1/2/2013

1.

LCH S MN HC

Chng 1

Thut ng Econometrics c s dng u tin bi Pawel Ciompa vo nm 1910 Tuy nhin, mi n nm 1930 , vi cc cng trnh nghin cu ca Ragnar Frisch (Na Uy) th thut ng Econometrics mi c dng ng ngha nh ngy hm nay Cng khong thi gian ny th Jan Tinbergen (H Lan) cng c lp xy dng cc m hnh kinh t lng u tin Hai ng cng c trao gii Nobel nm 1969 gii Nobel kinh t u tin - vi nhng nghin cu ca mnh v kinh t lng

NHP MN KINH T LNG

by Tuan Anh (UEH)

by Tuan Anh (UEH)

1.

LCH S MN HC

2.

NI DUNG NGHIN CU

T nm 1969 n nay c 5 gii Nobel trao cho cc nh kinh t lng Jan Tinbergen, Ragnar Frisch - Nm 1969 Lawrence Klein nm 1980 Trygve Haavelmo nm 1989 Daniel McFadden , James Heckman nm 2000 Robert Engle , Clive Granger - nm 2003
by Tuan Anh (UEH)

Econometrics Kinh t lng c lng, o lng cc mi quan h kinh t i chiu l thuyt kinh t vi thc tin, qua kim nh s ph hp ca cc l thuyt kinh t. D bo cc bin s kinh t.

by Tuan Anh (UEH)

3.

CC MN HC LIN QUAN

4.

QUY TRNH XY DNG M HNH KINH T LNG

Kinh t vi m v kinh t v m Ton hc Xc sut Thng k Tin hc

La chn vn nghin cu Thu thp s liu c lng cc tham s Xy dng m hnh Khng tt Kim nh

Tt S dng m hnh
by Tuan Anh (UEH) by Tuan Anh (UEH)

1/2/2013

5.

S LIU CHO KINH T LNG

5.

S LIU CHO KINH T LNG

C 3 loi s liu chnh :

S liu theo thi gian (Time series data) : l s

S liu cho (Cross data) : S liu ca nhiu bin s

kinh t ti cng mt thi im V d : s liu v cc ch s gi nm 2005

Nm 2001 101,54 105,83 103,19 Ch s gi tiu dng 2005

liu ca mt bin s kinh t ti nhiu thi im V d : s liu v ch s gi tiu dng qua cc nm

Nm Ch s gi tiu dng 2001 2002 2003 2004

Ch s gi vng Ch s gi USD
by Tuan Anh (UEH)

101,54 103,72 103,97 109,28 108,77

by Tuan Anh (UEH)

5.

S LIU CHO KINH T LNG

5.

S LIU CHO KINH T LNG

Ngun ca s liu
S liu thc nghim

S liu hn hp (Panel data) : l s kt hp ca hai loi

s liu trn V d : s liu v cc ch s gi qua cc nm

Nm Ch s gi tiu dng Ch s gi vng Ch s gi USD

by Tuan Anh (UEH)

2001 2002 2003 2004 2005

101,54 103,72 103,97 109,28 108,77 105,83 118,70 126,88 112,14 110,49 103,19 101,95 102,32 100,21 100,83
by Tuan Anh (UEH)

S liu phi thc nghim

6.

MI QUAN H TRONG KINH T LNG

a) Quan h hi quy

Hi quy nghin cu s ph thuc ca mt i lng kinh t ny (bin ph thuc) vo mt hay nhiu i lng kinh t khc (bin c lp, bin gii thch ) da trn tng l c lng gi tr trung bnh ca bin ph thuc trn c s cc gi tr bit trc ca cc bin c lp
Nh vy: Bin c lp c gi tr xc nh trc
Bin ph thuc l i lng ngu nhin tun theo cc

quy lut phn b xc sut

by Tuan Anh (UEH)

1/2/2013

6.

MI QUAN H TRONG KINH T LNG

b) Phn bit quan h hi quy vi cc quan h khc
Quan h hi quy vi quan h nhn qu Quan h hi quy vi quan h tng quan Quan h hi quy vi quan h hm s

V sao sai s U lun tn ti trong m hnh hi quy ?

V khng bit ht cc yu t nh hng n bin ph thuc Y V khng th a ht cc yu t nh hng n Y vo m hnh ( s lm m hnh phc tp ) V khng c tt c cc s liu cn thit V sai st v sai s trong qu trnh thu thp s liu

Hm s : Hm hi quy :

Y f (X )
Y f ( X ) U
Vi U l sai s

by Tuan Anh (UEH)

by Tuan Anh (UEH)

6.

MI QUAN H TRONG KINH T LNG

6.

MI QUAN H TRONG KINH T LNG

c) Hm hi quy tng th - PRF(Population Regression Function ) L hm hi quy c xy dng da trn s liu ca tt c cc i tng cn nghin cu

c) Hm hi quy tng th - PRF (Population Regression Function )

PRF : Yi f ( X 2i , X 3i ,... X ki ) U i
Y : Bin ph thuc Yi : Gi tr thc t c th ca bin ph thuc X2,X3,, Xk : Cc bin c lp X2i,X3i,, Xki : Gi tr c th ca bin c lp Ui : Sai s ngu nhin ng vi quan st th i
by Tuan Anh (UEH)

PRF : Yi f ( X 2i , X 3i ,... X ki ) U i
Hoc :

E(Y | X 2i , X 3i ,...X ki ) f ( X 2i , X 3i ,...X ki )

by Tuan Anh (UEH)

6.

MI QUAN H TRONG KINH T LNG

d)Hm hi quy mu - SRF (Sample Regression Function ) Trong thc t rt kh nghin cu trn tng th nn thng thng ngi ta nghin cu xy dng hm hi quy trn mt mu => Gi l hm hi quy mu

SRF : Yi f ( X 2i , X 3i ,... X ki ) ei
Vi ei l sai s trong mu, l phn d, l c lng ca Ui.

SRF : Yi f ( X 2i , X 3i ,... X ki )
by Tuan Anh (UEH)