Bai Tập EVIEWS 2011-Libre

Bi tp Kinh t lng phn mm EVIEWS

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Ch trong ti liu Download ni dung bi tp trn trang mfe.edu.vn th vin/d liu-phn

mm [?] Ni dung cu hi Cc ni dung cn lu ca bi tp c in nghing v m Prob: vit tt ca Probability value (p-value) gi tr xc sut, y l mc xc sut thp nht cn c th bc b H0 trong cp gi thuyt tng ng Gi tr ti hn ca cc phn phi T, F, 2 c tra trong bng ph lc gio trnh Kinh t lng hoc phn mm EXCEL

Chng II Bi tp 2.12 a/ Vit hm hi qui tng th:

PRF: E(QA/PAi) = 1 + 2 * PAi Vit hm hi qui mu:

SRF: QAi = 1814,139 - 51,7514 * PAi Gii thch kt qu c lng nhn c: 1 = 1814,139 cho bit lng bn trung bnh v nc gii kht ca hng A khi gi bn = 0. Gi tr ny c hiu nh lng cu tim nng trung bnh ca th trng i vi nc gii kht ca hng A. Theo kt qu c lng ca phn mm EVIEWS, 1 = 1814,139 > 0 , gi tr ny ph hp vi l thuyt kinh t. 2 = -51,7514 cho bit khi gi bn ca nc gii kht hng A thay i 1 n v (nghn ng/lt) th lng bn hng A s thay i nh th no. Du m ca gi tr c lng nhn c tm thi th hin quan h nh hng ca gi ti lng bn l ngc chiu. Gi tr 2 = -51,7514 cho bit khi gi bn tng 1 nghn ng/lt nc gii kht th lng bn s gim xung 51,7514 nghn lt v ngc li (trong iu kin cc yu t khc khng thay i). Theo l thuyt kinh t, vi mt hng ha thng thng th gi tng s lm lng cu v hng ha gim v ngc li (trong iu kin cc yu t khc khng i). Vi

2 = -51,7514 < 0 cho thy kt qu ny ph hp vi l thuyt kinh t.

b/ Vi PA0 = 20, c lng im lng bn trung bnh: QA0 = 1814,139 - 51,7514 * 20 = 779,111

c/ Kim nh cp gi thuyt:

0: 0: 21 20 HH Gi thuyt H0 th hin thng tin gi bn khng nh hng n lng bn Tiu chun kim nh:

)(02

2 SET

vi min bc b H0 : )2(2

: ntTTW Vi kt qu c lng ca EVIEWS:

)(258806,5840903,9

07514,51 PAstatisticTTqs Min bc b H0 vi = 5%: 074,2::: )224( 025,0)2(

2 TTtTTtTTW n

WTqs bc b gi thuyt H0 Lng bn ca hng nc gii kht A c chu nh hng ca gi bn * C th s dng gi tr P-value (Probability value) ca h s 2 trong bo co kt lun: P-value (PA) = 0,0000 < = 0,05 bc b H0 Lu (gi tr P-value ny ch p dng c vi cp gi thuyt ny, cc cp gi thuyt khc v h s hi quy khng p dng c)

d/ Kim nh cp gi thuyt:

0: 0: 21 20 HH Gi thuyt H0 th hin thng tin gi bn gim khng lm tng lng bn Gi thuyt H1 th hin thng tin gi bn gim c lm tng lng bn Tiu chun kim nh:

)(02

2 SET v )2(: ntTTW Ta c:

)(258806,5840903,9

07514,51 PAstatisticTTqs Min bc b H0 vi = 5%: 717,1::: )224( 05,0)2( TTtTTtTTW n

WTqs bc b gi thuyt H0 Nh vy gim gi c lm tng lng bn

e/ Cn xc nh khong tin cy i xng ca h s 2

))();(( 2)2(2

22)2(

22 SEtSEt nn

(-51,7514 2,074*9,840903 ; -51,7514 + 2,074*9,840903) (-72,1614 ; -31,3414) Gi bn gim 1 nghn/lt th lng bn s tng ln trung bnh trong khong (31,3414 ; 72,1614) nghn lt

f/ Da trn ngha ca h s 2: khi bin PA tng 1 n v th QA tng 2 n v v ngc li khi bin PA tng 1 n v th QA gim (- 2) n v Yu cu xc nh gi tr ti a ca (- 2), do cn tm gi tr ti thiu ca 2 vi mc = 5%. Xc nh khong tin cy bn phi ca 2:

));(( 2)2(2 SEt n (-51,7514 1,717 * 9,840903 ; ) (-68,6482; ) Kt lun: gi tng 1 nghn/lt th lng bn gim ti a trung bnh l 68,6482 nghn lt.

g/ Kim nh cp gi thuyt:

50: 50: 21 20 HH Da trn ngha ca h s 2 : khi bin PA tng 1 n v th QA tng 2 n v v ngc li khi bin PA tng 1 n v th QA gim (- 2) n v [?] PA tng 1 n v th QA gim > 50 n v cn kim nh - 2 > 50 hay 2 < -50 Gi thuyt H0 th hin thng tin kin u bi a ra l SAI Gi thuyt H1 th hin thng tin kin u bi a ra l NG Tiu chun kim nh:

)()50(

2


0,1779840903,9

507514,51 qsT Min bc b H0 vi = 5%: 717,1::: )224( 05,0)2( TTtTTtTTW n

WTqs cha c c s bc b gi thuyt H0 Nh vy gi tng 1 nghn/lt th lng bn khng gim nhiu hn 50 nghn lt.

h/ Tnh TSS t thng tin trong bo co OLS ca EVIEWS: Cch 1: TSS = (n-1) * (SD Dependent variable)2 = 23 * 292,76732 = 1971391,9148

Cch 2: 431971390,81556943,01

5,8734381 2

RRSSTSS Hai kt qu c 1 cht sai lch do s liu ca cc thnh phn trong cng thc b lm trn khc nhau.

Tnh ESS = TSS RSS = 1971390,8143 873438,5 = 1097952,3143 Gi tr RSS c cung cp trong bo co ca phn mm EVIEWS

i/ H s xc nh ca m hnh R2 = 0,556943. Gi tr ny cho bit hm hi quy mu (hoc bin PA - gi bn) gii thch c 55,6943 % s bin ng ca lng bn hng nc gii kht A.

k/ c lng im cho 2 (phng sai sai s ngu nhin) l 2 39701,75

2245,873438

2 2 nRSS

Hoc 22 )( (SE of Regression)2 = (199,253)2 = 39701,75

(+) c lng khong cho tham s 2

9823,10 5,873438;7807,36 5,873438;;)2(;)2( )22( 975,0)22( 05,0)2( 21)2( 2)2( 21

2

)2(2

2 RSSRSSRSSRSSnn nnnn = (23747,1962 ; 79531,4734)

l/ D bo gi tr trung bnh ca lng bn khi gi bn bng 18 nghn/lt

PA0 = 18 QA0 = 1814,139 - 51,7514 * PA0 = 882,6138 39701,75

2245,873438

2 2 nRSS

n = 24

17,20837514,51

139,18145833,923

2

1 QAPA Var( 2 ) = 9,8409032 = 96,8434 Thay s vo cng thc:

41,4118)var()()( 2202

0 PAPAn

QASE

Khong tin cy cho lng bn trung bnh khi gi bn bng 18 nghn/lt: (882,6138 2,074 * 41,4118 ; 882,6138 + 2,074 * 41,4118) (796,7257 ; 968,5019) nghn lt

(+) D bo lng bn c bit khi gi bn bng 18 nghn/lt:

203,5109)var()()( 22202

0 PAPAn

QASE

Khong tin cy cho lng bn c bit khi gi bn bng 18 nghn/lt: (882,6138 2,074 * 203,5109 ; 882,6138 + 2,074 * 203,5109) (460,5322 ; 1304,6954) nghn lt

Bi tp 2.13 a/ Vit hm hi quy tng th

PRF: E(Y/Li) = 1 + 2 * Li Vit hm hi qui mu:

SRF: ii LY 068681,6538,255 Du ca cc c lng c ph hp vi l thuyt kinh t:

0538,2551 gi tr ny cho bit cn c 1 lng lao ng nht nh (L0) th qu trnh sn xut mi din ra v c sn phm c sn xut. C th ni du ca c lng ny l ph hp vi thc t. Cng c th gii thch cch khc, l s liu ca hi quy ch nm trong vng L v Y dng, do du m ca c lng h s chn khng nh hng n kt qu hi quy

0068681,62 gi tr ny ph hp vi l thuyt v khi tng lao ng cho qu trnh sn xut th sn lng s tng ln v ngc li (trong iu kin cc yu t khc khng i).

b/ Kim nh cp gi thuyt:

0: 0: 11 10 HH H0 cho bit h s chn khng c ngha thng k H1 cho bit thng tin ngc li.

Cch 1: Tiu chun kim nh:

)(02

2 SET v )2( 2: ntTTW Ta c:

01 L L0

Y SRF

)(562533,272089,99

0538,255 CstatisticTTqs Min bc b H0 vi = 5%: 101,2::: )220( 025,0)2(

2 TTtTTtTTW n

WTqs bc b gi thuyt H0 Cch 2: Prob(C) = 0,0196 = 0,01 hoc s dng min bc b: 878,2::: )220( 005,0)2(

2 TTtTTtTTW n WTqs


0: 0: 21 20 HH H0 cho bit Sn lng khng ph thuc vo Lao ng H1 cho bit thng tin ngc li

Tiu chun kim nh:

)(02


)(138894,874564,0

0068682,6 LstatisticTTqs Min bc b H0 vi = 5%: 101,2::: )220( 025,0)2(

2 TTtTTtTTW n

WTqs bc b gi thuyt H0 Hoc s dng Prob(L) = 0,0000 < = 0,05 bc b H0 Kt lun: Sn lng c ph thuc vo Lao ng

(+) Vi R2 = 0,786329 bin Lao ng gii thch c 78,6329% s bin ng ca bin Sn lng.

d/ Khong tin cy bn tri ca 2 :

))(;( 2)2(2 SEt n )74564,0734,1068681,6;(

)36162076,7;( Thm 1 n v Lao ng th sn lng tng ti a 7,36162076 n v.

e/ Kim nh cp gi thuyt:

7: 7: 21 20 HH Tiu chun kim nh:

)(72


249,174564,0

7068682,6 qsT Min bc b H0 vi = 5%: 734,1::: )220( 05,0)2( TTtTTtTTW n

WTqs cha c c s bc b gi thuyt H0 kin u bi l SAI.

f/ D bo gi tr trung bnh ca Sn lng khi lng lao ng l 150 n v. L0 = 150 0Y = -255,538 + 6,068681* L0 = 654,76415

2043,192222046,36777

2 2 nRSS

n = 20

133,0499068681,6

538,2559,551

2

1 YL Var( 2 ) = 0,745642 = 0,556 Thay s vo cng thc:

13,03655)var()()( 2202

0 LLn

YSE

Khong tin cy cho sn lng trung bnh khi lng lao ng l 150 n v: (654,76415 2,101 *13,03655 ; 654,76415 + 2,101 *13,03655)

Chng III Bi tp 3.5 (+) PRM: QAi = 1 + 2 * PAi + 3* PBi + Ui (+) SRM: QAi = 1003,407 59,05641* PAi + 55,63005* PBi + ei

a/ Gii thch c lng cc h s gc: 2 = -59,05641 cho bit khi gi bn ca nc gii kht hng A thay i 1 n v (nghn

ng/lt) th lng bn hng A s thay i nh th no. Gi tr 2 = -59,05641 cho bit khi gi bn tng 1 nghn ng/lt nc gii kht th lng bn s gim xung trung bnh 59,05641 nghn lt v ngc li (trong iu kin cc yu t khc khng thay i).

3 = 55,63005 cho bit khi gi bn hang B tng 1 nghn ng/lt nc gii kht th lng bn s tng ln trung bnh 55,63005 nghn lt v ngc li (trong iu kin cc yu t khc khng thay i).

b/ Cn tm khong tin cy i xng ca 2 ))();(( 2)3(

222

)3(2

2 SEtSEt nn (-59,05641 2,08 * 9,269155; -59,05641 + 2,08 * 9,269155) (-78,3363; -39,7766) Gi hng A tng 1 nghn, gi hng B khng i th lng bn s gim trung bnh trong khong (39,7766;78,3363) nghn lt.

c/ Cn tm khong tin cy i xng ca 3 ))();(( 3)3(

233

)3(2

3 SEtSEt nn (55,63005 2,08 * 21,9159; 55,63005 + 2,08 * 21,9159) (10,0449;101,2151) Gi hng B tng 1 nghn, gi hng A khng i th lng bn s tng ln trung bnh trong khong (10,0449;101,2151) nghn lt.


0: 0: 321 320 HH

Ta c:

)071,63(29159,21269155,9),cov(2)var()var()( 22323232 SE= 20,9781 Tiu chun kim nh:

)(032

32 SET v )3( 2: ntTTW 1633,0

9781,20063005,5505641,59 qsT 08,2::: )324( 025,0)3(

2 TTtTTtTTW n

WTqs Cha c c s bc b H0 Khi gi hng A v B cng tng 1 nghn th lng bn hng A khng thay i.

e/ Gi hng B tng 1 nghn lng bn hng A tng 3 Gi hng A gim 1 nghn lng bn hng A tng ( 2 ) Tng mc tng ca lng bn ca hng nc gii kht A l ( 23 ) Cn tm khong tin cy bn tri ca ( 23 )

))(.;( 23)3(23 est n (- ; 59,05641+55,63005+1,721*26,31228) (- ;159,9699) Kt lun: gi hng A gim 1 nghn cn gi hng B tng 1 nghn th lng bn hng A tng ti a trung bnh l 159,9699 nghn lt.

f/ Tnh R2: (+) T cng thc:

222

)7673,292()124(4,6683701)..()1(11 ariableDependentVDSn RSSTSSRSSR

(+) T cng thc: )628676,01(1)1(1 22 RR

(+) T cng thc F-statistic:

47028,20

)3()1(

)13(2

2 n

R

RstatisticF

13311

12

nstatisticFR

g/ Cc cch kim nh b bin PB ra khi m hnh: (+) Kim nh cp gi thuyt:


)(03


)(538342,29159,21

063005,55 PBstatisticTTqs Min bc b H0 vi = 5%: 08,2::: )324( 025,0)3(

2 TTtTTtTTW n

WTqs bc b gi thuyt H0 Hoc s dng Prob(L) = 0,0191 < = 0,05 bc b H0

(+) Kim nh thu hp hi quy:

0: 0: 31 30 HH 4396,6

)324()4,668370(

)4,6683705,873438(

)3()(

1)(

)324()660965,01(

)557,0660965,0(

)3()1(

1)(

2

22

n

RSS

RSSRSS

nR

RRF

L

LN

L

NL

qs

325,4::: )21,1( 05,0)3,1( FFFFFFFFW n WFqs bc b H0

(+) So snh 2R ca 2 m hnh:

Vi 2LR = 0,628676 Vi 0,5369 2223)557,01(121)1(1 22 nnRR NN Do 2R tng ln vic a b bin PB l khng thch hp. Lu : vic ch b bt hay thm vo 1 bin c th dng 2R nhng nu b bt hay thm vo m hnh nhiu bin s th bt buc hc vin phi dng kim nh thu hp.

Bi tp 3.6 (+) PRF: iiii LKKLYE lnln)ln,ln(ln 321 (+) PRF vi cc bin gc Y, K, L: 321),( iiii LKeKLYE

(+) SRF: iii LKY ln599932,0ln510023,0764682,0ln (+) SRF vi cc bin gc Y, K, L: 599932,0510023,0764682,0 iii LKeY

1 = 0,764682 cho bit sn lng trung bnh ca doanh nghip (do cha c y thng tin nn tm gi nh cc quan st dng hi quy l cc quan st v doanh nghip, trn thc t, cc quan st c th v ngnh sn xut hoc quc gia) c 1 n v vn v 1 n v lao ng = 764682,0e . Theo kt qu c lng ca phn mm EVIEWS, 1 = 0,764682 > 0, gi tr ny chp nhn c trn thc t.

2 = 0,510023 cho bit khi vn tng 1% th sn lng doanh nghip tng 0,510023% v ngc li (trong iu kin cc yu t khc khng thay i). Gi tr ny > 0 th hin vn tng th sn lng tng theo v ngc li ph hp vi l thuyt kinh t. 3 = 0,599932 cho bit khi lao ng tng 1% th sn lng doanh nghip tng 0,599932% v ngc li (trong iu kin cc yu t khc khng thay i). Gi tr ny > 0 th hin lao ng tng th sn lng tng theo v ngc li ph hp vi l thuyt kinh t.

b/ [?] Phi chng c 2 bin c lp u gii thch cho s bin ng ca bin ph thuc. Lu : Cch dng t y l chnh xc (nu s dng cch hi: c th ni c vn v lao ng u gii thch cho bin sn lng th khng thch hp v dng hm hi quy khng phi p dng vi cc bin gc Y, K, L). Bn cnh , hc vin ch cu hi c ni dung gn ging vi cu hi trn: Phi chng c hai bin c lp u KHNG gii thch cho bin ph thuc. Trng hp ny kim nh s ph hp ca hm hi quy 0: 0:0: 0: 23221 32021

20 HHRH RH

Cn kim nh 2 cp gi thuyt:

0: 0:)1( 21 20 HH v 0: 0:)2( 31 30 HH

Cch 1: dng Prob so snh vi . Vi (1): Prob(lnK) = 0,0009 < =0,05 bc b H0 Vi (2): Prob(lnL) = 0,0273 < =0,05 bc b H0 Kt lun: c hai bin c lp u nh hng n bin ph thuc Lu : Kt lun trn cha thc s dng c trong phn tch (v cn lin quan n cc khuyt tt ca m hnh cha c kim tra ni dung ny hc trong cc chng sau)

Cch 2: S dng kim nh T Vi (1): Tiu chun kim nh:

)(02


)(ln01722,4126959,0

0510023,0 KstatisticTTqs Min bc b H0 vi = 5%: 11,2::: )320( 025,0)3(

2 TTtTTtTTW n

WTqs bc b gi thuyt H0

Vi (2):

)(03


)(ln415183,22484,0

0599932,0 LstatisticTTqs Min bc b H0 vi = 5%: 11,2::: )320( 025,0)3(

2 TTtTTtTTW n

WTqs bc b gi thuyt H0 Kt lun: nh trn

c/ Cn tm khong tin cy bn tri ca 2 : ))(;( 2)3(2 SEt n

( ; 0,5100233 + 1,74 * 0,126959) ( ; 0,7309) Kt lun: vn tng 1% th sn lng tng ti a l 0,7309% (iu kin cc yu t khc khng i).

d/ Cn tm khong tin cy bn phi ca 3 : ));(( 3)3(3 SEt n

(0,599932- 1,74 * 0,2484 ; ) (0,1677 ; ) Kt lun: lao ng tng 1% th sn lng tng ti thiu l 0,1677% (iu kin cc yu t khc khng i).

e/ Khong tin cy i xng ca 32 )027736,0(22484,0126959,0),cov(2)var()var()( 22323232 SE

= 0,1493 (0,510023+0,599932-2,11*0,1493 ; 0,510023+0,599932+2,11*0,1493) (0,7949 ; 1,4249)

f/ Kim nh cp gi thuyt:

0: 0: 321 320 HH )027736,0(22484,0126959,0),cov(2)var()var()( 22323232 SE

= 0,3651

2463,03651,0

599932,0510023,0 qsT 11,2::: )320( 025,0)3(2

TTtTTtTTW n WTqs chp nhn gi thuyt H0 khi vn tng 1 % v lao ng gim 1% th sn

lng khng thay i.

g/ Kim nh cp gi thuyt:

1: 1: 321 320 HH H0 th hin thng tin qu trnh sn xut c hiu qu khng i theo quy m. H1 th hin thng tin qu trnh sn xut c hiu qu tng theo quy m.

)027736,0(22484,0126959,0),cov(2)var()var()( 22323232 SE= 0,1493

0.73651493,0

1599932,0510023,0qsT 74,1::: )320( 05,0)3( TTtTTtTTW n

WTqs chp nhn gi thuyt H0 qu trnh sn xut c hiu qu khng i theo quy m.

h/ Kim nh thu hp hi quy:

0: 0: 31 30 HH H0 th hin thng tin c th b bin ln L H1 th hin thng tin khng th b bin ln L Tiu chun kim nh:

)320/()1(1/)(

2

22 N NLR RRF v FFFW }:{ )17,1( 05,0 5,8345

17/)910215,01()8794,0910215,0( qsF

FFFFFW }48,4:{}:{ )17,1( 05,0 WFqs bc b H0 khng th b bin (lnL) ra khi m hnh

Chng IV Bi tp 4.4 a/ Vit hm hi qui tng th:

iiiiii PAHHPAPAHHPAQAE )(),,( 4321 Vi nhng thng ma lnh (H = 1):

iiii PAPAHHPAQAE )()(),1,( 4231 Vi nhng thng ma nng (H = 0):

iiii PAPAHHPAQAE 21),0,(

(+) Hm hi qui mu: iiii PAHHPAAQ )(11565,275565,885151,577741,1972

Vi nhng thng ma lnh (H = 1): ii PAAQ 30,03535 - 1087,2176

Vi nhng thng ma nng (H = 0): ii PAAQ 151,577741,1972

b/ Vi PA0 = 20 (+) c lng im lng bn ca hng (ma lnh): QA0 = 1087,2176-30,03535 * 20 = 486,5106

(+) c lng im lng bn ca hng (ma nng): QA0 = 1972,7741 57,151 *20 = 829,7541


0: 0: 31 30 HH Prob[H] = 0,0001 < = 0,05 bc b H0 h s chn ca m hnh c khc nhau gia 2 ma. (C th dng tiu chun kim nh T kim nh trong trng hp khng c Prob Xem li cc bi mu trn, ch bc t do trong cc kim nh v khong tin cy ca bi tp ny u l (n-4))


0: 0: 41 40 HH Prob[H] = 0,0227 < = 0,05 bc b H0 h s gc ca m hnh c khc nhau gia 2 ma.

(+) H s gc chnh lch nhau trong khong tin cy i xng ca 4 : (27,11565 - )424(

2

t * 10,98241; 27,11565 + )424(2

t * 10,98241) Hc vin t tnh kt qu

e/ Cu hi yu cu kim nh du ca 4 . Do 02 (gi c tc ng ngc chiu n lng bn) nn nu 4 > 0 th vo ma nng vic gim gi c nh hng lng bn mnh hn, nu 4 < 0 th vo ma lnh vic gim gi c nh hng mnh hn n lng bn. Gi : ta c du ca 04 nn vic kim nh thng tin 4 < 0 l khng c ngha. Cn xc nh l 4 > 0 thc s hay c th coi l = 0 (vic gim gi i vi 2 ma c nh hng n lng nh nhau) Cp gi thuyt:


)(04

4 SET v )4(: ntTTW )*(469006,2

98241,10011565,27 PAHstatisticTTqs

Min bc b H0 vi = 5%: 725,1::: )20( 05,0)4( TTtTTtTTW n WTqs bc b gi thuyt H0 Vo ma nng th vic gim gi nh hng n lng bn mnh hn.

f/ Cn tm khong tin cy i xng ca 42 )89,12(298241,10466111,9),cov(2)var()var()( 22424242 SE

= 13,5809

(-57,151+27,11565-2,086*13,5809; -57,151+27,11565+2,086*13,5809) Kt qu hc vin t tnh

g/ Kim nh thu hp hi qui: H0: Khng nn a thm bin ma vo m hnh H1: Nn thm bin vo m hnh

)424()1(

2)(

2

22

L

NL

R

RRF v }:{ )20,2( 05,0FFFW Ta c:

3,714820

)676992,01(2

)557,0676992,0( qsF

FFFFFW }493,3:{}:{ )20,2( 05,0 WFqs bc b H0

Nn a thm yu t ma vo m hnh

h/ y l dng bi tp tnh hung, yu cu hc vin a ra m hnh v cch phn tch cc gi nh c a ra (cha c s liu c lng c th). t bin gi (do yu t nh tnh ch c 2 phm tr nn s dng 1 bin gi): S = 1 vi cc quan st t qu 1 nm 2006 (u nm 2006) S = 0 vi cc quan st trc qu 1 nm 2006 Lu : Cch t bin ny c th ngc li, khi cn ch v cp gi thuyt (nu trng hp thun l kim nh > 0 th trng hp nghch s l kim nh < 0 hoc ngc li) Yu t nh tnh c tc ng n bin gi (t 2006, do cnh tranh mnh nn gi nh hng n lng bn mnh hn) nn to thm bin tch S*PA M hnh mi:

iiii UPASPAQA )(321 Vi cc quan st trc 2006 (S=0):

iii UPAQA 21 Vi cc quan st t 2006 (S = 1):

iii UPAQA )( 321 Do 2 < 0 nn kim tra kin u bi a ra, cn kim nh cp gi thuyt:

0: 0: 31 30 HH Vi H0 l kin u bi SAI, H1 l kin u bi NG Tiu chun kim nh:

)(03

3 SET Min bc b H0:

}:{ )324( 05,0 tTTW Do cha c s liu nn ch c th lp lun v cc tnh hung: Nu WTqs th bc b H0 kin u bi l NG Nu WTqs th chp nhn H0 kin u bi l SAI

Chng V Bi tp 5.4 a/ Hm hi qui tng th (d u bi khng yu cu, hc vin vn nn vit, thun li cho vic a ra cc kim nh pha sau):

)1(),,( 4321 iiiiii QBPBPAQBPBPAQAE

Cc c lng trong bng 3.5 Cc c lng trong bng 5.4 0407,10031

H s ny c ngha thng k, cho bit lng cu tim nng v sn phm hng nc gii kht A khong 1 triu lt

076,132651 H s ny khng c ngha thng k, ngha kinh t l lng cu tim nng v sn phm hng nc gii kht A l > 13 triu lt. ln ca gi tr ny khng ph hp trn thc t.

005641,592 H s ny c ngha thng k. Cho bit khi gi bn tng 1 nghn/lt th lng bn gim trung bnh 59 nghn lt v ngc li. Du c lng ph hp vi l thuyt.

01886,582 H s ny c ngha thng k. Cho bit khi gi bn tng 1 nghn/lt th lng bn gim trung bnh 58 nghn lt v ngc li. Du c lng ph hp vi l thuyt.

063005,553 H s ny c ngha thng k. Cho bit gi bn sn phm B tng 1 nghn/lt th sn phm A bn thm c 55,6 nghn lt v ngc li (2 hng ha thay th). Gi tr ny ph hp vi l thuyt.

07366,4343 H s ny khng c ngha thng k. Cho bit gi bn sn phm B tng 1 nghn/lt th sn phm A bn gim i 434,7 nghn lt v ngc li. Du ca gi tr ny khng ph hp vi l thuyt.

0111723,64 H s ny khng c ngha thng k. Cho bit lng bn sn phm B tng 1 nghn th sn phm A bn gim i trn 6 nghn lt v ngc li. Du ca gi tr ny c th coi l ph hp vi l thuyt.

b/ Kim nh:

0: 0: 31 30 HH Prob[PB] = 0,7037 > = 0,05 chp nhn H0 h s ng vi bin PB khng c ngha thng k. Kt qu ny khc vi kt qu trong bng bo co hi quy ca bng 3.5.

c/ Cch kim tra a cng tuyn trong m hnh (1): Cch 1: S dng hi quy ph

)2(),( 321 iiii PBmPAmmPBPAQBE y, chng ta hi quy QB theo PA v PB v nguyn nhn gy ra a cng tuyn trong m hnh (1) l quan h cht ch gia lng bn hng B(QB) v gi bn ca hng ny(PB). Quan h ny tng i d nhn ra theo l thuyt kinh t, trong nhng trng hp khc, khi mi quan h cng tuyn kh xc nh th c th thc hin nhiu hi quy ph vi bin ph thuc ln lt l cc bin c lp ca m hnh. Nu tn ti 1 hi quy ph c ngha th hi quy chnh c hin tng a cng tuyn v ngc li. Cc hc vin cng cn lu cch chn hi quy ph (v d: bi tp 3/I trong Bi Ging Kinh T Lng, hi quy chnh l Q-lng c nh bt c ph thuc vo P-gi bn c v R-lng ma. Nu chn hi quy ph l R ph thuc vo P, khng sai v k thut nhng khng thch hp trn thc t)

T (2) thu c 22R , kim nh cp gi thuyt:

0: 0: 221220

RHRH

H0: m hnh gc khng c a cng tuyn H1: m hnh gc c a cng tuyn

Tiu chun kim nh:

)324()1(

222

22

RR

F

FFFFFW }467,3:{}:{ )21,2( 05,0 Nu WFqs bc b H0 M hnh gc c hin tng a cng tuyn Nu WFqs chp nhn H0 M hnh gc khng c hin tng a cng tuyn

Cch 2: Da trn mu thun ca cc kim nh t v F trong hi quy gc. (+) Kim nh t v ngha thng k ca cc h s gc

0: 0: 31 30 HH Prob[PB] = 0,7037 > = 0,05 chp nhn H0 h s ng vi bin PB khng c ngha thng k.

0: 0: 41 40 HH Prob[QB] = 0,6680 > = 0,05 chp nhn H0 h s ng vi bin QB khng c ngha thng k.

(+) Kim nh F v s ph hp ca hi quy:

0: 0: 212

0

RHRH

Tiu chun kim nh:

)424()1(

32

2

RR

F v FFFW }:{ )20,3( 05,0 18329,13

)424()664147,01(

3664147,0 qsF

FFFFFW }098,3:{}:{ )20,3( 05,0 Do WFqs bc b H0 M hnh gc ph hp. M hnh c mu thun gia cc kim nh t v F c du hiu ca hin tng a cng tuyn trong m hnh gc.

d/ C 2 m hnh hi quy ph dng kim tra a cng tuyn ca m hnh gc: (5.5) iiii QBmPBmmQBPBPAE 321),( (5.6) iiii PBmPAmmPBPAQBE 321),( (+) Vi m hnh (5.5), ta kim nh:

0: 0: 25.512

5.50

RHRH

Prob[F-statistic bng 5.5]=0,218443 > =0,05 chp nhn H0: cha c c s kt lun m hnh gc c a cng tuyn

(+) Vi m hnh (5.6), ta kim nh:

0: 0: 26.512

6.50

RHRH

Prob[F-statistic bng 5.6]=0,000000 < =0,05 bc b H0: c th kt lun m hnh gc c a cng tuyn Hai hi quy ph c kt lun khc nhau do nguyn nhn gy ra a cng tuyn trong hi quy gc l mi quan h cht ch gia QB v PB, do hi quy (5.5) chn c 2 bin QB v PB lm bin c lp nn hi quy (5.5) khng th pht hin c hin tng a cng tuyn trong m hnh gc.

e/ M hnh (1) c hin tng a cng tuyn. l a cng tuyn khng hon ho v chng ta vn c lng c cc h s trong hi quy ny.

f/ C nhiu cch khc phc a cng tuyn vi m hnh gc: Cch 1: b bin QB hoc PB khi m hnh (1). Thng thng nn b bin QB. Cch 2: s dng hi quy sai phn cp 1 xc nh mi quan h gia cc bin trong ngn hn:

)()()( 1413121 iiiiiiii QBQBPBPBPAPAQAQA Sau khi c lng cc gi tr 432 ,, th gi tr BBAA QPPQ 4321 Cch 3: i dng m hnh (1): Nu mun xc nh nh hng ca bin QB ti bin QA, vn c th gi bin s ny, tuy nhin cn i dng ca bin s ny trong (1) khc phc a cng tuyn:

(*)1)1,,( 4321i

iii

ii QBPBPAQBPBPAQAE M hnh (*) c th khc phc c hin tng a cng tuyn trong (1) v QB khng c quan h tuyn tnh hon ho vi QB

1 , nh vy gia PB v QB1 cng khng c quan h

tuyn tnh hon ho. Tuy nhin phng php ny c th khng hon ton khc phc c a cng tuyn trong (1).

g/ Khi b bin QB ra khi (1), m hnh cn li khng chc khc phc c a cng tuyn trong m hnh. Mun kim tra a cng tuyn cho m hnh mi:

)1(),( 321 bPBPAPBPAQAE iiii S dng hi quy ph:

)2()( 21 bPBmmPBPAE ii Kim nh:

0: 0: 21 20 mH mH )(.

02

2

mESmT

Min bc b H0: }:{ )2(2

ntTTW Do cha c s liu nn ch c th lp lun v cc tnh hung: Nu WTqs th bc b H0 m hnh (1b) c hin tng a cng tuyn Nu WTqs th chp nhn H0 m hnh (1b) khng c hin tng a cng tuyn Hoc kim nh:

0: 0: 221220

b

b

RHRH

)224()1( 22

22

bb

RR

F

FFFW }:{ )22,1( 05,0 Nu WFqs bc b H0 m hnh (1b) c hin tng a cng tuyn Nu WFqs chp nhn H0 m hnh (1b) khng c hin tng a cng tuyn

h/ Ta c hi quy chnh: )3(),( 321 bPBPAPBPAQBE iiii

Hi quy ph: )4()( 21 bPAmmPAPBE ii

Kim nh cp gi thuyt:

0: 0: 21 20 mH mH

1,5233086,0

0131,0 qsT Min bc b H0: TTtTTW }074,2:{}:{ )224( 025,0 WTqs chp nhn H0 m hnh (3b) khng c hin tng a cng tuyn.

Chng VI Bi tp 6.5 Hm hi qui tng th:

)1(),( 321 iiii KLKLYE a/ Bng (6.6) cung cp cho chng ta kt qu kim nh White c h s cho (RESID = ie l phn d ca hi quy (1))

(+) M hnh White c h s cho: )2()( 262543212 iiiiiii VKmLmLKmKmLmme

M hnh ny dng kim tra phng sai sai s thay i trong (1)

(+) Kim nh cp gi thuyt: H0: (1) c phng sai sai s ng u H1: (1) c phng sai sai s thay i

Cch 1: Prob(F-statistic) = 0,018776 < = 0,05 bc b H0 m hnh (1) c hin tng phng sai sai s thay i. Cch 2: Fqs = 3,972746 (ly trong bo co t u bi) Min bc b H0: FFFFFW }958,2:{}:{ )14,5( 05,0

WFqs bc b H0 m hnh (1) c hin tng phng sai sai s thay i.

b/ M hnh White khng c h s cho: )3(25243212 iiiiii VKmLmKmLmme

Kim nh cp gi thuyt: H0: (1) c phng sai sai s ng u H1: (1) c phng sai sai s thay i

Cch 1: Prob(F-statistic) = 0,009471 < = 0,05 bc b H0 m hnh (1) c hin tng phng sai sai s thay i. Cch 2: Fqs = 4,961715 (ly trong bo co t u bi) Min bc b H0: FFFFFW }056,3:{}:{ )15,4( 05,0

WFqs bc b H0 m hnh (1) c hin tng phng sai sai s thay i.

c/ M hnh trong bng (6.8) l m hnh do GLEJSER xut kim tra Phng sai sai s thay i trong (1):

)4(21 iii VLmme Kim nh cp gi thuyt:

0: 0:0: 0: 241240

21

20

RHRH

mHmH

H0: (1) c phng sai sai s ng u H1: (1) c phng sai sai s thay i

Prob[L] = 0,0023 < = 0,05 bc b H0 (1) c phng sai sai s thay i Hoc Prob[F-statistic] = 0,002283 < = 0,05 bc b H0 (1) c phng sai sai s thay i

d/ M hnh hi quy ph (kim nh PARK): )5()ln()ln( 212 iii VKmme

Kt qu ny dng kim tra hin tng phng sai sai s thay i trong (1):

0: 0: 251250

RHRH


)220/()105,01(105,0 qsF = 2,1117

Min bc b H0: FFFFFW }414,4:{}:{ )18,1( 05,0 WFqs chp nhn H0 m hnh (1) c hin tng phng sai sai s ng u.

e/ M hnh hi quy ph (kim nh da trn bin ph thuc): )6( 2212 iii VYmme

M hnh (6) dng kim tra hin tng phng sai sai s thay i trong (1): Kim nh:


0: 0: 21 20 mH mH

Tiu chun kim nh: 2

2

2

)(. mES mF v }:{ )2,1( nFFFW

Ta c:

45,7234126,0852,0 2 qsF

Min bc b H0: FFFFFW }414,4:{}:{ )18,1( 05,0 WFqs bc b H0 m hnh (1) c hin tng phng sai sai s thay i.

Hi quy (6) da trn gi thit v cu trc ca hin tng phng sai sai s thay i nh sau:

222 )],([ iii KLYE

f/ Khc phc (1) da trn thng tin kim nh t cu (e) T (1) iY l gi tr c lng ca bin ph thuc

(*)1

)1( 321i

i

i

i

i

i

ii

i

YU

YK

YL

YYY

g/ )7(2212 iii VLmme Kt qu dng kim tra phng sai sai s thay i trong (1)

0: 0: 271270

RHRH


)220/()722,01(722,0 qsF = 46,7482


(+) Khc phc: bin i m hnh ban u (**)1)1( 321

i

i

i

i

ii

i

LU

LK

LLY

h/ Bng kt qu 6.9 cung cp kt qu c lng cho m hnh (**) trong cu (g). bit cch khc phc ny cha c khuyt tt phng sai sai s thay i trong (1) hay khng, ta kim nh:

H0: (**) c phng sai sai s ng u H1: (**) c phng sai sai s thay i

Prob[F-statistic]=0,417838 > = 0,05 chp nhn H0 m hnh (**) khc phc c hin tng phng sai sai s thay i trong (1)

i/ c lng cho m hnh (1) da trn kt qu trong (**): SRM: iiii eKLY 696025,1430546,281014,56

(+) Lao ng tng 1 n v th sn lng tng ti a l: 4,051 931296,0430546,2 )320(2 t lao ng tng 1 n v th sn lng tng trung bnh ti a l 4,051 n v (iu kin

cc yu t khc khng i)

k/ M hnh gc: )8()ln()ln()ln( 321 iiii UKLY

(+) M hnh White c h s cho: )9()(ln)(ln)ln(ln)ln()ln( 262543212 iiiiiii VKmLmLKmKmLmme

M hnh ny dng kim tra phng sai sai s thay i trong (8)

(+) Kim nh cp gi thuyt: H0: (8) c phng sai sai s ng u H1: (8) c phng sai sai s thay i

Ta c: Fqs = 1,779605

Min bc b H0: FFFFFW }958,2:{}:{ )14,5( 05,0 WFqs chp nhn H0 m hnh (8) c hin tng phng sai sai s ng u.

l/ Kim nh da trn bin ph thuc:

ii Ymme ln212 )10(2 iV

vi ie l phn d v iYln l gi tr c lng bin ph thuc trong (8) H0: (8) c phng sai sai s ng u H1: (8) c phng sai sai s thay i

0: 0: 21 20 mH mH Tiu chun kim nh:

2

2

2

)(. mES mF v FFFW }:{ )18,1( 05,0

0,458802978,0020171,0 2 qsF


Chng VII Bi tp 7.5 a/ Hm hi quy tng th:

PRF: E(QA/PAi) = 1 + 2 * PAi (1) Vi n = 24, k = k -1 = 2 1 = 1 dL = 1,273 v dU = 1,446 Ta c thng k DURBIN WATSON d = 0,480522 ],0[ Ld Kt lun: m hnh (1) c t tng quan dng

b/ Kt qu trong bng (7.6) l kim nh BREUSCH GODFREY v hin tng t tng quan bc 1 trong m hnh (1): Hi quy ph:

)2(1321 iiii VemPAmme vi ie l phn d ca m hnh (1) v 1ie l bin tr ca n. Do c s xut hin ca 1ie trong m hnh nn theo l thuyt th m hnh (2) c 23 quan st. Tuy nhin trong phn mm EVIEWS, gi tr b thiu do bin tr ca bin phn d c gn bng 0, nn trn thc t m hnh (2) vn s dng 24 quan st hi quy.

(+) Kim nh cp gi thuyt: H0: (1) khng c t tng quan bc 1 H1: (1) c t tng quan bc 1

Cch 1: Prob[F-statistic] = 0,003724 < = 0,05 bc b H0 (1) c t tng quan bc 1 Cch 2: Ta c Fqs = 10,64234 Min bc b H0: WFFFFFFW qs }325,4:{}:{ )324,1( 05,0 Bc b H0 (1) c t tng quan bc 1

c/ M hnh ph: )3(241321 iiiii VememPAmme

Kim nh cp gi thuyt:

0: 0: 41 40 mH mH

H0: (1) khng c t tng quan bc 2 H1: (1) c t tng quan bc 2

Prob[RESID(-2)] = 0,4721 > = 0,05 chp nhn H0 (1) khng c t tng quan bc 2

d/ Vi d = 0,480522 76,0759,02

480522,012

1 d Thay gi tr ny vo phng trnh sai phn tng qut khc phc hin tng t tng quan bc 1 trong (1):

iiiii PAPAQAQA )76,0()76,01(76,0 1211 (4) M hnh (4) c th khc phc t tng quan bc 1 trong (1)

e/ Thng tin trong bng (7.8) cho bit kt qu c lng ca m hnh (4) (va cp cu d). Kt qu dng khc phc t tng quan bc 1 trong (1).

(+) Kim nh cp gi thuyt: H0: (4) khng c t tng quan bc 1 H1: (4) c t tng quan bc 1

Prob[F-statistic] = 0,51113 > = 0,05 chp nhn H0 m hnh (4) khng c t tng quan bc 1 Kt lun: khc phc c khuyt tt trong (1)

f/ Theo kt qu c lng ca (4): 1530,95 76,01 428,367)1( 11 m

2352,48 22 m

(+) SRF ca (1) theo kt qu c lng ca (4): PAQA 2352,4895,1530

(+) Khong tin cy i xng ca 2 (-48,2352 2,074*11,88927 ; -48,2352 + 2,074*11,88927) (-72.8935 ; -23,5769) gi bn tng 1 nghn/lt th lng bn gim trung bnh trong khong (23,5769 ; 72,8935) nghn lt.

g/ Qu trnh c lng COCHRANE ORCUTT hi t sau 4 bc lp (Convergence achieved after 4 iterations) c lng im h s t tng quan bc 1: 682252,0

h/ PRF: E(QA/PAi , PAi-1) = 1 + 2 * PAi + 3 * QAi-1 (5) H0: (5) khng c t tng quan bc 1 H1: (5) c t tng quan bc 1

Ta c: Prob[F-statistic] = 0,2244029 > = 0,05 chp nhn H0 (5) khng c t tng quan bc 1.

(+) Cc bc tin hnh kim nh BREUSCH GODFREY vi (5): Bc 1: T (5) phn d ie Bc 2: T ie to ra 1ie (bin tr bc 1 ca ie ) Bc 3: Hi quy ph:

)6(1321 iiii VQAmPAmme )7(141321 iiiii VemQAmPAmme

Bc 4: Kim nh cp gi thuyt H0: (5) khng c t tng quan bc 1 H1: (5) c t tng quan bc 1

Tiu chun kim nh 1:

)423()1(

1)(

27

26

27

R

RRF

V min bc b H0: }:{ )423,1( 05,0FFFW

Lu : Tuy cc quan st b thiu do tr ca phn d gy ra c gn bng s 0 (ch trong kim nh BREUSCH GODFREY, phn mm mi thc hin iu ny), nhng m hnh (5) c s xut hin ca bin 1iQA nn mt 1 quan st t trc. Do m hnh (5) ch c 23 quan st.

Tiu chun kim nh 2: 27

2 )123( R

V min bc b H0: })1(:{ 2 05,022W

Theo l thuyt th trong cng thc kim nh ny ta s dng 272 )123( R , nhng trn thc t c lng th kt qu tnh ton: 272 23 Rqs

Chng VIII Bi tp 8.1 a/ Hm hi quy tng th:

PRF: E(QA/PAi) = 1 + 2 * PAi (1) (+) Kim nh dng hm hi quy, s thiu bin ca m hnh (1) Kim nh Ramsey Reset: Bc 1: T (1) phn d ie v gi tr c lng ca bin ph thuc iQA Bc 2: T iQA to ra iQA 2 , iQA 3 , (p bin) Bc 3: Hi quy ph: iii QAmPAmmQA 321 iQAm 42 )2(...3 iV

iii QAmPAmme 321 iQAm 42 )3(...3 iV Bc 4: Kim nh cp gi thuyt

H0: (1) c dng hm ng / khng thiu bin gii thch H1: (1) c dng hm sai / c thiu bin gii thch

Tiu chun kim nh 1:

)224()1(

)(22

21

22

pR

pRR

F

Min bc b H0: }:{ )224,(FFFW pp

Tiu chun kim inh 2: 23

2 24 R

V min bc b H0: })(:{ 222 pW

b/ Hi quy ph: iii QAmPAmmQA 321 iV2 )2(

Kim nh: H0: (1) c dng hm ng / khng thiu bin gii thch H1: (1) c dng hm sai / c thiu bin gii thch

Prob[F-statistic] = 0,013685 < = 0,05 bc b H0 M hnh (1) c dng sai

c/ Hi quy ph: iii QAmPAmme 321 iV2 )3(

(3) dng kim tra dng hm ng/sai cho (1): Kim nh:

H0: (1) c dng hm ng / khng thiu bin gii thch H1: (1) c dng hm sai / c thiu bin gii thch Tiu chun kim nh:

23

2 24 R v )}1(:{ 2 05,022 W

6,1533256389,0242 qs Min bc b H0:

}84146,3:{})1(:{ 222 05,022 W Wqs 2 bc b H0 M hnh (1) c dng sai

d/ M hnh gc: )4(321 iiii VPBmPAmmQA

(+) M hnh ph vi kim nh RAMSEY th nht: iiii QAmPBmPAmmQA 4321 iV2 )5(


Prob[F-statistic] = 0,097342 > = 0,05 chp nhn H0

(+) M hnh ph vi kim nh RAMSEY th hai:

iii QAmPAmmQA 321 iQAm 42 )6(3 iV Kim nh:

H0: (4) c dng hm ng / khng thiu bin gii thch H1: (4) c dng hm sai / c thiu bin gii thch

Prob[F-statistic] = 0,200905 > = 0,05 chp nhn H0 m hnh (4) c dng ng/khng thiu bin gii thch

e/ Hi quy ph: iiii QAmPBmPAmme 4321 iV2 )7(


Tiu chun kim nh: 27

2 24 R v )}1(:{ 2 05,022 W

2,112088,02424 272 Rqs

Min bc b H0: }84146,3:{)}1(:{ 222 05,022 W

Wqs 2 chp nhn H0 M hnh (4) c dng ng/ m hnh khng thiu bin gii thch quan trng.

Bi tp 8.2 Hc vin t lm da trn cc ni dung c hc

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