HNG DN THC HNH EVIEWS

Bui 1: Yu cu
1. Cc thao tc c bn: nhp s liu t bn phm/ m tp s liu c sn/
/chnh sa s liu, tn bin/ lu gi file/ to bin mi t cc bin c sn/
xem cc thng k c bn ca s liu (matrn tng quan, gi tr trung
bnh, trung v, v.v)
2. Thc hin hi quy bng phng php OLS/ hiu v bit gii thch bn
bo co bao gm: h s c lng/ KTC, sai s chun, t s t v P-value/
h s xc nh
Thc hin:
Gii thiu cch m chng trnh Eviews/ mt s la chn chnh trn menu
Nhp s liu t bn phm: Cho tp s liu
Tiu dng: 12 15

18

14

16

20

Thu nhp: 15 20

25

20

18

30

Mt s thao tc c bn:
To Workfile trong Eviews
File New Workfile Ca s Workfile Range: chn dng s liu: structure
type:unstructured; observations: 6 O.K
Ca s Workfile
c
Ngm nh cho h s chn (0)
resid
Ngm nh l Phn d (ei) , mi khi thc hin hi quy my s t
update li gi tr ca cc phn d.
1. Nhp s liu theo 2 bin trn:
Cch 1: Trong g lnh: genr tieudung thunhap/ chn cc bin ny + nhy p chut/ g
s vo
Cch 2: Quick Empty Group => in tn bin v s liu vo
2. Chnh sa bin
Nu vo nhm v mun i tn: chn bin/ bm chut phi rename ( tn phi c g
lin nhau, khng nn qu 16 ch)
Nu mun sa s liu: chn bin+ p chut/ edit v thay gi tr cn sa
Thm bin mi:
Object New Objectseries / t tn bin mi O.K/ chn bin+ p chut/ nhp
gi tr
3. Lu gi file: File Save as : t tn file vi ui .wf
4. To bin mi:

1. Bin mi hon ton, chng hn vi tn ti sn:

g ca s lnh: genr taisan/ nhy p chut vo bin ny trong mn
hnh
workfile v nhp s liu vo
2. Bin to t cc bin c sn trong m hnh:
g ca s lnh: genr taisan2 = taisan^2; genr lnthunhap =log(thunhap),.. ( s
dng cc hm c sn trong Eviews to bin
mi)
5. Xem cc thng k c bn ca cc bin s:
a.

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

Quick group statistics Descriptive statistics

common sample/ trn ca s serial list g tn cc bin mun
xem xt

Thu nhp
50.20
41.65
113.80
10.80
31.60
0.48
1.70

ti sn
1323.07
965.35
3422.30
254.00
976.95
0.64
2.05

Jarque-Bera
Probability

15.78
0.00

15.51
0.00

Sum
Sum Sq.
Dev.

7328

193168

144762

138000000

146

146

Observation
s

gii thch ct 1
Trung bnh
Trung v
Ln nht
Nh nht
lch chun
H s bt i xng
nhn
Thng k J-B dng kim nh v tnh
chun ca bin
P-value tng ng cho thng k J-B
Tng cc gi tr ca bin
Tng bnh phng cc sai lch so vi gi tr
mean

S quan st

b. Tm ma trn phng sai-hip phng sai

Quick group statistics Covariances/ trn ca s serial list g tn cc bin mun
xem xt
c. Tm ma trn h s tng quan
Quick group statistics Correlations/ trn ca s serial list g tn cc bin mun
xem xt tng quan

6. M file s liu dng wf c sn

File New Workfile/ chn file mun m (hi quy bi)
I.

c lng v c kt qu c lng

1. Thc hin hi quy

M file s liu
Quick Estimate equation/ trn mn hnh tip theo g tn bin ph thuc trc, tip
theo l c v cc bin c lp, mi bin cch nhau 1 du cch
Nh m bo:
1. Chn phng php LS
2. Chn mu (nu khng ni g th s chn ton b mu c sn trong s liu)

2. c kt qu c lng:
1. Cc kt qu c lng c ph hp vi l thuyt khng?
2. Cc c lng ca 1; 2 ;..; k bng bao nhiu
3. Khi X2 tng 1 n v th trung bnh ca Y tng bao nhiu n v?
4. Gi tr ca 2 c thc s khc 0 khng?
5. Sai s chun ca c lng cho 2 l bao nhiu?
6. H s xc nh =? RSS = , lch chun mu ca hm hi quy =
7. Tm ma trn phng sai-hip phng sai ca cc h s c lng?
covariance matrix)

Bui 2:

(View

Yu cu: 1. Bit dng kim nh t xem h s trong hm hi quy tng th c bng 0 hay
khng
2. Bit cch dng kim nh Wald v gi tr ca h s hi quy - nhc hc vin
y l dng hi quy c iu kin rng buc/ hi quy thu hp
3. Bit thc hin hi quy ph kim tra a cng tuyn
4. Bit thc hin cc kim nh: White (c v khng c tch cho),
kim nh B-G, Ramsey-Reset, tnh chun ca SSNN
Thc hin: M file ch6bt6, thc hin c lng nh hc bui 1 thu c bng kt
qu mn hnh Equation
Dependent Variable: Q
Method: Least Squares
Date: 11/18/07 Time: 20:47
Sample (adjusted): 1 16
Included observations: 16 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
K
L

-22336.50
2615.988
6.117142

31041.66
424.8504
15.82129

-0.719565
6.157434
0.386640

0.4845
0.0000
0.7053

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.824510
0.797512
13459.40
2.36E+09
-173.1608
0.337815

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

98446.75
29910.63
22.02010
22.16496
30.53916
0.000012

1. Kim nh xem h s 3 c khc 0 hay khng? c t s t, c P-value

2. Kim nh xem c K v L u khng nh hng n Q? (c F-statistic, hoc P value
3. Kim nh xem 2 =2600?
View coefficient tests Wald restrictions
4. Kim tra a cng tuyn cao? Hi quy ph K theo L v h s chn
(Quick estimate equation g phng trnh mi bao gm: bin ph thuc l mt
bin gii thch v v phi l cc bin gii thch cn li v h s chn/ c ph hp ca

hm hi quy. Nu hm hi quy ph ny c ph hp: c hin tng a cng tuyn trong

m hnh gc)
View estimate equation/ g phng trnh: K c L , m hnh ny c ph hp khng?
kt lun nh th no v m hnh trong cu trn
3. Tha bin: Kim tra xem bin L c tha khng?
View Coefficient tests-> redundant variable/ g tn bin mun kim tra L
Bin L c tha khng?
4. Sau khi b bin L ra khi m hnh, c lng li Q theo C v K
Kim nh xem m hnh c PSSS thay i khng?
5. Kim nh xem m hnh c PSSS thay i khng? kim nh White
Trong ca s Equation: View residual testsWhite-heteroscedasticity
Trng hp 1: c tch cho: chn (cross terms)/ xem m hnh ph+cch c kt qu
Trng hp 2: khng c tch cho: chn (np cross-terms)/xem m hnh ph+cch c kt
qu
Nhc li cng thc tnh Khi-bnh phng = nx R2 ca hm hi quy ph
Kt lun ra sao?
6. Kim nh t tng quan: kim nh B-G- dng kim nh t tng quan dng tng
qut:
ut = 1ut-1+..+put-p+vt
Thc hin:
View residual testsserial correlation LM test/ chn bc tr:1 ( kim tra TTQ bc
1) hoc 2 kim tra TTQ bc 2
Gii thiu cch tnh gi tr ca Khi bnh phng =(n-p)R2
*) Tm c lng cho h s t tng quan bc nht:
C1: =1 d / 2 =?
C2: c lng phn d et theo et-1: trc ht to bin phandu
Proc make residual series/ t tn phandu

Quick estimate equation/ phandu phandu(-1) thu c

7. Hy ch ra mt cch khc phc TTQ bc nht ni trn

Q(-1) ; K* = K
K(-1), chy Q* theo K
*) Bin i bin: Q* = Q

8. Kim nh dng hm sai: Ramsey Reset: quay v m hnh Q c K

View stability tests Ramsey RESET test/ chn s bin mi s a vo (1 hoc 2)

9. Bin i bin lnQ=log(Q); lnK=log(K); lnL=log(L) v chy hm hi quy:
lnQ c lnK lnL, c kt qu

Bi tp: M tp s liu ch5bt5

1. Chy OLS Y theo X2, X3, X4 v h s chn.
2. Bin X2 c nh hng n Y khng?
3. Kt qu c lng c ph hp vi l thuyt kinh t khng?
4. Hm hi quy trn c ph hp khng?
5. Cc bin X2, X3, X4 gii thch c bao nhiu phn trm s bin i ca Y?
6. C du hiu nghi ng g v a cng tuyn trong m hnh khng?
7. Chy hi quy ph kim tra a cng tuyn, kt lun?
8. M hnh c khuyt tt PSSS thay i? T tng quan?
9. B bt bin (nn b bin no), c lng li vi m hnh mi
10. M hnh mi c PSSS thay i khng?
11. M hnh mi c TTQ bc 1 khng?
12. H s c lng ca h s tng quan l?

Bui 3

Ni dung:
1. M hnh c tr phn phi
2. Tnh tc ng ngn hn, di hn trong m hnh ng
3. c lng h phng trnh bng 2SLS
Thc hin
I. M hnh c tr phn phi: M tp s liu : ch9bt1, trong : M l cu danh ngha v
tin; IPD: ch s gim pht; Y: tng thu nhp quc gia theo gi danh ngha; NNI: thu
nhp dng.
Hi quy cc m hnh
M/IPD = 1 +2NNI/IPD +3NNI(-1)/IPD(-1) +u (1)
M/IPD = 1 +2NNI/IPD +3NNI(-1)/IPD(-1) + 4NNI(-2)/IPD(-2)+u (2)
a. M/IPD c ph thic vo cc gi tr tr ca NNI/IPD?
b. M hnh c khuyt tt a cng tuyn?
II. Tc ng ngn hn, di hn trong m hnh ng: M tp s liu : ch9bt1.
Gi s m hnh cu thc t ngn hn v tin sau c xy dng t m hnh hiu chnh
tng phn:
M/IPD = 1 +2Y/IPD +3M(-1)/IPD +u (3)
Kt qu c lng bng OLS:
Dependent Variable: M/IPD
Method: Least Squares
Date: 11/21/07 Time: 23:09
Sample (adjusted): 1949 1964
Included observations: 16 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
Y/IPD
M(-1)/IPD

-0.061004
14.71238
0.585735

0.020860
3.773938
0.164220

-2.924499
3.898417
3.566768

0.0118
0.0018
0.0034

a. Tnh h s hiu chnh trong m hnh hiu chnh tng phn: (1- 0.585)

b. Tnh tc ng ca thu nhp quc dn theo gi thc t ln cu tin trong ngn hn:
14.71
c. Tc ng ca thu nhp quc dn ln cu tin trong di hn: 14.71/(1-0.585)
III. Uc lng h phng trnh bng 2SLS
M tp s liu ch10bt14
M hnh cn bng th trng hng ha, ng IS: Y= 1+ 2*R+ 3*I+
U1 (4)
Kt qu c lng bng OLS:
Dependent Variable: Y
Method: Least Squares
Date: 11/21/07 Time: 23:42
Sample: 1959 1990
Included observations: 32
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R
I

197.0355
-42.11000
6.292901

105.2668
18.33679
0.197595

1.871773
-2.296477
31.84753

0.0714
0.0291
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.983960
0.982854
207.0662
1243416.
-214.4882
1.055802

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

2132.692
1581.342
13.59301
13.73043
889.4921
0.000000

a. c m hnh: h s UL ca I l 6.29:
b. Kim tra xem m hnh c t tng quan khng?
View residual tests serial correlation LM
Kt lun: m hnh c t tng quan.
M hnh trn khng ng c lp m cng trong h thng vi m hnh cn bng th
trng tin t, ng LM: R= 4+ 5*M+ 3*Y+ U2

(5)

Trong h (4)+(5) c I v M l bin ngoi sinh

c lng c h phng trnh bng 2SLS nh sau:
Trn ca s lnh g: system IS_LM ( = t tn cho h phng trnh l IS-LM)
Xut hin mn hnh ca system, g vo:

inst c m i ( khai bo bin cng c l c m i)

y = c(1) +c(2)*R +c(3)*I
R= c(4)+c(5)*M+c(6)*Y
Estimate two-stage-least Squares/ O.K
System: M1
Estimation Method: Two-Stage Least Squares
Date: 11/22/07 Time: 23:07
Sample: 1959 1990
Included observations: 32
Total system (balanced) observations 64

C(1)
C(2)
C(3)
C(4)
C(5)
C(6)

Coefficient

Std. Error

t-Statistic

Prob.

658.5370
-141.9612
7.041547
10.38851
-0.086402
0.013236

203.4192
39.59763
0.358999
1.079811
0.015291
0.002149

3.237339
-3.585095
19.61441
9.620673
-5.650438
6.159581

0.0020
0.0007
0.0000
0.0000
0.0000
0.0000

Determinant residual
covariance

157642.5

Equation: Y=C(1)+C(2)*R+C(3)*I
Instruments: C I M
Observations: 32
R-squared
0.967559 Mean dependent var
Adjusted Rsquared
0.965322 S.D. dependent var
S.E. of
regression
294.4783 Sum squared resid
DurbinWatson stat
0.711789
Equation: R=C(4)+C(5)*M+C(6)*Y
Instruments: C I M
Observations: 32
R-squared
0.722019 Mean dependent var
Adjusted Rsquared
0.702848 S.D. dependent var
S.E. of
regression
1.539269 Sum squared resid
DurbinWatson stat
0.641020

2132.692
1581.342
2514807.

7.294063
2.823746
68.71117

So snh cc h s c lng cho phng trnh (4) bng 2 phng php? Ti sao chng
rt khc nhau? (Gio vin hng dn: Khng thc hin kim nh Hausman, nhng c

thng bo vi hc vin l kim nh Hausman cho thy c tng quan gia bin gii
thch v ssnn trong h phng trnh hnh vi=> UL OLS l cc c lng chch v khng
vng).
Bi tp: m file ch3bt7.wf1.
Bin ni sinh: Q, P: lng v gi tht b
Bin ngoi sinh: PS: gi tht ln, PF: gi u vo, DI: thu nhp kh dng
Cho m hnh :
Hm cu: Pt = 11 + 12 Qt + 13 PS t + 14 DI t + U 1t
Hm cung: Qt = 21 + 22 Pt + 23 PF t + U 2t
1. Thc hin OLS cho phng trnh hm cu
Khi gi ca tht ln tng 1 n v th gi tht b tng ln bao nhiu n v?
Gi tht ln c nh hng n gi tht b khng?
Khi cu tht b tng th gi tht b c thay i khng?
2. Thc hin c lng bng phng php 2SLS
Khi gi tht ln tng 1 n v th gi tht b tng bao nhiu n v?
Khi cu tht b tng th gi tht b c thay i khng?
Khi gi tht ln tng 1 n v th trung bnh gi tht b tng bao nhiu n vi?
Khi ga tht b tng 1 n v th cung tht b tng ln bao nhiu n v?
(cc thy c nhc li cho hc vin cch c cc ch s trong bng OLS v cc gi tr:
R2; F-statistic, cch kim nh PSSS thay i v t tng quan)

Bui 4: M hnh vi bin ph thuc l bin cht: M hnh xc sut

tuyn tnh/ M hnh logit/ M hnh Probit
I. M tp s liu: ch11bt2
a. c lng bng m hnh logit: pi = exp(1+ 2Xi)/(1+exp(1+ 2Xi))
X: thu nhp (n v: triu ng); Y: =1 nu c xe ring; =0 nu khng c xe ring
Quick Estimate Logit , thu c
Variable
C
X

Coefficient
-6.552
0.381

Std.
Error
1.960
0.110

zStatistic
-3.343
3.454

Prob.
0.001
0.001

1. c lng ca h s 1 l: -6.552; ca 2 l: 0.381

2. Xc sut mt ngi c thu nhp 10triu/thng khng c xe ring:
+
X ) /[1 + exp(
+
X )]
i = exp(
p
1
2
i
1
2
i
= exp( 6.552 + 0.381 x10 ) /[1 + exp( 6.552 +0.381 x10 )] = 0.06

3. Nu thu nhp ngi tng thm 1 triu ng th xc sut tng thm:

= 0.06 (1 0.06 )0.381 = 0.02
i (1 p
i )
p
2

b. c lng bng m hnh Probit

pi = F( 1+ 2 Xi )

Variable
C
X

Coefficient
-3.571
0.209

Std.
Error
0.936
0.053

zStatistic
-3.817
3.940

Prob.
0.000
0.000

1. c lng ca h s 1 l: --3.571; ca 2 l: 0.209

2. Xc sut mt ngi c thu nhp 10triu/thng khng c xe ring l
i = F ( 3.571 + 0.209 x10 ) = F ( 1.48 ) = 0.07
p

3. Nu thu nhp ngi tng thm 1 triu th xc sut tng thm:

f ( 1 + 2 X ) 2 = f ( 1.48 ) x0.209 = ( 2 ) 0.5 exp[ (1.48 ) 2 / 2]x 0.209 = 0.028

II. Bi tp: m tp ch11bt1. Trong : Y=1 nu mt ngi l i lm bng phng tin

c nhn, =0 nu i bng phng tin cng cng. X: chnh lch gia thi gian i lm bng
phng tin cng cng so vi phng tin c nhn
1. Uc lng mhnh Y theo X c h s chn bng mhnh logit
2. c lng ca h s chn l:
3. Tnh xc sut mt ngi chn phng tin cng cng nu thi gian chnh lch ca
anh ta l X = 20
4. Nu cht lng phc v ca cc phng tin cng cng c ci tin, th hin qua
vic gim c thi gian l 1 pht th ti mc X = 20, kh nng la chn phng tin
cng cng thay i l
5. Thc hin cc iu 1-4 trn cho m hnh Probit
III. Cha bi tp bui trc
VI. n tp
M tp s liu: ch5bt6. Hi quy Y(sn lng) theo lao ng (L), vn (K) v h s chn:
Y = a1 +a2 L + a3 K + u
1. Khi vn tng 1 n v th trung bnh sn lng tng bao nhiu n v?
3. Cc c lng c ph hp vi l thuyt khng?
4. Vn c thc s nh hng n sn lng khng?
5. Hm hi quy c ph hp khng?
6. Bin vn v sn lng gii thch c bao nhiu phn trm s bin i trong sn
lng?
7. Dng hi quy ph kim tra xem trong m hnh c du hiu ca a cng tuyn
khng?
8. Dng kim nh White kim nh m hnh c hin tng PSSS thay i khng?
9. Gi tr ca thng k Khi-bnh phng trong kim nh trn l?
10. M hnh c hin tng t tng quan bc nht khng?
11. M hnh ng: Cho m hnh hiu chnh
Y*t = a + bXt+ ut
Trong Y l sn lng cn bng di hn, Xt l gi. Qu trnh hiu chnh:

Yt Yt 1 = (Yt * Yt 1 )

dn n m hnh t hi quy: Yt = 1 + 2Xt + 3Yt-1 +vt

C
Xt
Y(-1)
- Tm

0.002553
0.403818
0.236507

0.001229
0.056287
0.106048

h s hiu chnh

- Tc ng ngn hn ca X ln sn lng:
- Tc ng ca X ln sn lng cn bng di hn

2.076825
7.174307
2.230192

0.0482
0.0000
0.0349

Bui 5. Chui thi gian

I. San m khng c yu t thi v: M tp s liu ch12bt5

Y*t =

Yt+ (1-)(Y*t-1 + Tt-1 )

T*t = (Y*t-Y*t-1 )+ (1-)Tt-1

Nhy p chut vo bin y Procs Exponential smoothing Holt-winters- no
seasonal/ Ok
Forecast Series: YSM
Parameters:

Alpha
Beta
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:

0.1800
0.5501
122.6026
2.021572
Mean
Trend

104.8669
1.338392

Gii thch: alpha: hng s san trong phng trnh ca gi tr trung bnh, beta: hng s
san trong phng trnh ca gi tr xu th
Mean (104.8669): gi tr ca Y* ti thi im quan st cui cng
Trend (1.338392): gi tr Tn ( xu th ti quan st cui cng)
D bo: Y*n+h = Y*n + hTn vi h = 1, 2,...
Y*n+1 = 104.8669+ 1.338392
Y*n+10 = 104.8669+ 10* 1.338392
II. San m c yu t thi v: M tp s liu ch12bt4 (c 32 quan st)
Nhy p chut vo bin y Procs Exponential smoothing Holt-winters- no
seasonal/ Ok

Parameters:

Alpha
Beta
Gamma
Sum of Squared Residuals
Root Mean Squared Error

0.3300
0.5300
0.0000
0.142967
0.066841

End of Period Levels:

Mean
Trend
Seasonals: 1972M09
1972M10
1972M11
1972M12
1973M01
1973M02
1973M03
1973M04
1973M05
1973M06
1973M07
1973M08

1.665869
0.096199
0.632136
0.926388
0.747986
1.647470
0.690726
1.011925
0.721417
1.718887
0.601425
0.954923
0.751810
1.594908

Gii thch: Mean = y*32; Trend = T32; Seasonals: ch s thi v cho 12 thng cui tp
quan st (t quan st 21 n 32)
D bo
Y*32 = 1.67; T32 =0.1;s=12
F(32-11)=0.63;.;F(32-0) = 1.59
Cng thc
Y*n+1= (Y*n +1x Tn )F(n+1-12)
Y*n+12 = (Y*n +12x Tn )F(n+12-12)
Y*n+13 = (Y*n +13x Tn )F(n+12-2*12)=>
Y*32+1 = (Y*32 +1x T32 )F(32+1-12)
Y*32+12 = (Y*32 +12x T32 )F(32+12-12)