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BI TP KINH T LNG ThS Phng Duy Quang Chng 1. M HNH HI QUY 2 BIN 1.1.

Hy gii thch cc khi nim a) Hm hi quy tng th v hm hi quy mu b) Yu t ngu nhin v phn d c) Cc h s hi quy, c lng cc h s hi quy d) Hm hi quy tuyn tnh 1.2. a) Nhng mn hc no cn bit nm vng kinh t lng b) Cc bc gii bi ton kinh t lng c) C nhng cch no vit hm hi quy tng th 1.3. Cc m hnh sau y c phi l m hnh tuyn tnh ? V sao a) Y = exp( 1 + 2 X + U ) c) lnY = 1 +
1

b) Y = 1 + exp( + X + U) 1 2 d) Y = 1 + 2 2X + U b) Y = + X 1 2
X

2 +U X

1.4. Bin i cc m hnh sau v m hnh hi quy tuyn tnh a) Y = + X 1 2


1

c) Y = 1 + exp( X) d) Y = exp( 1 + 2 X ) 1 2 1.5. Hy ch ra cc gi thit tng ng ct 1 v ct 2 ca m hnh hi quy c in (1) (2) E(Ui/Xi) = 0 Var(Yi/Xi) = 0 Cov(Ui, Uj) = 0 E(Yi/Xi) = 1 + 2 X i Var(Ui/Xi) = 0 Cov(Yi, Xi) = 0 1.6. Trong m hnh hi quy 2 bin Yi = 1 + 2 X i + U i s thay a) Nu ta nhn mi Xi vi mt hng s, chng hn 10 khi cc gi tr Y i th no ? Hy gii thch ? s thay i th no ? Hy b) Nu ta cng mi Xi vi mt hng s th cc ei v Y gii thch ? 1.7. Bng sau y cho cp bin ph thuc v c lp. Trong mi trng hp hy cho bit quan h gia hai bin l cng chiu, ngc chiu hay khng xc nh. Hy gii thch. Stt Bin ph thuc Bin c lp 1 GNP Li sut 2 Tit kim c nhn Li sut 3 Sn lng Vn c bn hoc lao ng 4 Cu v tin GDP 5 Lng cu v xe my Gi xng 6 Lng in tiu th Gi gas 1.8. a) Trnh by ngha ca phn d b) Gi tr
Y i

c ngha nh th

c) M hnh hi quy khc g vi m hnh ton kinh t thng thng 1.9. Gii thch ngha h s gc ca mt s m hnh hi quy sau ? a) Yi = 1 + 2 X + U i i
U c) Yi = o X i 2 e i

b) ln Yi = 1 + 2 ln X i + U i d) Yi = 1 + 2 ln X i + U i e) Yi = e 1 + 2 X i + U i

e) ln Yi = 1 + 2 + U i

1.10. Trnh by phng php s dng kim nh mc xc sut (P value) trong kim nh gi thit nh th no. 1.11. Cho m hnh hi quy tiu dng/u ngi Y ph thuc vo thu nhp/ u ngi X tnh theo gi c nh (nm 1980, n v : 100000 VN) trong thi k 1971 1990 mt a phng.Bit = 5% , c lng m hnh bng phn mm Eviews thu c kt qu

a) Hy vit hm hi quy tng th v hm hi quy mu. Gii thch ngha kinh t ca cc h s nhn c. b) Cho bit ngha thng k ca cc h s hi quy c) Tnh RSS, ESS, TSS d) Tm khong tin cy cho cc h s hi quy. e) Cho bit thu nhp X c tc ng ti tiu dng hay khng ? f) Nu tng thu nhp th tiu dng tng hay gim g) Nu thu nhp tng ln 1 n v th tiu dng tng 1 n v ng hay khng ? h) Hm hi quy mu c ph hp hay khng ? 1.12. Cho kt qu c lng bng phn mm Eviews ca chi tiu Y ph thuc vo thu nhp X ($) ca 10 ngi trong 1 tun nh sau:

Bit mc ngha = 5% a) Vit hm hi quy tng th v hm hi quy mu. Cho bit ngha kinh t ca cc h s nhn c b) Cc h s hi quy c ngha thng k hay khng ? c) Tnh RSS, TSS, ESS v hm hi quy mu c ph hp hay khng ? d) C kin cho rng thu nhp khng nh hng ti chi tiu. Bn hy kt lun v nhn nh trn e) Tm khong tin cy 95% cho h s gc ca m hnh f) Khi thu nhp tng ln 1 n v th chi tiu tng trong khong no, tng ti a, ti thiu bao nhiu. g) Trong cc thi k trc ngi ta vn dng 80% thu nhp cho chi tiu c th kt lun rng trong thi k quan st ny t l ny gim hay khng ? h) Hy d bo mc chi tiu trung bnh nu thu nhp tun bng 62$ 1.13. Mt i l gas nghin cu mi quan h gia lng trung bnh gas bn c Q (bnh) vi gi ca mt bnh gas PG (nghn ng) trong 27 thng t thng 1/1997 n thng 3 nm 1999. Bit = 5% . c lng m hnh thu c kt qu
Dependent Variable : Y Method : Least Squares Date: 01/03/10 Time: 18:17 Sample: 1 10 Included observation: 10 Variable Coeficient Std. Error C 2590.3 384.9544 X -7.1461 1.2875 R squared 0.95195 Adjusted R squared 0.95002 S.E of regresssion 40.5088 Sum squared resid 225165 Log likelihood -199.9393 Durbin Watson stat 0.7079

T Statistic Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Prob 1831.41 451.937 495.29

a) Vit hm hi quy mu, hm hi quy tng th. Cho bit ngha kinh t ca cc h s nhn c. b) c lng h s chn v h s gc bng bao nhiu c) Cc h s thu c c ph hp vi l thuyt kinh t hay khng? d) Cc h s thu c c ngha thng k hay khng? e) C th ni gi gas thay i th lng bn gas thay i hay khng? f) H s xc nh o ph hp ca hm hi quy mu bng bao nhiu, gi tr c ngha g?
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Hm hi quy c th coi l ph hp khng? Tm c lng im cho phng sai ca yu t ngu nhin Tng bnh phng phn d bng bao nhiu TSS v ESS bng bao nhiu? Tm khong tin cy cho h s chn v h s gc ca m hnh Khi gi gas tng thm 1000 VN/ bnh th lng bn gas thay i trung bnh trong khong no? m) Khi gi gas gim 1 nghn ng th lng bn tng ti a l bao nhiu? n) C th ni khi gi gas tng 1000 nghn ng th lng bn ra gim bng 10 bnh c khng? o) Gi gas gim 1 nghn ng th lng bn gim nhiu hn 7 bnh, iu c ng khng? p) Tm c lng im cho lng bnh gas bn ra khi gi 105 nghn ng/bnh q) Tm lng bn ra trung bnh v c bit khi gi gas l 105 nghn ng/bnh 1.14. Mt c quan nghin cu mi quan h gia s n v sn phm v cc yu t u vo ca qu trnh sn xut mt s c s sn xut a ra nhng m hnh hi quy. Lc u ngi nghin cu ch trng vo qun l ngun nhn lc nn a ra m hnh sau: Gi s S l sn lng, L l lao ng (ngi). Cho bit = 5%
Dependent Variable : S Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient Std. Error C 34.4438 29.0219 X 19.2371 6.8786 R squared 0.30290 Adjusted R squared 0.26417 S.E of regresssion 49.5267 Sum squared resid 44152.1 Log likelihood -105.3754 Durbin Watson stat 0.7151

g) h) i) j) k) l)

T Statistic Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Prob 109.466 57.7367 7.8213

a) Vit hm hi quy tng th, hm hi quy mu. Gii thch ngha kinh t ca cc h s nhn c. b) Vit hm hi quy mu. Cc h s ca hm hi quy mu c ph hp vi l thuyt kinh t hay khng? c) Theo l thuyt th khi khng c lao ng s khng c sn lng, nhng trong hm hi quy mu th khi khng c lao ng c lng im mc sn lng li khng bng khng. Trn thc t gi tr c th coi l bng khng hay khng? d) H s gc c ngha thng k hay khng? e) H s xc nh bng bao nhiu %, gi tr c ngha nh th no f) C th ni hm hi quy ph hp khng? g) Tm c lng im v khong tin cy cho phng sai ca yu t ngu nhin h) Tnh RSS, TSS, ESS i) Tm khong tin cy cho h s chn ca m hnh j) Khi doanh nghip thm 1 lao ng th sn lng tng trong khong no? k) Khi gim bt mt lao ng th sn lng gim ti a bao nhiu n v l) C th cho rng khi bt 1 lao ng th sn lng gim 30 n v hay khng? m) Khi gim 1 lao ng th sn lng gim nhiu hn hay t hn 22 n v n) Nu tng 1 lao ng th sn lng tng nhiu hn 20 n v c ng khng?

o) Tm c lng im mc sn lng vi doanh nghip c 30 lao ng p) Tm mc sn lng trung bnh v c bit khi doanh nghip c 30 lao ng q) Tm mc sn lng trung bnh v c bit khi doanh nghip c 30 lao ng 1.15. Cho bng kt qu hi quy sau, vi QA l lng bn hng, PA l gi bn (USD) ca mt ca hng trong 24 thng. Cc kt lun thng k s dng mc ngha 5% v tin cy 95%.
Dependent Variable : QA Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 24 Included observation: 24 Variable Coeficient Std. Error C 304.4024 9.031367 X - 4.81827 0.545439 R squared 0.780124 Adjusted R squared 0.770130 S.E of regresssion 5.768087 Sum squared resid 731.9583 Log likelihood - 75.06656 Durbin Watson stat 1.749978

T Statistic Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Prob 225.2917 12.03068 6.422213 6.520385 78.05636

a) Vit hm hi quy tng th, hi quy mu v gii thch ngha kinh t ca cc h s nhn c. b) Tm mt c lng im cho lng bn khi gi l 17USD c) Gi bn c nh hng n lng bn khng? d) C th gim gi tng lng bn khng? Khi gim gi 1 USD th lng bn thay i trong khong no? e) Khi gi bn tng 1USD th lng bn gim ti a bao nhiu? f) C th ni khi gi bn tng ln 1USD th lng bn gim 4 n v khng? g) C th ni gi bn tng 1 USD th lng bn gim nhiu hn 4 n v khng? h) Hm hi quy c ph hp hay khng? i) Tm c lng im v khong tin cy cho phng sai ca yu t ngu nhin j) D bo lng bn trung bnh khi gi bn l 17USD k) D bo lng bn c bit khi gi bn l 17USD BI TP THC HNH CHNG 1 Bi 1 (trang 37) n bi 9 (trang 43) sch Bi tp Kinh t lng vi s tr gip ca phn mm Eviews ca Nguyn Quang Dong

Chng 2. M HNH HI QUY BI 2.1. a) Th no l m hnh hi quy tng qut c k bin b) ngha ca cc h s trong PRF nh th no c) Khi niu bin c lp cng thay i th bin ph thuc thay i th no? d) Trnh by ngha ca cc h s, i lng trong SPF e) Ni dung ca phng php bnh phng nh nht p dng cho m hnh tng qut nh th no? f) Phn bit hi quy n v hi quy bi g) Ti sao vi m hnh tng qut cn xt ti ma trn phng sai v hip phng sai ca cc c lng? 2.2. a) Nhng phn tch no thng p dng cho m hnh hi quy b) Nhng dng hm s no thng s dng trong kinh t 2.3. Gi s c b s liu ca mt doanh nghip v 100 lao ng vi cc tiu ch sau: NS l nng sut lao ng, CP l chi ph o to, TT l tin thng cho lao ng. C nhn nh cho rng nng sut lao ng tng mt cch n nh theo chi ph o to v tin thng cho lao ng; mun c lng s tc ng ca chi ph o to v tin thng n nng sut lao ng. a) Hy xy dng m hnh kinh t lng phn tch kin ? b) Nu c nhn nh cho rng vi cng mc tin thng nhng khi tng chi ph o to ln th hiu qa ca o to khng phi l khng i m cn gim dn, hay mc tng ca nng sut chm dn theo mc tng ca chi ph o to; do nng sut c mt ngng ti a. Hy xy dng m hnh phn tch nhn xt . 2.4. Hi quy sn lng S theo lao ng L (ngi) v thy h s xc nh R2 = 0,3029 ca m hnh S ph thuc L v h s chn kh nh, nn ngi ta a thm bin K l vn (triu ng) vo v hi quy m hnh di y. Cho = 5%
Dependent Variable : S Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient Std. Error C -20.6583 22.0029 K 10.7720 2.1599 L 17.2232 4.5279 R squared Adjusted R squared 0.68369 S.E of regresssion 32.4717 Sum squared resid 17925.0 Log likelihood -96.3610 Durbin Watson stat 2.3574

T Statistic

Prob

Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

109.4666 57.7367 21.5343

a) Vit hm hi quy tng th, hm hi quy mu b) Cc c lng nhn c c ph hp vi l thuyt khng? c) Tm c lng im mc sn lng doanh nghip c 20 lao ng, ngun vn 300 triu ng. d) Cc gi tr c lng c ngha thng k hay khng? e) Tnh h s xc nh bi R2 bng nhiu cch f) Phi chng cc bin c lp khng gii thch c s bin ng ca sn lng. g) C th ni vn, lao ng cng tc ng thun chiu n sn lng khng? h) Khi lao ng khng i, nu thm vn 1 triu ng sn lng tng ln trong khong no?

i) C th ni khi lao ng khng i, tng vn thm 1 triu ng th sn lng tng trong khong no? j) Ngun vn khng i, thm 1 lao ng th sn lng tng c bng 20 n v khng? k) C th ni khi lao ng khng i, tng vn thm 1 triu ng th sn lng tng ti thiu bao nhiu? l) Dng kim nh thu hp hi quy nh gi vic a thm bin K vo m hnh nu bit m hnh S ph thuc L c h s chn vi h s xc nh R2=0,3029 v RSS = 44152,1 2.5. Vi bi 2.4 ngi ta a vo dng khc ca m hnh vi kt qu hi quy (trong LS = ln(S), LK = ln(K), LL = ln(L))
Dependent Variable : LS Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient Std. Error C 2.8749 0.22746 LK 0.52178 0.093498 LL 0.68225 0.14080 R squared 0.78117 Adjusted R squared 0.75543 S.E of regresssion 0.28222 Sum squared resid 1.3540 Log likelihood -1.4523 Durbin Watson stat 1.9062

T Statistic

Prob

Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

4.5516 0.57067

Cho hip phng sai ca cc c lng tng ng vi cc bin LK v LL bng 0,0127. a) Vit hm s kinh t ban u vi cc bin s S, K, L b) Vit hm hi quy mu. Cho bit ngha ca cc c lng nhn c c) Cc c lng nhn c c ph hp vi l thuyt kinh t hay khng? d) Cc bin c lp gii thch c bao nhiu phn trm s bin ng ca bin ph thuc e) Kim nh s ph hp ca hm hi quy f) Khi lao ng tng 1% th sn lng tng trong khong bao nhiu %? g) Khi vn gim 1% th sn lng tng ti a bao nhiu %? h) Ngun vn tng ln 1,2 ln so vi trc th sn lng c tng tng ng bg 1,2 ln khng? i) Khi yu t khc khng i, nu ngun vn tng ln t ln m sn lng tng nh hn t ln th ta ni sn lng tng chm hn tng ngun vn, nu sn lng tng ln hn t ln ta gi l tng nhanh hn so vi tng ngun vn v bng ng t th gi l tng bng tng ngun vn. Theo kt qu hi quy trn th sn lng tng l nhanh, chm hay bng so vi tng ngun vn? j) Sn lng tng c bng tng lao ng hay khng? BI TP THC HNH CHNG 2 Bi 1 (trang 45) n bi 6 (trang 56) sch Bi tp Kinh t lng vi s tr gip ca phn mm Eviews ca Nguyn Quang Dong

CHUNG 3. HI QUY VI BIN GI 3.1. a) Th no l bin nh tnh b) Bin nh tnh trong m hnh l bin c lp hay bin ph thuc 3.2. Cc bin s sau y l nh lng hay nh tnh: a) GDP b) khng hong du m nm 1973 c) xut khu ca Vit Nam sang cc nc ASEAN d) thnh vin ca t chc thng mi th gii WTO e) Sinh vin tt nghip i hc Ngoi thng H ni f) Sinh vin din chnh sch 3.3. Xt m hnh chi tiu ca h gia nh ph thuc vo thu nhp (n v: triu VN). C kin cho rng d mc thu nhp nh nhau th tiu dng ca h gia nh khu vc thnh th lun cao hn khu vc khc v mun c lng mc chnh lch ti a. a) Hy nu cch phn tch nhn nh v tnh ton kt qu. b) Kim nh kin cho rng khuynh hng tiu dng thnh th cng cao hn khu vc khc v mun c lng ti thiu mc chnh lch , th thc hin th no? c) C kin cho rng v mc thu nhp t 5 triu ng tr ln s chu thu thu nhp v thu sut dng, do khuynh hng tiu dng vi mc thu nhp di 5 triu cao hn khi thu nhp mc 5 triu tr ln. Hy xut mt m hnh phn tch kin . 3.4. Lng cung (S) trn th trng ca doanh nghip c cho rng ph thuc vo gi bn ca sn phm trn th trng (P), gi yu t sn xut u vo (W). Tuy nhin c kin cho rng vi doanh nghip c vn u t nc ngoi th lng cung chu tc ng ca yu t gi bn v yu t gi sn xut u vo l t hn so vi doanh nghip khng c vn u t nc ngoi. Hy xy dng m hnh kinh t lng v nu cch phn tch kim nh kin ? 3.5. Cho kt qu hi quy vi CS l tiu dng khu vc dn c, GDP l tng sn phm quc ni; D86 l bin gi nhn gi tr bng 1 nu quan st t nm 1986 v sau v bng 0 vi giai on trc ; D92 l bin gi nhn gi tr bng 1 nu quan st t nm 1992 v sau v bng 0 vi giai on trc . Vi = 5% :
Dependent Variable : CS Method : Least Squares Date: 01/20/10 Time: 20:17 Sample: 1976 2006 Included observation: 31 Variable Coeficient Std. Error C 1313.74 166.46 GDP 0.596 0.0098 D86 439.74 263.48 D92 742.9 344.9 R squared 0.99772 Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat 0.84

T Statistic

Prob

Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Cho hip phng sai c lng hai h s ca D86 v D92 bng -39007 a) Hy vit m hnh hi quy vi tng giai on b) H s chn c thc s khc nhau gia cc giai on hay khng?

c) Khi tng sn phm quc ni l nh nhau, th vo nm 2000 mc tiu dng khu vc t nhn nhiu hn vo nm 1990 ti a l bao nhiu? Cho kt qu hi quy sau:
Dependent Variable : LOG(CS) Method : Least Squares Date: 01/14/10 Time: 20:17 Sample: 1976 2006 Included observation: 31 Variable Coeficient C 0.01966 D92 1.0062 LOG(GDP) 0.9845 D92* LOG(GDP) - 0.12 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 0.11567 0.17137 0.01369 0.0184 0.9994

T Statistic

Prob

1.059

Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

15024

Cho bit hip phng sai hai c lng h s gc tng ng vi LOG(GDP) v D92* LOG(GDP) nh khng ng k. d) Vit m hnh hi quy, hm hi quy mu vi cc bin CS, GDP trong cc giai on t nm 1992 v sau v giai on trc . e) Gi s GDP cng bng 1 th tiu dng vo nm 2000 nhiu gp tiu dng nm 1990 ti a bao nhiu ln? f) Nu cng mc tng trng kinh t th mc tng trng tiu dng hai giai on c khc nhau khng? Nu c th giai on no tng trng tiu dng nhanh hn? g) Nu cng mc tng trng 10% giai on sau CS tng trng t hn giai on u ti a l bao nhiu? h) Vo nm 2000, nu GDP tng trng 10% th tiu dng dn c tng trong khong no? 3.6. Nghin cu s bin ng ca lng gas bn ra (Q: bnh) ph thuc vo gi gas (PG: 1000VN/ bnh), c ngi cho rng cht lng gas l quan trng, ngi cho rng trong nhng thng i l nhp bnh gas mi th lng bn ra khng ging vi nhng thng nhp bnh gas c, do hi quy m hnh c cc bin nh sau: D = 1 vi nhng thg nhp bnh gas mi, D = 0 vi nhng thng khc,DPG = D * PG. Cho bit = 5%.
Dependent Variable : Q Method : Least Squares Date: 01/12/10 Time: 20:17 Sample: 1/1997 3/1999 Included observation: 27 Variable Coeficient C 2403.55 PG -7.0673 D 106.01 DPG 0.278 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 564.01 0.20832 98.54 0.0789 0.99252 0.99154 41.568 39741 1.9506

T Statistic

Prob

Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

1831.4

1016.8

a) Vit hm hi quy tng th, hm hi quy mu cho tng trng hp thng bn bnh gas mi v c. b) Tm c lng im mc chnh lch ca h s chn trong 2 trng hp trn. c) Trong thng bn bnh gas mi nu gi gas l 110 nghn ng th c lng im lng bn l bao nhiu? Vi thng bn bnh gas c th gi tr bng bao nhiu? d) V th hm hi quy mu trong hai trng hp. e) Cc h s ca m hnh c khc khng mt cch c ngha khng? f) H s chn ca m hnh trong nhng thng nhp bnh mi v bnh c c thc s khc nhau hay khng? g) th thc t ca hm hi quy tng th c th c dng nh th no? h) Khi cng gim gi 1 nghn ng th kh nng bn thm ca nhng bnh gas c v mi chnh lch nhau trong khong no? i) Dng kim nh thu hp hm hi quy nh gi vic a thm bin gi c cn thit hay khng so vi m hnh ch c mt bin bin gii thch ni chng 2. j) Mt ngi cho rng do bnh gas lun c gi cao v an ton nn lng bn khng chu nh hng ca cht lng bnh gas m chu nh hng ca vic qung co. Anh ta cho rng trong nhng thng c qung co tch cc th lng bn tng hn so vi nhng thng khng tch cc qung co. Hy xy dng m hnh v nu cch kim tra. k) Nu mun xem xt nh hng ng thi ca c vic thng nhp bnh gas mi hay c v c qung co tch cc hay khng th phi xy dng m hnh v thc hin cc kim nh nh th no? 3.7. Mt c quan nghin cu mi quan h gia sn lng u ra ca cc c s sn xut v ngun lc u vo (vn: K; lao ng: L) cho rng c s sn xut thuc s hu nh nc v khng thuc s hu nh nc th hiu qu ca ngun vn l khng nh nhau, do xem xt s bin ng ca sn lng khng ch ph thuc vo vn v lao ng m cn c yu t thuc s hu nh nc hay khng? Khi a thm bin gi D: D =1 nu c s sn xut khng thuc nh nc v D = 0 nu ngc li v hi quy m hnh sau vi DL = D * L; DK = D * K. Cho bit = 5%.
Dependent Variable : S Method : Least Squares Date: 01/22/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient C 19.0034 L 16.9695 K 9.718 DL 5.7866 DK 2.8915 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 26.95 6.46 3.334 1.749 1.7838 0.7954 0.7408 29.40 12957 2.475

T Statistic

Prob

Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

109.47

14.581

a) Vit hm hi quy tng th. Ngi nghin cu xem xt yu t thuc hay khng thuc s hu nh nc tc ng n nhng h s hi quy no? C xem xt tc ng n h s chn khng?
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b) Vit hm hi quy mu cho cc c s sn xut thuc s hu nh nc v khng thuc s hu nh nc. c) Tm c lng im ca mc sn lng ca doanh nghip thuc nh nc hoc khng thuc nh nc khi c 30 cng nhn v ngun vn 350 triu ng. d) Tm c lng im ca mc chnh lch sn lng ca c s thuc v khng thuc s hu nh nc khi thay i mt lao ng v ngun vn thay u 1 triu ng. e) Khi cng thay i ngun vn, lao ng khng i th c s thuc hoc khng thuc nh nc mc sn lng thay i c khc nhau hay khng? Nu cng thay i lao ng, vn khng i th mc thay i sn lng trong hai trng hp trn ging nhau khng? f) Vic a thm bin gi vo c thc s cn thit v lm tng ngha m hnh hay khng? Dng kim nh thu hp hi quy a ra kt lun nu bit vi m hnh S ph thuc vo K, L c h s chn RSS bng 17925 g) Nu c ngi quan tm khng phi l vic c s sn xut thuc hay khng thuc s hu nh nc m l c s sn xut thuc loi ln (nu ngun vn trn 1 t ng) hay nh (ngun vn di 1 t ng) v cho rng c s loi ln th hiu qu ngun vn v ngun lao ng ln hn c s loi nh. Khi mun kim tra phi lm th no? h) Nu mun xem xt tc ng ca c yu t thuc hay khng thuc s hu nh nc v yu t c s ln v nh th phi lm th no? 3.8. Cho kt qu hi quy vi 30 doanh nghip hot ng trong lnh vc xy dng, trong S l sn lng, K l vn, L l lao ng. Log l logarit t nhin ca cc bin tng ng.
Dependent Variable : log(S) Method : Least Squares Date: 11/23/10 Time: 20:17 Sample: 1 30 Included observation: 30 Variable Coeficient C 1.488015 LOG(K) 0.573343 LOG(L) 0.315796 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 0.695489 0.077184 0.050953 0.817845 0.045110 1.877910

T Statistic 2.139525 7.428216 6.197726 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Prob 0.0416 0.0000 0.0000 8.908643 -3.321862 0.0000

Hip phng sai ca hai h s gc bng 0. 001 a) Vit hm hi quy vi cc bin v gii thch ngha. b) Khi vn tng thm 1% th sn lng tng ti thiu bao nhiu? c) Nhn xt kin cho rng khi lao ng tng 1% th sn lng cng khng th tng n mc nh gi tr tnh c trong cu hi trn? d) C th ni tng quy m vn em li kt qu nhiu hn so vi tng quy m v lao ng vi cng t l c hay khng? e) Phi chng qu trnh sn xut c hiu qu gim theo quy m? f) Vy phi chng qu trnh sn xut c hiu qu khng i theo quy m? g) Khi hi quy logarit ca S theo logarit ca K*L, cho kt qu di y. So snh vi m hnh trn v cho bit kt qu dng lm g?

11

Dependent Variable : log(S) Method : Least Squares Date: 11/23/10 Time: 20:17 Sample: 1 30 Included observation: 30 Variable Coeficient C 2.301933 LOG(K*L) 0.402811 R squared Sum squared resid

Std. Error 0.673422 0.041056 0.774672 0.055801

T Statistic 3.418264 9.811375 Mean dependent var Prob (F statistic)

Prob 0.0019 0.0000 8.908643 0.000000

h) Hi quy logarit ca nng sut lao ng theo logarit mc u t vn bnh qun/lao ng, c kt qu sau. So snh vi m hnh trn v cho bit kt qu dng lm g. Bi tp trong sch Bi tp

12

CHUNG 4. NH GI M HNH 1. Hin tng a cng tuyn 1. Hy gii thch cc vn sau: a) a cng tuyn, a cng tuyn hon ho v a cng tuyn khng hon ho b) Hm hi quy ph, mc ch ca vic a vo hm hi quy ph l g? 2 3 2. Hm tng chi ph c dng: TCOSTi = 1 + 2 Q i + 3 Q i + 4 Q i + U i . Hy cho bit m hnh ny c hin tng a cng tuyn hay khng? 3. Vi Q l lng bn gas, PG l gi ca bnh gas, PE l gi in sinh hot v PC l gi bp gas. = 5% a) Khi hi quy Q ph thuc vo PG v h s chn, c th c hin tng a cng tuyn hay khng? b) Cho m hnh [1]
[1] Dependent Variable : Q Method : Least Squares Date: 01/32/10 Time: 20:17 Sample: 1 27 Included observation: 27 Variable Coeficient C 1053.6 PG - 6.9435 PC - 0.001737 PE 338.15 R squared

Std. Error 123.052 0.626036 0.001815 128.23 0.99406

T Statistic

Prob

Mean dependent var

Nghi ng trong m hnh [1] c hin tng a cng tuyn v thng k T ca h s ng vi bin PC nh m R2 ln. Hy nu mt cch kim tra hin tng . c) Tin hnh hi quy c kt qu sau y:
[2] Dependent Variable : PC Method : Least Squares Date: 01/32/10 Time: 21:17 Sample: 1 27 Included observation: 27 Variable Coeficient C 555.7082 PE - 7.3608 PG 0.34168 R squared

Std. Error 50.9517 3.6730 0.020910 0.93617

T Statistic

Prob

Mean dependent var

d) M hnh [2] nhm mc ch g? e) Bin PC c ph thuc tuyn tnh vo PE hay khng? Bin PC c ph thuc tuyn tnh vo PG hay khng? f) M hnh [1] c khuyt tt a cng tuyn hay khng? a cng tuyn ny l hon ho hay khng hon ho? Cc c lng ca m hnh [1] cn l c lng tt nht hay khng? g) Nu mt cch n gin khc phc khuyt tt ca m hnh [1] h) Khi b bin PC ra khi m hnh [1] tin hnh hi quy Q theo PG, PE c h s chn thu c R2 = 0,9821. C nn b bin PC khng? i) kim tra m hnh Q ph thuc vo PG, PE v h s chn c khuyt tt khng, ngi ta hi quy PG theo PE c h s chn thu c h s xc nh bng 0,1215. M hnh dng lm g, c kt lun g thu c hay khng? j) Khi hi quy m hnh: Q ph thuc PG, D, DPG c h s chn vi D l bin gi nhn gi tr bng 1 nu thng i l bn bnh gas mi, D= 0 vi cc thng bn
13

bnh gas c, DPG = D*PG. Cc bin D v DPG c th c quan h cng tuyn vi nhau hay khng? 4. Vi S l sn lng ca mt c s sn xut, K l ngun vn, L l lao ng, D l bin gi vi D =1 nu c s sn xut khng thuc s hu nh nc v D = 0 nu c s thuc s hu nh nc. = 5% a) Khi hi quy: S ph thuc vo L c h s chn c th c hin tng a cng tuyn hay khng? b) Khi hi quy m hnh [1]:
[1] Dependent Variable : S Method : Least Squares Date: 02/23/10 Time: 21:17 Sample: 1 20 Included observation: 20 Variable Coeficient C - 20.6583 K 10.7720 L 17.2232 R squared

Std. Error 22.0029 2.1599 4.5279 0.71699

T Statistic

Prob

Mean dependent var

Nghi ng m hnh [1] c hin tng a cng tuyn, hy nu mt cch kim nh c) cho bit bng kt qu hi quy [2] di y dng lm g? kt lun g thu c v hin tng a cng tuyn trong m hnh [1]
[2] Dependent Variable : K Method : Least Squares Date: 02/23/10 Time: 22:17 Sample: 1 20 Included observation: 20 Variable Coeficient C 5.1153 L 0.18696 R squared

Std. Error 13.4659 0.07589 0.254482

T Statistic Mean dependent var

Prob

d) Khi hi quy S ph thuc vo L, K, T c h s chn, trong T l bin s cng ngh, ngi ta thu c h s ca T bng 5.8332 vi lch chun bng 4.9235. Bin s T a vo c ngha khng? e) Nghi ng trong m hnh ni cu (d) c hin tng a cng tuyn, ngi ta cho hi quy T theo L, K c h s chn thu c R2 = 0,6213. Kt qu cho bit iu g? Khi c nn a bin T vo m hnh khng? f) Nu mun kim tra m hnh LS ph thuc vo LL, LK vi L l logarit c s t nhin ca cc bin tng ng c h s chn bit c hin tng a cng tuyn hay khng, ta c th lm th no? g) Khi hi quy LK theo LL c h s chn thu c h s gc bng 1,928 v lch chun bng 1,437. Kt qu dng lm g, kt lun g thu c. h) Khi t bin DL = D*L vi D l bin gi, khi D v DL c quan h cng tuyn hay khng? 5. Vi b s liu QA l lng bn ca ca hng A, PA l lng bn ca ca hng A, PB l lng bn ca ca hng B, QB l lng bn ca ca hng B. = 5% . a) Khi hi quy QA theo PA c h s chn m hnh ny c th c a cng tuyn hay khng? b) Cho kt qu hi quy sau:

14

[1] Dependent Variable : QA Method : Least Squares Date: 02/23/10 Time: 22:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 263.3270 PA - 4.083159 PB 1.821772 R squared Durbin Watson stat

Std. Error 13.37776 0.480999 0.499185 0.865456 1,604510

T Statistic

Prob

Mean dependent var

225.2917

C du hiu g mu thun gia kim nh T v kim nh F khng? c) Phi chng m hnh [1] khng c a cng tuyn. d) Hi quy ph kim tra a cng tuyn vi m hnh [1] thc hin th no? e) Cho kt qu di y. Hy cho bit kt qu dng lm g v c nh gi nh th no?
[1] Dependent Variable : PA Method : Least Squares Date: 02/25/10 Time: 12:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 23.34029 PB -0.43992 R squared Durbin Watson stat

Std. Error 3.224648 0.200888 0.175682 1.458679

T Statistic Mean dependent var

Prob 16.41667

f) Khi thm bin QB l lng bn ca ca hng B vo m hnh [1] thu c m hnh di y, c nhng nhn xt g v s thay i ca kt qu?
[2] Dependent Variable : QA Method : Least Squares Date: 02/25/10 Time: 13:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 278.9051 PA - 4.103967 PB - 0.127679 QB 0.061289 R squared Durbin Watson stat

Std. Error 56.32415 0.497263 6.856371 0.214961 0.866000 1.591831

T Statistic

Prob

Mean dependent var

225.2917

nh gi mc a cng tuyn ca m hnh [2] qua hi quy ph nh th no? g) Khi hi quy QB theo PA, PB c m hnh [3] di y, c nhn xt g v kt qu hi quy v kt lun v m hnh [2]
[3] Dependent Variable : QB Method : Least Squares Date: 02/25/10 Time: 14:17 Sample: 1 24 Included observation: 24 Variable Coeficient C - 254.1744 PA 0.339497 PB - 3.180739 R squared Durbin Watson stat

Std. Error 13.88764 0.499332 0.051821 0.995384 1.956645

T Statistic

Prob

Mean dependent var

257.6667

15

h) Kt qu hi quy QA theo PB, QB c [4] di y cho thy iu g c bit? Gii thch nh th no?
[4] Dependent Variable : QA Method : Least Squares Date: 02/25/10 Time: 15:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 119.0019 PA 9.9000661 QB -0.199078 R squared Durbin Watson stat

Std. Error 108.3329 13.822220 0.435555 0.409639 1.295836

T Statistic

Prob

Mean dependent var

7.285729

Bi tp trong sch Bi tp 2. Hin tng phng sai ca sai s thay i 1. Gii thch cc khi nim sau: a) Hin tng phng sai ca sai s khng ng u? Nguyn nhn b) Tnh cht ca cc c lng khi phng sai ca sai s khng i? 2. Hin tng phng sai ca sai s thay i gy ra nhng hu qu g? 3. Pht hin ra phng sai ca sai s thay i nh th no? 4. Khc phc phng sai ca sai s thay i nh th no? 5. Phng php bnh phng nh nht tng qut thc hin nh th no? 6. Cho bng kt qu hi quy [1] vi EX l tng gi tr xut khu, GAP l tng sn phm nng nghip, GIP l tng sn phm cng nghip ca Vit Nam (n v: triu USD), s liu UNCTAD; cc bng kt qu sau c Resid l k hiu phn d ca m hnh [1]
[1] Dependent Variable : EX Method : Least Squares Date: 02/25/10 Time: 15:17 Sample: 1986 2006 Included observation: 21 Variable Coeficient C 616.0880 GAP - 1.150342 GIP 2.254334 R squared Durbin Watson stat

Std. Error 1517.436 0.610231 0.272353 0.986036 0.917885

T Statistic

Prob

Mean dependent var

12662.97

a) Cho bng kt qu [1a] da trn m hnh [1] (hi quy khng c tch cho)
[1a] White Heteroskedasticity Test: - no cross terms F statistic 12.94728 Probability 0.000068 Obs*R squared 16.04345 Probability 0.002961 Dependent Variable : RESID^2 Included observations: 21 Variable Coeficient Std. Error T Statistic C 19431891 7107300 GAP - 11077.75 4195.004 GAP^2 1.129366 0.308390 GIP 1916.946 1541.284 GIP^2 - 0.155541 0.064455 R squared 0.763974 Mean dependent var

Prob

2011908

16

Durbin Watson stat

1.300125

Cho bit kt qu [1a] dng lm g, thc hin tt c cc kim nh c th kt lun. b) Cc c lng h s ca m hnh [1] c phi l tt nht hay khng? c) Vi kim nh White c tch cho thu c kt qu sau, hy vit m hnh hi quy ph, thc hin kim nh v kt lun?
[1b] White Heteroskedasticity Test: cross terms F statistic 18.47257 Probability Obs*R squared 18.06602 Probability 0.000006 0.002865

d) Kt qu [1c] sau y dng lm g v thc hin cc kim nh c th kt lun?


[1c] Dependent Variable : LOG(RESID^2) Included observations: 21 Variable Coeficient Std. Error C 8.653524 5.052607 LOG(GAP) 0.532334 0.588999 R squared 0.041220 Durbin Watson stat T Statistic Mean dependent var Prob

e) Khi hi quy gi tr tuyt i ca phn d t m hnh [1] theo GIP th thu c h s xc nh bng 0,26, hy cho bit kt qu dng lm g v thu c kt lun g? f) Hi quy bnh phng phn d thu c t m hnh [1] theo bnh phng ca GAP th thu c c lng h s gc bng 0.076 v sai s chun bng 0,0205. Kt qu dng lm g v thu c kt lun g? g) Da vo kim nh trong cu trn, hy nu mt cch khc phc hin tng phng sai ca sai s thay i ca m hnh [1] h) Cho kt qu hi quy [1d] di y, hy cho bit kt qu hi quy dng lm g v t cha?
[1d] Dependent Variable : EX/GAP Included observations: 21 Variable Coeficient Std. Error 1/GAP 1465.537 805.2241 C -1.242611 0.414512 GIP/GAP 2.205435 0.207373 R squared 0.967132 Durbin Watson stat 1.029834 White Heteroskedasticity Test: F statistic 0.775922 Probability Obs*R squared 4.315333 Probability T Statistic Prob

Mean dependent var 0.581992 0.504965

1.646545

k) Kt qu [1e] sau y dng khc phc hin tng no, da trn gi thit no v t cha?
[1e] Dependent Variable : EX/GIP Method: Least Squares Included observations: 21 Variable Coeficient Std. Error 1/GIP 672.9681 586.269 GAP/GIP -0.714594 0.332085 C 1.892699 0.186784 R squared 0.608998 Durbin Watson stat 1.045313 White Heteroskedasticity Test: F statistic 0.677251 Probability Obs*R squared 3.867638 Probability

T Statistic

Prob

Mean dependent var 0.647321 0.568626

1.336721

17

Vi m hnh [1e] nu GIP tng 1 n v th EX tng ti a bao nhiu vi tin c 95%. l) Cho kt qu [1f] di y vi EXF l c lng ca EX t [1], cho bit kt qu dng lm g, da trn gi thit no, c kt lun g?
[1f] Dependent Variable : EX/EXF Method: Least Squares Included observations: 21 Variable Coeficient Std. Error 1/EXF - 89.20411 396.2826 GAP/XF -0. 231545 0.233316 GIP/EXF 1.602554 0.151471 R squared 0.911181 Durbin Watson stat White Heteroskedasticity Test: F statistic 0.786436 Probability Obs*R squared 4.361663 Probability

T Statistic

Prob

Mean dependent var 0.575278 0.498603

1.210433

m) So snh kt qu hiquy vi cc m hnh khc phc hin tng phng sai ca sai s thay i? Bi tp trong sch Bi tp

18

3. Hin tng t tng quan Th no l t tng quan T tng quan v t tng quan chui c khc nhau khng? Nguyn nhn ca hin tng t tng quan Trnh by hu qu ca hin tng t tng quan Cc phng php kim nh t tng quan Trnh by cc cch khc phc hin tng t tng quan 7. Cho kt qu hi quy vi CS l chi tiu cho tiu dng khu vc dn c, GDP l tng sn phm quc ni, n v: triu USD (s liu UNCTAD). = 5% .
[1] Dependent Variable : CS Method: Least Squares Included observations: 21 Variable Coeficient C 1972.202 GDP 0.609456 R squared Durbin Watson stat

1. 2. 3. 4. 5. 6.

Std. Error 214.5043 0.007503 0.997128 0.448382

T Statistic Mean dependent var

Prob 16455.67

a) Gii thch ngha kt qu trn v kim nh v hin tng t tng quan bc nht trong [1] trn? Kt qu c phi tt nht khng? b) Vi Resid l phn d thu c t m hnh [1] kt qu di y cho bit iu g? Vit m hnh v thc hin kim nh?
[1a] Breusch Godfrey Serial Correlation LM Test: F statistic 23.48433 Probability 0.000130 Obs*R squared 11.88813 Probability 0.000565 Dependent Variable : RESID Included observations: 21 Variable Coeficient Std. Error T Statistic C 19.47901 145.2236 GDP - 0.001193 0.005084 RESID(-1) 0.757521 0.156317 R squared 0.566101 Mean dependent var Durbin Watson stat

Prob

c) Hy nu cch tnh thng k F statistic v Obs*R squared trong bng kim nh v thc hin kim nh vi cc thng k ? d) Cho kt qu kim nh hin tng t tng quan n bc 3 di y, vit hi quy ph v kim nh, h s xc nh ca hi quy ph bng bao nhiu?
[1d] Breusch Godfrey Serial Correlation LM Test: F statistic 9.246073 Probability 0.000879 Obs*R squared 13.31793 Probability 0.003997

e) S dng thng k Durbin Watson, nu mt cch khc phc hin tng t tng quan bc nht ca m hnh? f) Cho bit kt qu hi quy [1f] di y dng lm g v t c mc ch cha?
[1f] Dependent Variable : CS 0.776*CS(-1) Included observations: 21 Variable Coeficient Std. Error C 495.2485 146.2124 GDP 0.776*GDP(-1) 0.604529 0.016296 R squared 0.987089 T Statistic Mean dependent var Prob 5081.43 2

Durbin Watson stat 1.388933 Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 1.645967 Probability 0.216725

19

Obs*R squared

1.765494

Probability

0.183941

g) Vi kt qu hi quy trn, c lng li cc h s ca m hnh gc v cho bit vi tin cy 95% th tiu dng t nh ti a l bao nhiu? h) Cho kt qu [1h] sau y, hy cho bit kt qu ny thu c trn gi thit no, phn tch v hin tng t tng quan bc 1 v ngha kt qu? Vi D(CS) = CS CS(-1); D(GDP) = GDP GDP(-1)
[1h] Dependent Variable : D(CS) Included observations: 20 Variable Coeficient Std. Error T Statistic D(GDP) 0.621676 0.024552 R squared 0.926902 Mean dependent var Durbin Watson stat 1.494477 Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 1.118616 Probability 0.304205 Obs*R squared 1.115922 Probability 0.290798 Prob

l) Khc phc hin tng t tng quan bng cch thm bin tr bc 1 ca GDP vo m hnh, c m hnh [1l] cch khc phc ny c kt qu khng?
[1l] Dependent Variable : CS Included observations: 20 Variable Coeficient C 2029.374 GDP 0.665963 GDP(-1) - 0.064717 R squared Durbin Watson stat [1m] Dependent Variable : CS Included observations: 20 Variable Coeficient C 492.2522 GDP 0.695480 GDP(-1) - 0.577594 CS(-1) 0.7856651 R squared Std. Error 232.8032 0.086056 0.094723 0.997135 0.492157 T Statistic Prob

Mean dependent var

17051.4 1

m) M hnh [1m] di y c t tng quan hay khng?


Std. Error 314.0830 0.052565 0.109852 0.143331 0.999005 T Statistic Prob

Mean dependent var

17051.4 1

Durbin Watson stat 1.851964 Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 0.046862 Probability 0.831532 Obs*R squared 0.062289 Probability 0.802914

i chiu kt qu [1m] vi m hnh gc [1] c th coi c lng h s t tng quan bc 1 bng bao nhiu? n)Khi hi quy m hnh CS ph thuc vo GDP theo phng php Cochran Orcutt c kt qu [1n] di y, hy gii thch ngha kt qu hi quy?
[1n] Dependent Variable : CS Included observations: 20 after adjusting endpoints Convergence achieved after 6 iterations Variable Coeficient Std. Error C 2202.891 610.0267 GDP 0.604353 0.015638 AR(1) 0.746338 0.150790 R squared 0.998802 Sum squared resid 2188621

T Statistic

Prob

Mean dependent var F statistic

17051.4 1 7084.84 6

20

Durbin Watson stat 1.358948 Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 3.177239 Probability 0.093654 Obs*R squared 3.313552 Probability 0.068711

Bi tp trong sch Bi tp

21

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