N TP KINH T LNG CN BN

Phng Thanh Bnh

ptbinh@ueh.edu.vn


1
Phn tch d liu v d bo
Lp Thm nh Gi K37
SG.24.10.2013

Bi ging ny nhm h thng li nhng kin thc cn bn
nht m bn c hc mt cch my mc giai on i
cng. Ti s khng nh cp thi gian ca bn mt ln na
lp li nhng g c l bn hc hoc c th t hc t
cc bi ging hoc gio trnh kinh t lng. Qua hai bui
n tp ny, ti mun xoy vo nhng iu m bn thn ti
tng thc mc nhiu nm v trc. Cc ni dung s trnh by
bao gm:
c im ca cc c lng OLS
ngha ca h s hi quy ring
Chn bin gii thch
Chn dng hm
a cng tuyn
Tng quan chui
Phng sai thay i
Hng dn mt s lnh trn Stata v Eviews

NI DUNG N TP 1:
C IM CA CC C LNG OLS
Trc ht, chng ta xem xt m hnh hi quy n vi Y
i
l
bin ph thuc v X
i
l bin gii thch. m bo u
i
l
mt hng nhiu ngu nhin (error term) theo phn phi chun
(normal distribution), chng ta cn p t mt s gi nh
v tm thi chp nhn cc gi nh ny ng. Lu rng,
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


2
tin li cho vic nh my, ti xin s dng cc k hiu b
1

v b
2
thay cho
1

v
2

, B
1
v B
2
thay cho
1
v
2
, v e
i

(phn d, residuals) thay cho
i
u theo li vit truyn thng
trong cc gio trnh kinh t lng.
Y
i
= B
1
+ B
2
X
i
+ u
i
(1)
Y
i
= b
1
+ b
2
X
i
+ e
i
(2)
OLS estimates (ordinary least squares) ?
Min
2
i i
2
i
) Y

Y ( e
=
2
i 2 1 i
) X b b Y ( (3)
Ly o hm bc mt theo b
1
v b
2
:
0 e 2 ) X b b Y ( 2
b
e
i i 2 1 i
1
2
i
(4)
0 X e 2 X ) X b b Y ( 2
b
e
i i i i 2 1 i
2
2
i
(5)
Yi = nb1 + b2 Xi (6)
Y
i
X
i
= b
1
X
i
+ b
2
X
2
i
(7)
Phng trnh (5) v (6) c th c th hin di dng ma
trn nh sau:

2 . 2
A
2
i i
i
X X
X n

1 , 2
B
2
1
b
b
=

1 , 2
C
i i
i
X Y
Y
(8)
Theo quy tc Cramer, ta c:
b
1
=
2
i
2
i
i i i i
2
i
X X n
X Y X Y X
(9)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


3
b
2
=
2
i
2
i
i i i i
X X n
Y X X Y n
(10)
Ta c:
b
1
= X b Y
2
(11)
Th b
1
phng trnh (11) vo phng trnh (7) tm b
2

nh sau:
Y
i
X
i
= ( X b Y
2
) X
i
+ b
2
X
2
i

Y
i
X
i
=
i 2 i
X X b X Y + b
2
X
2
i

Do X n X
i
, nn ta c:
Y
i
X
i
=
2
2
X nb X Y n + b
2
X
2
i

Y
i
X
i
- X Y n =
2
2
i 2
X n X b (12)
Ta li c,
) Y X Y X Y X Y X ( ) Y Y )( X X (
i i i i i i

= Y X Y X X Y Y X
i i i

= Y X n Y X n Y X n Y X
i i

= Y X n Y X
i i
(13)
V

2
i
) X X ( = ) X X X 2 X (
2
i
2
i

=
2
i
2
i
X X X 2 X
=
2
2
i
X n X X n 2 X
=
2
2
i
X n X (14)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


4
Th phng trnh (13) v (14) vo phng trnh (12) ta c:
2
i 2 i i
) X X ( b ) Y Y )( X X (
b
2
=
2
i
i i
) X X (
) Y Y )( X X (
(15)
=
2
i
i i
x
y x

Ngoi ra, b
2
phng trnh (15) cn c th c th hin
mt cch khc nh sau:
b
2
=
2
i
i i
x
y x

=
2
2
i
i i i
2
i
i i
X n X
) x Y Y x
) X X (
) Y Y ( x

=
2
2
i
i i
2
2
i
i i i
X n X
Y x
X n X
) X X ( Y Y x

=
2
2
i
i i
X n X
Y x
=
2
i
i i
x
Y x
(16)
Cc cng thc phng trnh (11) v (16) mch cho chng ta
mt iu rt th v rng, b
1
l mt hm tuyn tnh theo b
2
,
v b
2
l mt hm tuyn tnh theo Y
i
, nn c b
1
v b
2
u l
cc hm tuyn tnh theo Y
i
. V Y
i
l mt hm tuyn tnh theo
u
i
, vy b
1
v b
2
l cc hm tuyn tnh theo u
i
. Cho nn, nu
u
i
c phn phi chun (da theo cc gi nh CLRM) th b
1
v
b
2
cng s c phn phi chun.
Mi quan h gia c lng OLS v hng nhiu
Cng thc phng trnh (16) c th c vit li nh sau:
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


5
b
2
=
2
i
i i
x
Y x
=
i i
Y k (17)
trong ,
k
i
=
2
i
i
x
x
(18)
Phng trnh (17) cho thy b
2
l mt c lng tuyn tnh
bi v n l mt hm tuyn tnh ca Y
i
. Tng t, b
1
cng l
mt c lng tuyn tnh theo Y
i
.
b
1
= X b Y
2

=
i i
Y k X Y (19)
Tnh cht ca k
i

1. Do X
i
c gi nh l phi ngu nhin (xem li cc gi
nh CLRM), nn k
i
cng phi ngu nhin.
2. 0 k
i
(do 0 x
i
) (20)
3.
2
i
2
i
x
1
k (do
2
i
2
i
2
i 2
i
x
1
.
x
x
k ) (21)
4. 1 X k x k
i i i i
(22)
(do
i i i i i i i i i
X k k X X k ) X X ( k x k )
Lu , vic t k
i
=
2
i
i
x
x
ch nhm lm gn cng thc ca
c lng b
2
. Da vo cc tnh cht ca k
i
ta suy ra cc
cng thc ca b
1
v b
2
nh sau. Th cng thc Y
i
= B
1
+ B
2
X
i
+
u
i
vo cng thc (17), ta c
b
2
= ) u X B B ( k
i i 2 1 i

=
i i i i 2 i 1
u k X k B k B
=
i i 2
u k B (23)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


6
Th cc cng thc X B B Y
2 1
v cng thc Y
i
= B
1
+ B
2
X
i
+
u
i
vo cng thc (19), ta c:
b
1
=
i i 2 1
Y k X X B B
= ) u X B B ( k X X B B
i i 2 1 i 2 1

=
i i i i 2 i 1 2 1
u k X X k B X k B X X B B
=
i i 1
u k X B (24)
Nh vy, b
1
v b
2
by gi l mt hm tuyn tnh ca hng
nhiu ngu nhin u
i
. Chnh v th, cc c lng b
1
v b
2
s
c phn phi theo u
i
(tc phn phi chun). Vn tip theo
l chng ta cn phi xem xt gi tr k vng v phng sai
ca cc c lng b
1
v b
2
?
c im ca cc c lng OLS
[tc phn phi xc sut ca cc c lng OLS]
Nhc li mt s gi nh CLRM (xem bi ging 5 hoc cc
gio trnh kinh t lng):
1. Gi nh 2: Cc gi tr X
i
l phi ngu nhin.
2. Gi nh 4: Gi tr trung bnh ca hng nhiu u
i
bng 0.
3. Gi nh 5: Hng nhiu ui c phng sai khng i.
[hai gi nh ny hm rng u
i
~ N(0,
2
)]
4. Gi nh 6: Khng c t tng quan gia cc hng nhiu
[cov(u
i
,u
j
) = 0].
5. Gi nh 10: M hnh hi quy c xc nh ng.
Gi tr trung bnh (k vng) ca b
1
v b
2

T (23) v (24), nu ly gi tr trung bnh ca cc c
lng b
2
v b
1
ta s c:
E(b
1
) = ) u k X B ( E
i i 1
= B
1
(25)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


7
E(b
2
) = ) u k B ( E
i i 2
= B
2
(26)
Nh vy, cc c lng OLS c mt tnh cht rt quan trng
l c gi tr trung bnh ng bng gi tr thc ca tng
th. Chnh nh iu ny m ngi ta gi cc c lng OLS
l cc c lng khng chch.
Sai s chun ca b
1
v b
2

T nh ngha v phng sai ta c:
Var(b
2
) = E[b
2
E(b
2
)]
2

= E(b
2
B
2
)
2
do E(b
2
) = B
2
(27)
Th cng thc (23) vo (27), ta c:
Var(b
2
) = E(B
2
+
i i
u k - B
2
)
2
=
2
i i
u k E = ) u u k k 2 ... u u k k 2 u k ... u k ( E
n 1 n n 1 n 2 1 2 1
2
n
2
n
2
1
2
1

Do ta gi nh phng sai nhiu khng i, nn
2 2
i
) u ( E ti
mi gi tr i v khng c t tng quan nn E(u
i
u
j
) = 0, vi
i j, nn ta c:
Var(b
2
) =
2 2
n
2 2
2
2 2
1
k ... k k
=
2
i
2
k (28)
Th cng thc (21) vo (28) ta c:
Var(b
2
) =
2
i
2
x
(29)
Thc hin tng t, ta c:
Var(b
1
) = E[b
1
E(b
1
)]
2

= E(b
1
B
1
)
2
do E(b
1
) = B
1
(30)
Var(b
1
) =
2
2
i
2
i
x n
X
(31)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


8
Ly cn bc hai cc phng trnh (29) v (31) ta c cc sai
s chun ca cc h s hi quy b
1
v b
2
nh sau:
se(b
2
) =
2
i
x
(32)
se(b
1
) =
2
i
2
i
x n
X
(33)
Trong ,
2
l mt hng s do ta gi nh phng sai nhiu
khng i. Vi mt d liu mu nht nh th ta c th d
dng tnh c
2
i
X v
2
i
x , tr
2
. Nu c c mt gi
tr phng sai nht nh th cc sai s chun ca cc h s
hi quy s c mt gi tr xc nh.
c im phng sai ca cc c lng OLS?
(1) Phng sai ca b
2
t l thun vi phng sai nhiu
2

nhng t l nghch vi
2
i
x . iu ny c ngha l,
vi gi tr
2
khng i, cc gi tr X
i
cng bin
thin quanh gi tr trung bnh, th phng sai ca b
2

cng nh v v th chnh xc trong vic c lng
gi tr thc ca B
2
cng cao. Ngc li, vi gi tr
2
i
x khng i, phng sai nhiu
2
cng ln, th
phng sai b
2
cng ln. Lu rng, khi c mu tng,
s s hng trong
2
i
x s tng, nn
2
i
x s tng. Nh
vy, khi n tng, th chnh xc trong vic c
lng gi tr thc ca B
2
cng cao.
(2) Phng sai ca b
1
t l thun vi phng sai nhiu
2

v
2
i
X nhng t l nghch vi
2
i
x v c mu n.
(3) Do cc b
1
v b
2
l cc c lng, tc l cc bin
ngu nhin, nn chng khng ch thay i t mu ny
qua mu khc m cn, trong mt mu nht nh, chng
c th ph thuc ln nhau, v s ph thuc ny c
o bng hip phng sai gia chng. Hip phng sai
gia b
1
v b
2
c xc nh nh sau:
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


9
Cov(b
1
,b
2
) = )]} b ( E b )][ b ( E b {[ E
2 2 1 1

= ) B b )( B b ( E
2 2 1 1
(34)
Ta bit rng, X b Y b
2 1
v X B Y ) b ( E
2 1
, nn ta c:
) B b ( X ) b ( E b
2 2 1 1
(35)
Th (35) vo (34) ta c:
Cov(b
1
,b
2
) =
2
2 2
) B b ( E X
= ) b var( X
2

=
2
i
2
x
X (36)
Do var(b
2
) lun dng, nn bn cht ca hip phng sai
gia b
1
v b
2
ph thuc vo du ca X. Nu X dng,
th hip phng sai s m, v ngc li. Chnh v vy,
nu h s dc B
2
c c lng qu cao, th h s
ct B
1
s c c lng qu thp (gi tr rt nh).
Kt lun ny rt quan trng khi ta xem xt hin tng
a cng tuyn.
Nh vy, khi c cc sai s chun ca cc c lng OLS,
se(b
1
) v se(b
2
), ta c th d dng tnh c cc c lng
khong ca cc c lng OLS.
Cc c im ny vn ng i vi cc c lng OLS ca m
hnh hi quy bi.

NI DUNG N TP 2:
NGHA CA H S HI QUY RING
n gin, chng ta xt m hnh hi quy bi vi hai bin
gii thch X
2
v X
3
:
PRF: Y
i
= B
1
+ B
2
X
2i
+ B
3
X
3i
+ u
i
(1)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


10
SRF: Y
i
= b
1
+ b
2
X
2i
+ b
3
X
3i
+ e
i
(2)
Vi gi nh b sung l khng c a cng tuyn hon ho
(gi nh 9), c lng OLS b
2
v b
3
(xem bi ging 7 hoc
cc gio trnh kinh t lng) c xc nh nh sau:
2
i 3 i 2
2
i 3
2
i 2
i 3 i 2 i 3 i
2
i 3 i 2 i
2
) x x ( ) x )( x (
) x x )( x y ( ) x )( x y (
b (3)
2
i 3 i 2
2
i 3
2
i 2
i 3 i 2 i 2 i
2
i 2 i 3 i
3
) x x ( ) x )( x (
) x x )( x y ( ) x )( x y (
b (4)
Theo ti, bn c th khng cn n cc cng thc n
gin ca cc c lng b
2
v b
3
[hoc b
k
trong m hnh vi k
bin gii thch] v v bn cht chng cng c cc c im
tng t nh c lng OLS c cp rt chi tit
NI DUNG 1. Vn quan trng l chng ta nn hiu ngha
ca cc c lng ny nh th no cho ng? Ti sao li gi
b
2
, b
3
, , b
k
l cc h s hi quy ring (partial
coefficients) hay nh hng ca X
k
ln Y gi l nh hng
ring (partial effect)?
Tht ra, h s hi quy b
2
phng trnh (2) c th c
vit li mt cch quen thuc nh sau:
Y
i
= b
2 i
+ v
i
(5)
c lng OLS (nh NI DUNG 1), ta c:
2
i
i i
2
y
b (6)
C ngha, chng ta hi quy Y
i
theo
i
, vi
i
c nh
ngha nh sau:
x
2i
= dx
3i
+
i
(7)
trong :
2
i 3
i 3 i 2
x
x x
d (nu cha hiu, xem li NI DUNG 1)!
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


11
Ta nhn thy, phn d
i
l mt phn ca X
2
khng c lin
quan g n X
3
hay n chnh l X
2
sau khi loi tr nh
hng ca X
3
. Kt hp (5) v (7), ta c th hiu ngha ca
h s b
2
nh sau: b
2
l nh hng ca X
2
ln Y khi loi
tr nh hng ca X
3
. Chng ta thc hin tng t cho b
3
.
i vi m hnh k bin th
i
l phn d ca phng trnh
(v d) x
3
= d
2
x
2i
+ d
4
x
4i
+ + d
k
x
ki
+
i
.
hiu tng tn hn v mi lien h gia cng thc (6) v
(3), chng ta cn mt vi php bin i nh sau (dnh cho
nhng ai thch tm hiu su):
2
i
i i
2
e
y e
b (6)
=
2
i 3 i 2
i i 3 i 2
) dx x (
y ) dx x (

=
i 3 i 2
2
i 3
2 2
i 2
i i 3 i i 2
x x d 2 x d x
y x d y x

=
i 3 i 2
2
i 3
i 3 i 2 2
i 3
2
2
i 3
i 3 i 2 2
i 2
i i 3
2
i 3
i 3 i 2
i i 2
x x
x
x x
2 x
x
x x
x
y x
x
x x
y x

=
2
i 3
2
i 3 i 2
2
i 3 i 2
2
i 3
2
i 2
2
i 3
i i 3 i 3 i 2
2
i 3 i i 2
x
x x 2 x x x x
x
y x x x x y x

=
2
i 3 i 2
2
i 3
2
i 2
i 3 i 2 i i 3
2
i 3 i i 2
x x x x
x x y x x y x
(3)
Qua phn tch trn, chng ta rt ra hai iu th ny:
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


12
1. Chng ta c th xem
i
nh x
i
trong hi quy n, v cc
c im ca c lng OLS b
2
, b
3
, , b
k
c phn tch
mt cch tng t nh NI DUNG 1.
2. Nu c hin tng a cng tuyn hon ho, th
i
bng
0, nn khng th c lng c b
k
. Nu c hin tng
a cng tuyn, th gi tr
i
s thay i (gim), nn
bk c th b c lng thp v/hoc khng c ngha
thng k.

NI DUNG N TP 3:
XC NH M HNH: CHN BIN GII THCH
Hai vn quan trng khi chn bin gii thch l b st
bin thch hp (omitted relevant variables) v tha bin
khng thch hp (included irrelevant variables). Phn ny
s gip bn hiu r ti sao chng ta thng quan tm nhiu
n vn b st bin quan trng v xut cc tiu ch
xc nh ng m hnh khi thc hin d n nghin cu.
B st bin thch hp
Gi s m hnh ng c dng nh sau:
Y
i
= B
1
+ B
2
X
2i
+ B
3
X
3i
+ u
i
(1)
Tuy nhin, v l do no m ta c lng m hnh sau y:
Y
i
= b
1
+ b
2
X
2i
+
*
i
u

(2)
(Y
i
= B
1
+ B
2
X
2i
+ u
*
i
=> u
*
i
= B
3
X
3i
+ u
i
) (3)
gi s rng:
X
3i
= a
0
+ a
1
X
2i
+ e
i
(4)
v c lng OLS vi phng trnh (2), ta c:
b
2
=
i i
Y k = B
2
+
*
i i
u k
(5)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


13
th (3) vo (5), ta c:

= B
2
+ ] X B u [ k
i 3 3 i i

= B
2
+ ] X k B u k
i 3 i 3 i i
(6)
th (4) vo (6), ta c:

= B
2
+ ] X a a [ k B u k
i i 2 1 0 i 3 i i

= B
2
+ ] k B X k a B a k B u k
i i 3 i 2 i 1 3 0 i 3 i i

= B
2
+ ] k B .1 a B 0 u k
i i 3 1 3 i i
(7)
Ly gi tr k vng ca b
2
t phng trnh (7), ta c:
E(b
2
) = B
2
+
1 3
a B
(8)

B
3
> 0 B
3
< 0
a
1
> 0 Positive bias Negative bias
a
1
< 0 Negative bias Positive bias
Lu : khi B
3
= 0 hoc a
1
= 0?

Ch khi r
23
= 0 (tc X
2
v X
3
c lp) th cc c lng OLS
s khng b chch (unbiased) v phng sai ca cc c
lng OLS khng gim.
True Var(b
2
) =
2
i 2
2
3 . 2
2
x ) r 1 (
false Var(b
2
) =
2
i 2
2
x

Tha bin khng thch hp
Gi s m hnh ng c dng nh sau:
Y
i
= B
1
+ B
2
X
2i
+ u
i
(9)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


14
Tuy nhin, v l do no m ta c lng m hnh sau y:
Y
i
= b
1
+ b
2
X
2i
+ b
3
X
3i
+ u
*
i
(10)
(Y
i
= B
1
+ B
2
X
2i
+ B
3
X
3i
+ u
i

=> u
*
i
= u
i
- B
3
X
3i
) (11)
gi s rng: B
3
= 0
Do B
3
= 0, nn u
*
i
= u
i
, => E(b
2
) = B
2
.
Tuy nhin,
True Var(b
2
) =
2
i 2
2
x
false Var(b
2
) =
2
i 2
2
3 . 2
2
x ) r 1 (

Nh vy, tha bin khng thch hp khng lm chch cc c
lng OLS. Tuy nhin, iu ny c th lm tng phng sai
(v v th cc sai s chun) ca cc c lng OLS, v v
th l tng kh nng chp nhn gi thit H
0
.
Tiu ch quan trng cn lu khi xc nh dng m hnh:
(theo Studenmund, 2001: p.167)
- Theory
- t-Test
- Adjusted R
2

- Bias
- Graph, normality test!!!

NI DUNG N TP 4:
XC NH M HNH: CHN DNG HM
Do Not Suppress the Constant Term
Biased
Do Not Rely on Estimates of the Constant Term
Garbage collector
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


15
Forecast beyond the range of the sample data => greater
error.
Basic Functional Forms?
Problems with Incorrect Functional Forms?

NI DUNG N TP 5:
A CNG TUYN (MULTICOLLINEARITY)
SE(b
2
) =
) r 1 ( x
f . d / u
2
23
2
i 2
2
i
(12)

Problems?
- Estimates will remain unbiased
- The Vars and S.E of the estimates will increase
- The computed t-scores will fall
- Estimates will become very sensitive to changes in
specification (dng hm v d liu)
Detection?
- Correlation Coefficients (cng thc? hn ch g?)
- VIF =
2
i
R 1
1
(gii thch R
2
i
? rule of thumb: VIF > 5)
Remedies?
- Do nothing (m hnh d trn c s l thuyt, cc h s
c ngha thng k, du nh k vng; v trnh loi b
bin v c th dn n c lng chch do b st bin
thch hp)
- Drop a redundant variable (khi no?)
- Transform the multicollinear variables (composite
variable, dng bin)
- Increase the size of the sample (ti sao?)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


16
NI DUNG N TP 6:
TNG QUAN CHUI (SERIAL CORRELATION)
Y
t
= B
1
+ B
2
X
t
+
t
(1)

t
=
t-1
+ u
t
(2)
Y
t
= B
1
+ B
2
X
t
+
t-1
+ u
t
(3)
Y
t-1
= B
1
+ B
2
X
t-1
+
t-1
(4)
Th
t-1
(4) vo (3), ta c:
Y
t
- Y
t-1
= B
1
(1-)+ B
2
(X
t
- X
t-1
) + u
t
(5)
Khi 1, ta gi d liu chuyn i nh (5) l quasi-
differenced data, v khi = 1, ta gi l first difference.
2
2
u
1
) ( Var
Pure v.s Impure Serial Correlation?
Durbin-Watson test for AR(1) [d statistic]/Breusch-Godfrey
test for AR(q) [LM statistic]
[Feasible] GLS (quasi-difference: Cochrane-Orcutt method,
AR method, and first difference)
Conditions: Strictly exogeneous, and AR(1) only
Cochrane-Orcutt method:
Bc 1: Y
t
= b
1
+ b
2
X
t
+ e
t
(6)
Bc 2: e
t
= e
t-1
+ u
t
(7)
Bc 3: Y
t
- Y
t-1
= b
1
(1-)+ b
2
(X
t
- X
t-1
) +
t
u (8)
...
AR(1): tng t, v h s theo AR(1) l
Y
t
= b
1
+ b
2
X
t
+ AR(1) + e
t
(9)
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


17
Khi tng quan chui bc cao (higher order serial
correlation)?
Eviews: Y x AR(#)
Stata: tsset time
prais y x, cors
Stata: tsset time
newey y x, lag(#)
[use "D:\Wooldridge Data _ 2003\STATA\PHILLIPS.DTA", clear]
(see Wooldridge, p.408)
tsset year
prais inf unem, corc

N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


18
Newey-West (1987) S.E? (Wooldridge, p.411-412)
[serial correlation-robust standard error for b
k
]
[use "D:\Wooldridge Data _ 2003\STATA\PRMINWGE.DTA", clear]
tsset time
newey y x, lag(#)


NI DUNG N TP 7:
PHNG SAI THAY I (HETEROSKEDASTICITY)
Nhc li cng thc phng sai ca c lng OLS (xem li
NI DUNG 1)
Tests?
HC S.E? (or H-robust S.E)
WLS?
FGLS?
Procedure?
- Run the regression of y on x
1
, x
2
, , x
k
, and obtain the
residuals, e
N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


19
- Create log(e
2
)
- Run the regression log(e
2
) on x
1
, x
2
, , x
k
, and obtain
the fitted values, g.
- Exponentiate the fitted values: h = exp(g)
- Estimate the equation y = B
1
+ B
2
X
2
+ + B
k
X
k
+ u by WLS
using weights 1/h.
[see Wooldridge, p.264]




N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


20
NI DUNG N TP 8:
HNG DN STATA 11 V EVIEWS 6

Hi quy OLS
Stata:
regress depvar [indepvars] [if] [in] [weight] [, options]

Eviews:
ls depvar c [indepvars]

Kim nh phn d
Stata:
Sau khi hi quy:
predict res, residuals
hist res
sktest res

Eviews:
genr res=resid
hist res

Kim nh Wald
Stata:
test indepvar1 indepvar2
test indepvar1+indepvar2=1

Eviews:
View\Coefficient tests\Wald Coefficient Restrictions
c(2)=c(4)
c(2)+c(3)=1

Thng k AIC, SIC
Stata
estimates stat

N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


21
Eviews:
C sn trong bng kt qu hi quy

Kim nh Durbin-Watson
Stata (time series only):
tsset time
estat dwatson

Eviews:
C sn trong bng kt qu hi quy

Kim nh Breuch-Godfrey
Stata
estat bgodfrey, lags(1 2)

Eviews:
View\Residual tests\Serial correlation LM test

Kim nh phng sai thay i
Stata
hettest
(ch c Breusch-Pagan)

Eviews:
View\Residual tests\Heteroskedasticity tests

FGLS: Cochrane-Orcutt
Stata
tsset time
prais y x, cors

Eviews:
ls Y x AR(#)

N TP KINH T LNG CN BN
Phng Thanh Bnh
ptbinh@ueh.edu.vn


22
FGLS: Newey-West
Stata
tsset time
newey y x, lag(#)
Eviews
Quick/Estimate equation/Options
Newey-west

FGLS: Heteroskedasticity-robust standard error
Stata
regress depvar [indepvars] [if],robust

Eviews
Quick/Estimate equation/Options
White

Ma trn h s tng quan
Stata
corr indepvars

Eviews
cor indepvars

VIF
Stata
VIF