Econometrics

Kinh t lng
Econometrics
Econometrics
Chng 1
Gii thiu kinh t lng
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NI DUNG
Lch s ca kinh t lng 1
Khi nim v kinh t lng 2
ng dng kinh t lng 3
S liu trong kinh t lng 4
Mi quan h trong kinh t lng 5
Quy trnh xy dng m hnh 6
Phn tch hi quy 7
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1. LCH S MN HC
Thut ng Econometrics c s dng u tin bi Pawel
Ciompa vo nm 1910
n nm 1930 , vi cc cng trnh nghin cu ca Ragnar Frisch
(Na Uy) th thut ng Econometrics mi c dng ng
ngha nh ngy hm nay
Cng khong thi gian ny th Jan Tinbergen (H Lan) cng c
lp xy dng cc m hnh kinh t lng u tin
Hai ng cng c trao gii Nobel kinh t nm 1969 vi nhng
nghin cu ca mnh v kinh t lng
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2. Khi nim kinh t lng
Kinh t lng (Econometrics):
Economic
metrics
Econometrics: o lng kinh t, lng ha cc v k t

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2. Khi nim kinh t lng
Nhiu nh ngha, ty theo quan im ca mi
tc gi
kinh t lng l mt mn hc c lp, vi s kt
hp ca l thuyt kinh t, cng c ton hc v
phng php lun thng k nghin cu cc v/
kinh t x hi thng qua vic xy dng, phn tch,
nh gi cc m hnh cho ra li gii bng s
h tr vic ra quyt nh trong kinh t x hi.

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3. ng dng kinh t lng
c lng quan h kinh t
- o lng mc tc ng ca vic h li
sut ln tng trng kinh t.
- c lng nhu cu ca mt mt hng c
th:
- Phn tch tc ng ca qung co v
khuyn mi ln doanh s ca mt cng ty.
- Mi quan h cung/cu vi gi ca cc sn
phm v dch v.
- Mi quan h gia t sut sinh li ca mt
c phiu vi t sut sinh li bnh qun ca
th trng.
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- Mi quan h gia thu nhp v tiu dng.
- Mi quan h gia chnh sch tin t vi
lm pht, t l tht nghip, xut nhp khu.
- Mi quan h gia t gi v xut nhp khu.
- Mi quan h gia thu nhp ca ngi lao
ng vi trnh v thm nin ca ngi
lao ng.
- Mi quan h gia tng trng kinh t vi
u t ca nn kinh t.
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3. ng dng kinh t lng
Kim nh gi thuyt
Kim nh gi thuyt v tc ng ca chng trnh
khuyn nng lm tng nng sut la.
Kim chng nhn nh co dn theo gi ca cu
v c basa dng fillet th trng ni a.
C s phn bit i x v mc lng gia nam v
n hay khng?
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3. ng dng kinh t lng
Kim nh gi thuyt
Tc ng tr gi ca chnh ph vi sx hng ha.
Cc nh u t mun tm hiu xem tc ng ca
cc ch s v kq hot ng kinh doanh ca mt
d/nghip nh hng nh th no n gi c phiu.
Cc nh hoch nh chnh sch mun tm hiu
xem vn u t ca mt nn kinh t tc ng nh
th no n tng trng kinh t.
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3. ng dng kinh t lng
D bo
Doanh nghip d bo doanh thu, chi ph sn xut, li
nhun, nhu cu tn kho
Chnh ph d bo mc thm ht ngn sch, thm ht
thng mi, lm pht
D bo ch s VN Index hoc gi mt loi c phiu c
th nh REE.
Cc doanh nghip c th d bo c doanh thu, li
nhun trc mi chin dch qung co
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Phn loi
Theo gi tr ca bin s
- S liu nh lng: l s liu m cc quan st c
thc hin bng cc con s km theo n v no
- S liu nh tnh: l s liu m quan st c thc
hin bng cc phm tr, cc thuc tnh nht nh

4. S liu trong kinh t lng
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Phn loi

Theo phng thc thu thp s liu
S liu chui thi gian : l s liu c thu thp ti
mt im nhng ti nhiu thi im khc nhau
S liu cho : S liu thu thp ti mt thi im
nhng ti cc khng gian khc nhau
S liu hn hp : l s kt hp ca hai loi s liu
trn

4. S liu trong kinh t lng
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Data Types
Dn s
2003 2004 2005 2006
Tnh 1 435 460 475 490
Tnh 2 320 345 375 395
Tnh 3 405 390 410 395
Tnh 4 260 270 285 280
Time
Series
Data
Cross Section
Data
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Ngun s liu
Ngun s cp: iu tra
Ngun th cp: Mua t cc t chc thng k,
internet, bo, tp ch
4. S liu trong kinh t lng
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Nhc im
Hu ht l s liu phi thc nghim (thu thp t thc
t), c th c nhiu sai s khi thu thp hoc b st
quan st
C mu khc nhau nn kh so snh kt qu khi
iu tra v x l s liu
Kt qu nghin cu ph thuc nhiu vo s liu do
c nhng tnh hung nh nghin cu thy khng
tha ng khng phi do m hnh sai m do s liu
cha tt, do cc kt lun cng khng nn qu
gio iu khi ch da vo kt qu phn tch
4. S liu trong kinh t lng
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Quan h hi quy
Bin ph thuc l i lng ngu nhin tun
theo cc quy lut phn b xc sut
Hi quy nghin cu s ph thuc ca mt i lng
kinh t ny (bin ph thuc) vo mt hay nhiu i
lng kinh t khc (bin c lp) da trn c lng
gi tr trung bnh ca bin ph thuc trn c s cc gi
tr bit trc ca cc bin c lp.
Bin c lp c gi tr xc nh trc
(ng vi mi gi tr ca bin c lp c nhiu gi
tr khc nhau ca bin ph thuc)
5. Mi quan h trong kinh t lng
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Quan h hm s
Trong quan h hm s, cc bin khng phi l ngu
nhin, ng vi mi gi tr ca bin c lp c duy
nht mt gi tr ca bin ph thuc
V d: chu vi hinh vung y=4x
5. Mi quan h trong kinh t lng
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Quan h nhn qu
Hai bin X v Y c gi c quan h nhn qu nu
X xem l nguyn nhn mang li kt qu Y
V d
S v cp tng nn s cnh st tng ln,
Ht thuc th gy ung thu phi nhng ung th
phi khng lm cho ngi ta phi ht thuc
Nng sut tng do lng ma tng nhng
khng th d bo lng ma da vo nng
sut

5. Mi quan h trong kinh t lng
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Quan h tng quan
Phn tch tng quan o lng mi lin h tuyn
tnh gia hai bin, cc bin c vai tr i xng,
khng xc nh bin c lp v bin ph thuc.
Khi phn tch hi quy cn phn bit bin no l
bin ph thuc, bin no l bin c lp, nhng
trong phn tich tng quan khng cn.
L thuyt tng quan thng a nhng bin s
l ngu nhin, trong khi l thuyt hi quy quy nh
bin c lp c tnh phi ngu nhin.
5. Mi quan h trong kinh t lng
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Ths. Tran Van Hoang
L thuyt hoc gi thuyt
M hnh kinh t lng
Thu thp s liu
c lng tham s

Kim nh gi thuyt
Din dch kt qu

D bo

Quyt nh chnh sch
M hnh ton kinh t
6. Quy trnh xy dng m hnh
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V d v kinh t lng
Nghin cu tnh quy lut ca tiu dng.
1. Xy dng mt lun thuyt kinh t v tiu
dng.
Trong tc phm: L thuyt v vic lm,
li sut v tin t, Keynes vit:Lut tm
l c bn . . . l mt ngi s tng tiu
dng khi thu nhp ca ngi tng ln,
song khng th tng nhiu bng mc
tng ca thu nhp
(2)
John Maynard Keynes, 1936, theo D.N.Gujarati, Basic Economics, 3
rd
, 1995, trang 3.
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Ths. Tran Van Hoang
2. Xy dng m hnh kinh t ton tng ng.
K hiu: Y l tiu dng
X l thu nhp
V gi s Y ph thuc tuyn tnh vo X.
Ta c m hnh kinh t ton sau y:
Y = |
1
+ |
2
X
M hnh trn thng c gi l Hm tiu
dng ca Keynes v phi tho mn iu
kin:
0 < |
2
< 1
V d v kinh t lng
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3. Xy dng m hnh kinh t lng tng ng.
M hnh kinh t lng tng ng c dng:
Y
i
= |
1
+ |
2
X
i
+ u
i

Trong u
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l sai s ngu nhin.

4. Thu thp s liu thng k.
C s liu sau v tng mc tiu dng c
nhn (Y) v tng thu nhp quc dn GDP (X)
ca M giai on 1982 1996 (n v: t
USD) tnh theo gi c nh nm 1992:

V d v kinh t lng
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Nm Y X
1982 3081.5 4620.3
1983 3240.6 4803.7
1984 3407.6 5140.1
1985 3566.5 5323.5
1986 3708.7 5487.7
1987 3822.3 5649.5
1988 3972.7 5865.2
1989 4064.6 6062.0
1990 4132.2 6136.3
1991 4105.8 6079.4
1992 4219.8 6244.4
1993 4343.6 6389.6
1994 4486.0 6610.7
1995 4595.3 6742.1
1996 4714.1 6928.4
Ngun: Bo co kinh t ca tng thng M, 1996.

V d v kinh t lng
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5. c lng m hnh.
Dng phng php bnh phng nh
nht, tm c cc uoc lng sau:
=-184,0779 = 0,7064
Nh vy c lng ca hm tiu dng l:
= -184,0779 + 0,7064 X
i

V d v kinh t lng
1

|
2

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6. Kim nh m hnh:
H
0
: |
2
= 0,
H
1
: |
2
> 0
H
0
: |
2
= 1
H
1
: |
2
< 1
H
0
: M hnh c dng tuyn tnh
H
1
: M hnh c dng phi tuyn
H
0
: Sai s ngu nhin phn phi chun
H
1
: Sai s ngu nhin khng phn phi chun
Mc ch ca kim nh l kim chng li
m hnh hoc l thuyt kinh t.
V d v kinh t lng
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7. D bo.
Chng hn c c s cho rng GDP ca M
vo nm 1997 l 7269.8 t USD. Lc c
th tm c mt d bo im cho Tng
mc tiu dng c nhn ca M vo nm
l:
~ -184.0779 + 0,7064*7269.8 = 4951.3
t USD
T c th xy dng tip cc d bo bng
khong tin cy.
V d v kinh t lng
1997

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8. Kim sot hoc xut chnh sch.
Chng hn chnh ph M tin rng nu c
c tng mc tiu dng c nhn l 4900
t USD th s duy tr c t l tht nghip
mc 4,2%. T duy tr c t l
tht nghip ni trn cn phi c c GDP
l nghim:
4900= -184,0779 + 0,7604 X
GDP ~ 7197 t USD.
V d v kinh t lng
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7. Phn tch hi quy
7.1 Phn tch hi quy
L phn tch mi lin h ca bin ph thuc
vi mt hay nhiu bin c lp thng qua vic
c lng gi tr trung bnh ca tng th.
Kt qu phn tch hi quy c th c dng
c lng hay d on gi tr trung bnh ca
mt bin da trn s liu bit ca bin khc.

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Y Y
1
Y
2
Y
h
: Dependent variable
X X
1
X
2.
...X
k
: Explane variable
E(Y|X
i
)=f(X
i
): Simple regression
E(Y|X
1
,..,X
n
)=f(X
1
,..,X
n
) Multiple Regression

E(Y
1
|X
1
,..,X
n
)=f
1
(X
1
,..,X
n
)
E(Y
2
|X
1
,..,X
n
)=f
2
(X
1
,..,X
n
)
..
E(Y
n
|X
1
,..,X
n
)=f
n
(X
1
,..,X
n
)
Simultaneous Equations Model
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1
Bin ph thuc
Bin c g/thch
Bin c d bo
Bin c hi quy
Bin phn ng
Bin ni sinh
2
Bin c lp
Bin gii thch
Bin d bo
Bin hi quy
Bin tc nhn
Bin ngoi sinh
Bin ph thuc v c lp
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a) V d :Xt s ph thuc chi tiu Y ca mt gia nh
vo thu nhp X mt a phng c tng cng 60
h gia nh.

X 80 100 120 140 160 180 200
220 240 260
Y1 55 65 79 80 102 105 120
135 137 150
Y2 60 70 84 93 107 110 136
137 145 152
Y3 65 74 90 95 110 110 140
140 155 175
Y4 70 80 94 103 116 115 144
152 165 178
Y5 75 85 98 108 118 120 145
157 175 180
Y6 88 113 125 130
160 189 185
Y7 115
162 191
E Yi 325 462 445 707 678 690 685
1043 966 1211
E(Y/Xi) 65 77 89 101 113 115 137
149 161 173
7.2. M hnh hi quy tng th
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b) Hm hi quy tng th
Mi lin h gia bin ph thuc v bin gii
thch da trn s liu bit ca ton b
tng th.
- Population Regression Function
PRF E(Y/X
i
)= |
1
+ |
2
X
i
- Population Regression Model
PRM Y
i
= |
1
+ |
2
X
i
+ u
i

Y
i
= f(X
i
) + u
i
Gi tr c bit gi tr TB Yu t nn
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Trong :
Y: Bin ph thuc,
X: Bin c lp, Ch s i l gi tr quan st i c th
|
1
=E(Y|X=0): Intercept coefficient

2
=E(Y|X=X
i
): slope coefficient,
U
i
: Sai s ngu nhin ng vi quan st th i.
(random errors)
M hnh hi quy tng th
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M hnh hi quy tng th
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Thut ng tuyn tnh y c hiu:
Tuyn tnh i vi tham s
E(Y/X
i
) = |
1
+ |
2
X
i
E(Y/X
i
) = |
1
+ |
2
X
i
2

E(Y/X
i
) = |
1
+ |
2
X
i
+ |
3
X
i

Tuyn tnh i vi bin s
E(Y/X
i
) = |
1
+ (1/|
2
)X
i

E(Y/X
i
) = |
1
+ |
2
2

X
i

Hm hi qui tng th c gi l tuyn tnh nu n tuyn
tnh vi tham s.
ng hi quy
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Ths. Tran Van Hoang
Sai s ngu nhin
Xt gi tr c th Y
i
e(Y/X
i
),
thng thng Y
i
E(Y/X
i
)
t u
i
= Y
i
E(Y/X
i
) : l sai s ngu nhin
(nhiu, yu t ngu nhin: random errors)

M hnh hi quy tng th
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Ths. Tran Van Hoang
c gii thch bi cc nguyn nhn sau:
Nhng yu t khng bit, khng lit k ht
c.
Nhng yu t khng c s liu.
Nhng yu t khng nh hng nhiu n
bin ph thuc.
Bin gii thch khng c s liu
Sai s ca s liu thng k.
Sai lch do chn dng hm s.
Nhng yu t m tc ng ca n khng
mang tnh h thng.

S tn ti ca yu t ngu nhin
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Hm hi quy c xy dng trn mt mu
c gi l hm hi quy mu
K hiu: SRF (Sample Regression Function)

TT: N, Mu:n c C
n
N
mu
SRF
SRM

7.3. M hnh hi quy mu
i i
X Y
2 1

| | + =
i i i
e X Y + + =
2 1

| |
Tung gc ca hm hi quy mu,
l c lng im ca
1

1

|
dc ca hm hi quy mu,
l c lng im ca
2

2

|
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t e
i
= Y
i
v gi l phn d (residual), l c
lng im ca U
i

Bn cht ca phn d e
i
ging sai s ngu nhin u
i


Mc tiu ca phn tch hi quy mu
Tm gi tr c lng gn vi gi tr thc t hay
gi tr tng th mc d khng bit trc c gi
tr tht ca tng th
ng hi quy mu cng gn vi ng hi
quy tng th th kt qu hi quy c gi tr cng
cao.

i
Y

5. M hnh hi quy mu
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BTVN:
1. Nhp X, Y vo Excel, Tool Data
analysic (Add-Ins) Regression
Input Y
Input X 0.95
2. Nu bi ton ng dng kinh t lng
c th c ph hp cng vic ca bn
3. www.mfe.edu.vn
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