Eviews Guide Under 20101115

HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD

MC LCM U ........................................................................................... 3 1 S LIU DNG TRONG EVIEWS...................................... 7 2 NHP S LIU T BN PHM X L S LIU ....... 11 2.1 nh dng tn sut v nhp s liu ......................................... 12 2.2 Sa i s liu v lu s liu .................................................. 15 2.3 V th.................................................................................. 16 2.4 Thng k m t ....................................................................... 19 2.3 t bin mi ........................................................................... 21 3 C LNG M HNH HI QUY N ........................ 23 3.1 c lng m hnh................................................................. 23 3.2 Lu kt qu hi quy ................................................................ 26 3.3 Xem phn d v gi tr c lng (gi tr tng hp) ........... 26 4 HI QUY NHIU BIN C LP .................................... 28 4.1 M tp s liu c sn .............................................................. 28 4.2 nh gi chung v cc bin .................................................... 28 4.3 Hi quy m hnh nhiu bin ................................................... 29 4.4 Phng sai, hip phng sai cc c lng h s .................. 31 4.5 Kim nh b bt bin ............................................................ 31 4.6 Kim nh thm bin............................................................... 33 4.7 Kim nh v hai h s hi quy .............................................. 34 5 CC DNG M HNH ........................................................ 36 5.1 Bin xu th thi gian............................................................... 36 5.2 Hi quy vi bin tr ................................................................ 37 5.3 Hi quy m hnh dng hm m .............................................. 37

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6 M HNH VI BIN GI ................................................... 39 6.1 Xc nh yu t nh tnh........................................................ 39 6.2 t bin gi ............................................................................. 40 6.3 Hi quy m hnh c bin gi................................................... 40 7 HIN TNG A CNG TUYN .................................... 42 7.1 a cng tuyn hon ho.......................................................... 42 7.2 a cng tuyn khng hon ho............................................... 42 7.3 Hi quy ph kim nh a cng tuyn.................................... 44 8 HIN TNG PHNG SAI SAI S THAY I.......... 45 8.1 Hin tng .............................................................................. 45 8.2 Kim nh White..................................................................... 46 8.3 Lu phn d v gi tr c lng ........................................... 48 8.4 Kim nh bng hi quy ph................................................... 50 8.5 Khc phc phng sai sai s thay i..................................... 51 9 HIN TNG T TNG QUAN.................................... 53 9.1 Hin tng .............................................................................. 53 9.2 Kim nh Breusch-Godfrey................................................... 54 9.3 Kim nh bng hi quy ph................................................... 56 9.4 Khc phc t tng quan........................................................ 57 10 NH DNG M HNH..................................................... 60 10.1 Kim nh Ramsey RESET .................................................. 60 10.2 Kim nh nhn t Lagrange (kim nh 2) ........................ 62 10.3 Khc phc khuyt tt tng hp ............................................. 63

thc hnh, c th ti chng trnh Eviews4 ti trang mng ca khoa Ton kinh t: www.mfe.edu.vn, mc Th vin / D liu phn mm / Eviews4, v gii nn. Chng trnh c th chy trc tip, khng yu cu ci t.

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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. Chng trnh Eviews c thit k d s dng vi con chut v bn phm, cc kt qu thit k di dng bng, cc th c lu di dng tp c th a vo cc vn bn hoc in ra d dng. Cun sch ny tp trung gii thiu nhng phn thc hnh tng ng vi chng trnh Kinh t lng c bn ging cho sinh vin bc i hc, cc phn thc hnh nng cao dnh cho bc cao hc s gii thiu trong cun sch khc. Vi chng trnh Eviews4, khng yu cu ci t chng trnh, ch cn c y cc tp v nhn vo biu tng ca Eviews l c th chy chng trnh trc tip trn my tnh. T phin bn Eviews5 tr i, chng trnh yu cu phi ci t. Cun sch ny s dng hnh nh ca phin bn Eviews4. 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: vi cc nt thc hin cc thao tc c bn c chng trnh nh sn, v cc la chn nh dng tng t nh cc chng trnh chy trong mi trng Windows. - Ca s lnh: trng bn di thanh chc nng l ni ngi s dng vit lnh trc tip. C th dng chut ko rng ca s lnh ty .

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

Ca s lnh

Thanh chc nng

Thanh ch dn

Thot khi Eviews

Ca s chnh ca chng trnh Eviews gm cc phn: - Thanh chc nng: vi cc nt thc hin cc thao tc c bn c chng trnh nh sn, v cc la chn nh dng tng t nh cc chng trnh chy trong mi trng Windows. - Ca s lnh: trng bn di thanh chc nng l ni ngi s dng vit lnh trc tip. C th dng chut ko rng ca s lnh ty . - Thanh ch dn: xc nh ng dn n th mc v 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

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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 . 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: Mi bin l mt chui s liu, do Eviews dng cch gi Series cho cc bin. Group: Mt nhm bin s c la chn l mt Group. Group c th gm tt c cc bin hoc ch hai bin. Graph: Mt th c lu li di dng mt Graph. th c th gm th ca mt bin, th ca nhiu bin, th ca cc bin theo nhau. Equation: Mt phng trnh hi quy c lu li di dng mt Equation. System: Mt h gm nhiu phng trnh hi quy c lu li di dng mt System.5


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: ,

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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 c tn sut theo nm 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.

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Dng Program: Dng Text File

Chn dng Workfile, l dng thng thng nht tnh ton x l s liu vi Eviews. Chn th mc SOLIEU, tp s liu BT_YEAR_US, 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 1899 n 1922 Bn di ca ca s, lit k cc ch th m Workfile ang qun l, gm: c k l resid y.

c th thy r hn thng tin m cc ch th ny cha ng, ti ca s Workfile, nhn vo nt Label+/-, xut hin cc thng tin v thi gian khi to cc s liu ny, theo th t: thng/ngy/nm, gi:pht, v ch thch v ba bin k, l, y. 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: Tn ca bin s c t ngn gn, ti a 24 k t ch gm ch v s, khng c du cch, bt u bi ch ci. Tn bin thng c t ph hp vi ni dung ca bin. - Nhn bin: Phn ch thch v ngha ca bin, c th l chui k t vi di ty , vi cc t c bit, du cch. - Tn sut bin: l tn sut ca s liu, c th theo thi gian, khng gian, hoc s liu hn hp.

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- Gi tr ca bin: l cc i lng o lng bng s. Trong chng trnh Eviews, du ngn cch vi phn thp phn l du chm. Khi cha c gi tr, Eviews ngm nh s dng ch NA (not available) thay th. 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 c, ca s [Coef C] m ra, vi ct C1

gm cc quan st t R1 n R751, vi cc gi tr bng 0. Nhn p chut tri vo k, ca s [Series: K] m ra. Ct ngoi

cng bn tri obs l tn sut ca s liu, t 1899 n 1922, cc gi tr ca bin K c lit k theo cc quan st t ct tip theo trong bng. Nhn p chut tri vo resid, ca s [Series: RESID] m ra vi

quan st t 1899 n 1922, 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 n Y, 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 sut theo Qu M b s liu mi, ti ca s [Eviews] File New, chn tp

Bt_Quarter.

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B s liu c th hin t 1953:1 n 1967:4, vi mt ch s sau du :. Vi cch th hin ny, s liu l t Qu 1 nm 1953 n Qu 4 nm 1967. Chn bin bt k, chng hn X, 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 sut theo Qu M b s liu mi, ti ca s [Eviews] File New, chn tp Bt_Monthly. B s liu c th hin t 1973:01 n 1995:06, vi hai ch s sau du :, th hin l s liu t Thng 1 nm 1973 n Thng 6 nm 1995. bit ngha cc bin, chn nt Label trn thanh chc nng ca ca s [Workfile].

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2 NHP S LIU T BN PHM X L S LIU S liu dng cho Eviews c th l tp c sn di cc nh dng khc nhau, hoc s liu t bn ngoi cn phi nhp vo my. Bi ny hng dn thc hnh s liu t bn ngoi vo my tnh, lu s liu, v cc x l thng tin c bn cho b s liu . Xt b s liu v d sau, vi X l u t quc gia (Gross National Investment), Y l tng sn phm quc ni (Gross Domestic Products) ca Vit Nam theo cc nm t 1994 n 2005. C hai bin n v l nghn t VND, tnh theo gi so snh 1994. Ngun: Tng cc thng k. NmXY19941995 1996 1997 1998 1999 2000 2001 2002 2003 2004 200553

58 67

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

2.1 nh dng tn sut v nhp s liuTi ca s chnh ca Eviews, thun tin, ng ca s nh ang m (nu c) Chn File New : Ca s [Workfile Range]: tn sut ca s liu.

Frequency - tn sut ca s liu Tn sut v nh dngV dTn sut v nh dngu cui nghaAnnual (Nm) yyyyStart: 1991 End: 200515 quan st theo nm, t nm 1991 n nm 2005Semi-annual (Na nm) yyyy:hStart: 1991:112


Quarterly (Qu) yyyy:qStart: 1991:1 End: 2005:460 quan st theo qu, t qu 1 nm 1991 n qu 4 nm 2005Monthly (Thng) yyyy:mmStart: 1991:01 End: 2005:12180 quan st theo thng, t thng 1 nm 1991 n thng 12 nm 2005Weekly (Tun) mm/dd/yyyyStart: 01/01/2008 End: 12/01/200849 quan st theo tun, t tun c ngy 1 thng 1 nm 2008 n tun c ngy 1 thng 12 nm 2008Daily [5day] (Ngy: tun 5 ngy) mm/dd/yyyyStart: 11/12/2008 End: 12/11/200822 quan st theo ngy, t ngy - Vi tn sut theo thi gian, ring s liu trong giai on 1930 2029, th s ch Nm c th dng bi hai ch s, v d 67 c hiu l 1967, hoc 12 c hiu l 2012, vi giai on khc bt buc phi 4 ch s. - S ch Ngy, Thng vi gi tr nh hn 10 c th ch dng mt ch s, v d s liu thng, 2000:1 v 2001:01 l nh nhau. - Vi s liu tn sut theo Ngy, Tun, Eviews ngm nh s dng quy c ca M, l Thng/Ngy/Nm (mm/dd/yyyy). C th thay

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i th t ny sang quy c chu u l Ngy/Thng/Nm bng cch chn Option > Frequency Conversion Dates >. Vi s liu theo Tun, quan st u tin v cui cng s l tun c cha ngy nhp vo, v ly ngy lm i din cho tun. Cc quan st s ly ngy c cng Th vi quan st u tin lm i din. V d nu quan st u tin l 1/1/2008, th ton b tun t 30/12/2007 n 5/1/2008 ly ngy 1/1/2008 lm i din, v i din cho tun t 6/1/08 12/1/08 s ly ngy 8/1 lm i din. Vi s liu Ngy tnh cho tun 5 ngy, nu thi im bt u ri vo ngy cui tun, th quan st u tin s bt u t Th Hai ca tun tip theo; v nu thi im cui cng ri vo ngy cui tun, th quan st cui cng s kt thc Th Su ca tun trc . Tn sut Undated dng cho s liu khng thuc cc trng hp

trn; nh tn sut theo gi, theo phin, s liu cho, s liu hn hp. Vi b s liu v d trn ca Vit Nam, tn sut ca cc bin l theo nm, t 1994 n 2005. Frequency: Annual Start date: 1995 End date: 2005 : 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 hai 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 X, cc bn di t ng chuyn thnh NA, nhp cc gi tr ca bin X ng vi cc nm. Tip tc vi ct bin Y. Ti ca s [Workfile], biu tng ca hai bin X v Y xut hin.

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Nhp nhn bin Hai bin X v Y nhp cha c nhn, cn nhp nhn ch thch ngha ca cc bin. Ti ca s [Workfile], nhn chut p vo bin X, m ca s [Series: X] chn Name, m ca s [Object Name]

Trong ca s ny, trng trn cho php thay i tn bin, trng bn di nhp nhn bin. Vi v d ang xt, nhn cho bin X l Gross National Investment. Tng t, c th nhp nhn cho bin Y l Gross Domestic Products.

2.2 Sa i s liu v lu s liuTrng hp cn sa i s liu, v d bin X c th thc hin theo trnh t: Chn bin X, m ca s [Series: X], chn nt Edit+/- v thay i cc gi tr cn thit.

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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 thM 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 X v Y, m ca s [Group] V th cc bin theo quan st [Group] View Graph Line Kt qu cho th ng ca X v Y theo quan st (theo thi gian) trn cng mt h ta

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C th chn cc loi th khc: Bar, Spike ( th ct). v th ca hai bin theo nhau, 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 X trn trc honh. Khi khng c la chn c yu cu, Eviews ngm nh bin xp sau nm trn trc tung, bin xp trc nm trc honh. Qua th im, c th thy xu th kh r gia Y v X, c th 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

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Cc la chn khc cho php v th theo cc dng khc nhau. Cc th s t ng iu chnh kht vi kch thc ca s [Group]. Lu th C th lu th chn vo cc chng trnh son tho vn bn Ti ca s [Group] c th, nhn t hp phm 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

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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 Khi mun v th cho mi bin trn mt h ta ring, chn: [Group] Multiple Graphs.

2.4 Thng k m tCc 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 SampleX Trung bnh Trung v Ti a Ti thiu lch chun H s bt i xng H s nhn Thng k JB Mc xc sut Tng Tng bnh phng chnh lch S quan st Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq. Dev. Observations 112.7500 97.00000 195.0000 53.00000 51.36523 0.402047 1.666396 1.212534 0.545383 1353.000 29022.25 12 Y 274.3333 265.0000 393.0000 179.0000 66.98213 0.304621 2.030123 0.655918 0.720393 3292.000 49352.67 12

Thng k JB v Mc xc sut (P-value) dng kim nh v cp gi thuyt vi tng bin:

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H0: bin phn phi theo quy lut Chun H1: bin khng phn phi theo quy lut Chun H s tng quan [Group] View Correlations Common Sample Kt qu:X X Y 1.000000 0.982533 Y 0.982533 1.000000

Phng sai - hip phng sai [Group] View Covariances Common Sample Kt qu:X X Y 2418.521 3098.750 Y 3098.750 4112.722

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: MeanTest for Equality of Means Between Series Sample: 1994 2005 Included observations: 12 Method df Value t-test 22 6.631244 Anova F-statistic (1, 22) 43.97339

Probability 0.0000 0.0000

Kim nh s bng nhau ca hai phng sai: VariancTest for Equality of Variances Between Series

e

Sample: 1994 2005 Included observations: 12 20


Method F-test Siegel-Tukey Bartlett Levene Brown-Forsythe

df (11, 11) 1 (1, 22) (1, 22)

Value 1.700511 0.086621 0.732933 0.686207 0.562284

Probability 0.3921 0.9310 0.3919 0.4164 0.4613

Cc phn tch thng k ca cc kim nh c cho trong cc thng tin bn di mi kim nh.

2.3 t bin miBn cnh cc bin nhp s liu l X v Y, c th t cc bin mi t cc bin c hoc nhp bin s mi. C mt s cch nhp bin mi c tc dng tng ng. V d: cn t bin mi Z = Y X [Eviews] Quick Generates Series: m ca s [Generate Series by Equation] Ti Enter Equation g: Z = Y X 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 = Y X 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:

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Tn nghaV dKt quLOGLogarit c s t nhinLX = LOG(X)LX i = ln( X i )EXPLy tha c s t nhinEX = EXP(X)X i EX i = eABSGi tr tuyt iAX = ABS(X)AX i = | X i |SINHm sinSINX = SIN(X)SINX i = sin( X i )COSHm cosinCOSX = COS(X)COSX i = cos( X i )(-J)Tr bc JX4 = X(-4)X 4i = X i 4D(X)Sai phn bc 1DX = D(X)DX i = X i X i 1

t bin xu th thi gian [Ca s lnh] GENR T = TREND( ) Kt qu cho bin T nhn gi tr 0, 1, 2 phn nh xu th ca thi gian tng dn theo cc quan st.

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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 X, thy gia hai bin c xu th tuyn tnh kh r, h s tng quan gia hai bin bng 0,982533 kh ln, do c th xc nh mt m hnh hi quy trong Tng sn phm trong nc (Y) ph thuc vo Tng u t quc gia (X) c dng tuyn tnh vi hai h s. Hm hi quy tng th PRF: E (Y / X t ) = 1 + 2 X t Dng ngu nhin Yt = 1 + 2 X t + ut M hnh (3.1)

Nu xt bin hng s C lun bng 1, c th vit m hnh (3.1): Yt = 1Ct + 2 X t + ut Vi mu kch thc l 10 gm 10 quan st nhp, hm hi quy mu SRF c dng: Y = 1 + 2 X Y = 1 + 2 X t + et 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.t

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.

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t t


Ca s [Equation Specification] gm khai bo phng trnh hi quy, phng php c lng, mu c lng.

Khai bo phng trnh hi quy

Vi m hnh hi quy Y theo X c h s chn, c hai kiu khai bo: Kiu 1: Y = C(1) + C(2)*X Kiu 2: Y C X S dng kiu khai bo th hai, phng php LS bnh phng nh nht, mu 1994 2005, c kt qu ca s [Equation]Dependent Variable: Y Method: Least Squares Date: Time: Sample: 1994 2005 Included observations: 12 Variable Coefficient C 129.8715 X 1.281258 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.965370 0.961907 13.07316 1709.075 -46.78007 1.035566

Std. Error 9.439523 0.076739

t-Statistic 13.75826 16.69636

Prob. 0.0000 0.0000 274.3333 66.98213 8.130011 8.210829 278.7683 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

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Nu s dng cch khai bo th nht: Y = C(1) + C(2)*X th kt qu ch khc phn th hin cc h s nh sauY = C(1) + C(2)*X Coefficient C(1) C(2) 129.8715 1.281258 Std. Error 9.439523 0.076739 t-Statistic 13.75826 16.69636 Prob. 0.0000 0.0000

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 X, Y thnh ca s [Group] Procs Make Equation Cch 4: Chn X v Y, nhn chut phi Open As Equation Cch 5: [Ca s lnh] LS Y C X Cch s dng lnh LS Y C X 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 quEstimation Command: ===================== LS Y C X Estimation Equation: ===================== Y = C(1) + C(2)*X Substituted Coefficients: ===================== Y = 129.8714549 + 1.281258345*X

Cu lnh c lng (vit trong ca s lnh) Phng trnh hi quy

Kt qu c lng

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

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3.2 Lu kt qu hi quyKt qu hi quy c th c lu gi, bin tp, in ra nh mt vn bn. Trong ca s 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, dng chut 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 cht lng ca m hnh v 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: Yt Fitted l gi tr c lng bi hm hi quy: t Residual l gi tr phn d: et hay t

26


[?] - Vo nm no gi tr quan st v gi tr c lng gn nhau nht, xa nhau nht? - Nm 2000 c gi tr quan st cao hay thp hn gi tr c lng? Cao (thp) hn bao nhiu? - Phn d c nm ra ngoi hai ng bin khng? - Trong giai on 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 X, Y.

27


4 HI QUY NHIU BIN C LP Bi ny s s dng b s liu BT1CH1.wf1 c sn nm trong th mc SOLIEU thc hnh. y l b s liu v mt s ch tiu kinh t v m ca Vit Nam.

4.1 M tp s liu c sn[Eviews] File Open Chn tp s liu BT1CH1 trong th mc tng ng Ca s [Workfile] gm cc bin s c bn ca kinh t v m Vit Nam t nm 1980 n 1996: GDP GAP GIP EX IM, n v l t USD tnh theo gi so snh 1994.[?] - ngha ca cc bin s trong b s liu l g? - nh gi xu th chung ca cc bin theo thi gian nh th no? Cc bin c xu th tng hay khng? - Mc xut khu tng ln t bin trong nm no? Lin h vi thc tin, c th gii thch g v mc tng ? - So snh gia EX v IM nh gi xem trong cc nm, nm no c xut siu, nhp siu, c cn bng cn cn thng mi? - So snh gia GAP v GIP nh gi gia tng sn phm nng nghip v cng nghip.

4.2 nh gi chung v cc binV th ca cc bin theo thi gian, mi bin mt th (Multiple Graphs) v nhn xt v xu th ca cc bin. V th ca GDP, GAP, GIP trn cng mt h trc ta (Graphs) v so snh mc tng trng ca cc bin.

28


[?] - So snh trong hai trng hp, khi GAP mc ti thiu, v GIP mc ti thiu, khi GDP trong trng hp no ln hn? - C phi GDP lun lun tng theo hai bin khng? - GDP tng theo bin no nhanh hn?

Xem cc thng k c trng mu ca tt c cc bin (Descriptive Stats)[?] - Bin no c gi tr trung bnh ln nht, nh nht? - 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? - H s lch ca bin no ln nht, nh nht? - Kim nh v tnh phn phi chun ca cc bin?

Xem ma trn tng quan ca cc bin (Correlations)[?] - Cc bin c tng quan thun chiu hay ngc chiu? - Cp bin no c tng quan ln nht, nh nht? - Tng sn phm quc ni tng quan vi bin no nhiu nht, t nht? quan h l tng quan cng chiu hay ngc chiu?

4.3 Hi quy m hnh nhiu binXt m hnh hi quy E(GDP/GAPt , GIPt) = 1 + 2 GAPt + 3 GIPt (MH 4.1) GDPt GDPt = 1 + 2 GAPt + 3 GIPt + ut = 1Ct + 2 GAPt + 3 GIPt + ut

[Ca s lnh] LS GDP C GAP GIP Bng kt qu hi quy

2


Dependent Variable: GDP Method: Least Squares Date: . Time: . Sample: 1980 1996 Included observations: 17 Variable Coefficient C -2.395032 GAP 1.455290 GIP 0.674673 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.997573 0.997227 0.492409 3.394535 -10.42806 1.205284

Std. Error 1.571602 0.199663 0.092429

t-Statistic -1.523944 7.288738 7.299395

Prob. 0.1498 0.0000 0.0000 28.42353 9.350102 1.579772 1.726809 2877.499 0.000000


Vi kt qu hi quy trn:[?] - Gii thch ngha cc c lng h s? Kt qu c ph hp vi l thuyt kinh t khng? - H s chn c ngha thng k khng? Kt qu kim nh ny c ngha nh th no? - Cc h s gc c ngha thng k khng? iu ny c ngha nh th no? - Theo m hnh ny, GAP v GIP gii thch c bao nhiu % s bin ng ca GDP? - Qua c lng im cc h s gc, GDP tng trng theo bin no nhiu hn? - Tng bnh phng phn d v sai s chun ca hi quy bng bao nhiu?

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.

30


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 MatrixC C GAP GIP 2.469931 -0.308582 0.135627 GAP -0.308582 0.039865 -0.018113 GIP 0.135627 -0.018113 0.008543

[?] - Phng sai ca cc c lng 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 GAP v GIP cng tng mt n v th trung bnh ca GDP thay i nh th no? - Kim nh gi thuyt cho rng: h s ca bin GAP ln gp i h s ca bin GIP. - Nu GAP tng mt n v, nhng GIP gim mt n v, th GDP s tng ln hay gim i, tng ln (gim i) ti a bao nhiu, ti thiu bao nhiu?

4.5 Kim nh b bt binEviews thc hin kim nh b bt bin s da trn kim nh thu hp hi quy. Vi m hnh ban u: (4.1) E(GDP/GAPt, GIPt) = 1 + 2 GAPt + 3 GIPt GDPt = 1 + 2 GAPt + 3 GIPt + ut

Mun kim nh b bin GIP: E(GDP/GAPt)

GDPt

= 1 + 2 GAPt = 1 + 2 GAPt + ut31

(4.2)


H0: 3 = 0 : c th b bin GIP H1: 3 0 : khng th b bin GIP Kim nh F; F = (RSS(4.2) RSS(4.1) ) / m RSS(4.1) /(n k(4.1) )2 2 2

=

Ti ca s kt qu c lng m hnh [Equation] [Equation] View Coefficient Tests Redundant Variables Ca s khai bo bt (thm) bin

G bin mun b: GIP

Kt qu hi quy sau khi b bin GIP.Redundant Variables: GIP F-statistic 53.28117 Log likelihood ratio 26.68699

Probability Probability

0.000004 0.000000

Test Equation: Dependent Variable: GDP Method: Least Squares Date: . Time: . Sample: 1980 1996 Included observations: 17 Variable Coefficient C -13.10596 GAP 2.885761

Std. Error 1.191955 0.080939

t-Statistic -10.99535 35.65346

Prob. 0.0000 0.0000

32

(R(4.1) RSS(4.2) ) / m (1 R(4.1) ) /(n k(4.1) )


R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

0.988337 0.987560 1.042863 16.31345 -23.77156 0.753159


28.42353 9.350102 3.031948 3.129973 1271.169 0.000000

[?] Vi cp gi thuyt H0: 3 = 0 ; H1: 3 0, gi tr thng k F dng kim nh l F(1,14) = 53.2812 [.000] - Thng k F tnh c th nh th no? - Bc t do ca kim nh F bng bao nhiu? - Da vo thng tin kim nh F, kim nh gi thuyt H0: nn b bin GIP khi m hnh, s dng thng k F v mc xc sut P-value kt lun. - Thc hin kim nh tng t, c nn b bin GAP khi m hnh hay khng?

4.6 Kim nh thm binThm hai bin EX v IM vo m hnh (4.1) E(GDPt) = 1 + 2 GAPt + 3 GIPt E(GDPt) = 1 + 2 GAPt + 3 GIPt + 4EXt + 5IMt (4.3) 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: EX IM Kt qu hi quy sau khi thm bin.

33


Omitted Variables: EX IM F-statistic 10.78774 Log likelihood ratio 17.49112


0.002084 0.000159

Test Equation: Dependent Variable: GDP Method: Least Squares Date: 08/14/09 Time: 23:00 Sample: 1980 1996 Included observations: 17 Variable Coefficient C 0.845611 GAP 1.232316 GIP 0.606301 EX 1.181808 IM -0.436874 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.999133 0.998844 0.317965 1.213219 -1.682500 1.720441

Std. Error 1.687898 0.219174 0.130161 0.259626 0.175753

t-Statistic 0.500985 5.622535 4.658088 4.551961 -2.485723

Prob. 0.6254 0.0001 0.0006 0.0007 0.0287 28.42353 9.350102 0.786176 1.031239 3455.873 0.000000


[?] - Nu cch tnh thng k F = 10.78774, bc t do tng ng vi kim nh F l bao nhiu?. - Theo kim nh F v mc P-value bng 0.002, vic cho thm hai bin EX v IM vo m hnh c ngha thng k khng? - Dng kim nh T kim nh xem c cn a bin EX, IM vo m hnh khng? - Nhng kt lun trn c g thay i nu mc ngha bng 1%?

4.7 Kim nh v hai h s hi quyVi m hnh (4.1), kim nh34

H0: 2 = 3 H1: 2 3


[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 GAP GIP th h s chn l C(1), h s GAP l C(2), GAP l C(3). Ti ca s Wald Test: C(2) = C(3) Kt qu kim nh bng kim nh Wald, kim nh F v 2.Wald Test: Equation: Untitled Null Hypothesis: C(2) = C(3 ) F-statistic 7.199893 Chi-square 7.199893


0.017831 0.007291

[?] - S dng P-value, c th cho rng 2 = 3 hay khng? - Tng t, kim nh gi thuyt GAP = 2*GIP

35


5 CC DNG M HNH (Tip theo 4) Tip tc vi b s liu BT1CH1, b s liu theo thi gian, cc bin s c xu th tng theo thi gian.

5.1 Bin xu th thi gianM hnh GDPt = 1 + 2 GAPt + 3 GIPt + 4 t + ut (5.1)

Ca s lnh: GENR T = @TREND( ) Ca s lnh: LS GDP C GAP GIP TDependent Variable: GDP Included observations: 17 Variable C GAP GIP T R-squared Sum squared resid Coefficient -1.894304 1.397422 0.683579 0.025211 0.997577 3.389751 Std. Error 4.039848 0.474727 0.116234 0.186117

t-Statistic -0.468905 2.943631 5.881087 0.135460

Prob. 0.6469 0.0114 0.0001 0.8943 1783.829 0.000000

F-statistic Prob(F-statistic)

Bng kim nh T tng ng, c th thy bin xu th thi gian l khng c ngha trong m hnh.[?] - Nu hi quy trc tip GDP theo ch mt bin xu th thi gian T (thc hin yu cu ny nh mt bi tp), th bin GDP thc s ph thuc T, nhng trong kt qu m hnh ny th bin T li khng c ngha. C th gii thch iu nh th no?

36


5.2 Hi quy vi bin trBin GDP c th ph thuc vo chnh n thi k trc . M hnh (5.2): GDPt = 1 + 2 GAPt + 3 GIPt + 4GDPt 1 + ut Hay: GDP = 1 + 2 GAP + 3 GIP + 4GDP(1) + u

Ca s lnh: LS GDP C GAP GIP GDP(-1)Dependent Variable: GDP Included observations: 16 after adjusting endpoints Variable C GAP GIP GDP(-1) R-squared Durbin-Watson stat Coefficient -2.463898 0.795588 0.317487 0.556071 0.998853 0.940028 Std. Error 1.350701 0.272947 0.110062 0.153006 t-Statistic -1.824162 2.914805 2.884625 3.634316

Prob. 0.0931 0.0130 0.0137 0.0034 3483.029 0.000000


[?] - GDP c ph thuc vo tr bc 1 ca n khng? - Gii thch c lng h s ng vi bin tr - H s xc nh so vi trc khi thm bin thay i th no? - Tng t, thm bin tr bc 1 ca GAP, GIP vo m hnh - Thm bin tr bc 2 ca GDP vo m hnh, kt qu th no?

5.3 Hi quy m hnh dng hm mM hnh dng hm m Cobb-Douglas M hnh GDP = e1GAP 2 GIP 3 eut

(5.3)

Logarit hai v

ln GDP = 1 + 2 ln GAP + 3 ln GIP + ut

37

t

t

t

GDPt = e1GAP t 3 t 2 GIPt t t


Ca s lnh: LS LOG(GDP) C LOG(GAP) LOG(GIP) Dependent Variable: LOG(GDP) Included observations: 17 Variable Coefficient C 0.375308 LOG(GAP) 0.805312 LOG(GIP) 0.307511 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.996969 0.996536 0.018859 0.004980 45.03095 1.101466

Std. Error 0.231645 0.164321 0.079742

t-Statistic 1.620189 4.900835 3.856333

Prob. 0.1275 0.0002 0.0017 3.298273 0.320444 -4.944817 -4.797780 2302.593 0.000000


Theo kt qu ny

GDP = e0.37531GAP0.80531GIP0.30751

[?] - 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?

Hi quy m hnh GDP = e1GAP 2 GIP 3 EX t 4 IM t 5 eut[?] - Hai bin mi a vo m hnh dng hm m c cn thit hay khng? So snh vi m hnh dng tuyn tnh, m hnh theo dng no gii thch c cho bin ph thuc GDP nhiu hn?

38

t

t

t


6 M HNH VI BIN GI S dng tp BT1CH1 trong th mc SOLIEU Xt mi quan h nhp khu ph thuc vo GDP c dng IM = [H s chn] + [H s gc]GDP + u

6.1 Xc nh yu t nh tnhV th im ca IM theo GDP Ca s chnh [Eviews] Quick Graph Scatter GDP IM1 2 1 0 8 6 4 2 0 1 5 2 0 2 5 3 0 3 5 4 0 4 5 5 0

g s d ms p d c ro s o e tic ro u ts

Nhn xt thy giai on u 1980-1989 (ng vi 10 im bn tri) th t dc hn giai on sau 1990-1996, yu t giai on l nh tnh, s dng bin gi t D l bin gi D = 0 vi quan st 1980 1989 D = 1 vi quan st 1990 1996 M hnh IM = 1 + 2GDP + 3 D + 4D.GDP + u (MH 6.1) Giai on u: Giai on sau: IM = 1 + 2GDP +u

IM = (1 + 3) + (2 + 4)GDP + u

Nu 3= 4 = 0 : hm hi quy l ng nht trong hai giai on

import of goodsandservices

39


6.2 t bin giTrong chng trnh Eviews, tn bin D khng c chp nhn, do s dng tn l D1 Lnh: GENR D1 = 0 Ti ca s [Workfile] xut hin bin D1, Nhy p vo D1, m ca s [Series] Edit+/Vi cc quan st t 1990 1996 i gi tr ca D1 thnh 1 Cch 2 nhp gi tr cho bin gi: dng khi s quan st nhiu, vic nhp s liu kh khn: Ti ca s [Workfile] chn Sample Ca s [Sample], ti Sample range pairs ang c sn 1980 1996; i thnh 1990 1996. Lnh: D1 = 1 Ca s [Workfile] Sample i li mu thnh 1980 1996.

6.3 Hi quy m hnh c bin giLnh: LS IM C D1 GDP D1*GDPDependent Variable: IM Sample: 1980 1996 Included observations: 17 Variable C D1 GDP D1*GDP R-squared Adjusted R-squared S.E. of regression Sum squared resid Coefficient -1.084655 -11.19851 0.137484 0.325480 L o g lik eli Std. Error 1.342126 2.071545 0.060219 0.073081 t-Statistic -0.808162 -5.405872 2.283088 4.453671 hood DurbinWatson stat Prob. 0.4335 0.0001 0.0399 0.0007 0.944354 0.931513 0.679590 6.003951

-15.27519 1.409782

Mean dependent var S.D. dependent

var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

3.251176 2.596830 2.267670 2.463720 73.54055 0.000000

40


[?] - Hm hi quy trong hai giai on? Gii thch ngha? - Cc h s hi quy c ngha thng k khng? - H s chn ca m hnh c khc nhau trong hai giai on khng? - Khi GDP tng mt n v, nhp khu giai on no tng ln nhiu hn, nhiu hn bao nhiu? - Hm hi quy c ng nht trong hai giai on khng?

Kim nh s ng nht bng kim nh F [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 Log likelihood ratio 17.24819 22.02697 Probability Probability 0.000220 0.000016

Test Equation: Dependent Variable: IM Included observations: 17 Variable Coefficient C -3.794962 GDP 0.247898 R-squared Sum squared resid 0.796695 21.93584

Std. Error 0.964703 0.032334

t-Statistic -3.933813 7.666868

Prob. 0.0013 0.0000 58.78087 0.000001


[?] - Thng k F ca kim nh thu hp hi quy bng bao nhiu? - C nn b hai bin gi khi m hnh khng? - Hm hi quy c ng nht trong hai giai on khng?

41


7 HIN TNG A CNG TUYN Thc hnh vi b s liu BT1CH1

7.1 a cng tuyn hon hoXt m hnh GDP = 1 + 2GAP + 3GIP + 4 NX t + (7.1) ut

Vi NX l xut khu rng, NX t = EX t IM t Lnh: GENR NX = EX IM Lnh: LS GDP C EX IM NX

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. B bt bin NX khi phng trnh hi quy Cc kt qu tnh ton by gi c th thc hin c

7.2 a cng tuyn khng hon hoXt m hnhGDP = 1 + 2GAP + 3GIP + 4GAP 2 + 5GIP 2 + ut

(7.2) Lnh: LS GDP C GAP GIP GAP^2 GIP^2

42

t

t

t

t

t

t

t

t


Dependent Variable: GDP Included observations: 17 Variable Coefficient C 0.295351 GAP 1.134834 GIP 0.344117 GAP^2 0.028279 GIP^2 0.002412 R-squared Durbin-Watson stat 0.998026 1.447594

Std. Error 5.731684 1.000746 0.322092 0.035942 0.006913

t-Statistic 0.051529 1.133988 1.068381 0.786800 0.348937

Prob. 0.9598 0.2789 0.3064 0.4467 0.7332 1517.112 0.000000


[?] - S dng cc kim nh T, cho bit cc bin c lp c gii thch cho bin ph thuc hay khng? Da trn cc kim nh ny, hm hi quy c ph hp 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?

Xt v quan h ton hc, bin GIP v GIP2, bin GAP v GAP2 khng c quan h cng tuyn, nhng do thi k ly mu cha nn hin tng a cng tuyn gia cc s liu vn xy ra. Trong trng hp ny, cn b hai bin GAP2, GIP2 khi m hnh, hin tng mu thun gia cc kim nh s khng cn. Kim nh b bt bin GAP2, GIP2 cho kt qu sau, theo nn b hai bin khi m hnhRedundant Variables: GAP^2 GIP^2 F-statistic 1.377907 Probability Log likelihood ratio 3.514419 Probability

0.289273 0.172526

43


7.3 Hi quy ph kim nh a cng tuynVi v d trn, sau khi b hai bin GAP2, GIP2, c m hnh: (7.3) GDP = 1 + 2

GAP + 3GIP + ut LS GDP C GAP GIP

Dependent Variable: GDP Included observations: 17 Variable Coefficient C -2.395032 GAP 1.455290 GIP 0.674673 R-squared Durbin-Watson stat 0.997573 1.205284

Std. Error 1.571602 0.199663 0.092429

t-Statistic -1.523944 7.288738 7.299395

Prob. 0.1498 0.0000 0.0000 2877.499 0.000000


M hnh khng c mu thun gia cc kim nh T v kim nh F. kim nh chi tit v a cng tuyn, s dng hi quy ph: Hi quy GAP theo GIP GAP = 1 + 2GIP + vtDependent Variable: GAP Included observations: 17 Variable C GIP R-squared Durbin-Watson stat Coefficient 7.740618 0.454364 0.963363 0.623993 Std. Error 0.368769 0.022878 t-Statistic 20.99044 19.86005 Prob. 0.0000 0.0000 14.39118 0.000000

(7.4)

Mean dependent var Prob(F-statistic)

[?] - Bin GAP c ph thuc tuyn tnh vo GIP khng? M hnh

(7.3) c a cng tuyn khng? - a cng tuyn ny c phi a cng tuyn hon ho khng? - Mc cng tuyn gia GAP v GIP trong mu ny mc no? - Tnh o Theil ca m hnh (7.3)?t t t

44

t

t


8 HIN TNG PHNG SAI SAI S THAY I S dng b s liu BT5EX trong th mc SOLIEU C cc bin: M : cu tin danh ngha, Y: thu nhp thc t, R: li sut, P l mc gi, C: h s chn

8.1 Hin tngXt m hnh M i = 1 + 2Yi + 3P + Ri + ui4

(MH 8.1)

Hi quy m hnh (9.1) Lnh: LS M C Y P R Bng kt qu hi quy.Dependent Variable: M Sample: 1963 1987 Included observations: 25 Variable Coefficient C -52.33310 Y 0.288936 P 40.70030 R -2.480736 R-squared S.E. of regression Durbin-Watson stat 0.957870 5.024448 0.887349

Std. Error 14.97030 0.067958 7.712388 0.442728

t-Statistic -3.495794 4.251667 5.277263 -5.603290

Prob. 0.0022 0.0004 0.0000 0.0000 26.55516 159.1525 0.000000

Mean dependent var F-statistic Prob(F-statistic)

nhn nh v phng sai sai s, nh gi qua th phn d [Equation] View Actual, Fitted, Residual Residual Graph Qua th c th thy s dao ng khng ng u ca sai s quanh gi tr trung bnh l 0. Hai ng t nt l gi tr (sai s chun

ca hi quy).

45

i


15

10

5

0

-5

-10 1965 1970 1975 M Residuals 1980 1985

8.2 Kim nh WhiteKim nh White do Eviews thc hin 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 c tch cho gia cc bin c lp v kim nh c tch cho. Kim nh khng c tch cho ei2 = 1 + 2Yi + 3Yi 2 + 4 Pi + 5 Pi 2 + 6 Ri + 7 Ri2 + (8.2) vi 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) Fqs =2

so snh vi F( k 1 ,nk )

qs2

= nR2

so snh vi

2

(k 1)

[Equation] View Residual Test White heteroskedasticity

(no cross terms)

46

R n 1 R k 1


White Heteroskedasticity Test: F-statistic 4.012181 Obs*R-squared 14.30433 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: Time: Sample: 1963 1987 Included observations: 25 Variable Coefficient C 840.8150 Y -6.521801 Y^2 0.012623 P -148.9686 P^2 62.13170 R 3.522892 R^2 -0.011481 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.572173 0.429564 29.26626 15417.25 -115.7780 1.799271


0.010027 0.026415

Std. Error 665.8814 5.591946 0.008874 219.8589 192.4990 43.76667 1.786478

t-Statistic 1.262710 -1.166285 1.422498 -0.677565 0.322764 0.080493 -0.006426

Prob. 0.2228 0.2587 0.1720 0.5067 0.7506 0.9367 0.9949 21.20586 38.74929 9.822244 10.16353 4.012181 0.010027


47


[?] - Cho bit gi tr F-statistic = 4,012181 v Obs*R-squared = 14,30433 c tnh c th th no ? - Qua cc thng k v P-value tng ng, thc hin kim nh kt lun v phng sai sai s ca m hnh gc? - Cc c lng h s ca m hnh (8.1) c phi l c lng 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 heteroskedasticity (cross terms)[?] - Vit phng trnh hi quy ph ? - Thc hin kim nh i vi kt qu ny.

8.3 Lu phn d v gi tr c lngC th thc hin hi quy ph phn d theo cc bin c lp theo kim nh Glejer, kim nh Park, kim nh da trn bin ph thuc. thc hin ch ng cc hi quy ph, 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.

48


[Equation] Forecast Ca s Forecast, trong Forecast name l tn ca gi tr c lng bin ph thuc M , c ngm nh l MF, 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 MF.

49


8.4 Kim nh bng hi quy phPhng sai sai s c thay th bi ei2 thay i theo cc gi thit khc nhau. Cc kim nh Glejer, Park thc hin kim nh cho tng bin c lp Kim nh phng sai sai s thay i vi bin P Kim nh Glejer Hi quy ph: | ei |= 1 + 2i P + vi Lnh: LS ABS(E) C P Kt lun c PSSS thay i [?] Hi quy ph: | ei |= 1 + 2 P + vi i Lnh: LS ABS(E) C P^0.5 Kt lun c PSSS thay i [?] Kim nh Park Gi thit: Var (ui ) = i2

=

2

Pi ln ei = 2

1

+ 2 ln Pi + vi

Lnh: LS LOG(E) C LOG(P) Kt lun c PSSS khng i [?] Dng thu gn ca kim nh White Hi quy ph: e2i = i1 + 2 P 2 + vi Lnh: LS E^2 C P^2 Kt lun c PSSS thay i [?] Tng t, kim nh gi thuyt phng sai sai s thay i theo cc bin c lp Y, R. Qua cc hi quy ph, c th thy phng sai sai s thay i theo P, theo Y, nhng khng thay i theo R.

50


Kim nh phng sai sai s thay i vi bin ph thuc Gi thit:Var (ui ) = ))i2

=

2

( E (M i

2

Hi quy ph: ei2 = 1 + 2M i2 + vi Lnh: LS E^2 C MF^2 Kt lun c phng sai sai s thay i theo bin ph thuc.

8.5 Khc phc phng sai sai s thay iM hnh (8.1) M i = 1 + 2Yi + 3P + 4 Ri + ui c phng sai sai s thay i, qua cc hi quy ph, nhn thy s thay i theo bin P, Y, hoc M 2 , khc phc da trn cc gi thit ny. Khc phc theo bin P T hi quy ph e2 = 1 + 2 P 2 + vi trong phn trn, c th cho rng gi thit i2

=

2

Pi 2 l ng, khc phc bng cch chia (8.1) cho Pi: Ri P u Pi

M i 1 Yi P P P

(8.3)

LS M/P 1/P Y/PDependent Variable: M/P Included observations: 25 Variable 1/P Y/P C R/P R-squared Durbin-Watson stat

C

R/P

Coefficient -13.38787 0.082868 54.34015 -1.055670 0.391639 0.576960

Std. Error 6.008009 0.032222 4.307226 0.303220

t-Statistic -2.228337 2.571759 12.61604 -3.481534

Prob. 0.0369 0.0178 0.0000 0.0022 52.40034 0.013650


xem m hnh mi (8.3) khc phc c hin tng phng sai sai s thay i hay cha, s dng kim nh White

51

i

i

i

= 1 +2i i i i

+ 3 +

+i


Kim nh White khng c tch cho v c tch choWhite Heteroskedasticity Test: no cross terms F-statistic 2.385495 Probability Obs*R-squared 11.07370 Probability White Heteroskedasticity Test: cross term F-statistic 2.371617 Probability Obs*R-squared 14.68208 Probability 0.071356 0.086125

0.067065 0.100047

[?] - M hnh (8.3) c phng sai sai s ng u hay thay i? - Nu mc ngha l 10% th kt lun th no? - Vi m hnh ny, c lng im mc thay i ca M khi Y tng 1 n v? So snh vi kt qu t m hnh (8.1) - c lng im mc thay i ca M khi P thay i 1 n v? - Gii thch ngha kinh t ca m hnh mi?

Khc phc theo bin Y Chia phng trnh (8.1) cho bin YMi 1 Yi Yi P R u Yi Yi Yi

(8.4)

LS M/Y 1/Y C

P/Y

R/Y

Khc phc theo bin ph thuc M Chia phng trnh (8.1) cho bin M Ri M i u M i (8.5)

Lu phng trnh ny khng c h s chn LS M/MF 1/MF Y/MF P/MF R/MF [?] - So snh kt qu (8.5) vi (8.3), (8.4) nh gi v hin tng phng sai sai s thay i, h s xc nh, v c lng

cc h s?

52

= 1

+ 2 + 3i +

4 i

+

i

Mi 1 Y P = 1 + 2 M i i M M i

3

+ 4 +

Mi

+i


9 HIN TNG T TNG QUAN S dng b s liu BT7NCY trong th mc SOLIEU. C cc bin: CS : tiu dng khu vc dn c, Y: thu nhp thc t, C: hng s, s liu ca Nigeria

9.1 Hin tngHi quy m hnh LS CS C Y (9.1) CSt = 1 + 2 Yt + ut

Bng kt qu hi quy.Dependent Variable: CS Sample: 1960 1986 Included observations: 27 Variable Coefficient C 155.2239 Y 0.597069 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.795240 0.787050 364.1989 3316021. -196.5103 0.462830

Std. Error 203.4712 0.060594

t-Statistic 0.762879 9.853648

Prob. 0.4527 0.0000 2037.449 789.2231 14.70446 14.80045 97.09438 0.000000


Theo kt qu hi quy ny, gi tr d ca kim nh Durbin-Watson bng 0.46238; vi gi tr dL = 1.302 v dU = 1.461 th d < dL m hnh c hin tng t tng quan bc 1 dng.[?] - M hnh c t tng quan bc 1 dng, c th c lng h s t tng quan bc 1 bng bao nhiu? - Hy nu 1 cch khc phc hin tng t tng quan bc 1 da trn thng k DW?

53


9.2 Kim nh Breusch-GodfreyKim nh t tng quan bc 1 ca m hnh (9.1) bng kim nh Breusch-Godfrey, hi quy ph l: et = et =

( 1 + ( 1 +

2Yt 2Yt

) )

+ 1et 1 + vt + vt

(9.2) (9.3)

H0: 1 = 0: M hnh khng c t tng quan bc 1 H1: 1 0: M hnh c t tng quan bc 12 2 2

Fqs =

v

2

M hnh (9.2) 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 cn kim nh. Bc ngm nh l 2, cn kim nh t tng quan bc 1 [Lag specification] Lags to include: 1

5

R(9.2) R(9.3) n(9.2) k(9.2) 1 R(9.2) 1


Bng kt qu kim nh hin tng t tng quan bc 1 ca m hnh (9.1) bng kim nh BG.Breusch-Godfrey Seri al Correlation LM Test: F-statistic 34.31433 Probability Obs*R-squared 15.88781 Probability

0.000005 0.000067

Test Equation: Dependent Variable: RESID Method: Least Squares Date: Time: Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic C -60.84700 133.6292 -0.455342 Y 0.021511 0.039844 0.539890 RESID(-1) 0.777523 0.132732 5.857844 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.588437 0.554140 238.4630 1364750. -184.5250 1.846319 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Prob. 0.6530 0.5942 0.0000 -2.97E-13 357.1264 13.89074 14.03473 17.15717 0.000024

Lu : nhng thng tin trong phn cui ca bng kt qu l tng ng vi m hnh hi quy ph (9.2).[?] - Hy cho bit thng k F-statistic v Obs*R-squared c tnh c th nh th no, bc t do tng ng 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?

55


9.3 Kim nh bng hi quy phKim 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 (9.4) et = 1et 1 + vt C h s chn et = vt0

+ 1et 1 +

(9.5)

Cn lu li phn d [Equation] View Estimation Output [Equation] Procs Make Residual Series [Make Residuals] Name of resid series: E Hi quy khng c h s chn Lnh: LS E E(-1) Kt qu hi quy m hnh (9.4)Dependent Variable: E Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic E(-1) 0.770406 0.129372 5.954944 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood 0.586418 0.586418 233.4985 1363039. -178.1651 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

Prob. 0.0000 -5.380974 363.0810 13.78193 13.83032 1.801323

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

- Ti sao bng kt qu khng c thng tin F-statistic v P-value ca kim nh F?

56


Hi quy c h s chn LS E C E(-1)

[?] - Kt qu c ging vi hi quy khng c h s chn khng?

- Qua kim nh T v F, kt lun g v hin tng t tng quan bc 1 ca m hnh gc.

9.4 Khc phc t tng quanS dng phng trnh sai phn tng qut Qua thng k DW v hi quy ph (9.4), (9.5), c lng h s tng quan bc nht 0,77 , thay vo phng trnh sai phn tng qut (9.6) nh sau: CSt 0,77CSt 1 = 1(1 0.77) + 2 (Yt 0.77Yt 1) + (ut 0.77ut 1) V ca s lnh LS (CS 0.77*CS(-1)) C (Y 0.77*Y(-1)) Kt qu hi quyDependent Variable: CS-0.77*CS(-1) Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable C Y-0.77*Y(-1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 143.8042 0.465693 0.312102 0.283440 234.1170 1315458. -177.7032 1.720759 Std. Error 123.0936 0.141126 t-Statistic 1.168251 3.299833 Prob. 0.2542 0.0030 520.6781 276.5709 13.82332 13.92010 10.88890 0.003013


57


Theo bng kt qu ny, m hnh sau khi i bin s (9.6) c c lng h s chn l 143.8042, do c lng h s chn ca m hnh (9.1) s l 1 = 143.8042 /(1 0.77) = 625.236 , c lng h s gc ca m hnh gc 2 = 0.46569 .[?] - Dng kim nh Durbin-Watson chng t m hnh (9.6) khng cn t tng quan. - Ti sao c lng h s chn 1 ca m hnh (9.1) li phi ly c lng h s chn ca m hnh (9.6) chia cho (1 0.77)? - Khi sai s chun Se( 1 ) s bng bao nhiu? Dng kim nh Breusch-Godfrey kim nh m hnh (9.6), c:Breusch-Godfrey Seri al Correlation LM Test: F-statistic 0.429307 Probability Obs*R-squared 0.476411 Probability 0.518829 0.490052

[?] - Kt qu ny cho bit m hnh (9.6) c t tng quan bc 1 hay khng? S dng phng php Cochran-Orcutt

i cu lnh hi quy bng cch thm k hiu ca t tng quan bc tng ng vo sau phng trnh hi quy LS CS C Y AR(1)

Dependent Variable: CS Method: Least Squares Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Convergence achieve d after 39 iterations Variable Coefficient Std. Error C 1290.375 864.3354 Y 0.320087 0.180066 AR(1) 0.895753 0.097838 R-squared Adjusted R-squared 0.917399 0.910216

t-Statistic 1.492910 1.777612 9.155465

Prob. 0.1491 0.0887 0.0000

Mean dependent var S.D. dependent var

2068.732 787.5967

58


S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Inverted AR Roots

235.9953 1280957. -177.3577 1.884378 .90

Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

13.87367 14.01883 127.7230 0.000000

Bng kt qu cho thy phng php hi quy dng li sau 39 bc lp. c lng cho h s t tng quan bc 1 c tnh bc cui bng 0.895735. Kim nh BG cho kt qu sau:Breusch-Godfrey Seri al Correlation LM Test: AR(1) F-statistic 0.074213 Probability Obs*R-squared 0.087411 Probability

0.787839 0.767495

[?] - Bng kim nh DW v kim nh BG cho bit mc ch khc phc t tng quan t c cha? - c lng h s chn v h s gc bng bao nhiu, c khc so vi dng OLS trc tip khng? - H s xc nh c thay i khng? - 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?

59


10 NH DNG M HNH Bi thc hnh s 10 trnh by kim nh v dng hm trong mt m hnh hi quy bng kim nh RamseyRESET v kim nh nhn t Lagrange. Bi thc hnh ny cng tng hp mt s phng php khc phc khuyt tt nhng bi trc nhm tm c nhng c lng tt nht trn mt b s liu. hiu c ni dung ca bi thc hnh, cn nm c cc k thut kim nh, mc ch, ngha v kt lun ca n. Phn khc phc khuyt tt tng hp yu cu nm vng cc khi nim, k thut trong tt c cc bi thc hnh trc. S dng b s liu BT7NCY trong th mc SOLIEU

10.1 Kim nh Ramsey RESETHi quy m hnh LS CS C Y Bng kt qu hi quy.Dependent Variable: CS Included observations: 27 Variable Coefficient C Y R-squared Durbin-Watson stat 155.2239 0.597069 0.795240 0.462830

CSt = 1 + 2Yt + ut

(10.1)

Std. Error 203.4712 0.060594

t-Statistic 0.762879 9.853648

Prob. 0.4527 0.0000 97.09438 0.000000


Kim nh Ramsey RESET s dng hi quy ph, khi thm mt phn t vo m hnh gc:2

60

(10.2)

CSt =

(

+ Y 1 t 2

)

+ 1C St + ut


H0: 1 = 0: M hnh gc khng thiu bin, dng hm ng H1: 1 0: M hnh gc thiu bin, dng hm sai2 2 2

Fqs =

( 1 n, k( 1 0 .2 ))

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

Ramsey RESET Test: F-statistic Log likelihood ratio

0.348918 0.389707


0.560248 0.532453

Test Equation: Dependent Variable: CS Method: Least Squares Sample: 1960 1986 Included observations: 27 Variable Coefficient C -268.6193 Y 0.954119 FITTED^2 -0.000152 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.798175 0.781356 369.0360 3268502. -196.3154 0.428978

Std. Error 746.5686 0.607571 0.000257

t-Statistic -0.359805 1.570384 -0.590693

Prob. 0.7221 0.1294 0.5602 2037.449 789.2231 14.76410 14.90809 47.45732 0.000000


61

R(10.2) R(10.1) n k(10.2) 1 R(10.2) 1

so snh vi F


[?] - Hy nu chi tit cch tnh gi tr F-statistic = 0,34918 trong bng, v cho bit bc t do tng ng bng bao nhiu? - Theo kim nh ny, m hnh gc c thiu bin khng? Khi mun kim nh bng cch thm 2 nhn t vo m hnh gc, phng trnh hi quy ph:2 3

(10.3)

Gi thuyt H0: H0: 1 = 2 = 0 [?] - Thc hin kim nh khi thm 2 phn t, v kt lun v dng hm ca m hnh gc?

10.2 Kim nh nhn t Lagrange (kim nh 2)Hi quy ph Tng qut H0: M hnh gc c dng hm ng H1: M hnh gc c dng hm sai2 2 m+1

+ vt (10.4)

Trng hp n gin n gin2

(10.5)

Lu li phn d l E v gi tr c lng l CSF [Equation] View Estimation Output [Equation] Procs Make Residual Series [Make Residuals] Name of resid series: E [Equation] Forecast Forecast name: CSF

62

CSt =

(

+ 2 1 Y

)t +

1C St + 2 C S + ut t

et =

(

+ 12Y

)t +

1CSt + ... +

m

CSt

et =

(

+ Y 1 2

)t +

1C St + vt


Hi quy ph Lnh: LS E C Y CSF^2Dependent Variable: E Included observations: 27 Variable C Y CSF^2 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -423.8432 0.357051 -0.000152 0.014330 -0.067809 369.0360 3268502. -196.3154 0.428978

Std. Error 746.5686 0.607571 0.000257

t-Statistic -0.567722 0.587669 -0.590693

Prob. 0.5755 0.5622 0.5602 -2.97E-13 357.1264 14.76410 14.90809 0.174459 0.840967


[?] - Tnh

qs2

thc hin kim nh, bc t do tng ng l

bao nhiu?- Theo kim nh ny, m hnh gc c dng hm ng hay khng? - Thc hin kim nh vi hi quy ph sau v cho kt lun2 3

(10.6)

10.3 Khc phc khuyt tt tng hp

Quay li vi m hnh hi quy CSt = 1 + 2Yt + (10.1) ut

[?] Gii thch ngha ca m hnh

- Hi quy m hnh, cho bit m hnh c nhng khuyt tt no? - Nu cc cch khc phc cc khuyt tt ca m hnh?

63

et =

(

+ Y 1 2

)t +

1C St + 2 C S + vt t


Dependent Variable: CS Sample: 1960 1986 Included observations: 27 Variable Coefficient C 155.2239 Y 0.597069 R-squared Durbin-Watson stat 0.795240 0.462830

Std. Error 203.4712 0.060594

t-Statistic 0.762879 9.853648

Prob. 0.4527 0.0000 2037.449 0.000000


White Heteroskedasticity Test: F-statistic 6.256641 Obs*R-squared 9.253033


0.006503 0.009789

Breusch-Godfrey Seri al Correlation LM Test: AR(1) F-statistic 34.31433 Probability Obs*R-squared 15.88781 Probability

0.000005 0.000067

Ramsey RESET Test: number of fitted terms: 1 F-statistic 0.348918 Probability Log likelihood ratio 0.389707 Probability

0.560248 0.532453

M hnh c cc khuyt tt: Phng sai sai s thay i, t tng quan bc 1. Thc hin khc phc cc khuyt tt . Khc phc t tng quan bng cch thm bin tr Thm tr bc 1 ca bin ph thuc vo m hnh, m hnh mi khng dng c kim nh DW: CSt = 1 + 2Yt + 2CSt 1 + ut (10.7) LS CS C Y CS(-1)

Dependent Variable: CS Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints

Variable C Y CS(-1)

Coefficient 3.962031 0.207495 0.695319

Std. Error 122.4302 0.064345 0.094013

t-Statistic 0.032362 3.224707 7.396025

Prob. 0.9745 0.0038 0.0000

64


R-squared Durbin-Watson stat

0.937124 1.919159


2068.732 0.000000



0.034049 0.043502

Breusch-Godfrey Seri al Correlation LM Test: F-statistic 0.045571 Probability Obs*R-squared 0.053745 Probability

0.832923 0.816670


1.766355 2.007940


0.197454 0.156478

M hnh vn cn phng sai sai s thay i, cn khc phc Trng hp 1 Khc phc phng sai sai s thay i bng cch chia cho c lng bin ph thuc C St C tS C tS + + 3 C S 1 + ut t C St CS t (10.8)

Lu li gi tr c lng [Equation] Forecast Forecast name: CSM LS CS/CSM 1/CSM Y/CSM CS(-1)/CSMDependent Variable: CS/CSM Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable 1/CSM Y/CSM CS(-1)/CSM Coefficient 23.65519 0.254084 0.609406 Std. Error 79.66907 0.059616 0.098079

t-Statistic 0.296918 4.262025 6.213392

Prob. 0.7692 0.0003 0.0000

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood

0.325043 0.266351 0.087196 0.174871 28.13101

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

1.001633 0.101801 -1.933155 -1.787990 1.687418

65

CSt

1 Y = 1 2




0.135595 0.137504

Breusch-Godfrey Seri al Correlation LM Test: F-statistic 0.716728 Probability Obs*R-squared 0.820183 Probability Ramsey RESET Test: F-statistic Log likelihood ratio

0.406335 0.365127

0.026481 0.031277


0.872215 0.859623

M hnh khng c h s chn, Eviews khng tnh thng k F ca kim nh v s ph hp, h s xc nh c th khng mang ngha ng. Trng hp 2 Khc phc phng sai sai s thay i bng cch chia cho CS(-1)CSt CSt 1 1 CSt 1 Yt C St 1 + 3 + ut CSt 1

(10.9)

LS CS/CS(-1) 1/CS(-1) Y/CS(-1) C Dependent Variable: CS/CS(-1) Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error 1/CS(-1) 40.67407 82.29139 Y/CS(-1) 0.266193 0.060099 C 0.580444 0.106325 R-squared Sum squared resid Durbin-Watson stat 0.470931 0.194990 1.728394

t-Statistic 0.494269 4.429221 5.459150

Prob. 0.6258 0.0002 0.0000 1.038130 10.23630 0.000661




0.187270 0.173547

Breusch-Godfrey Seri al Correlation LM Test: AR(1) O bs*R-squared F-statistic

0.553661 0.638264 Ramsey RESET Test: F-statistic Log likelihood ratio

Probability 0.464700 Probability 0.424340

2.380814 2.671606


0.137097 0.102153

66

= 1

2

+


Trng hp 3 Khc phc phng sai sai s thay i bng cch chia cho YYt Yt + CS t 1 Yt u Yt

(10.10)

LS CS/Y 1/Y C CS(-1)/Y

Dependent Variable: CS/Y Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error 1/Y -2.478002 74.42575 C 0.253066 0.060676 CS(-1)/Y 0.626413 0.095424 R-squared Sum squared resid Durbin-Watson stat 0.666755 0.072154 1.636999

t-Statistic -0.033295 4.170761 6.564513

Prob. 0.9737 0.0004 0.0000 0.649882 23.00917 0.000003




0.248651 0.225282

Breusch-Godfrey Seri al Correlation LM Test: AR(1) F-statistic 0.965274 Probability Obs*R-squared 1.092829 Probability

0.336544 0.295845


0.509304 0.595043


0.482943 0.440476

[?] - Kim nh cc khuyt tt ca m hnh (10.8), (10.9), (10.10) - So snh nh gi cc m hnh , xc nh m hnh tt nht?

- Vi m hnh tt nht, phn tch tc ng ca thu nhp Y, chi tiu k trc CS(-1) n chi tiu cng k CS?

CS 1 t = 1

2

+ 3

+67 t


68


HNG DN TI CHNG TRNH EVIEWS4 V S LIU Mt s sinh vin c thc mc v vic ti xung (download) chng trnh Eviews, do phn ny hng dn chi tit cng on ny. 1. Ti chng trnh v s liu t trang mng Ti trang mng khoa Ton kinh t: www.mfe.edu.vn chn mc Th vin, ri mc D liu phn mm.

Trong trang ny c phn Chng trnh cho thc hnh, c lin kt EVIEWS4, nhn chut tri vo lin kt ti v, hoc nhn chut phi v chn Save link as ti v. File ti v l file nn dng zip: Eviews4_2010.zip.

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2. Gii nn th mc chng trnh v s liu Hai file ti v l file nn, cha th s dng ngay. Vi h iu hnh WindowsXP tr i, c th m file nn xem ni dung trc tip, nhng cha phi l gii nn, do cha th chy chng trnh c. Ti th mc cha hai file nn, nhn chut phi vo 1 file nn, v chn gii nn (Extract files hoc Extract Here)

Gii nn c hai file, c th mc Eviews4_2010 v trong c th mc SOLIEU cng 3 th mc d liu l DATA, DATA2, DATA3, v cc file chng trnh.

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Eviews Guide Under 20101115