1

Tnh ton c lng bng phng

php Bnh phng ti thiu (OLS)
2
Ordinary Least Square (OLS) Phng php
bnh phng ti thiu
[V d trc]
Xem xt 5 quan st
X Y
2 3
3 6
4.5 8
5.5 10
7 11
Mc ch l tm kim ng thng tt nht ca m hnh
tuyn tnh : tm kim |
1
_hat, |
2
_hat
Y
i
= |
1
+ |
2
X
2i
+ e
i
3
V d
[V d trc]
Xem xt 5 quan st
X Y
2 3
3 6
4.5 8
5.5 10
7 11
xc nh |
1
_hat and |
2
_hat.
4
nh ngha

hm hi quy ngu nhin

sai s

gi tr d bo, hi quy mu

h s c lng e
i
s d
gi tr quan st
|

i i
x y
2 2 1

| | + =
i i i
x y c | | + + =
2 2 1
i i i
e x y + + =
2 2 1

| |
i
c
i i i i i
e y e x y + = + + =

2 2 1
| |
5
tng c bn ti thiu tng ca bnh phng lch.

=
=
n
i
i
e RSS
1
2
| | ( )
2
1
2 2 1

=
+ =
n
i
i i
x y RSS | |
i i i i i
e y e x y + = + + =

2 2 1
| |
6
Bi ton ti thiu*

Vi phn ca hm mc tiu
F.O.C
w.r.t. |
1

w.r.t. |
2



7
Gii h ta c:
Ta c h phng trnh chun:
8
c lng OLS
Cng thc c lng OLS ca |
1
and |
2

|
2
_hat = Cov(X,Y) / Var(X)
|
1
_hat = Y_mean - |
2
_hat * X_mean
( )( )
( )
2
1
2
1
1
2
1
2

x n x
y x n y x
x x
y y x x
n
i
n
i
i i
n
i
i
i
n
i
i
i

=
=
=
=
|
x y
2 1

| | =
9
H qu
Trong hi quy n, du ca |
2
_hat = du ca h s tng
quan gia X v Y.
Mi ng thng hi quy u i qua gi tr trung bnh
(X_mean, Y_mean), nu hng s c a vo.
Mi tng ca s d lun lun l zero, nu hng s c a
vo.
c lng OLS ca |
1
and |
2
l L tt nht (khng
chch v hi t)
Khc ...

10
c im
1

1 1

|
o
| |
( )
( )

=
n
i
i
x x
Var
2
2
2

c
o
|
( )
( )
|
|
|
|
.
|

\
|

+ =

n
i
i
x x
x
n
Var
2
2
2
1
1

c
o |
11
c im
( )

=

=
n
i
i
x x
1
2
2
2

2
c
|
o
o
( )
( )

=

=
n
i
i
x x
Var
1
2
2
2

c
o
|
2

1
2

=

=
n
e
n
i
i
c
o
2

1
2
2

=

=
n
e
n
i
i
c
o
( )
( )
|
|
|
|
.
|

\
|

+ =

n
i
i
x x
x
n
Var
2
2
2
1
1

c
o |
( )
|
|
|
|
.
|

\
|

+ =

n
i
i
x x
x
n 2
2
2
2

1

1
c
|
o o
12
V d
[V d trc]
Xem xt 5 quan st
X Y
2 3
3 6
4.5 8
5.5 10
7 11
xc nh |
1
_hat and |
2
_hat.
13
o lng nh gi m hnh
( ) ( ) ( )

+ =
i
i i
t
t i
i
i i
y y y y y y
2
2
2

TSS = ESS + RSS
1000 = 800 + 200 (M1)
10000 = 9000 + 1000 (M2)
TSS
ESS RSS
14
nh gi kt qu hi quy (i)
R
2
(H s xc nh)
R
2
= ESS / TSS = 1 - RSS / TSS
o lng s ph hp ca d liu vi m hnh.

R
2
cho bit t l m m hnh c gii thch bi
c lng ng thng hi quy; 0 <= R
2
<= 1
trong trng hp hi quy n, n l bnh phng
ca h s tng quan (r
2
).
( )
( )

=
i
i i
t
i
y y
y y
R
2
2
2

( )
TSS
R
y y
e
R
n
i
i i
n
i
i
SS
1 1
1
2
1
2
2
=

=
=
15
( )
( )
y y y y e
TSS ESS RSS
i i
i
i t
t
i
i
= +
= +

2
2
2

( )
TSS
R
y y
e
R
n
i
i i
n
i
i
SS
1 1
1
2
1
2
2
=

=
=
( ) ( ) ( )

+ =
i
i i
t
t i
i
i i
y y y y y y
2
2
2

16
*
*
*
*
*
y
*
*
*
M hnh hi quy
gii thch tt d liu
R
2
= 0.89
*
*
*
*
*
y
*
*
*
*
*
*
M hnh hi quy gii
thch khng tt d liu
R
2
= 0.25
9/4/2012 17
nh ngha
0 s R
2
s 1
R
2
~ 1 : phng sai ca bin x c gii thch hon ton bi m hnh
R
2
~ 0 : phng sai ca bin x khng c gii thch hon ton bi m hnh
Kim nh ph hp ca m hnh
( )
( )

=
i
i
t
i
y y
y y
R
2
2
2

( ) ( ) ( )

+ =
i
i i
t
t i
i
i i
y y y y y y
2
2
2

M hnh hi quy n
Xut pht t ng thc
( )
TSS
R
y y
e
R
n
i
i i
n
i
i
SS
1 1
1
2
1
2
2
=

=
=
18
Bng phn tch phng sai
Ngun
bin thin
Tng bnh
phng
Bc t do Trung bnh
bnh
phng
y
(ESS )
Sai s
(RSS )
Tng
(TSS )
n - 1
1 ESS /1
n - 2 RSS /(n -2)
( )
ESS y y
i
i
=

2
RSS e
i
i
=

2
( )
TSS y y
t
t
=

2
19
c im ca R-bnh phng
R
2
lun lun tng khi thm bin gii thch.
F-test* c xy dng trn c s ca c im ny.

Nh th, RSS lun lun gim khi thm bin gii
thch.

20
Kim nh gi thit m hnh
tun theo lut Student vi n-2 bc t do
- so snh cc h s hi quy vi mt gi tr cho trc.
- so snh hai h s hi quy t hai mu khc nhau
- xc nh khong tin cy ca mt h s.

o
|
o
| |
*

t
i
i
=

21
nh gi kt qu hi quy (ii)
o_hat (standard error ca hi quy)
o_hat = RSS / (n-2)
(n = # ca obs., k = # ca hi quy c hng s, n-2 l bc t
do)
N c s dng tm kim lch chun ca
|
2
_hat, v t c th tm kim t-stat.
t
*
= (|
2
_hat - 0) / std. error ca |_hat

9/4/2012 22
M hnh hi quy n
kim nh gi thit - 1
Kim nh gi thit v a
Tnh
Kim nh (H
0
) |
i
= 0 i nghch vi (H
1
) |
i
= 0
t bng t*
c trong bng phn phi Student ca to
/2
tng ng vi mt mc o cho trc.
So snh |t*| v ta
/2
|t*| < t
o/2
(H
0
) c chp nhn
|t*| > t
o/2
(H
0
) b bc b
i
i
t
|
|
o
|
*

=
23
V d
Xem xt 5 quan st
X Y
2 3
3 6
4.5 8
5.5 10
7 11
(a) tm kim |
0
_hat and |
1
_hat.
(b) tm kim R
2
, std. error ca |
1
_hat, and thng k t.
24
Using EXCEL, SPSS

Nhp d liu, v t c kt qu hi quy.

Qung co v Doanh thu
to file, v chy hi quy.
25
Dependent var : Doanh thu
Method: Least squareds

Sample: 1907 1960
Included quan st: 54

var Coefficient Std. Error t-Statistic Prob.
C 488.8327 127.4390 3.835818 0.0003
ADVER 1.434588 0.126866 11.30792 0.0000

R-squared 0.710901 Mean dependent var 1829.481
Adj. R- squared 0.705341 S.D. dependent var 632.7382
S.E. ca hi quy 343.4660 Akaike info criterion 14.55239
Sum squared resid 6134381. Schwarz criterion 14.62605
Log likelihood -390.914 F-statistic 127.8691
Durbin-Watson stat 0.581593 Prob(F-statistic) 0.000000
26
Tm tt kt qu hi quy
y_hat = 0.65 + 1.58x2.
(3.83) (11.3)
R
2
= 0.7109, Adj. R
2
= 0.7053
F-stat. = 127.9 (p-value = 0.000)
std.error ca hi quy = 343.5


27
Tm tt
tnh hi quy lm th no.
|
1
_hat, R
2
, t-stat, and etc.
S dng Excel, SPSS nh th no.

S dng R
2
.
ngha n th no.
c im n th no: s dng ra sao.
28
Khi thm bin.
R-bnh phng lun lun tng.
RSS lun lun gim.

o lng chn lc m hnh
Adjusted R-bnh phng
AIC or BIC
9/4/2012 29
kim nh gi thit - 3
Kim nh s ph hp ca m hnh
Tnh ton
Xem trong bng phn phi Fisher ca Fo tng ng vi mc o.
So snh F
*
v Fa
F
*
< F
o
(H
0
) c chp nhn : R
2
= 0
F
*
> F
o
(H
0
) b bc b : R
2
0
( ) ( )
2
2
2
*
2 / 1
1 /
* T
n R
R
F =

=
M hnh hi quy tuyn tnh n
30
( )( )
( )
2
1
2
1
1
2
1
2

x n x
y x n y x
x x
y y x x
n
i
n
i
i i
n
i
i
i
n
i
i
i

=
=
=
=
|
x y
2 1

| | =
i i i
x y c | | + + =
2 2 1
i i i i i
e y e x y + = + + =

2 2 1
| |
31
Gi thit c in
I. Tuyn tnh
nu khng, m hnh phi tuyn khng th gii
quyt m hnh
II. Trung bnh Zero: E(c
i
) = 0
nu khng, m hnh s khng chnh xc
III. Khng c tng quan gia sai s v bin c
lp: Cov(x
i
, c
i
) = 0
nu khng, tn ti phng trnh ng thi
32
Gi thit c in
IV. Khng c hin tng t tng quan gia cc sai s:
Cov(c
i
, c
j
) = 0
nu khng, GLS (chui thi gian) (Bi sau)

V. ng ng: Var(c
i
) = o
2

nu khng, s dng phng php GLS (Bi sau)

VI. Sai s phn phi chun
nu khng, sai s tun theo phn phi khng chun va
33
Cc dng hm
i i
x y
2 2 1

| | + =
i i i
x y c | | + + =
2 2 1
i i i
e x y + + =
2 2 1

| |
34

35
Trong o t
o/2
la gia tr cua LNN T:
T ~ T(n-2) thoa K:
P(|T|> t
o/2
) = o

o/2

1-o

o/2

-t
o/2 0
t
o/2

o/2
36
1 2
2
2

)

( se . t

2 2 / 2
37
1
2

)

1 2 / 1
| |
o
se t
|
|
.
|

\
|

s s

2
2 / 1
2
2
2
2 /
2

) 2 (

) 2 (
o o
_
o
o
_
o n n
38

1
2

2
2

2 2

i 1 2 i
2

1

2
1

|
1

|
2

|
2

|
2

39
-
- M
-
-
-
-
-
-
-
-
-
-
-
Y
Y
Y
i
X
i
X

Y
^
i
N
K
RSS
ESS
TSS
0
SRF
-
40

= | | =
| c
| | c
= | | =
| c
| | c
=
=
n
1 i
i i 2 1 i
2
2 1
n
1 i
i 2 1 i
1
2 1
0 ) X )( X

Y ( 2

( f
0 ) 1 )( X

Y ( 2

( f

= | + |
= | + |
= = =
= =
n
1 i
n
1 i
n
1 i
i i
2
i 2 i 1
n
1 i
n
1 i
i i 2 1
Y . X X

Y X

n

41
0
0