TAI LIEU KINH TE LUONG

ON TAP MON KINH TE LNG 1. Ham hoi quy tuyen tnh (phng phap bnh phng be nhat OLS: Ordinary Least Squares) PRF: Yi = +Xi + ui. SRF: Y = + Xi (c lng) Tnh gia tr trung bnh mau (average value): n n Tnh he so hoi quy (Coefficient): = X =

Xi

va Y =

Yi

XiYi n. X .Y Xi n( X )
2 2

va = Y X

Tnh phng sai (Variance): n 1 n 1 Tnh o lech chuan (Standard Deviation): SDY =

2Y =

(Yi Y )

va 2 X =

( Xi X )

2 Y va SDX =

2X

Tnh ong phng sai hay hiep phng sai (Covariance): SXY = cov(X,Y) =
n 1 * ( Xi X )(Yi Y ) n 1 i =1

2. Tnh tong bnh phng o lech: TSS = ESS = RSS =

yi
yi ui

= = =

(Yi Y ) (Yi Y ) (Yi Yi)

Yi

n(Y ) 2

2 2 = xi

TSS = ESS + RSS Vi xi = Xi X va yi = Yi Y 3. Tnh he so xac nh R2: R2 = 1

2 2 RSS ESS xi = = TSS TSS yi 2

Vi 0<R2<1 R2=1 ng hoi quy thch hp (mc o hoan hao cua mo hnh) khi o phan d RSS=0
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=> Yi = Yi, i R2=0 => SRF(mo hnh hoi quy mau) khong thch hp RSS=TSS => Yi = Y i, i 4. He so tng quan: r (coefficient of Correlation) r=

Xi

XiYi nXY n ( X ) * Yi
2

n(Y ) 2

Vi xi = Xi X va yi = Yi Y Ta co the viet: r = r cung dau vi

xi. yi xi yi
2

= R2

5. Tnh khoang tin cay he so: Bc 1: Xac nh khoang tin cay 95% (hoac 90%) e tm mc y ngha =5% (hoac 10%). Tnh /2 = 0.025. Tnh gia tr t tra bang t-student vi phan v /2 va bac t do df=n-k-1 Bc 2: Xac nh phng sai PRF 2 = RSS n k 1

Bc 3: Xac nh sai so chuan (standard error) cua tng he so. se( ) =

Xi * n * xi
2

Vi xi = Xi X

se ( ) =

2 xi 2

Bc 4: So sanh va tnh khoang tin cay. ( ( ( tn/2k 1) * se( ) hoac tn/2k 1) * se( ) < < + tn/2k 1) * se( ) n k t 2 1 * se( ) hoac / n n t k 1 * se( ) < < + t k 1 * se( ) /2 /2

6. Khoang tin cay cua phng sai: Bc 1: Xac nh khoang tin cay 95% (hoac 90%) e tm mc y ngha =5% (hoac 10%). Tnh phan v /2 = 0.025 va 1-/2=0.975. Tra bang phan phoi Chi-square vi 2 phan v /2 va 1-/2 ng vi bac t do df=n-k-1
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2 X / 2 (df ) va X 12 / 2 (df )

(n k 1) 2 (n k 1) 2 2 = ; 2 Bc 2: nh khoang tin cay phng sai 2 X 1 / 2 (df ) X / 2 (df ) 7. Kiem nh he so hoi quy: Bc 1: at gia thiet Ho: =0 va H1: #0 vi mc y ngha =5% (thong thng) Bc 2: Ap dung 1 trong cac cach sau: Cach 1: Phng phap khoang tin cay ( ( 2 Kiem nh 2 pha: [ tn/2) * se( ); + tn/2 ) * se( )] 2

Neu o khong ri vao khoang nay th bac bo gia thiet Ho. ( Kiem nh pha phai: [ tn/22 ) * se( );+]

Neu o khong ri vao khoang nay th bac bo gia thiet Ho. (/ Kiem nh pha trai: [ ; + tn22 ) * se( )]

Neu o khong ri vao khoang nay th bac bo gia thiet Ho. Cach 2: Phng phap gia tr ti han Bc 1: Tnh t 0 = 0 se ( )

Bc 2: Tra bang vi mc y ngha /2 va (/2 oi vi kiem nh 2 pha va oi vi kiem nh 1 pha). Tra

n2 n2 bang t-student: t / 2 va t

Bc 3: So sanh t0 vi gia tr ti han.

n2 Kiem nh 2 pha: o t / 2 : bac bo gia thiet Ho. t >

n2 Kiem nh pha phai: o t : bac bo gia thiet Ho. t >

n2 Kiem nh pha trai: o - t : bac bo gia thiet Ho. t <

Cach 3: Phng phap gia tr p-value Bc 1: Tnh gia tr t 0 = 0 se ( )

Bc 2: Tnh p-value = P( to) t>

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Bc 3: So sanh vi mc y ngha =5% Kiem nh 2 pha: p-value <: bac bo gia thiet Ho. Kiem nh 1 pha: p-value/2 <: bac bo gia thiet Ho. 8. Kiem nh s phu hp cua mo hnh (F0): - R2 cang gan 1, mo hnh hoi quy cang co y ngha. Do o, anh gia xem gia tr R2>0 co y ngha thong ke hay khong. - oi vi mo hnh hoi quy 2 bien, gia thiet Ho con co y ngha bien oc lap khong anh hng en bien phu thuoc Y . - Kiem nh bang phng phap gia tr ti han. Bc 1: at gia thiet Ho: R2=0 ~~=0 va H1: R2>0 ESS / 1 R 2 ( n 2) Bc 2: tnh Fo = = RSS /( n 2) 1 R2 Bc 3: So sanh ket qua vi =5%. Tra bang F vi mc y ngha va 2 bac t do (1,n-2) ta tnh c gia tr ti han F(1,n-2). So sanh Fo va F(1,n-2) Neu Fo> F(1,n-2) : bac bo gia thiet Ho Neu Fo< F(1,n-2): chap nhan gia thiet Ho.

9. oc hieu bang ket qua hoi quy tren phan mem Excel:
Regression Statistics Multiple R R-Square (R2) he so R co the nhan oi he so xac nh R2

R2 =

ESS TSS RSS n k df

MS(EMS) ESS/df F =

Ajusted R Square (r he so tng quan r ) Standard Error () Sai so chuan cua PRF

r=1-[1-R2]*(n-1/n-k1)

2 =

Observation ANOVA Regression(ESS)

so quan sat df(bac t do) SS (ESS) ESS

(trungbnh phan g.thch)

ESS / df RSS / df

Residual (RSS)

RSS

RSS/df
(t.bnh phan khg g.thch)

Total (TSS)

TSS=ESS+RS TSS TMS=EMS+RMS S Coefficient standard t-stat p-value error He so hoi sai so t- thong ke gia tr P quy chuan (hoi quy) 4-thanh trn

lower 95% o tin cay (di) upper 95% o tin cay (tren)

TAI LIEU KINH TE LUONG Intercept Variable 1 (bien 1) 2 Variable 1 (bien 2) 3

se( ) se( )

2 0 se( )
2

se( 3 )

t =

3 0 se( )
3

10. oc hieu bang ket qua hoi quy tren phan mem Eviews:
Dependent Variable: CM Method: Least Squares Date: 08/18/07 Time: 21:46 Sample: 1 64 Included observations: 64 Variable Bin trong m hnh C PGNP t-Statistic Thng k t Prob. Gi tr P

Coefficient H s HQ

S quan st Std. Error Sai s chun

=263.6416 =-0.005647
2

se( ) =11.59318 se( ) =0.002003

2

t= (Y )

2 0 se( 2 )
141.5
2

R-squared (R2)h s xc nh Adjusted R-squared (Radj)or

0.707665 Mean dependent var 0.698081 S.D. dependent var

(Yi Y )
n 1

75.97807

S.E. of regression ( ) PRF) Sum squared resid (RSS) Log likelihood (L) Durbin-Watson stat (DW)

41.7478 Akaike info criterion (AIC) 106315.6 Schwarz criterion (SC) -328.1012 F-statistic Gi tr thng k F 2.186159 Prob(F-statistic) =P(phn phi F>Fo)

10.34691 10.44811 73.83254 0.000000

11. Viet phng trnh hoi quy. Can c vao ket qua hoi quy co trong bang, ta co the viet lai phng trnh hoi quy mau nh sau: SRF: Y = + 2 Xi (c lng) 12. Trnh bay ket qua hoi quy: Y = + 2 Xi se( ) =? t= 0 se( ) se( 2 ) =? t= 2 0 se( 2 )
2

n= ? (so quan sat)

R2=?

Fo=?

p-value(SRF) =? TSS=? ESS=? RSS=?

P-value (PRF) (PRF)=?

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13. Y ngha he so hoi quy: oi vi dang ham: Y = + 2 Xi (he so hoi quy , co y ngha la he so o doc) oi vi dang ham log Y = + 2 logXi (he so hoi quy , co y ngha la he so co gian) oi vi dang ham co bien gia: he so hoi quy theo bien gia co y ngha la he so cat.

14. Y ngha R2, F, DW.

2 R : R = 1 2 2 2 RSS ESS xi = = (Vi 0<R2<1) TSS TSS yi 2

R2=1 ng hoi quy thch hp (mc o hoan hao cua mo hnh) khi o phan d RSS=0 => Yi = Yi, i

R2=0 => SRF(mo hnh hoi quy mau) khong thch hp RSS=TSS => Yi = Y i, i

F: Gia tr thong ke F-stat = EMS/RMS (cang ln cang tot, chng to phan d RSS nho, mo hnh phu hp). Durbin Waston stat (phng phap OLS): Sau khi xuat ket qua hoi quy, tm phan d ei va tao bien tre phan d ei-k: oc lap. DW =

(e e e
i

i k 2 i

)2

vi k=1

(Dung e kiem nh mo hnh co hay khong co tng quan gia cac bien) AIC: cang nho cang tot. Quan he gia R2 va R2adj: R2 =1 => R2adj =1 R2 =0 => R2adj <0 (R ieu chnh co the am)

15. Quan he gia R2 va F, R2 va ESS, RSS. ESS / 1 R 2 ( n 2) Fo = = 2 RSS /( n 2) 1 R

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Quan he gia F va R2 nh sau: F = cang cao, F cang cao.

ESS / k R2 / k = R2 RSS / n k 1 (1 R 2 ) / n k 1

2 2 RSS ESS xi R = 1 = = (o lngmc o phu hp cua mo TSS TSS yi 2 2

hnh, da tren 2 bien chon va mo hnh tuyen tnh) RSS /( n k ) (TSS ESS ) /( n k ) n 1 2 R2adj = 1 =1 =1 (1 R ) * dung cho cac TSS /( n 1) TSS /( n 1) nk mo hnh hoi quy co cac bien giai thch khac nhau (xem mc o thch hp cua bien)

16. Kiem nh gia thiet ong thi (kiem nh s phu hp cua mo hnh hoi quy a bien): Bc 1: at gia thiet: Ho: R2=0 ~ Ho: 1=2=0 (y ngha: cac bien oc lap ong thi khong anh hng en bien phu thuoc hay noi cach khac: ham hoi quy mau khong phu hp) H1: R2>0 ~ H1: co t nhat mot #0. Bc 2: Tnh gia tr F ESS /( k 1) R 2 (n k ) F= = ~ F (k 1, n k ) RSS /( n k ) (1 R 2 )(k 1) Bc 3: Tra bang F vi mc y ngha =5% (thong thng) va phan v F(k-1,n-k). Bc 4: So sanh ket qua gia tr F trong bang ket qua hoi quy (F-statistic) vi F tra bang. Kiem nh bang phng phap gia tr ti han: Fo> F(k-1,n-k) : bac bo gia thiet Ho Kiem nh bang mc y ngha : p-value =P(F>Fo)< : bac bo gia thiet Ho Note: Fo cang cao th kha nang bac bo gia thiet Ho cang ln.

17. Kiem nh Wald Test. Y ngha: xem xet co nen a them bien mi vao mo hnh hay khong? Xet 2 mo hnh: Mo hnh rang buoc (UR-unrestricted model): Y=0+1X1++m-1Xm-1+ +k-1Xk-1+ui. Mo hnh rang buoc (R restricted model) : Y=0+1X1++m-1Xm-1+ui. Kiem nh bang thong ke F: Bc 1: c lng mo hnh UR vi k tham so, lu ket qua
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cua RSSUR co df=n-k c lng mo hnh R vi m tham so, lu ket qua cua RSSR co df=n-m. Trong o: m la so rang buoc =k1-k2 k2 la so bien giai thch trong mo hnh R k1 la so bien giai thch trong mo hnh UR Bc 2: Tra bang F vi mc y ngha =5% (thong thng) va F(k-m,n-k). 2 2 ( RSS R RSSUR ) /( k m) ( RUR R R ) /( k m) = Tnh Ftt = 2 RSSUR /( n k ) (1 RUR ) /( n k ) Bc 3: So sanh F tnh toan vi F tra bang. Ftt > F(k-m,n-k) : bac bo gia thiet Ho (nen a bien vao mo hnh) Ftt < F(k-m,n-k) : chap nhan gia thiet Ho (khong nen a bien vao mo hnh)

18. Kiem nh Chow Test: Y ngha: Xem trong chuoi d lieu co khac nhau g ve cau truc khong? Neu khac tach thanh cac mo hnh khac nhau. Neu giong ch dung mot mo hnh. Y tng: co nen tach rieng hay e chung mo hnh. Thc hien: Bc 1: c lng 3 mo hnh (1) Y=1+2X+v1. trong giai oan au co n1 quan sat (VD: 1997~1990) Tnh RSS1 vi df=n1-k (2) Y=1+2X+v2. trong giai oan sau co n2 quan sat (VD: 1991~1998) Tnh RSS2 vi df=n2-k (k la tham so cua mo hnh hoi quy) at RSSU=RSS1+RSS2 vi bac t do df=n1+n2-2k (1) c lng mo hnh chung Y= 1+ 2X+u vi so quan sat n=n1+n2 Tnh RSSR vi df=n-k ( RSS R RSSUR ) / k Bc 2: Tnh gia tr cua F-statistic Ftt = RSSUR /( n 2k ) Bc 3: Kiem nh Gia thiet: Ho: hai hoi quy cua 2 thi ky nh nhau Gia thiet H1: hai hoi quy khac nhau. Ftt > F(k,n-2k) : bac bo gia thiet Ho
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Ftt < F(k,n-2k) : chap nhan gia thiet Ho 19. Xac nh bien gia; Cach tao bien gia: oi vi d lieu cheo, bien gia co the theo giai oan D=0 : giai oan 1 D=1: giai oan 2 Bang Eviews: Cach 1: nhap gia tr 0,1 vao cac quan sat tng ng. Cach 2: * tao bien xu the Eviews/genr/tt=@trend(moc cuoi giai oan1) * tao bien gia da tren bien xu the, Eviews/genr/DUM=tt>so quan sat. oi vi 2 thuoc tnh: D=1 (thuoc tnh troi), phan con lai D=0 (bien khong co trong mo hnh) oi vi nhieu thuoc tnh, so bien gia = so thuoc tnh -1. So sanh cac thuoc tnh khac vi thuoc tnh c s. Tnh % khac biet cua bien gia bang cach lay 1-antilog Kiem nh: Phng phap khoang tin cay (lien he phan tnh khoang tnh cay) Phng phap mc y ngha: (lien he kiem nh bang gia tr pvalue vi mc y ngha) Phng phap nen hay khong a bien vao mo hnh (kiem nh bang thong ke F) Note: Ta can chu y en mo hnh hoi quy trc vao sau khi co bien gia e anh gia. Khi a bien gia vao mo hnh, cac he so hoi quy co y ngha (R2,t-stat va p-value) se cho ta nhan nh ung hn ve mo hnh. Khi o mi ket luan mo hnh phu hp hay khong. 20. Phat hien phng sai thay oi Phat hien: e phat hien phng sai cua nhieu co thay oi hay khong, ngi ta thng dung cong cu chan oan phan d Ui (co the co ket qua ang tin cay). Trong d lieu cheo do lay mau rat rong, de xay ra phng sai thay oi. Phan tch phan d Ui, va ve o th phan d theo bien oc lap bat ky, ta co dang hnh phan tan eu va ong nhat.
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Kiem nh Park test Bc 1: Hoi quy mo hnh, lu so lieu phan d (resid trong bang bien tai phan mem Eviews). Mo hnh (1): Yi=1+2Xi+Ui Bc 2: c lng mo hnh phan d theo bien oc lap. Mo hnh (2): lnU^i= 1+2Xi+Vi. Bc 3: at gia thiet: Ho: 2=0 (phng sai khong oi) H1: 2 #0 (phng sai thay oi) Kiem nh bang t-stat. Kiem nh Glejsei test Bc 1: Hoi quy mo hnh, lu so lieu phan d (resid trong bang bien tai phan mem Eviews). Mo hnh (1): Yi=1+2Xi+Ui Bc 2: c lng mo hnh phan d theo bien oc lap. Mo hnh (2) co 1 trong cac dang sau : 1 Ui = 1 + 2 Xi + Vi hoac Ui = 1 + 2 + Vi Xi 1 Ui = 1 + 2 + Vi hoac Ui = 1 + 2 Xi + Vi Xi Bc 3: at gia thiet: Ho: 2=0 (phng sai khong oi) H1: 2 #0 (phng sai thay oi) Kiem nh bang t-stat. Kiem nh White test: Bc 1: Hoi quy mo hnh, lu so lieu phan d (resid trong bang bien tai phan mem Eviews). Mo hnh (1): Yi=0+1X1i+2X2i +Ui Bc 2: c lng mo hnh phu bang thao tac Eviews (View/Residual Tests/White Heteroscedasticity) thu c R2. Sau o ta tnh Xtt=n* R2 (trong o n la so quan sat) Bc 3: at gia thiet: Ho: 1=2=3 = 4 = 0 (phng sai khong oi) H1: 1=2=3 = 4 #0 (phng sai thay oi) Bc 4: Kiem nh va so sanh,
2 Tra bang Chi-square X ( df ) vi mc y ngha

Neu Xtt=n* R2 > Xtt=n* R2 : bac bo gia thiet.

21. Phat hien t tng quan bang kiem nh Durbin Waston

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Phat hien: can c vao o th Scatter cua phan d Ui vi bien tre Ui-1. -o th co dang ngau nhien th khong co s tng quan. - o th co dang he thong th nhan nh co s tng quan xay ra. Thc hien kiem nh bang Durbin Waston Bc 1: c lng mo hnh hoi quy goc. Lu gia tr phan d Ui va tao bien tre Ui-1. Bc 2: Tnh gia tr = U U
i =2 t n i =1 n t 1

U t2
t

vi 1 1

Hoac tnh gia tr d =

(U
t =2

U t 1 ) 2
2 t

U
t =1

2(1 ) vi 0 d 4

Bc 3: Kiem nh va so sanh Tra bang thong ke Durbin Waston cho ta cac gia tr ti han dU va dL vi mc y ngha , so quan sat n, va so bien oc lap k. So sanh: * d (0,dL): t tng quan dng * d (dL,dU): khong quyet nh c * d (dU,2): khong co tng quan bac nhat. * d (2,4-dU): khong co tng quan bac nhat. * d (4-dU, 4-dL): khong quyet nh c * d (4-dL, 4): t tng quan am

22. Phat hien a cong tuyen Phat hien: R2 cao nh t-stat thap (khong co y ngha p-value co gia tr cao) He so tng quan cap gia cac bien giai thch cao, khoang 0.8 Thc hien kiem nh va xac nh a cong tuyen: Bc 1: Xet he so tng quan gia 2 bien (co a cong tuyen) Neu he so tng quan gan bang 1 (a cong tuyen gan nh hoan hao), Neu he so tng quan < 0.8 (a cong tuyen khong hoan hao).
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Bc 2: Hoi quy Y theo tng bien oc lap X1, X2. Ta co 2 mo hnh (1): Y^1= + 1X1 lu ket qua R2, p-value (xem co hay khong y ngha thong ke) (2): Y^2=+2X2 lu ket qua R2, p-value (xem co hay khong y ngha thong ke) Bc 3: Hoi quy mo hnh phu 2 bien co a cong tuyen (3) X^2= + 1X1 lu ket qua R2, p-value (xem co hay khong y ngha thong ke) Bc 4: at gia thiet: Ho: khong co a cong tuyen H1: co a cong tuyen Kiem nh bang thong ke F: 2 R2 /( k 2) F2 = 2 (1 R2 ) /( n k + 1) Tnh F tra bang vi mc y ngha , F(k-2,n-k+1) So sanh: F2 > F(k-2,n-k+1): bac bo gia thiet. F2 < F(k-2,n-k+1): chap nhan gia thiet.

Thc hien kiem nh va bo bt bien. Bc 1: Xet he so tng quan gia 2 bien (co a cong tuyen) Neu he so tng quan gan bang 1 (a cong tuyen gan nh hoan hao), Neu he so tng quan < 0.8 (a cong tuyen khong hoan hao). Bc 2: Hoi quy Y theo tng bien oc lap X1, X2. Ta co 2 mo hnh (1): Y^1= + 1X1 lu ket qua R2, p-value (xem co hay khong y ngha thong ke) (2): Y^2=+2X2 lu ket qua R2, p-value (xem co hay khong y ngha thong ke) Bc 3: Kiem nh Xet p-value cua X1 va p-value cua X2 trong ket qua hoi quy. p-value (X1) > p-value (X2): mo hnh hoi quy Y theo X1 co mc o phu hp cao hn mo hnh hoi quy Y theo X2. Do o loai bo bien X2.

23. Cach khac phuc cac loai benh (phng sai thay oi, t tng quan, a cong tuyen) Cach khac phuc a cong tuyen: Bo bien ra khoi mo hnh, sau o hoi quy lai mo hnh
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khong bao gom bien can loai bo. anh gia gia tr R2, tstat va p-value xem co y ngha thong ke khong. Can c vao ket qua earnings (he so ang tin cay cho trc). Sau o xac nh mo hnh hoi quy phu theo he so cho trc. anh gia gia tr R2, t-stat va p-value cua mo hnh hoi quy phu xem co y ngha thong ke khong. Them d lieu cho mo hnh, tuy nhien cach thc nay ton kem chi ph nen t c thc hien. Cach khac phuc phng sai thay oi: Biet phng sai 2 Khong biet phng sai 2: Bc 1: c lng phng trnh (1): Yi=b1+b2Xi+ui Bc 2: Ve o th phan d ui theo Xi. anh gia xem phng sai nhieu co hay khong ty le thuan vi bien giai thch . Bc 3: Chia 2 ve cua phng trnh hoi quy (1) cho can bac 2 cua bien giai thch. b b Yi Xi ui Yi = 1 + b2 + = 1 + b2 Xi + vi (2) <=> Xi Xi Xi Xi Xi Xi chuyen thanh dang phng trnh khong co he so cat. Bc 4: So sanh mo hnh (1) va (2) qua so lieu hoi quy R2, tstat va p-value va anh gia mo hnh. Cach khac phuc t tng quan: Trng hp biet cau truc cua tng quan Trng hp cha biet cau truc cua tng quan Cach 1: c lng bang thong ke d Cach 2: Phng phap Durbin Waston 2 bc (sach KTL-trang 171)

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