BI T P KINH T L NG ThS Phng Duy Quang Tr ng Khoa C b n i h c Ngo i Thng H n i Chng 1. M HNH H I QUY 2 BI N 1.1.

Hy gi i thch cc khi ni m a) Hm h i quy t ng th v hm h i quy m u b) Y u t ng u nhin v ph n d c) Cc h s h i quy, c l ng cc h s h i quy d) Hm h i quy tuy n tnh 1.2. a) Nh ng mn h c no c n bi t n m v ng kinh t l ng b) Cc b c gi i bi ton kinh t l ng c) C nh ng cch no vi t hm h i quy t ng th 1.3. Cc m hnh sau y c ph i l m hnh tuy n tnh ? V sao a) Y = exp( 1 + 2 X + U ) c) lnY = 1 + 1.4. Bi n a) Y =
2 +U X

b) Y =

1 1 + exp(1 + 2 X + U)

d) Y = 1 + 2 X + U 2 b) Y =
X 1 + 2 X

i cc m hnh sau v m hnh h i quy tuy n tnh

1 1 + 2 X 1 c) Y = 1 + exp(1 2 X)

d) Y = exp( 1 + 2 X )

1.5. Hy ch ra cc gi thi t tng ng c t 1 v c t 2 c a m hnh h i quy c i n (1) (2) E(Ui/Xi) = 0 Var(Yi/Xi) = 0 Cov(Ui, Uj) = 0 E(Yi/Xi) = 1 + 2 X i Var(Ui/Xi) = 0 Cov(Yi, Yj) = 0 1.6. Trong m hnh h i quy 2 bi n Yi = 1 + 2 X i + U i a) N u ta nhn m i Xi v i m t h ng s , ch ng h n 10 khi cc gi tr Y s thay i th no ? Hy gi i thch ? b) N u ta c ng m i Xi v i m t h ng s th cc ei v Y s thay i th no ? Hy gi i thch ? 1.7. B ng sau y cho c p bi n ph thu c v c l p. Trong m i tr ng h p hy cho bi t quan h gi a hai bi n l cng chi u, ng c chi u hay khng xc nh. Hy gi i thch. Stt Bi n ph thu c Bi n c l p 1 GNP Li su t 2 Ti t ki m c nhn Li su t 3 S n l ng V n c b n ho c lao ng 4 C u v ti n GDP 5 L ng c u v xe my Gi xng 6 L ng i n tiu th Gi gas 1.8.

a) Trnh by ngha c a ph n d
b) Gi tr Yi c ngha nh th

c) M hnh h i quy khc g v i m hnh ton kinh t thng th ng 1.9. Gi i thch ngha h s gc c a m t s m hnh h i quy sau ? a) Yi = 1 + 2
2

1 + Ui Xi
i

b) ln Yi = 1 + 2 ln X i + U i d) Yi = 1 + 2 ln X i + U i e) Yi = e + X + U
1 2 i i

c) Yi = o X e U i

e) ln Yi = 1 + 2 + U i nh gi thi t nh th no.

1.10. Trnh by phng php s d ng ki m

nh m c xc su t (P value) trong ki m

H o : j = * j 1.11. a) T i sao gi thuy t Ho trong c p gi thuy t th ng k c th * H 1 : j < j

Ho : j * . j
H o : j = * j b) T i sao gi thuy t Ho trong c p gi thuy t th ng k c th * H 1 : j > j

Ho : j * . j

c) Nh ng c p gi thi t v h s no quan tr ng nh t v i m hnh h i quy ? d) Trong cc cng th c v kho ng tin c y, cc kho ng tin c y l ng u nhin hay xc nh. e) Trong cng th c c l ng kho ng, c th s d ng d u thay cho d u < hay khng ? f) C th dng kho ng tin c y thay th cho cc ki m c a cc h s khng ? g) Trong cc i l ng TSS, ESS, RSS i l ng no thay i khi m hnh thay i? 1.12. Trong m hnh Yi = 1 + 2 X i + U i (1) a) N u bi n X c nhn v i m t h ng s mX, Y c nhn v i h ng s mY th cc k t qu c l ng thay i th no ? i th no ? b) N u bi n X c c ng thm m t h ng s aX, bi n Y c c ng thm m t h ng s aY th cc k t qu c l ng thay c) N u m hnh (1) khng c h s ch n th cc k t qu c l ng nh th no ? nh gi thi t v ngha th ng k

1.13. Cho m hnh h i quy tiu dng/ u ng i Y ph thu c vo thu nh p/ X tnh theo gi c m t k t qu

u ng i

nh (nm 1980, n v : 100000 VN ) trong th i k 1971 1990

a phng.Bi t = 5% , c l ng m hnh b ng ph n m m Eviews thu c

a) Hy vi t hm h i quy t ng th v hm h i quy m u. Gi i thch ngha kinh t c a cc h s nh n c. b) Cho bi t ngha th ng k c a cc h s h i quy c) Tnh RSS, ESS, TSS d) Tm kho ng tin c y cho cc h s h i quy. e) Cho bi t thu nh p X c tc ng t i tiu dng hay khng ? f) N u tng thu nh p th tiu dng tng hay gi m g) N u thu nh p tng ln 1 n v th tiu dng tng 1 n v ng hay khng ? h) Hm h i quy m u c ph h p hay khng ? 1.14. Cho k t qu c l ng b ng ph n m m Eviews c a chi tiu Y ph thu c vo thu nh p X ($) c a 10 ng i trong 1 tu n nh sau:

Bi t m c ngha = 5% a) Vi t hm h i quy t ng th v hm h i quy m u. Cho bi t ngha kinh t c a cc h s nh n c

3

b) Cc h s h i quy c ngha th ng k hay khng ? c) Tnh RSS, TSS, ESS v hm h i quy m u c ph h p hay khng ? d) C ki n cho r ng thu nh p khng nh h ng t i chi tiu. B n hy k t lu n v nh n nh trn e) Tm kho ng tin c y 95% cho h s gc c a m hnh f) Khi thu nh p tng ln 1 n v th chi tiu tng trong kho ng no, tng t i a, t i thi u bao nhiu. g) Trong cc th i k tr c ng i ta v n dng 80% thu nh p cho chi tiu c th k t lu n r ng trong th i k quan st ny t l ny gi m hay khng ? h) Hy d bo m c chi tiu trung bnh n u thu nh p tu n b ng 62$ 1.15. M t i l gas nghin c u m i quan h gi a l ng trung bnh gas bn c Q (bnh) v i gi c a m t bnh gas PG (nghn ng) trong 27 thng t thng 1/1997 n thng 3 nm 1999. Bi t = 5% . c l ng m hnh thu c k t qu
Dependent Variable : Q Method : Least Squares Date: 01/03/10 Time: 18:17 Sample: 1 27 Included observation: 27 Variable Coeficient Std. Error C 2590.3 384.9544 X -7.1461 1.2875 R squared 0.95195 Adjusted R squared 0.95002 S.E of regresssion 40.5088 Sum squared resid 225165 Log likelihood -199.9393 Durbin Watson stat 0.7079

T Statistic Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Prob 1831.41 451.937 495.29

a) Vi t hm h i quy m u, hm h i quy t ng th . Cho bi t ngha kinh t c a cc h s nh n c. b) c l ng h s ch n v h s gc b ng bao nhiu c) Cc h s thu c c ph h p v i l thuy t kinh t hay khng? d) Cc h s thu c c ngha th ng k hay khng? e) C th ni gi gas thay i th l ng bn gas thay i hay khng? ph h p c a hm h i quy m u b ng bao nhiu, gi tr f) H s xc nh o c ngha g? g) Hm h i quy c th coi l ph h p khng? h) Tm c l ng i m cho phng sai c a y u t ng u nhin i) T ng bnh phng ph n d b ng bao nhiu j) TSS v ESS b ng bao nhiu? k) Tm kho ng tin c y cho h s ch n v h s gc c a m hnh l) Khi gi gas tng thm 1 nghn/ bnh th l ng bn gas thay i trung bnh trong kho ng no? m) Khi gi gas gi m 1 nghn ng th l ng bn tng t i a l bao nhiu? n) C th ni khi gi gas tng 1 nghn ng th l ng bn ra gi m b ng 10 bnh c khng? o) Gi gas gi m 1 nghn ng th l ng bn tng nhi u hn 7 bnh, i u c ng khng? p) Tm c l ng i m cho l ng bnh gas bn ra khi gi 105 nghn ng/bnh q) Tm l ng bn ra trung bnh v c bi t khi gi gas l 105 nghn ng/bnh 1.16. M t c quan nghin c u m i quan h gi a s n v s n ph m v cc y u t u vo c a qu trnh s n xu t m t s c s s n xu t a ra nh ng m hnh h i quy.

Lc u ng i nghin c u ch tr ng vo qu n l ngu n nhn l c nn a ra m hnh sau: S i = 1 + 2 L + U i (1). V i S l s n l ng, L l lao ng (ng i). Cho bi t = 5%
Dependent Variable : S Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient Std. Error C 34.4438 29.0219 L 19.2371 6.8786 R squared 0.30290 Adjusted R squared 0.26417 S.E of regresssion 49.5267 Sum squared resid 44152.1 Log likelihood -105.3754 Durbin Watson stat 0.7151

T Statistic Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic Prob (F statistic)

Prob 109.466 57.7367 7.8213

a) Vi t hm h i quy t ng th , hm h i quy m u. Gi i thch ngha kinh t c a cc h s nh n c. b) Vi t hm h i quy m u. Cc h s c a hm h i quy m u c ph h p v i l thuy t kinh t hay khng? c) Theo l thuy t th khi khng c lao ng s khng c s n l ng, nhng trong hm h i quy m u th khi khng c lao ng c l ng i m m c s n l ng l i khng b ng khng. Trn th c t gi tr c th coi l b ng khng hay khng? d) H s gc c ngha th ng k hay khng? e) H s xc nh b ng bao nhiu %, gi tr c ngha nh th no? f) C th ni hm h i quy ph h p khng? g) Tm c l ng i m v kho ng tin c y cho phng sai c a y u t ng u nhin h) Tnh RSS, TSS, ESS? i) Tm kho ng tin c y cho h s ch n c a m hnh? j) Khi doanh nghi p thm 1 lao ng th s n l ng tng trong kho ng no? k) Khi gi m b t m t lao ng th s n l ng gi m t i a bao nhiu n v ? l) C th cho r ng khi b t 1 lao ng th s n l ng gi m 30 n v hay khng? m) Khi gi m 1 lao ng th s n l ng gi m nhi u hn hay t hn 22 n v ? n) N u tng 1 lao ng th s n l ng tng nhi u hn 20 n v c ng khng? o) Tm c l ng i m m c s n l ng v i doanh nghi p c 30 lao ng? p) Tm m c s n l ng trung bnh v c bi t khi doanh nghi p c 30 lao ng? q) Tm m c s n l ng trung bnh v c bi t khi doanh nghi p c 30 lao ng? 1.16. Cho b ng k t qu h i quy sau, v i QA l l ng bn hng, PA l gi bn (USD) c a m t c a hng trong 24 thng. Cc k t lu n th ng k s d ng m c ngha 5% v tin c y 95%.
Dependent Variable : QA Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 24 Included observation: 24 Variable Coeficient Std. Error C 304.4024 9.031367 PA - 4.81827 0.545439 R squared 0.780124 Adjusted R squared 0.770130 S.E of regresssion 5.768087 Sum squared resid 731.9583 Log likelihood - 75.06656

T Statistic Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F satistic

Prob 225.2917 12.03068 6.422213 6.520385 78.05636

Durbin Watson stat

1.749978

Prob (F statistic)

a) Vi t hm h i quy t ng th , h i quy m u v gi i thch ngha kinh t c a cc h s nh n c. b) Tm m t c l ng i m cho l ng bn khi gi l 17USD c) Gi bn c nh h ng n l ng bn khng? d) C th gi m gi tng l ng bn khng? Khi gi m gi 1 USD th l ng bn thay i trong kho ng no? e) Khi gi bn tng 1USD th l ng bn gi m t i a bao nhiu? f) C th ni khi gi bn tng ln 1USD th l ng bn gi m 4 n v khng? g) C th ni gi bn tng 1 USD th l ng bn gi m nhi u hn 4 n v khng? h) Hm h i quy c ph h p hay khng? i) Tm c l ng i m v kho ng tin c y cho phng sai c a y u t ng u nhin? j) D bo l ng bn trung bnh khi gi bn l 17USD? k) D bo l ng bn c bi t khi gi bn l 17USD? BI T P TH C HNH CHNG 1, 2 sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a Nguy n Quang Dong

Chng 2. M HNH H I QUY B I 2.1. a) Th no l m hnh h i quy t ng qut c k bi n b) ngha c a cc h s trong PRF nh th no c) Khi ni u bi n c l p cng thay i th bi n ph thu c thay i th no? d) Trnh by ngha c a cc h s , i l ng trong SPF e) N i dung c a phng php bnh phng nh nh t p d ng cho m hnh t ng qut nh th no? f) Phn bi t h i quy n v h i quy b i g) T i sao v i m hnh t ng qut c n xt t i ma tr n phng sai v hi p phng sai c a cc c l ng? 2.2. a) Nh ng phn tch no th ng p d ng cho m hnh h i quy b) Nh ng d ng hm s no th ng s d ng trong kinh t 2.3. Gi s c b s li u c a m t doanh nghi p v 100 lao ng v i cc tiu ch sau: NS l nng su t lao ng, CP l chi ph o t o, TT l ti n th ng cho lao ng. C nh n nh cho r ng nng su t lao ng tng m t cch n nh theo chi ph o t o v ti n th ng cho lao ng; mu n c l ng s tc ng c a chi ph o t o v ti n th ng n nng su t lao ng. a) Hy xy d ng m hnh kinh t l ng phn tch ki n ? b) N u c nh n nh cho r ng v i cng m c ti n th ng nhng khi tng chi ph o t o ln th hi u q a c a o t o khng ph i l khng i m cn gi m d n, hay m c tng c a nng su t ch m d n theo m c tng c a chi ph o t o; do nng su t c m t ng ng t i a. Hy xy d ng m hnh phn tch nh n xt . c) V i m hnh trong cu u tin, n u c ki n cho r ng ti n th ng khng ph i lun tc ng thu n chi u n nng su t, m cn c s thay i. Trong ph m vi nh t nh, khi tng ti n th ng ln th nng su t tng, tuy nhin khi v t qua m t ng ng no th vi c tng ti n th ng l i lm gi m nng su t lao ng, do ng i lao ng c thu nh p cao, khng c nhu c u tng nng su t n a. Hy xy d ng m hnh c phn t i a ha nng su t ng i lao tch ki n , tm i m ng ng c a ti n th ng ng v phn tch tc ng c a ti n th ng t i nng su t? 2.5. B s li u kinh t v m theo qu t Qu 1 nm 2000 n Qu 4 nm 2008 g m m t s bi n sau: CPI l ch s gi tiu dng, M l cung ti n, R l li su t, Y l t ng thu nh p qu c dn. C ki n nh n xt r ng h s co gin c a ch s gi tiu dng theo cc bi n cn l i l khng i v mu n c l ng cc tham s . a) Hy xy d ng m hnh kinh t l ng th c hi n i u v cho bi t d u cc c l ng nh th no th ph h p v m t kinh t . b) V i m hnh trn, c ki n cho r ng kinh t tng tr ng 1%, cc y u t khc khng i th l m pht (tnh qua ch s gi tiu dng) trn 0,5%, hy nu cch phn tch ki n ? c) V i m hnh trn, hy c l ng m c l m pht khi tng tr ng kinh t 5%, li su t tng 2% c a m c hi n c, cung ti n tng 1%? d) C ki n cho r ng khi c tng tr ng kinh t 3%, gi ch s gi tiu dng n nh th c n ph i tng li su t v i t l tng ng v gi nguyn m c cung ti n ho c gi m cung ti n 1% v gi nguyn li su t. Hy nu cch phn tch nh n nh ny? 2.6. H i quy s n l ng S theo lao ng L (ng i) v th y h s xc nh R2 = 0,3029 c a m hnh S ph thu c L v h s ch n kh nh , nn ng i ta a thm bi n K l v n (tri u ng) vo v h i quy m hnh d i y. Cho = 5%
Dependent Variable : S Method : Least Squares Date: 01/03/10 Time: 20:17

Sample: 1 20 Included observation: 20 Variable Coeficient C -20.6583 K 10.7720 L 17.2232 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 22.0029 2.1599 4.5279 0.68369 32.4717 17925.0 -96.3610 2.3574

T Statistic

Prob

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

109.4666 57.7367 21.5343

a) Vi t hm h i quy t ng th , hm h i quy m u b) Cc c l ng nh n c c ph h p v i l thuy t khng? c) Tm c l ng i m m c s n l ng doanh nghi p c 20 lao ng, ngu n v n 300 tri u ng. d) Cc gi tr c l ng c ngha th ng k hay khng? e) Tnh h s xc nh b i R2 b ng nhi u cch f) Ph i chng cc bi n c l p khng gi i thch c s bi n ng c a s n l ng. g) C th ni v n, lao ng cng tc ng thu n chi u n s n l ng khng? h) Khi lao ng khng i, n u thm v n 1 tri u ng s n l ng tng ln trong kho ng no? i) C th ni khi lao ng khng i, tng v n thm 1 tri u ng th s n l ng tng trong kho ng no? j) Ngu n v n khng i, thm 1 lao ng th s n l ng tng c b ng 20 n v khng? k) C th ni khi lao ng khng i, tng v n thm 1 tri u ng th s n l ng tng t i thi u bao nhiu? nh gi vi c a thm bi n K vo m hnh l) Dng ki m nh thu h p h i quy n u bi t m hnh S ph thu c L c h s ch n v i h s xc nh R2=0,3029 v RSS = 44152,1 2.7. V i bi 2.4 ng i ta a vo d ng khc c a m hnh v i k t qu h i quy (trong LogS = ln(S), LogK = ln(K), LogL = ln(L))
Dependent Variable : LogS Method : Least Squares Date: 01/03/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient Std. Error C 2.8749 0.22746 LogK 0.52178 0.093498 LogL 0.68225 0.14080 R squared 0.78117 Adjusted R squared 0.75543 S.E of regresssion 0.28222 Sum squared resid 1.3540 Log likelihood -1.4523 Durbin Watson stat 1.9062

T Statistic

Prob

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

4.5516 0.57067

Cho hi p phng sai c a cc c l ng tng ng v i cc bi n LogK v LogL b ng 0,0127. a) Vi t hm s kinh t ban u v i cc bi n s S, K, L b) Vi t hm h i quy m u. Cho bi t ngha c a cc c l ng nh n c c) Cc c l ng nh n c c ph h p v i l thuy t kinh t hay khng?
8

d) Cc bi n c l p gi i thch c bao nhiu ph n trm s bi n ng c a bi n ph thu c e) Ki m nh s ph h p c a hm h i quy f) Khi lao ng tng 1% th s n l ng tng trong kho ng bao nhiu %? g) Khi v n tng 1% th s n l ng tng t i a bao nhiu %? h) Ngu n v n tng ln 1,2 l n so v i tr c th s n l ng c tng tng ng b g 1,2 l n khng? i) Khi y u t khc khng i, n u ngu n v n tng ln t l n m s n l ng tng nh hn t l n th ta ni s n l ng tng ch m hn tng ngu n v n, n u s n l ng tng l n hn t l n ta g i l tng nhanh hn so v i tng ngu n v n v b ng ng t th g i l tng b ng tng ngu n v n. Theo k t qu h i quy trn th s n l ng tng l nhanh, ch m hay b ng so v i tng ngu n v n? j) S n l ng tng c b ng tng lao ng hay khng? k) Qu trnh s n xu t c hm s n xu t S trn c g i l c hi u qu khng i, tng hay gi m theo quy m? 2.8. Cho s li u sau y v i cc h gia nh, v i X2 l thu nh p t ti n cng, ti n lng v cc kho n c tnh ch t lng (g i t t l ti n lng), X3 l thu nh p khc, Y chi tiu cho tiu dng, n v : tri u ng. Cc ki m nh v i m c ngha 5%, cc c l ng kho ng v i tin c y 95%. X2 10 12 13 14 15 16 16 17 18 20 X3 2 0 3 4 4 6 8 9 4 2 Y 10 11 12 13 14 15 16 17 17 17 a) M t s li u v c l ng cc h s d i d ng ma tr n? b) Tnh cc th ng k khc v th hi n k t qu ? c) Gi i thch ngha k t qu c l ng v ngha h s xc nh? d) Ki m nh v s ph h p c a hm h i quy? e) Cc h s c ngha th ng k khng? Gi i thch ngha k t qu ki m nh? f) Ki m nh xem cc h s c mang d u dng hay khng v gi i thch ngha? g) Khi ti n lng tng 1 tri u, thu nh p khc khng i th chi tiu trung bnh thay i trong kho ng no? h) N u c ti n lng v thu nh p khc cng tng m t tri u th chi tiu trung bnh thay i th no? Ti t ki m thay i th no? i) V i nh ng ng i khng c thu nh p khc ngoi ti n lng, ph i chng khuynh h ng tiu dng cha n 0,8? j) D bo m c chi tiu trung bnh c a h c thu nh p t lng l 20 tri u, thu nh p t kho n khc l 10 tri u? 2.9. Cho b ng k t qu h i quy sau, v i QA l l ng bn hng, PA l gi bn (USD) c a c a hng A, PB l gi bn c a c a hng B c nh tranh (USD), T l bi n xu th th i gian. V i cc cu h i v ki m nh l y m c ngha 5%, cc kho ng tin c y v i tin c y 95%.
[1]Dependent Variable : QA Method : Least Squares Date: 01/03/11 Time: 20:17 Sample: 1 24 Included observation: 24 Variable Coeficient Std. Error C [?] 13.01330 PA -4.044373 0.466442 PB 1.809085 0.483448 T -0.204608 [??] R squared

T Statistic 20.38262 -8.67069 -1.547857 Mean dependent var

Prob

0.1373 225.2917

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

0.861826 4.472011 399.9777 -67.81478 1.806764

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

12.03068 5.984565 6.180908 48.81907

Cho bi t hi p phng sai ng v i hai h s gc c a hai bi n PA, PB b ng 0,1. a) Vi t hm h i quy m u v gi i thch ngha c l ng c a cc h s . b) Nu cc cch tnh h s xc nh v gi i thch ngha? c) Ph i chng c ba bi n c l p cng khng gi i thch cho bi n QA? d) Ph i chng c ba bi n c l p cng c gi i thch cho bi n ph thu c? e) N u c a hng B gi m gi 1USD th l ng bn c a c a hng A s thay i th no? f) tng l ng bn 10 n v , c a hng A c n gi m gi t i thi u bao nhiu n v. g) Khi c a hng A tng gi v c a hng B cng tng gi v i m t l ng nh th th l ng bn c a c a hng A c thay i khng? h) N u c a hng B gi m gi 1USD v c a hng A tng gi 1USD th l ng bn c a c a hng A c gi m khng? N u c th trong kho ng no? i) N u c hai c a hng cng gi m gi 1USD th l ng bn c a c a hng A c tng khng? N u c th t i a bao nhiu? j) N u c a hng B tng gi 2USD, c a hng A cng nh tng gi 1USD v hy v ng l ng bn khng i, i u c c s khng? k) Kho b bi n PB v T kh i m hnh ang xt, h i quy m hnh ch c bi n c l p l PA: QAi = 1 + 2 PAi + U i [1a] th h s xc nh c a m hnh b ng 0,780124, t ng bnh phng ph n d b ng 731,9583 v logarit hm h p l b ng -75.066. B ng ki m nh F v 2 cho bi t c th b c hai bi n khng? l) Khi b bi n T kh i m hnh [1] th c m hnh m i c RSS b ng 447.8922, v y nn b bi n T kh i m hnh [1] khng? m) Khi thm bi n PC ( n v USD) l gi c a hng C vo m hnh [1], c k t qu sau: n) QAi = 230.5 4.102 PAi + 1.772 PBi + 0.122Ti + 0.891PC i [1c ]; R 2 = 0.90164 V i m c ngha 5%, c nn thm bi n PC v khng? V i m c ngha 10% th k t lu n c thay i khng? p) Theo thng tin cu n) v i tin c y 90% th h s c a bi n PC t i a bao nhiu? q) Khi h i quy m hnh QAi = 1 + 2 PAi + 3 PC i + 4Ti + U i , [1d] thu c R2 =0,80706; RSS = 642,2885. B ng cc cch c th , hy nh gi ph h p c a cc m hnh [1], [1a], [1b], [1d] v i nhau v s p x p chng theo th t nh gi. 2.10. Cho k t qu h i quy v i 30 doanh nghi p ho t ng trong lnh v c xy d ng, trong S l s n l ng, K l v n, L l lao ng. Log l logarit t nhin c a cc bi n tng ng.
Dependent Variable : LOG(S) Method : Least Squares Date: 01/03/11 Time: 21:17 Sample: 1 30 Included observation: 30 Variable Coeficient Std. Error C 1.488015 0.695489 LOG(K) 0.573343 0.077184 LOG(L) 0.315796 0.050953

T Statistic 2.139525 7.428216 6.197726

Prob

10

R squared Sum squared resid Durbin Watson stat

0.817845 0.045110 1.877910

Mean dependent var Schwarz criterion Prob (F statistic)

8.908643 -3.321862 0.000000

Hi a) b) c)

p phng sai c l ng c a hai s gc b ng -0.001 Vi t hm h i quy v i cc bi n v gi i thch ngha? Khi v n tng 1% th s n l ng tng t i thi u bao nhiu? Nh n xt ki n cho r ng khi lao ng tng 1% th s n l ng cng khng th tng n m c nh gi tr tnh c trong cu h i trn. d) C th tng quy m v n em l i k t qu nhi u hn so v i tng quy m v lao ng v i cng t l c hay khng? e) Ph i chng qu trnh s n xu t l c hi u qu gi m theo quy m, tng theo quy m, khng i theo quy m. f) Khi h i quy logarit c a S theo logarit theo logarit c a K*L, c k t qu d i y. So snh v i m hnh trn v cho bi t k t qu dng lm g?
Dependent Variable : LOG(S) Method : Least Squares Date: 01/04/11 Time: 21:17 Sample: 1 30 Included observation: 30 Variable Coeficient Std. Error C 2.301933 0.673422 LOG(K*L) 0.402811 0.041056 R squared 0.774672 Sum squared resid 0.055801

T Statistic 3.41264 9.811375 Mean dependent var Prob (F statistic)

Prob 8.908643 0.000000

g) H i quy logarit c a nng su t lao ng theo logarit m c u t v n bnh qun/lao ng c k t qu sau. So snh v i m hnh trn v cho bi t k t qu dng lm g?
Dependent Variable : LOG(S/L) Method : Least Squares Date: 01/04/11 Time: 22:17 Sample: 1 30 Included observation: 30 Variable Coeficient Std. Error C 0.551180 0.047980 LOG(K/L) 0.656407 0.047289 R squared 0.873118 Sum squared resid 0.048155

T Statistic 11.48 13.88084 Mean dependent var Prob (F statistic)

Prob 1.208838 0.000000

BI T P TH C HNH CHNG 3 Sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a Nguy n Quang Dong

11

CHUNG 3. H I QUY V I BI N GI 3.1. a) Th no l bi n nh tnh b) Bi n nh tnh trong m hnh l bi n c l p hay bi n ph thu c 3.2. Cc bi n s sau y l nh l ng hay nh tnh: a) GDP b) kh ng ho ng d u m nm 1973 c) xu t kh u c a Vi t Nam sang cc n c ASEAN d) thnh vin c a t ch c thng m i th gi i WTO e) Sinh vin t t nghi p i h c Ngo i thng H n i f) Sinh vin di n chnh sch 3.3. Xt m hnh chi tiu c a h gia nh ph thu c vo thu nh p ( n v : tri u VN ). C ki n cho r ng d m c thu nh p nh nhau th tiu dng c a h gia nh khu v c thnh th lun cao hn khu v c khc v mu n c l ng m c chnh l ch t i a. a) Hy nu cch phn tch nh n nh v tnh ton k t qu . b) Ki m nh ki n cho r ng khuynh h ng tiu dng thnh th cng cao hn khu v c khc v mu n c l ng t i thi u m c chnh l ch , th th c hi n th no? c) C ki n cho r ng v m c thu nh p t 5 tri u ng tr ln s ch u thu thu nh p v thu su t dng, do khuynh h ng tiu dng v i m c thu nh p d i 5 tri u cao hn khi thu nh p m c 5 tri u tr ln. Hy xu t m t m hnh phn tch ki n . 3.4. L ng cung (S) trn th tr ng c a doanh nghi p c cho r ng ph thu c vo gi bn c a s n ph m trn th tr ng (P), gi y u t s n xu t u vo (W). Tuy nhin c ki n cho r ng v i doanh nghi p c v n u t n c ngoi th l ng cung ch u tc ng c a y u t gi bn v y u t gi s n xu t u vo l t hn so v i doanh nghi p khng c v n u t n c ngoi. Hy xy d ng m hnh kinh t l ng v nu cch phn tch ki m nh ki n ? 3.5. Cho k t qu h i quy v i CS l tiu dng khu v c dn c, GDP l t ng s n ph m qu c n i; D86 l bi n gi nh n gi tr b ng 1 n u quan st t nm 1986 v sau v b ng 0 v i giai o n tr c ; D92 l bi n gi nh n gi tr b ng 1 n u quan st t nm 1992 v sau v b ng 0 v i giai o n tr c . V i = 5% :
Dependent Variable : CS Method : Least Squares Date: 01/20/10 Time: 20:17 Sample: 1976 2006 Included observation: 31 Variable Coeficient Std. Error C 1313.744 166.4559 GDP 0.596331 0.009777 D86 439.7363 263.4795 D92 742.9015 344.9151 R squared 0.997720 Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat 0.840786

T Statistic

Prob

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

3937.872

Cho hi p phng sai c l ng hai h s c a D86 v D92 b ng -39007 a) Hy vi t m hnh h i quy v i t ng giai o n b) H s ch n c th c s khc nhau gi a cc giai o n hay khng? c) Khi t ng s n ph m qu c n i l nh nhau, th vo nm 2000 m c tiu dng khu v c t nhn nhi u hn vo nm 1990 t i a l bao nhiu?
12

Cho k t qu h i quy sau:

Dependent Variable : LOG(CS) Method : Least Squares Date: 01/14/10 Time: 20:17 Sample: 1976 2006 Included observation: 31 Variable Coeficient C 0.019662 D92 1.006168 LOG(GDP) 0.984527 D92* LOG(GDP) - 0.120398 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 0.115673 0.171370 0.013690 0.018433 0.999401

T Statistic

Prob

1.058828

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

15024.03

Cho bi t hi p phng sai hai c l ng h s gc tng ng v i LOG(GDP) v D92* LOG(GDP) nh khng ng k . d) Vi t m hnh h i quy, hm h i quy m u v i cc bi n CS, GDP trong cc giai o n t nm 1992 v sau v giai o n tr c . e) Gi s GDP cng b ng 1 th tiu dng vo nm 2000 nhi u g p tiu dng nm 1990 t i a bao nhiu l n? f) N u cng m c tng tr ng kinh t th m c tng tr ng tiu dng hai giai o n c khc nhau khng? N u c th giai o n no tng tr ng tiu dng nhanh hn? g) N u cng m c tng tr ng 10% giai o n sau CS tng tr ng t hn giai o n u t i a l bao nhiu? h) Vo nm 2000, n u GDP tng tr ng 10% th tiu dng dn c tng trong kho ng no? 3.6. Nghin c u s bi n ng c a l ng gas bn ra (Q: bnh) ph thu c vo gi gas (PG: 1000VN / bnh), c ng i cho r ng ch t l ng gas l quan tr ng, ng i cho r ng trong nh ng thng i l nh p bnh gas m i th l ng bn ra khng gi ng v i nh ng thng nh p bnh gas c, do h i quy m hnh c cc bi n nh sau:D = 1 v i nh ng thng nh p bnh gas m i, D = 0 v i nh ng thng khc, DPG = D * PG. Cho bi t = 5%.
Dependent Variable : Q Method : Least Squares Date: 01/12/10 Time: 20:17 Sample: 1/1997 3/1999 Included observation: 27 Variable Coeficient C 2403.55 PG -7.0673 D 106.01 DPG 0.278 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 564.01 0.20832 98.54 0.0789 0.99252 0.99154 41.568 39741 1.9506

T Statistic

Prob

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

1831.4

1016.8

a) Vi t hm h i quy t ng th , hm h i quy m u cho t ng tr ng h p thng bn bnh gas m i v c.

13

b) Tm c l ng i m m c chnh l ch c a h s ch n trong 2 tr ng h p trn. c) Trong thng bn bnh gas m i n u gi gas l 110 nghn ng th c l ng i m l ng bn l bao nhiu? V i thng bn bnh gas c th gi tr b ng bao nhiu? d) V th hm h i quy m u trong hai tr ng h p. e) Cc h s c a m hnh c khc khng m t cch c ngha khng? f) H s ch n c a m hnh trong nh ng thng nh p bnh m i v bnh c c th c s khc nhau hay khng? g) th th c t c a hm h i quy t ng th c th c d ng nh th no? h) Khi cng gi m gi 1 nghn ng th kh nng bn thm c a nh ng bnh gas c v m i chnh l ch nhau trong kho ng no? i) Dng ki m nh thu h p hm h i quy nh gi vi c a thm bi n gi c c n thi t hay khng so v i m hnh ch c m t bi n bi n gi i thch ni bi t p 1.13. j) M t ng i cho r ng do bnh gas lun c gi cao v an ton nn l ng bn khng ch u nh h ng c a ch t l ng bnh gas m ch u nh h ng c a vi c qu ng co. Anh ta cho r ng trong nh ng thng c qu ng co tch c c th l ng bn tng hn so v i nh ng thng khng tch c c qu ng co. Hy xy d ng m hnh v nu cch ki m tra. k) N u mu n xem xt nh h ng ng th i c a c vi c thng nh p bnh gas m i hay c v c qu ng co tch c c hay khng th ph i xy d ng m hnh v th c hi n cc ki m nh nh th no? 3.7. M t c quan nghin c u m i quan h gi a s n l ng u ra c a cc c s s n xu t v ngu n l c u vo (v n: K; lao ng: L) cho r ng c s s n xu t thu c s h u nh n c v khng thu c s h u nh n c th hi u qu c a ngu n v n l khng nh nhau, do xem xt s bi n ng c a s n l ng khng ch ph thu c vo v n v lao ng m cn c y u t thu c s h u nh n c hay khng? Khi a thm bi n gi D: D =1 n u c s s n xu t khng thu c nh n c v D = 0 n u ng c l i v h i quy m hnh sau v i DL = D * L; DK = D * K. Cho bi t = 5%.
Dependent Variable : S Method : Least Squares Date: 01/22/10 Time: 20:17 Sample: 1 20 Included observation: 20 Variable Coeficient C 19.0034 L 16.9695 K 9.718 DL 5.7866 DK 2.8915 R squared Adjusted R squared S.E of regresssion Sum squared resid Log likelihood Durbin Watson stat

Std. Error 26.95 6.46 3.334 1.749 1.7838 0.7954 0.7408 29.40 12957 2.475

T Statistic

Prob

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

109.47

14.581

a) Vi t hm h i quy t ng th . Ng i nghin c u xem xt y u t thu c hay khng thu c s h u nh n c tc ng n nh ng h s h i quy no? C xem xt tc ng n h s ch n khng? b) Vi t hm h i quy m u cho cc c s s n xu t thu c s h u nh n c v khng thu c s h u nh n c.
14

c) Tm c l ng i m c a m c s n l ng c a doanh nghi p thu c nh n c ho c khng thu c nh n c khi c 30 cng nhn v ngu n v n 350 tri u ng. d) Tm c l ng i m c a m c chnh l ch s n l ng c a c s thu c v khng thu c s h u nh n c khi thay i m t lao ng v ngu n v n thay u 1 tri u ng. e) Khi cng thay i ngu n v n, lao ng khng i th c s thu c ho c khng thu c nh n c m c s n l ng thay i c khc nhau hay khng? N u cng thay i lao ng, v n khng i th m c thay i s n l ng trong hai tr ng h p trn gi ng nhau khng? f) Vi c a thm bi n gi vo c th c s c n thi t v lm tng ngha m hnh hay khng? Dng ki m nh thu h p h i quy a ra k t lu n n u bi t v i m hnh S ph thu c vo K, L c h s ch n RSS b ng 17925 g) N u c ng i quan tm khng ph i l vi c c s s n xu t thu c hay khng thu c s h u nh n c m l c s s n xu t thu c lo i l n (n u ngu n v n trn 1t ng) hay nh (ngu n v n d i 1 t ng) v cho r ng c s lo i l n th hi u qu ngu n v n v ngu n lao ng l n hn c s lo i nh . Khi mu n ki m tra ph i lm th no? h) N u mu n xem xt tc ng c a c y u t thu c hay khng thu c s h u nh n c v y u t c s l n v nh th ph i lm th no? BI T P TH C HNH CHNG 4 Sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a Nguy n Quang Dong

15

CHUNG 4.

NH GI M HNH

1. Hi n t ng a c ng tuy n 4.1.1. Hy gi i thch cc v n sau: a) a c ng tuy n, a c ng tuy n hon h o v a c ng tuy n khng hon h o b) Hm h i quy ph , m c ch c a vi c a vo hm h i quy ph l g? 4.1.2. Hm t ng chi ph c d ng: TCOSTi = 1 + 2 Q i + 3 Q 2 i + 4 Q 3 i + U i . Hy cho bi t m hnh ny c hi n t ng a c ng tuy n hay khng? 4.1.3. V i Q l l ng bn gas, PG l gi c a bnh gas, PE l gi i n sinh ho t v PC l gi b p gas. = 5% a) Khi h i quy Q ph thu c vo PG v h s ch n, c th c hi n t ng a c ng tuy n hay khng? b) Cho m hnh [1]
[1] Dependent Variable : Q Method : Least Squares Date: 01/22/10 Time: 20:17 Sample: 1 27 Included observation: 27 Variable Coeficient C 1053.6 PG - 6.9435 PC - 0.001737 PE 338.15 R squared

Std. Error 123.052 0.626036 0.001815 128.23 0.99406

T Statistic

Prob

Mean dependent var

Nghi ng trong m hnh [1] c hi n t ng a c ng tuy n v th ng k T c a h s ng v i bi n PC nh m R2 l n. Hy nu m t cch ki m tra hi n t ng . c) Ti n hnh h i quy c k t qu sau y:
[2] Dependent Variable : PC Method : Least Squares Date: 01/20/10 Time: 21:17 Sample: 1 27 Included observation: 27 Variable Coeficient C 555.7082 PE - 7.3608 PG 0.34168 R squared

Std. Error 50.9517 3.6730 0.020910 0.93617

T Statistic

Prob

Mean dependent var

d) M hnh [2] nh m m c ch g? e) Bi n PC c ph thu c tuy n tnh vo PE hay khng? Bi n PC c ph thu c tuy n tnh vo PG hay khng? f) M hnh [1] c khuy t t t a c ng tuy n hay khng? a c ng tuy n ny l hon h o hay khng hon h o? Cc c l ng c a m hnh [1] cn l c l ng t t nh t hay khng? g) Nu m t cch n gi n kh c ph c khuy t t t c a m hnh [1] h) Khi b bi n PC ra kh i m hnh [1] ti n hnh h i quy Q theo PG, PE c h s ch n thu c R2 = 0,9821. C nn b bi n PC khng? i) ki m tra m hnh Q ph thu c vo PG, PE v h s ch n c khuy t t t khng, ng i ta h i quy PG theo PE c h s ch n thu c h s xc nh b ng 0,1215. M hnh dng lm g, c k t lu n g thu c hay khng?

16

j) Khi h i quy m hnh: Q ph thu c PG, D, DPG c h s ch n v i D l bi n gi nh n gi tr b ng 1 n u thng i l bn bnh gas m i, D= 0 v i cc thng bn bnh gas c, DPG = D*PG. Cc bi n D v DPG c th c quan h c ng tuy n v i nhau hay khng? 4.1.4. V i S l s n l ng c a m t c s s n xu t, K l ngu n v n, L l lao ng, D l bi n gi v i D =1 n u c s s n xu t khng thu c s h u nh n c v D = 0 n u c s thu c s h u nh n c. = 5% a) Khi h i quy: S ph thu c vo L c h s ch n c th c hi n t ng a c ng tuy n hay khng? b) Khi h i quy m hnh [1]:
[1] Dependent Variable : S Method : Least Squares Date: 02/23/10 Time: 21:17 Sample: 1 20 Included observation: 20 Variable Coeficient C - 20.6583 K 10.7720 L 17.2232 R squared

Std. Error 22.0029 2.1599 4.5279 0.71699

T Statistic

Prob

Mean dependent var

Nghi ng m hnh [1] c hi n t ng a c ng tuy n, hy nu m t cch ki m nh c) cho bi t b ng k t qu h i quy [2] d i y dng lm g? k t lu n g thu c v hi n t ng a c ng tuy n trong m hnh [1]
[2] Dependent Variable : K Method : Least Squares Date: 02/23/10 Time: 22:17 Sample: 1 20 Included observation: 20 Variable Coeficient C 5.1153 L 0.18696 R squared

Std. Error 13.4659 0.07589 0.254482

T Statistic Mean dependent var

Prob

d) Khi h i quy S ph thu c vo L, K, T c h s ch n, trong T l bi n s cng ngh , ng i ta thu c h s c a T b ng 5.8332 v i l ch chu n b ng 4.9235. Bi n s T a vo c ngha khng? e) Nghi ng trong m hnh ni cu (d) c hi n t ng a c ng tuy n, ng i ta cho h i quy T theo L, K c h s ch n thu c R2 = 0,6213. K t qu cho bi t i u g? Khi c nn a bi n T vo m hnh khng? f) N u mu n ki m tra m hnh LS ph thu c vo LL, LK v i L l logarit c s t nhin c a cc bi n tng ng c h s ch n bi t c hi n t ng a c ng tuy n hay khng, ta c th lm th no? g) Khi h i quy LK theo LL c h s ch n thu c h s gc b ng 1,928 v l ch chu n b ng 1,437. K t qu dng lm g, k t lu n g thu c. h) Khi t bi n DL = D*L v i D l bi n gi , khi D v DL c quan h c ng tuy n hay khng? 4.1.5. V i b s li u QA l l ng bn c a c a hng A, PA l gi bn c a c a hng A, PB l gi bn c a c a hng B, QB l l ng bn c a c a hng B. = 5% . a) Khi h i quy QA theo PA c h s ch n m hnh ny c th c a c ng tuy n hay khng? b) Cho k t qu h i quy sau:

17

[1] Dependent Variable : QA Method : Least Squares Date: 02/23/11 Time: 22:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 263.3270 PA - 4.083159 PB 1.821772 R squared Durbin Watson stat

Std. Error 13.37776 0.480999 0.499185 0.865456 1.604510

T Statistic

Prob

Mean dependent var

225.2917

C d u hi u g mu thu n gi a ki m nh T v ki m nh F khng? c) Ph i chng m hnh [1] khng c a c ng tuy n. d) H i quy ph ki m tra a c ng tuy n v i m hnh [1] th c hi n th no? e) Cho k t qu d i y. Hy cho bi t k t qu dng lm g v c nh gi nh th no?
[1a] Dependent Variable : PA Method : Least Squares Date: 02/25/11 Time: 12:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 23.34029 PB -0.43992 R squared Durbin Watson stat

Std. Error 3.224648 0.200888 0.175682 1.458679

T Statistic Mean dependent var

Prob 16.41667

f) Khi thm bi n QB l l ng bn c a c a hng B vo m hnh [1] thu c m hnh d i y, c nh ng nh n xt g v s thay i c a k t qu ?

[2] Dependent Variable : QA Method : Least Squares Date: 02/25/11 Time: 13:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 278.9051 PA - 4.103967 PB - 0.127679 QB 0.061289 R squared Durbin Watson stat

Std. Error 56.32415 0.497263 6.856371 0.214961 0.866000 1.591831

T Statistic

Prob

Mean dependent var

225.2917

nh gi m c a c ng tuy n c a m hnh [2] qua h i quy ph nh th no? g) Khi h i quy QB theo PA, PB c m hnh [3] d i y, c nh n xt g v k t qu h i quy v k t lu n v m hnh [2]
[3] Dependent Variable : QB Method : Least Squares Date: 02/25/11 Time: 14:17 Sample: 1 24 Included observation: 24 Variable Coeficient C - 254.1744 PA 0.339497 PB - 3.180739 R squared

Std. Error 13.88764 0.499332 0.051821 0.995384

T Statistic

Prob

Mean dependent var

257.6667

18

Durbin Watson stat

1.956645

h) K t qu h i quy QA theo PB, QB c [4] d i y cho th y i u g Gi i thch nh th no?

[4] Dependent Variable : QA Method : Least Squares Date: 02/25/11 Time: 16:17 Sample: 1 24 Included observation: 24 Variable Coeficient C 119.0019 PA 9.900661 QB -0.199078 R squared Durbin Watson stat

c bi t?

Std. Error 108.3329 13.822220 0.435555 0.409639 1.295836

T Statistic

Prob

F- statistic Prob(F- statistic)

7.285729 0.003951

4.1.6. Xt m hnh h i quy S ph thu c K, L, P v i 30 quan st, trong S l s n l ng, K l v n, L l lao ng, p l gi bn s n ph m. Ta c m hnh: S i = 1 + 2 K i + 3 Li + 4 Pi + U i [1] a) M hnh [1] c th c hi n t ng a c ng tuy n hay khng? b) nh gi chnh xc v m c a c ng tuy n c a m hnh [1]? c) H i quy P theo K, L thu c h s xc nh b ng 0,82; k t qu ny cho bi t i u g? d) Nu m t cch n gi n kh c ph c khuy t t t trong m hnh [1] v a pht hi n. e) M hnh S i = 1 + 2 K i + 3 Li + U i [2] h t a c ng tuy n cha? N u cha th hy nu cch ki m tra? f) H i quy K theo L th c l ng h s gc b ng 12.96 v sai s chu n b ng 4.8; k t qu ny dng lm g, k t lu n g thu c? g) Do K v L c quan h c ng tuy n v i nhau, v y c th cho r ng m hnh: LOG ( S i ) = 1 + 2 LOG ( K i ) + 3 LOG ( Li ) + U i [3] c a c ng tuy n hay khng. Bi t
Dependent Variable : LOG(S) Method : Least Squares Date: 02/25/11 Time: 17:17 Sample: 1 30 Included observation: 30 Variable Coeficient C 1.488015 LOG(K) 0.573343 LOG(L) 0.315796 R squared Durbin Watson stat

Std. Error 0.695489 0.077184 0.050953 0.817845 1.295836

T Statistic

Prob

F- statistic Prob(F- statistic)

60.61265 0.003951

h) C ki n cho r ng K t l thu n hon ton v i l, do m hnh [3] c a c ng tuy n, ki n ng hay sai? i) Bi n K v L c quan h nh th no th m hnh [3] c a c ng tuy n? j) Cho bi t k t qu sau dng lm g v k t lu n g thu c hay khng? ln K i = 1 + 2 ln K i + U i ; 1 = 7.531; se( 1 ) = 0.935; 2 = 0.152; se( 2 ) = 0.121; R 2 = 0.053 BI T P TH C HNH CHNG 5 Sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a Nguy n Quang Dong Cho bi t: f0,05(1; 23) = 4,279,f0,05(1; 25) = 4,2417; f0,05(2; 21) = 3,4668 f0,05(1; 22) = 4,300949; f0,05(3; 20) = 3,098391; f0,05(2; 21) = 3,4668

19

 2. Hi n t ng phng sai c a sai s thay i 4.2.1. Gi i thch cc khi ni m sau: a) Hi n t ng phng sai c a sai s khng ng u? Nguyn nhn b) Tnh ch t c a cc c l ng khi phng sai c a sai s khng i? 4.2.2. Hi n t ng phng sai c a sai s thay i gy ra nh ng h u qu g? 4.2.3. Pht hi n ra phng sai c a sai s thay i nh th no? 4.2.4. Kh c ph c phng sai c a sai s thay i nh th no? 4.2.5. Phng php bnh phng nh nh t t ng qut th c hi n nh th no? 4.2.6. Cho b ng k t qu h i quy [1] v i EX l t ng gi tr xu t kh u, GAP l t ng s n ph m nng nghi p, GIP l t ng s n ph m cng nghi p c a Vi t Nam ( n v : tri u USD), s li u UNCTAD; cc b ng k t qu sau c Resid l k hi u ph n d c a m hnh [1]
[1] Dependent Variable : EX Method : Least Squares Date: 02/25/11 Time: 15:20 Sample: 1986 2006 Included observation: 21 Variable Coeficient C 616.0880 GAP - 1.150342 GIP 2.254334 R squared Durbin Watson stat

Std. Error 1517.436 0.610231 0.272353 0.986036 0.917885

T Statistic

Prob

Mean dependent var

12662.97

a) Cho b ng k t qu [1a] d a trn m hnh [1] (h i quy khng c tch cho)

[1a] White Heteroskedasticity Test: - no cross terms F statistic 12.94728 Probability 0.000068 Obs*R squared 16.04345 Probability 0.002961 Dependent Variable : RESID^2 Included observations: 21 Variable Coeficient Std. Error T Statistic C 19431891 7107300 GAP - 11077.75 4195.004 GAP^2 1.129366 0.308390 GIP 1916.946 1541.284 GIP^2 - 0.155541 0.064455 R squared 0.763974 Mean dependent var Durbin Watson stat 1.300125

Prob

2011908

Cho bi t k t qu [1a] dng lm g, th c hi n t t c cc ki m nh c th k t lu n. b) Cc c l ng h s c a m hnh [1] c ph i l t t nh t hay khng? c) V i ki m nh White c tch cho thu c k t qu sau, hy vi t m hnh h i quy ph , th c hi n ki m nh v k t lu n?
[1b] White Heteroskedasticity Test: cross terms F statistic 18.47257 Probability Obs*R squared 18.06602 Probability 0.000006 0.002865

d) K t qu [1c] sau y dng lu n?

lm g v th c hi n cc ki m

nh c th

k t

[1c] Dependent Variable : LOG(RESID^2) Included observations: 21 Variable Coeficient Std. Error C 8.653524 5.052607 LOG(GAP) 0.532334 0.588999 R squared 0.041220 Durbin Watson stat

T Statistic Mean dependent var

Prob

20

e) Khi h i quy gi tr tuy t i c a ph n d t m hnh [1] theo GIP th thu c h s xc nh b ng 0,26, hy cho bi t k t qu dng lm g v thu c k t lu n g? f) H i quy bnh phng ph n d thu c t m hnh [1] theo bnh phng c a GAP th thu c c l ng h s gc b ng 0.076 v sai s chu n b ng 0,0205. K t qu dng lm g v thu c k t lu n g? g) D a vo ki m nh trong cu trn, hy nu m t cch kh c ph c hi n t ng phng sai c a sai s thay i c a m hnh [1] h) Cho k t qu h i quy [1d] d i y, hy cho bi t k t qu h i quy dng lm g v t cha?
[1d] Dependent Variable : EX/GAP Included observations: 21 Variable Coeficient Std. Error 1/GAP 1465.537 805.2241 C -1.242611 0.414512 GIP/GAP 2.205435 0.207373 R squared 0.967132 Durbin Watson stat 1.029834 White Heteroskedasticity Test: F statistic 0.775922 Probability Obs*R squared 4.315333 Probability T Statistic Prob

Mean dependent var 0.581992 0.504965

1.646545

k) K t qu [1e] sau y dng v t cha?

kh c ph c hi n t ng no, d a trn gi thi t no

[1e] Dependent Variable : EX/GIP Method: Least Squares Included observations: 21 Variable Coeficient Std. Error 1/GIP 672.9681 586.269 GAP/GIP -0.714594 0.332085 C 1.892699 0.186784 R squared 0.608998 Durbin Watson stat 1.045313 White Heteroskedasticity Test: F statistic 0.677251 Probability Obs*R squared 3.867638 Probability

T Statistic

Prob

Mean dependent var 0.647321 0.568626

1.336721

V i m hnh [1e] n u GIP tng 1 n v th EX tng t i a bao nhiu v i tin c y 95%. l) Cho k t qu [1f] d i y v i EXF l c l ng c a EX t [1], cho bi t k t qu dng lm g, d a trn gi thi t no, c k t lu n g?
[1f] Dependent Variable : EX/EXF Method: Least Squares Included observations: 21 Variable Coeficient Std. Error 1/EXF - 89.20411 396.2826 GAP/XF -0. 231545 0.233316 GIP/EXF 1.602554 0.151471 R squared 0.911181 Durbin Watson stat White Heteroskedasticity Test: F statistic 0.786436 Probability Obs*R squared 4.361663 Probability

T Statistic

Prob

Mean dependent var 0.575278 0.498603

1.210433

m) So snh k t qu h iquy v i cc m hnh kh c ph c hi n t ng phng sai c a sai s thay i?

21

Nguy 4.3.1. 4.3.2. 4.3.3. 4.3.4. 4.3.5. 4.3.6. 4.3.7.

BI T P TH C HNH CHNG 6 Sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a n Quang Dong 3. Hi n t ng t tng quan Th no l t tng quan T tng quan v t tng quan chu i c khc nhau khng? Nguyn nhn c a hi n t ng t tng quan Trnh by h u qu c a hi n t ng t tng quan Cc phng php ki m nh t tng quan Trnh by cc cch kh c ph c hi n t ng t tng quan Cho k t qu h i quy v i CS l chi tiu cho tiu dng khu v c dn c, GDP l t ng s n ph m qu c n i, n v : tri u USD (s li u UNCTAD). = 5% .
[1] Dependent Variable : CS Method: Least Squares Included observations: 21 Variable Coeficient C 1972.202 GDP 0.609456 R squared Durbin Watson stat

Std. Error 214.5043 0.007503 0.997128 0.448382

T Statistic Mean dependent var

Prob 16455.67

a) Gi i thch ngha k t qu trn v ki m nh v hi n t ng t tng quan b c nh t trong [1] trn? K t qu c ph i t t nh t khng? b) V i Resid l ph n d thu c t m hnh [1] k t qu d i y cho bi t i u g? Vi t m hnh v th c hi n ki m nh?
[1a] Breusch Godfrey Serial Correlation LM Test: F statistic 23.48433 Probability 0.000130 Obs*R squared 11.88813 Probability 0.000565 Dependent Variable : RESID Included observations: 21 Variable Coeficient Std. Error T Statistic C 19.47901 145.2236 GDP - 0.001193 0.005084 RESID(-1) 0.757521 0.156317 R squared 0.566101 Mean dependent var Durbin Watson stat

Prob

c) Hy nu cch tnh th ng k F statistic v Obs*R squared trong b ng ki m nh v th c hi n ki m nh v i cc th ng k ? d) Cho k t qu ki m nh hi n t ng t tng quan n b c 3 d i y, vi t h i quy ph v ki m nh, h s xc nh c a h i quy ph b ng bao nhiu?
[1d] Breusch Godfrey Serial Correlation LM Test: F statistic 9.246073 Probability 0.000879 Obs*R squared 13.31793 Probability 0.003997

e) S d ng th ng k Durbin Watson, nu m t cch kh c ph c hi n t ng t tng quan b c nh t c a m hnh? f) Cho bi t k t qu h i quy [1f] d i y dng lm g v t c m c ch cha?
[1f] Dependent Variable : CS 0.776*CS(-1) Included observations: 21 Variable Coeficient Std. Error C 495.2485 146.2124 GDP 0.776*GDP(-1) 0.604529 0.016296 R squared 0.987089 Durbin Watson stat 1.388933 T Statistic Mean dependent var Prob 5081.432

22

Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 1.645967 Probability 0.216725 Obs*R squared 1.765494 Probability 0.183941

g) V i k t qu h i quy trn, c l ng l i cc h s c a m hnh g c v cho bi t v i tin c y 95% th tiu dng t nh t i a l bao nhiu? h) Cho k t qu [1h] sau y, hy cho bi t k t qu ny thu c trn gi thi t no, phn tch v hi n t ng t tng quan b c 1 v ngha k t qu ? V i D(CS) = CS CS(-1); D(GDP) = GDP GDP(-1)
[1h] Dependent Variable : D(CS) Included observations: 20 Variable Coeficient Std. Error T Statistic D(GDP) 0.621676 0.024552 R squared 0.926902 Mean dependent var Durbin Watson stat 1.494477 Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 1.118616 Probability 0.304205 Obs*R squared 1.115922 Probability 0.290798 Prob

l) Kh c ph c hi n t ng t tng quan b ng cch thm bi n tr b c 1 c a GDP vo m hnh, c m hnh [1l] cch kh c ph c ny c k t qu khng?
[1l] Dependent Variable : CS Included observations: 20 Variable Coeficient C 2029.374 GDP 0.665963 GDP(-1) - 0.064717 R squared Durbin Watson stat Std. Error 232.8032 0.086056 0.094723 0.997135 0.492157 T Statistic Prob

Mean dependent var

17051.41

m) M hnh [1m] d i y c t tng quan hay khng?

[1m] Dependent Variable : CS Included observations: 20 Variable Coeficient Std. Error T Statistic C 492.2522 314.0830 GDP 0.695480 0.052565 GDP(-1) - 0.577594 0.109852 CS(-1) 0.7856651 0.143331 R squared 0.999005 Mean dependent var Durbin Watson stat 1.851964 Breusch Godfrey Serial Correlation LM Test AR(1) F statistic 0.046862 Probability 0.831532 Obs*R squared 0.062289 Probability 0.802914 Prob

17051.41

i chi u k t qu [1m] v i m hnh g c [1] c th coi c l ng h s t tng quan b c 1 b ng bao nhiu? n)Khi h i quy m hnh CS ph thu c vo GDP theo phng php Cochran Orcutt c k t qu [1n] d i y, hy gi i thch ngha k t qu h i quy?
[1n] Dependent Variable : CS Included observations: 20 after adjusting endpoints Convergence achieved after 6 iterations Variable Coeficient Std. Error C 2202.891 610.0267 GDP 0.604353 0.015638 AR(1) 0.746338 0.150790 R squared 0.998802 Sum squared resid 2188621 Durbin Watson stat 1.358948 Breusch Godfrey Serial Correlation LM Test AR(1)

T Statistic

Prob

Mean dependent var F statistic

17051.41 7084.846

23

F statistic Obs*R squared

3.177239 3.313552

Probability Probability

0.093654 0.068711

BI T P TH C HNH CHNG 7 Sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a Nguy n Quang Dong 4. nh d ng m hnh 4.4.1. T i sao trong nhi u tr ng h p c th coi m hnh c d ng hm sai v th a (thi u) bi n c l p l nh nhau? 4.4.2. N u m hnh thi u bi n th d ng hm sai c th x y ra i u g? 4.4.3. H u qu no x y ra v i m hnh th a bi n c l p? 4.4.4. Ki m nh m hnh th a bi n c l p nh th no? 4.4.5. Ki m nh m hnh thi u bi n d ng hm sai nh th no? 4.4.6. Ki m nh Ramsay c th c hi n nh th no? 4.4.7. Ki m nh nhn t Lagrange (LM) th c hi n nh th no? 4.4.8. Th no l ki m nh tnh ng nh t c a hm h i quy? 4.4.9. Ki m nh tnh ng nh t th c hi n nh th no? 4.4.10. a) Gi s c b s li u theo qu t qu 1 nm 2000 n qu 4 nm 2008 v i cc bi n: M l c u v ti n danh ngha M1, GDP l t ng s n ph m qu c n i tnh theo gi hi n hnh, R l li su t, P l m c gi. C ki n cho r ng c u v ti n danh ngha ph thu c GDP theo gi hi n hnh v li su t, h s co gin c a c u ti n theo cc bi n l khng i. Hy xy d ng m hnh kinh t l ng phn tch nh n xt v cho bi t d u cc h s nh th no th ph h p v i l thuy t kinh t ? b) C ki n cho r ng d ng hm thi t l p trong cu trn l khng ng, hy nu cch ki m nh ki n . c) Nh n nh ki n cho r ng bi n c u v ti n v GDP c n i sang gi tr th c t v mu n tm c l ng i m h s co gin c a c u ti n th c t theo thu nh p qu c n i th c t , hy nu cch tm c l ng ? 4.4.11. Cho k t qu h i quy v i CS l chi tiu cho tiu dng khu v c t nhn, GDP l t ng s n ph m qu c n i. Cho = 5% v i m i ki m nh v kho ng tin c y.
[4.4.11] Dependent Variable : CS Method: Least Squares Included observations: 21 Variable Coeficient Std. Error C 1972.202 214.5043 GDP 0.609456 0.007503 R squared 0.997128 Sum squared resid 5672712

T Statistic Mean dependent var Prob(F statistic)

Prob 16455.67 0.000000

V k t qu c l ng [4.4.11a]
[4.4.11a] Ramsey RSET Test: F statistic 7.012446 Log likelihood ratio 6.909038 Test Equation: Dependent Variable : CS Variable Coeficient C 1427.946 GDP 0.677308 FITTED^2 -2.93E-06 R squared Probability Probability Std. Error 227.8364 0.026444 1.11E-06 0.997934 0.016354 0.008576 T Statistic Prob

Mean dependent var

16455.67

a) Hy gi i thch ngha k t qu c l ng [4.4.11a] b) H i quy m hnh [4.4.11] thu c cc ph n d gi tr c l ng bi n CS. Khi h i quy CS theo GDP v bnh phng, l p phng c a c l ng bi n CS th
24

thu c k t qu c h s xc nh b ng 0,9985; k t qu dng lm g, c k t lu n g thu c? c) Khi h i quy ph n d thu c t [4.4.11] theo GDP v bnh phng c a c l ng CS, th thu c k t qu c h s xc nh b ng 0,524; k t qu ny dng lm g, k t lu n g v m hnh [4.4.11]. d) V i cng b s li u, cho k t qu h i quy [4.4.11b]
[4.4.11b] Dependent Variable : CS Method: Least Squares Included observations: 21 Variable Coeficient Std. Error C 488.0632 444.1415 GDP 0.844005 0.072200 GDP^2 -8.24E-06 2.86E-06 GDP^3 7.88E-11 3.13E-11 R squared 0.998494 Durbin Watson stat 0.860544 Ramsey RSET Test: F statistic 0.024599 Probability

T Statistic

Prob

Mean dependent var Prob(F statistic) 0.877331

16455.67 0.000000

K t qu ni ln i u g? e) V i k t qu h i quy [4.4.11b], tm c l ng i m khuynh h ng tiu dng bin; n u GDP m c 60 t USD th c l ng i m tiu dng bin b ng bao nhiu? f) T i m c GDP =60, khuynh h ng tiu dng bin c xu th tng hay gi m theo GDP? Khi no khuynh h ng tiu dng bin c xu th tng ln theo GDP.

BI T P TH C HNH CHNG 8 Sch Bi t p Kinh t l ng v i s tr gip c a ph n m m Eviews c a Nguy n Quang Dong

25