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HƯỚNG DẪN THỰC HANH EVIEWS
HƯỚNG DẪN THỰC HANH EVIEWS
Bui 1: Yu cu
1. Cc thao tc c bn: nhp s liu t bn phm/ m tp s liu c sn/
/chnh sa s liu, tn bin/ lu gi file/ to bin mi t cc bin c sn/
xem cc thng k c bn ca s liu (matrn tng quan, gi tr trung
bnh, trung v, v.v)
2. Thc hin hi quy bng phng php OLS/ hiu v bit gii thch bn bo
co bao gm: h s c lng/ KTC, sai s chun, t s t v P-value/ h
s xc nh
Thc hin:
Gii thiu cch m chng trnh Eviews/ mt s la chn chnh trn menu
Nhp s liu t bn phm: Cho tp s liu
Tiu dng: 12 15
18
14
16
20
Thu nhp: 15 20
25
20
18
30
Mt s thao tc c bn:
To Workfile trong Eviews
File New Workfile Ca s Workfile Range: chn dng s liu: structure
type:unstructured; observations: 6 O.K
Ca s Workfile
c
Ngm nh cho h s chn (0)
resid
Ngm nh l Phn d (ei) , mi khi thc hin hi quy my s t
update li gi tr ca cc phn d.
1. Nhp s liu theo 2 bin trn:
Cch 1: Trong g lnh: genr tieudung thunhap/ chn cc bin ny + nhy p chut/ g
s vo
Cch 2: Quick Empty Group => in tn bin v s liu vo
2. Chnh sa bin
Nu vo nhm v mun i tn: chn bin/ bm chut phi rename ( tn phi c g
lin nhau, khng nn qu 16 ch)
Nu mun sa s liu: chn bin+ p chut/ edit v thay gi tr cn sa
Thm bin mi:
Object New Objectseries / t tn bin mi O.K/ chn bin+ p chut/ nhp
gi tr
3. Lu gi file: File Save as : t tn file vi ui .wf
4. To bin mi:
1. Bin mi hon ton, chng hn vi tn ti sn:
g ca s lnh: genr taisan/ nhy p chut vo bin ny trong mn
hnh
workfile v nhp s liu vo
2. Bin to t cc bin c sn trong m hnh:
g ca s lnh: genr taisan2 = taisan^2; genr lnthunhap
=log(thunhap),.. ( s
dng cc hm c sn trong Eviews to bin
mi)
5. Xem cc thng k c bn ca cc bin s:
a.
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Thu nhp
50.20
41.65
113.80
10.80
31.60
0.48
1.70
ti sn
1323.07
965.35
3422.30
254.00
976.95
0.64
2.05
Jarque-Bera
Probability
15.78
0.00
15.51
0.00
Sum
Sum Sq.
Dev.
7328
193168
144762
138000000
146
146
Observation
s
gii thch ct 1
Trung bnh
Trung v
Ln nht
Nh nht
lch chun
H s bt i xng
nhn
Thng k J-B dng kim nh v tnh
chun ca bin
P-value tng ng cho thng k J-B
Tng cc gi tr ca bin
Tng bnh phng cc sai lch so vi gi tr
mean
S quan st
I.
c lng v c kt qu c lng
2. c kt qu c lng:
1. Cc kt qu c lng c ph hp vi l thuyt khng?
2. Cc c lng ca 1; 2 ;..; k bng bao nhiu
3. Khi X2 tng 1 n v th trung bnh ca Y tng bao nhiu n v?
4. Gi tr ca 2 c thc s khc 0 khng?
5. Sai s chun ca c lng cho 2 l bao nhiu?
6. H s xc nh =? RSS = , lch chun mu ca hm hi quy =
7. Tm ma trn phng sai-hip phng sai ca cc h s c lng?
covariance matrix)
Bui 2:
(View
Yu cu: 1. Bit dng kim nh t xem h s trong hm hi quy tng th c bng 0 hay
khng
2. Bit cch dng kim nh Wald v gi tr ca h s hi quy - nhc hc vin
y l dng hi quy c iu kin rng buc/ hi quy thu hp
3. Bit thc hin hi quy ph kim tra a cng tuyn
4. Bit thc hin cc kim nh: White (c v khng c tch cho),
kim nh B-G, Ramsey-Reset, tnh chun ca SSNN
Thc hin: M file ch6bt6, thc hin c lng nh hc bui 1 thu c bng kt
qu mn hnh Equation
Dependent Variable: Q
Method: Least Squares
Date: 11/18/07 Time: 20:47
Sample (adjusted): 1 16
Included observations: 16 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
K
L
-22336.50
2615.988
6.117142
31041.66
424.8504
15.82129
-0.719565
6.157434
0.386640
0.4845
0.0000
0.7053
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.824510
0.797512
13459.40
2.36E+09
-173.1608
0.337815
98446.75
29910.63
22.02010
22.16496
30.53916
0.000012
Bui 3
Ni dung:
1. M hnh c tr phn phi
2. Tnh tc ng ngn hn, di hn trong m hnh ng
3. c lng h phng trnh bng 2SLS
Thc hin
I. M hnh c tr phn phi: M tp s liu : ch9bt1, trong : M l cu danh ngha v
tin; IPD: ch s gim pht; Y: tng thu nhp quc gia theo gi danh ngha; NNI: thu nhp
dng.
Hi quy cc m hnh
M/IPD = 1 +2NNI/IPD +3NNI(-1)/IPD(-1) +u (1)
M/IPD = 1 +2NNI/IPD +3NNI(-1)/IPD(-1) + 4NNI(-2)/IPD(-2)+u (2)
a. M/IPD c ph thic vo cc gi tr tr ca NNI/IPD?
b. M hnh c khuyt tt a cng tuyn?
II. Tc ng ngn hn, di hn trong m hnh ng: M tp s liu : ch9bt1.
Gi s m hnh cu thc t ngn hn v tin sau c xy dng t m hnh hiu chnh
tng phn:
M/IPD = 1 +2Y/IPD +3M(-1)/IPD +u (3)
Kt qu c lng bng OLS:
Dependent Variable: M/IPD
Method: Least Squares
Date: 11/21/07 Time: 23:09
Sample (adjusted): 1949 1964
Included observations: 16 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y/IPD
M(-1)/IPD
-0.061004
14.71238
0.585735
0.020860
3.773938
0.164220
-2.924499
3.898417
3.566768
0.0118
0.0018
0.0034
a. Tnh h s hiu chnh trong m hnh hiu chnh tng phn: (1- 0.585)
b. Tnh tc ng ca thu nhp quc dn theo gi thc t ln cu tin trong ngn hn: 14.71
c. Tc ng ca thu nhp quc dn ln cu tin trong di hn: 14.71/(1-0.585)
III. Uc lng h phng trnh bng 2SLS
M tp s liu ch10bt14
(4)
Coefficient
Std. Error
t-Statistic
Prob.
C
R
I
197.0355
-42.11000
6.292901
105.2668
18.33679
0.197595
1.871773
-2.296477
31.84753
0.0714
0.0291
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.983960
0.982854
207.0662
1243416.
-214.4882
1.055802
2132.692
1581.342
13.59301
13.73043
889.4921
0.000000
a. c m hnh: h s UL ca I l 6.29:
b. Kim tra xem m hnh c t tng quan khng?
View residual tests serial correlation LM
Kt lun: m hnh c t tng quan.
M hnh trn khng ng c lp m cng trong h thng vi m hnh cn bng th trng
tin t, ng LM: R= 4+ 5*M+ 3*Y+ U2
(5)
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
Coefficient
Std. Error
t-Statistic
Prob.
658.5370
-141.9612
7.041547
10.38851
-0.086402
0.013236
203.4192
39.59763
0.358999
1.079811
0.015291
0.002149
3.237339
-3.585095
19.61441
9.620673
-5.650438
6.159581
0.0020
0.0007
0.0000
0.0000
0.0000
0.0000
Determinant residual
covariance
157642.5
Equation: Y=C(1)+C(2)*R+C(3)*I
Instruments: C I M
Observations: 32
R-squared
0.967559 Mean dependent var
Adjusted Rsquared
0.965322 S.D. dependent var
S.E. of
regression
294.4783 Sum squared resid
DurbinWatson stat
0.711789
Equation: R=C(4)+C(5)*M+C(6)*Y
Instruments: C I M
Observations: 32
R-squared
0.722019 Mean dependent var
Adjusted Rsquared
0.702848 S.D. dependent var
S.E. of
regression
1.539269 Sum squared resid
DurbinWatson stat
0.641020
2132.692
1581.342
2514807.
7.294063
2.823746
68.71117
So snh cc h s c lng cho phng trnh (4) bng 2 phng php? Ti sao chng rt
khc nhau? (Gio vin hng dn: Khng thc hin kim nh Hausman, nhng c thng
bo vi hc vin l kim nh Hausman cho thy c tng quan gia bin gii thch v
ssnn trong h phng trnh hnh vi=> UL OLS l cc c lng chch v khng vng).
Bi tp: m file ch3bt7.wf1.
Bin ni sinh: Q, P: lng v gi tht b
Bin ngoi sinh: PS: gi tht ln, PF: gi u vo, DI: thu nhp kh dng
Cho m hnh :
Hm cu: Pt = 11 + 12 Qt + 13 PS t + 14 DI t + U 1t
Hm cung: Qt = 21 + 22 Pt + 23 PFt + U 2t
1. Thc hin OLS cho phng trnh hm cu
Khi gi ca tht ln tng 1 n v th gi tht b tng ln bao nhiu n v?
Gi tht ln c nh hng n gi tht b khng?
Khi cu tht b tng th gi tht b c thay i khng?
2. Thc hin c lng bng phng php 2SLS
Khi gi tht ln tng 1 n v th gi tht b tng bao nhiu n v?
Khi cu tht b tng th gi tht b c thay i khng?
Khi gi tht ln tng 1 n v th trung bnh gi tht b tng bao nhiu n vi?
Khi ga tht b tng 1 n v th cung tht b tng ln bao nhiu n v?
(cc thy c nhc li cho hc vin cch c cc ch s trong bng OLS v cc gi tr:
R2; F-statistic, cch kim nh PSSS thay i v t tng quan)
Coefficient
-6.552
0.381
Std.
Error
1.960
0.110
zStatistic
-3.343
3.454
Prob.
0.001
0.001
Variable
C
X
Coefficient
-3.571
0.209
Std.
Error
0.936
0.053
zStatistic
-3.817
3.940
Prob.
0.000
0.000
C
Xt
Y(-1)
0.002553
0.403818
0.236507
0.001229
0.056287
0.106048
2.076825
7.174307
2.230192
- Tm h s hiu chnh
- Tc ng ngn hn ca X ln sn lng:
- Tc ng ca X ln sn lng cn bng di hn
0.0482
0.0000
0.0349
Y*t =
Alpha
Beta
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:
0.1800
0.5501
122.6026
2.021572
Mean
Trend
104.8669
1.338392
Gii thch: alpha: hng s san trong phng trnh ca gi tr trung bnh, beta: hng s san
trong phng trnh ca gi tr xu th
Mean (104.8669): gi tr ca Y* ti thi im quan st cui cng
Trend (1.338392): gi tr Tn ( xu th ti quan st cui cng)
D bo: Y*n+h = Y*n + hTn vi h = 1, 2,...
Y*n+1 = 104.8669+ 1.338392
Y*n+10 = 104.8669+ 10* 1.338392
II. San m c yu t thi v: M tp s liu ch12bt4 (c 32 quan st)
Nhy p chut vo bin y Procs Exponential smoothing Holt-winters- no
seasonal/ Ok
Parameters:
Alpha
Beta
Gamma
Sum of Squared Residuals
Root Mean Squared Error
End of Period Levels:
0.3300
0.5300
0.0000
0.142967
0.066841
Mean
Trend
1.665869
0.096199
Seasonals:
1972M09
1972M10
1972M11
1972M12
1973M01
1973M02
1973M03
1973M04
1973M05
1973M06
1973M07
1973M08
0.632136
0.926388
0.747986
1.647470
0.690726
1.011925
0.721417
1.718887
0.601425
0.954923
0.751810
1.594908
Gii thch: Mean = y*32; Trend = T32; Seasonals: ch s thi v cho 12 thng cui tp
quan st (t quan st 21 n 32)
D bo
Y*32 = 1.67; T32 =0.1;s=12
F(32-11)=0.63;.;F(32-0) = 1.59
Cng thc
Y*n+1= (Y*n +1x Tn )F(n+1-12)
Y*n+12 = (Y*n +12x Tn )F(n+12-12)
Y*n+13 = (Y*n +13x Tn )F(n+12-2*12)=>
Y*32+1 = (Y*32 +1x T32 )F(32+1-12)
Y*32+12 = (Y*32 +12x T32 )F(32+12-12)