Huong Dan Su Dung Stata 2014 - TuanAnhUEH

TRNG I HC KINH T TPHCM
HNG DN THC HNH

STATA 12
PHN C BN
TRN TH TUN ANH
14
HNG DN THC HNH STATA 12 2014
TRN TH TUN ANH - UEH
LI M U
Stata l phn mm x l s liu rt mnh, c s dng ph bin trong

o to v nghin cu v Kinh t lng.
Ti liu Hng dn thc hnh Stata 12 c son ra phc v cho
sinh vin, hc vin cao hc, nghin cu sinh, cc nh nghin cu mun
tm hiu thc hnh cc kin thc Kinh t lng trn phn mm Stata
S liu thc hnh c s dng trong ti liu ny c th c tm thy
ti trang web http://sites.google.com/site/anhttt
- mc s liu thc
hnh.
y l ti liu c son tho ln u tin nn cn rt nhiu thiu st.
Mi gp gip ci thin ti liu xin gi v a ch mail
anhttt@gmail.com. Tc gi xin trn trng mi kin ng gp.
Trn Th Tun Anh

MC LC
CHNG 1 : GII THIU PHN MM STATA 12 .................................................. 8

1.1.
GII THIU GIAO DIN CA STATA 12....................................................... 8
1.1.1. Khi ng phn mm Stata ........................................................................... 8

1.2.
THAO TC NHP S LIU VO PHN MM STATA ................................ 9
1.2.1. Nhp liu trc tip t bn phm ..................................................................... 9

1.2.4. M mt tp tin s liu c sn ca Stata ....................................................... 13
1.3.
LU D LIU V KT QU TRN STATA ................................................ 14
1.3.1. Lu d liu .................................................................................................. 14

1.3.2. Lu kt qu x l s liu ............................................................................. 14
1.4.
a.
Sao chp v ct dn ..................................................................................... 14
b.
S dng file log ........................................................................................... 15
TO V QUN L BIN (VARIABLE ) TRONG STATA .......................... 17
1.4.1. Xa bin trong Stata .................................................................................... 17

1.4.2. i tn bin trong Stata ............................................................................... 18
1.4.3. To bin mi t nhng bin c ............................................................... 19
1.5.
THOT KHI PHN MM STATA ............................................................... 21
CHNG 2 : HI QUY TUYN TNH VI STATA ............................................... 22

2.1.
M T S LIU ............................................................................................... 22
2.1.1. M t tp tin s liu ..................................................................................... 22

2.1.2. Thc hin m t tm tt s liu ................................................................... 22
2.1.3. V th phn tn ........................................................................................ 24
2.2.
M HNH HI QUY TUYN TNH - PHNG PHP OLS ...................... 25
2.2.1. c lng m hnh hi quy tuyn tnh bng phng php OLS ................ 26
2.2.2. H s xc nh v kim nh h s xc nh ............................................... 27
2.2.3. Khong tin cy ca h s hi quy ................................................................ 28

2.2.4. Kim nh gi thuyt v h s hi quy ........................................................ 29
a.
Kim nh gi thuyt hai pha...................................................................... 29
b.
Kim nh gi thuyt pha phi.................................................................... 30
c.
Kim nh gi thuyt pha tri ..................................................................... 31
d. Kim nh gi thuyt ng thi lin quan n t hp tuyn tnh cc h s

hi quy .................................................................................................................. 31
2.3. PHN D CA M HNH HI QUY ......................................................... 32
2.3.1. V biu histogram ca phn d .............................................................. 33
2.3.2. Kim nh tnh chun ca phn d .............................................................. 33
2.4.
XUT NHIU KT QU HI QUY DI DNG BNG ........................... 34
CHNG 3 : M RNG HI QUY TUYN TNH ................................................. 36

3.1.
HI QUY TUYN TNH QUA GC TA ............................................... 36
3.2. DNG HM LOG LOG; DNG HM LOG LIN; DNG HM LIN

LOG ............................................................................................................................ 36
3.2.1. Dng hm log log ..................................................................................... 36
3.2.2. Dng hm log lin ...................................................................................... 37
3.2.3. Dng hm lin log ...................................................................................... 38
3.3.
DNG HM BC HAI (QUADRATIC MODEL) .......................................... 39
CHNG 4 : HI QUY VI BIN GI ................................................................... 40

4.1.
GII THIU BIN GI .................................................................................... 40
4.2.
HI QUY VI BIN GI ................................................................................. 40
4.3.
HI QUY VI BIN TNG TC ................................................................ 41
4.4.
To bin gi t bin nh tnh ............................................................................ 43
4.4.1. To bng lnh tabulate ................................................................................. 43

4.4.2. Dng bin factor .......................................................................................... 44
4.5. TNG TC GIA 2 BIN NH GI - PHNG PHP DIFFERENCE
IN DIFFERENCE ......................................................................................................... 45
4.6.
C LNG HM HI QUY THEO TNG NHM................................... 45

CHNG 5 : A CNG TUYN .............................................................................. 48
5.1.
PHT HIN A CNG TUYN ..................................................................... 48
5.1.1. H s tng quan ......................................................................................... 48

5.1.2. Nhn t phng i phng sai (vif) ............................................................ 49
5.2 PHT HIN I DU DO A CNG TUYN .............................................49
CHNG 6 : PHNG SAI THAY I .................................................................. 51
6.1.
PHT HIN PHNG SAI THAY I ......................................................... 52
6.1.1. th phn d ............................................................................................. 52

6.1.2. Kim nh Breusch Pagan ........................................................................ 52
6.1.3. Kim nh White ......................................................................................... 53
6.2.
X L PHNG SAI THAY I .................................................................. 55
6.2.1. c lng vng ca ma trn hip phng sai ............................................ 55

6.2.2. Phng php bnh phng nh nht tng qut (GLS) ............................... 56
CHNG 7 : T TNG QUAN ............................................................................. 58
7.1.
KIM NH T TNG QUAN .................................................................... 59
7.1.1. th phn d ............................................................................................. 59

7.1.2. Biu t tng quan ( ACF - Autocorrelation Function) ......................... 60
7.1.3. Kim nh Durbin Watson ........................................................................ 60
7.1.4. Kim nh Breusch Godfrey ..................................................................... 61
7.2.
X L T TNG QUAN ............................................................................. 62
7.2.1. Ma trn c lng hip phng sai Newey - West..................................... 62

7.2.2. Khc phc t tng quan bng GLS th tc Prais - Winsten .................. 63
TI LIU THAM KHO ............................................................................................ 65
CHNG 1 : GII THIU PHN MM STATA 12
1.1. GII THIU GIAO DIN CA STATA 12

1.1.1. Khi ng phn mm Stata
Tn gi Stata c vit tt t Statistics v data. Vic khi ng Stata c th c thc
hin bng nhiu cch:
Cch 1 : Khi ng bng cch nhp chut kp (double - click) vo biu
tng phn mm trn mn hnh chnh (Desktop) ca h iu hnh.
-
Cch 2 : Khi ng bng cch nhp chut kp vi nhng tp tin s liu

c phn m rng l dta. y l nhng tp tin s liu c Stata. Khi nhp chut kp
vo nhng tp tin ny, h iu hnh s t ng khi ng phn mm Stata c
tp tin loi ny.
Lu : trong mt vi trng hp, h iu hnh cha nhn dng c tp tin *.dta l

tp tin ca Stata, m tp tin cn nhp chut phi trn tp tin .dta cn m,
chn
Open with v chn Choose default program. Sau nht nt lnh Browse trn
ca s hin ra v ch ng dn n ni ci t Stata hoc ch ng dn n mn
hnh chnh c biu tng Stata .
Giao din ca phn mm Stata 12 sau khi khi ng s gm c 4 ca s chnh
Command
: ca s lnh, l ni nhp cc cu lnh cn thc hin
Results
: ca s kt qu, hin th kt qu thc thi cc cu lnh
Review
: ca s xem li, ni lit k tt c cc cu lnh s dng t

khi Stata c khi ng
Variables
: ca s tn bin, lit k danh sch cc bin ang c s

dng
Pha trn bn tri ca mn hnh Stata l h thng thc n chnh (main menus)
Pha di h thng thc n chnh l thanh cng c hin th cc nt lnh ng vi cc

chc nng thng c s dng ca Stata
1.2. THAO TC NHP S LIU VO PHN MM STATA

1.2.1. Nhp liu trc tip t bn phm
Nu mun nhp liu trc tip vo Stata, ngi dng cn s dng mn hnh nhp liu
(Data editor window) ca Stata bng cch nhp chut vo nt lnh edit trn thanh
cng c
Hoc dng lnh
Khi , ca s nhp liu s hin th.
1.2.2. Sao chp v ct dn t Excel

Thay v g s liu trc tip, ta c th sao chp s liu t Excel v dn vo Stata. u
tin, m tp tin Excel c cha d liu, nh du khi nhng d liu cn sao chp (k
c dng tn bin trn cng); sau nhn Ctrl+C thc hin sao chp. Sau ,
chuyn qua ca s nhp liu ca Stata, nhn Ctrl + V dn s liu. V dng u tin
l tn bin nn ch chn mc Treat first row as variable name trong hp hi thoi
hin ra sau khi dn d liu.
S liu sau khi dn s c dng sau:
10
D liu sau khi chuyn sang Stata nh trn sn sng cho vic x l.
1.2.3. Nhng mt file s liu t Excel

vic nhp liu c thun tin, Stata cn cho php nhng (import) mt tp tin d
liu c sn nhng nh dng khc (nh txt, csv, xls, SAS). Tuy nhin, nh dng
thng gp nht l xls hoc xlsx ca Excel.
Chc nng ny c thc hin bng cch chn mc import trong thc n File ca
h thng thc n chnh hoc dng lnh import ca Stata.
Lnh import c nhp theo v d sau.
Hoc dng h thng thc n ca Stata : File/Import/Excel spreadsheet
11
Sau khi chn chc nng t h thng thc n, ca s nhng tp tin s hin ra. Ta phi
ch ng dn n tp tin, chn sheet c s liu, chn vng c s liu trn sheet
chn. Nu dng u tin ca tp tin l tn bin th chn vo import first row as
variable name v sau nhn OK
Cc bin sau khi c nhp trc tip hoc nhng vo Stata s hin th ra trong ca s
12

bin s bn phi ca mn hnh Stata
1.2.4. M mt tp tin s liu c sn ca Stata

Nu c sn tp tin s liu ca Stata trn my tnh, c th m trc tip tp tin ny
bng lnh use
Hoc chn t h thng thc n File/Open v ch r ng dn n tp tin cn m

trong ca s hin ra
Hoc s dng nt lnh Open trn thanh cng c
13
1.3. LU D LIU V KT QU TRN STATA
1.3.1. Lu d liu
Mun lu d liu nhp vo Stata, s dng lnh save
Hoc dng thc n File/Save hoc File/Save as
Hoc s dng nt lnh save t thanh cng c
1.3.2. Lu kt qu x l s liu
Sau khi x l s liu, kt qu x l s liu c lu bng nhiu cch.
a. Sao chp v ct dn
Nu mun sao chp v xut kt qu x l s liu ra Word hoc Excel, c th dng cc
chc nng copy c Stata h tr. Trc ht, chn mng kt qu cn sao chp trn
ca s Result, nhp chut phi v chn mt trong s cc chc nng copy trn thc
n hin ra.
14
Mi chc nng copy ca Stata c mt nh dng khc nhau. Do , nn la chn

chc nng ph hp nht vi yu cu. Tuy nhin, la chn thng dng nht l copy
table sao chp s liu v nh dng ny gi nguyn hng ct ca kt qu cn sao
chp, ng thi cho php k khung hoc trang tr li cch trnh by. La chn copy as
picture s xut kt qu dng nh nn khng th trang tr li theo yu cu.
b. S dng file log
Nhng kt qu thc hin lnh c hin th ra trn ca s kt qu results khng th
lu c bng lnh save. Nu mun lu nhng kt qu ny, cn s dng tp tin log.
Tp tin log ca Stata c hai nh dng : dng tp tin .txt v dng tp tim .smcl . Tuy
nhin, dng .smcl thng c s dng v n gi nguyn nh dng kt qu m Stata
xut ra.
to mt tp tin .smcl, dng lnh. Pha sau t kha using l ng dn v tn ca
tp tin log s c to
Hoc c th dng h thng thc n File/Log/Begin
15
Sau cc thao tc trn, ca s kt qu s hin th cc thng tin cho bit tp tin log
c to
V thanh trng thi cui ca s kt qu s c dng ch
K t lc ny tr i, cc cu lnh cng nh kt qu thc hin cu lnh s c

Stata lu li trong tp tin log. Sau khi kt thc cc thao tc, nu mun dng lu v
ng tp tin log th dng lnh
Hoc chn t thc n chnh File /Log/ Close
16
Lu : nhng kt qu thc hin ch c lu khi tp tin log c to, c du hiu

log on cui ca s lnh. Nhng kt qu thc hin lnh trc khi to tp tin log hoc
sau khi tp tin log c ng u khng c lu li.
1.4. TO V QUN L BIN (VARIABLE ) TRONG STATA
1.4.1. Xa bin trong Stata

xa bt mt hay nhiu bin trong s cc bin to c th dng lnh drop. Pha
sau tn lnh l danh sch cc bin cn xa, mi tn bin cch nhau mt khong trng.
Nu mun xa tt c cc bin trong tp tin s liu, dng lnh
Nu mun xa nhng bin c cng nhng k t u trong tn ging nhau, v v nh

var01, var02, var03; dng lnh
Thay v dng lnh drop, ta chn mt hoc nhiu bin cn xa ca s tn bin, nhp
17

chuc phi v chn mc Drop Selected Variables t thc n hin ra.
1.4.2. i tn bin trong Stata

Tn bin c i bng lnh rename
V d, i tn bin DT thnh tn bin doanhthu
Nu khng dng lnh, c th dng chc nng ca Stata. Trc ht , cn hin th li s

liu ca cc bin c bng lnh
Hoc c th chn nt lnh browse trn thanh cng c
Sau khi thc hin lnh Browse, ca s s liu s hin ra
18
Gc trn bn phi ca ca s ny l danh sch bin, gc di l cc tnh cht tng

ng ca bin c chn trn danh sch bin nh tn, kiu s liu Do vy, i tn
bin, cn chn bin cn i tn danh sch bin v g tn mi vo Name phn
properties bn di.
Lu : V Stata phn bit ch hoa v ch thng rt r rng nn phi cn thn vn
ch hoa ch thng trong tn bin. ng thi tn bin khng c c khong trng
hoc cc k t c bit nh -, *, {, +, %.% # @ ^ .
1.4.3. To bin mi t nhng bin c

Dng lnh generate hoc vit gn l gen
V d to bin lnDoanhThu bng logarit c s t nhin ca bin DoanhThu c
19
Tn ca bin mi sau khi c to s c thm vo ca s danh sch bin gc phi

mn hnh chnh
Hoc to bin DoanhThu2 bng bnh phng ca bin DoanhThu
Lu : Mt s ton t v hm s thng dng trong Stata khi to bin hoc x l s

liu
Du cng
Ph nh
Du tr
Nh hn
<
Du nhn
Nh hn hoc bng
<=
Du chia
Ln hn
>
Du ly tha
Ln hn hoc bng
>=
Ton t v
&
Hm ex
Ton t hoc
Hm log nepe
: ln()
So snh bng
==
So snh khc
!= hoc ~=
exp()
20

1.5. THOT KHI PHN MM STATA
kt thc s dng phn mm Stata, c th thot khi phn mm bng cch g lnh exit
vo ca s lnh v nhn phm Enter.
Hoc chn mc Exit trong thc n con ca mc File trong thc n chnh
21
CHNG 2 : HI QUY TUYN TNH VI STATA

2.1. M T S LIU
Trc khi tin hnh hi quy, s liu c th c m t kim tra xem liu s liu c
ph hp vi yu cu nghin cu.
2.1.1. M t tp tin s liu

Dng lnh describe m t cc thng tin chung nht v tp tin s liu nh s quan st,
s bin, kch thc tp tin, tn cc bin, kiu s liu ca tng bin, v nhn ca bin (nu
c)
Kt qu m t tp tin nh sau
2.1.2. Thc hin m t tm tt s liu

Dng lnh summarize vi c php c bn nh sau
22
summarize [varlist]
[if]
[, options]
V d
Lu :
Nu sau lnh summarize m khng lit k tn bin, phn mm s hin th thng
tin ca tt c cc bin hin c trong tp tin s liu.
Nu mun m t chi tit, c th ty chn detail vo cui lnh summarize sau khi
thm du phy
23

2.1.3. V th phn tn
Stata v c rt nhiu loi th nhng th phn tn l dng th thng dng nht
khi phn tch h quy. Ngi dng v th phn tn ca hai bin bng lnh scatter
scatter [varlist]
[if]
[, options]
scatter thng c dng v th gia hai bin.Trong varlist, bin u tin c

lit k l bin trc tung, bin tip theo s l bin trc honh.
Kt qu thc hin cu lnh :
v th t gc ta hoc thm tiu , cn thm cc ty chn nh trong cu lnh

sau:
24
Kt qu thc hin lnh :
lu th, dng lnh
Hoc c th nhn nt lu trn thanh cng c ca ca s th. Sau chn ng dn v

t tn cho th cn lu. Phn m rng trong tn th ca Stata l .gph
2.2. M HNH HI QUY TUYN TNH - PHNG PHP OLS
Trong Stata, ngoi vic c lng m hnh, phn mm cn h tr rt nhiu cc kim nh
nh gi v la chn m hnh
25

2.2.1. c lng m hnh hi quy tuyn tnh bng phng php OLS
Hm hi quy tuyn tnh k bin c dng nh sau
Y 1 2 X 2 3 X 3 ... k X k U
Hm hi quy mu tng ng Y 1 2 X 2 3 X 3 ... k X k e

Vic c lng m hnh hi quy tuyn tnh mu bng phng php OLS trn Stata c
thc hin bng lnh regress vi c php nh sau:
regress depvar [indepvars] [if] [, options]

Bin c nhp sau tn lnh regress l bin ph thuc. Tt c cc tn bin c lit k
sau bin ph thuc l bin c lp. Ty chn [if] c dng gii hn s liu cn a
vo hi quy.
V d sau s dng s liu ca tp tin doanhthu.dta hi quy tuyn tnh theo hm hi
quy
DoanhThu 1 2ChaoHang 3QuangCao U
Trong :
DoanhThu th hin doanh thu ca doanh nghip, n v tnh l triu ng/thng.
ChaoHang l bin th hin chi ph cho hng (triu ng/thng)
QuangCao l chi ph qung co ca doanh nghip (triu ng/thng)
hi quy theo v d trn, trc ht, m tp tin doanhthu.dta bng Stata. Sau , hi
quy bng lnh:
Hoc c th gi chc nng hi quy ny t h thng thc n chnh Statistics/Linear

models and related/ Linear regression
26
Khi nhp hm hi quy, ta khng cn nhp h s t do v Stata mc nh thm h s t

do vo hm hi quy. Kt qu hi quy thu c nh sau :
T kt qu trn, hm hi quy c lng c t mu s liu bng phng php OLS l

DoanhThu 78,915 4, 472ChaoHang 2, 298QuangCao e
2.2.2. H s xc nh v kim nh h s xc nh
H s xc nh R2 gip nh gi s ph hp ca m hnh vi mu nghin cu. N cho
bit mc gii thch ca cc bin c lp vi s bin ng (quanh gi tr trung bnh)
ca bin ph thuc. Ngoi R2, Stata cng tnh h s xc nh hiu chnh (Adjusted R2) v
hin th c hai trn bng kt qu hi quy.
27
2.2.3. Khong tin cy ca h s hi quy

Y 1 2 X 2 3 X 3 ... k X k U
Xt hm hi quy tng th
V hm hi quy mu tng ng Y 1 2 X 2 3 X 3 ... k X k e

Khong tin cy ca j ,( j 1, k ) vi tin cy (1 ) c tnh bng cng thc
t
j
se( j ), j t se( j )
2
Trong :
t l gi tr c c khi tra bng t-Student, mc ngha 2 , bc t do n k
2
Gi tr ny c th tra c bng hm TINV ca Excel hoc hm invtail ca Stata
se( j ) l sai s chun ca j , c phn mm Stata tnh sn

Tuy nhin, Stata lun tnh sn khong tin cy ca h s hi quy vi tin cy 95%.
28
Nu mun thay i tin cy, v d 99%, dng ty chn level(99) sau lnh regress
2.2.4. Kim nh gi thuyt v h s hi quy

a. Kim nh gi thuyt hai pha
Gi s cn kim nh gi thuyt hai pha
H0 : j 0
H1 : j 0
vi tin cy (1 )
C 3 cch kim nh
Dng khong tin cy
Dng thng k t
Dng p-value
Kt qu hin th trn Stata h tr c ba cch kim nh ny
29

Gi s cn kim nh gi thuyt hai pha
H 0 : j 0
H1 : j 0
vi tin cy (1 ) v 0 l
mt s thc bt k.
V d cn kim nh
H 0 : ChaoHang 7
H1 : ChaoHang 7
vi tin cy 95%
Dng lnh test ca Stata
Kt qu kim nh nh sau
b. Kim nh gi thuyt pha phi

Gi s cn kim nh gi thuyt pha phi
H0 : j 0
H1 : j 0
vi tin cy (1 )
Dng thng k t ca kim nh hai pha m Stata tnh sn, so snh vi

gi tr t c c khi tra bng t-Student vi mc ngha bc t do n k
Gi s cn kim nh gi thuyt pha phi
V d, kim nh
H 0 : ChaoHang 7
H1 : ChaoHang 7
H 0 : j 0
H1 : j 0
vi tin cy (1 )
vi tin cy (1 ) , s dng lnh lincom nh sau :
Kt qu sau khi thc hin lnh
30
Dng t c c t kt qu trn so snh vi gi tr t c c khi tra bng t-Student

vi mc ngha bc t do n k
tnh p-value ca kim nh ny, sau khi chy lnh lincom, c th ln lt thc hin
cc lnh sau
Lnh ttail() tnh p-value ca kim nh mt pha dng phn phi t-Student
Kt qu thc thi cclnh trn nh sau
c. Kim nh gi thuyt pha tri

Tng t nh kim nh pha phi nhng so snh vi gi tr t
d. Kim nh gi thuyt ng thi lin quan n t hp tuyn tnh cc h s hi quy
Gi s cn kim nh gi thuyt
H 0 : ChaoHang QuangCao
H1 : ChaoHang QuangCao
vi tin cy (1 )
Kt qu thc hin lnh

31
H 0 : ChaoHang 2QuangCao
H1 : ChaoHang 2QuangCao
vi tin cy (1 )
Kt qu kim nh
H 0 : ChaoHang QuangCao 10
H1 : ChaoHang QuangCao 10
vi tin cy (1 )
Kt qu
2.3.
PHN D CA M HNH HI QUY
32

Phn d ca m hnh hi quy c ly bng lnh
2.3.1. V biu histogram ca phn d

Dng lnh histogram v biu histogram ca phn d
Kt qu thc hin lnh
2.3.2. Kim nh tnh chun ca phn d

Dng lnh sktest kim nh tnh chun ca sai s. Lnh ny i hi phi c t nht 8
33

quan st trong mu s liu.
Kt qu hin th
2.4.
XUT NHIU KT QU HI QUY DI DNG BNG
xut nhiu kt qu hi quy ra trn cng mt bng vi mi phng trnh l mt cng

trong bng, ngi dng c th dng lnh esttab vi v d minh ha nh sau
Kt qu xut ra dng bng nh sau
34
Lu : nu lnh esttab cha c sn trong Stata, c th ci t bng cch dng :
35
CHNG 3 : M RNG HI QUY TUYN TNH
3.1. HI QUY TUYN TNH QUA GC TA

Hm hi quy tuyn tnh i qua gc ta khi h s t do bng 0. Khi , hi quy tng
th c dng
Y 2 X 2 3 X 3 ... k X k U
c lng hm hi quy qua gc ta bng lnh regress vi ty chn noconstant
Kt qu hi quy
3.2. DNG HM LOG LOG; DNG HM LOG LIN; DNG HM LIN LOG
3.2.1. Dng hm log log

Dng hm log log c dng
ln(Y ) 1 2 ln( X ) U
V d : cn c lng dng hm ln( DoanhThu ) 1 2 ln(ChaoHang ) U .
36

Cc bc cn thc hin nh sau :
Kt qu
3.2.2. Dng hm log lin

Dng hm log lin c dng
ln(Y ) 1 2 X U
V d : cn c lng dng hm ln( DoanhThu ) 1 2ChaoHang U .

Cc bc cn thc hin nh sau :
Kt qu
37
Lu : Nu bin lnDoanhThu c sn th khng cn to li bng lnh generate
3.2.3. Dng hm lin log

Dng hm log lin c dng
Y 1 2 ln( X ) U
V d : cn c lng dng hm DoanhThu 1 2 ln(ChaoHang ) U .
Kt qu
Lu : Nu bin lnChaoHang c sn th khng cn to li bng lnh generate
38

3.3.
DNG HM BC HAI (QUADRATIC MODEL)
Hm hi quy dng bc hai c phng trnh Y 1 2 X 3 X 2 U

Gi s cn c lng hm hi quy DoanhThu 1 2ChaoHang 3ChaoHang 2 U
Cc bc thc hin
Kt qu thc hin
39
CHNG 4 : HI QUY VI BIN GI

4.1. GII THIU BIN GI
Bin nh tnh l nhng bin s kinh t m gi tr khng th hin bng nhng con s m
bng cc tnh cht m bng cc la chn. a bin nh tnh vo hi quy, ngi ta s
dng bin gi (Dummy variable). Bin Dummy l nhng bin ch nhn gi tr 0 v 1. Bin
ny cn c gi l bin nh phn (Binary variable) hay l bin ch mc (indicator
variable)
4.2. HI QUY VI BIN GI
S dng tp tin s liu ThuNhapTPHCM.dta, tin hnh m t s liu
Trong tp tin ny c cc bin gi NgoaiNgu, DNNN, HoKhau, GioiTinh. Vic hi quy vi

cc bin gi ny khng c g khc vi hi quy cc bin nh lng thng thng. Tuy
nhin, vic gii thch h s hi quy ca bin gi rt khc vi bin nh lng.
40

Gi s cn hi quy hm tin lng c dng
lnThuNhap 1 2 KinhNghiem 4GioiTinh 5 NgoaiNgu 6 HoKhau U
Vic hi quy c thc hin bng cu lnh sau
Kt qu hi quy
4.3. HI QUY VI BIN TNG TC

Gi s cn tng tc gia bin KinhNghiem v GioiTinh xem bin GioiTinh c lm
thay i tc ng bin ca KinhNghiem n bin lnThuNhap hay khng. Dng hm hi
quy vi bin tng tc nh sau :
lnThuNhap 1 2 KinhNghiem 3 KinhNghiem GioiTinh 4 NgoaiNgu 5 HoKhau U
To bin tng tc
41

Thc hin hi quy
Kt qu hi quy
Lu : thay v dng hai lnh to ra bin tng tc ri hi quy nh trn, kt qu tng

ng c th c to ra bng cch dng mt lnh duy nht
Kt qu thc hin lnh
42
4.4. To bin gi t bin nh tnh

4.4.1. To bng lnh tabulate
Trong s liu ca tp tin ThuNhap_TPHCM c bin BangCap l bin nh tnh vi cc
la chn PTCS(Ph thng c s), PTTH (ph thng trung hc), CD (Cao ng), DH (i
hc), THS (Thc s) v KH(Khc)
to cc bin gi ng vi cc la chn ca bin bng cp, dng lnh :
Kt qu, Stata s to ra 6 bin gi t BangCap1 n BangCap6 ng vi 6 la chn,

c m t nh sau
43
4.4.2. Dng bin factor

Nhng bin nh tnh c nhp vo theo kiu s liu numeric, thay v to bin gi bng
lnh tabulate, c th dng bin factor a vo m hnh
Stata s t ng thm bin gi vo hm hi quy. S bin gi thm vo s bng s la

chn ca bin BangCap tr i 1
44
4.5. TNG TC GIA 2 BIN NH GI - PHNG PHP DIFFERENCE IN
DIFFERENCE
Tng tc gia hai bin gi c gi l phng php D-I-D trong kinh t lng. V d
sau tng tc gia hai bin gi GioiTinh v HoKhau
Kt qu thc hin lnh
4.6. C LNG HM HI QUY THEO TNG NHM

Gi s mun c lng mt hi quy thu nhp cho Nam gii v N gii ring bit. Cu lnh c
th dng trong trng hp ny nh sau
45
Kt qu l s c hai hm hi quy c c lng
Lu : thay v dng ty chn by hoc bysort, ta c th dng iu kin if sau lnh

regress
46
Kt qu hi quy cho n gii
Kt qu hi quy cho nam gii
Kt qu cng vn ging vi dng lnh bysort trn.
47
CHNG 5 : A CNG TUYN
5.1.
PHT HIN A CNG TUYN
a cng tuyn l hin tng cc bin c lp trong m hnh c mi quan h vi nhau. a

cng tuyn hon ho lm cho m hnh khng c lng c. a cng tuyn khng hon
ho c th lm cho cc bin c lp cng tuyn mt i ngha trong m hnh hoc c th
b sai du ca h s hi quy.
Tip tc s dng tp tin s liu ThuNhapTPHCM.dta hi quy hm thu nhp nh sau
lnThuNhap 1 2 KinhNghiem 3GioiTinh 4 NgoaiNgu 5 HoKhau U
M hnh c lng c
5.1.1. H s tng quan

H s tng quan gia cc bin c lp trong m hnh c tnh bng lnh correlate
48
Ma trn h s tng quan gia cc bin c lp nh sau
5.1.2. Nhn t phng i phng sai (vif)

Mi bin c lp trong m hnh s c mt h s phng i phng sai. tm vif, phi
m bo hm hi quy va chy gn nht trc l hm hi quy cn kim nh a cng
tuyn. Sau dng lnh vif.
Kt qu
5.2.
PHT HIN I DU DO A CNG TUYN
Vic pht hin sai du do a cng tuyn c th thc hin bng cc so snh du ca h s
tng quan gia bin ph thuc v cc bin c lp vi du ca h s hi quy thu c
bng lnh regress. Nu hai du ny khc nhau, l th hin ca sai du cho cc bin
49

c lp c tng quan vi nhau.
50
CHNG 6 : PHNG SAI THAY I

Gi s xt hm hi quy tuyn tnh Y 2 X 2 3 X 3 ... k X k U
M hnh hi quy tuyn tnh c in gi nh rng :
E (U i ) 0
Var (Ui ) 2 const , i 1, n
Cov(Ui ,U j ) 0, i j
Khi gi thit v s khng i ca phng sai sai s b vi phm s dn n hin tng

phng sai thay i. Khi ,
E (U i ) 0
Var (Ui ) i2 , i 1, n
Cov(Ui ,U j ) 0, i j
Vy lm sao pht hin m hnh hi quy b phng sai thay i ? X l phng sai
thay i nh th no? Phn thc hnh chng 6 s s dng tp tin s liu
Heteroskesdaticity.dta thc hin cc kim nh v x l khi c phng sai thay i.
Gi s hm hi quy cn c lng :
Y 1 2 X 2 3 X 3 4 X 4 5 X 5 U
Kt qu hi quy
51
6.1.
PHT HIN PHNG SAI THAY I
6.1.1. th phn d
Mt trong nhng du hin ban u cho thy c s hin din ca phng sai thay i l
sai s phn b khng ng u xung quanh gi tr trung bnh ca n.
th thu c nh sau:
Ty chn yline(0) v trc tung ca th. Qua th cho thy phn d ca m hnh c
phn b khng u quanh gi tr trung bnh ca n. y l du hiu ca phng sai thay
i.
6.1.2. Kim nh Breusch Pagan
52

Gi thuyt H0 ca kim nh Breusch Pagan l m hnh c phng sai thun nht, gi
thuyt i H1 l phng sai ca sai s ph thuc vo cc yu t z2i ,..., zki :
H 0 : i2 2
H1 : i2 2 h( 2 z2i ... m zmi )
Sau khi hi quy bng OLS, Stata h tr thc hin kim nh Breusch Pagan bng lnh:
Kt qu kim nh ca m hnh trong v d trn l
Mt cch dng khc ca kim nh Breusch Pagan
Kt qu
6.1.3. Kim nh White

Gi thuyt H0 ca kim nh White
H 0 : i2 2
H1 : i, j : i2 2j
53

Kim nh phng sai thay i bng kim nh White trn Stata c thc hin bng
lnh :
Kt qu thc hin lnh
Lu : Trong mt s trng hp, nu phn mm khng h tr kim nh phng sai thay

i bng gi cc cu lnh c xy dng sn, ta c th hi quy phn d kim tra
phng sai thay i ca sai s.
Kt qu nh sau :
54
6.2.
X L PHNG SAI THAY I
Khi b phng sai thay i, c lng tnh c bng phng php OLS khng cn l
c lng hiu qu na. ng thi cc kim nh v h s hi quy c tnh ton da
trn gi nh var(U i ) 2 khng cn ng tin cy. Vic x l hin tng phng sai
thay i c th tnh li gi tr cc kim nh kim nh ng tin cy hn (bng cch
dng ma trn c lng vng ca hip phng sai) hoc tm c lng hiu qu hn
bng GLS.
6.2.1. c lng vng ca ma trn hip phng sai

S dng c lng vng ca ma trn hip phng sai sai s do White(1980) xut
tnh ton li cc gi tr kim nh khi c phng sai thay i. Trn Stata, vic ny c
thc hin bng cch thm ty chn robust hoc vce(robust) sau cu lnh regress
Kt qu
55
Lu rng sau khi dng ty chn robust, gi tr cc h s hi quy khng h thay i. Ch

c cc sai s chun thay i dn n thng k t v p-value ca kim nh cc h s hi
quy thay i.
6.2.2. Phng php bnh phng nh nht tng qut (GLS)

Phng php GLS tm c lng hiu qu trong trng hp phng sai thay i
c thc hin bng cch tm trng s cho sai s; sau khi hi quy vi trng s,
phng sai ca m hnh tr nn khng i. Do vy , GLS trong trng hp phng sai
thay i cn c gi l WLS (Weighted Least Squares Bnh phng nh nht c trng
s)
Trong v d trn, trng s c th tm c nh sau :
56

Kt qu sau khi hi quy vi trng s
Ngoi ra, mt s cu lnh c vit bi cc nh nghin cu cng cho php thc hin
WLS trn Stata nh wls0, vwls
57
CHNG 7 : T TNG QUAN

Hin tng t tng quan thng c xt i vi s liu theo thi gian, khi gi thit v
s khng tng quan gia cc sai s b vi phm.
Gi s xt hm hi quy Yt 1 2 X t U t
Chng 7 s dng s liu ca tp tin GiaXangDau.dta thc hin cc kim nh v x
l t tng quan. M t tp tin s liu nh sau:
Gi s hm hi quy cn thc hin:

giaxangvietnamt 1 2 giaxangthegioit U t
Stata nhn dng s liu theo thi gian, cn dng lnh tsset
Bin quarter l bin dng ch nh thi gian trong tp tin s liu ny. Hi quy m6 hnh
58

vi phng php OLS, kt qu c lng ban u nh sau :
7.1. KIM NH T TNG QUAN
7.1.1. th phn d
Cc cu lnh thc hin v th phn d :
th biu din phn d thu c nh sau:
59

7.1.2. Biu t tng quan ( ACF - Autocorrelation Function)
Biu t tng quan biu din h s t tng quan t bc 1 n bc k ca mt i
lng ngu nhin ln cng mt th. biu din biu t tng quan t bc 1 n
bc 12 ca bin phandu, cu lnh c s dng nh sau
Biu hin ra nh sau
7.1.3. Kim nh Durbin Watson

Sau khi c lng hm hi quy, tnh gi tr thng k d theo kim nh Durbin
Watson, cn thc thi cu lnh:
Kt qu
60
Vi gi tr thng k d tnh c, ta tra bng Durbin-Watson, tm ra gi tr dL v dU, k

thang kim nh Durbin Watson v kt lun v t tng quan bc nht. Ngoi ra, Stata h
tr vic kim nh t tng quan bc nht bng Durbin Watson thng qua vic tnh sn
gi tr p-value cho kim nh ny.
Kt qu p-value c hin th ra nh sau :
7.1.4. Kim nh Breusch Godfrey

Kim nh BG trn Stata c h tr bng cu lnh estat bgodfrey. Khi kim nh
BG trn Stata cn ch r bc t tng quan cn kim nh. Nu khng ch r bc t
tng quan, phn mm s mc nh kim nh t tng quan bc 1.
V d, kim nh t tng quan t bc 1 n bc 4
Kt qu kim nh tng ng
61
Nu ch cn kim nh t tng quan bc 1 v bc 4 (ngha l khng kim nh t

tng quan bc 2 v 3), cu lnh c dng s l:
Kt qu thc hin lnh
7.2. X L T TNG QUAN

Cng ging nh trng hp phng sai thay i, hin tng t tng quan cng lm cho
c lng OLS khng cn l c lng hiu qu nht v cc kim nh v h s hi quy
cng khng cn ng tin cy. Do , vic khc phc c th theo hai hng. Mt l, lm
cho kim nh h s hi quy ng tin cy hn bng ma trn c lng hip phng sai
ca Newey West. Hai l, tm c lng hiu qu bng GLS.
7.2.1. Ma trn c lng hip phng sai Newey - West
s dng ma trn c lng hip phng sai, cn ch nh r bandwidth c s dng
62

tnh ton ma trn c lng hip phng sai. Bandwidth c th c tnh ton bng
cng thc B 0.75T
1
3
hoc B 4 T 100
. Stata khng dng bandwidth mc nh nh
mt s phn mm khc nn ngi dng thng phi ch nh con s ny.

tnh ton bandwidth, ta \c th dng cc cu lnh sau
Kt qu bandwidth c chn s l
Vi bandwidth = 3, m hnh hi quy c thc hin vi ma trn c lng hip phng

sai ca Newey West nh sau :
Kt qu thc hin cu lnh trn
7.2.2. Khc phc t tng quan bng GLS th tc Prais - Winsten
63

Mt th tc ph bin ca GLS x l trong trng hp t tng quan bc nht c
xut bi Prais Winsten(1954). Stata thc hin th tc ny bng lnh prais. C php
lnh ny rt ging lnh regress
Kt qu thc hin
Lnh prais c cc ty chn tnh h s t tng quan rho khc nhau (g help prais
xem tr gip ca Stata v cc ty chn ny).
64
TI LIU THAM KHO

Lee C. Adkins & R. Carter Hill (2011), Using Stata for Principles of Econometrics, 4th
edition, Wiley Publisher.
White, H. (1980), A Heteroscedasticity-Consistent Covariance Matrix Es timator and a
Direct Test for Heteroscedasticity. Econometrica 48, 817-838.
Prais, S. J. and Winsten D. B., (1954),
Trend Estimators and Serial Correlation
Cowles Commission, Discussion Paper No. 383, University of Chicago.
65

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TRNG I HC KINH T TPHCM

HNG DN THC HNH

HNG DN THC HNH STATA 12 2014

TRN TH TUN ANH - UEH

HNG DN THC HNH STATA 12 2014

Stata l phn mm x l s liu rt mnh, c s dng ph bin trong

TRN TH TUN ANH - UEH

HNG DN THC HNH STATA 12 2014

TRN TH TUN ANH - UEH

HNG DN THC HNH STATA 12 2014

CHNG 1 : GII THIU PHN MM STATA 12 .................................................. 8

GII THIU GIAO DIN CA STATA 12....................................................... 8

1.1.1. Khi ng phn mm Stata ........................................................................... 8

THAO TC NHP S LIU VO PHN MM STATA ................................ 9

1.2.1. Nhp liu trc tip t bn phm ..................................................................... 9

LU D LIU V KT QU TRN STATA ................................................ 14

1.3.1. Lu d liu .................................................................................................. 14

Sao chp v ct dn ..................................................................................... 14

S dng file log ........................................................................................... 15

TO V QUN L BIN (VARIABLE ) TRONG STATA .......................... 17

1.4.1. Xa bin trong Stata .................................................................................... 17

THOT KHI PHN MM STATA ............................................................... 21

CHNG 2 : HI QUY TUYN TNH VI STATA ............................................... 22

2.1.1. M t tp tin s liu ..................................................................................... 22

M HNH HI QUY TUYN TNH - PHNG PHP OLS ...................... 25

TRN TH TUN ANH - UEH

HNG DN THC HNH STATA 12 2014

Kim nh gi thuyt hai pha...................................................................... 29

Kim nh gi thuyt pha phi.................................................................... 30

Kim nh gi thuyt pha tri ..................................................................... 31

d. Kim nh gi thuyt ng thi lin quan n t hp tuyn tnh cc h s

XUT NHIU KT QU HI QUY DI DNG BNG ........................... 34

CHNG 3 : M RNG HI QUY TUYN TNH ................................................. 36

HI QUY TUYN TNH QUA GC TA ............................................... 36

3.2. DNG HM LOG LOG; DNG HM LOG LIN; DNG HM LIN

DNG HM BC HAI (QUADRATIC MODEL) .......................................... 39

CHNG 4 : HI QUY VI BIN GI ................................................................... 40

GII THIU BIN GI .................................................................................... 40

HI QUY VI BIN GI ................................................................................. 40

HI QUY VI BIN TNG TC ................................................................ 41

To bin gi t bin nh tnh ............................................................................ 43

4.4.1. To bng lnh tabulate ................................................................................. 43

C LNG HM HI QUY THEO TNG NHM................................... 45

TRN TH TUN ANH - UEH

HNG DN THC HNH STATA 12 2014

PHT HIN A CNG TUYN ..................................................................... 48

5.1.1. H s tng quan ......................................................................................... 48

PHT HIN PHNG SAI THAY I ......................................................... 52

6.1.1. th phn d ............................................................................................. 52

X L PHNG SAI THAY I .................................................................. 55

6.2.1. c lng vng ca ma trn hip phng sai ............................................ 55

KIM NH T TNG QUAN .................................................................... 59

7.1.1. th phn d ............................................................................................. 59

X L T TNG QUAN ............................................................................. 62

7.2.1. Ma trn c lng hip phng sai Newey - West..................................... 62

TRN TH TUN ANH - UEH

HNG DN THC HNH STATA 12 2014

CHNG 1 : GII THIU PHN MM STATA 12

1.1. GII THIU GIAO DIN CA STATA 12

Cch 2 : Khi ng bng cch nhp chut kp vi nhng tp tin s liu

Lu : trong mt vi trng hp, h iu hnh cha nhn dng c tp tin *.dta l

: ca s lnh, l ni nhp cc cu lnh cn thc hin

: ca s kt qu, hin th kt qu thc thi cc cu lnh