HNG DN THC HNH EVIEWS TRONG

KINH T LNG

MC LC

MC LC

1 Gii thiu Eviews

1.1

Khi to workfile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.2

Nhp d liu trc tip . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.3

M d liu t file c sn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.3.1

M d liu file nh dng .xls . . . . . . . . . . . . . . . . . . . . . . . .

1.3.2

M d liu file nh dng .wf1

. . . . . . . . . . . . . . . . . . . . . . .

1.4

V th . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.5

Thng k m t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.6

To v xa mt series trong workfile . . . . . . . . . . . . . . . . . . . . . . . .

1.6.1

To mt series mi trong workfile . . . . . . . . . . . . . . . . . . . . . .

1.6.2

Xa mt series trong workfile . . . . . . . . . . . . . . . . . . . . . . . .

10

Mt s ton t v hm c bn trong Eviews . . . . . . . . . . . . . . . . . . . .

10

1.7.1

Ton t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

1.7.2

Hm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

Tnh ton trn Eviews . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

1.7

1.8

2 Hi qui hai bin

14

2.1

M hnh hi qui tuyn tnh . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14

2.2

Khong tin cy 1 ; 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16

2.3

Kim nh gi thit v cc h s hi qui . . . . . . . . . . . . . . . . . . . . . .

17

3 M rng m hnh hi qui hai bin

19

3.1

Hi qui tuyn tnh log . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19

3.2

Hi qui log tuyn tnh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

20

4 Hi qui bi

22

4.1

M hnh hi qui tuyn tnh ba bin . . . . . . . . . . . . . . . . . . . . . . . . .

22

4.2

Kim nh gi thit v h s hi qui . . . . . . . . . . . . . . . . . . . . . . . .

24

4.3

Kim nh ng thi (kim nh s ph hp ca m hnh) . . . . . . . . . . . .

24

4.4

Tm ma trn tng quan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

25

4.5

Ma trn hip phng sai . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26

4.6

D bo

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26

4.6.1

Khong d bo c bit . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29

4.6.2

Khong d bo trung bnh . . . . . . . . . . . . . . . . . . . . . . . . .

29

5 Pht hin v khc phc hin tng phng sai sai s ca m hnh hi qui
thay i

30

5.1

Cch pht hin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30

5.1.1

Dng th . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30

5.1.2

Dng kim nh White . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30

Khc phc phng sai sai s ca m hnh thay i . . . . . . . . . . . . . . . .

32

5.2

6 Pht hin v khc phc hin tng t tng quan

6.1

6.2

34

Cch pht hin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

34

6.1.1

Dng th . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

34

6.1.2

Kim nh Breusch-Godfrey (BG) . . . . . . . . . . . . . . . . . . . . .

34

Khc phc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35

6.2.1

Bit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35

6.2.2

Cha bit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35

7 Mt s kim nh thng gp

36

7.1

Kim nh s c mt ca bin khng cn thit . . . . . . . . . . . . . . . . . .

36

7.2

Kim nh bin b b st . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

37

7.3

Kim nh Wald . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

39

7.4

Kim nh Reset ca Ramsey . . . . . . . . . . . . . . . . . . . . . . . . . . . .

40

8 Phn tch chui thi gian

8.1

42

M hnh cng v m hnh nhn . . . . . . . . . . . . . . . . . . . . . . . . . . .

42

8.1.1

42

M hnh nhn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3

8.1.2

M hnh cng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

43

8.2

M hnh d bo san m Holt-Winters . . . . . . . . . . . . . . . . . . . . . . .

44

8.3

Kim nh tnh dng da trn lt tng quan . . . . . . . . . . . . . . . .

47

8.4

Kim nh n v i vi tnh dng . . . . . . . . . . . . . . . . . . . . . . . . .

48

TI LIU THAM KHO

50

Li ni u
Bi ging ny c vit i km vi phn l thuyt ca Gio trnh kinh t lng, Trng H
Kinh T TPHCM, Lao ng - X hi, Hong Ngc Nhm, cun Gio trnh ny c vit phn
hng dn s dng Eviews tnh ton (xem [6]). Bi ging ny cng nhm mc ch hng
n tng bc vic tnh ton trong gio trnh trn, tuy nhin, y chng ti hng dn s
dng Eviews 6.0 v c b sung, chnh sa nhiu ch so vi [6]. Bi ging ny s gip cho sinh
vin thc hnh cc bi tp ca mn Kinh t lng, cng nh cho nhng ai s dng Eviews
phn tch kinh t.
Eviews h tr rt mnh m trong vic qun l d liu, phn tch thng k, v cc th v in
kt qu. Hin nay c bin bn Eviews 8.1, tuy nhin, v mt vi l do m chng ti chn
Eviews 6.0 1 vit bi ging ny. bit thm nhng thng tin v phn mim ny, cng nh
cc ng dng m rng ca Eviews cc bn c th vo trang web http://eviews.com.
Ti chn thnh cm n s tham kho, ng gp kin ca cc bn ng nghip, cc bn sinh
vin ca ai hc Tn c Thng, nhng ng gp ny gip ti rt nhiu trong vic hon
thin bi bi ging ny!

Ti mong c s ng gp kin v bi ging ny cho vic chnh sa.

Hunh Ngc Phc

ngphuynh@gmail.com

http://www.mediafire.com/download/z3g2d14fqfx2o9m/Portable_EViews_6.rar

Chng 1

Gii thiu Eviews

Trong chng ny chng ti s gii thiu nhng thao tc c bn trn Eviews.

1.1

Khi to workfile

Cng vic trc tin ca chng ta l khi to workfile. khi to workfile ta nhp Dclick
vo biu tng Eviews trn mn hnh, sau chn File/New/Workfile nh hnh sau

Khi ta chn xong th ta c

Trong workfile Structure type c cc nh dng sau:

Dated-regularfrequency: D liu thi gian (mc nh).
Unstructure/Undated: D liu cho.
Balanced Panel.
Khi ta chn Dated-regularfrequency th trong khung Date specification c cc dng nh
dng tng ng

Nm.
Na nm.
Qu (3 thng).
Thng.
Tun.
Nm ngy.
By ngy.
Ngy.
Sau khi chn mt nh dng tng ng s liu th ta in vo khung Start date v End date
tng ng vi mi nh dng. Ring trng hp nh dng l Unstructured/Undated th
s xut hin hp thoi dng

Ta in ln ca d liu vo Data range.

Sau khi thc hin xong cc thao tc ta in tn workfile vo khung Workfile name, chn Ok
s xut hin hp thoi sau

Khi khi to xong workfile th ta chn Save as lu li.

1.2

Nhp d liu trc tip

Trc ht ta to mt workfile nh mc 1.1. K tip nhp d liu ta chn Quick/Empty

Group, s xut hin hp thoi sau

Sau chng ta nhp cc d liu vo th ta c

Cc series1 mc nhin c tn l Ser01, Ser02,... nh hnh trn, i tn mt series no

ta chn series , nhp Dclick vo tn series ri g tn mi, nhn Enter, khi s xut hin
mt hp thoi, chn Yes
Sau khi nhp xong ta tt hp thoi Group i, khi trong Workfile xut hin cc Series
m ta va nhp. lu li ta chn File/Save as sau chn ng dn n ni ta cn lu,
t chn Save l c.

Ch 1.1 Workfile c nh dng mc nhin l .wf1.

1.3

M d liu t file c sn

Trong ti liu ny ti s gii thiu cch m d liu nh dng .xls v d liu nh dng .wf1.
1

ct chui d liu

1.3.1

M d liu file nh dng .xls

Trc tin ta m ca s Eviews, sau chn File/Open/Ewiews Workfile..., khi xut

hin hp thoi nh sau

khung File of Type ta chn thanh s ri chn nh dng file l .xls. Sau chn ng
dn n file d liu. Khi ta chn file cn m v chn Open th ta c hp thoi sau

chn Predefined range chn Sheet d liu, Custom range ty chnh ct d liu cn
nhp sau chn Next thay i tn cc ct d liu. hon tt ta chn Finish. Ta lu
li workfile nh mc 1.2

Ch 1.2 Chng ta cn phi ch rng t Eviews 6.0 tr v trc ch m c file excel

nh dng .xls.

1.3.2

M d liu file nh dng .wf1

Trong nhiu trng hp ta c sn file c nh dng .wf1. Khi ta ch cn chn Open/Eviews

Workfile sau ta chn ng dn n file cn m, chn file ri nhp Open l c.

1.4

V th

Nu mun v th phn tn ca hai bin no , trc tin ta to mt workfile hay m

mt workfile c sn. V d nh y ta m giao din Eviews, chn File/Open/Eviews
Workfile. Khi s xut hin mt hp thoi, ta chn ng dn n th mc DATAEVIEWS/data_chg1 chn file thidu1.wf1. y ta mun v th phn tn ca bin
chitieu v thunhap ta lm nh sau:
T hp thoi workfile, chn Quick/Graph, khi s xut hin hp thoi Series list. Ta g
tin lm trc honh l thunhap , bin lm trc tung l chitieu nh hnh sau

ta chn Ok th s xut hin hp thoi sau

ta nhp chn Scatter ri chn Ok ta c th

Ta c th v ng hi qui mu thch hp nht i vi tp hp cc s liu mu, mun vy ta

thc hin cc bc nh trn, khi chn Scatter th trong khung Fit lines ta chn Regression
line ging nh hnh sau

Cch chn trn mc nhin l ng thng, tc chitieu v thunhap c quan h tuyn tnh.
Khi th c dng

Nu mun v xu thu bin thin ca mt hoc nhiu bin th ta chn Line & Symbol thay
v Scatter, vi workfile trn ta c th
7

 lu th li ta nhp chut vo Name trong hp thoi Graph khi ta c

Ta in tn th v khung Name to identify object sau chn Ok l c.

1.5

Thng k m t

bit c cc yu t lin quan n thng k ca s liu th ta lm nh sau:

V d nh trong workfile thidu1.wf1 ta mun bit cc yu t thng k lin quan n thunhap
v chitieu, ta nhp chn series thunhap v chitieu nh hnh sau

sau nhn Enter ta c

Trong hp thoi Group, chn View/Descriptive Stats/Common Sample, khi ta

c

y vic chn Common Sample hay Individual Sample th khng c g khc nhau cho
lm tr khi c mt series thiu d liu.

1.6
1.6.1

To v xa mt series trong workfile

To mt series mi trong workfile

to thm mt series mi trong workfile ta c th nhp trc tip nh mc 1.2, tuy nhin
trong trng hp series ny c c t cc series c trong workfile qua cc php ton th
lm nh sau:
T hp thoi workfile, chn Genr, khi xut hin hp thoi sau

V d nh mun to series mi l y=thunhap+chitieu th ta g vo hp thoi nh hnh sau

nhp chon Ok ta c mt series mi nh hnh sau

1.6.2

Xa mt series trong workfile

xa mt series, ta nhp chn series cn xa, Rclick ri chn Delete sau chn Yes all
l c.

1.7
1.7.1

Mt s ton t v hm c bn trong Eviews

Ton t

K hiu
+

Ton T
Cng
Tr
Nhn
Chia
Ly tha

M t
x + y:Phn t trong series X cng phn t trong series Y tng ng.
x y: Phn t trong series X tr phn t trong series Y tng ng.
x.y: Phn t trong series X nhn phn t trong series Y tng ng.
x/y: Phn t trong series X chia phn t trong series Y tng ng.
xy : Phn t trong series X ly tha phn t trong series Y tng ng.

10

1.7.2

Hm

D(X): sai phn, D(X) = xi xi1 ,

log(X) = lnX
exp(X) =
eX
abs(X) = |X|
sqr(X) = X
@sum(X): Tng xi
@mean(X): Trung bnh X
@var(X): Phng sai X
@cov(X,Y): Hip phng sai X v Y
@cor(X,Y): H s tng quan
trend(d): Bin xu thu thi gian chun ha v 0 thi k d.
@seas(d): Bin gi theo ma bng 1 khi qu hoc thng bng d, bng 0 nu khc d.
@coef s(i) = i
@stderrs(i) = se(i )
(p = 1 2 , v = n k)
@qtdist(p, v) = t 2 (n k),
@ctdist(x, v) = P (tv < x)
@se = S.E of regression =
@regobs = n
@abs(x) = |x|

1.8

Tnh ton trn Eviews

Eviews h tr mt s tnh ton c bn, trong Eviews c mt khung c chc nng tnh ton
nh hnh

Cc thao tc tnh v mc c bn ging nh trong excel. V d nh mun tnh 2 5 =? ta g

vo khung nh sau:
=25
sau nhn Enter ta c kt qu nh hnh sau

11

Tuy nhin vi cch lm nh trn ta khng lu li c kt qu, lu li th thay v g

= 2 5 th ta g vo l
scalar pt = 2 5
sau chn Enter th Eviews s cho ra kt qu v lu li trong wokfile vi tn l pt. Khi ta
thc hin cc thao tc trn Eviews th pt xem nh mt s bnh thng.
Ngoi ra, ta cn c th tnh bng cch chn Object/New Object.../Matrix-Vector-Coef
nh hnh sau

trong khung Name for object ta in tn ca object c to ra sau chn Ok ta c

12

 y ta chn Vector v lu vi tn l v, khi workfile s c thm bin v nh hnh sau

hp thoi Vector v cc gi tr R1,... mc nhin l 0.000000. Ta c th thay th cc gi tr

ny bng cch g vo khung v(i)=??.
Ta c th lu li dng table bng cach chn Freeze, khi s xut hin hp thoi Vector
v dng table. Ta chn Name lu li.

Cc bn mun bit thm cc chc nng ca Eviews, chn Help/Eviews help topics

13

Chng 2

Hi qui hai bin

2.1

M hnh hi qui tuyn tnh

M hnh dng
Yi = 1 + 2 Xi + Ui .
Hm hi qui mu SRF
Yi = 1 + 2 Xi .

V d 2.1 Cho bng s liu v mc chi tiu (Y USD)/tun) v thu nhp hng tun (X la/tun)
ca 10 gia nh nh sau:
Yi
Xi

70
80

65
100

90
120

95
140

110
160

115
180

120
200

140
220

155
240

150
260

Gi s X v Y c quan h tuyn tnh. Hy c lng hm hi qui ca Y theo X.

tm c lng hm hi qui vi bng s liu trn, trc tin ta to mt workfile thidu2.wf1,
sau , t hp thoi Equation, chn Quick/Estimate, khi s xut hin hp thoi dng

14

ta g vo mn hnh nh sau

sau nhp chn Ok ta c

Bng ny c ngha nh sau:

Dependent variable: Y Bin ph thuc Y.
Method: Least Squares Phng php bnh phng b nht.
Sample: 1 10 Mu quan st t 1 n 10.
Coefficient H s hi qui.
1 = 24, 4545

, 2 = 0, 509.

Std Error Sai s chun

se(1 ) = 6, 413817

, se(2 ) = 0, 035743.

t-Statistic Gi tr ca thng k t

1
= 3, 812791.
se(1 )
2
t2 =
= 14, 24317.
se(2 )

t1 =

15

Prob Xc sut.
P (|T | > 3, 812791) = 0, 0014
P (|T | > 14, 317) ' 0.
R-Squared H s xc nh R2 .
2

Adjusted R-Squared H s xc nh iu chnh R .

Sum Squared resid Tng bnh phng cc phn d RSS.
Log likelihook Ln hm hp l.
Durbin -Watson stat Thng k Durbin Watson.
Mean dependent var Trung bnh bin ph thuc.
S.D. dependent var lch chun bin ph thuc.
Akaike info criterion Tiu chun Akaike.
Schwarz criterion Tiu chun Schwarz.
F-statistic Thng k F.
Prob(F-statistic)[P(F > F ].
Vy hm hi qui tuyn tnh mu ca ch tiu theo thu nhp l
Yi = 24, 45455 + 0, 0509091Xi .

2.2

Khong tin cy 1 ; 2

Vi h s tin cy 1 , khong tin cy ca 1 , 2 l

i t/2 (n 2)1 se(i ),

i = 1, 2.

V d 2.2 Vi s liu ca V d 2.1, hy tm khong tin cy ca 1 v 2 , vi tin cy

95%.
Vi kt qu ca V d 2.1, ta c
se(1 ) = 6, 413817,

se(2 ) = 0, 035743.

Vi tin cy 95% ta c
t/2 (n 2) = t0,025 (8) = 2, 306.
1

gi tr ny tim c bng cch tra bng hoc dng hm mc 1.7.2, hoc = tinv(, n k) trong excel

16

Vy khong tin cy ca 1 v 2 ln lt l
(24, 4545 2, 306.6, 4138; 24, 4545 + 2, 306.6, 4138)
v
(0, 509 2, 306.0, 035743; 0, 509 + 2, 306.0, 035743)
Chng ta c th tnh cn trn v cn di ca khong c lng nh sau:
scalar cantren=@coefs(i)+@qtdist(1-/2,n-k) @stderrs(i)
scalar canduoi=@coefs(i)-@qtdist(1-/2,n-k) @stderrs(i)

2.3

Kim nh gi thit v cc h s hi qui

Kim s c mt ca bin khng cn thit cho m hnh

V d 2.3 Vi s liu ca V d 2.1, kim nh gi thit H0 : 2 = 0, i gi thit H1 : 2 6= 0,

vi mc ngha 5%.
Vi kt qu ca V d 2.1, ta c
t = 14, 243.
Vi mc ngha = 0, 05 ta c
t/2 (8) = 2, 306.
Do ,|t| > t/2 (8), cho nn ta bc b H0 .

Ch 2.1 V d 2.3, ta c th dng P-value kim nh

i) Nu Pvalue(t)=P (|T | > |t|) < : Bc b H0 .
ii) Nu Pvalue(t)=P (|T | > |t|) > : Cha c c s bc b H0 .
Do , t kt qu ca hm hi qui, ta c P-value(t2 )=0.000< = 0.05, cho nn ta bc b H0 .

17

Kim nh hai bn
Gi thit H0 : i = i0 , i gi thit H1 : i 6= i0
Scalar

pvalue = @ctdist(@abs((@coef s(i) i0 )/@stderrs(i)), n k)

+1 @ctdist(@abs((@coef s(i) i0 )/@stderrs(i)), n k)

Kim nh bn tri
Gi thit H0 : i > i0 , i gi thit H1 : i < i0
Scalar

pvalue = @ctdist((@coef s(i) i0 )/@stderrs(i), n k)

Kim nh bn phi
Gi thit H0 : i 6 i0 , i gi thit H1 : i > i0
Scalar

pvalue = 1 @ctdist((@coef s(i) i0 )/@stderrs(i), n k)

18

Chng 3

M rng m hnh hi qui hai bin

3.1

Hi qui tuyn tnh log

M hnh dng
log Yi = 1 + 2 log Xi + Ui .
ngha ca m hnh ny l cho bit khi X tng 1% th trung bnh Y tng (gim) 2 %.

V d 3.1 Kho st nhu cu tiu th cafe (Y s tch 1 ngi dng mi ngy) v gi bn l

thc t trung bnh (X USD/kg) ngi ta thu c s liu sau:
Nm
1970
1971
1972
1973
1974
1975

Y
2,57
2,50
2,35
2,30
2,25
2,20

X
0,77
0,74
0,72
0,73
0,76
0,75

Nm
1976
1977
1978
1979
1980

Y
2,11
1,94
1,97
2,06
2,02

X
1,08
1,81
1,39
1,20
1,17

c lng hi qui tuyn tnh log.

Ta to workfile Bang3_19.wf1, t ca s Equation, chn Quick/Equation Estimation,
g vo hp thoi mi xut hin nh hnh sau

19

nhp chn Ok ta c

t ta c kt qu hi qui sau
\i ) = 0, 777418 0, 253 log(Xi ).
log(Y
Vi kt qu ny ta thy khi gi cafe tng 1% th nhu cu cafe gim 0,25%.

3.2

Hi qui log tuyn tnh

M hnh dng
log Y = 1 + 2 t + Ui .
t: ly gi tr 1,2,3,....
2 l tc tng trng tc thi ca Y theo bin t.

V d 3.2 Cho bng s liu tng gi tr sn phm ni a (RGDP USD) ca Hoa k trong
khong thi gian 1972-1991 nh sau
Nm
1972
1973
1974
1975
1976
1977
1978

RGDP
3107,1
3268,6
3248,1
3221,7
3380,8
3533,3
3703,5

Nm
1979
1980
1981
1982
1983
1984
1985

RGDP
3796,8
3776,3
3843,1
3760,3
3906,6
4148,5
4279,8

Nm
1986
1987
1988
1989
1990
1991

RGDP
4404,5
4539,9
4718,6
4838,0
4877,5
4821,0

Tm hm c lng hi qui dang log tuyn tnh.

Trc ht ta to workfile bang3_24.wf1, k tip trong hp thoi Workfile, chn Quick/Equation
Estimate, sau g vo hp thoi nh hnh sau
20

chn Ok ta c

Khi hm hi qui s l
\ ) = 8, 0139 + 0, 024699t.
log(RGDP
V ta c th bit c trong giai on 1972-1991 GDP thc ca Hoa K tng vi tc 2,47%.
Ngoi ra ta cn c mt s m hnh hi qui sau:
Yi = 1 + 2 log Xi + Ui .
1
M hnh nghch o:
Yi = 1 + 2
+ Ui
Xi
2
M hnh dng:
Yi = 1 + 2 Xi + 3 Xi + Ui .
M hnh hi qui lin-log:

21

Chng 4

Hi qui bi
4.1

M hnh hi qui tuyn tnh ba bin

M hnh dng
Yi = 1 + 2 X2i + 3 X3i + Ui .

V d 4.1 Cho bng s liu v doanh s bn Y, chi ph cho hng X2 v chi ph qung co
X3 trong nm 2001 12 khu vc bn hng ca mt cng ty nh sau

Doanh s bn Yi (triu )
1270
1490
1060
1626
1020
1800
1610
1280
1390
1440
1590
1380

Chi ph cho hng X2i (triu )

100
106
60
160
70
170
140
120
116
120
140
150

Chi ph qung co X3i (triu )

180
248
190
240
150
260
250
160
270
230
220
150

c lng hm hi qui tuyn tnh ca doanh s bn theo chi ph cho hng v chi ph qung
co.
Ta to worlfile thidu4_1.wf1, chn Quick/Equation Estimation ri g vo hp thoi mi
hin ln nh hnh sau

22

chn Ok ta c

Hnh 4.1:

Vy ta c phng trnh hi qui l

Yi = 328, 1383 + 4, 6495X2i + 2, 56X3i .
T Hnh 4.1 ta c:
Sai s tiu chun ln lc l:
se(1 ) = 71, 99136,

se(2 ) = 0, 469146,

se(3 = 0, 379411.

H s xc nh ca hi qui bi l R2 = 0, 967693.
2

H s xc nh iu chnh R = 0, 960514.

V d 4.2 Vi s liu ca V d 4.1, tm khong tin cy ca 2 , 3 , vi h s tin cy 95%.

Vi h s tin cy 1 = 0, 95 =

= 0, 025. Do
2

t/2 (n 3) = t0,025 (9) = 2, 262.

23

Khong tin cy ca 2 , 3 ln lt l
(4, 64951 2, 262.0.469146; 4, 64951 + 2, 262.0.469146)
v
(2, 56 2, 262.0, 379; 2, 56 + 2, 262.0, 379).

4.2

Kim nh gi thit v h s hi qui

H0 : j = Bj0 ; H1 : j 6= Bj0
j Bj0
.
t=
se(j )

(j = 1, 2, 3).

|t| > t/2 (n 3) th bc b H0 .

|t| 6 t/2 (n 3) th chp nhn H0 .

V d 4.3 Vi s liu V d 4.1, kim nh gi thit H0 : 2 = 0, H1 : 2 6= 0, vi mc

ngha = 5%.
T kt qu ca V d 4.1 (xem Hnh 4.1), ta c
2 0
2
=
= 9, 9105.
se(2 )
se(2 )
t/2 (n 3) = 2, 262

t=

Do , |t| > t/2 (n 3), bc b H0 .

4.3

Kim nh ng thi (kim nh s ph hp ca m hnh)

H0 : 2 = 3 = 0 (hay R2 = 0)
R2 (n 3)
F =
2(1 R2 )

F > F (2; n 3): Bc b H0 .

F 6 F (2; n 3): Chn nhn H0 .

V d 4.4 Vi s liu V d 4.1, vi mc ngha = 1%. Kim nh s lin quan ca bin

gii thch X2 , X3 , i vi bin ph thuc Y.

24

Vi kt qu ca V d 4.1 (xem Hnh 4.1), ta c

F = 134, 7884,
tra bng ta c F0,01 (2; 9) = 8, 02.1 Do
F > F0,01 (2; 9),
vy ta bc b H0 .

Ch 4.1 y ta c th dng P-value kim nh

i) Nu P-value(F)< : Bc b H0 .
ii) Nu P-value(F)> : Cha c c s bc b H0 .
Do , t kt qu ca hm hi qui, ta c P-value(F)=0.000< = 0.01, cho nn ta bc b H0 .

4.4

Tm ma trn tng quan

Vi s liu ca V d 4.1, tm ma trn tng quan ca cc bin Y, X2 , X3 . Trc ht

ta chn ng thi cc series Y, X2 , X3 trong wofkfile thidu4_1.wf1, chn Quick/Group
Statistics/Corelations, khi s xut hin hp thoi sau

chn Ok. Ta c ma trn h s tng quan nh hnh sau

y ta tra bng hoc dng lnh =finv(0.01,2,9) trong excel

25

4.5

Ma trn hip phng sai

Vi workfile thidu4_1.wf1, tm ma trn hip phng sai ca h s hi qui ta thc hin

cc bc sau:
Bc 1 Tm hm c lng hi qui tuyn tnh (V d 4.1).
Bc 2 T ca s Equation, chn View/Covarriance matric nh hnh sau

Khi , ma trn hip phng sai ca h s hi qui nh hnh sau

4.6

D bo

tm d bo trung bnh ca bin ph thuc, v d nh d bo danh s bn hng Y

V d 4.1, vi tin cy 95%, khi chi ph cho hng l 165 triu ng v chi ph qung co l
200 triu ng. Ta lm nh sau:
Bc 1 Tm hm hi qui tuyn tnh mu ca Y theo X2 v X3 .
Bc 2 Nhp d liu X2 l 165, X3 l 200 vo quan st th 13. thc hin vic ny ta quay
li hp thoi workfile nh hnh sau
26

chn Proc/Structure/Resize Curent Page..., khi s xut hin hp thoi nh sau

ta chnh hp thoi ny li thnh

chn Ok chn Yes. Sau nhp vo series X2 , nhp 165 vo quan st 13 ri ng hp

thoi ny li. Lm tng t vi X3 .
Bc 3 Ta quay sang hp thoi Equation nh hnh

27

chn Rorecast th xut hin hp thoi sau

Ta chnh hp thoi trn li thnh

chn Ok th f v se1, s c thm vo workfile. y,

f (13) = Yb0
se1(13) = se(Y0 Yb0 )

28

4.6.1

Khong d bo c bit

scalar canduoi=f(13)@qtdist(1 0.05/2, 12 3)se1(13)

scalar cantren=f(13)+@qtdist(1 0.05/2, 12 3)se1(13)
Nh vy ta tm c d bo khong cho doanh s bn c khi chi ph cho hng 165 triu
v chi ph qung co 200 triu vi tin cy 95% l (1488,568;1726,09).

4.6.2

Khong d bo trung bnh

Ta c
se(Yb0 ) =

q
p
se2 (Y0 Yb0 ) 2 = se12 (13) 2 = sqr(se1(13) 2 @se 2)

v ta c
scalar canduoi=f(13)@qtdist(1 0.05/2, 12 3) sqr(se1(13) 2 @se 2)
scalar cantren=f(13)+@qtdist(1 0.05/2, 12 3) sqr(se1(13) 2 @se 2)
Nh vy ta tm c d bo khong cho doanh s bn trung bnh khi chi ph cho hng 165
triu v chi ph qung co 200 triu vi tin cy 95% l (1550,332;1664,348).

29

Chng 5

Pht hin v khc phc hin tng

phng sai sai s ca m hnh hi
qui thay i
5.1

Cch pht hin

Trong chng ny ta xt workfile kiemdinhps.wf1.

5.1.1

Dng th

Trc tin ta tm hm hi qui tuyn tnh ca y theo x2 v x3. K tip ta to series u=resid
v dng chc nng ca Forecast to series yf. Sau ta v th phn tn ca yf v u.
T th ny ta nhn xt c nghi ng hin tng phng sai ca sai s m hnh c thay i
hay khng. Nu ta thy s phn b ca th khng tp trung th ta nghi ng c hin tng
phng sai thay i v ngc li.

5.1.2

Dng kim nh White

Gi thit H0 : M hnh c phng sai khng i, H1 : M hnh c phng sai thay i.

Nu 2 = n.R2 > 2 (k 1) : bc b H0 .
V d nh vi mc ngha 5% ta xt xem phn d ca m hnh hi qui tuyn tnh y theo
x2 v x3 c hin tng phng sai thay i khng. Trc tin ta tm hm hi qui ca y theo
x2 v x3, sau t hp thoi Equation, chn View/Residual Tests/Heteroskedasticity
Test... nh hnh sau

30

khi xut hin hp thoi sau

ta chn nh hnh sau

Hnh 5.1:

k tip chn Ok, ta c

31

theo kt qu trn, ta thy nR2 = 14, 7002, c xc sut tng ng 0, 011723 < = 0.05 nn
ta bc b gi thit H0 . Vy phng sai thay i.

Ch 5.1 Trong mt s trng hp ta c th b cc s hng tch cho ca cc bin c lp.

Khi Hnh 5.1.2 ta b du check khung Include White Cross Items, khi ta c
bng kim nh White khng cha tch cho cc bin c lp nh sau

5.2

Khc phc phng sai sai s ca m hnh thay i

C nhiu phng php khc phc hin tng phng sai sai s ca m hnh thay i nhng
y ti ch trnh by phng php do White a ra. Trc tin ta tm hm hi qui ca y theo
x2 v x3. Sau to series mi l u1 = resid2 , k tip ta tm hm c lng
u1 = 1 + 2 x2 + 3 x3 + 4 x22 + 5 x32 + 6 x2 x3.
Sau dng chc nng ca Forecast to series u1f. K tip ta to seriesup=u1f>0 ri to
series up1=up*u1f+(1-up)*u1 sao to series wp=1/sqr(up1). Bc k tip ta tm hm
hi qui mi. hp thoi Equation Estimation sao khi khai bo y c x2 x3, ta chn Option
nh u chn vo Weighted LS/TSLS v g wp vo khung Weight sau chn Ok ta
32

c m hnh hi qui mi. kim tra li hin tng phng sai sai s hm hi qui c cn
thay i khng ta dng kim nh White 5.1.2. Nu pht hin vn cn hin tng thay i
th ta dng phng php khc khc phc.
Mun xem thm cc bn c th tham kho [4].

33

Chng 6

Pht hin v khc phc hin tng

t tng quan
6.1
6.1.1

Cch pht hin

Dng th

Dng chc nng generate to bin u=resid, t=@trend()+1 sao v th phn tn ca u

theo t. Da vo th nhn xt s b v hin tng t tng quan.

6.1.2

Kim nh Breusch-Godfrey (BG)

Xt m hnh
Yt = 1 + 2 Xt + Ut
v
Yt = 1 Ut1 + 2 Ut2 + ... + p Utp + t .
y  tha mn gi thit ca phng php OLS.
Ta cn kim nh gi thit H0 : 1 = 2 = ... = 0, ngha l khng c t tng quan bt k t
bc 1 n bc p. V d nh ta xt workfile bang2.28_trg195.wf1. Bc 1 c lng hi
qui tuyn tnh tieudung theo thunhap.
Bc 2 T hp thoi Equation, chn View/Residual Tests/Serial Correlation LM
Tests..., khi xut hin hp thoi sau
ta chn bc ca t tng quan cn kim nh, v d nh chn p = 2, nhp Ok ta c
Vi kt qu trn, ta c nR2 = 13, 68617, c xc sut l 0,0011 rt nh nn ta bc b H0 , tc
l tn ti tng quan bc 2.

34

6.2
6.2.1

Khc phc
Bit

Ta tm hm hi qui dng
Y Y (1) c

X X(1).

Sau dng kim nh BG kim nh li.

6.2.2

Cha bit

Ta s dng lnh AR(p) khc phc tng quan bc p. Ta thc hin bng cch g trc tip
lnh AR(p) vo pha sau cng ca hm c lng. Sau dng kim nh BG kim tra.

35

Chng 7

Mt s kim nh thng gp
7.1

Kim nh s c mt ca bin khng cn thit

Kim nh ny nhm kim tra xem s c mc ca mt bin gii thch no c thc s cn

thit hay khng. V d nh ta xt xem bin gii thch Z workfile bt5.1.wf1 c cn thit
trong m hnh hi qui hay khng, ta thc hin cc bc sau:
Trc ht ta m workfile bt5.1.wf1 trong th mc DATAEVIEWS, sau thc hin cc
bc
Bc 1 Tm hm hi qui tuyn tnh ca Y theo X v Z.
Bc 2 hp thoi Equation, chn Views/coefficient Tests/Redundant Variable_Likelihook
Ratio...

36

khi s xut hin hp thoi sau

ta g bin cn kim nh vo hp thoi, y ta g z

chn Ok ta c

hp thoi ny ta c F = 0, 104291 c xc sut P = 0, 750677 nn ta chp nhn gi thit

H0 : 3 = 0, tc Z khng cn thit trong m hnh hi qui ca Y.

7.2

Kim nh bin b b st

Kim nh ny kim tra xem c bin gii thch no c b b st trong m hnh ang xt
hay khng. V d nh y ta xt xem V d 4.1 bin gii thch X3 c nh hng bin
37

Y hay khng ta lm nh sau:

Trc tin ta m li workfile thidu4_1.wf1, sau thc hin cc bc:
Bc 1 Tm hm hi qui tuyn tnh khng c bin b st X3 .
Bc 2 hp thoi Equation, chn View/coefficient Tests/Omitted Variables_Likelihook
Ratio...

khi s xut hin h thoi sau

g bin b st vo khung ta c

38

chn Ok ta c

theo kt qu trn, F = 45, 53155 c xc sut P = 0, 0001 rt nh nn ta bc b gi thit

H0 : 3 = 0, tc X3 l bin c nh hng ti Y.

7.3

Kim nh Wald

Kim nh Wald dng kim nh s c mc ca nhng bin gii thch khng cn thit. V
d nh xt workfile bt5.1.wf1, ta thm mt bin na l t, bin ny nhn cc gi tr t 1 n
20. By gi, kim tra xem t v Z c nh hng ti Y hay khng ta lam nh sau:
Bc 1 c lng hi qui tuyn tnh ca Y theo cc bin X,Z,t.
Bc 2 T hp thoi Equation, chn View/coefficient Tests/Wald_coefficient Restriction..., khi xut hin hnh

ta g vo hp thoi ny dng lnh nh sau

39

chn Ok, ta c kt qu sau

Theo kt qu ny, ta c
P (F > 2, 176832) = 0, 1457 > 0, 05.
nn ta chp nhn gi thit H0 : 3 = 4 = 0, tc Z v t khng nh hng g ti Y.

7.4

Kim nh Reset ca Ramsey

Dng kim nh ny kim tra xem m hnh ban u c ng hay khng. V d nh ta xt

m hnh ca V d 2.1. thc hin kim nh ny ta lm nh sau: Trc tin ta m workfile
thidu2.wf1, sau thc hin cc bc:
Bc 1 c lng hi qui tuyn tnh.
Bc 2 T hp thoi Equation, chn View/Stability Tests/Ramsey Reset Tests, khi
xut hin hp thoi sau

40

ta g s bin mun a vo m hnh mi, v d nh 2, ta c

chn Ok, ta c

Vi kt qu ny, F = 0, 283496 c xc sut l 0,7627 nn ta chp nhn H0 , tc m hnh ban

u l ng.

41

Chng 8

Phn tch chui thi gian

(c thm)

8.1
8.1.1

M hnh cng v m hnh nhn

M hnh nhn

V d 8.1 Cho s liu doanh thu ca mt cng ty nh sau:

Nm/Qu
1996
1997
1998
1999

I
72
76
78
81

II
110
112
119
134

III
117
130
128
141

IV
172
194
201
216

D bo doanh thu nm 200 bng m hnh nhn.

Trc ht ta to mt workfile t s liu trn nh hnh sau

sau nhp chn series Y v nhn Enter, hp thoi Series, chn Proc/Seasonal Adjustment/Moving Average Methods..., khi xut hin hp thoi sau

42

chn Ok, ta c

ta hi qui tuyn tnh YSA theo t ta c

Y SA = 109, 948 + 1, 7646567t.
Sau khi c lng c hm xu th ta s tnh c TC v TCS cho cc qu nm 2000.
Nm

Qu
1
2
2000
3
4

8.1.2

t
16
17
18
19

SIN
0,637230
0,965933
1,042711
1,558092

TC
138,1825
139,9472
141,7118
143,4765

TCS
88,054
135,179
147,765
223,55

M hnh cng

V d 8.2 T bng s liu ca V d 8.1, hy d bo doanh thu nm 2000 bng m hnh

cng.
T workfile ca V d 8.1, chn Seris Y nhn Enter, hp thoi Series, chn Proc/Seasonal
Adjustment/Moving Average Methods..., khi xut hin hp thoi
43

Chn Difference from moving average-Additive, nhp Ok, ta c

c lng hi qui tuyn tnh YSA theo t ta c

Y SA = 115, 2077 + 1, 981t.
Vy ta c bng sau
Nm

Qu
1
2
2000
3
4

8.2

t
16
17
18
19

S
-50,80
-10,30
-0,76
61,865

T+C
146,902
148,883
150,864
152,845

T+C+S
96,102
138,583
150,104
214,71

M hnh d bo san m Holt-Winters

Ta m giao din Eviews, chn File/Open/Eviews Workfile..., chn ng dn n workfile

Bang_10.8_trg258.wf1, sau thc hin cc bc sau:
Bc 1 Trc tin nhp chn Series Y, nhn Enter, ta c

44

Bc 1 hp thoi Series, chn Proc/Exponential Smoothing, ta c

Nu mun chn phng php Holt-Winters, = 0, 7; = 0, 6 th ta c

chn Ok ta c

45

V d 8.3 Vi workfile Holt_Winters_tra260.wf1 th hin tin li trn mt n v vn

trong mt qu. Hy phn tch v d bo cc yu t hnh thnh chui ny vi = = 0, 5; = 0, 3.
Trc tin, trong th muc DATAEVIEWS/chg10, m workfile ny, sau thc hin cc
bc sau:
Bc 1 Nhp chn Series Y, nhn Enter.
Bc 2 T hp thoi series, chn Proc/Eponential Smoothing, ta c

Chn Holt_Winters Multiplicative 3, = = 0, 5; = 0, 3, ta c

46

chn Ok ta c
theo kt qu trn th
Yn = Y32 = 1, 642779.
Tn = T32 = 0, 080859.
H s thi v theo qu ca cc nm 1978
F29 = 0, 602052;
F31 = 0, 775222;

F30 = 0, 974023
F32 = 1, 648703

Vi kt qu ta c th d bo cc qu nm 1979 nh sau:
Qu 1 nm 1979
Y33 = (Y32 + T32 )F29 = 1, 03772.
Qu 2 nm 1979
Y34 = (Y32 + 2T32 )F30 = 1, 757622.
Qu 3 nm 1979
Y35 = (Y32 + 3T32 )F31 = 1, 461569.
Qu 4 nm 1979
Y36 = (Y32 + 4T32 )F32 = 3, 241705.

8.3

Kim nh tnh dng da trn lt tng quan

Ta m workfile Bang_10_17_trg_268.wf1 trong DATAEVIEWS/chg10, sau chn

View/Corelogram, khi xut hin hp thoi

47

S 12 trong khung Lags to Include l tr, ta c th chnh ty . Chn Ok ta c

8.4

Kim nh n v i vi tnh dng

V d 8.4 Vi workfile Bang_10_17_trg_268.wf1 trong DATAEVIEWS/chg10. Hy

kim nh tnh dng ca bin CPI89.
Trc ht ta m workfile, sau chn View/Unit Root Test..., khi xut hin hp thoi
sau

48

Nu ta mun dng tiu chun Dickkey-Fuller, m hnh xu thu v h s b chn, sai phn
bc nht th ta chn nh hnh sau

chn Ok, ta c

T bng ny ta thy |t| = 7, 91; t0,01 = 4, 356; t0,05 = 3, 59; t0,1 = 3, 2334. Do , |t| > |t |,
nn ta bc b gi thit H0 :CPI khng dng.

49

Ti liu tham kho

[1] Badi H.B, Ecommonetrics, 5Ed, Springer, 2011.

[2] Hill R.C, William E.R, Guay C.L Principles of Ecommonetrics, 4Ed, John Wiley& Sons.
INC., 2011.
[3] Hill R.C, William E.R, George G.J Using Eviews for Undergradual Ecommonetrics, 2Ed,
John Wiley& Sons. INC., 2001.
[4] Lun T., Hng dn thc hnh kinh t lng bng phn mim Eviews, H Nng Lm
TP. HCM, 2009.
[5] Nhm H.N, Lin V.T.B, Thanh N.T.N, Bnh D.T.X, Nam N.T.T, C N.T.
Gio trnh kinh t lng, Trng H Kinh t TPHCM, Lao ng - X hi.
[6] Nhm H.N, Lin V.T.B, Thanh N.T.N, Bnh D.T.X, Nam N.T.T, C N.T.
Bi tp kinh t lng vi s tr gip ca Eviews, Trng H Kinh t TPHCM, 2009.