V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS4

B TR SCH BI GING KINH T LNG
Bi Dng Hi
Tt c cc bi tp ly mc = 5% vi mi kim nh v khong tin cy.
________________________________________
CHNG 1 M HNH HI QUY N
V d 2.2 trong sch Bi ging
Nm
1990
1991
1992
1993
1994

Phn bn (X) Nng sut (Y)

6
40
10
44
12
46
14
48
16
52

Nm
1995
1996
1997
1998
1999

Phn bn (X) Nng sut (Y)

18
58
22
60
24
68
26
74
32
80

Bng kt qu hi quy bng phn mm Eviews4, v mt s thng k nh gi v m hnh

De pe nde nt Va ria ble : Y
Me thod: Le a s t S qua re s
S a mple (a djus te d): 1 10
Include d obs e rva tions : 10 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
C
27.12500
1.979265
13.70458
X
1.659722
0.101321
16.38082
R-s qua re d
0.971049 Me a n de pe nde nt va r
Adjus te d R-s qua re d
0.967430 S .D. de pe nde nt va r
S .E. of re gre s s ion
2.431706 Aka ike info crite rion
S um s qua re d re s id
47.30556 S chwa rz crite rion
Log like lihood
-21.95960 F-s ta tis tic
Durbin-Wa ts on s ta t
1.783613 P rob(F-s ta tis tic)

P rob.
0.0000
0.0000
57.00000
13.47426
4.791920
4.852437
268.3312
0.000000

Ting Anh
Dependent Variable: Y
Method: Least Squares
Sample (adjusted): 1 10
Included observations: 10
Variable
C
X
Coefficient

ngha
Bin ph thuc: Y
Phng php: Bnh phng nh nht
Mu (sau iu chnh): t 1 n 10
S quan st c s dng: 10
Bin s (cc bin c lp)
Bin hng s, C 1
Bin c lp X
c lng h s:

Std. Error

Sai s chun ca c lng h s: Se( j )

t-Statistic

Thng k T: Tqs = j / Se( j )

Prob.
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Durbin-Watson stat
Mean dependent var

Mc xc sut (P-value) ca cp gi thuyt

H0: j = 0 ; H1: j 0
H s xc nh (bi): R2
H s xc nh iu chnh R 2
Sai s chun ca hi quy:
Tng bnh phng phn d: RSS
Thng k Durbin-Watson
Trung bnh bin ph thuc: Y

KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

lch chun bin ph thuc: SY = TSS /(n 1)

S.D. dependent var

R 2 /(n k )
Thng k F: Fqs =
(1 R 2 ) /(n 1)
Mc xc sut (P-value) ca cp gi thuyt:
H0: R2 = 0 ; H1: R2 > 0 (R2 0)

F-statistic
Prob (F-statistic)

V d 3.1 S liu trong sch Bi ging, c kt qu hi quy

De pe nde nt Va ria ble : Y
Me thod: Le a s t S qua re s
S a mple (a djus te d): 1 12
Include d obs e rva tions : 12 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
C
32.27726
6.253073
5.161823
X2
2.505729
0.328573
7.626105
X3
4.758693
0.410384
11.59572
R-s qua re d
0.975657 Me a n de pe nde nt va r
Adjus te d R-s qua re d
0.970247 S .D. de pe nde nt va r
S .E. of re gre s s ion
4.003151 Aka ike info crite rion
S um s qua re d re s id
144.2269 S chwa rz crite rion
Log like lihood
-31.94615 F-s ta tis tic
Durbin-Wa ts on s ta t
2.527238 P rob(F-s ta tis tic)

P rob.
0.0006
0.0000
0.0000
141.3333
23.20789
5.824358
5.945585
180.3545
0.000000

Ma trn phng sai hip phng sai

C
X2
X3

C
39.10093
-1.416429
-0.727129

X2
-1.416429
0.107960
-0.064747

X3
-0.727129
-0.064747
0.168415

Bi tp 2.12
Cho QA l lng bn (n v: nghn lt), PA l gi bn (n v: nghn ng/lt) ca hng nc gii
kht A, thi gian t qu 1 nm 2001 n qu 4 nm 2006, v kt qu hi quy m hnh nh sau
Bng 2.12
De pe nde nt Va ria ble : QA
Me thod: Le a s t S qua re s
S a mple : 2001Q1 2006Q4
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
1814.139
PA
-51.75140
R-s qua re d
0.556943
Adjus te d R-s qua re d
0.536804
S .E. of re gre s s ion
199.2530
S um s qua re d re s id
873438.5

a.
b.
c.
d.
e.
f.
g.
h.
i.
k.
l.

S td. Error
t-S ta tis tic
174.1613
10.41643
9.840903
-5.258806
Me a n de pe nde nt va r
S .D. de pe nde nt va r
F-s ta tis tic
P rob(F-s ta tis tic)

P rob.
0.0000
0.0000
923.5833
292.7673
27.65504
0.000028

Vit hm hi quy tng th, hi quy mu, v gii thch ngha kt qu c lng.
Tm mt c lng im lng bn trung bnh khi gi bn l 20 nghn ng/lt.
Lng bn c thc s ph thuc vo gi bn khng?
Gim gi c lm tng lng bn khng?
Gi gim mt nghn th lng bn thay i trong khong no?
Gi tng mt nghn th lng bn gim ti a bao nhiu?
C th cho rng gi tng mt nghn th lng bn tng nhiu hn 50 nghn lt hay khng?
Tnh cc i lng TSS, ESS.
H s xc nh ca m hnh bng bao nhiu, i lng c ngha th no?
Tm c lng im v khong cho phng sai sai s ngu nhin.
D bo gi tr trung bnh v c bit ca lng bn khi gi bn l 18 nghn/lt.

KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

Bi tp 2.13
Cho Y l sn lng, L l lng lao ng, v kt qu hi quy m hnh nh sau:
Bng 2.13
De pe nde nt Va ria ble : Y
Me thod: Le a s t S qua re s
S a mple (a djus te d): 1 20
Include d obs e rva tions : 20 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
C
-255.5380
99.72089
-2.562533
L
6.068681
0.745640
8.138894
R-s qua re d
0.786329 Me a n de pe nde nt va r
Adjus te d R-s qua re d
0.774458 S .D. de pe nde nt va r
S .E. of re gre s s ion
45.20169 F-s ta tis tic
S um s qua re d re s id
36777.46 P rob(F-s ta tis tic)

P rob.
0.0196
0.0000
551.9000
95.17900
66.24160
0.000000

a. Vit hm hi quy tng th, hi quy mu; du cc c lng h s c ph hp vi l thuyt

kinh t khng?
b. H s chn ca m hnh c ngha thng k khng? Nu mc ngha cn 1% th kt lun th
no?
c. Bin Sn lng c ph thuc vo bin Lao ng khng? Nu c th m hnh gii thch c
bao nhiu % s bin ng ca bin sn lng?
d. Theo kt qu ny, khi thm mt n v lao ng th sn lng thay i ti a bao nhiu?
e. C th cho rng khi gim mt n v lao ng th sn lng gim cha n 7 n v khng?
f. D bo sn lng trung bnh khi lng lao ng l 150 n v?
________________________________________
CHNG 3 M HNH HI QUY BI
Bi tp 3.5
Cho QA l lng bn (n v: nghn lt), PA l gi bn ca hng nc gii kht A, PB l gi bn
ca hng nc gii kht B cnh tranh vi hng A (n v: nghn ng/lt) v kt qu hi quy m
hnh nh sau:
Bng 3.5
De pe nde nt Va ria ble : QA
Me thod: Le a s t S qua re s
S a mple : 2001Q1 2006Q4
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
1003.407
PA
-59.05641
PB
55.63005
R-s qua re d
0.660965
Adjus te d R-s qua re d
0.628676
S .E. of re gre s s ion
178.4017
S um s qua re d re s id
668370.4
Log like lihood
-156.8691
Durbin-Wa ts on s ta t
2.489845

S td. Error
t-S ta tis tic
355.4275
2.823098
9.269155
-6.371283
21.91590
2.538342
Me a n de pe nde nt va r
S .D. de pe nde nt va r
Aka ike info crite rion
S chwa rz crite rion
F-s ta tis tic
P rob(F-s ta tis tic)

P rob.
0.0102
0.0000
0.0191
923.5833
292.7673
13.32242
13.46968
20.47028
0.000012

V hip phng sai c lng hai h s gc bng: 63.071

a.
b.
c.
d.
e.

Gii thch c lng cc h s gc.

Khi gi hng A tng 1 nghn, gi hng B khng i th lng bn hng A thay i th no?
Khi gi hng B tng 1 nghn, gi hng A khng i th lng bn hng A thay i th no?
Khi gi ca hai hng A v B cng tng 1 nghn th lng bn ca hng A c thay i khng?
Nu gi ca hng B tng 1 nghn, v hng A gim gi 1 nghn, th lng bn ca hng A tng
ti a bao nhiu?

KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

f. Gi s cha c kt qu v h s R2, hy nu cc cch tnh c kt qu t cc thng tin

khc trong bng.
g. Bit rng khi hi quy QA theo PA v h s chn th h s xc nh bng 0,557 v tng bnh
phng phn d bng 873438,5; hy nu cc cch c th kim nh xem c nn b bin PB
ra khi m hnh hay khng?
Bi tp 3.6
Cho kt qu hi quy vi Y l sn lng, K l vn, L l lao ng; LOG l logarit t nhin ca cc
bin tng ng.
Bng 3.6
De pe nde nt Va ria ble : LOG(Y)
Me thod: Le a s t S qua re s
Include d obs e rva tions : 20 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
C
0.764682
0.713780
1.071314
LOG(K)
0.510023
0.126959
4.017220
LOG(L)
0.599932
0.248400
2.415183
R-s qua re d
0.910215 Me a n de pe nde nt va r
Adjus te d R-s qua re d
0.899652 S .D. de pe nde nt va r
S .E. of re gre s s ion
0.057258 F-s ta tis tic
S um s qua re d re s id
0.055735 P rob(F-s ta tis tic)

P rob.
0.2990
0.0009
0.0273
6.298380
0.180753
86.17079
0.000000

Hip phng sai c lng hai h s gc bng: 0,027736

a. Vit hm hi quy tng th, hi quy mu vi cc bin Y, K, L v gii thch ngha kt qu c
lng cc h s hi quy
b. Phi chng c hai bin c lp u gii thch cho s bin ng ca bin ph thuc?
c. Khi vn tng thm 1%, lao ng khng i th sn lng tng ti a bao nhiu?
d. Khi lao ng tng thm 1%, vn khng i th sn lng tng ti thiu bao nhiu?
e. Khi vn v lao ng cng tng 1% th sn lng thay i nh th no?
f. Tng vn 1% ng thi gim lao ng 1% th sn lng c thay i khng?
g. C th cho rng qu trnh sn xut c hiu qu tng theo quy m hay khng?
h. Khi b bin logarit ca lao ng khi m hnh th h s xc nh cn 0,8794 v tng bnh
phng phn d bng 0,07486. Vy c nn b bin khng?
________________________________________
CHNG 4 HI QUY VI BIN GI
Bi tp 4.4
Cho kt qu hi quy, vi QA l lng bn (nghn lt), PA l gi bn (nghn ng/lt) ca hng nc
gii kht A, H l bin nhn gi tr bng 1 nu quan st vo ma nng, v H bng 0 nu quan st
vo ma lnh.
Bng 4.4
De pe nde nt Va ria ble : QA
Me thod: Le a s t S qua re s
S a mple : 2001Q1 2006Q4
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
972.7741
PA
-57.15100
H
85.55651
H*P A
27.11565
R-s qua re d
0.676992
S um s qua re d re s id
636775.7

S td. Error
t-S ta tis tic
P rob.
356.8199
2.726233
0.0130
9.466111
-6.037431
0.0000
85.88635
0.996160
0.3311
10.98241
2.469006
0.0227
F-s ta tis tic
13.97265
P rob(F-s ta tis tic)
0.000038

Cho hip phng sai c lng hai h s ca PA v H*PA bng: 32,89

KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

a.
b.
c.
d.
e.
f.
g.

Vit hm hi quy tng th, hi quy mu cho hai ma nng v lnh.

Tm c lng im lng bn ca hng khi gi bn l 20 nghn vo hai ma nng v lnh.
H s chn ca m hnh c khc nhau gia hai ma khng?
H s gc c khc nhau gia hai ma khng? Nu c th chnh lch trong khong no?
Vo ma no th vic gim gi s c tc ng n lng bn nhiu hn?
Vo ma nng, khi gim gi mt nghn th lng bn tng trong khong no?
nh gi vic a yu t ma nng - lnh vo m hnh, bit rng hi quy QA theo PA v h s
chn th h s xc nh bng 0,557 v tng bnh phng phn d bng 873438,5.
h. C kin cho rng t u nm 2006 v sau, do b cnh tranh mnh, nn yu t gi c c tc
ng n lng bn mnh hn so vi trc . Hy nu xy dng m hnh c th kim tra
v nh gi v kin .
________________________________________
CHNG 5 HIN TNG A CNG TUYN

Bi tp 5.4
Cho kt qu hi quy sau, vi QA l lng bn ca hng nc gii kht A, PA l gi ca hng A,
PB l gi ca hng B, QB l lng bn ca hng B
Bng 5.4
De pe nde nt Va ria ble : QA
Me thod: Le a s t S qua re s
S a mple : 2001Q1 2006Q4
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
13265.76
28173.04
0.470867
0.6428
PA
-58.18860
9.661317
-6.022844
0.0000
PB
-434.7366
1126.757
-0.385830
0.7037
QB
-6.111723
14.04066
-0.435288
0.6680
R-s qua re d
0.664147 Me a n de pe nde nt va r
923.5833
Adjus te d R-s qua re d
0.613769 F-s ta tis tic
13.18329
Durbin-Wa ts on s ta t
2.442813 P rob(F-s ta tis tic)
0.000056

a. Vit hm hi quy mu. So snh vi kt qu bng 3.5, nhn xt g v du v gi tr ca cc c

lng h s hi quy?
b. C nhn xt g v ngha thng k ca bin PB, so snh vi bng 3.5 trn.
c. Nghi ng m hnh c a cng tuyn, hy nu mt cch kim tra iu .
d. Cho hai kt qu hi quy ph sau trn cng b s liu, hy cho bit hai kt qu dng lm
g, v c kt lun g v hin tng a cng tuyn qua tng hi quy ph ?
Bng 5.5
De pe nde nt Va ria ble : P A
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
-597.0432
622.8575
-0.958555
0.3487
PB
24.76408
24.86943
0.995764
0.3307
QB
0.299889
0.310308
0.966426
0.3448
R-s qua re d
0.134873 F-s ta tis tic
1.636949
Durbin-Wa ts on s ta t
0.292773 P rob(F-s ta tis tic)
0.218443

Bng 5.6
De pe nde nt Va ria ble : QB
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
2006.367
5.633796
356.1306
0.0000
PA
0.141990
0.146923
0.966426
0.3448
PB
-80.23378
0.347384
-230.9659
0.0000
R-s qua re d
0.999643 F-s ta tis tic
29441.88
Durbin-Wa ts on s ta t
2.548328 P rob(F-s ta tis tic)
0.000000

e. M hnh QA ph thuc PA, PB, QB v h s chn c hin tng a cng tuyn khng? a
cng tuyn ny l hon ho hay khng hon ho?
KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

f. Hy nu mt cch khc phc n gin hin tng a cng tuyn trong cu trn
g. Khi b bin QB khi m hnh, hi quy QA theo PA, PB v h s chn (bng 3.5) th m hnh
ny c chc chn khc phc c hin tng a cng tuyn khng? Nu khng, hy nu mt
cch kim nh c th s dng.
h. Khi hi quy PB theo PA v h s chn, th thu c c lng h s gc bng 0,131 v sai s
chun tng ng l 0,086. Qua hi quy ph ny, c th kt lun g v m hnh QB ph thuc
PA, PB?
________________________________________
CHNG 6 HIN TNG PHNG SAI SAI S THAY I
Bi tp 6.5
Cho kt qu hi quy vi Y l sn lng, L l lng lao ng, K l lng vn
Bng 6.5
De pe nde nt Va ria ble : Y
Me thod: Le a s t S qua re s
Include d obs e rva tions : 20 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
-41.51425
82.67264
-0.502152
0.6220
L
2.208128
0.981281
2.250251
0.0380
K
1.780819
0.386295
4.609999
0.0002
R-s qua re d
0.905040 P rob(F-s ta tis tic)
0.000000

a. Vi phn d thu c ca m hnh ban u k hiu l RESID, hy vit m hnh hi quy ph

trong bng 6.6 v cho bit kt qu dng lm g? Kt lun g thu c?
Bng 6.6
White He te ros ke da s ticity Te s t Cross terms
F-s ta tis tic
3.972746 P roba bility
Obs *R-s qua re d
11.73157 P roba bility

0.018776
0.038657

Te s t Equa tion: De pe nde nt Va ria ble : RES ID^2

Include d obs e rva tions : 20
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
-27854.36
293672.6
-0.094848
0.9258
L
2857.590
8260.616
0.345929
0.7345
L^2
-35.55875
60.76231
-0.585211
0.5677
L*K
38.06234
50.11640
0.759479
0.4602
K
-2063.946
3473.158
-0.594256
0.5618
K^2
-7.627837
10.22040
-0.746335
0.4678
R-s qua re d
0.586578 P rob(F-s ta tis tic)
0.018776

b. Vi kt qu ti bng 6.7, hy vit m hnh v thc hin kim nh c kt lun?

Bng 6.7
White He te ros ke da s ticity Te s t No Cross terms
F-s ta tis tic
4.961715 P roba bility
Obs *R-s qua re d
11.39090 P roba bility

0.009471
0.022505

c. Cho bit kt qu hi quy di y dng lm g, c kt lun g v m hnh gc ban u, bit

RESID l phn d, v ABS l hm ly gi tr tuyt i
Bng 6.8
De pe nde nt Va ria ble : ABS (RES ID)
Va ria ble
Coe fficie nt
C
-433.5278
L
3.893503
R-s qua re d
0.411951

KHOA TON KINH T - I HC KINH T QUC DN

20 obs e rva tions

S td. Error
t-S ta tis tic
P rob.
146.6376
-2.956457
0.0084
1.096448
3.551013
0.0023
P rob(F-s ta tis tic)
0.002283

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

d. Khi hi quy ln ca bnh phng E theo ln ca bin K, c h s chn, th h s xc nh ca m

hnh ny bng 0,105. Hy cho bit kt qu dng lm g, c kt lun g thu c?
e. Hi quy bnh phng phn d E theo bnh phng gi tr c lng bin ph thuc trong m
hnh gc, c h s chn; th thu c c lng im h s gc bng 0,852 v sai s chun
tng ng bng 0,126. Hy cho bit kt qu dng lm g, da trn gi thit no, c kt
lun g thu c v m hnh gc?
f. Da trn kt lun cu trn, hy nu mt cch khc phc hin tng pht hin c?
g. Hi quy bnh phng ca E theo bnh phng ca L, c h s chn, th h s xc nh bng
0,722. Kt qu dng lm g, c kt lun g? Qua hy nu mt cch khc phc hin
tng pht hin c?
h. Cho kt qu sau y, hy cho bit kt qu dng lm g, v t mc ch cha?
Bng 6.9
De pe nde nt Va ria ble : Y/L
S a mple (a djus te d): 1 20
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
1/L
-56.81014
72.62494
-0.782240
0.4448
C
2.430546
0.931296
2.609852
0.0183
K/L
1.696025
0.393030
4.315255
0.0005
R-s qua re d
0.672855 P rob(F-s ta tis tic)
0.000075
White He te ros ke da s ticity Te s t Cros s te rms
F-s ta tis tic
1.069752 P roba bility
Obs *R-s qua re d
5.528789 P roba bility

0.417838
0.354799

i. Vi bng kt qu trn, vit li m hnh vi cc bin Y, L, K. Khi nu lao ng tng mt n

v th sn lng tng ti a bao nhiu?
k. Vi bng kt qu di y, vit hi quy ph ca kim nh, thc hin kim nh v kt lun v
c lng thu c.
Bng 6.10
De pe nde nt Va ria ble : LOG(Y)
S a mple (a djus te d): 1 20
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
0.764682
0.713780
1.071314
0.2990
LOG(L)
0.599932
0.248400
2.415183
0.0273
LOG(K)
0.510023
0.126959
4.017220
0.0009
R-s qua re d
0.910215 P rob(F-s ta tis tic)
0.000000
White He te ros ke da s ticity Te s t Cross terms
F-s ta tis tic
1.779605 P roba bility
Obs *R-s qua re d
7.771870 P roba bility

0.181710
0.169265

l. Vi RESID v FITTED l gi tr c lng bin ph thuc thu c t bng 6.10, c kt

qu hi quy trong bng 6.11. Hy cho bit kt qu dng lm g, kt lun g v m hnh
bng 6.10 ?
Bng 6.11
De pe nde nt Va ria ble : RES ID^2
S a mple : 1 20
Include d obs e rva tions : 20
Va ria ble

Coe fficie nt

S td. Error

t-S ta tis tic

P rob.

C
FITTED^2

57497.17
-0.020171

31461.63
0.029780

1.827533
-0.677318

0.0842
0.5068

R-s qua re d
Durbin-Wa ts on s ta t

0.024853
2.202629

KHOA TON KINH T - I HC KINH T QUC DN

Me a n de pe nde nt va r
P rob(F-s ta tis tic)

37163.64
0.506817

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

CHNG 7 HIN TNG T TNG QUAN

Bi tp 7.5
Cho kt qu hi quy sau, vi QA l lng bn ca hng nc gii kht A, PA l gi ca hng A,
PB l gi ca hng B, QB l lng bn ca hng B
Bng 7.5
De pe nde nt Va ria ble : QA
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
1814.139
PA
-51.75140

S td. Error
174.1613
9.840903

R-s qua re d
Adjus te d R-s qua re d
Log like lihood
Durbin-Wa ts on s ta t

Me a n de pe nde nt va r
S .D. de pe nde nt va r
F-s ta tis tic
P rob(F-s ta tis tic)

0.556943
0.536804
-160.0802
0.480522

t-S ta tis tic

10.41643
-5.258806

P rob.
0.0000
0.0000
923.5833
292.7673
27.65504
0.000028

a. Dng kim nh Durbin-Watson kim nh v hin tng t tng quan bc 1 ca m hnh?

b. Cho kt qu kim nh t tng quan bc nht - AR(1) - di y. Hy vit m hnh hi quy
ph kim nh, cho bit s quan st trn l thuyt l bao nhiu, v s quan st thc t l bao
nhiu? Thc hin kim nh v kt lun.
Bng 7.6
Bre us ch-Godfre y S e ria l Corre la tion LM Te s t AR(1)
F-s ta tis tic
10.64234 P roba bility
0.003724
Obs *R-s qua re d
8.071973 P roba bility
0.004496
Te s t Equa tion: De pe nde nt Va ria ble : RES ID
P re s a mple mis s ing va lue la gge d re s idua ls s e t to ze ro.
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
43.95483
89.61990
0.490458
0.6289
PA
-2.595093
5.069180
-0.511935
0.6140
RES ID(-1)
0.587992
0.180241
3.262259
0.0037
R-s qua re d
0.336332 P rob(F-s ta tis tic)
0.013505

c. Cho kt qu sau, hy cho bit m hnh c t tng quan bc hai khng?

Bng 7.7
Te s t Equa tion: De pe nde nt Va ria ble : RES ID
P re s a mple mis s ing va lue la gge d re s idua ls s e t to ze ro.
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
30.29069
92.52208
0.327389
0.7468
PA
-1.804521
5.238252
-0.344489
0.7341
RES ID(-1)
0.678521
0.220174
3.081753
0.0059
RES ID(-2)
-0.165000
0.225132
-0.732902
0.4721
R-s qua re d
0.353690 P rob(F-s ta tis tic)
0.030162

d. Vi cc kt qu kim nh trn, hy nu mt cch khc phc khuyt tt ca m hnh gc da

trn thng k Durbin-Watson?
e. Cho kt qu c lng sau, cho bit kt qu ny dng lm g, t mc ch cha?
Bng 7.8
De pe nde nt Va ria ble : QA-0.76*QA(-1)
S a mple (a djus te d): 2 24
Include d obs e rva tions : 23 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
367.4280
46.56235
7.891097
0.0000
P A-0.76*P A(-1)
-48.2352
11.88927
-4.057035
0.0006
R-s qua re d
0.439395 Me a n de pe nde nt va r
186.7652
Durbin-Wa ts on s ta t
2.207469 P rob(F-s ta tis tic)
0.000567

KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

Bre us ch-Godfre y S e ria l Corre la tion LM Te s t AR(1)

F-s ta tis tic
0.447593 P roba bility
Obs *R-s qua re d
0.503464 P roba bility

0.511130
0.477982

f. Vi kt qu c lng trn, cho bit c lng im h s chn, h s gc trong m hnh hi

quy QA theo PA, vit hm hi quy mu? T c lng mc thay i ca lng bn khi gi
tng 1 n v?
g. Vi kt qu c lng bng phng php Cochrane-Orcutt trong bng 7.9, cho bit phng
php hi t sau bao nhiu bc lp? c lng im h s t tng quan bc 1 c c
lng bng bao nhiu?
Bng 7.9
De pe nde nt Va ria ble : QA
S a mple (a djus te d): 2 24
Include d obs e rva tions : 23 a fte r a djus ting e ndpoints
Conve rge nce a chie ve d a fte r 4 ite ra tions
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
1792.880
200.4069
8.946201
0.0000
PA
-50.66567
11.17339
-4.534492
0.0002
AR(1)
0.682252
0.445339
1.531981
0.1398
R-s qua re d
0.512028 Me a n de pe nde nt va r
905.1304
Durbin-Wa ts on s ta t
1.954003 P rob(F-s ta tis tic)
0.000766

h. Khi thm tr bc 1 ca bin QA vo m hnh gc, c kt qu sau; hy kim nh hin tng t

tng quan bc 1 ca m hnh ny? Cho bit kim nh B-G c thc hin nh th no?
Bng 7.10
De pe nde nt Va ria ble : QA
S a mple (a djus te d): 2 24
Include d obs e rva tions : 23 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
990.5671
402.1343
2.463274
0.0230
PA
-56.55842
10.25072
-5.517509
0.0000
QA(-1)
54.23958
24.38371
2.224419
0.0378
R-s qua re d
0.608809 Me a n de pe nde nt va r
905.1304
Durbin-Wa ts on s ta t
2.464703 P rob(F-s ta tis tic)
0.000084
Bre us ch-Godfre y S e ria l Corre la tion LM Te s t: AR(1)
F-s ta tis tic
1.579754 P roba bility
Obs *R-s qua re d
1.765539 P roba bility

0.224029
0.183935

________________________________________
CHNG 8 NH DNG HM HI QUY
Bi tp 8.1
Cho kt qu hi quy sau, vi QA l lng bn ca hng nc gii kht A, PA l gi ca hng A,
PB l gi ca hng B, QB l lng bn ca hng B
Bng 8.1
De pe nde nt Va ria ble : QA
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
1814.139
PA
-51.75140
R-s qua re d
0.556943
Durbin-Wa ts on s ta t
0.480522

S td. Error
t-S ta tis tic
P rob.
174.1613
10.41643
0.0000
9.840903
-5.258806
0.0000
Me a n de pe nde nt va r
923.5833
P rob(F-s ta tis tic)
0.000028

a. Hy nu cch kim nh dng hm hi quy s thiu bin ca m hnh?

KHOA TON KINH T - I HC KINH T QUC DN

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

b. Cho kt qu kim nh Ramsey RESET di y, vit li hi quy ph, thc hin kim nh
cho kt lun v nh dng ca m hnh?
Bng 8.2
Ra ms e y RES ET Te s t: numbe r of fitte d te rm: 1
F-s ta tis tic
7.240588 P roba bility
Log like lihood ra tio
7.109707 P roba bility
Te s t Equa tion:
De pe nde nt Va ria ble : QA
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
2921.071
PA
-58.87232
FITTED^2
-16395.22
R-s qua re d
0.670538
Durbin-Wa ts on s ta t
2.522139

0.013685
0.007667

S td. Error
t-S ta tis tic
P rob.
439.1535
6.651594
0.0000
9.079991
-6.483743
0.0000
6092.986
-2.690834
0.0137
Me a n de pe nde nt va r
923.5833
P rob(F-s ta tis tic)
0.000009

c. Cho kt qu di y, vi RESID l phn d t m hnh gc. Hy cho bit kt qu dng

lm g, c kt lun g v m hnh gc?
Bng 8.3
De pe nde nt Va ria ble : RES ID
S a mple : 1 24
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
C
1106.932
PA
-7.120926
FITTED^2
-16395.22
R-s qua re d
0.256389
Durbin-Wa ts on s ta t
2.522139

S td. Error
t-S ta tis tic
P rob.
439.1535
2.520604
0.0199
9.079991
-0.784244
0.4417
6092.986
-2.690834
0.0137
Me a n de pe nde nt va r
-4.87E-13
P rob(F-s ta tis tic)
0.044579

d. Khi thm bin PB vo m hnh, c kt qu di y, hy vit cc hi quy ph ng vi cc

kim nh Ramsey, v thc hin kim nh cho kt lun?
Bng 8.4
De pe nde nt Va ria ble : QA
Include d obs e rva tions : 24
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
1003.407
355.4275
2.823098
0.0102
PA
-59.05641
9.269155
-6.371283
0.0000
PB
55.63005
21.91590
2.538342
0.0191
R-s qua re d
0.660965 Me a n de pe nde nt va r
923.5833
Durbin-Wa ts on s ta t
2.489845 P rob(F-s ta tis tic)
0.000012
Ra ms e y RES ET Te s t: numbe r of fitte d te rms : 1
F-s ta tis tic
3.025354 P roba bility
Log like lihood ra tio
3.380728 P roba bility

0.097342
0.065963

Ra ms e y RES ET Te s t: numbe r of fitte d te rms : 2

F-s ta tis tic
1.748459 P roba bility
Log like lihood ra tio
4.054543 P roba bility

0.200905
0.131694

e. Sau khi hi quy m hnh trong bng 8.4 thu c phn d v gi tr c lng. Hi quy phn
d theo PA, PB v bnh phng gi tr c lng th thu c kt qu c h s xc nh bng
0,088. Hy cho bit kt qu dng lm g, v c kt lun g thu c?

KHOA TON KINH T - I HC KINH T QUC DN

10

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

Bi tp 8.2
a. Cho kt qu sau y, cho bit m hnh c khuyt tt no trong s cc hin tng: phng sai
sai s thay i, t tng quan, nh dng hm sai, a cng tuyn? Nu mc = 10% th c kt
lun no thay i khng?
Bng 8.5
De pe nde nt Va ria ble : QA
S a mple (a djus te d): 2 24
Include d obs e rva tions : 23 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
2065.538
461.0943
4.479644
0.0003
PA
-2.665663
36.10606
-0.073829
0.9419
P A(-1)
-58.63268
43.50711
-1.347658
0.1936
QA(-1)
-0.134511
0.240824
-0.558546
0.5830
R-s qua re d
0.557347 Me a n de pe nde nt va r
905.1304
Durbin-Wa ts on s ta t
2.067579 P rob(F-s ta tis tic)
0.001214
White He te ros ke da s ticity Te s t: Cros s te rms
F-s ta tis tic
4.961715 P roba bility
Obs *R-s qua re d
11.39090 P roba bility

0.009471
0.022505

Bre us ch-Godfre y S e ria l Corre la tion LM Te s t: AR(1)

F-s ta tis tic
0.614485 P roba bility
Obs *R-s qua re d
0.759256 P roba bility

0.443298
0.383562

Ra ms e y RES ET Te s t: numbe r of fitte d te rms : 1

F-s ta tis tic
2.487672 P roba bility
Log like lihood ra tio
2.977387 P roba bility

0.132154
0.084436

b. Vi cc bng kt qu 8.6, 8.7, 8.8 sau y, thc hin cc kim nh v cc khuyt tt c th c,

v nhn xt v tnh cht ca cc c lng?
Bng 8.6
De pe nde nt Va ria ble : LOG(Y)
Me thod: Le a s t S qua re s
Include d obs e rva tions : 20 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
C
2.319090
0.347622
6.671290
LOG(K)
0.779698
0.068054
11.45703
R-s qua re d
0.879408 Me a n de pe nde nt va r
Adjus te d R-s qua re d
0.872708 S .D. de pe nde nt va r
S .E. of re gre s s ion
0.064489 Aka ike info crite rion
S um s qua re d re s id
0.074859 S chwa rz crite rion
Log like lihood
27.50009 F-s ta tis tic
Durbin-Wa ts on s ta t
3.126475 P rob(F-s ta tis tic)
White He te ros ke da s ticity Te s t:
F-s ta tis tic
10.84391
Obs *R-s qua re d
11.21171

P rob.
0.0000
0.0000
6.298380
0.180753
-2.550009
-2.450436
131.2634
0.000000

P roba bility
P roba bility

0.000921
0.003676

Bre us ch-Godfre y S e ria l Corre la tion LM Te s t:

F-s ta tis tic
2.116909 P roba bility
Obs *R-s qua re d
2.336943 P roba bility

0.165019
0.126337

Ra ms e y RES ET Te s t:
F-s ta tis tic
Log like lihood ra tio

0.044538
0.027061

4.705379
4.886936

KHOA TON KINH T - I HC KINH T QUC DN

P roba bility
P roba bility

11

V D - BI TP KINH T LNG S DNG CHNG TRNH EVIEWS

Bng 8.7
De pe nde nt Va ria ble : LOG(Y)
Me thod: Le a s t S qua re s
Include d obs e rva tions : 20 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
0.764682
0.713780
1.071314
0.2990
LOG(K)
0.510023
0.126959
4.017220
0.0009
LOG(L)
0.599932
0.248400
2.415183
0.0273
R-s qua re d
0.910215 Me a n de pe nde nt va r
6.298380
Durbin-Wa ts on s ta t
2.688685 P rob(F-s ta tis tic)
0.000000
White He te ros ke da s ticity Te s t: Cros s te rms
F-s ta tis tic
4.309444 P roba bility
Obs *R-s qua re d
4.044633 P roba bility

0.053386
0.044312

Bre us ch-Godfre y S e ria l Corre la tion LM Te s t: AR(1)

F-s ta tis tic
2.224810 P roba bility
Obs *R-s qua re d
2.441518 P roba bility

0.155262
0.118162

Ra ms e y RES ET Te s t: numbe r of fitte d te rms : 2

F-s ta tis tic
0.072964 P roba bility
Log like lihood ra tio
0.090998 P roba bility

0.790522
0.762912

Bng 8.8
De pe nde nt Va ria ble : LOG(Y/L)
Me thod: Le a s t S qua re s
Include d obs e rva tions : 20 a fte r a djus ting e ndpoints
Va ria ble
Coe fficie nt
S td. Error
t-S ta tis tic
P rob.
C
1.289333
0.025077
51.41567
0.0000
LOG(K/L)
0.567178
0.099110
5.722710
0.0000
R-s qua re d
0.645316 Me a n de pe nde nt va r
1.413279
Durbin-Wa ts on s ta t
2.885013 P rob(F-s ta tis tic)
0.000020
White He te ros ke da s ticity Te s t: Cros s te rms
F-s ta tis tic
0.919440 P roba bility
Obs *R-s qua re d
1.952218 P roba bility

0.417684
0.376774

Bre us ch-Godfre y S e ria l Corre la tion LM Te s t: AR(1)

F-s ta tis tic
2.330110 P roba bility
Obs *R-s qua re d
4.511298 P roba bility

0.129384
0.104806

Ra ms e y RES ET Te s t: numbe r of fitte d te rms : 2

F-s ta tis tic
0.501382 P roba bility
Log like lihood ra tio
0.581330 P roba bility

0.488489
0.445791

c. Vi cc kim nh, hy vit phng trnh hi quy ph ca cc kim nh ?

d. Hy so snh 3 bng kt qu hi quy sau v nu ra nhn xt v mi quan h gia cc bin Sn
lng, Vn, Lao ng?

KHOA TON KINH T - I HC KINH T QUC DN

12