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Econometrie

Gr 8692
Specializarea C.I.G.

Tematica proiectului
In acest proiect mi-am propus sa construiesc un model econometric pentru a pune in
evidenta anumite legaturi sau corelatii care se stabilesc intre variabilele introduse in model.
Ca variabila de explicat (y) am ales productia agricola exprimata in mii tone, iar ca
variabile explicative suprafata agricola cultivata in mii ha (x1),servicile de mecanizare in
mld lei ,imbunatatirile funciare in mld lei,servicile de reproductie si selectie in mld lei si
numarul de tractoare folsite in agricultura (mii) intr-un judet.
ani
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999

y
512.22
644.38
584.18
689.79
764.81
435.63
589.05
517.41
516.31
519.89
400.29
673.91
655.14
670.06
388.92
637.86
727.92
551.60
519.57
449.01

x1
386.80
401.03
394.95
405.26
411.66
376.76
395.47
387.43
387.30
387.72
371.52
403.81
402.06
403.46
369.73
400.40
408.59
391.40
387.69
378.64

x2
22.662
25.385
24.170
26.264
27.655
20.872
24.270
22.747
22.723
22.801
20.007
25.960
25.596
25.885
19.721
25.256
26.980
23.486
22.794
21.190

x3
26.713
33.321
30.311
35.591
39.342
22.884
30.554
26.973
26.918
27.097
21.117
35.116
34.059
34.605
20.748
32.995
37.498
28.772
27.081
23.652

x4
0.991
0.925
1.366
0.502
0.427
0.954
0.963
0.788
1.124
1.343
0.673
0.739
0.724
0.596
0.640
0.517
0.557
0.909
0.595
0.483

x5
6.197
8.243
2.624
3.882
6.703
5.154
6.789
4.022
2.863
3.288
4.231
4.175
4.633
4.152
4.673
2.880
1.942
1.813
4.643
2.271

Testarea parametrilor
Pentru a vedea care dinte variabilele au o influenta semnificativa asupra
variabilei de explicat trebuie calculati estimatorii parametrilor si se testeaza fiecare
variabila in parte cu un test student .
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.999985
R Square
0.99997
Adjusted R Square 0.99996
Standard Error
0.69023
Observations
20
ANOVA
Regression
Residual
Total

df
5
14
19

SS
MS
F
Significance F
224538.58 44907.71671 94261.36
3.633E-31
6.6698384 0.476417026
224545.25

Intercept
X Variable 1
X Variable 2
X Variable 3
X Variable 4
X Variable 5

Coefficients Standard Error


t Stat
P-value
Lower 95% Upper 95%
1719.081
200.44361
8.576381963 6.038E-07 1289.1718
2148.99
-8.39057
0.9121529
-9.19864475 2.602E-07 -10.34695
-6.4342
88.55112
8.8438389
10.01274739 9.195E-08 69.58296
107.5193
1.290629
1.7744539
0.727338877 0.4790059 -2.515199 5.096458
-0.0742
0.7545416
-0.09833589 0.9230597 -1.692531 1.544134
-0.10245
0.0969455
-1.05674078 0.3085246 -0.310374 0.105481

Pentru o probabilitate de 95% si x grade de libertate t student este 1.729 ,se


compara t pentru /2 a fiecarei variabile cu valoarea t*luata din tabele daca valoarea
calculata este mai mare decat cea luata din tabel atunci variabila explicativa are o influenta
semnificativa asupra variabilei de explicat.
Dupa cum se observa pentru variabila 1 t=-9.19 pentru varibila2t=10.1 acete valori
sunt mai mari decat valoarea tabelara deci varibilele 1,2 si 3 au o influenta semnificativa
asupra variabilei de explicat si introducerea lor in model este buna.In schimb variabilele 3,
4 si 5 nu influenteaza semnificativ variabila de explicat, t calculat find mai mic decat
valoarea tabelara 0.7<1.729,-0.09<1,729 si 1.0456<1,729 aceste variabile influenteaza in
foarte mica masura variabila de explicat si se poate renunta la ele.
Testul de semnificatie globala arata o foarte stransa legatura intre variabilele
explicative si varibila de explicat r=0.999970 foarte aproape de1 iar rezidurile sunt foarte
mici de unde rezulta ca modelul este bine construit .
Testul Chow
Acest test este un test de stabilitate a modelului in timp,datele sunt impartite in
doua subperioade ,se estimeaza pe subperioade si se calculeaza f*.
SCT=224545.25 SCE= 224538.58 SCR=6.6698384
In perioda1980-1989
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.999963
R Square
0.999925
Adjusted R Square
0.999904
Standard Error
0.964948
Observations
10
ANOVA
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

df
2
7
9

SS
MS
F
Significance F
87398.017 43699.00848 46931.413 3.581E-15
6.5178745 0.931124933
87404.535

Coefficients Standard Error


t Stat
P-value
Lower 95%
1927.673
192.72198
10.00234948 2.136E-05 1471.9579
-9.30061
0.7116363
-13.0693327 3.579E-06 -10.98336
96.38597
3.6478726
26.42251571 2.848E-08 87.760129

In perioada1990-1999:
SUMMARY OUTPUT

Upper 95%
2383.387
-7.61786
105.0118

Regression Statistics
Multiple R
0.999998
R Square
0.999996
Adjusted R
0.999994
Square
Standard Error 0.295306
Observations
10
ANOVA
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

df
2
7
9

SS
MS
F
136646.06 68323.03014 783471.76
0.6104384 0.087205479
136646.67

Significance F
1.884E-19

Coefficients Standard Error


t Stat
P-value
Lower 95% Upper 95%
1750.333
47.693055
36.69996276 2.898E-09 1637.5573
1863.109
-8.63248
0.1803253
-47.8717146 4.54E-10 -9.058882
-8.20608
92.82039
0.969733
95.71746661 3.579E-12 90.527337
95.11344

SCT1= 87404.535 SCE1=87398.017 SCR1=6.5178745


SCT2=136646.67 SCE2=136646.06 SCR2=0.6104384
F*=1.4256915
H1:Scr=Scr1+Scr2
H0:Scr<>Scr1+Scr2
F*=1.425<Ftab=3.26 si in concluzie modelul este stabil pe intreaga perioada .
Variabila auxiliara Dummy
Am introdus aceasta variabila pentru a vedea daca inundatile din primavara lui1999
au influentat negativ productia agricola din acel an,aceasta variabila ia valoarea 1 in 1999 si
0 in rest.
Regression Statistics
Multiple R
0.999984
R Square
0.999967
Adjusted R
0.999961
Square
Standard Error 0.677176
Observations
20
ANOVA
Df
Regressio
n
Residual
Total

SS

MS

224537.9 74845.97

16
19

7.337075 0.458567
224545.3

F
163217

Significan
ce F
4.34E-36

Intercept
X Variable 1
X Variable 2
X Variable 3

Coefficients
1841.287
-8.97997
94.72526
0.657563

Standard Error
71.17999
0.266797
1.411451
0.721566

t Stat
25.86804
-33.6584
67.11196
0.9113

P-value Lower 95%


1.76E-14 1690.392
2.8E-16
-9.54556
4.85E-21 91.73312
0.375663 -0.87209

Upper 95%
1992.182
-8.41439
97.7174
2.187215

Dupa cum se vede din tabela de regresie aceasta variabila auxiliara nu a influentat
semnificativ productia agricola in acel an, tcalc=0.9113<tstud=2.086
Se calculeaza coeficientii de corelatie liniara.
Coeficient de corelatie partiala de ordin1 :
Ryx1.x2
Se estimeaza yf(x1) si se calculeaza rezidurile apoi se calculeaza influenta lui x2
asupra lui x1 .
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.995373
R Square
0.990767
Adjusted R 0.990254
Square
Standard Error 10.73242
Observations
20
ANOVA
Regressio
n
Residual
Total

Df
1

SS
MS
F
Significance F
222471.93 222471.9266 1931.434423 9.086E-20

18
19

2073.3268 115.1848202
224545.25

Coefficien Standard
t Stat
P-value
Lower
Upper
ts
Error
95%
95%
Intercept -2921.23 79.530569 -36.7308734 2.21794E-18 -3088.315 -2754.14
X
8.899065 0.2024904 43.94808782 9.08578E-20 8.4736481 9.3244817
Variable 1

Multiple R
R Square
Adjusted R
Square
Standard
Error
Observations

0.9988524
0.9977061
0.9975786
0.5983365
20

ANOVA
Regression
Residual
Total

df
1
18
19
Coefficient

SS
MS
F
Significance F
2802.780509 2802.781 7828.852 3.27E-25
6.444118174 0.358007
2809.224627
Standard

t Stat

P-value

Lower

Upper

Intercept
X Variable 1

s
Error
266.68849 1.429126088 186.6095 4.86E-31
5.2849994 0.059730464 88.4808 3.27E-25

95%
263.686
5.15951

95%
269.691
5.410489

Se calculeaza re1e2 unde e1 si e2 reprezinta serile de reziduri


SUMMARY OUTPUT
Regression Statistics
Multiple R
0.996992
R Square
0.993992
Adjusted R 0.993658
Square
Standard Error 0.831873
Observations
20
ANOVA
Regression
Residual
Total

df
1
18
19

SS
MS
F
2060.871 2060.871 2978.082
12.45623 0.692013
2073.327

Coefficien Standard
t Stat
ts
Error
Intercept
-3.2E-13 0.186012 -1.7E-12
X Variable 1 -17.8831 0.327699 -54.5718

P-value
1
1.9E-21

Significance F
1.9E-21

Lower
Upper
Lower
Upper
95%
95%
95.0%
95.0%
-0.3908 0.390798 -0.3908 0.390798
-18.5716 -17.1947 -18.5716 -17.1947

Ryx2.x1
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.991523
R Square
0.983118
Adjusted R
0.98218
Square
Standard Error 0.703603
Observations
20
ANOVA
df
SS
MS
F
Significance F
Regression
1
518.9341 518.9341 1048.231 2.08E-17
Residual
18
8.911027 0.495057
Total
19
527.8451

Intercept
X Variable 1

Coefficien Standard
t Stat
P-value
Lower
Upper
ts
Error
95%
95%
-5.3E-13 0.15733 -3.4E-12
1
-0.33054 0.330539
47.48079 1.466525 32.37639 2.08E-17 44.39974 50.56185

Multicoliniaritate si selectia variabilelor


Pentru a vedea care este combinatia de variabile explicative care influenteaza in cea
mai mare masura variabila de explicat trebuie calculati coeficienti de corelatie liniara si
coeficientii de corelatie partiala .Variabilele explicative introduse in model trebuie sa fie
cat mai putin corelate intre ele si cat mai mult corelate cu varibila de explicat.

Testul Klein se bazeaza pe compararea dintre coeficientii de determinatie calculati pentru


modelul complet si coef de corelatie intre serile explicative.
SUMMARY
OUTPUT

SUMMARY
OUTPUT

SUMMARY
OUTPUT

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.999983
R Square 0.999965
Adjusted 0.999961
R Square
Standard 0.677669
Error
Observati
20
ons

Regression Statistics
Multiple R 0.998855
R Square 0.997712
Adjusted 0.997585
R Square
Standard 0.597568
Error
Observati
20
ons

Regression Statistics
Multiple R 0.994939
R Square 0.989903
Adjusted 0.989342
R Square
Standard 1.255285
Error
Observati
20
ons

Regression Statistics
Multiple R 0.278982
R Square 0.077831
Adjusted 0.026599
R Square
Standard 5.362448
Error
Observati
20
ons

Regression Statistics
Multiple R 0.219842
R Square 0.04833
Adjusted -0.00454
R Square
Standard 12.18662
Error
Observati
20
ons

Regression Statistics
Multiple R 0.998538
R Square 0.997078
Adjusted 0.996916
R Square
Standard 0.127626
Error
Observati
20
ons

Regression Statistics
Multiple R 0.998538
R Square 0.997078
Adjusted 0.996916
R Square
Standard 0.127626
Error
Observati
20
ons

Regression Statistics
Multiple R 0.112338
R Square 0.01262
Adjusted -0.04223
R Square
Standard 5.548811
Error
Observati
20
ons

Coeficientii de corelatie partiala sunt mai mici decat coeficientul de corelatie R si


deci nu exista prezumtie de multicoliniaritate .

Autocorelatia erorilor.
Este necesara respectarea ipotezei in care se precizeaza ca erorile nu sunt
corelate. Daca erorile sunt corelate intre ele estimatorii nu mai au varianta minima.
In primul rand pentru a detecta prezenta multicoliniaritatii se face examenul vizual
al rezidurilor. Dupa cum se vede din analiza vizuala erorile sunt corelate intre ele, dar
aceasta metoda nu este foarte precisa .

graficul erorilor

98
19

19
96

94
19

92
19

90
19

88
19

84

86
19

19

82

-1.00

19

80

0.00
19

reziduri

1.00

-2.00
-3.00

anii

Testul Durbin Watson.


Dw=0.718 rezulta ca erorile sunt autocorelate pozitiv d1=1,20 si d2=1,41 pentru n=20 cu o
probabilitate de 95%, dw calculat este intre 0 si d1 .Se incearca sa se determine o
transformare a modelului initial intr-un model ce respecta ipoteza conform careia erorile nu
sunt corelate intre ele .
Y
235.44
69.73
223.41
214.11
-174.96
241.25
47.14
103.23
107.69
-14.77
354.34
117.11
147.03
-146.03
327.36
218.68
-29.54
79.20
34.20

X12-x11
92.22581
74.78304
89.94148
88.11667
48.11137
94.67572
71.70252
77.98943
78.52257
61.97196
107.2089
79.67256
82.46789
47.62545
105.2262
88.92576
65.19196
75.2121
69.12285

X22-x21
7.291951
3.903638
6.967667
6.687183
-1.20695
7.60702
3.370233
4.562528
4.660368
1.803728
9.986845
4.870309
5.450988
-0.94489
9.511348
6.816692
1.946489
4.043692
2.991827

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.999995
R Square 0.99999
Adjusted R 0.999989
Square
Standard 0.475603
Error
Observations
19

ANOVA
df
SS
MS
F
2 370727.8 185363.9 819475.1
16 3.619173 0.226198
18 370731.4

Regression
Residual
Total

Coefficien
ts
Intercept 372.6347
X Variable 1 -9.00365
X Variable 2 94.86495

Standard
t Stat P-value
Error
8.307199 44.85684 2.96E-18
0.155215 -58.0077 4.95E-20
0.829312
114.39 9.72E-25

Significance F
8.25E-41

Lower 95%

Upper 95%

355.0242
-9.33269
93.10689

390.2452
-8.67461
96.62302

9.Analiza heterostedasticitatii.Testul Goldfeld-Quandt.


Se pun ipotezele:
H0: model homoscedastic
H1:model heteroscedastic
y=f(x3)
Se ordoneaza y in functie de variabila x2 descrescator:
388.92
400.29
435.63
449.01
512.22
516.31
517.41
519.89
519.57
551.60
584.18
589.05
637.86
644.38
655.14
670.06
673.91
689.79
727.92
764.81

369.73
371.52
376.76
378.64
386.80
387.30
387.43
387.72
387.69
391.40
394.95
395.47
400.40
401.03
402.06
403.46
403.81
405.26
408.59
411.66

19.721
20.007
20.872
21.190
22.632
22.723
22.747
22.801
22.794
23.486
24.170
24.270
25.256
25.385
25.596
25.885
25.960
26.264
26.980
27.685

ANOVA
Regressio
n
Residual
Total

df

SS

13311.65258

5
7

0.426167369
13312.07874

MS

Significan
ce F
6655.826 78089.35 5.8E-12
0.085233

ANOVA
Regressio
n
Residual
Total

df

SS

MS

21668.43004

5
7

0.000973439
21668.43102

Significan
ce F
10834.22 55649158 4.28E-19
0.000195

F*=0.614334<Ftabelar Se accepta ca modelul nu este heteroscedastic cu o


probabilitate de 95% .
Previziune 2000 2001
Previziunile lui y pe 2000 si 2001 se calculeaza plecand de la valorile x12000 x12001
x22000 si x22001ce se estimeaza
x12000=380 x12001=390
x22000=22 x22001=23

Intercept
X Variable 1
X Variable 2

Ani
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001

Coefficients Standard Error


t Stat
P-value
Lower 95% Upper 95%
1842.822
70.804335
26.02696617 3.89278E-15 1693.4377 1992.2063
-8.98407
0.2654259
-33.8477394 4.84875E-17 -9.544069 -8.424068
94.72965
1.4043876
67.45263645 4.29659E-22 91.766645 97.692651

^22000=^2*(X2000(XX)X2000+1)=2.44
^22001=^2*(X2000(XX)X2000+1)=0.697
y

x1

512.22
644.38
584.18
689.79
764.81
435.63
589.05
517.41
516.31
519.89
400.29
673.91
655.14
670.06
388.92
637.86
727.92
551.60
519.57
449.01

1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00

x2

386.80
401.03
394.95
405.26
411.66
376.76
395.47
387.43
387.30
387.72
371.52
403.81
402.06
403.46
369.73
400.40
408.59
391.40
387.69
378.64
380.00
390

22.662
25.385
24.170
26.264
27.655
20.872
24.270
22.747
22.723
22.801
20.007
25.960
25.596
25.885
19.721
25.256
26.980
23.486
22.794
21.190
22
23

Yt
514.5533
644.5863
584.1328
689.9391
764.2346
435.1515
589.0313
516.9262
515.8239
519.4226
400.379
674.1111
655.3488
670.2639
389.3186
638.0505
727.8082
551.3406
519.1018
448.4269
512.9284
517.8174

Intervale de incredere
Y2000=y^+-t/2*sqrt(2000)=512+-1.729*sqrt(2.44)
Y2001=y^+-t/2*sqrt(2001)=517+-1.729*sqrt(0.697)
IC2000=( 510.22 :515.62 )
IC2001=(516.37: 519.26 )
Grafice
Productia ,supraf cultivata
800.00
700.00
600.00

y
suprfata cultivata

500.00
400.00

19
80
19
82
19
84
19
86
19
88
19
90
19
92
19
94
19
96
19
98

300.00

timpul

graficul erorilor

-2.00
-3.00

anii

98
19

96
19

94
19

92
19

90
19

88
19

86
19

84
19

82

-1.00

19

80

0.00
19

reziduri

1.00

x2 x3 x

45.000
40.000

suma in mld lei

35.000
30.000
25.000
20.000

servicii
mecani
zare
inbunat
atiri
funciare

15.000
10.000
5.000

98

19

96

19

94

92

19

19

90
19

88

86

19

19

84

82

19

19

19

80

0.000

anii