Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

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1
D liu bng (Panel Data)
2
Cc loi d liu
Time series
Cross sections
Panel
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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D liu bng
v d liu cho gp chung
D liu bng l cc quan st v mt ch tiu
no s bao gm quan st cho v quan
st theo thi gian
Cn phn bit d liu bng v d liu cho
gp chung (pooled): i,t??
B qua yu t thi gian
Ch l cc quan st d liu thun ty
4
u im ca d liu bng
Nghin cu c s khc bit gia cc n
v cho m trc y chng ta hay s dng
dummy
Nng cao c s quan st ca mu v phn
no khc phc c hin tng a cng
tuyn
Cha ng nhiu thng tin hn cc d liu
khc
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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u im ca d liu bng (tt)
Nghin cu c ng thi thay i ca cc
n v cho theo thi gian
Mt m t dng hm d liu bng n gin
v cc tng khai thc t d liu bng:
mi quan h gia nng sut la vi lao ng
nng nghip
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T chc d liu bng
Unstacked: Cc n v cho c sp xp
theo thi gian mt cch ring bit theo tng
bin (vd trong ti liu c ca Gujarati, y
l cch thng thng khi m t d liu
bng-v d bng Eviews)
Stacked: Cc n v cho c sp xp theo
thi gian v cc n v cho ny c nhm
li vi nhau theo tng bin
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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V d v d liu bng stacked

T N,
N,2
N,1
T , 2
2 , 2
1 , 2
T , 1
2 , 1
1 , 1
Y
Y
Y

Y
Y
Y
Y
Y
Y
M
M
M
M

T N,
N,2
N,1
, 2
2 , 2
1 , 2
, 1
2 , 1
1 , 1
X
X
X

M
M
M
M
T
T
X
X
X
X
X
X

T N,
N,2
N,1
, 2
2 , 2
1 , 2
, 1
2 , 1
1 , 1
Z
Z
Z

M
M
M
M
T
T
Z
Z
Z
Z
Z
Z
8
V d v d liu bng Unstacked
254,2 2202,9 361,6 1940 186,6 2132,2 74,4 1940
312,7 1957,3 230,4 1939 172,6 2256,2 48,1 1939
260,2 1801,9 262,3 1938 156,2 2039,7 44,6 1938
118,1 2673,3 469,9 1937 118,0 2803,3 77,2 1937
50,5 1807,1 355,3 1936 104,4 2015,8 45,0 1936
53,8 1362,4 209,9 1935 97,8 1170,6 33,1 1935
US GE
C
1
F
1
I Quan sat C
1
F
1
I Quan sat
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Cc loi d liu bng
D liu bng cn bng (balanced): khi cc
n v cho c cng s quan st theo thi
gian
D liu bng khng cn bng (unbalance):
khi cc n v cho khng c cng s quan
st theo thi gian
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tng c bn v d liu bng
D liu bng khng th thc hin hi qui
bng OLS thng thng
Cc trng hp c th xy ra cho cc n v
cho
Cc n v cho c iu kin c th ging
nhau
Cc n v cho c iu kin c th khc
nhau
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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tng c bn v d liu bng (tt)
Cc n v cho c s khc bit v tc ng
bin ca cc nhn t nh hng
Cc n v cho va khc bit v iu kin
c th v va khc bit v tc ng bin
ca cc nhn t nh hng
Cc n v cho khng c s khc bit v
iu kin c th v tc ng bin ca cc
bin c lp ang xt
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Dummy v d liu bng
Dummy c gii quyt cc vn ca d
liu bng?
Cu tr li l c nhng rt phc tp v
khng hiu qu
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Dng tng qut m hnh
Yit =
1it
+
2it
X
2it
+
3it
X
3it
+ u
it
Cc tip cn c lng m hnh tng qut
Pure Pooled OLS
FEMOLS + Dummy (LSDV)
ECM/REM GLS
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Tip cn tc ng c nh
Tt c cc h s u khng i theo thi
gian v cc n v cho (pure pooled)
H s dc khng i theo thi gian v
cc n v cho nhng h s trc tung khc
nhau gia cc n v cho (+dummy)
H s dc khng i theo thi gian v
cc n v cho nhng h s trc tung bin
i gia cc n v cho v thi gian
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Tip cn tc ng c nh (tt)
Tt c cc h s bin i theo cc n v
cho (dummy + interactive)
Tt c cc h s bin i theo cc n v
cho v theo thi gian (dummy +
interactive)
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Tt c cc h s khng i
OLS- Pooled (hi qui kt hp tt c cc
quan st)
Yit =
1
+
2
X
2it
+
3
X
3it
+ u
it
Nhc im
Nhn dng sai th hin DW
Rng buc qu cht v cc n v cho,
iu ny kh xy ra trong thc t
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Tt c cc h s khng i (tt)
Y^ = 63,3041 +0,1101X2 + 0,3034X3
se (29,6124) (0,0137) (0,0493)
t (2,1376) (8,0188) (6,1545)
R2 = 0,7565 DW = 0,2187
n = 80 df = 77
Phng trnh 16.3.1 trong bi c
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H s trc tung bin i theo cho
Phng php FEM LSDV
Yit =
1it
+
2
X
2it
+
3
X
3it
+ u
it
FEM: mc d c s khc bit cc n v
cho v h s trc tung nhng li khng
khc bit theo thi gian
Gii php dummy?
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Intercept bin i theo n v cho (tt)
Yit = 1 + 2D2i + 3D3i + 4D4i +
2X2it + 3X3it + uit
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Intercept bin i theo n v cho (tt)
Hy xem kt qu m hnh c lng 16.3.4
M hnh ny tt hn m hnh u tin cc
h s xc nh, ngha thng k t v DW . . .
S sai lm v nhn dng c ci thin
Tho mn kim nh Wald
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Intercept bin i theo thi gian
Tip tc s dng bin dummy cho thi gian
Tn km thi gian
Khng c ngha thng k
Time effect: iu ny c ngha l cc yu t c
th ca ngnh khng thay i theo thi gian
Yit = 0 + 1 Dum35 + 2 Dum36+ . . . + 19
Dum53 + 2X2it + 3X3it + uit (16.3.6)
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Intercept bin i theo n v cho
v theo thi gian
S dng dummy mt ln na cho c n v
cho v thi gian
Kt qu
Cc h s ca dummy t c ngha thng k
M hnh tt l m hnh c cc bin gi theo
cc n v cho
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Tt c cc h s bin i theo n v
cho
S dng dummy theo cc n v cho cho
intercept v slope
Kt qu hi qui 16.3.8
Cc hm u t ca cc n v cho khc
nhau
Khng th s dng d liu pooled hi
qui hm u t cho tt c cc n v cho
m khng tnh n c th ca chng
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Trc trc khi s dng FEM (LSDV)
Gim bc t do ca d liu i rt nhiu
Nguy c a cng tuyn v c qu nhiu bin
Gi nh c in v uit ~ N (0,
2
) rt kh
thc hin
Cn thit c mt phng php khc
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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Tip cn REM (ECM)
tng ca tip cn ny cho rng s khc
bit v cc iu kin c th ca cc n v
cho c cha ng trong phn sai s
ngu nhin

1i
=
1
+
i
Y
it
=
1
+
2
X
2it
+
3
X
3it
+
i
+ u
it
=
1
+
2
X
2it
+
3
X
3it
+ w
it
w
it
=
i
+ u
it
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Gi nh REM
Gi nh thng thng
( )
( )
2
2
, 0 ~
, 0 ~
u it
i
N u
N

Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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S khc bit gia FEM v ECM
FEM c ring tng Intercept cho tng n v cho
v chng ta quan st c
ECM ch c mt intercept duy nht cho tt c cc
n v cho, gi tr ny l gi tr trung bnh ca tt
c cc n v cho.
S khc bit ca cc n v cho c lng bng
ECM nm trong thnh phn ngu nhin
i

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La chn m hnh cho d liu bng
tng kinh t lng
FEM khi
i
v cc bin c lp c gi
thit c mi quan h cht ch (chn mu
khng i din)
ECM khi
i
v cc bin c lp c gi
thit khng c mi quan h cht ch (chn
mu ngu nhin)
Cn c vo n v t: Judge
Bi ging Cc phng php phn tch Chng trnh ging dy kinh t Fulbright
Nin kha 2006-2007
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La chn m hnh cho d liu bng
Cn c vo N v T: Judge
ECM v FEM khng phn bit khi T ln v N
nh
ECM v FEM s kh khc bit v kt qu khi
N ln v T nh
ECM thch hp khi cc n v cho ngu nhin
FEM s thch hp khi cc n v cho khng
c la chn ngu nhin