giasutre.edu.vn_bÁo cÁo thỰc hÀnh kinh tẾ lƯỢng gdp-ex-im

8/2/2019 giasutre.edu.vn_BO CO THC HNH KINH T LNG GDP-EX-IM

1/17

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


2/17


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



3/17


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


Date: 11/16/07 Time: 13:13

Sample: 1993 2005

Included observations: 13


IM 0.875006 0.034674 25.23530 0.0000

C -0.646030 0.649313 -0.994944 0.3411



S.E. of regression 1.192243 Akaike info criterion 3.330189

Sum squared resid 15.63588 Schwarz criterion 3.417104



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



4/17


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:



Date: 11/16/07 Time: 13:13

Sample: 1993 2005



EX 1.549484 0.068121 22.74613 0.0000

C 7.225318 1.081144 6.683033 0.0000







Ta thu c R2-2 = 0.979182

+ By gi hi quy GDP theo IM bng Eviews ta c:



Date: 11/16/07 Time: 13:14

Sample: 1993 2005



IM 1.353795 0.083647 16.18460 0.0000

C 6.256757 1.566398 3.994359 0.0021







5/17





6/17


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


Date: 11/16/07 Time: 18:02

Sample: 1993 2005



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





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



7/17


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:



Test Equation:

Dependent Variable: RESIDMethod: Least Squares

Date: 11/17/07 Time: 23:30

Sample: 1993 2005


Presample missing value lagged residuals set to zero.


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





Ta thu c m hnh sau:

et = - 0.095473 + 0.060257.EXt - 0.045168IMt + 0.555561et-1 - 0.447016et-2 + Vt



8/17


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:


Log likelihood ratio 1.779317 Prob. Chi-Square(2) 0.000137

Test Equation:



Date: 11/18/07 Time: 01:02

Sample: 1993 2005



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







9/17



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:



10/17


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:



Date: 11/16/07 Time: 13:13

Sample: 1993 2005



EX 1.549484 0.068121 22.74613 0.0000

C 7.225318 1.081144 6.683033 0.0000







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.



11/17


*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:




Test Equation:



Date: 11/18/07 Time: 23:32

Sample: 1993 2005



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







Ta i kim nh cp gi thuyt sau:

Ho:M hnh (1) c phng sai sai s khng 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




12/17


*Ta xt xem m hnh (1) c t tng quan khng. Bng kim nh

BG thc hin trn phn mm Eviews ta c:




Test Equation:

Dependent Variable: RESID


Date: 11/18/07 Time: 23:49

Sample: 1993 2005




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






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.



13/17


*Kim nh tnh phn b chun ca Ui





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



14/17


Dng phn mm Eviews hi quy ta c:



Date: 11/21/07 Time: 16:43

Sample: 1993 2005



C 7.401611 1.072031 6.904290 0.0000

X 1.745437 0.076552 22.80055 0.0000







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



15/17


Bng phn mm Eviews ta thu c kt qu bo co:




Test Equation:



Date: 11/21/07 Time: 17:13

Sample: 1993 2005



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







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


- 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


*Kim tra hin tng t tng quan ca m hnh trn bng kim nh BGet = 1 + 2Xt + 3 et-1 + t



16/17





Test Equation:

Dependent Variable: RESID


Date: 11/21/07 Time: 17:32

Sample: 1993 2005




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





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.



17/17


*Kim tra tnh phn b chun ca Ui

Dng Eviews ta c





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

giasutre.edu.vn_bÁo cÁo thỰc hÀnh kinh tẾ lƯỢng gdp-ex-im

Documents