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ECONOMETRICS

ECONOMETRICS. Bùi Dương Hải National Economics University www.mfe.edu.vn/buiduonghai. Reference. [1] Studenmund, A. H. Using Econometrics: A Practical Guide , 6 th edition (Pearson, 2011). [2] Studenmund’s slides [3] Bùi Dương Hải’s slides [4] Tony and Iris’s lecture notes.

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ECONOMETRICS

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  1. ECONOMETRICS Bùi Dương Hải National Economics University www.mfe.edu.vn/buiduonghai

  2. Reference • [1] Studenmund, A. H. Using Econometrics: A Practical Guide, 6th edition (Pearson, 2011). • [2] Studenmund’s slides • [3] Bùi Dương Hải’s slides • [4] Tony and Iris’s lecture notes Bùi Dương Hải - NEU

  3. Overview of Data analysis Problem Descriptive Statistics Charts, Tables,… Data Estimate Pro-bability Inferential Statistics Hypothesis test Estimate Theory, Model Econometrics Hypothesis Test Analyze, forecast Bùi Dương Hải - NEU

  4. Econometrics Research issue Economic Theory Data Gathering Modelling Data processing Estimate Diagnostic Testing Analyzing Forecasting Bùi Dương Hải - NEU

  5. Correlation coefficient • Measure linear relationship between two variables: X and Y • In sample, denoted by r(X,Y) or rXY • Absolute value: | r |  1 • Positively correlated: r > 0 • Negatively correlated: r < 0 • No correlated: r = 0 • Greater | r |  stronger correlation. Bùi Dương Hải - NEU

  6. Modeling and estimate • Population model: Y = β1 + β2X2 + … + βKXK+ u • Coefficients, intercept, slope, random error • Sample (size of N), cross-sectional data: • Time series data: Bùi Dương Hải - NEU

  7. OLS estimation • Estimation: • OLS classical assumptions: 7 assumptions • BLUE: Best Linear Unbiased Estimator • Standard error of estimated coefficient Bùi Dương Hải - NEU

  8. Measure goodness of fit • Determination coefficient • Adjusted R-squared • Modified R-squared Bùi Dương Hải - NEU

  9. Hypothesis test Bùi Dương Hải - NEU

  10. Important hypothesis • H0: βk = 0: Xk does not explain to Y • HA: βk 0: Xk explains to Y • If | t | > critical value: reject H0: coefficient is statistically significant • Using P-value: (computed by software) • P-value < significant level: Reject H0 • P-value > significant level: NOT reject H0 Bùi Dương Hải - NEU

  11. Overall significant: F-test • H0: β1 = β2 = … = βK = 0: None of explanatory var. explains to Y: overall insignificance • HA: Not H0: • If F > critical value: reject H0: Regression is overall significance • Using P-value: (computed by software) Bùi Dương Hải - NEU

  12. Diagnostic tests • Ramsey: H0: Regression equation is NOT error HA: Regression equation is error • White: H0: Model is homoscedasticity HA: Model is heteroscedasticity • B-G: H0: NO serial correlation HA: Serial correlation • JB: H0: Disturbance is Normality HA: Disturbance is NOT Normality Using F-test and Chi-sq test / P-value Bùi Dương Hải - NEU

  13. Eviews report (VN enterprise survey 2010) Y: Gross output, K: capital, L: labor Dependent Variable: Y Method: Least Squares Sample: 1 100 Included observations: 100 Variable Coefficient Std. Error t-Statistic Prob.   C -485.9608 95.85601-5.069695 0.0000 K 1.292811 0.04440429.11470 0.0000 L 2.214092 0.05094343.46253 0.0000 R-squared0.964118    Mean dependent var 3707.680 Adjusted R-sq 0.963378    S.D. dependent var 1425.836 S.E. of reg.272.8616Akaike info criterion 14.08535 Sum sq. resid 7221985.    Schwarz criterion 14.16350 Log likelihood -701.2674F-statistic 1303.136 Durbin-Watson 2.090510 Prob(F-statistic) 0.000000 Bùi Dương Hải - NEU

  14. Eviews report Ramsey RESET Test: F-statistic 0.006172 Probability 0.937544 Log likelihood ratio 0.006429 Probability 0.936093 Ramsey RESET Test: F-statistic 0.006172 Probability 0.937544 Log likelihood ratio 0.006429 Probability 0.936093 White Heteroskedasticity Test: F-statistic 24.53252 Probability 0.000000 Obs*R-squared 50.81036 Probability 0.000000 Jacques Berra Test: Chi-squared 9.753215 Probability 0.000000 Bùi Dương Hải - NEU

  15. Function form • Semilog (lin-log): Y = β1 + β2 ln(X) + u • Inversed semilog (log-lin) lnY = β1 + β2 X + u (Original: Y = eβ1 + β2X + u) • Log-linear (log-log / double log): lnY = β1 + β2 lnX + u (Original: Y = eβ1Xβ2eu) Bùi Dương Hải - NEU

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