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com/DethiNEU
Bi tp Kinh t lng
phn mm EVIEWS
----- o0o ----Chng II
Bi tp 2.12
a/
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H0 : 2 = 0
H1 : 2 0
Gi thuyt H0 th hin thng tin gi bn khng nh hng n lng bn
Tiu chun kim nh:
T =
2 0
SD ( 2 )
Vi kt qu c lng ca EVIEWS:
Tqs =
2 0
51,7514
=
= 5,258806 = T statistic ( PA)
9,840903
SE ( 2 )
Min bc b H0 vi = 5%:
Tqs W bc b
gi thuyt H0
H0 : 2 = 0
H1 : 2 < 0
Gi thuyt H0 th hin thng tin gi bn gim khng lm tng lng bn
Gi thuyt H1 th hin thng tin gi bn gim c lm tng lng bn
Tqs =
2 0
51,7514
=
= 5,258806 = T statistic ( PA)
9,840903
SE ( 2 )
Min bc b H0 vi = 5%:
2)
W = {T : T < t( n2) } = {T : T < t 0( 24
, 05 } = { T : T < 1,717}
Tqs W bc b
gi thuyt H0
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( 2 t( n 2) SE ( 2 ); 2 + t( n 2) SE ( 2 ))
2
H 0 : 2 = 50
H1 : 2 > 50
nhng khng ph hp vi l thuyt kinh t v kt qu c lng)
Kim nh cp gi thuyt:
H 0 : 2 = 50
H1 : 2 < 50
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Da trn ngha ca h s 2 : khi bin PA tng 1 n v th QA tng 2 n v v ngc
li
khi bin PA tng 1 n v th QA gim (- 2) n v
[?] PA tng 1 n v th QA gim > 50 n v cn kim nh - 2 > 50 hay 2 < -50
Gi thuyt H0 th hin thng tin kin u bi a ra l SAI
Gi thuyt H1 th hin thng tin kin u bi a ra l NG
Tqs =
2 (50) 51,7514 + 50
=
= 0,1779
9,840903
SE ( 2 )
Min bc b H0 vi = 5%:
2)
W = {T : T < t( n2) } = {T : T < t 0( 24
, 05 } = { T : T < 1,717}
RSS
873438,5
=
= 1971390,8143
2
1 R
1 0,556943
Hai kt qu c 1 cht sai lch do s liu ca cc thnh phn trong cng thc b lm trn
khc nhau.
Tnh ESS = TSS RSS = 1971390,8143 873438,5 = 1097952,3143
i/ H s xc nh ca m hnh R 2 = 0,556943. Gi tr ny cho bit hm hi quy mu
(hoc bin PA - gi bn) gii thch c 55,69% s bin ng ca lng bn hng nc
gii kht A.
k/ c lng im cho 2 (phng sai sai s ngu nhin) l 2
2 =
RSS
873438,5
=
= 39701,75
n2
24 2
Hoc
2 = ( ) 2 = (SE of Regression)2 = (199,253)2 = 39701,75
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2
2
(n 2) ; (n 2) = RSS ; RSS = RSS ; RSS = 873438,5 ; 873438,5
)
( 22 )
( n 2)
1(n 2) ( n 2) 1(n 2) 0( 22
36,7807 10,9823
, 05 0 , 975
2
2
2
2
= (23747,1962 ; 79531,4734)
l/ D bo gi tr trung bnh ca lng bn khi gi bn bng 18 nghn/lt
PA0 = 18
2 =
QA0
RSS
873438,5
=
= 39701,75
n2
24 2
n = 24
PA =
QA 1 923,5833 1814,139
=
= 17,2083
51,7514
) = 9,8409032 = 96,8434
Var(
2
SE (QA0 ) =
2
+ ( PA0 PA) 2 var(2 ) = 41,4118
n
SE (QA0 ) =
2
+ ( PA0 PA) 2 var(2 ) + 2 = 203,5109
n
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Bi tp 2.13
a/ Vit hm hi quy tng th
PRF:
E(Y/Li) = 1 + 2 * Li
Vit hm hi qui mu:
Yi = 255,538 + 6,068681 Li
SRF:
1 < 0
L0
H0 : 1 = 0
H1 : 1 0
H0 cho bit h s chn khng c ngha thng k
H1 cho bit thng tin ngc li.
Cch 1:
Tqs =
1 0
255,538
=
= 2,562533 = T statistic (C )
99,72089
SE ( 1 )
Min bc b H0 vi = 5%:
Tqs W bc b
Cch 2:
gi thuyt H0
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Prob(C) = 0,0196< = 0,05 bc b H0
Nu mc ngha = 0,01 th kt lun trn thay i cha c c s bc b H0 do
prob(C) = 0,0196 > = 0,01 hoc s dng min bc b:
qs
c/ Kim nh cp gi thuyt:
H0 : 2 = 0
H1 : 2 0
H0 cho bit Sn lng khng ph thuc vo Lao ng, H1 cho bit thng tin ngc
li.
Tqs =
2 0
6,068682
=
= 8,138894 = T statistic ( L)
0,74564
SE ( 2 )
Min bc b H0 vi = 5%:
Tqs W bc b
gi thuyt H0
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H0 : 2 = 7
H1 : 2 < 7
Tqs =
2 7
6,068682 7
=
= 1,249
0,74564
SE ( 2 )
Min bc b H0 vi = 5%:
2)
W = {T : T < t( n2 ) } = {T : T < t 0( 20
, 05 } = {T : T < 1,734}
kin u bi l SAI.
f/ D bo gi tr trung bnh ca Sn lng khi lng lao ng l 150 n v.
L0 = 150
2 =
Y
0
RSS
36777,46
=
= 113,5107
n2
20 2
n = 20
L=
Y 1 551,9 + 255,538
=
= 133,0499
6,068681
) = 0,745642 = 0,556
Var(
2
Khong tin cy cho sn lng trung bnh khi lng lao ng l 150 n v:
(654,76415 2,101 *12,8615 ; 654,76415 + 2,101 *12,8615)
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Chng III
Bi tp 3.5
(+) PRM:
QAi = 1 + 2 * PAi + 3* PBi + Ui
(+) SRM:
QAi = 1003,407 59,05641* PAi + 55,63005* PBi + ei
a/ Gii thch c lng cc h s gc:
= -59,05641 cho bit khi gi bn ca nc gii kht hng A thay i 1 n v (nghn
2
= -59,05641 cho bit
ng/lt) th lng bn hng A s thay i nh th no. Gi tr
2
khi gi bn tng 1 nghn ng/lt nc gii kht th lng bn s gim xung trung bnh
59,05641 nghn lt v ngc li (trong iu kin cc yu t khc khng thay i).
= 55,63005 cho bit khi gi bn hang B tng 1 nghn ng/lt nc gii kht th lng
3
bn s tng ln trung bnh 55,63005 nghn lt v ngc li (trong iu kin cc yu t
khc khng thay i).
b/ Cn tm khong tin cy i xng ca 2
( 2 t( n 3) SE ( 2 ); 2 + t( n 3) SE ( 2 ))
2
( 3 t( n 3) SE ( 3 ); 3 + t( n 3) SE ( 3 ))
2
H0 : 2 + 3 = 0
H1 : 2 + 3 0
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Ta c:
+
)=
s.e(
2
3
) + var(
) + 2 cov(
,
) = 9,269155 2 + 21,9159 2 + 2 (63,071)
var(
2
3
2
3
= 20,9781
Tqs =
2 + 3
59,05641 + 55,63005
=
= 0,1633
20,9781
SE ( 2 + 3 )
Tqs W Cha c c s bc b H0
Khi gi hng A v B cng tng 1 nghn th lng bn hng A khng thay i.
e/ Gi hng B tng 1 nghn lng bn hng A tng 3
Gi hng A gim 1 nghn lng bn hng A tng 2
Tng lng tng ca hng A l 3 2
Cn tm khong tin cy bn tri ca 3 2
( ; 3 2 + t( n 3) s.e( 3 2 ))
(- ; 59,05641+55,63005+1,721*26,31228)
(- ;159,9699)
Kt lun: gi hng A gim 1 nghn cn gi hng B tng 1 nghn th lng bn hng A
tng ti a trung bnh l 159,9699 nghn lt.
f/ Tnh R2:
(+) T cng thc:
R 2 =1
RSS
RSS
668370,4
=1
=1
2
TSS
(n 1) ( S .D.DependentVariable)
( 24 1) ( 292,7673) 2
R2
F statistic =
(3 1)
= 20,47028
(1 R )
(n 3)
2
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3 1
2
n 3
R =
3 1
1 ( F statistic )
n 3
( F statistic )
H0 : 3 = 0
H1 : 3 0
Tqs =
3 0
55,63005
=
= 2,538342 = T statistic ( PB)
21,9159
SE ( 3 )
Min bc b H0 vi = 5%:
Tqs W bc b gi thuyt H0
H0 : 3 = 0
H1 : 3 0
( RL2 R N2 )
( RSS N RSS L )
(
0
,
660965
0
,
557
)
1 =
1 = (873438,5 668370,4) = 6,4396
Fqs =
=
2
(1 0,660965)
( RSS L )
(668370,4)
(1 RL )
(24 3)
(24 3)
(n 3)
(n 3)
W = { F : F > F(1,n 3) } = { F : F > F0(,105, 21) } = { F : F > 4,325}
Fqs W bc b H0
n 1
23
= 1 (1 0,557)
= 0,5369
n 2
22
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Do R 2 tng ln vic a b bin PB l khng thch hp.
Lu : vic ch b bt hay thm vo 1 bin c th dung R 2 nhng nu b bt hay
thm vo nhiu bin s th bt buc phi dng kim nh thu hp.
Bi tp 3.6
(+) PRF:
E (ln Y ln Li , ln K i ) = 1 + 2 ln K i + 3 ln Li
E (Y Li , K i ) = e 1 K i 2 Li
0 , 510023
0 , 599932
Yi = e 0,764682 K i
Li
= 0,764682 cho bit sn lng trung bnh ca doanh nghip (do cha c y
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Bn cnh , hc vin ch cu hi c ni dung gn ging vi cu hi trn: Phi
chng c hai bin c lp u KHNG gii thch cho bin ph thuc. Trng hp ny
H0 :R = 0 H0 : 2 = 3 = 0
2 2 2
H1 :R 0 H1 : 2 + 3 0
2
kim nh s ph hp ca hm hi quy
Cn kim nh 2 cp gi thuyt:
H0 : 2 = 0 H0 : 3 = 0
v (2)
(1)
H1 : 2 0 H1 : 3 0
Cch 1: dng Prob so snh vi .
Vi (1): Prob(lnK) = 0,0009< =0,05 bc b H0
Vi (2): Prob(lnL) = 0,0273< =0,05 bc b H0
Kt lun: c hai bin c lp u nh hng n bin ph thuc
Lu : Kt lun trn cha thc s dng c trong phn tch (v cn lin quan n cc
khuyt tt ca m hnh cha c kim tra ni dung ny hc trong cc chng sau)
Cch 2: S dng kim nh T
Vi (1):
Tqs =
2 0
0,510023
=
= 4,01722 = T statistic (ln K )
SE ( 2 ) 0,126959
Min bc b H0 vi = 5%:
Tqs W bc b
Vi (2):
gi thuyt H0
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Tqs =
3 0
0,599932
=
= 2,415183 = T statistic (ln L)
0,2484
SE ( 3 )
Min bc b H0 vi = 5%:
Tqs W bc b gi thuyt H0
Kt lun: nh trn
c/ Cn tm khong tin cy bn tri ca 2 :
( ; 2 + t( n 3) SE ( 2 ))
= 0,1493
(0,510023+0,599932-2,11*0,1493; 0,510023+0,599932+2,11*0,1493)
(0,7949;1,4249)
f/ Kim nh cp gi thuyt:
H0 : 2 3 = 0
H1 : 2 3 0
)=
s.e(
2
3
) + var(
) 2 cov(
,
) =
var(
2
3
2
3
= 0,3651
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Tqs =
0,510023 0,599932
= 0,2463
0,3651
Tqs W chp
H0 : 2 + 3 = 1
H1 : 2 + 3 > 1
H0 th hin thng tin qu trnh sn xut c hiu qu khng i theo quy m.
H1 th hin thng tin qu trnh sn xut c hiu qu tng theo quy m.
+
) = var(
) + var(
) + 2 cov(
,
) = 0,126959 2 + 0,2484 2 + 2 ( 0,027736)
s.e(
2
3
2
3
2
3
= 0,1493
Tqs =
0,510023 + 0,599932 1
= 0.7365
0,1493
3)
W = {T : T > t( n 3) } = {T : T > t0( 20
, 05 } = { T : T > 1,74}
Tqs W chp
quy m.
h/ Kim nh thu hp hi quy:
H0 : 3 = 0
H1 : 3 0
H0 th hin thng tin c th b bin ln L
H1 th hin thng tin khng th b bin ln L
Fqs =
W =
( RL2 RN2 ) / 1
(0,910215 0,8794)
=
= 5.8345
2
(1 RN ) /(20 3)
(1 0,910215) / 17
{F : F > F0(,105,17 ) } =
Fqs W
{F : F > 4,48}
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Chng IV
Bi tp 4.4
a/
b/ Vi PA0 = 20
(+) c lng im lng bn ca hng (ma lnh):
QA0 = 1087,2176-30,03535 * 20 = 486,5106
(+) c lng im lng bn ca hng (ma nng):
QA0 = 1972,7741 57,151 *20 = 829,7541
c/ Kim nh cp gi thuyt:
H0 : 3 = 0
H1 : 3 0
Prob[H] = 0,0001< = 0,05 bc b H0 h s chn ca m hnh c khc nhau gia 2
ma.
(C th dng tiu chun kim nh T kim nh trong trng hp khng c Prob
Xem li cc bi mu trn, ch bc t do trong cc kim nh v khong tin cy ca bi
tp ny u l (n-4))
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d/ Kim nh cp gi thuyt:
H0 : 4 = 0
H1 : 4 0
Prob[H] = 0,0227< = 0,05 bc b H0 h s gc ca m hnh c khc nhau gia 2
ma.
(+) H s gc chnh lch nhau trong khong tin cy i xng ca 4 :
( 24 4 )
(27,11565 - t
( 24 4 )
* 10,98241; 27,11565 + t
* 10,98241)
H0 : 4 = 0
H1 : 4 > 0
Tqs =
4 0
27,11565
=
= 2,469006 = T statistic ( H * PA)
SE ( 4 ) 10,98241
Min bc b H0 vi = 5%:
)
W = {T : T > t( n 4 ) } = {T : T > t 0( 20
, 05 } = { T : T > 1,725}
Tqs W bc b gi thuyt H0
= 13,5809
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(-57,151+27,11565-2,086*13,5809; -57,151+27,11565+2,086*13,5809)
Kt qu sinh vin t tnh
( RL2 R N2 )
Fqs =
W =
(1 R )
2
L
(0,676992 0,557)
=
(24 4)
(1 0,676992)
{F : F > F0(,205, 20 ) } =
Fqs W
2 = 3,7148
20
{F : F > 3,493}
bc b H0
Nn a thm yu t ma vo m hnh
h/ y l dng bi tp tnh hung, yu cu hc vin a ra m hnh v cch phn tch cc
gi nh c a ra (cha c s liu c lng c th).
t bin gi (do yu t nh tnh ch c 2 phm tr nn s dng 1 bin gi):
S = 1 vi cc quan st t qu 1 nm 2006 (u nm 2006)
S = 0 vi cc quan st trc qu 1 nm 2006
Lu : Cch t bin ny c th ngc li, khi cn ch v cp gi thuyt (nu
trng hp thun l kim nh > 0 th trng hp nghch s l kim nh < 0
hoc ngc li)
Yu t nh tnh c tc ng n bin gi (t 2006, do cnh tranh mnh nn gi nh
hng n lng bn mnh hn) nn to thm bin tch S*PA
M hnh mi:
QAi = 1 + 2 PAi + 3 ( S PA) i + U i
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H0 : 3 = 0
H1 : 3 < 0
Vi H0 l kin u bi SAI, H1 l kin u bi NG
Tqs =
3
)
S .E (
3
Min bc b H0:
W =
3 )
{T : T < t 0( 24
}
, 05
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Chng V
Bi tp 5.4
a/ Hm hi qui tng th (d u bi khng yu cu, hc vin vn nn vit, thun li cho
vic a ra cc kim nh pha sau):
E (QA PAi , PBi , QBi ) = 1 + 2 PAi + 3 PBi + 4 QBi
(1)
1 = 1003,407 > 0
1 = 13265,76 > 0
2 = 58,1886 < 0
3 = 55,63005 > 0
3 = 434,7366 < 0
b/ Kim nh:
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H0 : 3 = 0
H1 : 3 0
Prob[PB] = 0,7037> = 0,05 chp nhn H0 h s ng vi bin PB khng c ngha
thng k. Kt qu ny khc vi kt qu trong bng bo co hi quy ca bng 3.5.
c/ Cch kim tra a cng tuyn trong m hnh (1):
Cch 1: S dng hi quy ph
E (QB PAi , PBi ) = m1 + m2 PAi + m3 PBi
( 2)
H 0 : R22 = 0
2
H1 : R2 0
H0: m hnh gc khng c a cng tuyn
H1: m hnh gc c a cng tuyn
R22
Fqs =
W =
(1 R )
2
2
2
(24 3)
{F : F > 3,467}
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H0 : 3 = 0
H1 : 3 0
Prob[PB] = 0,7037> = 0,05 chp nhn H0 h s ng vi bin PB khng c ngha
thng k.
H0 : 4 = 0
H1 : 4 0
Prob[QB] = 0,7037> = 0,05 chp nhn H0 h s ng vi bin QB khng c
ngha thng k.
(+) Kim nh F v s ph hp ca hi quy:
H 0 : R 2 = 0
2
H1 : R 0
Fqs =
W =
R2
(1 R )
= 13,18329
(24 4)
{F : F > F0(,305, 20 ) } =
{F : F > 3,098}
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(+) Vi m hnh (5.5), ta kim nh:
H 0 : R52.5 = 0
2
H 1 : R5.5 0
Prob[F-statistic bng 5.5]=0,218443 > =0,05 chp nhn H0: cha c c s kt
lun m hnh gc c a cng tuyn
(+) Vi m hnh (5.6), ta kim nh:
H 0 : R52.6 = 0
2
H1 : R5.6 0
Prob[F-statistic bng 5.6]=0,000000 < =0,05 chp nhn H0: cha c c s kt
lun m hnh gc c a cng tuyn
Hai hi quy ph c kt lun khc nhau do nguyn nhn gy ra a cng tuyn trong
hi quy gc l mi quan h cht ch gia QB v PB, do hi quy (5.5) chn c 2 bin
QB v PB lm bin c lp nn hi quy (5.5) khng th pht hin c hin tng a
cng tuyn trong m hnh gc.
e/ M hnh (1) c hin tng a cng tuyn. l a cng tuyn khng hon ho v
chng ta vn c lng c cc h s trong hi quy ny.
f/ C nhiu cch khc phc a cng tuyn vi m hnh gc:
Cch 1: b bin QB hoc PB khi m hnh (1). Thng thng nn b bin QB.
Cch 2: s dng hi quy sai phn cp 1 xc nh mi quan h gia cc bin trong ngn
hn:
QAi QAi 1 = 2 ( PAi PAi 1 ) + 3 ( PBi PBi 1 ) + 4 (QBi QBi 1 )
,
,
th gi tr
P
P
Q
= QA
2 A
3 B
4
B
1
1
) = 1 + 2 PAi + 3 PBi + 4
QBi
QBi
(*)
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M hnh (*) c th khc phc c hin tng a cng tuyn trong (1) v QB khng c
1
(1b)
(2b)
Kim nh:
H 0 : m2 = 0
H 1 : m2 0
Tqs =
2
m
2)
S .E ( m
Min bc b H0:
W =
2 )
{T : T > t 0( 24
}
, 025
H 0 : R22b = 0
2
H1 : R2b 0
R22b
Fqs =
(1 R22b )
(24 2)
W =
{F : F > F0(,105, 22 ) }
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h/ Ta c hi quy chnh:
E (QB PAi , PBi ) = 1 + 2 PAi + 3 PBi
(3b)
Hi quy ph:
E ( PB PAi ) = m1 + m2 PAi
( 4b)
Kim nh cp gi thuyt:
H 0 : m2 = 0
H 1 : m2 0
Tqs =
2
m
0,131
=
= 1,5233
2 ) 0,086
S .E ( m
Min bc b H0:
Tqs W
W =
2 )
{T : T > t 0( 24
} = {T : T > 2,074}
, 025
Chng VI
Bi tp 6.4
Hm hi qui tng th:
E (Y Li , K i ) = 1 + 2 Li + 3 K i
(1)
( 2)
M hnh ny dng kim tra phng sai sai s thay i trong (1)
(+) Kim nh cp gi thuyt:
H0: (1) c phng sai sai s ng u
H1: (1) c phng sai sai s thay i
Cch 1: Prob(F-statistic) = 0,018776 < = 0,05 bc b H0 m hnh (1) c hin
tng phng sai sai s thay i.
Cch 2: Fqs = 3,972746
( 5,14 )
Min bc b H0: W = {F : F > F0, 05 } = {F : F > 2,958}
Fqs W
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(3)
Kim nh cp gi thuyt:
H0: (1) c phng sai sai s ng u
H1: (1) c phng sai sai s thay i
Cch 1: Prob(F-statistic) = 0,009471 < = 0,05 bc b H0 m hnh (1) c hin
tng phng sai sai s thay i.
Cch 2: Fqs = 4,961715
( 4 ,15 )
Min bc b H0: W = {F : F > F0,05 } = {F : F > 3,056}
c/ M hnh trong bng (6.8) l m hnh do GLEJSER xut kim tra Phng sai sai
s thay i trong (1):
ei = m1 + m2 Li + Vi
(4)
Kim nh cp gi thuyt:
H :m = 0 H :R = 0
2
H1 :m2 0 H1 :R4 0
2
02 04
(5)
Kt qu ny dng kim tra hin tng phng sai sai s thay i trong (1):
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H 0 : R52 = 0
2
H1 : R5 0
H0: (1) c phng sai sai s ng u
H1: (1) c phng sai sai s thay i
Fqs =
0,105
= 2,1117
(1 0,105) /( 20 2)
(1,18 )
Min bc b H0: W = {F : F > F0, 05 } = {F : F > 4,414}
Fqs W chp nhn H0 m hnh (1) c hin tng phng sai sai s ng u.
(6)
M hnh (6) dng kim tra hin tng phng sai sai s thay i trong (1):
Kim nh:
H0: (1) c phng sai sai s ng u
H1: (1) c phng sai sai s thay i
H 0 : m2 = 0
H 1 : m2 0
2
2
m
0,852
=
Fqs =
= 45,7234
2)
0,126
S .E ( m
(1,18 )
Min bc b H0: W = {F : F > F0,05 } = {F : F > 4,414}
Fqs W
Hi quy (6) da trn gi thit v cu trc ca hin tng phng sai sai s thay i:
i2 = 2 [ E (Y Li , K i )]2
Y
i
2
2
g/ ei = m1 + m2 Li + Vi
Yi
L
K U
1
= 1 + 2 i + 3 i + i
Yi
Yi
Yi
Yi
Yi
(7 )
(*)
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Kt qu dng kim tra phng sai sai s thay i trong (1)
H 0 : R72 = 0
2
H1 : R7 0
H0: (1) c phng sai sai s ng u
H1: (1) c phng sai sai s thay i
Fqs =
0,722
= 46,7482
(1 0,722) /( 20 2)
(1,18 )
Min bc b H0: W = {F : F > F0, 05 } = {F : F > 4,414}
Yi
K U
1
= 1 + 2 + 3 i + i
Li
Li
Li Li
(**)
h/ Bng kt qu 6.9 cung cp kt qu c lng cho m hnh (**) trong cu (g). bit
cch khc phc ny cha c khuyt tt phng sai sai s thay i trong (1) hay
khng, ta kim nh:
H0: (**) c phng sai sai s ng u
H1: (**) c phng sai sai s thay i
Prob[F-statistic]=0,417838 > = 0,05 chp nhn H0 m hnh (**) khc phc
c hin tng phng sai sai s thay i trong (1)
i/ c lng cho m hnh (1) da trn kt qu trong (**):
SRM: Yi = 56,81014 + 2,430546 Li +1,696025 K i + ei
(+) Lao ng tng 1 n v th sn lng tng ti a l:
(8)
(9)
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M hnh ny dng kim tra phng sai sai s thay i trong (8)
(+) Kim nh cp gi thuyt:
H0: (8) c phng sai sai s ng u
H1: (8) c phng sai sai s thay i
Cch 2: Fqs = 1,779605
( 5,14 )
Min bc b H0: W = {F : F > F0,05 } = {F : F > 2,958}
Fqs W chp nhn H0 m hnh (8) c hin tng phng sai sai s ng u.
+Vi
(10)
H 0 : m2 = 0
H 1 : m2 0
2
2
m
0,020171
=
Fqs =
= 0,4588
2)
0,02978
S .E ( m
(1,18 )
Min bc b H0: W = {F : F > F0, 05 } = {F : F > 4,414}
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Chng VII
Bi tp 7.5
a/ Hm hi quy tng th:
PRF:
E(QA/PAi) = 1 + 2 * PAi
(1)
(2)
W =
Kim nh cp gi thuyt:
H 0 : m4 = 0
H 1 : m4 0
(3)
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d
0,480522
=1
= 0,759 0,76
2
2
Thay gi tr ny vo phng trnh sai phn tng qut khc phc hin tng t tng
quan bc 1 trong (1):
QAi 0,76 QAi 1 = 1 (1 0,76) + 2 ( PAi 0,76 PAi 1 ) + i
(4)
M hnh (4) c th khc phc t tng quan bc 1 trong (1)
e/ Thng tin trong bng (7.8) cho bit kt qu c lng ca m hnh (4) (va cp
cu d). Kt qu dng khc phc t tng quan bc 1 trong (1).
(+) Kim nh cp gi thuyt:
H0: (4) khng c t tng quan bc 1
H1: (4) c t tng quan bc 1
Prob[F-statistic] = 0,51113 > = 0,05 chp nhn H0 m hnh (4) khng c t tng
quan bc 1
Kt lun: khc phc c khuyt tt trong (1)
f/ Theo kt qu c lng ca (4):
1 =
1
m
367,428
=
= 1530,95
(1 ) 1 0,76
2 = 48,2352
2 = m
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gi bn tng 1 nghn/lt th lng bn gim trung bnh trong khong (23,5769 ;
72,8935) nghn lt.
g/ Qu trnh c lng COCHRANE ORCUTT hi t sau 4 bc lp (Convergence
achieved after 4 iterations)
= 0,682252
c lng im h s t tng quan bc 1
h/ PRF:
E(QA/PAi) = 1 + 2 * PAi + 3 * QAi-1
H0: (5) khng c t tng quan bc 1
H1: (5) c t tng quan bc 1
Ta c:
(5)
Prob[F-statistic] = 0,2244029 > = 0,05 chp nhn H0 (5) khng c t tng quan
bc 1.
(+) Cc bc tin hnh kim nh BREUSCH GODFREY vi (5):
Bc 1: T (5) phn d ei
Bc 2: T ei to ra ei 1 (bin tr bc 1 ca ei )
Bc 3: Hi quy ph:
ei = m1 + m2 PAi + m3 QAi 1 + Vi
ei = m1 + m2 PAi + m3 QAi 1 + m4 ei 1 + Vi
(6)
(7)
Bc 4: Kim nh cp gi thuyt
H0: (5) khng c t tng quan bc 1
H1: (5) c t tng quan bc 1
Tiu chun kim nh 1:
( R72 R62 )
Fqs =
(1 R )
2
7
(23 4)
V min bc b H0:
W =
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qs2 = (23 1) R72
V min bc b H0:
W =
2
2
Theo l thuyt th trong cng thc kim nh ny ta s dng qs = ( 23 1) R7 , nhng
2
2
trn thc t th kt qu c tnh l qs = 23 R7
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Chng VIII
Bi tp 8.1
a/ Hm hi quy tng th:
PRF:
E(QA/PAi) = 1 + 2 * PAi
(1)
(+) Kim nh dng hm hi quy, s thiu bin ca m hnh (1) Kim nh Ramsey
Reset:
Bc 1: T (1) phn d ei v gi tr c lng ca bin ph thuc QAi
Bc 2: T QAi to ra QAi
, QAi
, (p bin)
Bc 3: Hi quy ph:
QAi = m1 + m2 PAi + m3 QAi 2 +m 4 QAi 3 +... + Vi
(2)
(3)
Bc 4: Kim nh cp gi thuyt
H0: (1) c dng hm ng / khng thiu bin gii thch
H1: (1) c dng hm sai / c thiu bin gii thch
Tiu chun kim nh 1:
( R22 R12 )
Fqs =
(1 R22 )
(24 p 2)
Min bc b H0:
W =
{F : F > F( p , 24 p 2 ) }
V min bc b H0:
W =
{ 2 : 2 > 2 ( p) }
b/ Hi quy ph:
QAi = m1 + m2 PAi + m3 QAi
+Vi
( 2)
Kim nh:
H0: (1) c dng hm ng / khng thiu bin gii thch
H1: (1) c dng hm sai / c thiu bin gii thch
Prob[F-statistic] = 0,013685 < = 0,05 bc b H0 M hnh (1) c dng sai
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c/ Hi quy ph:
ei = m1 + m2 PAi + m3 QAi
+Vi
(3)
V min bc b H0:
W =
{ 2 : 2 > 3,84146}
d/ M hnh gc:
QAi = m1 + m2 PAi + m3 PBi + Vi
( 4)
+Vi
(5)
Kim nh:
H0: (4) c dng hm ng / khng thiu bin gii thch
H1: (4) c dng hm sai / c thiu bin gii thch
Prob[F-statistic] = 0,097342 > = 0,05 chp nhn H0
(+) M hnh ph vi kim nh RAMSEY th hai:
QAi = m1 + m2 PAi + m3 QAi 2 +m4 QAi 3 +Vi
( 6)
Kim nh:
H0: (4) c dng hm ng / khng thiu bin gii thch
H1: (4) c dng hm sai / c thiu bin gii thch
Prob[F-statistic] = 0,200905 > = 0,05 chp nhn H0 m hnh (4) c dng
ng/khng thiu bin gii thch
e/ Hi quy ph:
ei = m1 + m 2 PAi + m3 PBi + m 4 QAi
+Vi
Kim nh:
H0: (4) c dng hm ng / khng thiu bin gii thch
(7 )
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H1: (4) c dng hm sai / c thiu bin gii thch
qs2 = 24 R72 = 24 0,088 = 2,112
V min bc b H0:
W =
{ 2 : 2 > 3,84146}
qs2 W chp nhn H0 M hnh (4) c dng ng/khng thiu bin gii thch
Bi tp 8.2
Hc vin t lm da trn cc ni dung c hc.