KINH T LNG - ECONOMETRICS

Ti liu [1]. Nguyn Quang Dong, (2002), Bi ging Kinh t lng, NXB Thng k.(Ti bn cc nm 2000, 2001, 2002, 2003). [2]. Nguyn Cao Vn, Trn Thi Ninh, (1998), L thuyt Xc sut v Thng k ton, NXB GD.(Ti bn cc nm 2002, 2005) [3]. Nguyn Quang Dong, (2002), Kinh t lng - Chng trnh nng cao, NXB KHKT. [4]. Nguyn Quang Dong, (2002), Bi tp Kinh t lng vi s tr gip ca phn mm Eviews, NXB KHKT. [5]. Nguyn Khc Minh, (2002), Cc phng php Phn tch & D bo trong Kinh t, NXB KHKT. [6]. Graham Smith, (1996), Econometric Analysis and Applications, London University. [7] D. Gujarati. Basic Econometrics. Third Edition. McGraw-Hill,Inc 1996. [8] Maddala. Introduction to Econometrics . New york 1992. [9] W. Green. Econometric Analysis. New york 2005. ____________________________________________ Bi m u 1. Khi nim v Kinh t lng (Econometrics) - Nhiu nh ngha, ty theo quan nim ca mi tc gi. - Econo + Metric Khi nim: KTL nghin cu nhng mi quan h Kinh t X hi; thng qua vic xy dng, phn tch, nh gi cc m hnh cho ra li gii bng s, h tr vic ra quyt inh Kinh t lng l kinh t hc thc chng Econometrics Pragmatic Economics

- KTL s dng kt qu ca : + L thuyt kinh t + M hnh ton kinh t + Thng k, xc sut 2. Phng php lun (cc bc tin hnh) 2.1. t lun thuyt v vn nghin cu - Xc nh phm vi, bn cht, tnh cht ca cc i tng v mi quan h gia chng. - Xc nh m hnh l thuyt kinh t hp l. 2.2. Xy dng m hnh kinh t ton : + Mi i tng i din bi mt hoc mt s bin s. + Mi mi quan h: Phng trnh, hm s, bt phng trnh + Gi tr cc tham s : cho bit bn cht mi quan h. 2.3. Xy dng m hnh kinh t lng tng ng - M hnh kinh t ton: ph thuc hm s - M hnh kinh t lng: ph thuc tng quan v hi quy 2.4. Thu thp s liu - S liu c dng : t thng k. 2.5. Uc lng cc tham s ca m hnh. -Vi b s liu xc nh v phng php c th, kt qu c lng l nhng con s c th. 2.6. Kim nh m hnh. - Bng phng php kim nh thng k: kim nh gi tr cc tham s, bn cht mi quan h - Kim nh tnh chnh xc ca m hnh.

- Nu khng ph hp : quay li cc bc trn. - Bin i, xy dng m hnh mi c kt qu tt nht. 2.7. D bo - Da trn kt qu c cho l tt : d bo v mi quan h, v cc i tng trong nhng iu kin xc nh. 2.8.Kim sot v xut chnh sch. - Da vo kt qu phn tch ca m hnh m xut chnh sch kinh t. V d: Nghin cu tnh quy lut ca tiu dng. 1. Xy dng mt lun thuyt kinh t v tiu dng. Trong tc phm: L thuyt v vic lm, li sut v tin t, Keynes vit: Lut tm l c bn . . . l mt ngi s tng tiu dng khi thu nhp ca ngi tng ln, song khng th tng nhiu bng mc tng ca thu nhp

2. Xy dng m hnh kinh t ton tng ng. K hiu: Y l tiu dng X l thu nhp V gi s Y ph thuc tuyn tnh vo X. Ta c m hnh kinh t ton sau y: Y = 1 + 2X M hnh trn thng c gi l Hm tiu dng ca Keynes v phi tho mn iu kin: 0 < 2 < 1 3. Xy dng m hnh kinh t lng tng ng. M hnh kinh t lng tng ng c dng: Yi = 1 + 2Xi + ui Trong ui l sai s ngu nhin. 4. Thu thp s liu thng k. C s liu sau v tng mc tiu dng c nhn ( Y ) v tng thu nhp gp GDP ( X ) ca M giai on 1980 1991 ( n v: t USD ) tnh theo gi c nh nm 1987:

Nm Y 1980 2447.1 1981 2476.9 1982 2503.7 1983 2619.4 1984 2746.1 1985 2865.8 1986 2969.1 1987 3052.2 1988 3162.4 1989 3223.3 1990 3260.4 1991 3240.8 Ngun: Bo co kinh t ca tng thng M, 1993.

X 3776.3 3843.1 3760.3 3906.6 4148.5 4279.8 4404.5 4539.9 4718.6 4838.0 4877.5 4821.0

5. c lng m hnh. Dng phng php bnh phng nh nht, tm c cc uoc lng sau:
1 = -231,8 2 = 0,7194

Nh vy c lng ca hm tiu dng l:

Y i = -231,8 + 0,7194Xi

6. Kim nh m hnh: H0: 2 = 0 H1: 2 > 0 H0: 2 = 1 H1: 2 < 1 H0: M hnh c dng tuyn tnh H1: M hnh c dng phi tuyn

H0: Sai s ngu nhin phn phi chun H1: Sai s ngu nhin khng phn phi chun . . . Mc ch ca kim nh l kim chng li m hnh hoc l thuyt kinh t.

7. D bo. Chng hn c c s cho rng GDP ca M vo nm 1994 l 6000 t USD. Lc c th tm c mt d bo im cho Tng mc tiu dng c nhn ca M vo nm l:
Y 1994 -231,8 + 0,7194*6000 = 4084,6 t USD

T c th xy dng tip cc d bo bng khong tin cy.

8. Kim sot hoc xut chnh sch. Chng hn chnh ph M tin rng nu c c tng mc tiu dng c nhn l 4000 t USD th s duy tr c t l tht nghip mc 6,5%. T duy tr c t l tht nghip ni trn cn phi c c GDP l: GDP ( 4000 + 231,8 )/ 0,7194 5882 t USD.

3. S liu dng trong KTL 3.1. Phn loi - S liu theo thi gian. - S liu theo khng gian. - S liu cho 3.1. Ngun gc - iu tra - Mua - T ngun c pht hnh : Nin gim thng k 3.2. Tnh cht ca s liu - S liu ngu nhin phi thc nghim. - Ph hp mc ch nghin cu. Ch : Dc im chung ca cc s liu kinh t x hi l km tin cy

Bi 1. CC KHI NIM C BN

1. Phn tch hi qui Regression Analysis

1.1. nh ngha Phn tch hi qui l phn tch mi lin h ph thuc gia mt bin gi l bin ph thuc (bin c gii thch, bin ni sinh) ph thuc vo mt hoc mt s bin khc gi l (cc) bin gii thch (bin c lp, bin ngoi sinh, bin hi qui).

1.2. V d Tiu dng v Thu nhp. - Bin ph thuc (dependent variable) k hiu l Y - Bin gii thch( Explaine variable(s)) / hi qui (regressor(s)) k hiu l X, hoc X2, X3. - Bin gii thch nhn nhng gi tr xc nh, trong iu kin bin ph thuc l mt bin ngu nhin.

Phn tch hi qui nghin cu mi lin h ph thuc gia bin ph thuc Y m thc cht l mt bin ngu nhin, ph thuc vo cc gi tr xc nh ca (cc) bin gii thch nh th no. X = Xi (Y/Xi)

1.3. Mc ch hi qui - c lng trung bnh bin ph thuc trong nhng iu kin xc nh ca bin gii thch. - c lng cc tham s. - Kim nh v mi quan h. - D bo gi tr bin ph thuc khi bin gii thch thay i. (*) Hi qui : qui v trung bnh

1.4. So snh vi cc quan h ton khc - Quan h hm s : x y - Quan h tng quan xy - Quan h nhn qu X Y X

2. M hnh hi qui Tng th - Tng th : ton b nhng c th mang du hiu nghin cu - Phn tch hi qui da trn ton b tng th Gi s bin ph thuc Y ch ph thuc mt bin gii thch X

2.1. Hm hi qui tng th (PRF: Population Regression Function). Xt quan h hi qui: X = Xi (Y/Xi) F(Y/Xi) E(Y/Xi) Xi E(Y/Xi) E(Y/Xi) = f(Xi)

Bin ngu nhin Y trong iu kin X = Xi (i =1n) Tn ti Phn phi xc sut c iu kin Tn ti duy nht gi tr K vng c iu kin Quan h hm s Hm hi qui tng th (PRF)

Gi s hm hi qui tng th c dng tuyn tnh E(Y/Xi) = 1 + 2Xi 1 v 2 c gi l cc h s hi quy ( regression coefficient) Trong : 1 = E(Y/Xi = 0): h s chn (INPT : intercept term)

2 =

E (Y / X i ) : h s gc (slope coefficient) X i

Hm hi qui tng th cho bit mi quan h gia bin ph thuc v bin gii thch v mt trung bnh trong tng th.

2.2. Phn loi Hm hi qui tng th c gi l tuyn tnh nu n tuyn tnh vi tham s. 2.3. Sai s ngu nhin. - Xt gi tr c th Yi (Y/Xi), thng thng Yi E(Y/Xi) - t ui = Yi E(Y/Xi) : l sai s ngu nhin (nhiu, yu t ngu nhin: random errors) - Tnh cht ca SSNN : + Nhn nhng gi tr dng v m. + K vng bng 0: E(ui) = 0 i

Bn cht ca SSNN : i din cho tt c nhng yu t khng phi bin gii thch nhng cng tc ng ti bin ph thuc: + Nhng yu t khng bit. + Nhng yu t khng c s liu. + Nhng yu t khng nh hng nhiu n bin ph thuc. + Sai s ca s liu thng k. + Sai lch do chn dng hm s. + Nhng yu t m tc ng ca n khng mang tnh h thng.

2.4. M hnh hi quy tng th PRM: Population regression model (i = 1,N) Yi = 1 + 2Xi + ui

3. M hnh hi qui mu - Khng bit ton b Tng th, nn dng ca PRF c th bit nhng gi tr j th khng bit. - Mu : mt b phn mang thng tin ca tng th.

- W = { (Xi, Yi), i = 1 n} c gi l mt mu kch thc n, c n quan st (observation).

3.1. Hm hi qui mu (SRF : Sample Regression Function) - Trong mu W, tn ti mt hm s m t xu th bin ng ca bin

ph thuc theo bin gii thch v mt trung bnh, Y = f ( X ) gi l

hm hi qui mu (SRF). - Hm hi qui mu c dng ging hm hi qui tng th Nu PRF c dng E(Y/Xi) = 1 + 2Xi Th SRF c dng
Yi
= 1 + 2 Xi
1 v 2 gi l cc h s hi quy -c l-ng

(Estimated regression coefficients)

Yi gi l cc gi tr -c l-ng hay gi tr t-ng hp

(Fitted value)
- V c v s mu ngu nhin, nn c v s gi tr ca 1 v 2

j l bin ngu nhin. - Vi mt mu c th w kch thc n, j s l con s c th.

3.2. Phn d
- Thng thng Yi Yi , t ei = Yi Yi v gi l phn d (residual).

- Bn cht ca phn d ei ging sai s ngu nhin ui

Yi , 1 , 2 , ei l c lng im tng ng ca E(Y/Xi), 1, 2, ui.

3.3. M hnh hi quy mu SRM: Sample regression model

Yi = 1 + 2Xi + ei

Vi mi mu c th s tm c mt SRF tng ng nn phi tm mt c lng tt nht.