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 5: a cong tuyen

CHNG 5

a cong tuyen
Cac bien giai thch c xac nh trong mot mo hnh kinh te lng thng xuat phat t ly thuyet hoac hieu biet can ban ve hanh vi chung ta ang co gang thiet ke mo hnh, cung nh t kinh nghiem qua kh. D lieu ve cac bien nay ac biet xuat phat t nhng thc nghiem khong kiem soat va thng tng quan vi nhau. ieu nay ac biet ung oi vi cac bien chuoi thi gian thng co nhng xu hng tiem an thong thng. V du, dan so va tong san pham quoc noi la hai chuoi d lieu tng quan chat lan nhau. Trong chng trc, chung ta phat bieu la he so hoi qui oi vi mot bien cu the la so o tac ong rieng phan cua bien nay, ngha la tac ong cua no khi tat ca cac bien khac trong mo hnh c gi nhng mc co nh va ch co gia tr cua bien nay thay oi. Tuy nhien, khi hai bien giai thch cung tng quan chat; chung ta khong the ch n gian gi mot bien khong oi va thay oi bien con lai v khi bien sau thay oi th bien au thay oi. Trong trng hp nay, that kho tach biet anh hng rieng phan cua mot bien n. Cung vay, thay oi mo hnh bang cach loai bo hoac them vao mot bien co the lam thay oi ket qua mot cach nghiem trong, khien cho viec dien dch cac c lng se kho khan hn. ay chnh la van e a cong tuyen, van e xuat hien khi cac bien giai thch co cac quan he gan nh tuyen tnh. Chng nay khao sat cac he qua cua a cong tuyen trong pham vi c lng cac thong so, khao sat cac tnh chat cua chung va kiem nh gia thuyet ve nhng he qua nay. Trc het chung toi trnh bay cac v du ve van e a cong tuyen phat sinh nh the nao trong thc te va sau o khao sat van e nay mot cach chi tiet hn. 5.1 Cac V Du Ve a Cong Tuyen

Chung toi trnh bay hai v du trong o viec them vao cac bien co ve nhay lam thay oi ang ke cac ket qua. Trc het, chung ta kiem tra lai v du ve nha trong Phan 4.5, v du nay lien he so lng nha mi xay vi mot so bien tong hp; trong v du th hai, chung ta lien he chi tieu tch luy cho viec bao tr mot chiec xe hi vi tuoi cua chiec xe o va so dam chiec xe o a chay. V DU 5.1 at HOUSING la so can ho (n v hang ngan) co tai Hoa Ky trong nam t, POPt la dan so Hoa Ky n v tnh la hang trieu, GNPt la tong san pham quoc gia tnh bang ty o la cua nam 1982, va INTRATE, la ty le the chap nha mi tnh theo phan tram. S dung tap tin DATA4-3 mo ta trong Phu luc D, ba mo hnh sau c c lng: cac ket qua c trnh bay trong Bang 5.1 (xem Bai thc hanh may tnh Phan 5.1). Mo hnh A: HOUSINGt = 1 + 2INTRATEt + 3POPt + u1t Mo hnh B: HOUSINGt = 1 + 2INTRATEt + 3GNPt + u2t
Ramu Ramanathan 1 Thuc Doan/Hao Thi

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 5: a cong tuyen

Mo hnh C:

HOUSINGt = 1 + 2INTRATEt + 3POPt + 4GNPt + u3t

Chung ta ky vong so can ho se b anh hng bi ca kch thc dan so lan mc thu nhap. Vay ma trong Mo hnh C, co ca hai bien nay, cac tr thong ke t thap va khong co y ngha. Tuy nhien, khi ch co POP hoac GNP c a vao, cac he so tng ng rat co y ngha. Mot kiem nh Wald ve viec loai bo POP va GNP khoi Mo hnh C cho ket qua mot tr thong ke F bang 6,42, co y ngha mc 1 phan tram, cho thay la cac bien nay co y ngha mot cach lien ket mac du cac bien rieng re lai khong co y ngha. V vay, phan ket luan co ve nh vo ly. Ket qua th hai la, cac he so cua POP va GNP trong Mo hnh C hoan toan khac trong cac he so trong Mo hnh A va B. Tuy nhien, he so cua INTRATE t bien ong hn. Mac du trc ay chung ta ngh rang ca dan so va thu nhap eu co trong mo hnh, cac ket qua lai cho thay la khi cac bien nay co mat ong thi trong mo hnh se xuat hien nhng thay oi nghiem trong. ieu nay la do dan so, tong san pham quoc va lai suat co tng quan rat cao. Cac he so tng quan tng cap cua GNP, POP va INTRATE la r(GNP, POP) = 0,99 r(GNP, INTRATE) = 0,88 r(POP, INTRATE) = 0,91

Bang 5.1 Cac c Lng Cua Cac Quan He Nha Bien Hang so INTRATE POP GNP d.f. 2 R MSE MAPE 20 0,371 75,029 12,14 Mo hnh A 3812,93
(2,40)

Mo hnh B 687,90
(1,80)

Mo hnh C 1315,75
(0,27) (-3,18)

-198,40
(3,87)

169,66
(3,87)

184,75 14,90
(0,41) (0,54)

33,82
(3,61) (3,64)

0,91

0,52

20 0,375 74,557 12,54

19 0,348 77,801 12,23

Ghi chu: MSE la trung bnh bnh phng sai so d bao ( = ^ 2 ). MAPE la trung bnh tr tuyet oi sai so phan tram. Cac gia tr trong ngoac la tr thong ke t.

V vay, ton tai quan he tuyen tnh gan nh hoan hao gia GNP va POP, va cung co mot quan he gan hoan hao vi INTRATE. Nh se c trnh bay sau nay, cac thay oi trong cac he so tuyen tnh c quan sat va cac tr thong ke t la ket qua trc tiep cua nhng tng quan chat nay. Co the nhan manh la mot tng quan chat gia bien phu thuoc va mot bien oc lap cho trc khong ch khong gay ra bat ky van e nao ma thc te tng quan nay rat c mong i. Chnh nhng moi quan he chat, tuyen tnh gia cac bien giai thch anh hng en cac ket qua cua mo hnh.

Ramu Ramanathan

Thuc Doan/Hao Thi

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 5: a cong tuyen

V DU 5.2 at Et la chi tieu tch luy tai thi iem t cho viec bao tr (khong tnh xang dau) mot chiec xe hi cho trc, MILES, la so dam chiec xe a chay, tnh bang hang ngan dam, va AGE, la tuoi cua chiec xe tnh bang tuan ke t khi mua lan au. Xem xet ba mo hnh sau: Mo hnh A: Mo hnh B: Mo hnh C: Et = 1 + 2AGEt + u1t Et = 1 + 2MILESt + w2t Et = 1 + 2AGEt + 3MILESt + u3t

Mot chiec xe chay cang nhieu se cang can nhieu chi ph bao tr. Tng t, chiec xe cang cu chi ph bao tr cang nhieu. Cung nh vay oi vi hai chiec xe cung tuoi th chiec nao chay nhieu hn se co the can nhieu chi ph bao tr hn. V vay, chung ta ky vong la 2, 2, 2 va 3 se dng. Bang 5.2 trnh bay cac he so c lng va cac tr thong ke t (trong ngoac) cua ba mo hnh, da tren d lieu thc cua mot tram xe Toyota. D lieu trong tap tin DATA3-7 mo ta trong Phu luc D (xem Bai thc hanh may tnh Phan 5.2 e chng minh cac ket qua nay). That ly thu khi thay la mac du he so cua MILES co gia tr dng trong Mo hnh B, he so nay lai am mot cach co y ngha trong Mo hnh C. V vay, co mot s oi ngc nghiem trong ve dau. He so cua AGE cung co s thay oi quan trong nh vay. Th hai, cac tr thong ke t cua AGE va MILES trong Mo hnh C thap hn rat nhieu. ay cung vay, nguyen nhan cua s thay oi co y ngha trong ket qua la s tng quan cao gia hai bien giai thch, trong trng hp nay laAGE va MILES, he so tng quan gia chung la 0,996. Bang 5.2 Cac mo hnh chi tieu cho xe hi Bien Mo hnh A Hang so 626,24
(5,98) (22,16) (18,27)

Mo hnh B 796,07
(5,91)

Mo hnh C 7,29
(0,06)

AGE MILES d.f. 2 R MSE MAPE

7,35

27,58
(9,58)

53,45

151,15
(7,06)

55 0,897 135,861 227,9

55 0,856 190,941 278,2

54 0,946 72,010 47,3

Ghi chu: MSE la trung bnh bnh phng sai so d bao ( = ^ 2 ). MAPE la trung bnh tr tuyet oi sai so phan tram. Cac gia tr trong ngoac la tr thong ke t.

T nhng v du tren chung ta thay la s tng quan cao gia cac bien giai thch co the khien cho cac he so hoi qui tr nen khong co y ngha hoac lam oi dau chung. a cong tuyen khong ch gii han trong hai bien oc lap. Tnh chat nay co the, va thng xay ra gia nhieu bien oc lap co mot moi quan he gan tuyen tnh.
Ramu Ramanathan 3 Thuc Doan/Hao Thi

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 5: a cong tuyen

5.2

a Cong Tuyen Chnh Xac Neu hai hoac nhieu hn hai bien oc lap co quan he tuyen tnh gia hai bien hoac gia nhieu bien, chung ta co a cong tuyen chnh xac (hoac hoan hao). Trong trng hp nay, khong co mot li giai duy nhat cho cac phng trnh chuan rut ra t nguyen tac bnh phng toi thieu. ieu nay c minh hoa vi mot mo hnh co hai bien oc lap, X2 va X3, cong mot hang so. Mo hnh nh sau (5.1) yt = 2xt2 + 3xt3 + vt trong o so hang khong oi b loai khoi bang cach dien ta moi bien nh mot sai biet so vi gia tr trung bnh cua bien o (xem Phan 4.A.1). Cac phng trnh chuan tng ng nh sau (bo qua t nho): 2 x22 + 3 x2x3 = yx2 2 x2x3 + 3 x32 = yx3
^ ^ ^ ^

(5.2) (5.3)

Trc het chung ta hay xem xet trng hp n gian nhat cua a cong tuyen chnh xac, vi x3 = 2x2. Mac du mot ngi co the thac mac tai sao mot nha nghien cu lai a bien x3 vao mo hnh, neu nh vay, nh chung ta se thay trong chng tiep theo, tnh huong nay se co the xuat hien mot cach thieu can nhac. Thay x3 Phng trnh (5.3), chung ta co 2 x2(2x2) + 3 x3(2x2) = y(2x2) Chung ta de dang thay la, neu chung ta bo tha so chung 2, phng trnh nay se giong nh Phng trnh (5.2). V vay, hai phng trnh chuan khong oc lap vi nhau, nhng gian lc thanh mot phng trnh nh nhau. Mot phng trnh n khong u e co c mot li giai duy nhat cho hai bien cha biet 2 va 3. V vay, khong the cac he so hoi qui trong trng hp a cong tuyen chnh xac. Tong quat hn, gia s la x2 va x3 hoan toan a cong tuyen vi tng quan tuyen tnh x3= ax2 + b. Khi o Phng trnh (5.3) co the c viet lai nh sau hoac hoac 2 x2x3 + 3 x3x3 = yx3 2 x2(ax2 + b) + 3 x3(ax2 + b) = y(ax2 + b)
^ ^ ^ ^ ^ ^ ^ ^ ^ ^ ^ ^

a2 x22 + b2 x2 + a3 x2x3 + b3 x3 = ayx2 + by v x2, x3 va y c tnh t cac gia tr trung bnh cua chung, chung ta co, t Tnh chat 2.A.4, x2 = x3 = y = 0. Do o, phng trnh tren rut gon (sau khi n gian a) thanh 2 x22 + 3 x2x3 = yx2 Phng trnh nay giong nh Phng trnh chuan (5.2) au tien. Trong mot mo hnh hoi qui boi neu mot so bien oc lap co the c bieu dien bang cac to hp tuyen tnh cua cac bien
^ ^

Ramu Ramanathan

Thuc Doan/Hao Thi

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 5: a cong tuyen

oc lap khac, th cac he so hoi qui tng ng khong the c lng c. Tuy nhien, co the c lng c cac to hp tuyen tnh cua cac thong so. Neu mot nha nghien cu tnh c hoi qui mot mo hnh co a cong tuyen chnh xac, hau het cac chng trnh hoi qui se bao loi di dang ma tran suy bien hoac van e cong tuyen chnh xac. Khi ieu nay xay ra, nen loai mot hoac nhieu bien khoi mo hnh. Tuy nhien, trng hp thng gap nhat la tnh huong khi mot quan he gan tuyen tnh (nhng khong chnh xac) ton tai. Cac he qua cua trng hp nay se c xem xet sau ay. 5.3 Gan a Cong Tuyen Khi cac bien giai thch tng quan gan nh tuyen tnh, cac phng trnh chuan co the thng c giai e co nhng c lng duy nhat. Cac cau hoi at ra trong trng hp nay la (1) cac he qua cua viec bo qua tnh a cong tuyen la g, (2) chung ta xac nh s ton tai cua a cong tuyen nh the nao, va (3) cac bien phap nao san co e nha nghien cu co the s dung nham tranh van e nay? Bay gi chung ta lan lt xem xet cac van e nay. Cac He Qua Cua Viec Bo Qua Tnh a Cong Tuyen
KHONG THIEN LECH VA CAC TNH CHAT KHAC

Mot cau hoi t nhien xuat hien la a cong tuyen co lam mat hieu lc nh ly GaussMarkov, nh ly cho rang OLS tao ra cac c lng khong thien lech, tuyen tnh tot nhat (BLUE). Chung ta thay t phat bieu cua nh ly GaussMarkov (xem Phan 3.3) la can co cac Gia nh 3.2 en 3.7 e chng minh nh ly. Mot tng quan chat gia cac bien giai thch khong vi pham bat ky gia nh nao. Do o, cac c lng OLS van BLUE; ngha la, chung khong thien lech, nhat quan va hieu qua. Cung nh vay, cong tuyen cao khong co tac ong g en gia thiet 3.8. Do o, phan phoi cua tr thong ke t cung khong b anh hng. Tiep tuc nh chung ta a lam trong Phan 3.A.5, chung ta co the thay la cac c lng OLS van co ve thch hp nhieu nhat va v vay van nhat quan. Cac d bao van khong thien lech va cac khoang tin cay van co hieu lc. Do o khong co ket qua nao trong nhng ket qua trc ay b anh hng bi a cong tuyen. Mac du cac sai so chuan va cac tr thong ke t cua cac he so hoi qui b anh hng ve mat tr so, cac kiem nh da tren nhng gia tr nay van co hieu lc.

ANH HNG EN D BAO

Mac du a cong tuyen anh hng cac he so hoi qui rieng le, tac ong cua no en cac d bao thng t nghiem trong hn va ngay ca co the lai la nhng tac ong co li. V du, trong Bang 5.1, sai so bnh phng trung bnh (MSE) thi oan cua mau cua cac gia tr d bao cung nh sai so phan tram tuyet oi trung bnh (MAPE) hien dien trong moi mo hnh. Lu y rang, trong khi cac he so thay oi rat ln gia cac mo hnh, MSE khong co nhng thay oi ln nh vay. Cac gia tr MSE va MAPE cung c trnh bay trong Bang 5.2. That thu v la Mo hnh C co cac he so cua MILES ngc vi cac he so trong Mo hnh B, hoat ong tot hn xet ve kha canh MSE va MAPE so vi hai mo hnh con lai. V vay, trong trng hp nay, s hien dien cua a cong tuyen thc s co li cho viec d bao.

Ramu Ramanathan

Thuc Doan/Hao Thi

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 5: a cong tuyen

ANH HNG EN SAI SO CHUAN

T thao luan nay ro rang la a cong tuyen khong gay ra bat ky thiet hai g oi vi cac tnh chat ly thuyet hoac cac kiem nh thong ke. Vay tai sao chung ta lai quan tam en a cong tuyen? Ngay lap tc ta se thay rang mac du cac c lng la BLUE, cac sai so chuan thng cao hn, khien tr thong ke t thap hn va co the khong co y ngha. oi vi mo hnh trong (5.1), cac phng trnh sau c rut ra t Phu luc 4.A (r la tng quan gia X2 va X3, va S22 va S33 c nh ngha trong Phu luc 4.A). ^ 2 (5.4) Var(2) = S22 (1 r2) ^ 2 (5.5) Var(3) = S33 (1 r2) ^ ^ 2 r Cov(2, 3) = (5.6) S22S33 (1 r2) Gia s r2 rat gan 1; ngha la, r gan 1 (gan a cong tuyen). Ro rang t Phng trnh
^ ^

(5.4) va (5.5) la cac phng sai va do o cac sai so chuan, cua 2 va 3 se rat ln khi r2 gan bang 1. Mot phng sai ln co ngha la mot o chnh xac kem va tr thong ke t thap, dan en khong co y ngha. ieu nay giai thch v sao, trong v du au tien, chung ta a tm thay la khi ca dan so va GNP eu c a vao, cac he so cua chung tr nen khong co y ngha. Th hai, chung ta xem t Phng trnh (5.6) ong phng sai gia cac he so hoi qui se ln, ve gia tr tuyet oi, neu r gan +1 hoac 1. Neu cac c lng tng quan nhau, moi he so giai thch c phan nao anh hng cua X2 va X3 en Y. Noi cach khac, chung ta khong the gi X3 khong oi va ch tang X2, bi v X3 do co tng quan vi X2, nen ket qua la cung se thay oi. Cac ket qua cua phan thao luan tren c tom tat trong Tnh chat 5.1 Tnh chat 5.1 Cac he qua cua viec bo qua tnh a cong tuyen nh sau: a. Neu hai hoac nhieu hn cac bien giai thch trong mot mo hnh hoi qui boi co quan he tuyen tnh mot cach chnh xac, th mo hnh o khong the c lng c. b. Neu mot so bien giai thch co quan he gan tuyen tnh, th cac tham so c lng OLS (va do o d bao can c vao chung) van la BLUE va MLE va do o khong b thien lech, co hieu qua, va nhat quan. c. Tac ong cua tnh chat gan a cong tuyen gia cac bien giai thch la lam gia tang cac sai so chuan cua cac he so hoi qui va lam giam tr thong ke t, v vay se lam cho cac he so kem y ngha hn (va tham ch co the mat y ngha). Tuy nhien, cac kiem nh gia thuyet van co hieu lc. d. ong phng sai gia cac he so hoi qui cua mot cap cac bien co tng quan cao se rat cao, ve gia tr tuyet oi, v vay kho co the dien dch cac he so rieng le c. e. Tnh a cong tuyen co the khong co anh hng en viec thc hien d bao cua mot mo hnh va tham ch co the cai thien d bao. Trong mot mo hnh vi mot vai bien, cac c hoi xuat hien tnh a cong tuyen ln hn va do o viec dien dch cac ket qua co the kho khan hn. Tnh a cong tuyen co the gay ra viec lam mat i mc y ngha cua nhieu he so, trong khi s phu hp cua mot trong so cac he so o thoi lai co the tao ra mot he so co y ngha.
Ramu Ramanathan 6 Thuc Doan/Hao Thi

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 5: a cong tuyen

S nguy hiem cua tnh a cong tuyen la mot e tai tranh cai khong nho phan bien lai viec s dung khong phan biet cac bien giai thch. Tam quan trong cua ly thuyet trong viec lap mo hnh mot lan na nen c nhan manh. Co the co nhng ly do thuyet phuc ve mat ly thuyet cho viec a vao mot bien ngay ca neu nh tnh a cong tuyen co the khien cho mot he so cua no b mat y ngha. Trong trng hp nay, bien o can c duy tr trong mo hnh ngay ca khi tnh chat a cong tuyen ton tai. S VANG MAT CUA TNH A CONG TUYEN e hoan tat, hay xem xet trng hp cc oan khac, trong o r = 0, co ngha la trng hp trong o X2 va X3 khong co tng quan (co ngha la khong co tnh a cong tuyen) ngc vi tng quan hoan toan. Trong trng hp nay, S23 = 0 va do o hai cong thc thong thng tr thanh nh sau (xem Phu luc 5.A) va Xin lu y rang cac cong thc nay giong nh cac cong thc thong thng khi Y c hoi qui mot cach rieng biet theo X2 va X3. o la bang chng cho thay khi S23 = 0, gia tr ^ cua 2, co c t viec co ca X2 va X3 trong mo hnh, ong nhat vi gia tr co c khi Y c hoi qui theo so hang khong oi va ch co X2. Mot ket qua tng t oi vi 3. ong phng sai gia hai he so hoi qui, co gia tr bang khong, cho thay rang tac ong rieng phan la hoan toan do bien c a vao va khong phai do bat ky tac ong gian tiep nao t nhng bien a co khac. Mot cach ly tng, chung ta thch r phai tien ti khong, nhng trong thc te ieu nay thng khong xay ra nh vay.
^

Nhan dang Tnh chat a cong tuyen

Trong mot tnh huong thc te, tnh a cong tuyen thng xuat hien di mot so dang.
GIA TR R2 CAO VI CAC GIA TR CUA TR THONG KE t THAP Nh chung ta thay trong Bai

tap 5.2, co the tm thay mot tnh huong ma trong o moi he so hoi qui eu khong co y ngha (ngha la co gia tr t thap) nhng tr thong ke F cua kiem nh Wald th lai rat co y ngha. Tng t, nh trong V du 5.1, gia tr F cua kiem nh Wald oi vi mot nhom cac he so co the co y ngha cho du cac gia tr t rieng le th khong co y ngha.
NHNG GIA TR CAO CHO CAC HE SO TNG QUAN

Cac tng quan tng moi cap gia cac bien giai thch co the cao, giong nh trong V du 5.1 va 5.2. Noi chung ay la mot thc hanh tot e at c cac tng quan gia moi cap bien trong mot mo hnh hoi qui va kiem tra nhng gia tr cao gia cac bien giai thch. Xin lu y rang mot he so tng quan cao gia bien phu thuoc va mot bien oc lap khong phai la mot dau hieu cua tnh a cong tuyen. Thc ra mot tng quan nh vay rat c mong muon.

CAC HE SO HOI QUI NHAY VI AC TRNG

Mac du mot s tng quan cao gia cac cap bien oc lap la mot ieu kien u cho tnh a cong tuyen, ieu kien ao lai khong can thiet phai ung. Noi cach khac, tnh a cong tuyen co the hien dien mac du s tng quan gia hai bien giai thch the hien khong cao. ieu nay la do ba hay nhieu hn cac bien co the gan tuyen tnh. Tuy vay, nhng tng quan cap co the khong cao. Kmenta (1986, trang 434) a a ra mot v du trong o ba bien co lien he tuyen tnh mot cach chnh xac, nhng nhng
7 Thuc Doan/Hao Thi

Ramu Ramanathan

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 5: a cong tuyen

tng quan gia bat ky cap nao cung khong cao hn 0,5. Trong trng hp nh vay, bang chng that s cua tnh a cong tuyen la s quan sat cho thay rang cac he so hoi qui b thay oi ang ke (ngay ca cac dau co the ao ngc lai, nh trong V du 5.2) khi cac bien c them vao hoac bo ra.
CAC KIEM NH THONG THNG OI VI TNH A CONG TUYEN

Mac du cac kiem nh a c e ngh, nhng thu tuc nay eu c e cap thoang qua bi v chung con gay kha nhieu tranh cai. Do tnh a cong tuyen la mot van e oi vi d lieu hn la oi vi t than mot mo hnh, nhieu nha kinh te lng ly luan rang cac kiem nh thong thng neu khong vo ngha th cung chang thu thap c g (xem Maddala, 1977, trang 186). Farrar va Glauber (1967) a e ngh mot nhom cac kiem nh e nhan dang s tnh nghiem trong cua tnh chat a cong tuyen. Cac kiem nh nay bao gom mot kiem nh Chi bnh phng, mot kiem nh F, va mot kiem nh t. Kiem nh chi bnh phng la e xac nh xem tnh a cong tuyen noi chung co hien dien hay khong. Sau o se la kiem nh F, e tm xem co nhng bien nao ang gay ra tnh a cong tuyen, va cuoi cung la kiem nh t e phat hien ban chat cua tnh a cong tuyen. Nhng kiem nh nay c thiet lap di dang cac khai niem co lien quan en kien thc ve ai so tuyen tnh. Nhng oc gia co quan tam vi mot kien thc c ban ve ai so ma tran co the muon oc cac bai bao cua cac tac gia nay. Belsley, Kuh, va Welsch (1980, chng 3) a e ngh mot thu tuc gom hai bc e kiem nh tnh a cong tuyen. Bc th nhat la e tnh toan mot con so ieu kien cho ma tran cac so lieu. Cac van e can quan tam ve tnh cong tuyen c ch ra neu con so nay vt qua 30. Trong bc hai, mot ai lng o lng s phan tan phng sai c s dung. Phng phap cua ho cung oi hoi mot s hieu biet ve ai so tuyen tnh va vt qua pham vi cua cuon sach nay.

Cac giai phap

Khong co li giai n le nao co the mot lan loai bo c tnh a cong tuyen. Viec x ly van e nay oi hoi mot s suy xet kha phc tap. Tuy nhien, cung co mot so phng phap tong quat nhat nh co the hu ch cho viec x ly tnh a cong tuyen, va cac phng phap nay se c thao luan trong noi dung sau ay. Neu mot nha phan tch t quan tam en viec dien dch tng he so rieng le nhng lai chu trong nhieu hn vao viec d bao, th tnh a cong tuyen co the khong phai la mot van e nghiem trong. Ngi ta co the bo qua no ma khong phai chu mot hau qua xau nao ang ke. Mot cach tng t, ngay ca khi co tng quan cao gia cac bien oc lap, neu nh cac he so hoi qui la co y ngha va co nhng dau va gia tr co y ngha, ngi ta khong phai qua ban tam ve van e a cong tuyen. Neu mot he so co y ngha ngay ca trong trng hp co s hien dien cua tnh a cong tuyen, th o ro rang mi la mot ket qua manh. Cuoi cung, neu mot bien thuoc mot mo hnh v nhng ly do ve mat ly thuyet, th co the an toan hn khi chung ta gi bien o lai ngay ca khi co tnh a cong tuyen.
S BO QUA NHE NHANG

Ramu Ramanathan

Thuc Doan/Hao Thi

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 5: a cong tuyen

LOAI BO CAC BIEN

V tnh a cong tuyen la do nhng moi quan he chat che gia cac bien giai thch, cach chac chan nhat e loai bo hoac giam bt cac tac ong cua tnh a cong tuyen la bo mot hoac nhieu bien ra khoi mo hnh. Nh chung toi a lu y trong nhieu v du trc, thu tuc nay thng lam cai thien sai so chuan cua cac he so con lai va co the lam cho cac bien khong y ngha trc o tr thanh co y ngha, v viec loai bo mot bien se lam giam bat ky tnh a cong tuyen nao do bien o gay ra. Mo hnh B cua Bang 5.1 chng to iem nay. Viec loai bo POP, bien co tr thong ke t thap nhat (khong ke so hang khong oi ma no khong bao gi b loai bo v no nam gi cac tac ong quan bnh cua cac bien b loai bo), lam cho GNP tr nen co y ngha va lam tang cac gia tr t cua hai he so khac. Thu tuc n gian hoa mo hnh da tren c s d lieu, a c e cap chng trc, la mot cach hieu qua e giam thieu tnh a cong tuyen. Cac nha khao sat thng hay gop qua nhieu bien vao mot mo hnh v s rang neu khong th se gap phai thien lech do bien b loai bo a c mo ta trong Phan 4.5. trong trng hp nh vay, viec loai bo cac bien co tr thong ke t thap noi chung se lam cai thien mc y ngha cua cac bien con lai. ieu quan trong xay ra trong tnh huong nay la cac bien con lai co kha nang nam gi nhng tac ong cua cac bien b loai bo co lien quan chat che vi chung. Ngi ta se nhan thay rang s n gian hoa mo hnh da tren d lieu la cot loi cua phng phap mo hnh hoa Hendry/LSE t tong quat-en-n gian. Tuy nhien, co mot iem nguy hiem trong viec loai bo qua nhieu bien khoi ac trng mo hnh, bi v viec nay se dan en thien lech trong cac c lng. Noi chung ay la mot thc te thch hp e xem xet tam quan trong ve mat ly thuyet cua viec duy tr mot bien khong y ngha neu tr so thong ke cua no t nhat la 1 ve gia tr tuyet oi hoac gia tr p nho hn 0,25. Cac tr so thong ke la chon mo hnh a c thao luan trong Chng 4 nen la nhng hng dan hu ch trong cong viec nay. Tuy nhien, xin nh rang khi hai bien giai thch co tng quan chat che va mot b loai khoi mo hnh, bien con lai chu tac ong cua ca hai bien ch khong ch tac ong cua bien con lai. iem nay hu ch cho viec xem xet thao luan ve thien lech bien b loai bo trong Phan 4.5. Trong nhieu tnh huong, tai xac nh mo hnh co the lam giam tnh a cong tuyen. V du nh chung ta co the dien at cac bien theo kieu tnh tren au ngi hn la a dan so vao nh la mot bien giai thch. Trong V du 5.1 chang han, bien phu thuoc se la HOUSING/POP va, thay v POP va GNP mot cach rieng biet, chung ta se ch co GNP/POP. GNP tren au ngi th hau nh t co tng quan vi bien INTRATE hn bien GNP va POP. Mo hnh c c lng bay gi tr thanh la (xem Phan Thc hanh tren may tnh 5.3) GNP HOUSING 0,698 INTRATE = 2,079 + 0,936 POP POP
(0,62) (2,55) (- 3,75)

TAI THIET LAP MO HNH

R2 = 0,377 d.f. = 20 r(GNP/POP, INTRATE) = 0,843 Mac du R2 co hieu chnh ay hi cao hn trong V du 5.1, hai gia tr khong the so sanh c vi nhau v cac bien phu thuoc khac nhau. Tnh a cong tuyen cung khong b loai bo ma ch c lam giam i.
Ramu Ramanathan 9 Thuc Doan/Hao Thi

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 5: a cong tuyen

Do cac bien chuoi thi gian co nhan manh vao cac xu hng mot cach ac trng, ngi ta se ky vong tnh cong tuyen cao gia chung. Mot cach pho bien e tranh ieu nay la hnh thanh mo hnh oi vi nhng khac biet au tien, ngha la s dung cac bien nh la nhng thay oi t mot thi oan nay sang thi oan khac. Chang han, thay v hnh thanh mot ham tieu thu nh Ct = 1 + 2Ct-1 + 3Yt + 4Yt-1 + ut Trong o tat ca cac bien giai thch se co tng quan cao, chung ta co the at moi lien he gia thay oi trong tieu thu vi thay oi trong thu nhap. T o chung ta se thu c Ct Ct-1 = 1 + 2 (Yt Yt-1) + vt Nen chu y rang hai cach trnh bay nay khong tng ng nhau va, cu the la cach trnh bay th nhat giai thch mc o tieu thu trong khi cach th hai dien ta nhng thay oi trong tieu thu. Ngi ta co the dung ly thuyet e quyet nh mot s u tien xem bien nao phu hp. Neu muc tieu la e d bao chi ph cho tieu dung, mot so sanh d bao co the c thc hien sau khi s dung mo hnh th hai e phat ra mot d bao cua mc o tieu dung cho tng thi oan. Tat ca cac bc nay oi hoi suy ngh va can nhac ky lng. oi khi cac mo hnh c tai thiet lap vi s ket hp tuyen tnh cua cac bien tng quan c s dung thay v tng bien mot nh la mot bien rieng biet. Mot van e xuat hien oi vi viec quyet nh trong so cho s ket hp tuyen tnh nay. Phan tch thanh phan c s la mot cach e the hien van e nay (xem Judge et al., 1985).
S DUNG THONG TIN BEN NGOAI

Phng phap s dung thong tin ben ngoai thng c ap dung trong cac nghien cu ve s c lng cac ham nhu cau. D lieu chuoi thi gian ve thu nhap va gia cua mot mat hang thng the hien mot tng quan cao, ma no lam cho viec c lng cac o co gian ve gia va thu nhap tr nen kho khan. Mot giai phap cho van e nay la c lng o co gian thu nhap t cac nghien cu cheo va sau o s dung thong tin o trong mo hnh chuoi thi gian e c lng o co gian ve gia. o co gian gia khong the c c lng t d lieu cheo bi v mac du ngi tieu dung hoan toan khac nhau trong cac mc thu nhap, th ve c ban ho van phai chu cung mot loai gia. Do o khong co s khac nhau trong gia ban, yeu to rat quan trong oi viec c lng thanh cong o co gian ve gia (tham khao phan thao luan Gia thiet 3.2 trong Chng 3). Mot van e nghiem trong oi vi phng phap nay la o co gian thu nhap cheo va o co gian thu nhap theo chuoi thi gian co the o lng nhng th hoan toan khac nhau. iem nay a c Meyer va Kuh thao luan nam 1957.

Thu tuc e gia tang kch thc mau oi khi c e xuat da tren c s cho rang viec gia tang se lam cai thien o chnh xac cua mot c lng va do o giam thieu c nhng yeu to phan tac dung cua tnh a cong tuyen. iem lu y trong phng trnh (5.4) va (5.5) la neu kch thc mau tang th S22 va S33 se cung tang. Neu gia tr cua r2, bao gom ca mau mi, giam xuong hoac gan nh khong oi, th cac phng sai cua va se giam ang ke va se giam tac ong cua tnh a cong tuyen. Tuy nhien, 2 neu r tang nhieu th viec tang kch thc mau co the se khong co ch g. Hn na, mot nha khao sat thu thap cu the tat ca nhng d lieu nao san co (phu thuoc vao nhng rang buoc ve ngan sach va thi gian), va do o viec them d lieu co the khong kha thi v mot van e thc te.
TANG KCH THC MAU
Ramu Ramanathan 10 Thuc Doan/Hao Thi

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 5: a cong tuyen

CAC BIEN PHAP KHAC Mot so phng phap a c a ra trong c s ly thuyet, hau het chung eu khong theo the thc, va khong c s nhat tr cho lam gia cac nha kinh te lng ve mc o hu ch cua cac phng phap nay. Hai trong so nhng ky thuat nay la hoi qui ngon song va phan tch thanh phan chnh. Cac ky thuat khong c thao luan ay v chung oi hoi kien thc ai so tuyen tnh va thong ke toan hoc vt qua pham vi cua cuon sach nay. oi vi nhng oc gia co c nen tang kien thc nh tren, co the tm thay mot phng cach x ly tnh a cong tuyen kha hay trong sach cua Judge, Griffiths, Hill, va Lee (1985). Con co nhng bai oc tham khao khac cung hu ch c liet ke trong phan tai lieu tham khao, nhng mot so tai lieu oi hoi phai nam vng kien thc ai so ma tran hoac cac phng phap c trnh bay Chng11.

5.4 Cac ng dung Chi ph bao tr trong nganh o-to

Ngi ta a thay rang mot trong nhng tac ong cua tnh a cong tuyen la lam thay oi cac he so hoi qui mot cach ang ke. Tuy nhien, neu moi quan he gan tuyen tnh gia cac bien oc lap c a vao xem xet, th nhng khac biet hau nh khong ln lam. Chang han nh, trong v du cua Toyota, neu bien MILES c hoi qui theo mot hang so va bien AGE, chung ta co c (xem Phan Thc hanh tren may tnh 5.4) MILES = 4,191 + 0,134 AGE
(8,74) (88,11)

Cac tr thong ke t trong ngoac n mc y ngha rat cao, va gia tr cua R2 la 0,993, cho ta thay mot s an khp gan nh hoan hao. Neu moi quan he nay c thay the trong Mo hnh C cua Bang 5.2, chung ta se co E = 7,29 + 27,58 AGE 151,15(4,191 + 0,134 AGE) = - 626,18 + 7,33 AGE con so nay rat gan vi gia tr trong Mo hnh A. V vay, cho du Mo hnh C the hien khac biet rat nhieu so vi Mo hnh A, khi moi quan he gia hai bien oc lap MILES va AGE c a vao xem xet ro rang, th hai mo hnh nay cung rat gan vi nhau. Tuy nhien, trong thc te, viec co at c tat ca cac quan he co the co va s dung toan bo chung la ieu khong tng. Li giai ay la e nhan dang nhng bien tha va loai bo chung ra khoi mo hnh.
^

Cac Ty Le Mc o Ngheo Kho Va Cac Yeu To Quyet nh

Bang D lieu 4-6 co d lieu ve cac ty le ngheo kho va mot con so cua cac yeu to co the tac ong en nhng ty le nay 58 a hat cua California. Bien phu thuoc lay ten la povrate c xac nh bang phan tram cac gia nh co thu nhap di mc ngheo kho. Cac bien oc lap th c xac nh nh sau (xem them chi tiet Phu luc D va Phan Thc hanh tren may tnh 5.5): urb = Phan tram cua tong dan so thanh th
Ramu Ramanathan 11 Thuc Doan/Hao Thi

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 5: a cong tuyen

So ngi trong mot ho gia nh Ty le phan tram that nghiep Phan tram dan so (25 tuoi tr len) co trnh o hoc van bac trung hoc Phan tram dan so (25 tuoi tr len) a hoan tat chng trnh cao ang hoac ai hoc tr len medinc = Gia tr trung v cua thu nhap gia nh tnh theo n v ngan o-la Bang 5.3 co phan in ra t may tnh co kem chu thch e nghien cu. Bang 5.3 Phan in ra t may tnh co chu thch cho ng dung Phan 5.4

famsize unemp highschl college

= = = =

[Ma tran cua cac he so tng quan theo tng cap c trnh bay ay. Cot cuoi cung ch so bien. V vay, s tng quan gia bien #5 (highschl) va bien #4 (unemp) la - 0,109. Cac gia tr tren ng cheo eu bang 1,000 bi v s tng quan gia mot bien va chnh no la 1. Xin lu y rang cac he so tng quan cho thay mot vai gia tr cao. Nh chung ta a ky vong, ty le trnh o bac cao ang ai hoc co tng quan dng vi trung v thu nhap va tng quan am vi ty le that nghiep. Chung ta co the ky vong rang nhng tng quan nay cho thay s xuat hien cua tnh a cong tuyen gia cac bien nay va co tac ong en cac ket qua hoi qui.]
Cac he so tng quan, s dung so quan sat 1 58 3) famsize 4) unemp 5) highschl 6) college 0.350 0.110 0.211 - 0.358 1.000 0.485 - 0.508 - 0.300 1.000 - 0.109 - 0.757 1.000 - 0.358 1.000 7) medinc - 0.084 (2 - 0.035 (3 - 0.714 (4 - 0.280 (5 0.848 (6 1.000 (7 [c lng mo hnh tong quat vi tat ca cac bien giai thch.] 2) urb 1.000 MODEL 1: OLS estimates using the 58 observations 1-58 Dependent variable: povrate VARIABLE 0) 2) 3) 4) 5) 6) 7) const urb famsize unemp highschl college medinc COEFFICIENT 16.8176 -0.0187 6.0918 -0.0118 -0.1186 0.1711 -0.5360 9.903 146.0911 0.836 43.3875 1.904 STDERROR 8.5026 0.0148 1.8811 0.1195 0.0681 0.0982 0.0704 T STAT 1.978 -1.270 3.238 -0.099 -1.741 1.743 -7.619 2Prob(t > |T|) 0.053350 0.210010 0.002116 0.921724 0.087742 0.087355 0.000000 * *** * * ***

(2 (3 (4 (5 (6

Mean of dep. var. Error Sum of Sq (ESS) Unadjusted R-squared F-statistic (6. 51) Durbin-Watson stat. Ramu Ramanathan

S.D. of dep. variable Std Err of Resid. (sgmahat) Adjusted R-squared p-value for F() First-order autocorr. coeff 12

3.955 1.6925 0.817 0.000000 0.040

Thuc Doan/Hao Thi

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 5: a cong tuyen

MODEL SELECTION STATISTICS SGMASQ HQ GCV 2.86453 3.53259 3.2577 AIC SCHWARZ RICE 3.20646 4.11172 3.32025 FPE SHIBATA 3.21025 3.1268

Excluding the constant. p-value was highest for variable 4 (uemp).

Bang 5.3 (tiep theo)

[Ta lu y rang bien urb va unemp co gia tr p cao hn bat c mc chap nhan hp ly nao va do o se la nhng bien b loai ra khoi mo hnh. ac biet bi v ve ly thuyet khong co ly do nao e gi chung lai. Nghiem trong hn, ta lu y bien college co dau dng khong ung nh ky vong, dau dng. Moi yeu to khac nh nhau, neu mot quoc gia co phan tram dan so co trnh o ai hoc cao hn, ta ky vong ty le ngheo cua quoc gia o thap hn. Nh vay ta ky vong dau am cho bien college, ieu nay trai vi c lng thc te. S a cong tuyen co the gay nen dau sai? Bi v bien unemp cc ky khong y ngha, vi gia tr p tren 90%, ta co the loai bo no mot cach an toan ma khong s anh hng ket qua.]
MODEL 2: OLS estimates using the 58 observations 1-58 Dependent variable: povrate VARIABLE 0) 2) 3) 5) 6) 7) const urb famsize highschl college medinc COEFFICIENT 16.5654 -0.0184 6.0496 -0.1166 0.1746 -0.5343 9.903 146.1190 0.836 53.0737 1.901 STDERROR 8.0325 0.0142 1.8145 0.0646 0.0905 0.0677 T STAT 2.062 -1.296 3.334 -1.805 1.929 -7.894 2Prob(t > |T|) 0.044192 0.200710 0.001583 0.076822 0.059138 0.000000 ** *** * * ***

Mean of dep. var. Error Sum of Sq (ESS) Unadjusted R-squared F-statistic (5. 52) Durbin-Watson stat. MODEL SELECTION STATISTICS SGMASQ HQ GCV 2.80998 3.36659 3.13421

S.D. of dep. variable 3.955 Std Err of Resid. (sgmahat) 1.6763 Adjusted R-squared 0.820 p-value for F() 0.000000 First-order autocorr. coeff 0.041

AIC SCHWARZ RICE

3.09837 3.83444 3.1765

FPE SHIBATA

3.10067 3.04053

Excluding the constant. p-value was highest for variable 2 (urb). Of the 8 model selection statistics. 8 have improved.

[Khong co s thay oi trong cac he so c lng va o lech chuan. Urb van khong co y ngha va se c loai bo tiep theo.]
MODEL 3: OLS estimates using the 58 observations 1-58 Dependent variable: povrate VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|)

Ramu Ramanathan

13

Thuc Doan/Hao Thi

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 5: a cong tuyen

0) 3) 5) 6) 7)

const famsize highschl college medinc

19.1721 5.4140 -0.1388 0.1953 -0.5523

7.8263 1.7581 0.0627 0.0897 0.0667

2.450 3.079 -2.214 2.178 -8.274

0.017634 0.003283 0.031161 0.033882 0.000000

** *** ** ** ***

Bang 5.3 (tiep theo)

Mean of dep. var. Error Sum of Sq (ESS) Unadjusted R-squared F-statistic (4. 53) Durbin-Watson stat. 9.903 150.8385 0.831 65.0877 2.025 S.D. of dep. variable 3.955 Std Err of Resid. (sgmahat) 1.6870 Adjusted R-squared 0.818 p-value for F() 0.000000 First-order autocorr. coeff -0.025

MODEL SELECTION STATISTICS SGMASQ HQ GCV 2.84601 3.31139 3.1145 AIC SCHWARZ RICE 3.09003 3.69066 3.14247 FPE SHIBATA 3.09135 3.04905

Of the 8 model selection statistics. 8 have improved.

[Bay gi tat ca he so eu co y ngha mc di 5%, nhng he so cua bien college van co dau sai. Nhng he so khac a thay oi mot cach ang ke hn. Bi v trung v cua thu nhap c xac nh bi phan tram tot nghiep trung hoc va ai hoc, loai bo bien nay ra khoi mo hnh la co y ngha ngay ca khi no co he so rat co y ngha. Hieu ng cua bien nay c the hien mot cach gian tiep bi bien highscl va college. Tham khao phan thao luan trong phan 4.7, dien giai cac he so hoi qui.]
MODEL 4: OLS estimates using the 58 observations 1-58 Dependent variable: povrate VARIABLE 0) 3) 5) 6) const famsize highschl college COEFFICIENT 53.2862 -3.9594 -0.4137 -0.4744 STDERROR 9.9879 2.0194 0.0798 0.0582 T STAT 5.335 -1.961 -5.182 -8.151 2Prob(t > |T|) 0.000002 0.055081 0.000003 0.000000 *** * *** ***

Error Sum of Sq (ESS) Unadjusted R-squared F-statistic (3. 54)

346.1406 0.612 28.3753

Std Err of Resid. (sgmahat) 2.5318 Adjusted R-squared 0.590 p-value for F() 0.000000

MODEL SELECTION STATISTICS SGMASQ HQ GCV 6.41001 7.24045 6.88483 AIC SCHWARZ RICE 6.85058 7.8966 6.92281 FPE SHIBATA 6.85208 6.79111

[Mot ieu ang quan tam la gi ay bien college co dau am nh ky vong va co y ngha. S thay oi xay ra co the do s a cong tuyen ton tai gia bien medinc va vai hoac tat ca cac bien giai thch khac. Tuy nhien, co s giam ang ke trong gia tr R 2 t 0,818 xuong 0,590.
Ramu Ramanathan 14 Thuc Doan/Hao Thi

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 5: a cong tuyen

Ngoai ra, tat ca cac tr thong ke la chon mo hnh eu tr nen xau i. Bi v dau dng cua bien college khong co ngha ve mat ly thuyet, ta khong nen at bien medinc vao lai mo hnh ch nham e tang o phu hp co hieu chnh hoac e cai thien ch tieu la chon. T ay ro rang thay rang can phai co s xet oan tot va kinh nghiem khi anh gia cac ket qua. Da mu quang tren nhng o lng cng nhac co the dan ta lac loi. e chng thc s a cong tuyen ang ng, ta lien ket bien medinc vi cac yeu to quyet nh cua no.]

Bang 5.3 (tiep theo)

MODEL 5: OLS estimates using the 58 observations 1-58 Dependent variable: medinc VARIABLE 0) 3) 4) 5) 6) const famsize unemp highschl college COEFFICIENT -44.9132 16.8193 -0.4677 0.3649 0.9921 35.338 589.6206 0.849 74.2331 STDERROR 15.3482 2.6613 0.2193 0.1222 0.1287 T STAT -2.926 6.320 -2.133 2.986 7.707 2Prob(t > |T|) 0.005042 0.000000 0.037586 0.004277 0.000000 *** *** ** *** ***

Mean of dep. var. Error Sum of Sq (ESS) Unadjusted R-squared F-statistic (4. 53)

S.D. of dep. variable 8.264 Std Err of Resid. (sgmahat) 3.3354 Adjusted R-squared 0.837 p-value for F() 0.000000

MODEL SELECTION STATISTICS SGMASQ HQ GCV 11.1249 12.9441 12.1744 AIC SCHWARZ RICE 12.0788 14.4266 12.2838 FPE SHIBATA 12.084 11.9186

[Tat ca cac he so eu rat y ngha va co dau nh ky vong. Ngoai ra, bnh phng R co hieu chnh co gia tr cao, nh vay khang nh rang a cong tuyen han phai la ly do ve dau dng khong nh ky vong cua bien college trong mo hnh ty le ngheo.]

Tom tat
Neu mot moi quan he tuyen tnh ung an ton tai gia hai hay nhieu bien giai thch, cac bien o c goi la a cong tuyen mot cach chnh xac. Trong tnh huong nh vay, cac he so hoi qui tng ng vi cac bien oc lap nay khong the c lng mot cach duy nhat. Neu vai bien giai thch la gan a cong tuyen, cac c lng OLS van khong thien lech, nhat quan, va la c lng khong thien lech tuyen tnh tot nhat (BLUE). Do o, cac d bao cung khong thien lech va la nhat quan. Hn na, tat ca cac kiem nh cua cac gia thuyet eu hieu lc. Hieu ng cua gan a cong tuyen la tang o lech chuan cua cac he so hoi qui va giam cac tr thong ke t cua chung. ieu nay co khuynh hng lam cho cac he so kem y ngha hn neu khong co s a cong tuyen. Do o, nen chu y khi rut ra suy luan va khong a ra ket luan rang moi bien khong co y ngha nen b loai bo.

Ramu Ramanathan

15

Thuc Doan/Hao Thi

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 5: a cong tuyen

Neu hai bien la gan a cong tuyen, ong phng sai gia cap he so hoi qui la cao, ch ra rang moi he so c the hien mot phan qua hieu ng cua bien khac. Co the co dau ngc khi them vao hay bo i mot bien mi. ieu nay lam cho viec dien giai mot he so hoi qui rieng le kho khan hn. Do vay, hieu ng rieng phan cua mot bien n kho o lng c. Neu mot cap bien oc lap khong tng quan, th he so hoi qui cua moi bien la khong thay oi cho du bien kia c a vao mo hnh hay khong. a cong tuyen co the c nhan dang bang cach khao sat dang tng quan gia cac bien giai thch. V cac bien chuoi thi gian co chieu hng phat trien cung nhau, cac mo hnh da tren chung se thien ve cac bai toan a cong tuyen hn la cac mo hnh cheo. Neu bo mot hay nhieu bien oc lap lam bien oi manh ket qua, th chac chan s a cong tuyen la nguyen nhan. Khong co giai phap duy nhat e loai bo s a cong tuyen. Neu trong tam la d bao, a cong tuyen co the thng c lam ng v kha nang d bao thng khong b tac ong nhieu. Neu cac bien tng t co mat trong mo hnh, th khuyen nen loai bo cac bien tha. Cac bien co the loai bo la nhng bien co gia tr t rat thap. n gian hoa mo hnh da tren d lieu la cach tiep can co the dung c ay. Tuy nhien, ta nen nh viec loai bo cac bien quan trong se gay ra s thien lech. Nen dung cac kien thc ly thuyet e quyet nh nen hay khong gi mot bien lai mac du cac van e cua a cong tuyen co the co. Tang kch thc mau cung la li khuyen, vi ieu kien d lieu mi co cung hoac t cong tuyen hn d lieu goc. Cac phng phap khac nh hoi qui ngon song va phan tch thanh phan chnh co the c dung, nhng ay la cac thu tuc khong theo the thc va khong co s nhat tr ve s hu dung cua chung gia cac nha kinh te lng.

Thuat ng
Absence of multicollinearity Exact multicollinearity First differences Multicollinearity Near multicollinearity Perfect multicollinearity S vang mat cua a cong tuyen a cong tuyen chnh xac Sai phan bac nhat a cong tuyen Gan a cong tuyen a cong tuyen hoan hao

Ramu Ramanathan

16

Thuc Doan/Hao Thi

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 5: a cong tuyen

5.A PHU LUC

Chng Minh cac Phng Trnh (5.4) en (5.6)

Dung cac ky hieu cua Phan 4.A.1. cac Phng trnh chuan (5.2) va (5.3) co the c giai cho cac he so nh sau (xem Phng trnh 4.A.6 en 4.A.15).

2 =

S y 2 S33 - S y 3 S 23 S y 3 S22 - S y 2 S23

(5.A.1)

3 =

(5.A.2)

Trong o

= S22S33 S223

(5.A.3)

De dang thay rang

E(Sy2) = 2S22 + 3S23 E(Sy3) = 2S23 + 3S33

(5.A.4) (5.A.5)

Ta co Sy2 = yx2 = x2(2x2 + 3x3 + v) = 2S22 + 3S23 + Sv2 (5.A.6)

S dung phng trnh (5.1). Bi v E(v) = 0 va cac x la khong ngau nhien. E(Sv2) = E(vx2) = x2E(v) = 0. Do o. E(Sy2) = 2S22 + 3S23, vay phng trnh (5.A.4) c chng minh. Chng minh phng trnh (5.A.5) tng t. Tiep theo ta chng minh rang
Var ( 2 ) = 2 S33

(5.A.7)

2 S22 Var ( 3 ) =

(5.A.8)

- 2 S23 Cov( 2 , 3 ) =

(5.A.9)

T (5.A.6) va Tnh chat 2.8c. Var(Sy2) = Var(Sv2). T Tnh chat 2.9e. Var (Sy2) = x22Var(v) = 2x22 = 2S22
Ramu Ramanathan 17 Thuc Doan/Hao Thi

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 5: a cong tuyen

Var (Sy3) = x32Var(v) = 2x32 = 2S33 Cov(Sy2, Sy3) = x2x3Var(v) = 2S23 Ngoai ra, t Tnh chat 2.4a
Var( 2 ) = 1 2 [S33 Var (S y 2 ) + S2 Var (S y 3 ) - 2S33 S23 Cov(S y 2 , S y 3 )] 23 2 2 2 [S33 S 22 + S2 S33 - 2S33 S23 S23 ] 23 2

2
2

2 [ S 33 S 22 - S2 S33 ] = 23

2
2

S 33 [ S 33 S 22 - S2 ] = 23

2 S 33

Vay phng trnh (5.A.7) chng minh xong. Thu tuc chng minh (5.A.8) va (5.A.9) tng t. Goi r la he so tng quan gia X2 va X3 (xem Phng trnh 2.11). Theo nh ngha, r 2 = S2 /(S22 S33 ) . Do o. 23 = S22S33(1 r2) Dung ket qua nay vao Phng trnh (5.A.7). (5.A.8), va (5.A.9), ta c Phng trnh (5.4). (5.5), va (5.6).

Ramu Ramanathan

18

Thuc Doan/Hao Thi