Chng trnh Ging dy Kinh t Fulbright 2006-2007

Cc phng php phn tch

Bi ging

Multicollinearity

Bi ging 10

1.Gii thiu
a cng tuyn trong kinh t lng

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Cc phng php phn tch

Bi ging

Nh li gi nh ban u
Gi nh CLRM (m hnh hi qui tuyn tnh c in): Cc bin c lp khng c mi quan h tuyn tnh chnh xc (exact linear relationship)

Nu iu ny xy ra th s c hin tng a cng tuyn, l hin tng cc bin c lp trong m hnh ph thuc ln nhau v th hin c di dng hm s.

V d
a cng tuyn hon ho:

X2 X3 X4 10 50 52 15 75 75 18 90 97 24 120 129 X2 v X3 c mi quan h tuyn tnh chnh xc - X3 = 5X2

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Cc phng php phn tch

Bi ging

V d (tt)
Gi s chng ta c lng hm tiu dng. Y = tiu dng, X2 = thu nhp v X3 = ca ci Y = 1 + 2X2 + 3X3 X3 = 5X2 Y = 1 + 2X2 + 35X2 Y = 1 + (2 + 53)X3

V d (tt)
Chng ta c th c lng (2 + 53) nhng khng c lng ring tng h s hi qui

Khng th c nghim duy nht cho tng h s hi qui (xem li cch tnh cc h s hi qui). Nh vy cc h s hi qui s khng xc nh c.
Sai s chun ca cc h s hi qui l mt v cng ln.

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Cc phng php phn tch

Bi ging

Multicollinearity
a cng tuyn hon ho thng rt t khi xy ra trong thc t

Tr trng hp chng ta ri vo by bin gi (dummy trap chng ta s gii thiu sau)

a cng tuyn khng hon ho thng hay xy ra trong thc t (Near collinearity) (khi cc bin c lp tng quan kh cao):

Trng hp th hai chng ta c th c lng cc h s hi qui

Tuy nhin sai s chun rt ln v v vy h s hi qui c

lng khng chnh xc, kim nh t c ngha thng k v d dng bc b gi thuyt khng

Multicollinearity
Nghin cu tnh hung

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Cc phng php phn tch

Bi ging

2. Ngun gc ca Multicollinearity

Ngun gc a cng tuyn

Do phng php thu thp d liu

cc gi tr ca cc bin c lp ph thuc ln nhau trong mu, nhng khng ph thuc ln nhau trong tng th V d: ngi c thu nhp cao hn khuynh hng s c nhiu ca ci hn. iu ny c th ng vi mu m khng ng vi tng th
Trong tng th s c cc quan st v cc c nhn c thu

nhp cao nhng khng c nhiu ca ci v ngc li.

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Cc phng php phn tch

Bi ging

Ngun gc Multicollinearity
Dng hm m hnh:

V d: hi qui dng cc bin c lp c bnh phng (dng hm) s xy ra a cng tuyn v c bit khi phm vi gi tr ban u ca bin c lp l nh.

Cc bin c lp v m c quan st theo d liu chui thi gian

V d: Nhp khu quc gia ph thuc vo GDP v CPI (cc ch s ny c thu thp t d liu chui thi gian). Gii thch a cng tuyn theo ngha v m?

3. H qu ca Multicollinearity

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Cc phng php phn tch

Bi ging

H qu
a cng tuyn hon ho

Chng ta khng th c lng c m hnh Cc phn mm my tnh s bo cc tn hiu sau

Matrix singular: ma trn khc thng m my tnh khng th thc hin c khi c lng cc h s hi qui Exact collinearity encounted: trng hp a cng tuyn hon ho (chnh xc)

H qu
H qu khi c a cng tuyn khng hon ho

(1) c lng OLS vn BLUE

c lng khng chch: trung bnh cc c lng t mu lp li s hi t n gi tr c lng ca tng th. Phng sai ca h s c lng vn t minimum nhng khng c ngha nht thit l nh so vi gi tr ca c lng

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Cc phng php phn tch

Bi ging

H qu thc tin
(2) Sai s chun ca cc h s s ln.

Khong tin cy ln v thng k t t ngha. Cc c lng khng tht chnh xc. Do chng ta d i n khng c c s bc b gi thit khng v iu ny c th khng ng.

H qu thc tin
(3) R2 rt cao cho d thng k t t ngha

Ti sao h s xc nh li cao?
Khng c nhiu nhng bin i khc bit gia cc bin s c lp v chng thc s c mi quan h vi nhau

D dng bc b gi thuyt khngca thng k F v cho rng m hnh c lng c ga tr

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Cc phng php phn tch

Bi ging

H qu thc tin
(4) Cc c lng v sai s chun
ca c lng rt nhy cm vi s thay i ca d liu

Ch cn mt s thay i nh trong mu d liu s ko theo s thay i ln cc h s c lng. Bi v cc h s c lng cha ng nhng mi quan h mnh gia cc bin c lp

V d
Xem kt qu c lng hm tiu dng:

Y = 24.77 + 0.94X2 - 0.04X3 t (3.67) (1.14) (-0.53) R2=0.96, F = 92.40 X2 : thu nhp X3 : ca ci R2 rt cao gii thch 96% bin i ca hm tiu dng

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Cc phng php phn tch

Bi ging

V d

Khng c bin c lp no c ngha (thng k t qu thp). C mt bin sai du. Gi tr thng k F rt cao dn n bc b gi thuyt khng v cho rng m hnh c lng c ngha.
Bin thu nhp v ca ci tng quan rt mnh vi nhau do khng th no c lng c tc ng bin chnh xc cho thu nhp hoc ca ci ln tiu dng.

V d
Thc hin hi qui X3 theo X2

Hi qui tiu dng theo thu nhp:

X3 = 7.54 + 10.19X2 (0.26) ( 62.04) R2 = .99 Hu nh chng ta c a cng tuyn hon ho gia X2 v X3 Y = 24.45 + 0.51X2 (3.81) (14.24) R2= 0.96

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Cc phng php phn tch

Bi ging

V d

Bin thu nhp tr nn c ngha thng k, nhng trc lc trong m hnh u th khng c ngha. Y = 24.41 + 0.05X3 t (3.55) (13.29) R2 = 0.96 Bin ca ci tr nn c ngha thng k, nhng trc lc trong m hnh u th khng c ngha.

Tng t hi qui thu nhp Y theo ca ci:

4. Nhn dng Multicollinearity

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Cc phng php phn tch

Bi ging

Cc phng php nhn bit

(1) R2 cao v thng k t thp. (2) Tng quan tuyn tnh mnh gia cc bin c lp

Xy dng ma trn h s tng quan cp v quan st nhn din mnh ca cc tng quan tng cp bin s c lp Xt v ngha kinh t cc bin c kh nng tng quan cao

Cc phng php nhn bit

(3) Thc hin hi qui ph Hi qui gia mt bin c lp vi tt c cc bin c lp vi nhau v quan st h s R2 ca cc hi qui ph Thc hin tnh thng k F
F = [R2/(k-1)] /[(1-R2)/(n-k)] k s bin c lp trong hi qui ph Nu F > F* th chng ta c th kt lun rng R2 khc khng theo ngha thng k v iu ny c ngha l c a cng tuyn trong m hnh.

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Cc phng php phn tch

Bi ging

Cc phng php nhn bit

(4) Tha s tng phng sai (Variance inflation factor-VIF)

VIF = 1/(1-rij2) rij2 l h s tng quan gia hai bin c lp trong m hnh. Khi rij tng lm VIF tng v lm tng mc a cng tuyn
Rule of thumb >= 10 c hin tng a cng tuyn gia hai bin c lp trong m hnh

5. Cc gii php khc phc a cng tuyn

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Chng trnh Ging dy Kinh t Fulbright 2006-2007

Cc phng php phn tch

Bi ging

Rules of Thumb: b qua a cng tuyn

B qua a cng tuyn nu t > 2 B qua a cng tuyn nu R2 ca m hnh cao hn R2 ca m hnh hi qui ph. B qua a cng tuyn nu mc tiu xy dng m hnh s dng d bo ch khng phi kim nh.

Cc gii php nu xt nghim ngt a cng tuyn

B bt bin c lp.

V d: b bin ca ci ra khi m hnh hm tiu dng. iu ny xy ra vi gi nh rng khng c mi quan h gia bin ph thuc v bin c lp loi b m hnh.
Nu l thuyt khng nh c mi quan h vi bin d nh loi b th vic loi b ny s dn n loi b bin quan trng v chng ta mc sai lm v nhn dng m hnh (specification error)

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Cc phng php phn tch

Bi ging

Cc gii php
B sung d liu hoc tm d liu mi

Tm mu d liu khc hoc gia tng c mu

Nu mu ln hn m vn cn multicollinearity th vn c gi tr v mu ln hn s lm cho phng sai nh hn v h s c lng chnh xc hn so vi mu nh.

Cc gii php
Thay i dng m hnh

M hnh kinh t lng c nhiu dng hm khc nhau. Thay i dng m hnh cng c ngha l ti cu trc m hnh

S dng thng tin hu nghim priori information

S dng kt qu ca cc m hnh kinh t lng trc t c a cng tuyn V d: chng ta c th bit tc ng bin ca ca ci ln tiu dng ch bng 1/10 so vi tc ng bin ca thu nhpi ln tiu dng.

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Cc phng php phn tch

Bi ging

Gii php

V d: 3 = 0.10 2
Chy m hnh vi iu kin tin nghim. Y = 1 + 2X2 + 0.10 2X3 + e

Y= 1 + 2X trong X = X2 + 0.1X3
3

Khi c lng c 2 th suy ra tin nghim trn.

t mi quan h

Gii php
S dng sai phn cho cc bin ca m hnh

Sai phn lm cho vn a cng tuyn c th nh i Quay tr li v d hm tiu dng.

Thu nhp v ca ci c mi quan h kh cht ch v do khng trnh khi a cng tuyn

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Chng trnh Ging dy Kinh t Fulbright 2006-2007

Cc phng php phn tch

Bi ging

Gii php

Chng ta mun c lng

Yt = 1 + 2X2t + 3X3t+ et

ng vi t-1
Yt-1 = 1 + 2X2t-1 + 3X3t-1+ et-1

Ly sai phn cc bin theo thi gian

Yt-Yt-1= 2(X2t-X2t-1)+ 3(X3t-X3t-1)+vt

Gii php

iu ny c th gii quyt vn a cng tuyn v a cng tuyn xy ra t bn thn cc bin c lp ch khng xy ra t sai phn cc bin ny. Tuy nhin c th vi phm gi nh chun v sai s ngu nhin.

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Cc phng php phn tch

Bi ging

Gii php
Kt hp d liu cho v d liu chui thi gian

V: Nghin cu cu xe hi v ch c d liu chui thi gian.

lnY = 1+ 2lnPrice+ 3lnIncome +e

Y s xe hi bn ra.

Thng thng gi v thu nhp tng quan mnh vi nhau theo thi gian nn chc chn m hnh c a cng tuyn khi s dng chui thi gian

Gii php
Gi s chng ta c d liu cho

Chng ta c th c lng co dn theo thu nhp khi s dng d liu cho. Cn co dn theo gi chng ta phi tm t chui d liu theo thi gian Y = 1 + 2lnP + e Khi Y = lnY - 3lnIncome Y i din cho s xe hi bn ra sau khi loi tr tc ng ca thu nhp Cn c vo 3 cho trc chng ta c lng c co dn cu xe hi theo gi nhng khng c hin tng a cng tuyn Tuy nhin chng ta phi gi nh rng, co dn t chui thi gian v t d liu cho l ng nht.

c lng hm hi qui theo thi gian

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