Huong Dan Su Dung Eviews 6.0

BI GING 2: HNG DN S DNG EVIEWS 6.0 ThS Phng Thanh Bnh ptbinh@ueh.edu.
vn
BI GING 2
HNG DN S DNG EVIEWS 6.0

MC TIU BI GING:
1. Eviews l g? 2. Workfile l g? 3. Trnh by d liu trong Eviews? 4. i tng trong Eviews 5. Qun l d liu trong Eviews 6. Cc php ton v hm s g trong Eviews 7. Cc vn c bn v phn tch d liu chui v nhm 8. Xy dng hm kinh t lng trong Eviews 9. Kim nh gi thit ca m hnh hi qui trong Eviews
I TNG BI GING:
1. Ti liu bi ging cho sinh vin i hc 2. Ti liu tham kho n tp cho hc vin cao hc
NHNG VN C BN V EVIEWS
EVIEWS L G?
Eviews1 cung cp cc cng c phn tch d liu phc tp, hi qui v d bo chy trn nn Windows. Vi Eviews ta c th nhanh chng xy dng mt mi quan h thng k t d liu c sn v s dng mi quan h ny d bo cc gi tr tng lai. Eviews c th hu ch trong nhiu lnh vc nh phn tch v nh gi d liu khoa hc, phn tch ti
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Vit tt ca Econometrics Views
BI GING 2: HNG DN S DNG EVIEWS 6.0 ThS Phng Thanh Bnh ptbinh@ueh.edu.vn
chnh, d bo kinh t v m, m phng, d bo doanh s, v phn tch chi ph. c bit, Eviews l mt phn mm rt mnh cho cc nghin cu d liu thi gian v d liu cho vi c mu ln. Eviews a ra nhiu cch nhp d liu rt thng dng v d s dng nh nhp t bn phm, t cc tp tin sn c di dng Excel hay Text. Vi Eviews, chng ta c th d dng to ra cc chui mi t cc chui hin hnh, hoc m rng d liu c sn. Eviews trnh by cc biu mu, th, kt qu n tng v c th in trc tip hoc chuyn qua cc loi nh dng vn bn khc. Eviews gip ngi s dng d dng c lng v kim nh cc m hnh kinh t lng. Ngoi ra, Eviews cn gip nhng ngi nghin cu chuyn nghip c th xy dng cc tp tin bi ging trnh cho d n nghin cu ca mnh. Eviews tn dng cc c im hin th u vic ca nn Windows hin i nn rt thun tin cho tt c mi ngi d dng s dng nh dng chut, cc thanh ko, thay i giao din, thot, Nh s dng loi ngn ng rt gn vi cc k hiu chun ca ton, thng k, v kinh t lng, nn ngi s dng d dng suy lun mt cch hp l khi xy dng hoc kim nh cc m hnh hi qui trn Eviews. Nu chng trnh c ci t thnh cng, th khi khi ng Eviews chng ta s thy xut hin mt ca s chnh nh sau:
Title bar: Thanh tiu , Main Menu: Trnh n chnh, Command Window: Ca s/Mn hnh lnh, Work Area: Vng lm vic, Status Line: Dng trng thi.
Ngun: Eviews 6 Users Guide, pp.10

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WORKFILE L G?
Workfile c gi chung l tp tin lm vic ca Eviews (sau y s gi l tp tin Eviews). mt cp c bn, mt tp tin Eviews n gin l mt tp tin cha cc i tng ca Eviews2. Mi i tng bao gm mt tp hp cc thng tin c lin quan n mt lnh vc phn tch c th v d mt chui3, mt phng trnh, hay mt th. Lm vic trn Eviews ch yu lin quan n cc i tng cha trong mt tp tin Eviews. Cho nn, bc u tin trong bt k mt d n no vi Eviews l cn to ra mt tp tin mi hoc m mt tp tin c sn. Mi tp tin Eviews cha mt hoc nhiu trang4. Mi trang cha cc i tng ring. Trang c xem nh mt th mc con hay tp tin ph5 trong mt tp tin. Thng thng chng ta ch lm vic trn mt trang duy nht. Trong khi mt tp tin Eviews c thit k cha nhiu i tng khc nhau nh cc phng trnh, th, v ma trn, nhng mc ch chnh ca n l cha b d liu. Mt tp hp cc quan st ca mt hoc mt s bin c gi l b d liu, trong mi quan st c nhn dng ring. To mt tp tin Eviews C nhiu cch to mt tp tin mi. Vic u tin khi to mt tp tin Eviews l xc nh cu trc ca tp tin6. C ba cch to tp tin khc nhau. Th nht l m t cu trc ca tp tin Eviews. Theo cch ny, Eviews s to ra mt tp tin mi ngi s dng nhp d liu mt cch th cng t bn phm hoc copy v dn, v d t Excel. Th hai l m v c d liu t mt ngun bn ngoi (khng thuc nh dng Eviews) nh Text, Excel, Stata. Thun tin hn nhiu so vi cc phin bn trc, Eviews 5 v 6 t ng phn tch ngun d liu, to mt tp tin, v nhp d liu. y l cch c s dng ph bin nht. Th ba l to mt tp tin theo hai bc ring bit. Trong bc mt ta to ra mt tp tin mi theo mt trong hai cch trn. Trong bc hai ta s cu trc tp tin. Bi ging ny ch tp trung hng dn cch th nht v th hai.
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Container for Eviews objects Series 4 Page 5 Subdirectory/Subworkfile 6 Structure of the workfile
(i) To mt tp tin bng cch m t cu trc m t cu trc ca tp tin Eviews, ta phi cung cp cho Eviews cc thng tin v s quan st v cc nhn dng lin quan. to mt tp tin mi trn Eviews, ta chn File/New Workfile, t thc n chnh m hp thoi Workfile Create. gc tri ca hp thoi l mt hp nh m t cu trc c bn ca b d liu. Ta c th chn gia Dated-Regular Frequency, Unstructured, v Balanced Panel. Ni chung, ta c th s dng Dated-regular frequency7 nu ta c b d liu thi gian, vi b d liu bng n gin ta s dng Balanced Panel, v cc trng hp khc ta s dng Unstructured8. Sau khi ta xc nh loi cu trc d liu, Eviews s t ng nhc ta m t c im ca b d liu nh tn sut, ngy bt u, ngy kt thc i vi loi d liu thi gian; s quan st i vi loi d liu cho; v tn sut, ngy bt u, ngy kt thc, v s quan st ti mi thi im i vi loi d liu bng.
Nu l d liu nm, th Frequency ta chn Annual; cc Start date v End date ta nhp nm bt u v nm kt thc ca cc chui d liu. Nu d liu l qu, th Frequency ta chn Quarterly; cc Start date v End date ta nhp qu bt u v qu kt thc ca cc chui d liu. y ta c th chn mt trong hai cch sau (v d qu 2 nm 2005): 2005:2 hoc 2005Q2. Nu l d liu thng, th Frequency ta chn Monthly; cc Start date v End date ta nhp thng bt u v thng kt thc ca cc chui d liu. Tng t, ta c th chn mt trong hai cch sau (v d thng 8 nm 2008): 2008:8 hoc 2008M8. Cc t tn l ty chn (t tn tp tin v tn trang), nhng thng thng khng cn thit. 8 S dng i vi loi d liu cho v ta ch cn nhp s quan st ca b d liu (dataset) vo Observations l xong.
(ii) To mt tp tin bng c t mt ngun d liu bn ngoi Ta c th m trc tip mt ngun d liu bn ngoi nh nh cch m mt tp tin Eviews. m mt file bn ngoi, trc ht ta chn File/Open/Foreign Data as Workfile9, n hp thoi Open, chn Files of type, m file cn chuyn sang tp tin Eviews, v thc hin mt s iu chnh nu cn thit. Xem v d minh ha sau y. m v chuyn mt tp tin no sang Eviews, trc ht phi xc nh th mc thch hp, ri chn tp tin (File name v Files of type) cn chuyn sang tp tin Eviews. Tuy nhin, tp tin ngun vi nh dng khc nhau s c mt s khai bo ring. i vi tp tin Stata. Khi chn v m tp tin (v d Chapter2.1.dta trong th mc data nh trong hp thoi), ta thy xut hin hp thoi Table Read Specification. Trong , ta chn Select hoc Unselect chn cc bin cn thit chuyn sang dng d liu nhin, thng thng ta chn tt c cc mc nh ca Eviews. Ngoi ra, ta cng li b d liu ca mnh thng qua chn cho ph hp mc tiu nghin cu (v d
Eviews thi. Tuy bin c sn theo c th nh ngha cc iu kin cn ch chn cc quan
D nhin ta cng c th chn File/Open/Eviews Workfile nhng s bt tin mt t xu l trong types of file s mc nh loi tp tin Eviews thi.
st c age>10) bng cch chn Filter Obs v nhp iu kin vo. i vi tp tin Text. Khi chn v m tp tin (v d Chapter2.2.txt), ta thy xut hin hp thoi ASCII Read. Trong Column specification c ba la chn: Delimiter , Fixed , v An explicit cho php ta la chn chiu rng ca cc ct d liu hin trong tp tin. Tuy nhin, thng thng Eviews s mc nh dng Delimiter Start date/header ta thy Skip lines cho php ta la chn b cc dng u tin (thng ch li dng tn cc bin), v d y ta chn 2. iu ny ch c ngha gip ta d dng kim tra d liu ch khng cn thit lm. Mc Row specification cho php ta xc nh s quan st trong mt dng (thng thng l 1). Mc ny ni chung cng khng cn thit. Sau ta chn Next qua bc 2, v li chn Next qua bc 3. bc 3 ta c th t li tn bin bng cch chn bin v thay bng tn bin mong mun (v d bin employment i thng X2). Ngoi ra, ta cng c th m t c im ca bin (v d n v tnh, ). Cui cng ta chn Finish.
Thng thng nht l s dng d liu t cc tp tin Excel10. Khi chn v m tp tin (v d Chapter2.3.xls) Eviews s thc hin thng qua hai bc. Bc mt, ta thy xut hin hp thoi Spreadsheet Read nh sau:
Bc hai, ging nh bc 3 tp tin dng Text, Eviews s a ra cc la chn c d liu v nhng thay i theo ngi s dng nh t li tn v nhn ca cc bin. Tuy nhin, trong hu ht cc trng hp ngi s dng ch cn chn Finish chp nhn nh dng mc nh.
Eviews 5 v 6 cho php m trc tip tt c cc tp tin dng .xls, .raw, .txt, .dta, Ngy xa ngy xa khi cha c Eviews 5 v 6, vic chuyn mt tp tin t Excel hay Text sang Eviews l mt k tch.
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Ni dung ca s tp tin ca Eviews Khi m mt tp tin lm vic ca Eviews ta s thy xut hin mt ca s nh sau:
Ngun: Eviews 6 Users Guide, pp.47
Ta c th trnh by dng tm tt ni dung ca tp tin Eviews bng cch chn View/Statistics v quay tr v th mc gc bng cch chn View/Workfile Directory. Ngoi ra, ta cng c th xem chi tit ni dung tp tin bng cch chn View/Name Display hoc View/Statistics Sau khi to mt tp tin Eviews, ta nn lu di nh dng Eviews bng cch chn File/Save As File/Save Eviews s hin ra hp thoi Saveas, ta tn cho tp tin , v chn mc chnh xc trong thoi Workfile Save. li hay t hp
TRNH BY D LIU
Khi c sn tp tin Eviews, ta c th s dng cc cng c Eviews c bn phn tch d liu ca tng chui (sau y cng c gi l bin11) hay mt nhm cc bin theo nhiu cch khc nhau. Trnh by d liu ca mt chui12 xem ni dung ca mt bin no , v d M113 trong tp tin Chapter2.3.wf1, ta nhp p vo biu tng bin M1 trong ca s ca tp tin ny, hay chn Quick/Show trong thc n chnh, nhp M1 v chn OK. Eviews s m bin M1 v th hin di mt dng bng tnh mc nh.
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Variable Series statistics 13 Cung tin
t tn v nhn ca mt chui Nhp p vo thc n Name, Eviews s hin th Object Name (tn i tng), trong c phn tn bin v nhn ca bin. Nu bin c tn nhn th khi ta lp bng hoc v th, th trn bng hay th s hin th tn nhn. V th C hai cch biu din th dng Line ca bin M1. Th nht, t Series M1 (chui M1), ta chn View/Graph/Line. Th hai, t ca s tp tin Chapter2.3.wf1 ta chn Quick/Graph/ ri nhp tn bin M1, chn OK, v ta s thy xut hin hp thoi nh sau:
Nu chn Area, ta s c th sau y (nu mun copy v dn th ny ra word, ta nhp vo th, Ctrl C, ri dn vo word mt cch bnh thng):
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M1
1,200
1,000
800
600
400
200
0 1955 1960 1965 1970 1975 1980 1985 1990
chnh sa v bin tp th, ta chn Options hay nhp p vo th. Eviews cho php thay i hnh nn, khung th, dng ng th, i trc14, t tn nhn th, thay i font ch, Ngoi ra, Eviews cng cho php ta ghi ch di dng text ln th, t tn th v lu trong tp tin Eviews, hay c th copy v dn di dng vn bn (nhp vo th, Ctrl C, v c th dn vo word mt cch bnh thng). Ta cng hay quan tm n cc dng biu th th bng cch ch Template, trong c nhiu s la chn rt th v.
Eviews cng cho php v th h trc kp (thng i vi cc bin c n v tnh khc nhau nh lng c phiu giao dch v ch s gi chng khon)
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Nu mun lu th (dng mt i tng trong tp tin Eviews), ta chn Object/Freeze Output, ri chn Name t tn th trong tp tin Eviews. T th, tr li bng tnh d liu ta chn View/SpreadSheet. Thng k m t15 m t d liu ca mt bin trn Eviews ta c th lm nh sau. Th nht, t Series M1, ta chn View/Descriptive Statistics/Histogram & Stats. Th hai, t ca s tp tin Chapter2.3.wf1, ta chn Quick/Series Statistics/Histogram & Stats, ri nhp tn bin M1, v chn OK. Lu , copy c th v kt qu tm tt thng k16, ta click vo th hoc tm tt thng k, v copy (c th l Ctrl+C). lu kt qu (i tng) ny trong tp tin Eviews ta chn Freeze (hoc Object/Freeze Output v t tn. Ngoi ra, ta cng c th chnh s th v khung ca kt qu thng k nh cch hng dn trn. Kt qu thng k ny c s dng rt ph bin trong thng k v kinh t lng. c bit, t kt qu ny chng ta c th d dng kim nh xem mt bin s no c phn phi chun hay khng bng cch xem hai thng tin quan trng l JarqueBera v Probability. Cc ni dung ny s c trnh by chi tit phn sau v cc bi ging sau.
40 35 30 25 20 15 10 5 0 200 300 400 500 600 700 800 900 1000 1100
Series: M1 Sample 1952Q1 1992Q4 Observations 164 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability 372.0624 265.4275 1089.475 126.5370 265.0576 1.040951 2.827214 29.82185 0.000000
C cc loi thng k nh: thng k m t (descriptive statistics), thng k suy lun (statistical inference), thng k ton (mathematical statistics), thng k kinh t (economic statistics), Tm c Hong Trng, 2007, Thng k ng dng trong kinh t x hi, NXB Thng k. 16 Cc thng k ny s c trnh by chi tit bi ging 3, hoc c th tm c Hong Trng, 2007. t bit, thng k JB rt cn thit cho vic kim nh phn phi chun ca mt bin s.
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Ngoi ra, ta cng c th biu din di dng th phn phi xc sut ca gin phn phi histogram, th t Chart Options ta chn Distribution, chn Kernel Density v chn OK.
M1
.0024
.0020
.0016
Density
.0012
.0008
.0004
.0000 -200
200
400
600
800
1,000
1,200
1,400
Trnh by d liu ca mt nhm cc bin17 M v t tn nhm lm vic vi mt nhm cc bin c lin quan, ta chn ng thi cc bin v chn Open as Group, sau t tn nhm bng cch chn Name t tn nhm v tn nhn18 ca nhm. V th Cch v th nhm cng tng t v th ca tng chui d liu. Nu v th dng Line gia cc chui c thang o khc nhau nh GDP v M1, th ta nn v th h trc kp, trong cc bin c thang o tng t nhau ta cho cng h trc (tri hoc phi). Cc bc tin hnh nh sau:
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Group statistics Label
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1. Quick/Graph/Line, GDP M1, OK 2. Chn Graph Options, ri chn Axes/Scales chuyn th ca chui GDP sang phi (Right) Ngoi ra, trong nhiu trng hp ngi nghin cu c th chn dng th thch hp biu din mi quan h gia cc bin. Chng hn, trng hp hay gp l trong mi quan h gia lng c phiu giao dch v ch s gi chng khon, th ngi ta thng biu din lng c phiu giao dch bng th dng bar19 v ch s gi chng khon bng th dng line. Trong Options ta chn Type v chn dng hn hp (Mixed)20.
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Thng thng l dng ct (column), nhng trng hp ny cha gp trong Eviews 5. iu quan trng l c c mi quan h gia cc bin trn th.
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1,000 1,200 800
600
800
400
400
200 1955 1960 1965 1970 1975 1980 1985 1990
M1
GDP
Thng k m t Ta c th ng thi to ra mt bng thng k m t nhiu bin khc nhau bng cch chn View/Descriptive Stats/Individual Samples hay Quick/Group Statistics/Descriptive Statistics/Individual Samples.
Ngoi ra, xem xt mi quan h gia tng cp bin ta c th to ma trn h s tng quan bng cch chn View/Correlations/Pairwise Samples hay Quick/Group Statistics/Correlations21.
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Thng k h s tng quan s c trnh by bi ging 3
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CC VN C BN V I TNG TRONG EVIEWS

i tng l tp hp cc thng tin v cc thao tc c lin quan vi nhau c nhm li thnh mt n v nhm mc ch to ra s tin li trong vic s dng. Hu nh tt c cc cng vic thc hin trn Eviews c lin quan n s dng nhiu i tng khc nhau. Eviews gi tt c cc i tng ca n trong cc i tng cha22. Ta c th hnh dung i tng cha ging nh cc t h s23 trong mi ngn t l mt i tng ring. i tng cha quan trng nht trong Eviews l tp tin Eviews. i tng l g? Thng tin trong Eviews c lu tr trong cc i tng. Mi i tng gm tp hp cc thng tin c lin quan nhau v mt lnh vc phn tch nht nh. V d, i tng chui l tp hp cc thng tin lin quan n cc quan st ca mt bin s nht nh; i tng phng trnh l l tp hp cc thng tin lin quan n mi quan h gia mt tp hp cc bin s. Lu , mt i tng khng nht thit ch cha ng mt thng tin duy nht. V d, i tng phng trnh c lng khng ch cha cc h s c lng ca phng trnh24, m cn m t dng m hnh, ma trn phng sai-hip phng sai25 ca cc h s c lng, v nhiu thng k khc na. D liu ca i tng Mi i tng cha ng nhiu loi thng tin khc nhau. V d, cc i tng chui, ma trn, vect v tch v hng26 hu nh ch cha thng tin s27. Ngc li, cc i
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Object container Filling cabinet 24 Estimated equation object 25 Variance-Covariance matrix of the coefficient estimates 26 Scalar object
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tng phng trnh v h thng cha ng cc thng tin v dng m hnh, v cc k qu c lng cng nh cc tham chiu v ngun d liu c s dng c lng. Cc i tng th v biu bng cha c cc thng tin s, ch, v nh dng. Do cc i tng cha ng cc loi d liu khc nhau nn ta s lm vic vi cc i tng khc nhau theo cc cch khc nhau. Cc hin th i tng28 C nhiu cch khc nhau phn tch d liu trong mt i tng. Cc hin th l cc ca s dng biu bng hay th cung cp cho ta nhiu cch khc nhau xem xt d liu trong mt i tng. V d, mt i tng chui c th c cc cch hin th bng tnh, th ng thng, th thanh, thng k v biu tn sut, gin t tng quan29, th phn phi, Mt i tng phng trnh c th c cc hin th dng m hnh ca phng trnh, kt qu c lng, hin th gi tr thcgi tr c lng-phn d30 (k c cc th). Mt hin th hip phng sai cha ma trn hip phng sai ca cc h s c lng, Cc hin th ca mt i tng c trnh by trong ca s i tng31. Ch mt ca s c th c m cho mi i tng v ti mt thi im mi ca s ch trnh by mt hin th duy nht ca mt i tng. D nhin, ta c th thay i hin th ca mt i tng. Lu , thay i hin th ch thay i nh dng ca d liu32 ch khng khng th thay i d liu trong i tng. Cc th tc ca i tng33 Hu ht cc i tng ca Eviews u c cc th tc. Ging nh hin th, th tc thng trnh by cc bng biu v th trong ca s i tng. Tuy nhin, khc hin th ch th tc c th thay i d liu trong bn thn i tng hoc mt i tng khc. Nhiu th tc c th to ra cc i tng mi. V d, mt i tng chui c th cha cc th tc lm trn34 hay iu chnh yu t
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Numeric information Object view 29 Correlogram 30 Actual-Fitted-Residual view 31 Object window 32 Data display format 33 Object procedure/procs 34 Smoothing
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ma trong chui thi gian v to ra mt chui mi cha d liu c lm trn hay iu chnh. i tng phng trnh c cc th tc to ra cc chui mi cha phn d, gi tr c lng, hay gi tr d bo t phng trnh c lng. Cc loi i tng Cc i tng ph bin nht trong Eviews l chui v phng trnh. Tuy nhin, c rt nhiu cc i tng khc nhau v mi loi i tng c mt chc nng nht nh. Hu ht cc i tng c biu hin bng mt biu tng35 ring. Di y l cc biu tng i tng c bn:
Cc thao tc c bn v i tng36 To i tng to mt i tng trc ht ta phi m tp tin cha v ca s tp tin cha ang ch lm vic37, ri chn Object/New Object thc n chnh. Khi ta thy xut hin mt hp thoi New Object, sau chn loi i tng. Chn i tng Cch d nht chn i tng l ch vo-v-nhp chut. Hn na, nt View trong thanh cng c ca tp tin Eviews c th gip ta chn tt c hoc khng chn tt c bng cch chn Select All hay Deselect All.
35 36
Icon Basic object operation 37 Active
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M i tng Sau khi chn i tng hay mt s i tng, chc chn ta s mun m hoc to ra mt i tng mi cha cc i tng chn. Tht n gin, ta ch cn nhp p vo i tng . Nu l mt nhm cc i tng, ta phi chn View/Open as One Window Xem i tng38 Mt cch khc chn v m i tng l chn Show thanh cng c39 hay chn Quick/Show t thc n v nhp tn i tng vo hp thoi. Nt Show cng c th c s dng hin th cc phng trnh ca cc chui. Ca s i tng Ca s i tng l ca s c hin th khi ta m mt i tng hay mt cha i tng. Mt ca s i tng s cha hoc mt hin th ca i tng hoc cc kt qu ca mt th tc ca i tng. Eviews cho php m cng lc nhiu ca s i tng. Cc thnh phn ca mt ca s i tng y l minh ha ca s phng trnh t kt qu hi qui theo phng php OLS. Mt s im cn lu nh sau:
Ngun: Eviews 6 User Guide, pp.69

38 39
Show Toolbar
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Th nht, y l mt ca s chun v ta c th ng, thay i kch c, phng to, thu nh, v ko ln xung hay qua li. Khi c nhiu ca s khc ang m, nu ta mun ca s no ch lm vic th ta ch cn nhp vo thanh tiu hay bt k u trong ca s . Lu , ca s ang ch lm vic c biu hin vi thanh tiu c mu m. Th hai, thanh tiu ca ca s i tng cho bit loi i tng, tn i tng, v tp tin cha. Nu i tng cng chnh l i tng cha th thng tin cha c thay bng thng tin th mc.Th ba, trn nh ca s c mt thanh cng c cha mt s nt gip ta d dng lm vic. Cc thc n v thanh cng c ca i tng
Ngun: Eviews 6 User Guide, pp.71 Lm vic vi i tng
t tn v tn nhn ca i tng
Cc i tng c th c t tn hoc khng c t tn. Khi ta t tn cho i tng, th tn i tng s xut hin trong th mc ca tp tin Eviews, v i tng s c lu nh mt phn ca tp tin khi tp tin c lu. Ta phi t tn i tng nu mun lu li cc kt qu ca i tng.
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Nu ta khng t tn, i tng s c gi l UNTITLED. Cc i tng khng c t tn s khng c lu cng vi tp tin, nn chng s b xa khi ng tp tin. i tn i tng, trc ht phi m ca s i tng, sau n nhp vo nt Name trn ca s i tng v nhp tn (v tn nhn) vo. Nu c t tn nhn th tn nhn s xut hin trong cc bng biu th, nu khng Eviews s dng tn i tng. Lu , y l nhm mc nh v khng c s dng cho tn i tng: ABS, ACOS, AND, AR, ASIN, C, CON, CNORM, COEF, COS, D, DLOG, DNORM, ELSE, ENDIF, EXP, LOG, LOGIT, LPT1, LPT2, MA, NA, NOT, NRND, OR, PDL, RESID, RND, SAR, SIN, SMA, SQR, v THEN.
Copy v dn i tng
C hai phng php to ra bn sao cc thng tin cha trong i tng: Copy v Freeze. Nu ta chn Object/Copy t thc n, Eviews s to ra mt i tng mi ging y nh i tng gc (d nhin phi khc tn). Ta cng c th copy i tng t ca s tp tin bng cch ch ra i tng v chn Object/Copy Selected sau xc nh tn ch40 cho i tng mi c copy. Nu ta chn Object/Freeze Output hay chn nt Freeze trn thanh cng c ca i tng, mt i tng dng bng hay th c to ra ging y nh hin th hin hnh ca i tng gc. Freeze hin th to ra mt bn copy ca hin th v to ra mt i tng c lp hon ton. Tnh cht c bn ca vic Freeze mt i tng l cc bng biu v th c to ra c th c chnh s cho mc ch trnh by hay bo co.
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Destination name, khc vi original name
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Ngoi ra, Eviews cn cho php ta xa, in n, lu tr, cp nht, i tng. QUN L D LIU
C ba vn c bn lin quan n qun l d41 liu trong Eviews l chui, nhm, v mu42. Mu l mt s cc quan st trong tp tin Eviews c s dng cho cc mc ch phn tch. Mt chui trong Eviews l mt s cc quan st v mt bin bng s, trong mi quan st bao gm ngy hoc tn quan st. to mt chui, t ca s tp tin Eviews ta chn Object/New Object/Series v t tn cho chui . Chui mi c to ra cha c gi tr bng s v Eviews mc nh bng k hiu NA. Ngoi ta, ta cng c th chn Quick/Generate Series v trong hp thoi Enter Equation ta t tn chui mi, v d Y=NA. nh dng mt chui d liu trong Eviews, v d M1, trc ht ta phi chn v m chui M1, sau c th chn Properties nh dng chui, chn Name t tn v tn nhn, chn Edit+/- iu chnh d liu, chn InsDel b hoc chn mt quan st ngay ti du nhc hin hnh. Khi lm vic ng thi vi nhiu chui khc nhau nh v th, tnh ma trn tng quan, kim nh, ta thng to mt nhm ring bng cch chn Object/New Object trong Main Menu hay Workfile Toolbar, chn Group, nu cn c th t tn cho nhm. Sau , ta phi nhp tn cc chui trong nhm, v d, GDP v M1, cc chui cch nhau bng mt khong trng, cui cng chn OK. Lu , ta c th a tn nhm, cng thc, hay hm s vo trong hp thoi. Ngoi ra, ta c th chn Quick/Show
41 42
Data handling c gi chung l cc i tng d liu (data objects)
22
ri nhp tn cc chui, cng thc, hm s vo, ri chn Name t tn nhm. Mu l mt tp hp cc quan st trong tp tin Eviews c s dng cho vic m t d liu hoc thc hin cc qui trnh thng k. Cn phn bit hai khi nim, Workfile Range - ton b cc quan st sn c ca mt b d liu, vi Workfile Sample - ch cc quan st c s dng cho mc ch phn tch nht nh.
C bn cch xc nh mt mu tp tin Eviews: Th nht, nhp vo Sample trn Workfile Toolbar; Th hai, nhp p vo mu hin trong ca s tp tin Eviews; Th ba, chn Proc/Sample t thc n chnh ca tp tin Eviews; Th t, dng lnh smpl trong ca s lnh. m rng mt tp tin Eviews, ta chn Proc/Change Workfile Range , nhp vo cc Start date v End date khong thi gian mi. Khi , cc quan st mi ca tt c cc chui s l NA. Ngoi ra, Eviews cho php ta c th nhp v xut d liu t cc ngun bn ngoi nh Excel, Lotus, hay ASCII sang Eviews v ngc li. bit chi tit, ta c th tham kho chng 5, Eviews 6 Users Guide.
PHP TON V HM S TRONG EVIEWS

Phn ny s gii thiu cc nguyn tc c bn khi s dng cc php tnh ton hc trong Eviews v hng dn cch s dng cc php ton ny khi lm vic vi cc d liu chui v nhm. Cc php ton s hc43 Cc php tnh trong Eviews c th l cc ton t44 cho cc php ton s hc thng thng. Trong Eviews, cc ton t
43
Numeric expression
23
cng, tr, nhn, chia, v ly tha ln lt s l +, -, *, /, v ^. Cc php so snh trong Eviews c qui c nh sau: ln hn (>), nh hn (<), ln hn hoc bng (>=), nh hn hoc bng (<=), v bng (=). Cc php ton chui Eviews cho php ta tnh ton hoc to mt chui mi t mt hoc nhiu chui c sn bng cc ton t thng thng nh trn. V d: 2*y+3 x/y+z Cc hm chui Hu ht cc hm trong Eviews u bt u bng k hiu @, v d @mean(y) ngha l ly gi tr trung bnh ca chui y cho ton b mu hin hnh. C ba nhm hm chui hay s dng trong Eviews: hm ton (mathematical functions), hm tp tin Eviews (workfile functions), v hm dy s (string functions). tm hiu thm v cc hm ny, ta c th tham kho Help/Command & Programming Reference, hoc Help/Quick Help Reference, y ch trnh by mt s hm hay s dng trong cun sch ny. BNG 2.1: Cc hm ph bin trong Eviews Tn hm H s tng quan gia X v Y Hip phng sai gia X v Y S quan st ca bin X S quan st ca hi qui Gi tr trung bnh ca X Gi tr trung v ca X Gi tr nh nht ca X Gi tr ln nht ca X lch chun ca X Phng sai ca X nghing ca X nhn ca X Gi tr tng ca X Gi tr tng bnh phng ca X Tng bnh phng phn d Gi tr tuyt i ca X
44
Thao tc @cor(x,y) @cov(x,y) @obs(x) @regobs @mean(x) @median(x) @min(x) @max(x) @stdev(x) @var(x) @skew(x) @kurt(x) @sum(x) @sumsq(x) @sse @abs(x)
Operator
24
Antilog ca X (eX) Hm nghch o ca X (1/X) Hm logarith t nhin ca X (ln(X)) Cn bc hai ca X To bin xu th Lm trn s Ly tha ca X Ngun: Eviews 6 User Guide
@exp(x) @inv(x) @log(x) hoc log(x) @sqrt(x) hoc sqrt(x) @trend(base date) @round(x) x^2, x^3,
to mt v hng trn Eviews, v d tnh h s tng quan gia X v Y, ta tin hm nh sau. T ca s lnh, ta nhp vo nh sau: Scalar rxy=@cor(x,y)
Khi trong tp tin Eviews s c mt i tng mi dng tch v hng l RXY. V hng c s dng kh ph bin trong cun sch ny, c bit l cc ni dung kim nh gi thit. Bin tr, ti, sai phn45, ma v, v bin xu th Khi lm vic vi d liu chui thi gian, ta thng x l d liu bng cch chuyn ha sang dng tr, ti, sai phn, hoc to thm cc bin gi ma v.
45
Lead: ti, Lag: tr, v Difference: Sai phn
25
Bin tr, ti v sai phn Bin tr mt giai on (Xt-1): x(-1) Bin tr k giai on (Xt-k): x(-k) Bin ti mt giai oi (Xt+1): x(1) Bin ti k giai on (Xt+k): x(k) Sai phn bc mt (X = Xt Xt-1): d(x) Sai phn bc k (kX = Xt Xt-k): d(x,k) Sai phn bc mt ca bin tr dng log t nhin: dlog(x) Trung bnh trt k giai on: @movav(x,k) Ngoi ra, ta c th ng thi kt hp nhiu ton t nhau, v d dlog(x), dlog(x,4), to mt bin mi d sai phn ca X) ta c th chn mt trong hai cch y. Th nht, trn ca s lnh ta nhp genr dx=d(x). hai, ta c th nhp vo genr trn thanh cng c ca s tp tin Eviews v nhp dx=d(x). Bin gi ma v To ra mt bin gi theo qu c gi tr l 1 i vi qu 2 v gi tr l 0 i vi cc qu khc: @seas(2) To ra mt bin gi theo thng c gi tr l 1 i vi thng 2 v gi tr 0 i vi cc thng khc: @month(2) vi (v sau Th ca
Bin xu th Bin xu th l mt bin c gi tr t 1 n n, trong 1 i din cho quan st u tin trong d liu v n i din cho quan st cui cng trong d liu. To bin xu th i vi d liu theo nm, v d bt u t nm 1990 n 2008, ta lm nh sau: Trn ca s lnh ta nhp genr t=@trend(1989). To bin xu th i vi d liu theo qu, v d bt u t 2000Q2 n 2008Q3, ta lm nh sau: Trn ca s lnh ta nhp genr t=@trend(2000Q1). To bin xu th i vi d liu theo thng, v d bt u t 2002M3 n 2008M2, ta lm nh sau: Trn ca s lnh ta nhp genr t=@trend(2002M2).
26
Tuy nhin, khi phn tch d liu v hi qui, ta khng cn phi to thm cc bin mi nh vy m thng s dng trc tip cc hm t cc d liu gc. V d, ta c th hi qui trc tip nh sau: y c x @trend(1989) hoc log(y) c log(x). L do ta khng cn to thm bin mi l cho tp tin Eviews c n gin v d qun l hn.
PHN TCH D LIU VI EVIEWS

PHN TCH CHUI
Khi m mt chui d liu, nu chn View ta thy xut hin mt thc n dng drop-down nh hnh bn cnh. Thc n nay chia thnh bn block ring. Block th nht m t d liu di dng bng tnh hay th. Block th hai v th ba cung cp cc cng c thng k c bn v chui, trong block th ba ch yu s dng cho cc chui thi gian. Block th t cho bit cc thuc tnh, v tn nhn ca chui. Lu rng cc phn phi xc sut ca mt bin ngu nhin s c trnh by mt cch chi tit bi ging 3. Thng k m t Thng k m t gm c bn ni dung: th tn sut v thng k (Histogram and Stats), Bng thng k (Stats Table), Thng k theo nhm (Stats by Classification ), v th hnh hp theo nhm (Boxplots by Classification ).
27
Thng k JB (Jarque-Bera) y l mt thng k thng c s dng kim nh xem mt bin c phn phi chun hay khng. Trong hi qui tuyn tnh c in, thng k ny rt quan trng cho vic kim nh phn d ca m hnh hi theo phng php OLS c phn phi chun hay khng. Gi thit H0: Chui (bin) c phn phi chun
N k 2 (K 3) 2 Cng thc: JB = S + 6 4
(2.1)
Trong , S l nghing ca phn phi, K l nhn ca phn phi, N l s quan st, v k l s h s lng c s dng to ra chui d liu (N-k l bc t do)46. Khi mt chui c phn phi chun th S = 0 v K = 3, nn JB = 0. Chng ta s bit bi ging 3 rng thng k JB c phn phi Chi bnh phng vi s bc t do l 2 (2(2))47. Xc sut c bo co km theo gi tr thng k JB l xc sut m thng k JB ln hn gi tr quan st di gi thit khng (H0), y l s 0. Gi tr xc sut cng nh th kh nng bc b gi thit H0 cng cao. Thng k theo nhm Thng k theo nhm cho php ta tnh cc thng k m t ca mt chui theo cc phn nhm khc nhau trong mu phn tch. Nu ta chn View/Descriptive Statistics/Stats by Classification , th mt hp thoi sau y s xut hin: Cc la chn Stattistics bn tri cho php ta chn cc tiu ch thng k mun tnh ton. Trong Series/Group for classify ta nhp tn chui hay nhm xc nh cc phn nhm. Nu ta chn nhiu chui th mi chui cch nhau mt khong trng. mc Output Layout, nu ta chn cc Margins th bng kt qu c trnh by thng k ca tt cc cc quan st trong cng mt nhm cng nh ca ton b mu phn tch. V d, s dng file Chapter2.4.wf1 thng k m t bin LWAGE (log t nhin48 ca lng tun) theo hai bin CONSTRUC (= 1 nu lm vic trong ngnh xy dng v = 0 nu lm trong cc ngnh khc) v MARRIED (= 1 nu c
46 47
S c gii thch bi ging 3 v 4. C th tham kho thm ca Hong Trng, 2007. S c gii thch bi ging 4 48 Log t nhin c k hiu l ln, nhng ton t trong Eviews l log
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gia nh v = 0 nu cha c gia nh). Kt qu thng k bin LWAGE vi bn tiu ch thng k l trung bnh, trung v, lch chun, v s quan st c trnh by nh bng bn cnh. Nhn vo bng kt qu ta c th so snh c s khc bit gia cc nhm hay khng. Tuy nhin, chc chn s khc bit c ngha v mt thng k hay khng, ta cn da vo loi kim nh thng k thch hp.
Cc kim nh cho thng k m t49 Kim nh gi thit n gin Khi chn View/Tests for Descriptive Stats/Simple Hypothesis Tests th s xut hin mt hp thoi nh sau: Trong hp thoi ny c ba loi kim nh c bn l kim nh trung bnh, kim nh phng sai, v kim nh trung v. Kim nh trung bnh Gi s chui X c gi tr trung bnh mu l X v gi tr trung bnh tng th l . Gi s ta c cc gi thit sau y:
49
C th tham kho thm trong Hong Trng, 2007.
29
H0: = m H1: m Nu ta khng bit gi tr lch chun ca X, Eviews s cho kt qu gi tr thng k t 50tnh ton nh sau:
t= Xm s/ N
(2.2)
Trong , s l lch chun ca mu v N l s quan st trong mu. Nu X c phn phi chun, th vi gi thit H0, thng k t s theo phn phi t vi bc t do l N-1. Nu ta bit gi tr lch chun ca X, Eviews s cho kt qu gi tr thng k z51 tnh ton nh sau:
z=
Xm / N
(2.3)
Trong , l lch chun tng th ca X. Nu X c phn phi chun vi lch chun l , th vi gi thit H0, thng k z c phn phi chun ha. Lm sao to bin z trong Eviews? Nu gi tr t (z) tnh ton ln hn gi tr t (z) ph phn mt mc ngha xc nh (), ta bc b gi thit H0 v ngc li. Kim nh phng sai Thc hin kim nh gi thit H0 cho rng phng sai ca chui X bng mt gi tr 2 nht nh, ta c cc gi thit nh sau: H0: var(X) = 2 H1: var(X) 2 Eviews s cho kt qu thng k chi bnh phng tnh ton nh sau:
=
2
( N 1)s 2 2
(2.4)
50 51
S c gii thch bi ging 5 Khc bit gia thng k z v thng k t s c gii thch bi ging 5
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Vi gi thit H0 v gi nh rng X c phn phi chun, th thng k chi bnh phng s theo phn phi chi bnh phng vi N-1 bc t do. Kim nhm nh ngang bng theo
y l cc kim nh xem cc gi tr trung bnh, phng sai v trung v cc phn nhm trong cng mt chui c bng nhau hay khng. Khi chn View/Tests for Descriptive Stats/Equality Tests by Classification s thy xut hin mt hp thoi nh hnh bn. Trc tin ta phi chn loi kim nh: trung bnh, phng sai, hay trung v, sau chn cc phn nhm mun so snh. Xc nh gi thit: i vi kim nh trung bnh H0: Trung bnh ca cc nhm bng nhau H1: Trung bnh ca cc nhm khc nhau i vi kim nh phng sai H0: Phng sai ca cc nhm bng nhau H1: Phng sai ca cc nhm khc nhau quyt nh, ta so vi gi tr thng k tnh ton ln hn gi ngha nht nh, ta lp bng Tabulation tn snh gi tr thng k F52 tnh ton F ph phn. Nu gi tr thng k F tr thng k F quan st ti mt mc bc b gi thit H0 v ngc li. mt chiu ta chn View/One-Way
Lp bng tn sut mt chiu sut
Biu t tng quan Mc ch ca biu t tng quan l gip ta kim nh xem mt chui thi gian dng hay khng dng53. Trong cc m hnh d bo chui thi gian v d bo bng phng php
52 53
S c gii thch bi ging 4 v 5 y l mt ni dung rt quan trng khi phn tch chui thi gian v c bit c ngha rt ln trong vic la chn m hnh d bo thch hp trong cc phng php d bo nh lng vi d liu chui thi gian. Ni dung ny s c trnh by chi tit bi ging 14.
31
hi qui cc chui thi gian, th vic cc chui thi gian dng hay khng dng c ngha rt quan trng trong vic chn m hnh d bo thch hp. Hai phng php kim nh tnh dng thng c s dng l biu t tng quan (da vo thng k t v thng k Q) v kim nh nghim n v54 (da vo thng k tau ca Dickey-Fuller). Biu t tng quan l mt th biu din mi quan h gia h s t tng quan bc k vi tr k tng ng. H s t tng quan bc k (k hiu l rk) c xc nh theo cng thc sau y:
rk = t = k +1 n 2 (Yt - Y)
t =1
(Yt - Y)(Yt - k - Y) (2.5)
Trong , Y tr, n l nh xem h khng: Thng Thng k t
l s s k
gi tr trung bnh mu ca chui Yt, k l quan st ca mu. C hai phng php kim t tng quan c ngha thng k hay t, v Thng k Q55.
Gi k l h s t tng quan tng th (rk l c lng khng chch ca k), ta c cc gi thit sau y: H0: k = 0 H1: k 0 Nu mt quan l bnh l ca h chui thi gian ngu nhin th cc h s t tng mt bin ngu nhin c phn phi chun vi trung 0 v phng sai l 1/N. Nh vy, vi sai s chun s t tng quan se(rk) l 1 N , ta c th xy
dng khong tin cy cho k hoc tm c gi tr thng k t tnh ton mt mc ngha xc nh. Nu k nm ngoi khong tin cy hoc gi tr t tnh ton ln hn gi tr t quan st ta bc b gi thit H0.
54
Unit root test l mt loi kim nh rt mnh v c s dng ph bin. Ni dung ny s c trnh by chi tit bi ging 14. 55 C th tham kho thm trong John E.Hanke & Dean W.Wichern, (2005), Business Forecasting, 8th Edition.
32
Thng k Q Hai ct cui trong biu t tng quan l thng k Q ca Ljung-Box v gi tr xc sut tng ng. Thng k Q kim nh gi thit ng thi l tt c cc h s k cho ti mt tr ng thi bng khng. Gi tr thng k Q tnh ton theo cng thc sau y:
Q = n 2 k
k =1
(2.6)
Vi c mu ln, Q c phn phi theo Chi bnh phng vi bc t do bng s tr. Nu gi tr thng k Q tnh ton ln hn gi tr thng k Q quan st mt mc ngha xc nh, ta bc b gi thit H0. Trong Eviews, ta lp biu t tng quan bng cch chn View/Correlogram , xc nh biu t tng quan ca chui gc hay chui sai phn bc mt v bc hai, v cui cng l xc nh tr k. V d, chui GDP trong Chapter2.3.xls c biu t tng quan nh sau:
Da vo biu t tng quan xc nh mt chui thi gian dng hay khng nh sau. C th tm tt tng chnh nh sau. Nu h s t tng quan u tin khc khng nhng cc h s t tng quan tip theo bng khng mt cch c ngha thng k, th l mt chui dng. Nu mt s h s t tng quan khc khng mt cch c ngha thng k th l mt chui khng dng. Kim nh nghim n v Kim nh nghim n v l mt kim nh c s dng kh ph bin kim nh mt chui thi gian dng hay khng
33
dng. Ni dung chi tit phn kim nh nghim n v s c trnh by Bi ging 15 v cc m hnh hi qui chui thi gian. Tuy nhin, hiu qui trnh kim nh nghim n v trn Eviews, ta nn xem qua mt s tng c bn v mt l thuyt. Trc ht, cn lu rng c nhiu khi nim cha c hc nn ngi c khng nht thit phi hiu ngay ni dung kim nh nghim n v bi ging ny. Gi s ta c phng trnh hi qui t tng quan nh sau: Yt = Yt-1 + ut Ta c cc gi thit: H0: = 1 (Yt l chui khng dng) H1: < 1 (Yt l chui dng) Phng trnh (2.7) tng ng vi phng trnh (2.8) sau y: Yt - Yt-1 Yt = = Yt-1 - Yt-1 + ut ( 1)Yt-1 + ut = Yt-1 + ut (2.8) (-1 1) (2.7)
Nh vy cc gi thit trn c th c vit li nh sau: H0: = 0 (Yt l chui khng dng) H1: < 0 (Yt l chui dng) Dickey v Fuller cho rng gi tr t c lng ca h s Yt-1 s theo phn phi xc sut (tau statistic, = gi tr c lng/sai s ca h s ). Kim nh thng k cn c gi l kim nh Dickey Fuller (DF). Kim nh DF c c lng vi 3 hnh thc: Khi Yt l mt bc ngu nhin khng c hng s: Yt Yt = = Yt-1 + ut 1 + Yt-1 + ut (2.9) (2.10) Khi Yt l mt bc ngu nhin c hng s: Khi Yt l mt bc ngu nhin vi hng s xoay quanh mt ng xu th ngu nhin: Yt = 1 + 2TIME + Yt-1 + ut (2.11)
34
kim nh H0 ta so snh gi tr thng k tnh ton vi gi tr thng k tra bng DF (cc phn mm kinh t lng u cung cp gi tr thng k ). Tuy nhin, do c th c hin tng tng quan chui gia cc ut do thiu bin, nn ngi ta thng s dng kim nh DF m rng l ADF (Augmented Dickey Fuller Test). Kim nh ny c thc hin bng cch a thm vo phng trnh (2.11) cc bin tr ca sai phn bin ph thuc Yt: Yt = 1 + 2TIME + Yt-1 + i Yt-i + t (2.12) tin hnh kim nh nghim n v trn Eviews ta chn View/Unit Root Test , s xut hin hp thoi Unit Root Test. la chn Test for unit root in, chn level nu mun kim nh chui gc c phi l mt chi dng hay khng, chn 1st difference nu mun kim nh chui sai phn bc mt c phi l mt chui dng hay khng. la chn Include in test equation, chn intercept nu dng phng trnh (2.10), chn trend and intercept nu dng phng trnh (2.11), chn None nu dng phng trnh (2.9), chn trend and intercept v xc nh tr la chn Lag length nu dng phng trnh (2.12).
35
PHN TCH NHM

Khi m mt nhm, nu chn View ta thy xut hin thc n dng dropdown nh hnh bn cnh. Block th nht cung cp cc cch khc nhau m t d liu trong nhm. Block th hai trnh by cc thng k c bn. Block th ba chuyn v cc thng k ca chui thi gian. Block th t l tn nhn nhm cung cp cc thng tin v nhm. Trong phn ny ta ch xem xt mt s ni dung quan trng thng c s dng trong kinh t lng. Thng k m t Trong thng k m t ta thy c ba loi nh sau: Common Sample, Individual Sample, v Boxplots. Common Sample ch tnh cc thng k cc quan st c y gi tr tt c cc chui d liu trong nhm. Individual Sample tnh cc thng k ca cc quan st c y gi tr mi chui d liu. Kim nh ng lin kt56 Chng ta s c bit bi ging 14 rng khi hi qui cc chui thi gian khng dng thng dn n kt qu hi qui gi mo57. Tuy nhin, Engle v Granger58 (1987) cho rng nu kt hp tuyn tnh ca cc chui thi gian khng dng c th l mt chui dng v cc chui thi gian khng dng c cho l ng lin kt. Kt hp tuyn tnh dng c gi l phng trnh ng lin kt v c th c gii hch nh mi quan h cn bng di hn gia cc bin. Ni cch khc, nu phn d trong m hnh hi qui gia cc chui thi gian khng dng l mt chui dng, th kt qu hi qui l thc v th hin mi quan h cn bng di hn gia cc bin trong m hnh. Mc ch ca kim nh ng lin kt l xc nh xem mt nhm cc
56 57
Cointegration test Spurious regression 58 ot gii Nobel kinh t nm 2003
36
chui khng dng c ng lin kt hay khng. C hai cch kim nh. Kim nh nghim n v phn d Gi s GDP v M1 l hai chui thi gian khng dng v ta c m hnh hi qui nh sau: GDPt = 1 + 2M1t + ut (2.13) Nu phn d ut l mt chui dng th kt qu hi qui gia GDP v M1 l thc v ta vn s dng mt cch bnh thng. Ni cch khc, GDP v M1 c quan h ng lin kt v 2 c gi l h s hi qui ng lin kt. Cc bc thc hin trn Eviews nh sau: 1) c lng m hnh GDPt = 1 + 2M1t + ut 2) Kim nh nghim n v chui ut Kim nh ng lin kt da trn phng php VAR ca Johasen Eviews thc hin kim nh ng lin kt trn c s phng php lun VAR ca Johasen (1991, 1995a). Lu , kim nh ny ch c hiu lc khi ta ang xt cc chui thi gian khng dng. Gi s ta mun kim nh ng lin kt gia GDP v M1 trong Chapter2.3.xls theo phng php lun ca Johasen, ta chn View/Cointegration Test s thy xut hin mt hp thoi nh sau:
37
la chn Deterministic trend in data c nm gi nh v cc chui thi gian ang xem xt. Nh s c trnh by bi ging 14, mt chui thi gian c th dng sai phn hoc dng xu th, trong c th c xu th xc nh v xu th ngu nhin. Tng t, cc phng trnh ng lin kt c th c h s ct v xu th xc nh. Trn thc t, trng hp 1 v 5 t khi c s dng. Nu ta khng chc chn v cc gi nh xi th, ta nn chn trng hp 6. Nu m hnh c cc bin ngoi sinh th ta a vo exog variables. Ngoi ra, ta c th xc nh tr ca bin ph thuc trong m hnh Lag intervals v mc ngha MHM. Kt qu kim nh mi quan h ng lin kt gia GDP v M1 nh bng bn cnh. y c hai gi thit H0: (i) None, ngha l khng c ng lin kt (y l gi thit ta quan tm nht); (ii) At most 1, ngha l c mt mi quan h ng lin kt. Lu , ty vo s bin trong m hnh (v d k bin) m ta c k-1 s phng trnh ng lin kt. Khi , ta c thm s gi thit v s phng trnh ng lin kt. quyt nh bc b hay chp nhn gi thit H0, ta so snh gi tr Trace Statistic vi gi tr ph phn (critical value) mc ngha xc nh MHM ( y ta chn l 5%). Nu Trace Statistic < Critical Value, ta chp nhn gi thit H0 Nu Trace Statistic > Critical Value, ta bc b gi thit H0
38
Nhn qu Granger kim nh liu c tn ti mi quan h nhn qu Granger59 gia hai chui thi gian Y v X trn Eviews, ta xy dng hai phng trnh sau: Yt = 0 + 1Yt-1 + + lYt-l + 1Xt-1 + + lXt-l + t Xt = 0 + 1Xt-1 + + lXt-l + 1Yt-1 + + lYt-l + t (2.14) (2.15)
xem cc bin trn ca X c gii thch cho Y (X tc ng nhn qu Granger ln Y) v cc bin tr ca Y c gii thch cho X (Y tc ng nhn qu Granger ln X) hay khng ta kim nh gi thit sau y cho mi phng trnh: H0: 1 = 2 = = l = 0 (2.16) kim nh gi thit ng thi ny, ta s dng thng k F ca kim nh Wald60 v cch quyt nh nh sau: Nu gi tr thng k F tnh ton ln hn gi tr thng k F ph phn mt mc ngha xc nh ta bc b gi thit H0 v ngc li. C bn kh nng nh sau: Nhn qu Granger mt chiu t X sang Y nu cc bin tr ca X c tc ng ln Y, nhng cc bin tr ca Y khng c tc ng ln X. Nhn qu Granger mt chiu t Y sang X nu cc bin tr ca Y c tc ng ln X, nhng cc bin tr ca X khng c tc ng ln Y. Nhn qu Granger hai chiu gia X v Y nu cc bin tr ca X c tc ng ln Y v cc bin tr ca Y c tc ng ln X. Khng c quan h nhn qu Granger gia X v Y nu cc bin tr ca X khng c tc ng ln Y v cc bin tr ca Y khng c tc ng ln X. kim nh nhn qu Granger trn Eviews ta chn View/Granger Causality s xut hin mt hp thoi v tr ti u. Khi xc nh tr ti u v chn OK, ta c kt qu nh sau:
59 60
Granger causality Kim nh tp hp rng buc tuyn tnh s c trnh by bi ging 7
39
Lu , cc tr ca X v Y c th khc nhau v c th c xc nh bng mt s tiu ch thng k khc nhau.
XY DNG HM KINH T LNG TRN EVIEWS

Trong ti liu ny ta ch xt phn tch hi qui n phng trnh. Phn ny trnh by cc k thut phn tch hi qui c bn nh xc nh v c lng mt m hnh hi qui, kim nh gi thit, v s dng kt qu c lng cho cc mc ch d bo.
I TNG PHNG TRNH

c lng hi qui n phng trnh trn Eviews c thc hin bng cch s dng i tng phng trnh. to ra mt i tng phng trnh ta chn Object/New Object /Equation hay Quick/Estimate Equation t thc n chnh, hay n gin ch cn nh equation trong ca s lnh. K tip, ta s xc nh dng phng trnh trong hp son tho Specification ca hp thoi Equation Estimation v chn phng php c lng Method. Cc kt qu c lng c lu tr nh mt phn ca i tng phng trnh.
Xc nh phng trnh hi qui

Khi to ra mt i tng phng trnh s thy xut hin mt hp thoi Equation Estimation v ta cn xc nh ba vic sau: dng phng trnh, phng php c lng, v mu c s dng c lng. Trong hp son tho dng phng trnh ta nhp cc bin ph thuc v gii thch theo th t t tri qua phi v lu xc nh
40
dng hm. C hai cch xc nh dng phng trnh c lng: lit k cc bin v cng thc. Phng php lit k d hn nhng ch c th s dng gii hn cc dng m hnh tuyn tnh. Phng php cng thc tng qut hn v phi c s dng xc nh cc dng m hnh phi tuyn v cc m hnh c rng buc tham s. Xc nh phng trnh theo phng php lit k Cch n gin nht xc nh mt phng trnh tuyn tnh l lit k cc bin trong phng trnh. Trc ht, nhp tn bin ph thuc hay cng thc ca bin ph thuc, sau nhp tn cc bin gii thch. V d, s dng Chapter2.3.xls xc nh phng trnh hi qui GDP theo cung tin M1, ta nhp vo hp thoi son tho dng phng trnh nh sau: GDP c M1 (2.17) Lu c hin din ca chui C trong danh sch cc bin gii thch. y l mt chui mc nh sn trong Eviews c dng xc nh hng s trong phng trnh hi qui. Eviews khng t ng a hng s vo phng trnh hi qui v ty thuc vo m hnh c h s ct hay khng nn ta phi a vo khi xc nh phng trnh hi qui. C l mt i tng c xc nh trc trong bt k mt tp tin Eview no. y l mt vect h s mc nh khi ta xc nh phng trnh bng cch lit k tn cc bin, Eviews s lu gi cc h s c lng trong vect ny theo th t xut hin trong danh sch cc bin. Trong v d trn, hng s s c lu trong C(1) v h s ca M1 s c lu trong C(2). Nu m hnh c bin tr mt giai on ca bin ph thuc th ta lit k cc bit trong hp thoi son tho ny nh sau: GDP GDP(-1) c M1 (2.18) Nh vy h s ca bin tr bin GDP l C(1), h s ca hng s l C(2), v h s ca M1 l C(3). Nu m hnh c nhin bin tr lin tc ca bin GDP th thay v phi nhp tng bin tr GDP(-1) GDP(-2) GDP(3) GDP(-4), Eviews cho php thc hin nh sau: GDP GDP(1 to 4) c M1 (2.19) Tuy nhin, nu ta khng a s 1 v du ngoc n th Eviews s hiu l s 0. V d:
41
GDP c M1(to 2) M1(-4)
(2.20)
Th Eviews s hiu ta hi qui GDP theo hng s C, M1, M1(-1), M1(-2), v M1(-4). Ngoi ra, ta cng c th a cc chui iu chnh vo nhm cc bin gii thch. V d ta hi qui GDP theo hng s, bin tr ca GDP, v bin trung bnh di ng hai giai on ca M1 nh sau: GDP GDP(-1) c ((M1+M1(-1))/2) Xc nh phng trnh theo phng php cng thc Mt cng thc phng trnh trong Eviews l mt biu thc ton v cc bin v h s. xc nh mt phng trnh bng cng thc, n gin l ta nhp biu thc vo hp thoi son tho. V d, hi qui m hnh dng log t nhin nh sau: log(GDP) c log(GDP(-1)) log(M1) (2.22) Hai l do ch yu ta phi s dng phng php cng thc ny l c lng cc m hnh rng buc v phi tuyn. (2.21)
c lng mt phng hi qui

Phng php c lng Sau khi xc nh phng trnh, ta cn chn phng php c lng bng cch nhp vo Method v s thy xut hin mt hp thoi dng dropdown lit k cc phng php c lng. Phng php s dng ph bin nht i vi hi qui n phng trnh l phng php bnh phng b nht61. Trong bi ging trnh kinh t lng cn bn ca cun sch ny, ta ch s dng hai phng php l LS - Least Squares62 v BINARY Binary choice63. Hai phng php ny s c trnh by chi tit vo cc bi ging sau.
61 62
Least squares/Ordinary least squares K c phng php WLS (Weighted least squares) v GLS (Generalized least squares) 63 Hai loi m hnh s c trnh by bi ging 15 l Logit v Probit
42
Mu c lng Ta nn xc nh mu s dng cho vic c lng m hnh. Theo mc nh, Eviews a ra mu ca tp tin Eviews hin hnh, nhng ta c th thay i mu theo mc ch c lng bng cch nhp vo hp thoi Sample. Thay i mu y khng nh hng g n mu ca tp tin Eviews hin hnh. Nu c quan st khng c gi tr64, Eviews tm thi iu chnh mu c lng loi b cc quan st ra khi mu phn tch.
Ngoi ra, nu trong m hnh c cc bin tr hay bin iu chnh th Eviews cng iu chnh s mu c lng. Cc la lng chn c
Khi chn Options ta s thy xut hin hp thoi Equation Estimation. Cc ni dung trong phn la chn c lng nh Heteroskedastiscity consistent coefficient covariance v Weighted LS/TSLS s c trnh by chi tit bi ging 12 v 13. y l mt phng php x l hin tng t tng quan rt ph bin i vi c mu ln (gi l phng php Newey-West).
64
Missing value
43
Kt qu c lng Sau khi hon thnh cc bc trn ta chn OK trong hp thoi Equation Estimation, Eviews s hin th ca s phng trnh v hin th kt qu c lng. Trong kt qu c lng ca Eviews gm ba phn chnh: Tm tt cc c im ca m hnh hi qui (bin ph thuc, phng php c lng, thi im thc hin c lng, mu c lng, v s quan st c s dng cho c lng kt qu); Kt qu h s (tn cc bin gii thch, gi tr c lng cc h s hi qui, sai s chun, thng k t, v gi tr xc sut); v Tm tt thng k (h s xc nh R2, R2 iu chnh, sai s chun ca hi qui, tng bnh phng phn d (RSS), thng k d DurbinWatson, AIC, SIC, thng k F, ). Sau khi hc xong bi ging trnh kinh t lng cn bn t nht ta s hiu mt cch h thng tt c cc thng tin trong bng kt qu c lng ny.
Phn tch kt qu hi qui

Cc hin th ca phng trnh hi qui Cc hnh thc biu din phng trnh hi qui65. Biu din phng trnh hi qui di ba hnh thc: hnh thc lnh c lng trong mn hnh lnh ca Eviews, hnh thc phng trnh i s di dng cc k hiu, v hnh thc phng trnh vi cc gi tr c lng cc h s.
65
Representation
44
Estimation Command: ===================== LS GDP GDP(-1) C M1 Estimation Equation: ===================== GDP = C(1)*GDP(-1) + C(2) + C(3)*M1 Substituted Coefficients: ===================== GDP = 1.02348388*GDP(-1) + 3.375294154 - 0.0171476024*M1
Kt qu c lng. Nh trnh by trn. Gi tr thc t, gi tr c lng, v phn d. C cc cch trnh by nh sau:
Cc kim nh v h s hi qui, phn d, v s n nh. y l cc ni dung rt quan trng trong phn tch hi qui v s c trnh by cc phn sau. Cc th tc ca phng trnh hi qui C nhiu th tc lin quan n kt qu c lng phng trnh hi qui, nhng hai th tc hay s dng l Specify/Estimate ngha l gip quay li hp thoi Equation Estimation mt cch nhanh chng nu ta c bt k iu chnh no v m hnh hi qui, v Forecast ngha l nu m hnh c lng tt ta c th dng cho mc ch d bo v th tc ny gip ta xc nh c gi tr d bo im, xy dng th khong d bo, v cc tiu chnh thng k v chnh xc ca d bo. Phn d t phng trnh hi qui Phn d t phng trnh hi qui c lu gi trong mt i tng chui c tn mc nh l RESID. RESID l mt chui thng thng ch c to ra do kt qu ca phng trnh hi qui va mi c thc hin. Cho nn, nu mun phn tch phn d ta nn lu phn d vi mt tn gi khc. Khi va c lng m hnh, nu ta chn Resids Equation ta s c th h trc kp nh sau:
45
2000 1500 1000 30 20 10 0 -10 -20 -30 55 60 65 70 75 80 85 90 Fitted 95 500 0
Residual
Actual
Bin gi trong Eviews

a bin gi vo m hnh hi qui, thay v phi to ra cc bin ny, Eviews a ra cng thc h tr rt hu ch nh sau: @EXPAND(D1, D2, ) (2.23) V d s dng Chapter2.4.wf1 hi qui bin wage theo cc bin gio dc, nm kinh nghim, gii thch, ngnh xy dng, v ngnh dch v nh sau:
46
Kt qu c lng nh sau:
Mt s kim nh hi qui c bn
Mi th tc kim nh c trnh by di y lin quan n mt gi thit khng (H0) nht nh. Trong mi kt qu kim nh thng gm c mt hoc mt s thng k kim nh v gi tr xc sut, p-value (cng thp th kh nng bc b H0 cng cao). Tuy nhin, hiu cc kim nh ta cn hiu cc phn phi xc sut c bn cng nh ni dung ca kim nh. Cho nn, cc kim nh ny s c p dng ngay sau ni dung bi ging lin quan cc bi ging sau.
Cc kim nh h s
Kim nh Wald y l mt kim nh rt quan trng trong phn tch hi qui bi bng cch tnh mt thng k kim nh da trn hi qui khng b rng buc. Thng k Wald cho bit mc cc c lng khng b rng buc tha mn cc rng buc nh th no di gi thit khng. Nu cc rng buc thc s l ng, th cc c lng khng b rng buc s tha mn cc rng buc.
47
thc hin kim nh Wald (v rng buc h s) trn Eviews ta xem v d sau y (tp tin Chapter2.5.wf1). Gi s ta c hm sn xut Cobb-Dougle c dng: Y = AK2L3eui Trong : Y l sn lng, K l vn c nh, L l lao ng, 2 v 3 ln lt l h s co gin ca sn lng theo vn v lao ng, v 2 + 3 l tnh (li th) kinh t theo/nh qui m (return to scale). Theo l thuyt kinh t ta bit: Li th kinh t tng theo qui m khi 2 + 3 > 1 Li th kinh t khng i theo qui m khi 2 + 3 = 1 Li th kinh t gim theo qui m khi 2 + 3 < 1 Nu ly log t nhin hai v ca phng trnh (2.24) ta c: log(Y) = log(A) + 2log(K) + 3log(L) + ui (2.25) t 1 = log(A) v A = e1, vy ta c phng trnh tng ng sau y: log(Y) = 1 + 2log(K) + 3log(L) + ui (2.26) Kt qu c lng phng trnh (2.25) nh trong bng sau: (2.24)
Tng cc h s hi qui ca log(K) v log(L) dng nh ln hn 1, nhng c kt lun tin cy ta cn kim nh gi

48
thit H0: 2 + 3 = 1. thc hin kim nh Wald ta chn View/Coefficient Tests/Wald Coefficient Restrictions v nhp iu kin rng buc vo hp thoi son tho nh sau:
Lu , nu c nhiu rng buc khc nhau, th mi rng buc cch nhau bng mt du phy. Eviews s cho kt qu kim nh nh sau:
Cc gi tr thng k s c gii thch bi ging m hnh hi qui bi. Ngoi ra, ta c th a ra cc iu kin rng buc khc ty vo pht biu gi thit. quyt nh bc b hay chp nhn H0, nu l m hnh hi qui tuyn tnh ta so snh gi tr F tnh ton vi gi tr F ph phn mt mc ngha xc nh. Ngc li, nu m hnh hi qui phi tuyn ta so snh gi tr chi bnh phng tnh ton vi gi tr chi bnh phng ph phn vi s bc t do bng s rng buc.
49
Kim nh b st bin y l mt ni dung quan trng trong kim nh sai dng m hnh. tng ca kim nh ny l khi ta a thm bin vo m hnh v mun bit cc bin ny c ng gp c ngha vo vic gii thch s thay i ca bin ph thuc hay khng. Gi thit khng ca kim nh ny l cc bin mi a thm vo m hnh ng thi khng c ngha. Gi s, vi Chapter2.3.xls, lc u ta ch c lng m hnh nh sau: log(GDPt) = B1 + B2log(M1t) + B3log(RSt) + ut Hai im lu vi kim nh ny: S quan st trong hai m hnh phi bng nhau. p dng cho mi phng php c lng min l phng trnh hi qui c xc nh bng cch lit k cc bin ch khng phi bng cng thc. (2.27)
thc hin kim nh b st bit ta chn View/Coefficient Tests/Omitted Variables Likelihood Ratio v nhp tn cc bin nghi l b b st cn c kim nh (gi s l TIME v PR) vo hp thoi son tho v c kt qu sau y:
50
quyt nh bc b hay chp nhn H0, nu l m hnh hi qui tuyn tnh ta so snh gi tr F tnh ton vi gi tr F ph phn mt mc ngha xc nh. Ngc li, nu m hnh hi qui phi tuyn ta so snh gi tr LR vi gi tr chi bnh phng ph phn vi s bc t do bng s rng buc. Kim nh tha bin y cng l mt ni dung trong kim nh sai dng m hnh. Kim nh ny cho php ta kim nh xem mt nhm bin a vo m hnh c ngha thng k hay khng. Ni cch khc, y l kim nh xem cc h s ca mt nhm bin a vo m hnh c ng thi bng khng hay khng quyt nh c nn loi chng ra khi m hnh hay khng. Cc iu kin p dng kim nh ny cng tng t nh kim nh b st bin. Gi s lc u ta c m hnh nh sau:
log(GDPt) = B1 + B2log(M1t) + B3log(RSt) + B4PRt + B5TIME + ut (2.28)
thc hin kim nh tha bin ta chn View/Coefficient Tests/Redundant Variables Likelihood Ratio v nhp cc bin cho rng khng cn thit (v d PR v TIME) vo hp thoi son tho v c kt qu sau:
quyt nh bc b hay chp nhn H0, nu l qui tuyn tnh ta so snh gi tr F tnh ton F ph phn mt mc ngha xc nh. Ngc hnh hi qui phi tuyn ta so snh gi tr chi
51
m hnh hi vi gi tr li, nu m bnh phng
tnh ton vi gi tr chi bnh phng ph phn vi bc t do bng s rng buc.
Kim nh phn d
Eviews cung cp cc kim nh cc gi thit rt quan trng lin quan n phn d nh phn d c phn phi chun, khng c tng quan chui, v phng sai ng nht. Kim nh phn phi chun ca phn d Nh ta s bit bi ging 7 v phn tch hi qui n, mt gi nh quan trng trong cc m hnh hi qui tuyn tnh c in l cc hn nhiu ngu nhin trong m hnh hi qui tng th (v v th phn d - i din ca hn nhiu ngu nhin trong m hnh hi qui mu) theo phn phi chun. Gi thit H0: Phn d ca m hnh hi qui c phn phi chun Phng php: Thng k Jarque Bera. Nh trnh by thng k JB c phn phi Chi bnh phng vi s bc t do l 2 (2(2)). Thc hin trn Eviews: T kt qu c lng chn View/Residual tests/Histogram Normality test, ri so snh gi tr JB vi gi tr Chi bnh phng vi s bc t do l 2. Biu t tng quan - thng k Q Trong m hnh hi qui tuyn tnh c in c gi nh rng cc hn nhiu khng c tng quan vi nhau. Ngoi thng k d Durbin-Watson, ta c th s dng biu t tng quan v thng k Q kim nh chui phn d ca m hnh hi qui c tng quan vi nhau khng. Biu t tng quan c trnh by phn x l d liu chui. thc hin kim nh phn d c t tng quan hay khng ta chn View/Residual Tests/Correlogram Q Statistics Kim nh nhn t Lagrange y l mt cch kim nh khc vi kim nh Q kim nh tng quan chui. Kim nh ny s c trnh by bi ging 13 v la chn dng m hnh. Trn Eviews ta thc him kim nh ny bng cch chn Views/Residual Tests/Serial Correlation LM Test
52
Kim nh White v phng sai thay i Tng t, m hnh hi qui tuyn tnh c in cng gi nh cc hn nhiu c phng sai ng nht. xem phng sai ca nhiu c ng nht hay khng ta c th s dng cc kim nh Park, kim nh Glejser, kim nh White, Ni dung cc kim nh ny s c trnh by bi ging 11 v phng sai thay i. Trn Eviews ta thc hin kim nh White bng cch chn hoc View/Residual Tests/White Heteroskedasticity (no cross terms) hoc View/Residual Tests/White Heteroskedasticity (cross terms).
Kim nh s n nh
Kim nh Chow Mc ch ca kim nh Chow l xem liu c s thay i v mt cu trc ca m hnh hi qui (i vi hi qui chui thi gian) gia cc giai on khc nhau (do thay i chnh sch hoc c sc kinh t) hay khng. Ni dung ca kim nh ny s c trnh by bi ging 8 v phn tch hi qui bi. Ta xt v d trong Chapter2.6.txt. Sau khi ta hi qui tit kim theo thu nhp v thc hin kim nh nh sau View/Stability Tests/Chow Breakpoint Test v ta nhp mc thi gian vo hp thoi son tho c kt qu nh sau:
. Kim nh RESET ca Ramsay Mc ch ca kim nh ny l xem c b st bin quan trng trong m hnh hi qui hay khng (nht l khi khng c s liu v bin b st ). Ni dung ca kim nh ny s c trnh by bi ging 8 v la chn dng m hnh. Sau khi c lng, kim nh xem liu m hnh c st bin hay khng ta chn View/Stability Tests/Ramsay RESET Test
53

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BI GING 2: HNG DN S DNG EVIEWS 6.0 ThS Phng Thanh Bnh ptbinh@ueh.edu.

HNG DN S DNG EVIEWS 6.0

Vit tt ca Econometrics Views

Ngun: Eviews 6 Users Guide, pp.10

Eviews thi. Tuy bin c sn theo c th nh ngha cc iu kin cn ch chn cc quan

Ngun: Eviews 6 Users Guide, pp.47

Variable Series statistics 13 Cung tin

0 1955 1960 1965 1970 1975 1980 1985 1990

Group statistics Label

1,000 1,200 800

200 1955 1960 1965 1970 1975 1980 1985 1990

Thng k h s tng quan s c trnh by bi ging 3

CC VN C BN V I TNG TRONG EVIEWS

Icon Basic object operation 37 Active

Ngun: Eviews 6 User Guide, pp.69

Ngun: Eviews 6 User Guide, pp.71 Lm vic vi i tng

Destination name, khc vi original name

Data handling c gi chung l cc i tng d liu (data objects)

PHP TON V HM S TRONG EVIEWS

Lead: ti, Lag: tr, v Difference: Sai phn

PHN TCH D LIU VI EVIEWS

C th tham kho thm trong Hong Trng, 2007.

Lp bng tn sut mt chiu sut

(Yt - Y)(Yt - k - Y) (2.5)

Trong , Y tr, n l nh xem h khng: Thng Thng k t

PHN TCH NHM

Cointegration test Spurious regression 58 ot gii Nobel kinh t nm 2003

Granger causality Kim nh tp hp rng buc tuyn tnh s c trnh by bi ging 7

Lu , cc tr ca X v Y c th khc nhau v c th c xc nh bng mt s tiu ch thng k khc nhau.

XY DNG HM KINH T LNG TRN EVIEWS

I TNG PHNG TRNH

Xc nh phng trnh hi qui

GDP c M1(to 2) M1(-4)

c lng mt phng hi qui

Phn tch kt qu hi qui

Kt qu c lng. Nh trnh by trn. Gi tr thc t, gi tr c lng, v phn d. C cc cch trnh by nh sau:

2000 1500 1000 30 20 10 0 -10 -20 -30 55 60 65 70 75 80 85 90 Fitted 95 500 0

Bin gi trong Eviews

Tng cc h s hi qui ca log(K) v log(L) dng nh ln hn 1, nhng c kt lun tin cy ta cn kim nh gi

m hnh hi vi gi tr li, nu m bnh phng

tnh ton vi gi tr chi bnh phng ph phn vi bc t do bng s rng buc.

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