Professional Documents
Culture Documents
14
HNG DN THC HNH STATA 12 2014
LI M U
MC LC
Pha trn bn tri ca mn hnh Stata l h thng thc n chnh (main menus)
Nu mun nhp liu trc tip vo Stata, ngi dng cn s dng mn hnh nhp liu
(Data editor window) ca Stata bng cch nhp chut vo nt lnh edit trn thanh
cng c
D liu sau khi chuyn sang Stata nh trn sn sng cho vic x l.
vic nhp liu c thun tin, Stata cn cho php nhng (import) mt tp tin d
liu c sn nhng nh dng khc (nh txt, csv, xls, SAS). Tuy nhin, nh dng
thng gp nht l xls hoc xlsx ca Excel.
Chc nng ny c thc hin bng cch chn mc import trong thc n File ca
h thng thc n chnh hoc dng lnh import ca Stata.
Sau khi chn chc nng t h thng thc n, ca s nhng tp tin s hin ra. Ta phi
ch ng dn n tp tin, chn sheet c s liu, chn vng c s liu trn sheet
chn. Nu dng u tin ca tp tin l tn bin th chn vo import first row as
variable name v sau nhn OK
Cc bin sau khi c nhp trc tip hoc nhng vo Stata s hin th ra trong ca s
1.3.1. Lu d liu
1.3.2. Lu kt qu x l s liu
a. Sao chp v ct dn
Sau cc thao tc trn, ca s kt qu s hin th cc thng tin cho bit tp tin log
c to
Thay v dng lnh drop, ta chn mt hoc nhiu bin cn xa ca s tn bin, nhp
Du cng + Ph nh ~
Du tr - Nh hn <
Du chia / Ln hn >
Ton t v & Hm ex :
exp()
So snh bng ==
kt thc s dng phn mm Stata, c th thot khi phn mm bng cch g lnh exit
vo ca s lnh v nhn phm Enter.
Hoc chn mc Exit trong thc n con ca mc File trong thc n chnh
2.1. M T S LIU
Trc khi tin hnh hi quy, s liu c th c m t kim tra xem liu s liu c
ph hp vi yu cu nghin cu.
Dng lnh describe m t cc thng tin chung nht v tp tin s liu nh s quan st,
s bin, kch thc tp tin, tn cc bin, kiu s liu ca tng bin, v nhn ca bin (nu
c)
Kt qu m t tp tin nh sau
Lu :
2.1.3. V th phn tn
Stata v c rt nhiu loi th nhng th phn tn l dng th thng dng nht
khi phn tch h quy. Ngi dng v th phn tn ca hai bin bng lnh scatter
2.2.1. c lng m hnh hi quy tuyn tnh bng phng php OLS
Y 1 2 X 2 3 X 3 ... k X k U
Vic c lng m hnh hi quy tuyn tnh mu bng phng php OLS trn Stata c
thc hin bng lnh regress vi c php nh sau:
Trong :
hi quy theo v d trn, trc ht, m tp tin doanhthu.dta bng Stata. Sau , hi
quy bng lnh:
2.2.2. H s xc nh v kim nh h s xc nh
t
j
2
se( j ), j t se( j )
2
Trong :
Tuy nhin, Stata lun tnh sn khong tin cy ca h s hi quy vi tin cy 95%.
Nu mun thay i tin cy, v d 99%, dng ty chn level(99) sau lnh regress
C 3 cch kim nh
H 0 : j 0
Gi s cn kim nh gi thuyt hai pha vi tin cy (1 ) v 0 l
H1 : j 0
mt s thc bt k.
H 0 : ChaoHang 7
V d cn kim nh vi tin cy 95%
H1 : ChaoHang 7
Kt qu kim nh nh sau
H 0 : j 0
Gi s cn kim nh gi thuyt pha phi vi tin cy (1 )
H1 : j 0
H 0 : ChaoHang 7
V d, kim nh vi tin cy (1 ) , s dng lnh lincom nh sau :
H1 : ChaoHang 7
tnh p-value ca kim nh ny, sau khi chy lnh lincom, c th ln lt thc hin
cc lnh sau
Lnh ttail() tnh p-value ca kim nh mt pha dng phn phi t-Student
H 0 : ChaoHang 2QuangCao
Gi s cn kim nh gi thuyt vi tin cy (1 )
H1 : ChaoHang 2QuangCao
Kt qu kim nh
H 0 : ChaoHang QuangCao 10
Gi s cn kim nh gi thuyt vi tin cy (1 )
H1 : ChaoHang QuangCao 10
Kt qu
Dng lnh sktest kim nh tnh chun ca sai s. Lnh ny i hi phi c t nht 8
Kt qu hin th
Kt qu hi quy
3.2. DNG HM LOG LOG; DNG HM LOG LIN; DNG HM LIN LOG
3.2.1. Dng hm log log
Kt qu
Kt qu
Kt qu
Cc bc thc hin
Kt qu thc hin
Bin nh tnh l nhng bin s kinh t m gi tr khng th hin bng nhng con s m
bng cc tnh cht m bng cc la chn. a bin nh tnh vo hi quy, ngi ta s
dng bin gi (Dummy variable). Bin Dummy l nhng bin ch nhn gi tr 0 v 1. Bin
ny cn c gi l bin nh phn (Binary variable) hay l bin ch mc (indicator
variable)
Kt qu hi quy
To bin tng tc
Kt qu hi quy
Nhng bin nh tnh c nhp vo theo kiu s liu numeric, thay v to bin gi bng
lnh tabulate, c th dng bin factor a vo m hnh
Tng tc gia hai bin gi c gi l phng php D-I-D trong kinh t lng. V d
sau tng tc gia hai bin gi GioiTinh v HoKhau
Gi s mun c lng mt hi quy thu nhp cho Nam gii v N gii ring bit. Cu lnh c
th dng trong trng hp ny nh sau
M hnh c lng c
H s tng quan gia cc bin c lp trong m hnh c tnh bng lnh correlate
Kt qu
Vic pht hin sai du do a cng tuyn c th thc hin bng cc so snh du ca h s
tng quan gia bin ph thuc v cc bin c lp vi du ca h s hi quy thu c
bng lnh regress. Nu hai du ny khc nhau, l th hin ca sai du cho cc bin
Vy lm sao pht hin m hnh hi quy b phng sai thay i ? X l phng sai
thay i nh th no? Phn thc hnh chng 6 s s dng tp tin s liu
Heteroskesdaticity.dta thc hin cc kim nh v x l khi c phng sai thay i.
Gi s hm hi quy cn c lng :
Y 1 2 X 2 3 X 3 4 X 4 5 X 5 U
Kt qu hi quy
Mt trong nhng du hin ban u cho thy c s hin din ca phng sai thay i l
sai s phn b khng ng u xung quanh gi tr trung bnh ca n.
th thu c nh sau:
Ty chn yline(0) v trc tung ca th. Qua th cho thy phn d ca m hnh c
phn b khng u quanh gi tr trung bnh ca n. y l du hiu ca phng sai thay
i.
H 0 : i2 2
H1 : i2 2 h( 2 z2i ... m zmi )
Sau khi hi quy bng OLS, Stata h tr thc hin kim nh Breusch Pagan bng lnh:
Kt qu
H 0 : i2 2
Gi thuyt H0 ca kim nh White
H1 : i, j : i2 2j
Kim nh phng sai thay i bng kim nh White trn Stata c thc hin bng
lnh :
Kt qu nh sau :
Khi b phng sai thay i, c lng tnh c bng phng php OLS khng cn l
c lng hiu qu na. ng thi cc kim nh v h s hi quy c tnh ton da
trn gi nh var(U i ) 2 khng cn ng tin cy. Vic x l hin tng phng sai
thay i c th tnh li gi tr cc kim nh kim nh ng tin cy hn (bng cch
dng ma trn c lng vng ca hip phng sai) hoc tm c lng hiu qu hn
bng GLS.
S dng c lng vng ca ma trn hip phng sai sai s do White(1980) xut
tnh ton li cc gi tr kim nh khi c phng sai thay i. Trn Stata, vic ny c
thc hin bng cch thm ty chn robust hoc vce(robust) sau cu lnh regress
Kt qu
Phng php GLS tm c lng hiu qu trong trng hp phng sai thay i
c thc hin bng cch tm trng s cho sai s; sau khi hi quy vi trng s,
phng sai ca m hnh tr nn khng i. Do vy , GLS trong trng hp phng sai
thay i cn c gi l WLS (Weighted Least Squares Bnh phng nh nht c trng
s)
Ngoi ra, mt s cu lnh c vit bi cc nh nghin cu cng cho php thc hin
WLS trn Stata nh wls0, vwls
Hin tng t tng quan thng c xt i vi s liu theo thi gian, khi gi thit v
s khng tng quan gia cc sai s b vi phm.
Gi s xt hm hi quy Yt 1 2 X t U t
giaxangvietnamt 1 2 giaxangthegioit U t
Stata nhn dng s liu theo thi gian, cn dng lnh tsset
Bin quarter l bin dng ch nh thi gian trong tp tin s liu ny. Hi quy m6 hnh
Kt qu
Kt qu kim nh tng ng
Cng ging nh trng hp phng sai thay i, hin tng t tng quan cng lm cho
c lng OLS khng cn l c lng hiu qu nht v cc kim nh v h s hi quy
cng khng cn ng tin cy. Do , vic khc phc c th theo hai hng. Mt l, lm
cho kim nh h s hi quy ng tin cy hn bng ma trn c lng hip phng sai
ca Newey West. Hai l, tm c lng hiu qu bng GLS.
tnh ton ma trn c lng hip phng sai. Bandwidth c th c tnh ton bng
1 2
cng thc B 0.75T hoc B 4 T 100
9
3
. Stata khng dng bandwidth mc nh nh
Kt qu bandwidth c chn s l
Kt qu thc hin
Lnh prais c cc ty chn tnh h s t tng quan rho khc nhau (g help prais
xem tr gip ca Stata v cc ty chn ny).
Prais, S. J. and Winsten D. B., (1954), Trend Estimators and Serial Correlation
Cowles Commission, Discussion Paper No. 383, University of Chicago.