I HC DN LP HNG VNG Bi tp s 3

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Mn hc: KINH T LNG
Lp: 04QK, 04QB, 04QB (Nm hc 2006 2007)

Gi p n Bi tp s 3: A CNG TUYN V DNG HM


Cu 1: (40im) Cho m hnh nhp khu ca Hoa K giai on 1970-1998 nh sau:
Ln Imports
t
=
1
+
2
ln GDP
t
+
3
ln CPI
t
+ u
t
(theo d liu trong file T10-12.txt thuc b d liu ca Gujarati).
Trong :
Imporst = Gi tr nhp khu ca Hoa K
GDP = Tng sn phm quc ni ca Hoa K
CPI = Ch s gi tiu dng ti Hoa K
a) Trc khi chy hi qui anh/ch hy d bo du k vng ca
2
v
3
. L gii s la chn ca mnh

2
: theo m hnh trn th hin tc tng ca gi tr nhp khu ca Hoa k khi tng sn phm quc ni tng
1%. D bo du k vng ca
2
s l s m v khi Tng sn phm quc ni tng ln nhu cu v hng nhp s
gim v vy Gi tr nhp khu ca Hoa k s gim.

3
: theo m hnh trn th hin tc tng ca gi tr nhp khu ca Hoa k khi ch s gi tiu dng tng 1%. D
bo du k vng ca
3
s l s m v khi ch s gi tiu dng tng, kh nng mua ca ngi dn s thp v
iu ny s nh hng ln kh nng tiu th hng nhp khu v v vy gi tr nhp khu ca Hoa k s gim.

b) Hy c lng cc h s trong m hnh.
Dependent Variable: LOG(IMPORTS)
Method: Least Squares
Date: 05/08/07 Time: 23:24
Sample: 1970 1998
Included observations: 29
Variable Coefficient Std. Error t-Statistic Prob.
C 1.975260 0.782070 2.525683 0.0180
LOG(GDP) 1.043167 0.405783 2.570749 0.0162
LOG(CPI) 0.446142 0.569840 0.782925 0.4407
R-squared 0.982318 Mean dependent var 12.49048
Adjusted R-squared 0.980958 S.D. dependent var 0.904848
S.E. of regression 0.124862 Akaike info criterion -1.225512
Sum squared resid 0.405356 Schwarz criterion -1.084068
Log likelihood 20.76993 F-statistic 722.2174
Durbin-Watson stat 0.461405 Prob(F-statistic) 0.000000
Sau khi chy m hnh log kp ta c :
Ln Imports
t
= 1.975 + 1.043 ln GDP
t
+ 0.446 ln CPI
t
+
t
u


c) T kt qu trn anh/ch c nghi ng c s a cng tuyn trong m hnh khng? Ti sao?
Da vo m hnh trn, ta nghi ng c d a cng tuyn v:
Du ca cc bin trong m hnh ngc vi du k vng.
R
2
= 0.98 l mt s ln trong khi t
stat(CPI)
= 0.782925 l mt s nh (hay Prob
CPI
= 0.4407)

d) Thc hin tip cc hi qui sau:
Ln Imports
t
= A
1
+ A
2
ln GDP
t
(1)
Dependent Variable: LOG(IMPORTS)
Method: Least Squares
Date: 05/08/07 Time: 23:26
Sample: 1970 1998
Included observations: 29
Variable Coefficient Std. Error t-Statistic Prob.
C 1.407426 0.290493 4.844960 0.0000
LOG(GDP) 1.359628 0.035525 38.27295 0.0000
R-squared 0.981901 Mean dependent var 12.49048
Adjusted R-squared 0.981231 S.D. dependent var 0.904848
I HC DN LP HNG VNG Bi tp s 3
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S.E. of regression 0.123964 Akaike info criterion -1.271175
Sum squared resid 0.414912 Schwarz criterion -1.176879
Log likelihood 20.43204 F-statistic 1464.819
Durbin-Watson stat 0.437805 Prob(F-statistic) 0.000000


Ln Imports
t
= B
1
+ B
2
ln CPI
t
(2)
Dependent Variable: LOG(IMPORTS)
Method: Least Squares
Date: 05/08/07 Time: 23:28
Sample: 1970 1998
Included observations: 29
Variable Coefficient Std. Error t-Statistic Prob.
C 3.898610 0.250312 15.57499 0.0000
LOG(CPI) 1.905351 0.055221 34.50388 0.0000
R-squared 0.977824 Mean dependent var 12.49048
Adjusted R-squared 0.977002 S.D. dependent var 0.904848
S.E. of regression 0.137220 Akaike info criterion -1.067993
Sum squared resid 0.508390 Schwarz criterion -0.973697
Log likelihood 17.48590 F-statistic 1190.518
Durbin-Watson stat 0.495763 Prob(F-statistic) 0.000000

Ln GDP
t
= C1 + C2 ln CPI
t
(3)
Dependent Variable: LOG(GDP)
Method: Least Squares
Date: 05/08/07 Time: 23:29
Sample: 1970 1998
Included observations: 29
Variable Coefficient Std. Error t-Statistic Prob.
C 1.843760 0.108024 17.06804 0.0000
LOG(CPI) 1.398826 0.023831 58.69726 0.0000
R-squared 0.992224 Mean dependent var 8.151539
Adjusted R-squared 0.991936 S.D. dependent var 0.659461
S.E. of regression 0.059218 Akaike info criterion -2.748702
Sum squared resid 0.094684 Schwarz criterion -2.654406
Log likelihood 41.85618 F-statistic 3445.368
Durbin-Watson stat 0.348619 Prob(F-statistic) 0.000000

Da trn cc kt qu hi quy c c, anh/ ch nhn xt g v mc a cng tuyn trong b d liu? Gii
thch s nhn xt ca mnh.
Cn c vo m hnh (1) v m hnh (2) ta thy mi quan h gia GDP v CPI vi Imports l mi quan h thun
iu ny c ngha GDP v CPI tng s lm cho Import tng. V vy, du k vng ti cu a l cha chnh xc. Mc
khc cn c vo m hnh (1) v m hnh (2), phng trnh hi qui gia Imports vi tng bin GDP v CPI c
ngha v mt thng k (R
2
ln v t
stat
ln).
M hnh (3) th hin mi quan h gia 2 bin c lp GDP v CPI, ta thy m hnh ny c ngha v mt thng k
iu ny c ngha c hin tng a cng tuyn trong m hnh gc. Mt khc, R
2
trong m hnh 3 (R
2
hqp
=0.992224)
ln hn m hnh ban u (R
2
= 0.982318) v ln nht trong cc m hnh v vy mc a cng tuyn gia hai bin
GDP v CPI rt mnh.

e) Gii s trong m hnh ban u (m hnh Ln Imports
t
=
1
+
2
ln GDP
t
+
3
ln CPI
t
+ u
t
c hin tng
a cng tuyn nhng
2
v
3
u c ngha v mt thng k mc ngha 5% v thng k F cng c
ngha. Trong trng hp ny, chng ta c nn lo lng v hin tng a cng tuyn khng?
Trong trng hp trn chng ta khng cn phi lo lng v t
stat
>2 (do cu
2
v
3
u c ngha v mt thng k
mc ngha 5%) v R
2
ca m hnh cao hn R
2
ca m hnh hi qui ph (do cu thng k F cng c ngha)
I HC DN LP HNG VNG Bi tp s 3
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Cu 2: (40 im) Xem xt d liu trong file Table7.3 thuc b d liu Gujarati. Trong :
Y = GDP thc hng nm ca khu vc nng nghip i Loan (triu USD)
X
2
= S ngy lao ng hng nm ca khu vc nng nghip i Loan (triu ngy cng lao ng)
X
3
= Vn thc hng nm ca khu vc nng nghip i Loan (triu USD)

Cc anh/ch hy:
a) c lng hm Cobb-Douglas c dng Y=AX
2
2
X
3
3
e
ui
.
Chuyn m hnh v hm log kep v c lng ta c :
Dependent Variable: LOG(Y)
Method: Least Squares
Date: 05/09/07 Time: 20:40
Sample: 1958 1972
Included observations: 15
Variable Coefficient Std. Error t-Statistic Prob.
C -3.338455 2.449508 -1.362908 0.1979
LOG(X2) 1.498767 0.539803 2.776509 0.0168
LOG(X3) 0.489858 0.102043 4.800487 0.0004
R-squared 0.889030 Mean dependent var 10.09653
Adjusted R-squared 0.870535 S.D. dependent var 0.207914
S.E. of regression 0.074810 Akaike info criterion -2.170875
Sum squared resid 0.067158 Schwarz criterion -2.029265
Log likelihood 19.28156 F-statistic 48.06885
Durbin-Watson stat 0.891083 Prob(F-statistic) 0.000002
LOG(Y) = -3.338455 + 1.498767 LOG(X2) + 0.489858 LOG(X3) +
t
u

b) Hy gii thch cc h s c lng
1
,
2
,
3
theo ngha kinh t

1
= -3.338455 khng c cch gii thch v cn n cha bin b st ngoi m hnh.

2
= 1.498767 co gin ring phn ca GDP thc hng nm (triu USD) theo s ngy lao ng hng nm (triu
ngy cng lao ng) ca khu vc nng nghip i Loan. iu ny c ngha: gi nhp lng vn thc hng
nm khng i, cn c theo d liu mu ta c nu gia tng s ngy lao ng hng nm ca khu vc nng
nghip i Loan ln 1% th GDP thc hng nm ca khu vc nng nghip i Loan s tng 1.498767%

3
= 0.489858 co gin ring phn ca GDP thc hng nm (triu USD) theo vn thc hng nm (triu USD) ca
khu vc nng nghip i Loan. iu ny c ngha gi nhp lng s ngy lao ng hng nm ca khu vc
nng nghip i Loan khng i, cn c theo d liu mu ta c nu gia tng vn thc hng nm ca khu vc
nng nghip i Loan ln 1% th GDP thc hng nm ca khu vc nng nghip i Loan s tng 0.489858%
c) Khu vc nng nghip i Loan c pht trin hiu qu khng? Gii thch v sao anh/ch li c nhn nh
nh vy. Ngoi nhng l do pht trin do vn v lao ng cc anh ch cn c gi thit no v cc nguyn
nhn khc tc ng n s pht trin ca khu vc nng nghip khng ?
kim nh Khu vc nng nghip i Loan pht trin c hiu qu khng? Ta thc hin vc kim nh Wald vi:
H
0
:
1
+
3
= 1
H
1
:
1
+
3
1
Wald Test:
Equation: Untitled
Test Statistic Value df Probability
F-statistic 4.344966 (1, 12) 0.0592
Chi-square 4.344966 1 0.0371

Null Hypothesis Summary:
Normalized Restriction (= 0) Value Std. Err.
-1 + C(2) + C(3) 0.988625 0.474284
Restrictions are linear in coefficients.
Cn c theo bng trn ta c P = 0.0592 < 0.1 v vy ta bc b H
0
vi mc ngha = 10%, mc khc
1
+
3
=
1.988625 > 1. V vy, ta c m hnh tng theo qui m vi mc ngha = 10%
Ngoi nhng l do pht trin do vn v lao ng cc nguyn nhn khc tc ng n s pht trin ca khu vc nng
nghip bao gm: s pht trin ca lnh vc cng nghip, khoa hc k thut lin quan n nng nghip, thi tit_kh
hu,