MPP04-521-L09V

5/14/2012

1

inh Cng Khi

Thng 5/2012

DD liuliu bngbng(Panel Data)(Panel Data)

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Ni dung


1. Gii thiu chung v d liu bng

2. Nhng li th khi s dng d liu bng

3. c lng m hnh hi qui d liu bng

M hnh nhng nh hng c nh (FEM) M hnh nhng nh hng ngu nhin (REM)4. Cc kim nh phng sai thay i v tng quan chui

trong d liu bng.

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2

Gii thiu chung v s liu bng


Th no l d liu bng?

D liu bng l d liu c 2 chiu: chiu khng gian v

chiu thi gian.

L s m rng d liu cho (cross section) theo thi gian(time series).

L d liu cho theo chui thi gian (cross sectional time-series data).

Bng cn i (Balanced panel)


Tnh Nm GDP Dn s1 20051 20061 20072 20052 20062 2007

..

. .

63 200563 200663 2007

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3

Bng khng cn i (Unbalanced panel)


Tnh Nm GDP Dn s1 20051 20061 20072 20052 2006

10 2007. .

63 200563 200663 2007

Nhng li th ca vic s dng d liu bng


D liu bng cung cp nhiu thng tin hn, bin thin

hn, t c s a cng tuyn gia cc bin s, bc t do

cao hn, v hiu qu hn.

Bng cch nghin cu cc d liu cho mt cch lp i

lp li, d liu bng thc hin tt hn cc nghin cu v

nhng thay i xy ra lin tc nh t l tht nghip, di

chuyn lao ng.

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4

Nhng li th ca vic s dng s liu bng


Cho php kim sot s khc bit khng quan st c giacc thc th (entities), v d nh khc bit vn ho gia ccquc gia hay s khc bit v trit l kinh doanh gia cccng ty.

Cho php kim sot cc bin khng quan st c nhngthay i theo thi gian (chnh sch quc gia, tha thunquc t).

Cho php nghin cu cc m hnh phc tp, v d nh tnhkinh t do quy m hay thay i cng ngh.

D liu bng


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5

c lng cc m hnh hi qui d liu bng:Phng php nhng nh hng c nh


M hnh c lng

(1)i= 1, 2, 3, 4 v t = 1, 2, .., 20

trong Yit = tng u t thc ca cng ty i ti thi im tX2it = gi tr thc ca cng ty i ti thi im t X3it = tr lng vn ca cng ty i ti thi im t uit = nhiu trng

itititit uXXY +++= 33221

c lng cc m hnh hi qui d liu bng (tt)


Xem xt vic c lng (1) trong 5 trng hp sau y:1. Tung gc v h s gc ging nhau gia cc cng ty v

qua thi gian (phn d th hin s khc bit gia cc cngty v qua thi gian).

2. Tung gc khc nhau gia cc cty, h s gc l hng s

3. Tung gc khc nhau gia cc cng ty v qua thi gian,

h s gc l hng s.

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6



4. Tung gc v h s gc thay i gia cc cng ty.

5. Tung gc v h s gc thay i gia cc cng ty v qua

thi gian.

12

c lng cc m hnh hi qui d liu bng (tt)Ngun: Cao Ho Thi

X

Y

cng tung c gc, khc nhau v h s gc

X

Y

cng tung gc, cng h s gc

5/14/2012

7

13

c lng cc m hnh hi qui d liu bng (tt)Ngun: Cao Ho Thi

X

Y

Khc tung gcCng h s gc

X

Y

Khc tung gcKhc h s gc



TH 1: Tung gc khng i v h s gc khng i

TH 2: Tung gc thay i theo i v h s gc khng i

M hnh nhng cc nh hng c nh (fixed effects) haym hnh bnh phng ti thiu cc bin gi (LSDV)

itititit uXXY +++= 33221

itititiit uXXY +++= 33221

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M hnh nhng nh hng c nh (fixed effects) haym hnh bnh phng ti thiu cc bin gi (LSDV)


Mi thc th u c nhng c im ring bit, c th nh hng

n cc bin gii thch.

V d: Cch thc kinh doanh ca mt cng ty c th nh hng

n gi tr ca cng ty hay tr lng vn ca n.

Gi thit rng c s tng quan gia phn d ca mi thc th

(c cha cc c im ring) vi cc bin gii thch.

M hnh nhng nh hng c nh (fixed effects) haym hnh bnh phng ti thiu cc bin gi (LSDV)


FE c th kim sot v tch nh hng ca cc c im

ring bit (khng i theo thi gian) ny ra khi cc bin giithch chng ta c th c lng nhng nh hng thc

(net effects) ca bin gii thch ln bin ph thuc. Cc c im ring bit (khng i theo thi gian) ny l n

nht i vi 1 thc th v khng tng quan vi c im

ca cc thc th khc.

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9



D2i = 1 nu quan st thuc GM; bng 0 nu khng thuc GMD3i = 1 nu quan st thuc US; bng 0 nu khng thuc USD4i = 1 nu quan st thuc WEST, bng 0 nu khng thuc WEST

itititiiiit

itititiit

uXXDDDYuXXY

++++++=

+++=

33224433221

33221

Phn tch s liu bng (tt)


TH 3: Tung gc thay i theo t v h s gc khng i

(s thay i v cng ngh, chnh sch ca chnh ph, thu)

t35 = 1 nu quan st nm 1935; bng 0 nu khng phit36 = 1 nu quan st nm 1936; bng 0 nu khng phi..

t54 = 1 nu quan st nm 1954; bng 0 nu khng phi .

itititit

ititittit

uXXtttYuXXY

+++++++=

+++=

33225443633521

33221

..

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10

Phn tch s liu bng (tt)


TH 4: Tung gc thay i theo i v t v h s gc khng i

TH 5: Tung thay i v h s gc thay i

ititiitiitiitiiti

itiititiiiit

uXDXDXDXDXDXDXXDDDY

+++++

+++++++=

)()()()()()(

346245334233322

22133224433221

itititiiiit uXXttDDDY +++++++++= 332253193514433221 ..

Nhng hn ch ca FEM hay LSDV


C qu nhiu bin c to ra trong m hnh, do c

kh nng lm gim bc t do v lm tng kh nng s a

cng tuyn ca m hnh.

FEM khng o lng c tc nhn khng thay i theo

thi gian nh gii tnh, mu da, hay chng tc.

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M hnh nhng tc ng ngu nhin (random effects model)


c im ring gia cc thc th c gi s l ngu

nhin v khng tng quan n cc bin gii thch th

chng ta dng REM.

REM xem cc phn d ca mi thc th (khng tngquan vi bin gii thch) l mt bin gii thch mi.

M hnh nhng tc ng ngu nhin (random effects model)


0)(0)(

),0(~),0(~

),cov(;)var(

0)(

2

2

22

222

33221

11

33221

=

=

+=+=

=

+=

++++=

+=

+++=

ji

iti

uit

i

u

isituit

it

itiit

itiititit

ii

itititiit

EuENuN

www

wEuw

uXXY

uXXY

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12

M hnh FEM (LSDV) hay REM


Nu i v Xs khng c tng quan, s dng REM

Nu i v Xs c tng quan, s dng FEM

Nu T ln, N nh, 2 phng php ging nhau

Nu N ln, T nh, kt qu c lng ca 2 phng php

kh khc nhau.

Nu N ln, T nh, cc iu kin trong REM c tha,

c lng ca REM c hiu qu hn FEM

M hnh FEM (LSDV) hay REM


Hausman test

Ho: c lng ca FEM v REM khng khc nhau

p-value < 0.05, bc b Ho

Nu bc b Ho, REM khng hp l, nn s dng FEM Breusch-Pagan Lagrange Multiplier cho REM (xttest0)

Ho: Phng sai qua cc thc th l khng i


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Cc test khc


Phng sai thay i trong FEM (xttest 3)Ho: Phng sai khng thay i


Tng quan chui (kim nh nhn t Lagrange , xtserial y x)Ho: Khng c tng quan chui

p-value < 0.05, bc b Ho (c tng quan chui)

Documents

MPP04-521-L09V