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BÀI TẬP KINH TẾ LƯỢNG
Hệ chính quy
CHƯƠNG I – HỒI QUY ĐƠN (SINGLE REGRESSION)
Bài 1.1:
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Bài 1.2:
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Dependent Variable: GR
Method: Least Squares
Sample: 1 64
Included observations: 64
Variable Coefficient Std. Error t-Statistic Prob.
C -2.315543 0.940054 -2.463202 0.0166
CBR 0.187472 0.052026 3.603430 0.0006
R-squared 0.173165 Mean dependent var 1.027031
Adjusted R-squared 0.159829 S.D. dependent var 1.330633
S.E. of regression 1.219669 Akaike info criterion 3.265788
Sum squared resid 92.23077 Schwarz criterion 3.333253
Log likelihood -102.5052 F-statistic 12.98471
Durbin-Watson stat 1.605993 Prob(F-statistic) 0.000626
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Bài 1.3:
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CHƯƠNG II – HỒI QUY BỘI (MULTIPLE REGRESSION)
Bài 2.1:
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Dependent Variable: GR
Method: Least Squares
Sample: 1 64
Included observations: 64
Variable Coefficient Std. Error t-Statistic Prob.
C -3.188781 0.440159 -7.244605 0.0000
CBR 0.193186 0.024151 7.999160 0.0000
MR 0.130396 0.008659 15.05966 0.0000
R-squared 0.824746 Mean dependent var 1.027031
Adjusted R-squared 0.819000 S.D. dependent var 1.330633
S.E. of regression 0.566106 Akaike info criterion 1.745669
Sum squared resid 19.54901 Schwarz criterion 1.846866
Log likelihood -52.86140 F-statistic 143.5331
Durbin-Watson stat 2.081179 Prob(F-statistic) 0.000000
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Bài 2.2:
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Dependent Variable: LB
Included observations: 25
Variable Coefficient Std. Error t-Statistic Prob.
C -24.50130 28.44835 -0.861255 0.3984
KD 74.24850 17.82411 4.165622 0.0004
QC 63.02896 26.09803 2.415085 0.0245
R-squared 0.882360 Mean dependent var 186.1600
Adjusted R-squared 0.871666 S.D. dependent var 148.2978
S.E. of regression 53.12588 Akaike info criterion 10.89537
Sum squared resid 62091.91 Schwarz criterion 11.04164
Log likelihood -133.1922 F-statistic 82.50569
Durbin-Watson stat 1.719869 Prob(F-statistic) 0.000000
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CHƯƠNG III – SUY DIỄN THỐNG KÊ (INFERENCE STATISTIC)
Bài 3.1:
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Dependent Variable: LB
Included observations: 25
Variable Coefficient Std. Error t-Statistic Prob.
C -24.50130 28.44835 -0.861255 0.3984
KD 74.24850 17.82411 4.165622 0.0004
QC 63.02896 26.09803 2.415085 0.0245
R-squared 0.882360 Mean dependent var 186.1600
Adjusted R-squared 0.871666 S.D. dependent var 148.2978
S.E. of regression 53.12588 Akaike info criterion 10.89537
Sum squared resid 62091.91 Schwarz criterion 11.04164
Log likelihood -133.1922 F-statistic 82.50569
Durbin-Watson stat 1.719869 Prob(F-statistic) 0.000000
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Bài 3.2:
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Dependent Variable: Y
Method: Least Squares
Date: 02/10/14 Time: 20:01
Sample: 1 20
Included observations: 20
Variable Coefficient Std. Error t-Statistic Prob.
C 13.52893 0.796345 16.98877 0.0000
K 0.069795 0.009268 7.531068 0.0000
L 2.621896 0.546636 4.796424 0.0002
R-squared 0.982425 Mean dependent var 36.25500
Adjusted R-squared 0.980358 S.D. dependent var 8.297144
S.E. of regression 1.162854 Akaike info criterion 3.277112
Sum squared resid 22.98789 Schwarz criterion 3.426472
Log likelihood -29.77112 Hannan-Quinn criter. 3.306269
F-statistic 475.1495 Durbin-Watson stat 2.060127
Prob(F-statistic) 0.000000
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Bài tập 3.3:
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Dependent Variable: LOG(Y)
Method: Least Squares
Date: 02/10/14 Time: 20:04
Sample: 1 20
Included observations: 20
Variable Coefficient Std. Error t-Statistic Prob.
C 1.072994 0.216360 4.959295 0.0001
LOG(K) 0.447856 0.050347 8.895325 0.0000
LOG(L) 0.140232 0.043751 3.205256 0.0052
R-squared 0.978812 Mean dependent var 3.564599
Adjusted R-squared 0.976319 S.D. dependent var 0.236738
S.E. of regression 0.036431 Akaike info criterion -3.649330
Sum squared resid 0.022562 Schwarz criterion -3.499970
Log likelihood 39.49330 Hannan-Quinn criter. -3.620174
F-statistic 392.6657 Durbin-Watson stat 2.128497
Prob(F-statistic) 0.000000
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Bài tập 3.4:
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Dependent Variable: LOG(Q)
Method: Least Squares
Date: 02/10/14 Time: 22:49
Sample: 1 20
Included observations: 20
Variable Coefficient Std. Error t-Statistic Prob.
C 4.658499 1.072795 4.342395 0.0004
LOG(P) -1.462030 0.219066 -6.673930 0.0000
LOG(PC) 0.546511 0.106636 5.124989 0.0001
R-squared 0.966229 Mean dependent var 3.480387
Adjusted R-squared 0.962256 S.D. dependent var 0.198525
S.E. of regression 0.038569 Akaike info criterion -3.535260
Sum squared resid 0.025289 Schwarz criterion -3.385901
Log likelihood 38.35260 Hannan-Quinn criter. -3.506104
F-statistic 243.1973 Durbin-Watson stat 0.883133
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CHƯƠNG V – KIỂM ĐỊNH VÀ LỰA CHỌN MÔ HÌNH (DIAGNOSTIC TEST AND MODEL SPECIFICATION)
Bài tập 5.1:
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Dependent Variable: LB
Included observations: 25
Variable Coefficient Std. Error t-Statistic Prob.
C -24.50130 28.44835 -0.861255 0.3984
KD 74.24850 17.82411 4.165622 0.0004
QC 63.02896 26.09803 2.415085 0.0245
R-squared 0.882360 Mean dependent var 186.1600
Adjusted R-squared 0.871666 S.D. dependent var 148.2978
S.E. of regression 53.12588 Akaike info criterion 10.89537
Sum squared resid 62091.91 Schwarz criterion 11.04164
Log likelihood -133.1922 F-statistic 82.50569
Durbin-Watson stat 1.719869 Prob(F-statistic) 0.000000
White Heteroskedasticity Test: no cross terms
F-statistic 2.099157 Prob. F(4,20) 0.118847
Obs*R-squared 7.392276 Prob. Chi-Square(4) 0.116554
White Heteroskedasticity Test: cross terms
F-statistic 10.27810 Prob. F(5,19) 0.000069
Obs*R-squared 18.25193 Prob. Chi-Square(5) 0.002647
Ramsey RESET Test: number of fitted terms: 1
F-statistic 1.043963 Prob. F(1,21) 0.318529
Normality test
Jarque – Bera 24.71516 Probability 0.000004
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CHƯƠNG VII – TỰ TƯƠNG QUAN (AUTOCORRELATION)
Bài tập 7.1:
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Method: Least Squares
Date: 02/10/14 Time: 23:11
Sample: 1 1442
Included observations: 1429
Variable Coefficient Std. Error t-Statistic Prob.
C -426.4563 102.4294 -4.163416 0.0000
GDC 32.94833 1.632397 20.18402 0.0000
R-squared 0.222087 Mean dependent var 1336.904
Adjusted R-squared 0.221542 S.D. dependent var 2291.012
S.E. of regression 2021.367 Akaike info criterion 18.06233
Sum squared resid 5.83E+09 Schwarz criterion 18.06970
Log likelihood -12903.54 Hannan-Quinn criter. 18.06509
F-statistic 407.3947 Durbin-Watson stat 1.528275
Prob(F-statistic) 0.000000
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 88.22470 Prob. F(1,1426) 0.0000
Obs*R-squared 83.25917 Prob. Chi-Square(1) 0.0000
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Dependent Variable: KL
Included observations: 1417 after adjustments
Convergence achieved after 4 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C -433.9444 132.3703 -3.278260 0.0011
GDC 33.14054 2.101984 15.76631 0.0000
AR(1) 0.241469 0.025807 9.356691 0.0000
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 14.39595 Prob. F(1,1413) 0.0002
Obs*R-squared 14.29110 Prob. Chi-Square(1) 0.0002
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Dependent Variable: KL
Included observations: 1408 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C -288.7228 101.7575 -2.837362 0.0046
GDC 22.72066 1.922862 11.81606 0.0000
KL(-1) 0.213664 0.026529 8.054112 0.0000
KL(-2) 0.095755 0.026535 3.608606 0.0003
R-squared 0.269813 Mean dependent var 1354.862
F-statistic 172.9314 Durbin-Watson stat 2.016571
Prob(F-statistic) 0.000000
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 1.086213 Prob. F(1,1403) 0.2975
Obs*R-squared 1.089241 Prob. Chi-Square(1) 0.2966
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