Kinh Te Luong - Eviews 4

HNG DN THC HNH EVIEWS 4 BI DNG HI HKTQD 2013
I HC KINH T QUC DN
KHOA TON KINH T
B MN TON KINH T

TI LIU HNG DN
THC HNH KINH T LNG
BNG PHN MM EVIEWS 4.0

Tc gi: Bi Dng Hi
www.mfe.edu.vn/buiduonghai

Lu hnh ni b

H NI, 1 / 2013
1

MC LC

M U........................................................................................... 3
1 S LIU DNG TRONG EVIEWS...................................... 6
2 NHP S LIU T BN PHM X L S LIU......... 9
3 C LNG M HNH HI QUY N........................ 18
4 C LNG M HNH HI QUY BI.......................... 23
5 M HNH VI BIN GI................................................... 31
6 NH DNG PHNG TRNH HI QUY....................... 37
7 HIN TNG A CNG TUYN .................................... 41
8 HIN TNG PHNG SAI SAI S THAY I.......... 44
9 M HNH VI S LIU CHUI THI GIAN................ 53
10 T TNG QUAN V M HNH C BIN TR........ 61

Chng trnh Eviews4 c th ti v ti trang mng Khoa Ton
kinh t - i hc Kinh t quc dn:
www.mfe.edu.vn Th vin D liu - phn mm
a ch trn cng l ni c th ti v ti liu hng dn ny, v cc th
mc s liu.

Cc thc mc, trao i xin vui lng gi th cho tc gi theo a ch
th in t: haitkt@gmail.com
2

M U

Eviews l phn mm c thit k ring cho cc m hnh kinh t
lng v chui thi gian. Phn mm ny ph hp cho ging dy v
hc tp kinh t lng cho i tng sinh vin i hc v sau i hc.
Hin nay (1/2013) c phin bn thng mi Eviews7, t phin bn
Eviews5 c yu cu ci t cng nh bn quyn. Eviews4 khng yu
cu ci t v bn quyn, c th ti v t trang mng khoa Ton kinh
t. Khi nm c cc k nng vi Eviews4, vic chuyn sang thc
hnh vi cc phin bn cao hn l hon ton tng t. Do ph
hp vi thc trng ti Vit Nam, vi mc tiu to iu kin thun li
nht cho sinh vin, ti liu ny c vit cho thc hnh phin bn
Eviews4.

Vi s i mi ca gio trnh v chng trnh ging dy Kinh t lng
ti i hc Kinh t quc dn t nm 2013, ni dung hng dn thc
hnh cng c s thay i ph hp. Ni dung trc ht s s dng cc
s liu cho, sau thc hin vi s liu chui thi gian.

Tp chy chng trnh Eviews c biu tng l . Nhn vo biu
tng ca Eviews, ca s chnh ca chng trnh xut hin.

Ca s chnh ca chng trnh Eviews gm cc phn:
- Thanh chc nng: thc hin cc thao tc c chng trnh
nh sn, tng t nh cc chng trnh chy trong Windows.
- Ca s lnh: bn di thanh chc nng l ni vit lnh trc
tip. C th dng chut ko rng ca s lnh ty .
- Thanh ch dn: xc nh ng dn n tp ang s dng.
- Cc nt thu nh, m rng ca s, v thot khi chng trnh.
3

Ca
s
lnh
Thanh
chc
nng
Thanh
ch
dn
Thot
khi
Eviews

C th khng cn s dng chut m dng bn phm chn la cc
nt. n v gi phm Alt trn bn phm, trn dng task bar cc la chn
s t ng gch chn cc ch ci. Khi phm Alt v nhn phm
tng ng vi ch ci tng ng s cho kt qu ging nh khi dng
chut chn nt .
V d: Khi gi phm Alt, g phm F tng ng vi nhn chut vo
nt File; ch E tng ng vi nt Edit.

- Ngn cch phn nguyn v phn thp phn ca mt s, Eviews dng
du chm .

4

Mt s ch th c bn ca Eviews

Eviews lm vic vi mt s dng ch th c bn, mi ch th c th
lu li v t tn c th d dng s dng khi cn thit. Mt s ch
th thng dng gm:

Series: Thng tin v tng bin s.
Group: Thng tin v mt s bin s xt cng lc.
Graph: Thng tin th. th c th gm th ca mt bin,
th ca nhiu bin, th ca cc bin theo nhau.
Equation: Thng tin v mt phng trnh hi quy
System: Thng tin v mt h nhiu phng trnh hi quy.

Mt s k hiu dng cho thc hnh
: Thao tc, thc hin thao tc yu cu.
V d Chn View : dng chut nhn vo nt View
: Kt qu ca thao tc.
: Cc thao tc, chn la k tip nhau.
V d: File Open: Chn nt File ri nt Open.
[?] : Cu hi, cn nm c l thuyt tr li.
Tt c cc cu hi kim nh trong sch u c thc hin vi
mc ngha l 5%.
Cp ngoc vung []: do trong Eviews c th m nhiu ca s cng
lc, do cp ngoc vung xc nh ca s cn thc hin thao tc.
V d [Eviews] l ca s chnh.
- ngn gn v thun tin v sau, cc nt trn cc ca s c vit
trong cp du < >, v d: <Ok>, <Cancel>
5
1 S LIU DNG TRONG EVIEWS
Eviews l chng trnh x l s liu, c lng phng trnh hi quy,
phn tch chui thi gian, do vic hiu r v s liu l iu cn
thit. hiu r cu trc s liu c qun l v x l bi Eviews, m
mt s b s liu v quan st cc s liu sau.

M b s liu cho (cross-section)

Ti ca s chnh, chn File Open

Trong la chn Open, c bn dng nh dng tp c th m:
- Dng Workfile: l tp d liu v thc hin cc phn tch thng
thng. y l dng c bn, trong tp c th lu s liu, cc
th, cc phng trnh hi quy, kt qu c lng.
- Dng Database: c s d liu, bao gm nhiu nh dng.
- Dng Program: cc chng trnh c lp trnh trc
- Dng Text File: cc tp lu tr dng vn bn

6
Chn dng Workfile, l dng thng thng nht tnh ton x l
s liu vi Eviews.
Chn th mc DATA2012, tp s liu YWKM, ca s Workfile
m ra. Trn ca s ny c mt s thng tin:
- Dng trn cng: Tn ca Workfile v ng dn
- Cc nt vi cc chc nng khc nhau, s c cp sau
- Khong s liu v Mu t 1 n 100
Bn di ca ca s, lit k cc ch th m Workfile ang qun l,
gm: c k m resid tc w y.

Nhn vo nt Label+/-, xut hin cc thng tin v thi gian khi to
cc s liu ny, v ch thch v ba bin. Hai ch th c resid
khng c ch thch, v y l hai ch th c bit dng lu cc
thng tin ring.

Thng tin ca mt bin s thng thng bao gm:
- Tn bin: Ti a 24 k t ch gm ch v s, khng c du cch, bt
u bi ch ci.
- Nhn bin: ch thch v ngha ca bin
- Tn s: nu s liu cho th nh s th t, nu chui thi gian th
theo th t thi gian
- Gi tr ca bin: o lng bng s, du ngn cch vi phn thp phn
l du chm. Khi cha c gi tr th k hiu l NA (not available)

c : ch th cha cc h s tnh c t cc phng trnh hi quy,
cc m hnh. Khi cha c kt qu hi quy t phng trnh no, cc gi
tr ca C c gn bng 0
resid: l chui nhn s nhn gi tr l phn d t c c t vic
c lng cc phng trnh hi quy. Khi cha c phng trnh hi
quy, cc gi tr Resid u cha c.
7

Nhn p chut tri vo k, ca s [Series: K] m ra. Ct ngoi
cng bn tri obs th t ca quan st t 1 n 100, cc gi tr ca bin
K c lit k theo cc quan st t ct tip theo trong bng.

Chn resid, m ca s [Series: RESID] vi cc gi tr u l NA
v cha c kt qu tnh ton no c thc hin.

Ti ca s [Workfile], s dng chut nh du (bi en) cc bin t
K, M, TC, Y, W nhy chut phi, chn Open as Group, tt c cc
bin u c lit k trong cng mt ca s [Group].

M b s liu c tn s theo Qu
M b s liu mi, ti ca s [Eviews] File New, chn tp
VNQ_GDP.
B s liu c th hin t 2004:1 n 2012:3, vi mt ch s sau du
:. Vi cch th hin ny, s liu l t Qu 1 nm 2004 n Qu 3
nm 2012.
Chn bin bt k, chng hn GDP, m ra di dng ca s [Series].
Vi ca s ny, tn sut bin c chu k 1, 2, 3, 4, 1, th hin y l
s liu Qu.

M b s liu c tn s theo Thng

M b s liu mi, ti ca s [Eviews] File New, chn tp
VNM_EXIM. B s liu c th hin t 2004:01 n 2008:12, vi
hai ch s sau du :, th hin l s liu t Thng 1 nm 2004 n
Thng 12 nm 2008.
bit ngha cc bin, chn nt Label trn thanh chc nng ca ca
s [Workfile].
8
2 NHP S LIU T BN PHM X L S LIU
Xt b s liu v d sau c m phng v 12 h gia nh, vi X2 l
tng tin lng, X3 l tng thu nhp khc, Y l tng chi tiu.

STT
X
2
(Lng)
X
3
(TN khc)
Y
(Chi tiu)
1 20 16 24.4
2 30 10 31.2
3 28 2 29.2
4 24 0 23.6
5 32 18 36.0
6 36 10 31.4
7 32 16 32.6
8 34 24 36.8
9 24 28 32.8
10 22 20 29.8
11 28 8 30.2
12 30 4 26.8
Thc hin nhp b s liu trn v lu li di dng mt tp chuyn
dng ca Eviews.
2.1 nh dng tn s v nhp s liu
Ti ca s chnh ca Eviews, thun tin, ng ca s nh ang m
(nu c)
Chn File New : Ca s [Workfile Range]: tn s ca s liu.
Du la chn c ngm nh t ti la chn Annual

9
Frequency - tn s ca s liu
V d Tn s v
nh dng u cui ngha
Annual
(Nm)
yyyy
Start: 1991
End: 2005
15 quan st theo nm, t nm
1991 n nm 2005
Semi-annual
(Na nm)
yyyy:h
Start: 1991:1
End: 2005:2
30 quan st theo na nm, t
na u nm 1991 n na
sau nm 2005
Quarterly
(Qu)
yyyy:q
Start: 1991:1
End: 2005:4
60 quan st theo qu, t qu 1
nm 1991 n qu 4 nm 2005
Monthly
(Thng)
yyyy:mm
Start: 1991:01
End: 2005:12
180 quan st theo thng, t
thng 1 nm 1991 n thng
12 nm 2005
Weekly
(Tun)
mm/dd/yyyy
Start: 01/01/2008
End: 12/01/2008
49 quan st theo tun, t tun
c ngy 1 thng 1 nm 2008
n tun c ngy 1 thng 12
nm 2008
Daily [5day]
(Ngy: tun 5
ngy)
mm/dd/yyyy
Start: 11/12/2008
End: 12/11/2008
22 quan st theo ngy, t ngy
12 thng 11 nm 08 n ngy
11 thng 12 nm 08, khng c
ngy cui tun
Daily [7day]
(Ngy: tun 7
ngy)
mm/dd/yyyy
Start: 11/12/2008
End: 12/11/2008
29 quan st theo ngy, t ngy
12 thng 11 nm 08 n ngy
11 thng 12 nm 08, c ngy
cui tun
Undated or
Irregular
(Quy tc khc)
Start: 1
Start: 30
30 quan st khng theo thi
gian, hoc theo thi gian
nhng quy tc khc
10
Vi b s liu v d trn l s liu cho, s quan st t 1 n 12.

Frequency: Undated or irregular Start date: 1 End date:
12 : m ca s Workfile
Ca s [Workfile] l ca s qun l vic nhp, lu, x l s liu.
Trong ca s Workfile ch c hai bin l cc h s C v phn d
Resid. Cn to ba bin s mi v nhp s liu.

Ti ca s [Eviews], chn Quick Empty Group (Edit Series)
M ca s [Group]
Chn u tin bn phi obs, nhp tn bin l X2, cc bn di
t ng chuyn thnh NA, nhp cc gi tr ca bin X2 ng vi cc s
liu c. Tip tc vi ct bin X3 v bin Y.
Ti ca s [Workfile], biu tng ca X2, X3, v Y xut hin.

Nhp nhn bin
Cc bin X2, X3 v Y nhp cha c nhn, cn nhp nhn ch
thch ngha ca cc bin.
Ti ca s [Workfile], nhn chut p vo bin X2, m ca s
[Series: X2] chn Name, m ca s [Object Name]
11

Trong ca s ny, trng trn l tn bin, trng bn di nhp
nhn bin. Vi v d ang xt, nhn cho bin X2 l: Luong.
Tng t, c th nhp nhn cho bin X3 l Thu nhap khac v bin Y l
Chi tieu.
2.2 Sa i s liu v lu s liu
Trng hp cn sa i s liu, v d bin X2 c th thc hin theo
trnh t:
Chn bin X2, m ca s [Series: X2], chn nt Edit+/- v thay i
cc gi tr cn thit.
S liu nhp c th lu li di dng tp chuyn dng ca Eviews,
c th m v s dng khi cn thit.

Ti ca s [Eviews] Chn File Save (hoc Save as)
Ca s [SaveAs] : Chn v tr v tn tp.
Cc tp c ui ngm nh l .wf1.
S liu nhp phn 2.1 l s liu th. thy c r hn cc
thng tin cha ng trong cc bin , cn thc hin tnh cc thng k
vi tng bin, xem xt tng quan, th m t v cc bin v mi
lin h gia chng.
2.3 V th
M t s liu qua th v cc thng k c trng c bn l x l ban
u cn thit i vi cc bin s.

Chn X2 v Y, m ca s [Group]
( chn ring cc bin cch nhau, gi phm Ctrl)
12
V th cc bin theo quan st
Lu : dng th ng (line) thng ch dng cho s liu chui thi
gian, s liu cho nn chn th ct)
[Group] View Graph Bar
Kt qu cho th ct ca X2 v Y theo quan st trn cng h ta .

16
20
24
28
32
36
40
2 4 6 8 10 12
LUONG CHI TIEU

v th ca bin ny theo bin kia, mi bin trn mt trc ta ,
la chn:
[Group] View Graph Scatter Simple Scatter
Kt qu cho th im ca bin Y trn trc tung v X2 trn trc
honh. Eviews ngm nh bin xp sau nm trn trc tung, bin xp
trc nm trc honh.

Xc nh c hnh nh ca ng hi quy bng cch chn:
[Group] View Graph Scatter Scatter with Regression
Ca s [Global Fit Option], nu khng nh dng c bit, chn OK,
kt qu l th im vi ng hi quy

13
22
24
26
28
30
32
34
36
38
16 20 24 28 32 36 40
LUONG
C
H
I

T
I
E
U
CHI TIEU vs. LUONG

Lu th
C th lu th chn vo cc chng trnh son tho vn bn
Ca s [Group] c th, nhn t hp Ctrl+C, m ca s [Graph
Metafile], chn OK, m vn bn v nhn Ctrl+V dn th lu.

Thay i nh dng th:
Ti ca s [Group] c th, chn Freeze, m ca s [Graph].
Vi la chn [Graph] Proc Options : ca s [Graph Option] vi
cc la chn cho nh dng.
[Graph] Proc Add text: Thm dng ch vo th
[Graph] Proc Save Graph: lu th chn vo vn bn
[Graph] Name: lu th di dng mt ch th, t tn.
Ngoi ra cn nhiu la chn khc vi th

Bn cnh cch chn v th t ca s [Graph], c th c cch khc
v th: Ca s [Eviews] Quick Graph: chn loi th, v
th t ca cc bin v th.

V th trn nhiu h ta : mi bin trn mt h ta ring
[Group] Multiple Graphs.
14
2.4 Thng k m t
Cc thng k m t v cc bin v tng quan gia cc bin l nhng
thng tin c bn nh gi v bin.

Thng k m t ca cc bin
Ca s [Group] View Descriptive Stats Common Sample
X2 X3 Y
Trung bnh Mean 28.33333 13.00000 30.40000
Trung v Median 29.00000 13.00000 30.70000
Ti a Maximum 36.00000 28.00000 36.80000
Ti thiu Minimum 20.00000 0.000000 23.60000
lch chun Std. Dev. 4.960450 8.800826 4.063138
H s bt i xng Skewness -0.198458 0.110321 -0.163204
H s nhn Kurtosis 1.965517 1.967268 2.300945

Thng k JB Jarque-Bera 0.613848 0.557609 0.297610
Mc xc sut Probability 0.735706 0.756688 0.861737

Tng Sum 340.0000 156.0000 364.8000
Tng bnh phng
chnh lch
Sum Sq. Dev. 270.6667 852.0000 181.6000

S quan st Observations 12 12 12
Thng k JB v P-value dng kim nh v cp gi thuyt:
H
0
: bin phn phi theo quy lut Chun
H
1
: bin khng phn phi theo quy lut Chun
[?] - Trung bnh, phng sai bin no ln nht, nh nht
- Trong mu, cc bin c phn phi lch tri hay lch phi
- Qua kim nh JB, cc bin c phn phi chun khng?

H s tng quan
[Group] View Correlations Common Sample
X2 Y
X2 1.000000 0.636883
Y 0.636883 1.000000
15
Phng sai - hip phng sai
[Group] View Covariances Common Sample
X2 Y
X2 22.55556 11.76667
Y 11.76667 15.13333

Kim nh so snh cc bin
Kim nh so snh trung bnh, trung v, phng sai ca hai bin
[Group] View Test of Equality, m ca s [Test Between
Series], c ba la chn kim nh

Kim nh s bng nhau ca hai trung bnh: Mean
Test for Equality of Means Between Series
Sample: 1 12
Included observations: 12
Method df Value Probability
t-test 22 1.116504 0.2763
Anova F-statistic (1, 22) 1.246580 0.2763

Kim nh s bng nhau ca hai phng sai: Variance
Test for Equality of Variances Between Series
Method df Value Probability
F-test (11, 11) 1.490455 0.5190
Siegel-Tukey 0.086621 0.4045
Bartlett 1 0.416188 0.5188
Levene (1, 22) 0.780029 0.3867
Brown-Forsythe (1, 22) 0.747508 0.3966

[?] - C th cho rng trung bnh ca X2 v Y l bng nhau khng?
- C th cho rng phng sai ca X2 v Y bng nhau khng?
16
2.5 t bin mi
Bn cnh cc bin nhp s liu l X
2
, X
3
v Y, c th t cc bin
mi t cc bin c hoc nhp bin s mi.

V d: cn t bin mi tng thu nhp: Z = X
2
+ X
3
[Eviews] Quick Generates Series: m ca s [Generate Series
by Equation]
Ti Enter Equation g: Z = X2 + X3
Ti Sample, ngm nh mu m lnh t bin c tc dng l ton b.
Khi cn c th thay i mu ny. Nhn OK chp nhn.

Khi khng cn thay i mu, c th s dng lnh trong Ca s lnh.
[Ca s lnh] GENR Z = X2 + X3
Bin Z c to ra nm trong ca s [Workfile].

Cc hm v lnh c bn
Ngoi cc php ton c bn: cng [+], tr [], nhn [*], chia [/], ly
tha [^], cc hm c bn ca Eviews nh sau:
Tn ngha V d Kt qu
LOG Logarit t nhin LX = LOG(X)
ln( )
i i
LX X =
EXP
Hm m c s
t nhin
EX = EXP(X)
i
X
i
EX e =

ABS Gi tr tuyt i AX = ABS(X)
| |
i i
AX X =
SIN Hm sin SIN(X) Sin(X)
COS Hm cosin COS(X) Cosin(X)
(-J) Tr bc J X4 = X(-4)
4
4
i i
X X

=

D(X) Sai phn bc 1 DX = D(X)
1 i i i
DX X X

=

17
3 C LNG M HNH HI QUY N
(Tip theo 2)

Vi b s liu t bi 2, nhn xt qua th gia Y v X2, thy gia hai
bin c xu th cng chiu, h s tng quan gia hai bin bng
0,636883 dng, do c th xc nh mt m hnh hi quy trong
Chi tiu (Y) ph thuc vo Lng (X2) dng tuyn tnh vi hai h s.

Hm hi quy tng th PRF:

1 2
( | 2) 2 E Y X X = +
Dng ngu nhin
1 2
2 Y X u = + +

M hnh (3.1)
Nu xt bin hng s C lun bng 1, c th vit m hnh (3.1):

1 2
2 Y C X u = + +
Vi mu kch thc l 12 gm 12 quan st nhp, hm hi quy mu
SRF c dng:
1 2

2
i i
Y X = +

1 2

2
i i
Y X
i
e = + +
Dng phng php Bnh phng nh nht (Least Squares - LS) vi b
s liu nhp, tnh ton cc c lng, v cc thng k cn thit
dnh cho phn tch.
3.1 c lng m hnh
[Eviews] Quick Estimate Equation
(Ngoi ra cn 4 cch khc, c cp sau)
Ca s nh dng phng trnh xut hin.
Ca s [Equation Specification] gm khai bo phng trnh hi quy,
phng php c lng, mu c lng.
18

Khai bo phng trnh hi quy

Vi m hnh hi quy Y theo X2 c h s chn, c hai kiu khai bo:
Kiu 1: Y = C(1) + C(2)*X2
Kiu 2: Y C X2
S dng kiu khai bo th hai, phng php LS bnh phng nh
nht, mu 1 n 12, c kt qu ca s [Equation]

Dependent Variable: Y
Method: Least Squares
Date: Time:
Sample: 1 12
Variable Coefficient Std. Error t-Statistic Prob.
C 15.61921 5.737035 2.722523 0.0215
X2 0.521675 0.199698 2.612324 0.0259
R-squared 0.405619 Mean dependent var 30.40000
Adjusted R-squared 0.346181 S.D. dependent var 4.063138
S.E. of regression 3.285415 Akaike info criterion 5.367875
Sum squared resid 107.9395 Schwarz criterion 5.448692
Log likelihood -30.20725 F-statistic 6.824238
Durbin-Watson stat 1.680815 Prob(F-statistic) 0.025937

19
Nu s dng cch khai bo th nht: Y = C(1) + C(2)*X2 th kt qu
ch khc phn th hin cc h s nh sau
Y = C(1) + C(2)*X2
Coefficient Std. Error t-Statistic Prob.
C(1) 15.61921 5.737035 2.722523 0.0215
C(2) 0.521675 0.199698 2.612324 0.0259
Cc thng tin khc vn gi nguyn

Bn cnh Cch 1 [Eviews] Quick Estimate Equation nh trn, cn
mt s cch sau:
Cch 2: [Eviews] Objects New Object Equation OK
Cch 3: Chn X2, Y thnh ca s [Group] Procs Make Equation
Cch 4: Chn X2 v Y, nhn chut phi Open As Equation
Cch 5: [Ca s lnh] LS Y C X2
Cch s dng lnh LS Y C X2 l n gin nht, s c s dng trong
cc phn sau.

Cc kiu th hin kt qu hi quy
[Equation] View Representations : c cc kt qu

Estimation Command:
=====================
LS Y C X

Cu lnh c lng
(vit trong ca s lnh)
Estimation Equation:
=====================
Y = C(1) + C(2)*X2

Phng trnh hi quy
Substituted Coefficients:
=====================
Y = 15.61921182 + 0.5216748768*X2
Kt qu c lng

[Equation] View Estimation Output : bng kt qu chi tit
20
3.2 Lu kt qu
[Equation] Name: ca s [Object Name], tn ngm nh cho kt qu
c lng phng trnh hi quy l eq01. Nu chn OK, th ch th
eq01 c to ra trong Workfile.
Mun sao v dn kt qu c lng chn vo cc vn bn, nh
du ton b bng kt qu chi tit, nhn chut phi, chn Copy, chn
loi gi nguyn nh dng hoc khng gi nh dng, ri ti ni cn
dn chn Paste; hoc s dng t hp Ctrl+C v Ctrl+V.
3.3 Xem phn d v gi tr c lng (gi tr tng hp)
Sau khi c lng mt m hnh hi quy, c th nh gi kt qu thng
qua cc gi tr phn d (residuals) v cc gi tr c lng ca bin
ph thuc (cn gi l gi tr tng hp fitted values).

[Equation] View Actual, Fitted, Residual Actual, Fitted,
Residual Table
c bng gi tr v th phn d, Actual l gi tr thc t b s liu:
Y
i
, Fitted l gi tr c lng bi hm hi quy
i
, Residual l gi tr
phn d: e
i
hay
i
.

21
[?] - Quan st no c gi tr thc t v gi tr c lng gn nhau
nht, xa nhau nht? Khi gi tr thc t cao hn hay thp hn
gi tr c lng?
- Vi nhng quan st no th ng hi quy m t gn ng nht
s bin ng ca bin ph thuc Y?

C th xem th ca gi tr thc t, gi tr c lng, v phn d trn
cng h ta hoc th ca ring phn d bng cch chn Actual,
Fitted, Residual Graph. Cc th ny c th lu li hoc ct dn vo
cc vn bn tng t nh th ca cc bin X2, Y.

Kim nh tnh phn phi chun ca phn d
[Equation] View Residual Tests Histogram-Normality Test
0
1
2
3
4
5
-5.0 -2.5 0.0 2.5 5.0
Series: Residuals
Sample 1 12
Observations 12
Mean -2.96E-15
Median -0.047783
Maximum 4.660591
Minimum -4.539409
Std. Dev. 3.132520
Skewness -0.010518
Kurtosis 1.816787
Jarque-Bera 0.700217
Probability 0.704612

[?] - Phn d phn phi lch tri hay lch phi hay i xng?
- Sai s c phn phi chun khng?

Thc hin hi quy Chi tiu (Y) theo Thu nhp khc (X3) v gii thch
ngha; so snh kt qu vi m hnh Y ph thuc X2. Hi quy Chi
tiu theo Tng thu nhp (X2 + X3), khi c lng im tiu dng
t nh v khuynh hng tiu dng cn bin bng bao nhiu?

22
4 C LNG M HNH HI QUY BI
Bi ny s s dng b s liu YWKM c sn nm trong th mc
DATA2012 thc hnh. y l b s liu v sn lng v chi ph
sn xut ca mt s doanh nghip
4.1 M tp s liu c sn
[Eviews] File Open
Chn tp s liu YWKM trong th mc tng ng
Ca s [Workfile] gm cc bin s xp theo th t K, M, TC, W, Y,
vi Y l sn lng, W l chi cho cng nhn, M l chi cho qun l, K l
chi ph khc gm my mc thit b nguyn nhin vt liu hay cn gi
l chi ph vn, TC l tng chi ph. Nh vy TC l tng ca W, M, K.
4.2 nh gi chung v cc bin
Xem thng k c trng mu ca tt c cc bin (Descriptive Stats)
[?] - Trung bnh ca cc bin bng bao nhiu?
- Bin no c s bin ng tuyt i o bng phng sai ln nht,
nh nht? Bin no c s bin ng tng i o bng h s bin
thin ln nht, nh nht?
- Bin no i xng nht, bt i xng nht?
- Bin no c phn phi chun?

Xem ma trn tng quan ca cc bin (Correlations)
[?] - Cp bin no c tng quan ngc chiu?
- Cp bin no c tng quan cht nht, lng nht?
- Sn lng tng quan vi bin no cht ch nht?
23
4.3 c lng m hnh
Xt m hnh
1 2 3
( | , ) E Y W K W K = + + (MH 4.1)
Hay
1 2 3 i i i i
Y C W K
i
u = + + +
[Ca s lnh] LS Y C W K
Sample: 1 100
C -485.9608 95.85601 -5.069695 0.0000
W 2.214092 0.050943 43.46253 0.0000
K 1.292811 0.044404 29.11470 0.0000
Adjusted R-squared 0.963378 S.D. dependent var 1425.836
S.E. of regression 272.8616 Akaike info criterion 14.08535
Sum squared resid 7221985. Schwarz criterion 14.16350

[?] - Gii thch ngha cc c lng h s? Kt qu c ph hp
vi l thuyt kinh t khng?
- Hm hi quy c ph hp khng? ngha ca iu ny l g?
- Trong mu, cc bin c lp W v K gii thch bao nhiu % s
bin ng ca bin Y?
- Cc h s gc c ngha thng k khng? iu ny c ngha
nh th no?

Xem gi tr c lng bin ph thuc (gi tr tng hp) v phn d
[Equation] Actual, Fitted, Residual Actual, Fitted, Residual
Table: xem gi tr c lng bin ph thuc v phn d.
[Equation] Actual, Fitted, Residual Actual, Fitted, Residual
Graph: xem th cc gi tr.
24
4.4 Phng sai, hip phng sai cc c lng h s
c th c lng, kim nh v hn mt h s hi quy, cn c c
lng phng sai, hip phng sai ca cc c lng h s.
[Equation] Covariance Matrix
C W K
C 9188.374 -2.461994 -3.582358
W -2.461994 0.002595 0.000123
K -3.582358 0.000123 0.001972

[?] - Phng sai ca cc c lng h s bng bao nhiu?
- Hip phng sai c lng hai h s gc bng bao nhiu?
- Hip phng sai cc c lng h s c dng trong trng
hp no?
- S dng kt qu hip phng sai, v bng kt qu hi quy m
hnh t phn u, cho bit nu W v K cng tng mt n v th
trung bnh ca Y thay i nh th no?
- Kim nh gi thuyt cho rng: h s ca bin W ln gp i h
s ca bin K.
- Nu W tng mt n v, nhng K gim mt n v, th Y s tng
ln hay gim i, tng ln (gim i) ti a bao nhiu, ti thiu bao
nhiu?
4.5 Kim nh v cc h s - kim nh Wald
Eviews thc hin kim nh rng buc v cc h s hi quy bng kim
nh Wald, s dng thng k F v thng k
2
.
Xt cp gi thuyt
H
0
:
2
= 2,3 H
1
:
2
2,3
M hnh ban u:
1 2 3 i i
Y W K
i i
u = + + + (4.1)
M hnh c rng buc:
1 3
2.3
i i i
Y W K

i
u = + + (4.2)
25
Thng k F:
(4.2) (4.1)
(4.1) (4.1)
( )
/( )
/ RSS RSS m
F
RSS n k

Ti ca s kt qu hi quy
[Equation] View Coefficient Tests Wald Coefficient
Restrictions Ca s khai bo gi thuyt cn kim nh v cc h s:

Quy c nh s cc h s C(1), C(2), theo th t khai bo ca
phng trnh hi quy, do nu khi khai bo bin l C W K th h s
chn l C(1), h s
W
l C(2),
K
l C(3).
Ti ca s Wald Test: C(2) = 2.3 <Ok>
Kt qu kim nh bng kim nh Wald, kim nh F v
2
.
Wald Test:
Equation: Untitled
Null Hypothesis: C(2) = 2.3
F-statistic 2.843870 Probability 0.094937
Chi-square 2.843870 Probability 0.091723
[?] - Bc t do ca kim nh F bng bao nhiu?
- Dng thng k F v P-value kt lun v gi thuyt
2
= 2.3
- Kim nh
2
cho kt lun th no v gi thuyt trn?

Tng t, kim nh gi thuyt: h s ca bin W gp i h s bin
K, hay C(2) = 2*C(3)
26
4.6 Kim nh b bt bin

1 2 3 i i
Y W K
i i
u = + + + (4.1)
Mun kim nh b bin K:
(4.3)
1 2 i
Y W

= + +
i i
u
H
0
:
3
= 0 : c th b bin K
H
1
:
3
0 : khng th b bin K
[Equation] View Coefficient Tests Redundant Variables
Ca s khai bo bin Omitted-Redundant Variable Test

G bin mun b: K <Ok>
Kt qu hi quy sau khi b bin K.

Redundant Variables: K
Log likelihood ratio 227.6120 Probability 0.000000
Test Equation:
Dependent Variable: Y Included observations: 100
C 1862.909 160.7195 11.59105 0.0000
W 2.133128 0.157928 13.50698 0.0000
Sum squared resid 70333643 Schwarz criterion 16.39357
27
[?] - Thng k F = 847.666 tnh c th nh th no?
- Bc t do ca kim nh F bng bao nhiu?
- Dng thng k F v P-value kim nh gi thuyt H
0
: nn b
bin K khi m hnh.
Thc hin kim nh tng t, c nn b bin W khi m hnh hay
khng?
4.6 Kim nh thm bin
Thm hai bin W
2
v K
2
vo m hnh

1 2 3 i i
Y W K
i i
u = + + + (4.1)
(4.4)
2 2
1 2 3 4 5 i i i i i
Y W K W K

= + + + + +
i
u
H
0
:
3
=
4
= 0
H
1
:
3
2
+
4
2
0
Ti ca s kt qu c lng m hnh [Equation]
[Equation] View Coefficient Tests Omitted Variables
Ca s khai bo bt (thm) bin
G bin mun thm: W^2 K^2 <Ok>
Kt qu hi quy sau khi thm bin.

Omitted Variables: W^2 K^2

[?] - Nu cch tnh thng k F = 35.04656, bc t do tng ng
vi kim nh F l bao nhiu?.
- Vic cho thm hai bin vo m hnh c ngha thng k khng?
- Dng kim nh T kim nh xem c cn a bin mi vo
m hnh khng?
- Nhng kt lun trn c g thay i nu mc ngha bng 1%?

28
4.7 M hnh a thc ca bin c lp
M hnh
2 2
1 2 3 2 3 i i i i i
Y W K W K
i
u = + + + + + (4.5)
Ca s lnh: LS Y C W K W^2 K^2

C -1304.324 202.4025 -6.444208 0.0000
W 3.196177 0.131148 24.37084 0.0000
K 1.791658 0.198742 9.014987 0.0000
W^2 -0.000462 5.92E-05 -7.806547 0.0000
K^2 -0.000124 4.58E-05 -2.703958 0.0081

y chnh l kt qu ca m hnh thm bin trong mc 4.6
[?] - C th cho rng m hnh th hin quy lut li ch cn bin
gim dn trong kinh t hay khng? V sao
- Da vo kt qu c lng, vit phng trnh th hin tc ng
ca bin W n sn lng, theo kt qu , u l mc chi cho
cng nhn lm ti a ha sn lng?
4.8 M hnh c logarit
M hnh dng hm m Cobb-Douglas
M hnh
3 1 2
( | , ) E Y W K e W K

=

3 1 2 i
u
i i i
Y e W K e

= (4.6)

3 1 2

i i
Y e W K
i

=
Logarit hai v
1 2 3
ln ln ln
i i
Y W K
i i
u = + + +

29
Ca s lnh: LS LOG(Y) C LOG(W) LOG(K)

Dependent Variable: LOG(Y)
C 0.416571 0.114175 3.648529 0.0004
LOG(W) 0.476395 0.005883 80.97390 0.0000
LOG(K) 0.621661 0.014506 42.85566 0.0000
Sum squared resid 0.204993 Schwarz criterion -3.213916
Log likelihood 167.6036 F-statistic 4216.348

Theo kt qu ny
0.409494 0.478281 0.620866
i
Y e W K =
[?] - Gii thch ngha kt qu hi quy
- Cc h s c ngha thng k khng?
- M hnh dng hm m gii thch bao nhiu % s bin ng ca
bin GDP, c gii thch c nhiu hn dng hm tuyn tnh
khng?
- Kim nh gi thuyt cho rng qu trnh sn xut l khng i
theo quy m ca chi cho cng nhn v chi ph vn.

M hnh dng na logarit
Hi quy m hnh
1 2 3
ln ln
i i
Y W K
i i
u = + + +
i

[?] - Gii thch ngha kt qu c lng, tc ng ca bin no
l mnh hn n s thay i ca Y?

Hi quy m hnh
1 2 3 i i
W K u
i
Y e
+ + +
=
Hay
1 2 3
ln
i i
Y W K
i i
u = + + +
30
5 M HNH VI BIN GI
S dng tp WORLD_EXIM_2010 trong th mc DATA2012.
y l b s liu ngun t Worldbank nm 2010 vi 220 quc gia v
vng lnh th, trong EX l xut khu, IM l nhp khu, GDP l
tng sn phm quc ni.
RANK l xp hng v mc thu nhp ca cc nc, gi tr nh sau:
(1) Cc nc thu nhp cao thuc khi OECD
(2) Cc nc thu nhp cao khng thuc khi OECD
(3) Cc nc thu nhp trn trung bnh
(4) Cc nc thu nhp trung bnh
(5) Cc nc thu nhp di trung bnh
Nhm (1)(2) l cc nc pht trin, cn li l cc nc ang pht
trin. Vit Nam thuc nhm (4).
5.1 M hnh c bin nh tnh
nh gi v xut khu (EX) ca cc nc OECD so snh vi cc
nc khc, cn t bin gi c dng:
D1 = 1: nu l nc thuc OECD
D1 = 0: nu l nc khng thuc OECD
Cc m hnh s xt nh sau:
M hnh ch c bin c lp l bin gi
Xem xt Xut khu trung bnh ca cc nc OECD c khc cc nc
cn li hay khng, c dng:

1 2
( | 1) E EX D D1 = + (5.1)
Vi nc thuc OECD:
1 2
( | 1 1) E EX D = = +
Vi nc khc:
1
( | 1 0) E EX D = =
Nu
2
0 th c s khc bit.
31
M hnh c bin c lp l bin nh lng v bin gi
Bin c lp nh lng l GDP. Xt mi quan h Xut khu ph
thuc GDP c dng
E(EX | GDP) = [h s chn] + [h s gc]GDP
hay EX
i
= [h s chn] + [h s gc]GDP + u
i
Bin gi tc ng n h s chn

1 2 3
( | , 1) E EX GDP D GDP D1 = + + (5.2)
Nc OECD:
1 3 2
( | , 1 1) ( ) E EX GDP D GDP = = + +
Nc khc:
1 2
( | , 1 0) E EX GDP D GDP = = +
Bin gi tc ng n h s gc

1 2 3
( | , 1) 1 E EX GDP D GDP D GDP = + + (5.3)
Nc OECD:
1 2 3
( | , 1 1) ( ) E EX GDP D GDP = = + +
Nc khc:
1 2
( | , 1 0) E EX GDP D GDP = = +
Bin gi tc ng n c hai h s

1 2 3 4
( | , 1) 1 1 E EX GDP D GDP D D GDP = + + + (5.4)
Nc OECD:
1 3 2 4
( | , 1 1) ( ) ( ) E EX GDP D GDP = = + + +
Nc khc:
1 2
( | , 1 0) E EX GDP D GDP = = +
5.2 t bin gi
Cn t bin D1 = 0 vi mi quan st, sau ring vi cc nc
OECD (c RANK = 1) th i li gi tr D1 = 1.

Ti Ca s lnh g ln lt cc lnh, sau mi lnh g Enter
GENR D1 = 0 : t bin mi D1 = 0 vi mi quan st
SMPL IF RANK = 1 : xt ring cc quan st c RANK=1
D1 = 1 : t li D1 = 1
SMPL 1 220 : ly li ton b cc quan st
32
Sau cu lnh SMPL IF, s thy trn ca s Workfile c dng:
Sample: 1 220 if rank = 1

Lu phi c cu lnh cui, v nu thiu, cc thao tc v sau s ch
lm vi cc quan st c RANK = 1. Nu cu lnh cui, trn ca s
Workfile phi xut hin li l: Sample 1 220.

C th m ring ca s bin D1, s thy gi tr bng 1 ti cc quan st
th 11, 12, 19, cn li bng 0.
5.3 Hi quy m hnh c bin gi
M hnh (5.1)
Lnh: LS EX C D1

Dependent Variable: EX
Sample(adjusted): 1 213
Excluded observations: 55 after adjusting endpoints
C 57078.39 21931.16 2.602616 0.0101
D1 295998.5 49511.86 5.978335 0.0000

S quan st c iu chnh do c mt s nc khng c s liu.
[?] - Vit hm hi quy vi hai nhm nc v gii thch ngha?
- Xut khu trung bnh ca cc nc OECD c khc cc nc cn
li khng? Cao hn hay thp?
- c lng im v khong mc chnh lch ca xut khu trung
bnh gia hai nhm nc?

33
M hnh (5.2): Bin gi tc ng n h s chn
Lnh: LS EX C GDP D1

C 30735.85 11838.70 2.596218 0.0103
GDP 0.160118 0.008136 19.67955 0.0000
D1 111465.3 28162.60 3.957921 0.0001

- H s chn c thc s khc nhau gia hai nhm nc khng?
- Nu cng mc GDP th xut khu trung bnh ca hai nc thuc
hai nhm bn no nhiu hn, nhiu hn trong khong no?

M hnh (5.3): Bin gi tc ng n h s gc
Lnh: LS EX C GDP D1*GDP

C 39614.77 10638.14 3.723842 0.0003
GDP 0.266546 0.018845 14.14414 0.0000
D1*GDP -0.110621 0.020052 -5.516777 0.0000

- H s gc c thc s khc nhau gia hai nhm nc khng?
- Nu cng tng GDP th xut khu trung bnh nhm nc no
tng ln nhiu hn? Nhiu hn trong khong no?
34
M hnh (5.4): Bin gi tc ng n c hai h s
Lnh: LS EX C GDP D1 D1*GDP

Excluded observations: 55 after adjusting endpoints
C 11209.38 10388.57 1.079010 0.2823
GDP 0.278806 0.016826 16.57005 0.0000
D1 162879.1 24876.43 6.547525 0.0000
D1*GDP -0.142900 0.018463 -7.740000 0.0000

- H s chn v h s gc c khc nhau gia hai nhm nc
khng? Phn tch ngha ca kt lun.

Kim nh s ng nht bng kim nh F
Vi m hnh (5.4):
1 2 3 4
( | , 1) 1 1 E EX GDP D GDP D D GDP = + + +
Nu
3
=
4
= 0 th hm hi quy l ng nht gia hai nhm nc. Qua
kim nh T vi ring tng h s thy chng khc 0, tuy nhin vn cn
kim nh F v s ng thi bng 0

[Equation] View Coefficient Tests Redundant Variables
Bin cn b: D1 D1*GDP <Ok>
Kt qu sau khi b hai bin gi.
Redundant Variables: D1 D1*GDP
Test Equation:
35
C 48417.17 11467.23 4.222220 0.0000
GDP 0.170840 0.008025 21.28970 0.0000

[?] - Thng k F ca kim nh thu hp hi quy bng bao nhiu?
- Hm hi quy c ng nht gia hai nhm nc khng?
5.4 M hnh nhiu bin gi
Tng t vi cc nc OECD, t cc bin gi D2, D3, D4 tng ng
vi cc nc thuc nhm (2), nhm (3), nhm (4), v ly cc nc
thuc nhm (5) lm trng thi gc.

Hi quy cc m hnh xem xt s khc bit v mc xut khu gia cc
nhm nc so vi nhm nc ngho nht, c dng:
nh gi v mc xut khu trung bnh:

1 2 3 4 5
( | 1, 2, 3, 4) 1 2 3 E EX D D D D D D D D4 = + + + +
nh gi v h s chn

1 2 3 4 5 6
( | , 1, 2, 3, 4)
1 2 3 4
E EX GDP D D D D
D D D D GDP
=
= + + + + +

nh gi v h s gc
1 2 3 4 5 6
( | , 1, 2, 3, 4)
1* 2* 3* 4*
E EX GDP D D D D
GDP D GDP D GDP D GDP D GDP
=
= + + + + +

Tng t, c th nh gi tc ng n c hai h s.
Ngoi ra, c th phn tch v Nhp khu v so snh gia cc nhm
nc bng phng php s dng bin gi.
36
6 NH DNG PHNG TRNH HI QUY
Thc hnh vi b s liu YWKM
6.1 Phn tch qua th
Xt mi quan h sn lng (Y) ph thuc vo chi ph cho cng nhn
(W), chn bin W trc, ri mi chn bin Y, m ca s Group
[Group] View Graph Scatter with Regression
Vi bn trng hp:
(1) None-None: ng thng
(2) None-Logathmic: ng cong logarit
(3) Logathmic-None: hm e m
(4) Logathmic-Logathmic: hm Cobb-Douglas

0
1000
2000
3000
4000
5000
6000
7000
8000
9000
0 1000 2000 3000
W
Y
Y vs. W

-2000
0
2000
4000
6000
8000
10000
0 1000 2000 3000
W
Y
Y vs. Log W

(1) Tuyn tnh tuyn tnh (2) Tuyn tnh Logarit
0
2000
4000
6000
8000
10000
12000
0 1000 2000 3000
W
Y
Log Y vs. W

0
1000
2000
3000
4000
5000
6000
7000
8000
9000
0 1000 2000 3000
W
Y
Log Y vs. Log W

(3) Logarit Tuyn tnh (4) Logarit Logarit
37
Qua , nhn xt dng th ph hp vi b s liu, xc nh dng
ca phng trnh hi quy.
6.2 Kim nh Ramsey RESET
Xt m hnh tuyn tnh tuyn tnh

1 2 i
Y W
i i
u = + + (6.1)
LS Y C W
Bng kt qu hi quy.

C 1862.909 160.7195 11.59105 0.0000
W 2.133128 0.157928 13.50698 0.0000

Kim nh Ramsey RESET s dng hi quy ph, khi thm mt bin
(l bnh phng ca c lng bin ph thuc) vo m hnh gc:

2
1 2 1
i i i
Y W Y

i
u = + + + (6.2)
H
0
:
1
= 0: M hnh gc khng thiu bin, dng hm ng
H
1
:
1
0: M hnh gc thiu bin, dng hm sai
2 2
(6.2) (6.1) (6.2)
2
(6.2)
1 1
qs
R R n k
F
R

=
so snh vi
( )
( 6.2)
1,n k
F

[Equation] View Stability Test Ramsey RESET Test
[RESET Specification] Number of fitted terms: 1
S phn t mun thm vo, nhp l 1, ri <OK>

38

Ramsey RESET Test:
Test Equation:
C 1837.378 154.1603 11.91862 0.0000
W 4.898633 0.895584 5.469762 0.0000
FITTED^2 -0.000157 5.02E-05 -3.132948 0.0023
Sum squared resid 63870618 Schwarz criterion 16.34323

[?] - Thng k F-statistic = 9,815 trong bng c bc t do tng
ng bng bao nhiu?
- Theo kim nh ny, m hnh (6.1) c thiu bin khng, c th
ni dng ca phng trnh hi quy l ng c khng?

Khi mun kim nh bng cch thm 2 bin vo m hnh gc, phng
trnh hi quy ph c dng:
Y W (6.3)
2 3
1 2 1 2

i i i i i
Y Y u

= + + + +
Gi thuyt H
0
: H
0
:
1
=
2
= 0
[?] - Thc hin kim nh khi thm 2 bin, v kt lun v dng
hm ca m hnh gc?
39
6.3 Thay i phng trnh hi quy
Nhn thy m hnh (6.1)
1 2 i
Y W
i i
u = + + c dng hm khng ng,
thc hin mt s vic thay i phng trnh hi quy, sau kim nh
bng Ramsey a ra phng trnh ph hp

Thm bin K:
1 2 3 i i
Y W K
i i
u = + + +
C -485.9608 95.85601 -5.069695 0.0000
W 2.214092 0.050943 43.46253 0.0000
K 1.292811 0.044404 29.11470 0.0000
R-squared 0.964118 Prob(F-statistic) 0.000000
Ramsey RESET Test:

i dng bc hai:
2
1 2 3 i i i
Y W W
i
u = + + +
C 1291.989 238.5519 5.415967 0.0000
W 3.649636 0.507138 7.196537 0.0000
W^2 -0.000715 0.000228 -3.132948 0.0023
R-squared 0.682659 Prob(F-statistic) 0.000000
Ramsey RESET Test:

Tng t, c th s dng m hnh dng Cobb-Douglas: .
1 2 i
u
i i
Y e W e

=
40
7 HIN TNG A CNG TUYN
S dng b s liu YWKM
7.1 a cng tuyn hon ho
Xt m hnh
1 2 3 4 5 i i i i
Y W K M TC
i i
u = + + + + + (7.1)
LS Y C W K M TC
Ca s Error Message vi thng bo:

M hnh c hin tng a cng tuyn hon ho nn cc tnh ton
khng thc hin c.
Singular matrix l ma trn suy bin: cc ct ca ma trn cc bin
c lp c lin h tuyn tnh vi nhau.
[?] - Ti sao m hnh c a cng tuyn hon ho, cch loi tr a
cng tuyn hon ho trong m hnh ny th no?
7.2 a cng tuyn khng hon ho
Xt m hnh sau khi b bin TC (tng chi ph) khi m hnh (7.1)

1 2 3 4 i i i
Y W K M
i i
u = + + + + (7.2)

LS Y C W K M
41
C -488.5271 96.19136 -5.078701 0.0000
W 0.531746 2.452609 0.216808 0.8288
K 0.875197 0.610312 1.434016 0.1548
M 8.406298 12.25247 0.686090 0.4943

[?] - Vi cc kim nh T, cc bin c lp c gii thch cho bin
ph thuc hay khng?
- H s xc nh bng bao nhiu?
- Bng kim nh F, cho bit hm hi quy c ph hp khng?
- Mu thun gia cc kim nh cho thy iu g?
7.3 nh gi mc a cng tuyn
Xem h s tng quan gia cc bin c lp ca m hnh (7.2)
Chn K, M, W Group View Correlation
K M W
K 1.000000 0.224602 -0.054588
M 0.224602 1.000000 0.960526
W -0.054588 0.960526 1.000000
[?] - Cp bin no c tng quan vi nhau cht nht? Theo nh
gi ny th m hnh c nhng bin no d c a cng tuyn nht?

Vi m hnh (7.2) c a cng tuyn, s dng cc hi quy ph nh
gi mc a cng tuyn gia cc bin c lp. Hi quy ph mt bin
c lp theo cc bin cn li, c th c ba trng hp:
LS W C K M (7.2a)
LS K C W M (7.2b)
LS M C W K (7.2c)
42
[?] - Qua cc hi quy ph, c kt lun g v quan h gia cc bin
c lp ca (7.2)?
- Nu cch khc phc n gin hin tng trong m hnh (7.2)
7.3 Khc phc hin tng a cng tuyn
gim bt mc a cng tuyn, c th b bt bin c lp khi
m hnh (7.2). Khi cng c th c ba trng hp: b M, b K, b
W. Vi mi trng hp, nh gi li mc a cng tuyn trong cc
m hnh sau khi b bin bng hi quy ph tng ng.

B bin M: LS Y C W K (7.3)
Hi quy ph nh gi: LS W C K (7.3a)
B bin K: LS Y C W M (7.4)
Hi quy ph nh gi: LS W C M (7.4a)
B bin K: LS Y C K M (7.5)
Hi quy ph nh gi: LS K C M (7.5a)

[?] - B bin c lp no th c c m hnh mi tt hn?

C th i dng m hnh sang logarit, mu thun gia cc kim nh
trong m hnh (7.2) khng cn na.

Dependent Variable: LOG(Y)
C 0.618638 0.086769 7.129678 0.0000
LOG(W) 0.317445 0.017914 17.72070 0.0000
LOG(K) 0.517653 0.015590 33.20453 0.0000
LOG(M) 0.293691 0.032121 9.143369 0.0000
43
8 HIN TNG PHNG SAI SAI S THAY I
S dng b s liu WORLD_EXIM_2010

Ch xt ring cc nc pht trin, bin RANK bng 1 v 2. Do
gii hn s liu vi cc nc ny, ti ca s lnh:
SMPL IF RANK < 3
Ti ca s Workfile c dng: Sample 1 220 if rank < 3
8.1 Hin tng
Xt m hnh
1 2 3 i i i i
IM GDP EX u = + + + (MH 8.1)
LS IM C GDP EX
Bng kt qu hi quy.

Dependent Variable: IM
Sample(adjusted): 11 203 IF RANK < 3
Included observations: 45 after adjusting endpoints
C 1879.134 7997.118 0.234976 0.8154
GDP 0.050309 0.005070 9.922462 0.0000
EX 0.813882 0.030802 26.42261 0.0000
Sum squared resid 6.96E+10 Schwarz criterion 24.25097

nhn nh v phng sai sai s, nh gi qua gi tr phn d
[Equation] View Actual, Fitted, Residual Actual, Fitted,
Residual Table
Phn d dao ng quanh gi tr trung bnh (bng 0) khng u, tuy
nhin cm nhn cha c s nh gi.
44
8.2 Kim nh White
Kim nh White da trn hi quy bnh phng phn d (k hiu l
RESID) theo bc nht v bc hai ca cc bin c lp. C hai trng
hp: kim nh khng v c tch cho gia cc bin c lp.

Kim nh khng c tch cho
(8.1a)
2 2
1 2 3 4 5 i i i i
e GDP GDP EX EX = + + + + +
2
i i
v
H
0
: M hnh gc c phng sai sai s khng i (ng u)
H
1
: M hnh gc c phng sai sai s thay i (khng ng u)

2
(8.1a) (8.1a)
2
(8.1a) (8.1a)
1 1
qs
R n k
F
R k
=

so snh vi
( )
(8.1a ) (8.1a )
1, k n k
F

so snh vi
2 2
(8.1a) qs
nR =
2
(8.1a)
( 1 k
)
[Equation] View Residual Test White heteroskedasticity
(no cross terms)

45
White Heteroskedasticity Test:
Obs*R-squared 27.41849 Probability 0.000016
Test Equation:
Dependent Variable: RESID^2
C -3.72E+08 7.59E+08 -0.489639 0.6271
GDP 6930.669 1149.842 6.027496 0.0000
GDP^2 -0.000380 7.50E-05 -5.064444 0.0000
EX -7843.361 5341.569 -1.468363 0.1498
EX^2 -0.000419 0.003244 -0.129023 0.8980
R-squared 0.609300 Mean dependent var 1.55E+09

[?] - Qua cc thng k v P-value tng ng, thc hin kim nh
kt lun v phng sai sai s ca m hnh gc?
- Hi quy ph cho thy bnh phng phn d ph thuc bin c
lp no?
- Cc c lng h s ca m hnh (8.1) c phi l c lng tt
nht khng? Sai s cc c lng h s c phi l tt nht khng?
- Nu c lng trn cha phi tt nht, hy nu cch c
lng c kt qu tt hn.

Kim nh White c tch cho
[Equation] View Residual Test White heter. (cross terms)

White Heteroskedasticity Test:

[?] - Vit phng trnh hi quy ph ?
- Thc hin kim nh i vi kt qu ny.
46
8.3 Lu phn d v gi tr c lng
C th thc hin hi quy ph phn d theo cc bin c lp hoc theo
c lng bin ph thuc. thc hin ch ng cc hi quy ph ny,
cn lu li cc gi tr cn thit di dng cc bin s mi.

Lu phn d v gi tr c lng
Vi bng kt qu hi quy m hnh (8.1), ca s Equation:
[Equation] View Estimation Output
[Equation] Procs Make Residual Series
Ca s Make Residuals, tn ngm nh cho phn d l resid01, i
thnh E <Ok>, ng ca s Series E.

[Equation] Forecast Ca s Forecast, trong Forecast name
l tn ca gi tr c lng bin ph thuc
IM , c ngm nh l
IMF, s dng tn ny.

47

Sau khi t chui gi tr phn d v gi tr c lng, trong ca s
[Workfile] xut hin hai bin mi l E v IMF.
8.4 Kim nh bng hi quy ph
Phng sai sai s c thay th bi e
i
2
thay i theo cc gi thit khc
nhau. Cc kim nh hi quy ph thc hin kim nh theo tng bin
c lp c trong m hnh gc

Hi quy ph vi bin EX, EX
2
, GDP, GDP
2
LS E^2 C EX Thy PSSS thay i [?]
LS E^2 C EX^2 Thy PSSS khng i, nhng nu mc
ngha l 10% th li c th coi l thay i
LS E^2 C GDP Thy PSSS thay i
LS E^2 C GDP^2 Thy PSSS khng i

Kt qu hi quy ph ring bit ny khng cng nhn nh vi kim
nh White khng tch cho trn.
48
Kim nh Park theo bin EX, GDP

LS LOG(E^2) C LOG(EX) Thy PSSS thay i
LS LOG(E^2) C LOG(GDP) Thy PSSS thay i,
nhng nu mc ngha 10% th c th coi l thay i
Qua cc kim nh trn, c th thy phng sai sai s m hnh (8.1)
thay i, v s thay i c th lin quan n bin EX hoc GDP.
8.5 c lng li sai s chun ca cc h s
M hnh (8.1) c phng sai sai s thay i, c lng cc h s vn
khng chch, nhng cc sai s chun ca cc c lng
( )
j
Se tnh
theo phng php OLS l khng chnh xc. C th tnh li cc sai s
chun ny theo th tc iu chnh ca White

M hnh c PSSS thay i
LS IM C EX GDP

C 1879.134 7997.118 0.234976 0.8154
GDP 0.050309 0.005070 9.922462 0.0000
EX 0.813882 0.030802 26.42261 0.0000

Ti ca s Equation
[Equation] Estimate Ca s Equation Specification Option
Ca s [Estimation Options] Chn Heteroskedasticity
Consistent Coefficient Covariance Chn White
49

White Heteroskedasticity-Consistent Standard Errors & Covariance
C 1879.134 6354.506 0.295717 0.7689
GDP 0.050309 0.008827 5.699615 0.0000
EX 0.813882 0.047778 17.03454 0.0000

So snh hai kt qu, sai s chun cc c lng tnh li, cc i
lng khc khng thay i.
50
8.6 Khc phc phng sai sai s thay i
M hnh (8.1)
1 2 3 i i i i
IM GDP EX u = + + + c phng sai sai s
thay i, qua cc hi quy ph, nhn thy c th cho rng s thay i l
theo bin GDP, EX, khc phc da trn cc gi thit ny.

Khc phc theo bin GDP
Chia (8.1) cho GDP
i
:

1 2 3
1
i
i i i
i i
i
IM E
GDP GDP GDP EX
= + + +
X u
(8.2)

LS IM/GDP 1/GDP C EX/GDP

Dependent Variable: IM/GDP
1/GDP 116.6000 85.39516 1.365417 0.1794
C 0.032509 0.033145 0.980800 0.3323
EX/GDP 0.843903 0.043022 19.61549 0.0000

xem m hnh mi (8.2) khc phc c hin tng phng sai
sai s thay i hay cha, s dng kim nh White
Kim nh White khng c tch cho v c tch cho

White Heteroskedasticity Test: No-cross term
White Heteroskedasticity Test: Cross term
51
[?] - M hnh (8.2) c phng sai sai s ng u hay thay i?
- Vi m hnh ny, c lng im mc thay i ca IM khi
GDP, khi EX tng 1 n v? So snh vi kt qu t m hnh (8.1)

Khc phc theo bin EX
Chia (8.1) cho EX
i
:

1 2 3
1
i i
i i i
i
i
IM GDP u
EX EX EX E
= + + +
X
(8.3)

LS IM/EX 1/EX GDP/EX C

[?] Kim nh hin tng PSSS thay i trong m hnh (8.3),
vic chia cho bin EX c khc phc c hin tng ny khng?
- So snh vi cch chia cho GDP, cch chia cho EX c khc phc
c hin tng PSSS thay i trit hn khng?
- Vi m hnh ny, c lng im mc thay i ca IM khi
GDP, khi EX tng 1 n v? So snh vi kt qu t m hnh (8.1)
v (8.2)

i dng m hnh

i m hnh (8.1) sang dng hm logarit,
LS LOG(IM) C LOG(GDP) LOG(EX)

S dng kim nh White cho bit c cn hin tng phng sai sai s
thay i hay khng?
52
9 M HNH VI S LIU CHUI THI GIAN
S dng b s liu VNQ_GDP trong th mc DATA2012.
B s liu gm mt s bin kinh t v m ca Vit Nam, t Qu 1 nm
2004 n Qu 3 nm 2012 (tnh theo gi hin hnh, ngun: Tng cc
thng k). Ct frequency bt u t 2004:1 v kt thc ti 2012:3.

Tp trung phn tch, d bo cho chui GDP ca Vit Nam.
V th ca GDP theo quan st:
Chn GDP Ca s [Series] View Graph Line

100000
200000
300000
400000
500000
600000
700000
800000
900000
04 05 06 07 08 09 10 11 12
GDP

9.1 Bin xu th thi gian
Bin xu th thi gian nhn gi tr ln lt 1, 2, 3, (hoc 0, 1, 2,)
n ht b s liu. Bin xu th tng mt n v tng ng vi sau mi
khong thi gian, nu vi b s liu ny l sau mi qu.

GENR T = @TREND

M ca s bin T, s thy chui gi tr bt u t 0.
53
V th ca GDP theo bin T.
Lu : V th vi dng Logarit khng thc hin c khi T = 0, do
phi ly mu t quan st 2004 Qu 2, tng ng khi T = 1.

SMPL 2004:2 2012:3
Chn T trc, ri GDP Ca s [Group] View Graph
Scatter Scatter with regression

0
100000
200000
300000
400000
500000
600000
700000
800000
900000
0 5 10 15 20 25 30 35
T
G
D
P
GDP vs. T

-200000
0
200000
400000
600000
800000
1000000
0 5 10 15 20 25 30 35
T
G
D
P
GDP vs. Log T

GDP theo T GDP theo lnT (T > 0)
100000
200000
300000
400000
500000
600000
700000
800000
900000
0 5 10 15 20 25 30 35
T
G
D
P
Log GDP vs. T

0
100000
200000
300000
400000
500000
600000
700000
800000
900000
0 5 10 15 20 25 30 35
T
G
D
P
Log GDP vs. Log T

lnGDP theo T lnGDP theo lnT (T > 0)
[?] - Dng no l ph hp vi xu th ca GDP? Vi cc dng
c phi loi tr trng hp T = 0 hay khng?

Ly li mu t quan st u tin
SMPL 2004:1 2012:3
54
9.2 Hi quy v d bo
c lng m hnh vi s liu t 2004 Q1 n 2012 Q3, s dng kt
qu d bo GDP cho Qu 4 2012, Qu 1 2013. Bin xu th bt
u t 0, thi gian 2012Q4 c T = 35; thi gian 2013Q1 c T = 36.
Gi tr d bo (forecast) k hiu l GDPF.
Thay v dng bin T sau khi phi t, c th dng trc tip bin dng
@TREND. (Nhc li, ly mu t 2004:1 n 2012:3)
S liu thi gian, dng ch s t thay cho i.

M hnh tuyn tnh tuyn tnh

1 2 t
GDP t u
t
= + + (9.1)
Cng thc d bo:
1 2

t
GDPF t = +
LS GDP C @TREND
Dependent Variable: GDP
Sample: 2004:1 2012:3 Included observations: 35
C 83290.55 24259.66 3.433295 0.0016
@TREND 16989.49 1226.864 13.84790 0.0000

[?] - GDP c xu th tng dn khng? Sau mi qu trung bnh
GDP tng bao nhiu?

D bo cho GDP
2012Q4: t = 35 GDPF
35
= 83290,55 + 16989,4935 = 677922,7
2013Q1: t = 36 GDPF
36
= 694912,2

nh gi cht lng ca d bo:
Ca s [Equation] Forecast OK
55
-200000
0
200000
400000
600000
800000
1000000
04 05 06 07 08 09 10 11 12
GDPF
Forecast: GDPF
Actual: GDP
Forecast sample: 2004:1 2012:3
Root Mean Squared Error 71179.23
Mean Absolute Error 55301.28
Mean Abs. Percent Error 18.77920
Theil Inequality Coefficient 0.086208
Bias Proportion 0.000000
Variance Proportion 0.039675
Covariance Proportion 0.960325

Cc i lng nh gi cht lng d bo ca m hnh l
RMSE = 71179,23; MAE = 55301,28; MAPE = 18,7792%

M hnh logarit tuyn tnh

1 2
ln
t
GDP t u
t
= + + (9.2)
Cng thc d bo:
1 2

t
t
GDPF e
+
=
LS LOG(GDP) C @TREND
Dependent Variable: LOG(GDP)
C 11.88810 0.059552 199.6270 0.0000
@TREND 0.047718 0.003012 15.84459 0.0000

[?] - Gii thch ngha h s gc?
D bo cho GDP
2012Q4: t = 35 GDPF
35
= e
11,8881+0,04771835
= 773151,3.
2013Q1: t = 36 GDPF
36
= 810938,9.
Kt qu ny khc bit kh ln so vi d bo theo m hnh tuyn tnh.
56
nh gi cht lng d bo: Lu : nh gi cho d bo chui GDP,
do phi chn GDP ch khng chn LOG(GDP)
0
200000
400000
600000
800000
1000000
1200000
04 05 06 07 08 09 10 11 12
GDPF
Forecast: GDPF
Actual: GDP

RMSE, MAE, MAPE ca m hnh ny u nh hn m hnh tuyn
tnh, d bo bng kt qu ny tt hn.
9.3 D bo t ng
Eviews c th d bo t ng chui s theo xu th thi gian. V d
d bo cho GDP n ht nm 2013 theo m hnh trong mc 9.2, cn
theo cc thao tc sau

Bc 1. M rng khong s liu
Ca s [Workfile] Procs Change workfile range Ca s
[Changing workife range] End date: 2013:4 <OK>
Trong ca s Workfile c Range: 2004:1 2013:4

Bc 2. Hi quy m hnh tuyn tnh (9.1) v d bo
LS GDP C @TREND
Ca s [Equation] Forecast Ca s [Forecast] Forecast
name: GDPF Forecast sample: 2004:1 2013:4
57
Bc 3. Xem gi tr d bo
Ca s [Workfile] Chn bin GDPF M bin vi ca s [Series]
Cc gi tr d bo ng vi cc quan st mi m rng, hai gi tr ng
vi 2012Q4 v 2013Q1 ging nh tnh trong mc 9.2.

Thc hin tng t, thc hin d bo bng m hnh (9.2) lnGDP ph
thuc xu th, c kt qu d bo cho GDP. Kt qu ny c chnh lch
so vi tnh th cng mc 9.2 do c s lm trn s.
So snh hai kt qu
GDP theo T LOG(GDP) theo T
2012:4 677922.6 773158.7
2013:1 694912.1 810947.0
2013:2 711901.6 850582.3
2013:3 728891.1 892154.7
2013:4 745880.5 935758.9
9.4 Phn tch ma v
C bn ma ng vi bn qu, do c th t 4 bin gi, nhng trong
m hnh ch s dng ti a 3 bin gi. t cc bin gi ma v:
GENR S1 = @SEAS(1)
GENR S2 = @SEAS(2)
GENR S3 = @SEAS(3)
GENR S4 = @SEAS(4)
M 4 bin S1, S2, S3, S4 trong cng ca s Group, thy gi tr ca
cc bin bng 1 ln lt theo cc qu.
Trong v d ny ly Qu 1 lm gc, so snh cc qu khc vi Qu 1.

M hnh ch c yu t ma v

1 2 3 4
1 3 4
t t t
GDP S S S u
t t
= + + + + (9.3)
LS GDP C S2 S3 S4
(C th dng trc tip @SEAS(2) @SEAS(3) @SEAS(4) )
58
C 290237.9 63520.47 4.569203 0.0001
S2 103356.3 89831.50 1.150558 0.2587
S3 110635.0 89831.50 1.231584 0.2274
S4 117458.2 92596.19 1.268500 0.2141

[?] - Theo cc kim nh T, cc h s gc c ngha khng?
- Hm hi quy c ph hp khng? C th ni cc kim nh T
khng ngha l do c a cng tuyn hay khng?
- Theo kt qu ny, GDP c thay i theo cc qu khng?

M hnh yu t ma v v xu th

1 2 3 4 5
2 3 4
t t t t
GDP S S S t u
t
= + + + + + (9.4)
LS GDP C S2 S3 S4 @TREND

Sample: 2004:1 2012:3
C 21513.77 27491.23 0.782568 0.4400
S2 86561.08 30298.43 2.856949 0.0077
S3 77044.49 30355.88 2.538042 0.0166
S4 100663.0 31229.74 3.223305 0.0030
@TREND 16795.26 1077.742 15.58374 0.0000

[?] - Theo cc kim nh T, cc h s gc c ngha khng?
- Theo kt qu ny, GDP c khc nhau gia cc qu khng? Nhn
chung, GDP qu no ln nht, qu no thp nht

59
D bo vi m hnh c ma v v xu th
D bo cho bn qu nm 2013, ng vi t = 36, 37, 38, 39, kt hp vi
bn h s ma v.
Cng thc d bo:
1

t
GDPF = +
(ma tng ng)

5
t +
Qu t GDPF
t
= Kt qu
1 36 21513.77 +16795.26*36 = 626143
2 37 21513.77 + 86561.08 +16795.26*37 = 729499
3 38 21513.77 + 77044.49 +16795.26*38 = 736778
4 39 21513.77 + 100663 +16795.26*39 = 777191
[?] - nh gi cht lng d bo, cc i lng RMSE, MAE,
MAPE bng bao nhiu?

C th s dng m hnh dng lnGDP ph thuc T v cc bin ma v
S2, S3, S4 d bo t ng m hnh:

1 2 3 4 5
ln 2 3 4
t t t t
GDP S S S t u
t
= + + + + + (9.5)
Hay
1 2 3 4 5
2 3 4
t t t
S S S t
t
GDP e

t
u + + + + +
=
2013:1 675912.5
2013:2 914502.9
2013:3 925073.3
Kt qu d bo t ng nh sau:
2013:4 967256.5

0
200000
400000
600000
800000
1000000
1200000
1400000
04 05 06 07 08 09 10 11 12 13
GDPF4
Forecast: GDPF4
Actual: GDP

60
10 T TNG QUAN V M HNH C BIN TR
S dng b s liu VNQ_GDP trong th mc SOLIEU.
Xt m hnh Gi tr sn xut ngnh Xy dng (CO) ph thuc u t
xy dng c bn (GI), Gi tr sn xut cng nghip (IND)
10.1 Hin tng t tng quan
Hi quy m hnh
1 2 3 t t
CO GI IND u
t t
= + + + (10.1)
LS CO C GI IND
Dependent Variable: CO
Sample: 2004:1 2012:3
C -2257.031 2807.746 -0.803859 0.4274
GI 0.445348 0.172523 2.581390 0.0146
IND 0.106931 0.039731 2.691362 0.0112
Theo kt qu hi quy ny, gi tr d ca kim nh Durbin-Watson bng
2,848833; vi gi tr d
L
= 1.343 v d
U
= 1.584
[?] - Kim nh DW cho bit iu g v m hnh?
- Hy nu 1 cch khc phc hin tng t tng quan bc 1
da trn thng k DW?
10.2 Kim nh Breusch-Godfrey
Kim nh t tng quan bc 1 ca m hnh (10.1) bng kim nh
Breusch-Godfrey, hi quy ph l:
(10.1a)
( )
1 2 3 1 1 t t t t
e GI IND e

= + + + +
t
v
)
t t
v (10.1b)
(
1 2 3 t t
e GI IND = + + +
61
H
0
:
1
= 0: M hnh khng c t tng quan bc 1
H
1
:
1
0: M hnh c t tng quan bc 1
2 2
(10.1a) (10.1b) (10.1a) (10.1a)
2
(10.1a)
1 1
qs
R R n k
F
R

=
v
2 2

(10.1a) (10.1a) qs
n R =
M hnh (10.1a) c tr bc 1, s quan st bt i 1. Tuy nhin chng
trnh Eviews t ng thay gi tr thiu bng 0, do s quan st
vn c gi nguyn.

[Equation] View Residual Tests Residual Correlation LM
Test
Ca s [Lag specification] xc nh bc ca t tng quan,
ngm nh l 2, cn kim nh t tng quan bc 1
[Lag specification] Lags to include: 1 <Ok>

Breusch-Godfrey Serial Correlation LM Test:
Test Equation:
Dependent Variable: RESID
Presample missing value lagged residuals set to zero.
C 1329.848 2583.488 0.514749 0.6104
GI -0.101550 0.160154 -0.634074 0.5307
IND 0.012601 0.036226 0.347840 0.7303
RESID(-1) -0.475989 0.167469 -2.842246 0.0079
62
[?] - Bc t do ca F-statistic v Obs*R-squared l bao nhiu?
- Kim nh v kt lun v hin tng t tng quan bc 1?
- C th ly c lng h s t tng quan bc 1 bng bao nhiu
thng qua kim nh ny?

Tng t, thc hin kim nh t tng quan n bc 2.
[?] - Vi kim nh t tng quan bc 2, hi quy ph th no?
- Thc hin kim nh c th, c t tng quan bc 1, bc 2
hay khng?
10.3 Kim nh bng hi quy ph
Kim nh t tng quan da trn vic xem xt phn d e
t

c ph
thuc vo cc tr ca n khng.
Kim nh t tng quan bc 1
Khng c h s chn
1 1 t t
e e
t
v

= + (10.1c)
C h s chn
0 1 1 t t
e e
t
v

= + + (10.1d)
[Equation] Procs Make Residual Series
[Make Residuals] Name of resid series: E

Hi quy khng c h s chn
LS E E(-1)
Dependent Variable: E
E(-1) -0.442081 0.157660 -2.804010 0.0084

Hi quy ph ny khng c h s chn nn khng c kim nh F
[?] - Phn d c ph thuc tr ca n khng?
- C th ly h s t tng quan bc 1 bng bao nhiu?
63
Hi quy c h s chn
LS E C E(-1)
[?] - H s chn c ngha thng k khng?
- Kt lun g v t tng quan bc 1 ca m hnh gc?
- Cc c lng h s v sai s chun ca n trong m hnh
(10.1) c phi l c lng khng chch, c lng hiu qu?
10.4 c lng li sai s chun
M hnh
1 2 3 t t
CO GI IND u
t t
= + + + c t tng quan bc 1 m,
tnh li cc sai s chun ca h s
( )
j
Se bng th tc Newey-West.
LS CO C GI IND
[Equation] Estimate Ca s [Equation Specification]
[Equation Specification] Option Ca s [Estimation Option]
[Estimatio Option] Chn Heteroskedasticity
Consistent Coefficient Covariance Chn Newey-West
<OK>

Newey-West HAC Standard Errors & Covariance (lag truncation=3)
C -2257.031 1408.430 -1.602516 0.1189
GI 0.445348 0.154274 2.886732 0.0069
IND 0.106931 0.042730 2.502485 0.0176

So vi bng kt qu mc 10.1, cc sai s chun c tnh ton li.
64
10.5 Khc phc t tng quan
S dng phng trnh sai phn tng qut
Phng trnh sai phn tng qut ca m hnh (10.1) l
1 1 2 1
3 1
(1 ) ( )
( )
t t t t
t t t
CO CO GI GI
1 t
IND IND u u

= +
+ +
(10.2)
Qua thng k DW v hi quy ph (10.1c), (10.1d), c lng h s
tng quan bc nht
0, 44 , thay vo phng trnh sai phn tng

qut c:
1 1 2 1
3 1
0, 44 (1 0, 44) ( 0, 44 )
( 0, 44 )
t t t t
t t
CO CO GI GI
t
IND IND v

+ = + + +
+ + +

LS (CO+0.44*CO(-1)) C (GI+0.44*GI(-1)) (IND+0.44*IND(-1))

Dependent Variable: CO+0.44*CO(-1)
C -1620.712 2693.379 -0.601739 0.5517
GI+0.44*GI(-1) 0.418240 0.147785 2.830067 0.0081
IND+0.44*IND(-1) 0.104762 0.032270 3.246449 0.0028

M hnh (10.2) c c lng h s chn l 1620.7 do c lng
h s chn ca m hnh (10.1) s l , c
lng h s gc ca m hnh gc .
1
1620.7/1.44 1125.5 = =
2 3

0.41824; 0.104762 = =
[?] - Dng kim nh Durbin-Watson chng t m hnh (10.2)
khng cn t tng quan.
- Ti sao c lng h s chn
1
ca m hnh (10.1) li phi ly
c lng h s chn ca m hnh (10.2) chia cho 1.44?
- Khi sai s chun
1
( ) Se s bng bao nhiu?

65
Dng kim nh Breusch-Godfrey kim nh m hnh (10.2), c:

[?] - Cho bit m hnh (10.2) c t tng quan bc 1 hay khng?

S dng phng php c lng nhiu bc phng php lp
AR(1)
K hiu t tng quan hoc t hi quy l AR (Autoregression), thc
hin khc phc t tng quan bc 1, thm AR(1) vo sau phng trnh
LS CO C GI IND AR(1)

Convergence achieved after 8 iterations
C -1115.426 1886.725 -0.591197 0.5588
GI 0.417874 0.152362 2.742644 0.0102
IND 0.104767 0.033086 3.166531 0.0035
AR(1) -0.455065 0.166619 -2.731175 0.0105
Inverted AR Roots -.46

Phng php dng li sau 8 bc lp, c lng h s t tng quan
bc nht l 0,455. Kim nh B-G:
Breusch-Godfrey Serial Correlation LM Test: AR(1)

66
[?] - Bng kim nh DW v kim nh BG cho bit mc ch
khc phc t tng quan t c cha?
- Vit phng trnh sai phn tng qut ng vi bc cui cng
ca m hnh. Khi c lng h s chn ca phng trnh sai
phn tng qut bng bao nhiu?
10.6 M hnh c bin tr
B s liu s dng theo qu cha hiu chnh ma v, do vic a
bin tr c th c li v m hnh nh a cng tuyn cao, dao ng ca
cc bin lin tc i chiu. Nhng thc hnh sau c tnh tham kho v
phng php, phn tch v kinh t cn c nhiu bc hiu chnh.

Tr ca bin c lp

1 2 3 4 1 5 1 t t t t t
CO GI IND GI IND u
t

= + + + + + (10.3)
LS CO C GI IND GI(-1) IND(-1)
Sample(adjusted): 2004:2 2012:3
C -1163.076 2856.413 -0.407181 0.6869
GI 0.465494 0.167217 2.783766 0.0094
IND 0.211045 0.061237 3.446372 0.0018
GI(-1) 0.091127 0.168552 0.540649 0.5929
IND(-1) -0.142473 0.059598 -2.390577 0.0235
[?] - Gii thch ngha c lng h s ca hai bin tr
- Theo kt qu ny, CO ph thuc bin tr no?

Kim nh B-G cho thy c t tng quan bc 1
67

Vic cho thm cc tr bc 2, bc 3 gy ra a cng tuyn cao.

Tr ca bin ph thuc (m hnh t hi quy)

1 2 3 4 1 t t t t
CO GI IND CO u
t

= + + + + (10.4)
LS CO C GI IND CO(-1)

Sample(adjusted): 2004:2 2012:3
C -1042.395 2749.436 -0.379130 0.7073
GI 0.374147 0.164674 2.272045 0.0304
IND 0.167408 0.043855 3.817320 0.0006
CO(-1) -0.297965 0.115738 -2.574475 0.0152

Kim nh B-G

[?] - Gii thch ngha c lng h s ca bin tr
- Theo kt qu ny, CO c ph thuc tr ca chnh n khng?
- M hnh c t tng quan bc 1 khng? Nu mc ngha l
10% th kt lun th no?

68
BI TP TNG HP

Bi tp 1. S dng b s liu HANOI_HH_2009 vi cc bin s v
chi tiu-thu nhp ca mt s h gia nh ti H Ni nm 2009 (ngun:
iu tra VHLSS).
(a) Xem ngha cc bin, bin no l bin nh tnh, bin no l nh
lng. Bin nh lng no phn phi chun?
(b) H s tng quan gia CONSUM (chi tiu) v INCOME (Thu
nhp) bng bao nhiu?

Hi quy Chi tiu theo Thu nhp c h s chn (m hnh 1).
(c) Khi c lng im tiu dng t nh v khuynh hng tiu
dng cn bin bng bao nhiu? H s xc nh bng bao nhiu,
hm hi quy c ph hp khng?
(d) Phn d v gi tr c lng vi quan st u tin bng bao nhiu?
(e) Kim nh gi thuyt khuynh hng tiu dng bin bng 0.5?
(f) Kim nh vic thm c hai bin SIZE v AGE vo m hnh?
(g) M hnh c phng sai sai s thay i hay khng i? Nu c hy
c lng li sai s chun ca cc h s.
(h) Vi kim nh Ramsey thm mt bin, hm hi quy c xc nh
c ng khng?

i m hnh sang dng hm Cobb-Douglas (m hnh 2)
(i) c lng im mc thay i tng i ca chi tiu khi thu nhp
tng tng i 1%
(j) M hnh 2 cn cc khuyt tt m m hnh 1 mc phi hay khng?

Vi bin gi URBAN = 1 vi khu vc thnh th, = 0 vi khu vc nng
thn, thm bin gi vo m hnh 1 theo cc yu cu sau:
69
(k) Hi quy m hnh chi tiu ph thuc thu nhp, bin gi tc ng n
h s chn. Khi h s chn c thc s khc nhau gia hai khu
vc khng? Nu c th tiu dng t nh khu vc no cao hn, cao
hn bao nhiu?
(l) Hi quy m hnh chi tiu ph thuc thu nhp c bin gi tc ng
n h s gc. Khi h s gc c thc s khc nhau khng?
Khuynh hng tiu dng cn bin khu vc no cao hn, cao hn
bao nhiu?
(m) Hi quy m hnh chi tiu ph thuc thu nhp c bin gi tc ng
n c hai h s. Khi cc bin mi c ngha thng k khng?
So snh vi trng hp cu (k), (l), c th gii thch th no v
hin tng .
(n) Kim nh v cc hin tng phng sai sai s thay i, dng hm
trong m hnh cc cu (k), (l), (m).
(o) Hi quy Chi tiu bnh qun u ngi theo Thu nhp bnh qun
u ngi, c h s chn. Khi m hnh gii thch c bao
nhiu % s bin ng ca bin ph thuc, m hnh c khuyt tt
no khng?

Bi tp 2. S dng b s liu HANOI_SALES_2009 vi cc bin s
ca mt s doanh nghip mua bn xe my t trn ti H Ni nm
2009 (ngun: iu tra doanh nghip). Cc doanh nghip ny thuc 4
loi: Nh nc trung ng, Nh nc a phng, T nhn, C vn
u t nc ngoi, c m ha trong bin OWNERSHIP.
(a) Xem ngha cc bin, bin no th hin kt qu hot ng ca
doanh nghip, bin c phn phi chun khng?
(b) Bin GO (Sn lng) tng quan vi bin no cht nht, lng
nht? H s tng quan tng ng bng bao nhiu?

70
Hi quy GO theo ASSET (c hiu l vn) v LABOR (lao ng) c
h s chn (m hnh 1)
(c) Gii thch ngha cc c lng h s gc v h s xc nh, hip
phng sai c lng hai h s gc bng bao nhiu?
(d) Kim nh v cc khuyt tt ca m hnh
(e) Khi thm bin Tin cng (WAGE) vo m hnh, c nhn xt g v
m hnh mi, c nn dng m hnh ny khng?
(f) Hi quy nng sut lao ng theo vn bnh qun cho mt lao ng,
c h s chn, v phn tch kt qu

Hi quy GO theo ASSET v LABOR di dng hm Cobb-Douglas
(f) Phn tch ngha v nh gi kt qu.
(g) Theo c lng im, qu trnh sn xut c hiu qu tng, gim,
hay khng i theo quy m? Kim nh gi thuyt qu trnh sn
xut hiu qu khng i theo quy m?

t cc bin gi so snh cc loi doanh nghip, ly doanh nghip t
nhn lm gc. Vi m hnh Cobb-Douglas, phn tch s tc ng ca
bin gi n cc h s gc.
(h) So snh vi doanh nghip t nhn, tc ng ca vn n sn lng
ca doanh nghip nh nc trung ng c khc bit khng?
(i) So snh vi doanh nghip t nhn, tc ng ca lao ng n sn
lng ca doanh nghip c vn nc ngoi c khc bit khng?

Bi tp 3. S dng b s liu VNM_EXIM vi s liu theo thng
(ngun: Tng cc thng k).
(a) t bin gi M6 bng 1 nu vo thng 6, bng 0 nu vo thng
khc, v tng t l cc bin M7, M8 cho thng 7, thng 8.
71
(b) Hi quy EX (xut khu) theo xu th thi gian, M6, M7, M8. Xut
khu trung bnh c khc bit gia thng 6, thng 7, thng 8 vi cc
thng cn li khng? Nu c th cao hn hay thp hn bao nhiu?
(c) Kim nh t tng quan bc 1 ca m hnh bng kim nh DW
v kim nh Breusch-Godfrey
(d) Hi quy EX theo GIC (u t t trung ng), GIL (u t a
phng) c h s chn, c m hnh 1. Khi bin c lp no
gii thch cho EX?
(e) M hnh 1 c t tng quan bc 1 khng? Nu c hy c lng
li cc sai s chun ca cc h s.
(f) M hnh 1 cn khuyt tt no na khng?
(g) Thm bin tr bc 1 ca GIL vo m hnh 1, bin mi thm c
ngha thng k khng? M hnh cn t tng quan bc 1 khng?
(h) Thm bin tr bc 1 ca EX vo m hnh 1, m hnh mi c tt
hn m hnh trc khi thm hay khng?
(i) Hi quy m hnh EX ph thuc GIL, ba bin gi M6, M7, M8 tc
ng n h s gc. Khi h s gc ca thng no l thc s
khc vi cc thng cn li? Kim nh cc khuyt tt ca m hnh
mi ny.

Bi tp 4. S dng b s liu VNY_WB_IMF vi s liu theo nm
(ngun: World Bank v IMF). Vi bin IM (nhp khu) l bin ph
thuc, xy dng m hnh kinh t lng vi cc bin c lp l cc bin
ph hp. Khi nh gi kt qu c lng, nu c cc khuyt tt th
thc hin cc bc khc phc c c kt qu tt nht trong phm
vi c th. Vi kt qu phn tch v mi quan h, nu cc nhn xt
kinh t nh gi v Nhp khu Vit Nam giai. C th thay i thi k
ly mu t 1992 ph hp vi thc t kinh t Vit Nam.

HT.
72

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HNG DN THC HNH EVIEWS 4 BI DNG HI HKTQD 2013

0, 44 , thay vo phng trnh sai phn tng

( ) Se s bng bao nhiu?

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