Ramach6 6333

Chng trnh Giang day Kinh te Fulbright
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Nhap mon kinh te lng vi cac ng dung
Chng 6: La chon dang ham so va kiem
nh ac trng mo hnh

Ramu Ramanathan 1 Thuc oan/Hao Thi

CHNG 6

La Chon Dang Ham So va
Kiem nh ac Trng Mo Hnh

Trong Chng 4 va 5 chung ta a nghien cu s hoi qui boi trong o bien phu thuoc ang quan
tam (Y) quan he vi nhieu bien oc lap (Xs). S la chon cac bien oc lap se da theo ly thuyet
kinh te, trc giac, kinh nghiem qua kh, va nhng nghien cu khac. e tranh s thien lech cu a
bien b loai bo nh a thao luan trc ay; nha nghien cu thng them vai bien giai thch ma
ng rang co anh h ng en bien phu thuoc. Tuy nhien; moi quan he gia Y va cac bien X
nghien cu cho en gi van gia s la tuyen tnh. ay hien nhien la rang buoc nghiem ngat va
khong thc te tren mot mo hnh. Trong ng du ng Phan 3.11, chung ta lu y rang bieu o phan
tan quan sat c gia so lng ba n quyen phat hanh va chi ph nghien cu phat trien (Hnh
3.11) cho thay moi quan he theo ng cong. Ta thay rang gia thiet tuyen tnh a cho d oan
xau trong vai nam. Ben canh cac s viec quan sat thc nghiem cua dang nay, thng con co
nhng ly le ly thuyet tot cho viec xem xet cac dang ham tong quat cu a moi quan he gia cac
bien phu thuoc va oc lap. V du, ly thuyet kinh te cho chung ta biet rang ng cong chi ph
trung bnh co dang ch U, va do vay gia thiet tuyen tnh la ang ng neu ta muon c lng
ng cong chi ph trung bnh.
Trong chng nay, chung ta khao sat mot cach chi tiet ang ke cac cach tha nh lap va c
lng cac quan he phi tuyen. e co the ve cac o th, nhieu cach trnh bay ch gia i quyet duy
nhat mot bien giai thch. ay ch n thuan la mot phng cach mang tnh s pham. Trong cac
v du va ng dung chung ta se giam nhe rang buoc nay.
Chng nay cung thao luan vai phng phap tien hanh cac kiem nh ac trng mo hnh
chnh thc. ac biet, cac phng phap tong quat en n gian va n gia n en tong quat
c e cap trong Chng 1 se c thao luan, va goi la thu tuc Ramseys RESET (1969).

} 6.1 On Lai Cac Ham Logarit va Ham Mu

Cac ham mu va logarit la hai trong so cac ham c dung pho bien nhat trong lap mo hnh. V
ly do nay, se hu ch khi on lai nhng tnh chat c ban cua cac ham nay trc khi s dung
chung.
Ham Y = a
X
(a > 0) la mot v du cua mot ham mu. Trong ham nay, a la c so cua ham va
X la so mu. Trong toan hoc, c so thong thng nhat dung trong mot ham mu la hang so toan
hoc e c xac nh bi

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... 71828 , 2
n
1
1 lim e
n
n
= |
.
|
\
|
+ =

Vay ham mu chuan co dang Y = e
X
, va cung c viet di dang exp(X). Ham nghch cua
ham mu goi la ham logarit. Logarit c so a cho trc (phai la so dng) cua mot so c nh
ngha la khi luy tha logarit cua c so se cho chnh so o. Ta viet X = log
a
Y. V du, v 32 = 2
5
,
logarit c so 2 cua 32 la 5. Logarit c so e c goi logarit t nhien va ky hieu la Y = lnX,
ma khong can ghi ro c so. Lu y rang ln 1 = 0 bi v e
0
= 1. Mot so tnh chat cua ham mu va
logarit c liet ke di ay.

Tnh chat 6.1
a. Ham logarit va ham mu la n ieu tang; ngha la, neu a > b, th f(a) > f(b), va ngc lai.
b. Logarit cua tch hai so bang tong logarit; ngha la, ln(XY) = lnX + lnY. Cung vay, logarit
cua ty so la hieu cua cac logarit. Vay, ln(X/Y) = lnX lnY. Theo o ln(1/X) = lnX.
c. ln(a
X
) = Xln a. Theo o a
X
= e
Xln a
.
d. a
X
a
Y
= a
X+Y
va (a
X
)
Y
= a
XY
.

Khong nh ng thang, co o doc khong oi, ham so tong quat f(X), nh ham mu va logarit,
co o doc thay oi. S thay oi cua Y theo thay oi n v cua X la tac ong can bien cua X
len Y va thng ky hieu bi Y/X (xem Hnh 2.A va phan thao luan lien quan). Neu s thay
oi cua X vo cung nho, ta co o doc cua tiep tuyen cua ng cong f(X) tai iem X. o doc
gii han nay c xem la ao ham cua Y oi vi X va c ky hieu bi dY/dX. Vay ao ham
la tac ong can bien cua X len Y vi s thay oi rat nho cua X. o la mot khai niem vo cung
quan trong trong kinh te lng, bi v ta luon hoi s thay oi ky vong cua bien phu thuoc la g
khi ta thay oi gia tr cua mot bien oc lap vi mot lng rat nho. Cac tnh chat cua cac ao
ham c tom tat trong Tnh chat 2.A.5 va ang e nghien cu. Tnh chat 6.2 liet ke mot t
tnh chat cua ham mu va logarit ma rat hu ch trong kinh te lng. Hnh 6.1 minh hoa bang o
th hai ham so nay.

Tnh chat 6.2
a. Ham mu vi c so e co tnh chat ac biet la no bang vi ao ham cua chnh no. Vay, neu Y
= e
X
, th dY/dX = e
X
.
b. ao ham cua e
aX
la ae
aX
.
c. ao ham cua ln X bang 1/X.
d. ao ham cua a
X
bang a
X
ln a. Ket qua nay co c t c s la a
X
= e
Xlna
va tnh chat ao
ham cua e
bX
= be
bX
.

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} Hnh 6.1 o Th cua Ham Mu va Logarit

a. o th cua Y = exp(X)

b. o th cua Y = ln(X)

0
5
10
15
20
25
0 0.5 1 1.5 2 2.5 3
exp (X)
X
-2.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
0 0.5 1 1.5 2 2.5 3
X
ln (X)
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Khai Niem cua o Co Gian

Logarit co tng quan rat gan vi khai niem cua o co gian c dung trong kinh te. Ta se
thay trong cac phan sau rang khai niem nay cung c s dung rong rai trong kinh te lng
thc nghiem. Theo thuat ng n gian, o co gian cua Y oi vi X c nh ngha la phan
tram thay oi cu a Y oi vi mot phan tram thay oi cua X cho mot thay oi nho cua X. Vay neu
Y la s thay oi cua Y, phan tram thay oi la 100Y/Y. Tng t, 100X/X la phan tram
thay oi cua X. Ty so cua so au oi vi so sau la o co gian. ieu nay a en nh ngha
sau.

} Bang 6.1 Cac Tac ong Can Bien va o Co Gian cua cac Dang Ham Khac Nhau

Ten Dang Ham Tac ong Can Bien
(dY/dX)
o Co Gian
[(X/Y)(dY/dX)]
Tuyen tnh Y =
1
+
2
X
2

2
X/Y
Logarit tuyen tnh Y =
1
+
2
lnX
2
/X
2
/Y
Nghch ao Y =
1
+
2
(1/X)
2
/X
2

2
/(XY)
Bac hai Y =
1
+
2
X +
3
X
2
2
+ 2
3
X (
2
+ 2
3
X)X/Y
Tng tac Y =
1
+
2
X +
3
XZ
2
+
3
Z (
2
+
3
Z)X/Y
Tuyen tnh-logarit lnY =
1
+
2
X
2
Y
2
X
Nghch ao logarit lnY =
1
+
2
(1/X)
2
Y/X
2

2
/X
Bac hai logarit lnY =
1
+
2
X +
3
X
2
Y(
2
+ 2
3
X) X(
2
+ 2
3
X)
Log-hai lan
(log-log)
lnY =
1
+
2
lnX
2
Y/X
2

Logistic
X
Y 1
Y
ln
2 1
+ =
(

2
Y(1-Y)
2
(1-Y)X

NH NGHA 6.1

o co gian cua Y oi vi X (ky hieu la ) la

dX
dY
Y
X
X
Y
Y
X
X
X
Y
Y
= khi X tien ve 0. (6.1)

Bang 6.1 co cac tac ong ng can bien (dY/dX) va o co gian [(X/Y)(dY/dX)] cua mot so
dang ham co the chon la trong chng nay. Lu y rang oi khi cac ket qua nay phu thuoc vao
X va/hoac Y. e tnh toan chung, ngi ta thng thay the gia tr trung bnh X va gia tr d
oan tng ng Y
.

} 6.2 Quan He Logarit-Tuyen Tnh

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Trong mot mo hnh logarit-tuyen tnh, bien phu thuoc khong oi nhng bien oc lap the hien
di dang logarit. Nh vay,

Y =
1
+
2
lnX + u (6.2)

Vi so dng
1
va
2
, Hnh 6.2 minh hoa o th quan he nh la mot ham phi tuyen. Quan he
nay cho Y/X =
2
/X. Neu
2
> 0, s tang can bien cua Y tng ng vi s tang cua X la mot
ham giam cua X. Ta lu y rang

=
(
=
100 X
X
100
100 X
X
Y
2 2
2
thay oi phan tram cua X
T ay se cho mot ieu la thay oi mot phan tram gia tr bien X se lam thay oi Y, trung bnh,
2
/100 n v (khong phai phan tram).

} Hnh 6.2 Dang Ham Logarit-Tuyen Tnh

V du, goi Y la san lng lua m va X la so mau trong trot. Vay Y/X la san lng can
bien cua mot mau trong trot them. Ta gia thuyet rang san lng can bien se giam khi dien tch
tang. Khi dien tch thap, ta ky vong rang vung at mau m nhat se c trong trot trc tien.
Khi dien tch tang, nhng vung t mau m hn se c em s dung; san lng co them t
nhng vung nay co the khong cao nh san lng t nhng vung at mau m hn. ieu nay a
ra gia thuyet s giam san lng can bien cua dien tch lua m. Lap cong thc logarit-tuyen tnh
giup chung ta co the hieu thau moi quan he nay.

V du khac, Goi Y la gia cua mot can nha va X la dien tch sinh hoat. Xem xet 2 can nha,
mot can vi dien tch sinh hoat la 1.300 bo vuong (square feet) va mot can khac vi dien tch
X
Y
1
+
2
lnX
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sinh hoat 3.200 bo vuong. Ta ky vong rang phan gia tang them ma mot ngi tieu dung se san
sang tra cho 100 bo vuong them vao dien tch sinh hoat se cao khi X = 1.300 hn la khi X =
3.200. ieu nay la bi v can nha sau a rong san, va ngi mua co the khong muon tra them
nhieu e tang them dien tch. ieu nay co ngha rang tac ong can bien cua SQFT (dien tch)
len PRICE (gia) ky vong se giam khi SQFT tang. Mot cach e kiem nh ieu nay la ieu
chnh mot mo hnh logarit-tuyen tnh va kiem nh gia thuyet H
0
:
2
= 0 oi lai gia thuyet H
1
:
2
> 0. ieu nay se c nhn nhan nh la mot kiem nh mot pha. Quy tac ra quyet nh la
bac bo H
0
neu t
c
> t
*

n-2
(0,05). Ta lu y t Bang 6.1 rang trong mo hnh nay o co gian cua Y
oi vi X la
2
/Y. Ta co the tnh toan o co gian tai gia tr trung bnh la
2
/ Y. Neu d lieu la
chuoi thi gian, o co gian ang quan tam hn la o co gian tng ng vi quan sat gan ay
nhat vi t = n. o co gian nay la
2
/Y
n
.

Mac du nhng v du minh hoa nay van la cac dang mo hnh hoi qui n gian, phan m
rong them cho trng hp a bien la khong phc tap. n gian la phat ra cac logarit cua cac
bien giai thch thch hp, goi chung la Z
1
, Z
2
v.v va hoi qui bien Y theo mot hang so va cac
bien Z.

} BAI TOAN THC HANH 6.1
Tm bieu thc o co gian cua Y oi vi X trong cac mo hnh tuyen tnh va phi tuyen va chng
minh cac muc trong Bang 6.1.

Ve o th Phng trnh (6.2) khi
2
< 0 (e n gian gia s rang
1
= 0).

} V DU 6.1

Ta a c lng mo hnh logarit-tuyen tnh s dung d lieu gia nha trong Bang 4.1 (xem Phan
May Tnh Thc Hanh 6.1 gii thieu cach chay lai cac ket qua cua v du nay va kiem tra nhng
khang nh a thc hien ay). S bien luan ve s giam tac ong can bien ap dung nh nhau
cho so phong ngu va so phong tam. V vay ta a phat ra cac logarit cua cac bien SQFT,
BEDRMS, va BATHS va ke tiep a hoi qui bie n PRICE theo mot hang so va nhng so hang
logarit nay. Ke en logarit cua BATHS va BEDRMS c loai bo moi lan tng bien mot bi
v he so cua chung rat khong co y ngha. Mo hnh tot nhat a c chon theo cac tieu chuan
la chon a thao luan trong Chng 4. Cac phng trnh c lng cua mo hnh tuyen tnh tot
nhat va mo hnh logarit-tuyen tnh tot nhat se c trnh bay tiep sau, vi cac tr thong ke t
trong ngoac.

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PRICE = 52,351 + 0,139 SQFT
(1,4) (7,4)

2
R = 0,806 d.f. = 12

PRICE = 1.749,974 + 299,972 ln(SQFT) 145,094 ln(BEDRMS)
(-6,8) (7,5) (-1,7)

2
R = 0,826 d.f. = 11

Ta lu y rang gia tr
2
R hi cao hn oi vi mo hnh logarit-tuyen tnh. Mo hnh nay cung
co cac tr thong ke la chon mo hnh thap nhat. Tuy nhien, he so cho logarit cua BEDRMS ch
co y ngha mc 11,48 phan tram. Neu so hang nay b loai bo, cac tr thong ke la chon se
xau i ang ke, va do o ta a chon gi no lai. He so hoi qui cho ln(SQFT) co y ngha cao, vay
ung ho cho gia thuyet rang tac ong can bien cua dien tch sinh hoat giam khi so bo vuong
tang. He so cho logarit cua BEDRMS co gia tr am giong nh oi vi mo hnh tuyen tnh,
nhng tac ong cua he so nay la yeu ve mat thong ke.

Tnh o co gian tng phan cua PRICE oi vi SQFT cho cac mo hnh c lng logarit-tuyen
tnh va tuyen tnh khi SQFT la 1.500, 2.000 va 2.500. Lam the nao chung so sanh vi nhau?

} Hnh 6.3 Quan He Nghch ao

X
1
Y

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} 6.3 Bien oi Nghch ao

Mot dang ham thng c s dung e c lng ng cong nhu cau la ham bien oi nghch
ao:

u
X
1
Y
2 1
+ |
.
|
\
|
+ =
Bi v ng cong nhu cau ac thu doc xuong, ta ky vong
2
la dng. Lu y rang khi X tr
nen ln, Y tiem can tien gan vi
1
(xem Hnh 6.3). Dau va o ln cua
1
se xac nh ng
cong co cat truc X hay khong.

Ve o th ham nghch ao vi
2
< 0,
1
> 0.

} 6.4 Thch Hp ng Cong a Thc

Cac nha nghien cu rat thng dung mot a thc e lien he mot bien phu thuoc vi mot bien
oc lap. Mo hnh nay co the la

Y =
1
+
2
X +
3
X
2
+
4
X
3
+ . . . +
k+1
X
k
+ u

Thu tuc c lng bao gom tao cac bien mi X
2
, X
3
, v.v qua cac phep bien oi va ke en hoi
qui Y theo mot so hang hang so, theo X, va theo cac bien a bien oi nay. Mc a thc (k) b
rang buoc bi so quan sat. Neu k = 3, ta co quan he bac ba; va ne u k = 2, ta co cong thc bac
hai. Cac cong thc bac hai thng c s dung e ieu chnh cac ham chi ph co dang ch U
va cac quan he phi tuyen khac. Mot ng cong bac ba thng c lam thch hp gan ung
vi hnh dang trong Hnh 6.9 (xem phan mo hnh logit). Nhn chung, bac a thc ln hn 2 nen
tranh. Mot trong cac ly do la thc te moi so ha ng a thc ong ngha vi viec mat i them mot
bac t do. Nh a e cap trong Chng 3, s mat i bac t do ngha la giam s chnh xac cua
cac c lng cac thong so va giam kha nang cua cac kiem nh. Cung vay, ta a thay trong
Chng 5 rang moi tng quan cao co the co gia X, X
2
, va X
3
lam cho cac he so rieng le kem
tin cay hn.
S dung cac tnh chat ve ao ham (xem Tnh chat 2.A.5), ta co the cho thay rang tac
ong can bien cua X len Y c xac nh bi

dY/dX =
2
+ 2
3
X + 3
4
X
2
+ . . . + k
k+1
X
k-1

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Mot trng hp ac biet cua dang ham a thc la mo hnh bac hai

Y =
1
+
2
X +
3
X
2
+ u

Tac ong can bien cua X len Y, ngha la o doc cua quan he bac hai, c xac nh bi
dY/dX =
2
+ 2
3
X. Lu y rang tac ong can bien cua X len Y phu thuoc vao gia tr cua X ma
tai o ta tnh tac ong can bien. Mot gia tr pho bien c dung la gia tr trung bnh, X. Nh
a cho thay trong phu luc Chng 2, khi dY/dX = 0, ham so se hoac at cc ai hoac cc tieu.
Gia tr X tai o xay ra ieu nay se co c t viec giai ieu kien
2
+ 2
3
X = 0 khi X
0
=
2
/(2
3
). e xac nh xem ham at cc tieu hay cc ai, ta can phai tnh ao ham bac hai,
d
2
Y/dX
2
= 2
3
. Neu
3
< 0, ham so se at cc ai tai X
0
, va neu
3
dng, ham at cc tieu tai
X
0.
Tiep theo ta trnh bay hai v du: mot ham chi ph trung bnh co quan he dang ch U (Hnh
6.4) va mot ham san xuat co quan he dang ng cong loi (hump-shaped) (Hnh 6.5).

} V DU 6.2
DATA6-1 a mo ta trong Phu luc D co d lieu ve chi ph n v (UNITCOST) cua mot cong ty
san xuat tren mot thi oan 20 nam, mot ch so xuat lng cua cong ty (OUTPUT), va mot ch
so chi ph nhap lng cua cong ty (INPCOST). Trc het ta co bnh phng hai bien oc lap
va ke en hoi qui UNICOST theo mot hang so, OUTPUT, OUTPUT
2
, INPCOST, va
INPCOST
2
(xem Phan May Tnh Thc Hanh 6.2 e biet them chi tiet ve ieu nay). Bi v
INPCOST
2
co he so vo cung khong co y ngha, no b loai bo va mo hnh c c lng lai.

Cac ket qua c cho sau ay, vi cac tr thong ke t trong ngoac.

UNITCOST = 10,522 0,175 OUTPUT + 0,000895 OUTPUT
2

(14,3) (- 9,7) (7,8)
+ 0,0202 INPCOST
(14,454)

2
R = 0,978 d.f. = 16

Lu y rang oi vi mo hnh nay
1
,
3
> 0 va
2
< 0, giai thch cho quan he dang ch U. Mo

hnh giai thch 97,8 phan tram s thay oi trong chi ph trung bnh. De dang chng minh rang
tat ca cac he so hoi qui eu vo cung co y ngha. Lu y rang nhng g ta co tren ay la mot ho
cac ng cong chi ph trung bnh c di chuyen theo cac mc ch so chi ph nhap lng.
Cung rat hu ch khi ve o th ham chi ph n v cho mot chi ph nhap lng tieu bieu. Hnh
6.4 la ham chi ph trung bnh co dang ch U c lng cho mot day xuat lng va 3 mc chi
ph nhap lng khac nhau (80, 115, va 150). Chung at gia tr nho nhat tai ch so xuat lng
co mc 98 (hay xac minh).
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} Hnh 6.4 Cac Ham Chi Ph Trung Bnh c Lng

} V DU 6.3
DATA6-2 a mo ta trong Phu luc D co d lieu hang nam ve viec san xuat ca ng trang
(Thunnus Alalunga) trong vung Basque cua Tay Ban Nha. Bien xuat lng (phu thuoc) la tong
so me ca theo n v ngan tan va bien nhap lng (oc lap) la no lc anh ca c o lng
bang tong so ngay anh ca (n v la ngan). Mo hnh c lng la (tr thong ke t trong ngoac)

Catch = 1,642 Effort 0,01653 Effort
2

(17,1) (-8,0)

2
R = 0,660 d.f. = 32

Phan May Tnh Thc Hanh 6.3 co the c dung e xac minh ieu nay. Lu y rang, bi v me
ca khong the co c khi khong co no lc,
1
ve ly thuyet phai bang 0 cho mo hnh nay. Ta
han thay rang
2
> 0 va
3
< 0; do o, ham san xuat se co o th nh Hnh 6.5 vi gia tr cc

ai at c khi no lc la 50.

+

S dung d lieu gia nha, hay c lng quan he bac hai sau gia gia va bo vuong:

PRICE =
1
+
2
SQFT +
3
SQFT
2
+ u

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} Hnh 6.5 Ham San Xuat c Lng

Dien giai ve mat kinh te cua gia thuyet
3
= 0 la g? Kiem nh gia thuyet nay oi lai vi gia
thuyet H
1
:
3
< 0. Ban co ket luan g ve tac ong can bien cua SQFT len PRICE? So sanh mo
hnh nay, theo cac tieu chuan la chon, vi mo hnh logarit-tuyen tnh c c lng trong V
du 6.1 (xem Phan May Tnh Thc Hanh 6.4).


Hay c lng mo hnh PRICE =
1
+
2
ln SQFT +
3
BATHS + u, va so sanh cac ket qua vi
cac ket qua trong Bang 4.2 va trong Bai Toan Thc Hanh 6.5.


Vi quan he Y =
1
+
2
X +
3
X
2
, hay xac minh o doc va o co gian cho trong Bang 6.1.

} 6.5 Cac So Hang Tng Tac
Tac ong can bien cua mot bien giai thch oi khi co the phu thuoc vao mot bien khac. e
minh hoa, Klein va Morgan (1951) a e xuat mot gia thuyet ve s tng tac cua thu nhap va
tai san trong viec xac nh cac dang tieu dung. Ho bien luan cho rang xu hng tieu dung bien
te cung se phu thuoc vao tai san mot ngi giau hn co the co xu hng bien te khac e tieu
dung ngoai khoan thu nhap. e thay ieu nay, goi C = + Y + u. Gia thuyet la , xu hng
tieu dung bien te, phu thuoc vao tai san (A). Mot cach n gian cho phep thc hien la gia s
rang =
1
+
2
A. Thay the bieu thc nay vao ham tieu dung, ta thu c C = + (
1
+
2
A)Y
+ u. ieu nay bien oi thanh mo hnh C = +
1
Y +
2
(AY) + u. So hang AY c xem la so
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hang tng tac bi v no bao gop s tng tac gia cac tac ong cua thu nhap va tai san.
Nham muc ch c lng, ta tao ra mot bien mi Z, bang vi tch cua Y va A, va ke en hoi
qui C theo mot hang so, Y, va Z. Neu
2
co y ngha ve mat thong ke, th co dau hieu ve s
tng tac gia thu nhap va tai san. Lu y rang trong v du nay, C/Y =
1
+
2
A. e xac nh
tac ong can bien cua Y len C, ta can co gia tr cua A.
V du th hai, xet quan he E
t
= + T
t
+ u
t
, trong o E
t
la so kilowatt gi tieu thu ien va
T
t
la nhiet o tai thi iem t. Neu mo hnh nay c c lng cho mua he, ta ky vong se
dng bi v, khi nhiet o tang vao mua he, th nhu cau dung may lanh se cao hn va do o
tieu thu ien se tang. Tuy nhien, ta co the gia thuyet rang tac ong can bien cua T len E co the
phu thuoc vao gia ien (P
t
). Neu gia ien la at, ngi tieu dung co the hoan bat may lanh
hoac tat sm hn. Mot cach e kiem nh tac ong nay la gia s rang =
1
+
2
P
t
. Vay ta
ang gia s rang tac ong can bien cua nhiet o len tieu thu ien phu thuoc vao gia. Thay bieu
thc nay vao quan he, ta co

E
t
= + (
1
+
2
P
t
)T
t
+ u
t
= +
1
T
t
+
2
(P
t
T
t
) + u
t

e c lng cac thong so, ta cho Z
t
= P
t
T
t
va hoi qui E theo mot hang so, T, va Z. S y ngha
cua
2
la dau hieu cua mot tac ong tng ho gia nhiet o va gia. Lu y rang E/P =
2
T;
ngha la, tac ong can bien cua P len E phu thuoc vao nhiet o. Neu ta cho cung phu thuoc
vao P, mo hnh tr thanh

E
t
=
1
+
2
P
t
+
1
T
t
+
2
(P
t
T
t
) + u
t

Trong cac chng sau, ta co vai v du ve cac tac ong tng ho nh vay.

Phi Tuyen Gia Tao

e nhan biet s phi tuyen co the co, ta co the th ve o th Y theo mot bien oc lap cu the (X)
va quan sat xem co s phi tuyen nao xay ra hay khong. ay la thu tuc nguy hiem bi v no co
the dan en ac trng sai mo hnh nghiem trong. V du, gia s rang Y la tuyen tnh vi X, Z,
va so hang tng tac XZ, vay ta co

Y =
1
+
2
X

+
3
Z +
4
(XZ) + u va Y/X =
2
+
4
Z

Trong tnh toan tac ong can bien cua X len Y, ta xem Z la co nh. Lu y rang tac ong can
bien cua X len Y, ngha la o doc, phu thuoc vao Z. Bieu o phan tan quan sat thc nghiem,
gia Y va X co the nhn giong nh Hnh 6.6, co ve nh la quan he logarit-tuyen tnh gia Y va
X. Trong thc te, ieu nay la do hai quan he tuyen tnh gia Y va X vi cac gia tr khac nhau
cua Z (Z
1
va Z
2
). Vay, thay v ve o th thc nghiem quan sat bien Y theo moi bien X, ban nen
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co gang mo hnh hoa qua trnh phat d lieu (DGP) dung ly thuyet va trc giac ve hanh vi c
ban va ke en tien hanh kiem nh ac trng. Trong Phan 6.13, 6.14, va 6.15, ta thao luan vai
phng phap e kiem nh cac ac trng hoi qui.

} Hnh 6.6 Mot V Du cua Phi Tuyen Gia Tao

} 6.6 Hien Tng Tre Trong Hanh Vi (Cac Mo Hnh ong)

Cac tac ong kinh te va cac bien khac hiem khi xay ra tc thi; phai ton thi gian e ngi
tieu dung, nha san xuat, va cac tac nhan kinh te khac phan ng. Ly thuyet kinh te v mo cho ta
biet rang tong san lng quoc dan (GNP) can bang (Y) c xac nh bi mot so bien ngoai
sinh, ac biet, bi chi tieu chnh phu (G), thue (T), cung tien (M), xuat khau (X) v.v. Bi v
hieu ng can bang ch giam c sau mot khoang thi gian, cac mo hnh kinh te lng dung d
lieu dang chuoi thi gian thng c thanh lap vi hien tng tre trong hanh vi. Mot v du
cua mo hnh nh vay cho nh sau:

Y
t
=
1
+
2
G
t
+
3
G
t-1
+
4
M
t
+
5
M
t-1
+
6
T
t
+
7
T
t-1
+
8
X
t
+
8
X
t-1
+ u
t

Thu tuc c lng ay hoan toan n gian. n gian ta tao cac bien co hieu ng tre G
t-
1
, M
t-1
, T
t-1
va X
t-1
va hoi qui Y
t
theo cac bien nay dung quan sat t 2 en n. Bi v G
t-1
va cac
bien khac khong c nh ngha cho t = 1, ta mat quan sat th nhat trong c lng. Tuy
nhien, mot so van e phat sinh trong mo hnh nay bi v cac bien oc lap tng quan vi nhau
va cung do bi v bac t do b mat khi co nhieu hieu ng tre hn them vao. Nhng van e nay
c thao luan chi tiet trong Chng 10.
Hien tng tre trong hanh vi co the co da ng hien tng tre trong bien phu thuoc. Mo hnh
co the co dang
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Y
t
=
1
+
2
Y
t-1
+
3
X
t
+
4
X
t-1
+ u
t

V du, goi Y
t
la chi tieu tai thi iem t va X
t
la thu nhap. Bi v ngi tieu dung co xu hng
duy tr mc tieu chuan song thng le, ta co the ky vong s tieu dung cua ho lien quan mat
thiet vi s tieu dung trc ay cua ho. V vay, chung ta co the ky vong la Y
t
cung phu thuoc
vao Y
t-1
. Cu the hn, xem phng trnh sau:

Y
t
=
1
+
2
Y
t-1
+
3
(X
t
X
t-1
) + u
t

V cac tap quan thoi quen nen noi chung ngi tieu dung mien cng thay oi loi song cua
ho, va do o chung ta ky vong mc tieu thu tai thi iem t (Y
t
) phu thuoc vao mc tieu thu
giai oan trc o (Y
t-1
). Tuy nhien, neu mc thu nhap (X
t
) thay oi, ngi tieu dung se ieu
chnh hanh vi tieu dung cua ho tng ng vi s tang hoac giam thu nhap. Do vay chung ta se
dung mo hnh ong c xay dng tren va ky vong rang tat ca cac he so se co gia tr dng.

} V DU 6.4

Tap d lieu DATA6-3 (xem Phu luc D) la d lieu ve chi tieu tieu dung ca nhan au ngi cua
Vng Quoc Anh (C, o bang bang Anh) va thu nhap tuy dung au ngi (ngha la, thu nhap
ca nhan tr thue, ky hieu la DI, va cung c tnh theo n v bang Anh). e ieu chnh tac
ong cua lam phat, ca hai bien nay c bieu dien theo gia tr thc (con c goi la gia khong
oi). Mo hnh ong c lng c trnh bay di ay (xem Phan Thc Hanh May Tnh 6.5),
vi tr thong ke t trong ngoac n.

t
C
= -46,802 + 1,022C
t-1
+ 0,706 (DI
t
DI
t-1
)
(-2.07) (123.0) (9.93)

2
R = 0,998 df = 38

Mac du mo hnh at c s thch hp rat tot va cac c lng co ve hp ly, mo hnh nay co
mot so tr ngai. Nh se thay Chng 10 va 13 rang mo hnh nay vi pham tnh oc lap chuoi
cua Gia thiet 3.6 va Gia thiet 3.4 la cac bien oc lap khong c tng quan vi cac so hang
sai so. ac trng sai nay se lam cho cac tr c lng b thien lech. Chung ta se xem xet lai
mo hnh nay trong cac chng 10 va 13.

} 6.7 ng dung: Quan He Gia So Bang Sang Che Va Chi Tieu R&D (a duyet lai)
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Trong Phan 3.11, chung ta a c lng mo hnh hoi quy tuyen tnh n gia so bang sang che
va chi tieu cho R&D va biet rang mo hnh nay la hoan toan khong u v bieu o phan tan cua
cac gia tr quan sat cho thay mot quan he ng cong (Xem Hnh 3.11). Chung ta cung ch ra
rang co hien tng tre gia chi tieu thc cho hoat ong nghien cu va phat trien va hieu qua
cua cac chi tieu nay ve mat so bang sang che. ay chung ta se c lng mo hnh phi tuyen
ong va so sanh cac ket qua. Tuy nhien, v cha co ly thuyet ve kinh te hay cac ly thuyet
khac ve so nam cua hien tng tre nay hoac ve dang ham so can s dung, nen mot cach tuy y
chung ta cho o tre nay len en 4 nam. Bon bien tre c tao ra gom R&D(t-1), R&D(t-2),
R&D(t-3), va R&D(t-4). Cac bien nay sau o se c bnh phng len va mot mo hnh bac
hai vi tat ca cac bien c c lng.

} Hnh 6.7 So Sanh Mo Hnh ong va Mo Hnh Tnh (ng lien la mo hnh tnh, x la
gia tr quan sat thc, va o la mo hnh ong)

So bang sang che

V vay, ay la mot bai tap khp ng cong thuan tuy thay v la mot bai tap da tren ly
thuyet kinh te. Bao cao co chu giai in ra t may tnh bang 6.2 can c tm hieu ky lng
(xem Phan Thc Hanh May Tnh 6.6 e chay lai bang 6.2). Hnh 6.7 ve so bang sang che
that, cac gia tr gan t mo hnh tnh Chng 3 (ng thang lien), va cac gia tr t mo hnh
ong cuoi cung. Chung ta nhan thay rang mo hnh ong the hien rat tot dien bien thc te,
ngay ca trong nhng nam cac chi ph R&D tum lai va trong nhng nam t 1988-1993 khi mo
hnh tuyen tnh hoan toan khong the hien c. Do o mo hnh phi tuyen ong la mot ac
trng tot hn so vi mo hnh tnh tuyen tnh n gian.

} Bang 6.2 Ket Qua May Tnh Co Kem Chu Giai Cho Phan ng Dung Phan 6.7

Chi ph R&D
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MODEL 1: OLS estimates using the 34 observations 1960-1993
Dependent variable: PATENTS

VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t>,T,)
0) const 34.5711 6.3579 5.438 0.000006 ***
3) R&D 0.7919 0.0567 13.966 0.000000 ***

Mean of dep. var. 119.238 S.D. of dep. variable 29.306
Error Sum of Sq (ESS) 3994.3003 Std Err of Resid. (sgmahat) 11.1724
Unadjusted R-squared 0.859 Adjusted R-squared 0.855
F-statistic (1, 32) 195.055 p-value for F() 0.000000
Durbin-Watson stat. 0.234 First-order autocorr. coeff 0.945

MODEL SELECTION STATISTICS

SGMASQ 124.822 AIC 132.146 FPE 132.164
HQ 136.255 SCHWARZ 144.56 SHIBATA 131.301
GCV 132.623 RICE 133.143
} Bang 6.2 (tiep theo)

[phat cac bien tre]
R&D1 = R&D(-1) sq_R&D = (R&D)
2

R&D2 = R&D(-2) sq_R&Di = (R&Di)
2

R&D3 = R&D(-3) for I = 1,2,3, and 4
R&D4 = R&D(-4)

[c l ng mo hnh tong quat vi tat ca cac bie n giai thch ba ng cach s du ng ch cac quan sat t 1964-
1993, v cac bien tre kho ng c nh ngha trong giai oan t 1960-1963]

MODEL 2: OLS estimates using 30 observations 1964-1993
Depedent variable: PATENTS

0) const 85.3526 22.1027 3.862 0.001051
***
3) R&D -0.0477 1.1251 -0.042 0.966638
4) R&D1 0.6033 2.0562 0.293 0.772387
5) R&D2 0.0001794 2.1850 0.000 0.999935
6) R&D3 -0.5869 2.0522 -0.286 0.777989
7) R&D4 -0.1837 1.0994 -0.167 0.869055
8) sq_R&D -0.0007326 0.0049 -0.150 0.882674
9) sq_R&D1 -0.0018 0.0089 -0.197 0.845884
10) sq_R&D2 0.0017 0.0098 0.177 0.861555
11) sq_R&D3 -0.0007564 0.0092 -0.082 0.935597
12) sq_R&D4 0.0071 0.0051 1.405 0.176209

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SGMASQ 11.7568 AIC 15.5026 FPE 16.0676
GCV 18.5633 RICE 27.9224

Excluding the constant, p-value was highest for variable 5 (R&D2)

[Lu y rang co hien tng a co ng tuye n rat cao gia cac bie n giai thch. Cac gia tr hie n hanh va tre
cua chi ph R&D cu ng nh R&D va cac bnh phng cua chu ng c ky vong la tng quan chat v i
nhau. Nh vay, kho ng co g ngac nhie n, tr so hang hang so, ta t ca eu kho ng co y ngha. Nh a e
cap chng trc, ie u nay kho ng co ngha rang cac bien nay la kho ng quan tro ng, ma ch co ngha
rang hien t ng a cong tuyen co the la nh ng bie n an can c a vao mo hnh. Theo phng pha p
n gian ho a mo hnh da tren d lieu, chung ta ne n loai cac bien tha. Bc au tien, chu ng ta loai
bo cac bien vi gia tr p-values tre n 0,9. o la cac bien R&D, R&D2, va sq_R&D3.]



0) const 84.8409 19.0579 4.452 0.000200 ***
4) R&D1 0.6043 0.6351 0.952 0.351669
6) R&D3 -0.7352 0.5233 -1.405 0.174012
7) R&D4 -0.0745 0.5134 -0.145 0.886004
8) sq_R&D -0.0009491 0.0012 -0.824 0.418554
9) sq_R&D1 -0.0017 0.0034 -0.496 0.624855
10) sq_R&D2 0.0016 0.0025 0.641 0.527835
12) sq_R&D4 0.0066 0.0020 3.364 0.002799 ***



SGMASQ 10.1647 AIC 12.7064 FPE 12.8753
GCV 13.861 RICE 15.9732

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Excluding the constant, p-value was highest for variable 7 (R&D4).
Comparison of Model 2 and Model 3 is given below: Null hypothesis is: the regression parameters are zero for
the variables R&D, R&D2, and sq_R&D3.

Test statistic: F(3,19) = 0.006957, with p-value = 0.999173
Of the 8 model selection statistics, 8 have improved

[Trong kiem nh F Wald cho cac bien b loai ra, p-value at gia tr cao cho tha y rang chu ng ta kho ng
the bac bo gia thuyet khong cho ra ng cac he so cua cac bien na y tat ca e u bang kho ng ngay ca tai
mc y ngha cao e n 0,9. Nh va y, loai bo chung la hp ly. Hn na, tat ca tam tr thong ke cho n mo
hnh eu gia m, ieu o co ngha co mot s cai thie n ve o thch hp cu a mo hnh. Mac du nhie u gia
tr p-value giam, ch co duy nhat mot gia tr u nho e co y ngha o la gia tr cua bie n so 12. ie u
na y co ngha phai loai bo them. Tiep theo, chu ng ta loai bo bie n R&D4, sq_R&D1, va sq_R&D2, ca c
bien na y ng vi gia tr p-value ln hn 0,5]


0) const 82.8545 12.0355 6.884 0.000000 ***
4) R&D1 0.4771 0.3278 1.455 0.158001
6) R&D3 -0.6370 0.2388 -2.667 0.013227 **
8) Sq_R&D -0.0011 0.0010000 -1.146 0.262479
12) Sq_R&D4 0.0065 0.0006784 9.609 0.000000 ***




SGMASQ 9.34047 AIC 10.8631 FPE 10.8972
GCV 11.2086 RICE 11.6756

Excluding the constant, p-value was highest for variable 8 (sq_R&D).
Comparison of Model 3 and Model 4:

Null hypothesis is: the regression parameters are zero for the variables R&D4, sq_R&D1, and sq_R&D2.

Test statistic: F(3,22) = 0.324242, with p-value = 0.807788
Of the 8 model selection statistics, 8 have improved.
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[Trong tr ng hp nay cu ng va y, trong kiem nh F Wald cho ca c bie n b loai ra, p-value at gia tr cao
cho tha y rang chu ng ta kho ng the bac bo gia thuye t khong cho rang cac he so cua cac bien na y tat ca
e u ba ng khong ngay ca tai mc y ngha cao e n 0,8. V vay, viec loai bo chung la h p ly . Them na,
tat ca tam tr tho ng ke chon mo hnh e u giam, ieu o co ngha co mot s cai thie n ve o thch hp
cua mo hnh. Va n con hai bien (sq_R&D va R&D1) co gia tr tren 15%. Chung ta tie p tu c loai bo cac
bien nay, nhng tng bie n mot, va i e n mot mo hnh cuoi cu ng trong o tat ca cac he so co y ngha
mc di 2%]


0) const 91.3464 6.4046 14.263 0.000000 ***
6) R&D3 -0.2951 0.1175 -2.512 0.018286 **
12) sq_R&D4 0.0059 0.0005486 10.675 0.000000 ***



SGMASQ 9.58047 AIC 10.5315 FPE 10.5385
GCV 10.645 RICE 10.778
Of the 8 model selection statistics, 7 have improved.
[Tnh cac tr d ba o va sai so phan tra m tuyet oi cho t ng d bao]

Obs R&D PATENT
S
Predicted
value
Prediction
error
Absolute
percent error

1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
76.83
80
84.82
86.84
88.81
88.28
85.29
83.18
85.07
86.72
85.45
93.2
100.4
93.5
93
98.7
104.4
109.4
111.1
105.3
109.6
107.4
93.1259
93.8292
94.8126
97.9126
102.306
103.795
107.851
109.3
111.483
111.815
109.399
0.0740826
6.57081
-1.31258
-4.91264
-3.606
0.605085
1.5492
1.80002
-6.1826
-2.21525
-1.99891
0.0794878
6.54463
1.40383
5.28241
3.65394
0.579583
1.41609
1.62018
5.87141
2.02121
1.86118
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1975 83.41 108 106.76 1.24028 1.14841
1976 87.44 110 108.135 1.86509 1.69554
1977 90.11 109 110.169 -1.16945 1.07289
1978 94.5 109.3 109.491 -0.191014 0.174761
1979 99.28 108.9 106.285 2.61523 2.4015
1980 103.64 113 109.529 3.4713 3.07194
1981 108.77 114.5 111.009 3.49072 3.04867
1982 113.96 118.4 114.344 4.05551 3.42526
1983 121.72 112.4 118.482 -6.0819 5.41094
1984 133.33 120.6 122.149 -1.54888 1.28431
1985 144.78 127.1 126.998 0.101834 0.0801211
1986 148.39 133 131.477 1.52261 1.14482
1987 150.9 139.8 138.761 1.03908 0.743265
1988 154.36 151.9 152.722 -0.821732 0.540969
1989 157.19 166.3 170.303 -4.00303 2.40711
1990 161.86 176.7 175.76 0.9403 0.532145
1991 164.54 178.4 179.138 -0.737635 0.413472
1992 166.7 187.2 184.487 2.71267 1.44908
1993 165.2 189.4 188.272 1.12779 0.595455

[Tr mot so nam (1965, 1967, 1972 va 1983), tat ca cac sai so pha n tram tuyet oi eu nho hn 5 phan
tram. That ra, hau het ca c gia tr nay e u nho hn 2 pha n tram. Cu ng nh vay, so sanh vi mo hnh
thong ke tuyen tnh co R bnh phng hieu chnh bang 0,855, mo hnh cuoi cung na y co gia tr tng
ng la 0,988.]

} 6.8 Quan he tuyen tnh-logarit (hay la mo hnh ban logarit)

Tat ca cac quan he phi tuyen c thao luan trc ay co bien phu thuoc Y xuat hien di
dang tuyen tnh. Ch co nhng bien oc lap phai trai qua moi s bien oi. Cung se lu y la,
mac du chung ta s dung log va bnh phng cua cac bien oc lap, cac mo hnh eu tuyen tnh
theo cac he so. Bay gi, chung ta khao sat mot vai mo hnh trong o bien oc lap xuat hien
dang bien oi.
Gia s chung ta co mot bien P tang vi mot toc o khong oi. Cu the hn, at P
t
= (1 +
g)P
t 1
, vi g la toc o tang trng khong oi gia thi oan t 1 va t. P co the la dan so va g
la toc o tang dan so. Bang cach thay the lap lai ta co P
t
= P
0
(1+g)
t
. S dung d lieu ve P
t
,
chung ta muon c lng toc o tang trng g. Moi quan he nay khong co dang tuyen tnh
thuan li a c dung trong cac phan trc. Tuy nhien, co the chuyen quan he nay thanh
dang tuyen tnh c. Lay logarit cua hai ve (va dung Tnh chat 6.1), chung ta co lnP
t
= lnP
0

+ t ln (1 + g). at Y
t
= lnP
t
,

X
t
= t,
1
= lnP
o
va
2
= ln (1 + g). Khi o, moi quan he co the
c viet lai nh sau Y
t
=
1
+
2
X
t
. V Y va X co le khong thoa man mot cach chnh xac moi
quan he, chung ta cong them mot so hang sai so u
t
, lam cho moi quan he giong vi mo hnh
hoi qui n gian cua Phng trnh (3.1). Mo hnh bien oi tr thanh

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Phng phap phan tch
Bai oc
nh ac trng mo hnh

lnP
t
=
1
+
2
t + u
t
(6.3)

Lay ham so mu phng trnh nay, ta co mo hnh goc la

P
t
= e
1
+
2
t + u
t
(6.4)

Phng trnh (6.4) la mot quan he ham so mu va c minh hoa trong Hnh 6.8. Can lu
y la so hang nhieu trong Phng trnh (6.4) co the tang len gap nhieu lan. Phng trnh (6.3)
la tuyen tnh khi bien phu thuoc dang logarit. Vi ln P
t
thuoc truc tung, cong thc tr thanh
phng trnh ng thang. Bc au tien e c lng toc o tang trng (g) la chuyen cac
quan sat P
1
, P
2
, , P
n
bang cach s dung phep bien oi logarit v vay chung ta co Y
t
= ln P
t
. Ke
en chung ta hoi qui Y
t
theo mot so hang khong oi va thi gian t. Chung ta co

ln P
0
=
^
1
va ln (1 + g) =
^
2

Giai c g va P
0
, ta co

P
^
0
= e
^
1
va g
^
= e
^
2
1 (6.5)

} Hnh 6.8 Ham Dang Ham So Mu
P
t
0
t
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Phng phap phan tch
Bai oc
nh ac trng mo hnh


Bat ky gia thuyet nao ve g eu co the the hien ( co mot so ngoai le khong ang ke) thanh
mot gia thuyet tng ng theo
2
. Do bien phu thuoc c bien oi dang log, mo hnh nay
c goi la mo hnh tuyen tnh-logarit, hoac oi khi con goi la mo hnh ban logarit. Neu
mo hnh nay c viet di dang ln P
t
=
1
+
2
X
t
+ u
t
,
2
la tac ong bien te cua X len ln P
t

khong phai len P
t
.
2
c goi la toc o tang trng tc thi. Lay ao ham hai ve theo X
t

(xem Tnh chat 6.2 ve ao ham), ta co

2
=
d(ln P
t
)
dX
t
=
1
P
t

dP
t
dX
t
(6.6)

So hang dP
t
/P
t
co the c dien dch nh la thay oi cua P
t
chia cho P
t
. Khi nhan vi 100,
2

cho phan tram thay oi cua P
t
tren mot n v thay oi cua X
t
. e tnh o co gian cua P theo X,
xem Bang 6.1.
Lay gia tr ky vong cua hai ve phng trnh (6.4), ta co

E(P
t
) = e
1
+
2
t
E(e
u
t
) (6.7)

Co the thay la E(e
u
t
) = e
2
/2
1, va do o neu chung ta d bao P
t
bang cach dung bieu thc
e
1
+
2
t
, gia tr d oan se thien lech, khong nhat quan va khong hieu qua. Bieu thc phu hp
trong trng hp nay la

P
^
t
= exp[
^
1
+
^
2
t + (
^
2
/2)] (6.8)

vi
^
2
la phng sai mau cua cac so ha ng sai so va exp la ham so mu. P
^
t
la mot c lng
nhat quan cua E(P
t
).
Can co mot ieu chnh tng t trong Phng trnh (6.5) v E(e
^
2
) = e
2
+ [Var (
^
2
)/2]
. Do
o, mot c lng khong thien lech cua g c tnh bi

g
~
= exp[
^
2
1/2 Var (
^
2
)] 1

Co the co c mot khoa ng d bao hieu chnh cua P
t
. Trc ay, chung ta a nh ngha
Y
t
= ln (P
t
). at Y
^
t
la d bao cua ln(P
t
) trong mo hnh tuyen tnh logarit va s
t
= s(Y
^
t
) la sai so
chuan c c lng tng ng. Vay, khoang tin cay cua Y
t
la Y
^
t
t
*
s
t
, vi t
*
la iem tren
phan phoi t sao cho P(t > t
*
) = mot na cua mc y ngha (tham khao Phan 3.9 ve cac khoang
tin cay cua d bao). Lay ham so mu (ngha la ngc vi lay log) va hieu chnh e thien lech
giong nh trong Phng trnh (6.8), chung ta co khoang tin cay hieu chnh cho viec d bao P
t

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Phng phap phan tch
Bai oc
nh ac trng mo hnh

la exp[Y
^
t
t
*
s
t
+ (
^
2
/2)], vi
^
2
la phng sai mau cua cac so hang sai so. Can ch ra la
khoang tin cay nay se khong oi xng qua P
t
= exp[Y
^
t
+ (
^
2
/2)]. Tham khao Nelson (1973,
trang 161-165) e thao luan them ve cac d bao iem va cac khoang tin cay cua chung khi
bien phu thuoc c bien oi sang log.

} V DU 6.5
Mo hnh tuyen tnh-logarit c s dung rong rai trong ly thuyet ve von nhan lc trong o ly
thuyet cho rang logarit cua thu nhap hoac lng c s dung nh la mot bien phu thuoc. e
phat trien ly thuyet nay, gia s la ty suat li nhuan cua mot nam hoc tap them la r. Vay, oi
vi thi oan th nhat, lng w
1
= (1 + r)w
0
. oi vi hai nam hoc tap cong thc nay la w
2
=
(1+ r)
2
w
0
. oi vi s nam, chung ta co w
s
= (1 + r)
2
w
0
. Lay logarit, chung ta co (tham khao
Tnh chat 6.1c).

ln(w
s
) = s ln(1+ r) + ln(w
0
) =
1
+
2
s

V vay chung ta co mot quan he tuyen tnh-logarit gia lng va so nam hoc tap. Cung
ly luan tng t oi vi so nam kinh nghiem. Tuoi cua mot nhan vien co ve nh co mot loai
tac ong khac. Chung ta ky vong thu nhap thap khi mot ngi con tre, va lng se tang khi
ngi nay tuoi cang ln hn, nhng thu nhap lai giam sau khi ve hu. Tng quan dang ng
cong loi nay co the c kiem nh bang mot cong thc bac hai vi AGE va AGE
2
. e tong
quat hoa, chung ta co the muon kiem nh xem ho c van va kinh nghiem co cung mot dang tac
ong bac hai khong. V vay, mot mo hnh tong quat co dang nh sau:

ln(WAGE) =
1
+
2
EDUC +
3
EXPER +
4
AGE
+
5
EDUC
2
+
6
EXPER
2
+
7
AGE
2
+ u (6.9)

DATA6-4 cha d lieu ve lng thang, hoc van tnh bang so nam sau lp tam, kinh
nghiem tnh bang so nam va tuoi cua mau gom 49 ca nhan. Trc tien chung ta c lng mo
hnh tuyen tnh-logarit trc o nhng lai tm c mot so cac he so hoi qui tuyen tnh khong
co y ngha. Nh trc ay, chung ta thc hien viec n gian hoa tap d lieu bang cach loai bo
cac bien lan lt moi lan mot bien (xem Bai Thc hanh May tnh phan 6.7 e tnh lai cac ket
qua nay) en khi cac tr thong ke chon mo hnh tr nen xau hn. Cac ket qua mo hnh cuoi
cung c trnh bay ay vi tr thong ke t trong dau ngoac.

ln(WAGE) = 7,023 + 0,005 EDUC
2
+ 0,024 EXPER (6.10)
(76,0) (4,3) (3,9)
R
2
= 0,33 d.f. = 46
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Phng phap phan tch
Bai oc
nh ac trng mo hnh

Ca trnh o hoc van bnh phng va kinh nghiem eu rat co y ngha mc di 0,001. Y
ngha cua he so kinh nghiem 0,024 la, gia hai nhan vien co cung trnh o hoc van, neu ngi
nao co nhieu hn mot nam kinh nghiem so vi ngi con lai th se c ky vong la co lng
cao hn, trung bnh khoang 2,4 phan tram (xem Phng trnh 6.6 cho phan dien dch nay).
Lu y la EDUC co tac ong bac hai vi tac ong bien te tang theo trnh o hoc van. Tuy
nhien, khong nen qua xem trong cac ket qua nay v phep o o thch hp kha thap ngay ca oi
vi tap d lieu cheo. Ro rang can thc hien nhieu cong viec na trc khi chung ta co c
nhng con so chnh xac. Chung ta se nhac lai mo hnh nay trong nhng chng sau va se co
nhieu ket qua ang tin cay hn.

Tansel (1994) co mot ng dung rong rai mo hnh lng dang logarit. V vay can nghien
cu mo hnh nay can than.

} BAI TAP THC HANH 6.8
S dung d lieu trong DATA6-4, c lng ca mo hnh tong quat trong Phng trnh (6.9) va
mo hnh cuoi cung trong Phng trnh (6.10). Thc hien mot kiem nh Wald s dung hai mo
hnh nay. Hay phat bieu gia thuyet khong va gia thuyet ngc lai va ket luan cua ban di
dang van viet.
Gia s lng c tnh bang hang tram ola. Viec nay se anh hng en cac he so hoi
qui nh the nao? Neu co bat ky he so nao thay oi, hay viet lai cac gia tr mi trong Phng
trnh (6.10)

Tnh tac ong bien te (dY/dX) va o co gian (X/Y)(dX/dY) cua mo hnh lnY =
1
+
2
X +
3
X
2

+ u

Tnh tac ong bien te va o co gian cho mo hnh lnY =
1
+
2
X +
3
(XZ) + u.

Xet mo hnh tuyen tnh logarit lnY =
1
+
2
X +
3
Z +
4
X
2
+
5
XZ + u, vi X va Z la cac bien
giai thch. Tm mot bieu thc ai so cua o co gian cua Y theo X. Hay trnh bay cach ban s
dung kiem nh Wald e kiem tra xem cac so hang phi tuyen X
2
va XZ co y ngha thong ke
hay khong.

} 6.9 So Sanh Cac Gia Tr R
2
Gia Cac Mo Hnh

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Phng phap phan tch
Bai oc
nh ac trng mo hnh

Trong V du 6.5, neu chung ta a s dung WAGES nh bien phu thuoc thay v logarit cua bien
nay, R
2
hieu chnh se la 0,338. V R
2
cua mo hnh tuyen tnh-logarit la 0,333, nh vay co phai
la mo hnh tuyen tnh t nhieu tot hn ve mc o thch hp? Cau tra li la chac chan khong,
bi v that la khong ung khi so sanh cac gia tr R
2
khi ma cac bien phu thuoc la khac nhau.
Trong trng hp tuyen tnh, mo hnh giai thch 33,8 phan tram thay oi cua Y, trong khi trong
trng hp tuyen tnh-logarit, mo hnh giai thch 33,3 phan tram thay oi trong ln(Y). e s
so sanh la hp ly, cac bien phu thuoc phai giong nhau.
Tuy nhien, co mot cach so sanh o thch hp bang cach th sai. Cac bien trong trng hp
tuyen tnh-logarit nh sau:
Bc 1 c lng mo hnh tuyen tnh-logarit nh cach lam thong thng va tnh c gia tr
thch hp cho mo hnh ln(Y).
Bc 2 T nhng gia tr nay, tao gia tr trung bnh c lng cho Y bang cach phep tnh
nghch cua logarit, va bao am la thien lech hieu chnh nh trong Phng trnh (6.8).
Vay, chung ta se co

Y
^
t
= exp[ln(Y
t
) + (
^
2
/2)] (6.11)

Bc 3 Tnh bnh phng cua tng quan gia Y
t
va Y
^
t
. Tng quan nay co the so sanh c
vi R
2
hieu chnh cua mot mo hnh tuyen tnh.
Bc 4 Tnh tong bnh phng sai so va phng sai cua phan d bang cach s dung cac moi
quan he

ESS = (Y
t
Y
^
t
)
2
va
^
2
=
ESS
n k

Bc 5 Dung ESS, tnh cac tr thong ke la chon mo hnh oi vi mo hnh m i. Cac tr thong
ke nay co the so sanh c vi cac tr thong ke cua mo hnh tuyen tnh.

} V DU 6.6
S dung d lieu trong DATA6-4 va mo hnh tuyen tnh-logarit c c lng trong V du 6.5,
chung ta a tien hanh cac bc nay va a tnh ai lng R
2
mi va cac tr thong ke la chon
mo hnh (xem chi tiet trong Bai thc hanh may tnh 6.8). Ket qua tm c la R
2
bang 0,37,
ln hn rat nhieu so vi gia tr nay trong mo hnh tuyen tnh. Tat ca cac tr thong ke la chon
mo hnh cua mo hnh tuyen tnh-logarit eu thap hn so vi mo hnh tuyen tnh. V vay, theo
cac tieu chuan nay, mo hnh tuyen tnh-logarit co u the hn mot chut.

} 6.10 Mo hnh Log-hai lan (hay Log-Log)

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Phng phap phan tch
Bai oc
nh ac trng mo hnh

Mo hnh Log-hai lan (hay Log-Log) rat pho bien trong c lng cac ham san xuat cung nh
ham nhu cau. Neu Q la so lng au ra cua mot qua trnh san xuat, K la so lng von au vao
(so gi may), va L la so lng lao ong au vao (so gi nhan cong lao ong), th tng quan
gia au ra va au vao la phng trnh ham san xuat viet nh sau Q = F(K,L). Mot ac trng
chung cua dang ham nay la ham san xuat Cobb-Douglas, rat noi tieng trong ly thuyet kinh te
vi mo. Ham nay co dang tong quat sau:
Q
t
= cK
t
L
t

vi c, va la nhng thong so cha biet. Lay logarit hai ve (xem Tnh chat 6.1) va them vao
so hang sai so, chung ta co c ham kinh te lng (
1
= ln c):

ln Q
t
=
1
+ ln K
t
+ ln L
t
+ u
t

Neu chung ta ch thay oi K nhng gi L khong oi, th chung ta co (s dung Tnh chat 6.2c)
=
(ln Q)
(ln K)
=
(1/Q) Q
(1/K) K
=
K
Q

Q
K

100(lnQ) = 100Q/Q la phan tram thay oi theo Q. Do o, la phan tram thay oi cua Q
chia cho phan tram thay oi cua K. ay la o co gian cua au ra theo von. Tng t nh
vay, la o co gian cua au ra theo lao ong. V vay, cac he so hoi qui trong mo hnh log-
hai lan n gian la cac o co gian tng ng, co gia tr khong oi. Lu y, v tnh chat nay, cac
gia tr bang so cua cac he so cua cac bien oc lap khac nhau th co the so sanh c trc tiep.
Bang 6.3 tom tat dien dch cua cac he so ho i qui trong cac mo hnh co logarit cua cac bien.

} Bang 6.3 Dien dch Cac tac ong bien te trong cac mo hnh lien quan en Logarit

Mo hnh Dang ham so Tac ong bien te Dien dch
Tuyen tnh Y =
1
+
2
X Y =
2
X Mot n v thay oi
trong X se lam Y thay
oi
2
n v
Logarit-tuyen tnh Y =
1
+
2
lnX
Y =
2
100

\
|
.
|
|
100
X
X

Mot phan tram thay
oi trong X se lam Y
thay oi
2
/100 n v
Tuyen tnh-logarit lnY =
1
+
2
X
100
X
X
= 100
2
X
Mot n v thay oi
trong X se lam Y thay
oi 100
2
phan tram
logarit-hai lan ln Y =
1
+
2
ln X
100
Y
Y
=
Mot phan tram thay
oi trong X se lam Y
thay oi
2
phan tram
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Phng phap phan tch
Bai oc
nh ac trng mo hnh

2
\
|
.
|
|
100
X
X

Chung ta co the co c ket qua thu v t mo hnh nay. Gia s so lng von va lao ong
au vao tang gap oi. Luc nay au ra la

Q
1
= c(2K)
(2L)
= 2
+
Q

Neu + = 1, Q
1
= 2Q. V vay, au ra cung se tang gap oi neu + = 1. ay la ieu
kien rat pho bien ve li nhuan khong oi theo qui mo. Neu cac o co gian c lng la
^
+
^

> 1, chung the hien li nhuan tang theo qui mo, va
^
+
^
< 1 cho thay li nhuan giam theo
qui mo. Mot kiem nh thong thng oi vi li nhuan khong oi theo qui mo rat thu v. Gia
thuyet khong la H
0
: + = 1 va gia thuyet oi la H
1
: + 1. Trong Phan 4.4, chung ta phat
trien ba kiem nh cho cac gia thuyet lien quan en to hp tuyen tnh cua cac he so hoi qui.
e ap dung Phng phap 2, nh ngha
2
= + 1. Theo gia thuyet khong,
2
= 0. Giai
c , chung ta co =
2
+ 1 . Thay vao mo hnh, ta co
lnQ
t
=
1
+ lnK
t
+ (
2
+ 1 ) lnL
t
+ u
t

=
1
+ (lnK
t
lnL
t
) + lnL
t
+
2
lnL
t
+ u
t

Mo hnh nay khong the c lng c nh dang tren v so hang lnL
t
khong co he so. e
c lng, cac bien nh vay phai c chuyen sang ve ben trai. V vay, ta co

LnQ
t
lnL
t
=
1
+ (lnK
t
lnL
t
) +
2
lnL
t
+ u
t

at Y
t
= lnQ
t
lnL
t
, X
t1
= lnK
t
lnL
t
, va X
t2
= lnL
t
, mo hnh tr thanh

Y
t
=
1
+ X
t1
+
2
X
t2
+ u
t

e c lng mo hnh, chung ta bien oi cac bien ban au e tao ra cac bien mi va sau o
hoi qui Y
t
theo mot so hang khong oi, X
t1
va X
t2
. Kiem nh can oi vi li nhuan khong oi
theo qui mo ch n gian la mot kiem nh t ve he so cua X
t2
.

+

Mo ta cac bc thc hien mot kiem nh tng t s dung Phng phap 1 va 3 c mo ta
trong Phan 4.4

Gia nh ve li nhuan khong oi theo qui mo van c gi; ngha la + = 1. Theo gia thie t
nay, hay mo ta bang cach nao co the c lng c ham san xuat Cobb-Douglas.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh


V Du Thc Nghiem: Mot Ham San Xuat Nong Nghiep
Carrasco-Tauber va Moffitt (1992) a c lng mot ham san xuat loai Cobb-Douglas lien he
gia tr cua san lng nong nghiep ( dang log-hai lan) vi lao ong, at, nha, may moc thiet
b, cac au vao khac, phan bon va thuoc tr sau. Sau o, ho a s dung ham san xuat c
lng e tnh san lng bien te an (c anh gia bang trung bnh hnh hoc) cua moi loai au
vao nong nghiep. D lieu nam 1987 cua cac tieu bang My, tr Alaska va Hawaii. Tat ca
cac bien tnh bang hang ngan ola moi nong trai, tr lao ong tnh bang ngan ngay tren moi
nong trai. Mo hnh c lng c cho ay, vi cac tr thong ke t trong ngoac n.

Ln Q = 4,461 + 0,227 ln(lao ong) + 0,159 ln (at & nha)
(2.11) (2,12) (2,01)
+ 0,274 ln(may moc thiet b) + 0,402 ln(cac au vao khac)
(2,42) (8,55)
+ 0,082 ln(phan bon) + 0,136 ln (thuoc tr sau)
(0,85) (2,00)
Tr o co gian cua phan bon, cac au vao khac co y ngha thong ke mc 5 phan tram.
Cac san pham bien te c lng oi vi cac au vao la $44,54 moi ngay oi vi lao ong,
$0,04 cho moi ola at va nha, $1,25 cho moi ola may moc, $1,29 cho moi ola cua cac au
vao khac, $4,91 cho moi ola phan bon va $5,66 cho moi ola thuoc tr sau. Cac tac gia a
c lng mot so mo hnh thay the bang cach s dung dang ham so khong c thao luan
trong chng nay va a thu c cac ai lng san lng bien te khac nhau oi vi mot so au
vao. Cac oc gia quan tam co the tham khao chi tiet trong cac bai bao cua nhng tac gia nay.

} 6.11 ng Dung: c Lng o Co Gian Cua Giao Thong Bang Xe Buyt

V mo hnh log-hai lan cho cac he so hoi qui co o co gian khong oi, ay la mot ham rat
thong dung trong c lng ham nhu cau. Chung ta minh hoa mo hnh log-hai lan bang cach
xem lai cac yeu to quyet nh cua giao thong bang xe buyt a tm hieu trong Phan 4.6. Tap d
lieu trong tap tin DATA4-4, va Bai thc hanh may tnh Phan 6.9 co hng dan e tnh toan cac
ket qua c trnh bay ay.

Mo hnh cung vi tat ca cac bien giai thch se co he so khong y ngha ( mc 10%) oi vi
logarit cua FARE, GASPRICE, POP, DENSITY, va LAND AREA, trong o log cua ham mat
o dan so t co y ngha nhat (ngha la co gia tr p cao nhat). Khi bien nay c loai bo ra ngoai
va mo hnh c c lng lai th he so oi vi ham INCOME, POP, va LANDAREA tr nen
co y ngha mc di 0,001. Nguyen nhan chu yeu ve mat ly thuyet cho s thay oi nghiem
trong nay la do giam tnh a cong tuyen va lam tang bac t do ket h p vi mot mo hnh nho
gon hn co the cai thien c o chnh xac cua cac he so. Chung ta tiep tuc loai bt nhng
bien khac ma he so cua chung khong co y ngha cho en khi ch con lai nhng he so co y
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

ngha ma thoi. Nh trong trng hp tuyen tnh, ln(FARE) cung b loai bo. Mo hnh sau ay la
mo hnh cuoi cung vi sai so chuan e trong ngoac n (khong giong nh tr thong ke t thong
thng):

ln(BUSTRAVL) = 45,846 4,730 ln(INCOME) + 1,820 ln(POP)
(9,614) (1,021) (0,236)

0,971 ln(LANDAREA)
(0,207)
d.f = 36

Mot cau hoi thu v khac c neu ra la bien du lch bang xe buyt co tnh chat co gian hay
khong co gian. Neu gia tr bang so cua o co gian nay thap hn 1 (bo qua dau) th chung ta co
the ket luan rang bien s dung xe buyt la khong co gian. Neu no cao hn 1 th co ngha la bien
co tnh co gian. Gia thuyet khong chnh thc se c ap dung oi vi he so nay va gia thuyet
ngc lai se co tnh hai pha. Tr thong ke kiem nh oi vi moi bien co gian la

4.73 1
1.021
= 3.65
1.82 1
0.236
= 3.47
0.971 1
0.207
= 0.14

T bang tra t c trnh bay mat trong cua trang ba au, chung ta co gia tr ti han vi
bac t do 36 va mc y ngha 0,002 (oi vi kiem nh hai pha) nam gia 3,307 va 3,385. V tr
thong ke t oi vi he so cua bien thu nhap va dan so tnh toan c cao hn khoang nay nen
chung ta co the ket luan rang tnh co gian cua cac bien so tren la co y ngha. Tuy nhien, ngc
lai th he so oi vi bien dien tch at la khong khac 1, ngay ca vi mc 0,8 (gia tr ti han
nam trong khoang 0,225 va 0,256 va gia tr bang so cao hn gia tr quan sat c). Trong
trng hp nay, chung ta co the ket luan rang bien dien tch at co tnh chat co gian n v.

Thc hien kiem nh Wald tng t nh bai tap thc hanh 6.8

} 6.12 Nhng Mo Hnh Khac *

Mo Hnh Logit *
Trong vai trng hp, bien phu thuoc co the nhan gia tr gia 0 va 1. V du ta co the lien he
gia phan so cua so ngi bo phieu cho mot v tong thong nao o vi cac yeu to quyet nh
cua no. Mot cach khac, co the lien he gia phan so cua so ngi mua xe hi trong mot thi
oan xac nh nao o vi cac yeu to quyet nh cua no. Neu mot mo hnh hoi quy thong
thng nao o c s dung trong nhng trng hp nh vay th khong co g co the bao am
609 0
2
, = R
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

rang gia tr d oan trc se nam trong khoang 0 va 1. e bao am khong xay ra nhng trng
hp nh vay, ngi ta thng ap dung mot dang ham nh sau (c goi la ng cong
Logistic):

u X
P 1
P
ln + + =
(

trong o P gia tr cua bien phu thuoc nam trong khoang 0 va 1. Mo hnh nay thng c goi
la mo hnh Logit. Rut P t phng trnh tren (bang cach lay ham so mu lan th nhat hai ve
phng trnh), ta co

) u X (
e 1
1
P
+ +
+
=

De dang nhan thay rang, neu gia tr > 0 th P se tien en gia tr 0 khi X -, va gia tr
1 khi X . V the, gia tr P khong bao gi vt ra khoi pham vi [0, 1]. ng cong Logistic
se co hnh dang nh trnh bay trong hnh 6.9. ng cong nay cung c s dung e khp vi
dang ng cong tang trng. V du, doanh so ban hang cua mot san pham mi (nh tivi co o
net cao) co the tang nhanh trong thi gian au nhng sau o giam dan roi ngng han. Mo hnh
Logit c c lng da tren cach tnh hoi quy cua ham ln[P/(1 - P)] theo mot hang so va
bien X.
Nhng mo hnh di dang nh vay c m rong va phan tch ay u hn chng 12.

Phep bien oi Box Cox *
Trong mo hnh sau ay, ngi ta a s dung phe p bien oi c goi phep bien oi Box Cox
[xem Box and Cox (1964)]:

u
1 X 1 Y
+
+ =

} Hnh 6.9 o Th ng Cong Logistic

Y
1
0
X
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh


Co the chng minh c rang khi gia tr = 0 th mo hnh co the rut gon bang dang log hai
lan ln Y = + ln X + u. Trong trng hp = 1, chung ta co c mo hnh dang tuyen tnh Y
1 = + (X - 1) + u hay Y =
*
+ X + u, trong o
*
= - + 1. Khi nhan cac gia tr
khac, chung ta se co c mo hnh phi tuyen tnh. Mo hnh nay co the c lng bang thu tuc
c lng thch hp nhat bang cach s dung chng trnh toi u hoa phi tuyen tnh. o th ham
so se co nhieu dang mot cach linh ong, va ngi ta co the kiem nh vi bang 0 hay bang 1,
hay vi cac gia tr khac. Neu biet trc c pham vi gia tr cua t 1 en +1, chung ta co
the chon mot gia tr cho va dang cac bien mi la Y
*
= (Y
1)/ va X
*
= (X
1)/. Sau o
chung ta hoi quy Y
*
theo bien X
*
va theo cac so hang hang so va nhan c tong bnh phng
sai so. Chung ta lap lai quy trnh nay vi cac gia tr khac nhau cua va chon ra gia tr nho
nhat trong so cac ket qua tong bnh phng sai so. Quy trnh do tm nay co the thc hien bang
chng trnh hoi quy tuyen tnh ma khong can en chng trnh hoi quy phi tuyen tnh. Phan
m rong cho phng phap nay la s dung ang thc X
*
= (X
1)/, th ket qua vi cac gia tr

va (t -1 en +1), va chon ra to hp ma cho ket qua tong bnh phng sai so ESS la nho
nhat.
Muon biet them chi tiet ve phep bien oi Box Cox, xin tham khao tac gia Kim va Hill
(1993), Showalter (1994) va tac gia Wooldridge (1992).

Tnh Phi Tuyen Trong Cac Thong So *
Chung ta a xem xet nhieu phng phap ma trong o tnh chat phi tuyen trong cac bien co the
giai quyet tng t nh trong trng hp hoi quy tuyen tnh, tc la cac bien nay se c bien
oi mot cach thch hp, va nh vay chung ta se co c mot mo hnh tuyen tnh vi he so hoi
quy cha biet. Tuy nhien, cung co nhng trng hp ma cach thc tren khong the thc hien
c. Ham Box Cox la mot v du cho trng hp ma moi quan he la phi tuyen tnh trong cac
thong so va cung khong the bie n oi thanh danh tuyen tnh ngoai tr mot vai trng ac biet
ke tren. Mot v du khac la ham san xuat cua cac bien thay the co he so co gian khong oi
(CES), c cho nh sau:

Q = [ K

+ (1 - ) L

]
/
e
u
( > 0, 0 < < 1, > 0, -1)

Trong o thong so cha biet , , , va co tnh chat phi tuyen. Chu ng ch co the xac nh
bang thu tuc c lng thch hp nhat hoac bang cac phng phap bnh phng toi thieu phi
tuyen. Tuy nhien, trong trng hp nay tac gia Kmenta (1986, trang 515) a ap dung cach tnh
bnh phng bac hai gan ung nh sau:

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

u ] L ln K )[ln 1 (
2
1
L ln ) 1 ( K ln ln Q ln
2
+ + + =

u ) L ln K (ln L ln K ln
2
4 3 2 1
+ + + + =

Gia tr c lng cua cac thong so ban au trong ham san xuat CES co the lay ket qua t gia
tr c lng cua cac .
Mac du co the de dang bien oi cac bien va a chung vao trong mo hnh nhng nen
tranh viec ap dung cac phng phap bien oi ma khong phan biet y ngha ng dung cua cac
phng phap nay. ieu can thiet la hay xem xet nhng iem ly thuyet c ban trong cac phep
bien oi va gi cho mo hnh cang n gian cang tot.

} 6.13 Phng Phap Mo Hnh Hoa T Tong Quat en n Gian Hendry/Lse

Nh a phat bieu trc ay, s hnh thanh mo hnh kinh te lng mc chap nhan c la rat
can thiet oi vi nhng ket luan rut ra t mo hnh o. Trong cac phan va chng trc, chung
ta a thao luan ve nhng tieu chuan dung e anh gia xem the nao la mot mo hnh tot. Qua
trnh au tien hnh thanh mo hnh c da tren ly thuyet kinh te. ay la nhng kien thc
rieng cua nha nghien cu ve nhng hanh vi c ban, ve nhng nghien cu khac tng t, ...v.v.
Nha phan tch cung co the co nhng y kien tong quan ve cac tac ong co the cua tnh chat phi
tuyen cung nh s tng tac gia cac bien. V khong the co mo t phng phap thong nhat
chung trong viec xac nh moi quan he gia bien phu thuoc va bien giai thch, nen nha nghien
cu thng a ra cac mo hnh thay the khac va sau o thc hien hang loat cac kiem nh chan
oan cac mo hnh nay.
Trong viec anh gia xem mot mo hnh kinh te lng co c chap nhan hay khong th
dau cua cac he so hoi quy c lng la mot trong nhng ai lng rat quan trong, va ieu can
thiet la nha nghien cu phai co c nhng nhan nh ban au ve cac gia tr ky vong se nhan
c, t nhat la oi vi nhng bien quan trong. V du, gia s chung ta ang c lng cho moi
quan he cua nhu cau va ket qua co o co gian c lng ve gia la dng. ay la mot dau hieu
ro rang cho nhng ac trng sai co the co trong thanh phan xac nh hoac cau truc sai so (hoac
ca hai) va/ hoac phng phap luan kinh te lng co loi sai. Mac du gia tr
2
R la mot ai lng
rat hu dung khi dung e anh gia tnh thch hp, nhng tin tng vao ai lng nay qua mc
la mot ieu khong nen. Thong thng nhng cuoc nghien cu cheo eu cho ket qua
2
R thap
hn so vi cac nghien cu theo chuoi thi gian, trong o hau het cac bien eu cho thay xu
hng va co moi tng quan cao gia chung. Mac du gia tr
2
R thap se cho thay kha nang mot
so bien b loai bo nhng ngi ta cung khong khuyen khch chon la mot mo hnh da tren
tieu chuan cc ai gia tr
2
R .
Trong chng 4, chung ta a e cap en 8 tieu chuan chon la mo hnh nh la nhng ai
lng hu ch dung e anh gia xem mo hnh nay co tot hn mo hnh kia hay khong. Mot
tieu chuan khac na cung thng c dung e anh gia mo hnh la kha nang d bao gia tr
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

bien phu thuoc cua mo hnh. Neu gia tr d bao la mot trong nhng muc tieu quan trong oi
vi nha kinh te lng th kha nang d bao cua mo hnh can thiet phai c xem xet than trong
(xin xem them chng 11).
Trong cac phan ng dung va v du ve tnh chat phi tuyen va ve cac bien co o tre trnh
bay trong chng nay, chung ta a bat au vi mot mo hnh khong co gii han tong quat va
sau o giam i bang cach loai dan tng bien co he so y ngha thap nhat. Cach tiep can nay,
c goi la phng phap i t tong quat en n gian, c tac gia Hendry (1985) rat tan
thanh cung nh nhieu nha kinh te lng khac thuoc trng kinh te London (xin tham khao
them tac gia Hendry va Richards, 1982, 1983; tac gia Gilbert, 1986, 1989). Cach tiep can
cua ho con c goi la phng phap Hendry/ LSE. Mac du tac gia Hendry a nhan manh
en viec mo hnh hoa theo chuoi thi gian nhng nguyen ly cung co the ap dung tng t tren
d lieu cheo. Y tng c ban trong thuat ng cua tac gia Hendry la co mot quy trnh phat ra
cac d lieu (DGP) nam an di cac gia tr cua cac bien so ve kinh te va cong viec cua nha
nghien cu la dung cac ly thuyet kinh te, kha nang trc quan, va kinh nghiem cung nh thong
qua mot so kiem nh anh gia mo hnh e xem mo hnh co the cai thien c hay khong. e
lam c ieu nay, nha nghien cu se bat au vi mot mo hnh ong tong quat cho phep ho s
dung nhieu tham so hn, ngha la co nhieu o tre va bien (bao gom ca nhng so hang phi
tuyen co the co) hn nhng g ma ngi ta thng tien hanh va sau o, nha nghien cu se thc
hien phep n gian hoa da tren d lieu bang kiem nh Wald va kiem nh t. V du 6.5 va
ng dung trong phan 6.7 ve chi ph bang sang che va chi ph R&D la nhng v du cu the cho
phng phap luan nay. Trong chng 7, 9, va 10, chung ta se co nhieu v du hn ve phng
phap tiep can t tong quat en n gian. S n gian hoa mo hnh da tren d lieu dan ti ket
qua la mo hnh o co cac ac trng xuc tch hn, co ngha la mo hnh vi t thong so hn. Li
the cua ket qua xuc tch nay la (1) tang o chnh xac cho cac gia tr c lng v a lam giam
tnh a cong tuyen, (2) co nhieu bac t do hn va v the ma gia tr c lng se ang tin cay
hn, (3) nang lc kiem nh se cao hn, va (4) mo hnh n gian hn, ngi ta se de dang lnh
hoi hn la mo hnh phc tap.

} 6.14 Mo Hnh Hoa T n Gian en Tong Quat Bang Cach S Dung Kiem nh Nhan T
Lagrange

Ve mat nguyen tac th ngi ta van a thch cach tiep can t tong quat en chi tiet hn, nhng
nhng ng dung thc te thuan tuy theo phng phap nay co the em lai mot so phien toai. V
du, viec a them mot vai bien mi co tnh chat tre so vi cac bien hien tai trong mo hnh se
khien cho cac bien oc lap khac tr nen tng quan vi nhau cao hn. Nh a trnh bay trong
cac chng trc, khi mc o tng quan tr nen cao hn th viec o lng cac anh hng
rieng le cua cac bien oc lap tr nen kho khan hoac khong the c. Tng t, thong thng
th nha nghien cu se t tin hn vi mot mo hnh ac trng c ban hn la viec xay dng mot
mo hnh tong quat. e tranh nhng van e tren, viec mo hnh hoa da tren cach tiep can t
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

n gian en tong quat se c bat au t pha ngc lai vi ac trng c ban ve nhng g
ma nha nghien cu cam thay t tin va roi cau hoi at ra la lieu co nen a them bien vao trong
mo hnh hay khong. Mot cong cu chan oan thng c cac nha nghien cu s dung trong
cach tiep can nay la kiem nh vi nhan t Lagrange (LM). Tuy nhien, trc khi i sau vao
van e tren, ieu can thiet la phai co c cach nhn tong quat ay u ve nhng phng phap
khac nhau oi vi kiem nh ac trng mo hnh.
Co nhieu phng phap chnh thc c dung trong viec kiem nh gia thuyet, nhng
phng phap c dung thng xuyen nhat bao gom kiem nh bang nhan t Lagrange (LM),
kiem nh ty so thch hp (LR), va kiem nh Wald. Trong cac phan c trnh bay trc ay
th kiem nh c s dung nhieu nhat la kiem nh Wald. Trong phan nay, ngi ta se tap
trung vao kiem nh LM nh la mot phng an thay the trong viec kiem nh cac ac iem
cua mo hnh. Kiem nh LR se c thao luan them trong phan phu luc. Trong tat ca cach tiep
can tren, ngi ta a xay dng len hai mo hnh, mo hnh gii han va mo hnh khong gii han.
Mo hnh gii han c thiet lap bang cach a cac gii han tuyen tnh hoac phi tuyen tnh vao
trong cac thong so cua mo hnh va tng ng vi gia thuyet khong. Mo hnh khong gii han la
mot giai phap thay the khac. Trong cac chng trc ay, chung ta a dung phng phap
Wald e kiem nh gia thuyet gia mo hnh khong gii han va mo hnh gii han, trong o
chung ta co the bo qua mot so bien. ieu nay c trnh bay nhieu trong cac ng dung theo
chuoi thi gian va cheo. Kie m nh Wald bat au vi mot phng an thay the (mo hnh khong
gii han) va a ra cau hoi la gia thuyet khong (mo hnh gii han) co c a thch hn hay
khong. Kiem nh ty so thch hp la mot phep so sanh trc tiep gia hai gia thuyet. Nguyen ly
cua nhan t Lagrange bat au vi gia thuyet khong va hoi xem co s dch chuyen ve hng cac
giai phap a thch hn. Hay noi cach khac la thu tuc LM se xac nh c mot mo hnh n
gian hn nhng xuc tch hn va cau hoi at ra la co can thiet phai them bien mi hay khong.
V vay ma chung ta se bat au vi cach thiet lap c ban va tien hanh kiem nh viec them cac
bien mi thay v bat au vi mot mo hnh ay u va kiem nh xem co nen bo bt i mot so
cac bien hay khong. Phng phap LM th kha tong quat nen co the ap dung vao trong nhng
tnh huong khac se c mo ta trong cac chng sau. Ca hai phng phap t tong quat en n
gian va t n gian en tong quat la nhng phng phap rat hu dung va ngi ta e ngh rang
nen s dung ca hai phng phap e co c mot ket luan vng chac hn.
Co nhieu bai nghien cu e cap en kiem nh LM nh cua tac gia Aitcheson va
Silvey (1958), Silvey (1959), Berndt va Savin (1977), Godfrey (1978), Buse (1982), va cua tac
gia Engle (1982, 1984). Tat ca cac bai nghien cu tren oi hoi ngi oc phai co kien thc ve
ai so tuyen tnh. Trong chng nay, chung ta se c trnh bay mot cach tom lc cac loai
kiem nh cung vi kha nang ng dung cua chung. Mot vai ket qua ly thuyet khac cung se
c tom tat trong phan phu luc cua chng cung vi mot bang giai thch cac thuat ng ve
nhan t Lagrange va ty so thch hp. Mot s so sanh ba phng phap nay da tren cap so nhan
cung c a them vao trong phan phu luc va c dien giai bang v du n gian. Trong
chng, chung ta se xac nh cac bc can thiet e thc hien mot kiem nh LM va ng dung
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

chung vi d lieu thc te. Mac du kiem nh LM la kiem nh tren mau ln, nhng ngi ta
nhan thay no cung rat hu ch ngay ca trong trng hp so mau quan sat ch c 30. Kiem nh
Wald cung co the ap dung oi vi trng hp so mau quan sat nho. Kiem nh ty so thch hp
oi khi c ap dung cho c mau nho. Nhng iem nay se c trnh bay chi tiet hn trong
phan phu luc.
Nhng gia thuyet vi ngu y bac bo bt cac bien la trng hp ac biet cua gia thuyet
long vao nhau. dang long vao nhau, mo hnh gii han tr thanh mot mo hnh con cua mot
mo hnh khong gii han khac. Cac gia thuyet khong long vao nhau la nhng mo hnh hoan
toan khac nhau ma trong o mot mo hnh khong the tr thanh mo hnh con cua mot mo hnh
khac. V du, viec bac bo mot so bien va them mot so bien khac se hnh thanh nen mo hnh
khong long vao nhau. Trong cuon sach nay, chung ta ch tap trung vao cac gia thuyet long vao
nhau. oc gia co quan tam en kiem nh gia thuyet khong long vao nhau co the tham khao
cac bai viet cua tac gia Davidson va MacKinnon (1981, 1982) va cua Mackinnon (1983)
nhng chu y rang chung oi hoi phai co kien thc ve ai so tuyen tnh.

Kiem nh Nhan T Lagrange Khi Them Cac Bien
Thu tuc kiem nh LM se de hieu hn trong trng hp nha phan tch kinh doanh hay kinh te
muon biet co nen a them bien vao trong mo hnh hay khong (v du a cac so hang phi
tuyen tnh va so hang tng tac). Hay xem xet mo hnh khong gii han va gii han sau ay:

(R) Y =
1
+
2
X
2
+
3
X
3
+ +
m
X
m
+ u
(U) Y =
1
+
2
X
2
+ +
m
X
m
+
m+1
X
m+1
+ +
k
X
k
+ v

Trong mo hnh U, co (k m) bien mi X
m+1
,

X
m+2
, , X
k
(v du, cac bien phi tuyen tnh) a
c them vao. iem thu v gia thuyet khong nay la he so hoi quy cua cac bien them vao la
bang 0. Cac bc thc hien kiem nh LM nh sau:

Bc 1 H
0
:
m+1
=
m+2
= =
k
= 0. H
1
: trong so cac tren ton tai t nhat mot khac
khong.
Bc 2 c lng gia tr R cua mo hnh gii han
Bc 3 Thu c phan d c lng cua mo hnh nh sau

m m 3 3 2 2 1 R
X
... X
X

Y u =

Gia s cac ac trng ung thuoc ve mo hnh U; trong trng hp nay th nen a
cac bien X
m+1
, X
m+2
, , X
k
vao trong mo hnh. Cac anh hng cua chung se c
quan sat bang phan d
R
u . V vay,
R
u c xem nh co lien he vi nhng bien b
loai bo. Noi cach khac, neu chung ta hoi quy gia tr
R
u theo cac bien tren, chung ta
se co c s thch hp tot, mot ch so chng to rang t nhat co mot so bien trong so
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

X
m+1
, X
m+2
, , X
k
nen c a them vao trong mo hnh. Ly luan nay dan en bc
tiep theo.
Bc 4 Hoi quy bien
R
u theo hang so va tat ca cac bien X, bao gom cac bien trong mo hnh
gii han. ieu nay co ngha la hoi quy theo tat ca cac bien oc lap trong mo hnh
khong gii han. Chung ta se xem bc hoi quy th hai nay la hoi quy phu. Tac gia
Engle (1982) a chng minh rang, oi vi cac mau quan sat ln, c mau (n) nhan vi
gia tr R
2
khong hieu chnh trong hoi quy phu nay se co phan phoi Chi-square vi
bac t do tng ng vi so gii han trong gia thuyet khong (ieu nay c trnh
bay trong phan phu luc 6.A.3 oi vi trng hp hoi quy n). V the, trong bai toan
cua chung ta,
2
nR ~
2
m k
. Ly do a cac bien ban au vao trong hoi quy phu la e
gia tr thong ke kiem nh co c dang thuan tien. Neu ) ( nR
2 *
m k
2
>

th v tr cua
mot iem nao o tren o th phan phoi
2
m k
ma dien tch ben phai iem o bang
(), chnh la mc y ngha ma chung ta se bac bo gia thuyet khong cho rang tat ca he
so hoi quy mi eu bang khong. Mot cach khac, chung ta se tnh gia tr p =
) nR ( P
2 2
m k
>

va bac bo gia thuyet khong neu gia tr p thap hn mc y ngha. Noi
cach khac, chung ta co the ket luan rang t nhat co mot so trong cac bien mi nen
c a them vao trong mo hnh. Cac gia tr p cua moi he so rieng le cung co the
ket luan rang bien nao nen c a vao.

S Dung Hoi Quy Phu e Xac nh Cac Bien a Them Vao Mo Hnh C Ban
Hoi quy phu cung cap cac thong tin ve nhng bien mi ang c xem xet tr thanh oi tng
a them vao trong mo hnh c ban. Thc te, he so c lng va cac tr so thong ke lien quan
en cac bien mi se c a them vao trong hoi quy phu cua kiem nh LM cung giong vi cac
ai lng co c t mo hnh khong gii han hoan toan. Mo hnh khong gii han nay se c
bat au cung vi phng phap t tong quat en n gian. iem nay a c chng minh ay
u bi tac gia Ramanathan (1986) va cung c dien giai mot cach thc nghiem qua v du 6.7.
Mac du khong co mot hng dan ly thuyet ro rang nao e co the chon ra cac bien t danh sach
hoi quy phu, nhng ngi ta co the s dung mot quy tac n gian la a nhng bien nao co he
so hoi quy hoac gia tr p nho hn 0,5. Quy tac nay to ra bao thu hn quy tac ch chon nhng
bien co y ngha thc s. Nh se trnh bay trong v du 6.7 va 6.8, viec s dung tieu chuan mc y
ngha mot cach nghiem ngat se co khuynh hng bo qua cac bien co the co y ngha so vi
nhng bien co mc y ngha toi thieu b loai bo. Thu tuc nay tng ng vi viec c lng
toan bo mo hnh tong quat roi loai bo tat ca cac bien co gia tr p tng ng cao hn 0,5.

} V DU 6.7

Phng phap kiem nh LM c dien giai trc tien vi d lieu e c lng nhu cau s dung
truyen hnh cap trnh bay trong phan DATA4-8. D lieu nay thuoc dang d lieu cheo thu thap
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Phng phap phan tch
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nh ac trng mo hnh

t 40 thanh pho (cac bien c nh ngha sau ay va se c mo ta chi tiet hn trong phan
phu luc 1).

sub = so ngi ang ky tren moi he thong (tnh bang n v ngan)
home = so lng nha ma he thong i qua
inst = chi ph lap at tnh bang o la
svc = chi ph dch vu hang thang cua moi he thong tnh bang o la
tv = so lng tn hieu truyen hieu tai bi moi he thong cap
age = tuoi tho cua moi he thong tnh theo nam
air = so lng tn hieu truyen hnh t do nhan c
y = thu nhap tnh bang o la tren moi au ngi

Bang 6.4 trnh bay cac ket qua may tnh rieng phan co kem giai thch, cho oc gia thay cac
bc va mo ta. e co c toan bo ket qua, hay thc hanh bai tap may tnh phan 6.10.
Mac du cac tr thong ke kiem nh LM cho trong v du eu cho thay co y ngha, nhng
oi khi phep kiem nh cung co the cho cac dau trai ngc. iem nay se c trnh bay trong
v du tiep theo.

} Bang 6.4 Ket Qua May Tnh Rieng Phan Co Kem Giai Thch Trong V Du 6.7

[Trc tien, hay c lng mo hnh c ban bang cach hoi quy bien sub theo bien constant,
home, inst, svc, tv, age, air, va bien y. Sau o phat ra phan d u
t
. Hoi quy phu trnh bay ay
se hoi quy phan d u
t
theo cac bien trong mo hnh c ban va cong tat ca cac so hang bnh
phng cua cac bien, bieu dien di dang sq_x (v du sq_home = home
2
).]

Dependent variable: Ut

VARIABL
E
COEFFICIENT STDERROR T STAT 2Prob(t > |T|)
0) const -481.4363 264.2862 -1.822 0.080496 *
2) home 0.0339 0.0839 0.404 0.689961
3) inst 0.9184 2.1242 0.432 0.669195
4) svc 10.1055 19.1942 0.526 0.603188
5) tv -1.4180 2.6542 -0.534 0.597895
6) age -2.5507 1.4623 -1.744 0.093391 *
7) air 23.8229 5.2392 4.547 0.000121 ***
8) y 0.0829 0.0526 1.576 0.127509
9) sq_home 0.0002207 0.0002839 0.778 0.444146
10) sq_inst -0.0210 0.0655 -0.321 0.750748
11) sq_svc -0.7790 1.2854 -0.606 0.549977
12) sq_tv 0.0484 0.1017 0.476 0.637925
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13) sq_age 0.1393 0.0734 1.898 0.069252 *
14) sq_air -1.5823 0.3732 -4.240 0.000267 ***
15) sq_y -4.547e-006 2.8346e-006 -1.604 0.121287


[Tr thong ke LM = so lan quan sat nhan vi gia tr cha hieu chnh R
2
= 21,992652.]

Chi-square (7): area to right of 21.992652 = 0.002548.

[Gia thuyet khong oi vi kiem nh LM la he so cua tat ca bay bien bnh phng c a
them vao mo hnh se bang 0] (v vay, bac t do la 7). Gia tr p bang 0,002548 cho thay chung
ta an toan khi quyet nh bac bo gia thuyet khong va ket luan rang co t nhat mot vai trong
so cac bien c a them vao thuoc ve mo hnh. (S dung may tnh cam tay e kiem tra tr
thong ke kiem nh LM va thc hien kiem nh Chi-square bang cach s dung mc y ngha
1% vi bang phan phoi Chi-square).

} Bang 6.4 (Tiep theo)
Hoi quy phu se giup chung ta quyet nh nhng bien mi nao se c a them vao
trong mo hnh. Tuy nhien, ngi ta cung khong co nhng hng dan nao ve mat ly thuyet oi
vi viec chon la trong thc te. V the, chung ta se s dung quy tac tuy y la a nhng bien
mi co gia tr p nho hn 0,5 vao trong mo hnh, tng ng vi mc y ngha 50%. Quy tac
nay bao thu hn ca khi ta s dung iem ngng 10% ma chung ta s dung lau nay va no cung
c thiet ke e cc tieu hoa cac sai lech co the co t cac bien b bo qua vi nguyen nhan
khong a u bien vao trong mo hnh. Theo quy tac 0,5, tr bnh phng cua bien home, age,
air, va y c a them vao trong mo hnh c ban. ieu nay se c thc hien tiep theo ay.
Chu y rang bien phu thuoc hien tai la sub. Loi ma ngi ta hay pham phai iem nay la ieu
chnh bien u
t
nh la bien phu thuoc hoac a bien nay vao trong nhom cac bien oc lap. ieu
nay ro rang la sai va khong co y ngha.]

Dependent variable: sub

VARIABL
E
0) const -407.0791 211.7804 -1.922 0.064813 *
2) home 0.4319 0.0792 5.451 0.000008 ***
3) inst -0.1821 0.3957 -0.460 0.648969
4) svc 0.2123 1.9666 0.108 0.914822
5) tv 0.6962 0.5292 1.315 0.199029
6) age -1.0718 1.2305 -0.871 0.391149
7) air 18.1986 4.8824 3.727 0.000868 ***
8) y 0.0757 0.0476 1.591 0.122767
9) sq_home 0.0002240 0.0002689 0.833 0.411944
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Phng phap phan tch
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nh ac trng mo hnh

13) sq_age 0.1174 0.0580 2.025 0.052478 *
14) sq_air -1.5579 0.3383 -4.605 0.000082 ***
15) sq_y -4.049e-006 2.5562e-006 -1.584 0.124383

Mean of dep. Var.
Error Sum of Sq (ESS)
Unadjusted R-squared
F-statistic(11,28)
Durbin-Watson stat.
24.509
2307.1870
0.947
45.8496
1.943
S.D. of dep. Variable
Std Err of Resid. (sgmahat)
Adjusted R-squared
p-value for F()
First-order autocorr. coeff
33.537
9.0774
0.927
0.000000
0.001


SGMASQ 82.3995 AIC 105.099 FPE 107.119
GCV 117.714 RICE 144.199

Excluding the constant, p-value was highest for variable 4 (svc)

[Phan cuoi cua thu tuc la lam gon mo hnh da tren d lieu ma chung ta nhan c trc ay.
ieu nay c thc hien bang cach loai bo lien tiep cac bien co gia tr p cao nhat, nhng phai
loai bo tng bien mot. e tranh lam lan neu trnh bay qua nhieu ket qua khong can thiet nen
tren trang tai lieu nay ch a ra mo hnh cuoi cung.]


VARIABL
E
0) const -562.6761 158.0817 -3.559 0.001185 ***
2) home 0.4960 0.0283 17.525 0.000000 ***
6) age -1.5575 0.9037 -1.723 0.094460 *
7) air 17.3047 4.3410 3.986 0.000364 ***
8) y 0.1108 0.0348 3.186 0.003215 ***
13) sq_age 0.1392 0.0438 3.181 0.003251 ***
14) sq_air -1.4177 0.2919 -4.856 0.000030 ***
15) sq_y -5.948e-006 1.8798e-006 -3.164 0.003399 ***

Mean of dep. Var.
Error Sum of Sq (ESS)
Unadjusted R-squared
F-statistic(11,28)
Durbin-Watson stat.
24.509
2521.9340
0.943
74.9412
2.069
S.D. of dep. Variable
Std Err of Resid. (sgmahat)
Adjusted R-squared
p-value for F()
First-order autocorr. coeff
33.537
8.8775
0.930
0.000000
-0.051
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Phng phap phan tch
Bai oc
nh ac trng mo hnh



SGMASQ 78.8104 AIC 94.0571 FPE 94.5725
GCV 98.513 RICE 105.081

[e lam ro s tng phan gia phng phap t n gian en tong quat nay vi phng phap
Hendry/ LSE mo hnh hoa t tong quat en n gian, chung ta se c lng mo hnh tong quat
nhat bao quat c so hang tuyen tnh va bnh phng bac hai. Mot chu y thu v la cac he so
va sai so chuan cua bnh phng cac so hang them vao cung giong nh cac so hang trong hoi
quy phu trnh bay tren. Muon biet them cach chng minh ve mat ly thuyet rang tai sao
trng hp nay luon luon xay ra, hay tham khao tac gia Ramanathan (1986).]

Dependent variable: sub

VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|)
0) const -488.2440 264.2862 -1.847 0.076556 *
2) home 0.4394 0.0839 5.238 0.000020 ***
3) inst 0.3920 2.1242 0.185 0.855089
4) svc 12.1443 19.1942 0.633 0.532671
5)
6)
7)
8)
9)
10)
11)
12)
13)
14)
15)
tv
age
air
y
sq_home
sq_inst
sq_svc
sq_tv
sq_age
sq_air
sq_y
-0.6615
-1.3571
18.7117
0.0845
0.0002207
-0.0210
-0.7790
0.0484
0.1393
-1.5823
-4.547e-006
2.6542
1.4623
5.2392
0.0526
0.0002839
0.0655
1.2854
0.1017
0.0734
0.3732
2.8346e-006
-0.249
-0.928
3.572
1.608
0.778
-0.321
-0.606
0.476
1.898
-4.240
-1.604
0.805230
0.362229
0.001475
0.120423
0.444146
0.750748
0.549977
0.637925
0.069252
0.000267
0.121287

***

*
***


[Theo chien lc gian lc mo hnh da tren d lieu, chung ta lan lt loai bo cac bien co he
so khong y ngha. Mo hnh cuoi cung c xac nh theo cach nay giong nh mo hnh tm
c trc ay theo phng phap t n gian en tong quat. Nh vay, trong v du nay, hai
phng phap la tng ng. V ieu nay khong phai luc nay cung xay ra, ngi ta e ngh s
dung ca hai phng phap va thc hien kiem tra cheo. Tuy nhien, neu can phai chon mot trong
hai cach tiep can, cach tiep can Hendry/LSE thng c s dung hn v bien phap tiep can
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

nay chac chan hn va khong phu thuoc vao quy tac 0,5 chu quan khi chon cac bien t viec hoi
quy phu. Tuy nhien, trong chng 8, 9, va 10 chung ta se thay rang kiem nh LM la mot thu
tuc kiem nh cc ky manh trong nhng tnh huong khac]

}BAI TAP THC HANH 6.15
Trong v du 6.7, chung ta loai bo cac bien da tren mc y ngha cua cac he so hoi quy cua
chung. Bat au t mo hnh tong quat nhat theo phng phap Hendry/LSE va loai bo tng bien
mot nh trc ay, nhng gi lai bien thu nhap (income), ph dch vu hang thang (monthly
service charge), va ph lap at (installation fee) cho en cuoi cung bi v chung la cac so o
ve thu nhap va gia trong phng trnh ng cau va v vay co y ngha ve mat ly thuyet. So
sanh mo hnh cuoi cung thu c (ve mat tieu ch chon la va mc y ngha cua cac he so) vi
mo hnh cuoi cung bang 6.4. Ban thay nhng khac biet g? Ban se e ngh s dung mo hnh
nao e thc hien dien dch cuoi cung? Hay s dung mo hnh o e dien dch cac ket qua.

}V DU 6.8

V du minh hoa th hai nay se trnh bay cach thc ap dung kiem nh LM cho bai tap c
nghien cu v du 6.5, ngha la, trong mo hnh tuyen tnh logart ve tien lng. Bang 6.5 trnh
bay ket qua may tnh co chu thch ve trng hp nay (xem chi tiet Phan Thc Hanh May
Tnh 6.11). Gia tr R
2
khong hieu chnh cua hoi quy phu ch bang 0,079, vi tr thong ke nR
2

bang 3,86. Theo gia thuyet khong cac so hang bac hai co he so bang 0, gia tr nay tuan theo
phan phoi Chi bnh phng vi 3 bac t do. Gia tr p-value bang 0,28 cho thay rang chung ta
khong the bac bo gia thuyet H
0
mot cach an toan. ieu nay ham y rang khong mot bien mi
nao co he so co y ngha. Tuy nhien, lu y rang gia tr p-value cua he so cua bien EDUC
2
co y
ngha tai mc 7,33%, ay la mc y ngha chap nhan c. V vay, hoi quy phu e ngh bien
nay c a vao mo hnh (quy tac p-value 0,5 cung se chon bien nay va loai tat ca cac bien
con lai). Ngc lai, kiem nh nR
2
cho thay khong co bien nao can a vao mo hnh. Do o,
kiem nh LM a ra cac ket luan trai ngc nhau ve mc o quan trong cua viec them mot
bien mi vao mo hnh ban au.

} Bang 6.5 Bao Cao Co Chu Giai Mot Phan In T May Tnh Cho V Du 6.8

[c lng hoi quy phu]

VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t>,T,
0)
2)
3)
4)
7)
const
EDUC
EXPER
AGE
sq_EDUC
0.4934
-0.1576
-0.0088
-0.0008179
0.0115
0.8092
0.0864
0.0245
0.0338
0.0063
0.610
-1.824
-0.361
-0.024
1.837
0.545334
0.075224
0.719991
0.980822
0.073294

*

*
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Phng phap phan tch
Bai oc
nh ac trng mo hnh

8)
9)
sq_EXPER
sq_AGE
0.0004293
0.0000211
0.0011
0.0003814
0.384
0.055
0.703130
0.956041

Unadjusted R-squared = 0.079
Value of the LM statistic = 3.861657
Chi-square (3): area to the right of 3.861657 = 0.276796

[Lu y rang p-value cho biet khong the bac bo gia thuyet khong, nhng he so cua bien EDUC
2

co y ngha tai mc y ngha 7,33%]

Trong v du nay, phng phap t tong quat en n gian se tot hn v se tranh c s m ho.
Tuy nhien, neu chung ta s dung quy tac p-value 0,5 trong viec chon bien, hai phng phap la
nh nhau.

V du tren giai thch rang, mac du kiem nh LM la mot cong cu chan oan hu ch trong viec
xay dng mot khung phan tch t n gian en tong quat, trong mot so trng hp tnh hu ch
cua chung b han che. Tuy nhien, chung ta se thay cac chng 8, 9, va 10 rang kiem nh
LM rat manh trong nhieu tnh huong.

} 6.15 Thu Tuc RESET Ramsey e Xac nh Sai So ac Trng Hoi Quy

Ramsey (1969) e ra mot phng phap khac e kiem nh ac trng cua mo hnh. No c
goi la RESET (kiem nh sai so ac trng hoi quy). Viec ap dung thu tuc nay cung de dang
nh viec ap dung kiem nh LM c mo ta phan trc. Cac bc cua thu tuc RESET c
thc hien nh sau:
Bc 1: c lng mo hnh theo thu tuc OLS va lu cac gia tr c thch hp
t
Y
.
Bc 2: Them cac bien
2
t
Y
,
3
t
Y
, va
4
t
Y
vao mo hnh bc 1 va c lng mo hnh mi

Bc 3: Thc hien kiem nh F Wald cho viec loai bo ba bien mi trong bc 2. Neu gia
thuyet khong cho rang cac bien mi khong co hieu ng b bac bo, o chnh la dau
hieu cua sai so ac trng.

C s cua thu tuc RESET Ramsey la cac phan d c lng (
t
u ) ma ai dien cho cac tac ong
bien b loai bo co the c tnh xap x bang to hp tuyen tnh cua cac luy tha cua cac gia tr
c thch hp. Neu cac luy tha nay co cac tac ong co y ngha, th mo hnh goc c coi
nh a b ac trng sai. Tuy nhien, nhc iem chnh cua phng phap RESET la kiem nh
se khong ch ra c loai ac trng sai va cung khong gi y dang ham thch hp can s dung.
Tuy vay, kiem nh nay bo sung cho cac kiem nh Wald va LM c ng dung e kiem nh
cac tac ong ong va phi tuyen ac thu. iem nay c minh hoa trong v du di ay.

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Phng phap phan tch
Bai oc
nh ac trng mo hnh

} V DU 6.9

Trong v du 6.2, chung ta a s dung tap d lieu DATA6-1 e c lng ham chi ph trung
bnh cua mot cong ty san xuat. au tien chung ta s dung thu tuc RESET e kiem nh xem
quan he tuyen tnh a u the hien ban chat bai toan cha (xem Phan Thc Hanh May Tnh
6.12 ve cac bc e chay lai cac ket qua cua v du nay). Nh vay, chung ta hoi quy bien
UNITCOST theo so hang hang so, OUTPUT, va INPCOST, va lu cac tr c lng cua Y
( Y
). Tiep theo chung ta tien hanh hoi quy bien UNITCOST theo cac bien tren va them cac
luy tha cua tr c lng Y va thc hien kiem nh F Wald cho cac luy tha cua Y
. Tr
thong ke tnh toan F bang 3,7447, tr nay, theo gia thuyet khong la cac bien c them vao
khong tac ong en UNITCOST, co phan phoi F vi 3 bac t do t so va 14 (=20 6) bac t
do mau so. Gia tr p-value tng ng la 0,036407, co ngha rang cac he so cua cac bien
c them vao co y ngha ket hp di mc 5%. Noi cach khac, thu tuc RESET ch ra s ac
trng sai mo hnh. Trong v du 6.2, chung ta them vao so hang bac hai oi vi bien OUTPUT
va nhan thay bien o co mot tac ong co y ngha (ieu nay cung chang co g ngac nhien bi v
ly thuyet cho chung ta thay ng cong chi ph trung bnh co dang tong quat hnh ch U).
ieu nay oi hoi trc tien phai hoi quy bien UNITCOST theo mot so hang hang so,
OUTPUT, INPCOST, va OUTPUT
2
va lu cac tr c lng Y nh trc o. Sau o them luy
tha cua tr Y c lng vao lam bien giai thch va s dung kiem nh F Wald oi vi cac bien
c them vao nay. Tr thong ke F la 0,4826 vi tr p-value bang 0,7. V gia tr nay qua cao,
chung ta khong the bac bo gia thuyet khong rang cac bien c them vao khong co anh hng
en bien UNITCOST. Nh vay, phng phap RESET cho rang mo hnh cuoi cung trong V du
6.2 co the khong b ac trng sai.

Ap dung thu tuc RESET e kiem nh ac trng sai trong mo hnh cuoi cung phan bai tap v
du 6.7.

Lam tng t cho mo hnh cuoi cung trong V du 6.5

Tom Tat

Mo hnh hoi quy tuyen tnh n cung co the c s dung e giai quyet cac quan he khong
tuyen tnh, vi ieu kien la mo hnh tuyen tnh trong cac thong so. Cac dang ham khac nhau
thng c s dung la mo hnh ban logart hoac tuyen tnh-logart, quan he logart-tuyen
tnh, mo hnh logart hai lan, va phep bien oi nghch ao.
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nh ac trng mo hnh


Bnh phng va luy tha cao hn cua cac bien oc lap, hoac o tre cua cac bien, de dang
c xem xet trong mo hnh mien la cac he so hoi quy cha biet dng nh co dang tuyen tnh.
Ch can bien oi d lieu thch hp va a chung vao trong mo hnh. Tac ong can bien cua
mot bien co the c tao ra e phu thuoc vao mot bien giai thch khac thong qua cac so hang
tng tac. Mot so mo hnh khong the bien oi c ve dang co cac thong so tuyen tnh. Trong
nhng trng hp nh vay, thu tuc c lng bao gom phng phap bnh phng nho nhat phi
tuyen hoac phng phap thch hp cc ai.
Viec so sanh gia tr R
2
cua cac mo hnh se khong ung tr phi chung co cung cac bien
pha ben tay trai cua mo hnh. Neu cac bien phu thuoc khac nhau, chung ta co the s dung cac
mo hnh khac e d oan gia tr cua cung bien o va ke o tnh he so tng quan cua cac gia
tr tien oan va quan sat cua bien nay. Cac he so tng quan nay co the c so sanh vi nhau
gia cac mo hnh. Tuy nhien can lu y rang cac d bao ve mc o cua bien oc lap c tao
ra t cac mo hnh tuyen tnh-logart va logart hai lan la thien lech va khong nhat quan va can
co he so hieu chnh.
Ba phng phap thng c s dung nhat trong kiem nh gia thuyet long vao nhau -
ngha la, trong cac gia thuyet ma trong o mo hnh gii han la tap con cua mot mo hnh khong
gii han tong quat hn. o la cac kiem nh Wald, kiem nh t so thch hp (LR), va kiem nh
nhan t Lagrange (LM). Phng phap Wald (con c goi la phng phap lap mo hnh t
tong qua en n gian Hendry/LSE) lap mo hnh vi nhieu bien oc lap va cac o tre cua
chung va ke en se hoi lieu rang co loai bt mot so bien khong. Kiem nh LM lien quan en
viec lap mo hnh c ban va tiep theo la lieu co nen them bien nao khac nao mo hnh khong.
ay la phng phap t n gian en tong quat. Ca hai phng phap s dung s phan oan
va eu hu dung, tuy vao tnh huong. Kiem nh LR xem hai mo hnh tng ng.
Mac du mot cach tiem cach (ngha la, vi c mau ln) ba kiem nh nay tng ng,
kiem nh LM hu dung trong cac tnh huong tong quat hn. No cung hu dung trong viec
kiem nh cac tac ong phi tuyen va s ton tai cua cac so hang tng tac. Kiem nh LM c
tien hanh theo ba bc: (1) hoi quy bien phu thuoc theo mot nhom bien oc lap c ban, bao
gom ca so hang hang so; (2) xac nh cac phan d t thu tuc OLS c thc hien Bc (1);
va (3) hoi quy cac phan d theo tat ca cac gia tr cua X trong Bc (1), cung nh cac bien mi
(m ve so lng), ma co the gom cac so hang phi tuyen hoac tch cheo (bnh phng va tng
tac) cua cac bien oc lap.

Neu tch cua c mau (n) va R
2
khong hieu chnh t phep hoi quy phu nay (ngha la, nR
2
) ln
hn
2
m
(), iem nam tren phan phoi Chi bnh phng vi m bac t do, ve pha phai sao cho
phan dien tch la (mc y ngha), th gia thuyet khong cho rang tat ca m bien c them vao
co he so bang 0 b bac bo. Neu gia thuyet b bac bo, tr t-values trong Bc (3) se giup xac
nh cac bien co the c them vao mo hnh c ban. Ngay ca neu kiem nh nR
2
khong bac
bo c gia thuyet khong ve cac he so bang 0, tr thong ke t cua phep hoi quy phu co the gi y
rang mot so bien nen c them vao. Sau o cac bien nay co the c them vao mo hnh c
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

ban e thc hien cac tap c lng mi. Trong cac chng sau chung ta se thay rang cac
nguyen tac cua thu tuc kiem nh LM co the ap dung c trong cac trng hp tong quat hn.
Kiem nh sai so ac trng hoi quy Ramsey (RESET) cung co the c s dung e kiem
nh ac trng cua mo hnh. au tien mo hnh c c lng va cac tr c lng cua Y ( Y
)
c lu lai. Cac bien
2
t
Y
,
3
t
Y
, va
4
t
Y
c them vao mo hnh va kiem nh F ket hp c

thc hien cho cac he so. Neu cac he so la co y ngha ket hp, ay se la dau hieu cua ac trng
sai mo hnh. Tuy nhien, thu tuc nay khong xac nh ban chat cua ac trng sai. Du vay,
phng phap RESET co the la mot phng phap bo sung hu ch cho kiem nh Wald, LM va
LR ve ac trng mo hnh.

Thuat ng

Auxilary Regression
Base
Box Cox transformation
Cobb Douglas production function
Constant returns to scale
Data based simplication
Data generation process
Decreasing returns to scale
Derivative
Hoi quy phu
C s
Phep bien oi Box Cox
Ham san xuat Cobb Douglas
Li nhuan khong oi theo quy mo
n gian hoa da tren d lieu
Qua trnh phat d lieu
Li nhuan giam dan theo quy mo
ao ham
Double-log model Mo hnh logart hai lan
Dynamic model Mo hnh ong
Elasticity o co gian
Elasticity of output with respect to capital o co gian cua san lng theo von
Elasticity of output with respect to labor o co gian cua san lng theo lao ong
Exponent So mu e
Exponential function Ham so mu
General to simple approach Phng phap t tong quat en n gian
Hendry/LSE approach Phng phap Hendry/LSE
Increasing returns to scale Li nhuan tang dan theo quy mo
Instantaneous rate of growth T le tang trng tc thi
Interaction terms So hang tng tac
Lagrange multiplier (LM) test Kiem nh nhan t Lagrange (LM)
Lags in behavior o tre ve hanh vi
Likelihood ratio (LR) test Kiem nh t so thch hp
Linear-log model Mo hnh logart-tuyen tnh
Logarithmic function Ham logart
Logistic curve ng cong Logistic
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

Logit model Mo hnh Logit
Log-linear model Mo hnh tuyen tnh-logart
LSE approach Phng phap LSE
Marginal effect Tac ong can bien
Natural logarithm Logart c so e
Nested hypothesis Gia thuyet long vao nhau
Nonlinearity in parameters Tnh phi tuyen cua cac thong so
Nonested hypothesis Gia thuyet khong long vao nhau
Overparametrized Qua nhieu thong so
Parsimonious specification ac trng xuc tch
Polynomial curve-fitting Thch hp bang ng cong a thc
Reciprocal transformation Phep bien oi nghch ao
Regression specification error test (RESET) Kiem nh sai so ac trng hoi quy
Semilog model Mo hnh ban logart
Simple to general approach Phng phap t n gian en tong quat
Spurious nonlinearity Phi tuyen gia tao
Static model Mo hnh tnh
Trend-fitting Thch hp ng xu hng
Unitary elastic Co gian n v

6. A PHU LU C

CHI TIET VE CA C KIEM NH LR, WALD VA LM

Phu luc nay cung cap cac chi tiet ly thuyet ve kiem nh Wald, t so thch hp va nhan t
Lagrange. Tuy nhien, trc khi xem phan nay ban nen oc phan 2.A.3 ve nguyen tac thch
hp cc ai va phan 3.A.5 ve ng dung cua no oi vi mo hnh hoi quy tuyen tnh n. Mac du
ba kiem nh nay co the ng dung trong nhieu trng hp nhng ay chung ta van nen tap
trung vao cac van e hoi quy, ac biet la mo hnh sau ay:

y
t
= x
t
+ u
t
(6.A.1)

Nhng ch viet thng the hien cac o lech cua cac bien so vi gia tr trung bnh tng
ng. Nh a trnh bay phan 4.A.1, li ch cua cach tiep can nay la loai bo hang so. Theo s
gia nh nay, cac gia tr u tuan theo phan phoi chuan co trung bnh la 0, phng sai
2
, logarit
cua ham thch hp oi vi tap hp cac quan sat y
1
, y
2
, , y
n
va tham so cha biet c viet
nh sau (qua trnh nay tng t nh qua trnh trong phan 3.A.5).

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

( )
( )
2
2
2
2 ln ln ln
x y
n n L
t t

=

(6.A.2)

Gia thuyet khong ma chung ta ang xem xet co dang =
0
va gia thuyet ngc lai
0
.
Khi
0
= 0, ieu nay tng ng vi cau hoi lieu bien so x co thuoc ve mo hnh khong. Moi
thu tuc kiem nh c thao luan rieng re, va sau o thc hien so sanh cac phng phap ve
mat hnh hoc. Xem lai chng minh cua Buse (1982) va Engle (1982) cung nh Ramanathan
(1993) e biet chi tiet hn ve ba kiem nh nay.

6.A.1 Kiem nh T so Thch Hp

Trong thong ke, thu tuc kiem nh co ien da tren t so thch hp, ma theo nhng cum t n
gian, no c nh ngha nh t so cua gia tr ln nhat cua ham thch hp vi gia thuyet khong
b chia bi gia tr ln nhat cua no khi khong b gii han. ac biet hn, cho
la c lng thch
hp cc ai cua tham so. Ham thch hp c anh gia t nhng gia tr nay c dien at bi
L(

), bo qua
2
. Hay at ham thch hp theo gia thuyet =
0
la L(
0
). T so thch hp c
xac nh nh sau:

)
(
) (
0
L
L
=

Bi v mau so da tren mo hnh khong gii han, nen gia tr cua no khong the nho hn gia
tr cua t so. V the, 0 1. Neu gia thuyet nay ung, bang trc giac chung ta ky vong gan
bang 1. Neu cach xa 1 th LR theo gia thuyet khong khac vi LR theo mo hnh khong gii
han, o la gia thuyet ngc lai. ieu nay cho thay rang chung ta nen bac bo gia thuyet khong
neu qua nho. Kiem nh LR c thanh lap nh la mot kiem nh bac bo gia thuyet khong
neu K, vi K c xac nh bi ieu kien, theo gia thuyet khong, 0 K tng ng vi
mc y ngha (); ngha la, P(0 K| =
0
) = .
Trong mot so trng hp, vung ti han K co the chuyen sang mot hnh thc khac lien
quan en thong ke mau pho bien nh la thong ke t hay F. Trong nhng tnh huong nay, kiem
nh LR giam xuong thanh kiem nh t-, F-, hay
2
. V du cho nhng trng hp nay, ngi
oc tham khao Mood, Graybill va Boes (1974) va ca Ramanathan (1993), Chng 9. Nhng
kiem nh khac trnh bay Chng 2 co the xuat phat t nguyen tac t so thch hp. Khi
khong the chuyen sang dang thong ke khac co phan bo pho bien, th phep th tien hanh tren
mot lng mau ln thng c s dung. ieu o co the ch ra rang (xem Ramanthan. 1993,
trang 228), oi vi kch c mau ln, thong ke

) ( ln 2 - )
( ln 2 ln 2 - LR
0
L L = =
(6.A.3)
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh


co phan bo chi-square vi bac t do tng ng vi so gii han, bac t do bang 1 nh trong
v du cua chung ta. Y tng ang sau kiem nh nay co the c trnh bay mot cach hnh hoc.
hnh 6.A.1, logarit cua ham thch hp c ve khi ch co duy nhat mot tham so trong mo
hnh. Hnh ve nam ben di truc bi v log cua ham thch hp (no la mot mat o phan bo nho
hn 1) la so am. iem

tng ng vi trng hp khi ham thch hp at gia tr cc ai va

0

tng ng vi gia thuyet khong. Kiem nh LR da tren hieu so ve tung o, chnh la bang mot
na LR. Neu khoang cach theo tung o ln, gia thuyet khong b bac bo.

) ( L ln
) ( L ln
0
( L ln
LR
2
1

| V DU 6.A.1

Nguyen tac kiem nh t le thch hp c minh hoa cho kiem nh gia thuyet = 0 trong
phng trnh (6.A.1). Bang cach tien hanh nh trong Phan 3.A.5 va s dung chu thch trong
Phan 3.2, chung ta lu y rang ham thch hp khong gii han ch at cc ai khi

= S
xy
/S
xx
va
2
=
2
t
u /n = ESS/n, trong o ESS la tong bnh phng sai so. Gia tr cc ai tng ng la

| |
/2 - 2 2
2
1
) /(2 exp
2
1

n
n
t
n
e u L
|
|
.
|
\
|
=
|
|
.
|
\
|
=

Theo gia thuyet khong = 0, mo hnh tr thanh y
t
= u
t
va ham thch hp tr thanh
| | | | ) /(2 exp
2
1
) /(2 exp
2
1
) (
2 2 2

|
|
.
|
\
|
=
|
|
.
|
\
|
=
2 2
t
n
t
n
y u L

| Hnh 6.A.1 Bieu dien hnh hoc cua cac kiem nh Wald, LR, va LM
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

Ham nay cc ai khi
2
~
=
2
t
y /n = TSS/n, trong o TSS la tong bnh phng. Do vay, gia tr
cc ai theo gia thuyet khong c cho bi

/2 -
2
~
1

~
n
n
e L
|
|
.
|
\
|
=

T so thch hp la
n/2 2 2 n
)
~
/ ( )
~
/ (
/
~
= = = L L
. Tr thong ke kiem nh LR la

) - ln(1 - (ESS/TSS) ln - )
~
/ ( ln - ln 2 - LR
2 2 2
R n n n = = = =

trong o R
2
la R
2
cha hieu chnh cua mo hnh khong gii han.
oi vi nhng mau ln, LR co phan phoi chi-square vi bac t do la 1. Chung ta se bac bo
gia thuyet khong vi = 0 neu LR > K, trong o K la iem tren
2
t
ma vung ben phai cua K la
mc y ngha.

6.A.2 KIEM NH WALD

Khong giong nh kiem nh LR, s dung hieu so tung o (xem hnh 6.A.1), kiem nh Wald s
dung phep o bnh phng hieu so hoanh o. ac biet, hieu so hoanh o bnh phng (
0
)
2
, c gan trong so bi ham dang I(

), c s dung:
) ( ) - (
2
0
I W = (6.A.4)

trong o

(
=
2
2
ln
- ) (
L
E I (6.A.5)

la gia tr ky vong cua ao ham bac hai cua ham thch hp-logarit theo . o la mot phep o o
cong cua ham thch hp-logarit. Ham I c biet nh la ma tran thong tin. Thu tuc tnh toan
oi vi kiem nh nay co the c tien hanh bang cach c lng mo hnh gii han va mo hnh
khong gii han, nh a c thc hien trong Chng 4, va bang cach xay dng mot tr thong
ke F. Viec chng minh co bai ban cho kiem nh nay oi hoi ve ai so tuyen tnh. (xem
Ramanathan, 1993, trang 273-275).

| V DU 6.A.2
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

Trong trng hp hoi quy n, lu y rang

tuan theo phan bo N(

0
,
2
/S
xx
). V the,
) / )/( -
( z
0 xx
S = tuan theo phan phoi chuan, va v the z
2
la chi-square vi bac t do bang
1. V vay, thong ke kiem nh Wald tng ng vi gia thuyet khong = 0 c cho bi
2
xx
2
/ S
W = . T phng trnh (3.12) chung ta co
S
xx
=S
xy
. Chung ta cung a tm ra
S
xy
=RSS, tong bnh phng hoi quy, trong Phan 3.A.1. S dung hai ke qua nay, chung ta co

2
2
xx
1 ESS
RSS

ESS/
) S

R
nR n
n

W
= = =

Nh trong trng hp kiem nh LR, ham nay co phan phoi chi-square oi vi mau ln. Gia
thuyet khong se b bac bo neu W vt qua gia tr ti han K c rut ra trong V du 6.A.1.

6.A.3 KIEM NH NHAN T LAGRANGE

Kiem nh LM trong Chng 2 da tren ky thuat nhan t Lagrange e toi u hoa cac rang
buoc. Mo hnh gii han co c bang cach ap at ieu kien bang vi
0
. ieu nay gi y rang
chung ta toi a hoa logarit cua ham thch hp theo va
2
, vi rang buoc =
0
. Nh chung ta
a thay Phan 2.A.2, ieu nay tng ng vi cc ai hoa ln L() (
0
), trong o la
nhan t Lagrange. ieu kien ao ham bac nhat cho viec cc ai hoa la
L

ln
=

Neu gia thuyet khong =
0
la ung, c lng thch hp cc ai gii han se gan vi gia tr
c lng khong gii han. Chung ta cung lu y rang neu nhan t Lagrange, , la 0, th phng
trnh se cho gia tr c lng thch hp cc ai. Do o, nhan t Lagrange co the c dien giai
nh la gia m cua rang buoc =
0
. Neu gia cao, rang buoc nen b bac bo v khong nhat
quan vi so lieu. ieu nay chnh la ong c dan en kiem nh LM. Kiem nh LM da tren
ao ham rieng phan ( ln L)/, c biet en nh ham gia tr iem va c mo ta bi S.
Engle (1982), co c t thong ke kiem nh cho mo hnh hoi quy boi va cho thay rang kiem
nh co the c thc hien bang cach chay hoi quy phu tren cac phan d c lng cua mo
hnh gii han (cung co the xem Ramanthan, 1993, trang 276-277). Cac bc thc hien c
trnh bay trong Phan 6.14. Thong ke kiem nh LM co dang

LM = S
2
(
0
) I(
0
)
-1
(6.A.6)

Trong hnh 6.A.1, ham gia tr iem, ao ham rieng phan cua ham thch hp-logarit, chnh
la o doc cua cua o th tai
0
. Gia thuyet ngc lai tng ng vi S() = 0: co ngha la o doc
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

gan ti 0. V the, kiem nh Wald da tren hieu so hoanh o gia

va
0
trong o th, kiem
nh LR da tren hieu so tung o, va kiem nh LM da tren o doc cua ng cong
0
. Moi
kiem nh la phep o hp ly ve khoang cach gia gia thuyet khong va gia thuyet ngc lai.
Mot cach oc lap nhau, Engle (1982) va Buse (1982) a ch ra rang khi ham thch hp-logarit
la ham bac hai (nh phng trnh Phan 6.A.2), th tat ca ba thu tuc kiem nh nay eu cho
ket qua nh nhau. oi vi mot mo hnh tuyen tnh tong quat, co s bat can xng ve rang buoc
gia ba tieu chuan kiem nh. ieu nay c the hien nh sau:

W LR LM

ieu o co ngha la bat c khi nao kiem nh LM bac bo gia thuyet khong vi cac he so
zero, th cac kiem nh khac cung vay. Tng t, bat c khi nao kiem nh Wald khong bac bo
gia thuyet khong th cac kiem nh khac cung vay. Noi mot cach may moc, kiem nh LR th
rm ra nhat, tr khi chuyen oi sang kiem nh t, F, hay kiem nh
2
. Hai cach kiem nh
khac n gian hn, nh a the hien trong tai lieu.

| V DU 6.A.3
Trong trng hp hoi qui n, ham gia tr iem c cho bi

2 2

) (

ln
S
u x
x x - y
L
t t t t t
= =
=
va phng sai cua no la x
2
t
/
2
= S
xx
/
2
. Do o,

( )
2
1
t t
u x
~
S Var(S)
S
z
xx
2
2
2
2

= =

Do o, tr thong ke kiem nh LM c cho bi
( )
xx
2
2
S
~
LM
u x
t t
=
Hay xem xet hoi qui phu
t
u = x
t
+ v
t
. Lam theo cac bc giong nh v du 6.A.1, de dang co
c cac phng trnh sau:

~
, RSS ,
S

2
2
aux
xx
n
u
u x
u x
t
t t
t t
= = =
Thay the cac bieu thc nay vao tr thong ke kiem nh LM, chung ta co

( ) | | | |
2
aux aux aux
2
aux
TSS RSS RSS LM nR n u n
t
= = =

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
nh ac trng mo hnh

ieu nay tao ra ket qua a c cho trong tai lieu rang tr thong ke kiem nh LM bang so
quan sat nhan vi R
2
cha hieu chnh cua hoi qui phu. Mac du chng minh nay ch cho trng
hp hoi qui n c xem xet ay, nhng no cung ung cho mo hnh hoi qui boi tong quat.
Muon biet them chi tiet, hay xem Ramanathan (1993), trang 276-278.

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Chng trnh Giang day Kinh te Fulbright

Nien khoa 2003-2004

= khi X tien ve 0. (6.1)

< 0, giai thch cho quan he dang ch U. Mo

< 0; do o, ham san xuat se co o th nh Hnh 6.5 vi gia tr cc

1)/, th ket qua vi cac gia tr

vao mo hnh bc 1 va c lng mo hnh mi

c them vao mo hnh va kiem nh F ket hp c

tng ng vi trng hp khi ham thch hp at gia tr cc ai va

tuan theo phan bo N(

W = . T phng trnh (3.12) chung ta co

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