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I HC DN LP HNG VNG

Bi tp s 3

Mn hc: KINH T LNG


Lp: 04QK, 04QB, 04QB (Nm hc 2006 2007) Gi p n Bi tp s 3: A CNG TUYN V DNG HM
Cu 1: (40im) Cho m hnh nhp khu ca Hoa K giai on 1970-1998 nh sau: Ln Importst = 1 + 2 ln GDPt + 3 ln CPIt + ut (theo d liu trong file T10-12.txt thuc b d liu ca Gujarati). Trong : Imporst = Gi tr nhp khu ca Hoa K GDP = Tng sn phm quc ni ca Hoa K CPI = Ch s gi tiu dng ti Hoa K a) Trc khi chy hi qui anh/ch hy d bo du k vng ca 2 v 3. L gii s la chn ca mnh theo m hnh trn th hin tc tng ca gi tr nhp khu ca Hoa k khi tng sn phm quc ni tng 2: 1%. D bo du k vng ca 2 s l s m v khi Tng sn phm quc ni tng ln nhu cu v hng nhp s gim v vy Gi tr nhp khu ca Hoa k s gim. 3: theo m hnh trn th hin tc tng ca gi tr nhp khu ca Hoa k khi ch s gi tiu dng tng 1%. D bo du k vng ca 3 s l s m v khi ch s gi tiu dng tng, kh nng mua ca ngi dn s thp v iu ny s nh hng ln kh nng tiu th hng nhp khu v v vy gi tr nhp khu ca Hoa k s gim. b) Hy c lng cc h s trong m hnh. Dependent Variable: LOG(IMPORTS) Method: Least Squares Date: 05/08/07 Time: 23:24 Sample: 1970 1998 Included observations: 29 Variable C LOG(GDP) LOG(CPI) Coefficient 1.975260 1.043167 0.446142 Std. Error 0.782070 0.405783 0.569840 t-Statistic 2.525683 2.570749 0.782925 Prob. 0.0180 0.0162 0.4407

R-squared 0.982318 Mean dependent var 12.49048 Adjusted R-squared 0.980958 S.D. dependent var 0.904848 S.E. of regression 0.124862 Akaike info criterion -1.225512 Sum squared resid 0.405356 Schwarz criterion -1.084068 Log likelihood 20.76993 F-statistic 722.2174 Durbin-Watson stat 0.461405 Prob(F-statistic) 0.000000 Sau khi chy m hnh log kp ta c : t Ln Importst = 1.975 + 1.043 ln GDPt + 0.446 ln CPIt + u c) T kt qu trn anh/ch c nghi ng c s a cng tuyn trong m hnh khng? Ti sao? Da vo m hnh trn, ta nghi ng c d a cng tuyn v: Du ca cc bin trong m hnh ngc vi du k vng. R2 = 0.98 l mt s ln trong khi tstat(CPI) = 0.782925 l mt s nh (hay ProbCPI = 0.4407) d) Thc hin tip cc hi qui sau: Ln Importst = A1 + A2 ln GDPt Dependent Variable: LOG(IMPORTS) Method: Least Squares Date: 05/08/07 Time: 23:26 Sample: 1970 1998 Included observations: 29 Variable C LOG(GDP) R-squared Adjusted R-squared Coefficient 1.407426 1.359628 0.981901 0.981231 Std. Error 0.290493 0.035525 (1)

t-Statistic 4.844960 38.27295

Prob. 0.0000 0.0000 12.49048 0.904848

Mean dependent var S.D. dependent var

I HC DN LP HNG VNG S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

Bi tp s 3 0.123964 0.414912 20.43204 0.437805 Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) -1.271175 -1.176879 1464.819 0.000000 (2)

Ln Importst = B1 + B2 ln CPIt Dependent Variable: LOG(IMPORTS) Method: Least Squares Date: 05/08/07 Time: 23:28 Sample: 1970 1998 Included observations: 29 Variable C LOG(CPI) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 3.898610 1.905351 0.977824 0.977002 0.137220 0.508390 17.48590 0.495763 Std. Error 0.250312 0.055221

t-Statistic 15.57499 34.50388

Prob. 0.0000 0.0000 12.49048 0.904848 -1.067993 -0.973697 1190.518 0.000000

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

Ln GDPt = C1 + C2 ln CPIt Dependent Variable: LOG(GDP) Method: Least Squares Date: 05/08/07 Time: 23:29 Sample: 1970 1998 Included observations: 29 Variable C LOG(CPI) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 1.843760 1.398826 0.992224 0.991936 0.059218 0.094684 41.85618 0.348619 Std. Error 0.108024 0.023831

(3)

t-Statistic 17.06804 58.69726

Prob. 0.0000 0.0000 8.151539 0.659461 -2.748702 -2.654406 3445.368 0.000000

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

Da trn cc kt qu hi quy c c, anh/ ch nhn xt g v mc a cng tuyn trong b d liu? Gii thch s nhn xt ca mnh. Cn c vo m hnh (1) v m hnh (2) ta thy mi quan h gia GDP v CPI vi Imports l mi quan h thun iu ny c ngha GDP v CPI tng s lm cho Import tng. V vy, du k vng ti cu a l cha chnh xc. Mc khc cn c vo m hnh (1) v m hnh (2), phng trnh hi qui gia Imports vi tng bin GDP v CPI c ngha v mt thng k (R2 ln v tstat ln). M hnh (3) th hin mi quan h gia 2 bin c lp GDP v CPI, ta thy m hnh ny c ngha v mt thng k iu ny c ngha c hin tng a cng tuyn trong m hnh gc. Mt khc, R2 trong m hnh 3 (R2hqp=0.992224) ln hn m hnh ban u (R2 = 0.982318) v ln nht trong cc m hnh v vy mc a cng tuyn gia hai bin GDP v CPI rt mnh. Gii s trong m hnh ban u (m hnh Ln Importst = 1 + 2 ln GDPt + 3 ln CPIt + ut c hin tng a cng tuyn nhng 2 v 3 u c ngha v mt thng k mc ngha 5% v thng k F cng c ngha. Trong trng hp ny, chng ta c nn lo lng v hin tng a cng tuyn khng? Trong trng hp trn chng ta khng cn phi lo lng v tstat >2 (do cu 2 v 3 u c ngha v mt thng k mc ngha 5%) v R2 ca m hnh cao hn R2 ca m hnh hi qui ph (do cu thng k F cng c ngha) e)

I HC DN LP HNG VNG

Bi tp s 3

Cu 2: (40 im) Xem xt d liu trong file Table7.3 thuc b d liu Gujarati. Trong : Y = GDP thc hng nm ca khu vc nng nghip i Loan (triu USD) X2 = S ngy lao ng hng nm ca khu vc nng nghip i Loan (triu ngy cng lao ng) X3 = Vn thc hng nm ca khu vc nng nghip i Loan (triu USD) Cc anh/ch hy: a) c lng hm Cobb-Douglas c dng Y=AX22X33eui. Chuyn m hnh v hm log kep v c lng ta c : Dependent Variable: LOG(Y) Method: Least Squares Date: 05/09/07 Time: 20:40 Sample: 1958 1972 Included observations: 15 Variable C LOG(X2) LOG(X3) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -3.338455 1.498767 0.489858 0.889030 0.870535 0.074810 0.067158 19.28156 0.891083 Std. Error 2.449508 0.539803 0.102043 t-Statistic -1.362908 2.776509 4.800487 Prob. 0.1979 0.0168 0.0004 10.09653 0.207914 -2.170875 -2.029265 48.06885 0.000002

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

t LOG(Y) = -3.338455 + 1.498767 LOG(X2) + 0.489858 LOG(X3) + u


b) Hy gii thch cc h s c lng 1, 2, 3 theo ngha kinh t 1 = -3.338455 khng c cch gii thch v cn n cha bin b st ngoi m hnh. 2 = 1.498767 co gin ring phn ca GDP thc hng nm (triu USD) theo s ngy lao ng hng nm (triu ngy cng lao ng) ca khu vc nng nghip i Loan. iu ny c ngha: gi nhp lng vn thc hng nm khng i, cn c theo d liu mu ta c nu gia tng s ngy lao ng hng nm ca khu vc nng nghip i Loan ln 1% th GDP thc hng nm ca khu vc nng nghip i Loan s tng 1.498767% 3 = 0.489858 co gin ring phn ca GDP thc hng nm (triu USD) theo vn thc hng nm (triu USD) ca khu vc nng nghip i Loan. iu ny c ngha gi nhp lng s ngy lao ng hng nm ca khu vc nng nghip i Loan khng i, cn c theo d liu mu ta c nu gia tng vn thc hng nm ca khu vc nng nghip i Loan ln 1% th GDP thc hng nm ca khu vc nng nghip i Loan s tng 0.489858% c) Khu vc nng nghip i Loan c pht trin hiu qu khng? Gii thch v sao anh/ch li c nhn nh nh vy. Ngoi nhng l do pht trin do vn v lao ng cc anh ch cn c gi thit no v cc nguyn nhn khc tc ng n s pht trin ca khu vc nng nghip khng ? kim nh Khu vc nng nghip i Loan pht trin c hiu qu khng? Ta thc hin vc kim nh Wald vi: H0 : 1 + 3 = 1 H1 : 1 + 3 1 Wald Test: Equation: Untitled Test Statistic F-statistic Chi-square Value 4.344966 4.344966 df Probability (1, 12) 1 0.0592 0.0371

Null Hypothesis Summary: Normalized Restriction (= 0) -1 + C(2) + C(3) Value 0.988625 Std. Err. 0.474284

Restrictions are linear in coefficients. Cn c theo bng trn ta c P = 0.0592 < 0.1 v vy ta bc b H0 vi mc ngha = 10%, mc khc 1 + 3 = 1.988625 > 1. V vy, ta c m hnh tng theo qui m vi mc ngha = 10% Ngoi nhng l do pht trin do vn v lao ng cc nguyn nhn khc tc ng n s pht trin ca khu vc nng nghip bao gm: s pht trin ca lnh vc cng nghip, khoa hc k thut lin quan n nng nghip, thi tit_kh hu,

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