H tn: Nguyn

Lp

Hng Phc

: K43/05.01

BO CO THC HNH KINH T LNG

Vn nghin cu:
Tc ng ca Xut khu, u t trc tip nc ngoi n Nhp
khu.
Ton cu ho v hi nhp Kinh t Quc T l xu th tt yu ca tt c
cc quc gia trn th gii hin nay.Vi vic gia nhp cc t chc kinh t
th gii v c bit vi vic tr thnh thnh vin chnh thc ca t chc
Thng mi th gii WTO. Vit Nam v ang tch cc ch ng tham
gia vo xu th ny. WTO l t chc thng mi ln nht hnh tinh chim
ti gn 90% giao dch thng mi th gii, gia nhp WTO l tham gia
vo sn chi chung ca th trng th gii, y mnh xc tin thng mi
v xc tin u t.
Hi nhp vng chc vo quan h kinh t quc t, Vit Nam c c hi
m rng xut khu cc mt hng m t nc c th mnh. Nh c xut
khu tng cao to iu kin gia tng lng ngoi t cho nhp khu, thc
y s gia tng ca nhp khu.
Cng vi s gia tng ca thng mi quc t, u t trc tip nc
ngoi FDI cng tng mnh, to ra nhiu ngnh ngh v sn phm mi
lm phong ph a dng hn th trng trong nc, tng sc cnh tranh
ca sn phm hng ho trong nc, gim thiu nhp khu hng ho t
nc ngoi. Gp phn ci thin cn cn thanh ton quc t.
Nh vy vic hiu r v nh gi thc t nhp khu, xut khu v u
t trc tip nc ngoi FDI Vit Nam trong bi cnh hin nay ca nn
kinh t l ht sc cn thit.

Ta c s liu v nhp khu, xut khu v u t trc tip nc

ngoi cua Vit Nam thi k 1992 2006 nh sau:
(n v: t USD)
Nm
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006

IM
2580.7
3756.6
4649.1
7202.6
7411.3
11360.3
11499.6
11742
16748.2
18624.3
19733
25255.8
34675.3
36978
44410

EX
2056.2
2895.2
4054.3
6923.6
7255.9
9185
9360.3
11541.4
14482.7
15027
16705
18423.5
26485
32419.9
42034.6

FDI
2165
2900
3765.6
6530.8
8497.3
4649.1
3897
1568
2012.4
2535.5
1557.7
1914
2222
3896.2
7565.6

Ngun s liu: thi bo kinh t Vit Nam 2005-2006

Trang web Tng cc Thng k.
Trong : IM l nhp khu, EX la xut khu, FDI l u t trc tip nc
ngoi.
1.Lp m hnh biu din mi quan h gia nhp khu, xut khu v
u T trc tip nc ngoi:
Nghin cu s ph thuc ca nhp khu ( IM ) vi xut khu ( EX ) v
t trc tip nc ngoi ta xy dng c hm hi quy tng th sau:
PRF: E( IMI/ EXI, FDII ) = 1 + 2EXI + 3FDII
Trong IM l bin ph thuc, EX v FDI l bin c lp.
Ta c m hnh hi quy tng th nh sau:
PRM: IMI = 1 + 2EXI + 3FDII + UI
2.Vi s liu t mu nu trn bng phn mm Eviews ta c lng
m hnh v thu c kt qu nh sau:

Bo co 1:
Dependent Variable: IM
Method: Least Squares
Date: 11/25/07 Time: 20:18
Sample: 1992 2006
Included observations: 15
Variable

Coefficient Std. Error

t-Statistic

Prob.

EX
FDI
C

1.139836 0.042066
-0.498972 0.216297
2330.337 1042.398

27.09623
-2.306883
2.235554

0.0000
0.0397
0.0452

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

0.983979
0.981309
1772.976
37721310
-131.8167
1.350020

Mean dependent var

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

17108.45
12968.33
17.97556
18.11717
368.5075
0.000000

T bng trn ta c m hnh hi quy nhp khu ( IM ) theo xut khu ( EX

) v u t trc tip nc ngoi ( FDI ) nh sau:
IMI =2330.337 + 1.139836 EXI - 0.498972 FDII + eI (1)

3. Kim nh cc khuyt tt ca m hnh:

3.1. Kim nh s bng 0 ca cc h s hi quy:
-i vi 2:
Kim nh cp gi thuyt:
H0 : 2 = 0.
H1 : 2 0.

Tiu chun kim nh: T= 2 /SE( 2 ) ~ T( N-3).

MIN BC B GI THUYT: W = {T/ |tQS| > T0.025(N-3)}.
T kt qu bo co 1 ta c TQS = 27.09623;
VI N= 15 v mc NGHA = 0.05 ta c T0.025(N-3) = T0.025(12) =
2,1790.
Ta thy |tqs| > t0,025(12) nn TQS W tc bc b gi thyt H0, chp
nhn H1 hay khng nh xut khu EX c tc ng n FDI.
-i vi 3:
Kim nh cp gi thuyt
H0 : 3= 0.
H1: 3 0.

Tiu chun kim nh: T= 3 /SE( 3 ) ~ T( N-3).

MIN BC B GI THUYT: W = { T/ |tQS| > T0.025(N-3)}
T kt qu bo co 1 ta c: TQS = -2.306883;
VI mc ngha = 0.05 v n= 15 TA C T0,025(N-3) = T0.025(12) =
2.1790.
TA TH Y |TQS| > T0.025(12) nn TQS W t c bC B H0, CHP
NHN H1 HAY khng nh nhp khu c tc ng n GDP.

3.2. Kim nh s ph hp ca dng hm bng kim nh Ramsey:

Xt m hnh: IMI = 1 + 2EXI + 3FDII + UI
c Lng m hnh trn thu c IMi^ v tnh c IMI^2
c lng m hnh
IMI = 1 + 2EXT + 3FDIT + 4IMT^2 + VT
Bng phn mm Eviews ta thu c bng bo co sau:
Bo co 2:
Ramsey RESET Test:
F-statistic
Log likelihood ratio

2.767326
3.366042

Probability
Probability

0.124404
0.066553

Test Equation:
Dependent Variable: IM
Method: Least Squares
Date: 11/25/07 Time: 20:22
Sample: 1992 2006
Included observations: 15
Variable

Coefficient Std. Error

t-Statistic

Prob.

EX
FDI
C
FITTED^2

1.438730
-0.361609
31.01328
-5.75E-06

7.822719
-1.657483
0.018346
-1.663528

0.0000
0.1256
0.9857
0.1244

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

0.987199
0.983708
1655.269
30139070
-130.1337
1.368586

0.183917
0.218167
1690.436
3.46E-06

Mean dependent var

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

17108.45
12968.33
17.88449
18.07331
282.7759
0.000000

Thu c R2 =0.987199
Kim nh cp gi thuyt:
Ho: M hnh ch nh ng.
H1: M hnh ch nh ng.
- Tiu chun kim nh F - kim nh s thu hp ca hm hi qui:
F=[( R22 R12 )/1]/ [( 1- R22)/n-4] ~ F(1; n-4)
- Min bc b: W = {F: F > F 0.05 (1;n-4)}
T bng bo co trn ta c Fqs = 2.767326

Vi mc ngha = 0.05, n=15 ta c gi tr ti hn F 0.05 (1,11) = 4.64

Fqs < F 0.05 (1,11)
Cha c c s bc b gi thuyt Ho. Vy m hnh c dng hm ng.
3.3. Kim nh hin tng phng sai sai s thay i bng kim nh
White:
Hi quy m hnh: IMI = 1 + 2EXI + 3FDII + UI
Tm c cc phn d ei => e2i
Hi quy m hnh :
e2i =1 + 2EXI +3FDII + 4EX I2 + 5 FDII2 + 6 EXI *FDII + VI
TA c bng sau:
Bo co 3:
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

1.343616
6.411165

Probability
Probability

0.329312
0.268240

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/25/07 Time: 20:55
Sample: 1992 2006
Included observations: 15
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
EX
EX^2
EX*FDI
FDI
FDI^2

7903873.
116.1680
0.004649
-0.034006
-3516.383
0.347286

1.348714
0.307003
0.301637
-0.490724
-1.522495
1.500643

0.2104
0.7658
0.7698
0.6354
0.1622
0.1677

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

0.427411
0.109306
3453502.
1.07E+14
-243.2764
2.207575

5860304.
378.3929
0.015414
0.069297
2309.619
0.231425

Mean dependent var

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

2514754.
3659278.
33.23685
33.52007
1.343616
0.329312

Thu c R22=0.412090
- kim nh hin tng phng sai sai s thay i trong m hnh hi
quy ban u ta i kim nh cp gi thuyt sau:
H0 : M hnh c phng sai sai s ng u.

H1 : M hnh c phng sai sai s thay i.

- Tiu chun kim nh : 2 =n R 22 ~ 2 (5)
- Min bc b :W ={ 2 : 2 > 2 (5)}
2
T kt qu bo co trn ta c: qs = NR 22 = 6.411165
Vi mc ngha = 0.05, ta c gi tr ti hn 2 0.05(5) = 11.0705
2
=> qs < 2 0.05(5)
Cha c c s bc b gi thuyt H0. Vy m hnh c phng sai sai s
ng u.
3.4.Kim nh phn phi chun ca sai s ngu nhin U bng kim nh
Jarque Bera.
Bng phn mm Eviews ta thu c kt qu sau:
Bo co 4
5

Series: Residuals
Sample 1992 2006
Observations 15

4
3
2
1
0
-2000

2000

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

-1.55e-12
-361.6051
3265.128
-2961.250
1641.456
0.382773
2.976226

Jarque-Bera
Probability

0.366642
0.832501

4000

Kim nh cp gi thuyt:
H0: Sai s ngu nhin U c phn phi chun.
H1: Sai s ngu nhin U khng c phn phi chun.
- Tiu chun kim nh:
JB= n(

S 2 (k S ) 2
+
) ~ 2( 2)
6
24

- Min bc b: W ={JB, JB > 2 (2)}

T kt qu bo co trn ta c JBqs = 0.366642

2( 2 )
2( 2 )
Vi mc ngha = 0.05, ta c 0.05 =5.99147 => JBqs < 0.05 nn

cha c c s bc b gi thuyt Ho. Vy sai s ngu nhin c phn

phi chun.

3.5. Kim nh hin tng t tng quan bng kim nh Breusch

Godfrey.
Hi quy m hnh: IMt = 1 + 2EXt + 3FDIt + Ut
Thu c et v et+1
Hi quy m hnh: et = 1 + 2EXt + 3FDIt + 4et-1 + 5et-2 + Vt
Bng phn mm Eviews ta thu c kt qu sau:
Bo co 5:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

2.070266
4.392196

Probability
Probability

0.176877
0.111236

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/25/07 Time: 21:27
Presample missing value lagged residuals set to zero.
Variable

Coefficient Std. Error

t-Statistic

Prob.

EX
FDI
C
RESID(-1)
RESID(-2)

0.025581
0.089523
-658.2300
0.373313
-0.610628

0.535202
0.434117
-0.601905
1.229047
-1.716563

0.6042
0.6734
0.5606
0.2472
0.1168

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

0.292813
0.009938
1633.279
26676018
-129.2183
2.098341

0.047796
0.206220
1093.577
0.303742
0.355727

Mean dependent var

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

-1.55E-12
1641.456
17.89577
18.13179
1.035133
0.435836

Ta thu c m hnh:
et = -658.2300+ 0.025581EXt + 0.089523FDIt + 0.373313et-1 - 0.610628et-2
+ Vt
v R22 =0.292813
- kim nh hin tng t tng quan trong m hnh hi quy ban u
ta tin hnh kim nh cp gi thuyt sau:
Ho : M hnh khng c t tng quan
H1: M hnh c t tng quan
2
- Tiu chun kim nh : 2 =(n-2) Re ~ 2 (2)
2
- Min bc b: W ={ 2 : 2 > 2 (2)} Gi tr thng k quan st : qs =
4.392196
2( 2 )
Gi tr ti hn: 0.05 =5.99147

=> qs = 4.392196 < 5.99147 qs W cha c c s bc b gi

thuyt Ho.Vy vi mc ngha = 0.05 m hnh khng c t tng
quan.
3.6. Kim nh a cng tuyn bng phng phap hi quy ph:
2

Hi quy m hnh EXi =1 + 2FDIi + Vi

Bng phn mm Eviews ta thu c kt qu sau:
Bo co 6:
Dependent Variable: EX
Method: Least Squares
Date: 11/25/07 Time: 21:59
Sample: 1992 2006
Included observations: 15
Variable

Coefficient Std. Error

t-Statistic

Prob.

FDI
C

0.752394
11797.28

0.533335
1.951939

0.6028
0.0728

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

0.021412
-0.053864
11689.55
1.78E+09
-160.7076
0.104967

1.410735
6043.875

Mean dependent var

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

14589.97
11386.90
21.69434
21.78875
0.284446
0.602801

Kim nh cp gi thuyt:
H0: EXi khng c a cng tuyn vi FDIi
H1: EXi khng c a cng tuyn vi FDIi
- Tiu chun kim nh: Ta s dng tiu chun kim nh F - kim nh
s ph hp ca hm hi qui.
R22 /(k 2)
F=
~ F(k-2; n-k+1)
(1 R22 ) /( n k + 1)

- Min bc b gi thuyt: W = {F: F > F 0.05 (k-2;n-k+1)}

Da vo bng trn ta thy, gi tr Fqs = 0.284446
Vi mc ngha =0.05, n=15 c gi tr ti hn F0.05(1, 13) = 4.67
Ta thy Fqs < F0.05(1,13) => Fqs W => cha c c s bc b gi
thuyt Ho

Vy, vi mc ngha =0.05 m hnh cho khng c hin tng a

cng tuyn.

4. Phn tch da vo kt qu c lng:

4.1 Khi mt bin c lp thay i mt n v th bin ph thuc thay i
nh th no?
T m hnh hi quy (1): IMi =2330.337 + 1.139836 EXi - 0.498972 FDIi
+ ei

Ta c : 2 =1.139836 cho ta bit nu xut khu EX tng 1 t USD th

nhp khu IM s tng trung bnh 1.139836 t USD khi u t trc tip
nc ngoi FDI khng i.

3 =- 0.498972 cho ta bit khi u t trc tip nc ngoai FDI

tng 1 t th nhp khu IM s gim trung bnh 0.498972 t USD khi xut
khu EX khng i.
Ta c th thy kt qu thu c trn l hon ton ph hp vi l thuyt
kinh t.
4.2 Nu gi tr ca 1 bin c lp thay i 1 n v th bin ph thuc
thay i ti a bao nhiu?
Khi EX tng 1 t USD Khong tin cy bn tri vi tin cy 0.05 ca

2 l:
2 2 +Se( 2 )t0.05(12)
Thay s vo ta c: 2 1.139836 + 0.042066*1.7820 = 1.214798
Vy khi EX tng 1t USD th IM tng ti a 1.214798 t USD.
Khi FDI gim 1t USD Khong tin cy bn phi vi tin cy 0.05

(12)
ca 3 l:
3 -Se( 3 )t0.05 3
Thay s vo ta c:

(12)
= - 0.498972 - 0.216297*1.7820 = - 0.884413
3 -Se( 3 )t0.05

=> - 0.884413 3
Vy khi FDI gim 1t USD th IM tng ti a l: 0.884413 t USD
4.3 Nu 1 bin c lp thay i 1 n v th bin ph thuc thay i ti
thiu l bao nhiu?
Khi EX gim 1t USD Khong tin cy bn phi vi tin cy 0.05

(12)
ca 2 l:
2 -Se( 2 )t0.05 2
Thay s vo ta c:

(12)
= 1.139836 - 0.042066*1.7820 = 1.064874
2 -Se( 2 )t0.05
=> 1.064874

Vy khi EX gim 1t USD th IM gim ti thiu l: 1.064874t USD.

Khi FDI tng 1t USD Khong tin cy bn tri vi tin cy 0.05
ca 3 l:

3 3 +Se( 3 )t0.05(12)

Thay s vo ta c: 3 - 0.498972 + 0.216297*1.7820 = - 0.11353

Vy khi FDI tng ln 1t USD th IM gim ti thiu l: 0.11353 t USD
4.4 S bin ng gi tr ca bin ph thuc o bng phng sai do cc
yu t ngu nhin gy ra l bao nhiu?
tr li cho cu hi ny ta i tm khong tin cy hai pha vi tin cy
0.05 ca 2
Chn i lng thng k:

2 = (n-3)* 2 /

~ 2(n-3)

Vi tin cy :

P{(n-3)* 2 /

/2

Theo bo co 1 :

(n-3) 2 (n-3)* 2 /

(n-3)} = 1-

1- /2

^ = 1772.976 2 = (1772.976)2 = 3143443.897

Vi tin cy 0.05 tng ng vi mc ngha =0.95 v n= 15 ta c:

20.975(n-3) = 20.975(12) =4.40379
20.025(n-3) = 20.025(12) =23.3367
Khong tin cy ca 2 l:
(12* 3143443.897/ 23.3367) 2 (12 *3143443.897 /
4.40379)
hay 1616395.067 2 8565650.67
Vy gi tr ca IM o bng phng sai do cc yu t ngu nhin gy
ra bin ng mt lng trong khong 1616395.067 2 8565650.67
5. Kt lun:
Qua cc c lng v kim nh ta c kt lun: M hnh hi quy
l ph hp vi l thuyt kinh t, khng mc phi cc khuyt tt (t tng
quan, phng sai sai s thay i, a cng tuyn, b st bin thch hp),
v vy c th kng nh m hnh hi quy nhp khu IM theo xut khu
EX v u t trc tip nc ngoi FDI l mt m hnh tt.