Bài Tập Eviews 2011

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Bi tp Kinh tlng

phn mm EVIEWS----- o0o -----

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

PRF: E(QA/PAi) = 1+ 2* PAi

Vit hm hi qui mu:

SRF: QAi = 1814,139 - 51,7514 * PAiGii 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 y 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 trc 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

H

H

Gi thuyt H0th hin thng tin gi bn khng nh hng n lng bn

Tiu chun kim nh:

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)(

0

2

2

SDT

Vi kt qu c lng ca EVIEWS:

)(258806,5840903,9 7514,51)( 0

2

2 PAstatisticTSE

Tqs

Min bc b H0vi = 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 2trong 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

H

H

Gi thuyt H0th hin thng tin gi bn gim khng lm tng lng bn

Gi thuyt H1th hin thng tin gi bn gim c lm tng lng bn

)(258806,5840903,9

7514,51

)(

0

2

2 PAstatisticTSE

Tqs

Min bc b H0vi = 5%:

717,1::: )224( 05,0)2( TTtTTtTTW n


Nh vy gim gi c lm tng lng bn

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

))();(( 2)2(

222

)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

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f/ Da trn ngha ca h s 2: khi bin PA tng 1 n v th QA tng 2n 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 2vi mc

= 5%.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/ Cu hi cn iu chnh:

C th cho rng gi tng 1 nghn/lt th lng bn gim nhiu hn 50 nghn lt haykhng?

(Nu gi nguyn cu hi c GI TNG 1 NGHN TH LNG BN TNG

NHIU HN 50 NGHN LT, vn c th tin hnh kim nh bnh thng vi cp

gi thuyt:

50:

50:

21

20

H

H

nhng khng ph hp vi l thuyt kinh t v kt qu c lng)

Kim nh cp gi thuyt:

50:

50:

21

20

H

H

Da trn ngha ca h s 2: khi bin PA tng 1 n v th QA tng 2n 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 H0th hin thng tin kin u bi a ra l SAIGi thuyt H1th hin thng tin kin u bi a ra l NG

0,1779840903,9

507514,51

)(

)50(

2

2

SETqs

Min bc b H0vi = 5%:

717,1::: )224( 05,0)2( TTtTTtTTW n

WTqs

cha c c s bc b gi thuyt H0Nh vy gi tng 1 nghn/lt th lng bn khng gim nhiu hn 50 nghn lt.

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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

5,873438

1 2

R

RSSTSS

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

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 55,69% 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

39701,75224

5,873438

2 2

n

RSS

Hoc

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

(+) c lng khong cho 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

RSSRSSRSSRSSnnnnnn

= (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

39701,75224

5,873438

2 2

n

RSS

n = 24

17,20837514,51

139,18145833,923

2

1

QAPA

Var( 2 ) = 9,8409032= 96,8434

Thay s vo cng thc:

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41,4118)var()(

)( 22

0

2

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()(

)( 222

0

2

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

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Bi tp 2.13a/ 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..

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

H

H

H0cho bit h s chn khng c ngha thng k

H1cho bit thng tin ngc li.

Cch 1:

)(562533,2

72089,99

538,255

)(

0

1

1 CstatisticT

SE

Tqs

Min bc b H0vi = 5%:

101,2::: )220( 025,0)2(2

TTtTTtTTW n


Cch 2:

Prob(C) = 0,0196 = 0,01 hoc s dng min bc b:

01 LL0

Y

SRF

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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.

)(138894,874564,0

068682,6

)(

0

2

2 LstatisticTSE

Tqs

Min bc b H0vi = 5%:

101,2::: )220( 025,0)2(2

TTtTTtTTW n


Hoc s dng Prob(L) = 0,0000

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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

113,5107

220

46,36777

2 2

n

RSS

n = 20

133,0499

068681,6

538,2559,551

2

1

YL

Var( 2 ) = 0,745642= 0,556

Thay s vo cng thc:

8615,12)var()(

)( 22

0

2

0

LLn

YSE

Khong tin cy cho sn lng trung bnh khi lng lao ng l 150 n v:(654,76415 2,101 *12,8615 ; 654,76415 + 2,101 *12,8615)

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Chng IIIBi tp 3.5(+) PRM: QAi = 1+ 2* PAi+ 3* PBi+ Ui

(+) SRM: QAi = 1003,407 59,05641* PAi+ 55,63005* PBi+ eia/ 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(

22 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 bnhtrong khong (39,7766;78,3363) nghn lt.

c/ Cn tm khong tin cy i xng ca 3

))();(( 3)3(

233

)3(

23 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.

d/ Kim nh cp gi thuyt:

0:

0:

321

320

H

H

Ta c:

)071,63(29159,21269155,9),cov(2)var()var()(. 22323232 es

= 20,9781

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1633,09781,20

63005,5505641,59

)(

32

32

SETqs

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 lng tng ca hng 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

ariableDependentVDSnRSS

TSSRSSR

(+) T cng thc:

)628676,01(1)1(1 22 RR

(+) T cng thc F-statistic:

47028,20

)3()1( )13(2

2

nR

R

statisticF

3

13)(1

3

13)(

2

nstatisticF

nstatisticF

R

g/ Cc cch kim nh b bin PB ra khi m hnh:

(+) Kim nh cp gi thuyt:

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0:

0:

31

30

H

H

)(538342,29159,21

63005,55

)

(

0

3

3 PBstatisticT

SE

Tqs

Min bc b H0vi = 5%:

08,2::: )324( 025,0)3(2

TTtTTtTTW n


Hoc s dng Prob(L) = 0,0191

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1 = 0,764682 cho bit sn lng trung bnh ca doanh nghip (do cha c

y thong 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 hi l 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:

0:23

221

320

21

20

H

H

RH

RH

Cn kim nh 2 cp gi thuyt:

0:

0:

)1( 21

20

H

H

v

0:

0:

)2( 31

30

H

H

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)

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Cch 2: S dng kim nh T

Vi (1):

)(ln01722,4126959,0

510023,0

)(

0

2

2 KstatisticTSE

Tqs

Min bc b H0vi = 5%:

11,2::: )320( 025,0)3(2

TTtTTtTTW n


Vi (2):

)(ln415183,22484,0

599932,0

)(

0

3

3 LstatisticTSE

Tqs

Min bc b H0vi = 5%:

11,2::: )320( 025,0)3(2

TTtTTtTTW n


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 es

= 0,1493

(0,510023+0,599932-2,11*0,1493; 0,510023+0,599932+2,11*0,1493)

(0,7949;1,4249)

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f/ Kim nh cp gi thuyt:

0:

0:

321

320

H

H

)027736,0(22484,0126959,0)

,

cov(2)

var()

var()

(.22

323232 es

= 0,3651

2463,03651,0

599932,0510023,0

qsT

11,2::: )320( 025,0)3(2

TTtTTtTTW n

WTqs chp nhn gi thuyt H0khi vn tng 1 % v lao ng gim 1% th sn

lng khng thay i.

g/ Kim nh cp gi thuyt:

1:

1:

321

320

H

H

H0th hin thng tin qu trnh sn xut c hiu qu khng i theo quy m.

H1th hin thng tin qu trnh sn xut c hiu qu tng theo quy m.

)027736,0(22484,0126959,0),cov(2)var()var()(. 22323232 es

= 0,1493

0.7365

1493,0

1599932,0510023,0qsT

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

WTqs chp nhn gi thuyt H0qu trnh sn xut c hiu qu khng i theo

quy m.

h/ Kim nh thu hp hi quy:

0:

0:

31

30

H

H

H0th hin thng tin c th b bin ln L

H1th hin thng tin khng th b bin ln L

5.8345

17/)910215,01(

)8794,0910215,0(

)320/()1(

1/)(2

22

N

NLqs

R

RRF

FFFFFW }48,4:{}:{ )17,1( 05,0

WFqs bc b H0khng th b bin ln L ra khi m hnh

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Chng IVBi tp 4.4a/ 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

H

H

Prob[H] = 0,0001

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Prob[H] = 0,0227 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:

0:

0:

41

40

H

H

)*(469006,298241,10

11565,27

)(

0

4

4 PAHstatisticTSE

Tqs

Min bc b H0vi = 5%: 725,1::: )20( 05,0

)4( TTtTTtTTW n


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 es

= 13,5809(-57,151+27,11565-2,086*13,5809; -57,151+27,11565+2,086*13,5809)

Kt qu sinh 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

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3,7148

20)676992,01(

2)557,0676992,0(

)424()1(

2)(

2

22

L

NL

qsR

RR

F

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 2006Lu : 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

H

H

Vi H0l kin u bi SAI, H1l kin u bi NG

)(.

3

3

ESTqs

Min bc b H0:

}:{ )324( 05,0tTTW

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

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Chng VBi tp 5.4a/ 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 khngc 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 phhp 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


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


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

H

H

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Prob[PB] = 0,7037> = 0,05 chp nhn H0h 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 cngtuyn 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:

0:221

220

RH

RH

H0: m hnh gc khng c a cng tuyn

H1: m hnh gc c a cng tuyn

)324()1(

222

22

R

R

Fqs

FFFFFW }467,3:{}:{ )21,2( 05,0

Nu WFqs bc b H0M hnh gc c hin tng a cng tuyn

Nu WFqs chp nhn H0M 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

H

H

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Prob[PB] = 0,7037> = 0,05 chp nhn H0h s ng vi bin PB khng c

ngha thng k.

0:

0:

41

40

H

H

Prob[QB] = 0,7037> = 0,05 chp nhn H0h s ng vi bin QB khng c

ngha thng k.

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

0:

0:2

1

20

RH

RH

18329,13

)424()1(

32

2

R

R

Fqs

FFFFFW }098,3:{}:{ )20,3( 05,0

Nu WFqs bc b H0M 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:

0:2

5.51

25.50

RH

RH

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:

0:2

6.51

26.50

RH

RH

Prob[F-statistic bng 5.6]=0,000000 < =0,05 chp nhn H0: cha c c s 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

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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

ii

i

iiQB

PBPAQB

PBPAQAE

M hnh (*) c th khc phc c hin tng a cng tuyn trong (1) v QB khng

c quan h tuyn tnh hon ho viQB

1, nh vy gia PB v

QB

1cng khng c

quan h tuyn tnh hon ho. Tuy nhin phng php ny c th khng hon ton

khc phc c a cng tuyn khng hon ho trong (1).

g/ Khi b bin QB ra khi (1), m hnh cn li khng chc chn 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

)(.

2

2

mES

mTqs

Min bc b H0: }:{ )224( 025,0tTTW

Do cha c s liu nn ch c th lp lun v cc tnh hung:

Nu WTqs th bc b H0m hnh (1b) c hin tng a cng tuyn

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Nu WTqs th chp nhn H0 m hnh (1b) khng c hin tng a cng

tuyn

Hoc kim nh:

0:

0:221

2

20

b

b

RH

RH

)224()1( 22

22

b

bqs

R

RF

FFFW }:{ )22,1( 05,0

Nu WFqs bc b H0m hnh (1b) c hin tng a cng tuyn

Nu WFqs chp nhn H0m 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

131,0

)(.

2

2

mES

mTqs

Min bc b H0: TTtTTW }074,2:{}:{ )224( 025,0

WTqs chp nhn H0m hnh (3b) khng c hin tng a cng tuyn.

Chng VI

Bi tp 6.4Hm 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()(2

6

2

54321

2

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

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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 H0m hnh (1) c hintng phng sai sai s thay i.

Cch 2: Fqs= 3,972746

Min bc b H0: FFFFFW }958,2:{}:{ )14,5( 05,0

WFqs bc b H0m hnh (1) c hin tng phng sai sai s thay i.

b/ M hnh White khng c h s cho:

)3(25

2

4321

2

iiiiii

VKmLmKmLmme

Kim nh cp gi thuyt:



Cch 1: Prob(F-statistic) = 0,009471 < = 0,05 bc b H0m hnh (1) c hin

tng phng sai sai s thay i.

Cch 2: Fqs= 4,961715

Min bc b H0: FFFFFW }056,3:{}:{ )15,4( 05,0


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:

0:241

240

21

20

RH

RH

mH

mH



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):

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)220/()722,01(

722,0

qsF = 46,7482

Min bc b H0: FFFFFW }414,4:{}:{ )18,1( 05,0


(+) Khc phc

(**)1

)1( 321i

i

i

i

ii

i

L

U

L

K

LL

Y

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

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( 26

254321

2iiiiiii VKmLmLKmKmLmme

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




Cch 2: Fqs= 1,779605Min bc b H0: FFFFFW }958,2:{}:{ )14,5( 05,0

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WFqs chp nhn H0m 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)



0:

0:

21

20

mH

mH

0,4588

22

2

2

02978,0020171,0

)(.mES

mFqs

Min bc b H0: FFFFFW }414,4:{}:{ )18,1( 05,0


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Chng VIIBi tp 7.5a/ 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 = 0,4480522 ],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.


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

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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

480522,01

21 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).




Prob[F-statistic] = 0,51113 > = 0,05 chp nhn H0m 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

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h/ PRF: E(QA/PAi) = 1+ 2* PAi + 3* QAi-1 (5)



Ta c:

Prob[F-statistic] = 0,2244029 > = 0,05 chp nhn H0(5) khng c t tngquan 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



Tiu chun kim nh 1:

)423(

)1(1

)(

27

26

27

R

RR

Fqs

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( Rqs

V min bc b H0:

})1(:{ 2 05,022W

Theo l thuyt th trong cng thc kim nh ny ta s dng 272 )123( Rqs ,

nhng trn thc t th kt qu c tnh l 272 23 Rqs

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Chng VIIIBi tp 8.1a/ 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 iQA2 , 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

p

R

pRR

Fqs

Min bc b H0:

}:{ )224,(FFFW pp

Tiu chun kim inh 2:23

2 24 Rqs

V min bc b H0:

})(:{ 222 pW

b/ Hi quy ph:

iii QAmPAmmQA 321 iV2 )2(

Kim nh:



Prob[F-statistic] = 0,013685 < = 0,05 bc b H0M hnh (1) c dng sai

c/ Hi quy ph:

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iii QAmPAmme 321 iV2 )3(

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

Kim nh:



6,1533 256389,02424 232 Rqs

V min bc b H0:

}84146,3:{})1(:{ 222 05,022 W

Wqs2

bc b H0M 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(

Kim nh:



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:



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(

Kim nh:



2,112 088,02424 272 Rqs

V min bc b H0:

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}84146,3:{})1(:{ 222 05,022 W

Wqs2

chp nhn H0M hnh (4) c dng ng/khng thiu bin gii thch

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

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