eco assignment 8807

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  1 Bài tp và hướng dn phân tích sliu bng SPSS 

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Eco Assignment 8807

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  • 1

    Bi tp v hng dn phn tch s liu bng SPSS

  • 2

    BAI TAP CA NHAN

    I.ASSIGNMENT 1:

    Bi 1: Anh/Ch hy vo trang web: http://www.fpts.com.vn/user/stock/thong-ke/ thu thp s liu theo thng ca ch s gi chng khon VN Index (VNI) v gi ca c phiu ca Cng ty Chng khon Si Gn (SSI), v thc hin cc yu cu sau y: - lu s liu va thu thp v di dng tp tin Excel vi tn : data1.xls a. Chuyn hai chui d liu qua tp tin Eviews vi tn bin l VNI v SSI? - click chut phi vo data1.xls chn Open with/Eviews - trong hp thoi Spreadsheet Read: - bc 1: chn Custom range sau iu chnh ti ct cn t tn /Next - bc 2: ln lt nhp tn cho 2 ct l VNI v SSI /Finish

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    b. V hai bin VNI v SSI trn cng mt th? - t ca s tp tin, chn Quick/Graph - trong Series list, nhp tn bin vo (bin no trc honh g trc): vni ssi /OK - nu chn Type: l Line & Symbol v Axis/Scale : #2 SSI l Right /OK th ta c th sau

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    c. Tnh sut sinh li ca th trng (Rm) v hy v trn cng th hai bin VNI v Rm? Lu , Rm c th c tnh nh sau Rm = (VNIt VNIt-1)/VNIt-1 hoc Rm = ln(VNIt/VNIt-1). Trong Eviews, hm ln c s dng l log. - trn mn hnh lnh ca Eviews nhp : genr rm=log(vni/vni(-1)) - sau , tng t cu b, chn Quick/Graph, ri nhp tn bin : vni rm /OK - chn Type: Line & Symbol v Axis/Scale cho Rm l Right /OK, ta c th sau

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    d. V th tn sut km thng k m t bin SSI? Gii thch ngha ca cc thng k trong bng kt qu? - chn Quick/Series Statistics/Histogram and Stats - trong Series name, nhp tn bin : ssi /OK , c th sau

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    Series: SSISample 1 24Observations 24

    Mean 103.6250Median 61.75000Maximum 265.0000Minimum 21.40000Std. Dev. 80.80398Skewness 0.645914Kurtosis 2.037646

    Jarque-Bera 2.594943Probability 0.273222

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    ngha ca cc thng k trong bng kt qu : Series : bin Sample : mu quan st Observations : s quan st Mean : gi tr trung bnh Median: trung v Maximum: gi tr ln nht Minimum: gi tr nh nht Std.Dev. : lch chun Skewness : nghing Kurtosis : nhn Jarque-Bera: thng k JB, cng nh th bin cng d c phn phi chun Probability: xc sut tng ng ca JB, cng nh th kh nng bc b gi thit Ho cng cao (gi thit Ho mc nh l : bin c pp chun), y c kt qu 0.273222 (rt nh) tc l bin khng c phn phi chun e. V trn cng th VNI v VNI tr mt giai on? - chn Quick/Graph - nhp tn bin : vni vni(-1) /OK , c th sau

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    VNI VNI(-1)

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    f. V gin t tng quan ca VNI vi tr c chn l 5. Anh/Ch hy gii thch v nu ngha cc h s AC v PAC? - chn Quick/Series Statistics/Correlogram - trong Series name, nhp tn bin : vni(-5) /OK - trong Correlogram Specification, chn Level /OK, c gin tng quan sau

    ngha cc h s AC v PAC : AC (Autocorrelation Coefficient): h s t tng quan xc nh chui thi gian dng hay khng :

    - l dng khi AC u tin 0 nhng cc AC tip theo =0 mt cch c ngha thng k - l khng dng khi mt s AC 0 mt cch c ngha thng k

    PAC (Partial Autocorrelation Coefficient): h s t tng quan ring xc nh m hnh ARIMA thch hp g. V gin t tng quan sai phn bc nht ca VNI vi tr c chn l 5. Anh/Ch c nhn xt g gia kt qu cu (g) v cu (f)? - chn Quick/Series Statistics/Correlogram - trong Series name, nhp tn bin : d(vni,5) /OK - trong Correlogram Specification, chn Level /OK, c gin tng quan sau

  • 7

    Nhn xt kt qu cu g v f : - cu g l chui thi gian khng dng v: cc h s AC u rt cao v v sau gim dn =0 theo tr - cu f l chui thi gian dng v: cc h s AC u 0 nhng tip theo s =0 Bi 2: S dng tp tin hhexpe06.dta (tp tin Stata), chuyn sang tp tin Eviews v thc hin cc yu cu sau y: - click chut phi vo hhexpe06.dta chn Open with/Eviews - xut hin hp thoi Table read specification: chn cc bin cn thit theo yu cu ca bi chuyn sang Eviews (mc nh l chn ht) /OK

  • 8

    a. V th tn sut cc bin chi tiu la go, chi tiu phi lng thc, chi tiu gio dc, chi tiu sc khe, chi tiu nc ung, chi tiu in sinh hot v qui m h gia nh Vit Nam nm 2006? - m cng lc cc bin riceexp, nonfdx_1, educex_1, hlthex_1, waterexp, elecexp, hhsize bng cch : gi phm Ctrl khi chn bin ri click chut phi chn Open/as Group m bin

    - t ca s va m, chn View/Graph - trong Graph Options : chn Type l Distribution /OK, ta c th tn sut nh sau

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    b. Lp bng gi tr trung bnh ca cc bin trn theo 5 nhm thu nhp khc nhau? Anh/Ch rt ra c nhn xt g?

    - double click m tng bin, ca s mi bin ta lm nh nhau - chn View/Descriptive Statistics & Tests/Stats by Classification - xut hin hp thoi Statistics By Classification : - trong Statistics : click chn Mean - trong Series/Group for classify : nhp bin thu nhp (ko tm thy???) /OK, ta c

    kt qu nh sau Nhn xt:

    c. Lp bng gi tr trung bnh ca cc bin trn theo 8 vng a l khc nhau Vit Nam? Anh/Ch rt ra c nhn xt g?

    - double click m tng bin, ca s mi bin ta lm nh nhau - chn View/Descriptive Statistics & Tests/Stats by Classification - xut hin hp thoi Statistics By Classification : - trong Statistics : click chn Mean - trong Series/Group for classify : nhp Reg8 (bin vng a l) /OK, ta c cc kt

    qu nh sau

  • 10

    Nhn xt Vit Nam nm 2006:

    - Chi tiu la go trung bnh: cao nht vng 7 (1970.702), thp nht vng 1 (663.8771)

    - Chi tiu phi lng thc trung bnh: cao nht vng 7 (9690.978), thp nht vng 3 (3196.382)

    - Chi tiu gio dc trung bnh: cao nht vng 7 (2003.274), thp nht vng 3 (675.6620)

    - Chi tiu sc khe trung bnh: cao nht vng 7 (1986.412), thp nht vng 3 (658.8135)

    - Chi tiu nc ung trung bnh: cao nht vng 7 (236.9655), thp nht vng 3 (40.83916)

    - Chi tiu in sinh hot trung bnh: cao nht vng 7 (1182.311), thp nht vng 3 (250.9021)

    - Qui m h gia nh trung bnh: cao nht vng 3 (6 ngi/h), thp nht vng 1 (4 ngi/h) Vng 7: c chi tiu TB cao nht => vng ng bng Nam B (mc sng cao) Vng 3: mc chi tiu TB thp + qui m h gia nh TB cao nht => vng duyn hi min Trung (ngho, ng con) Vng 1: chi tiu TB la go v qui m h gia nh TB thp nht => vng ni caoTy Nguyn (thiu lng thc, dn tc thiu s)

  • 11

    d. Lp bng so snh gi tr trung bnh cc bin trn theo hai khu vc thnh th v nng thn? Anh/Ch rt ra c nhn xt g?

    - double click m tng bin, ca s mi bin ta lm nh nhau - chn View/Descriptive Statistics & Tests/Stats by Classification - xut hin hp thoi Statistics By Classification : - trong Statistics : click chn Mean - trong Series/Group for classify : nhp Urban06 (bin khu vc) /OK, ta c kt qu

    nh sau

    Nhn xt : - trung bnh v chi tiu la go, chi tiu phi lng thc, chi tiu gio dc, chi tiu sc khe, chi tiu nc ung, chi tiu in sinh hot : thnh th (URBAN) u cao hn nng thn - trung bnh v qui m h gia nh Vit Nam nm 2006: nng thn (4.301) cao hn thnh th (4.104)

    thnh th c mc sng cao hn nng thn nng thn cha thc hin k hoch ha gia nh bng thnh th

    e. Anh/Ch hy kim nh xem c s khc bit v chi tiu gio dc trung bnh gia thnh th v nng thn hay khng?

    - m bin educex_1 - chn View/Descriptive Statistics & Tests/Equality Tests by Classification - xut hin hp thoi Tests By Classification: - trong Series/Group for classify: nhp URBAN06 - trong Test equality of: chn Mean ( kim nh trung bnh ) /OK, c kt qu sau

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    Gi tr ANOVA F-test c Probability thp bng 0.0000 (m p-value cng thp th kh nng bc b H0 cng cao) do ta bc b H0 (H0: trung bnh chi tiu gio dc thnh th v nng thn l bng nhau) c s khc bit v chi tiu gio dc trung bnh gia thnh th v nng thn

    Bi 3:

    Anh/Ch hy chn v phn tch mt vn v nng lc cnh tranh cp tnh Vit Nam m

    mnh quan tm. h tr bi tp ny, Anh/Ch nn s dng tp tin PCI.xls ca cc nm

    2006, 2007, v 2008 (v cc bo co tng hp lin quan).

  • 13

    Bi 4:

    Cho X ~ N(8,25) = 8 , = 5

    Yu cu: V pht ha th cho tng trng hp. a. Tnh P(X > 8.6)

    C Z = 5

    86.8 = 0.12 vi Z ~ N( 0,1 )

    P( X > 8.6 ) = P( Z > 0.12 ) = 1 - P( Z < 0.12 ) = 1 - 0.5478 = 0.4522 Tnh P( Z < 0.12 ) bng Excel, s dng hm : = NORMDIST ( 0.12 , 0 , 1 , true ) = 0.547758426

    b. Tnh P(8 < X < 8.6) V =8 v phn phi ca X l pp chun ( pp chun i xng quanh gi tr ) nn :

    P( 8 < X < 8.6 ) = 50% - P( X > 8.6 ) = 0.5 - 0.4522 = 0.0478

    c. Tnh P(X < 7.4) V =8 v phn phi ca X l pp chun ( pp chun i xng quanh gi tr ) nn :

    P( X < 7.4 ) = P( X > 8.6 ) = 0.4522

    d. Tnh P(7.4 < X < 8.6) V =8 v phn phi ca X l pp chun ( pp chun i xng quanh gi tr ) nn :

    P( 7.4 < X < 8.6 ) = 2 * P( 8 < X < 8.6 ) = 2 * 0.0478 = 0.0956 Bi 5:

  • 14

    T mt mu 25 quan st, ngi ta tnh c gi tr trung bnh l 172.5 v lch chun l 15.4. Gi s c gi thit sau y:

    N = 25 , = 172.5 , = 15.4 H0: = 168 H1: 168 Yu cu: V pht ha th cho tng trng hp. a. Xc nh loi thng k kim nh ph hp?

    Loi KIM NH TRUNG BNH ( vi X c phn phi chun ) : - l thng k t : vi gi thit H0, c phn phi t vi s bc t do l N-1 ( nu khng bit ca X ) - l thng k z : vi gi thit H0, c phn phi chun ha ( nu bit ca X ) y do ta bit = 15.4 , nn thuc loi thng k z c phn phi chun ha

    b. Kim nh gi thit trn vi mc ngha ln lt nh sau: = 1%, 5%, 10%, v 15%? Anh/Ch cho bit khi thay i th quyt nh chp nhn hay bc b gi thit H0 s thay i nh th no?

    - M bin - Chn View/ Descriptive Statistics & Tests/ Simple Hypothesis Tests - Xut hin hp thoi Series Distribution Tests : - Trong Test value: nhp vo MEAN l 168 - Trong Mean test assumption: nhp vo ENTER s.d. if known l 24 ( do = N-1 =

    25 -1) /OK Khi cng tng th cng d chp nhn gi thit Ho

    II. ASSIGNMENT 2: Bi 2: T d liu ca Assignment 1

    1. c lng m hnh CAPM c dng: log(SSI/SSI(-1)) c log(VNI/VNI(-1)) : Chn 2 bin ssi v vni Quick/Estimation Equation nhp log(SSI/SSI(-1)) c log(VNI/VNI(-1))

    Dependent Variable: LOG(SSI/SSI(-1)) Method: Least Squares Date: 04/11/09 Time: 12:29 Sample (adjusted): 2 22 Included observations: 21 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    C -0.010652 0.006188 -1.721389 0.1014

    LOG(VNI/VNI(-1)) 0.878655 0.404512 2.172137 0.0427

  • 15

    R-squared 0.198927 Mean dependent var -0.012801 Adjusted R-squared 0.156765 S.D. dependent var 0.030483 S.E. of regression 0.027992 Akaike info criterion -4.223392 Sum squared resid 0.014888 Schwarz criterion -4.123913 Log likelihood 46.34561 Hannan-Quinn criter. -4.201802 F-statistic 4.718180 Durbin-Watson stat 1.670739 Prob(F-statistic) 0.042709

    2. V trn cng th cc bin sut sinh li thc t, sut sinh li c lng v

    phn d ca m hnh trn : Tip tc trong ca s Estimation Equation trn, chn View/Actual, Fitted, Residual/ Actual, Fitted, Residual Graph.

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    Residual Actual Fitted

    3. Xy dng khong tin cy 95% cho B2:

    Trn dng lnh, nhp: scalar b2_cd=c(2)-@qtdist(0.975,20)*@stderrs(2) gi tr chn di. scalar b2_ct=c(2)-@qtdist(0.975,20)*@stderrs(2 gi tr chn trn. So snh b2 vi 2 gi tr trn, nu b2_cd

  • 16

    Bi 3: III. ASSIGNMENT3: Bi 1:

    a) Nhp p vo bin y -> vo view/ Descriptive Statistic & Tests/ Stats by classification, g X2 Series/ group for classify -> ta c bng sau:

    Descriptive Statistics for Y Categorized by values of X2 Date: 05/20/09 Time: 22:31 Sample: 1 30 Included observations: 30

    X2 Mean Std. Dev. Obs.

    [0, 20) 42.57143 9.501880 7 [20, 40) 56.28571 10.45170 7 [40, 60) 56.33333 5.316641 6 [60, 80) 59.00000 5.049752 5 [80, 100) 66.80000 8.642916 5

    All 55.30000 11.16692 30

    Nhn xt: doanh s bn hng tng theo im v k nng bn hng. b) M hnh d bo: cha hc! c) Hi quy: mn hnh lnh: ls y c x2 x3 x4 x5 x6, ta c bng sau:

    Dependent Variable: Y Method: Least Squares Date: 05/20/09 Time: 22:39 Sample: 1 30 Included observations: 30

    Variable Coefficient Std. Error t-Statistic Prob. C -90.62915 17.84109 -5.079799 0.0000

    X2 0.202915 0.028221 7.190144 0.0000 X3 6.154295 0.921462 6.678840 0.0000 X4 0.112319 0.503071 0.223266 0.8252 X5 -0.013198 0.785811 -0.016796 0.9867 X6 -0.586477 1.762090 -0.332830 0.7422

    R-squared 0.895539 Mean dependent var 55.30000

    Adjusted R-squared 0.873776 S.D. dependent var 11.16692 S.E. of regression 3.967380 Akaike info criterion 5.770945 Sum squared resid 377.7625 Schwarz criterion 6.051185 Log likelihood -80.56418 Hannan-Quinn criter. 5.860596 F-statistic 41.15014 Durbin-Watson stat 1.895046 Prob(F-statistic) 0.000000

    Cc h s b4,b5,b6 khng c ngha thng k. H s b2, b3 c ngha thng k v c du ng vi k vng.

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    V: - b2 >0 : im v k nng bn hng cng cao th doanh s bn hng cng tng

    theo. - b3 >0 : nhn vin cng hng hi trong cng vic th doanh s bn hng cng

    tng.

    d) c lng m hnh d bo: cha hc!

    Bi 2:

    a) Chn cc bin y,b2,b3,b4,b5,b6,b7,b8 -> nhp chut phi, Open/as group -> vo view/ Descriptive stats/common sample

    X2 X3 X4 X5 X6 X7 X8 Y Mean 22.36898 172.5951 31.74383 1723.560 255.0064 39.85211 47.95525 2266.132 Median 9.025000 26.62300 17.88800 342.2877 33.20000 20.55600 24.61515 472.0812 Maximum 207.7000 4186.930 348.1426 45999.01 4485.195 423.2698 785.0718 60334.51 Minimum 0.442000 1.066000 0.429000 2.398000 1.011100 0.267000 0.750000 6.803000 Std. Dev. 30.58231 438.6564 39.58890 4488.490 573.7774 55.84726 86.40719 5799.043 Skewness 2.638699 5.133975 3.290828 5.794956 3.859590 3.502381 5.336685 5.944537 Kurtosis 11.73742 36.88443 20.81731 45.86810 21.32879 19.38885 38.88011 48.11877

    Jarque-Bera 1146.128 13789.44 3968.524 21692.00 4350.833 3494.271 15414.33 23947.59 Probability 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

    Sum 5905.412 45565.10 8380.372 455020.0 67321.69 10520.96 12660.19 598258.9 Sum Sq. Dev. 245978.0 50606322 412194.9 5.30E+09 86584999 820275.1 1963611. 8.84E+09

    Observations 264 264 264 264 264 264 264 264

    b) Chn cc bin y,b2,b3,b4,b5,b6,b7,b8 -> View/ Group statistics/ Correlations

    X2 X3 X4 X5 X6 X7 X8 Y

    X2 1.000000 0.573045 0.260664 0.581816 0.606916 0.208016 0.210286 0.602849 X3 0.573045 1.000000 0.122734 0.905251 0.627895 0.023502 0.262369 0.932005 X4 0.260664 0.122734 1.000000 0.083741 0.123914 0.456082 0.079123 0.105862 X5 0.581816 0.905251 0.083741 1.000000 0.624455 0.020705 0.196601 0.987976 X6 0.606916 0.627895 0.123914 0.624455 1.000000 0.043653 0.253913 0.618947 X7 0.208016 0.023502 0.456082 0.020705 0.043653 1.000000 0.013897 0.052856 X8 0.210286 0.262369 0.079123 0.196601 0.253913 0.013897 1.000000 0.215714 Y 0.602849 0.932005 0.105862 0.987976 0.618947 0.052856 0.215714 1.000000

    Nhn xt: cc h s tng quan gia cc bin thp -> khng c a cng tuyn (cha chc lm!) c) Cc bin gii thch c h s tng quan vi y ln hn 0.7 l X3, X5 V th phn tn gia X3 vi Y:

    - Quick/Graph/ nhp x3 y/ (Type) chn Scatter/ (Fit lines) chn Regression line (-> to ng hi quy)

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    Nhn xt : y l m hnh ph hp v cc gi tr phn tn quanh ng hi quy. V th phn tn gia X5 vi Y: (tng t vi X3)

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  • 19

    d) Nhp p vo bin y -> vo view/ Descriptive Statistic & Tests/ Stats by classification, g X3 X2 Series/ group for classify -> ta c bng sau:

    Descriptive Statistics for Y Categorized by values of X3 and X2 Date: 05/21/09 Time: 00:22 Sample: 1 266 Included observations: 265

    Mean

    Std. Dev. X2 Obs. [0, 50) [50, 100) [100, 150) [150, 200) [200, 250) All

    [0, 1000) 1032.968 2383.734 6163.426 11049.50 NA 1246.357 1575.080 2188.790 5477.006 NA NA 1917.238 227 21 3 1 0 252 [1000, 2000) 14698.14 16465.63 29127.00 9254.117 34736.00 17979.29 6131.026 9293.366 NA NA NA 9514.644 4 4 1 1 1 11

    X3 [2000, 3000) NA 28085.00 NA NA NA 28085.00 NA NA NA NA NA NA 0 1 0 0 0 1 [4000, 5000) NA NA 60334.51 NA NA 60334.51 NA NA NA NA NA NA 0 0 1 0 0 1 All 1269.594 5538.690 21590.36 10151.81 34736.00 2265.183 2473.740 7873.685 24144.75 1269.527 NA 5788.070 231 26 5 2 1 265

    Nhn xt: - Cng khong gi tr ca X3 (chi tiu vn hu hnh) th gi tr trung bnh ca Y tng theo X2 (tng s lao ng) - Cng khong gi tr ca X2 (tng s lao ng) th gi tr trung bnh ca Y tng theo X3 (chi tiu vn lao ng). d) Chin lc chn m hnh: t tng qut (general) n gin n (simple): B1: hi quy Y theo tt c cc bin:

    Dependent Variable: Y Method: Least Squares Date: 05/21/09 Time: 00:32 Sample: 1 266 Included observations: 264

    Variable Coefficient Std. Error t-Statistic Prob. C -155.3579 64.48403 -2.409246 0.0167

    X2 6.102751 1.971835 3.094961 0.0022 X3 2.771448 0.241587 11.47185 0.0000 X4 -0.620636 1.258533 -0.493142 0.6223 X5 1.032169 0.023537 43.85339 0.0000

  • 20

    X6 -0.334775 0.106573 -3.141288 0.0019 X7 2.907275 0.882797 3.293253 0.0011 X8 0.351253 0.527540 0.665832 0.5061

    R-squared 0.985744 Mean dependent var 2266.132

    Adjusted R-squared 0.985355 S.D. dependent var 5799.043 S.E. of regression 701.7919 Akaike info criterion 15.97499 Sum squared resid 1.26E+08 Schwarz criterion 16.08335 Log likelihood -2100.698 Hannan-Quinn criter. 16.01853 F-statistic 2528.820 Durbin-Watson stat 1.955415 Prob(F-statistic) 0.000000

    -> cc h s b4,b8 khng c ngha thng k. B2: Kim nh Wald test (kim nh gi thit ng thi: c phi c 2 bin ny X4,X8 ng thi khng nh hng ln doanh s hay khng) -> t kt qu hi quy-> view/Coefficient Tests/ Wald-Coefficient Restrictions/ g C(4)=C(8)=0 (Ho), ta c bng:

    Wald Test: Equation: Untitled

    Test Statistic Value df Probability F-statistic 0.334088 (2, 256) 0.7163

    Chi-square 0.668175 2 0.7160

    Null Hypothesis Summary: Normalized Restriction (= 0) Value Std. Err. C(4) -0.620636 1.258533

    C(8) 0.351253 0.527540 Restrictions are linear in coefficients.

    -> p-value ca F-statistic ln (0.7163)-> chp nhn Ho (c x4,x8 ng thi khng nh hng n Y) B3: hi quy Y theo x2,x3,x5,x6,x7

    Dependent Variable: Y Method: Least Squares Date: 05/21/09 Time: 00:45 Sample: 1 266 Included observations: 265

    Variable Coefficient Std. Error t-Statistic Prob. C -149.1473 59.07772 -2.524596 0.0122

    X2 6.068047 1.947646 3.115580 0.0020 X3 2.783337 0.237022 11.74293 0.0000 X5 1.030859 0.023233 44.37082 0.0000 X6 -0.320920 0.105859 -3.031572 0.0027 X7 2.718822 0.800158 3.397854 0.0008