Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Kinh t lng ng dng

Bi tp s 2

KINH T LNG NG DNG

BI TP 2
PHN TCH S LIU CHUI THI GIAN, HI QUI GI &
M HNH KINH T LNG NG V KIM NH GRANGER
P N GI

Cu 1 (40 im): (p n cu ny ly s liu nm 2007 minh ho)

Anh/Ch hy vo cc website c lin quan n gi chng khon ca cc cng ty c phn c nim
yt trn th trng chng khon ca Vit Nam. Anh/Ch hy chn gi mt loi chng khon m
Anh/Ch c quan tm, k hiu Yt, trong khong thi gian t 01/01/2012n 30/12/2012 thc
hin bi tp ny.
1. Hy v th d liu gc Yt. Sau , hy tnh cc gi tr thng k tng hp sau cho d
liu gc Yt. Da trn th v cc tr thng k tng hp, hy m t ngn gn d liu theo
bng sau:
S quan st
220.00
Trung bnh
69.29
lch chun
20.30
Gi tr l n nht
111.00
Gi tr nh nht
41.00
Khong
70.00
Trung v
64.00

Trong khong thi gian t 2/1/2007 n 20/11/2007, v i c phiu BBC c 220 ngy giao dch.
Gi chng khon (gi ng ca) dao ng trong khong t 41 ngn ng/CP n 111 ngn
ng/CP. C th chia ra lm 3 giai on: giai on 1 bin ng theo dng hm bc hai, tng t
41 ln 73.5 ri gim xung cn 47 ngn ng/c phiu; giai on 2 tng dn theo xu th ca
dng hm tng trng m t 47 ln n mc cao nht l 111 ngn ng/CP; giai on 3 (t
ngy 3/10 n 20/11) c xu hng gim chm.

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Kinh t lng ng dng

Bi tp s 2

2. S d ng cc uan st c a m u, hy c lng hai m hnh sau y bng phn mm

Eviews (t l bin xu th):
M hnh 1: M hnh Xu hng Tuyn tnh Y = + t + t
M hnh 2: M hnh T hi quy Yt = 1 + 2 Yt -1 + t
M hnh 1, v m hnh 2 u l hm hi quy n, v c th c lng b ng phng php
trn phn m m views.
Kt qu c lng
M hnh 1: M hnh Xu hng Tuyn tnh Y = 46.61 + 0.16t + et
M hnh 2: M hnh T hi quy Yt = -0.14 + 1.01Yt -1 + et

3.
Hy xc nh MAD (Mean Absolute Deviation) v RMSE (Root Mean S uare
Deviation) cho tng m hnh trong hai m hnh trn. Hy tm tt cc kt u vo bng
sau:
M hnh

MAD

RMSE

M hnh 1
M hnh 2

9.24
1.60

10.82
2.04

Gi chng khon ph thuc vo nhi u yu t: gi vng, gi bt ng sn, t gi, tnh hnh kinh t
x hi trong nc v quc t, thng tin v tnh kinh doanh ca cng ty, tm l nh u t Hai
m hnh ngy khng quan tm n cc yu t m ch da vo s bin ng ca d liu trong
qu kh tm ra quy lut. M hnh 1 rt d xy dng nhng n c sai s ln (ng d bo
n m rt xa so vi ng gi tr thc t) v rt d b hin tng t tng quan. M hnh 2 c
chnh xc tt hn so vi m hnh 1 (ng d bo bm rt st ng gi tr thc t).

4. S d ng cc uan st c a m u, dng phn m m EVIEWS, hy tin hnh tnh ton h

s t tng uan m u (SAC) v h s t tng uan ring phn m u (SPAC) cho 20 tr
i vi chui Yt.
Da vo kt qu trn, Anh/Ch hy kt lun v tnh dng ca chui d liu Yt. Gii thch mt
cch ngn gn v kt lun.

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Kinh t lng ng dng

Bi tp s 2

20 tr u tin, cc thanh biu din SAC u n m ngoi ng gii hn 2 ( th SAC

khng tt nhanh v gi tr 0) nn chui gi BBC khng dng.

. S d ng cc uan st c a m u, hy to ra mt chui s liu mi Wt bng cch ly sai

phn bc mt c a s liu gc Yt. Dng phn mm EVIEWS, hy tin hnh tnh ton h
s t tng uan m u (SAC) v h s t tng uan ring phn m u (SPAC) cho 20
tr i vi chui Wt

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Kinh t lng ng dng

Bi tp s 2

tr k=2, Anh/Ch hy gii thch ngha ca h s t tng quan mu ca chui sai phn
bc 1 ni trn v kt qu ca vic kim nh thng k.

tr k=3, Anh/Ch hy gii thch ngha ca h s t tng quan ring phn mu ca

chui sai phn bc 1 ni trn v kt qu ca vic kim nh.
Khi k=2; SAC(2)=0.162. Con s ny chnh l h s tng quan gia Wt v Wt-1.
kim nh gi thuyt Ho: AC(2)=0 v H1: AC(2) 0, ngi ta khng dng gi tr P-value
(ct Prob trong bng Correlogram) m da vo thanh biu din SAC(2). Thanh th biu din
SAC(2) khng n m trong ng gii hn 2 (n m ngoi ng gii hn 2 ) nn bc b Ho. Ni
cch khc, AC(2) khc 0.
Khi k=3 ( tr k=3); SPAC(3)=0.020. Vi chui Wt, h s tng quan ring phn tr
b ng 3 cho bit tng quan gia Wt v Wt-3 sau khi loi tr tc ng ca Wt-2, Wt-1 ln Wt.
Ho: PAC(3)=0
H1: PAC(3) 0
Thanh th biu din SPAC(3) n m trong ng gii hn 2 nn cha c s bc b Ho,
hay ni cch khc PAC(3) = 0.
. V chui sai phn bc 1 dng nn khng cn tnh sai phn bc 2

Chng Trnh Ging Dy Kinh T Fulbright

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Kinh t lng ng dng

Bi tp s 2

7. Anh/Ch hy xc nh bc p, d v c a m hnh ARIMA(p,d, ). Da trn cc gi tr

hy lit k cc m hnh ARIMA c th c.
Gi s bn s dng d liu ton mu (220 quan st) lp m hnh. nhn dng m hnh, s
dng th Correlogram.
th Correlogram(BBC) cho thy chui gi BBC khng dng. V vy, ta s ly sai phn bc 1
ca BBC, v v th Correlogram ca chui sai phn ny.
Chui D(BBC) nu c nh ca SAC, SPAC ti tr b ng 1 th kh nng rt cao l m hnh
ARIMA(1,1,1); th Correlogram ca D(BBC) khng c dng nh vy. Tuy nhin, th
Correlogram ca D(BBC) cho thy c SAC, SPAC dao ng ri tt dn (SAC, SPAC vncn c
kh nng cao ti tr k=4; sau u n m trong ng gii hn 2 ), y cng l mt du hiu
ca m hnh ARIMA(1,1,1).
Nhn thanh biu din SAC, SPAC, nu gi s ti k=4; AC, PAC tht s khng ng k th c
ngha r ng th Correlogram ca D(BBC) khng c nh no. Trong trng hp ny, ta s quay
v th Correlogram ca BCC Hnh 6.1. Hnh 6.1 gi cho ta m hnh c kh nng ph hp
l AR(1) v SAC gim dn, cn SPAC gim nhanh v 0 sau 1 tr.
Nhn dng ARIMA l mt qu trnh th v sai, nhn vo th Correlogram s gip bn th
v sai nhanh hn.
Cc m hnh sau y c th c:
ARIMA(1,1,1); ARIMA(0,1,1); ARIMA(1,1,0); ARIMA(0,1,0); ARIMA(1,0,0), ARIMA(0,0,1).
Trong qu trnh tm kim m hnh ph hp nht, bn c th chn m hnh c RMS nh nht v
sai s l nhiu trng.

Cu 2 (20 im):
Data 3-6 trong b d liu ca Ramanathan cho chng ta s liu v chi tiu tiu dng trn u
ngi (Ct) v thu nhp kh dng trn u ngi (Yt) (2 d liu ny u ly nm gc 1992 = 100)
trong n n kinh t ca Hoa K trong giai on 1959-1994. Hy nghin cu m hnh n gin sau
y:
Ct = 1 + 2 Yt + ut
(a) Bn c cho r ng hi qui ny s chu hu qu ca hin tng hi qui gi hay khng? V sao?
Trc ht, chng ta cn kim tra xem chui Ct v Yt c dng hay khng
*Chui Ct c dng khng?
Dng kim nh DF vi H0 l chui Ct c nghim n v

Chng Trnh Ging Dy Kinh T Fulbright

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Kinh t lng ng dng

Bi tp s 2

Null Hypothesis: CT has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-0.538158
-3.639407
-2.951125
-2.614300

0.8713

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(CT)
Method: Least Squares
Date: 05/06/13 Time: 08:29
Sample (adjusted): 1961 1994
Included observations: 34 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

CT(-1)
D(CT(-1))
C

-0.007225
0.346340
270.5881

0.013426
0.165670
175.7554

-0.538158
2.090541
1.539572

0.5943
0.0449
0.1338

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.128935
0.072737
216.1582
1448456.
-229.4579
2.294305
0.117702

Mean dependent var

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

271.3529
224.4762
13.67400
13.80867
13.71993
1.849235

V gi tr p-value ca kim nh bng 0.87 ln hn so vi 0.05 do vi mc ngha 5% chng

ta khng c c s bc b gi thuyt H0, tc chui Ct c nghim n v hoc khng dng (xem
kt qu bn di)
*Chui Yt c dng khng?
Dng kim nh DF vi H0 l chui Yt c nghim n v
V gi tr p-value ca kim nh bng 0.75 ln hn so vi 0.05 do vi mc ngha 5% chng
ta khng c c s bc b gi thuyt H0, tc chui Yt c nghim n v hoc khng dng.
Null Hypothesis: YT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-0.960756
-3.632900
-2.948404
-2.612874

0.7563

*MacKinnon (1996) one-sided p-values.

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Kinh t lng ng dng

Bi tp s 2

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(YT)
Method: Least Squares
Date: 05/06/13 Time: 08:32
Sample (adjusted): 1960 1994
Included observations: 35 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

YT(-1)
C

-0.012984
454.0934

0.013515
189.3389

-0.960756
2.398311

0.3437
0.0223

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.027210
-0.002268
243.7143
1960090.
-240.9930
0.923051
0.343662

Mean dependent var

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

276.5429
243.4384
13.88532
13.97419
13.91600
1.868085

V y l 2 chui khng dng nn hi qui Ct theo Yt c th l hi qui gi.

Ch : Sai phn 2 chui Ct v Yt l chui dng (xem kt qu di y)
Null Hypothesis: D(CT) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-4.010968
-3.639407
-2.951125
-2.614300

0.0039

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(CT,2)
Method: Least Squares
Date: 05/06/13 Time: 08:46
Sample (adjusted): 1961 1994
Included observations: 34 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(CT(-1))
C

-0.656699
181.1455

0.163726
56.52057

-4.010968
3.204948

0.0003
0.0031

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.334551
0.313756
213.7455
1461988.
-229.6160
16.08787
0.000340

Mean dependent var

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

Null Hypothesis: D(YT) has a unit root

8.588235
258.0226
13.62447
13.71426
13.65509
1.841598

Chng Trnh Ging Dy Kinh T Fulbright

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Kinh t lng ng dng

Bi tp s 2

Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-5.402262
-3.639407
-2.951125
-2.614300

0.0001

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(YT,2)
Method: Least Squares
Date: 05/06/13 Time: 08:47
Sample (adjusted): 1961 1994
Included observations: 34 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(YT(-1))
C

-0.936982
266.6319

0.173442
64.01462

-5.402262
4.165172

0.0000
0.0002

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.476991
0.460647
246.1351
1938640.
-234.4132
29.18444
0.000006

Mean dependent var

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

6.647059
335.1484
13.90666
13.99645
13.93728
2.022211

(b) Cc chui thi gian Ct v Yt c l ng kt hp hay khng? Bn s kim nh mt cch r

rng i u ny nh th no? Nu nh sau khi kim nh, bn thy r ng chng l ng kt hp,
liu cu tr li cho mc (a) trn ca bn c thay i khng?
xem hi qui cc chui thi gian Ct v Yt c phi l hi qui ng kt hp hay khng chng ta
kim tra xem liu mt t hp tuyn tnh gia cc chui khng dng ny l mt chui dng hay
khng?
Trc ht chng ta thc hin hi qui nh sau:
Dependent Variable: CT
Method: Least Squares
Date: 05/06/13 Time: 08:34
Sample: 1959 1994
Included observations: 36
Variable

Coefficient

Std. Error

t-Statistic

Prob.

YT
C

0.932738
-384.1055

0.010697
151.3305

87.19921
-2.538190

0.0000
0.0159

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

0.995548
0.995417
199.0234
1346750.

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion

12490.89
2940.028
13.47867
13.56665

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Log likelihood
F-statistic
Prob(F-statistic)

-240.6161
7603.702
0.000000

Kinh t lng ng dng

Hannan-Quinn criter.
Durbin-Watson stat

Bi tp s 2

13.50938
0.513696

Sau tnh UHAT = Ct - 1 - 2 Yt

Kim nh xem chui UHAT c dng khng?
Null Hypothesis: UHAT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-1.778331
-3.632900
-2.948404
-2.612874

0.3847

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(UHAT)
Method: Least Squares
Date: 05/06/13 Time: 08:36
Sample (adjusted): 1960 1994
Included observations: 35 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

UHAT(-1)
C

-0.230079
4.139289

0.129379
23.40843

-1.778331
0.176829

0.0846
0.8607

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.087451
0.059799
138.1386
629715.1
-221.1222
3.162461
0.084565

Mean dependent var

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

7.086596
142.4638
12.74984
12.83871
12.78052
1.996513

y chng ta s dng kim nh DF nhng vi tr ti hn ca EG l -2.5899; -1.9439; v

1.6177 tng ng vi cc mc ngha 1%, 5%, v 10%.
Tr kim nh DF l -stat=-1.77 nh hn -1.6177 nhng ln hn -1.9439 do nu mc ngha
c chn l 10% chng ta c s bc b gi thuyt H0, ngha l chui UHAT dng. Do ,
chng ta kt lun rng hi qui Ct theo Yt l hi qui ng kt hp. Nh vy, kt qu hi quy cho thy
thu nhp u ngi (Yt) c tc ng trong di hn n chi tiu tiu dng u ngi (Ct) mc
ngha 5%.
Nhng nu mc ngha c chn l 5% th chng ta khng c s bc b gi thuyt H0,
ngha l chui UHAT khng dng. Do , chng ta kt lun rng hi qui Ct trn Yt khng phi l hi
qui ng kt hp.

(c) Hy dng c ch hiu chnh sai s ( CM) nghin cu ng thi ngn hn v di hn ca

Ct trong mi quan h vi Yt.
Hi qui ls d(Ct) c d(Yt) UHAT(-1)

Chng Trnh Ging Dy Kinh T Fulbright

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Kinh t lng ng dng

Bi tp s 2

Dependent Variable: D(CT)

Method: Least Squares
Date: 05/06/13 Time: 08:51
Sample (adjusted): 1960 1994
Included observations: 35 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
D(YT)
UHAT(-1)

54.98727
0.749707
-0.211964

34.38035
0.093670
0.124531

1.599381
8.003734
-1.702103

0.1196
0.0000
0.0984

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.671088
0.650531
132.5930
562588.8
-219.1496
32.64521
0.000000

Mean dependent var

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

265.0286
224.2932
12.69426
12.82758
12.74028
1.712205

Theo kt qu 0.75 l tc ng ngn ca thu nhp u ngi (Yt) ln chi tiu tiu dng u ngi
(Ct), c ngha l khi cc yu t khc khng i nu Yt tng ln 1 n v th Ct s tng ln 0.75 n v.
Cn l -0.21 tc khi phc trng thi cn bng ca chi tiu tiu dng u ngi (Ct)do s mt
cn i trong thi on trc c hiu chnh trong thi on tip theo. Tuy nhin mc d h s c
lng ca d(Yt) c ngha thng k mc 1% nhng UHAT(-1) ch c ngha thng k mc 10%.

Cu 3 (40 im)
Data 3-6 trong b d liu ca Ramanathan cho chng ta s liu v chi tiu tiu dng trn u
ngi (Ct) v thu nhp kh dng trn u ngi (Yt) (2 d liu ny u ly nm gc 1992 = 100)
trong n n kinh t ca Hoa K trong giai on 1959-1994.
(a) c lng m hnh trn vi cc tr thch hp ca bin c lp. Hy kim nh hin tng
tng quan chui, nu c hy xc nh li cc c lng. Hy xc nh tc ng s nhn di
hn cho m hnh v kim tra xem n c ngha g?
(3.1)
Ct 0Yt 1Yt 1 .. kYt k ut
Theo kt qu ca Cu 2 trn cho thy hi quy (3.1) l hi quy ng kt hp mc d c Yt v Ct
u l 2 chui khng dng.
M hnh hi quy:

Hi quy (3.1) khng c tr

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 12:42
Sample: 1959 1994
Included observations: 36
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT

-384.1055
0.932738

151.3305
0.010697

-2.538190
87.19921

0.0159
0.0000

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

0.995548
0.995417
199.0234
1346750.

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion

10

12490.89
2940.028
13.47867
13.56665

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

Log likelihood
F-statistic
Prob(F-statistic)

-240.6161
7603.702
0.000000

Kinh t lng ng dng

Hannan-Quinn criter.
Durbin-Watson stat

Bi tp s 2

13.50938
0.513696

Kt qu hi quy cho thy trong iu kin cc yu t khc khng i Yt tc ng c ngha thng

ln Ct; khi Yt tng ln 1 n v th Ct s tng ln 0.93 n v.

Hi quy (3.1) vi tr bng 1

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 12:51
Sample (adjusted): 1960 1994
Included observations: 35 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT
YT(-1)

-385.5246
0.798848
0.136283

167.3717
0.142002
0.140592

-2.303404
5.625593
0.969352

0.0279
0.0000
0.3396

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.995493
0.995211
198.8080
1264788.
-233.3265
3534.014
0.000000

Mean dependent var

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

12622.74
2872.926
13.50437
13.63769
13.55039
0.496153

Kt qu trn cho thy h s c lng ca Yt-1 khng c ngha thng k mc ngha 5%.

Hi quy (3.1) vi tr bng 2

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 12:54
Sample (adjusted): 1961 1994
Included observations: 34 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT
YT(-1)
YT(-2)

-442.4955
0.844485
0.025701
0.069055

188.3654
0.147451
0.208084
0.141574

-2.349133
5.727221
0.123510
0.487768

0.0256
0.0000
0.9025
0.6293

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.995348
0.994883
199.9844
1199813.
-226.2563
2139.650
0.000000

Mean dependent var

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

12760.88
2795.656
13.54449
13.72406
13.60573
0.545057

Kt qu trn cho thy h s c lng ca c Yt-1 v Yt-2 khng c ngha thng k mc

ngha 5%.
11

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Kinh t lng ng dng

Bi tp s 2

Kt lun: Cc h s c lng ca bin Yt cc tr khc nhau u khng c ngha thng

k.
Kim tra phng sai sai s thay i v t tng quan trong m hnh hi quy khng c tr
Kim nh phng sai thay i
H0: Khng c phng sai sai s thay i
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS

2.171210
4.186315
2.984652

Prob. F(2,33)
Prob. Chi-Square(2)
Prob. Chi-Square(2)

0.1301
0.1233
0.2248

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 06/03/13 Time: 13:01
Sample: 1959 1994
Included observations: 36
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT
YT^2

89806.92
-13.74525
0.000686

163039.7
24.92173
0.000915

0.550828
-0.551537
0.750027

0.5855
0.5850
0.4586

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.116287
0.062728
46441.27
7.12E+10
-436.3696
2.171210
0.130059

Mean dependent var

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

37409.73
47970.17
24.40942
24.54138
24.45548
1.191404

Kt qu kim nh phng sai sai s thay i theo White khng pht hin hin tng phng sai
thay i mc ngha 5% trong m hnh hi quy khng c tr.
Kim nh t tng quan
H0: Khng c hin tng t tng quan bc 1
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

34.34643
18.35987

Prob. F(1,33)
Prob. Chi-Square(1)

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/03/13 Time: 13:27
Sample: 1959 1994
Included observations: 36
Presample missing value lagged residuals set to zero.

12

0.0000
0.0000

Chng Trnh Ging Dy Kinh T Fulbright

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Kinh t lng ng dng

Bi tp s 2

Variable

Coefficient

Std. Error

t-Statistic

Prob.

YT
C
RESID(-1)

0.004589
-53.62913
0.780259

0.007641
107.9135
0.133137

0.600639
-0.496964
5.860583

0.5522
0.6225
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.509996
0.480299
141.4120
659912.6
-227.7760
17.17321
0.000008

Mean dependent var

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

4.48E-13
196.1596
12.82089
12.95285
12.86695
1.959072

Kt qu kim nh t tng quan trn pht hin hin tng t tng quan mc ngha 5%
trong m hnh hi quy khng c tr.
Khc phc hin tng t tng quan
Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 13:28
Sample (adjusted): 1960 1994
Included observations: 35 after adjustments
Convergence achieved after 12 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT
AR(1)

-633.3178
0.950655
0.752049

500.6945
0.033341
0.129554

-1.264879
28.51311
5.804905

0.2150
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.997778
0.997639
139.6073
623686.8
-220.9538
7183.152
0.000000

Inverted AR Roots

.75

Mean dependent var

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

12622.74
2872.926
12.79736
12.93068
12.84338
2.042979

Breusch-Godfrey Serial Correlation LM Test:

F-statistic
Obs*R-squared

0.221492
0.248297

Prob. F(1,31)
Prob. Chi-Square(1)

0.6412
0.6183

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/03/13 Time: 13:29
Sample: 1960 1994
Included observations: 35
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

13

Prob.

Chng Trnh Ging Dy Kinh T Fulbright

Hc k Xun, 2012 - 2013

C
YT
AR(1)
RESID(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Kinh t lng ng dng

-142.3501
0.009608
0.067993
-0.130187
0.007094
-0.088993
141.3372
619262.2
-220.8292
0.073831
0.973589

590.3034
0.039449
0.195132
0.276624

-0.241147
0.243559
0.348446
-0.470629

Mean dependent var

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

Bi tp s 2

0.8110
0.8092
0.7299
0.6412
-6.50E-09
135.4390
12.84738
13.02514
12.90875
1.955269

Hin tng t tng quan c khc phc. Nh vy m hnh hi quy chnh thc l

633.32 0.95Y 0.75 AR (1)

C
t
t
p-value (0.2)

(0.00)

(0.00)

(b) Gi s tiu dng c xc nh khng phi bi thu nhp hin ti m bi thu nhp k vng
(Yt*). Gi s thm r ng ngi tiu dng i u chnh k vng ca h theo m hnh i u chnh
k vng (Adaptive xpectation Model). Do chng ta c 2 phng trnh sau y (tm thi
cha quan tm n sai s ca m hnh):
Ct = + Yt*
Yt* = Yt-1 + (1-) Y*t-1
Hy xy dng m hnh kinh t lng ph hp. Dng d liu Data 3-6 trong Ramanathan v
c lng m hnh kinh t lng xy dng trn. Hy kim nh hin tng tng quan
chui v sa cha m hnh trong trng hp c tng quan chui. T kt qu c lng hy
tnh cc c lng ca cc tham s cha bit. Hy tnh tc ng s nhn di hn trong v d
ny. Bn hy bnh lun kt qu ca m hnh.
Thay Yt* vo phng trnh Ct v bin i phng trnh ta c:
Ct = + Yt-1 + (1-) Ct-1
M hnh hi quy nh sau
Ct = 0 + 1Yt-1 + 2 Ct-1 + t

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 14:31
Sample (adjusted): 1960 1994
Included observations: 35 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT(-1)
CT(-1)

242.5416
0.130249
0.857693

190.5060
0.200774
0.216305

1.273144
0.648734
3.965204

0.2121
0.5211
0.0004

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R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.993989
0.993613
229.5941
1686830.
-238.3656
2645.806
0.000000

Kinh t lng ng dng

Mean dependent var

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

Bi tp s 2

12622.74
2872.926
13.79232
13.92563
13.83834
1.319564

Kim nh t tng quan

H0: Khng c hin tng t tng quan
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

3.792904
3.815480

Prob. F(1,31)
Prob. Chi-Square(1)

0.0606
0.0508

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/03/13 Time: 14:33
Sample: 1960 1994
Included observations: 35
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT(-1)
CT(-1)
RESID(-1)

-8.521980
0.064882
-0.070998
0.337405

182.7523
0.195408
0.210620
0.173247

-0.046631
0.332031
-0.337089
1.947538

0.9631
0.7421
0.7383
0.0606

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.109014
0.022789
220.1863
1502943.
-236.3456
1.264301
0.303719

Mean dependent var

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

-1.63E-12
222.7390
13.73404
13.91179
13.79540
1.810063

Kim nh cho kt qu P-value=0.051>0.05 do v mt ton hc chng ta c th bc b

H0 vi mc ngha 5%.
Khc phc hin tng t tng quan
Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 14:37
Sample (adjusted): 1961 1994
Included observations: 34 after adjustments
Convergence achieved after 14 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT(-1)
CT(-1)

417.9872
-0.002638
0.991677

302.4179
0.246652
0.264244

1.382151
-0.010697
3.752882

0.1771
0.9915
0.0007

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AR(1)

Kinh t lng ng dng

0.350679

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.994384
0.993822
219.7309
1448450.
-229.4579
1770.646
0.000000

Inverted AR Roots

.35

0.174267

2.012313

Mean dependent var

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

Bi tp s 2

0.0532
12760.88
2795.656
13.73282
13.91239
13.79405
1.849546

Breusch-Godfrey Serial Correlation LM Test:

F-statistic
Obs*R-squared

0.670461
0.768295

Prob. F(1,29)
Prob. Chi-Square(1)

0.4196
0.3807

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/03/13 Time: 14:38
Sample: 1961 1994
Included observations: 34
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT(-1)
CT(-1)
AR(1)
RESID(-1)

-82.58887
0.030358
-0.027628
-0.330255
0.389023

320.3760
0.250770
0.267837
0.439762
0.475104

-0.257787
0.121061
-0.103154
-0.750987
0.818817

0.7984
0.9045
0.9186
0.4587
0.4196

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.022597
-0.112217
220.9478
1415720.
-229.0693
0.167615
0.953134

Mean dependent var

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

1.06E-08
209.5052
13.76878
13.99325
13.84533
2.001362

Sau khi khc phc hin tng t tng quan p-value ca kim nh BG l 0.38, do m
hnh hi quy ny khng cn hin tng t tng quan mc ngha 5%.
Cc h s c lng trong m hnh Ct = + Yt* l
^2=(1-) ^ = 1- ^2 =1-0.9917 = 0.0083
^1 = ^ = ^1 / ^= -0.0026/0.0083 = -0.313
^0 = ^= ^0 / ^=418/0.0083 =50361.44

Ct = 50361.44 0.313 Yt*

Tc ng s nhn di hn trong m hnh ny l -0.313. Do trong iu kin cc yu t
khc khng i nu thu nhp u ngi k vng tng 1 n v th chi tiu tiu dng u
ngi gim i 0.313 n v; iu ny khng ng vi k vng theo l thuyt.

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Kinh t lng ng dng

Bi tp s 2

(c) xem xt nh hng phn phi tr ca thu nhp trn u ngi (Yt) ln chi tiu tiu dng
u ngi (Ct), gi s bn quyt nh s dng k thut tr Almon. Trnh by m hnh c
lng sau khi ch tha ng n di thi gian tr cng nh bc ca a thc.
c lng m hnh Ct 0Yt 1Yt 1 .. kYt k ut s dng k thut Almon vi tr
k v bc m khc nhau. Gi s chng ta bt u bng cch chn ngu nhin v ghi li cc ch
s AIC v SIC trong bng di y

Th vi k=4; m=3

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 15:25
Sample (adjusted): 1963 1994
Included observations: 32 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
PDL01
PDL02
PDL03
PDL04

-499.4924
-0.115788
-0.069680
0.152516
-0.024837

241.9047
0.084172
0.213077
0.042294
0.064656

-2.064832
-1.375602
-0.327019
3.606134
-0.384134

0.0487
0.1803
0.7462
0.0012
0.7039

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.994968
0.994222
198.5273
1064153.
-211.9973
1334.565
0.000000

Lag Distribution of
YT
.
.*
*.
*.
. *

*|
|
|
|
|

Mean dependent var

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

13053.00
2611.769
13.56233
13.79135
13.63824
0.541419

Coefficient

Std. Error

t-Statistic

0.83233
0.13125
-0.11579
-0.05779
0.15622

0.14551
0.15533
0.08417
0.15493
0.13733

5.72009
0.84494
-1.37560
-0.37298
1.13757

0.94622

0.01370

69.0646

0
1
2
3
4
Sum of Lags

Th vi k=4; m=2

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 15:28
Sample (adjusted): 1963 1994
Included observations: 32 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
PDL01
PDL02
PDL03

-483.8326
-0.115251
-0.150699
0.152204

234.7872
0.082870
0.029829
0.041637

-2.060728
-1.390742
-5.052028
3.655493

0.0487
0.1753
0.0000
0.0010

R-squared
Adjusted R-squared

0.994940
0.994398

Mean dependent var

S.D. dependent var

17

13053.00
2611.769

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Hc k Xun, 2012 - 2013

S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

195.4819
1069969.
-212.0845
1835.244
0.000000

Lag Distribution of
YT
.
. *
*.
*.
. *

Kinh t lng ng dng

*|
|
|
|
|

0
1
2
3
4

Bi tp s 2

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

13.50528
13.68850
13.56601
0.549841

Coefficient

Std. Error

t-Statistic

0.79496
0.18765
-0.11525
-0.11375
0.19217

0.10656
0.04987
0.08287
0.05196
0.09898

7.46054
3.76306
-1.39074
-2.18894
1.94153

Chng ta thy AIC v SIC trong trng hp ny gim i so vi trng hp m=3 do m=2
c v hp l hn.
Th vi k=5; m=2 chng ta thy AIC v SIC u tng ln
Th vi k=3; m=2 chng ta thy AIC v SIC vn cao hn trng hp k=4, m=2
Th vi k=2; m=2 chng ta thy AIC v SIC ging trng hp k=3, m=2.
k=4; m=3
13.56
13.79

AIC
SIC

k=4; m=2
13.50
13.68

k=5 ;m=2
13.61
13.79

k=3; m=2
13.54
13.72

k=2; m=2
13.54
13.72

V vy
m hnh

vi k=4 v m=2 l tt nht theo tiu chun AIC v SIC. Nh vy kt qu hi quy l:

Ct = -483 + 0.79 Yt + 0.19 Yt-1 - 0.12 Yt-2 - 0.11 Yt-3 + 0.19 Yt-4 +u^t

(d) Kim nh tnh nhn qu song phng gia Ct v Yt, cn thn ch n di thi gian tr.
Ghi ch: Theo kt qu ca Cu 2 trn cho thy hi quy (3.1) l hi quy ng kt hp mc d
c Yt v Ct u l 2 chui khng dng.
c lng m hnh sau
Ct i 1 iYt i j 1 j Ct j u1t
n

Yt i 1 iYt i j 1 j Ct j u2t
n

Th m hnh trn vi cc tr khc nhau

tr =1

Pairwise Granger Causality Tests

Date: 06/03/13 Time: 16:56
Sample: 1959 1994
Lags: 1
Null Hypothesis:
YT does not Granger Cause CT
CT does not Granger Cause YT

Obs

F-Statistic

Prob.

35

0.42086
0.10699

0.5211
0.7457

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Kinh t lng ng dng

Bi tp s 2

Kt qu kim nh F-stat cho thy khng c quan h nhn qu song phng gia Yt v Ct vi
mc ngha 5%.

tr =2

Pairwise Granger Causality Tests

Date: 06/03/13 Time: 16:57
Sample: 1959 1994
Lags: 2
Null Hypothesis:

Obs

F-Statistic

Prob.

34

3.24168
7.37014

0.0536
0.0026

YT does not Granger Cause CT

CT does not Granger Cause YT

Kt qu kim nh F-stat cho thy tn ti mi quan h nhn qu (Granger) song phng gia Yt
v Ct vi mc ngha 6%. y l m hnh c cc ch s AIC v SIC nh nht l 13.59 v 13.81
(xem kt qu hi quy chi tit di) so vi cc tr khc.

Dependent Variable: CT
Method: Least Squares
Date: 06/03/13 Time: 17:02
Sample (adjusted): 1961 1994
Included observations: 34 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
YT(-1)
YT(-2)
CT(-1)
CT(-2)

231.2888
-0.315592
0.664330
1.570288
-0.958441

184.4258
0.257959
0.272394
0.279601
0.291501

1.254102
-1.223419
2.438856
5.616173
-3.287951

0.2198
0.2310
0.0211
0.0000
0.0026

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.995410
0.994777
202.0413
1183800.
-226.0279
1572.327
0.000000

Mean dependent var

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

Wald Test:
Equation: Untitled
Test Statistic
F-statistic
Chi-square

Value
3.241680
6.483361

df
(2, 29)
2

Probability
0.0536
0.0391

Null Hypothesis Summary:

19

12760.88
2795.656
13.58987
13.81434
13.66642
2.032928

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Normalized Restriction (= 0)
C(2)
C(3)

Kinh t lng ng dng

Value
-0.315592
0.664330

Std. Err.
0.257959
0.272394

Restrictions are linear in coefficients.

20

Bi tp s 2