TRNG I HC KINH T QUC DN

BI TIU LUN
MN KINH T LNG V PHN TCH D LIU

H v tn: ng Th Minh Nguyt

M hc vin: CH210153
Lp: Cao hc K21A
Nhm: 02

PHN I:
I VI TT C CC THNH VIN TRONG NHM.
Lm Bi s 02 trang 23, 24 trong tp hng dn th chnh kinh t lng gm cc cu t
(6) n (9).

6, Thm bin li sut R vo m hnh (1):

= 1 + 2.

+ 3.

(1)

Ta c m hnh (2) nh sau:

= 1 + 2.

+ 3.

+ 4. +

(2)

Kim nh thm bin R vo m hnh bng Eview ta thu c kt qu:

Omitted Variables: R
F-statistic
5.729176
Log likelihood ratio
5.857964
Test Equation:
Dependent Variable: CS
Method: Least Squares
Date: 11/04/12 Time: 10:11
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
C
-20.63327
YD
0.734028
WEALTH
0.035976
R
-5.521115
R-squared
0.999402
Adjusted R-squared 0.999366
S.E. of regression
37.79881
Sum squared resid
71437.48
Log likelihood
-270.6877
Durbin-Watson stat
1.310563

Probability
Probability

Std. Error
t-Statistic
12.82698
-1.608584
0.013752
53.37649
0.002483
14.48822
2.306645
-2.393570
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Kim nh cp gi thit:
Ho: Thm bin R vo m hnh l khng cn thit

0.020479
0.015507

Prob.
0.1140
0.0000
0.0000
0.0205
2888.356
1500.903
10.17362
10.32095
27838.36
0.000000

H1: Thm bin R vo m hnh l cn thit

Vi mc ngha = 5% ta nhn thy:
P-value (F) = 0,020479 <0,05 =>Bc b Ho.
Vy, Nn thm bin R vo m hnh (1).
ngha ca h s 4: Khi li sut tng 1 % th chi tiu trung bnh gim
5,52115 n v.
7, Vic a thm bin vo m hnh c khc phc c khuyt tt khng?
a, Xem xt hin tng PSSS thay i:
Kim nh White khng c tch cho bng Eview ta thu c kt qu hi quy m
hnh ph:
= 1 + 2.

+ 3.

White Heteroskedasticity Test:

F-statistic
9.127180
Obs*R-squared
29.05972
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/04/12 Time: 11:15
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
C
6572.265
YD
2.131178
YD^2
0.000349
WEALTH
-1.486206
WEALTH^2
2.05E-05
R
39.64840
R^2
-21.18886
R-squared
0.538143
Adjusted R-squared 0.479182
S.E. of regression
1889.843
Sum squared resid
1.68E+08
Log likelihood
-480.2635
Durbin-Watson stat
2.039114

Kim nh cp gi thit:

+ 4. +5.
Probability
Probability

Std. Error
t-Statistic
2334.996
2.814679
2.542947
0.838074
0.000274
1.277521
0.695577
-2.136651
1.02E-05
2.006246
138.6410
0.285979
18.67727
-1.134473
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

+6.
0.000001
0.000059

Prob.
0.0071
0.4062
0.2077
0.0379
0.0506
0.7762
0.2623
1322.916
2618.682
18.04680
18.30463
9.127180
0.000001

+ 4.

(*)

Ho:

= 0 (M hnh (2) c PSSS ng u)

H1:

0 (M hnh (2) C PSSS thay i)

T bng kt qu ta nhn
thy: P-value(F) = 0.00001 < = 0.05
Bc b Ho =>M hnh (2) vn cha khc phc c hin tng PSSS thay
i.
b, Xt hin tng t tng quan:
Hi quy m hnh ph:
= 1 + 2.

+ 3.

+ 4. + 1.

Ta thu c kt qu:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
3.910840
Probability
Obs*R-squared
3.991344
Probability

0.053615
0.045735

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/04/12 Time: 11:30
Presample missing value lagged residuals set to zero.
Variable
Coefficient Std. Error
t-Statistic
C
-1.239252 12.48489
-0.099260
YD
-0.002270 0.013417
-0.169186
WEALTH
0.000589 0.002432
0.242153
R
0.144392 2.243487
0.064360
RESID(-1)
0.314638 0.159102
1.977584
R-squared
0.073914
Mean dependent var
Adjusted R-squared -0.001685
S.D. dependent var
S.E. of regression
36.74436 Akaike info criterion
Sum squared resid
66157.27
Schwarz criterion
Log likelihood
-268.6144
F-statistic
Durbin-Watson stat
1.497394 Prob(F-statistic)

Prob.
0.9213
0.8663
0.8097
0.9489
0.0536
8.16E-13
36.71345
10.13387
10.31803
0.977710
0.428354

Kim nh cp gi thit:
Ho: 1= 0

(**)

H1: 1 0
Ta c: P-value (F) = 0.0536 > = 0.05 =>Cha c c s bc b Ho =>M hnh
(2) khng c hin tng t tng quan.
C, Xem xt hin tng M hnh nh dng sai:
Bc 1: Hi quy m hnh (2) Thu c gi tr c lng ca CS
Bc 2: Hi quy m hnh ph:
= 1 + 2.

+ 3.

+ 4. + 1.

Ta thu c kt qu:
Ramsey RESET Test:
F-statistic
13.88261
Log likelihood ratio
13.47026
Test Equation:
Dependent Variable: CS
Method: Least Squares
Date: 11/04/12 Time: 11:36
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
C
120.1965
YD
0.728245
WEALTH
0.014462
R
-1.851436
FITTED^2
1.95E-05
R-squared
0.999534
Adjusted R-squared 0.999496
S.E. of regression
33.70527
Sum squared resid
55666.21
Log likelihood
-263.9526
Durbin-Watson stat
1.229362

Probability
Probability

Std. Error
t-Statistic
39.48985
3.043732
0.012360
58.91745
0.006184
2.338538
2.280487
-0.811860
5.23E-06
3.725937
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000504
0.000242

Prob.
0.0038
0.0000
0.0235
0.4208
0.0005
2888.356
1500.903
9.961207
10.14537
26261.70
0.000000

Kim nh cp gi thit:
Ho: 1 = 0 ( M hnh nh dng ng)
H1: 1 0 ( M hnh nh dng sai)
Ta c P-value(F) Ca kim nh Ramsey = 0.0005< = 0.05

(***)

 Bc b Ho =>M hnh (2) nh dng sai

D, Xem xt hin tng a cng tuyn:
Hi quy m hnh ph:
= 1 + 2.

+ 3.

(****)

Hi quy m hnh (****) Ta thu c kt qu:

Dependent Variable: YD
Method: Least Squares
Date: 11/04/12 Time: 11:52
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
C
493.5630
WEALTH
0.173279
R
38.55508
R-squared
0.946546
Adjusted R-squared 0.944450
S.E. of regression
384.8843
Sum squared resid
7554933.
Log likelihood
-396.5383
Durbin-Watson stat
0.183979

Std. Error
t-Statistic
110.8261
4.453492
0.007109
24.37422
22.85838
1.686693
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0000
0.0000
0.0978
3215.494
1633.004
14.79772
14.90821
451.5456
0.000000

Kim nh cp gi thit:
Ho: M hnh (2) khng c hin tng a cng tuyn
H1: M hnh (2) c hin tng a cng tuyn.
Ta c P-value (F) = 0.000 < = 0,05 => Bc b Ho => M hnh (2) c hin tng
a cng tuyn.
Tm li, Vic a thm bin vo m hnh ch khc phc c hin tng t tng
quan ca m hnh (1).
8, M hnh (3) nh sau:
= 1/.

+ 2 + 3.

+ 4.Ri/

(3)

Hi quy bng Eview ta c:

Dependent Variable: CS/YD
Method: Least Squares
Date: 11/04/12 Time: 16:50
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
1/YD
1.115015
C
0.726523
WEALTH/YD
0.035761
R/YD
-3.141492
R-squared
0.744624
Adjusted R-squared 0.729301
S.E. of regression
0.010569
Sum squared resid
0.005586
Log likelihood
171.1438
Durbin-Watson stat
1.308159

Std. Error
t-Statistic
7.198593
0.154893
0.015222
47.72819
0.003215
11.12365
0.955791
-3.286799
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.8775
0.0000
0.0000
0.0019
0.897339
0.020315
-6.190513
-6.043180
48.59655
0.000000

A, Hin tng PSSS thay i:

Hi quy m hnh ph bng phng php kim nh White khng c tch cho.
M hnh hi quy ph:
=1/.
+ 4.

+2+3.

+4.Ri/

+5.

+6.
(4)

Ta thu c kt qu hi quy nh sau:

White Heteroskedasticity Test:
F-statistic
1.864190
Obs*R-squared
10.38062
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/04/12 Time: 16:56
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
C
0.000601
1/YD
-1.160680
(1/YD)^2
1342.858
WEALTH/YD
-0.000147

Probability
Probability

Std. Error
0.001549
0.491284
504.8021
0.000635

0.107038
0.109512

t-Statistic
0.387687
-2.362543
2.660167
-0.230959

Prob.
0.7000
0.0223
0.0106
0.8183

(WEALTH/YD)^2
R/YD
(R/YD)^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

1.66E-05
0.026439
-1.261202
0.192234
0.089115
0.000139
9.07E-07
406.7395
1.927979

6.38E-05
0.260002
0.027561
0.959260
3.185209
-0.395956
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.7960
0.3423
0.6939
0.000103
0.000146
-14.80517
-14.54734
1.864190
0.107038

Kim nh cp gi thit:
Ho:

= 0 ( M hnh (3) c PSSS ng u)

H1:

0 (M hnh (3) c PSSS thay i)

Ta c: P-value(F) = 0,107 > = 0,05 =>Cha c c s bc b Ho =>M Hnh (3)

c PSSS ng u.
B, Hin tng t tng quan:
Hi quy m hnh ph:
= 1/

+ 2 + 3.

+ 4.

+ 1.

(5)

S dng phng php kim nh Breusch Goldfrey Ta thu c kt qu:

Breusch-Godfrey Serial Correlation LM Test:
F-statistic
5.412114
Probability
Obs*R-squared
5.371123
Probability

0.024177
0.020473

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/04/12 Time: 17:16
Presample missing value lagged residuals set to zero.
Variable
Coefficient Std. Error
t-Statistic
1/YD
0.665812 6.906500
0.096404
C
-0.001085 0.014599
-0.074340
WEALTH/YD
0.000192 0.003083
0.062371
R/YD
0.367967 0.929773
0.395760
RESID(-1)
0.337664 0.145145
2.326395
R-squared
0.099465
Mean dependent var
Adjusted R-squared 0.025952
S.D. dependent var

Prob.
0.9236
0.9410
0.9505
0.6940
0.0242
5.12E-16
0.010266

S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.010132
0.005030
173.9725
1.726844

Akaike info criterion

Schwarz criterion
F-statistic
Prob(F-statistic)

-6.258242
-6.074077
1.353029
0.263893

Kim nh cp gi thit:
Ho: 1= 0
H1: 1 0
Ta c: P-value (F) = 0.024 < = 0.05 => Bc b Ho => M hnh (5) c hin tng
t tng quan.
C, Hin tng a cng tuyn:
Hi quy m hnh ph:
= 1 + 2.

+ 3.

(6)

Hi quy m hnh (6) Ta thu c kt qu:

Dependent Variable: 1/YD
Method: Least Squares
Date: 11/04/12 Time: 17:22
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
C
7.90E-05
WEALTH/YD
7.21E-05
R/YD
-0.065889
R-squared
0.264838
Adjusted R-squared 0.236008
S.E. of regression
0.000206
Sum squared resid
2.16E-06
Log likelihood
383.3583
Durbin-Watson stat
0.213916

Std. Error
t-Statistic
0.000296
0.266985
6.17E-05
1.168567
0.016141
-4.081970
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.7906
0.2480
0.0002
0.000417
0.000235
-14.08734
-13.97684
9.186226
0.000392

Kim nh cp gi thit:
Ho:

= 0 (M hnh (3) khng c hin tng a cng tuyn)

H1:

0 (M hnh (3) c hin tng a cng tuyn)

Ta c P-value (F) = 0.000039 < = 0,05 => Bc b Ho =>M hnh (3) c hin
tng a cng tuyn.

D, Kim nh dng hm:

Bc 1: Hi quy m hnh (3) Thu c gi tr c lng ca CS/YD
Bc 2: Hi quy m hnh ph:
= 1/.

+ 2 + 3.

+ 4. Ri/

+ 1.(

)2+

Ta thu c kt qu: (Ch : CSF trong kt qu chnh l CS/YD)

Dependent Variable: CS/YD
Method: Least Squares
Date: 11/04/12 Time: 17:32
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
1/YD
-0.851660
C
-0.299324
WEALTH/YD
-0.097487
R/YD
8.809484
CSF^2
2.062500
R-squared
0.746035
Adjusted R-squared 0.725303
S.E. of regression
0.010647
Sum squared resid
0.005555
Log likelihood
171.2934
Durbin-Watson stat
1.305870

Std. Error
t-Statistic
8.172807
-0.104207
1.966320
-0.152226
0.255419
-0.381674
22.92688
0.384243
3.953231
0.521725
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.9174
0.8796
0.7044
0.7025
0.6042
0.897339
0.020315
-6.159015
-5.974850
35.98493
0.000000

Kim nh cp gi thit:
Ho: 1 = 0 ( M hnh nh dng ng)
H1: 1 0 ( M hnh nh dng sai)
Ta c P-value(F) Ca kim nh Ramsey = 0.6042< = 0.05

(7)

 Cha c c s bc b Ho =>M hnh (3) nh dng ng.

Tm li, Vic chia ton b phng trnh hi quy trong m hnh (2) cho bin thu
nhp, c m hnh (3); Th m hnh (3) ch khc phc c hin tng PSSS
thay i v hin tng dng hm sai so vi m hnh (2).
9. Hi quy m hnh (3) ta c
Dependent Variable: CS/YD
Method: Least Squares
Date: 11/04/12 Time: 17:40
Sample: 1947 2000
Included observations: 54
Variable
Coefficient
1/YD
1.115015
C
0.726523
WEALTH/YD
0.035761
R/YD
-3.141492
R-squared
0.744624
Adjusted R-squared 0.729301
S.E. of regression
0.010569
Sum squared resid
0.005586
Log likelihood
171.1438
Durbin-Watson stat
1.308159

Std. Error
t-Statistic
7.198593
0.154893
0.015222
47.72819
0.003215
11.12365
0.955791
-3.286799
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.8775
0.0000
0.0000
0.0019
0.897339
0.020315
-6.190513
-6.043180
48.59655
0.000000

T kt qu hi quy ta c:
- Khi Thu nhp YD tng thm 1 n v th chi tiu tng trung bnh l
0,726523 n v
- Khi li sut tng 1% th chi tiu gim trung bnh l 3.141492 n v

PHN II:
I VI TNG THNH VIN TRONG NHM
Bn tm s liu theo thi gian ca mt (hay mt s) bin kinh t (t nht 50 quan st s
liu qu hoc s liu thng) sau hy p dng Phng php Box-Jenkins c
lng v d bo t nht 7 thi k tip theo i vi m hnh ARIMA
Ch s Vnindex theo thng t thng 1 nm 2007 n thng 11 nm 2012

t bin l Vnindex
Bc 1:Xc nh tham s ca m hnh ARIMA:
1400
1200
1000
800
600
400
200

Ja
n0
M 7
ay
-0
Se 7
p0
Ja 7
n0
M 8
ay
-0
Se 8
p0
Ja 8
n0
M 9
ay
-0
Se 9
p0
Ja 9
n1
M 0
ay
-1
Se 0
p1
Ja 0
n1
M 1
ay
-1
Se 1
p1
Ja 1
n1
M 2
ay
-1
Se 2
p12

Series1

ADF Test Statistic

-2.681165

1% Critical Value*
-4.0928
5% Critical Value
-3.4739
10% Critical Value
-3.1640
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNINDEX)
Method: Least Squares
Date: 11/06/12 Time: 09:47
Sample(adjusted): 2007:02 2012:11
Included observations: 70 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
VNINDEX(-1)
-0.183125
0.068301 -2.681165
C
127.6591
61.51089
2.075390
@TREND(2007:01) -1.021358
0.799750 -1.277097
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.102229
0.075430
101.3417
688099.2
-421.0875
2.340803

Mean dependent var

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

Prob.
0.0092
0.0418
0.2060
-9.503143
105.3946
12.11678
12.21315
3.814646
0.026980

T kt qu trn cho thy chui gc Vnindex l chui khng dng v c xu th.

Kim nh tnh dng ca chui Vnindex, m hnh c xu th v h s chn

ADF Test Statistic

-11.73257

1% Critical Value*
-4.0948
5% Critical Value
-3.4749
10% Critical Value
-3.1645
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNINDEX,2)
Method: Least Squares
Date: 11/06/12 Time: 09:52
Sample(adjusted): 2007:03 2012:11
Included observations: 69 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(VNINDEX(-1))
-1.314671
0.112053 -11.73257
C
-45.19150
24.47413 -1.846501
@TREND(2007:01)
0.822134
0.592962
1.386487
R-squared
0.676254 Mean dependent var
Adjusted R-squared
0.666444 S.D. dependent var
S.E. of regression
97.79084 Akaike info criterion
Sum squared resid
631161.3 Schwarz criterion
Log likelihood
-412.5885 F-statistic
Durbin-Watson stat
1.984728 Prob(F-statistic)

Prob.
0.0000
0.0693
0.1703
-3.154638
169.3221
12.04604
12.14318
68.93187
0.000000

ADF = -11.73257, Cc gi tr ti hn mc ngha 1% l -4.0948; 5% l -3.4749 v

10% l -3.1645. Ga tr tuyt i ADF ln hn cc gi tr tuyt i ti hn, do
chui dng sai phn bc I, ta c d =1
Xc nh cc tham s p v q:

Da vo lc trn d thy p = 1 ; q =1 v m hnh ARIMA(p,d,q)=

ARIMA(1,1,1)
c lng vi cc tham s ny ta c: ls vnindex c @trend() ar(1) ma(1)

Bc 2: Kim nh tnh dng ca phn d ca m hnh

Nhn vo bng trn ta thy phn d l nhiu trng v m hnh ph hp

Bc 3: D bo cho 07 thi k tip theo:
Ti ca s Equation, n Forecast, thay i thi k mun d bo.

Kt qu d bo cho 07 thi k tip theo: