giasutre.edu.vn_bÁo cÁo thỰc hÀnh kinh tẾ lƯỢng gdp-ex-im
TRANSCRIPT
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Bo co thc hnh Kinh t lng
BO CO THC HNH KINH T LNG
Ta c bng s liu m t mi quan h gia GDP vi xut khu EX v
nhp khu IM nh sau: n v: T USD
Nm GDP EX IM1993 9.11 2.985 3.9241994 11.89 4.0543 5.8261995 15.26 5.45 8.15541996 18.14 7.256 11.1436
1997 20.9 9.185 11.61998 24.06 9.36 11.51999 26.65 11.54 11.742000 29.43 14.48 15.642001 32.17 15.03 16.162002 35.71 16.7 19.732003 40.9 20.15 25.2562004 47.7 26.5 31.9542005 53.86 32.233 36.88
Ngun s liu: Thi bo Kinh t Vit Nam.
www.vneconomy.com.vn
1. Lp m hnh hi qui m t mi quan h ca GDP theo EX v IM.
c lng m hnh ban u ta c m hnh hi qui:
GDPi = 1 + iEX2 + iIM3 + ei
2. c lng m hnh hi qui vi cc s liu thu thp c bng phn mm
Eviews.
Hi qui m hnh trn bng phn mm Eviews ta thu c kt qu c lng
sau:
SV: L Mnh Linh Lp: K43/05.011
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Bo co 1
Dependent Variable: GDP
Method: Least Squares
Date: 11/16/07 Time: 13:43
Sample: 1993 2005Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
EX 1.682714 0.546636 3.078306 0.0117
IM -0.118591 0.052824 -2.245824 0.8108
C 7.343842 1.229025 5.975339 0.0001
R-squared 0.979307 Mean dependent var 28.07462
Adjusted R-squared 0.975168 S.D. dependent var 13.71693
S.E. of regression 2.161523 Akaike info criterion 4.578677Sum squared resid 46.72181 Schwarz criterion 4.709050
Log likelihood -26.76140 F-statistic 236.6271
Durbin-Watson stat 0.962753 Prob(F-statistic) 0.000000
Da vo bng trn ta c kt qu hm hi qui GDPtheoEX(xut khu)
vIM(nhp khu) nh sau:
GDPi = 7.343842 + 1.682714. EXi 0.118591. IMi (1)
*T kt qu trn ta thy- Nu xut khu (EX) tng ln 1 t ng th GDP tng ln 1.682714 t
ng trong iu kin nhp khu ( IM ) khng i.
- Nu nhp khu (IM) tng 1 t ng th GDP gim 0.118591 t ng vi
diu kin xut khu (EX) khng thay i.
- Hai bin EX v IM gii thch c 97, 9307 % s bin ng ca GDP
- 2 >0 v 3 T/2(n-3)}
Theo bng Eviews trn ta c Tqs 2 = 3.078306 > T/2(n-3) = T0.02510 = 2.228
Vy bc b H0 , chp nhn H1,xut khu c nh hng ti GDP.
+Kim nh 3 :H0: 3 = 0
SV: L Mnh Linh Lp: K43/05.012
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H1: 3 0
Vi min bc b l W = {T \ | Tqs|> T/2(n-3)}
Theo bng Eviews trn ta c | Tqs 3| = 2.245824 > T/2(n-3) = T0.02510 = 2.228
Vy bc b H0 , chp nhn H1, nhp khu c nh hng ti GDP.3. Kim nh cc khuyt tt ca m hnh c lng bng phn
mm Eviews.
3.1 Pht hin a cng tuyn.
*Hi qui EX theo IM:
Hm hi quy: EX = 1 + 2.IM
Bo co 2
Dependent Variable: EX
Method: Least Squares
Date: 11/16/07 Time: 13:13
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
IM 0.875006 0.034674 25.23530 0.0000
C -0.646030 0.649313 -0.994944 0.3411
R-squared 0.983020 Mean dependent var 13.45564
Adjusted R-squared 0.981476 S.D. dependent var 8.759949
S.E. of regression 1.192243 Akaike info criterion 3.330189
Sum squared resid 15.63588 Schwarz criterion 3.417104
Log likelihood -19.64623 F-statistic 636.8204
Durbin-Watson stat 0.910640 Prob(F-statistic) 0.000000
Ta thu c 22R = 0.98302
- Kim nh cp gi thuyt:
H0: M hnh (1) khng c a cng tuyn
H1: M hnh (1) c a cng tuyn
- Tiu chun kim nh: Ta s dng tiu chun kim nh F - kim nh s ph
hp ca hm hi qui.
F=)1/()1(
)2/(22
22
+
knR
kR~ F(k-2; n-k+1)
- Min bc b gi thuyt1;2: +>= knkqsqs FFFW
SV: L Mnh Linh Lp: K43/05.013
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Da vo bng trn ta thy, gi tr Fqs = 836.8204
Ta thy Fqs > F0.05 => Fqs(1,11) = 4,64 => Bc b H0, chp nhn H1
Vy, vi mc ngha =0.05 m hnh cho c hin tng a cng tuyn.
Ngoi ra ta thy VIF = 1/ ( 1 R2
2) = 1/ ( 1 0.98302) 58,893 > 9Nh vy m hnh cn c hin tng a cng tuyn cao.
* Kim nh a cng tuyn bng o Theil
Ta tin hnh hi quy GDP theo tng bin gii thch EX v IM bng Eviews.
+ Hi quy GDP theo EX:
Dependent Variable: GDP
Method: Least Squares
Date: 11/16/07 Time: 13:13
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
EX 1.549484 0.068121 22.74613 0.0000
C 7.225318 1.081144 6.683033 0.0000
R-squared 0.979182 Mean dependent var 28.07462
Adjusted R-squared 0.977289 S.D. dependent var 13.71693
S.E. of regression 2.067149 Akaike info criterion 4.430856
Sum squared resid 47.00414 Schwarz criterion 4.517771
Log likelihood -26.80056 F-statistic 517.3866
Durbin-Watson stat 0.902206 Prob(F-statistic) 0.000000
Ta thu c R2-2 = 0.979182
+ By gi hi quy GDP theo IM bng Eviews ta c:
Dependent Variable: GDP
Method: Least Squares
Date: 11/16/07 Time: 13:14
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
IM 1.353795 0.083647 16.18460 0.0000
C 6.256757 1.566398 3.994359 0.0021
R-squared 0.959698 Mean dependent var 28.07462
Adjusted R-squared 0.956034 S.D. dependent var 13.71693
S.E. of regression 2.876160 Akaike info criterion 5.091427Sum squared resid 90.99525 Schwarz criterion 5.178343
Log likelihood -31.09428 F-statistic 261.9413
SV: L Mnh Linh Lp: K43/05.014
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Durbin-Watson stat 0.526656 Prob(F-statistic) 0.000000
SV: L Mnh Linh Lp: K43/05.015
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Ta thu c R2-3 = 0.959698
Ta c cng thc o Theil: m = R2 - R( 2 - R 2-j ) =
= 0.979307 (0.979307 0.979182) (0.979307 0.959698)
= 0.959573Do m gn ti 1 nn c th cho rng m hnh c hin tng a cng tuyn cao.
3.2 Kim nh White pht hin Phng sai sai s thay i.
Hi qui m hnh sau:
e2i = 1 + 2EXi + 3EX2i + 4EX1*IMi + 5IMi + 6IMi2 + Vi(2)
Bng phn mm Eviews ta thu c kt qu bo co:
Bo co 4
White Heteroskedasticity Test:
F-statistic 1.055173 Prob. F(5,7) 0.456528
Obs*R-squared 5.587079 Prob. Chi-Square(5) 0.348492
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/16/07 Time: 18:02
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
C 4.950781 5.143307 0.962568 0.3678
EX -1.321968 2.699377 -0.489731 0.6393
EX^2 -1.092058 0.884183 -1.235104 0.2566
EX*IM 1.944439 1.559181 1.247090 0.2525
IM 0.968018 2.748252 0.352231 0.7350
IM^2 -0.856874 0.699230 -1.225454 0.2600
R-squared 0.429775 Mean dependent var 3.593985Adjusted R-squared 0.022472 S.D. dependent var 3.647937
S.E. of regression 3.606716 Akaike info criterion 5.707510
Sum squared resid 91.05880 Schwarz criterion 5.968256
Log likelihood -31.09882 F-statistic 1.055173
Durbin-Watson stat 2.535022 Prob(F-statistic) 0.456528
Thu c R2w = 0.429775
xt xem c hin tng phng sai sai s thay i trong m hnh hi quy ban
u ta i kim nh cp gi thuyt sau:Ho:M hnh (1) c phng sai sai s khng thay i
SV: L Mnh Linh Lp: K43/05.016
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H1: M hnh (1) c phng sai sai s thay i
- Tiu chun kim nh : 2 =n R2w~ 2 (5)
- Min bc b :W={ 2 : 2 > 2 (5)}
Gi tr ca thng k quan st:2qs = nR2w = 13.0,429775 = 5,587
Vi = 0.05, n = 13 ta tm c gi tr ti hn 2 0.05(5) = 11,0705
Ta thy m hnh trn c 2qs = 5,587 < 2 0.05(5) = 11,0705 tc l2qs W => cha c c s bc b Ho
Vy vi mc ngha =0.05 m hnh cho c phng sai sai s khng i.
3.3. Pht hin T tng quan bng kim nh BG.
Hi quy m hnh sau:et = 1 + 2EXt + 3IMt + 4et-1 + 5et-2 + Vt
Bo co 5
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 1.278282 Prob. F(2,8) 0.329814
Obs*R-squared 3.148310 Prob. Chi-Square(2) 0.207183
Test Equation:
Dependent Variable: RESIDMethod: Least Squares
Date: 11/17/07 Time: 23:30
Sample: 1993 2005
Included observations: 13
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
EX 0.060257 0.587210 0.102615 0.9208
IM -0.045168 0.489501 -0.092274 0.9287
C -0.095473 1.509849 -0.063233 0.9511RESID(-1) 0.555561 0.418172 1.328546 0.2206
RESID(-2) -0.447016 0.563147 -0.793782 0.4502
R-squared 0.242178 Mean dependent var -6.83E-16
Adjusted R-squared -0.136733 S.D. dependent var 1.973191
S.E. of regression 2.103771 Akaike info criterion 4.609063
Sum squared resid 35.40683 Schwarz criterion 4.826351
Log likelihood -24.95891 F-statistic 0.639141
Durbin-Watson stat 1.626435 Prob(F-statistic) 0.649309
Ta thu c m hnh sau:
et = - 0.095473 + 0.060257.EXt - 0.045168IMt + 0.555561et-1 - 0.447016et-2 + Vt
SV: L Mnh Linh Lp: K43/05.017
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Thu c RBG2 = 0.242178
- kim nh hin tng t tng quan trong m hnh hi quy ban u ta tin
hnh kim nh cp gi thuyt sau:
Ho : M hnh khng c t tng quanH1: M hnh c t tng quan
- Tiu chun kim nh : 2 =(n-2) 2eR ~2 (2)
- Min bc b: W={ 2 : ( )2205.02 > }
Gi tr thng k quan st : 2qs = 2.664
Gi tr ti hn: ( )2205.0 =5.991472qs = 2.664 < 5.99147
2qs W => cha c c s bc b H0
Vy vi mc ngha = 0.05, c th cho rng m hnh khng c t tng
quan.
3.4. pht hin ch nh sai dng hm bng kim nh Ramsey.
Gi s m hnh ng l: GDPt = 1 + tEX2 + tIM3 + Vt
c lng m hnh sau: GDPt = 1 + 2 EXt + 33
42
tt PDGPDG + + Vt (**)
Bo co 6
Ramsey RESET Test:
F-statistic 1.172103 Prob. F(2,8) 0.004191
Log likelihood ratio 1.779317 Prob. Chi-Square(2) 0.000137
Test Equation:
Dependent Variable: GDP
Method: Least Squares
Date: 11/18/07 Time: 01:02
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
EX 2.462484 0.893257 2.756748 0.0248
IM 0.119434 0.278038 0.429560 0.6789
C 3.011766 1.417665 2.124456 0.0664
FITTED^2 -0.011170 0.018489 -0.604138 0.5625
FITTED^3 1.85E-05 0.000180 0.102750 0.9207
R-squared 0.994735 Mean dependent var 28.07462
Adjusted R-squared 0.992102 S.D. dependent var 13.71693
S.E. of regression 1.219002 Akaike info criterion 3.517665Sum squared resid 11.88772 Schwarz criterion 3.734953
Log likelihood -17.86482 F-statistic 377.8627
SV: L Mnh Linh Lp: K43/05.018
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Durbin-Watson stat 2.454389 Prob(F-statistic) 0.000000
Thu c R42 = 0.994735
- xem m hnh ban u c b st bin hay khng ta i kim nh cp gi
thuyt sau:H0: m hnh ch nh ng
H1: m hnh ch nh sai
- Tiu chun kim nh F
F=)5/()1(
2/)(2
4
22
4
nR
RR~ F(2; n-5)
- Min bc b: W= {F: F > F 05.0 (2;n-5)}
Gi tr thng k quan st: Fqs = 1.172103Gi tr ti hn: F 05.0 (2; 8) = 4.46
Fqs= 1.172103 < F 05.0 (2; 8) = 4.46 FqsW cha c c s bc b H0
Vy vi mc ngha = 0.05 m hnh ch nh ng.
3.5. Kim nh phn b chun Ui
Dng phn mm Eviews ta c
kim tra m hnh ban u sai s ngu nhin U c phn b chun hay
khng ta dng tiu chun kim nh Jarque-Bera.
- Ta i kim nh cp gi thuyt sau:
H0: m hnh c sai s ngu nhin phn phi chun
H1: m hnh c sai s ngu nhin khng phn phi chun- Tiu chun kim nh:
SV: L Mnh Linh Lp: K43/05.019
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JB= n(24
)(
6
22 SkS + ) ~ )2(2
- Min bc b: W={JB, JB > )2(2 }
T kt qu bo co ta thu c JBqs = 0.635145Vi =0.05, )2(205.0 = 5.99147 > JBqs= 0.635145 JB W , cha c c
s bc b H0.
Vy sai s ngu nhin c phn phi chun.
4. Khc phc hin tng a cng tuyn trong m hnh
4.1 khc phc hin tng a cng tuyn trong m hnh ta c th s dng
phng php b bin, gi s b bin IM ta c:
Dependent Variable: GDP
Method: Least Squares
Date: 11/16/07 Time: 13:13
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
EX 1.549484 0.068121 22.74613 0.0000
C 7.225318 1.081144 6.683033 0.0000
R-squared 0.979182 Mean dependent var 28.07462
Adjusted R-squared 0.977289 S.D. dependent var 13.71693
S.E. of regression 2.067149 Akaike info criterion 4.430856
Sum squared resid 47.00414 Schwarz criterion 4.517771
Log likelihood -26.80056 F-statistic 517.3866
Durbin-Watson stat 0.902206 Prob(F-statistic) 0.000000
Ta thu c m hnh: GDPi = 7.225318 + 1.549484EXi +Vi (1)
y l m hnh hi quy n nn hin tng a cng tuyn c khc phc.
SV: L Mnh Linh Lp: K43/05.0110
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*By gi ta xt xem m hnh mi c hin tng phng sai sai s thay
i khng. Bng kim nh White vi m hnh (1) ta c:
White Heteroskedasticity Test:
F-statistic 1.975741 Prob. F(2,10) 0.189190
Obs*R-squared 3.681994 Prob. Chi-Square(2) 0.158659
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/18/07 Time: 23:32
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
C 4.953425 2.912446 1.700779 0.1198
EX -0.408376 0.411927 -0.991381 0.3449
EX^2 0.016504 0.011801 1.398528 0.1922
R-squared 0.283230 Mean dependent var 3.615703
Adjusted R-squared 0.139876 S.D. dependent var 3.442130
S.E. of regression 3.192329 Akaike info criterion 5.358553
Sum squared resid 101.9097 Schwarz criterion 5.488926
Log likelihood -31.83059 F-statistic 1.975741
Durbin-Watson stat 1.952171 Prob(F-statistic) 0.189190
Ta i kim nh cp gi thuyt sau:
Ho:M hnh (1) c phng sai sai s khng thay i
H1: M hnh (1) c phng sai sai s thay i
- Tiu chun kim nh : 2 =n R2w~2 (2)
- Min bc b :W={ 2 : 2 > 2 (2)}
Gi tr ca thng k quan st: 2qs = nR2w = 13. 0,28323 = 3,682
Vi = 0,05 ; m = 2 ta tm c 2 0.05(2) = 5,99147
Ta thy 2qs = 3,682 < 2 0.05(2) = 5,99147 tc l2qs W => cha c c s bc b Ho
Vy vi mc ngha =0.05 m hnh cho c phng sai sai s khng i.
SV: L Mnh Linh Lp: K43/05.0111
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*Ta xt xem m hnh (1) c t tng quan khng. Bng kim nh
BG thc hin trn phn mm Eviews ta c:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.807500 Prob. F(1,10) 0.124761
Obs*R-squared 2.849697 Prob. Chi-Square(1) 0.091391
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/18/07 Time: 23:49
Sample: 1993 2005
Included observations: 13
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
EX -0.059985 0.072575 -0.826520 0.4278
C 0.648795 1.074171 0.603996 0.5593
RESID(-1) 0.621914 0.371168 1.675559 0.1248
R-squared 0.219207 Mean dependent var -3.25E-15
Adjusted R-squared 0.063049 S.D. dependent var 1.979144
S.E. of regression 1.915737 Akaike info criterion 4.337256
Sum squared resid 36.70049 Schwarz criterion 4.467629
Log likelihood -25.19216 F-statistic 1.403750
Durbin-Watson stat 1.503565 Prob(F-statistic) 0.290187
Ta thu c m hnh:et = 0.648759 0.059985 EXt + 0.621914.et-1 + Vt
Ta thu c RBG2 = 0.219207
Ta tin hnh kim nh cp gi thuyt sau:
Ho : M hnh khng c t tng quan
H1: M hnh c t tng quan
- Tiu chun kim nh : 2 =(n-2)R2BG ~2 (1)
- Min bc b: W={ 2 : ( )1205.02 > }
Gi tr thng k quan st : 2qs = 11. 0,219207 = 2,411277
Gi tr ti hn: )1(205.0 =3.841462qs = 2,411277 cha c c s bc b H0
Vy vi mc ngha = 0.05, c th cho rng m hnh khng c ttng quan.
SV: L Mnh Linh Lp: K43/05.0112
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*Kim nh tnh phn b chun ca Ui
kim tra m hnh ban u sai s ngu nhin U c phn b chun hay
khng ta dng tiu chun kim nh Jarque-Bera.
- Ta i kim nh cp gi thuyt sau:
H0: m hnh c sai s ngu nhin phn phi chun
H1: m hnh c sai s ngu nhin khng phn phi chun
- Tiu chun kim nh:
JB= n(24
)(
6
22 SkS + ) ~ )2(2
- Min bc b: W={JB, JB > )2(2 }
T kt qu bo co ta thu c JBqs = 0.763405
Vi =0.05, )2(205.0 = 5.99147 > JBqs= 0.763405 JB W , cha c c
s bc b H0.
Vy sai s ngu nhin c phn phi chun.4.2. Khc phc hin tng a cng tuyn bng phng php s dng thng
tin tin nghim
C thng tin cho rng 3 = - 0.1 2. Ta tin hnh hi quy m hnh:
GDPi = 1 + 2 . Xi + ui (1)
Trong Xi = EXi 0.1 IMi
SV: L Mnh Linh Lp: K43/05.0113
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Dng phn mm Eviews hi quy ta c:
Dependent Variable: GDP
Method: Least Squares
Date: 11/21/07 Time: 16:43
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
C 7.401611 1.072031 6.904290 0.0000
X 1.745437 0.076552 22.80055 0.0000
R-squared 0.979279 Mean dependent var 28.07462
Adjusted R-squared 0.977395 S.D. dependent var 13.71693
S.E. of regression 2.062317 Akaike info criterion 4.426176
Sum squared resid 46.78468 Schwarz criterion 4.513091
Log likelihood -26.77014 F-statistic 519.8652
Durbin-Watson stat 0.991015 Prob(F-statistic) 0.000000
Ta c m hnh: GDPi = 7.401611 + 1.745437 Xi + ei (1)
y l m hnh hi qui n nn khng c hin tng a cng tuyn.
By gi ta xt xem m hnh c hin tng phng sai sai s thay i v t
tng quan hay khng.
* Xt hin tng phng sai sai s thay i bng kim nh White:
Hi qui m hnh sau:
e2i = 1 + 2 Xi + 3 X2i + Vt
SV: L Mnh Linh Lp: K43/05.0114
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Bng phn mm Eviews ta thu c kt qu bo co:
White Heteroskedasticity Test:
F-statistic 1.975151 Prob. F(2,10) 0.189270
Obs*R-squared 3.681206 Prob. Chi-Square(2) 0.158722
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/21/07 Time: 17:13
Sample: 1993 2005
Included observations: 13
Variable Coefficient Std. Error t-Statistic Prob.
C 4.878736 3.094476 1.576595 0.1460X -0.477663 0.497019 -0.961054 0.3592
X^2 0.022322 0.016178 1.379741 0.1977
R-squared 0.283170 Mean dependent var 3.598821
Adjusted R-squared 0.139804 S.D. dependent var 3.747798
S.E. of regression 3.475961 Akaike info criterion 5.528793
Sum squared resid 120.8231 Schwarz criterion 5.659166
Log likelihood -32.93716 F-statistic 1.975151
Durbin-Watson stat 2.029429 Prob(F-statistic) 0.189270
Ta thu c m hnh: e2i = 4.878736 0.477663 Xi + 0.022322 X2i + VtThu c R22 = 0.28317
- kim nh hin tng phng sai sai s thay i trong m hnh hi quy
ban u ta i kim nh cp gi thuyt sau:
Ho:M hnh (1) c phng sai sai s khng thay i
H1: M hnh (1) c phng sai sai s thay i
- Tiu chun kim nh : 2 =n R22 ~2 (2)
- Min bc b :W={ 2 : 2 > 2 (2)}
Gi tr ca thng k quan st: 2qs = n R22 = 13. 0.28317 = 3.68121
Vi = 0.05, n = 13 ta tm c gi tr ti hn 2 0.05(2) = 5.99147
Ta thy m hnh trn c 3.68121 = 2qs < 2 0.05(5) = 5.99147 tc l2qs W => cha c c s bc b Ho
Vy vi mc ngha =0.05 m hnh cho c phng sai sai s khng i.
*Kim tra hin tng t tng quan ca m hnh trn bng kim nh BGet = 1 + 2Xt + 3 et-1 + t
SV: L Mnh Linh Lp: K43/05.0115
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Breusch-Godfrey Serial Correlation LM Test:
F-statistic 1.971657 Prob. F(1,10) 0.190560
Obs*R-squared 2.141018 Prob. Chi-Square(1) 0.143407
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/21/07 Time: 17:32
Sample: 1993 2005
Included observations: 13
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
C 0.594544 1.111420 0.534941 0.6044
X -0.062249 0.085732 -0.726091 0.4844
RESID(-1) 0.551419 0.392704 1.404157 0.1906
R-squared 0.164694 Mean dependent var 5.47E-16
Adjusted R-squared -0.002368 S.D. dependent var 1.974518
S.E. of regression 1.976854 Akaike info criterion 4.400065
Sum squared resid 39.07953 Schwarz criterion 4.530438
Log likelihood -25.60042 F-statistic 0.985828
Durbin-Watson stat 1.462842 Prob(F-statistic) 0.406657
Ta thu c m hnh et = 0.594544 0.062249Xt + 0.551419 et-1 + t
Thu c RBG2 = 0.164694
- kim nh hin tng t tng quan trong m hnh hi quy ban u ta tin
hnh kim nh cp gi thuyt sau:
Ho : M hnh khng c t tng quan
H1: M hnh c t tng quan
- Tiu chun kim nh : 2 =(n-2) R2BG ~2 (1)
- Min bc b: W={ 2 : )1(205.02 > }
Gi tr thng k quan st : 2qs = 11. 0.164694 = 1.81634
Gi tr ti hn: )1(205.0 =3.841462qs =1.81634 cha c c s bc b H0
Vy vi mc ngha = 0.05, c th cho rng m hnh khng c t tng quan.
SV: L Mnh Linh Lp: K43/05.0116
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*Kim tra tnh phn b chun ca Ui
Dng Eviews ta c
kim tra m hnh ban u sai s ngu nhin U c phn b chun hay
khng ta dng tiu chun kim nh Jarque-Bera.
- Ta i kim nh cp gi thuyt sau:
H0: m hnh c sai s ngu nhin phn phi chun
H1: m hnh c sai s ngu nhin khng phn phi chun- Tiu chun kim nh:
JB= n(24
)(
6
22 SkS + ) ~ )2(2
- Min bc b: W={JB, JB > )2(2 }
T kt qu bo co ta thu c JBqs = 0.58045
Vi =0.05, )2(205.0 = 5.99147 > JBqs= 0.58045 JB W , cha c c
s bc b H0.Vy sai s ngu nhin c phn phi chun.
SV: L Mnh Linh Lp: K43/05 0117