Eviews Guide Under 140203 M

HNG DN THC HNH EVIEWS 4 BI DNG HI HKTQD 2014

www.mfe.edu.vn/buiduonghai 1

I HC KINH T QUC DN KHOA TON KINH T

B MN TON KINH T

TI LIU HNG DN THC HNH KINH T LNG BNG PHN MM EVIEWS 4.0

Tc gi: Bi Dng Hi www.mfe.edu.vn/buiduonghai

Lu hnh ni b

C b sung so vi bn nm 2013

H NI, 1 / 2014



MC LC

M U ........................................................................................ 3

1 S LIU DNG TRONG EVIEWS ..................................... 6

2 NHP S LIU T BN PHM X L S LIU ......... 9

3 C LNG M HNH HI QUY N ........................ 18

4 C LNG M HNH HI QUY BI ......................... 23

5 M HNH VI BIN GI .................................................. 31

6 NH DNG PHNG TRNH HI QUY ...................... 37

7 HIN TNG A CNG TUYN .................................... 41

8 HIN TNG PHNG SAI SAI S THAY I .......... 44

9 M HNH VI S LIU CHUI THI GIAN ................ 53

10 T TNG QUAN V M HNH C BIN TR ........ 61

Chng trnh Eviews4 c th ti v ti trang mng Khoa Ton kinh t - i hc Kinh t quc dn: www.mfe.edu.vn Th vin D liu - phn mm a ch trn cng l ni c th ti v ti liu hng dn ny, v cc th mc s liu. Cc thc mc, trao i xin vui lng gi th cho tc gi theo a ch th in t: [email protected]



M U Eviews l phn mm c thit k ring cho cc m hnh kinh t lng v chui thi gian. Phn mm ny ph hp cho ging dy v hc tp kinh t lng cho i tng sinh vin i hc v sau i hc. Hin nay (1/2013) c phin bn thng mi Eviews7, t phin bn Eviews5 c yu cu ci t cng nh bn quyn. Eviews4 khng yu cu ci t v bn quyn, c th ti v t trang mng khoa Ton kinh t. Khi nm c cc k nng vi Eviews4, vic chuyn sang thc hnh vi cc phin bn cao hn l hon ton tng t. Do ph hp vi thc trng ti Vit Nam, vi mc tiu to iu kin thun li nht cho sinh vin, ti liu ny c vit cho thc hnh phin bn Eviews4. Vi s i mi ca gio trnh v chng trnh ging dy Kinh t lng ti i hc Kinh t quc dn t nm 2013, ni dung hng dn thc hnh cng c s thay i ph hp. Ni dung trc ht s s dng cc s liu cho, sau thc hin vi s liu chui thi gian. Tp chy chng trnh Eviews c biu tng l . Nhn vo biu tng ca Eviews, ca s chnh ca chng trnh xut hin. Ca s chnh ca chng trnh Eviews gm cc phn:

- Thanh chc nng: thc hin cc thao tc c chng trnh nh sn, tng t nh cc chng trnh chy trong Windows.

- Ca s lnh: bn di thanh chc nng l ni vit lnh trc tip. C th dng chut ko rng ca s lnh ty .

- Thanh ch dn: xc nh ng dn n tp ang s dng. - Cc nt thu nh, m rng ca s, v thot khi chng trnh.



C th khng cn s dng chut m dng bn phm chn la cc nt. n v gi phm Alt trn bn phm, trn dng task bar cc la chn s t ng gch chn cc ch ci. Khi phm Alt v nhn phm tng ng vi ch ci tng ng s cho kt qu ging nh khi dng chut chn nt . V d: Khi gi phm Alt, g phm F tng ng vi nhn chut vo nt File; ch E tng ng vi nt Edit.

- Ngn cch phn nguyn v phn thp phn ca mt s, Eviews dng

du chm .

Ca s

lnh

Thanh chc nng

Thanh ch dn

Thot khi

Eviews



Mt s ch th c bn ca Eviews Eviews lm vic vi mt s dng ch th c bn, mi ch th c th lu li v t tn c th d dng s dng khi cn thit. Mt s ch th thng dng gm:

Series: Thng tin v tng bin s. Group: Thng tin v mt s bin s xt cng lc. Graph: Thng tin th. th c th gm th ca mt bin,

th ca nhiu bin, th ca cc bin theo nhau. Equation: Thng tin v mt phng trnh hi quy System: Thng tin v mt h nhiu phng trnh hi quy.

Mt s k hiu dng cho thc hnh

: Thao tc, thc hin thao tc yu cu. V d Chn View : dng chut nhn vo nt View : Kt qu ca thao tc. : Cc thao tc, chn la k tip nhau. V d: File Open: Chn nt File ri nt Open. [?] : Cu hi, cn nm c l thuyt tr li.

Tt c cc cu hi kim nh trong sch u c thc hin vi mc ngha l 5%.

Cp ngoc vung []: do trong Eviews c th m nhiu ca s cng lc, do cp ngoc vung xc nh ca s cn thc hin thao tc. V d [Eviews] l ca s chnh. - ngn gn v thun tin v sau, cc nt trn cc ca s c vit

trong cp du < >, v d: ,



1 S LIU DNG TRONG EVIEWS

Eviews l chng trnh x l s liu, c lng phng trnh hi quy, phn tch chui thi gian, do vic hiu r v s liu l iu cn thit. hiu r cu trc s liu c qun l v x l bi Eviews, m mt s b s liu v quan st cc s liu sau. M b s liu cho (cross-section) Ti ca s chnh, chn File Open

Trong la chn Open, c bn dng nh dng tp c th m:

- Dng Workfile: l tp d liu v thc hin cc phn tch thng thng. y l dng c bn, trong tp c th lu s liu, cc th, cc phng trnh hi quy, kt qu c lng.

- Dng Database: c s d liu, bao gm nhiu nh dng. - Dng Program: cc chng trnh c lp trnh trc - Dng Text File: cc tp lu tr dng vn bn



Chn dng Workfile, l dng thng thng nht tnh ton x l s liu vi Eviews. Chn th mc DATA2012, tp s liu YWKM, ca s Workfile m ra. Trn ca s ny c mt s thng tin:

- Dng trn cng: Tn ca Workfile v ng dn - Cc nt vi cc chc nng khc nhau, s c cp sau - Khong s liu v Mu t 1 n 100

Bn di ca ca s, lit k cc ch th m Workfile ang qun l, gm: c k m resid tc w y. Nhn vo nt Label+/-, xut hin cc thng tin v thi gian khi to cc s liu ny, v ch thch v ba bin. Hai ch th c resid khng c ch thch, v y l hai ch th c bit dng lu cc thng tin ring. Thng tin ca mt bin s thng thng bao gm: - Tn bin: Ti a 24 k t ch gm ch v s, khng c du cch, bt u bi ch ci. - Nhn bin: ch thch v ngha ca bin - Tn s: nu s liu cho th nh s th t, nu chui thi gian th theo th t thi gian - Gi tr ca bin: o lng bng s, du ngn cch vi phn thp phn l du chm. Khi cha c gi tr th k hiu l NA (not available)

c : ch th cha cc h s tnh c t cc phng trnh hi quy, cc m hnh. Khi cha c kt qu hi quy t phng trnh no, cc gi tr ca C c gn bng 0

resid: l chui nhn s nhn gi tr l phn d t c c t vic c lng cc phng trnh hi quy. Khi cha c phng trnh hi quy, cc gi tr Resid u cha c.



Nhn p chut tri vo k, ca s [Series: K] m ra. Ct ngoi cng bn tri obs th t ca quan st t 1 n 100, cc gi tr ca bin K c lit k theo cc quan st t ct tip theo trong bng. Chn resid, m ca s [Series: RESID] vi cc gi tr u l NA v cha c kt qu tnh ton no c thc hin. Ti ca s [Workfile], s dng chut nh du (bi en) cc bin t K, M, TC, Y, W nhy chut phi, chn Open as Group, tt c cc bin u c lit k trong cng mt ca s [Group]. M b s liu c tn s theo Qu M b s liu mi, ti ca s [Eviews] File New, chn tp VNQ_GDP. B s liu c th hin t 2004:1 n 2012:3, vi mt ch s sau du :. Vi cch th hin ny, s liu l t Qu 1 nm 2004 n Qu 3 nm 2012. Chn bin bt k, chng hn GDP, m ra di dng ca s [Series]. Vi ca s ny, tn sut bin c chu k 1, 2, 3, 4, 1, th hin y l s liu Qu. M b s liu c tn s theo Thng M b s liu mi, ti ca s [Eviews] File New, chn tp VNM_EXIM. B s liu c th hin t 2004:01 n 2008:12, vi hai ch s sau du :, th hin l s liu t Thng 1 nm 2004 n Thng 12 nm 2008. bit ngha cc bin, chn nt Label trn thanh chc nng ca ca s [Workfile].



2 NHP S LIU T BN PHM X L S LIU

Xt b s liu v d sau c m phng v 12 h gia nh, vi X2 l tng tin lng, X3 l tng thu nhp khc, Y l tng chi tiu.

STT X2

(Lng) X3

(TN khc) Y

(Chi tiu) 1 20 16 24.4 2 30 10 31.2 3 28 2 29.2 4 24 0 23.6 5 32 18 36.0 6 36 10 31.4 7 32 16 32.6 8 34 24 36.8 9 24 28 32.8 10 22 20 29.8 11 28 8 30.2 12 30 4 26.8

Thc hin nhp b s liu trn v lu li di dng mt tp chuyn dng ca Eviews.

2.1 nh dng tn s v nhp s liu

Ti ca s chnh ca Eviews, thun tin, ng ca s nh ang m (nu c) Chn File New : Ca s [Workfile Range]: tn s ca s liu. Du la chn c ngm nh t ti la chn Annual



Frequency - tn s ca s liu Tn s v nh dng

V d u cui ngha

Annual (Nm) yyyy

Start: 1991 End: 2005

15 quan st theo nm, t nm 1991 n nm 2005

Semi-annual (Na nm) yyyy:h

Start: 1991:1 End: 2005:2

30 quan st theo na nm, t na u nm 1991 n na sau nm 2005

Quarterly (Qu) yyyy:q

Start: 1991:1 End: 2005:4

60 quan st theo qu, t qu 1 nm 1991 n qu 4 nm 2005

Monthly (Thng) yyyy:mm

Start: 1991:01 End: 2005:12

180 quan st theo thng, t thng 1 nm 1991 n thng 12 nm 2005

Weekly (Tun) mm/dd/yyyy

Start: 01/01/2008 End: 12/01/2008

49 quan st theo tun, t tun c ngy 1 thng 1 nm 2008 n tun c ngy 1 thng 12 nm 2008

Daily [5day] (Ngy: tun 5 ngy) mm/dd/yyyy

Start: 11/12/2008 End: 12/11/2008

22 quan st theo ngy, t ngy 12 thng 11 nm 08 n ngy 11 thng 12 nm 08, khng c ngy cui tun

Daily [7day] (Ngy: tun 7 ngy) mm/dd/yyyy

Start: 11/12/2008 End: 12/11/2008

29 quan st theo ngy, t ngy 12 thng 11 nm 08 n ngy 11 thng 12 nm 08, c ngy cui tun

Undated or Irregular (Quy tc khc)

Start: 1 Start: 30

30 quan st khng theo thi gian, hoc theo thi gian nhng quy tc khc



Vi b s liu v d trn l s liu cho, s quan st t 1 n 12.

Frequency: Undated or irregular Start date: 1 End date: 12 : m ca s Workfile Ca s [Workfile] l ca s qun l vic nhp, lu, x l s liu. Trong ca s Workfile ch c hai bin l cc h s C v phn d Resid. Cn to ba bin s mi v nhp s liu. Ti ca s [Eviews], chn Quick Empty Group (Edit Series)

M ca s [Group] Chn u tin bn phi obs, nhp tn bin l X2, cc bn di t ng chuyn thnh NA, nhp cc gi tr ca bin X2 ng vi cc s liu c. Tip tc vi ct bin X3 v bin Y. Ti ca s [Workfile], biu tng ca X2, X3, v Y xut hin. Nhp nhn bin Cc bin X2, X3 v Y nhp cha c nhn, cn nhp nhn ch thch ngha ca cc bin. Ti ca s [Workfile], nhn chut p vo bin X2, m ca s [Series: X2] chn Name, m ca s [Object Name]



Trong ca s ny, trng trn l tn bin, trng bn di nhp nhn bin. Vi v d ang xt, nhn cho bin X2 l: Luong. Tng t, c th nhp nhn cho bin X3 l Thu nhap khac v bin Y l Chi tieu.

2.2 Sa i s liu v lu s liu

Trng hp cn sa i s liu, v d bin X2 c th thc hin theo trnh t: Chn bin X2, m ca s [Series: X2], chn nt Edit+/- v thay i cc gi tr cn thit. S liu nhp c th lu li di dng tp chuyn dng ca Eviews, c th m v s dng khi cn thit. Ti ca s [Eviews] Chn File Save (hoc Save as) Ca s [SaveAs] : Chn v tr v tn tp.

Cc tp c ui ngm nh l .wf1. S liu nhp phn 2.1 l s liu th. thy c r hn cc thng tin cha ng trong cc bin , cn thc hin tnh cc thng k vi tng bin, xem xt tng quan, th m t v cc bin v mi lin h gia chng.

2.3 V th

M t s liu qua th v cc thng k c trng c bn l x l ban u cn thit i vi cc bin s. Chn X2 v Y, m ca s [Group] ( chn ring cc bin cch nhau, gi phm Ctrl)



V th cc bin theo quan st Lu : dng th ng (line) thng ch dng cho s liu chui thi gian, s liu cho nn chn th ct) [Group] View Graph Bar Kt qu cho th ct ca X2 v Y theo quan st trn cng h ta .

v th ca bin ny theo bin kia, mi bin trn mt trc ta , la chn: [Group] View Graph Scatter Simple Scatter Kt qu cho th im ca bin Y trn trc tung v X2 trn trc honh. Eviews ngm nh bin xp sau nm trn trc tung, bin xp trc nm trc honh. Xc nh c hnh nh ca ng hi quy bng cch chn: [Group] View Graph Scatter Scatter with Regression Ca s [Global Fit Option], nu khng nh dng c bit, chn OK, kt qu l th im vi ng hi quy

16

20

24

28

32

36

40

2 4 6 8 10 12

LUONG CHI TIEU



Lu th C th lu th chn vo cc chng trnh son tho vn bn Ca s [Group] c th, nhn t hp Ctrl+C, m ca s [Graph Metafile], chn OK, m vn bn v nhn Ctrl+V dn th lu. Thay i nh dng th: Ti ca s [Group] c th, chn Freeze, m ca s [Graph]. Vi la chn [Graph] Proc Options : ca s [Graph Option] vi cc la chn cho nh dng. [Graph] Proc Add text: Thm dng ch vo th [Graph] Proc Save Graph: lu th chn vo vn bn [Graph] Name: lu th di dng mt ch th, t tn. Ngoi ra cn nhiu la chn khc vi th Bn cnh cch chn v th t ca s [Graph], c th c cch khc v th: Ca s [Eviews] Quick Graph: chn loi th, v th t ca cc bin v th. V th trn nhiu h ta : mi bin trn mt h ta ring [Group] Multiple Graphs.

22

24

26

28

30

32

34

36

38

16 20 24 28 32 36 40

LUONG

CHI T

IEU

CHI TIEU vs. LUONG



2.4 Thng k m t

Cc thng k m t v cc bin v tng quan gia cc bin l nhng thng tin c bn nh gi v bin. Thng k m t ca cc bin Ca s [Group] View Descriptive Stats Common Sample

X2 X3 Y Trung bnh Mean 28.33333 13.00000 30.40000 Trung v Median 29.00000 13.00000 30.70000 Ti a Maximum 36.00000 28.00000 36.80000 Ti thiu Minimum 20.00000 0.000000 23.60000 lch chun Std. Dev. 4.960450 8.800826 4.063138 H s bt i xng Skewness -0.198458 0.110321 -0.163204 H s nhn Kurtosis 1.965517 1.967268 2.300945

Thng k JB Jarque-Bera 0.613848 0.557609 0.297610 Mc xc sut Probability 0.735706 0.756688 0.861737

Tng Sum 340.0000 156.0000 364.8000 Tng bnh phng chnh lch

Sum Sq. Dev. 270.6667 852.0000 181.6000

S quan st Observations 12 12 12 Thng k JB v P-value dng kim nh v cp gi thuyt:

H0: bin phn phi theo quy lut Chun H1: bin khng phn phi theo quy lut Chun

[?] - Trung bnh, phng sai bin no ln nht, nh nht - Trong mu, cc bin c phn phi lch tri hay lch phi - Qua kim nh JB, cc bin c phn phi chun khng?

H s tng quan [Group] View Correlations Common Sample

X2 Y X2 1.000000 0.636883 Y 0.636883 1.000000



Phng sai - hip phng sai [Group] View Covariances Common Sample

X2 Y X2 22.55556 11.76667 Y 11.76667 15.13333

Kim nh so snh cc bin Kim nh so snh trung bnh, trung v, phng sai ca hai bin [Group] View Test of Equality, m ca s [Test Between Series], c ba la chn kim nh Kim nh s bng nhau ca hai trung bnh: Mean

Test for Equality of Means Between Series Sample: 1 12 Included observations: 12 Method df Value Probability t-test 22 1.116504 0.2763 Anova F-statistic (1, 22) 1.246580 0.2763

Kim nh s bng nhau ca hai phng sai: Variance

Test for Equality of Variances Between Series Included observations: 12 Method df Value Probability F-test (11, 11) 1.490455 0.5190 Siegel-Tukey 0.086621 0.4045 Bartlett 1 0.416188 0.5188 Levene (1, 22) 0.780029 0.3867 Brown-Forsythe (1, 22) 0.747508 0.3966

[?] - C th cho rng trung bnh ca X2 v Y l bng nhau khng? - C th cho rng phng sai ca X2 v Y bng nhau khng?



2.5 t bin mi

Bn cnh cc bin nhp s liu l X2, X3 v Y, c th t cc bin mi t cc bin c hoc nhp bin s mi. V d: cn t bin mi tng thu nhp: Z = X2 + X3 [Eviews] Quick Generates Series: m ca s [Generate Series by Equation] Ti Enter Equation g: Z = X2 + X3 Ti Sample, ngm nh mu m lnh t bin c tc dng l ton b. Khi cn c th thay i mu ny. Nhn OK chp nhn. Khi khng cn thay i mu, c th s dng lnh trong Ca s lnh. [Ca s lnh] GENR Z = X2 + X3 Bin Z c to ra nm trong ca s [Workfile]. Cc hm v lnh c bn Ngoi cc php ton c bn: cng [+], tr [], nhn [*], chia [/], ly tha [^], cc hm c bn ca Eviews nh sau:

Tn ngha V d Kt qu LOG Logarit t nhin LX = LOG(X) ln( )i iLX X

EXP Hm m c s t nhin

EX = EXP(X) iXiEX e

ABS Gi tr tuyt i AX = ABS(X) | |i iAX X

SIN Hm sin SIN(X) Sin(X) COS Hm cosin COS(X) Cosin(X) (-J) Tr bc J X4 = X(-4) 44i iX X D(X) Sai phn bc 1 DX = D(X) 1i i iDX X X



3 C LNG M HNH HI QUY N

(Tip theo 2) Vi b s liu t bi 2, nhn xt qua th gia Y v X2, thy gia hai bin c xu th cng chiu, h s tng quan gia hai bin bng 0,636883 dng, do c th xc nh mt m hnh hi quy trong Chi tiu (Y) ph thuc vo Lng (X2) dng tuyn tnh vi hai h s. Hm hi quy tng th PRF: 1 2( | 2) 2E Y X X

Dng ngu nhin 1 2 2Y X u M hnh (3.1) Nu xt bin hng s C lun bng 1, c th vit m hnh (3.1): 1 2 2Y C X u Vi mu kch thc l 12 gm 12 quan st nhp, hm hi quy mu SRF c dng: 1 2 2i iY X

1 2 2i i iY X e Dng phng php Bnh phng nh nht (Least Squares - LS) vi b s liu nhp, tnh ton cc c lng, v cc thng k cn thit dnh cho phn tch.

3.1 c lng m hnh

[Eviews] Quick Estimate Equation (Ngoi ra cn 4 cch khc, c cp sau) Ca s nh dng phng trnh xut hin. Ca s [Equation Specification] gm khai bo phng trnh hi quy, phng php c lng, mu c lng.



Vi m hnh hi quy Y theo X2 c h s chn, c hai kiu khai bo: Kiu 1: Y = C(1) + C(2)*X2 Kiu 2: Y C X2

S dng kiu khai bo th hai, phng php LS bnh phng nh nht, mu 1 n 12, c kt qu ca s [Equation] Dependent Variable: Y Method: Least Squares Date: Time: Sample: 1 12 Included observations: 12

Variable Coefficient Std. Error t-Statistic Prob. C 15.61921 5.737035 2.722523 0.0215 X2 0.521675 0.199698 2.612324 0.0259

R-squared 0.405619 Mean dependent var 30.40000 Adjusted R-squared 0.346181 S.D. dependent var 4.063138 S.E. of regression 3.285415 Akaike info criterion 5.367875 Sum squared resid 107.9395 Schwarz criterion 5.448692 Log likelihood -30.20725 F-statistic 6.824238 Durbin-Watson stat 1.680815 Prob(F-statistic) 0.025937

Khai bo phng trnh hi quy



Nu s dng cch khai bo th nht: Y = C(1) + C(2)*X2 th kt qu ch khc phn th hin cc h s nh sau Y = C(1) + C(2)*X2

Coefficient Std. Error t-Statistic Prob. C(1) 15.61921 5.737035 2.722523 0.0215 C(2) 0.521675 0.199698 2.612324 0.0259

Cc thng tin khc vn gi nguyn Bn cnh Cch 1 [Eviews] Quick Estimate Equation nh trn, cn mt s cch sau: Cch 2: [Eviews] Objects New Object Equation OK Cch 3: Chn X2, Y thnh ca s [Group] Procs Make Equation Cch 4: Chn X2 v Y, nhn chut phi Open As Equation Cch 5: [Ca s lnh] LS Y C X2 Cch s dng lnh LS Y C X2 l n gin nht, s c s dng trong cc phn sau. Cc kiu th hin kt qu hi quy [Equation] View Representations : c cc kt qu Estimation Command: ===================== LS Y C X

Cu lnh c lng (vit trong ca s lnh)

Estimation Equation: ===================== Y = C(1) + C(2)*X2

Phng trnh hi quy

Substituted Coefficients: ===================== Y = 15.61921182 + 0.5216748768*X2

Kt qu c lng

[Equation] View Estimation Output : bng kt qu chi tit



3.2 Lu kt qu

[Equation] Name: ca s [Object Name], tn ngm nh cho kt qu c lng phng trnh hi quy l eq01. Nu chn OK, th ch th eq01 c to ra trong Workfile. Mun sao v dn kt qu c lng chn vo cc vn bn, nh du ton b bng kt qu chi tit, nhn chut phi, chn Copy, chn loi gi nguyn nh dng hoc khng gi nh dng, ri ti ni cn dn chn Paste; hoc s dng t hp Ctrl+C v Ctrl+V.

3.3 Xem phn d v gi tr c lng (gi tr tng hp)

Sau khi c lng mt m hnh hi quy, c th nh gi kt qu thng qua cc gi tr phn d (residuals) v cc gi tr c lng ca bin ph thuc (cn gi l gi tr tng hp fitted values). [Equation] View Actual, Fitted, Residual Actual, Fitted, Residual Table c bng gi tr v th phn d, Actual l gi tr thc t b s liu: Yi, Fitted l gi tr c lng bi hm hi quy i, Residual l gi tr phn d: ei hay i.



[?] - Quan st no c gi tr thc t v gi tr c lng gn nhau nht, xa nhau nht? Khi gi tr thc t cao hn hay thp hn gi tr c lng? - Vi nhng quan st no th ng hi quy m t gn ng nht s bin ng ca bin ph thuc Y?

C th xem th ca gi tr thc t, gi tr c lng, v phn d trn cng h ta hoc th ca ring phn d bng cch chn Actual, Fitted, Residual Graph. Cc th ny c th lu li hoc ct dn vo cc vn bn tng t nh th ca cc bin X2, Y. Kim nh tnh phn phi chun ca phn d [Equation] View Residual Tests Histogram-Normality Test

[?] - Phn d phn phi lch tri hay lch phi hay i xng? - Sai s c phn phi chun khng?

Thc hin hi quy Chi tiu (Y) theo Thu nhp khc (X3) v gii thch ngha; so snh kt qu vi m hnh Y ph thuc X2. Hi quy Chi tiu theo Tng thu nhp (X2 + X3), khi c lng im tiu dng t nh v khuynh hng tiu dng cn bin bng bao nhiu?

0

1

2

3

4

5

-5.0 -2.5 0.0 2.5 5.0

Series: ResidualsSample 1 12Observations 12

Mean -2.96E-15Median -0.047783Maximum 4.660591Minimum -4.539409Std. Dev. 3.132520Skewness -0.010518Kurtosis 1.816787

Jarque-Bera 0.700217Probability 0.704612



4 C LNG M HNH HI QUY BI

Bi ny s s dng b s liu YWKM c sn nm trong th mc DATA2012 thc hnh. y l b s liu v sn lng v chi ph sn xut ca mt s doanh nghip

4.1 M tp s liu c sn

[Eviews] File Open Chn tp s liu YWKM trong th mc tng ng Ca s [Workfile] gm cc bin s xp theo th t K, M, TC, W, Y, vi Y l sn lng, W l chi cho cng nhn, M l chi cho qun l, K l chi ph khc gm my mc thit b nguyn nhin vt liu hay cn gi l chi ph vn, TC l tng chi ph. Nh vy TC l tng ca W, M, K.

4.2 nh gi chung v cc bin

Xem thng k c trng mu ca tt c cc bin (Descriptive Stats) [?] - Trung bnh ca cc bin bng bao nhiu?

- Bin no c s bin ng tuyt i o bng phng sai ln nht, nh nht? Bin no c s bin ng tng i o bng h s bin thin ln nht, nh nht? - Bin no i xng nht, bt i xng nht? - Bin no c phn phi chun?

Xem ma trn tng quan ca cc bin (Correlations)

[?] - Cp bin no c tng quan ngc chiu? - Cp bin no c tng quan cht nht, lng nht? - Sn lng tng quan vi bin no cht ch nht?



4.3 c lng m hnh

Xt m hnh 1 2 3( | , )E Y W K W K (MH 4.1)

Hay 1 2 3i i i i iY C W K u

[Ca s lnh] LS Y C W K Dependent Variable: Y Sample: 1 100 Included observations: 100

Variable Coefficient Std. Error t-Statistic Prob. C -485.9608 95.85601 -5.069695 0.0000 W 2.214092 0.050943 43.46253 0.0000 K 1.292811 0.044404 29.11470 0.0000

R-squared 0.964118 Mean dependent var 3707.680 Adjusted R-squared 0.963378 S.D. dependent var 1425.836 S.E. of regression 272.8616 Akaike info criterion 14.08535 Sum squared resid 7221985. Schwarz criterion 14.16350 Log likelihood -701.2674 F-statistic 1303.136 Durbin-Watson stat 2.090510 Prob(F-statistic) 0.000000

[?] - Gii thch ngha cc c lng h s? Kt qu c ph hp vi l thuyt kinh t khng? - Hm hi quy c ph hp khng? ngha ca iu ny l g? - Trong mu, cc bin c lp W v K gii thch bao nhiu % s bin ng ca bin Y? - Cc h s gc c ngha thng k khng? iu ny c ngha nh th no?

Xem gi tr c lng bin ph thuc (gi tr tng hp) v phn d [Equation] Actual, Fitted, Residual Actual, Fitted, Residual

Table: xem gi tr c lng bin ph thuc v phn d. [Equation] Actual, Fitted, Residual Actual, Fitted, Residual

Graph: xem th cc gi tr.



4.4 Phng sai, hip phng sai cc c lng h s

c th c lng, kim nh v hn mt h s hi quy, cn c c lng phng sai, hip phng sai ca cc c lng h s. [Equation] Covariance Matrix

C W K C 9188.374 -2.461994 -3.582358 W -2.461994 0.002595 0.000123 K -3.582358 0.000123 0.001972

[?] - Phng sai ca cc c lng h s bng bao nhiu?

- Hip phng sai c lng hai h s gc bng bao nhiu? - Hip phng sai cc c lng h s c dng trong trng hp no? - S dng kt qu hip phng sai, v bng kt qu hi quy m hnh t phn u, cho bit nu W v K cng tng mt n v th trung bnh ca Y thay i nh th no? - Kim nh gi thuyt cho rng: h s ca bin W ln gp i h s ca bin K. - Nu W tng mt n v, nhng K gim mt n v, th Y s tng ln hay gim i, tng ln (gim i) ti a bao nhiu, ti thiu bao nhiu?

4.5 Kim nh v cc h s - kim nh Wald

Eviews thc hin kim nh rng buc v cc h s hi quy bng kim nh Wald, s dng thng k F v thng k 2. Xt cp gi thuyt

H0: 2 = 2,3 H1: 2 2,3 M hnh ban u: 1 2 3i i i iY W K u (4.1)

M hnh c rng buc: 1 32.3i i i iY W K u (4.2)



Thng k F: (4.2) (4.1)(4.1) (4.1)

( ) //( )

RSS RSS mF

RSS n k

Ti ca s kt qu hi quy [Equation] View Coefficient Tests Wald Coefficient Restrictions Ca s khai bo gi thuyt cn kim nh v cc h s:

Quy c nh s cc h s C(1), C(2), theo th t khai bo ca phng trnh hi quy, do nu khi khai bo bin l C W K th h s chn l C(1), h s W l C(2), K l C(3). Ti ca s Wald Test: C(2) = 2.3 Kt qu kim nh bng kim nh Wald, kim nh F v 2.

Wald Test: Equation: Untitled Null Hypothesis: C(2) = 2.3 F-statistic 2.843870 Probability 0.094937 Chi-square 2.843870 Probability 0.091723 [?] - Bc t do ca kim nh F bng bao nhiu? - Dng thng k F v P-value kt lun v gi thuyt 2 = 2.3 - Kim nh 2 cho kt lun th no v gi thuyt trn?

Tng t, kim nh gi thuyt: h s ca bin W gp i h s bin K, hay C(2) = 2*C(3)



4.6 Kim nh b bt bin

1 2 3i i i iY W K u (4.1) Mun kim nh b bin K:

1 2i i iY W u (4.3)

H0: 3 = 0 : c th b bin K H1: 3 0 : khng th b bin K [Equation] View Coefficient Tests Redundant Variables Ca s khai bo bin Omitted-Redundant Variable Test

G bin mun b: K Kt qu hi quy sau khi b bin K. Redundant Variables: K F-statistic 847.6660 Probability 0.000000 Log likelihood ratio 227.6120 Probability 0.000000 Test Equation: Dependent Variable: Y Included observations: 100

Variable Coefficient Std. Error t-Statistic Prob. C 1862.909 160.7195 11.59105 0.0000 W 2.133128 0.157928 13.50698 0.0000

R-squared 0.650547 Mean dependent var 3707.680 Sum squared resid 70333643 Schwarz criterion 16.39357 Log likelihood -815.0734 F-statistic 182.4384 Durbin-Watson stat 2.022167 Prob(F-statistic) 0.000000



[?] - Thng k F = 847.666 tnh c th nh th no? - Bc t do ca kim nh F bng bao nhiu?

- Dng thng k F v P-value kim nh gi thuyt H0: nn b bin K khi m hnh.

Thc hin kim nh tng t, c nn b bin W khi m hnh hay khng?

4.6 Kim nh thm bin

Thm hai bin W2 v K2 vo m hnh 1 2 3i i i iY W K u (4.1)

2 21 2 3 4 5i i i i i iY W K W K u (4.4) H0: 3 = 4 = 0 H1: 32 + 42 0 Ti ca s kt qu c lng m hnh [Equation] [Equation] View Coefficient Tests Omitted Variables Ca s khai bo bt (thm) bin G bin mun thm: W^2 K^2 Kt qu hi quy sau khi thm bin. Omitted Variables: W^2 K^2 F-statistic 35.30513 Probability 0.000000 Log likelihood ratio 55.57603 Probability 0.000000

[?] - Nu cch tnh thng k F = 35.04656, bc t do tng ng vi kim nh F l bao nhiu?. - Vic cho thm hai bin vo m hnh c ngha thng k khng? - Dng kim nh T kim nh xem c cn a bin mi vo m hnh khng? - Nhng kt lun trn c g thay i nu mc ngha bng 1%?



4.7 M hnh a thc ca bin c lp

M hnh 2 21 2 3 2 3i i i i i iY W K W K u (4.5)

Ca s lnh: LS Y C W K W^2 K^2 Dependent Variable: Y Included observations: 100


W^2 -0.000462 5.92E-05 -7.806547 0.0000 K^2 -0.000124 4.58E-05 -2.703958 0.0081

R-squared 0.979417 Mean dependent var 3707.680 Durbin-Watson stat 2.252379 Prob(F-statistic) 0.000000 y chnh l kt qu ca m hnh thm bin trong mc 4.6

[?] - C th cho rng m hnh th hin quy lut li ch cn bin gim dn trong kinh t hay khng? V sao - Da vo kt qu c lng, vit phng trnh th hin tc ng ca bin W n sn lng, theo kt qu , u l mc chi cho cng nhn lm ti a ha sn lng?

4.8 M hnh c logarit

M hnh dng hm m Cobb-Douglas M hnh 31 2( | , )E Y W K e W K

31 2 iui i iY e W K e (4.6)

31 2 i i iY e W K

Logarit hai v 1 2 3ln ln lni i i iY W K u



Ca s lnh: LS LOG(Y) C LOG(W) LOG(K) Dependent Variable: LOG(Y) Included observations: 100

Variable Coefficient Std. Error t-Statistic Prob. C 0.416571 0.114175 3.648529 0.0004

LOG(W) 0.476395 0.005883 80.97390 0.0000 LOG(K) 0.621661 0.014506 42.85566 0.0000

R-squared 0.988628 Mean dependent var 8.136574 Sum squared resid 0.204993 Schwarz criterion -3.213916 Log likelihood 167.6036 F-statistic 4216.348 Durbin-Watson stat 1.927110 Prob(F-statistic) 0.000000 Theo kt qu ny 0.409494 0.478281 0.620866iY e W K

[?] - Gii thch ngha kt qu hi quy - Cc h s c ngha thng k khng?

- M hnh dng hm m gii thch bao nhiu % s bin ng ca bin GDP, c gii thch c nhiu hn dng hm tuyn tnh khng? - Kim nh gi thuyt cho rng qu trnh sn xut l khng i theo quy m ca chi cho cng nhn v chi ph vn.

M hnh dng na logarit Hi quy m hnh 1 2 3ln lni i i iY W K u

[?] - Gii thch ngha kt qu c lng, tc ng ca bin no l mnh hn n s thay i ca Y?

Hi quy m hnh 1 2 3i i iW K uiY e

Hay 1 2 3ln i i i iY W K u



5 M HNH VI BIN GI

S dng tp WORLD_EXIM_2010 trong th mc DATA2012. y l b s liu ngun t Worldbank nm 2010 vi 220 quc gia v vng lnh th, trong EX l xut khu, IM l nhp khu, GDP l tng sn phm quc ni. RANK l xp hng v mc thu nhp ca cc nc, gi tr nh sau:

(1) Cc nc thu nhp cao thuc khi OECD (2) Cc nc thu nhp cao khng thuc khi OECD (3) Cc nc thu nhp trn trung bnh (4) Cc nc thu nhp trung bnh (5) Cc nc thu nhp di trung bnh Nhm (1)(2) l cc nc pht trin, cn li l cc nc ang pht trin. Vit Nam thuc nhm (4).

5.1 M hnh c bin nh tnh

nh gi v xut khu (EX) ca cc nc OECD so snh vi cc nc khc, cn t bin gi c dng: D1 = 1: nu l nc thuc OECD D1 = 0: nu l nc khng thuc OECD Cc m hnh s xt nh sau: M hnh ch c bin c lp l bin gi Xem xt Xut khu trung bnh ca cc nc OECD c khc cc nc cn li hay khng, c dng: 1 2( | 1) 1E EX D D (5.1)

Vi nc thuc OECD: 1 2( | 1 1)E EX D

Vi nc khc: 1( | 1 0)E EX D Nu 2 0 th c s khc bit.



M hnh c bin c lp l bin nh lng v bin gi Bin c lp nh lng l GDP. Xt mi quan h Xut khu ph thuc GDP c dng E(EX | GDP) = [h s chn] + [h s gc]GDP hay EXi = [h s chn] + [h s gc]GDP + ui Bin gi tc ng n h s chn 1 2 3( | , 1) 1E EX GDP D GDP D (5.2)

Nc OECD: 1 3 2( | , 1 1) ( )E EX GDP D GDP

Nc khc: 1 2( | , 1 0)E EX GDP D GDP Bin gi tc ng n h s gc 1 2 3( | , 1) 1E EX GDP D GDP D GDP (5.3)

Nc OECD: 1 2 3( | , 1 1) ( )E EX GDP D GDP

Nc khc: 1 2( | , 1 0)E EX GDP D GDP Bin gi tc ng n c hai h s 1 2 3 4( | , 1) 1 1E EX GDP D GDP D D GDP (5.4)

Nc OECD: 1 3 2 4( | , 1 1) ( ) ( )E EX GDP D GDP

Nc khc: 1 2( | , 1 0)E EX GDP D GDP

5.2 t bin gi

Cn t bin D1 = 0 vi mi quan st, sau ring vi cc nc OECD (c RANK = 1) th i li gi tr D1 = 1. Ti Ca s lnh g ln lt cc lnh, sau mi lnh g Enter GENR D1 = 0 : t bin mi D1 = 0 vi mi quan st SMPL IF RANK = 1 : xt ring cc quan st c RANK=1 D1 = 1 : t li D1 = 1 SMPL 1 220 : ly li ton b cc quan st



Sau cu lnh SMPL IF, s thy trn ca s Workfile c dng: Sample: 1 220 if rank = 1 Lu phi c cu lnh cui, v nu thiu, cc thao tc v sau s ch lm vi cc quan st c RANK = 1. Nu cu lnh cui, trn ca s Workfile phi xut hin li l: Sample 1 220. C th m ring ca s bin D1, s thy gi tr bng 1 ti cc quan st th 11, 12, 19, cn li bng 0.

5.3 Hi quy m hnh c bin gi

M hnh (5.1) Lnh: LS EX C D1 Dependent Variable: EX Sample(adjusted): 1 213 Included observations: 158 Excluded observations: 55 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. C 57078.39 21931.16 2.602616 0.0101 D1 295998.5 49511.86 5.978335 0.0000

R-squared 0.186400 Mean dependent var 115154.0 Log likelihood -2185.192 F-statistic 35.74048 Durbin-Watson stat 2.472372 Prob(F-statistic) 0.000000 S quan st c iu chnh do c mt s nc khng c s liu.

[?] - Vit hm hi quy vi hai nhm nc v gii thch ngha? - Xut khu trung bnh ca cc nc OECD c khc cc nc cn li khng? Cao hn hay thp? - c lng im v khong mc chnh lch ca xut khu trung bnh gia hai nhm nc?



M hnh (5.2): Bin gi tc ng n h s chn Lnh: LS EX C GDP D1 Dependent Variable: EX Included observations: 158


GDP 0.160118 0.008136 19.67955 0.0000 D1 111465.3 28162.60 3.957921 0.0001

R-squared 0.767451 Mean dependent var 115154.0 Log likelihood -2086.255 F-statistic 255.7626 Durbin-Watson stat 2.640003 Prob(F-statistic) 0.000000

[?] - Vit hm hi quy vi hai nhm nc v gii thch ngha? - H s chn c thc s khc nhau gia hai nhm nc khng? - Nu cng mc GDP th xut khu trung bnh ca hai nc thuc hai nhm bn no nhiu hn, nhiu hn trong khong no?

M hnh (5.3): Bin gi tc ng n h s gc Lnh: LS EX C GDP D1*GDP Dependent Variable: EX Included observations: 158


GDP 0.266546 0.018845 14.14414 0.0000 D1*GDP -0.110621 0.020052 -5.516777 0.0000


[?] - Vit hm hi quy vi hai nhm nc v gii thch ngha? - H s gc c thc s khc nhau gia hai nhm nc khng? - Nu cng tng GDP th xut khu trung bnh nhm nc no tng ln nhiu hn? Nhiu hn trong khong no?



M hnh (5.4): Bin gi tc ng n c hai h s Lnh: LS EX C GDP D1 D1*GDP Dependent Variable: EX Included observations: 158 Excluded observations: 55 after adjusting endpoints


GDP 0.278806 0.016826 16.57005 0.0000 D1 162879.1 24876.43 6.547525 0.0000

D1*GDP -0.142900 0.018463 -7.740000 0.0000 R-squared 0.832579 Mean dependent var 115154.0 Log likelihood -2060.296 F-statistic 255.2792 Durbin-Watson stat 2.473535 Prob(F-statistic) 0.000000

[?] - Vit hm hi quy vi hai nhm nc v gii thch ngha? - H s chn v h s gc c khc nhau gia hai nhm nc khng? Phn tch ngha ca kt lun.

Kim nh s ng nht bng kim nh F Vi m hnh (5.4):

1 2 3 4( | , 1) 1 1E EX GDP D GDP D D GDP Nu 3 = 4 = 0 th hm hi quy l ng nht gia hai nhm nc. Qua kim nh T vi ring tng h s thy chng khc 0, tuy nhin vn cn kim nh F v s ng thi bng 0 [Equation] View Coefficient Tests Redundant Variables Bin cn b: D1 D1*GDP

Kt qu sau khi b hai bin gi. Redundant Variables: D1 D1*GDP F-statistic 40.76313 Probability 0.000000 Log likelihood ratio 67.12943 Probability 0.000000 Test Equation: Dependent Variable: EX



Included observations: 158 Variable Coefficient Std. Error t-Statistic Prob.

C 48417.17 11467.23 4.222220 0.0000 GDP 0.170840 0.008025 21.28970 0.0000

R-squared 0.743948 Mean dependent var 115154.0 Durbin-Watson stat 2.622065 Prob(F-statistic) 0.000000

[?] - Thng k F ca kim nh thu hp hi quy bng bao nhiu?

- Hm hi quy c ng nht gia hai nhm nc khng?

5.4 M hnh nhiu bin gi

Tng t vi cc nc OECD, t cc bin gi D2, D3, D4 tng ng vi cc nc thuc nhm (2), nhm (3), nhm (4), v ly cc nc thuc nhm (5) lm trng thi gc. Hi quy cc m hnh xem xt s khc bit v mc xut khu gia cc nhm nc so vi nhm nc ngho nht, c dng: nh gi v mc xut khu trung bnh: 1 2 3 4 5( | 1, 2, 3, 4) 1 2 3 4E EX D D D D D D D D nh gi v h s chn

1 2 3 4 5 6

( | , 1, 2, 3, 4)1 2 3 4

E EX GDP D D D DD D D D GDP

nh gi v h s gc

1 2 3 4 5 6

( | , 1, 2, 3, 4)1* 2* 3* 4*

E EX GDP D D D DGDP D GDP D GDP D GDP D GDP

Tng t, c th nh gi tc ng n c hai h s. Ngoi ra, c th phn tch v Nhp khu v so snh gia cc nhm nc bng phng php s dng bin gi.



6 NH DNG PHNG TRNH HI QUY

Thc hnh vi b s liu YWKM

6.1 Phn tch qua th

Xt mi quan h sn lng (Y) ph thuc vo chi ph cho cng nhn (W), chn bin W trc, ri mi chn bin Y, m ca s Group [Group] View Graph Scatter with Regression Vi bn trng hp:

(1) None-None: ng thng (2) None-Logathmic: ng cong logarit (3) Logathmic-None: hm e m (4) Logathmic-Logathmic: hm Cobb-Douglas

(1) Tuyn tnh tuyn tnh (2) Tuyn tnh Logarit

(3) Logarit Tuyn tnh (4) Logarit Logarit

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

0 1000 2000 3000

W

Y

Y vs. W

-2000

0

2000

4000

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10000

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W

Y

Y vs. Log W

0

2000

4000

6000

8000

10000

12000

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W

Y

Log Y vs. W

0

1000

2000

3000

4000

5000

6000

7000

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9000

0 1000 2000 3000

W

Y

Log Y vs. Log W



Qua , nhn xt dng th ph hp vi b s liu, xc nh dng ca phng trnh hi quy.

6.2 Kim nh Ramsey RESET

Xt m hnh tuyn tnh tuyn tnh 1 2i i iY W u (6.1)

LS Y C W Bng kt qu hi quy. Dependent Variable: Y Included observations: 100


R-squared 0.650547 Mean dependent var 3707.680 Durbin-Watson stat 2.022167 Prob(F-statistic) 0.000000 Kim nh Ramsey RESET s dng hi quy ph, khi thm mt bin (l bnh phng ca c lng bin ph thuc) vo m hnh gc:

21 2 1 i i i iY W Y u (6.2) H0: 1 = 0: M hnh gc khng thiu bin, dng hm ng H1: 1 0: M hnh gc thiu bin, dng hm sai

2 2(6.2) (6.1) (6.2)

2(6.2)1 1

qs

R R n kF

R

so snh vi ( 6.2 )1,n kF

[Equation] View Stability Test Ramsey RESET Test [RESET Specification] Number of fitted terms: 1 S phn t mun thm vo, nhp l 1, ri



Ramsey RESET Test: F-statistic 9.815365 Probability 0.002289 Log likelihood ratio 9.639081 Probability 0.001905 Test Equation: Dependent Variable: Y Included observations: 100


FITTED^2 -0.000157 5.02E-05 -3.132948 0.0023 R-squared 0.682659 Mean dependent var 3707.680 Sum squared resid 63870618 Schwarz criterion 16.34323 Log likelihood -810.2538 F-statistic 104.3323 Durbin-Watson stat 1.885336 Prob(F-statistic) 0.000000

[?] - Thng k F-statistic = 9,815 trong bng c bc t do tng ng bng bao nhiu? - Theo kim nh ny, m hnh (6.1) c thiu bin khng, c th ni dng ca phng trnh hi quy l ng c khng?

Khi mun kim nh bng cch thm 2 bin vo m hnh gc, phng trnh hi quy ph c dng:

2 31 2 1 2 i i i i iY W Y Y u (6.3) Gi thuyt H0: H0: 1 = 2 = 0

[?] - Thc hin kim nh khi thm 2 bin, v kt lun v dng hm ca m hnh gc?



6.3 Thay i phng trnh hi quy

Nhn thy m hnh (6.1) 1 2i i iY W u c dng hm khng ng, thc hin mt s vic thay i phng trnh hi quy, sau kim nh bng Ramsey a ra phng trnh ph hp Thm bin K: 1 2 3i i i iY W K u Dependent Variable: Y Included observations: 100


R-squared 0.964118 Prob(F-statistic) 0.000000 Ramsey RESET Test: F-statistic 0.006172 Probability 0.937544 Log likelihood ratio 0.006429 Probability 0.936093 i dng bc hai: 21 2 3i i i iY W W u Dependent Variable: Y Included observations: 100


W^2 -0.000715 0.000228 -3.132948 0.0023 R-squared 0.682659 Prob(F-statistic) 0.000000 Ramsey RESET Test: F-statistic 0.670094 Probability 0.415046 Log likelihood ratio 0.695590 Probability 0.404269 Tng t, c th s dng m hnh dng Cobb-Douglas: 1 2 iui iY e W e

.



7 HIN TNG A CNG TUYN

S dng b s liu YWKM

7.1 a cng tuyn hon ho

Xt m hnh 1 2 3 4 5i i i i i iY W K M TC u (7.1)

LS Y C W K M TC Ca s Error Message vi thng bo:

M hnh c hin tng a cng tuyn hon ho nn cc tnh ton khng thc hin c. Singular matrix l ma trn suy bin: cc ct ca ma trn cc bin c lp c lin h tuyn tnh vi nhau. [?] - Ti sao m hnh c a cng tuyn hon ho, cch loi tr a cng tuyn hon ho trong m hnh ny th no?

7.2 a cng tuyn khng hon ho

Xt m hnh sau khi b bin TC (tng chi ph) khi m hnh (7.1) 1 2 3 4i i i i iY W K M u (7.2) LS Y C W K M



Dependent Variable: Y Included observations: 100

Variable Coefficient Std. Error t-Statistic Prob. C -488.5271 96.19136 -5.078701 0.0000 W 0.531746 2.452609 0.216808 0.8288 K 0.875197 0.610312 1.434016 0.1548 M 8.406298 12.25247 0.686090 0.4943


[?] - Vi cc kim nh T, cc bin c lp c gii thch cho bin ph thuc hay khng? - H s xc nh bng bao nhiu? - Bng kim nh F, cho bit hm hi quy c ph hp khng? - Mu thun gia cc kim nh cho thy iu g?

7.3 nh gi mc a cng tuyn

Xem h s tng quan gia cc bin c lp ca m hnh (7.2) Chn K, M, W Group View Correlation

K M W K 1.000000 0.224602 -0.054588 M 0.224602 1.000000 0.960526 W -0.054588 0.960526 1.000000

[?] - Cp bin no c tng quan vi nhau cht nht? Theo nh gi ny th m hnh c nhng bin no d c a cng tuyn nht?

Vi m hnh (7.2) c a cng tuyn, s dng cc hi quy ph nh gi mc a cng tuyn gia cc bin c lp. Hi quy ph mt bin c lp theo cc bin cn li, c th c ba trng hp: LS W C K M (7.2a) LS K C W M (7.2b) LS M C W K (7.2c)



[?] - Qua cc hi quy ph, c kt lun g v quan h gia cc bin c lp ca (7.2)? - Nu cch khc phc n gin hin tng trong m hnh (7.2)

7.3 Khc phc hin tng a cng tuyn

gim bt mc a cng tuyn, c th b bt bin c lp khi m hnh (7.2). Khi cng c th c ba trng hp: b M, b K, b W. Vi mi trng hp, nh gi li mc a cng tuyn trong cc m hnh sau khi b bin bng hi quy ph tng ng. B bin M: LS Y C W K (7.3) Hi quy ph nh gi: LS W C K (7.3a) B bin K: LS Y C W M (7.4) Hi quy ph nh gi: LS W C M (7.4a) B bin K: LS Y C K M (7.5) Hi quy ph nh gi: LS K C M (7.5a)

[?] - B bin c lp no th c c m hnh mi tt hn?

C th i dng m hnh sang logarit, mu thun gia cc kim nh trong m hnh (7.2) khng cn na. Dependent Variable: LOG(Y) Included observations: 100


LOG(W) 0.317445 0.017914 17.72070 0.0000 LOG(K) 0.517653 0.015590 33.20453 0.0000 LOG(M) 0.293691 0.032121 9.143369 0.0000




8 HIN TNG PHNG SAI SAI S THAY I

S dng b s liu WORLD_EXIM_2010 Ch xt ring cc nc pht trin, bin RANK bng 1 v 2. Do gii hn s liu vi cc nc ny, ti ca s lnh: SMPL IF RANK < 3 Ti ca s Workfile c dng: Sample 1 220 if rank < 3

8.1 Hin tng

Xt m hnh 1 2 3i i i iIM GDP EX u (MH 8.1)

LS IM C GDP EX Bng kt qu hi quy. Dependent Variable: IM Sample(adjusted): 11 203 IF RANK < 3 Included observations: 45 after adjusting endpoints


GDP 0.050309 0.005070 9.922462 0.0000 EX 0.813882 0.030802 26.42261 0.0000

R-squared 0.990809 Mean dependent var 277422.0 Sum squared resid 6.96E+10 Schwarz criterion 24.25097 Durbin-Watson stat 0.669835 Prob(F-statistic) 0.000000 nhn nh v phng sai sai s, nh gi qua gi tr phn d [Equation] View Actual, Fitted, Residual Actual, Fitted, Residual Table Phn d dao ng quanh gi tr trung bnh (bng 0) khng u, tuy nhin cm nhn cha c s nh gi.



8.2 Kim nh White

Kim nh White da trn hi quy bnh phng phn d (k hiu l RESID) theo bc nht v bc hai ca cc bin c lp. C hai trng hp: kim nh khng v c tch cho gia cc bin c lp. Kim nh khng c tch cho 2 2 21 2 3 4 5i i i i i ie GDP GDP EX EX v (8.1a) H0: M hnh gc c phng sai sai s khng i (ng u) H1: M hnh gc c phng sai sai s thay i (khng ng u)

2(8.1a ) (8.1a)

2(8.1a) (8.1a )1 1

qs

R n kF

R k

so snh vi (8.1a ) (8.1a )1,k n kF

2 2(8.1a )qs nR so snh vi 2

(8.1a )( 1)k

[Equation] View Residual Test White heteroskedasticity (no cross terms)



White Heteroskedasticity Test: F-statistic 15.59507 Probability 0.000000 Obs*R-squared 27.41849 Probability 0.000016 Test Equation: Dependent Variable: RESID^2 Included observations: 45

Variable Coefficient Std. Error t-Statistic Prob. C -3.72E+08 7.59E+08 -0.489639 0.6271

GDP 6930.669 1149.842 6.027496 0.0000 GDP^2 -0.000380 7.50E-05 -5.064444 0.0000

EX -7843.361 5341.569 -1.468363 0.1498 EX^2 -0.000419 0.003244 -0.129023 0.8980

R-squared 0.609300 Mean dependent var 1.55E+09 Log likelihood -1046.442 F-statistic 15.59507 Durbin-Watson stat 1.126117 Prob(F-statistic) 0.000000

[?] - Qua cc thng k v P-value tng ng, thc hin kim nh kt lun v phng sai sai s ca m hnh gc? - Hi quy ph cho thy bnh phng phn d ph thuc bin c lp no? - Cc c lng h s ca m hnh (8.1) c phi l c lng tt nht khng? Sai s cc c lng h s c phi l tt nht khng? - Nu c lng trn cha phi tt nht, hy nu cch c lng c kt qu tt hn.

Kim nh White c tch cho [Equation] View Residual Test White heter. (cross terms)

White Heteroskedasticity Test: F-statistic 26.64474 Probability 0.000000 Obs*R-squared 34.80976 Probability 0.000002 [?] - Vit phng trnh hi quy ph ? - Thc hin kim nh i vi kt qu ny.



8.3 Lu phn d v gi tr c lng

C th thc hin hi quy ph phn d theo cc bin c lp hoc theo c lng bin ph thuc. thc hin ch ng cc hi quy ph ny, cn lu li cc gi tr cn thit di dng cc bin s mi. Lu phn d v gi tr c lng Vi bng kt qu hi quy m hnh (8.1), ca s Equation: [Equation] View Estimation Output [Equation] Procs Make Residual Series Ca s Make Residuals, tn ngm nh cho phn d l resid01, i thnh E , ng ca s Series E.

[Equation] Forecast Ca s Forecast, trong Forecast name l tn ca gi tr c lng bin ph thuc IM , c ngm nh l IMF, s dng tn ny.



Sau khi t chui gi tr phn d v gi tr c lng, trong ca s [Workfile] xut hin hai bin mi l E v IMF.

8.4 Kim nh bng hi quy ph

Phng sai sai s c thay th bi ei2 thay i theo cc gi thit khc nhau. Cc kim nh hi quy ph thc hin kim nh theo tng bin c lp c trong m hnh gc Hi quy ph vi bin EX, EX2, GDP, GDP2 LS E^2 C EX Thy PSSS thay i [?] LS E^2 C EX^2 Thy PSSS khng i, nhng nu mc

ngha l 10% th li c th coi l thay i LS E^2 C GDP Thy PSSS thay i LS E^2 C GDP^2 Thy PSSS khng i Kt qu hi quy ph ring bit ny khng cng nhn nh vi kim nh White khng tch cho trn.



Kim nh Park theo bin EX, GDP LS LOG(E^2) C LOG(EX) Thy PSSS thay i LS LOG(E^2) C LOG(GDP) Thy PSSS thay i,

nhng nu mc ngha 10% th c th coi l thay i Qua cc kim nh trn, c th thy phng sai sai s m hnh (8.1) thay i, v s thay i c th lin quan n bin EX hoc GDP.

8.5 c lng li sai s chun ca cc h s

M hnh (8.1) c phng sai sai s thay i, c lng cc h s vn khng chch, nhng cc sai s chun ca cc c lng ( )jSe tnh

theo phng php OLS l khng chnh xc. C th tnh li cc sai s chun ny theo th tc iu chnh ca White M hnh c PSSS thay i LS IM C EX GDP Dependent Variable: IM Included observations: 45 after adjusting endpoints


GDP 0.050309 0.005070 9.922462 0.0000 EX 0.813882 0.030802 26.42261 0.0000

R-squared 0.990809 Mean dependent var 277422.0 Ti ca s Equation [Equation] Estimate Ca s Equation Specification Option Ca s [Estimation Options] Chn Heteroskedasticity Consistent Coefficient Covariance Chn White



Dependent Variable: IM White Heteroskedasticity-Consistent Standard Errors & Covariance


GDP 0.050309 0.008827 5.699615 0.0000 EX 0.813882 0.047778 17.03454 0.0000

R-squared 0.990809 Mean dependent var 277422.0 So snh hai kt qu, sai s chun cc c lng tnh li, cc i lng khc khng thay i.



8.6 Khc phc phng sai sai s thay i

M hnh (8.1) 1 2 3i i i iIM GDP EX u c phng sai sai s thay i, qua cc hi quy ph, nhn thy c th cho rng s thay i l theo bin GDP, EX, khc phc da trn cc gi thit ny. Khc phc theo bin GDP Chia (8.1) cho GDPi:

1 2 31i i i

i i i i

IM EX uGDP GDP GDP EX

(8.2)

LS IM/GDP 1/GDP C EX/GDP Dependent Variable: IM/GDP Included observations: 45 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. 1/GDP 116.6000 85.39516 1.365417 0.1794

C 0.032509 0.033145 0.980800 0.3323 EX/GDP 0.843903 0.043022 19.61549 0.0000

R-squared 0.901771 Mean dependent var 0.557541 Durbin-Watson stat 0.954404 Prob(F-statistic) 0.000000 xem m hnh mi (8.2) khc phc c hin tng phng sai sai s thay i hay cha, s dng kim nh White Kim nh White khng c tch cho v c tch cho White Heteroskedasticity Test: No-cross term F-statistic 1.733907 Probability 0.161560 Obs*R-squared 6.649603 Probability 0.155605 White Heteroskedasticity Test: Cross term F-statistic 1.960378 Probability 0.106333 Obs*R-squared 9.038278 Probability 0.107547



[?] - M hnh (8.2) c phng sai sai s ng u hay thay i? - Vi m hnh ny, c lng im mc thay i ca IM khi GDP, khi EX tng 1 n v? So snh vi kt qu t m hnh (8.1)

Khc phc theo bin EX Chia (8.1) cho EXi:

1 2 31i i i

i i i i

IM GDP uEX EX EX EX

(8.3)

LS IM/EX 1/EX GDP/EX C

[?] Kim nh hin tng PSSS thay i trong m hnh (8.3), vic chia cho bin EX c khc phc c hin tng ny khng? - So snh vi cch chia cho GDP, cch chia cho EX c khc phc c hin tng PSSS thay i trit hn khng? - Vi m hnh ny, c lng im mc thay i ca IM khi GDP, khi EX tng 1 n v? So snh vi kt qu t m hnh (8.1) v (8.2)

i dng m hnh i m hnh (8.1) sang dng hm logarit, LS LOG(IM) C LOG(GDP) LOG(EX) S dng kim nh White cho bit c cn hin tng phng sai sai s thay i hay khng?



9 M HNH VI S LIU CHUI THI GIAN

S dng b s liu VNQ_GDP trong th mc DATA2012. B s liu gm mt s bin kinh t v m ca Vit Nam, t Qu 1 nm 2004 n Qu 3 nm 2012 (tnh theo gi hin hnh, ngun: Tng cc thng k). Ct frequency bt u t 2004:1 v kt thc ti 2012:3. Tp trung phn tch, d bo cho chui GDP ca Vit Nam. V th ca GDP theo quan st: Chn GDP Ca s [Series] View Graph Line

9.1 Bin xu th thi gian

Bin xu th thi gian nhn gi tr ln lt 1, 2, 3, (hoc 0, 1, 2,) n ht b s liu. Bin xu th tng mt n v tng ng vi sau mi khong thi gian, nu vi b s liu ny l sau mi qu. GENR T = @TREND M ca s bin T, s thy chui gi tr bt u t 0.

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V th ca GDP theo bin T. Lu : V th vi dng Logarit khng thc hin c khi T = 0, do phi ly mu t quan st 2004 Qu 2, tng ng khi T = 1. SMPL 2004:2 2012:3 Chn T trc, ri GDP Ca s [Group] View Graph Scatter Scatter with regression

GDP theo T GDP theo lnT (T > 0)

lnGDP theo T lnGDP theo lnT (T > 0)

[?] - Dng no l ph hp vi xu th ca GDP? Vi cc dng c phi loi tr trng hp T = 0 hay khng?

Ly li mu t quan st u tin SMPL 2004:1 2012:3

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GDP vs. Log T

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9.2 Hi quy v d bo

c lng m hnh vi s liu t 2004 Q1 n 2012 Q3, s dng kt qu d bo GDP cho Qu 4 2012, Qu 1 2013. Bin xu th bt u t 0, thi gian 2012Q4 c T = 35; thi gian 2013Q1 c T = 36. Gi tr d bo (forecast) k hiu l GDPF. Thay v dng bin T sau khi phi t, c th dng trc tip bin dng @TREND. (Nhc li, ly mu t 2004:1 n 2012:3) S liu thi gian, dng ch s t thay cho i. M hnh tuyn tnh tuyn tnh 1 2t tGDP t u (9.1)

Cng thc d bo: 1 2 tGDPF t

LS GDP C @TREND Dependent Variable: GDP Sample: 2004:1 2012:3 Included observations: 35


@TREND 16989.49 1226.864 13.84790 0.0000 R-squared 0.853180 Mean dependent var 372111.8 Durbin-Watson stat 1.961474 Prob(F-statistic) 0.000000

[?] - GDP c xu th tng dn khng? Sau mi qu trung bnh GDP tng bao nhiu?

D bo cho GDP 2012Q4: t = 35 GDPF35 = 83290,55 + 16989,4935 = 677922,7 2013Q1: t = 36 GDPF36 = 694912,2 nh gi cht lng ca d bo: Ca s [Equation] Forecast OK



Cc i lng nh gi cht lng d bo ca m hnh l RMSE = 71179,23; MAE = 55301,28; MAPE = 18,7792% M hnh logarit tuyn tnh 1 2ln t tGDP t u (9.2)

Cng thc d bo: 1 2 ttGDPF e

LS LOG(GDP) C @TREND Dependent Variable: LOG(GDP) Sample: 2004:1 2012:3 Included observations: 35



[?] - Gii thch ngha h s gc?

D bo cho GDP 2012Q4: t = 35 GDPF35 = e11,8881+0,04771835 = 773151,3. 2013Q1: t = 36 GDPF36 = 810938,9. Kt qu ny khc bit kh ln so vi d bo theo m hnh tuyn tnh.

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Forecast: GDPFActual: GDPForecast sample: 2004:1 2012:3Included observations: 35

Root Mean Squared Error 71179.23Mean Absolute Error 55301.28Mean Abs. Percent Error 18.77920Theil Inequality Coefficient 0.086208 Bias Proportion 0.000000 Variance Proportion 0.039675 Covariance Proportion 0.960325



nh gi cht lng d bo: Lu : nh gi cho d bo chui GDP, do phi chn GDP ch khng chn LOG(GDP)

RMSE, MAE, MAPE ca m hnh ny u nh hn m hnh tuyn tnh, d bo bng kt qu ny tt hn.

9.3 D bo t ng

Eviews c th d bo t ng chui s theo xu th thi gian. V d d bo cho GDP n ht nm 2013 theo m hnh trong mc 9.2, cn theo cc thao tc sau Bc 1. M rng khong s liu Ca s [Workfile] Procs Change workfile range Ca s [Changing workife range] End date: 2013:4 Trong ca s Workfile c Range: 2004:1 2013:4 Bc 2. Hi quy m hnh tuyn tnh (9.1) v d bo LS GDP C @TREND Ca s [Equation] Forecast Ca s [Forecast] Forecast name: GDPF Forecast sample: 2004:1 2013:4

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Forecast: GDPFActual: GDPForecast sample: 2004:1 2012:3Included observations: 35




Bc 3. Xem gi tr d bo Ca s [Workfile] Chn bin GDPF M bin vi ca s [Series] Cc gi tr d bo ng vi cc quan st mi m rng, hai gi tr ng vi 2012Q4 v 2013Q1 ging nh tnh trong mc 9.2. Thc hin tng t, thc hin d bo bng m hnh (9.2) lnGDP ph thuc xu th, c kt qu d bo cho GDP. Kt qu ny c chnh lch so vi tnh th cng mc 9.2 do c s lm trn s. So snh hai kt qu

GDP theo T LOG(GDP) theo T 2012:4 677922.6 773158.7 2013:1 694912.1 810947.0 2013:2 711901.6 850582.3 2013:3 728891.1 892154.7 2013:4 745880.5 935758.9

9.4 Phn tch ma v

C bn ma ng vi bn qu, do c th t 4 bin gi, nhng trong m hnh ch s dng ti a 3 bin gi. t cc bin gi ma v: GENR S1 = @SEAS(1) GENR S2 = @SEAS(2) GENR S3 = @SEAS(3) GENR S4 = @SEAS(4) M 4 bin S1, S2, S3, S4 trong cng ca s Group, thy gi tr ca cc bin bng 1 ln lt theo cc qu. Trong v d ny ly Qu 1 lm gc, so snh cc qu khc vi Qu 1. M hnh ch c yu t ma v 1 2 3 41 3 4t t t t tGDP S S S u (9.3)

LS GDP C S2 S3 S4 (C th dng trc tip @SEAS(2) @SEAS(3) @SEAS(4) )



Dependent Variable: GDP Sample: 2004:1 2012:3 Included observations: 35

Variable Coefficient Std. Error t-Statistic Prob. C 290237.9 63520.47 4.569203 0.0001 S2 103356.3 89831.50 1.150558 0.2587 S3 110635.0 89831.50 1.231584 0.2274 S4 117458.2 92596.19 1.268500 0.2141


[?] - Theo cc kim nh T, cc h s gc c ngha khng? - Hm hi quy c ph hp khng? C th ni cc kim nh T khng ngha l do c a cng tuyn hay khng? - Theo kt qu ny, GDP c thay i theo cc qu khng?

M hnh yu t ma v v xu th 1 2 3 4 52 3 4t t t t tGDP S S S t u (9.4)

LS GDP C S2 S3 S4 @TREND Dependent Variable: GDP Sample: 2004:1 2012:3 Included observations: 35

Variable Coefficient Std. Error t-Statistic Prob. C 21513.77 27491.23 0.782568 0.4400 S2 86561.08 30298.43 2.856949 0.0077 S3 77044.49 30355.88 2.538042 0.0166 S4 100663.0 31229.74 3.223305 0.0030


[?] - Theo cc kim nh T, cc h s gc c ngha khng? - Theo kt qu ny, GDP c khc nhau gia cc qu khng? Nhn chung, GDP qu no ln nht, qu no thp nht



D bo vi m hnh c ma v v xu th D bo cho bn qu nm 2013, ng vi t = 36, 37, 38, 39, kt hp vi bn h s ma v. Cng thc d bo: 1 tGDPF (ma tng ng) 5 t

Qu t GDPFt = Kt qu 1 36 21513.77 +16795.26*36 = 626143 2 37 21513.77 + 86561.08 +16795.26*37 = 729499 3 38 21513.77 + 77044.49 +16795.26*38 = 736778 4 39 21513.77 + 100663 +16795.26*39 = 777191

[?] - nh gi cht lng d bo, cc i lng RMSE, MAE, MAPE bng bao nhiu?

C th s dng m hnh dng lnGDP ph thuc T v cc bin ma v S2, S3, S4 d bo t ng m hnh: 1 2 3 4 5ln 2 3 4t t t t tGDP S S S t u (9.5)

Hay 1 2 3 4 52 3 4t t t tS S S t utGDP e

Kt qu d bo t ng nh sau: 2013:1 675912.5 2013:2 914502.9 2013:3 925073.3 2013:4 967256.5

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9.4 Kim nh tnh dng

Mt chui thi gian c gi l dng (stationary) nu n c trung bnh khng i, phng sai khng i, mc tng quan vi qu kh l khng i khi khong cch c nh. Trn th nhn thy bin GDP c trung bnh tng theo thi gian, phng sai thay i theo thi gian, do bng trc gic c th cho rng n khng dng. Bn cnh c th thc hin kim nh Dickey-Fuller, cn gi l kim nh nghim n v (unit root test). Kim nh DF c h s chn Kim nh DF cho bin GDP, hi quy ph c h s chn l: 0 1 1t t tGDP GDP v (9.6)

Vi 1t t tGDP GDP GDP l sai phn bc nht ca GDP, trong Eviews k hiu l D(GDP). Kim nh cp gi thuyt: H0: 1 = 0 : Chui l Khng dng H1: 1 0 : Chui l dng

11

( )qs Se

, nu | | | |qs th bc b H0, chui l dng.

[Workfile] M bin GDP thnh ca s ring [Series: GDP] View Unit Root Test [Unit Root Test] Test type: Augmented Dickey-Fuller Test for unit root in: Level Include in test equation: Intercept Lag differences: 0 (lu my ngm nh l 1 nhng g li l 0)



ADF Test Statistic -1.325049 1% Critical Value* -3.6353

5% Critical Value -2.9499 10% Critical Value -2.6133

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP) Sample(adjusted): 2004:2 2012:3 Included observations: 34 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. GDP(-1) -0.129245 0.097540 -1.325049 0.1945

C 63921.36 39356.54 1.624161 0.1142 Theo kt qu hi quy ph ny qs = 1.325;

Cc gi tr ti hn: 0.01 = 3.6353; 0.05 = 2.9499; 0.1 = 2.6133

Vy | | | |qs vi c ba mc ngha 10%, 5%, 1, cha bc b H0,

chui l khng dng. Trong kt qu thy h s chn khng c ngha thng k, c th thc hin kim nh khng c h s chn (chn None trong Include test equation), kt lun cng khng thay i. Thng thng h s chn c cho trong hi quy ph kim nh.



Kim nh DF c h s chn v xu th thi gian Kim nh DF cho bin GDP, hi quy ph c h s chn v xu th thi gian l: 0 1 1 2t t tGDP GDP t v (9.7) Kim nh cp gi thuyt: H0: 1 = 0 : Chui Khng dng xu th H1: 1 0 : Chui l dng xu th Lu : Chui dng xu th tc l dao ng quanh mt xu th thi gian, trung bnh ca chui vn tng (hoc gim) theo thi gian. Do chui Dng xu th l chui Khng dng. Khi cho yu t xu th thi gian vo l ta ngm nh chui l khng dng, ch xem n c dao ng n nh quanh xu th thi gian hay khng m thi. [Series: GDP] View Unit Root Test [Unit Root Test] Chn Level Trend and Intercept Lag differences: 0 ADF Test Statistic -5.543229 1% Critical Value* -4.2505



Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP) Sample(adjusted): 2004:2 2012:3 Included observations: 34 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. GDP(-1) -0.997592 0.179966 -5.543229 0.0000

C 76507.13 29152.04 2.624417 0.0134 @TREND(2004:1) 17236.92 3273.962 5.264851 0.0000



Theo kt qu ny qs = 5.543, c | | | |qs vi mc 1%, bc b H0,

chui l dng xu th, hay GDP c th coi l dao ng n nh quanh xu th. Xu th mang du dng v c ngha thng k. Kim nh tnh dng ca sai phn Mt chui khng dng, c th kim nh tnh dng ca sai phn chui . Sai phn l mc thay i tuyt i ca chui k sau so vi k trc. Sai phn bc nht ca GDP: 1t t tGDP GDP GDP kim nh sai phn bc nht ca GDP c dng khng, xt sai phn l chui mi, hi quy ph kim nh c h s chn l: 0 1 1t ttGDP GDP v (9.8) Kim nh cp gi thuyt: H0: 1 = 0 : Chui sai phn khng dng H1: 1 0 : Chui sai phn l dng Lu : Kim nh tnh dng ca chui sai phn ch thc hin khi chui gc l khng dng. Nu chui gc dng th khng thc hin kim nh ny. Kim nh ny cho bit chui l khng dng th s thay i ca n c n nh khng. [Series: GDP] View Unit Root Test [Unit Root Test] Chn 1st difference Intercept Lag differences: 0 ADF Test Statistic -11.67530 1% Critical Value* -3.6422



Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2) Sample(adjusted): 2004:3 2012:3 Included observations: 33 after adjusting endpoints



Variable Coefficient Std. Error t-Statistic Prob. D(GDP(-1)) -1.628305 0.139466 -11.67530 0.0000

C 27153.74 14518.96 1.870226 0.0709 C th thy chui sai phn l dng. Vy chui GDP khng dng nhng s thay i ca n c coi l dng. Trong cc phn tch, hi quy nn s dng chui sai phn ca GDP. Trng hp vi chui sai phn ca GDP nhng vn cho bin xu th thi gian: ADF Test Statistic -11.64497 1% Critical Value* -4.2605



Dependent Variable: D(GDP,2) Included observations: 33 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. D(GDP(-1)) -1.635665 0.140461 -11.64497 0.0000

C 4716.644 30784.63 0.153214 0.8793 @TREND(2004:1) 1253.565 1514.413 0.827757 0.4143

Ta thy d kt lun chui sai phn l dng, nhng bin xu th khng c ngha thng k, P-value l 0.4143 nn kim nh ny khng nn s dng.

[?] - Vi chui CO, kim nh tnh dng c h s chn? Vi mc ngha bao nhiu th chui c coi l dng? - Kim nh tnh dng xu th ca CO, tnh dng ca sai phn chui CO? [?] - Vi chui GI, IND kim nh tnh dng c h s chn? ? - Kim nh tnh dng xu th, tnh dng ca sai phn ca hai chui GI, IND?



10 T TNG QUAN V M HNH C BIN TR

S dng b s liu VNQ_GDP trong th mc DATA2012. Xt m hnh Gi tr sn xut ngnh Xy dng (CO) ph thuc u t xy dng c bn (GI), Gi tr sn xut cng nghip (IND)

10.1 Hin tng t tng quan

Hi quy m hnh 1 2 3t t t tCO GI IND u (10.1)

LS CO C GI IND Dependent Variable: CO Sample: 2004:1 2012:3 Included observations: 35

Variable Coefficient Std. Error t-Statistic Prob. C -2257.031 2807.746 -0.803859 0.4274 GI 0.445348 0.172523 2.581390 0.0146

IND 0.106931 0.039731 2.691362 0.0112 R-squared 0.770290 Mean dependent var 23883.86 Durbin-Watson stat 2.848833 Prob(F-statistic) 0.000000 Theo kt qu hi quy ny, gi tr d ca kim nh Durbin-Watson bng 2,848833; vi gi tr dL = 1.343 v dU = 1.584

[?] - Kim nh DW cho bit iu g v m hnh? - Hy nu 1 cch khc phc hin tng t tng quan bc 1 da trn thng k DW?

10.2 Kim nh Breusch-Godfrey

Kim nh t tng quan bc 1 ca m hnh (10.1) bng kim nh Breusch-Godfrey, hi quy ph l: 1 2 3 1 1t t t t te GI IND e v (10.1a)

1 2 3t t t te GI IND v (10.1b) H0: 1 = 0: M hnh khng c t tng quan bc 1



H1: 1 0: M hnh c t tng quan bc 1 2 2(10.1a ) (10.1b) (10.1a ) (10.1a)

2(10.1a )1 1

qs

R R n kF

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v 2 2(10.1a ) (10.1a )qs n R

M hnh (10.1a) c tr bc 1, s quan st bt i 1. Tuy nhin chng trnh Eviews t ng thay gi tr thiu bng 0, do s quan st vn c gi nguyn. [Equation] View Residual Tests Residual Correlation LM Test Ca s [Lag specification] xc nh bc ca t tng quan, ngm nh l 2, cn kim nh t tng quan bc 1

[Lag specification] Lags to include: 1

Breusch-Godfrey Serial Correlation LM Test: F-statistic 8.078363 Probability 0.007854 Obs*R-squared 7.235275 Probability 0.007148 Test Equation: Dependent Variable: RESID Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob. C 1329.848 2583.488 0.514749 0.6104 GI -0.101550 0.160154 -0.634074 0.5307

IND 0.012601 0.036226 0.347840 0.7303 RESID(-1) -0.475989 0.167469 -2.842246 0.0079

[?] - Bc t do ca F-statistic v Obs*R-squared l bao nhiu?



- Kim nh v kt lun v hin tng t tng quan bc 1? - C th ly c lng h s t tng quan bc 1 bng bao nhiu thng qua kim nh ny?

Tng t, thc hin kim nh t tng quan n bc 2. [?] - Vi kim nh t tng quan bc 2, hi quy ph th no? - Thc hin kim nh c th, c t tng quan bc 1, bc 2 hay khng?

10.3 Kim nh bng hi quy ph

Kim nh t tng quan da trn vic xem xt phn d et c ph thuc vo cc tr ca n khng. Kim nh t tng quan bc 1 Khng c h s chn 1 1t t te e v (10.1c)

C h s chn 0 1 1t t te e v (10.1d)

[Equation] Procs Make Residual Series [Make Residuals] Name of resid series: E Hi quy khng c h s chn LS E E(-1) Dependent Variable: E Included observations: 34 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. E(-1) -0.442081 0.157660 -2.804010 0.0084

R-squared 0.192361 Mean dependent var 55.83272 Hi quy ph ny khng c h s chn nn khng c kim nh F

[?] - Phn d c ph thuc tr ca n khng? - C th ly h s t tng quan bc 1 bng bao nhiu?

Hi quy c h s chn



LS E C E(-1) [?] - H s chn c ngha thng k khng? - Kt lun g v t tng quan bc 1 ca m hnh gc? - Cc c lng h s v sai s chun ca n trong m hnh (10.1) c phi l c lng khng chch, c lng hiu qu?

10.4 c lng li sai s chun

M hnh 1 2 3t t t tCO GI IND u c t tng quan bc 1 m,

tnh li cc sai s chun ca h s ( )jSe bng th tc Newey-West.

LS CO C GI IND [Equation] Estimate Ca s [Equation Specification] [Equation Specification] Option Ca s [Estimation Option]

[Estimatio Option] Chn Heteroskedasticity Consistent Coefficient Covariance Chn Newey-West

Dependent Variable: CO Sample: 2004:1 2012:3 Included observations: 35 Newey-West HAC Standard Errors & Covariance (lag truncation=3)


IND 0.106931 0.042730 2.502485 0.0176 R-squared 0.770290 Mean dependent var 23883.86 Durbin-Watson stat 2.848833 Prob(F-statistic) 0.000000 So vi bng kt qu mc 10.1, cc sai s chun c tnh ton li.



10.5 Khc phc t tng quan

S dng phng trnh sai phn tng qut Phng trnh sai phn tng qut ca m hnh (10.1) l

1 1 2 1

3 1 1

(1 ) ( )( )

t t t t

t t t t

CO CO GI GIIND IND u u

(10.2)

Qua thng k DW v hi quy ph (10.1c), (10.1d), c lng h s tng quan bc nht 0,44 , thay vo phng trnh sai phn tng qut c:

1 1 2 1

3 1

0, 44 (1 0,44) ( 0, 44 )( 0, 44 )

t t t t

t t t

CO CO GI GIIND IND v

LS (CO+0.44*CO(-1)) C (GI+0.44*GI(-1)) (IND+0.44*IND(-1)) Dependent Variable: CO+0.44*CO(-1) Included observations: 34 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. C -1620.712 2693.379 -0.601739 0.5517

GI+0.44*GI(-1) 0.418240 0.147785 2.830067 0.0081 IND+0.44*IND(-1) 0.104762 0.032270 3.246449 0.0028

R-squared 0.876555 Mean dependent var 34663.45 Durbin-Watson stat 2.084425 Prob(F-statistic) 0.000000 M hnh (10.2) c c lng h s chn l 1620.7 do c lng h s chn ca m hnh (10.1) s l 1 1620.7 /1.44 1125.5 , c

lng h s gc ca m hnh gc 2 3 0.41824; 0.104762 . [?] - Dng kim nh Durbin-Watson chng t m hnh (10.2) khng cn t tng quan. - Ti sao c lng h s chn 1 ca m hnh (10.1) li phi ly c lng h s chn ca m hnh (10.2) chia cho 1.44?

- Khi sai s chun 1( )Se s bng bao nhiu?



Dng kim nh Breusch-Godfrey kim nh m hnh (10.2), c: Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.109745 Probability 0.742737 Obs*R-squared 0.123925 Probability 0.724816

[?] - Cho bit m hnh (10.2) c t tng quan bc 1 hay khng?

S dng phng php c lng nhiu bc phng php lp AR(1) K hiu t tng quan hoc t hi quy l AR (Autoregression), thc hin khc phc t tng quan bc 1, thm AR(1) vo sau phng trnh LS CO C GI IND AR(1) Dependent Variable: CO Included observations: 34 after adjusting endpoints Convergence achieved after 8 iterations


IND 0.104767 0.033086 3.166531 0.0035 AR(1) -0.455065 0.166619 -2.731175 0.0105

R-squared 0.807906 Mean dependent var 24427.62 Durbin-Watson stat 2.057495 Prob(F-statistic) 0.000000 Inverted AR Roots -.46 Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.316799 Probability 0.577864 Obs*R-squared 0.367405 Probability 0.544422 Phng php dng li sau 8 bc lp, c lng h s t tng quan bc nht l 0,455. Kim nh B-G: Breusch-Godfrey Serial Correlation LM Test: AR(1) F-statistic 0.316799 Probability 0.577864 Obs*R-squared 0.367405 Probability 0.544422



[?] - Bng kim nh DW v kim nh BG cho bit mc ch khc phc t tng quan t c cha? - Vit phng trnh sai phn tng qut ng vi bc cui cng ca m hnh. Khi c lng h s chn ca phng trnh sai phn tng qut bng bao nhiu?

10.6 M hnh c bin tr

B s liu s dng theo qu cha hiu chnh ma v, do vic a bin tr c th c li v m hnh nh a cng tuyn cao, dao ng ca cc bin lin tc i chiu. Nhng thc hnh sau c tnh tham kho v phng php, phn tch v kinh t cn c nhiu bc hiu chnh. Tr ca bin c lp 1 2 3 4 1 5 1t t t t t tCO GI IND GI IND u (10.3) LS CO C GI IND GI(-1) IND(-1) Dependent Variable: CO Sample(adjusted): 2004:2 2012:3 Included observations: 34 after adjusting endpoints


IND 0.211045 0.061237 3.446372 0.0018 GI(-1) 0.091127 0.168552 0.540649 0.5929

IND(-1) -0.142473 0.059598 -2.390577 0.0235 R-squared 0.799888 Mean dependent var 24427.62 Durbin-Watson stat 2.783134 Prob(F-statistic) 0.000000

[?] - Gii thch ngha c lng h s ca hai bin tr - Theo kt qu ny, CO ph thuc bin tr no?

Kim nh B-G cho thy c t tng quan bc 1 Breusch-Godfrey Serial Correlation LM Test: F-statistic 9.260874 Probability 0.005047 Obs*R-squared 8.450411 Probability 0.003650



Vic cho thm cc tr bc 2, bc 3 gy ra a cng tuyn cao. Tr ca bin ph thuc (m hnh t hi quy) 1 2 3 4 1t t t t tCO GI IND CO u (10.4) LS CO C GI IND CO(-1) Dependent Variable: CO Sample(adjusted): 2004:2 2012:3 Included observations: 34 after adjusting endpoints


IND 0.167408 0.043855 3.817320 0.0006 CO(-1) -0.297965 0.115738 -2.574475 0.0152

R-squared 0.802710 Mean dependent var 24427.62 Durbin-Watson stat 2.283338 Prob(F-statistic) 0.000000 Kim nh B-G Breusch-Godfrey Serial Correlation LM Test: F-statistic 3.653637 Probability 0.065875 Obs*R-squared 3.804282 Probability 0.051122

[?] - Gii thch ngha c lng h s ca bin tr - Theo kt qu ny, CO c ph thuc tr ca chnh n khng? - M hnh c t tng quan bc 1 khng? Nu mc ngha l 10% th kt lun th no?

10.7 M hnh vi cc chui sai phn

Thc hin kim nh tnh dng vi cc chui CO, GI, IND c kt qu chui CO dng mc ngha 5% nhng khng dng vi mc 1%, sai phn ca n dng mi mc ngha. Chui GI, IND khng



dng nhng sai phn dng mi mc ngha. Do hi quy m hnh sai phn cc chui theo nhau. M hnh: 1 2 3t t t tCO GI IND u (10.5) LS D(CO) C D(GI) D(IND) Dependent Variable: D(CO) Sample(adjusted): 2004:2 2012:3 Included observations: 34 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob. C -1893.533 1819.165 -1.040880 0.3060

D(GI) 0.585601 0.171817 3.408277 0.0018 D(IND) 0.373346 0.079726 4.682884 0.0001


[?] - Gii thch ngha c lng cc h s gc - Kim nh hin tng t tng quan bng DW v B-G?

M hnh c hin tng t tng quan, c th thc hin cc thay i vi m hnh c lng chnh xc v ph hp hn:

- Thc hin c lng li cc sai s chun trong iu kin c t tng quan?

- Thm vo m hnh bin tr ca bin c lp, tr ca bin ph thuc?

- Khc phc theo phng php c lng nhiu bc.



BI TP TNG HP Bi tp 1. S dng b s liu HANOI_HH_2009 vi cc bin s v chi tiu-thu nhp ca mt s h gia nh ti H Ni nm 2009 (ngun: iu tra VHLSS). (a) Xem ngha cc bin, bin no l bin nh tnh, bin no l nh

lng. Bin nh lng no phn phi chun? (b) H s tng quan gia CONSUM (chi tiu) v INCOME (Thu

nhp) bng bao nhiu? Hi quy Chi tiu theo Thu nhp c h s chn (m hnh 1). (c) Khi c lng im tiu dng t nh v khuynh hng tiu

dng cn bin bng bao nhiu? H s xc nh bng bao nhiu, hm hi quy c ph hp khng?

(d) Phn d v gi tr c lng vi quan st u tin bng bao nhiu? (e) Kim nh gi thuyt khuynh hng tiu dng bin bng 0.5? (f) Kim nh vic thm c hai bin SIZE v AGE vo m hnh? (g) M hnh c phng sai sai s thay i hay khng i? Nu c hy

c lng li sai s chun ca cc h s. (h) Vi kim nh Ramsey thm mt bin, hm hi quy c xc nh

c ng khng? i m hnh sang dng hm Cobb-Douglas (m hnh 2) (i) c lng im mc thay i tng i ca chi tiu khi thu nhp

tng tng i 1% (j) M hnh 2 cn cc khuyt tt m m hnh 1 mc phi hay khng? Vi bin gi URBAN = 1 vi khu vc thnh th, = 0 vi khu vc nng thn, thm bin gi vo m hnh 1 theo cc yu cu sau:



(k) Hi quy m hnh chi tiu ph thuc thu nhp, bin gi tc ng n h s chn. Khi h s chn c thc s khc nhau gia hai khu vc khng? Nu c th tiu dng t nh khu vc no cao hn, cao hn bao nhiu?

(l) Hi quy m hnh chi tiu ph thuc thu nhp c bin gi tc ng n h s gc. Khi h s gc c thc s khc nhau khng? Khuynh hng tiu dng cn bin khu vc no cao hn, cao hn bao nhiu?

(m) Hi quy m hnh chi tiu ph thuc thu nhp c bin gi tc ng n c hai h s. Khi cc bin mi c ngha thng k khng? So snh vi trng hp cu (k), (l), c th gii thch th no v hin tng .

(n) Kim nh v cc hin tng phng sai sai s thay i, dng hm trong m hnh cc cu (k), (l), (m).

(o) Hi quy Chi tiu bnh qun u ngi theo Thu nhp bnh qun u ngi, c h s chn. Khi m hnh gii thch c bao nhiu % s bin ng ca bin ph thuc, m hnh c khuyt tt no khng?

Bi tp 2. S dng b s liu HANOI_SALES_2009 vi cc bin s ca mt s doanh nghip mua bn xe my t trn ti H Ni nm 2009 (ngun: iu tra doanh nghip). Cc doanh nghip ny thuc 4 loi: Nh nc trung ng, Nh nc a phng, T nhn, C vn u t nc ngoi, c m ha trong bin OWNERSHIP. (a) Xem ngha cc bin, bin no th hin kt qu hot ng ca

doanh nghip, bin c phn phi chun khng? (b) Bin GO (Sn lng) tng quan vi bin no cht nht, lng

nht? H s tng quan tng ng bng bao nhiu?



Hi quy GO theo ASSET (c hiu l vn) v LABOR (lao ng) c h s chn (m hnh 1) (c) Gii thch ngha cc c lng h s gc v h s xc nh, hip

phng sai c lng hai h s gc bng bao nhiu? (d) Kim nh v cc khuyt tt ca m hnh (e) Khi thm bin Tin cng (WAGE) vo m hnh, c nhn xt g v

m hnh mi, c nn dng m hnh ny khng? (f) Hi quy nng sut lao ng theo vn bnh qun cho mt lao ng,

c h s chn, v phn tch kt qu Hi quy GO theo ASSET v LABOR di dng hm Cobb-Douglas (f) Phn tch ngha v nh gi kt qu. (g) Theo c lng im, qu trnh sn xut c hiu qu tng, gim,

hay khng i theo quy m? Kim nh gi thuyt qu trnh sn xut hiu qu khng i theo quy m?

t cc bin gi so snh cc loi doanh nghip, ly doanh nghip t nhn lm gc. Vi m hnh Cobb-Douglas, phn tch s tc ng ca bin gi n cc h s gc. (h) So snh vi doanh nghip t nhn, tc ng ca vn n sn lng

ca doanh nghip nh nc trung ng c khc bit khng? (i) So snh vi doanh nghip t nhn, tc ng ca lao ng n sn

lng ca doanh nghip c vn nc ngoi c khc bit khng? Bi tp 3. S dng b s liu VNM_EXIM vi s liu theo thng (ngun: Tng cc thng k). (a) t bin gi M6 bng 1 nu vo thng 6, bng 0 nu vo thng

khc, v tng t l cc bin M7, M8 cho thng 7, thng 8.



(b) Hi quy EX (xut khu) theo xu th thi gian, M6, M7, M8. Xut khu trung bnh c khc bit gia thng 6, thng 7, thng 8 vi cc thng cn li khng? Nu c th cao hn hay thp hn bao nhiu?

(c) Kim nh t tng quan bc 1 ca m hnh bng kim nh DW v kim nh Breusch-Godfrey

(d) Hi quy EX theo GIC (u t t trung ng), GIL (u t a phng) c h s chn, c m hnh 1. Khi bin c lp no gii thch cho EX?

(e) M hnh 1 c t tng quan bc 1 khng? Nu c hy c lng li cc sai s chun ca cc h s.

(f) M hnh 1 cn khuyt tt no na khng? (g) Thm bin tr bc 1 ca GIL vo m hnh 1, bin mi thm c

ngha thng k khng? M hnh cn t tng quan bc 1 khng? (h) Thm bin tr bc 1 ca EX vo m hnh 1, m hnh mi c tt

hn m hnh trc khi thm hay khng? (i) Hi quy m hnh EX ph thuc GIL, ba bin gi M6, M7, M8 tc

ng n h s gc. Khi h s gc ca thng no l thc s khc vi cc thng cn li? Kim nh cc khuyt tt ca m hnh mi ny.

Bi tp 4. S dng b s liu VNY_WB_IMF vi s liu theo nm (ngun: World Bank v IMF). Vi bin IM (nhp khu) l bin ph thuc, xy dng m hnh kinh t lng vi cc bin c lp l cc bin ph hp. Khi nh gi kt qu c lng, nu c cc khuyt tt th thc hin cc bc khc phc c c kt qu tt nht trong phm vi c th. Vi kt qu phn tch v mi quan h, nu cc nhn xt kinh t nh gi v Nhp khu Vit Nam giai. C th thay i thi k ly mu t 1992 ph hp vi thc t kinh t Vit Nam. HT.

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