5/16/2013

D liu bng
(Panel Data)

inh Cng Khi Thng 5/2013

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Ni dung
1. 2. 3.

Gii thiu chung v d liu bng Nhng li th khi s dng d liu bng c lng m hnh hi qui d liu bng M hnh nhng nh hng c nh (FEM) M hnh nhng nh hng ngu nhin (REM)

4. Cc kim nh phng sai thay i v tng quan chui trong d liu bng.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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Gii thiu chung v s liu bng

Th no l d liu bng? D liu bng l d liu c 2 chiu: chiu khng gian v chiu thi gian.

L s m rng d liu cho (cross section) theo thi gian

(time series).

L d liu cho theo chui thi gian (cross sectional time-series data).

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Bng cn i (Balanced panel)

Tnh Nm GDP Dn s

1 1

2005 2006

1
2 2 2
.

2007
2005 2006 2007 .. . 2005 2006 2007
GV. inh Cng Khi - FETP- Kinh t lng ng dng

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Bng khng cn i (Unbalanced panel)

Tnh Nm GDP Dn s

1 1 1 2

2005 2006 2007 2005

2
10
.

2006
2007 . 2005 2006 2007
GV. inh Cng Khi - FETP- Kinh t lng ng dng

63 63 63

Nhng li th ca vic s dng d liu bng

D liu bng cung cp nhiu thng tin hn, bin thin hn, t c s a cng tuyn gia cc bin s, bc t do cao hn, v hiu qu hn.

Bng cch nghin cu cc d liu cho mt cch lp i lp li, d liu bng thc hin tt hn cc nghin cu v nhng thay i xy ra lin tc nh t l tht nghip, di chuyn lao ng.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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Nhng li th ca vic s dng s liu bng

Cho php kim sot s khc bit khng quan st c gia

cc thc th (entities), v d nh khc bit vn ho gia cc quc gia hay s khc bit v trit l kinh doanh gia cc cng ty.
Cho php kim sot cc bin khng quan st c nhng

thay i theo thi gian (chnh sch quc gia, tha thun quc t).
Cho php nghin cu cc m hnh phc tp, v d nh tnh

kinh t do quy m hay thay i cng ngh.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

D liu bng

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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c lng cc m hnh hi qui d liu bng: Phng php nhng nh hng c nh

M hnh c lng

Yit 1 2 X 2it 3 X 3it uit

i= 1, 2, 3, 4 v t = 1, 2, .., 20 trong Yit = tng u t thc ca cng ty i ti thi im t X2it = gi tr thc ca cng ty i ti thi im t X3it = tr lng vn ca cng ty i ti thi im t uit = nhiu trng

(1)

GV. inh Cng Khi - FETP- Kinh t lng ng dng

c lng cc m hnh hi qui d liu bng (tt)

Xem xt vic c lng (1) trong 5 trng hp sau y: 1. Tung gc v h s gc ging nhau gia cc cng ty v

qua thi gian (phn d th hin s khc bit gia cc cng ty v qua thi gian).
2. Tung gc khc nhau gia cc cty, h s gc l hng s 3. Tung gc khc nhau gia cc cng ty v qua thi gian,

h s gc l hng s.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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c lng cc m hnh hi qui d liu bng (tt)

4. Tung gc v h s gc thay i gia cc cng ty. 5. Tung gc v h s gc thay i gia cc cng ty v qua thi gian.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

c lng cc m hnh hi qui d liu bng (tt) Ngun: Cao Ho Thi

Y Y

cng tung gc, cng h s gc

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cng tung c gc, khc nhau v h s gc

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c lng cc m hnh hi qui d liu bng (tt) Ngun: Cao Ho Thi

Y Y

Khc tung gc Cng h s gc

X X

Khc tung gc Khc h s gc

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c lng cc m hnh hi qui d liu bng (tt)

TH 1: Tung gc khng i v h s gc khng i

Yit 1 2 X 2it 3 X 3it uit

TH 2: Tung gc thay i theo i v h s gc khng i M hnh nhng cc nh hng c nh (fixed effects) hay m hnh bnh phng ti thiu cc bin gi (LSDV)

Yit 1i 2 X 2it 3 X 3it uit

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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M hnh nhng nh hng c nh (fixed effects) hay m hnh bnh phng ti thiu cc bin gi (LSDV)

Mi thc th u c nhng c im ring bit, c th nh hng n cc bin gii thch. V d: Cch thc kinh doanh ca mt cng ty c th nh hng n gi tr ca cng ty hay tr lng vn ca n.

Gi thit rng c s tng quan gia phn d ca mi thc th

(c cha cc c im ring) vi cc bin gii thch.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

M hnh nhng nh hng c nh (fixed effects) hay m hnh bnh phng ti thiu cc bin gi (LSDV)

FE c th kim sot v tch nh hng ca cc c im ring bit (khng i theo thi gian) ny ra khi cc bin gii thch chng ta c th c lng nhng nh hng thc (net effects) ca bin gii thch ln bin ph thuc.

Cc c im ring bit (khng i theo thi gian) ny l n nht i vi 1 thc th v khng tng quan vi c im ca cc thc th khc.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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c lng cc m hnh hi qui d liu bng (tt)

Yit 1i 2 X 2it 3 X 3it uit Yit 1 2 D2i 3 D3i 4 D4i 2 X 2it 3 X 3it uit
D1i = 1 nu quan st thuc GE; bng 0 nu khng thuc GE D2i = 1 nu quan st thuc GM; bng 0 nu khng thuc GM D3i = 1 nu quan st thuc US; bng 0 nu khng thuc US D4i = 1 nu quan st thuc WEST, bng 0 nu khng thuc WEST

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phn tch s liu bng (tt)

TH 3: Tung gc thay i theo t v h s gc khng i (s thay i v cng ngh, chnh sch ca chnh ph, thu)

Yit 1t 2 X 2it 3 X 3it uit Yit 1 2t35 3t36 .. 4t54 2 X 2it 3 X 3it uit
t35 = 1 nu quan st nm 1935; bng 0 nu khng phi t36 = 1 nu quan st nm 1936; bng 0 nu khng phi .. t54 = 1 nu quan st nm 1954; bng 0 nu khng phi .

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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Phn tch s liu bng (tt)

TH 4: Tung gc thay i theo i v t v h s gc khng i

Yit 1 2 D2i 3 D3i 4 D4i 1t35 .. 19t53 2 X 2it 3 X 3it uit

TH 5: Tung thay i v h s gc thay i

Yit 1 2 D2i 3 D3i 4 D4i 2 X 2it 3 X 3it 1 ( D2i X 2it )

2 ( D2i X 3it ) 3 ( D3i X 2it ) 4 ( D3i X 3it ) 5 ( D4i X 2it ) 6 ( D4i X 3it ) uit

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Nhng hn ch ca FEM hay LSDV

C qu nhiu bin c to ra trong m hnh, do c kh nng lm gim bc t do v lm tng kh nng s a cng tuyn ca m hnh.

FEM khng o lng c tc nhn khng thay i theo thi gian nh gii tnh, mu da, hay chng tc.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

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M hnh nhng tc ng ngu nhin (random effects model)

c im ring gia cc thc th c gi s l ngu nhin v khng tng quan n cc bin gii thch th chng ta dng REM.

REM xem cc phn d ca mi thc th (khng tng

quan vi bin gii thch) l mt bin gii thch mi.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

M hnh nhng tc ng ngu nhin (random effects model)

Yit 1i 2 X 2it 3 X 3it uit

1i 1 i Yit 1 2 X 2it 3 X 3it i uit wit i uit

E ( wit ) 0
2 var( wit ) 2 u ;

cov( wit , wis )

2 2 2 u

i ~ N (0, 2 )
2 uit ~ N (0, u )

E ( i uit ) 0 E ( i j ) 0
GV. inh Cng Khi - FETP- Kinh t lng ng dng

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M hnh FEM (LSDV) hay REM

Nu i v Xs khng c tng quan, s dng REM Nu i v Xs c tng quan, s dng FEM Nu T ln, N nh, 2 phng php ging nhau Nu N ln, T nh, kt qu c lng ca 2 phng php kh khc nhau.

Nu N ln, T nh, cc iu kin trong REM c tha, c lng ca REM c hiu qu hn FEM

GV. inh Cng Khi - FETP- Kinh t lng ng dng

M hnh FEM (LSDV) hay REM

Hausman test Ho: c lng ca FEM v REM khng khc nhau p-value < 0.05, bc b Ho Nu bc b H0, REM khng hp l, nn s dng FEM Breusch-Pagan Lagrange Multiplier cho REM Stata: xttest0 Ho: Phng sai qua cc thc th l khng i p-value < 0.05, bc b Ho
GV. inh Cng Khi - FETP- Kinh t lng ng dng

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Cc test khc

Phng sai thay i trong FEM Stata: xttest3 Ho: Phng sai khng thay i p-value < 0.05, bc b Ho

Tng quan chui (kim nh nhn t Lagrange) Stata: xtserial y x Ho: Khng c tng quan chui p-value < 0.05, bc b Ho (c tng quan chui)
GV. inh Cng Khi - FETP- Kinh t lng ng dng

13