Econometrics: My nightmare
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I am not gonna lie but Econometrics was really my nightmare in the student life. This was the toughest subject I learned at the Faculty of Management and Tourism, Hanoi University. Luckily, I passed all the tests :) However, don't ask me anything about it 'cause I can't remember anything.
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Econometrics: My nightmare
- 1. Nguyen Quynh Anh Hoang Thi Ut Chinh Mai Duc Ha Tran Thu Huong Pham Thanh Tung HANOI UNIVERSITY Faculty of Management and Tourism ECONOMETRICS
- 2. OVERVIEW Introduction Model specification Data Results Discussion & Conclusion
- 3. INTRODUCTION • Vietnam is a big importer (petrol, cars, machineries, steel, etc.) • 5 biggest import markets: China, Singapore, Taiwan, Japan and Korea • GDP continues to grow (estimated at 8.5- 10% in 2008) • CPI generally increases over time • These economic elements have captured our interest
- 4. MODEL SPECIFICATION Importst = β1 + β2*GDPt + β3*CPIt + ut • Imports • GDP • CPI • Relationship
- 5. DATA Year Imports Million USD GDP (base year:1994) Billion VND CPI 1995 8155.4 195567 101 1996 11143.6 213833 100.4 1997 11592.3 231264 100.3 1998 11499.6 244596 100.7 1999 11742.1 256272 100.7 2000 15636.5 273666 100 2001 16217.9 292535 100.1 2002 19745.6 313247 100.3 2003 25255.8 336242 100.2 2004 31968.8 362435 100.8 2005 36761.1 393031 100.7
- 6. Vietnam's Imports from 1995 to 2005 0 5000 10000 15000 20000 25000 30000 35000 40000 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 Year MillonsofDollars Imports
- 7. Vietnam's GDP from 1995 to 2005 0 50000 100000 150000 200000 250000 300000 350000 400000 450000 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 Year BillionsofVND GDP
- 8. Vietnam's CPI from 1995 to 2005 99 99.5 100 100.5 101 101.5 19951996199719981999200020012002200320042005 Year Percentage CPI
- 10. Linear model
- 11. Log-log model
- 12. Linear-log model
- 13. Log-linear model
- 14. CV = SE of regression / Mean dependent variable CV1 ( in linear model ) = 0.104807 CV2 ( in log-log model ) = 0.010144 CV3 ( in lin-log model ) = 0.132146 CV4 ( in log-lin model ) = 0.00868 The final equation Ln^Imports = 4.047323 + 7.54E-06*GDP + 0.035012*CPI
- 15. Errors in the model 1. Multicollinearity Ho: there is no relationship among independent variables H1: there is relationship among independent variables Test at α = 0.05 Fcritical = F(0.05,1,8) = 5.32 Fstatistics < Fcritical Do not reject H0 Conclusion: Not existing a relationship among independent variables.There is no multicollinearity in our model
- 17. 2. Heteroscedasticity • White test with no cross term was used, H0: Homoscedasticity • H1: Heteroscedasticity exists • W = 4.565952 • X2 (0.05, 4) = 9.48773 • Since W < X2 (0.05, 4) • Do not reject Ho. So, heteroscedasticity does not exist in this model
- 19. 3. Autocorrelation • The Breusch-Godfrey (BG) test was used • Ho: no autocorrelation • H1: autocorrelation exists. • BG-statistic = 0.014217 • Compare it to X2 (0.05, 1) = 3.84146 (at α = 0.05) , for BG < X2 (0.05, 1) • Do not reject Ho. Thus, the model does not have autocorrelation phenomenon.
- 21. Discussion • Our model: Ln^Imports = 4.047323 + 7.54E-06 GDP + 0.035012 CPI • R2= 0.975484 states that about 98% of the variation in Imports can be explained by variation of GDP and CPI
- 22. CONCLUSION • Imports have a positive relationship with GDP and CPI • Apart from the two selected independent variables, there are still other ones that have influence on imports in Vietnam (tariffs, barrier removal, etc.)