Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

D liu bng (Panel Data)

Cc loi d liu
Time series Cross sections Panel

Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

D liu bng v d liu cho gp chung

D liu bng l d liu m cc quan st ca d liu ny bao gm quan st cho v cc quan st cho ny li c quan st theo thi gian Cn phn bit d liu bng v d liu cho gp chung

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
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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

u im ca d liu bng (tt)

Nghin cu c ng thi thay i ca cc n v cho theo thi gian

T chc d liu bng

Unstacked: Cc n v cho c sp xp theo thi gian mt cch ring bit theo tng bin (v d 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
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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

V d v d liu bng stacked

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

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

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

V d v d liu bng Unstacked

Quan sat 1935 1936 1937 1938 1939 1940 I GE 33,1 1170,6 45,0 2015,8 77,2 2803,3 44,6 2039,7 48,1 2256,2 74,4 2132,2 97,8 104,4 118,0 156,2 172,6 186,6 1935 1936 1937 1938 1939 1940 F1 C1 Quan sat I US 209,9 355,3 469,9 262,3 230,4 361,6 1362,4 1807,1 2673,3 1801,9 1957,3 2202,9
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F1

C1 53,8 50,5 118,1 260,2 312,7 254,2

Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

Cc loi d liu bng

D liu bng cn bng (balanced): khi cc n v cho c cng s quan st theo thi gian, phn ln cc d liu bng s c trnh by theo kiu ny D liu bng khng cn bng (unbalance): khi cac 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 (mt v d n gin) Cc n v cho c iu kin c th ging nhau Cc n v cho c iu kin c th khc nhau
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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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 nhn t 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

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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

Dng tng qut m hnh

Yit = 1it + 2itX2it + 3itX3it + uit Cc tip cn c lng m hnh tng qut

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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 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 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
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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

Tip cn tc ng c nh (tt)
Tt c cc h s bin i theo cc n v cho Tt c cc h s bin i theo cc n v cho v theo thi gian

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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
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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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 DurbinWatson = 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 + 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?

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Nguyen Trong Hoai

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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

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Nguyen Trong Hoai

10

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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

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Nguyen Trong Hoai

11

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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

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Nguyen Trong Hoai

12

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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
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Gi nh REM
Gi nh thng thng

i ~ N (0 ,
u it ~ N 0 ,

2 2 u

) )

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Nguyen Trong Hoai

13

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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 nm trong thnh phn ngu nhin i

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GLS l phng php c lng ECM

Do cu trc sai s ca tip cn ECM c tng quan vi nhau (AR) Nu c lng bng OLS th cc h s c lng s khng hiu qu (chch v phng sai khng nh nht)

2 corr ( w it , w is ) = 2 + u2
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Nguyen Trong Hoai

14

Fulbright Economics Teaching Program 2005 - 2006

Analytical Methods

Lecture note

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 ECM khi i v cc bin c lp c gi thit khng c mi quan h cht ch Cn c vo n v t: Judge

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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
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Nguyen Trong Hoai

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