4.ts. nguyen thi minh-tom tat ktl co ban

7/31/2019 4.TS. Nguyen Thi Minh-Tom Tat KTL Co Ban

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KINH T LNGCHNG TRNH CBN

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Ni dung mn hcPhn KTL c bn:

Mhnh hi quy:c lng, kim nh v d boCc khuyt tt ca m hnhMt sdng ca m hnh hi quy

nh gi:20%0% kikimm tratra trntrn mmyy ttnhnh/ Eviews + 70% thi vit

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M hnh kinh t lng c bn

M hnh hi quy:c lngKim nhD bo

Cc khuyt tt ca m hnhMt sdng hmhi quy

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Gii thiu

Nh kinh t: cung tin tng th lm pht tng (cc yu tkhc khng i)Nh thng k: cung tin v lm pht c quan h tuyntnh cht vi nhau( xu hng thay i r t ging nhau)Nh kinh t lng: khi cung tin tng 1% th lm phttng 0.2% (khi cc yu tkhc khng i)

Tc ng ca vic tngcung tin ln lm pht?Tc ng ca vic tng chi tiu chnh ph ln tngtr ngkinh t?Tc ng ca vic tng gi ln doanh thu?, v.v

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M hnh hi quy tuyn tnh

Mc ch ca phn tch hi quy:Dng s liu quan st c lng nh hng cacc bin s (bin c lp) ln gi tr trung bnh camt bin sno (bin ph thuc)

T cc thams c lng c:nh gi tc ng nh hngThc hin cc d boa racc khuyn ngh vchnh sch

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M hnh hi quy tuyn tnh gii thiu

M hnh hi quy tng thdng tuyn tnh

Cc thnh phn ca m hnh:Bin ph thucCc bin c lpH s chnH sgc, h shi quy ring

ikik iii u X X X Y +++++= ..33221

k k k X X X X Y E +++= ..);..,|( 2212


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ngh a ca cc h shi quyH s chn

H sgcTuy nhin cc h sny thng khng bit => cn clngHm hi quy mu: gi s c mu ngu nhin n quan st

kik iii X X X Y .. 33221 ++++=

c lngcho E(Y| X j)

c lng cho cc j chabit

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Q: lm thno nhn c cc c lng ttVit li hm hi quy mu:

=> sai lchgia gitr thc tvgi tr c lng l

Tm SRF m c: e12 + e22 +...en2 b nht=> OLS

ikik iii e X X X Y +++++= .. 33221

iii Y Y e =

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nh l Gauss-Markovnh l: Nu ccgi thit OLS c tha mn th: cc clng nhn c t phng php OLS l:

Tuyn tnh, khng chch*C phng sai nhnht trong lp cc UL KC

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nh gi s bvhm hi quyc lng

Vy nu cc gi thit trn tha mn th p/p OLS cho ta ccULim tt nht cho cc thams ca tngthNgoi ra vi gi thit v tnh chun ca u, ta bit cphn phi ca cc c lng

Du ca cc h s c lng: c ph hp vi lthuyt kinhtkhng?H sxc nh (h sxc nh bi): R2 , cho bit cc bingii thch trong m hnh gii thch c bao nhiu phntr m s bin i ca bin ph thuc

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Bi ton xy dng KTC cho cc tham s

Nu gi thit 6 cng c tha mn, khi cc KTC l

))(;( )(, jk n j set +

));(,( )( + jk n j set

))();(,( )(,2 / )(2 / jk n j jk n j set set +

) /();)2(

;)2(

( 222

;2 / 1

2

2;2 /

2

k nenn

ik nk n

=

KTCi xng

KTC bn tri

KTC bn phi

KTCcho j

KTCcho2

V d 1

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V d (ch3bt3)Dependent Variable: QIncluded observations: 20Variable Coefficient Std. Er ror t-Statistic Prob.C 1373.24 171.41 8.01 0.00P -113.42 32.03 -3.54 0.00

ADD 83.87 15.28 5.49 0.00R-squared 0.74 Mean dependent va 460.20

Adjusted R-sq 0.71 S.D. dependent var 155.31S.E. of regres 83.73 Akaike info criterion 11.83Sum squared 119189.60 Schwarz cr iter ion 11.98Log likelihood -115.31 F-statistic 24.18Durbin-Watso 1.94 Prob(F-statistic) 0.00


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Bi ton kim nh gi thuyt v tham sV dvcc gi thuyt mun kim nh:

Cung tin khng nh hng n lm pht?Xu hngtiu dngcn bin H H

1.15.1

07.1

)(

0

2

2 =

=

=

set

qsKhng bc bH

0

W = (t0.05;) = (1.66;)

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Bng tm tt vcpg tvmin bc b

t > t (n - k)i > i*i = ( i*)Bn phi

t < - t (n - k)i < i*i = ( ) i*Bn tri

| t |> t /2(n - k)i i*i = i*Hai pha

Bc bH0 khiH1H0Loi githit

)(

*

2

2

set qs

=

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Ghi ch

Khi kim nh: H0: j = 0; H1: j 0 th c 2 cch thchin:

Kim nh thng thng: dng ts tc gi tr P: nu P< th bc bH0

Khi khng ni r (mc ngh a ca kim nh), hoc (1-) ( tin cy dng khi tm KTC) th mc nh = 0.05

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Kim nh F v s ph hp ca hm hi quy

V s ph hp ca hm hi quy:

Y=1+ 2TV+3IN +4P+ uH0: 2= 3= 4= 0; H1: c tnht 1 h s lkhc 0Fqs =

Nu Fqs> f (3, n-4) => bc bH0Cng thc chung:

Nu Fqs = >f (k-1, n-k) => bc bH0;

trong k l sbin c mt trong m hnh

n = 100; R2 = 0.68

Fqs = 68 > 3.1Bc bH0( )

2

2

R /3

(1R)/ n 4

( )

2

2

R /3(1R)/ n 4


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Kim nh hi quy c iu kin rng buc- kimnh F

V d: Mun kim nh: chai hnh thc qung co ukhng c tc ng n li nhunH0: 2 = 0; 3 = 0 ; H1: c tnht 1 trong 2 h snykhc 0W = (f (m, n-k),) = (f 0.05(2,96), ) = (3.49, )Thc hin hi quy thu hp: Y=1+ 2P+ v, thu cR2th

Fqs thuc min bc b=> bc bH0

14496 / )95.01(

2 / )8.095.0(

) /()1(

/ )(2

22

=

=

=

k n R

m R RF thqs

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Kim nh nh F (tip)

V dch3bt3:Hm hi quy c ph hp khng?

cP v ADDu cng khng nh hng n Q?H0 : 2 = 3 = 0; H1: c tnht 1 h skhc 0Kim nhF: c thngk F:

Fqs = 24.18 > f 0.05(2, 17) => bc bH0c gitr P ca thng kF:

Gi tr P ca thng k F = 0.00< 0.05 => bc bH0

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Bi ton d bo

Tr li bi tonvmc tng gi (lm pht)Gi nh sang nm 2008: GDP tng 9%, cung tin tng20%

Khi mc tng gi (trung bnh) s l bao nhiu?Mc tng gi trung bnh sdao ng trong khongno?Mc tnggi (c bit) l bao nhiu?Mc tnggi c bit sdao ng trong khong no?

Bi ton vd bo gi tr trung bnh vgi tr c bit

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Thc hin d bo

D bo bng c lng imD bo bng KTC

gi tr trung bnh

Gi tr c bit

2 / 12

20

2 / 2 / 1

2

20

2 / ))(1

(|())(1

(0

++


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a cng tuynKhi nim v a cngtuyn: mi tng quan tuyn tnhgia cc bin gii thch trong m hnh

CT hon hoCT khng hon ho - c h quan tm khi CT caov d: gi du v CPI; gi tht ln v gi tht b; laong v vn ca doanh nghip

Chng hn trong:Y=1+ 2X2+ 3X3 + u ==> r 23 cao?Y=1+ 2X2+...+ kXk + u ==> tng quan tuyn tnhgia X2;...;Xk caoLm sao pht hin: hi quy ph; ..v d: m Eviews

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a cng tuync lng OLS khi c hin tng a cng tuyn cao

Vn l ULTTKC tt nht trong lp cc UL TTKCTuy nhin n khng tt, nh sau:

Xt mhnh hi quy3 bin, khi :

Phng sai ca cc UL ln => chnh xc thpKTC thng r ngTs t thng nh=> ?Du h s c lng c th sai .v.v

=

22

223

2

2)1(

)var(i xr

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Phng sai sai s thay i

Khi nim: var(ui) = 2iNguyn nhn:

Mi quan hgia cc bin sCon ngi hc c t hnh vi trong qu kh,v.v.

UL OLS khi PSSS thayi:Vn l UL tuyn tnh, khng chch, nhng khng hiuquUL ca cc phng sai schchKim nh T, F mt hiu lc

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Kim nh White vPSSS thay iH0 : PSSS trong m hnh l khng ic lng m hnh gc thu c cc phn d etchy hm hi quy (tr ng hp c tch cho):

Nu:

Tng t vi tr ng hp khng c tch choV d (m eviews)

u X X X X X X e ++++++= 326235

22433221

2

)1()1( 22 > k nR

PSSS thay i

=> R2(1)

) /())1(1(

)1 /())1((2

2

k n Rk R

F

=

k: s bin trong m.h 1

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Khc phc PSSS thay inh dng ca phng sai thay

Dng th d on dng ca phng saiThc hin cc kim nh kim nh d on

Cch khc phc: phng php bnh phngb nhttng qut (GLS):

Bin i bin s m hnh mi c PPSS khng ic lng bng OLS m hnh mi ny, t suyngc li h scho m hnh gc

V d: Y= 1+ 2TV+3IN +4P+ unu PSSS c d ng: var(ui) = aTV2, khi

Y/TV=1 /TV+2+ 3IN/TV +4P/TV+ u/TV

Khi var(ui /TVi) = var(ui)/ TVi2 = a = khng i 30

T tng quanKhi nim: cov(ui; u j) >< 0 vi i> t tngquanbc nht; AR(1)ut = 1ut-1 +..+ put-p+ vt => AR(p)v(t) l sai sngu nhin, tha mn cc gi thit ca OLS.

Hu qukhi c t tng quan:Vn l UL khngchchPhng sai c lng ca thng b chchCc kim nh T, F khngng tin cyc lng cnglc lngchch =>

2


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Pht hin t tng quanKim nh Durbin Watson, dng trong tr ng hp:

AR (1)Khng c gi tr tr ca bin ph thuc l bin gii

thchKhng mt quanst

0 2 4dL dU 4-dL4-dU

TTQdng

TTQmKhng c TTQ

Khng chng c kt lun

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Pht hin t tng quan

Khi c gitr tr ca bin ph thuc l bin gii thch:Durbin hkim nh B-G

et = a1 + a2 Xt + 1et-1+..+ p et-p +vt => R2(1)et = a1 + a2 Xt + vvt => R2(2)

Nu:)()1( 22 pnR >

*) /())1(1(

/ ))2()1((2

22

k n R p R R

F

=hoc

Mhnh gc cTTQ bc p v dEviews

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T tng quan- khc phc

Bin php khc phc:gi s TTQ c dng AR(1): ut = ut-1 +vtc lng h s t tng quan r i sau dng GLSda trn h s c lng ny, nh sau:t Y* = Y Y(-1); X* = X X(-1)Thc hin OLS hm hi quytheobin mi:

Y* =1+ 2X* + v

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nh dng m hnh

Tha bin: =>c lng OLS l khng chch, vngnhngkhng hiu quKim nh tha bin

Kim nhtha 1 bin: kim nh TKim nhtha >= 2 bin: Kim nh F

Thiu bin: =>c lng OLS chch vkhng vngDnghm sai & thiu bin: Kim nh RESET

Hi quy m hnh gc: Y =1+ 2X+u , thuc clng ca Yt v R2(1)Thc hin hi quy:

t

m

t t t t uY Y X Y +++++= .. 2

321 Thu c R2(2)

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nh dng m hnh (Tip)

Nu Fqs = [(R2(2) R2(1)/(m-1)]/[ (1-R2(2))/(n-k(2)) ]>f (m, n-k(2))Bc bH0, trong H0: hm nh dng ng

Kim nh nhn t Lagrange (LM)Hi quy hm hi quy gc, thu c c lng ca Y

tv R2(1)Thc hin hi quy:

Thu c R2(3). Nu => m hnhnh dng sai

t m

t t t t uY Y X e +++++= ..2

321

)1(22 > mnR

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Tm ttMc ch ca phntch hi quyPhng phps dng UL m hnh hi quy tuyn tnhc in: OLSCc kt qu c lng dng :

Suy din vcc h s trong tngth

T ccc ng dng thc tvchnh schcc UL thu c ccc tnh cht tt, m hnh cntha mn mt sgi thit c bn xt v4 gi thit c bnMhnhvi bin gii thch lbin gi: xem gio trnhTnh chun ca ssnn: xem gio trnh


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Nhng ni dung chnh cn nh

Hiu ngh a kinh t/ ngh a thngkca cc h sc lng trong m hnhHiu mt s thngk quantr ng ca mhnhNm c 4 loi khuyt tt c thc ca mhnh vhu quNm c cc phng php pht hin chnh/ cng thcca cc thngk dng kim nhHiu c cch khc phc ca tngloi khuyt tt

4.ts. nguyen thi minh-tom tat ktl co ban

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