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lng
B TI CHNH
HC VIN TI CHNH
Nguyn Chiu.
Nguyn Phng.
ng Bch.
Phm Ngc.
By Econometric Group
B mn kinh t lng
lng
BO CO
THC HNH KINH T LNG
Vn nghin cu
S ph thuc ca nhp khu vo tng thu nhp quc dn v t gi hi
oi ca Hn Quc t nm 1992 n nm 2007.
C s l lun
Cn cn thng mi l mt trong nhng ch tiu quan trng m m i
quc gia u quan tm, c bit trong nn kinh t m ca h i nh p qu c
t. Cn cn thng mi c quyt nh bi 2 nhn t quan trng l xu t
khu v nhp khu. Trong nhng nm va qua Hn Quc khng ngng
ch trng tng xut nhp khu thc y kinh t pht trin m t khc
Hn Quc l mt quc gia c t gi hi oi th ni V vy m nhm em
quyt nh la chn nghin cu mc nh hng ca tng thu nh p qu c
dn v t gi hi oi ti nhp khu. T gip cc nh ho ch nh a
ra nhng quyt nh kinh t ph hp.
Da trn c s thu thp s liu v nhp khu, tng thu nh p qu c
dn v t gi hi oi ca Hn Quc t nm 1992 n nm 2007:
By Econometric Group
B mn kinh t lng
lng
Nm
X2
X3
1992
81775
257525
780.7
1993
83800
290676
802.7
1994
102348
340208
803.4
1995
135119
398838
771.3
1996
150339
448596
804.5
1997
144616
491135
951.3
1998
93282
484103
1401.4
1999
119752
529500
1188.8
2000
160481
603236
1131.0
2001
141098
651415
1291.0
2002
152126
720539
1251.1
2003
178827
767114
1191.6
2004
224463
826893
1145.3
2005
261238
865241
1024.1
2006
309383
908744
954.8
2007
356846
975013
929.3
X2 Tng thu
nhp quc ni (vt: t Won)
X3 l T gi hi oi
Won Hn Quc/ 1 la M (Won/1
USD) (vt: Won)
Ngun: Ngn hng pht trin chu
ADB.
http://www.adb.org/Documents/Books/Key_Indicators/2009/pdf/kor.pdf
By Econometric Group
B mn kinh t lng
lng
I. M hnh hi quy
T nhng kin thc h c c nghin c u mn kinh t
hc v m v kinh t hc vi m, chng ta bit rng t ng thu nh p
quc dn v t gi hi oi l 2 nhn t c quy t nh quan tr ng n
nhp khu. T l thuyt kinh t ta c:
eu
Y=
Ly log 2 v ta c :
X2i) +
log(X3i) + Ui
Trong : Yi l gi tr quan st k th i.
Ui l yu t ngu nhin.
By Econometric Group
B mn kinh t lng
lng
SRM:log(
log(X2i) +
log(X3i) + ei
Trong :
l cc c lng im ca cc h s hi
quy tng th; ei l c lng im ca Ui.
Ta th y m hnh trn l tuy n tnh nn c th s d ng ph ng php bnh
phng nh nht. Vi s liu bng s liu, bng Eviews thu c kt qu:
Bo co 1.
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 06/01/11 Time: 10:10
Sample: 1992 2007
Included observations: 16
Variable
t-Statistic
Prob.
LOG(X2)
LOG(X3)
C
1.263886
-1.133685
3.063610
0.036437
0.074919
0.473144
34.68725
-15.13217
6.475004
0.0000
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.989521
0.987908
0.048513
0.030596
27.37277
1.435805
11.93930
0.441182
-3.046596
-2.901736
613.7603
0.000000
By Econometric Group
B mn kinh t lng
lng
T kt qu bng Eviews ta c:
=3.063610,
=1.263886,
= -1.133685
Ta c hm hi quy mu:
log(
=0
H1:
Min bc b:
Ta c:
= {t:
0
>
= 34.68725.
Vi tin cy l 1- = 0.95 ta c:
6
}.
= 2.16.
By Econometric Group
B mn kinh t lng
lng
Ta c:
Ta kim nh cp gi thuyt:
H0:
H1:
Min bc b: W = {t:
=0
0
>
}
= 15.13217
Vi tin cy l 1- = 0.95 ta c:
= 2.16
Ta c:
b. Kim nh s ph hp ca hm hi quy
Ta kim nh cp gi thuyt:
H0: R2 = 0 ( hm hi quy khng ph hp)
H1 : R2
0 ( hm hi quy ph hp)
By Econometric Group
B mn kinh t lng
lng
2.020656
2.490001
Prob. F(1,12)
Prob. Chi-Square(1)
0.180637
0.114572
Test Equation:
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 06/01/11 Time: 10:14
Sample: 1992 2007
Included observations: 16
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(X2)
LOG(X3)
C
FITTED^2
-1.455346
1.332656
9.186797
0.089572
1.913257
1.736529
4.331586
0.063013
-0.760665
0.767425
2.120885
1.421498
0.4615
0.4577
0.0554
0.1806
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.991031
0.988789
0.046714
0.026187
28.61777
1.576337
11.93930
0.441182
-3.077221
-2.884074
441.9721
0.000000
Kim nh cp gi thuyt
8
By Econometric Group
B mn kinh t lng
lng
F(1;n-4)
By Econometric Group
B mn kinh t lng
lng
Bo co 3.
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
0.663730
0.838590
Prob. F(1,12)
Prob. Chi-Square(1)
0.431118
0.359800
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/01/11 Time: 10:16
Sample: 1992 2007
Included observations: 16
Presample missing value lagged residuals set to zero.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(X2)
LOG(X3)
C
RESID(-1)
0.008233
-0.018788
0.021653
0.248110
0.038276
0.079333
0.480121
0.304543
0.215110
-0.236823
0.045099
0.814696
0.8333
0.8168
0.9648
0.4311
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.052412
-0.184485
0.049153
0.028992
27.80345
1.792997
T bo co ta thu c:
-2.44E-15
0.045163
-2.975432
-2.782284
0.221243
0.879787
= 0.838590
Kim nh cp gi thuyt:
H0: m hnh khng c hin tng t tng quan.
H1: m hnh c hin tng t tng quan.
10
By Econometric Group
B mn kinh t lng
lng
= (n-2)R2
Min bc b gi thuyt: W = {
Vi tin cy 1- = 0.95 ta c:
<
(p)
>
(p)}
= 3.84146
Bo co 4:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
0.713442
1.837159
Prob. F(2,11)
Prob. Chi-Square(2)
0.511290
0.399086
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/01/11 Time: 00:33
Sample: 1992 2007
Included observations: 16
Presample missing value lagged residuals set to zero.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(X2)
LOG(X3)
C
RESID(-1)
RESID(-2)
-0.000761
-0.000485
0.013124
0.277021
-0.275289
0.039965
0.082738
0.484772
0.309179
0.312593
-0.019034
-0.005865
0.027072
0.895989
-0.880664
0.9852
0.9954
0.9789
0.3894
0.3973
R-squared
Adjusted R-squared
11
0.114822
-0.207060
-2.44E-15
0.045163
By Econometric Group
B mn kinh t lng
lng
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.049619
0.027083
28.34851
1.881212
Theo bo co ta c:
-2.918563
-2.677129
0.356721
0.834181
= 1.837159; p = 2.
Kim nh cp gi thuyt:
H0: m hnh khng c hin tng t tng quan.
H1: m hnh c hin tng t tng quan.
Tiu chun kim nh: :
= (n-2)R2
Min bc b gi thuyt: W = {
Vi tin cy 1- = 0.95 ta c:
Suy ra
<
(p)
>
(p)}
= 5.99147
+ 3
+ 4
+ 5
+ 6
12
0.704739
4.168912
Prob. F(5,10)
Prob. Chi-Square(5)
0.632952
0.525362
By Econometric Group
B mn kinh t lng
lng
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 06/01/11 Time: 00:34
Sample: 1992 2007
Included observations: 16
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
LOG(X2)
(LOG(X2))^2
(LOG(X2))*(LOG(X3))
LOG(X3)
(LOG(X3))^2
1.651520
-0.145750
0.000461
0.019407
-0.206674
-0.003119
2.035678
0.135255
0.005497
0.016877
0.500153
0.031482
0.811287
-1.077590
0.083852
1.149920
-0.413222
-0.099078
0.4361
0.3065
0.9348
0.2769
0.6882
0.9230
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Ta thu c
0.260557
-0.109164
0.002495
6.23E-05
76.94973
2.842167
= 0.260557;
0.001912
0.002369
-8.868717
-8.578996
0.704739
0.632952
=4.168912
Kim nh cp gi thuyt:
: M hnh c phng sai sai s ng u.
: M hnh c phng sai sai s khng ng u.
Dng tiu chun kim nh:
=nR2 ~
={
>
, ta c
}
=4.168912<
= 11.0705
By Econometric Group
B mn kinh t lng
lng
Hi quy m hnh :
Log (Yi) =
+ log(X2) + Vi
Bng phn mm Eviews ta c:
Bo co 6:
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 06/01/11 Time: 00:46
Sample: 1992 2007
Included observations: 16
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(X2)
C
0.958131
-0.732092
0.126058
1.667895
7.600711
-0.438932
0.0000
0.6674
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
14
0.804935
0.791001
0.201692
0.569516
3.981437
0.677603
11.93930
0.441182
-0.247680
-0.151106
57.77081
0.000002
By Econometric Group
B mn kinh t lng
lng
Hi quy m hnh:
log(Yi) =
+ log(X3) + Vi
Bng phn mm Eviews ta c:
Bo co 7:
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 06/01/11 Time: 00:49
Sample: 1992 2007
Included observations: 16
Variable
Coefficient
Std. Error
t-Statistic
Prob.
LOG(X3)
C
0.307421
9.813506
0.581079
4.019710
0.529052
2.441347
0.6051
0.0285
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.019601
-0.050428
0.452169
2.862391
-8.935564
0.298926
) + ( R2 -
= 0.804935 ;
11.93930
0.441182
1.366945
1.463519
0.279896
0.605057
= 0.019601
m = -0.164985 ~ 0
15
By Econometric Group
B mn kinh t lng
lng
e.
Series: Residuals
Sample 1992 2007
Observations 16
5
4
3
2
1
0
-0.10
-0.05
-0.00
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-2.44e-15
-0.002957
0.070693
-0.092942
0.045163
-0.401117
2.439378
Jarque-Bera
Probability
0.638583
0.726664
0.05
(
K
3)
S
~
Tiu chun kim nh: JB = n +
6
24
2(2)
S l h s nhn, K l h s bt i xng.
Min bc b W = { JB: JB >
Vi
= 0.05 ta c
= 5.9915
= 5.9915
16
By Econometric Group
B mn kinh t lng
lng
u c ngha kinh t.
- Se(
Trong Se(
1.18518208
) =0.036437 ;
+ Se(
=2.16
1.34258992
17
By Econometric Group
B mn kinh t lng
lng
b) Tng ti thiu:
- Se(
Thay s ta c
1.199356
c) Tng ti a:
+ Se(
Thay s ta c:
1.328416%
- Se(
Trong Se(
18
-1.29551
) =0.074919;
+ Se(
=2.16
-0.97186
By Econometric Group
B mn kinh t lng
lng
b)
Gim ti thiu:
+ Se(
Thay s ta c
-1.0095
c)
Gim ti a:
- Se(
Thay s ta c:
)
- 1.26642
19
Tm khong tin cy ca
By Econometric Group
B mn kinh t lng
lng
Trong
= 0.0485132;
(16-3) = 24.7256 ;
(16-3)= 5.0088.
Thay s vo ta c:
0.0012374
0.00610845
b)
Thay s ta c kt qu
0.00519289
By Econometric Group
B mn kinh t lng
lng
V. D bo v ngha.
1)D bo.
a) D bo gi tr trung bnh ca nhp khu.
400000
Forecast: YF
Actual: Y
Forecast sample: 1992 2007
Included observations: 16
350000
300000
250000
200000
150000
100000
50000
1992
1994
1996
1998
2000
2002
2004
7244.010
5603.044
3.534735
0.019582
0.003255
0.109621
0.887124
2006
YF
21
By Econometric Group
B mn kinh t lng
lng
YF
77625.21
87657.23
106838.2
136797
151307.2
140302.4
88799.97
119844.8
149527.8
141825
166942.8
190958.5
219604.1
263994.2
304101.7
342754
Nhn xt: qua so snh s liu thc t v s liu d bo, ta thy s liu
d bo gn vi s liu thc t nn ta c th dung m hnh ny d bo
cho tng lai.
22
By Econometric Group
B mn kinh t lng
lng
X3
1242.3
1021.5
989.7
Forecast: YF
Actual: Y
Forecast sample: 1992 2010
Included observations: 16
400000
300000
200000
100000
7244.010
5603.044
3.534735
0.019582
0.003255
0.109621
0.887124
0
92
94
96
98
00
02
04
06
08
10
YF
23
By Econometric Group
B mn kinh t lng
lng
2) ngha.
Vic xy dng m hnh ny l gip cc nh hoch nh chnh sch
thng mi xut nhp khu a ra nhng quyt nh chnh xc nht
mang lai hiu qu nht cho quc gia. Mt khc, t m hnh trn ta cng c
th thy mc nh hng ca nhn t tng sn ph m quc ni, t gi
hi oi v nhng nhn t khc c nh hng n nhp khuca Hn
Quc.
Tng sn phm quc ni tc ng rt mnh n nhp khu t nhng
chi tiu chnh ph, chi tiu h nh... Nh vy, chnh ph cn khuy n
khch ngi dn tiu dng hng ni gim mc nh h ng ca tng
sn phm quc ni n nhp khu. Nhng, do khng th gim nhp
khu bng cch gim tng sn phm quc ni nn cn ch n vic
iu chnh hp l t gi hi oi cho ph hp, nu cn thi t c th s
dng chnh sch bo h mu dch...
24
By Econometric Group