinv%3D@qtdist(0.975,219)mailto:Tinv%3D@qtdist(0.975,219)

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D bo gi tr trung bnh

th biu din khong d bo gi tr trung bnh


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Nhn xt:

th biu din kh trc quan, ta c th nhn thy cc gi tr trung bnh rt gn vigi tr thc ca n => d bo rt ng tin cy.

th gi tr trung bnh ny c khong cch gia cn trn v cn di kh ngn nnvic d bo chnh xc s tt hn trong ngn hn nhng s gp kh khn trong di hn.

D bo gi tr c bit

th biu din khong d bo gi tr c bit


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Nhn xt: th gi tr c bit ny c khong cch gia cn trn v cn di xa hn

so vi trong d bo trung bnh nhng vic d bo s tt hn trong di hn.KT LUN CHUNG

Cc kim nh v d bo cho ta thy cc bin SQFT, GARAGE, CITY, AGE l nhngbin tht s cn thit v c tc ng, nh hng n SALEPRIC (gi bn nh ti qunCam bang California).

y l mt m hnh tng i bn vng v hp l. Ta c th da vo kt qu kho stv d bo a vo d n thc t.


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N Th Ki Y 31 M 09205301

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