BÀI TẬP THỰC HÀNH KINH TẾ LƯỢNG (2)

HỌC VIỆN TÀI CHÍNH

Bài thực hành: Có bảng số liệu thống kê về lượng tiêu thụ bia Y (tỷ lít), thu
nhập bình quân đầu người X1 (USD/ người) và Số dân X2 (triệu người) ở Việt
Nam từ năm 2003-2015 (mức ý nghĩa 5%):

obs
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015

Y
1.29
1.37
1.5
1.7
1.9
2
2.2
2.5
2.6

2.8
3
3.1
3.4

X1
495
500
635
715
833
1024
1100
1168
1300
1771
1900
2000
2109

X2
80.9
82
83
84.155
85.155
86.2
86.5
86.93
87.84

88.78
89.71
90.7
92

(Nguồn tự thu thập tại việt nam thông qua nguồn tại Bộ công thương)

1


HỌC VIỆN TÀI CHÍNH

Ước lượng mô hình hồi quy:
Dependent Variable: Y
Method: Least Squares
Date: 05/31/16 Time: 17:55
Sample: 2003 2015
Included observations: 13
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

-9.556717

2.807905

-3.403504

0.0067

X1

0.000443

0.000206

2.155936

0.0565

X2

0.130533

0.035242

3.703886

0.0041

R-squared

0.984823

Mean dependent var

2.258462

Adjusted R-squared

0.981787

S.D. dependent var

0.697768

S.E. of regression

0.094167

Akaike info criterion

-1.688314

Sum squared resid

0.088675

Schwarz criterion

-1.557941

Log likelihood

13.97404

Hannan-Quinn criter.

-1.715111

F-statistic

324.4381

Durbin-Watson stat

1.362769

Prob(F-statistic)

0.000000

Kiểm định khuyết tật của mô hình
2


HỌC VIỆN TÀI CHÍNH
1.

Kiểm định độ đo Theil:

Dependent Variable: Y

Method: Least Squares
Date: 05/31/16 Time: 18:03
Sample: 2003 2015
Included observations: 13
Variable
C
X1
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

0.840907
0.001185

0.091064
6.90E-05

9.234283

17.16291

0.0000
0.0000

0.964001
0.960729
0.138277
0.210326
8.360108
294.5655
0.000000

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

2.258462
0.697768
-0.978478
-0.891563
-0.996343
1.238482

Dependent
Variable: Y
Method: Least Squares

Date: 05/31/16 Time: 18:03
Sample: 2003 2015
Included observations: 13
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X2

-15.42089
0.204500

0.804351
0.009298

-19.17186
21.99511

0.0000
0.0000

R-squared
Adjusted R-squared

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

0.977768
0.975747
0.108666
0.129891
11.49284
483.7849
0.000000

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

> Mô hình gốc có đa cộng tuyến ta bỏ biến X2
3

2.258462
0.697768
-1.460437
-1.373522
-1.478302
0.956549

HỌC VIỆN TÀI CHÍNH
2.

Kiểm định White:

Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS

1.406101
2.853422
1.711403

Prob. F(2,10)
Prob. Chi-Square(2)
Prob. Chi-Square(2)

0.2897
0.2401
0.4250

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 05/31/16 Time: 18:05
Sample: 2003 2015
Included observations: 13

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X1^2
X1

-0.042862
-4.13E-08
0.000109

0.036560
2.49E-08
6.53E-05

-1.172380
-1.661669
1.676356

0.2682
0.1276
0.1246

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

0.219494
0.063393
0.021094
0.004450
33.42288
1.406101
0.289655

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

> Mô hình mới không có phương sai sai số thay đổi.

3.

Kiểm định B-G:

Breusch-Godfrey Serial Correlation LM Test:

4

0.016179
0.021797
-4.680443
-4.550070
-4.707240
1.557957


HỌC VIỆN TÀI CHÍNH

F-statistic
Obs*R-squared

1.501508
3.252451

Prob. F(2,9)
Prob. Chi-Square(2)

0.2737
0.1967

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 05/31/16 Time: 18:09
Sample: 2003 2015
Included observations: 13

Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X1
RESID(-1)
RESID(-2)

-0.023222
2.28E-05
0.490405
-0.441178

0.090143
6.92E-05
0.315434
0.339350

-0.257616
0.328766
1.554698
-1.300071

0.8025
0.7499
0.1544
0.2259

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

0.250189
0.000251
0.132373
0.157705
10.23168
1.001006
0.435889

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

> Mô hình mới không có tự tương quan

4.

Kiểm định Ramsey:

Ramsey RESET Test
Equation: UNTITLED
5

0.000000
0.132390
-0.958719
-0.784889
-0.994449
1.996766


HỌC VIỆN TÀI CHÍNH

Specification: Y C X1
Omitted Variables: Squares of fitted values
Value
2.290411
5.245983
5.482502

df
10
(1, 10)
1

Probability
0.0450
0.0450
0.0192

Sum of Sq.
0.072371
0.210326
0.137955
0.137955

df
1
11
10
10

Mean Squares
0.072371
0.019121
0.013795
0.013795

Value
8.360108
11.10136

df
11

10

t-statistic
F-statistic
Likelihood ratio
F-test summary:
Test SSR
Restricted SSR
Unrestricted SSR
Unrestricted SSR
LR test summary:
Restricted LogL
Unrestricted LogL
Unrestricted Test Equation:
Dependent Variable: Y
Method: Least Squares
Date: 05/31/16 Time: 18:11
Sample: 2003 2015
Included observations: 13
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

X1
FITTED^2

0.569333
0.002457
-0.225853

0.141570
0.000558
0.098608

4.021572
4.399980
-2.290411

0.0024
0.0013
0.0450

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

0.976388
0.971666
0.117454

0.137955
11.10136
206.7566
0.000000

> Mô hình có bỏ sót biến.

6

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

2.258462
0.697768
-1.246363
-1.115990
-1.273160
1.798732


HỌC VIỆN TÀI CHÍNH

Ramsey RESET Test

7

HỌC VIỆN TÀI CHÍNH

Equation: UNTITLED
Specification: Y C X1
Omitted Variables: Squares of fitted values
Value
2.290411
5.245983
5.482502

df
10
(1, 10)
1

Probability
0.0450
0.0450
0.0192

Sum of Sq.
0.072371
0.210326
0.137955
0.137955

df
1
11

10
10

Mean Squares
0.072371
0.019121
0.013795
0.013795

Value
8.360108
11.10136

df
11
10

t-statistic
F-statistic
Likelihood ratio
F-test summary:
Test SSR
Restricted SSR
Unrestricted SSR
Unrestricted SSR
LR test summary:
Restricted LogL
Unrestricted LogL
Unrestricted Test Equation:
Dependent Variable: Y

Method: Least Squares
Date: 05/31/16 Time: 18:11
Sample: 2003 2015
Included observations: 13
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
X1
FITTED^2

0.569333
0.002457
-0.225853

0.141570
0.000558
0.098608

4.021572
4.399980
-2.290411

0.0024
0.0013
0.0450

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

0.976388
0.971666
0.117454
0.137955
11.10136
206.7566
0.000000

8

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

2.258462

0.697768
-1.246363
-1.115990
-1.273160
1.798732