Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

D liu bng (Panel Data)

Cc loi d liu
Time series
Cross sections
Panel

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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

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
4

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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

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
6

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

V d v d liu bng stacked

Y 1 ,1

Y
1 , 2

M
Y 1 ,T

Y 2 ,1
Y
2 , 2

Y 2 ,T

Y N,1

Y N,2

Y N, T

X 1 ,1

X
1 , 2

M
X 1 ,T

2 ,1
X
X
2 , 2

X
2 , T

X
N,1

N,2
X

X
N,
T

Z
Z

1 ,1
1 , 2

1 , T

Z
Z

,1

, 2

, T

M
Z
Z

N,1
N,2

M
Z

N,

V d v d liu bng Unstacked

Quan sat

F1

C1

Quan sat

GE

C1

F1
US

1935

33,1 1170,6

97,8

1935

209,9

1362,4

53,8

1936

45,0 2015,8

104,4

1936

355,3

1807,1

50,5

1937

77,2 2803,3

118,0

1937

469,9

2673,3

118,1

1938

44,6 2039,7

156,2

1938

262,3

1801,9

260,2

1939

48,1 2256,2

172,6

1939

230,4

1957,3

312,7

1940

74,4 2132,2

186,6

1940

361,6

2202,9

254,2
8

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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

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
10

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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

11

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

12

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

Dng tng qut m hnh

Yit = 1it + 2itX2it + 3itX3it + uit
Cc tip cn c lng m hnh tng qut
Pure Pooled OLS
FEM OLS + Dummy (LSDV)
ECM/REM GLS

13

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
14

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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)

15

Tt c cc h s khng i
OLS- Pooled (hi qui kt hp tt c cc
quan st)
Yit = 1 + 2X2it + 3X3it + uit
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
16

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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

17

H s trc tung bin i theo cho

Phng php FEM LSDV
Yit = 1it + 2X2it + 3X3it + uit
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?

18

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

Intercept bin i theo n v cho (tt)

Yit = 1 + 2D2i + 3D3i + 4D4i +
2X2it + 3X3it + uit

19

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

20

10

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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)

21

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

22

11

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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
23

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

24

12

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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
Yit = 1 + 2X2it + 3X3it + i + uit
= 1 + 2X2it + 3X3it + wit
wit = i + uit
25

Gi nh REM
Gi nh thng thng

i ~ N (0 ,

u it ~ N 0 ,

2
u

)
)

26

13

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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
i phn ngu nhin
ECM nm trong thnh

27

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
28

14

Chng trnh ging dy kinh t Fulbright

Nin kha 2006-2007

Cc phng php phn tch

Bi ging

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
9ECM thch hp khi cc n v cho ngu nhin
9FEM s thch hp khi cc n v cho khng
c la chn ngu nhin
29

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