Ramach3 8558

Chng trnh Giang day Kinh te Fulbright
Nien khoa 2003-2004

Phng phap phan tch
Bai oc
Nhap mon kinh te lng vi cac ng dung
Chng 3: Mo hnh hoi quy tuyen tnh n

Ramu Ramanathan 1 Thuc oan/Hao Thi
CHNG 3

Mo Hnh
Hoi Quy Tuyen Tnh n

chng 1 phat bieu rang bc au tien trong phan tch kinh te lng la viec
thiet lap mo hnh mo ta c hanh vi cua cac ai lng kinh te. Tiep theo o
nha phan tch kinh te/ kinh doanh se thu thap nhng d lieu thch hp va c
lc mo hnh nham ho tr cho viec ra quyet nh. Trong chng nay se gii
thieu mo hnh n gian nhat va phat trien cac phng phap c lng, phng
phap kiem nh gia thuyet va phng phap d bao. Mo hnh nay e cap en
bien oc lap (Y) va mot bien phu thuoc (X). o chnh la mo hnh hoi quy tuyen
tnh n. Mac du ay la mot mo hnh n gian, va v the phi thc te, nhng viec
hieu biet nhng van e c ban trong mo hnh nay la nen ta ng cho viec tm hieu
nhng mo hnh phc tap hn. Thc te, mo hnh hoi quy n tuyen tnh co the
giai thch cho nhieu phng phap kinh te lng. Trong chng nay ch a ra
nhng ket luan can ba n ve mo hnh hoi quy tuyen tnh n bien. Con nhng
phan khac va phan tnh toan se c gii thieu phan phu luc. V vay, oi vi
ngi oc co nhng kien thc can ban ve toan hoc, neu thch, co the oc phan
phu luc e hieu ro hn ve nhng ket qua ly thuyet.

3.1 Mo Hnh C Ban

Chng 1 a trnh bay v du ve mo hnh hoi quy n e cap en moi lien he
gia gia cua mot ngoi nha va dien tch s dung (xem Hnh 1.2). Chon trc
mot so loai dien tch, va sau o liet ke so lng nha co trong tong the tng
ng vi tng dien tch a chon. Sau o tnh gia ban trung bnh cua moi loai
nha va ve o th (quy c cac iem c bieu th la X). Gia thuyet c ban
trong mo hnh hoi quy tuyen tnh n la cac tr trung bnh nay se nam tren
mot ng thang (bieu th bang + SQFT), ay la ham hoi quy cua tong
the va la trung bnh co ieu kien (ky vong) cua GIA theo SQFT cho trc.
Cong thc tong quat cua mo hnh hoi quy tuyen tnh n da tren Gia thiet
3.1 se la

GIA THIET 3.1 (Tnh Tuyen Tnh cua Mo Hnh)

Y
t
= + X
t
+ u
t
(3.1)

trong o, X
t
va Y
t
la tr quan sat th t (t = 1 en n) cua bien oc lap va bien
phu thuoc, tiep theo va la cac tham so cha biet va se c c lng;
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va u
t
la so hang sai so khong quan sat c va c gia nh la bien ngau
nhien vi mot so ac tnh nhat nh ma se c e cap ky phan sau. va
c goi la he so hoi quy. (t the hien thi iem trong chuoi thi gian hoac la
tr quan sat trong mot chuoi d lieu cheo.)

Thuat ng n trong mo hnh hoi quy tuyen tnh n c s dung e ch
rang ch co duy nhat mot bien giai thch (X) c s dung trong mo hnh.
Trong chng tiep theo khi noi ve mo hoi quy a bien se bo sung them nhieu
bien giai thch khac. Thuat ng hoi quy xuat phat t Fraccis Galton (1886),
ngi at ra moi lien he gia chieu cao cua nam vi chieu cao cua ngi cha
va quan sat thc nghiem cho thay co mot xu hng gia chieu cao trung bnh
cua nam vi chieu cao cua nhng ngi cha cua ho e hoi quy (hoac di
chuyen) cho chieu cao trung bnh cua toan bo tong the. + X
b
goi la phan
xac nh cua mo hnh va la trung bnh co ieu kien cua Y theo X, o la
E(Y
t
|X
t
) = + X
t
. Thuat ng tuyen tnh dung e ch rang ban chat cua cac
thong so cu a tong the va la tuyen tnh (bac nhat) ch khong phai la X
t
tuyen tnh. Do o, mo hnh
t t t
u X Y + + =
2
van c goi la hoi quy quyen
tnh n mac dau co X bnh phng. Sau ay la v du ve phng trnh hoi quy
phi tuyen tnh Y
t
= + X
+ u
t
. Trong cuon sach nay se khong e cap en
mo hnh hoi quy phi tuyen tnh ma ch tap trung vao nhng mo hnh co tham
so co tnh tuyen tnh ma thoi. Nhng mo hnh tuyen tnh nay co the bao gom
cac so hang phi tuyen tnh oi vi bien giai thch (Chng 6). e nghien cu
sau hn ve mo hnh hoi quy phi tuyen tnh, co the tham khao cac tai lieu:
Greene (1997), Davidson va MacKinnon (1993), va Griffths, Hill, va Judg
(1993).
So hang sai so u
t
(hay con goi la so hang ngau nhien) la thanh phan ngau
nhien khong quan sat c va la sai biet gia Y
t
va phan xac nh + X
t
.
Sau ay mot to hp cua bon nguyen nhan anh hng khac nhau:

1. Bien bo sot. Gia s mo hnh thc s la Y
t
= + X
t
+ Z
t
+v
t
trong o, Z
t
la
mot bien giai thch khac va v
t
la so hang sai so thc s, nhng neu ta s
dung mo hnh la Y = + X
t
+u
t
th u
t
= Z
t
+v
t.
V the, u
t
bao ham ca anh
hng cua bien Z b bo sot. Trong v du ve a oc phan trc, neu mo
hnh thc s bao gom ca anh hng cua phong ngu va phong tam va chung
ta a bo qua hai anh hng nay ma ch xet en dien tch s dung th so
hang u se bao ham ca anh hng cua phong ngu va phong tam len gia ban
nha.
2. Phi tuyen tnh. u
t
co the bao gom anh hng phi tuyen tnh trong moi quan
he gia Y va X. V the, neu mo hnh thc s la
t t t t
u X X Y + + + =
2
,
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Phng phap phan tch
Bai oc

nhng lai c gia nh bang phng trnh Y = + X
t
+u
t
, th anh hng
cua
2
t
X se c bao ham trong u
t
.
3. Sai so o lng. Sai so trong viec o lng X va Y co the c the hien qua
u. V du, gia s Y
t
gia tr cua viec xay dng mi va ta muon c lng ham
Y
t
= + r
t
+v
t
trong o r
t
la lai suat n vay va v
t
la sai so that s (e n
gian, anh hng cua thu nhap va cac bien khac len au t eu c loai
bo). Tuy nhien khi thc hien c lng, chung ta lai s dung mo hnh Y
t
=
+ X
t
+u
t
trong o X
t
= r
t
+Z
t
la lai suat can ban. Nh vay th lai suat
c o lng trong sai so Z
t
thay r
t
= X
t
Z
t
vao phng trnh ban au, ta
se c
Y
t
= +(X
t
Z
t
)

+v
t
= + X
t
Z
t
+ v
t
= + X
t
+ u
t
Can luon lu y rang tnh ngau nhien cua so hang u
t
bao gom sai so khi o
lng lai suat n vay mot cach chnh xac.
4. Nhng anh h ng khong the d bao. Du la mot mo hnh kinh te lng tot
cung co the chu nhng anh hng ngau nhien khong the d bao c.
Nhng anh hng nay se luon c the hien qua so hang sai so u
t
.

Nh a e cap ban au, viec thc hien ieu tra toan bo tong the e xac
nh ham hoi quy cua tong the la khong thc te. V vay, trong thc te, ngi
phan tch thng chon mot mau bao gom cac can nha mot cach ngau nhien va
o lng cac ac tnh cua mau nay e thiet lap ham hoi quy cho mau. Bang
3.1 trnh bay d lieu cua mot mau gom 14 nha ban trong khu vc San Diego.
So lieu nay co san trong a mem vi ten tap tin la DATA3-1. Trong Hnh
3.1, cac cap gia tr (X
t
, Y
t
) c ve tren o th. o th nay c goi la o th
phan tan cua mau cho cac d lieu. Hnh 3.1 tng t nh Hnh 1.2, nhng
trong Hnh 1.2 liet ke toan bo cac gia tr (X
t
, Y
t
) cua tong the, con trong Hnh
3.1 ch liet ke d lieu cua mau ma thoi. Gia s, tai mot thi iem, ta biet c
gia tr cua va . Ta co the ve c ng thang + X tren bieu o. ay
chnh la ng hoi quy cua tong the. Khoang cach chieu thang xuong t gia
thc (Y
t
) en ng hoi quy + X la sai so ngau nhien u
t
. o doc cua ng
thang () cung la Y/X, la lng thay oi cua Y tren mot n v thay oi cu a
X. V vay c dien dch la anh hng can bien cua X len Y. Do o, neu
la la 0.14, ieu o co ngha la mot met vuong dien tch tang them se lam
tang gia ban nha len, mc trung bnh, 0.14 ngan o la (lu y n v tnh)
hay 140 o la. Mot cach thc te hn, khi dien tch s dung nha tang them 100
met vuong th hy vong rang gia ban trung bnh cua ngoi nha se tang them
$14.000 o la. Mac dau la tung o goc va la gia tr cua tr trung bnh Y khi
X bang 0, so hang nay van khong the c hieu nh la gia trung bnh cua mot
lo at trong. Nguyen nhan la v cung an cha bien bo sot va do o khong co
cach giai thch cho (ieu nay c e cap ky hn trong Phan 4.5).

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BANG 3.1 Gia tr trung bnh c lng va trung bnh thc te cua gia
nha va dien tch s dung (met vuong)
t SQFT Gia ban
1
Gia trung bnh
c lng
2

1 1.065 199,9 200,386
2 1.254 288 226,657
3 1.300 235 233,051
4 1.577 285 271,554
5 1.600 239 274,751
6 1.750 293 295,601
7 1.800 285 302,551
8 1.870 365 312,281
9 1.935 295 321,316
10 1.948 290 323,123
11 2.254 385 365,657
12 2.600 505 413,751
13 2.800 425 441,551
14 3.000 415 469,351

HNH 3.1 Bieu o Phan Tan Cua Mau Trnh Bay Moi Lien He Gia Gia va SQFT

Y
X
0
+ X
t
X +
( )
t t
Y X ,
t
u

t
X
100
200
300
400
500
600
1000 1400 1800 2200 2600 3000

HNH 3.2 Phng Trnh Hoi Quy cua Tong The va cua Mau

1
n v tnh: 1.000 o la
2
Phng phap tnh gia trung bnh c lng se c trnh bay Phan 3.2
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Y
X
X

+
D
C
B
0 A
(Hoi qui tong the) + X
(Hoi qui mau)
t t
X Y

+ =
( )
t t t
X Y E X , = +
( )
t t
Y X ,
t
u
t
u

Muc tieu au tien cua mot nha kinh te lng la lam sao s dung d lieu thu
thap c e c lng ham hoi quy cua tong the, o la, c lng tham so
cua tong the va . Ky hieu la c lng mau cua va
la c lng
mau cua . Khi o moi quan he trung bnh c lng la Y
^
=
^
+
^
X. ay
c goi la ham hoi quy cua mau. ng vi mot gia tr quan sat cho trc t, ta
se co Y
^
t
=
^
+
^
X
t
. ay la gia tr d bao cua Y vi mot gia tr cho trc la X
t
.
Lay gia tr quan sat c Y
t
tr cho gia tr nay, ta se c c lng cua u
t
c goi la phan d c lng, hoac n gian la phan d, va ky hieu la
t
u
1
va c the hien trong phng trnh sau:
u
^
t
= Y
t
Y
^
t
= Y
t

^

^
X
t

Sap xep lai cac so hang tren, ta co

t t t
u X Y
+ + =
(3.3)

Viec phan biet gia ham hoi quy cua tong the Y = + X va ham hoi quy
cua mau X Y
t

+ = la rat quan trong. Hnh 3.2 trnh bay ca hai ng va

sai so va phan d (can nghien cu ky van e nay). Lu y rang u
t
la ky hieu ch
sai so, va
t
u
la ky hieu ch phan d.

BAI TAP 3.1
Xem xet cac phng trnh sau ay:

1
Mot so tac gia va giang vien thch s dung a thay cho
^
, b thay cho
^
va e
t
thay cho u
^
t
.
Chung ta s dung dau hieu ^ theo qui nh trong ly thuyet thong ke v no giup phan biet
ro rang gia gia tr that va gia tr c lng va cung xac nh c thong so ang
c c lng.
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Phng phap phan tch
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a.
t t
u X Y + + =
b.
t t
u X Y
+ + =
c.
t t
u X Y + + =

d. X Y
t
+ =

e.
t t
u X Y
+ + =
f.
t t
u X Y
+ + =

Giai thch ky tai sao phng trnh (a) va (b) ung, nhng (c), (d), (e) va
(f) sai. Hnh 3.2 rat co ch trong viec tra li cau hoi nay.

3.2 c lng mo hnh c ban bang phng phap bnh phng toi thieu thong
thng

Trong phan trc, a neu ro mo hnh hoi quy tuyen tnh c ban va phan biet
gia hoi quy cua tong the va hoi quy cua mau. Muc tieu tiep theo se la s
dung cac d lieu X va Y va tm kiem c lng tot nhat cua hai tham so cua
tong the la va . Trong kinh te lng, thu tuc c lng c dung pho bien
nhat la phng phap bnh phng toi thieu. Phng phap nay thng c
goi la bnh phng toi thieu thong thng, e phan biet vi nhng phng
phap bnh phng toi thieu khac se c thao luan trong cac chng sau. Ky
hieu c lng cua va la
va
, phan d c lng th bang

t t t
X Y u

= . Tieu chuan toi u c s dung bi phng phap bnh
phng toi thieu la cc tieu hoa ham muc tieu

2
1 1
2
)
( )
, (
t
n t
t
t
n t
t
t
X Y u ESS = =

=
=
=
=

vi cac tham so cha biet la
va
. ESS la tong cac phan d bnh phng

va phng phap OLS cc tieu tong cac phan d bnh phng
2
. Can nen lu y
rang ESS la khoang cach bnh phng c o lng t ng hoi quy. S
dung khoang cach o lng nay, co the noi rang phng phap OLS la tm
ng thang gan nhat vi d lieu tren o th.
Trc quan hn, gia s ta chon mot tap hp nhng gia tr va
, o la
mot ng thang X

. Co the tnh c o lech cua Y
t
t ng thang

2
Rat de nham khi goi ESS la tong cua cac phan d bnh phng, nhng ky
hieu nay c s dung pho bien trong nhieu chng trnh may tnh noi
tieng va co t tai lieu ve Phan tch phng sai
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Phng phap phan tch
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c chon theo phan d c lng X Y u
t t

= . Sau o bnh phng gia
tr nay va cong tat ca cac gia tr bnh phng cua toan bo mau quan sat. Tong
cac phan d bnh phng cua cac tr quan sat [c xem nh tong bnh
phng sai so (ESS)] do o se bang
t
u . Tng ng vi mot iem tren
ng thang se co mot mot tr to ng bnh phng sai so. Phng phap bnh
phng toi thieu chon nhng gia tr va
sao cho ESS la nho nhat.

Viec bnh phng sai so at c hai ieu sau. Th nhat, bnh phng giup
loai bo dau cua sai so va do o xem sai so dng va sai so am la nh nhau.
Th hai, bnh phng tao ra s bat li cho sai so ln mot cach ang ke. V du,
gia s phan d cua mau la 1, 2, 1 va 2 cua he so hoi quy chon trc tr
va
chon trc. So sanh cac gia tr nay vi mot mau khac co phan d la 1,
1, 1 va 3. Tong gia tr sai so tuyet oi ca hai trng hp la nh nhau.
Mac du mau chon th hai co sai so tuyet oi thap hn t 2 en 1, ieu nay
dan en sai so ln khong mong muon la 3. Neu ta tnh ESS cho ca hai trng
hp th ESS cua trng hp au la 10 (1
2
+ 2
2
+ 1
2
+ 2
2
), ESS cho trng hp
sau la 12 (1
2
+ 1
2
+ 1
2
+ 3
2
). Phng phap bnh phng toi thieu ap at s bat
li ln cho sai so ln va do o ng thang trong trng hp au se c
chon. Phan 3.3 se tiep tuc trnh bay nhng ac tnh can thiet khac cua phng
phap cc tieu ESS.

Phng Phap Thch Hp Cc ai

Phan nay ch e cap s ve phng phap thch hp cc ai. Phng phap nay
se c trnh bay chi tiet phan 2.A.4. Phan 3.A.5 se trnh bay nguyen tac ap
dung mo hnh hoi quy tuyen tnh n. Mac du phng phap thch hp cc ai
da tren mot tieu chuan toi u khac, nhng cac thong so c lng van giong
nh cac thong so c lng phng phap OLS. Noi n gian, phng phap
thch hp cc ai chon c lng sao cho xac suat xay ra cua mau quan sat la
ln nhat.
Phan thao luan trc cho thay neu thc hien hai phng phap c lng
va khac nhau mot cach chnh xac th eu dan en cung mot ket qua. Nh
vay th tai sao can phai xem xet ca hai phng phap? Cau tra li la trong cac
chng sau, ta se thay rang khi mot so gia thiet cua mo hnh c giam nhe,
th thc te, hai phng phap c lng khac nhau se cho ket qua khac nhau.
Mot phng phap khac co the cho ket qua khac na, o la phng phap cc
tieu tong sai so tuyet oi
t
u
. Nhng phng phap nay khong c dung
pho bien trong kinh te lng v kho tnh toan.

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Phng phap phan tch
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Phng Trnh Chuan

Trong phan 3.A.3 cua phu luc, phng phap OLS c chnh thc ap dung.
Phan nay cho thay rang ieu kien e cc tieu ESS vi va
se theo hai
phng trnh sau ay, c goi la phng trnh chuan (khong co lien he g
en phan phoi chuan).

= = =
t t t t t
X n Y X Y u

) ( )
( 0 (3.4)
)]
( [ ) (
t t t t t
X Y X u X =

= 0 (3.5)
Trong Phng trnh (3.4), can lu y rang
= n
bi v moi so hang se co
mot va co n so hang. Chuyen ve cac so hang am trong Phng trnh (3.4)
sang phai va chia moi so hang cho n, ta c

+ =
t t
X
n
Y
n
1 1

(3.6)

(1/n)Y
t
la trung bnh mau cua Y, ky hieu la Y , va (1/n)Y
t
la trung bnh
mau cua X, ky hieu la X . S dung ket qua nay thay vao Phng trnh (3.6), ta
c phng trnh sau

X Y + = (3.7)

ng thang
^
+
^
X la ng c lng va la ng hoi quy cua mau,
hoac ng thang thch hp. Co the thay rang t Phng trnh (3.7) ng
hoi quy cua mau i qua iem trung bnh ( ) Y X, . Trong Bai tap 3.12c, ta se
thay rang tnh chat nay khong am bao tr khi so hang hang so co trong
mo hnh.
T Phng trnh (3.5), cong tat ca theo tng so hang, va a va
ra
lam tha so chung, ta c

0
) (
2
=
t t t t
X X Y X
hay

+ =
2
) (
t t t t
X X Y X (3.8)
Li Giai ve Phng Trnh Chuan

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

e thuan li cho viec ap an ve hai phng trnh chuan, cac tnh chat sau ay
la rat can thiet. Nhng tnh chat nay c chng minh trong Phu luc Phan
3.A.2

TNH CHAT 3.1
S
xx
= (X
t
X
)
2
= X
t
2
n(X
)
2
= X
t
2

1
n
(X
t
)
2

TNH CHAT 3.2
S
xy
= (X
t
X
)(Y
t
Y
) = (X
t
Y
t
) n X

= X
t
Y
t
[(X
t
) (Y
t
) / n]

T Phng trnh (3.7),

= =
t t
X
n
Y
n
X Y
1
(3.9)

Thay vao (3.8)

+
(
=
2
) (
1
1
t t t t t t
X X X
n
Y
n
Y X

Nhom cac so hang co tha so
:

( )( ) ( )
(
(
+
(
n
X
X
n
Y X
Y X
t
t
t t
t t
2
2

Tm
ta c
( )( )
( )
=
n
X
X
n
Y X
Y X
t
t
t t
t t
2
2

S dung ky hieu n gian a c gii thieu Tnh chat 3.1 va 3.2, co the
c dien ta nh sau
xx
xy
S
S
=
(3.10)
trong o
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Phng phap phan tch
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( )
n
X
X S
t
t xx
2
2

= (3.11)
va
( )( )
n
Y X
Y X S
t t
t t xy

= (3.12)

Ky hieu S
xx
va S
xy
co the c nh mot cach trc quan nh sau, nh ngha
X X x
t t
= va Y Y y
t t
= , trong o ky hieu thanh ngang ch trung bnh cua
mau. Do o x
t
va y
t
ky hieu o lech gia X va Y so vi gia tr X va Y trung
bnh. Ket qua sau ay se c chng minh phan Phu luc Phan 2.A.1 va
3.A.2.
x
t
= 0

( )
2
2 2 2
1
) (

= = =
t t t t xx
X
n
X X X x S (3.13)

( )( ) | |

= = =
t t t t t t t t xy
Y X
n
Y X Y Y X X y x S
1
) )( ( (3.14)

S
xy
la tong cac gia tr cua x
t
nhan y
t
. Tng t, S
xx
tong cac gia tr cua x
t

nhan x
t
, hay tong cua x
t
bnh phng
Phng trnh (3.9) va (3.10) la li giai cho phng trnh chuan [(3.4) va
(3.5)] va cho ta c lng va
cua mau cho tham so va cua tong the.

Can lu y rang khong the xac nh c c lng cua trong Phng
trnh (3.10) neu 0 ) (
2 2
= = =

X X x S
t t xx
. S
xx
bang khong khi va ch khi
moi x
t
bang khong, co ngha la khi va ch khi moi X
t
bang nhau. ieu nay dan
en gia thuyet sau ay

GIA THIET 3.2 (Cac Gia Tr Quan Sat X La Khac Nhau)
Khong phai la tat ca gia tr X
t
la bang nhau. Co t nhat mot gia tr X
t
khac so
vi nhng gia tr con lai. Noi cach khac, phng sai cua mau
2
) (
1
1
) ( X X
n
X Var
t

=
khong c bang khong.

ay la mot gia thiet rat quan trong va luon luon phai tuan theo bi v neu
khong mo hnh khong the c lng c. Mot cach trc quan, neu X
t
khong
oi, ta khong the giai thch c tai sao Y
t
thay oi. Hnh 3.3 minh hoa gia
thuyet tren bang hnh anh. Trong v du ve a oc, gia s thong tin thu thap ch
tap trung mot vao loai nha co dien tch s dung la 1.500 met vuong. o th
phan tan cua mau se c the hien nh Hnh 3.3. T o th co the thay ro
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rang d lieu nay khong ay u cho viec c lng ng hoi quy tong the
+X.

HNH 3.3 V Du ve Gia Tr X Khong oi

Y
X
0 1,500

V du 3.1
Theo thuat ng c dung pho bien trong kinh te lng, neu ta s dung d
lieu trong Bang 3.1 va thc hien hoi quy Y (GIA) theo so hang hang so va X
(SQFT), ta co the xac nh c moi quan he c lng (hay ham hoi quy
cua mau) la
t t
X Y 13875351 , 0 351 , 52
+ = .
t
Y
la gia c lng trung bnh

(ngan o la) tng ng vi X
t
. (xem Bang 3.1). He so hoi quy cua X
t
la anh
hng can bien c lng cua dien tch s dung en gia nha, mc trung
bnh. Do vay, neu dien tch s dung tang len mot n v, gia trung bnh c
lng ky vong se tang them 0,13875 ngan o la ($138.75). Mot cach thc te,
c moi 100 met vuong tang them dien tch s dung, gia ban c lng c
ky vong tang them, mc trung bnh, $ 13.875.
Ham hoi quy cua mau co the c dung e c lng gia nha trung bnh
da tren dien tch s dung cho trc (Bang 3.1 co trnh bay gia trung bnh
cot cuoi.) Do o, mot can nha co dien tch 1.800 met vuong th gia ban ky
vong trung bnh la $302.551[ = 52,351 + (0,139 1.800)]. Nhng gia ban thc
s cua can nha la $285.000. Mo hnh a c lng gia ban vt qua $17.551.
Ngc lai, oi vi mot can nha co dien tch s dung la 2.600 met vuong, gia
ban trung bnh c lng la $413.751, thap hn gia ban thc s $505.000 mot
cach ang ke. S khac biet nay co the xay ra bi v chung ta a bo qua cac
yeu to anh hng khac len gia ban nha. V du, mot ngoi nha co san vn rong
va/ hay ho bi, se co gia cao hn gia trung bnh. ieu nay nhan manh tam
quan trong trong viec nhan dien c cac bien giai thch co the anh hng
en gia tr cua bien phu thuoc va a cac anh hng nay vao mo hnh c
thiet lap. Ngoai ra, rat can thiet trong viec phan tch o tin cay cua cac c
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

lng cua tung o va he so o doc trong Phng trnh (3.1), va mc o thch
hp cua mo hnh oi vi d lieu thc te.

BAI TAP 3.2
Sao chep hai cot so lieu trong Bang 3.1 vao mot bang mi. Trong cot au
tien cua bang tnh sao chep cac gia tr ve Y
t
(GIA) va X
t
(SQFT) trong cot
th hai. S dung may tnh va tnh them gia tr cho hai cot khac. Bnh
phng tng gia tr trong cot th hai va ien gia tr o vao cot th ba (x).
Nhan lan lt tng gia tr cot th nhat vi gia tr tng ng cot hai va
ien ket qua vao cot th t (X
t
Y
t
). Tiep theo, tnh tong cua tng cot va anh
gia cac tong sau ay:

753 . 26 =
t
X 515 . 462 . 55
2
=
t
X

9 , 444 . 4 =
t
Y
5 , 985 . 095 . 9
2
=
t
Y

e tranh tnh trang qua nhieu va sai so lam tron, can s dung cang nhieu
so thap phan cang tot. Sau o, tnh S
xy
t Phng trnh (3.12) va S
xx
t
Phng trnh (3.11). Cuoi cung, tnh
theo (3.10) va theo (3.9) va

kiem tra lai nhng gia tr a trnh bay ban au.

3.3 Tnh chat cua cac c lng

Mac du phng phap bnh phng cho ra ket qua c lng ve moi quan he
tuyen tnh co the phu hp vi d lieu san co, chung ta can tra li mot so cau
hoi sau. V du, ac tnh thong ke cua va
? Thong so nao c dung e

o o tin cay cua va
? Bang cach nao e co the s dung va
e
kiem nh gia thuyet thong ke va thc hien d bao? Sau ay chung ta se i
vao thao luan tng van e tren. Se rat hu ch neu ban on lai Phan 2.6, phan
nay a ra tom tat ve nhng tnh chat can thiet cua thong so c lng.
Tnh chat au tien can xem xet la o khong thien lech. Can lu y rang
trong Phan 2.4 cac thong so c lng va
? t than chung la bien ngau

nhien va do o tuan theo phan phoi thong ke. Nguyen nhan la v nhng lan
th khac nhau cua mot cuoc nghien cu se cho cac ket qua c lng thong
so khac nhau . Neu chung ta lap lai nghien cu vi so lan th ln, ta co the
at c nhieu gia tr c lng. Sau o chung ta co the tnh ty so so lan ma
nhng c lng nay ri vao mot khoang gia tr xac nh. Ket qua se se cho
ra phan phoi cua cac c lng cua mau. Phan phoi nay co gia tr trung bnh
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

va phng sai. Neu trung bnh cua phan phoi mau la thong so thc s (trong
trng hp nay la hoac ), th ay la c lng khong thien lech. o khong
thien lech ro rang la ieu luon c mong muon bi v, ieu o co ngha la,
mc trung bnh, gia tr c lng se bang vi gia tr thc te, mac du trong mot
so trng hp ca biet th ieu nay co the khong ung.
Co the noi rang thong so c lng OLS cua va a ra trong Phan 3.2
co tnh chat khong thien lech. Tuy nhien, e chng minh ieu nay, chung ta
can at ra mot so gia thuyet bo sung ve X
t
va u
t
. Can nh rang, mac du Gia
thiet 3.1 co the va c giam nhe phan sau, nhng Gia thuyet 3.2 va 3.3 la
luon luon can thiet va phai tuan theo. Sau ay la cac gia thiet bo sung can
thiet.

GIA THIET 3.3 (Sai So Trung Bnh bang Zero)
Moi la u mot bien ngau nhien vi E(u) = 0

Trong Hnh 3.1 can lu y rang mot so iem quan sat nam tren ng +
X va mot so iem nam di. ieu nay co ngha la co mot gia tr sai so mang
dau dng va mot so sai so mang dau am. Do + X la ng trung bnh,
nen co the gia nh rang cac sai so ngau nhien tren se b loai tr nhau, mc
trung bnh, trong tong the. V the, gia nh rang u
t
la bien ngau nhien vi gia
tr ky vong bang 0 la hoan toan thc te.

GIA THIET 3.4 (Cac Gia Tr X c Cho Trc va Khong Ngau Nhien)
Moi gia tr X
t
c cho trc va khong la bien ngau nhien. ieu nay ngam ch
rang ong phng sai cua tong the gia X
t
va u
t
, Cov(X
t
, u
t
) = E(X
t
, u
t
)
E(X
t
)E(u
t
) = X
t
E(u
t
) X
t
E(u
t
) = 0. Do o gia X
t
va u
t
khong co moi tng
quan (xem nh ngha 2.4 va 2.5).

Theo trc giac, neu X va u co moi tng quan, th khi X thay oi, u cung se
thay oi. Trong trng hp nay, gia tr ky vong cua Y se khong bang + X.
Neu gia tr X la khong ngau nhien th gia tr ky vong co ieu kien cua Y theo
gia tr X se bang + X. Ket qua cua viec vi pham Gia thiet 3.4 se c trnh
bay trong phan sau, ac biet la khi nghien cu mo hnh he phng trnh
(Chng 13). Tnh chat 3.3 phat bieu rang khi hai gia thiet c bo sung,
thong so c lng OLS la khong thien lech.

TNH CHAT 3.3
(o Khong Thien Lech)

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Trong hai gia thiet bo sung 3.3 va 3.4, [E(u
t
) = 0, Cov(X
t
, u
t
) = 0], thong so
c lng, thong so c lng bnh phng toi thieu va
la khong thien
lech; ngha la ( ) = E , va ( )

= E .

CHNG MINH (Neu oc gia khong quan tam en chng minh, co the
bo qua phan).

T Phng trnh (3.10), ( ) ( )
xx xy
S S E E =
. Nhng theo Gia thuyet 3.4, X

t
la
khong ngau nhien va do o S
xx
cung khong ngau nhien. ieu nay co ngha la
khi tnh gia tr ky vong, cac so hang lien quan en X
t
co the c a ra ngoai
gia tr ky vong. V vay, ta co ( ) ( )
xy
xx
S E
S
E
1
= . Trong Phng trnh (3.12),

thay Y
t
t Phng trnh (3.1) va thay
bang n .

( )
( )( )
(
(
+ +
+ + =

n
u X n X
u X X S
t t t
t t t xy

(3.15)

( ) ( )( )
(
(
(
+ + =

n
u X
n
X
X u X X X
t t t
t t t t t
2
2

( ) ( )( )
(
+
(
(
=

n
u X
u X
n
X
X
t t
t t
t
t
2

xu xx
S S + =
trong o S
xx
c cho bi Phng trnh (3.13) va

( )( )
n
u X
u X S
t t
t t xu

= (3.16)

( )
t t t t t
u X X u X u X

= =

X la trung bnh mau cua X, X
t
la khong ngau nhien, X xuat hien moi so
hang, va ky vong cua tong cac so hang th bang tong cac gia tr ky vong. Do
vay,
( ) ( ) ( ) ( ) ( ) 0 = = =
t t t t t t xu
u E X u E X u E X u X E S E

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Phng phap phan tch
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theo Gia thiet 3.3. Do o, E(S
xy
) = S
xx
, ngha la ( ) = =
xx xy
S S E E ) (
. Nh
vay la c lng khong thien lech cua . Chng minh tng t cho
^
. Can
nhan thay rang viec chng minh o khong thien lech phu thuoc chu yeu vao
Gia thiet 3.4. Neu E(X
t
u
t
) 0,
co the b thien lech.

BAI TAP 3.3
S dung Phng trnh (3.9) e chng minh rang la khong thien lech.
Neu ro cac gia thuyet can thiet khi chng minh.

Mac dau o khong thien lech luon la mot tnh chat luon c mong muon,
nhng t ban than o khong thien lech khong lam cho thong so c lng
tot, va mot c lng khong thien lech khong ch la trng hp ca biet.
Hay xem xet v du sau ve mot thong so c lng khac la
~
= (Y
2
Y
1
)/(X
2

X
1
). Lu y rang
~
n gian la o doc cua ng thang noi hai iem (X
1
, Y
1
)
va (X
2
, Y
2
). Rat de nhan thay rang
~
la khong thien lech

( ) ( )
1 2
1 2
1 2
1 1 2 2
1 2
1 2
~
X X
u u
X X
u X u X
X X
Y Y
+ =
+ + + +
=
=

Nh a noi trc ay, cac gia tr X la khong ngau nhien va E(u
2
) = E(u
1
) = 0.
Do o,
~
la khong thien lech. Thc ra, ta co the xay dng mot chuoi vo han
cua cac thong so c lng khong thien lech nh tren. Bi v
~
loai bo cac
gia tr quan sat t 3 en n, mot cach trc quan ay khong the la mot thong so
c lng tot. Trong Bai tap 3.6, tat ca cac gia tr quan sat c s dung
the thiet lap cac thong so c lng khong thien lech khac, nhng tng t
nh tren ay khong phai la la thong so c lng khong thien lech tot nhat.
Do o, rat can co nhng tieu chuan bo sung e anh gia o tot cua mot
thong so c lng.
Tieu chuan th hai can xem xet la tnh nhat quan, ay la mot tnh chat cua
mau ln a c nh ngha trong Phan 2.6 (nh ngha 2.10). Gia s ta chon
ngau nhien mot mau co n phan t va i tm va
. Sau o chon mot mau

ln hn va c lng lai cac thong so nay. Lap lai qua trnh nay nhieu lan e
co c mot chuoi nhng thong so c lng. Tnh nhat quan la tnh chat oi
hoi cac thong so c lng van phu hp khi c mau tang len vo han. c
lng
~
c trnh bay tren ro rang la khong at c tnh nhat quan bi v
khi c mau tang len khong anh hng g en thong so nay. Tnh chat 3.4 phat
bieu cac ieu kien e mot c lng co tnh nhat quan.
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TNH CHAT 3.4
(Tnh Nhat Quan)

Theo Gia thiet (3.2), (3.3) va (3.4), c lng bnh phng toi thieu co tnh
chat nhat quan. Do o, ieu kien e at c tnh nhat quan la E(u
t
) = 0,
Cov(X
t
, u
t
) = 0 va Var(X
t
) 0.

CHNG MINH (Neu oc gia khong quan tam, co the bo qua phan nay.)

T Phng trnh (3.15) va (3.10)

n S
n S
xx
xu
/
/
+ =
(3.17)

Theo quy luat so ln (Tnh chat 2.7a), S
xu
/n ong quy vi ky vong cua
chnh no, o la Cov(X, u). Tng t, S
xx
/n ong quy vi Var(X). Do vay dan
ti ieu, neu n hoi tu en vo cung, se ong quy vi + [Cov(X,u)/Var(X),
va se bang neu Cov(X,u) = 0 ngha la neu X va u khong tng quan. Nh
vay,
la c lng nhat quan cua .

Mac du
la khong thien lech va nhat quan, van co nhng tieu chuan can
bo sung bi e co the xay dng c lng nhat quan va khong thien lech
khac. Bai tap 3.6 la mot v du ve loai c lng o. Tieu chuan s dung tiep
theo la tnh hieu qua (nh ngha trong Phan 2.6). Noi mot cach n gian, c
lng khong thien lech co tnh hieu qua hn neu c lng nay co phng sai
nho hn. e thiet lap tnh hieu qua, can co cac gia thiet sau ve u
t
.

GIA THIET 3.5 (Phng sai cua sai so khong oi)
Tat ca gia tr u c phan phoi giong nhau vi cung phng sai
2
,
sao cho
( )
2 2
) ( = =
t t
u E u Var . ieu nay c goi la phng sai cua sai so khong oi
(phan tan eu).

GIA THIET 3.6 (oc Lap Theo Chuoi)
Gia tr u c phan phoi oc lap sao cho Cov(u
t
, u
s
) = E(u
t
u
s
) = 0 oi vi moi
t s. ay c goi la chuoi oc lap.

Cac gia thiet tren ngam ch rang cac phan d phan co phan phoi giong
nhau va phan phoi oc lap (iid). T Hnh 1.2 ta thay rang ng vi mot gia tr
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X se co mot gia tr phan phoi Y e xac nh phan phoi co ieu kien. Sai so u
t
la o lech t trung bnh co ieu kien + X
t
. Gia thiet 3.5 ngam nh rang
phan phoi cua u
t
co cung phng sai (
2
) vi phan phoi cua u
s
cho mot quan
sat khac s. Hnh 3.4a la mot v du ve phng sai cua sai so thay oi (hoac
khong phan tan eu) khi phng sai thay oi tang theo gia tr quan sat X. Gia
thuyet 3.5 c giam nhe trong Chng 8. Phan 3.6 Phu chng co trnh bay
mo ta ba chieu cua gia thuyet nay.
Gia thiet 3.6 (se c giam nhe trong Chng 9) ngam nh rang la u
t
va u
s

oc lap va do vay khong co moi tng quan. Cu the la, cac sai so lien tiep
nhau khong tng quan nhau va khong tap trung. Hnh 3.4b la mot v du ve t
tng quan khi gia thuyet tren b vi pham. Chu y rang khi cac gia tr quan sat
ke tiep nhau tap trung lai, th co kha nang cac sai so se co tng quan.

HNH 3.4 V Du ve Phng Sai Cua Sai So Thay oi va T Hoi Quy
Y
X

a. Phng sai cua sai so thay oi

Y
X

b. T hoi quy

TNH CHAT 3.5
(Hieu qua, BLUE va nh ly Gauss-Markov)

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Theo Gia thiet 3.2 en 3.6, c lng bnh phng toi thieu thong thng
(OLS) la c lng tuyen tnh khong thien lech co hieu qua nhat trong cac
c lng. V the phng phap OLS a ra c Lng Khong Thien lech
Tuyen Tnh Tot Nhat (BLUE).

Ket qua nay (c chng minh trong Phan 3.A.4) c goi la nh ly
GaussMarkov, theo ly thuyet nay c lng OLS la BLUE; ngha la trong
tat ca cac to hp tuyen tnh khong thien lech cua Y, c lng OLS cua va
co phng sai be nhat.
Tom lai, ap dung phng phap bnh phng toi thieu (OLS) e c lng
he so hoi quy cua mot mo hnh mang lai mot so tnh chat mong muon sau: c
lng la (1) khong thien lech, (2) co tnh nhat quan va (3) co hieu qua nhat.
o khong thien lech va tnh nhat quan oi hoi phai kem theo Gia thuyet E(u
t
)
= 0 va Cov(X
t
, u
t
) = 0. Yeu cau ve tnh hieu qua va BLUE, th can co them
gia thuyet, Var(u
t
) =
2
va Cov(u
t
, u
s
) = 0, vi moi t s.

3.4 o Chnh Xac cua c Lng va Mc o Thch Hp cua Mo Hnh

S dung cac d lieu trong v du ve a oc ta c lng c thong so nh sau
351 . 52 = va 13875 , 0
= . Cau hoi c ban la cac c lng nay tot nh the

nao va mc o thch hp cua ham hoi quy mau X Y
t
13875351 , 0 351 , 52
+ = vi
d lieu ra sao. Phan nay se thao luan phng phap xac nh thong so o lng
o chnh xac cua cac c lng cung nh o phu hp.

o Chnh Xac cua Cac c Lng

T ly thuyet xac suat ta biet rang phng sai cua mot bien ngau nhien o
lng s phan tan xung quanh gia tr trung bnh. Phng sai cang be, mc
trung bnh, tng gia tr rieng biet cang gan vi gia tr trung bnh. Tng t,
khi e cap en khoang tin cay, ta biet rang phng sai cua bien ngau nhien
cang nho, khoang tin cay cua cac tham so cang be. Nh vay, phng sai cua
mot c lng la thong so e ch o chnh xac cua mot c lng. Do o viec
tnh toan phng sai cua va
la luon can thiet.

Do va
thuoc vao cac gia tr Y, ma Y lai phu thuoc vao cac bien ngau
nhien u
1
, u
2
, , u
n
, nen chung cung la bien ngau nhien vi phan phoi tng
ng. Sau ay cac phng trnh c rut ra trong Phan 3.A.6 phan phu luc
cua chng nay.

( )
xx
S
E Var
2
2
2

)
(

=
(
= =
& &
(3.18)
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( ) | |
2
2
2 2
) (

xx
t
nS
X
E Var

= = = (3.19)
( )( ) | |
2
, (

xx
S
X
E Cov = = =
(3.20)

trong o S
xx
c nh ngha theo Phng trnh (3.11) va
2
la phng sai cua
sai so. Can lu y rang neu S
xx
tang, gia tr phng sai va ong phng sai (tr
tuyet oi) se giam. ieu nay cho thay s bien thien X cang cao va c mau
cang ln th cang tot bi v ieu o cho chng to o chnh cua cac thong so
c c lng.
Cac bieu thc tren la phng sai cua tong the va la an so bi v
2
la an
so. Tuy nhien, cac thong so nay co the c c lng bi v
2
co the c
c lng da tren mau. Lu y rang
t t
X Y

+ = la ng thang c lng.
Do o,
t t t
X Y u

= la mot c lng cua u

t
, va la phan d c lng.
Mot c lng de thay cua
2
la n u
t
/
2
nhng c lng nay ngau nhien b

thien lech. Mot c lng khac cua
2
c cho sau ay (xem chng minh
Phan 3.A.7)

2
2
2 2
= =

n
u
s
t
(3.21)

Ly do chia t so cho n 2 th tng t nh trng hp chia chi-square cho
n 1, a c thao luan trong Phan 2.7. n 1 c ap dung do ( )
x x
i
co
ieu kien la bang 0. e ap dung chia cho n 2, can co hai ieu kien bi
Phng trnh (3.4) va (3.5). Can bac hai cua phng sai c lng c goi la
sai so chuan cua phan d hay sai so chuan cua hoi quy. S dung c lng
nay, ta tnh c cac c lng cua phng sai va ong phng sai cua va
. Can bac hai cua phng sai c goi la sai so chuan cua he so hoi quy va
ky hieu
s va
s . Phng sai c lng va ong phng sai cua he so hoi

quy c lng bang
xx
S
s
2
2
= (3.22)

2
2
2
xx
t
nS
X
s

= (3.23)
2
xx
S
X
s = (3.24)

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Phng phap phan tch
Bai oc

Tom lai: Trc tien, can tnh he so hoi quy c lng va
bang cach
ap dung Phng trnh (3.9) va (3.10). Ket qua cho cho moi quan he c lng
gia Y va X. sau o tnh gia tr d bao cua Y
t
theo
t t
X Y

+ = . T o, ta co
the tnh c phan d
t
u theo
t t
Y Y

. Sau o tnh toan c lng cua phng
sai cua u
t
da theo Phng trnh (3.21). Thay ket qua vao Phng trnh (3.18),
(3.19) va (3.20), ta c gia tr phng sai va ong phng sai cua va
.
Can lu y rang e cong thc tnh phng sai cua phan d s
2
c cho trong
Phng trnh 3.21 co y ngha, can co ieu kien n > 2. Khong co gia thuyet
nay, phng sai c c lng co the khong xac nh c hoac am. ieu
kien tong quat hn c phat bieu trong Gia thuyet 3.7, va bat buoc phai tuan
theo.

GIA THIET 3.7 (n > 2)
So lng quan sat (n) phai ln hn so lng cac he so hoi quy c c lng
(k). Trong trng hp hoi quy tuyen tnh n bien, th ieu kien n > 2 khong
co.

V du 3.2
Sau ay la sai so chuan trong v du ve gia nha,
Sai so chuan cua phan d = s =
= 39,023
Sai so chuan cua 285 , 37

= =

s
Sai so chuan cua 01873 , 0

= =

s
ong phng sai gia va 671 , 0
= =

s
Thc hanh may tnh Phan 3.1 cua Phu chng D se cho ket qua tng t.

Mac du co cac ai lng o lng so hoc ve o chnh xac cua cac c
lng, t than cac o lng nay khong s dung c bi v cac o lng nay
co the ln hoac nho mot cach tuy tien bang cach n gian la thay oi n v
o lng (xem them Phan 3.6). Cac o lng nay c s dung chu yeu
trong viec kiem nh gia thuyet, e tai nay se c thao luan chi tiet Phan
3.5.

o Thch Hp Tong Quat

Hnh 3.1 cho thay ro rang khong co ng thang nao hoan toan thch hp
vi cac d lieu bi v co nhieu gia tr d bao bi ng thang cach xa vi gia
tr thc te. e co the anh gia mot moi quan he tuyen tnh mo ta nhng gia tr
quan sat co tot hn mot moi quan he tuyen tnh khac hay khong, can phai co
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

mot o lng toan hoc o thch hp. Phan nay se phat trien cac thong so o
lng o.
Khi thc hien d bao ve mot bien phu thuoc Y, neu ta ch co nhng thong
tin ve cac gia tr quan sat cua Y co c t mot so phan phoi xac suat, th co
le cach tot nhat co the la la c lng gia tr trung bnh Y va phng sai s
dung ( ) | | ( ) 1
2
2
=

n Y Y
t Y
. Neu can d bao, mot cach n gian, ta co the
s dung gia tr trung bnh bi v khong con thong tin nao khac. Sai so khi d
bao quan sat th t bang Y Y
t
. Bnh phng gia tr nay va tnh tong bnh
phng cho tat ca mau, ta tnh c tong phng sai cua Y
t
so vi Y la
( )
2
Y Y . ay la tong bnh phng toan phan (TSS). o lech chuan cua

mau cua Y o lng o phan tan cua Y
t
xung quanh gia tr trung bnh cua Y,
noi cach khac la o phan tan cua sai so khi s dung Y lam bien d bao, va
c cho nh sau ( ) 1 = n TSS
Y

Gia s ta cho rang Y co lien quan en mot bien X khac theo Phng trnh
(3.1). Ta co the hy vong rang biet trc gia tr X se giup d bao Y tot hn la
ch dung Y . Cu the hn la, neu ta co cac c lng va
va biet c gia
tr cua X la X
t
, nh vay c lng cua Y
t
se la
t t
X Y

+ = . Sai so cua c
lng nay la
t t t
Y Y u

= . Bnh phng gia tr sai so nay va tnh tong cac sai so
cho toan bo mau, ta co c tong bnh phng sai so (ESS), hay tong cac
bnh phng phan d, la ESS =
t
u . Sai so chuan cua cac phan d la
) 2 ( = n ESS . Gia tr nay o lng o phan tan cua sai so khi s dung
t
Y

lam bien d bao va thng c so sanh vi
Y
c cho tren e xem xet
mc o giam xuong la bao nhieu. Bi v ESS cang nho cang tot, va mc o
giam xuong cang nhieu. Trong v du a ra, 498 , 88 =
Y
va 023 , 39 = ,
giam hn phan na so vi gia tr ban au.
Phng phap nay khong hoan toan tot lam, tuy nhien bi v cac sai so
chuan rat nhay cam oi vi n v o lng Y nen rat can co mot thong so o
lng khac khong nhay cam vi n v o lng. Van e nay se c e cap
sau ay.

HNH 3.5 Cac Thanh Phan cua Y

Nien khoa 2003-2004
Phng phap phan tch
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Y
X
0
( )
t t
Y X ,
t
u
X Y

+ =
Y Y
t

Y
X
t
Y
t
X
Y Y
t

Thong so o lng tong bien thien cua
t
Y
so vi Y (la gia tr trung bnh

cua
t
Y
) cho toan mau la ( )

2
Y Y
t
. c goi la tong bnh phng hoi quy
(RSS). Phan 3.A.8 cho thay

( ) ( )

+ =
2
2
2
t t t
u Y Y Y Y (3.25)

Do vay, TSS = RSS + ESS. Lu y rang
t t t
u Y Y Y Y )
( ) ( + = . Hnh 3.5
minh hoa cac thanh phan tren. Phng trnh (3.25) phat bieu rang cac thanh
phan cung c bnh phng. Neu moi quan he gia X va Y la chat che, cac
iem phan tan (X
t
, Y
t
) se nam gan ng thang X

+ . noi cach khac ESS se
cang nho va RSS cang ln. Ty so

TSS
ESS
TSS
RSS
=1

c goi la he so xac nh a bien va ky hieu la R
2
. Thuat ng a bien khong
ap dung trong hoi quy n bien bi v ch co duy nhat mot bien phu oc lap X.
Tuy nhien, do bieu thc R
2
trong hoi quy n bien cung giong nh trong hoi
quy a bien nen ay chung ta dung cung thuat ng

( ) TSS
RSS
TSS
ESS
Y Y
u
R
t
t
= =
1
2
2
1 0
2
R (3.26)

Ro rang rang, R
2
nam gia khoang t 0 en 1. R
2
khong co th nguyen v
ca t so va mau so eu co cung n v. iem quan sat cang gan ng thang
c lng, o thch hp cang cao, ngha la ESS cang nho va R
2
cang ln.
Do vay, R
2
la thong so o lng o thch hp, R
2
cang cao cang tot. ESS con
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Phng phap phan tch
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c goi la bien thien khong giai thch c bi v
t
u la anh hng cua
nhng bien khac ngoai X
t
va khong co trong mo hnh. RSS la bien thien giai
thch c. Nh vay, TSS, la tong bien thien cua Y, co the phan thanh hai
thanh phan: (1) RSS, la phan giai thch c theo X; va (2) ESS, la phan
khong giai thch c. Gia tr R
2
nho ngha la co nhieu s bien thien Y
khong the giai thch c bang X. Ta can phai them vao nhng bien khac co
anh hng en Y.
Ngoai y ngha la mot ty le cua tong bien thien cua Y c giai thch qua
mo hnh, R
2
con co mot y ngha khac. o la thong so o lng moi tng quan
gia gia tr quan sat Y
t
va gia tr d bao ) (

t t
Y Y
t
r Y . Can xem lai phan trnh bay
ve he so tng quan cua mau va cua tong the Phan 2.3 va 3.5. Phan 3.A.9
trnh bay

2
2
2
( ) (
)
(
R
TSS
RSS
Y Var Y Var
Y Y Cov
r
t t
t t
Y Y
= = = (3.26a)

Nh vay, bnh phng he so tng quan n bien gia gia tr quan sat Y
t
va
gia tr d bao
t
Y
bang phng trnh hoi quy th se cho ra ket qua bang vi gia
tr R
2
c nh ngha trong Phng trnh (3.26a). Ket qua nay van ung trong
trng hp co nhieu bien giai thch, mien la trong hoi quy co mot so hang
hang so.
Co mot thac mac pho bien ve o thch hp tong the, o la bang cach nao
e xac nh rang R
2
la cao hay thap?. Khong co mot quy nh chuan hay
nhanh chong e ket luan ve R
2
nh the nao la cao hay thap. Vi chuoi d lieu
theo thi gian, ket qua R
2
thng ln bi v co nhieu bien theo th i gian chu
anh hng xu hng va tng quan vi nhau rat nhieu. Do o, gia tr quan sat
R
2
thng ln hn 0.9. R
2
be hn 0.6 va 0.7 c xem la thap. Tuy nhien, oi
vi d lieu cheo, ai dien cho dang cua mot yeu to thay oi vao mot thi
iem nao o, th R
2
thng thap. Trong nhieu trng hp, R
2
bang 0.6 hoac
0.7 th cha han la xau. ay n gian ch la thong so o lng ve tnh ay u
cua mo hnh. ieu quan trong hn la nen anh gia mo hnh xem dau cua he
so hoi quy co phu hp vi cac ly thuyet kinh te, trc giac va kinh nghiem cua
ngi nghien cu hay khong.

V du 3.3
Trong bai tap ve gia nha, TSS, ESS va R
2
co cac gia tr sau (xem lai ket qua
Phan thc hanh may tnh 3.1):

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Phng phap phan tch
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TSS = 101.815 ESS = 18.274 R
2
= 0,82052

Nh vay, 82,1% o bien thien cua gia nha trong mau c giai thch bi dien
tch s dung tng ng. Trong chng 4, se thay rang them vao cac bien giai
thch khac, nh so lng phong ngu va phong tam se cai thien o thch hp
cua mo hnh.

3.5 Kiem nh Gia Thuyet Thong Ke

Nh a e luc au, kiem nh gia thuyet thong ke la mot trong nhng nhiem
vu chnh cua nha kinh te lng. Trong mo hnh hoi quy (3.1), neu bang 0,
gia tr d bao cua Y se oc lap vi X, ngha la X khong co anh hng oi v i
Y. Do o, can co gia thuyet = 0, va ta ky vong rang gia thuyet nay se b bac
bo. He so tng quan () gia hai bien X va Y o lng o tng ng gia hai
bien. c lng mau cua c cho trong Phng trnh (2.11). Neu = 0,
cac bien khong co tng quan nhau. Do o cung can kiem nh gia thuyet =
0. Phan nay ch thao luan phng phap kiem nh gia thuyet oi vi va .
Kiem nh gia thuyet oi vi p se c trnh bay phan sau. Can lu y rang,
trc khi tiep tuc phan tiep theo, ban nen xem lai Phan 2.8 ve kiem nh gia
thuyet va Phan 2.7 ve cac loai phan phoi.
Kiem nh gia thuyet bao gom ba bc c ban sau: (1) thiet lap hai gia
thuyet trai ngc nhau (Gia thuyet khong va Gia thuyet ngc lai), (2) a ra
kiem nh thong ke va phan phoi xac suat cho gia thuyet khong, va (3) a ra
quy luat ra quyet nh e bac bo hay chap nhan gia thuyet khong. Trong v du
ve gia nha, Gia thuyet khong la H
o
: = 0. Bi v chung ta ky vong rang se
dng, Gia thuyet ngc lai la H
1
: 0. e thc hien kiem nh nay,
va
sai so chuan c lng s c s dung e a ra thong ke kiem nh. e a
ra phan phoi mau cho va , ma ieu nay anh hng gian tiep en cac so
hang sai so ngau nhien u
1
, u
2
, u
n
(xem Phng trnh 3.15), can bo sung mot
gia thuyet ve phan phoi cua u
t
.

GIA THIET 3.8 (Tnh Chuan Tac cua Sai So)
Moi gia tr sai so u
t
tuan theo phan phoi chuan N(0,
2
) , ngha la mat o co
ieu kien cua Y theo X tuan theo phan phoi N( + X,
2
).

Nh vay, cac so hang sai so u
1
, u
2
, u
n
c gia nh la oc lap va co phan
phoi chuan giong nhau vi gia tr trung bnh bang khong va phng sai bang
2
. Gia thiet 3.8 la gia thiet can ban trong kiem nh gia thuyet thong ke.
Bang 3.2 se trnh bay tom tat tat ca cac gia thiet a c a ra. Nhng so
hang sai so thoa cac Gia thiet t 3.2 en 3.8 th c xem la sai so ngau nhien
hay sai so do nhieu trang.
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BANG 3.2 Cac Gia Thiet cua Mo Hnh Hoi Quy Tuyen Tnh n Bien
3.1 Mo hnh hoi quy la ng thang vi an so la cac he so va ; o la
Y
t
= + X
t
+ u
t
, vi t = 1, 2, 3, n.
3.2 Tat ca cac gia tr quan sat X khong c giong nhau; phai co t nhat mot
gia tr khac biet.
3.3 Sai so u
t
la bien ngau nhien vi trung bnh bang khong; ngha la, E(u
t
) =
0.
3.4 X
t
c cho va khong ngau nhien, ieu nay ngam nh rang khong tng
quan vi u
t
; ngha la Cov (X
t
, u
t
) = E(X
t
u
t
) E(X
t
)E(u
t
)= 0.
3.5 u
t
co phng sai khong oi vi moi t; ngha la Var(u
t
) = ( )
2 2
=
t
u E
3.6 u
t
va u
s
co phan phoi oc lap oi vi moi t s, sao cho Cov(u
t
, u
s
) = E(u
t

u
s
).
3.7 So lng quan sat (n) phai ln hn so lng he so hoi quy c c lng
( ay n > 2).
3.8 u
t
tuan theo phan phoi chuan u
t
~ N(0,
2
), ngha la ng vi gia tr X
t
cho
trc, Y
t
~ N( + X
t
,
2
).

Xac nh Tr Thong Ke Kiem nh

Phan nay chng minh rang kiem nh thong ke ( )

0
s t
c
= tuan theo
phan phoi Student t, theo gia thuyet khong, vi bac t do la n 2 (bi v ta
ang c lng hai tham so va ). Lu y rang Gia thuyet 3.7 rat can e
chac chan rang bac t do la dng.

CHNG MINH (oc gia khong quan tam en nguon goc van e, co the
bo qua phan nay).

Trc het can xem xet cac tnh chat sau

TNH CHAT 3.6

a. va
co phan phoi chuan.

b. ( ) | |
2 2 2 2
) 2 ( =
n u
t
co phan phoi chi-bnh phng vi bac t do
n2.
c. va
c phan phoi oc lap vi

2
.

Tnh chat 3.6a xuat phat t thc te la va
la nhng to hp tuyet tnh

cua u
t
va u
t
co phan phoi chuan. e chng minh tnh chat b va c, nen tham
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khao tai lieu Hogg va Graig (1978, trang 296-298). Tan dung cac ket qua o
ta c

), , ( ~
2

N ), , ( ~
N
2
2
2
~
n
t
X
u

trong o
2

va
2
la phng sai cua va
theo Phng trnh (3.18) va

(3.19). Bang cach chuan hoa phan phoi cua thong so c lng ngha la tr
cho trung bnh va chia cho o lech chuan) ta c

( )
), 1 , 0 ( ~

( )
), 1 , 0 ( ~

( )
2
2
2
~
2
2

n
X
n

Trong phan 2.7, phan phoi t c nh ngha la ty so cua so chuan chuan
hoa tren can bac hai cua mot chi-square oc lap vi no. Thay vao cho va ap
dung phng trnh (3.18), (3.19) va (3.22), ta c

( ) ( ) ( )
2

2 1
2
2
=
(
=
n
t
s
t

trong o

= = =
xx xx
S S
s

s la sai so chuan c lng cua
theo Phng trnh (3.22).

t c trnh bay tren la tr thong ke kiem nh da tren quy luat ra quyet
nh c thiet lap sau nay. Kiem nh nay c goi la kiem nh t. Cac bc
kiem nh thong ke phan ra trong hai trng hp kiem nh mot pha va kiem
nh hai pha c trnh bay sau ay.

Quy Tac Ra Quyet nh

Kiem nh t-test mot pha

BC 1 H
0
: =
0
H
1
:
0

BC 2 Kiem nh thong ke la ( )

0
s t
c
= , c tnh da tren mau.
Theo gia thuyet khong, kiem nh thong ke co phan phoi t vi
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bac t do la n 2. Neu t
c
tnh c la ln, ta co the nghi ng
rang se khong bang
0
. ieu nay dan en bc tiep theo.
BC 3 Trong bang tra phan phoi t trang ba trc cua sach, tra bac t
do la n 2. Va chon mc y ngha () va xac nh iem t*
n2
()
sao cho P(t > t*) = .
BC 4 Bac bo H
0
neu t
c
> t*. Neu gia thuyet ngc lai <
0
, tieu
chuan kiem nh e bac bo H
0
la neu t
c
< t*.

Kiem nh tren c minh hoa bang hnh anh qua Hnh 3.6 (ky hieu
c s dung e ch mc y ngha e tranh nham lan vi ch tung o). Neu t
c

ri vao dien tch in am trong hnh ve (c goi la vung ti han) ngha la t
c

>t*. Trong trng hp o, gia thuyet khong se b bac bo va ket luan c
rang ln hn
0
rat nhieu.

HNH 3.6 Kiem nh Mot Pha vi H
0
: =
0
H
1
:
0

Chap nhan Ho Bac bo Ho
Dien tch a
0
f(t
n-2
)
t
n-2
t*
n-2
(a)

V du 3.4
Trong v du ve gia nha, ta co
0
= 0. Do o,
s t
c
= , la kiem nh thong ke
n gian va la ty so gia he so hoi quy c lng tren sai so chuan. Ty so
c goi la tr thong ke t. Cac c lng la 13875 , 0
= , va theo v du 3.2 ta
biet 01873 , 0
s . Do o, tr thong ke t c tnh se la t
c
= 0,13875/0,01873
= 7.41. Bac t do bang n 2 = 14 2 = 12. Cho mc y ngha la 1%, ngha la
= 1%. Tra bang phan phoi t, ta c t*
n2
=2,681 . Do t
c
> t*, gia thuyet H
0

b bac bo va ket luan c rang ln hn zero mot cach ang ke vi mc y
ngha 1%. Lu y rang he so nay van co y ngha trong trng hp mc y ngha
ch la 0,05% bi v t*
12
(0,0005) = 4,318.
Tr thong ke t oi vi c cho bi t
c
= 52,351/37,285 = 1.404 nho hn
t*
12
(0,0005) = 1.782. Do o khong the bac bo H
0
nhng thay vao o co the co
the ket luan rang khong ln hn zero xet ve mat thong ke vi mc y
ngha 5%. Cac iem khong ngha hai iem sau. Th nhat, X = 0 th hoan
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toan nam ngoai khoang mau va do o c lng Y
khi X = 0 khong ang tin

cay (xem them Phan 3.9). Th nh, t Hnh 3.1 co the thay rang ac iem hai
bien la khong ay u e gia i thch o bien thien gia cua cac gia tr quan sat.
Trong chng 4 se cho thay bao ham ca anh hng trung bnh cua bien b
bo sot va tnh phi tuyen, khi X bang 0. Cac anh hng tren se lam cho
khong co y ngha.

Mot So Lu Y khi S Dung Kiem nh t-Test

Mac du kiem nh t-test rat hu ch trong viec xac nh y ngha thong ke cua
cac he so, tuy nhien rat de nham lan gia cac y ngha cua kiem nh. V du,
V du 3.4 kiem nh t-test oi vi khong the bac bo gia thuyet khong la =
0. Nh vay co phai kiem nh nay chng minh rang = 0 hay khong? Cau
tra li la khong. Co the chac chan rang, theo tap d lieu va mo hnh c mo
ta, khong co bang chng nao cho thay > 0. Trong chng 4, se e cap
kiem nh t-test cho nhieu he so hoi quy. Neu mot trong nhng he so nay
khong co y ngha (ngha la, khong the bac bo gia thuyet rang he so bang 0),
ieu o khong co ngha la bien tng ng khong co anh hng g en bien
phu thuoc hoac bien o khong quan trong. Van e nay se c thao luan ay
u trong chng sau. Trong chng 5 se thay rang khi mo hnh thay oi, mc
y ngha cua he so cung thay oi. Do o, can thc hien ky cac kiem nh gia
thuyet a ra va khong nen voi va ket luan ma khong xet en mo hnh va
nhng phan tch them ve cac kiem nh chuan oan can thiet e a ra mot
ket luan y ngha (on nh theo ac iem mo hnh).

Phng Phap p-value trong Kiem nh Gia thuyet

Kiem nh t-test co the c thc hien theo mot phng phap khac tng
ng. Trc tien tnh xac suat e bien ngau nhien t ln hn tr quan sat t
c
,
ngha la

p-value = P(t>t
c
) = P(sai lam loai I)

Xac suat nay (c goi la p-value) la phan dien tch ben phai t
c
trong phan
phoi t (xem Hnh 3.7) va la xac suat sai lam loai I ngha la xac suat loai bo
gia thuyet H
0
. Xac suat nay cang cao cho thay hau qua cua viec loai bo sai
lam gia thuyet ung H
0
cang nghiem trong. p-value be ngha la hau qua cua

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Phng phap phan tch
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viec loai bo gia thuyet ung H
0
la khong nghiem trong (ngha la, xac suat xay
ra sai lam loai I la thap) va do o co the yen tam khi bac bo H
0
. Nh vay, quy
luat ra quyet nh la khong bac bo H
0
neu p -value qua ln, v du: ln hn 0,1,
0,2, 0,3. Noi cach khac, neu p-value ln hn mc y ngha , co the ket luan
rang he so hoi quy khong ln hn
0
mc y ngha . Neu p-value nho hn
, gia thuyet H
0
b bac bo va ket luan c rang ln hn
0
mot cach ang
ke.
e thay c s tng ng cua hai phng phap, lu y rang tren Hnh
3.7 neu xac suat P(t>t
c
) be hn mc y ngha , th iem tng ng la t
c
phai
nam ben phai iem t*
n-2
(). Ngha la t
c
ri vao mien bac bo. Tng t, neu
xac suat P(t>t
c
) ln hn mc y ngha , th iem tng ng la t
c
phai nam
ben trai iem t*
n-2
() va do o ri vao mien chap nhan. Sau ay la cac bc
bo sung trong phng phap p-value nh sau:

HNH 3.7 Kiem nh Gia thuyet theo Phng Phap p-value

Bac bo Ho neu
p- value< a
0
f(t
n-2
)
t
n-2
t* t
c

BC 3a Tnh xac suat (ky hieu p-value) e t ln hn t
c
, ngha la tnh
phan dien tch ben phai gia tr t
c
.
BC 4a Bac bo H
0
va ket luan rang he so co y ngha neu p-value be hn
mc y ngha c chon.

Tom lai, c xem la ln hn
0
mot cach ang ke neu tr thong ke t ln
hay p-value la be, mc o nh the nao la ln va be se c quyet nh bi
ngi nghien cu. Phng phap pho bien trong kiem nh gia thuyet la xac
nh gia tr moc t*. Tuy nhien theo hng phap tnh p-value, lai can tnh toan
phan dien tch mot au ng vi gia tr t
c
cho trc. Ngay cang co nhieu phan
mem may tnh tnh toan san p-value (chng trnh SHAZAM va ESL c
gii thieu trong sach nay) va do o phng phap nay de ng dung de dang.
Tuy nhien, can can than kiem tra lai gia tr p-value la dung cho kiem mot
pha hay kiem nh hai pha.

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V du 3.4a
e ap dung phng phap p-value cho v du ve gia nha, ta tnh xac suat e t
ln hn gia tr quan sat = 7.41. S dung ESL e tnh toan ta c p < 0,0001
(tham khao phan ket qua trong phan Thc hanh may tnh 3.1).

ieu o co ngha la, neu ta bac bo gia thuyet khong, th c hoi e xay ra sai
lam loai I be hn 0,01%, va do o hoan toan yen tam khi bac bo H
o
va ket
luan c rang ln hn 0. oi vi tham so , p-value bang 0,093, ngha la
P(t>1,404) = 0,093. Neu H
0
: = 0 b bac bo, xac suat e xay ra sai lam loai I
la 9,3%, ln hn 5%.

Do o, khong the bac bo H
0
mc y ngha 5%, ngha la ta co cung ket luan
nh trong phng phap au, o la mc y ngha 5%, khong ln hn zero
xet ve mat thong ke.

Nh vay phng phap p-value co mot u iem la, ta biet c chnh xac mc
o ma he so co y ngha va co the anh gia xem mc y ngha nay u thap hay
khong e xem xet bac bo H
0
. Cuoi cung, khong can lo lang oi vi cac gia tr
0,01, 0,05 va 0,1.

Kiem nh t-test Hai Pha

Bao gom cac bc sau:

BC 1 H
0
: =
0
H
1
:
0

BC 2 Kiem nh thong ke la ( )

0
s t
c
= , c tnh da tren mau.
Theo gia thuyet khong, kiem nh thong ke co phan phoi t la
t
n-2.

BC 3 Trong bang tra phan phoi t trang ba trc cua sach, tra bac t
do la n 2 va chon mc y ngha () va xac nh iem t*
n2
()
sao cho P(t>t*) = /2 (phan na mc y ngha).

BC 3a Ap dung phng phap - value, tnh gia tr p
- value = P(t > t
c
hoac t < t
c
) = 2P(t > ,t
c
,)
do phan phoi t oi xng.
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BC 4 Bac bo H
0
neu ,t
c
,> t* va ket luan khac vi
0
mot cach ang
ke mc y ngha .

BC 4a Bac bo H
0
neu p-value < , mc y ngha nay.

Kiem nh tren c minh hoa bang hnh anh qua Hnh 3.8. Bac t do
trong trng hp nay bang n2. Neu tr thong ke t (t
c
) ri vao vung dien tch
en, gia thuyet khong b bac bo va ket luan c rang khac vi
0
. gia tr t*
= 2 c s dung la quy luat e anh gia mc y ngha cua tr thong ke t mc
5% (kiem nh hai pha). Bi v t* gan bang 2 vi bac t do la 25.

HNH 3.8 Kiem nh Hai Pha vi H
0
: =
0
H
1
:
0

Dien tch a/2
0
f(t
n-2
)
t
n-2
t*
n-2
(a/2)
Dien tch a/2
Chap
nhan Ho
Bac bo Ho Bac bo Ho
-t*n-2(a/2)

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V du 3.5
Theo cach tnh nay t
c
trong v du gia nha co gia tr nh cach tnh theo t-test,
41 . 7
= va 404 . 1 = . Tra bang gia tr t, ta co 055 . 3 ) 005 . 0 (

*
12
= t , ieu nay co
ngha la dien tch cua ca 2 pha tng ng vi gia tr 3.055 la 0.01. Bi oi
vi
th t
c
>t
*
do o ta co the loai gia thuyet H
0

va ket luan c rang khac
vi mc y ngha 1%. oi vi th 179 . 2 ) 025 . 0 ( t
*
12
= ln hn gia tr t
c
. Do
o ta khong the bac bo gia thuyet H
0
(lu y rang ta ang dung kiem nh gia
tr mc y ngha 5%). T bc 3a ta co the suy ra c gia tr p-value oi
vi ) 404 . 1 ( 2 > = t P = 0.186 (lu y gia tr p-value tng ng vi t
c
trong
trng hp kiem nh 2 pha se gap 2 lan gia tr cua no trong trng hp kiem
nh 1 pha). Do sai lam loai I co gia tr 18.6% la khong the chap nhan c
nen ta khong the bac bo gia thuyet H
0
: = 0. ieu nay co ngha la khong
co y ngha ve thong ke trong khi lai co.

BAI TAP 3.4
Trong v du gia nha, hay kiem nh gia thuyet H
0
: = 0.1 va gia thuyet
H
1
: 0.1 lan lt mc y ngha 0.05 va 0.01.

BAI TAP 3.5
Chng minh rang neu mot he so co y ngha mc 1% th he so nay cung
se co y ngha mc cao hn.

BAI TAP 3.6
Hay chng minh rang neu mot he so khong co y ngha mc 10% th he so
nay cung se khong co y ngha bat ky mc y ngha nao thap hn 10%.

Kiem nh
2

Mac du thong ke kiem nh mc y ngha phng sai sai so
2
khong pho bien
nhng van c trnh bay ay u trong phan nay. Kiem nh
2
gom cac
bc sau:

BC 1 H
0
:
2
= 0
2
H
1
:
2
0
2

BC 2 Tr kiem nh la
0
2
2
) 2 (
= n Q
c
. Sau o tra bang phan phoi
Chi-square vi bac t do n-2. Neu Q co gia tr ln ta co the
nghi ng rang
2
khong bang 0
2

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BC 3 Trong bang tra phan phoi Chi-square trang ba trc cua sach,
tra gia tr cua Q
*
n-2
() sao cho dien tch ben phai bang .
BC 4 Bac bo H
0
mc y ngha neu Q
c
> Q
*
n-2
().

Nguyen nhan tong quat lam cho kiem nh nay khong pho bien la do ngi
kiem nh khong co thong tin s cap ban au ve gia tr cua
2
s dung trong
gia thuyet H
0
.

Kiem nh o Thch Hp

Ta co the thc hien kiem nh o thch hp. Goi p la he so tng quan tong
the gia X va Y c nh ngha Phng trnh (2.7). Theo phng trnh
(2.11), ta thay gia tr c lng p
2
c xac nh bi ) /(
2 2
yy xx xy xy
S S S r = trong
o S
xx
va S
xy
c nh ngha theo Phng trnh (3.8) va (3.9), va

( )
TSS Y Y
n
Y
Y S
t
t
t yy
= =
(
(
=

2
2
2
) ( (3.27)
Phan 3.A.10 ngi ta a chng minh rang r
2
xy
bang vi R
2
(ieu nay ch
ung trong trng hp hoi qui n bien ma thoi). Phan kiem nh gia
thuyet 2.8 trnh bay phng phap kiem nh gia thuyet cho rang X va Y khong
co moi tng quan. Kiem nh nay goi la kiem nh F (F-test). Kiem nh F-
test gom cac bc sau:

BC 1 H
0
:
xy
= 0 H
1
:
xy
0
BC 2 Tr thong ke kiem nh la F
c
= R
2
(n 2)/(1 R
2
). F
c
cung co
the c tnh theo cong thc sau F
c
= RSS(n 2)/ESS. Theo gia
thuyet H
0
, tr thong ke nay tuan theo phan phoi F vi 1 bac t do
t so va n 2 bac t do mau so.

BC 3 Tra bang F theo 1 bac t t so va n 2 bac t do mau so tm
gia tr F
*
1, n 2
() sao cho phan dien tch ve pha phai cua F
*
la
, mc y ngha.

BC 4 Bac bo gia thuyet H
0
(tai mc y ngha ) neu F
c
> F
*
.

Nen lu y rang gia thuyet H
0
tren se khong hp le khi co nhieu gia tr X.
Nh se c trnh bay chng 4, kiem nh F van c s dung nhng H
0
se
khac.

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V du 3.6
Trong v du gia nha, R
2
= 0,82052. F
c
= 0,82052(14 2)/(1 0,82052) =
54,86. Theo v du 3.5, ESS = 18.274, va RSS = TSS ESS = 83.541. V vay
F
c
con co the c tnh theo cong thc khac nh bc 2: F
c
= 83.541 (14
2)/18.274 = 54,86. Bac t do cua t so la 1, cua mau so la 12. Vi mc y
ngha = 5%, tra bang A.4b ta c F
*
1, 12
(0.05) = 4,75. V F
c
> F
*
chung ta
bac bo (tai mc y ngha 5%) gia thuyet H
0
cho rang X va Y khong tng quan.
Thc ra, v F
c
> F
*
1, 12
(0.01) (tra bang A.4a), gia thuyet H
0
cung b bac bo tai
mc y ngha 1%. Nh vay, mac du gia tr R
2
kha nho hn 1, no cung khac 0
mot ang ke.

Trnh Bay Cac Ket Qua Hoi Quy

Cac ket qua cua phan tch hoi quy c trnh bay theo nhieu cach. Theo cach
thong thng, ngi ta se viet phng trnh c lng kem vi cac tr thong
ke t di moi he so hoi quy nh sau:

SQFT 13875 , 0 351 , 52 GIA + =
(1,404) (7,41)

821 . 0
2
= R 12 . f . d = 023 . 39 =

Mot cach khac la ien cac sai so chuan di cac he so hoi quy:

SQFT 13875 , 0 351 , 52 GIA + =
(37.29) (0.019)

Neu nhieu mo hnh hoi quy c c lng, viec trnh bay ket qua dang
bang nh Bang 4.2 se thuan tien hn.
Viec tach tong cac bnh phng toan phan ra thanh cac thanh phan thng
c tom tat dang bang Phan Tch Phng Sai (ANOVA) Bang 3.3.

3.6 Thang o va n V o

Gia s chung ta a tnh GIA theo n v ong ola thay v theo ngan ong
ola. Cot GIA bang 3.1 se cha cac gia tr nh 199.900, 228.000, v.v.
Nhng c lng cua he so hoi quy, cac sai so chuan cua chung, R
2
, v.v. se b
anh hng nh the nao bi s thay oi n v nay? Cau hoi nay se c khao
sat ay v GIA va SQFT c tnh cac n v khac nhau. au tien chung
ta chay lai mo hnh.

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GIA = + SQFT + u

Goi GIA
*
la gia tnh theo o la thng. Nh vay GIA
*
= 1.000 GIA. Nhan
moi so hang trong phng trnh vi 1.000 va thay GIA
*
vao ve trai. Chung ta
co

GIA
*
= 1.000 + 1.000SQFT + 1.000u = GIA
*
=
*
+
*
SQFT + u
*

Neu chung ta ap dung phng phap OLS cho phng trnh nay va cc tieu
hoa (u
*
t
)
2
, chung ta se tm c cac gia tr c lng cua
*
va
*
. De dang
nhan thay rang cac he so hoi quy mi se bang cac he so cu nhan vi 1,000.
Nh vay, thay oi thang o cua ch bien phu thuoc trong mo hnh hoi quy lam
cho thang o cu a moi he so hoi quy thay oi theo tng ng. V u* = 1,000u,
cac phan d va sai so chuan cung se c nhan len 1.000. Tong cac bnh
phng se c nhan them 1 trieu (1.000 bnh phng). Can lu y rang cac
tr thong ke t, F, va R
2
se khong b anh hng v chung la cac t so trong o
yeu to thang o se triet tieu.

BANG 3.3 Phan Tch Phng Sai
Nguon Tong bnh phng
(SS)
Bac t do
(d.f.)
Bnh
phng
trung bnh
(SSd.f.)
F
Hoi quy (RSS)
2
)
( Y Y
t

= 83.541
1 83.541
86 54
ESS
2 n RSS
,
) (
=

Sai so (ESS)
t
u = 18.274 N 2 = 12 1.523
Tong (TSS)
2
) ( Y Y
t

= 101.815
N 1 = 13 7.832

Tac ong cua viec thay oi thang o cua mot bien oc lap se ra sao? Gia
s SQFT c tnh theo n v tram met vuong thay v theo met vuong thong
thng, nhng GIA c tnh theo n v ngan ola nh trc. Goi SQFT la
bien tnh theo tram met vuong. Vay SQFT= 100SQFT. Thay vao phng
trnh ban au ta co:

GIA = + 100SQFT + u

Ro rang theo phng trnh nay, neu chung ta hoi quy GIA theo mot hang
so va SQFT, he so duy nhat se b anh hng la he so cua SQFT. Neu
la
he so cua SQFT, th

100 '
= . Sai so chuan cua no cung se nhan vi 100.

Tuy nhien, tat ca cac so o khac ESS, gia tr thong ke t, F, R
2
chang han se
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khong b anh hng. Tom lai, trong mot mo hnh hoi quy tuyen tnh, neu thang
o cu a mot bien oc lap thay oi cac he so hoi quy cu a no va cac sai so chuan
tng ng se thay oi tng ng nhng cac tr thong ke khac se khong thay oi.
Co ly do chnh ang e thay oi thang o cua cac gia tr sao cho cac so sau
khi thay oi se khong ln cung khong qua nho va tng t vi cac gia tr cua
cac bien khac. ieu nay la v cac so co gia tr ln se lan at cac sai so va cac
so nho se gay ra sai so lam tron, ac biet la khi tnh gia tr tong bnh phng,
viec nay se lam anh hng xau en o chnh xac cua ket qua.
e hieu mot cach thc te hau qua cua viec thay oi n v, hay Thc Hanh
May Tnh phan 3.2 phu luc D.
BAI TAP 3.7
Gia s chung ta at mot bien mi X
*
= SQFT 1.000 (ngha la, X
*
la phan
dien tch vuong tren 1.000) va c lng mo hnh GIA = a + bX
*
+ v. Giai
thch bang cach nao ban co the tm c a va b
t va
ma khong phai
c lng lai mo hnh mi.

3.7 ng dung: c Lng ng Engel Bieu Dien Quan He Gia Chi Tieu cho
Cham Soc Sc Khoe va Thu Nhap.

Trong phan nay, chung ta se trnh bay mot ng dung tap dt vi mo hnh
hoi quy hai bien. D lieu c s dung la chuoi d lieu cheo cho 50 bang va
quan Columbia (n = 51), d lieu c thu thap t cuon Tom Lc Thong Ke
My nam 1995 (Statistical Abstract of the US). Cac gia tr cua d lieu thc co
tap tin DATA3-2. Cac bien la:

EXPHLTH = Chi tieu tong hp (n v ty ola) cho cham soc sc khoe cua
bang vao nam 1993, Bang 153, trang 111, khoang t 0,998-
9,029.
INCOME = Thu nhap ca nhan (n v ty ola) cua bang vao nam 1993,
Bang 712, trang 460, khoang t 9,3-64,1.
Mo hnh la ng Engel tm c v du 1.4 va c ap dung vi tong chi
tieu cho cham soc sc khoe cua My la ham so theo tong thu nhap ca nhan.
Phan ng Dung May Tnh 3.3 (xem phu luc bang D.1) trnh bay hng dan
e tm ra ket qua. Ban chu thch cua bao cao in t may tnh, s dung chng
trnh ESL va tap tin PS3-3.ESL, c trnh bay bang 3.4. Phan c in am
la nhap lng cua chng trnh va cac phan in nghieng la cac nhan xet ve ket
qua. Ban nen tm hieu cac chu thch nay can than va s dung chng trnh
hoi quy ban co e chay lai cac ket qua nay (tap tin PS3-3.SHZ cha cac dong
lenh e s dung phan mem SHAZAM). Di ay la mo hnh c lng cung
vi tr thong ke mau t trong ngoac n, va p-value (gia tr xac suat p) trong
ngoac vuong:
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INCOME 141652 , 0 176496 , 0 EXPHLTH + =
(0.378) (49.272)
[0.707] [<0.0001]
R
2
= 0,98 d.f. = 49 F = 2.428 = 2,547

Mo hnh rat thch hp vi so lieu v 98% s bien oi cua chi tieu cho cham
soc sc khoe c giai thch bi bien thu nhap. Nh a giai thch Bang 3.3,
so hang hang so khong co y ngha ve mat thong ke va phu hp vi tieu chuan
ly thuyet e ra trong v du 1.4, ch ra rang = 0. e biet them chi tiet, xem
cac chu thch Bang 3.4

3.8 Khoang Tin Cay

Nh a c ch ra Phan 2.9, mot cach e xem xet trc tiep en viec c
lng va trong ieu kien khong chac chan la xac nh khoang tin cay.
Nh vay, v du, thay v noi
= 0,139 chung ta co the noi rang vi mc xac

suat cho trc,
^
se nam trong khoang t 0,09 en 0,17. T ket qua cac gia
tr thong ke kiem nh phan 3.5 ta co:

2
~
n
t
s

va
2
~
n
t
s

at t
*
n-2
(0,025) la iem name tren phan phoi t vi n-2 bac t do sao cho
P(t>t
*
) = 0,025. ieu nay tng ng vi P(- t
*
t t
*
) = 0,95. Nh vay,

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BANG 3.4 Bao Cao t May Tnh Kem Theo Chu Giai cho Phan 3.7
Cac lenh ESL c in am va cac nhan xet c in nghieng.
Danh sach bien
(0) Hang so (1) exphlth (2) income

(o th cua mc chi tieu theo thu nhap cho thay co s quan he chat che gia hai
bien)

exphlth
94,178 | o
|
|
78,648 +
|
|
| o
|
52,764 +
| o
| o
| o
| o o
26,881 + o
| o o
| o
| o ooo
| oooo o
0,998 + ooo
| +++++++
9,3 income
683,5

c lng OLS vi 51 quan sat 1-51
Bien phu thuoc EXPHLTH

Bien He so Sai so chuan T-stat 2 Prob(t >|T|)
(0) hang 0,176496 0,467509 0,377525 0,707414
(1) income 0,141652 0,002875 49,271792 <0,0001
***

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Gia tr c lng cua he so cu a bien thu nhap la
= 0,141652 va c
lng cua so hang hang so la = 0,176496. Tr thong ke t (he so chia cho sai
so chuan) cua bien thu nhap la 49,271792, ay la gia tr rat y ngha. 2Prob(t
>|T|) la vung dien tch hai au phan phoi t chan bi gia tr kiem nh t va
la gia tr p-value hoac xac suat sai lam loai I (oi vi kiem nh 2 pha). Neu
p-value nho (trong trng hp nay, nho hn 0,0001), chung ta an toan khi
bac bo gia thuyet Ho rang = 0, va ket luan rang he so cua bien thu nhap la
khac 0 ang ke. Gia tr p-value cua so hang hang so bang 0,707414 gi y rang
neu chung ta bac bo gia thuyet Ho cho rang = 0, chung ta co the pham phai
sai lam loai I trong 70,7 % so lan. V mc sai lam nay qua cao, chung ta
khong the bac bo gia thuyet Ho. Nh vay chung ta ket luan rang so hang hang
so khong khac 0 ang ke. Lu y rang trong v du 1.4, viec suy dien ly thuyet ra
ng Engel am ch rang khong co so hang hang so. So hang hang so khong
co y ngha la phu hp vi ket qua theo ly thuyet. Xu hng chi tieu can bien
cho viec cham soc sc khoe lay t thu nhap la 0,141652; ngha la, vi moi
khoa n tang thu nhap 100 ola, chung ta co the ky vong cac ca nhan se chi
trung bnh 14,17 ola cho cham soc sc khoe.
Gia tr R
2
(R-square) ch ra rang 98% s bien oi cua chi tieu c giai
thch bi bien thu nhap. S khac nhau gia gia tr R
2
Hieu chnh va Khong
hieu chnh se c giai thch chng 4 cung vi cac gia tr thong ke mau e
chon mo hnh.
Gia tr thong ke mau Durbin-Watson va he so tng quan chuoi bac nhat se
c giai thch chng 9, nham giai quyet s vi pham gia thiet 3.6 cho rang
cac so hang sai so cua hai quan sat la khong tng quan. Gia tr trung bnh
cua bien phu thuoc la Y va S.D. la o lech chuan cua S
y

Gia tr trung bnh cua
bien phu thuoc
15,068863 S.D. cua bien phu thuoc 17,926636
Tong bnh phng sai
so (ESS)
317,898611 Sai so chuan cua phan
d
2,547102
R- bnh phngkhong
hieu chnh
0,980 R- hieu chnh 0,980
Tr thong ke F 2427,709468 p-value =
Prob(F>2427.709)
<0,0001
Tr thong ke Durbin-
Watson
2,209485 He so t tng quan bac
nhat
-0,121

Gia tr thong ke mau e chon mo hnh

SGMASQ 6,487727 AIC 6,741876 FPE 6,742147
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Phng phap phan tch
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HQ
GCV
6,939901
6,752532
SCHWARZ
RICE
7,272471
6,7638
SHIBATA 6,722193

?genr ut=uhat (lu cac c lng phan d trong may vao ut.)
Generated var. no. 3 (ut)
?genr =exphlth-ut (gia tr thch hp = exphlth quan sat tr phan d)
Generated var. no. 4 (yhat)
?print o exphlth yhat ut; (In gia tr chi tieu thc va d bao, gia tr phan d.
Dau hieu o ch in ra dang bang)

Obs exphlth yhat ut

1 0,998 1,493862 -0,49586172
2 1,499 1,763001 -0,26400087
3 4,285 2,598749 1,686251
4 1,573 2,131297 -0,55829655
5 2,021 1,720505 0,30049479
6 2,26 2,343775 -0,08377483
7 1,953 1,989644 -0,03664435
8 2,103 2,244618 -0,1416183
9 3,428 3,179523 0,24847729
10 2,277 2,910384 -0,63338356
11 3,452 3,731965 -0,27996523
12 3,485 4,057766 -0,57276526
13 3,433 3,476992 -0,0439923
14 3,747 4,652705 -0,90570543
15 4,4 4,666871 -0,26687065
16 3,878 3,916114 -0,03811407
17 5,197 4,341071 0,85592937
18 4,118 4,426062 -0,30806194
19 6,111 5,672601 0,43839884
20 6,903 7,301601 -0,39850129
21 6,187 5,686766 0,50023362
22 7,341 7,485749 -0,14474913
23 7,999 8,533975 -0,53497529
24 8,041 7,967367 0,07353344
25 12,216 13,250993 -1,034993
26 10,066 11,027054 -0,96105374
27 9,029 8,84561 0,1833899
28 10,384 9,256401 1,127599
29 10,635 10,276297 0,35870284
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30 12,06 10,318793 1,741207
31 13,014 10,276297 2,737703
32 14,194 13,619289 0,57471128
33 15,154 16,96228 -1,80828
34 14,502 14,32755 0,17445035
35 16,203 13,477637 2,725363
36 15,949 14,68168 1,26732
37 15,129 16,395672 -1,256672
38 16,401 15,701576 0,69942416
39 23,421 20,985202 2,435798
40 6,682 20,036133 -13,354133
41 20,104 19,002072 1,101928
42 18,241 18,56295 -0,32194997
43 25,741 30,093438 -4,352438
44 27,136 27,756177 -0,62017675
45 33,456 31,042507 2,413493
46 34,747 37,516012 -2,769012
47 41,521 36,439456 5,081544
48 44,811 40,320726 4,490274
49 49,816 49,0465 0,7694999
50 67,033 64,004971 3,028029
51 94,178 96,995765 -2,817765

s t s t P t
s
t P
* * * *
( 95 . 0 )
( + = =

T ay co the rut ra rang khoang tin cay 95% cua va lan lt la
s t
*
va
s t
*

V du 3.7
Trong v du ve gia nha, sai so chuan cua va
la
s = 37,285 va
s =
0,18373. ong thi, t bang t, ta co t
*
12
(0,025) = 2,179. Do o, khoang tin
cay 95% la
oi vi : 52,351 (2,179x37,285) = (-28,893; 133,595)
oi vi : 0,13875 (2,179x0,018373) = (0,099; 0,179)

Lu y rang cac khoang tin cay nay la tng oi rong. ay la dau hieu cho
thay mo hnh hoi quy tuyen tnh thch hp rat kem vi tap d lieu. Mot mo
hnh hoi quy thch hp se cho khoang tin cay hep hn.
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BAI TAP 3.8
Xac nh khoang tin cay cua va trong Phan ng Dung 3.7

3.9 D Bao

Nh a e cap trc ay, mot trong cac ng dung pho bien cua mo hnh hoi
quy la e d bao (chu e nay se c thao luan chi tiet hn chng 11).
Trong v du gia nha, chung ta co the at cau hoi gia ban d bao cua mot ngoi
nha co dien tch 2,000 met vuong se la bao nhieu. Mo hnh hoi quy c lng
la X Y 13875 . 0 351 . 52
+ = . Nh vay, khi X = 2,000, gia tr d bao cuaY la

52,351 + (2,000x0,13875) = 329,851. V gia c tnh theo n v ngan ola,
gia tr d bao nay cung co n v ngan ola. V vay, theo mo hnh, gia trung
bnh c lng cua mot can ho dien tch 2,000 met vuong la 329.851 ola.
Mot cach tong quat, de dang nhan thay neu X co gia tr X
0
th gia tr d bao
cua Y
0
se la
0 0

X Y + = . Gia tr trung bnh co ieu kien cua bien d oan Y

cho trc X = X
0
la

) ( )
( ) ( )
(
0 0 0 0
X X Y E X E X E X X Y E = = + = + = =

Nh vay
0
Y la gia tr d bao co ieu kien khong thien lech cua gia ban trung
bnh tai X
0
.

Khoang Tin Cay cho Gia Tr D Bao Trung Bnh

V va c c lng co sai so, gia tr d bao
0
Y cung chu sai so. e xet

en yeu to nay, chung ta tnh sai so chuan va khoang tin cay cho gia tr d
bao trung bnh. Di ay la c lng cua phng sai cua gia tr d bao (xem
chng minh Phan 3.A.11 )

(

+ =
xx
Y
S
X X
n
s
2
0 2 2
) ( 1
0
(3.28)

Khoang tin cay cua gia tr d bao trung bnh la

]
[
0 0

*
0
*
0
Y Y
s t Y s t Y +

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trong o t
*
la gia tr ngng cua phan phoi t. Lu y rang khi X
0
cang lech xa
gia tr trung bnh X , th
0
Y
s cang ln va khoang tin cay tng ng cang rong.
ieu nay co ngha rang neu d bao c thc hien qua xa khoi pham vi cua
mau, o tin cay cua d bao se giam i. Neu X
0
= X , khoang tin cay se hep
nhat. Hnh 3.9 cho y niem ve dai tin cay vi cac gia tr X
0
.

HNH 3.9 Dai Khoang Tin Cay cua Cac Gia Tr D Bao

Khoang Tin Cay cho D Bao iem

Phng sai mau trnh bay phan trc dung e d bao gia tr trung bnh. Ben
canh o chung ta cung muon tm phng sai cua sai so d bao cho cac gia tr
thc Y
0
tng ng vi X
0
. Cong thc di ay c lay t Phu luc 3.A.12:

2
2
0 2
0
2
0
0
) ( 1
1 ) (
Y
xx
u
s
S
X X
n
u Var s >
(

+ + = = (3.29)

trong o
0 0 0

Y Y u = la sai so cua d bao iem. Khoang tin cay c tnh
theo
0
u
s thay v
0
Y
s . Khi c mau ln, so hang th hai va th ba tren se
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khong ang ke so vi
0
u
s mot gia tr gan bang . Ngoai ra, t
*
cung gan
bang 2 trong trng hp mc y ngha 95%. Nh vay, khoang tin cay cua mau
co kch thc ln la 2
0
Y

V du 3.8
Trong v du gia nha, chung ta co
2
0
Y
s = 111,555 va
2
0
u
s =1634,353 va khoang
tin cay tng ng khi X
0
= 2.000 se la (307, 353) va (242, 418). Khoang tin
cay vi c mau ln la (252,408). (Xem phan Thc Hanh May Tnh 3.4 e
chay lai ket qua nay).
Chung ta nen chon loai khoang tin cay nao trong so hai loai tren? V quan
tam chnh la sai so d bao oi vi gia tr thc Y
0
, phng trnh (3.29) thng
c s dung. Lu y rang khoang tin cay theo phng trnh nay rong hn
nhieu khoang tin cay da tren phng trnh (3.28)

So Sanh Cac Gia Tr D Bao

Cac nha phan tch kinh te va kinh doanh thng s dung nhieu hn mot mo
hnh e d bao. Mot so o thng dung e so sanh nang lc d bao cua cac
mo hnh khac nhau la sai so bnh phng trung bnh (hoac oi khi ngi ta
s dung can bac hai cua no, va c goi la can bac hai sai so bnh phng
trung bnh).
Goi Y
f
t
la gia tr d bao cua bien phu thuoc cho quan sat t, va Y
t
la gia tr
thc. Sai so bnh phng trung bnh c tnh nh sau:

2 n
Y Y
MSE
2
t
f
t

=
) (
MSE RMSE =

Neu hai mo hnh c s dung e d bao Y, mo hnh nao co MSE nho hn
se c anh gia la mo hnh tot hn cho muc ch d bao.
Mot so o hu ch khac la sai so phan tram tuyet oi trung bnh (MAPE)

=
t
f
t t
Y
Y Y
100
n
1
MAPE

So o nay ch co y ngha neu tat ca cac gia tr Y eu dng (xem Phan ng
Dung 3.11). Mot cach khac, chung ta co the tnh sai so phan tram bnh
phng trung bnh (MSPE) hoac can cua no

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(

=
2
t
f
t t
Y
Y Y
100
n
1
MSPE MSPE RMSPE =

Mot phng phap khac e anh gia mo hnh va nang lc d bao cua no la
thc hien d bao hau mau. Theo phng phap nay, ngi phan tch se khong
s dung mot so quan sat cuoi cung (chang han, 10% so quan sat cuoi cung)
trong viec c lng mo hnh, nhng se s dung cac c lng thong so t tap
quan sat au tien e d bao Y
t
cho phan mau e danh. Sau o chung ta co the
tnh MSE va MAPE cho giai oan hau mau. Mo hnh nao co cac gia tr o
lng nay thap hn se tot hn cho muc ch d bao.
3.10 Tnh Nhan Qua trong Mo Hnh Hoi Quy

Khi nh mo hnh dang Y = + X + u, chung ta ngam gia nh rang X gay
ra Y. Mac du R
2
o o thch hp, no khong the c s dung e xac nh tnh
nhan qua. Noi cach khac, viec X va Y tng quan chat vi nhau khong co
ngha rang s thay oi X dan en s thay oi Y hay ngc lai. V du, he so
tng quan gia so lng kanguru cua Uc va tong dan so nc nay co the la
rat cao. Phai chang ieu nay co ngha rang s thay oi mot bien se lam cho
bien kia thay oi? Ro rang la khong, v ay chung ta co mot trng hp
tng quan gia tao. Neu chung ta hoi quy mot trong cac bien vi bien con
lai, chung ta se co s hoi qui gia tao. Lay mot v du khac thc te hn, gia s
chung ta hoi quy so lng vu trom trong mot thanh pho vi so hang hang so
va so nhan vien canh sat (X) va sau o quan sat thay he so goc c lng co
gia tr dng, co ngha rang co tng quan thuan gia X va Y. Phai chang
ieu nay co ngha rang viec tang so lng canh sat se lam tang so vu trom, do
o ngam keo theo phai co chnh sach giam lc lng canh sat? Ro rang ket
luan nay la khong the chap nhan c. ieu xay ra co the la moi quan he
nhan qua la ngc lai, co ngha la thanh pho nen thue them canh sat v so vu
trom tang len, va nh vay viec hoi quy X theo Y la hp ly hn. Tuy nhien,
trong thc te, hai bien se c xac nh ket hp va do o chung ta nen nh
ro hai phng trnh, mot vi Y theo X va cac bien khac va phng trnh con
lai vi X theo Y va cac bien khac. Viec xac nh ong thi cac bien se c
trnh bay chi tiet chng 13. Nh se thay chng nay cac c lng thu
c bang cach bo qua tnh ong thi se b sai lech va khong nhat quan.
Cung co the la s tng quan cao quan sat c gia X va Y co the hoan toan
la do cac bien khac va khong bien nao trong so chung co the trc tiep gay ra
cac bien con lai. Nhng v du nay nhan manh tam quan trong cua viec can
nhac ky lng ban chat c che hanh vi tiem an la g, tc la, qua trnh phat
d lieu la g (DGP), va lap mo hnh mot cach phu hp. Ly thuyet kinh te,
kien thc cua nha phan tch ve cac hanh v tiem an, kinh nghiem qua kh,
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v.v. phai gi y mo hnh nen phai c xac nh nh the nao. Tuy nhien, co
the kiem nh phng hng cua s nhan qua mot cach ro rang (chi tiet se
trnh bay chng 10). oc gia quan tam en van e nay co the tham khao
bai viet cua Granger (1969) va Sims (1972).
e minh hoa tam quan trong cua viec xac nh chnh xac s nhan qua, gia
s chung ta ao ngc v tr cua X va Y va c lng mo hnh:

X
t
=
*
+
*
Y
t
+ v
t

(3.1)
Lieu chung ta co the tm c ng thang giong nh trc khong? Cau tra
li, noi chung, la khong. V thu tuc bnh phng nho nhat c ap dung cho
phng trnh (3.1) se cc tieu hoa tong bnh phng cua cac o lech ng t
ng thang (xem hnh 3.10). Trai lai, ng thang nghch cc tieu hoa tong
bnh phng cua cac o lech ngang v
t
. Tm Y
t
theo X
t
, Phng trnh (3.1) co
the c viet lai nh sau:

' ' '
* * *
*
1
t t
t
t t
v X
v
X Y + + =
|
|
.
|
\
|
|
|
.
|
\
|
+
|
|
.
|
\
|
=

Viec cc tieu hoa
t
u , lam tng t nh vi phng trnh (3.1), va cc tieu
hoa
t
v se thng cho ra cac ket qua khac nhau. Cu the hn, gia tr c
lng cua se khac vi gia tr t phng trnh (3.1).

HNH 3.10 Cc Tieu Hoa Tong Bnh Phng theo Truc Tung va Truc Hoanh

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V du 3.9
Quan he c lng khi
t
u c cc tieu hoa la (xem Phan Thc Hanh
May Tnh 3.5)

SQFT 13875 0 351 52 GIA , , + =

Khi quan he nhan qua c ao ngc va
t
v c cc tieu hoa, chung ta co

GIA 913666 5 385 33 SQFT , , + =

Nghch ao quan he c lng th hai va bieu dien GIA la ham cua SQFT, ta co

SQFT 169 . 0 645 . 5 SQFT
913666 . 5
1
913666 . 5
385 . 33
GIA + = + =

Lu y rang dau cua so hang hang so b nghch ao va o doc la hoan toan
khac.

Nh vay di ieu kien g th hai ng c lng se nh nhau? e tra li
cau hoi nay, au tien ap dung OLS cho phng trnh (3.1); ngha la cc tieu
hoa
t
v . Hoan oi X va Y trong phng trnh 3.10, ta co:

'
*
= =
yy
xy
S
S

Va do o
xy yy
S S /
'
= . c lng bnh phng nho nhat lam cc tieu
t
u la
xx xy
S S /
= . e
'
bang , ieu kien la

1
2
= =
yy xx
xy
xy
yy
xx
xy
S S
S
hoac
S
S
S
S

Nhng ve trai cua phng trnh th hai la r
xy
2
, bnh phng cua he so hoi
quy n gia X va Y (nh ngha phng trnh 2.11). Nh vay, ieu kien
can la X va Y phai tng quan hoan hao. Tnh chat 2.4d noi rang neu ton tai
s tng quan hoan hao gia hai bien, th phai ton tai mot quan he tuyen tnh
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chnh xac gia chung. V vay, s thch hp gia X va Y phai hoan hao th
chung ta mi nhan c cung mot ng hoi quy cho du chung ta ap dung
OLS cho phng trnh (3.1) hay (3.1). Nhn chung, s tng quan gia X va
Y se khong hoan hao, chnh v vay chung ta se khong nhan c cung mot
ng thang hoi quy. ieu nay nhan manh tam quan trong cua viec xac nh
ung hng quan he nhan qua thay v viec chon thieu suy xet bien X va Y.
Nh a c minh hoa trc ay trong v du ve toi pham, quan he nhan
qua co the theo ca hai chieu, tnh huong nay c goi la phan hoi. Quan he
gia gia ban va lng ban cung la v du cua hien tng nay. V gia va lng
ban c xac nh cung luc bi quan he tng tac gia cung va cau, cho nen
cai nay co the anh hng cai kia. Tng t, hien tng phan hoi cung c
tm thay trong quan he gia thu nhap tong hp va tieu dung hay au t.
Nhng tnh huong nay se c trnh bay chu e mo hnh hoi quy he phng
trnh chng 13.

3.11 ng Dung: Quan He gia Bang Sang Che va Chi Ph cho Hoat ong
Nghien Cu va Phat Trien (R&D)

Phan nay se trnh bay mot v du dien tap khasc ve phan tch hoi quy. D
lieu dung trong v du nay tap tin DATA3.3, ma se e cap en cac bien sau:

PATENTS = So ng dung bang sang che c ghi nhan, n v ngan, giao
ong t 84,5 - 189,4

R&D = Chi ph cho nghien cu va phat trien, n v t ola 1992, c
xac nh bang t so gia chi ph theo ola hien hanh va ch so
giam phat tong san pham quoc noi gop (GDP), giao ong t
57,94 en 166,7.

D lieu theo nam lay trong vong 34 nam t 1960 en 1993 cho toan bo
nc My. Nguon c trnh bay phu luc D.
Neu mot quoc gia chi nhieu hn cho hoat ong nghien cu va phat trien,
chung ta co the ky vong rang quoc gia nay se at c nhieu cai tien c
bao ve thong qua luat bang sang che hn. Do o, chung ta ky vong ton tai
mot quan he dng gia so lng bang sang che c ban bo va chi tieu cho
R&D. Mac du hieu qua cua hoat ong nghien cu va phat trien se tre vai
nam sau khi d an c bat au, e n gian hoa chung ta bo qua hien tng
nay. nhng chng sau chung ta se khao sat hieu ng tre cua cac bien oc
lap va se quay lai v du nay.
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Mo hnh hoi quy tuyen tnh c lng c trnh bay di ay kem vi cac
tr thong ke mau t trong ngoac n (Phan Thc Hanh May Tnh 3.6 hng dan
cach lap lai ket qua cua phan nay va Bang 3.5 trnh bay ket qua.)

D R 792 0 571 34 SANGCHE & , , + =
(5,44) (13,97)
R
2
= 0,859 d.f. = 32
F
c
(1,32) =195,055 172 , 11 =

e kiem nh mo hnh ve s y ngha tong the, chung ta s dung tr thong
ke F, co gia tr bang 195,055. Theo gia thuyet H
0
th so bang sang che va chi
ph cho R&D la khong tng quan, F
c
tuan theo phan phoi F vi bac t do
t so la 1 va bac t do mau so la 32 (= 34 2). T bang A.4a (cung trong
ba sau) chung ta co nhan xet rang gia tr ngng F(1,32) mc y ngha 1%
nam gia 7,31 va 7,56. V F
c
cao hn nhieu so vi gia tr nay, chung ta ket
luan rang so bang sang che va chi ph cho R&D la tng quan ang ke. Ket
luan nay c cung co them thong qua gia tr thong ke mau t. Kiem nh hai
au vi mc y ngha 1%, bang t trong ba trc cua quyen sach (hay Bang
A.2) cho thay gia tr ngng vi 32 bac t do nam gia 2,704 va 2,75. V gia
tr quan sat t
c
cao hn nhng gia tr nay nhieu chung ta ket luan rang ca so
hang tung o goc va o doc co gia tr khac 0 mot cach ang ke. So o o
thch hp R
2
cho biet mo hnh giai thch c 85,9% s bien oi cua bien phu
thuoc. Mac du ay dng nh la mot s thch hp tot, tuy nhien chung ta thay
t hnh 3.11 rang mo hnh khong hoan toan the hien s bien oi thc te ve so
bang sach che. ng thang hoi quy la ng lien va no khong ai dien ay
u ban chat ng cong cua d lieu quan sat. Chnh v ieu nay mo hnh se
d bao rat kem so lng bang sang che tai nhieu nam.
iem nay c neu ra ro hn Bang 3.5, bang nay co nhieu tr thong ke
hu ch khac. Cot th t la gia tr trung bnh c lng( )
t
Y
, cot nam la gia tr

phan d c tnh bang gia tr quan sat tr i gia tr trung bnh c lng
( )
t t t
Y Y u

= va cot cuoi cung la sai so phan tram tuyet o i (APE), c tnh
bang 100
t t
Y u / . Gia tr d bao trnh bay bang 3.5 c lam tron en 1 ch
so thap phan. V d lieu goc ve so bang sang che ch co mot so thap phan,
nen viec co gang co c cac gia tr d bao co o chnh xac en hn mot so
thap phan la khong co y ngha.

HNH 3.11 So Bang Sang Che Theo Chi Ph cho R&D cua Nc My

So bang sang
che
(ngan)
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BANG 3.5 Bao Cao May Tnh co Chu Thch cho Phan ng Dung cua
Phan 3.11.

Cac lenh ELS c in am va cac li nhan xet c in nghieng
Danh sach cac bien
(0) Hang so (1) Nam (2) R&D (3) PATENTS (SANG CHE)

Thi oan: 1, quan sat ln nhat: 34, pham vi quan sat: suot 1960-1993, hien hanh
1960-1993
?ols PATENTS const R&D; (c lng mo hnh theo OLS)

c lng theo OLS s dung 34 quan sat t 1960-1993
Bien phu thuoc PATENTS

Bien He so Sai so chuan T stat 2Prob(t > ,T,)

(0) Hang
(2) R&D

34,571064
0,791935

6,357873
0,056704

5,437521
13,966211

< 0,0001
***

< 0,0001
***

Gia tr trung bnh cua
bien phu thuoc
119,238235 S.D. cua bien phu
thuoc
29,305827
Tong bnh phng sai
so (ESS)
3994,300257 Sai so chuan cua
phan d
11,172371
R-bnh phng khong
hieu chnh
0,859 R- bnh phng hieu
chnh
0,855
Tr thong ke F 195,055061 p-value =
Prob(F>2427.709)
<0,0001
Tr Durbin-Watson 0,233951 He so t tng quan
bac nhat
0,945
Ch ph
R&D (ty)
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Cac gia tr thong ke e chon mo hnh

SGMASQ
HQ
GCV
124,821883
136,255226
132,623251
AIC
SCHWARZ
RICE
132,146377
144,560215
133,143342
FPE
SHIBATA
132,164347
131,300527

?genr ut=uhat (lu cac c lng phan d )
?genr temp = PATENTS -ut (tnh gia tr gan)
genr fitted = int (0.5+ (10*temp))/10 (lam tron en mot so thap
phan)
?genr error = PATENTS fitted (tnh sai so d bao)
?genr abspcerr = int (0.5 + (1000*abs(error)/PATENTS))/100 (tnh sai so
% tuyet oi va lam tron en hai ch so thap phan)
?print o R&D PATENTS fitted error abspcerr; (in cac gia tr dang
bang)

OBS R&D Patens Fited Error ABSPCER
R
1960 57,94 84,5 80,5 4,0 4,73
1961 60,59 S6,2 82,6 5,6 6,35
1962 64,44 90,4 85,6 4,8 5,31
1963 70,66 91,1 90,5 0,6 0,66
1964 76,83 93,2 95,4 -2,2 2,36
1965 80,00 100,4 97,9 2,5 2,49
1966 84,82 93,5 101,7 -8,2 8,77
1967 86,84 93,0 103,3 -10,3 11,08
1968 88,81 98,7 104,9 -6,2 6,28
1969 88,28 104,4 104,5 -0,1 0,10
1970 85,29 109,4 102,1 7,3 6,67
1971 83,18 111,1 100,4 10,7 9,63
1972 85,07 105,3 101,9 3,4 3,23
1973 86,72 109,6 103,2 6,4 5,84
1974 85,45 107,4 102,2 5,2 4,84
1975 83,41 108,0 100,6 7,4 6,85
1976 87,44 110,0 103,8 6,2 5,64
1977 90,11 109,0 105,9 3,1 2,84
1978 94,50 109,3 109,4 -0,1 0,09
1979 99,28 108,9 113,2 -4,3 3,95
1980 103,64 113,0 116,6 -3,5 3,19
1981 108,77 114,5 120,7 -6,2 5,41
1982 113,96 118,4 124,8 -6,4 5,41
1983 121,72 112,4 131,0 -18,5 16,55
1984 133,33 120,6 140,2 -19,6 -16,25
1985 144,78 127,1 149,2 -22,1 17,39
1986 148,39 133,0 152,1 -19,1 14,36
1987 150,90 139,8 154,1 -14,3 10,23
1988 154,36 151,9 156,8 -4,9 3,23
1989 157,19 166,3 159,1 7,2 4,33
1990 161,86 176,7 162,8 13,9 7,87
1991 164,54 178,4 164,9 13,5 7,57
1992 166,70 187,2 166,6 20,6 11,00
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1993 165,20 189,4 155,4 24,0 12,67

Nhieu gia tr APE ln hn 5%, va trong mot so nam chung vt qua 10%,
ay la t le kha ln. Chung ta cung quan sat thay rang cac iem phan tan co
cum lai vi nhau trong cac nam t 1966-1977, ch ra rang mot yeu to nao o
khac hn la chi ph R&D gay ra s thay oi ve so bang sang che. Do o,
quan sat ky hn cac ket qua ch cho thay s xac nh sai mo hnh. Trong
chng 6, chung ta se dung tap d lieu nay e c lng mo hnh ng cong
va se xem xet xem lieu viec xac nh nay co the hien tot hn cac bien oi
quan sat c ve so bang sang che khong.

TOM TAT

Mac du mo hnh hoi quy tuyen tnh n hai bien c s dung trong chng
nay, nhng hau het cac kha canh c ban cua viec tien hanh phan tch thc
nghiem a c e cap. That hu ch khi tom tat lai cac ket qua a c thao
luan t au en gi.
Mot mo hnh hoi quy tuyen tnh n la Y
t
= + X
t
+ u
t
(t = 1, 2, , n). X
t

va Y
t
la quan sat th t lan lt cua bien oc lap va bien phu thuoc, va la
cac thong so cua tong the khong biet se c c lng t d lieu cua X va Y,
u
t
so hang sai so khong quan sat c, ay la cac bien ngau nhien vi cac tnh
chat c e cap di ay, n la tong so quan sat. o doc () c dien dch
la anh hng can bien cua s tang mot n v gia tr X
t
len Y
t
, + X
t
la tr
trung bnh co ieu kien cua Y cho trc X = X
t
.
Thu tuc bnh phng nho nhat thong thng (OLS) cc tieu hoa tong bnh
phng sai so
2
t
u va tnh toan cac c lng (ky hieu va
) cua so hang
tung o goc va o doc . Yeu cau duy nhat e thc hien viec c lng
cac thong so theo OLS la n co gia tr nho nhat bang 2 va t nhat mot trong
nhng gia tr cua X la khac nhau ngha la, khong phai tat ca cac gia tr cua
X la nh nhau.
Neu u
t
la bien ngau nhien co gia tr trung bnh bang 0, va X
t
cho trc va
khong ngau nhien, th E(u
t
) = 0 va E(X
t
u
t
) = 0. Cac phng trnh chuan la
= 0
t
u va
= 0
t t
u X . Li giai cua cac phng trnh nay cho ket qua la
cac c lng theo OLS cua va .
Di cac gia nh va neu ra, cac c lng theo OLS la khong thien lech
va nhat quan. S nhat quan c gi nguyen ngay ca neu X
t
la ngau nhien,
mien la Cov(X, u) = 0 va 0 < Var(X) < - ngha la, mien la X va u khong
tng quan va X khong la hang so.
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Neu cac gia tr u tuan theo phan phoi oc lap va tng t nhau (iid) vi
mot phng sai xac nh, va
cung se la cac c lng khong thien lech

tuyen tnh tot nhat (BLUE); tc la, trong so tat ca to hp tuyen tnh khong
thien lech cua cac gia tr cua Y, va
co phng sai nho nhat. Ket qua

nay c goi la nh ly Gauss-Markov va co ngha rang, ngoai tnh chat
khong thien lech va nhat quan, cac c lng theo OLS cung la cac c lng
hieu qua nhat. Neu cac gia tr cua u tuan theo phan phoi chuan oc lap va
tng t nhau N(0,
2
), cac c lng theo OLS cung la cac c lng thch
hp nhat (MLE).
T va
, gia tr d bao cua Y

t
(ky hieu la
t
Y
) thu c
bang
t t
X Y

+ = , va phan d c c lng bang

t t t
Y Y u

= . Sai so chuan
cua cac phan d la mot c lng cua o lech chuan va c tnh theo cong
thc | |
2 / 1
2
) 2 (

= n u
t
. T cac ket qua nay, ta co the suy ra sai so chuan
cua va
(

s va
s ). Cac sai so chuan cang nho, o chnh xac cua cac

c lng cua cac thong so cang ln. S bien oi cua X cang ln cang tot v
ieu nay co khuynh hng cai thien o chnh xac cua cac c lng rieng le.
Cac bc tien hanh kiem nh oi thuyet mot au ve c tien hanh nh
sau:

BC 1 H
0
: =
0
H
1
: >
0

BC 2 Tr thong ke kiem nh la ( )

0
/
s t
c
= , trong o
s la sai
so chuan c lng cua
. Theo gia thuyet H

0
, gia tr nay tuan
theo phan phoi t vi n 2 bac t do.

BC 3 Tra bang t vi gia tr ng vi n 2 bac t do va mot mc y
ngha cho trc (chang han ), va tm iem t
*
n-2
() sao cho
P(t> t
*
) = .

BC 4 Bac bo H
0
tai mc y ngha neu t
c
> t
*
. Neu gia thuyet ngc
lai H
1
la <
0
, H
0
se b bac bo neu t
c
< - t
*
.

Kiem nh co the c thc hien theo mot cach tng ng. Cac bc 3 va
4 c ieu chnh nh sau:

BC 3a Tnh xac suat (ky hieu la p-value) sao cho t > ,t
c
,.
BC 4a Bac bo H
0
va ket luan la he so co y ngha neu p-value nho hn
mot mc y ngha nao o ().

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Cac bc kiem nh gia thuyet ngc lai H
1
co tnh hai pha c thc hien
nh sau:

BC 1 H
0
: =
0
H
1
:
0

BC 2 Tr thong ke kiem nh la ( )

0
/
s t
c
= . Theo gia thuyet H
0
,
gia tr tuan theo phan phoi t vi n 2 bac t do.
BC 3 Tra bang t vi gia tr ng vi n 2 bac t do va mot mc y
ngha cho trc (chang han ), va tm iem t
*
n-2
(/2) sao cho
P(t> t
*
) = /2 (mot na cua mc y ngha).
BC 4 Bac bo H
0
tai mc y ngha neu ,t
c
, > t
*
.

Cac bc hieu chnh e thc hien kiem nh theo phng phap p-value nh
sau:
BC 3a Tnh p-value = 2P(t > ,t
c
,).
BC 4a Bac bo H
0
neu p-value nho hn mot mc y ngha nao o ().

Tr thong ke o lng o thch hp cua mot mo hnh la R
2
= 1- (ESS/TSS),
trong o
=
2
t
u ESS va
2
t
Y Y TSS

|
|
.
|
\
|
= . R
2
co gia tr t 0 en 1. Gia tr nay cang
cao o thch hp cang tot. R
2
mang hai y ngha: (1) no la ty le cua tong
phng sai cua Y ma mo hnh giai thch, va (2) no la bnh phng cua he so
tng quan gia gia tr quan sat (Y
t
) cua bien phu thuoc va gia tr d bao ( )
t
Y
.

Kiem nh ve o thch hp tong the cua mo hnh co the c thc hien
bang cach s dung gia tr R
2
. Cac bc c tien hanh nh sau (
xy
la he so
tng quan cua tong the cua hai bien X va Y):

BC 1 H
0
:
xy
= 0 H
1
:
xy
0
BC 2 Tr thong ke kiem nh la F
c
= R
2
(n 2)/(1 R
2
). Theo gia
thuyet H
0
, tr thong ke nay tuan theo phan phoi F vi 1 bac t do
t so va n 2 bac t do mau so.
BC 3 Tra bang F theo t so 1 bac t do va mau so n 2 bac t do va
mot mc y ngha cho trc (chang han ) tm g tr F
*
sao cho:
P(F>F
*
) = .
BC 4 Bac bo gia thuyet H
0
(tai mc y ngha ) neu F
c
> F
*
.

Khoang tin cay 95% cua c xac nh nh sau:

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( )

*
*

,
s t s t +

D bao co ieu kien cua Y, cho trc X bang X
0
, la
0
X Y + = . Phng
sai cua no (phep o o tin cay cua d bao) t le thuan vi khoang cach cua X
0

so vi gia tr trung bnh X . Nh vay, X
0
cang xa khoi gia tr trung bnh cua
X, gia tr d bao cang kem tin cay.
Thay oi thang o cua bien phu thuoc dan en thay oi tng ng thang o
cua moi he so hoi quy. Tuy nhien, cac gia tr R
2
va tr thong ke t se khong
oi. Neu thang o cua mot bien oc lap thay oi, he so hoi quy cua no va cac
he sai so chuan tng ng b thay oi cung thang o, tuy nhien tat ca cac tr
thong ke khac khong thay oi.

Viec xac nh chnh xac quan he nhan qua la het sc quan trong trong mo
hnh hoi quy. Gia thiet chuan la X gay ra Y. Tuy nhien, neu X va Y c
trao oi, va mo hnh c c lng bang X
t
=
*
+
*
Y
t
+ v
t
, ng thang
hoi quy noi chung se khac vi ng c xac nh t mo hnh Y
t
= + X
t
+
u
t
.

THUAT NG

Analysis of variance (ANOVA) Phan tch phng sai
Best linear unbiased estimator
(BLUE)
c lng khong thien lech
tuyen tnh tot nhat
Coefficient of multiple determination He so xac nh boi
Conditional mean of Y given X Gia tr trung bnh ieu kien cua
Y biet trc X
Critical region Vung ngng (vung ti han)
Data-generating process (DGP) Qua trnh phat d lieu
Engel curve ng cong Engel
Error sum of square (ESS) Tong bnh phng sai so
Estimated residual Phan d c lng
Explained variation S bien oi giai thch c
Feedback Phan hoi
Fitted straight line ng thang thch hp
F-test Kiem nh F
Gauss-Markov theorem nh ly Gauss-Markov
Goodness of fit o khp
Heteroscedasticity Phng sai cua sai so thay oi
Homoscedasticity ong phng sai sai so (tnh chat
phng sai cua sai so khong thay
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oi)
Joinly determined c xac nh cung luc
Linear estimator c lng tuyen tnh
Marginal effect of X on Y Hieu ng can bien cua X len Y
Mean absolute percent error (MAPE) Sai so phan tram tuyet oi trung
bnh
Mean squared error (MSE) Sai so bnh phng trung bnh
Mean squared percentage error
(MSPE)
Sai so phan tram bnh phng
trung bnh
Method of least square Phng phap bnh phng toi
thieu
Nonlinear regression model Mo hnh hoi quy phi tuyen
Normal equation Phng trnh chuan
Ordinary least squares (OLS) Bnh phng toi thieu thng
Population parameters Tham so cua tong the
Population regression function Ham hoi quy cua tong the
Population regression line ng hoi quy cua tong the
Population variance Phng sai cua tong the
Postsample forecast D bao hau mau
p-value Gia tr p
Regression coefficients Cac he so hoi quy
Regression sum of squares (RSS) Tong bnh phng hoi quy
Residual Phan d
Root mean squared error Can bac hai cua sai so bnh
phng trung bnh
Sample estimate c lng cua mau
Sample regression line ng hoi quy cua mau
Sample regression function Ham hoi quy cua mau
Sample scatter diagram Bieu o phan tan cua mau
Serial correlation Tng quan chuoi
Serial independence oc lap chuoi
Significanly different from zero Khac 0 mot cach ang ke
Significanly greater from zero Ln hn 0 mot cach ang ke
Simple linear regression model Mo hnh hoi quy tuyen tnh n
Spurious correlation Tng quan gia tao
Spurious regression Hoi quy gia tao
Standard error of a regression
coefficient
Sai so chuan cua he so hoi quy
Standard error of the regression Sai so chuan cua hoi quy
Standard error of the residuals Sai so chuan cua phan d
Statistically insignificant Khong co y nghave thong ke
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Statistically not greater than zero Khong ln hn 0 ve mat thong ke
Statistically significant Co y ngha ve thong ke
Sum of squares of the residuals (ESS) Tong bnh phng cua cac phan
d
Total sum of squares (TSS) Tong bnh phng toan phan
Total variance Phng sai tong
t-statistic Tr thong ke t
t-test Kiem nh t
Unexplained variation Bien oi khong giai thch c
Well-behaved errors Sai so thay oi ngau nhien
White-noise errors Sai so do nhieu trang

3.A PHU LUC

Ch ng Minh Cac Phng Trnh

3.A.1 Bieu dien 3 chieu cua mo hnh tuyen tnh n

Hnh 3.A.1 bieu dien bang o th cac gia thiet liet ke trong bang 3.2 cho trng hp cua mo
hnh hoi qui 2 bien n. Truc X va Y ai dien cho cac gia tr cua cac bien X va Y. Truc Z la
ham mat o xac suat f(u) cua sai so ngau nhien u. ng thang + X la trung bnh co ieu
kien cua Y vi X cho trc, c gia s la tuyen tnh. Cac phan phoi thong ke c ve xung
quanh ng trung bnh cho 3 gia tr X
1
, X
2
va X
3
la cac phan phoi co ieu kien tng ng.
Nh a e cap trong bai, gia thiet rang Var(u
t
) =
2
c goi la phng sai cua sai so khong
oi, co ngha phan tan nh nhau. Hnh 3.A.1 mo ta tnh bat bien cua phng sai cua sai so
cho tat ca cac quan sat. Neu cac phng sai nay khong bat bien ma thay oi theo t [nh vay,
Var(u
t
)
2
t
], ta co phng sai cua sai so thay oi (phan tan khong nh nhau). Hnh 3.A.2
minh hoa trng hp phng sai cua sai so thay oi trong o phng sai tang khi X tang.
Trng hp nay c xem xet chi tiet hn trong chng 8.

Hnh 3.A.1 Bieu dien o th cua Mo hnh Hoi Qui Tuyen Tnh n
0
f(u)
X
X
1
X
2
Y

+ X

X
3
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3.A.2 Cac Ket Qua Cu a Phep Tnh Tong

Cac tnh chat 3.1 va 3.2 c chng minh ay

TNH CHAT 3.1

( )
2
t
2
t
2 2
t
2
t xx
X
n
1
X X n X X X S

= = = ) ( ) (

Ch ng minh

| |

+ = + =
2
t
2
t
2
t
2
t
2
t
X X X 2 X X X X 2 X X X ) ( ) ( ) (

Nh trc ay, X nh nhau vi moi gia tr t. Do vay, bieu thc tren =

+
2
t
2
t
X n X X 2 X ) ( . Hn na X n X
t
=
. Do o, bieu thc tr thanh

2 2
t
X n X n X 2 X ) ( +
. Ket hp so hang th hai va ba trong bieu thc ta c phan th

nhat cua tnh chat. Ta biet rang X = (X
t
)/n. Thay vao, ta co phan th hai cua tnh
chat.

TNH CHAT 3.2

( )( ) | | n Y X Y X Y X n Y X Y Y X X S
t t t t t t t t xy
/ ) )( (

= = =

Ch ng minh

X
3
X
f(u)
0
X
1
X
2
Y

+ X

Hnh 3.A.2 Minh hoa ve phng sai cua sai so khong oi
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) ( ) )( ( Y X X Y Y X Y X Y Y X X
t t t t t t
+ =

+ = Y X n Y X X Y Y X
t t t t

Y X n Y n X X n Y Y X
t t
+ =

Y X n Y X
t t
=

Thay
= n X X
t
/ ) ( va n Y Y
t
/ ) (
= , ta co ang thc th hai.

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3.A.3 Ch ng Minh Ca c Phng Trnh Chuan Bang Phep Bnh Phng Nho Nhat

Trong phan nay ta ap dung phng phap bnh phng nho nhat, c trnh bay trong phan 3.2
va chng minh cac phng trnh chuan (3.4) va (3.5). Tieu chuan bnh phng nho nhat la
chon gia tr cua va
lam toi thieu tong bnh phng sai so:

=
=
=
=
= =
n t
1 t
2
t t
n t
1 t
2
t
X Y u ESS )
( )
, (

e toi thieu ESS vi va
, ta cho ao ham rieng (xem phan 2.A.3 ve ao ham rieng)

ESS/ va ESS/
bang 0 va giai phng trnh nay. Ta co

( )
0 1 X Y 2 1 u 2
u
u 2
u
ESS
t t t
t
t
2
t
= = =

) )(
( ) (
= = =

0 X X Y 2 X u 2
u
u 2
u
ESS
t t t t t
t
t
2
t
) )(
( ) (
) (

T o ta thu c cac phng trnh sau:

= 0 X Y
t t
)
= 0 X X Y
t t t
)
(

Lay tong tng so hang va lu y rang va
khong phu thuoc vao t va la tha so chung co the

a ra ngoai cac tong, ta c

+ =
t t
X n Y

+ =
2
t t t t
X X X Y

Phng trnh au tien tng ng vi phng trnh (3.4) va phng trnh th 2 tng ng
vi phng trnh (3.5).

3.A.4 c Lng Kho ng Thien Lech Tuyen Tnh Tot Nhat (Blue) Va nh Ly Gauss-Markov

T ly thuyet thong ke ta biet rang mot trong nhng tnh chat mong muon cho mot c lng la
c lng tuyen tnh khong thien lech phng sai nho nhat (xem nh ngha 2.8). Noi cach
khac, gia cac to hp tuyen tnh cua bien phu thuoc khong thien lech, ta chon mot bien co
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phng sai nho nhat. ay la c lng khong thien lech tot nhat (BLUE). Trong phan nay ta
chng minh nh ly Gauss-Markov, nh ly nay cho rang c lng OLS rut ra trong phan 3.2
cung co tnh chat BLUE.

au tien lu y rang c so OLS
thc s co the c bieu dien nh la to hp tuyen

tnh cua Y
t
. e thay ieu nay, ta viet lai phng trnh (3.12) di ay.

(3.12)
( )( )
(
n
Y X
Y X S
t t
t t xy

Lu y n X X
t
/
= , ket qua nay co the c bieu dien nh

t t t t t
Y X X Y X Y X ) ( =

V
= S
xy
/S
xx
t phng trnh (3.10), ta co

t t t
xx
t
Y Y
S
X X

=
(

ay la to hp tuyen tnh cua Y
t
vi trong so
(

=
xx
t
t
S
X X
phu thuoc vao X
t
. Bay gi xem
tong to hp tuyen tnh cua cac gia tr cua Y co dang

=
t t
Y a
~
, vi a
t
co tnh khong ngau
nhien. c lng khong thien lech tot nhat (BLUE) co 2 tnh chat: (1)
~
khong thien lech va
(2) Var(
~
) la nho nhat.

Ch ng minh

Goi d
t
= a
t
-
t
la hieu so cac trong so (lu y rang d
t
ch phu thuoc cac bien X va do o c
xem la khong ngau nhien). Vay a
t
=
t
+ d
t
. Tiep theo la

+ = + =
t t t t t
Y d Y d

) (
~

) ( ) ( ) ( )
~
(
t t t t t t
X d Y E d Y d E E + + = + = + =

t t t
X d d

+ + =

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e co tnh khong thien lech, ket qua nay phai bang , ieu nay xay ra khi va ch khi

d
t
= 0 va d
t
X
t
= 0

Phng sai cua c lng
~
c xac nh bi Var[(
t
+ d
t
)Y
t
]. T tnh chat 2.A.5c, phng
sai cua tong cac bien ngau nhien oc lap la tong cac phng sai (tnh oc lap c am bao
bi gia thiet 3.6). Hn na, do gia thiet 3.5 ve phng sai cua sai so khong oi, u
t
va do vay Y
t

co phng sai khong oi
2
. T o ta co

Var(
~
) =
2
(
t
+ d
t
)
2
=
2
2
t
+
2
d
2
t
+ 2
2
t
d
t

So hang th 3 bang 0 v
t
d
t
= 0 d
S
X X
t
xx
t
=
|
|
.
|
\
|
, do cac ieu kien ve tnh khong thien lech

d
t
= 0 va d
t
X
t
= 0 lam cho moi so hang trong tong bang 0. Trong bieu thc tren ve phng
sai cua
~
, so hang au oc lap vi cac bien chon d
t
. Bi v so hang th hai la tong cac bnh
phng, ch co cach duy nhat e toi thieu so hang nay la chon moi gia tr cua ds bang 0. ieu
nay lam cho a
t
=
t
va do o

~
, nh vay y noi rang c lng OLS thc s la BLUE va do
vay se co hieu qua nhat. ieu nay xac minh nh ly Gauss-Markov. Cung nen lu y rang viec
chng minh nh ly can en cac gia thiet 3.5 va 3.6 ve phng sai cua sai so khong oi va tnh
oc lap theo chuoi. Neu mot trong 2 gia thiet nay b vi pham, th phng phap OLS khong cho
c lng hieu qua.

3.A.5 c Lng Thch Hp Nhat

Ly do cua phng phap c lng thch hp nhat c dien ta chi tiet trong phan 2.A.4. Ban
oc co the xem phan o trc khi bat au phan nay. Trong phan o, phng phap nay a c
ap dung cho trng hp c lng gia tr trung bnh va phng sai cua mot phan phoi chuan.
ay ta ap dung ky thuat tng t vao bai toan hoi qui. Bi v nguyen ly thch hp nhat oi hoi
kien thc ve cac phan phoi trong bai toan, nen ta can gia thiet 3.7. Cac bc e xac nh mot
c lng thch hp nhat rat de hieu. Trc tien, lap ham thch hp lien ket ham mat o cua
cac quan sat vi cac thong so cha biet. e cc ai ham nay, lay vi phan rieng phan logarit
cua ham thch hp cho moi thong so cha biet va cho bang 0. Ke en giai cac ieu kien bac
nhat e tm cac c lng thch hp nhat. Ham mat o cua u c xac nh theo [xem phng
trnh (2.4)]

2 2
2 u
e
2
1
u f

=
/
) (
) (

Bi v cac quan sat la oc lap nhau, ham thch hp cua u
1
, u
2
,,u
n
la
Nien khoa 2003-2004
Phng phap phan tch
Bai oc


L(, ,
2
) = f(u
1
) f(u
2
) f(u
3
).. .. ..f(u
n
)

=
) /(
) (
2 2
t
2 u
n
e
2
1

=
) /( ) (
) (
2 2
t t
2 X Y
n
e
2
1

Thc hien cc ai hoa logarit cua ham thch hp th de hn, gia tr cc ai se bang vi gia tr
ln nhat L bi v loga co tnh chat tang eu; ngha la neu a>b, th ln(a)>ln(b).

(

=
2
2
t t
2
X Y
2 n n L
) (
) ln( ln ln
2
2
SSE
2 n n
= ) ln( ln

Trong o SSE = (Y
t
- -X
t
)
2
. va ch xuat hien trong so hang SSE. Do o, lnL ln nhat
bang vi SEE nho nhat (bi v co dau am trc SSE). Nhng SSE nho nhat ngha la cac c
lng bnh phng nho nhat. Do o, cac c lng bnh phng nho nhat cung la MLE vi
ieu kien cac sai so cua u tuan theo phan phoi N(0,
2
). Bi v cac c lng thch hp nhat la
ong nhat va hieu qua mot cach tiem can, nen cac c lng OLS cung vay.

e co MLE cua
2
, lay vi phan rieng phan lnL theo va cho bang 0. Ta co

0
SEE n L
3
=
=

) (ln

Giai phng trnh tm
2
ta c
2
= SSE/n. Nhng SSE phu thuoc vao va . Tuy nhien, ta
co the dung cac c lng cua chung va
. Do o ta thu c MLE cua phng sai cua u

t

bang vi n u
2
t
2
/
~
= . Nh a phat bieu trc o, gia tr nay khong thien lech. Mot c lng
khong thien lech co the tm c bang cach chia
2
t
u cho n-2 va dung
2
a xac nh trong
phng trnh (3.21). ieu kien khong thien lech c chng minh trong phuc luc phan 3.A.7.

3.A.6 Tm Cac Phng Sai Cua Cac c L ng

T phng trnh (3.10), ta co
= S
xy
/S
xx.
V X la khong ngau nhien theo gia thiet 3.4, S
xx
cung
khong ngau nhien va do o Var(
) = Var(S
xy
)S
2
xx
. T phng trnh (3.15), S
xy
= S
xx
+ S
xu
va
do o Var(S
xy
) = Var(S
xu
). T phng trnh (3.16) ta lu y rang S
xu
=
t t
u X X ) (
. Tnh chat
2.A.5c cho thay phng sai cua tong cac bien ngau nhien la tong cua cac phng sai vi ieu
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

kien ong phng sai (covariance) cac so hang bang 0. Theo gia thiet 3.6, u
t
va u
s
la khong
tng quan vi moi ts va ong phng sai bang 0. Do o,

| | | | ) ( ) ( ) ( ) ( ) (
t
2
t t t t t xu
u Var X X u X X Var u X X Var S Var = = =

Vi gia thiet 3.5, Var(u
t
) =
2
. Do o, Var(S
xu
) =

2
t
2
X X ) ( =
2
S
xx
. T o se co

xx
2
2
xx
2
2
xx
xy
S S
S
S
S Var
Var
xx
=
= =
) (
)
(
Va y ta a chng minh phng trnh (3.18). Thu tuc e ch ng minh cac phng trnh (3.19) va (3.20)
cung tng t va se la bai tap cho ban oc.

3.A.7 c Lng Khong Thien Lech Cua Phng Sai Cua So Hang Sai So

Theo phng trnh (3.21), s
2
= ) /( ) ( 2 n u
2
t
2
=

la mot c lng khong thien lech cua
2
.
ieu nay c chng minh nh sau.

t t t t t
X X Y Y X Y u = =

)

Dung phng trnh (3.9) cho . V Y
t
c xac nh bi phng trnh (3.1), u X Y + + =
vi u bang u
t
/n. Do o, nhom tat ca cac so hang ta co,

t t t t
X X u X u X u + + + + + =

) ( ) (
) )(
( ) ( X X u u
t t
=

Tong bnh phng cua
t
u c xac nh theo

+ = ) )( ( )
( ) ( )
( ) ( u u X X 2 X X u u u
t t
2
t
2 2
t
2
t

xu xx
2
uu
S 2 S S )
( )
( + =

Dung ky hieu tng t nh trong phng trnh (3.11) va (3.16). T phng trnh (3.15), S
xu
=
S
xy
- S
xx
= S
xx
(
- ). Thay ket qua nay vao phng trnh tren va ket hp cac so hang th hai
va ba ta co

xx
2
uu
2
t
S S u )
( =

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

e tnh gia tr ky vong cua tong bnh phng cua sai so, ta can E(S
uu
)va E[(
- )
2
]. T tnh
chat 2.11b ta lu y rang

E(S
uu
) = (n-1)Var(u) = (n-1)
2
. Hn na,
E[(
- )
2
] = Var(
) =
xx
2
S

T phng trnh (3.18). at tat ca cac ket qua, ta co

( )
2 2 2 2
xx uu
2
t
2 n 1 n E S S E u E = = =
) ( ) ( ] )
[( ) (

Chia cho n-2 ta co ket qua mong muon

2
2
t 2
2 n
u
E E =
(
(
) (
Vay,
2
la c lng khong thien lech cua
2
.

3.A.8 Ch ng Minh Phng Trnh 3.25

Gia tr tong bnh phng c viet lai nh sau:

+ =
2
t t t
2
t
Y Y Y Y Y Y )

( ) (
= )
)(
( )
( )
( Y Y Y Y 2 Y Y Y Y
t t t
2
t
2
t t
+ +

Vi
t t t
Y Y u

= , hai so hang au tien la hai so hang co trong phng trnh (3.25). Bay gi tat
ca ieu ta can la phai chng minh rang

= = 0 Y Y u Y Y Y Y
t t t t t
)
( )
)(
( .

+ = + =
t t t t t t t t
u Y X u u Y X u Y Y u
( )
(

T phng trnh chuan au tien (3.4),

= = 0 X Y u
t t t
)
( . T phng trnh (3.5),

= = 0 X X Y X u
t t t t t
)
( , vay ket qua c chng minh.

3.A.9 Ch ng Minh Phng Trnh 3.26a

e chng minh phng trnh (3.26a), trc tien ta tm ong phng sai mau (ky hieu bi Cov)
gia Y
t
va
t
Y
. T phng trnh (2.10),

Nien khoa 2003-2004
Phng phap phan tch
Bai oc


Cov (Y
t
,
t
Y
) =
)( ( Y Y Y Y
1 n
1
t t

Lu y rang trung bnh cua
t
Y
cung la Ybi v Y X = +

. Vay,

)
( )
( )
( Y Y u Y Y Y Y Y Y
t t t t t t
+ = + =
Do o,

Cov (Y
t
,
t
Y
) =
1 n
Y Y
1 n
Y Y u
2
t t t
( )
(

Phan trc a cho thay so hang th nhat bang 0. Do vay, ong phng sai cua Y
t
va
t
Y
bang
vi so hang th hai, la RSS/(n-1);

Cov (Y
t
,
t
Y
) =
1 n
RSS

Ta cung co

Var(Y
t
) =
1 n
TSS
va Var(
t
Y
) =
1 n
RSS
1 n
Y Y
2
t
(

T phng trnh (2.7) ta nh lai bnh phng cua he so tng quan n gia Y
t
va
t
Y
c xac
nh bi

Thay the ong phng sai va phng sai t bieu thc va rut ra va bo n-1, ta co

2
2
2
Y Y
R
TSS
RSS
RSS TSS
RSS
r = = =

Vay, bnh phng cua tng quan n gia gia tr quan sat Y
t
va gia tr
t
Y
c d bao bi mo
hnh hoi qui la nh nhau va la R
2
c nh ngha trong phng trnh (3.26).

3.A.10 Chng Minh Rang r
2
xy
= R
2
Cho Mo Hnh Hoi Qui n

)
, (
t t
2
Y Y Cov
)
( ) (
t t
Y Var Y Var
=
2
Y Y
r

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

Trong phan nay ta se chng minh rang trong trng hp mo hnh hoi qui n, R
2
cung bang vi
bnh phng cua tng quan n gia X va Y. T phng trnh (2.11), r
2
xy
= S
2
xy
/(S
xx
S
yy
). S
yy

bang vi tong bnh phng TSS. Hn na, RSS =

2
t
Y Y )
( . V
t t
X Y + =

va
X Y + =

, ta co ) (

X X Y Y
t t
= . Do o,

xx
2 2
t
2 2
t
S X X Y Y RSS
) (
( = = =

T phng trnh (3.10),
= S
xy
/S
xx
. Thay ket qua nay cho mot so hang
tren, ta thu c

xy xx
xx
xy
S S
S
S
RSS =
|
|
.
|
\
|
=

) (

Thay the S
xy
t ket qua nay va lu y rang S
yy
= TSS, ta co

2
xy
xx
xy xy
yy xx
2
xy
2
xy
R
TSS
S
TSS S
S S
S S
S
r =
= = =

Ket qua a c chng minh.

3.A.11 Chng Minh Phng Trnh 3.28

2
0 0 0
X Y E Y E Y Var )]
[ )
( =

2
0
2
0 0
X E X X E )]
( ) [( ]
[ + = + =
)
, ( )
( ) ( + + = Cov X 2 Var X Var

0
2
0

Trong phep bien oi tren, ta a dung tnh chat 2.4a. Thay t phng trnh (3.18), (3.19) va
(3.20), ta c

(
(
+ =

xx
0
xx
2
o
xx
2
t 2
0
S
X X
2
S
1
X
nS
X
Y Var )
(

Vi S
xx
=
2 2
t
X n X
. Lu y rang
2
xx
2
t
X n S X + =
va thay vao bieu thc phng sai, ta

c

(

+ =
(
+
+ =
xx
2
0 2
xx
0
2
0
2
2
0
S
X X
n
1
S
X X 2 X X
n
1
Y Var
) (
)
(
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

Ket qua nay la phng trnh (3.28).

3.A.12 Chng minh phng trnh 3.29

Goi
0 0 0
Y Y u

= la sai so tai iem d bao cua Y
0
, vi
0 0
X Y + =

la gia tr d bao cua trung

bnh. Do o ta co

)
, ( )
( ) ( ) (
0 0 0 0 0
Y Y Cov 2 Y Var Y Var u Var + =

V Y
0
= + X
0
+ u
0
, Var(Y
0
) =
2
. Mat khac, Var(
0
Y
) c xac nh bi phng trnh (3.26).

Cuoi cung, Cov(Y
0
,
0
Y
) = 0, bi v u
0
khong tng quan vi cac so d khac va do o khong
tng quan vi va
. Vay ta co

(

+ + =
xx
2
0 2
0
S
X X
n
1
1 u Var
) (
) (

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

BAI TAP

Cau Hoi Ly Thuyet

3.1. Tat ca cac tong bon bieu thc di ay c dung e tnh cac d lieu
mau, khong phai danh cho tap hp hoan chnh. Hay ch ra nhng bieu
thc sai va ung. Giai thch tai sao nhng bieu thc o ung hay sai.
a.
0
1
=
= t
n
t
u

b.
0
1
=
= t t
n
t
u X

c.
0
1
=
= t
n
t
u

d.
0
1
=
= t t
n
t
u X

3.2. Co s khac biet g gia so hang sai so va phan d? Hay giai thch s khac
biet gia u
t
va E(u
t
). Sau o, hay chng minh rang 0 ) ( =
t
u E . Va giai
thch gia tr ky vong ngha la g cung nh neu ra nhng gia thiet can thiet
e chng minh bieu thc tren.
3.3. Cho mo hnh tuyen tnh n bien
t t t
u X Y + + = , hay chng minh rang
di nhng gia thiet nhat nh, phng phap c lng OLS cho ket qua
cac c lng khong chech? Co ngha la can phai chng minh rang
) ( (
^
t t
Y E Y E = . Hay neu ra nhng gia thiet can thiet cho viec chng minh
o.
3.4. Neu ra nhng gia thiet can thiet cho moi phat bieu sau. ong thi giai
thch ly do tai sao nhng gia thiet nay can cho phat bieu o.
e. e c lng va bang phng phap OLS
f. e chng minh rang cac c lng cua cac thong so theo phng
phap OLS la khong chech va nhat quan.
g. e chng minh rang cac c lng theo phng phap OLS la hieu
qua
h. e thc hien kiem nh t va F
3.5. Nhng cau hoi sau la ung hay sai? Neu nhng cau hoi nay ch ung mot
phan, ban hay ch ra phan ung o. Giai thch ly do tai sao nhng cau
(phan) o ung.
i. Cac c lng he so goc theo phng phap OLS se chnh xac hn
neu cac gia tr X gan vi tr trung bnh mau cua chung hn.
j. Neu X
t
va u
t
tng quan, cac c lng van se khong chech.
k. Cac c lng khong the la c lng khong lech tuyen tnh tot nhat
(BLUE) tr phi tat ca cac gia tr u
t
tuan theo phan bo chuan.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

l. Neu cac so hang sai so khong tuan theo phan phoi chuan th cac kiem
nh t va F khong the c thc hien.
m. Neu phng sai cua ut ln th cac khoang tin cay cua cac c lng
se ln (rong) hn.
n. Neu phng sai cua X ln th cac khoang tin cay c lng se hep
hn.
o. Khi tr so p-value ln th he so se khac 0 mot cach ang ke.
p. Neu ban chon mot mc y ngha cao hn th he so hoi qui se co kha
nang co y ngha hn.

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Chng trnh Giang day Kinh te Fulbright

Nien khoa 2003-2004

+ = la rat quan trong. Hnh 3.2 trnh bay ca hai ng va

, phan d c lng th bang

. ESS la tong cac phan d bnh phng

sao cho ESS la nho nhat.

cua mau cho tham so va cua tong the.

la gia c lng trung bnh

theo (3.10) va theo (3.9) va

? Thong so nao c dung e

? Bang cach nao e co the s dung va

? t than chung la bien ngau

. Nhng theo Gia thuyet 3.4, X

= . Trong Phng trnh (3.12),

co the b thien lech.

. Sau o chon mot mau

la c lng nhat quan cua .

= . Cau hoi c ban la cac c lng nay tot nh the

la luon can thiet.

= la mot c lng cua u

nhng c lng nay ngau nhien b

s . Phng sai c lng va ong phng sai cua he so hoi

Y Y . ay la tong bnh phng toan phan (TSS). o lech chuan cua

so vi Y (la gia tr trung bnh

) cho toan mau la ( )

co phan phoi chuan.

c phan phoi oc lap vi

la nhng to hp tuyet tnh

la phng sai cua va

theo Phng trnh (3.18) va

s la sai so chuan c lng cua

theo Phng trnh (3.22).

khi X = 0 khong ang tin

= va 404 . 1 = . Tra bang gia tr t, ta co 055 . 3 ) 005 . 0 (

= . Sai so chuan cua no cung se nhan vi 100.

= 0,139 chung ta co the noi rang vi mc xac

+ = . Nh vay, khi X = 2,000, gia tr d bao cuaY la

X Y + = . Gia tr trung bnh co ieu kien cua bien d oan Y

Y cung chu sai so. e xet

, cot nam la gia tr

cung se la cac c lng khong thien lech

co phng sai nho nhat. Ket qua

, gia tr d bao cua Y

+ = , va phan d c c lng bang

s ). Cac sai so chuan cang nho, o chnh xac cua cac

. Theo gia thuyet H

. Do o, bieu thc tr thanh

. Ket hp so hang th hai va ba trong bieu thc ta c phan th

= , ta co ang thc th hai.

lam toi thieu tong bnh phng sai so:

, ta cho ao ham rieng (xem phan 2.A.3 ve ao ham rieng)

bang 0 va giai phng trnh nay. Ta co

khong phu thuoc vao t va la tha so chung co the

thc s co the c bieu dien nh la to hp tuyen

= , ket qua nay co the c bieu dien nh

, do cac ieu kien ve tnh khong thien lech

. Do o ta thu c MLE cua phng sai cua u

( . T phng trnh (3.5),

( , vay ket qua c chng minh.

. T phng trnh (2.10),

( ) ( + + = Cov X 2 Var X Var

va thay vao bieu thc phng sai, ta

la gia tr d bao cua trung