BI TP THC HNH KINH T LNG.

Nhm sinh vin thc hin:

Nguyn Trng Hong

Nguyn Th Hng
Nguyn Th Huyn
on Th Hng
L Th Hng
Lp CQ 46/ 05.02

H Ni, ngy 15/5/2010

NI DUNG.
Xt mi quan h ca xut khu ( Yi) theo nhp khu (X2i) v u t (X3i) ca Vit
Nam trong giai on 1995-2009
Theo s liu thng k ca Tng cc thng k:
Nm

Yi

X2i

X3i

1995

5448.9

8155.4

4527.938

1996

7255.8

11143.6

5462.125

1997

9185

11592.3

6773.125

1998

9360.3

11499.6

7320.875

1999

11541.4

11742.1

8198.188

2000

14482.7

15636.5

9448.938

2001

15029.2

16217.9

10656.000

2002

16706.7

19745.6

12444.060

2003

20149.3

25255.8

14476.000

2004

26485.0

31969.8

17187.500

2005

32447.1

36761.0

20250.000

2006

39826.2

44891.1

24931.250

2007

48561.35

60830.0

32583.770

2008

62685.13

80714.0

35832.550

I./ Lp m hnh hi quy

Khi nghin cu mi quan h gia nhp khu ca Vit Nam giai on 1995
2009 ph thuc vo nhp khu v u t ta c th thy xu hng ca nhp khu v
u t qua vic xem xt mi quan h gia gi tr trung bnh ca xut khu mi
gi tr ca bin nhp khu v u t.

Ta c hm hi quy nh sau:
PRF Yi = 1 + 2X2i + 3X3i
Trn c s ta c hm hi quy tng th:
PRM Yi = 1 + 2X2i + 3X3i + Ui
Trong :

Yi l bin ph thuc
X2i,X3i l bin c lp
1, 2, 3 l cc h s hi quy
Ui l sai s ngu nhin

II./ Tin hnh hi quy bng phn mm Eview

Vi s liu t mu nu trn bng phn mm Eview ta c lng m hnh v thu
c kt qu:
Dependent Variable: Y
Method: Least Squares
Date: 05/14/10 Time: 22:02
Sample: 1995 2009
Included observations: 15
Variable

Coefficient

Std. Error

t-Statistic

Prob.

X2
X3
C

0.494922
0.628942
-395.9940

0.099106
0.205628
719.3772

4.993844
3.058648
-0.550468

0.0003
0.0099
0.5921

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.995592
0.994857
1346.427
21754385
-127.6886
1.599385

Mean dependent var

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

Thu c R2 =0.995592
Ta c m hnh hi qui mu:
Y= -395.9940 + 0.494922X2i + 0.628942X3i

III.Kim nh cc khuyt tt ca m hnh hi quy

3

25059.87
18775.11
17.42515
17.56676
1355.124
0.000000

1. Kim nh hin tng a cng tuyn bng phng php o o Thiel.

Ln lt hi quy m hnh sau:
Yi = 1 + 2X2i + Vi

(2)

Bng 2:
Dependent Variable: Y
Method: Least Squares
Date: 05/15/10 Time: 14:31
Sample: 1995 2009
Included observations: 15
Variable

Coefficient Std. Error

t-Statistic

Prob.

X2
C

0.794425
903.8458

40.54826
1.214957

0.0000
0.2460

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.992155
0.991552
1725.696
38714338
-132.0116
1.045186

0.019592
743.9325

Mean dependent var

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

25059.87
18775.11
17.86821
17.96262
1644.161
0.000000

Thu c R21 = 0.992155

YI = 1 + 3X3i +Vi (3)
C bng 3:

Dependent Variable: Y
Method: Least Squares
Date: 05/15/10 Time: 13:45
Sample: 1995 2009
Included observations: 15
Variable

Coefficient Std. Error

t-Statistic

Prob.

X3
C

1.643526 0.053462
-2134.823 1061.109

30.74181
-2.011879

0.0000
0.0654

R-squared

0.986431

Mean dependent var

25059.87

Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.985387
2269.607
66964482
-136.1212
2.925703

S.D. dependent var

Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

18775.11
18.41617
18.51057
945.0586
0.000000

Ta thu c R22 = 0.986431

o Theil theo cng thc:
m = R2 [(R2 R21) + (R2 R22) ]
m = 0.982094
Vy vi mc y ngha =0,05 m hnh cho m = 0.982094 m hnh c hin
tng a cng tuyn cao.
Khc phc hin tng a cng tuyn bng phng php sai phn cp 1.
Ta hi qui m hnh c dng :
Yt Yt-1 = 2(X2t - X2t-1) + 3(X3t X3t-1) + Ut Ut-1
Hay: Y*t= 2X*2t + 3X*3t + Vt
Bng phn mm eviews ta thu c kt qu:
Bng 4:
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/15/10 Time: 13:52
Sample (adjusted): 1996 2009
Included observations: 14 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(X2)
D(X3)

0.620760
0.224994

8.948770
1.175181

0.0000
0.2627

R-squared
Adjusted R-squared

0.912878
0.905618

0.069368
0.191455

Mean dependent var

S.D. dependent var

3663.221
4713.811

S.E. of regression
Sum squared resid
Log likelihood

1448.163
25166112
-120.6788

Akaike info criterion

Schwarz criterion
Durbin-Watson stat

17.52554
17.61684
1.974324

Ta thu c R23= 0.912878.

Ta i kim nh hin tng a cng tuyn ca m hnh sai phn cp 1.
kim nh a cng tuyn ca m hnh sai phn cp 1 ta hi qui cc
m hnh sau:
D(Yi) = 2D(X2i) + Zi
Bng phn mm eviews ta thu c bng 5:
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/15/10 Time: 13:57
Sample (adjusted): 1996 2009
Included observations: 14 after adjustments
Variable
Coefficient Std. Error
D(X2)
0.681177 0.047249
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.902851
0.902851
1469.234
28062416
-121.4413

t-Statistic
14.41687

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

Prob.
0.0000
3663.221
4713.811
17.49162
17.53727
1.496924

Thu c R24 = 0.902851

D(Yi) = 3D(X3i) + Zi
Bng phn mm eviews ta thu c bng 6:
Dependent Variable: D(Y)
Method: Least Squares
Date: 05/15/10 Time: 13:57
Sample (adjusted): 1996 2009
Included observations: 14 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(X3)

1.494762

4.369570

0.0008

0.342085

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.331479
0.331479
3854.159
1.93E+08
-134.9431

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

3663.221
4713.811
19.42044
19.46609
2.667505

Thu c R25 = 0.331479

m = R23 ((R23 - R24) + (R23 - R25)) = 0.321452
ta thy m < m => m hnh khc phc c hin tng a cng
tuyn. Ta tin hnh kim nh theo m hnh mi, m hnh ny c coi
nh m hnh ban u:
Yi = 0.620760X2i + 0.224994X3i + Ui
2.Kim nh phng sai sai s thay i bng kim nh White
Bng kim nh eviews ta c kt qu sau:

White Heteroskedasticity Test:

F-statistic
Obs*R-squared

4.559967
10.36362

Probability
Probability

0.028991
0.065564

Test Equation:
Dependent Variable: Y
Method: Least Squares
Date: 05/15/10 Time: 15:42
Sample: 1996 2009
Included observations: 14
Variable

Coefficient Std. Error

t-Statistic

Prob.

-814983.0 1510422.

-0.539573

0.6042

X2
X2^2
X2*X3
X3
X3^2

-1172.500
-0.022951
0.506139
3609.516
-0.956373

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.740258
0.577920
1578744.
1.99E+13
-215.7578
2.495113

734.3860
0.011930
0.303899
2286.750
0.656454

-1.596571
-1.923778
1.665484
1.578448
-1.456879

Mean dependent var

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

0.1490
0.0906
0.1344
0.1531
0.1833
1797579.
2430044.
31.67968
31.95357
4.559967
0.028991

Theo bo co ban u ta c:
R2w = 0.740258 ; 2q/s= 10.36362
Kim nh cp gi thuyt:
Ho: M hnh ban u c phng sai sai s ng u.
H1: M hnh ban u c phng sai sai s khng ng u.
Dng tiu chun kim nh 2
Tiu chun kim nh 2 = n. R2w ~ 2(k- 1) trong k l s cc h s ca m hnh
White.
Min bc b W = { 2 / 2 > 2(k- 1) }
Vi = 0.05 ta c 2(k- 1) = 0.052(5) = 11.0705
Ta thy 2q/s < 0.052(5) => cha c c s bc b gi thuyt Ho. Vy m hnh ban
u c phng sai sai s ng u.
3. Kim nh hin tng t tng quan bng kim nh Breusch Godfrey.
Bng phn mm eviews ta c kt qu sau:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

0.323789
0.000000

Probability
Probability

0.730712
1.000000

Test Equation:
Dependent Variable: Y
Method: Least Squares
Date: 05/15/10 Time: 15:44
Presample missing value lagged residuals set to zero.
Variable

Coefficient Std. Error

t-Statistic

Prob.

X2
X3
RESID(-1)
RESID(-2)

0.062003
-0.082668
0.128473
-0.355915

0.521678
-0.291076
0.297538
-0.803404

0.6133
0.7769
0.7721
0.4404

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

-0.022944
-0.329828
1537.385
23635529
-120.2396

0.118854
0.284008
0.431788
0.443008

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

thu c 2q/s= 0 ; p = 2
kim nh cp gi thuyt:
Ho: M hnh ban u khng c t tng quan bc 2.
H1 : M hnh ban u c t tng quan bc 2.
Tiu chun kim nh: 2 = (n-p) R2 ~ 2(p)
Min bc b W = { 2 / 2 > 2(p) }
Theo bo co ta c: 2q/s= 0 < 0.052(2) = 5,9915.
Do cha c c s bc b gi thuyt Ho.
Kt lun: Mo hnh ban u khng c t tng quan bc 2.
4. Kim nh Ramsey pht hin ch nh sai dng hm.
Bng phn mm eviews ta thu c kt qu sau:
Ramsey RESET Test:
F-statistic

0.863591

Probability

0.450850

383.6595
1333.168
17.74851
17.93110
2.262425

Log likelihood ratio

2.230540

Probability

0.327827

Test Equation:
Dependent Variable: Y
Method: Least Squares
Date: 05/15/10 Time: 16:04
Sample: 1996 2009
Included observations: 14
Variable

Coefficient Std. Error

t-Statistic

Prob.

X2
X3
FITTED^2
FITTED^3

0.817577
-0.134466
4.81E-05
-5.00E-09

4.910981
-0.321168
0.977974
-1.173896

0.0006
0.7547
0.3512
0.2676

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.925709
0.903422
1464.911
21459642
-119.5635

0.166479
0.418677
4.92E-05
4.26E-09

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

3663.221
4713.811
17.65193
17.83452
2.075476

Thu c R26 = 0,925709 Fq/s = 0,863591 vi k=5; p=3

Kim nh cp gi thuyt
Ho : M hnh ban u c dng hm ng.
H1 : M hnh ban u c dng hm sai.
Tiu chun kim nh:
( R62 - R32 ) /( p - 1)
F=
(1 - R62 ) /( n - k )

~ F(p-1;n-k)

Min bc b: W = { F/ F > F (p-1 ; n-k) }

Gi tr thng k quan st: Fq/s =0.863591
Vi =0.05 ; F

( 2,9 )
0.05

=4.1

Ta c Fq/s =0.863591 < F

( 2,9 )
0.05

=4.26

Nn cha c s bc b gi thit Ho.

10

Kt lun : m hnh khc phc c dng hm ng.

5.Kim nh tnh phn phi chun ca sai s ngu nhin bng kim nh JarqueBera
Bng phn mm Eviews ta thu c kt qu:
6

Series: Residuals
Sample 1996 2009
Observations 14

5
4
3
2
1
0
-2000

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

383.6595
231.1136
2298.871
-2880.852
1333.168
-0.818726
3.634414

Jarque-Bera
Probability

1.798843
0.406805

2000

Thu c : JBq/s = 1.798843 ; S= -0.818726 ; K=3.634414

Kim dnh cp gi thit:
Ho : Sai s ngu nhin c phn phi chun.
H1 : sai s ngu nhin khng c phn phi chun.
Tiu chun kim nh:
JB = n.(

S 2 ( K _ 3) 2

6
24

) vi S l h s bt i xng; K l h s nhn.

Min bc b gi thuyt W = { JB / JB > 2(2)}

T kt qu thu c JBq/s = 1.798843< 0.052(2) =5.9915 nn cha c c s bc b gi
thuyt Ho.

11

Vy c th kt lun m hnh sau khi khc phc c sai s ngu nhin tun theo
qui lut phn phi chun.

III. Phn tch v kt lun v tnh qui lut trong s thay i

cc gi tr ca cc bin kinh t trong m hnh hi qui.
1. ngha ca cc h s hi qui.
2 = 0.620760 : nhp khu tng hoc gim 1 (triu USD) trong iu kin u t

khng i th xut khu tng hoc gim 0,620760 (triu USD).

3 = 0.224994 : u t tng hoc gim 1 (triu USD) trong iu kin nhp khu

khng i th xut khu tng hoc gim 0.224994 (triu USD).

2 >0 ; 3 >0 cho thy nhp khu v u t nh hng cng chiu ti s bin

ng ca gi tr xut khu. iu ny hon ton ph hp vi l thuyt kinh t.

R2 = 0,912878 cho thy : nhp khu v u t gii thch c 91,2878% s thay
i ca xut khu.
2. Khong tin cy ca cc h s hi qui.
a. 2.
Nu gi tr nhp khu tng 1 triu USD vi iu kin u t khng i th gi tr
xut khu trung bnh hng nm s thay i:
tng trong khong: ta tm khong tin cy i xng.
^

( nk )
2
- Se( ).t
/2

( nk )
+ Se( ).t
/2

Theo kt qu thu c t eviews ta c:

0.4681 2 0.7734

12

Vy nu gi tr nhp khu tng (hoc gim) 1 triu USD vi iu kin u t

khng i th xut khu s tng (hoc gim) trong khong t 0.4681 triu USD n
0.7734 triu USD.
tng ti a: ta tm khong tin cy bn tri.
2

( nk )
+ Se( ).t

Theo kt qu thu c t eviews ta c:

2 0.74534. Nh vy nu gi tr nhp khu tng (gim) 1 triu USD trong iu

kin u t khng thay i th xut khu tng (gim) ti a 0.74534 triu USD.
Tng ti thiu: ta tm khong tin cy bn phi.
^

( nk )
2
- Se( ).t

Theo kt qu thu c t eviews ta c:

0.19617 2 . Nh vy nu gi tr nhp khu tng (gim) 1 triu USD trong iu
kin u t khng thay i th xut khu tng (gim) ti thiu 0.19617 triu USD.

b. 3.
Nu gi tr u t tng 1 triu USD vi iu kin nhp khu khng i th gi tr
xut khu trung bnh hng nm s thay i:
tng trong khong: ta tm khong tin cy i xng.
^

3 - Se( 3 ).t

( nk )
/ 2

3 + Se( 3 ).t

( nk )

/ 2

Theo kt qu thu c t eviews ta c:

13

-0.196398 3 0.646386
Vy nu gi tr u t tng (hoc gim) 1 triu USD vi iu kin nhp khu
khng i th xut khu s tng (hoc gim) trong khong t -0.196398 triu USD
n 0.646386 triu USD.
tng ti a: ta tm khong tin cy bn tri.
3

( nk )
+ Se( ).t

Theo kt qu thu c t eviews ta c:

3 0.568847. Nh vy nu gi tr u t tng (gim) 1 triu USD trong iu

kin nhp khu khng thay i th xut khu tng (gim) ti a 0.568847 triu
USD.
Tng ti thiu: ta tm khong tin cy bn phi.
^

( nk )
3
- Se( ).t
/2

Theo kt qu thu c t eviews ta c:

-0.118859 3 . Nh vy nu gi tr u t tng (gim) 1 triu USD trong iu
kin nhp khu khng thay i th xut khu tng (gim) ti thiu -0.118859 triu
USD.
c. s bin ng gi tr ca bin ph thuc o bng phng sai do cc yu t ngu
nhin gy ra.
Ta tm khong tin cy i xng ca 2:
^
2

(n k )

2 (/n2k )

^
2

(n k )

12(n / k2 )
14

Theo kt qu ca bo co eviews ta c:
1052415 2 6042944
Vy khi phng sai sai s ngu nhin thay i 1% th xut khu s thay i trong
khong 1052415 n 6042944 triu USD.
Ta tm khong tin cy bn tri:
2

^
2

(n k )

12(n k )

Theo kt qu ca bo co ta c:
2 5042611

Vy khi phng sai sai s ngu nhin thay i 1% th xut khu s thay i ti a
5042611 triu USD.
Ta tm khong tin cy bn phi:
^
2

(n k )

2 ( n k )

Theo kt qu ca bo co ta c:
1172494 2
Vy khi phng sai sai s ngu nhin thay i 1% th xut khu s thay i ti
thiu 1172494 triu USD.
Kt lun:
M hnh nghin cu s ph thuc ca xut khu vo nhp khu v u t Vit
Nam. Vi cc kt qu kim nh thu c c th cho thy m hnh sau khi khc

15

phc hon ton ph hp vi l thuyt kinh t v c th s dng m hnh ny d

bo cho cc nm tip theo.
Xin chn thnh cm n!!!

16