1. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD MC LC M U........................................................................................... 3 1 S LIU DNG TRONG EVIEWS...................................... 7 2 NHP S LIU T BN PHM X L S LIU....... 11 2.1 nh dng tn sut v nhp s liu ......................................... 12 2.2 Sa i s liu v lu s liu.................................................. 15 2.3 V th.................................................................................. 16 2.4 Thng k m t ....................................................................... 19 2.3 t bin mi ........................................................................... 21 3 C LNG M HNH HI QUY N ........................ 23 3.1 c lng m hnh................................................................. 23 3.2 Lu kt qu hi quy................................................................ 26 3.3 Xem phn d v gi tr c lng (gi tr tng hp) ........... 26 4 HI QUY NHIU BIN C LP.................................... 28 4.1 M tp s liu c sn .............................................................. 28 4.2 nh gi chung v cc bin .................................................... 28 4.3 Hi quy m hnh nhiu bin ................................................... 29 4.4 Phng sai, hip phng sai cc c lng h s.................. 31 4.5 Kim nh b bt bin ............................................................ 31 4.6 Kim nh thm bin............................................................... 33 4.7 Kim nh v hai h s hi quy .............................................. 34 5 CC DNG M HNH ........................................................ 36 5.1 Bin xu th thi gian............................................................... 36 5.2 Hi quy vi bin tr ................................................................ 37 5.3 Hi quy m hnh dng hm m .............................................. 37 1

2. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 6 M HNH VI BIN GI................................................... 39 6.1 Xc nh yu t nh tnh........................................................ 39 6.2 t bin gi............................................................................. 40 6.3 Hi quy m hnh c bin gi................................................... 40 7 HIN TNG A CNG TUYN .................................... 42 7.1 a cng tuyn hon ho.......................................................... 42 7.2 a cng tuyn khng hon ho............................................... 42 7.3 Hi quy ph kim nh a cng tuyn.................................... 44 8 HIN TNG PHNG SAI SAI S THAY I.......... 45 8.1 Hin tng .............................................................................. 45 8.2 Kim nh White..................................................................... 46 8.3 Lu phn d v gi tr c lng ........................................... 48 8.4 Kim nh bng hi quy ph................................................... 50 8.5 Khc phc phng sai sai s thay i..................................... 51 9 HIN TNG T TNG QUAN.................................... 53 9.1 Hin tng .............................................................................. 53 9.2 Kim nh Breusch-Godfrey................................................... 54 9.3 Kim nh bng hi quy ph................................................... 56 9.4 Khc phc t tng quan........................................................ 57 10 NH DNG M HNH..................................................... 60 10.1 Kim nh Ramsey RESET .................................................. 60 10.2 Kim nh nhn t Lagrange (kim nh 2 )........................ 62 10.3 Khc phc khuyt tt tng hp ............................................. 63 thc hnh, c th ti chng trnh Eviews4 ti trang mng ca khoa Ton kinh t: www.mfe.edu.vn, mc Th vin / D liu phn mm / Eviews4, v gii nn. Chng trnh c th chy trc tip, khng yu cu ci t. 2 3. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD M U Eviews l phn mm c thit k ring cho cc m hnh kinh t lng v chui thi gian. Phn mm ny ph hp cho ging dy v hc tp kinh t lng cho i tng sinh vin i hc v sau i hc. Chng trnh Eviews c thit k d s dng vi con chut v bn phm, cc kt qu thit k di dng bng, cc th c lu di dng tp c th a vo cc vn bn hoc in ra d dng. Cun sch ny tp trung gii thiu nhng phn thc hnh tng ng vi chng trnh Kinh t lng c bn ging cho sinh vin bc i hc, cc phn thc hnh nng cao dnh cho bc cao hc s gii thiu trong cun sch khc. Vi chng trnh Eviews4, khng yu cu ci t chng trnh, ch cn c y cc tp v nhn vo biu tng ca Eviews l c th chy chng trnh trc tip trn my tnh. T phin bn Eviews5 tr i, chng trnh yu cu phi ci t. Cun sch ny s dng hnh nh ca phin bn Eviews4. Tp chy chng trnh Eviews c biu tng l . Nhn vo biu tng ca Eviews, ca s chnh ca chng trnh xut hin. Ca s chnh ca chng trnh Eviews gm cc phn: - Thanh chc nng: vi cc nt thc hin cc thao tc c bn c chng trnh nh sn, v cc la chn nh dng tng t nh cc chng trnh chy trong mi trng Windows. - Ca s lnh: trng bn di thanh chc nng l ni ngi s dng vit lnh trc tip. C th dng chut ko rng ca s lnh ty . 3 4. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD - Thanh ch dn: xc nh ng dn n th mc v tp ang s dng. - Cc nt thu nh, m rng ca s, v thot khi chng trnh. Ca s lnh Thanh chc nng Thanh ch dn Thot khi Eviews Ca s chnh ca chng trnh Eviews gm cc phn: - Thanh chc nng: vi cc nt thc hin cc thao tc c bn c chng trnh nh sn, v cc la chn nh dng tng t nh cc chng trnh chy trong mi trng Windows. - Ca s lnh: trng bn di thanh chc nng l ni ngi s dng vit lnh trc tip. C th dng chut ko rng ca s lnh ty . - Thanh ch dn: xc nh ng dn n th mc v tp ang s dng. - Cc nt thu nh, m rng ca s, v thot khi chng trnh. C th khng cn s dng chut m dng bn phm chn la cc nt. n v gi phm Alt trn bn phm, trn dng task bar cc la chn 4 5. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD s t ng gch chn cc ch ci. Khi phm Alt v nhn phm tng ng vi ch ci tng ng s cho kt qu ging nh khi dng chut chn nt . V d: Khi gi phm Alt, g phm F tng ng vi nhn chut vo nt File; ch E tng ng vi nt Edit. - Ngn cch phn nguyn v phn thp phn ca mt s, Eviews dng du chm . Mt s ch th c bn ca Eviews Eviews lm vic vi mt s dng ch th c bn, mi ch th c th lu li v t tn c th d dng s dng khi cn thit. Mt s ch th thng dng gm: Series: Mi bin l mt chui s liu, do Eviews dng cch gi Series cho cc bin. Group: Mt nhm bin s c la chn l mt Group. Group c th gm tt c cc bin hoc ch hai bin. Graph: Mt th c lu li di dng mt Graph. th c th gm th ca mt bin, th ca nhiu bin, th ca cc bin theo nhau. Equation: Mt phng trnh hi quy c lu li di dng mt Equation. System: Mt h gm nhiu phng trnh hi quy c lu li di dng mt System. 5 6. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Mt s k hiu dng cho thc hnh : Thao tc, thc hin thao tc yu cu. V d Chn View : dng chut nhn vo nt View : Kt qu ca thao tc. : Cc thao tc, chn la k tip nhau. V d: File Open: Chn nt File ri nt Open. [?] : Cu hi, cn nm c l thuyt tr li. Tt c cc cu hi kim nh trong sch u c thc hin vi mc ngha l 5%. Cp ngoc vung []: do trong Eviews c th m nhiu ca s cng lc, do cp ngoc vung xc nh ca s cn thc hin thao tc. V d [Eviews] l ca s chnh. - ngn gn v thun tin v sau, cc nt trn cc ca s c vit trong cp du < >, v d: , 6 7. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 1 S LIU DNG TRONG EVIEWS Eviews l chng trnh x l s liu, c lng phng trnh hi quy, phn tch chui thi gian, do vic hiu r v s liu l iu cn thit. hiu r cu trc s liu c qun l v x l bi Eviews, m mt s b s liu v quan st cc s liu sau M b s liu c tn sut theo nm Ti ca s chnh, chn File Open Trong la chn Open, c bn dng nh dng tp c th m: - Dng Workfile: l tp d liu v thc hin cc phn tch thng thng. y l dng c bn, trong tp c th lu s liu, cc th, cc phng trnh hi quy, kt qu c lng. - Dng Database: c s d liu, bao gm nhiu nh dng. 7 8. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD - Dng Program: - Dng Text File Chn dng Workfile, l dng thng thng nht tnh ton x l s liu vi Eviews. Chn th mc SOLIEU, tp s liu BT_YEAR_US, ca s Workfile m ra. Trn ca s ny c mt s thng tin: - Dng trn cng: Tn ca Workfile v ng dn - Cc nt vi cc chc nng khc nhau, s c cp sau - Khong s liu v Mu t 1899 n 1922 Bn di ca ca s, lit k cc ch th m Workfile ang qun l, gm: c k l resid y. c th thy r hn thng tin m cc ch th ny cha ng, ti ca s Workfile, nhn vo nt Label+/-, xut hin cc thng tin v thi gian khi to cc s liu ny, theo th t: thng/ngy/nm, gi:pht, v ch thch v ba bin k, l, y. Hai ch th c resid khng c ch thch, v y l hai ch th c bit dng lu cc thng tin ring. Thng tin ca mt bin s thng thng bao gm: - Tn bin: Tn ca bin s c t ngn gn, ti a 24 k t ch gm ch v s, khng c du cch, bt u bi ch ci. Tn bin thng c t ph hp vi ni dung ca bin. - Nhn bin: Phn ch thch v ngha ca bin, c th l chui k t vi di ty , vi cc t c bit, du cch. - Tn sut bin: l tn sut ca s liu, c th theo thi gian, khng gian, hoc s liu hn hp. 8 9. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD - Gi tr ca bin: l cc i lng o lng bng s. Trong chng trnh Eviews, du ngn cch vi phn thp phn l du chm. Khi cha c gi tr, Eviews ngm nh s dng ch NA (not available) thay th. c : ch th cha cc h s tnh c t cc phng trnh hi quy, cc m hnh. Khi cha c kt qu hi quy t phng trnh no, cc gi tr ca C c gn bng 0 resid: l chui nhn s nhn gi tr l phn d t c c t vic c lng cc phng trnh hi quy. Khi cha c phng trnh hi quy, cc gi tr Resid u cha c. Nhn p chut tri vo c, ca s [Coef C] m ra, vi ct C1 gm cc quan st t R1 n R751, vi cc gi tr bng 0. Nhn p chut tri vo k, ca s [Series: K] m ra. Ct ngoi cng bn tri obs l tn sut ca s liu, t 1899 n 1922, cc gi tr ca bin K c lit k theo cc quan st t ct tip theo trong bng. Nhn p chut tri vo resid, ca s [Series: RESID] m ra vi quan st t 1899 n 1922, cc gi tr u l NA v cha c kt qu tnh ton no c thc hin. Ti ca s [Workfile], s dng chut nh du (bi en) cc bin t K n Y, nhy chut phi, chn Open as Group, tt c cc bin u c lit k trong cng mt ca s [Group]. M b s liu c tn sut theo Qu M b s liu mi, ti ca s [Eviews] File New, chn tp Bt_Quarter. 9 10. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD B s liu c th hin t 1953:1 n 1967:4, vi mt ch s sau du :. Vi cch th hin ny, s liu l t Qu 1 nm 1953 n Qu 4 nm 1967. Chn bin bt k, chng hn X, m ra di dng ca s [Series]. Vi ca s ny, tn sut bin c chu k 1, 2, 3, 4, 1, th hin y l s liu Qu. M b s liu c tn sut theo Qu M b s liu mi, ti ca s [Eviews] File New, chn tp Bt_Monthly. B s liu c th hin t 1973:01 n 1995:06, vi hai ch s sau du :, th hin l s liu t Thng 1 nm 1973 n Thng 6 nm 1995. bit ngha cc bin, chn nt Label trn thanh chc nng ca ca s [Workfile]. 10 11. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 2 NHP S LIU T BN PHM X L S LIU S liu dng cho Eviews c th l tp c sn di cc nh dng khc nhau, hoc s liu t bn ngoi cn phi nhp vo my. Bi ny hng dn thc hnh s liu t bn ngoi vo my tnh, lu s liu, v cc x l thng tin c bn cho b s liu . Xt b s liu v d sau, vi X l u t quc gia (Gross National Investment), Y l tng sn phm quc ni (Gross Domestic Products) ca Vit Nam theo cc nm t 1994 n 2005. C hai bin n v l nghn t VND, tnh theo gi so snh 1994. Ngun: Tng cc thng k. Nm X Y 1994 53 179 1995 58 196 1996 67 214 1997 79 231 1998 76 245 1999 79 256 2000 115 274 2001 129 293 2002 148 313 2003 167 336 2004 187 362 2005 195 393 11 12. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Thc hin nhp s liu v lu li di dng mt tp s liu ca Eviews. 2.1 nh dng tn sut v nhp s liu Ti ca s chnh ca Eviews, thun tin, ng ca s nh ang m (nu c) Chn File New : Ca s [Workfile Range]: tn sut ca s liu. Frequency - tn sut ca s liu V dTn sut v nh dng u cui ngha Annual (Nm) yyyy Start: 1991 End: 2005 15 quan st theo nm, t nm 1991 n nm 2005 Semi-annual (Na nm) yyyy:h Start: 1991:1 End: 2005:2 30 quan st theo na nm, t na u nm 1991 n na sau nm 2005 12 13. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Quarterly (Qu) yyyy:q Start: 1991:1 End: 2005:4 60 quan st theo qu, t qu 1 nm 1991 n qu 4 nm 2005 Monthly (Thng) yyyy:mm Start: 1991:01 End: 2005:12 180 quan st theo thng, t thng 1 nm 1991 n thng 12 nm 2005 Weekly (Tun) mm/dd/yyyy Start: 01/01/2008 End: 12/01/2008 49 quan st theo tun, t tun c ngy 1 thng 1 nm 2008 n tun c ngy 1 thng 12 nm 2008 Daily [5day] (Ngy: tun 5 ngy) mm/dd/yyyy Start: 11/12/2008 End: 12/11/2008 22 quan st theo ngy, t ngy 12 thng 11 nm 08 n ngy 11 thng 12 nm 08, khng c ngy cui tun Daily [7day] (Ngy: tun 7 ngy) mm/dd/yyyy Start: 11/12/2008 End: 12/11/2008 29 quan st theo ngy, t ngy 12 thng 11 nm 08 n ngy 11 thng 12 nm 08, c ngy cui tun Undated or Irregular (Quy tc khc) Start: 1 Start: 30 30 quan st khng theo thi gian, hoc theo thi gian nhng quy tc khc - Vi tn sut theo thi gian, ring s liu trong giai on 1930 2029, th s ch Nm c th dng bi hai ch s, v d 67 c hiu l 1967, hoc 12 c hiu l 2012, vi giai on khc bt buc phi 4 ch s. - S ch Ngy, Thng vi gi tr nh hn 10 c th ch dng mt ch s, v d s liu thng, 2000:1 v 2001:01 l nh nhau. - Vi s liu tn sut theo Ngy, Tun, Eviews ngm nh s dng quy c ca M, l Thng/Ngy/Nm (mm/dd/yyyy). C th thay 13 14. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD i th t ny sang quy c chu u l Ngy/Thng/Nm bng cch chn Option > Frequency Conversion Dates >. - Vi s liu theo Tun, quan st u tin v cui cng s l tun c cha ngy nhp vo, v ly ngy lm i din cho tun. Cc quan st s ly ngy c cng Th vi quan st u tin lm i din. V d nu quan st u tin l 1/1/2008, th ton b tun t 30/12/2007 n 5/1/2008 ly ngy 1/1/2008 lm i din, v i din cho tun t 6/1/08 12/1/08 s ly ngy 8/1 lm i din. - Vi s liu Ngy tnh cho tun 5 ngy, nu thi im bt u ri vo ngy cui tun, th quan st u tin s bt u t Th Hai ca tun tip theo; v nu thi im cui cng ri vo ngy cui tun, th quan st cui cng s kt thc Th Su ca tun trc . - Tn sut Undated dng cho s liu khng thuc cc trng hp trn; nh tn sut theo gi, theo phin, s liu cho, s liu hn hp. Vi b s liu v d trn ca Vit Nam, tn sut ca cc bin l theo nm, t 1994 n 2005. Frequency: Annual Start date: 1995 End date: 2005 : m ca s Workfile Ca s [Workfile] l ca s qun l vic nhp, lu, x l s liu. Trong ca s Workfile ch c hai bin l cc h s C v phn d Resid. Cn to hai bin s mi v nhp s liu. Ti ca s [Eviews], chn Quick Empty Group (Edit Series) M ca s [Group] Chn u tin bn phi obs, nhp tn bin l X, cc bn di t ng chuyn thnh NA, nhp cc gi tr ca bin X ng vi cc nm. Tip tc vi ct bin Y. Ti ca s [Workfile], biu tng ca hai bin X v Y xut hin. 14 15. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Nhp nhn bin Hai bin X v Y nhp cha c nhn, cn nhp nhn ch thch ngha ca cc bin. Ti ca s [Workfile], nhn chut p vo bin X, m ca s [Series: X] chn Name, m ca s [Object Name] Trong ca s ny, trng trn cho php thay i tn bin, trng bn di nhp nhn bin. Vi v d ang xt, nhn cho bin X l Gross National Investment. Tng t, c th nhp nhn cho bin Y l Gross Domestic Products. 2.2 Sa i s liu v lu s liu Trng hp cn sa i s liu, v d bin X c th thc hin theo trnh t: Chn bin X, m ca s [Series: X], chn nt Edit+/- v thay i cc gi tr cn thit. 15 16. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD S liu nhp c th lu li di dng tp chuyn dng ca Eviews, c th m v s dng khi cn thit. Ti ca s [Eviews] Chn File Save (hoc Save as) Ca s [SaveAs] : Chn v tr v tn tp. Cc tp c ui ngm nh l .wf1. S liu nhp phn 2.1 l s liu th. thy c r hn cc thng tin cha ng trong cc bin , cn thc hin tnh cc thng k vi tng bin, xem xt tng quan, th m t v cc bin v mi lin h gia chng. 2.3 V th M t s liu qua th v cc thng k c trng c bn l x l ban u cn thit i vi cc bin s. Chn X v Y, m ca s [Group] V th cc bin theo quan st [Group] View Graph Line Kt qu cho th ng ca X v Y theo quan st (theo thi gian) trn cng mt h ta 16 17. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD C th chn cc loi th khc: Bar, Spike ( th ct). v th ca hai bin theo nhau, mi bin trn mt trc ta , la chn: [Group] View Graph Scatter Simple Scatter Kt qu cho th im ca bin Y trn trc tung v X trn trc honh. Khi khng c la chn c yu cu, Eviews ngm nh bin xp sau nm trn trc tung, bin xp trc nm trc honh. Qua th im, c th thy xu th kh r gia Y v X, c th xc nh c hnh nh ca ng hi quy bng cch chn: [Group] View Graph Scatter Scatter with Regression Ca s [Global Fit Option], nu khng nh dng c bit, chn OK, kt qu l th im vi ng hi quy 17 18. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Cc la chn khc cho php v th theo cc dng khc nhau. Cc th s t ng iu chnh kht vi kch thc ca s [Group]. Lu th C th lu th chn vo cc chng trnh son tho vn bn Ti ca s [Group] c th, nhn t hp phm Ctrl+C, m ca s [Graph Metafile], chn OK, m vn bn v nhn Ctrl+V dn th lu. Thay i nh dng th: Ti ca s [Group] c th, chn Freeze, m ca s [Graph]. Vi la chn [Graph] Proc Options : ca s [Graph Option] vi cc la chn cho nh dng. [Graph] Proc Add text: Thm dng ch vo th [Graph] Proc Save Graph: lu th chn vo vn bn [Graph] Name: lu th di dng mt ch th, t tn. Ngoi ra cn nhiu la chn khc vi th 18 19. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Bn cnh cch chn v th t ca s [Graph], c th c cch khc v th: Ca s [Eviews] Quick Graph: chn loi th, v th t ca cc bin v th. V th trn nhiu h ta Khi mun v th cho mi bin trn mt h ta ring, chn: [Group] Multiple Graphs. 2.4 Thng k m t Cc thng k m t v cc bin v tng quan gia cc bin l nhng thng tin c bn nh gi v bin. Thng k m t ca cc bin Ca s [Group] View Descriptive Stats Common Sample X Y Trung bnh Mean 112.7500 274.3333 Trung v Median 97.00000 265.0000 Ti a Maximum 195.0000 393.0000 Ti thiu Minimum 53.00000 179.0000 lch chun Std. Dev. 51.36523 66.98213 H s bt i xng Skewness 0.402047 0.304621 H s nhn Kurtosis 1.666396 2.030123 Thng k JB Jarque-Bera 1.212534 0.655918 Mc xc sut Probability 0.545383 0.720393 Tng Sum 1353.000 3292.000 Tng bnh phng chnh lch Sum Sq. Dev. 29022.25 49352.67 S quan st Observations 12 12 Thng k JB v Mc xc sut (P-value) dng kim nh v cp gi thuyt vi tng bin: 19 20. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD H0: bin phn phi theo quy lut Chun H1: bin khng phn phi theo quy lut Chun H s tng quan [Group] View Correlations Common Sample Kt qu: X Y X 1.000000 0.982533 Y 0.982533 1.000000 Phng sai - hip phng sai [Group] View Covariances Common Sample Kt qu: X Y X 2418.521 3098.750 Y 3098.750 4112.722 Kim nh so snh cc bin Kim nh so snh trung bnh, trung v, phng sai ca hai bin [Group] View Test of Equality, m ca s [Test Between Series]. C ba la chn kim nh Kim nh s bng nhau ca hai trung bnh: Mean Test for Equality of Means Between Series Sample: 1994 2005 Included observations: 12 Method df Value Probability t-test 22 6.631244 0.0000 Anova F-statistic (1, 22) 43.97339 0.0000 Kim nh s bng nhau ca hai phng sai: Variance Test for Equality of Variances Between Series Sample: 1994 2005 Included observations: 12 20 21. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Method df Value Probability F-test (11, 11) 1.700511 0.3921 Siegel-Tukey 0.086621 0.9310 Bartlett 1 0.732933 0.3919 Levene (1, 22) 0.686207 0.4164 Brown-Forsythe (1, 22) 0.562284 0.4613 Cc phn tch thng k ca cc kim nh c cho trong cc thng tin bn di mi kim nh. 2.3 t bin mi Bn cnh cc bin nhp s liu l X v Y, c th t cc bin mi t cc bin c hoc nhp bin s mi. C mt s cch nhp bin mi c tc dng tng ng. V d: cn t bin mi Z = Y X [Eviews] Quick Generates Series: m ca s [Generate Series by Equation] Ti Enter Equation g: Z = Y X Ti Sample, ngm nh mu m lnh t bin c tc dng l ton b. Khi cn c th thay i mu ny. Nhn OK chp nhn. Khi khng cn thay i mu, c th s dng lnh trong Ca s lnh. [Ca s lnh] GENR Z = Y X Bin Z c to ra nm trong ca s [Workfile]. Cc hm v lnh c bn Ngoi cc php ton c bn: cng [+], tr [], nhn [*], chia [/], ly tha [^], cc hm c bn ca Eviews nh sau: 21 22. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Tn ngha V d Kt qu LOG Logarit c s t nhin LX = LOG(X) ln( )i iLX X= EXP Ly tha c s t nhin EX = EXP(X) iX iEX e= ABS Gi tr tuyt i AX = ABS(X) | |i iAX X= SIN Hm sin SINX = SIN(X) sin( )i iSINX X= COS Hm cosin COSX = COS(X) cos( )i iCOSX X= (-J) Tr bc J X4 = X(-4) 44i iX X = D(X) Sai phn bc 1 DX = D(X) 1i i iDX X X = t bin xu th thi gian [Ca s lnh] GENR T = TREND( ) Kt qu cho bin T nhn gi tr 0, 1, 2 phn nh xu th ca thi gian tng dn theo cc quan st. 22 23. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 3 C LNG M HNH HI QUY N (Tip theo 2) Vi b s liu t bi 2, nhn xt qua th gia Y v X, thy gia hai bin c xu th tuyn tnh kh r, h s tng quan gia hai bin bng 0,982533 kh ln, do c th xc nh mt m hnh hi quy trong Tng sn phm trong nc (Y) ph thuc vo Tng u t quc gia (X) c dng tuyn tnh vi hai h s. Hm hi quy tng th PRF: 1 2( / )t tE Y X X = + Dng ngu nhin 1 2tY Xt tu = + + M hnh (3.1) Nu xt bin hng s C lun bng 1, c th vit m hnh (3.1): 1 2t t tY C X tu = + + Vi mu kch thc l 10 gm 10 quan st nhp, hm hi quy mu SRF c dng: 1 2 t tY X = + 1 2 t tY X te= + + Dng phng php Bnh phng nh nht (Least Squares - LS) vi b s liu nhp, tnh ton cc c lng, v cc thng k cn thit dnh cho phn tch. 3.1 c lng m hnh [Eviews] Quick Estimate Equation (Ngoi ra cn 4 cch khc, c cp sau) Ca s nh dng phng trnh xut hin. 23 24. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Ca s [Equation Specification] gm khai bo phng trnh hi quy, phng php c lng, mu c lng. Khai bo phng trnh hi quy Vi m hnh hi quy Y theo X c h s chn, c hai kiu khai bo: Kiu 1: Y = C(1) + C(2)*X Kiu 2: Y C X S dng kiu khai bo th hai, phng php LS bnh phng nh nht, mu 1994 2005, c kt qu ca s [Equation] Dependent Variable: Y Method: Least Squares Date: Time: Sample: 1994 2005 Included observations: 12 Variable Coefficient Std. Error t-Statistic Prob. C 129.8715 9.439523 13.75826 0.0000 X 1.281258 0.076739 16.69636 0.0000 R-squared 0.965370 Mean dependent var 274.3333 Adjusted R-squared 0.961907 S.D. dependent var 66.98213 S.E. of regression 13.07316 Akaike info criterion 8.130011 Sum squared resid 1709.075 Schwarz criterion 8.210829 Log likelihood -46.78007 F-statistic 278.7683 Durbin-Watson stat 1.035566 Prob(F-statistic) 0.000000 24 25. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Nu s dng cch khai bo th nht: Y = C(1) + C(2)*X th kt qu ch khc phn th hin cc h s nh sau Y = C(1) + C(2)*X Coefficient Std. Error t-Statistic Prob. C(1) 129.8715 9.439523 13.75826 0.0000 C(2) 1.281258 0.076739 16.69636 0.0000 Cc thng tin khc vn gi nguyn Bn cnh Cch 1 [Eviews] Quick Estimate Equation nh trn, cn mt s cch sau: Cch 2: [Eviews] Objects New Object Equation OK Cch 3: Chn X, Y thnh ca s [Group] Procs Make Equation Cch 4: Chn X v Y, nhn chut phi Open As Equation Cch 5: [Ca s lnh] LS Y C X Cch s dng lnh LS Y C X l n gin nht, s c s dng trong cc phn sau. Cc kiu th hin kt qu hi quy [Equation] View Representations : c cc kt qu Estimation Command: ===================== LS Y C X Cu lnh c lng (vit trong ca s lnh) Estimation Equation: ===================== Y = C(1) + C(2)*X Phng trnh hi quy Substituted Coefficients: ===================== Y = 129.8714549 + 1.281258345*X Kt qu c lng [Equation] View Estimation Output : bng kt qu chi tit 25 26. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 3.2 Lu kt qu hi quy Kt qu hi quy c th c lu gi, bin tp, in ra nh mt vn bn. Trong ca s kt qu [Equation] Name: ca s [Object Name], tn ngm nh cho kt qu c lng phng trnh hi quy l eq01. Nu chn OK, th ch th eq01 c to ra trong Workfile. Mun sao v dn kt qu c lng chn vo cc vn bn, dng chut nh du ton b bng kt qu chi tit, nhn chut phi, chn Copy, chn loi gi nguyn nh dng hoc khng gi nh dng, ri ti ni cn dn chn Paste; hoc s dng t hp Ctrl+C v Ctrl+V. 3.3 Xem phn d v gi tr c lng (gi tr tng hp) Sau khi c lng mt m hnh hi quy, c th nh gi cht lng ca m hnh v kt qu thng qua cc gi tr phn d (residuals) v cc gi tr c lng ca bin ph thuc (cn gi l gi tr tng hp fitted values). [Equation] View Actual, Fitted, Residual Actual, Fitted, Residual Table c bng gi tr v th phn d Actual l gi tr thc t b s liu: Yt Fitted l gi tr c lng bi hm hi quy: t Residual l gi tr phn d: et hay t 26 27. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [?] - Vo nm no gi tr quan st v gi tr c lng gn nhau nht, xa nhau nht? - Nm 2000 c gi tr quan st cao hay thp hn gi tr c lng? Cao (thp) hn bao nhiu? - Phn d c nm ra ngoi hai ng bin khng? - Trong giai on no th ng hi quy m t gn ng nht s bin ng ca bin ph thuc Y? C th xem th ca gi tr thc t, gi tr c lng, v phn d trn cng h ta hoc th ca ring phn d bng cch chn Actual, Fitted, Residual Graph. Cc th ny c th lu li hoc ct dn vo cc vn bn tng t nh th ca cc bin X, Y. 27 28. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 4 HI QUY NHIU BIN C LP Bi ny s s dng b s liu BT1CH1.wf1 c sn nm trong th mc SOLIEU thc hnh. y l b s liu v mt s ch tiu kinh t v m ca Vit Nam. 4.1 M tp s liu c sn [Eviews] File Open Chn tp s liu BT1CH1 trong th mc tng ng Ca s [Workfile] gm cc bin s c bn ca kinh t v m Vit Nam t nm 1980 n 1996: GDP GAP GIP EX IM, n v l t USD tnh theo gi so snh 1994. [?] - ngha ca cc bin s trong b s liu l g? - nh gi xu th chung ca cc bin theo thi gian nh th no? Cc bin c xu th tng hay khng? - Mc xut khu tng ln t bin trong nm no? Lin h vi thc tin, c th gii thch g v mc tng ? - So snh gia EX v IM nh gi xem trong cc nm, nm no c xut siu, nhp siu, c cn bng cn cn thng mi? - So snh gia GAP v GIP nh gi gia tng sn phm nng nghip v cng nghip. 4.2 nh gi chung v cc bin V th ca cc bin theo thi gian, mi bin mt th (Multiple Graphs) v nhn xt v xu th ca cc bin. V th ca GDP, GAP, GIP trn cng mt h trc ta (Graphs) v so snh mc tng trng ca cc bin. 28 29. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [?] - So snh trong hai trng hp, khi GAP mc ti thiu, v GIP mc ti thiu, khi GDP trong trng hp no ln hn? - C phi GDP lun lun tng theo hai bin khng? - GDP tng theo bin no nhanh hn? Xem cc thng k c trng mu ca tt c cc bin (Descriptive Stats) [?] - Bin no c gi tr trung bnh ln nht, nh nht? - Bin no c s bin ng tuyt i o bng phng sai ln nht, nh nht - Bin no c s bin ng tng i o bng h s bin thin ln nht, nh nht? - H s lch ca bin no ln nht, nh nht? - Kim nh v tnh phn phi chun ca cc bin? Xem ma trn tng quan ca cc bin (Correlations) [?] - Cc bin c tng quan thun chiu hay ngc chiu? - Cp bin no c tng quan ln nht, nh nht? - Tng sn phm quc ni tng quan vi bin no nhiu nht, t nht? quan h l tng quan cng chiu hay ngc chiu? 4.3 Hi quy m hnh nhiu bin Xt m hnh hi quy E(GDP/GAPt , GIPt) = 1 + 2 GAPt + 3 GIPt (MH 4.1) GDPt = 1 + 2 GAPt + 3 GIPt + ut GDPt = 1Ct + 2 GAPt + 3 GIPt + ut [Ca s lnh] LS GDP C GAP GIP Bng kt qu hi quy 29 30. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Dependent Variable: GDP Method: Least Squares Date: . Time: . Sample: 1980 1996 Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -2.395032 1.571602 -1.523944 0.1498 GAP 1.455290 0.199663 7.288738 0.0000 GIP 0.674673 0.092429 7.299395 0.0000 R-squared 0.997573 Mean dependent var 28.42353 Adjusted R-squared 0.997227 S.D. dependent var 9.350102 S.E. of regression 0.492409 Akaike info criterion 1.579772 Sum squared resid 3.394535 Schwarz criterion 1.726809 Log likelihood -10.42806 F-statistic 2877.499 Durbin-Watson stat 1.205284 Prob(F-statistic) 0.000000 Vi kt qu hi quy trn: [?] - Gii thch ngha cc c lng h s? Kt qu c ph hp vi l thuyt kinh t khng? - H s chn c ngha thng k khng? Kt qu kim nh ny c ngha nh th no? - Cc h s gc c ngha thng k khng? iu ny c ngha nh th no? - Theo m hnh ny, GAP v GIP gii thch c bao nhiu % s bin ng ca GDP? - Qua c lng im cc h s gc, GDP tng trng theo bin no nhiu hn? - Tng bnh phng phn d v sai s chun ca hi quy bng bao nhiu? Gi tr c lng bin ph thuc (gi tr tng hp) v phn d [Equation] Actual, Fitted, Residual Actual, Fitted, Residual Table: xem gi tr c lng bin ph thuc v phn d. [Equation] Actual, Fitted, Residual Actual, Fitted, Residual Graph: xem th cc gi tr. 30 31. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 4.4 Phng sai, hip phng sai cc c lng h s c th c lng, kim nh v hn mt h s hi quy, cn c c lng phng sai, hip phng sai ca cc c lng h s. [Equation] Covariance Matrix C GAP GIP C 2.469931 -0.308582 0.135627 GAP -0.308582 0.039865 -0.018113 GIP 0.135627 -0.018113 0.008543 [?] - Phng sai ca cc c lng bng bao nhiu? - Hip phng sai c lng hai h s gc bng bao nhiu? - Hip phng sai cc c lng h s c dng trong trng hp no? - S dng kt qu hip phng sai, v bng kt qu hi quy m hnh t phn u, cho bit nu GAP v GIP cng tng mt n v th trung bnh ca GDP thay i nh th no? - Kim nh gi thuyt cho rng: h s ca bin GAP ln gp i h s ca bin GIP. - Nu GAP tng mt n v, nhng GIP gim mt n v, th GDP s tng ln hay gim i, tng ln (gim i) ti a bao nhiu, ti thiu bao nhiu? 4.5 Kim nh b bt bin Eviews thc hin kim nh b bt bin s da trn kim nh thu hp hi quy. Vi m hnh ban u: E(GDP/GAPt, GIPt) = 1 + 2 GAPt + 3 GIPt (4.1) GDPt = 1 + 2 GAPt + 3 GIPt + ut Mun kim nh b bin GIP: E(GDP/GAPt) = 1 + 2 GAPt (4.2) GDPt = 1 + 2 GAPt + ut 31 32. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD H0: 3 = 0 : c th b bin GIP H1: 3 0 : khng th b bin GIP Kim nh F; 2 2 (4.2) (4.1) (4.1) (4.2) 2 (4.1) (4.1) (4.1) (4.1) ( )/ ( /( ) (1 )/( ) )/RSS RSS m R RSS m F RSS n k R n k = = Ti ca s kt qu c lng m hnh [Equation] [Equation] View Coefficient Tests Redundant Variables Ca s khai bo bt (thm) bin G bin mun b: GIP Kt qu hi quy sau khi b bin GIP. Redundant Variables: GIP F-statistic 53.28117 Probability 0.000004 Log likelihood ratio 26.68699 Probability 0.000000 Test Equation: Dependent Variable: GDP Method: Least Squares Date: . Time: . Sample: 1980 1996 Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -13.10596 1.191955 -10.99535 0.0000 GAP 2.885761 0.080939 35.65346 0.0000 32 33. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD R-squared 0.988337 Mean dependent var 28.42353 Adjusted R-squared 0.987560 S.D. dependent var 9.350102 S.E. of regression 1.042863 Akaike info criterion 3.031948 Sum squared resid 16.31345 Schwarz criterion 3.129973 Log likelihood -23.77156 F-statistic 1271.169 Durbin-Watson stat 0.753159 Prob(F-statistic) 0.000000 [?] Vi cp gi thuyt H0: 3 = 0 ; H1: 3 0, gi tr thng k F dng kim nh l F(1,14) = 53.2812 [.000] - Thng k F tnh c th nh th no? - Bc t do ca kim nh F bng bao nhiu? - Da vo thng tin kim nh F, kim nh gi thuyt H0: nn b bin GIP khi m hnh, s dng thng k F v mc xc sut P-value kt lun. - Thc hin kim nh tng t, c nn b bin GAP khi m hnh hay khng? 4.6 Kim nh thm bin Thm hai bin EX v IM vo m hnh E(GDPt) = 1 + 2 GAPt + 3 GIPt (4.1) E(GDPt) = 1 + 2 GAPt + 3 GIPt + 4EXt + 5IMt (4.3) H0: 3 = 4 = 0 H1: 3 2 + 4 2 0 Ti ca s kt qu c lng m hnh [Equation] [Equation] View Coefficient Tests Omitted Variables Ca s khai bo bt (thm) bin G bin mun thm: EX IM Kt qu hi quy sau khi thm bin. 33 34. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Omitted Variables: EX IM F-statistic 10.78774 Probability 0.002084 Log likelihood ratio 17.49112 Probability 0.000159 Test Equation: Dependent Variable: GDP Method: Least Squares Date: 08/14/09 Time: 23:00 Sample: 1980 1996 Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C 0.845611 1.687898 0.500985 0.6254 GAP 1.232316 0.219174 5.622535 0.0001 GIP 0.606301 0.130161 4.658088 0.0006 EX 1.181808 0.259626 4.551961 0.0007 IM -0.436874 0.175753 -2.485723 0.0287 R-squared 0.999133 Mean dependent var 28.42353 Adjusted R-squared 0.998844 S.D. dependent var 9.350102 S.E. of regression 0.317965 Akaike info criterion 0.786176 Sum squared resid 1.213219 Schwarz criterion 1.031239 Log likelihood -1.682500 F-statistic 3455.873 Durbin-Watson stat 1.720441 Prob(F-statistic) 0.000000 [?] - Nu cch tnh thng k F = 10.78774, bc t do tng ng vi kim nh F l bao nhiu?. - Theo kim nh F v mc P-value bng 0.002, vic cho thm hai bin EX v IM vo m hnh c ngha thng k khng? - Dng kim nh T kim nh xem c cn a bin EX, IM vo m hnh khng? - Nhng kt lun trn c g thay i nu mc ngha bng 1%? 4.7 Kim nh v hai h s hi quy Vi m hnh (4.1), kim nh H0: 2 = 3 H1: 2 3 34 35. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [Equation] View Coefficient Tests Wald Coefficient Restrictions Ca s khai bo gi thuyt cn kim nh v cc h s: Quy c nh s cc h s C(1), C(2), theo th t khai bo ca phng trnh hi quy, do nu khi khai bo bin l C GAP GIP th h s chn l C(1), h s GAP l C(2), GAP l C(3). Ti ca s Wald Test: C(2) = C(3) Kt qu kim nh bng kim nh Wald, kim nh F v 2 . Wald Test: Equation: Untitled Null Hypothesis: C(2) = C(3) F-statistic 7.199893 Probability 0.017831 Chi-square 7.199893 Probability 0.007291 [?] - S dng P-value, c th cho rng 2 = 3 hay khng? - Tng t, kim nh gi thuyt GAP = 2*GIP 35 36. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 5 CC DNG M HNH (Tip theo 4) Tip tc vi b s liu BT1CH1, b s liu theo thi gian, cc bin s c xu th tng theo thi gian. 5.1 Bin xu th thi gian M hnh GDPt = 1 + 2 GAPt + 3 GIPt + 4 t + ut (5.1) Ca s lnh: GENR T = @TREND( ) Ca s lnh: LS GDP C GAP GIP T Dependent Variable: GDP Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -1.894304 4.039848 -0.468905 0.6469 GAP 1.397422 0.474727 2.943631 0.0114 GIP 0.683579 0.116234 5.881087 0.0001 T 0.025211 0.186117 0.135460 0.8943 R-squared 0.997577 F-statistic 1783.829 Sum squared resid 3.389751 Prob(F-statistic) 0.000000 Bng kim nh T tng ng, c th thy bin xu th thi gian l khng c ngha trong m hnh. [?] - Nu hi quy trc tip GDP theo ch mt bin xu th thi gian T (thc hin yu cu ny nh mt bi tp), th bin GDP thc s ph thuc T, nhng trong kt qu m hnh ny th bin T li khng c ngha. C th gii thch iu nh th no? 36 37. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 5.2 Hi quy vi bin tr Bin GDP c th ph thuc vo chnh n thi k trc . M hnh (5.2):GDPt = 1 + 2 GAPt + 3 GIPt + 4GDPt 1 + ut Hay: GDP = 1 + 2 GAP + 3 GIP + 4GDP(1) + u Ca s lnh: LS GDP C GAP GIP GDP(-1) Dependent Variable: GDP Included observations: 16 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. C -2.463898 1.350701 -1.824162 0.0931 GAP 0.795588 0.272947 2.914805 0.0130 GIP 0.317487 0.110062 2.884625 0.0137 GDP(-1) 0.556071 0.153006 3.634316 0.0034 R-squared 0.998853 F-statistic 3483.029 Durbin-Watson stat 0.940028 Prob(F-statistic) 0.000000 [?] - GDP c ph thuc vo tr bc 1 ca n khng? - Gii thch c lng h s ng vi bin tr - H s xc nh so vi trc khi thm bin thay i th no? - Tng t, thm bin tr bc 1 ca GAP, GIP vo m hnh - Thm bin tr bc 2 ca GDP vo m hnh, kt qu th no? 5.3 Hi quy m hnh dng hm m M hnh dng hm m Cobb-Douglas M hnh 31 2 tu t t tGDP e GAP GIP e = (5.3) 31 2 t tGDP e GAP GIPt = Logarit hai v 1 2 3ln ln lnt tGDP GAP GIP ut t = + + + 37 38. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Ca s lnh: LS LOG(GDP) C LOG(GAP) LOG(GIP) Dependent Variable: LOG(GDP) Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C 0.375308 0.231645 1.620189 0.1275 LOG(GAP) 0.805312 0.164321 4.900835 0.0002 LOG(GIP) 0.307511 0.079742 3.856333 0.0017 R-squared 0.996969 Mean dependent var 3.298273 Adjusted R-squared 0.996536 S.D. dependent var 0.320444 S.E. of regression 0.018859 Akaike info criterion -4.944817 Sum squared resid 0.004980 Schwarz criterion -4.797780 Log likelihood 45.03095 F-statistic 2302.593 Durbin-Watson stat 1.101466 Prob(F-statistic) 0.000000 Theo kt qu ny 0.37531 0.80531 0.30751 GDP e GAP GIP= [?] - Gii thch ngha kt qu hi quy - Cc h s c ngha thng k khng? - M hnh dng hm m gii thch bao nhiu % s bin ng ca bin GDP, c gii thch c nhiu hn dng hm tuyn tnh khng? Hi quy m hnh 3 51 2 4 tu t t t t tGDP e GAP GIP EX IM e = [?] - Hai bin mi a vo m hnh dng hm m c cn thit hay khng? So snh vi m hnh dng tuyn tnh, m hnh theo dng no gii thch c cho bin ph thuc GDP nhiu hn? 38 39. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 6 M HNH VI BIN GI S dng tp BT1CH1 trong th mc SOLIEU Xt mi quan h nhp khu ph thuc vo GDP c dng IM = [H s chn] + [H s gc]GDP + u 6.1 Xc nh yu t nh tnh V th im ca IM theo GDP Ca s chnh [Eviews] Quick Graph Scatter GDP IM 0 2 4 6 8 10 12 15 20 25 30 35 40 45 50 gross domestic products importofgoodsandservices Nhn xt thy giai on u 1980-1989 (ng vi 10 im bn tri) th t dc hn giai on sau 1990-1996, yu t giai on l nh tnh, s dng bin gi t D l bin gi D = 0 vi quan st 1980 1989 D = 1 vi quan st 1990 1996 M hnh IM = 1 + 2GDP + 3 D + 4D.GDP + u (MH 6.1) Giai on u: IM = 1 + 2GDP + u Giai on sau: IM = (1 + 3) + (2 + 4)GDP + u Nu 3= 4 = 0 : hm hi quy l ng nht trong hai giai on 39 40. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 6.2 t bin gi Trong chng trnh Eviews, tn bin D khng c chp nhn, do s dng tn l D1 Lnh: GENR D1 = 0 Ti ca s [Workfile] xut hin bin D1, Nhy p vo D1, m ca s [Series] Edit+/- Vi cc quan st t 1990 1996 i gi tr ca D1 thnh 1 Cch 2 nhp gi tr cho bin gi: dng khi s quan st nhiu, vic nhp s liu kh khn: Ti ca s [Workfile] chn Sample Ca s [Sample], ti Sample range pairs ang c sn 1980 1996; i thnh 1990 1996. Lnh: D1 = 1 Ca s [Workfile] Sample i li mu thnh 1980 1996. 6.3 Hi quy m hnh c bin gi Lnh: LS IM C D1 GDP D1*GDP Dependent Variable: IM Sample: 1980 1996 Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -1.084655 1.342126 -0.808162 0.4335 D1 -11.19851 2.071545 -5.405872 0.0001 GDP 0.137484 0.060219 2.283088 0.0399 D1*GDP 0.325480 0.073081 4.453671 0.0007 R-squared 0.944354 Mean dependent var 3.251176 Adjusted R-squared 0.931513 S.D. dependent var 2.596830 S.E. of regression 0.679590 Akaike info criterion 2.267670 Sum squared resid 6.003951 Schwarz criterion 2.463720 Log likelihood -15.27519 F-statistic 73.54055 Durbin-Watson stat 1.409782 Prob(F-statistic) 0.000000 40 41. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [?] - Hm hi quy trong hai giai on? Gii thch ngha? - Cc h s hi quy c ngha thng k khng? - H s chn ca m hnh c khc nhau trong hai giai on khng? - Khi GDP tng mt n v, nhp khu giai on no tng ln nhiu hn, nhiu hn bao nhiu? - Hm hi quy c ng nht trong hai giai on khng? Kim nh s ng nht bng kim nh F [Equation] View Coefficient Tests Redundant Variables Bin cn b: D1 D1*GDP Kt qu sau khi b hai bin gi. Redundant Variables: D1 D1*GDP F-statistic 17.24819 Probability 0.000220 Log likelihood ratio 22.02697 Probability 0.000016 Test Equation: Dependent Variable: IM Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -3.794962 0.964703 -3.933813 0.0013 GDP 0.247898 0.032334 7.666868 0.0000 R-squared 0.796695 F-statistic 58.78087 Sum squared resid 21.93584 Prob(F-statistic) 0.000001 [?] - Thng k F ca kim nh thu hp hi quy bng bao nhiu? - C nn b hai bin gi khi m hnh khng? - Hm hi quy c ng nht trong hai giai on khng? 41 42. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 7 HIN TNG A CNG TUYN Thc hnh vi b s liu BT1CH1 7.1 a cng tuyn hon ho Xt m hnh 1 2 3 4t t t tGDP GAP GIP NX ut = + + + + t (7.1) Vi NX l xut khu rng, t tNX EX IM= Lnh: GENR NX = EX IM Lnh: LS GDP C EX IM NX Ca s Error Message vi thng bo: M hnh c hin tng a cng tuyn hon ho nn cc tnh ton khng thc hin c. B bt bin NX khi phng trnh hi quy Cc kt qu tnh ton by gi c th thc hin c 7.2 a cng tuyn khng hon ho Xt m hnh 2 2 1 2 3 4 5t t t tGDP GAP GIP GAP GIP u = + + + + +t t (7.2) Lnh: LS GDP C GAP GIP GAP^2 GIP^2 42 43. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Dependent Variable: GDP Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C 0.295351 5.731684 0.051529 0.9598 GAP 1.134834 1.000746 1.133988 0.2789 GIP 0.344117 0.322092 1.068381 0.3064 GAP^2 0.028279 0.035942 0.786800 0.4467 GIP^2 0.002412 0.006913 0.348937 0.7332 R-squared 0.998026 F-statistic 1517.112 Durbin-Watson stat 1.447594 Prob(F-statistic) 0.000000 [?] - S dng cc kim nh T, cho bit cc bin c lp c gii thch cho bin ph thuc hay khng? Da trn cc kim nh ny, hm hi quy c ph hp hay khng? - H s xc nh bng bao nhiu? - Bng kim nh F, cho bit hm hi quy c ph hp khng? - Mu thun gia cc kim nh cho thy iu g? Xt v quan h ton hc, bin GIP v GIP2 , bin GAP v GAP2 khng c quan h cng tuyn, nhng do thi k ly mu cha nn hin tng a cng tuyn gia cc s liu vn xy ra. Trong trng hp ny, cn b hai bin GAP2 , GIP2 khi m hnh, hin tng mu thun gia cc kim nh s khng cn. Kim nh b bt bin GAP2 , GIP2 cho kt qu sau, theo nn b hai bin khi m hnh Redundant Variables: GAP^2 GIP^2 F-statistic 1.377907 Probability 0.289273 Log likelihood ratio 3.514419 Probability 0.172526 43 44. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 7.3 Hi quy ph kim nh a cng tuyn Vi v d trn, sau khi b hai bin GAP2 , GIP2 , c m hnh: 1 2 3t tGDP GAP GIP ut t = + + + (7.3) LS GDP C GAP GIP Dependent Variable: GDP Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C -2.395032 1.571602 -1.523944 0.1498 GAP 1.455290 0.199663 7.288738 0.0000 GIP 0.674673 0.092429 7.299395 0.0000 R-squared 0.997573 F-statistic 2877.499 Durbin-Watson stat 1.205284 Prob(F-statistic) 0.000000 M hnh khng c mu thun gia cc kim nh T v kim nh F. kim nh chi tit v a cng tuyn, s dng hi quy ph: Hi quy GAP theo GIP 1 2tGAP GIP vt t = + + (7.4) Dependent Variable: GAP Included observations: 17 Variable Coefficient Std. Error t-Statistic Prob. C 7.740618 0.368769 20.99044 0.0000 GIP 0.454364 0.022878 19.86005 0.0000 R-squared 0.963363 Mean dependent var 14.39118 Durbin-Watson stat 0.623993 Prob(F-statistic) 0.000000 [?] - Bin GAP c ph thuc tuyn tnh vo GIP khng? M hnh (7.3) c a cng tuyn khng? - a cng tuyn ny c phi a cng tuyn hon ho khng? - Mc cng tuyn gia GAP v GIP trong mu ny mc no? - Tnh o Theil ca m hnh (7.3)? 44 45. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 8 HIN TNG PHNG SAI SAI S THAY I S dng b s liu BT5EX trong th mc SOLIEU C cc bin: M : cu tin danh ngha, Y: thu nhp thc t, R: li sut, P l mc gi, C: h s chn 8.1 Hin tng Xt m hnh 1 2 3 4i i i i iM Y P R u = + + + + (MH 8.1) Hi quy m hnh (9.1) Lnh: LS M C Y P R Bng kt qu hi quy. Dependent Variable: M Sample: 1963 1987 Included observations: 25 Variable Coefficient Std. Error t-Statistic Prob. C -52.33310 14.97030 -3.495794 0.0022 Y 0.288936 0.067958 4.251667 0.0004 P 40.70030 7.712388 5.277263 0.0000 R -2.480736 0.442728 -5.603290 0.0000 R-squared 0.957870 Mean dependent var 26.55516 S.E. of regression 5.024448 F-statistic 159.1525 Durbin-Watson stat 0.887349 Prob(F-statistic) 0.000000 nhn nh v phng sai sai s, nh gi qua th phn d [Equation] View Actual, Fitted, Residual Residual Graph Qua th c th thy s dao ng khng ng u ca sai s quanh gi tr trung bnh l 0. Hai ng t nt l gi tr (sai s chun ca hi quy). 45 46. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD -10 -5 0 5 10 15 1965 1970 1975 1980 1985 M Residuals 8.2 Kim nh White Kim nh White do Eviews thc hin da trn hi quy bnh phng phn d (k hiu l RESID) theo bc nht v bc hai ca cc bin c lp. C hai trng hp: kim nh khng c tch cho gia cc bin c lp v kim nh c tch cho. Kim nh khng c tch cho 2 2 2 1 2 3 4 5 6 7i i i i i i ie Y Y P P R R = + + + + + + +2 iv (8.2) H0: M hnh gc c phng sai sai s khng i (ng u) H1: M hnh gc c phng sai sai s thay i (khng ng u) 2 2 1 1 qs R n k F R k = so snh vi ( 1,k n k F ) )so snh vi2 2 qs nR = 2 ( 1k [Equation] View Residual Test White heteroskedasticity (no cross terms) 46 47. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD White Heteroskedasticity Test: F-statistic 4.012181 Probability 0.010027 Obs*R-squared 14.30433 Probability 0.026415 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: Time: Sample: 1963 1987 Included observations: 25 Variable Coefficient Std. Error t-Statistic Prob. C 840.8150 665.8814 1.262710 0.2228 Y -6.521801 5.591946 -1.166285 0.2587 Y^2 0.012623 0.008874 1.422498 0.1720 P -148.9686 219.8589 -0.677565 0.5067 P^2 62.13170 192.4990 0.322764 0.7506 R 3.522892 43.76667 0.080493 0.9367 R^2 -0.011481 1.786478 -0.006426 0.9949 R-squared 0.572173 Mean dependent var 21.20586 Adjusted R-squared 0.429564 S.D. dependent var 38.74929 S.E. of regression 29.26626 Akaike info criterion 9.822244 Sum squared resid 15417.25 Schwarz criterion 10.16353 Log likelihood -115.7780 F-statistic 4.012181 Durbin-Watson stat 1.799271 Prob(F-statistic) 0.010027 47 48. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [?] - Cho bit gi tr F-statistic = 4,012181 v Obs*R-squared = 14,30433 c tnh c th th no ? - Qua cc thng k v P-value tng ng, thc hin kim nh kt lun v phng sai sai s ca m hnh gc? - Cc c lng h s ca m hnh (8.1) c phi l c lng tt nht khng? - Nu c lng trn cha phi tt nht, hy nu cch c lng c kt qu tt hn. Kim nh White c tch cho [Equation] View Residual Test White heteroskedasticity (cross terms) [?] - Vit phng trnh hi quy ph ? - Thc hin kim nh i vi kt qu ny. 8.3 Lu phn d v gi tr c lng C th thc hin hi quy ph phn d theo cc bin c lp theo kim nh Glejer, kim nh Park, kim nh da trn bin ph thuc. thc hin ch ng cc hi quy ph, cn lu li cc gi tr cn thit di dng cc bin s mi. Lu phn d v gi tr c lng Vi bng kt qu hi quy m hnh (8.1), ca s Equation: [Equation] View Estimation Output [Equation] Procs Make Residual Series Ca s Make Residuals, tn ngm nh cho phn d l resid01, i thnh E , ng ca s Series E. 48 49. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [Equation] Forecast Ca s Forecast, trong Forecast name l tn ca gi tr c lng bin ph thuc M , c ngm nh l MF, s dng tn ny. Sau khi t chui gi tr phn d v gi tr c lng, trong ca s [Workfile] xut hin hai bin mi l E v MF. 49 50. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 8.4 Kim nh bng hi quy ph Phng sai sai s c thay th bi ei 2 thay i theo cc gi thit khc nhau. Cc kim nh Glejer, Park thc hin kim nh cho tng bin c lp Kim nh phng sai sai s thay i vi bin P Kim nh Glejer Hi quy ph: 1 2| |i ie P iv = + + Lnh: LS ABS(E) C P Kt lun c PSSS thay i [?] Hi quy ph: 1 2| |i ie iP v= + + Lnh: LS ABS(E) C P^0.5 Kt lun c PSSS thay i [?] Kim nh Park Gi thit: 22 2 ( )i i iVar u P = = 1 2ln lni ie P iv = + + Lnh: LS LOG(E) C LOG(P) Kt lun c PSSS khng i [?] Dng thu gn ca kim nh White Hi quy ph: 2 2 1 2i ie P iv= + + Lnh: LS E^2 C P^2 Kt lun c PSSS thay i [?] Tng t, kim nh gi thuyt phng sai sai s thay i theo cc bin c lp Y, R. Qua cc hi quy ph, c th thy phng sai sai s thay i theo P, theo Y, nhng khng thay i theo R. 50 51. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Kim nh phng sai sai s thay i vi bin ph thuc Gi thit: ( ) 22 2 ( ) ( )i i iVar u E M = = Hi quy ph: 2 2 1 2 i ie M iv= + + Lnh: LS E^2 C MF^2 Kt lun c phng sai sai s thay i theo bin ph thuc. 8.5 Khc phc phng sai sai s thay i M hnh (8.1) 1 2 3 4i i i i iM Y P R u = + + + + c phng sai sai s thay i, qua cc hi quy ph, nhn thy s thay i theo bin P, Y, hoc 2M , khc phc da trn cc gi thit ny. Khc phc theo bin P T hi quy ph 2 1 2i ie P 2 iv= + + trong phn trn, c th cho rng gi thit l ng, khc phc bng cch chia (8.1) cho P2 2 i P = 2 i i: 1 2 3 4 1i i i i i i i i i M Y R P P P P = + + + + u P (8.3) LS M/P 1/P Y/P C R/P Dependent Variable: M/P Included observations: 25 Variable Coefficient Std. Error t-Statistic Prob. 1/P -13.38787 6.008009 -2.228337 0.0369 Y/P 0.082868 0.032222 2.571759 0.0178 C 54.34015 4.307226 12.61604 0.0000 R/P -1.055670 0.303220 -3.481534 0.0022 R-squared 0.391639 Mean dependent var 52.40034 Durbin-Watson stat 0.576960 Prob(F-statistic) 0.013650 xem m hnh mi (8.3) khc phc c hin tng phng sai sai s thay i hay cha, s dng kim nh White 51 52. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Kim nh White khng c tch cho v c tch cho White Heteroskedasticity Test: no cross terms F-statistic 2.385495 Probability 0.071356 Obs*R-squared 11.07370 Probability 0.086125 White Heteroskedasticity Test: cross term F-statistic 2.371617 Probability 0.067065 Obs*R-squared 14.68208 Probability 0.100047 [?] - M hnh (8.3) c phng sai sai s ng u hay thay i? - Nu mc ngha l 10% th kt lun th no? - Vi m hnh ny, c lng im mc thay i ca M khi Y tng 1 n v? So snh vi kt qu t m hnh (8.1) - c lng im mc thay i ca M khi P thay i 1 n v? - Gii thch ngha kinh t ca m hnh mi? Khc phc theo bin Y Chia phng trnh (8.1) cho bin Y 1 2 3 4 1i i i i i i i i i M P R Y Y Y Y = + + + + u Y (8.4) LS M/Y 1/Y C P/Y R/Y Khc phc theo bin ph thuc M Chia phng trnh (8.1) cho bin M 1 2 3 4 1 i i i i i i i i i i i M Y P R u M M M M M = + + + + M (8.5) Lu phng trnh ny khng c h s chn LS M/MF 1/MF Y/MF P/MF R/MF [?] - So snh kt qu (8.5) vi (8.3), (8.4) nh gi v hin tng phng sai sai s thay i, h s xc nh, v c lng cc h s? 52 53. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 9 HIN TNG T TNG QUAN S dng b s liu BT7NCY trong th mc SOLIEU. C cc bin: CS : tiu dng khu vc dn c, Y: thu nhp thc t, C: hng s, s liu ca Nigeria 9.1 Hin tng Hi quy m hnh CSt = 1 + 2 Yt + ut (9.1) LS CS C Y Bng kt qu hi quy. Dependent Variable: CS Sample: 1960 1986 Included observations: 27 Variable Coefficient Std. Error t-Statistic Prob. C 155.2239 203.4712 0.762879 0.4527 Y 0.597069 0.060594 9.853648 0.0000 R-squared 0.795240 Mean dependent var 2037.449 Adjusted R-squared 0.787050 S.D. dependent var 789.2231 S.E. of regression 364.1989 Akaike info criterion 14.70446 Sum squared resid 3316021. Schwarz criterion 14.80045 Log likelihood -196.5103 F-statistic 97.09438 Durbin-Watson stat 0.462830 Prob(F-statistic) 0.000000 Theo kt qu hi quy ny, gi tr d ca kim nh Durbin-Watson bng 0.46238; vi gi tr dL = 1.302 v dU = 1.461 th d < dL m hnh c hin tng t tng quan bc 1 dng. [?] - M hnh c t tng quan bc 1 dng, c th c lng h s t tng quan bc 1 bng bao nhiu? - Hy nu 1 cch khc phc hin tng t tng quan bc 1 da trn thng k DW? 53 54. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 9.2 Kim nh Breusch-Godfrey Kim nh t tng quan bc 1 ca m hnh (9.1) bng kim nh Breusch-Godfrey, hi quy ph l: (9.2)( )1 2 1 1t t te Y e = + + + tv tv (9.3)( )1 2t te Y = + + H0: 1 = 0: M hnh khng c t tng quan bc 1 H1: 1 0: M hnh c t tng quan bc 1 2 2 (9.2) (9.3) (9.2) (9.2) 2 (9.2)1 1 qs R R n k F R = v 2 2 (9.2) (9.2)qs n R = M hnh (9.2) c tr bc 1, s quan st bt i 1. Tuy nhin chng trnh Eviews t ng thay gi tr thiu bng 0, do s quan st vn c gi nguyn. [Equation] View Residual Tests Residual Correlation LM Test Ca s [Lag specification] xc nh bc ca t tng quan cn kim nh. Bc ngm nh l 2, cn kim nh t tng quan bc 1 [Lag specification] Lags to include: 1 54 55. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Bng kt qu kim nh hin tng t tng quan bc 1 ca m hnh (9.1) bng kim nh BG. Breusch-Godfrey Serial Correlation LM Test: F-statistic 34.31433 Probability 0.000005 Obs*R-squared 15.88781 Probability 0.000067 Test Equation: Dependent Variable: RESID Method: Least Squares Date: Time: Presample missing value lagged residuals set to zero. Variable Coefficient Std. Error t-Statistic Prob. C -60.84700 133.6292 -0.455342 0.6530 Y 0.021511 0.039844 0.539890 0.5942 RESID(-1) 0.777523 0.132732 5.857844 0.0000 R-squared 0.588437 Mean dependent var -2.97E-13 Adjusted R-squared 0.554140 S.D. dependent var 357.1264 S.E. of regression 238.4630 Akaike info criterion 13.89074 Sum squared resid 1364750. Schwarz criterion 14.03473 Log likelihood -184.5250 F-statistic 17.15717 Durbin-Watson stat 1.846319 Prob(F-statistic) 0.000024 Lu : nhng thng tin trong phn cui ca bng kt qu l tng ng vi m hnh hi quy ph (9.2). [?] - Hy cho bit thng k F-statistic v Obs*R-squared c tnh c th nh th no, bc t do tng ng l bao nhiu? - Kim nh v kt lun v hin tng t tng quan bc 1? - C th ly c lng h s t tng quan bc 1 bng bao nhiu thng qua kim nh ny? Tng t, thc hin kim nh t tng quan n bc 2. [?] - Vi kim nh t tng quan bc 2, hi quy ph th no? - Thc hin kim nh c th, c t tng quan bc 1, bc 2 hay khng? 55 56. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 9.3 Kim nh bng hi quy ph Kim nh t tng quan da trn vic xem xt phn d et c ph thuc vo cc tr ca n khng. Kim nh t tng quan bc 1 Khng c h s chn 1 1t te e tv = + (9.4) C h s chn 0 1 1t te e tv = + + (9.5) Cn lu li phn d [Equation] View Estimation Output [Equation] Procs Make Residual Series [Make Residuals] Name of resid series: E Hi quy khng c h s chn Lnh: LS E E(-1) Kt qu hi quy m hnh (9.4) Dependent Variable: E Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. E(-1) 0.770406 0.129372 5.954944 0.0000 R-squared 0.586418 Mean dependent var -5.380974 Adjusted R-squared 0.586418 S.D. dependent var 363.0810 S.E. of regression 233.4985 Akaike info criterion 13.78193 Sum squared resid 1363039. Schwarz criterion 13.83032 Log likelihood -178.1651 Durbin-Watson stat 1.801323 [?] - Phn d c ph thuc tr ca n khng? - C th ly h s t tng quan bc 1 bng bao nhiu? - Ti sao bng kt qu khng c thng tin F-statistic v P-value ca kim nh F? 56 57. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Hi quy c h s chn LS E C E(-1) [?] - Kt qu c ging vi hi quy khng c h s chn khng? - Qua kim nh T v F, kt lun g v hin tng t tng quan bc 1 ca m hnh gc. 9.4 Khc phc t tng quan S dng phng trnh sai phn tng qut Qua thng k DW v hi quy ph (9.4), (9.5), c lng h s tng quan bc nht 0,77 , thay vo phng trnh sai phn tng qut (9.6) nh sau: CSt 0,77CSt 1 = 1(1 0.77) + 2 (Yt 0.77Yt 1) + (ut 0.77ut 1) V ca s lnh LS (CS 0.77*CS(-1)) C (Y 0.77*Y(-1)) Kt qu hi quy Dependent Variable: CS-0.77*CS(-1) Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. C 143.8042 123.0936 1.168251 0.2542 Y-0.77*Y(-1) 0.465693 0.141126 3.299833 0.0030 R-squared 0.312102 Mean dependent var 520.6781 Adjusted R-squared 0.283440 S.D. dependent var 276.5709 S.E. of regression 234.1170 Akaike info criterion 13.82332 Sum squared resid 1315458. Schwarz criterion 13.92010 Log likelihood -177.7032 F-statistic 10.88890 Durbin-Watson stat 1.720759 Prob(F-statistic) 0.003013 57 58. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Theo bng kt qu ny, m hnh sau khi i bin s (9.6) c c lng h s chn l 143.8042, do c lng h s chn ca m hnh (9.1) s l , c lng h s gc ca m hnh gc . 1 143.8042/(1 0.77) 625.236 = = 2 0.46569 = [?] - Dng kim nh Durbin-Watson chng t m hnh (9.6) khng cn t tng quan. - Ti sao c lng h s chn 1 ca m hnh (9.1) li phi ly c lng h s chn ca m hnh (9.6) chia cho (1 0.77)? - Khi sai s chun 1 ( )Se s bng bao nhiu? Dng kim nh Breusch-Godfrey kim nh m hnh (9.6), c: Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.429307 Probability 0.518829 Obs*R-squared 0.476411 Probability 0.490052 [?] - Kt qu ny cho bit m hnh (9.6) c t tng quan bc 1 hay khng? S dng phng php Cochran-Orcutt i cu lnh hi quy bng cch thm k hiu ca t tng quan bc tng ng vo sau phng trnh hi quy LS CS C Y AR(1) Dependent Variable: CS Method: Least Squares Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Convergence achieved after 39 iterations Variable Coefficient Std. Error t-Statistic Prob. C 1290.375 864.3354 1.492910 0.1491 Y 0.320087 0.180066 1.777612 0.0887 AR(1) 0.895753 0.097838 9.155465 0.0000 R-squared 0.917399 Mean dependent var 2068.732 Adjusted R-squared 0.910216 S.D. dependent var 787.5967 58 59. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD S.E. of regression 235.9953 Akaike info criterion 13.87367 Sum squared resid 1280957. Schwarz criterion 14.01883 Log likelihood -177.3577 F-statistic 127.7230 Durbin-Watson stat 1.884378 Prob(F-statistic) 0.000000 Inverted AR Roots .90 Bng kt qu cho thy phng php hi quy dng li sau 39 bc lp. c lng cho h s t tng quan bc 1 c tnh bc cui bng 0.895735. Kim nh BG cho kt qu sau: Breusch-Godfrey Serial Correlation LM Test: AR(1) F-statistic 0.074213 Probability 0.787839 Obs*R-squared 0.087411 Probability 0.767495 [?] - Bng kim nh DW v kim nh BG cho bit mc ch khc phc t tng quan t c cha? - c lng h s chn v h s gc bng bao nhiu, c khc so vi dng OLS trc tip khng? - H s xc nh c thay i khng? - Vit phng trnh sai phn tng qut ng vi bc cui cng ca m hnh. Khi c lng h s chn ca phng trnh sai phn tng qut bng bao nhiu? 59 60. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 10 NH DNG M HNH Bi thc hnh s 10 trnh by kim nh v dng hm trong mt m hnh hi quy bng kim nh RamseyRESET v kim nh nhn t Lagrange. Bi thc hnh ny cng tng hp mt s phng php khc phc khuyt tt nhng bi trc nhm tm c nhng c lng tt nht trn mt b s liu. hiu c ni dung ca bi thc hnh, cn nm c cc k thut kim nh, mc ch, ngha v kt lun ca n. Phn khc phc khuyt tt tng hp yu cu nm vng cc khi nim, k thut trong tt c cc bi thc hnh trc. S dng b s liu BT7NCY trong th mc SOLIEU 10.1 Kim nh Ramsey RESET Hi quy m hnh 1 2t tCS Y ut = + + (10.1) LS CS C Y Bng kt qu hi quy. Dependent Variable: CS Included observations: 27 Variable Coefficient Std. Error t-Statistic Prob. C 155.2239 203.4712 0.762879 0.4527 Y 0.597069 0.060594 9.853648 0.0000 R-squared 0.795240 F-statistic 97.09438 Durbin-Watson stat 0.462830 Prob(F-statistic) 0.000000 Kim nh Ramsey RESET s dng hi quy ph, khi thm mt phn t vo m hnh gc: ( ) 2 1 2 1t t tCS Y CS u = + + + t (10.2) 60 61. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD H0: 1 = 0: M hnh gc khng thiu bin, dng hm ng H1: 1 0: M hnh gc thiu bin, dng hm sai 2 2 (10.2) (10.1) (10.2) 2 (10.2)1 1 qs R R n k F R = so snh vi ( )(10.2)1,n k F [Equation] View Stability Test Ramsey RESET Test [RESET Specification] Number of fitted terms: 1 S phn t mun thm vo, nhp l 1 Ramsey RESET Test: F-statistic 0.348918 Probability 0.560248 Log likelihood ratio 0.389707 Probability 0.532453 Test Equation: Dependent Variable: CS Method: Least Squares Sample: 1960 1986 Included observations: 27 Variable Coefficient Std. Error t-Statistic Prob. C -268.6193 746.5686 -0.359805 0.7221 Y 0.954119 0.607571 1.570384 0.1294 FITTED^2 -0.000152 0.000257 -0.590693 0.5602 R-squared 0.798175 Mean dependent var 2037.449 Adjusted R-squared 0.781356 S.D. dependent var 789.2231 S.E. of regression 369.0360 Akaike info criterion 14.76410 Sum squared resid 3268502. Schwarz criterion 14.90809 Log likelihood -196.3154 F-statistic 47.45732 Durbin-Watson stat 0.428978 Prob(F-statistic) 0.000000 61 62. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD [?] - Hy nu chi tit cch tnh gi tr F-statistic = 0,34918 trong bng, v cho bit bc t do tng ng bng bao nhiu? - Theo kim nh ny, m hnh gc c thiu bin khng? Khi mun kim nh bng cch thm 2 nhn t vo m hnh gc, phng trnh hi quy ph: (10.3)( ) 2 3 1 2 1 2t tt CS Y CS CS u = + + + +t t t tv Gi thuyt H0: H0: 1 = 2 = 0 [?] - Thc hin kim nh khi thm 2 phn t, v kt lun v dng hm ca m hnh gc? 10.2 Kim nh nhn t Lagrange (kim nh 2 ) Hi quy ph Tng qut ( ) 2 1 1 2 1 ... m t t mt e Y CS CS + = + + + + + (10.4) H0: M hnh gc c dng hm ng H1: M hnh gc c dng hm sai 2 2 (10.4)qs nR = , so snh vi 2 ( )m Trng hp n gin n gin ( ) 2 1 2 1t tt e Y CS tv= + + + (10.5) Lu li phn d l E v gi tr c lng l CSF [Equation] View Estimation Output [Equation] Procs Make Residual Series [Make Residuals] Name of resid series: E [Equation] Forecast Forecast name: CSF 62 63. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Hi quy ph Lnh: LS E C Y CSF^2 Dependent Variable: E Included observations: 27 Variable Coefficient Std. Error t-Statistic Prob. C -423.8432 746.5686 -0.567722 0.5755 Y 0.357051 0.607571 0.587669 0.5622 CSF^2 -0.000152 0.000257 -0.590693 0.5602 R-squared 0.014330 Mean dependent var -2.97E-13 Adjusted R-squared -0.067809 S.D. dependent var 357.1264 S.E. of regression 369.0360 Akaike info criterion 14.76410 Sum squared resid 3268502. Schwarz criterion 14.90809 Log likelihood -196.3154 F-statistic 0.174459 Durbin-Watson stat 0.428978 Prob(F-statistic) 0.840967 [?] - Tnh 2 qs thc hin kim nh, bc t do tng ng l bao nhiu? - Theo kim nh ny, m hnh gc c dng hm ng hay khng? - Thc hin kim nh vi hi quy ph sau v cho kt lun ( ) 2 3 1 2 1 2t tt e Y CS CS t tv= + + + + (10.6) 10.3 Khc phc khuyt tt tng hp Quay li vi m hnh hi quy 1 2t tCS Y ut = + + (10.1) [?] Gii thch ngha ca m hnh - Hi quy m hnh, cho bit m hnh c nhng khuyt tt no? - Nu cc cch khc phc cc khuyt tt ca m hnh? 63 64. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Dependent Variable: CS Sample: 1960 1986 Included observations: 27 Variable Coefficient Std. Error t-Statistic Prob. C 155.2239 203.4712 0.762879 0.4527 Y 0.597069 0.060594 9.853648 0.0000 R-squared 0.795240 Mean dependent var 2037.449 Durbin-Watson stat 0.462830 Prob(F-statistic) 0.000000 White Heteroskedasticity Test: F-statistic 6.256641 Probability 0.006503 Obs*R-squared 9.253033 Probability 0.009789 Breusch-Godfrey Serial Correlation LM Test: AR(1) F-statistic 34.31433 Probability 0.000005 Obs*R-squared 15.88781 Probability 0.000067 Ramsey RESET Test: number of fitted terms: 1 F-statistic 0.348918 Probability 0.560248 Log likelihood ratio 0.389707 Probability 0.532453 M hnh c cc khuyt tt: Phng sai sai s thay i, t tng quan bc 1. Thc hin khc phc cc khuyt tt . Khc phc t tng quan bng cch thm bin tr Thm tr bc 1 ca bin ph thuc vo m hnh, m hnh mi khng dng c kim nh DW: 1 2 2 1t t tCS Y CS ut = + + + (10.7) LS CS C Y CS(-1) Dependent Variable: CS Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. C 3.962031 122.4302 0.032362 0.9745 Y 0.207495 0.064345 3.224707 0.0038 CS(-1) 0.695319 0.094013 7.396025 0.0000 64 65. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD R-squared 0.937124 Mean dependent var 2068.732 Durbin-Watson stat 1.919159 Prob(F-statistic) 0.000000 White Heteroskedasticity Test: F-statistic 3.188330 Probability 0.034049 Obs*R-squared 9.823814 Probability 0.043502 Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.045571 Probability 0.832923 Obs*R-squared 0.053745 Probability 0.816670 Ramsey RESET Test: F-statistic 1.766355 Probability 0.197454 Log likelihood ratio 2.007940 Probability 0.156478 M hnh vn cn phng sai sai s thay i, cn khc phc Trng hp 1 Khc phc phng sai sai s thay i bng cch chia cho c lng bin ph thuc 1 1 2 3 1t t t t t t t CS Y CS u CS CS CS CS CS = + + + t t (10.8) Lu li gi tr c lng [Equation] Forecast Forecast name: CSM LS CS/CSM 1/CSM Y/CSM CS(-1)/CSM Dependent Variable: CS/CSM Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. 1/CSM 23.65519 79.66907 0.296918 0.7692 Y/CSM 0.254084 0.059616 4.262025 0.0003 CS(-1)/CSM 0.609406 0.098079 6.213392 0.0000 R-squared 0.325043 Mean dependent var 1.001633 Adjusted R-squared 0.266351 S.D. dependent var 0.101801 S.E. of regression 0.087196 Akaike info criterion -1.933155 Sum squared resid 0.174871 Schwarz criterion -1.787990 Log likelihood 28.13101 Durbin-Watson stat 1.687418 65 66. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD White Heteroskedasticity Test: F-statistic 1.886912 Probability 0.135595 Obs*R-squared 9.707915 Probability 0.137504 Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.716728 Probability 0.406335 Obs*R-squared 0.820183 Probability 0.365127 Ramsey RESET Test: F-statistic 0.026481 Probability 0.872215 Log likelihood ratio 0.031277 Probability 0.859623 M hnh khng c h s chn, Eviews khng tnh thng k F ca kim nh v s ph hp, h s xc nh c th khng mang ngha ng. Trng hp 2 Khc phc phng sai sai s thay i bng cch chia cho CS(-1) 1 2 3 1 1 1 1t t t t t CS Y u CS CS CS CS = + + + 1 t t (10.9) LS CS/CS(-1) 1/CS(-1) Y/CS(-1) C Dependent Variable: CS/CS(-1) Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. 1/CS(-1) 40.67407 82.29139 0.494269 0.6258 Y/CS(-1) 0.266193 0.060099 4.429221 0.0002 C 0.580444 0.106325 5.459150 0.0000 R-squared 0.470931 Mean dependent var 1.038130 Sum squared resid 0.194990 F-statistic 10.23630 Durbin-Watson stat 1.728394 Prob(F-statistic) 0.000661 White Heteroskedasticity Test: F-statistic 1.701609 Probability 0.187270 Obs*R-squared 6.364257 Probability 0.173547 Breusch-Godfrey Serial Correlation LM Test: AR(1) F-statistic 0.553661 Probability 0.464700 Obs*R-squared 0.638264 Probability 0.424340 Ramsey RESET Test: F-statistic 2.380814 Probability 0.137097 Log likelihood ratio 2.671606 Probability 0.102153 66 67. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD Trng hp 3 Khc phc phng sai sai s thay i bng cch chia cho Y 1 1 2 3 1t t t t CS CS u Y Y Y = + + +t t t Y (10.10) LS CS/Y 1/Y C CS(-1)/Y Dependent Variable: CS/Y Sample(adjusted): 1961 1986 Included observations: 26 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. 1/Y -2.478002 74.42575 -0.033295 0.9737 C 0.253066 0.060676 4.170761 0.0004 CS(-1)/Y 0.626413 0.095424 6.564513 0.0000 R-squared 0.666755 Mean dependent var 0.649882 Sum squared resid 0.072154 F-statistic 23.00917 Durbin-Watson stat 1.636999 Prob(F-statistic) 0.000003 White Heteroskedasticity Test: F-statistic 1.463834 Probability 0.248651 Obs*R-squared 5.668846 Probability 0.225282 Breusch-Godfrey Serial Correlation LM Test: AR(1) F-statistic 0.965274 Probability 0.336544 Obs*R-squared 1.092829 Probability 0.295845 Ramsey RESET Test: F-statistic 0.509304 Probability 0.482943 Log likelihood ratio 0.595043 Probability 0.440476 [?] - Kim nh cc khuyt tt ca m hnh (10.8), (10.9), (10.10) - So snh nh gi cc m hnh , xc nh m hnh tt nht? - Vi m hnh tt nht, phn tch tc ng ca thu nhp Y, chi tiu k trc CS(-1) n chi tiu cng k CS? 67 68. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 68 69. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD HNG DN TI CHNG TRNH EVIEWS4 V S LIU Mt s sinh vin c thc mc v vic ti xung (download) chng trnh Eviews, do phn ny hng dn chi tit cng on ny. 1. Ti chng trnh v s liu t trang mng Ti trang mng khoa Ton kinh t: www.mfe.edu.vn chn mc Th vin, ri mc D liu phn mm. Trong trang ny c phn Chng trnh cho thc hnh, c lin kt EVIEWS4, nhn chut tri vo lin kt ti v, hoc nhn chut phi v chn Save link as ti v. File ti v l file nn dng zip: Eviews4_2010.zip. 69 70. HNG DN THC HNH EVIEWS 4 - BI DNG HI - KHOA TON KINH T - HKTQD 2. Gii nn th mc chng trnh v s liu Hai file ti v l file nn, cha th s dng ngay. Vi h iu hnh WindowsXP tr i, c th m file nn xem ni dung trc tip, nhng cha phi l gii nn, do cha th chy chng trnh c. Ti th mc cha hai file nn, nhn chut phi vo 1 file nn, v chn gii nn (Extract files hoc Extract Here) Gii nn c hai file, c th mc Eviews4_2010 v trong c th mc SOLIEU cng 3 th mc d liu l DATA, DATA2, DATA3, v cc file chng trnh. 70