Vi Vn Chnh Trong Thc Hnh E-View

MC LC
(Bm gi Ctrl ri bm vo mc cn xem n nhanh mc )
MC LC............................................................................................................................................ 1
Xem Th:....................................................................................................................................... 2
Chy M Hnh V Cch c M Hnh...................................................................................................2
Kim nh tham s............................................................................................................................. 3
Kim nh s ph hp ca m hnh hi quy........................................................................................3
Tm khong c lng (khong tin cy) cho cc tham s:..................................................................3
D bo gi tr trung bnh v gi tr c bit ca Y0 khi bit X0.............................................................4
M hnh hi quy c bin gi................................................................................................................ 5
Cch pht hin a cng tuyn............................................................................................................ 6
Kim tra phng sai thay i.............................................................................................................. 7
Kim tra t tng quan...................................................................................................................... 8
Kim nh loi b cc bin khng cn thit.........................................................................................8

Xem Th:
Vo Quick > Show, trong ca s hin ra g tn cc bin c trong m hnh vo ri bm OK. Tip theo vo:
View -> Graph -> Scatter -> Simple Scatter: th phn tn.
View -> Graph -> Scatter -> Scatter with Regression: th phn tn c ng hi quy.

Chy M Hnh V Cch c M Hnh.

Chy m hnh
chy m hnh hi quy, ta bm gi nt Ctrl trn bn phm v chn cc bin trong m hnh (trong v d ny l
bin Y v bin X), lu l phi chn bin ph thuc u tin (Y), xong bm phi chn Open > as Equation

Sau khi bm OK, bng kt qu hi quy s hin ra nh sau ( loi b nhng dng khng cn thit):

Cch c kt qu nh sau:
Dependent Variable: bin ph thuc (nu m khng phi l Y th bn b sai ri)
2

Inclued observations: s quan st

Variable: tn cc bin c lp trong m hnh trong C l h s t do (1)
Coefficient: Gi tr c lng ca tham s, trong hnh 1=0.154206 v 2=-0.000645. ngha nh sau
1=0.154206 l gi tr ca Y khi X=0, 2=-0.000645 l mc gim ca Y
khi X tng 1 n v.
Std. Error: lch (sai s) tiu chun (cn gi l se, nh hnh trn se(
1) = 0.176299 v se( 2) = 0.002403
t-Statistic: kim nh t cho cc bin s, tham s.
Prob: p-value ca cc bin s, tham s.
R-squared: h s xc nh R2. R2 l t l phn bin ng ca Y c
gii thch t X, l s ph thuc ca Y vo X, mc gii thch ca X cho
Y.
Adjusted: R-squared: H s R2 hiu chnh, cn nhc khi xem xt vic a thm bin gii thch mi vo m
hnh (nu bn cm thy mt X cha gii thch)
S.E. of regession: c lng ca
F-statistic: Kim nh F cho h s R2, dng kim nghim xem R2 c ngha thc s hay khng (R2 c bng
0 hay khng)
Prob(F-statistic): p-value(F), dng kim nghim xem R2 c ngha thc s hay khng (R2 c bng 0 hay
khng)

Kim nh tham s
Kim nh tham s ngha l kim tra xem cc h s hi quy c c ngha thng k hay khng, ni cch khc l
chng c khc 0 hay khng. Gi s m hnh ca ta s c hnh thc nh th ny: Y = 1 + 2X. Trong , Y l bin
ph thuc, X l bin c lp, 1 l h s t do, 2 l h s gc. Nu 2 = 0 th X khng nh hng n Y.
t gi thit H0: 2=0 (h s khng c ngha thng k), H1: 2 0
Nu |tkd|

, bc b H0

Nu p-value

, bc b H0

Ngi ta thng t H0 tri vi gi thit cn kim chng.

Kim nh s ph hp ca m hnh hi quy

Kim nh s ph hp ca m hnh l kim nh h s R2 c khc 0 mt cch c ngha thng k hay khng.
t gi thit H0: R2=0 (X hon ton khng gii thch c cho Y, cc j ng thi bng 0) v H1: R2 0
Nu Fkd >

, bc b H0

Nu p-value(F) < , bc b H0

Tm khong c lng (khong tin cy) cho cc tham s:

Cng thc:
3

j
Trong cng thc

Se(

Se(

ta ly v d cho =5%, (n-k=12-2=10)

=2.228 ta c, dng s liu hnh pha trn

ta c:
Khong c lng 1:
0.154206 2.228 x 0.176299

0.154206 + 2.228 x 0.176299

-0.000645 + 2.228 x 0.002403

Khong c lng 2:
-0.000645 2.228 x 0.002403

D bo gi tr trung bnh v gi tr c bit ca Y0 khi bit X0

Bn cn phi nh 3 cng thc sau:
Cng thc 1: d bo gi tr c bit
0

se(Y0 -

) Y0

x se(Y0 -

Cng thc 2: d bo gi tr trung bnh

0

Se( 0) Y0

x se( 0)

Cng thc 3: mi quan h gia se(Y0 -

) v se( 0)

se( 0) =
(Trong l gi tr S.E. of regression trong bng kt qu chy
m hnh hi quy)

Nhp thm gi tr X0 vo d liu c nh sau: t ca s Workfile chn Proc > Structure/Resize Current
Page, ca s Workfile structure s hin ra bn tng s quan st thm 1, bm OK, bm tip Yes.

Tr v ca s Workfile bn m bin cn thm d liu (gi s l X1) v ghi s liu bi cho vo. By gi bn
bt u tm 0 v se(Y0 - 0) nh sau:
T ca s Equation chn Forecast, mt ca s s hin ra (xem hnh pha di, pha trong hnh ch nht mu
Forecast chnh l 0, S.E. (optional) chnh l se(Y0 - 0), bn g tn cho 2 gi tr ny vo 2 bn cnh sao cho
d nh, v bn s phi nh tn ny s dng trong cc bc tip theo) > bm OK.

n lc ny, bn c thm 2 bin na mi xut hin ca s Workfile l Yo^ v se(Yo Yo^), nh vy bn

c th hon thnh cng thc 1, tuy nhin hon thnh cng thc 2 bn cn c thm bin se( 0), cch tnh bin
ny bn dng cng thc 3.
to thm bin se( 0), ti ca s Workfile bn bm vo nt Genr pha trn, trong ca s hin ra, bn nhp
cng thc 3 vo Enter equation (lu nhp chnh xc tn t trn), bm OK.

Vy l bn c d kin thc hin cng thc 1 v cng thc 2. Mnh xin lm v d cng thc 1 (d bo
Y c bit) gi s

Bm Genr g vo cng thc minYcb=Yo^

l gi tr Y c bit d bo nh nht.

*se(Yo-Yo^), bm OK > bin minYcb s xut hin, chnh

Bm Genr g vo cng thc maxYcb=Yo^ +

chnh l gi tr Y c bit d bo ln nht.

*se(Yo-Yo^), bm OK > bin maxYcb s xut hin,

Tng t bn thc hin cng thc 2.

M hnh hi quy c bin gi

Cho m hnh v d:
5

Y l mc lng ca gio vin

X l s nm lm vic
D=0 nu l c nhn, D=1 nu l thc s
Ta c m hnh hi quy nh sau:
Y = 0 +1D + 0X + 1(D.X) + U
ngha ca cc tham s hi quy nh sau:
0: lng khi im ca gio vin c bng c nhn
1: chnh lch v lng khi im ca gio vin c bng thc s vi bng c nhn
0: mc thay i tin lng ca gio vin c bng c nhn theo s nm ging dy
1: chnh lch v mc thay i tin lng theo s nm ging dy ca gio vin c bng thc s so vi
bng c nhn

Cch pht hin a cng tuyn

Trc ht phi hiu a cng tuyn l g :

Hiu nm na, a cng tuyn l hin tng cc bin c lp (X) c nh hng ln nhau, hay cn gi l c s
tng quan vi nhau.
C 3 cch pht hin a cng tuyn:
1. H s R2 cao, nhng t s t-statistic thp: khi R2 cao, kinh nghim cho thy nu R2 > 0,8 th gi thit cc

h s hi quy ng thi bng 0 b bc b.

Tuy nhin t s |t| thp th ta chp nhn gi
thit cc h s hi quy bng 0. Khi mu thun
ny xy ra, ngi ta thng ngh n hin
tng a cng tuyn.
2. H s tng quan gia cc bin c lp

cao, nu > 0,8 th c th chc chn c a

cng tuyn. xem h s tng quan, bn
qut chn cc bin c c trong m hnh (Xj),
tip theo vo menu Quick > Group
Statistics > Correlations > OK.
3. Chy m hnh ph:

V mt l thuyt, gi s c m hnh hi quy

nh sau: Y = 0 + 1X1 + 2X2 + 3X3 + U. Ta
c lng m hnh hi quy ph gia bin c
6

lp X vi cc bin c lp cn li c dng: X1 = 0 + 1X2 + 2X3 + U. kim tra a cng tuyn ta dng

phng php kim nh tham s kim tra s nh hng ca bin X2 v X3 n X1.
Trong Eview, xem li phn chy m hnh, ta bit rng chy m hnh hi quy trc tin bn phi chn cc
bin c trong m hnh v phi chn bin ph thuc u tin (thng l Y). Tuy nhin, vi m hnh ph,
bin u tin bn chn l bin c lp bt k (Xj), nh vy Xj lc ny ng vai tr nh bin ph thuc.
Gi s y mnh chn l X1 (bm gi Ctrl ri chn ln lt X1, sau mi chn my ci X cn li, y
mnh ch c X2 thi, tip tc bm phi chn Open as Equation) kt qu th ny:.

Ngha l m hnh ca bn lc ny s c dng X1 = 1 + 2X2

By gi bn ch vic kim nh xem X2 c nh hng n X1 hay khng, nu c l c a cng tuyn (xem
li phn kim nh tham s)

Kim tra phng sai thay i

kim tra phng sai thay i bn dng kim nh White, t ca s Equation (ca s m hnh hi quy y)
chn View > Residual Tests > White Heteroskedasticity (cross terms) > OK. Mt ca s nh th ny s hin ra:

Vi gi thit H0: phng sai khng i.

Nu Obs*R-Squared >

(df), bc b H0, phng sai c thay i

Nu p-value (Probability) < , bc b H0, phng sai c thay i.

7

Kim tra t tng quan

kim tra phng sai thay i bn dng kim nh BG (Breusch-Godfrey), t ca s Equation chn View >
Residual Tests > Serial Correlation LM Test, bm OK

t gi thit, H0: khng c t tng quan.

Nu Obs*R-Squared >

(df), bc b H0, hay tha nhn c t tng quan.

Nu p-value (Probability) > , chp nhn H0, hay khng c t tng quan.

Kim nh loi b cc bin khng cn thit

Nu bi ch yu cu kim tra s cn thit ca 1 bin, bn ch cn dng phng php kim nh tham s
phn kim nh tham s
Nu bi yu cu kim tra s cn thit ca 2 bin tr ln, ta s dng kim nh Wald cho trng hp ny. T
ca s Equation chn View > Coefficient Tests > Wald - Coefficient Restrictions v mt ca s s hin ra nh
sau:

Bn nhp gi thit cn kim tra vo y, v d C(2)=0 (kim tra bin X1 c bng 0 hay khng), bm OK. Kt
qu s hin ra nh sau:

Nu F-statistic > F(m,n-k) th bc b gi thit (m l s bin mun loi, n l s quan st, k l s bin)
Nu p-value < , bc b gi thit
Ch , vi m hnh hi quy c dng sau: Y = 1 + 2X1 + 3X2 + 4X3 th 1 l C(0), 2 l C(1), 3 l C(2) v 4 l
C(3).