Huong Dan Su Dung Stata 2014_TuanAnhUEH

7/26/2019 Huong Dan Su Dung Stata 2014_TuanAnhUEH

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TRNG I HC KINH TTPHCM

HNG DN THC HNHSTATA 12

PHN C BN

TRN THTUN ANH


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HNG D N THC HNH STATA 12 2014


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LI MU

Stata l phn mm xl sliu rt mnh, c sdng phbin trong

o to v nghin cu vKinh tlng.

Ti liuHng dn thc hnh Stata 12c son ra phc vcho

sinh vin, hc vin cao hc, nghin cu sinh, cc nh nghin cu mun

tm hiu thc hnh cc kin thc Kinh tlng trn phn mm Stata

Sliu thc hnh c sdng trong ti liu ny c thc tm thy

ti trang web http://sites.google.com/site/anhttt - mc s liu thc

hnh.

y l ti liu c son tho ln u tin nn cn rt nhiu thiu st.

Mi gp gip ci thin ti liu xin gi v a ch mail

[email protected] gixin trn trng mi kin ng gp.

Trn ThTun Anh
http://sites.google.com/site/anhttthttp://sites.google.com/site/anhtttmailto:[email protected]:[email protected]:[email protected]://sites.google.com/site/anhttt


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MC LC

CHNG 1 : GII THIU PHN MM STATA 12 .................................................. 8

1.1. GII THIU GIAO DIN CA STATA 12 ....................................................... 8

1.1.1. Khi ng phn mm Stata ........................................................................... 8

1.2. THAO TC NHP SLIU VO PHN MM STATA ................................ 9

1.2.1. Nhp liu trc tip tbn phm ..................................................................... 9

1.2.4. Mmt tp tin sliu c sn ca Stata ....................................................... 13

1.3. LU DLIU V KT QUTRN STATA ................................................ 14

1.3.1. Lu dliu .................................................................................................. 14

1.3.2. Lu kt quxl sliu ............................................................................. 14

a. Sao chp v ct dn ..................................................................................... 14

b. Sdng file log ........................................................................................... 15

1.4. TO V QUN L BIN (VARIABLE ) TRONG STATA .......................... 17

1.4.1. Xa bin trong Stata .................................................................................... 17

1.4.2. i tn bin trong Stata ............................................................................... 18

1.4.3. To bin mi tnhng bin c ............................................................... 19

1.5. THOT KHI PHN MM STATA ............................................................... 21

CHNG 2 : HI QUY TUYN TNH VI STATA ............................................... 22

2.1. M TSLIU ............................................................................................... 22

2.1.1. M ttp tin sliu ..................................................................................... 22

2.1.2. Thc hin m ttm tt sliu ................................................................... 22

2.1.3. Vthphn tn ........................................................................................ 24

2.2. M HNH HI QUY TUYN TNH - PHNG PHP OLS...................... 25

2.2.1. c lng m hnh hi quy tuyn tnh bng phng php OLS................ 26

2.2.2. Hsxc nh v kim nh hsxc nh ............................................... 27

2.2.3. Khong tin cy ca hshi quy ................................................................ 28


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2.2.4. Kim nh githuyt vhshi quy ........................................................ 29

a. Kim nh githuyt hai pha...................................................................... 29

b. Kim nh githuyt pha phi.................................................................... 30

c. Kim nh githuyt pha tri ..................................................................... 31

d. Kim nh githuyt ng thi lin quan n thp tuyn tnh cc hs

hi quy .................................................................................................................. 31

2.3. PHN D CA M HNH HI QUY ......................................................... 32

2.3.1. Vbiu histogram ca phn d .............................................................. 33

2.3.2. Kim nh tnh chun ca phn d .............................................................. 33

2.4. XUT NHIU KT QUHI QUY DI DNG BNG ........................... 34

CHNG 3 : MRNG HI QUY TUYN TNH ................................................. 36

3.1. HI QUY TUYN TNH QUA GC TA ............................................... 36

3.2. DNG HM LOGLOG; DNG HM LOGLIN; DNG HM LIN

LOG ............................................................................................................................ 36

3.2.1. Dng hm loglog ..................................................................................... 36

3.2.2. Dng hm loglin ...................................................................................... 373.2.3. Dng hm linlog ...................................................................................... 38

3.3. DNG HM BC HAI (QUADRATIC MODEL) .......................................... 39

CHNG 4 : HI QUY VI BIN GI ................................................................... 40

4.1. GII THIU BIN GI .................................................................................... 40

4.2. HI QUY VI BIN GI ................................................................................. 40

4.3.

HI QUY VI BIN TNG TC................................................................ 41

4.4. To bin gitbin nh tnh ............................................................................ 43

4.4.1. To bng lnh tabulate ................................................................................. 43

4.4.2. Dng bin factor .......................................................................................... 44

4.5. TNG TC GIA 2 BIN NH GI- PHNG PHP DIFFERENCE

IN DIFFERENCE ......................................................................................................... 45

4.6. C LNG HM HI QUY THEO TNG NHM ................................... 45


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CHNG 5 : A CNG TUYN .............................................................................. 48

5.1. PHT HIN A CNG TUYN ..................................................................... 48

5.1.1. Hstng quan ......................................................................................... 48

5.1.2. Nhn tphng i phng sai (vif)............................................................ 49

5.2 PHT HIN I DU DO A CNG TUYN ............................................. 49

CHNG 6 : PHNG SAI THAY I .................................................................. 51

6.1. PHT HIN PHNG SAI THAY I ......................................................... 52

6.1.1. thphn d ............................................................................................. 52

6.1.2. Kim nh BreuschPagan ........................................................................ 52

6.1.3. Kim nh White ......................................................................................... 53

6.2. XL PHNG SAI THAY I .................................................................. 55

6.2.1. c lng vng ca ma trn hip phng sai............................................ 55

6.2.2. Phng php bnh phng nhnht tng qut (GLS) ............................... 56

CHNG 7 : TTNG QUAN ............................................................................. 58

7.1. KIM NH TTNG QUAN .................................................................... 59

7.1.1. thphn d ............................................................................................. 59

7.1.2. Biu ttng quan ( ACF - Autocorrelation Function) ......................... 60

7.1.3. Kim nh DurbinWatson ........................................................................ 60

7.1.4. Kim nh BreuschGodfrey ..................................................................... 61

7.2. XL TTNG QUAN ............................................................................. 62

7.2.1. Ma trn c lng hip phng sai Newey - West..................................... 62

7.2.2. Khc phc ttng quan bng GLSthtc Prais - Winsten .................. 63

TI LIU THAM KHO ............................................................................................ 65


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CHNG : GII THIU PHN MM STATA 12

1.1. GII THIU GIAO DIN CA STATA 12

1.1.1.Khi ng phn mm Stata

Tn gi Stata c vit tt tStatistics v data. Vic khi ng Stata c thc thc

hin bng nhiu cch:

Cch 1 : Khi ng bng cch nhp chut kp (double - click) vo biu

tng phn mm trn mn hnh chnh (Desktop) ca hiu hnh.

- Cch 2 : Khi ng bng cch nhp chut kp vi nhng tp tin sliu

c phn mrng l dta. y l nhng tp tin sliu cStata. Khi nhp chut kp

vo nhng tp tin ny, hiu hnh stng khi ng phn mm Stata c

tp tin loi ny.

Lu : trong mt vi trng hp, hiu hnh cha nhn dng c tp tin *.dta l

tp tin ca Stata, mtp tin cn nhp chut phi trn tp tin .dta cn m, chn

Open with v chn Choose default program. Sau nht nt lnh Browse trn

ca shin ra v chng dn n ni ci t Stata hoc chng dn n mn

hnh chnh c biu tng Stata .

Giao din ca phn mm Stata 12 sau khi khi ng sgm c 4 ca schnh

Command : ca slnh, l ni nhp cc cu lnh cn thc hin

Results : ca skt qu, hin thkt quthc thi cc cu lnh

Review : ca sxem li, ni lit k tt ccc cu lnh sdng t

khi Stata c khi ng

Variables : ca s tn bin, lit k danh sch cc bin ang c s

dng


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Pha trn bn tri ca mn hnh Stata l hthng thc n chnh (main menus)

Pha di hthng thc n chnh l thanh cng c hin thcc nt lnh ng vi ccchc nng thng c sdng ca Stata

1.2. THAO TC NHP SLIU VO PHN MM STATA

1.2.1.Nhp liu trc tip tbn phm

Nu mun nhp liu trc tip vo Stata, ngi dng cn sdng mn hnh nhp liu

(Data editor window) ca Stata bng cch nhp chut vo nt lnh edit trn thanh

cng c

Hoc dng lnh


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Khi , ca snhp liu shin th.

1.2.2.

Sao chp v ct dn tExcel

Thay v g sliu trc tip, ta c thsao chp sliu tExcel v dn vo Stata. u

tin, mtp tin Excel c cha dliu, nh du khi nhng d liu cn sao chp (k

c dng tn bin trn cng); sau nhn Ctrl+C thc hin sao chp. Sau ,

chuyn qua ca snhp liu ca Stata, nhn Ctrl + V dn sliu. V dng u tin

l tn bin nn ch chn mc Treat f ir st r ow as var iable name trong hp hi thoi

hin ra sau khi dn dliu.

Sliu sau khi dn sc dng sau:


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Dliu sau khi chuyn sang Stata nh trn sn sng cho vic xl.

1.2.3.

Nhng mt file sliu tExcel

vic nhp liu c thun tin, Stata cn cho php nhng (import) mt tp tin d

liu c sn nhng nh dng khc (nh txt, csv, xls, SAS). Tuy nhin, nh dng

thng gp nht l xls hoc xlsx ca Excel.

Chc nng ny c thc hin bng cch chn mc import trong thc n File ca

hthng thc n chnh hoc dng lnh import ca Stata.

Lnh import c nhp theo v dsau.

Hoc dng hthng thc n ca Stata : F il e/Import/Excel spreadsheet


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Sau khi chn chc nng ththng thc n, ca snhng tp tin shin ra. Ta phi

chng dn n tp tin, chn sheet c s liu, chn vng c s liu trn sheet

chn. Nu dng u tin ca tp tin l tn bin th chn vo import fi rst row as

var iable namev sau nhn OK

Cc bin sau khi c nhp trc tip hoc nhng vo Stata shin thra trong ca s


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bin sbn phi ca mn hnh Stata

1.2.4.Mmt tp tin sliu c sn ca Stata

Nu c sn tp tin sliu ca Stata trn my tnh, c thmtrc tip tp tin ny

bng lnh use

Hoc chn ththng thc n File/Open v chr ng dn n tp tin cn m

trong ca shin ra

Hoc sdng nt lnh Open trn thanh cng c


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1.3. LU DLIU V KT QUTRN STATA

1.3.1.Lu dliu

Mun lu dliu nhp vo Stata, sdng lnh save

Hoc dng thc n File/Save hoc F ile/Save as

Hoc sdng nt lnh save tthanh cng c

1.3.2.

Lu kt quxl sliu

Sau khi xl sliu, kt quxl sliu c lubng nhiu cch.

a. Sao chp v ct dn

Nu mun sao chp v xut kt quxl sliu ra Word hoc Excel, c thdng ccchc nng copy c Stata h tr. Trc ht, chn mng kt qu cn sao chp trn

ca sResult, nhp chut phi v chn mt trong scc chc nng copy trn thc

n hin ra.


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Mi chc nng copy ca Stata c mt nh dng khc nhau. Do , nn la chn

chc nng ph hp nht vi yu cu. Tuy nhin, la chn thng dng nht l copy

table sao chp sliu v nh dng ny ginguyn hngct ca kt qucn sao

chp, ng thi cho php kkhung hoc trang tr li cch trnh by. La chn copy as

picture sxut kt qudng nh nn khng thtrang tr li theo yu cu.

b.

Sdng fi le log

Nhng kt quthc hin lnh c hin thra trn ca skt quresults khng th

lu c bng lnh save. Nu mun lu nhng kt quny, cn sdng tp tin log.

Tp tin log ca Stata c hai nh dng : dng tp tin .txt v dng tp tim .smcl. Tuy

nhin, dng .smcl thng c sdng v n ginguyn nh dng kt qum Stata

xut ra.to mt tp tin .smcl, dng lnh. Pha sau tkha using l ng dn v tn ca

tp tin log sc to

Hoc c thdng hthng thc n File/Log/Begin


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Sau cc thao tc trn, ca skt qushin thcc thng tin cho bit tp tin log

c to

V thanh trng thi cui ca skt qusc dng ch

K t lc ny tri, cc cu lnh cng nh kt qu thc hin cu lnh scStata lu li trong tp tin log. Sau khi kt thc cc thao tc, nu mun dng lu v

ng tp tin log th dng lnh

Hoc chn tthc n chnh F ile /Log/ Close


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Lu : nhng kt quthc hin chc lu khi tp tin log c to, c du hiu

log on cui ca slnh. Nhng kt quthc hin lnh trc khi to tp tin log hoc

sau khi tp tin log c ng u khng c lu li.

1.4.

TO V QUN L BIN (VARIABLE ) TRONG STATA

1.4.1.Xa bin trong Stata

xa bt mt hay nhiu bin trong scc bin to c thdng lnh drop. Pha

sau tn lnh l danh sch cc bin cn xa, mi tn bin cch nhau mt khong trng.

Nu mun xa tt ccc bin trong tp tin sliu, dng lnh

Nu mun xa nhng bin c cng nhng k tu trong tn ging nhau, v vnh

var01, var02, var03; dng lnh

Thay v dng lnh drop, ta chn mt hoc nhiu bin cn xa ca stn bin, nhp


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chuc phi v chn mc Drop Selected Var iables tthc n hin ra.

1.4.2.

i tn bin tr ong Stata

Tn bin c i bng lnh rename

V d, i tn binDT thnh tn bin doanhthu

Nu khng dng lnh, c thdng chc nng ca Stata. Trc ht , cn hin thli s

liu ca cc bin c bng lnh

Hoc c thchn nt lnh browse trn thanh cng c

Sau khi thc hin lnh Browse, ca ssliu shin ra


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Gc trn bn phi ca ca sny l danh sch bin, gc di l cc tnh cht tng

ng ca bin c chn trn danh sch bin nh tn, kiu sliu Do vy, i tn

bin, cn chn bin cn i tn danh sch bin v g tn mi vo Name phn

propertiesbn di.

Lu : V Stata phn bit chhoa v chthng rt r rng nn phi cn thn vn

chhoachthng trong tn bin. ng thi tn bin khng c c khong trng

hoc cc k tc bit nh -, *, {, +, %.% # @ ^ .

1.4.3.

To bin mi tnhng bin c

Dng lnh generate hoc vit gn l gen

V d to bin lnDoanhThu bng logarit c stnhin ca bin DoanhThu c


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Tn ca bin mi sau khi c to sc thm vo ca sdanh sch bin gc phi

mn hnh chnh

Hoc to bin DoanhThu2 bng bnh phng ca bin DoanhThu

Lu : Mt ston tv hm sthng dng trong Stata khi to bin hoc xl s

liu

Du cng +

Du tr -

Du nhn *

Du chia /Du ly tha ^

Ton tv &

Ton thoc |

So snh bng ==

So snh khc != hoc ~=

Phnh ~

Nhhn =

Hm ex : exp()

Hm log nepe : ln()


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TRN THTUN ANH - UEH 21

1.5. THOT KHI PHN MM STATA

kt thc sdng phn mm Stata, c ththot khi phn mm bng cch g lnh exit

vo ca slnh v nhn phm Enter.

Hoc chn mc Exit trong thc n con ca mcFile trong thc n chnh


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CHNG : HI QUY TUYN TNH VI STATA

2.1.

M TSLIU

Trc khi tin hnh hi quy, s liu c thc m tkim tra xem liu sliu c

ph hp vi yu cu nghin cu.

2.1.1.M ttp tin sliu

Dng lnh describe m tcc thng tin chung nht vtp tin sliu nh squan st,

sbin, kch thc tp tin, tn cc bin, kiu sliu ca tng bin, v nhn ca bin (nu

c)

Kt qum ttp tin nh sau

2.1.2.Thc hin m ttm tt sliu

Dng lnh summarize vi c php c bn nh sau


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summarize [varlist] [if] [, options]

V d

Lu :

Nu sau lnh summarize m khng lit k tn bin, phn mm shin ththng

tin ca tt ccc bin hin c trong tp tin sliu.

Nu mun m tchi tit, c thty chn detail vo cui lnh summarize sau khi

thm du phy


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2.1.3.Vthphn tn

Stata vc rt nhiu loi thnhng thphn tn l dng ththng dng nht

khi phn tch hquy.Ngi dng vthphn tn ca hai bin bng lnh scatter

scatter [varlist] [if] [, options]

scatter thng c dng v th gia hai bin.Trong varlist, bin u tin c

lit k l bin trc tung, bin tip theo sl bin trc honh.

Kt quthc hin cu lnh :

vthtgc ta hoc thm tiu , cn thm cc ty chn nh trong cu lnh

sau:


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Kt quthc hin lnh :

lu th, dng lnh

Hoc c thnhn nt lu trn thanh cng cca ca sth. Sau chn ng dn v

t tn cho thcn lu. Phn mrng trong tn thca Stata l .gph

2.2.

M HNH HI QUY TUYN TNH - PHNG PHP OLS

Trong Stata, ngoi vic c lng m hnh, phn mm cn htrrt nhiu cc kim nh

nh gi v la chn m hnh


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2.2.1.c lng m hnh hi quy tuyn tnh bng phng php OLS

Hm hi quy tuyn tnh k bin c dng nh sau

1 2 2 3 3 ...

k kY X X X U

Hm hi quy mu tng ng 1 2 2 3 3 ... k kY X X X e

Vic c lng m hnh hi quy tuyn tnh mu bng phng php OLS trn Stata c

thc hin bng lnh regressvi c php nh sau:

regress depvar [indepvars] [if] [, options]

Bin c nhp sau tn lnh regressl bin phthuc. Tt ccc tn bin c lit k

sau bin phthuc l bin c lp. Ty chn [if] c dng gii hn sliu cn a

vo hi quy.

V dsau sdng sliu ca tp tin doanhthu.dta hi quy tuyn tnh theo hm hi

quy

1 2 3DoanhThu ChaoHang QuangCao U

Trong : DoanhThu thhin doanh thu ca doanh nghip, n vtnh l triu ng/thng.

ChaoHang l bin thhin chi ph cho hng (triu ng/thng)

QuangCao l chi ph qung co ca doanh nghip (triu ng/thng)

hi quy theo v d trn, trc ht, m tp tin doanhthu.dta bng Stata. Sau , hi

quy bng lnh:

Hoc c th gi chc nng hi quy ny t h thng thc n chnhStatistics/Linear

models and related/ Linear regression


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Khi nhp hm hi quy, ta khng cn nhp hstdo v Stata mc nh thm hst

do vo hm hi quy. Kt quhi quy thu c nh sau :

Tkt qutrn, hm hi quy c lng c tmu sliu bng phng php OLS l

78,915 4, 472 2, 298DoanhThu ChaoHang QuangCao e

2.2.2.

Hsxc nh v kim nh hsxc nh

Hsxc nh R2gip nh gi sph hp ca m hnh vi mu nghin cu. N cho

bit mc gii thch ca cc bin c lp vi sbin ng (quanh gi trtrung bnh)

ca bin phthuc. Ngoi R2, Stata cng tnh hsxc nh hiu chnh (Adjusted R2) v

hin th chai trn bng kt quhi quy.


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2.2.3.

Khong tin cy ca hshi quy

Xt hm hi quy tng th 1 2 2 3 3 ... k kY X X X U

V hm hi quy mu tng ng 1 2 2 3 3 ... k kY X X X e

Khong tin cy ca , ( 1, )j j k vi tin cy (1 ) c tnh bng cng thc

2 2

( ), ( )j j j j

t se t se

Trong :

2

t l gi trc c khi tra bng t-Student, mc ngha 2 , bc tdo nk

Gi trny c thtra c bng hm TINVca Excel hoc hm invtail ca Stata

( )jse l sai schun ca

j , c phn mm Stata tnh sn

Tuy nhin, Stata lun tnh sn khong tin cy ca hshi quy vi tin cy 95%.


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Nu mun thay i tin cy, v d99%, dng ty chn level(99) sau lnh regress

2.2.4.

Kim nh githuyt vhshi quy

a.Kim nh githuyt hai pha

Giscn kim nh githuyt hai pha0

1

: 0

: 0

j

j

H

H

vi tin cy (1 )

C 3 cch kim nh

Dng khong tin cy

Dng thng k t

Dng p-value

Kt quhin thtrn Stata htrcba cch kim nh ny


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Giscn kim nh gi thuyt hai pha0 0

1 0

:

:

j

j

H

H

vi tin cy (1 ) v

0 l

mt sthc bt k.

V dcn kim nh0

1

: 7

: 7

ChaoHang

ChaoHang

H

H

vi tin cy 95%

Dng lnh test ca Stata

Kt qukim nh nh sau

b.Kim nh githuyt pha phi

Giscn kim nh githuyt pha phi0

1

: 0

: 0

j

j

H

H

vi tin cy (1 )

Dng thng k t ca kim nh hai pha m Stata tnh sn, so snh vi

gi tr t c c khi tra bng t-Student vi mc ngha bc tdo nk

Giscn kim nh githuyt pha phi0 0

1 0

:

:

j

j

H

H

vi tin cy (1 )

V d, kim nh0

1

: 7

: 7

ChaoHang

ChaoHang

H

H

vi tin cy (1 ) , sdng lnh lincom nh sau :

Kt qusau khi thc hin lnh


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Dng t c c tkt qutrn so snh vi gi tr t c c khi tra bng t-Student

vi mc ngha bc tdo nk

tnh p-value ca kim nh ny, sau khi chy lnh lincom, c thln lt thc hin

cc lnh sau

Lnh ttail() tnh p-value ca kim nh mt pha dng phn phi t-Student

Kt quthc thi cclnh trn nh sau

c. Kim nh githuyt pha tri

Tng tnh kim nh pha phi nhng so snh vi gi tr t

d.

Kim nh githuyt ng thi lin quan n thp tuyn tnh cc hshi quy

Giscn kim nh githuyt0

1

:

:

ChaoHang QuangCao

ChaoHang QuangCao

H

H

vi tin cy (1 )


Kt quthc hin lnh


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1

: 2

: 2

ChaoHang QuangCao

ChaoHang QuangCao

H

H

vi tin cy (1 )


Kt qukim nh


1

: 10

: 10

ChaoHang QuangCao

ChaoHang QuangCao

H

H

vi tin cy (1 )


Kt qu

2.3.

PHN D CA M HNH HI QUY


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Phn d ca m hnh hi quy c ly bng lnh

2.3.1.Vbiu histogram ca phn d

Dng lnh histogram vbiu histogram ca phn d

Kt quthc hin lnh

2.3.2. Kim nh tnh chun ca phn d

Dng lnh sktest kim nh tnh chun ca sai s. Lnh ny i hi phi c t nht 8


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quan st trong mu sliu.

Kt quhin th

2.4.

XUT NHIU KT QUHI QUY DI DNG BNG

xut nhiu kt quhi quy ra trn cng mt bng vi mi phng trnh l mt cng

trong bng, ngi dng c thdng lnh esttabvi v dminh ha nh sau

Kt quxut ra dng bng nh sau


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Lu :nu lnh esttabcha c sn trong Stata, c thci t bng cch dng :


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CHNG 3 : MRNG HI QUY TUYN TNH

3.1. HI QUY TUYN TNH QUA GC TA

Hm hi quy tuyn tnh i qua gc ta khi hstdo bng 0. Khi , hi quy tng

thc dng 2 2 3 3 ... k kY X X X U

c lng hm hi quy qua gc ta bng lnh regress vi ty chn noconstant

Kt quhi quy

3.2. DNG HM LOGLOG; DNG HM LOGLIN; DNG HM LINLOG

3.2.1.

Dng hm loglog

Dng hm loglog c dng 1 2ln( ) ln( )Y X U

V d: cn c lng dng hm 1 2ln( ) ln( )DoanhThu ChaoHang U .


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Cc bc cn thc hin nh sau :

Kt qu

3.2.2.

Dng hm loglin

Dng hm loglin c dng 1 2ln( )Y X U

V d: cn c lng dng hm 1 2ln( )DoanhThu ChaoHang U .

Cc bc cn thc hin nh sau :

Kt qu


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Lu :Nu bin lnDoanhThu c sn th khng cn to li bng lnh generate

3.2.3.

Dng hm linlog

Dng hm loglin c dng 1 2ln( )Y X U

V d: cn c lng dng hm 1 2ln( )DoanhThu ChaoHang U .

Kt qu

Lu :Nu bin lnChaoHang c sn th khng cn to li bng lnh generate


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3.3. DNG HM BC HAI (QUADRATIC MODEL )

Hm hi quy dng bc hai c phng trnh 21 2 3Y X X U

Giscn c lng hm hi quy2

1 2 3DoanhThu ChaoHang ChaoHang U

Cc bc thc hin

Kt quthc hin


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CHNG : HI QUY VI BIN GI

4.1.

GII THIU BIN GI

Bin nh tnh l nhng bin skinh tm gi trkhng thhin bng nhng con sm

bng cc tnh cht m bng cc la chn. a bin nh tnh vo hi quy, ngi ta s

dng bin gi(Dummy variable). BinDummy l nhng bin chnhn gi tr0 v 1. Bin

ny cn c gi l bin nh phn (Binary variable) hay l bin ch mc (indicator

variable)

4.2.

HI QUY VI BIN GI

Sdng tp tin sliu ThuNhapTPHCM.dta, tin hnh m tsliu

Trong tp tin ny c cc bin giNgoaiNgu, DNNN, HoKhau, GioiTinh. Vic hi quy vi

cc bin giny khng c g khc vi hi quy cc bin nh lng thng thng. Tuy

nhin, vic gii thch hshi quy ca bin girt khc vi bin nh lng.


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Giscn hi quy hm tin lng c dng

1 2 4 5 6lnThuNhap KinhNghiem GioiTinh NgoaiNgu HoKhau U

Vic hi quy c thc hin bng cu lnh sau

Kt quhi quy

4.3. HI QUY VI BIN TNG TC

Giscn tng tc gia bin KinhNghiemv GioiTinhxem bin GioiTinh c lm

thay i tc ng bin ca KinhNghiemn bin lnThuNhaphay khng. Dng hm hi

quy vi bin tng tc nh sau :

1 2 3 4 5lnThuNhap KinhNghiem KinhNghiem GioiTinh NgoaiNgu HoKhau U

To bin tng tc


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Thc hin hi quy

Kt quhi quy

Lu : thay v dng hai lnh to ra bin tng tc ri hi quy nh trn, kt qutng

ng c thc to ra bng cch dng mt lnh duy nht

Kt quthc hin lnh


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4.4. To bin gitbin nh tnh

4.4.1.To bng lnh tabulate

Trong sliu ca tp tin ThuNhap_TPHCM c bin BangCap l bin nh tnh vi cc

la chnPTCS(Phthng c s), PTTH (phthng trung hc), CD (Cao ng), DH (i

hc), THS (Thc s) v KH(Khc)

to cc bin ging vi cc la chn ca bin bng cp, dng lnh :

Kt qu, Stata s to ra 6 bin gi tBangCap1 n BangCap6 ng vi 6 la chn,

c m tnh sau


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4.4.2. Dng bin factor

Nhng bin nh tnh c nhp vo theo kiu sliu numeric, thay v to bin gibng

lnh tabulate, c thdng bin factor a vo m hnh

Stata s tng thm bin givo hm hi quy. S bin gi thm vo sbng s la

chn ca bin BangCap tri 1


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4.5. TNG TC GIA 2 BIN NH GI- PHNG PHP DIFFERENCE IN

DIFFERENCE

Tng tc gia hai bin gic gi l phng php D-I-D trong kinh tlng. V d

sau tng tc gia hai bin giGioiTinh vHoKhau

Kt quthc hin lnh

4.6. C LNG HM HI QUY THEO TNG NHM

Gismun c lng mt hi quy thu nhp cho Nam gii v Ngii ring bit. Cu lnh c

thdng trong trng hp ny nh sau


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Kt qul sc hai hm hi quy c c lng

Lu : thay v dng ty chn by hoc bysort, ta c th dng iu kin if sau lnh

regress


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Kt quhi quy cho ngii

Kt quhi quy cho nam gii

Kt qucng vn ging vi dng lnh bysort trn.


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CHNG 5 : A CNG TUYN

5.1. PHT HIN A CNG TUYN

a cng tuyn l hin tng cc bin c lp trong m hnh c mi quan hvi nhau. a

cng tuyn hon ho lm cho m hnh khng c lng c. a cng tuyn khng hon

ho c thlm cho cc bin c lp cng tuyn mt i ngha trong m hnh hoc c th

bsai du ca hshi quy.

Tip tc sdng tp tin sliu ThuNhapTPHCM.dta hi quy hm thu nhp nh sau

1 2 3 4 5lnThuNhap KinhNghiem GioiTinh NgoaiNgu HoKhau U

M hnh c lng c

5.1.1.

Hstng quan

Hstng quan gia cc bin c lp trong m hnh c tnh bng lnh correlate


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Ma trn hstng quan gia cc bin c lp nh sau

5.1.2.

Nhn tphng i phng sai (vif)Mi bin c lp trong m hnh sc mt hsphng i phng sai. tm vif, phi

m bo hm hi quy va chy gn nht trc l hm hi quy cn kim nh a cng

tuyn. Sau dng lnh vif.

Kt qu

5.2.

PHT HIN I DU DO A CNG TUYN

Vic pht hin sai du do a cng tuyn c ththc hin bng cc so snh du ca hs

tng quan gia bin phthuc v cc bin c lpvi du ca hshi quy thu c

bng lnh regress. Nu hai du ny khc nhau, l thhin ca sai du cho cc bin


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c lp c tng quan vi nhau.


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CHNG 6 : PHNG SAI THAY I

Gisxt hm hi quy tuyn tnh 2 2 3 3 ... k kY X X X U

M hnh hi quy tuyn tnh cin ginh rng :

( ) 0iE U 2( ) , 1,iVar U const i n ( , ) 0,i jCov U U i j

Khi githit vskhng i ca phng sai sai sbvi phm sdn n hin tng

phng sai thay i. Khi ,

( ) 0iE U 2( ) , 1,i iVar U i n ( , ) 0,i jCov U U i j

Vy lm sao pht hin m hnh hi quy bphng sai thay i ? X l phng sai

thay i nh th no? Phn thc hnh chng 6 s s dng tp tin s liu

Heteroskesdaticity.dta thc hin cc kim nh v xl khi c phng sai thay i.

Gishm hi quy cn c lng :

1 2 2 3 3 4 4 5 5Y X X X X U

Kt quhi quy


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6.1.

PHT HIN PHNG SAI THAY I

6.1.1.thphn d

Mt trong nhng du hin ban u cho thy c shin din ca phng sai thay i l

sai sphn bkhng ng u xung quanh gi trtrung bnh ca n.

ththu c nh sau:

Ty chn yline(0) vtrc tung ca th. Qua thcho thy phn dca m hnh cphn bkhng u quanh gi trtrung bnh ca n. y l du hiu ca phng sai thay

i.

6.1.2.Kim nh BreuschPagan


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Githuyt H0ca kim nh BreuschPagan l m hnh c phng sai thun nht, gi

thuyt i H1l phng sai ca sai sphthuc vo cc yu t 2,...,i kiz z :

2 2

0

2 2

1 2 2

:

: ( ... )

i

i i m mi

H

H h z z

Sau khi hi quy bng OLS, Stata htrthc hin kim nh BreuschPagan bng lnh:

Kt qukim nh ca m hnh trong v dtrn l

Mt cch dng khc ca kim nh BreuschPagan

Kt qu

6.1.3.Kim nh White

Githuyt H0 ca kim nh White2 2

0

2 2

1

:

: , :

i

i j

H

H i j


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Kim nh phng sai thay i bng kim nh White trn Stata c thc hin bnglnh :

Kt quthc hin lnh

Lu : Trong mt strng hp, nu phn mm khng htrkim nh phng sai thayi bng gi cc cu lnh c xy dng sn, ta c th hi quy phn d kim tra

phng sai thay i ca sai s.

Kt qunh sau :


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6.2.

XL PHNG SAI THAY I

Khi bphng sai thay i, c lng tnh c bng phng php OLS khng cn l

c lng hiu quna. ng thi cc kim nh vhshi quy c tnh ton da

trn ginh 2var( )iU khng cn ng tin cy. Vic x l hin tng phng sai

thay i c thtnh li gi trcc kim nh kim nh ng tin cy hn (bng cch

dng ma trn c lng vng ca hip phng sai) hoc tm c lng hiu qu hn

bng GLS.

6.2.1.c lng vng ca ma trn hip phng sai

Sdng c lng vng ca ma trn hip phng sai sai sdo White(1980) xut

tnh ton li cc gi trkim nh khi c phng sai thay i. Trn Stata, vic ny c

thc hin bng cch thm ty chn robust hoc vce(robust)sau cu lnh regress

Kt qu


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Lu rng sau khi dng ty chn robust, gi trcc hshi quy khng hthay i. Ch

c cc sai schun thay i dn n thng k t v p-value ca kim nh cc hshi

quy thay i.

6.2.2.Phng php bnh phng nhnht tng qut (GLS)

Phng php GLS tm c lng hiu qu trong trng hp phng sai thay i

c thc hin bng cch tm trng s cho sai s; sau khi hi quy vi trng s,

phng sai ca m hnh trnn khng i. Do vy , GLS trong trng hp phng sai

thay i cn c gi l WLS (Weighted Least SquaresBnh phng nhnht c trng

s)

Trong v dtrn, trng sc thtm c nh sau :


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Kt qusau khi hi quy vi trng s

Ngoi ra, mt s cu lnh c vit bi cc nh nghin cu cng cho php thc hin

WLS trn Stata nh wls0, vwls


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CHNG 7 : TTNG QUANHin tng ttng quan thng c xt i vi sliu theo thi gian, khi githit v

skhng tng quan gia cc sai sbvi phm.

Gisxt hm hi quy 1 2t t tY X U

Chng 7 sdng sliu ca tp tin GiaXangDau.dta thc hin cc kim nh v x

l ttng quan.M ttp tin sliu nh sau:

Gishm hi quy cn thc hin:

1 2t t tgiaxangvietnam giaxangthegioi U

Stata nhn dng sliu theo thi gian, cn dng lnh tsset

Binquarter l bin dng chnh thi gian trong tp tin sliu ny. Hi quy m6 hnh


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vi phng php OLS, kt quc lng ban u nh sau :

7.1.

KIM NH TTNG QUAN7.1.1.

thphn d

Cc cu lnh thc hin vthphn d :

thbiu din phn d thu c nh sau:


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7.1.2.Biu ttng quan (ACF - Autocorrelation Function)

Biu t tng quan biu din h s t tng quan tbc 1 n bc k ca mt i

lng ngu nhin ln cng mt th. biu din biu ttng quan tbc 1 n

bc 12 ca bin phandu, cu lnh c sdng nh sau

Biu hin ra nh sau

7.1.3.Kim nh DurbinWatson

Sau khi c lng hm hi quy, tnh gi tr thng k d theo kim nh Durbin

Watson, cn thc thi cu lnh:

Kt qu


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Vi gi trthng k d tnh c, ta tra bng Durbin-Watson, tm ra gi trdL v dU, kthang kim nh Durbin Watson v kt lun v ttng quan bc nht. Ngoi ra, Stata h

trvic kim nh ttng quan bc nht bng DurbinWatson thng qua vic tnh sn

gi trp-value cho kim nh ny.

Kt qup-value c hin thra nh sau :

7.1.4.Kim nh BreuschGodfrey

Kim nh BG trn Stata c htrbng cu lnh estat bgodfrey. Khi kim nh

BG trn Stata cn chr bc ttng quan cn kim nh. Nu khng chr bc t

tng quan, phn mm smc nh kim nh ttng quan bc 1.

V d, kim nh ttng quan tbc 1 n bc 4

Kt qukim nh tng ng


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Nu chcn kim nh ttng quan bc 1 v bc 4 (ngha l khng kim nh t

tng quan bc 2 v 3), cu lnh c dng sl:

Kt quthc hin lnh

7.2.

XL TTNG QUAN

Cng ging nh trng hp phng sai thay i, hin tng ttng quan cng lm cho

c lng OLS khng cn l c lng hiu qunht v cc kim nh vhshi quy

cng khng cn ng tin cy. Do , vic khc phc c ththeo hai hng. Mt l, lm

cho kim nh hshi quy ng tin cy hn bng ma trn c lng hip phng sai

ca NeweyWest. Hai l, tm c lng hiu qubng GLS.

7.2.1.Ma trn c lng hip phng sai Newey - West

sdng ma trn c lng hip phng sai, cn chnh r bandwidth c sdng


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tnh ton ma trn c lng hip phng sai. Bandwidth c thc tnh ton bng

cng thc1

30.75B T hoc 2

94

100TB . Stata khng dng bandwidth mc nh nh

mt sphn mm khc nn ngi dng thng phi chnh con sny.tnh ton bandwidth, ta \c thdng cc cu lnh sau

Kt qubandwidth c chn sl

Vi bandwidth = 3, m hnh hi quy c thc hin vi ma trn c lng hip phng

sai ca NeweyWest nh sau :

Kt quthc hin cu lnh trn

7.2.2.Khc phc ttng quan bng GLSthtc Prais - Winsten


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Mt thtc phbin ca GLS xl trong trng hp ttng quan bc nht c

xut bi Prais Winsten(1954). Stata thc hin th tc ny bng lnh prais. C php

lnh ny rt ging lnh regress

Kt quthc hin

Lnh prais c cc ty chn tnh hsttng quan rhokhc nhau (g help prais

xem trgip ca Stata vcc ty chn ny).


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TI LIU THAM KHOLee C. Adkins & R. Carter Hill (2011), Using Stata for Principles of Econometrics, 4th

edition, Wiley Publisher.

White, H. (1980), A Heteroscedasticity-Consistent Covariance Matrix Es timator and a

Direct Test for Heteroscedasticity.Econometrica48, 817-838.

Prais, S. J. and Winsten D. B., (1954), Trend Estimators and Serial Correlation

Cowles Commission,Discussion Paper No. 383, University of Chicago.

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