KINH T LNG

(Econometrics)

TI LIU THAM KHO

1. Essentials of Econometrics , Damodar N. Gujarati
Fifth edition, Mcgraw Hill, 2015.
2. Kinh t lng Nguyn Thnh C, NXB Kinh T
TPHCM, 2014 .
Software:
(Eviews)

http://phamthanhtri.wordpress.com
Slides:

CC MN HC LIN QUAN
1.
2.
3.

Kinh t hc (vi m + v m): m hnh cung cu,

IS-LM, CAPM, l thuyt tiu dng Keynes
Ton xc sut thng k: bin s ngu nhin, c
lng v kim nh tham s thng k.
Tin hc cn bn.

CHNG

TNG QUAN KINH T LNG

KHI NIM

Kinh t lng nh ngha mt cch ngn gn l

nh lng cc m hnh kinh t bao gm cc ni
dung chnh sau:
c lng, o lng cc mi quan h kinh t.
i chiu l thuyt kinh t vi thc tin, qua
kim nh s ph hp ca cc l thuyt kinh t.
D bo cc bin s kinh t.

V D

c lng, o lng cc mi quan h kinh t:

c lng quan h cung cu cc sn phm,
dch v.
c lng nh hng chi ph bn hng/qung
co n doanh thu v li nhun .
Tc ng chnh sch tin t v ti chnh n thu
nhp, lm pht ca nn kinh t 1 quc gia.

V D

Kim nh gi thuyt:
Mt doanh nghip mun xc nh chin dch
qung co c tc ng n doanh thu hay khng.
Cc nh kinh t quan tm nhu cu co gin hay
khng co gin theo gi v thu nhp.
Cc nh qun l v m mun nh gi hiu qu
cc chnh sch nh nc.

V D

D bo:
Cc cng ty d bo v doanh thu, li nhun, chi
ph v lng hng tn kho cn thit.
D bo cc ch s th trng chng khon v
gi cc loi c phiu.
D on t l lm pht, tht nghip v thm ht
cc cn thng mi.

CC LOI D LIU
1. D liu theo thi gian (time series data): l d liu
ca
mt bin s kinh t ti nhiu thi im.

CC LOI D LIU
2. D liu cho (cross data): l d liu ca nhiu bin s
kinh t ti cng mt thi im.
V d: s liu v cc ch s gi nm 2010
Nm 2010
Ch s gi tiu dng

101.5

Ch s gi vng

108.83

Ch s gi USD

102.25

CC LOI D LIU
3. D liu hn hp (panel data): l s kt hp ca hai
loi d liu trn.
V d: s liu v lng xut khu ti 3 quc gia

QUY TRNH XY DNG M HNH KINH T LNG

L thuyt
kinh t
M hnh
ton hc
M hnh
kinh t
lng
Thu thp d
liu

S dng m
hnh

c lng
cc tham s

Kim nh
m hnh

D bo,
quyt nh

CHNG

2
M HNH HI QUI HAI BIN

HI QUI

Phn tch hi qui l nghin cu s ph thuc

ca mt bin (bin ph thuc) vo mt hay
nhiu bin s khc (bin c lp).
Thut ng ny c a ra bi nh ton hc
ngi Php Francis Galton.
Lu : hi qui ch xt quan h thng k, khng
xt quan h hm s.

HM HI QUI TNG TH (PRF)

L hm hi qui c xy dng da trn s liu

ca tt c i tng cn nghin cu.

f (Xi ) E(Y | Xi ) 1 2Xi

t:

ui Yi E (Y | Xi )

Yi E(Y | Xi ) ui 1 2Xi ui
ui :

sai s ngu nhin (stochastic error)

V D MINH HA

V D MINH HA

V D MINH HA

HM HI QUI MU (SRF)

L hm hi qui c xy dng da trn mt

mu thng k c th.

Yi 1 2Xi
t:

ei Yi Yi

Yi 1 2Xi ei
ei :

sai s ngu nhin mu (sample stochastic error)

V D MINH HA

V D MINH HA

V D MINH HA

PHNG TRNH HM HI QUI MU

PHNG TRNH HM HI QUI MU

X
Y

n
.
XY

n
.
X

i i
2
i

1 Y 2X

PHNG TRNH HM HI QUI MU

V D 1
Bng s liu quan h doanh thu chi ph qung co:

a) Tm phng trnh ng hi qui tng ng.

b) Hy c lng t l tng doanh s ca ca hng nu tng ch
ph qung co ln 5%.

V D 2
Sn lng khai thc than 1 nh my c ghi nhn nh sau:
Nm

1988

1989

1990

1991

1992

60

61

64

65

66

1993 1994

1995

1996

70

72

(X)
Sn

66

69

lng
(Y)

V:

a)1000
Tm phng trnh ng hi qui tng ng.
tn

b) D on sn lng than c th khai thc c vo nm

2009?

PHNG SAI V SAI S CHUN

var(1)

( Xi 2 ).2

n( Xi nX )
2

var( 2 )
2
2
X

nX
i

(Yi Yi )

n 2

, se(2 ) var(2 )

2
2
2

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

2

, se(1) var(1)

n 2

H S TNG QUAN

(X X)(Y Y )
(X X) (Y Y )
i

ngha:
H s tng quan cho bit hng trong quan h
gia cc d liu v mi tng quan tuyn tnh
ca chng mnh hay yu.

 NGHA H S TNG QUAN

r0

 NGHA H S TNG QUAN

 NGHA H S TNG QUAN

0 r 1

1 r 0

H S XC NH

ESS
R

TSS
2

(Yi Y )

(
Y

Y
)
i

ngha: H s xc nh cho bit cc bin c lp gii

thch c bao nhiu phn trm s thay i ca bin ph
thuc.

C LNG CC H S HI QUI

t /2 : tra trong bng phn phi

Student

D BO TRUNG BNH C IU KIN

E(Y | X0 ) Y0 t /2.se(Y0 )
2

(
X

X
)
1
2
0
Var(Y0 ) .
2
2
n Xi nX

se(Y0 ) var(Y0 )

D BO GI TR RING BIT

Y0 Y0 t /2.se(Y0 Y0 )

(X0 X)
1
1
2
2
n Xi nX

Var(Y0 Y0 ) .

se(Y0 Y0 ) var(Y0 Y0 )

KIM NH S PH HP CA M HNH

H0 : R2 0

H1 : R 0
2

R (n 2)
Tnh: F
2
1 R
2

* F F (1,n 2) : ba
c bogiathuye
t H0
* F F (1,n 2) : cha
p nha
n giathuye
t H0

V D MINH HA 1
Quan st thu nhp (X USD/tun) v chi tiu (Y
USD/tun) ca 10 ngi, ngi ta thu c s liu sau:
X

31

50

47

45

39

50

35

40

45

50

29

42

38

30

29

41

23

36

42

48

a) Xc nh hm hi qui mu?
b) Nu ngha kinh t cc h s hi qui mu. Cc gi
tr c ph hp vi l thuyt kinh t?
c) Tm khong c lng ca cc h s hi qui tng
th vi tin cy 95%.

V D MINH HA 1
d) Kim nh gi thuyt:

H0 : 2 0

H1 : 2 0

vi mc ngha 5%

e) Tnh h s xc nh v nh gi mc ph hp ca
m hnh vi mc ngha 1%.
f) D bo chi tiu trung bnh ca ngi c mc thu
nhp 40USD/tun.

V D MINH HA 1
Dependent Variable: CHI_TIEU
Method: Least Squares
Date: 01/09/14 Time: 21:09
Sample: 1 10
Included observations: 10
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
THU_NHAP

-5.451933
0.954906

10.29763
0.235835

-0.529436
4.049049

0.6109
0.0037

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.672061
0.631069
4.737870
179.5793
-28.62954
16.39480
0.003689

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

35.80000
7.800285
6.125909
6.186426
6.059522
0.966790

V D MINH HA 2
Gi s c s liu v chi tiu (Y) mt hng A v thu
nhp (X) ca ngi tiu dng nh sau:
Y
(triu ng/thng)

0.1

0.15

0.18

0.2

0.25

X
(triu ng/thng)

1.5

2.5

a) Hy c lng m hnh hi qui tuyn tnh m t

quan h gia chi tiu v thu nhp ca ngi tiu
dng, nu ngha kinh t ca h s gc.
b) Tnh h s tng quan r v xt xem thu nhp c
nh hng n chi tiu mt hng A hay khng
vi mc ngha 1%.

V D MINH HA 2
c) Vit li phng trnh ng hi qui khi n v
tnh ca chi tiu l ng/thng v n v tnh ca
thu nhp l ngn ng/thng.
d) D on mc chi tiu trung bnh mt hng A khi
thu nhp l 3 triu ng/thng vi tin cy 99%.
e) Tnh h s co gin ca chi tiu i vi thu nhp ti
im (X,Y ) v nu ngha kinh t.

V D MINH HA 2
Dependent Variable: CHI_TIEU
Method: Least Squares
Date: 01/09/14 Time: 21:51
Sample: 1 5
Included observations: 5
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
THU_NHAP

0.072642
0.046981

0.017462
0.007189

4.160076
6.535306

0.0253
0.0073

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.934369
0.912492
0.016550
0.000822
14.68925
42.71022
0.007282

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.176000
0.055946
-5.075698
-5.231923
-5.494990
1.431666

V D MINH HA 3
Cho bng s liu m t mc huy ng vn (Y: triu
$/nm) v li sut tin gi (X: %/nm) vo nm 2000
ti cc n v tn dng trong thnh ph.
Y

11.9

9.4

7.5

4.0

11.3

6.3

2.2

10.3

7.6

7.2

3.1

1.6

4.8

5.1

2.0

6.6

4.4

S dng Eviews hi qui ta c kt qu nh sau:

V D MINH HA 3
Dependent Variable: Y
Method: Least Squares
Date: 01/10/14 Time: 10:00
Sample: 1 9
Included observations: 9
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X

1.648479
1.434631

1.708935
0.366219

0.964624
3.917413

0.3669
0.0058

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.686747
0.641996
1.962226
26.95232
-17.70625
15.34612
0.005768

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

7.833333
3.279482
4.379166
4.422994
4.284586
1.705571

V D MINH HA 3
a) Hy in vo cc cn thiu trong bng kt qu.
b) Tnh khong c lng cho cc h s hi qui v
cho bit ngha vi tin cy 90%.
c) Hy d bo mc huy ng vn trung bnh v mc
huy ng vn c bit nu li sut l 5% vi tin
cy 90%.

CHNG

3
M HNH HI QUI BI

HM HI QUI TNG TH V MU

E(Y | X2, X3) 1 2X2 3X3

Yi 1 2X2i 3X3i

PHNG TRNH HI QUI

Y1
1

Y2

Y , 2 , X
M

3
Y

1 X21 X31

1 X22 X32
M M M

1 X2n X3n

(X X) X Y
T

PHNG TRNH HI QUI

X X
T

2i

X
X

2i

3i

Y
X Y

X Y

X Y

2i i

X
X
X

3i i

3i

2i

2i

X
X
X

X3i

X
2i 3i
2

3i

V D MINH HA 1
Bng sau y cho s liu v doanh thu (Y), chi ph
qung co (X2) v tin lng nhn vin tip th (X3)
ca 12 cng ty t nhn (n v tnh: triu ng/thng)
Y

X2

X3

X2

X3

126

17

11

160

23

15

148

23

14

127

15

11

105

18

138

16

12

162

22

16

143

21

14

101

14

158

22

15

175

24

17

137

13

13

Vit phng trnh ng hi qui tng ng ?

H S XC NH C HIU CHNH

n 1
R 1 (1 R )

n k
2

k : soca
c hesotrong mohnh ho
i qui

V D MINH HA 2
Cho s liu v lng cu sn phm A l (Y) theo gi
ca n l (X2) v gi sn phm B (X3) nh sau:
Y

X2

X3

X2

X3

12

13

14

10

15

11

10

11

Trong : Y (t) ; X2(ngn ng/kg) ; X3 (ngn ng/kg)

V D MINH HA 2
Hi qui Y theo X2 ,X3 ta c kt qu nh sau:

Yi 10.821 1.116X2 0.511X3 ei (m hnh 1)

t (10.018)

(7.23)

(5.871)

R2 0.9932
a) Theo kt qu hi qui th A,B l 2 sn phm ph thuc
hay 2 sn phm thay th?
b) Tm khong tin cy 90% cho cc h s ca X2,X3?
c) Tm hm hi qui tuyn tnh mu Y theo X2 (m hnh 2)
d) M hnh no tt hn trong 2 m hnh trn?

CHNG

4
HI QUI VI BIN GI

BIN GI (DUMMY VARIABLES)

Bin nh lng: l bin m gi tr ca n l

nhng con s.
V d: chiu cao, doanh thu, li sut,
Bin nh tnh: l bin m gi tr ca n khng
th hin bng nhng con s.
V d: mu sc, gii tnh, tn gio,

BIN GI (DUMMY VARIABLES)

lng ha cc bin nh tnh trong phn tch

hi qui ngi ta dng bin gi.
Gi s: ta cn nghin cu tin lng ti 1 cty c b
nh hng bi gii tnh hay khng?
Gii tnh l bin nh tnh c lng ha bng
bin gi Di nh sau:
* Di = 1 : Nam
* Di = 0 : N

PHNG TRNH HI QUI

Hi qui vi mt bin nh lng v mt bin nh tnh
VD1: Cho s liu tnh hnh kinh doanh mt hng A ca
doanh nghip ABC nh sau:
Thng
1
2
3
4
5
6

X
2
4
5
3
6
7

Y
150
120
120
110
100
100

7
8
9
10

7
8
9
9

90
80
60
70

Z
1
1
1
0
1
0
0
1
0
0

Y: s lng (ci/thng)
X: gi bn (triu ng/ci)
Z: khuyn mi
Z=1: c khuyn mi
Z=0: khng c khuyn mi

PHNG TRNH HI QUI

Tnh ton hi qui bng phn mm Eviews 8.0 ta c kt qu nh
sau:

a) Vit phng trnh ng hi qui mu.

b) Nu ngha cc h s hi qui ca bin X,Z. Vit pt hi qui
khi c khuyn mi v khi khng c khuyn mi.
c) Xt xem yu t khuyn mi c tc ng n s lng bn
mt hng A?
d) Xc nh hm hi qui Y theo X. S dng hm ny d
bo s lng bn khi gi bn l 6.5 triu ng/ci vi
tin cy 95%.

PHNG TRNH HI QUI

Hi qui vi mt bin nh lng v mt bin nh tnh
VD2: Thu nh p
bc s theo thm nin (bin nh lng)
v ni cng tc (bin nh tnh) gm thnh ph, ng
bng v min ni.
Dng m hnh: Yi=1+ 2Xi + 3D1i + 4D2i + Ui
Vi: Yi : thu nh p (triu ng/nm)
Xi : thm nin (nm)
D1i = 1 cng tc thnh ph
D1i = 0 cng tc ni khc
D2i = 1 cng tc vng ng bng
D2i = 0 ni khc

CHNG

5
A CNG TUYN

KHI NIM A CNG TUYN

a cng tuyn l tn ti mi quan h tuyn tnh gia
mt s hoc tt c cc bin c lp trong m hnh.
C 2 loi a cng tuyn: hon ho v khng hon ho
Xt hm hi qui k bin:
Yi = 1+ 2X2i + + kXki + Ui
Nu tn ti cc s 2, 3,,k khng ng thi bng 0
sao cho:

KHI NIM A CNG TUYN

(1). a cng tuyn hon ho
2X2i + 3X3i ++ kXki = 0
(2). a cng tuyn khng hon ho
2X2i + 3X3i ++ kXki + Vi = 0
(Vi : sai s ngu nhin)

KHI NIM A CNG TUYN

Khng c hin tng a cng tuyn

KHI NIM A CNG TUYN

C hin tng a cng

tuyn

DU HIU NHN BIT A CNG TUYN

1. H s R2 ln nhng t s T nh (hoc p-value > 0,05).

2. H s tng quan cp gia cc bin gii thch (c lp)
cao.
3. S dng m hnh hi qui ph.
4. S dng nhn t phng i phng sai

BIN PHP KHC PHC A CNG TUYN

1. S dng thng tin tin nghim.

2. Loi tr bin gii thch ra khi m hnh.
3. Thu thp thm s liu hoc ly mu mi.
4. S dng sai phn cp 1.
5. Gim tng quan trong cc hm hi qui a thc.

V D
C cc bin: Y doanh s bn (triu USD); X2 chi ph
qung co (triu USD); X3 lng nhn vin (triu USD).
Hi quy mu vi n = 10, ta c:
2

Y 2,567 8, 789 X 2 5, 432 X 3 R 0,923

t 4,12 1, 234
rX 2 , X 3 0,954

2, 001

Xt xem m hnh c hin tng a cng tuyn? Kim nh

vi = 5%.
Nu c, hy ngh cch khc phc.

CHNG

6
PHNG SAI THAY I

PHNG SAI KHNG I

E(ui2 ) 2

PHNG SAI THAY I

E(ui2 ) i 2

L DO PHNG SAI THAY I

1. Do bn cht mi quan h kinh t.
2. Do vic tch ly kinh nghim t qu kh.
3. Do thu thp d liu cha chnh xc.
4. Do k thut thu thp, x l d liu c ci tin.
5. Do xc nh sai dng m hnh.

PHT HIN PHNG SAI THAY I

Phng php th phn tn:

PHT HIN PHNG SAI THAY I

Phng php kim nh White:
Xt m hnh : Yi = 1+ 2X2i + 3X3i + ui
Bc 1: c lng m hnh gc, tnh cc
Bc 2: Hi qui m hnh ph sau:

ui

ui 1 2X2i 3X3i 4X22i 5X32i 6X2i X3i vi

Bc 3: Tnh gi tr thng k nR2 trong n l c mu

v R2 l h s xc nh ca m hnh hi qui ph
bc 2.

PHT HIN PHNG SAI THAY I

Phng php kim nh White:
Bc 4: Tra bng phn phi chi bnh phng, mc
ngha v bc t do l k (k l s bin trong
m hnh hi qui ph).

nR

(
k
)
Bc 5: Nu
th kt lun phng sai thay
2

i.
Phng php ny thng c tin hnh bng phn mm
Eviews

V D 1
Bng s liu di y cho thy nhu cu n kem bnh qun u
ngi ti M (demand) ph thuc vo cc yu t nh: Income,
Price v Temp (nhit ngoi tri)
Obs

INCOM

DEMAN

PRICE

TEMP

0.27

41

D
0.386

E
78

79

0.282

56

0.374

81

0.277

63

0.393

80

0.28

68

0.425

76

0.272

69

0.406

78

0.262

65

0.344

82

0.275

61

0.327

79

0.267

47

0.288

76

0.265

32

0.269

10

79

0.277

24

0.256

Obs

INCOM
E

PRICE

TEMP

DEMAN
D

11

82

0.282

28

0.286

12

85

0.27

26

0.298

13

86

0.272

32

0.329

14

83

0.287

40

0.318

15

84

0.277

55

0.381

16

82

0.287

63

0.381

17

80

0.28

72

0.47

18

78

0.277

72

0.443

19

84

0.277

67

0.386

20

86

0.277

60

0.342

21

85

0.292

44

0.319

22

87

0.287

40

0.307

23

94

0.277

32

0.284

Obs

INCOM
E

PRICE

TEMP

DEMAN
D

27

94

0.265

41

0.376

28

96

0.265

52

0.416

29

91

0.268

64

0.437

30

90

0.26

71

0.548

Kim nh White bng phn mm Eviews ta c kt

qu nh sau:

Heteroskedasticity Test: White

F-statistic
Obs*R-squared
Scaled explained SS

1.659805
12.82684
10.49696

Prob. F(9,20)
Prob. Chi-Square(9)
Prob. Chi-Square(9)

nR 12.82684
2

2
0.05

(9) 16.919

0.1652
0.1706
0.3118

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/22/13 Time: 16:53
Sample: 1 30
Included observations: 30
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INCOME^2
INCOME*PRICE
INCOME*TEMP
INCOME
PRICE^2
PRICE*TEMP
PRICE
TEMP^2
TEMP

0.095560
-1.46E-05
0.007245
-1.01E-06
0.000540
0.757448
-0.003869
-0.958098
-5.55E-07
0.001230

0.465726
1.20E-05
0.008424
4.55E-06
0.003320
4.874070
0.003290
2.935590
1.80E-06
0.001129

0.205186
-1.214962
0.859972
-0.222206
0.162738
0.155404
-1.176202
-0.326373
-0.307876
1.089248

0.8395
0.2385
0.4000
0.8264
0.8724
0.8781
0.2533
0.7475
0.7614
0.2890

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.427561
0.169964
0.001608
5.17E-05
156.4914
1.659805
0.165229

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.001176
0.001765
-9.766091
-9.299025
-9.616672
1.760368

V D 2
Cho bng s liu sau:
Y

30

50

40

55

50

60

58

62

60

65

11

12

13

13

14

15

trong : Y l chi tiu mt hng A (100 ngn ng/thng)

X l thu nhp ngi tiu dng (triu ng/thng)
Z: gii tnh; Z=0 (nam); Z=1 (n)

V D 2
Hi qui Y theo X,Z bng Eviews ta c kt qu:
Dependent Variable: CHITIEU
Method: Least Squares
Date: 12/22/13 Time: 14:51
Sample: 1 10
Included observations: 10
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
THUNHAP
GIOITINH

13.10545
3.193939
8.883636

5.383313
0.472439
2.443928

2.434459
6.760539
3.634983

0.0451
0.0003
0.0083

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.903448
0.875862
3.838109
103.1176
-25.85581
32.74988
0.000280

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

53.00000
10.89342
5.771162
5.861937
5.671581
2.235416

V D 2
Kt qu kim nh White bng Eviews:
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS

2.373734
6.550519
1.432691

nR 6.550519
2

Prob. F(4,5)
Prob. Chi-Square(4)
Prob. Chi-Square(4)

2
0.05

k
0.1843
0.1616
0.8385

(4) 9.4877

Kt lun: M hnh hi qui khng xy ra hin tng

phng sai thay i.

CHNG

7
T TNG QUAN

KHI NIM
T tng quan l s tng quan gia cc thnh phn ca
chui cc quan st c sp xp theo th t thi gian
hoc khng gian, tc:

cov(ui ,uj ) 0, i j
Hin tng ny thng xy ra i vi d liu chui thi
gian.

BN CHT T TNG QUAN

Nu sai s ut ch tng quan vi ut-1 (sai s 1 k trc )
th ta c hin tng t tng quan bc nht c phng
trnh:

ut ut1 t
1 1: hesotng quan
t : sai songa
u nhie
n

BN CHT T TNG QUAN

Nu ut tng quan vi m k trc th ta c hin tng
t tng quan m vi phng trnh:

ut 1ut1 2ut2 L mutm t

MINH HA TH (T TNG QUAN)

MINH HA TH (KHNG T TNG QUAN)

PHT HIN T TNG QUAN

Phng php kim nh Durbin Watson:

H0 : 0

H1 : 0
Ch : phng php ny ch kim nh i vi t tng
quan bc nht.

CC BC KIM NH
Bc 1: Tnh gi tr d theo cng thc:
n

(u u
t 2

t1

ut
t1

Bc 2: Tra bng thng k Durbin Watson vi mc

ngha , c mu n v s bin c lp k tra dU , dL .

CC BC KIM NH
Bc 3: a ra quyt nh theo s sau:

T tng
quan

Khng
Khng
Khng c hin tng
quyt nh
quyt nh
tng quan
c
c

dL

dU

T tng
quan

4 dU 4 dL 4

V D 1
Dependent Variable: CHITIEU
Method: Least Squares
Date: 12/22/13 Time: 14:51
Sample: 1 10
Included observations: 10
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
THUNHAP
GIOITINH

13.10545
3.193939
8.883636

5.383313
0.472439
2.443928

2.434459
6.760539
3.634983

0.0451
0.0003
0.0083

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.903448
0.875862
3.838109
103.1176
-25.85581
32.74988
0.000280

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

53.00000
10.89342
5.771162
5.861937
5.671581
2.235416

V D 2
Dependent Variable: DEMAND
Method: Least Squares
Date: 12/22/13 Time: 22:36
Sample: 1 30
Included observations: 30
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INCOME
PRICE
TEMP

0.197315
0.003308
-1.044414
0.003458

0.270216
0.001171
0.834357
0.000446

0.730212
2.823722
-1.251759
7.762213

0.4718
0.0090
0.2218
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.718994
0.686570
0.036833
0.035273
58.61944
22.17489
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.359433
0.065791
-3.641296
-3.454469
-3.581528
1.021170

PHT HIN T TNG QUAN

Phng php kim nh Breusch Godfrey (BG):
Xt m hnh : Yt = 1+ 2Xt + ut

(1)

ut =1Ut-1+ 2Ut-2 ++ pUt-p+ t

t tha mn cc gi thit ca m hnh c in.
Cn kim nh H0 : 1=2==p=0 (khng c t tng quan)

u
Bc 1: c lng m hnh (1), tnh t
Bc 2: c lng m hnh sau, tnh R2 :
ut = 1+ 2Xt + 1ut-1+ 2ut-2 ++ put-p+ vt

PHT HIN T TNG QUAN

Phng php kim nh Breusch Godfrey:
Bc 3 : Nu (n-p)R2 > 2(p) th bc b H0, ngha l c hin tng
t tng quan.

Ch :

Kim nh BG p dng cho mu c kch thc ln.

p dng cho hin tng tng quan vi bc bt k.

V D
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

4.111588
4.237064

Prob. F(1,25)
Prob. Chi-Square(1)

oc ke
t quaho
i qui tre
n Eviews nh sau:
* p - value : cha
p nha
n H0
* p - value < : ba
c boH0

0.0534
0.0396

CHNG

8
LA CHN M HNH HI QUI

CC TIU CHUN LA CHN M HNH

Tnh n gin
Tnh ng nht
Tnh thch hp
Tnh nht qun
C kh nng d bo tt

CCH CHN LA M HNH TT

Bc 1: Xc nh s bin c lp trong m hnh.
Bc 2: Kim tra cc trng hp m hnh vi phm cc
gi thit OLS.
Bc 3: Chn dng hm da vo c s l thuyt kinh t
kt qu thc nghim v th biu din.
Bc 4: S dng mt s tiu chun nh log likelihood,
AIC hay SIC nh gi.

KIM NH BIN B B ST
Kim nh omitted variables:
Omitted Variables: X3
F-statistic
34.46941
Log likelihood ratio 17.79046

Probability
Probability

0.000617
0.000025

oc ke
t quaho
i qui tre
n Eviews nh sau:
* p - value : mohnh kho
ng boso
t bie
n
* p - value < : mohnh boso
t bie
n

KIM NH BIN B B ST
Kim nh RESET ca Ramsey:
Ramsey RESET Test:
F-statistic

9.221142 Probability

0.011314

Log likelihood
ratio

9.132501 Probability

0.002511

oc ke
t quaho
i qui tre
n Eviews nh sau:
* p - value : mohnh kho
ng boso
t bie
n
* p - value < : mohnh boso
t bie
n

KIM NH THA BIN

Kim nh Redundant variables:

oc ke
t quaho
i qui tre
n Eviews nh sau:
* p - value : th
a bie
n
* p - value < : kho
ng th
a bie
n

KIM NH THA BIN

Kim nh Wald:

KIM NH THA BIN

Kim nh Wald:

oc ke
t quaho
i qui tre
n Eviews nh sau:
* p - value : th
a bie
n
* p - value < : kho
ng th
a bie
n