Doko - VN 192225 Giao Trinh Kinh Te Luong

Tit 1
Chng 1
i tng v phng php ca kinh t lng
I. Khi nim v kinh t lng
Cho n nay cha c mt nh ngha v kinh t lng c mi ngi cng

chp nhn. Thut ng ting Anh Econometric c ghp t Economic c ngha
l kinh t v Metrics c ngha l o lng. Thut ng ny c xut hin vo
nhng nm 1930, do hai gio s l Ragnar Frisch v J.Tinbergen a ra (1930).
Kinh t lng c ngha l o lng kinh t. Mc d o lng kinh t l mt
ni dung quan trng ca kinh t lng nhng phm vi ca kinh t lng rng hn
nhiu. iu ny c th hin thng qua mt s nh ngha v kinh t lng nh
sau:
Kinh t lng l mn hc ch yu trong cc mn phn tch nh lng v
kinh t, n gin c th pht biu kinh t lng l mt cng c trong nghin cu
cc hin tng kinh t.
Kinh t lng c th c nh ngha nh mt mn khoa hc x hi trong
ngi ta dng cc cng c ca l thuyt kinh t, ton kinh t v thng k kinh t
phn tch cc hin tng kinh t.
Kinh t lng l mt mn khoa hc phn tch nh lng mt cch tng hp.
N khc phc c nhc im ca cc mn khoa hc nh l thuyt kinh t, thng
k, ton kinh t.
Mc d kinh t lng i t l thuyt v c xy dng cht ch nh trong khoa
hc t nhin nhng n cng quan tm ti vic xy dng v mt thc nghim i vi
cc quy lut kinh t da trn th nghim hay quan st kinh t.
Cu hi t ra l ti sao ta phi nghin cu kinh t lng? Nhng l thuyt
hoc gi thit kinh t thng pht biu di dng c tnh. V d: trong kinh t v
m ta bit rng khi cc yu t khc khng i th tng gi mt hng ho no s
lm gim lng cu ca hng ho . Nh vy, l thuyt kinh t a ra mi quan
h ngc chiu gia gi c v lng cu hng ho, y chnh l lut cu. Nhng l
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thuyt trn khng cho bit thc o ln ca mi quan h v y chnh l cng

vic ca kinh t lng.
II. Mi quan h gia kinh t lng v cc mn khoa hc
lin quan
1. Kinh t lng vi l thuyt kinh t

L thuyt kinh t thng a ra nhng nguyn l hay gi thit mang nh
tnh, khng i su nghin cu v mt lng ho cc vn kinh t .
Chng hn trong kinh t hc a ra mi quan h ph thuc ca tng cu ca
mt hng ho ph thuc vo cc yu t nh: Th hiu, k vng, thu nhp ca ngi
tiu dngv ch ra c mi quan h l cng chiu hay ngc chiu.
Cn kinh t lng da vo l thuyt kinh t nhng ng thi a ra c th
con s c lng o mi quan h. Tht vy kinh t lng s gip ta tr li cc
cu hi nh: khi thu nhp ca ngi tiu dng tng 1% hay gi hng ho tng ln 1
n v th lng cu thay i l bao nhiu?
2. Kinh t lng v ton kinh t
Ton kinh t nghin cu v a ra m hnh ton hc (v d m hnh phn nh
hm cu: Q = a + bP vi b < 0). M hnh ny c 2 nhc im:
N tuyt i ho mi quan h gia gi v lng cu.
Khng cho bit c th mi quan h gia a, b nh th no.
Cn kinh t lng ch yu quan tm n kim nh v mt thc nghim l
thuyt kinh t. V kinh t lng thng s dng cc phng trnh ton hc do cc
nh ton kinh t xut v t cc phng trnh di dng ph hp kim nh
bng thc nghim.
3. Kinh t lng v thng k
Thng k quan tm ti vic t chc thu thp ti liu, x l s liu, xy dng
biu bng. Nhng s liu ny thng s liu th i vi kinh t lng. Thng k
kinh t khng i xa hn, khng lin quan n vic s dng s liu kim tra cc
gi thuyt kinh t. Kinh t lng lun kim tra cc l thuyt kinh t thng qua cc
cng c v phng php ca thng k.
Cc s liu kinh t l cc s liu khng phi do cc cuc th nghim em li,
chng nm ngoi s kim sot ca tt c mi ngi. Cc s liu v tiu dng, tit
2
kim, gi c do cc c quan nh nc hoc t nhn thu thp u l cc s liu

phi thc nghim. Cc s liu ny cha sai s ca php o. Kinh t lng phi s
dng cc cng c, phng php ca thng k ton tm ra bn cht ca cc s
liu thng k.
III. Phng php lun ca kinh t lng
Phn tch kinh t lng bao gm mt s giai on sau:

1. a ra l thuyt hay gi thit v cc mi quan h gia cc bin s kinh t.
Chng hn kinh t v m khng nh rng mc tiu dng ca cc h gia nh ph
thuc theo quan h cng chiu vi thu nhp kh dng ca h.
2. Da vo mi quan h gia cc bin v mc tiu nghin cu xy dng
m hnh ton hc phn nh c mi quan h ny. Chng hn:
C=C0 + bY (0<b<1; C0 >0 ) y C l tiu dng ca h gia nh trong mt
thi k; Y l thu nhp ca h gia nh.
3. Thu thp s liu
4. c lng cc tham s ca m hnh kinh t lng la chn.
5. Kim nh hay trc nghim cc gi thit t m hnh.
6. D on hay d bo.
7. S dng m hnh a ra cc gi chnh sch
V d: Trng hp khi nghin cu v cu mt loi hng ho no :
Bc 1:
a ra gi thit: Lut ca cu. N c pht biu nh sau: Khi gi ca mt
hng ho tng ln vi cc yu t khc khng i th ngi mua s c xu hng mua
t i hng ho , cng nh vy khi gi (P) gim xung th lng cu (Q) s tng
ln. Hay c mi quan h ngc gia gi c v lng cu.
Bc 2:
Mi quan h gia Q v P c th l tuyn tnh v phi tuyn tnh.
Gi s: Q = B1 + B2P
Trong trng hp ny y l hm cu tuyn tnh. B1 l hng s, l gi ca Q
khi P = 0. B2 l h s gc, l s thay i ca Q v P thay i mt n v. Ta c th
gi thit B1 > 0 v B2 < 0. Trong m hnh trn th Q c gi l bin ph thuc hay
bin c gii thch. P l bin c lp hay bin gii thch.
3
Trong m hnh ton hc ta thy rng mi quan h gia Q v P l hon

ton ton hc hay chnh xc. Tuy nhin trong thc t lut cu khng phi hon
ton chnh xc nh vy. Lng cu cn chu nh hng rt nhiu ca yu t
khc. Do ngi ta a vo trong m hnh mt sai s ngu nhin u.
Q = B1 + B2P + u
M hnh trn gi l m hnh kinh t lng, c th m m hnh hi quy tuyn
tnh.
Bc 3:
La chn v thu thp d liu. D liu (s liu) c 3 loi: theo dy thi gian,
thi im v kt hp. Ti liu phi mang tnh i din v chnh xc, ln.
Bc 4:
c lng cc tham s. Vi s liu iu tra, gi s chng ta tm c m
hnh:
Q = 49,66667 - 2,15758P
Bc 5:
Kim nh cc gi thit v m hnh. Gi s chng ta cn kim nh xem m
hnh va c lng c tun th lut cu khng (ngha l h s B2 < 0). Quan st m
hnh ta thy ng nh vy. Cn trong trng hp mun kim nh xem B2 = -2 hay
khng th ta cn phi da vo cc phn b xc sut kim nh.
Bc 6:
D bo v d on. Gi s t m hnh tm c ngi bn mun tm xem
lng cu ti mc gi l 2 (2000/quyn). Thay vo m hnh, ta tm c Q =
45,35 n v. Nh vy ti mc gi P = 2 th ngi bn c th bn c 45 n v.
Bc 7:
Vi m hnh c xy dng nh vy doanh nghip cn cn nhc vic tng
gi tng doanh thu, vic lm ny s lm cho doanh thu gim i do lng cu s
gim.
C th tm tt cc bc nh sau:
1
Pht biu l thuyt

2
M hnh ho mi quan
h gia cc bin s
3
Thu thp s liu

4
c lng tham s ca
m hnh
5
Kim nh cc gi thit
6
S dng m hnh cho

d bo
7
S dng m hnh a
ra quyt nh v gi
chnh sch
Tit 2
Chng 2
Phn tch hi quy tuyn tnh gin n
I. Gii thiu m hnh hi quy
1. Khi nim v hi quy (Regression)

Phn tch hi quy l g ? Hi quy hay phn tch hi quy lin quan n vic
m t v nh gi mi quan h gia mt bin cho (thng thng gi l bin ph
thuc (dependent variable) hoc bin c gii thch (explained variable)) v mt
hay nhiu bin khc (thng thng gi l bin c lp (independent variables) hay
bin gii thch (explanatory variables). Trong lnh vc kinh t c rt nhiu hin
tng c phn nh bng m hnh hi quy.
V d: Khi nghin cu s ph thuc ca chi ph tiu dng c nhn vo thu
nhp thc t ca c nhn, ta c m hnh hi quy sau:
Yi = B1 + B 2 X + u i
(2.1)
M hnh (2.1) m t mi quan h gia chi ph cho tiu dng (Yi) v mc thu
nhp (Xi) trong m hnh trn, bin Yi - chi ph tiu dng c nhn l bin ph thuc;
bin Xi - mc thu nhp l bin c lp.
Mt v d khc, mi quan h gia lng cu hng ho (c k hiu l Yi) v
gi c hng ho (c k hiu l Xi) cng c th c m t nh m hnh (2'.1).
Yi = B1 + B 2 X + u i
(2.1')
Trong phn tch hi quy mi quan h gia bin ph thuc v bin c lp

khng phi l quan h nhn qu. Ngha l khng phi lc no bin c lp (Xi)
cng l nguyn nhn gy ra hiu ng hay s thay i ca bin ph thuc (Yi). Nu
iu xy ra th n cn c gn vi mt l thuyt kinh t c th. Gi s vi v d
th hai trn th lut cu c pht biu nh sau nu nh cc yu t khc khng
i th lng cu ca mt hng ho no ph thuc vo hay c quan h ngc vi
gi c hng ho . Ngha l h s B2 trong m hnh (2.1') s mang du m.
Mc tiu ca vic phn tch hi quy l:

+ c lng gi tr trung bnh ca bin ph thuc vi nhng gi tr ca bin
c lp cho.
+ Phn tch nh hng s thay i ca Xi (thu nhp (m hnh 2.1) hay gi c
hng ho (m hnh 2.1')) n Yi (mc chi ph tiu dng c nhn hay lng cu).
t c mc tiu ny, chng ta cn phi c lng h s B2. H s B2 chnh l xu
hng tiu dng cn bin, MPC (Marginal Propensity to Consume, m hnh 2.1)
hay s s gc ca ng cu (Slope of Demand Curve, m hnh 2.1') tc l mc
thay i bnh qun v chi ph tiu dng khi thu nhp thc t thay i mt n v
(ng Vit Nam hoc la) hay mc thay i bnh qun ca lng cu khi gi c
hng ho thay i mt n v vi cc yu t khc khng i (ceteris paribus).
+ D bo gi tr ca Y vi s thay i ca X.
+ Kim nh cc gi thit kinh t. V d chng ta kim nh gi thit i vi
m hnh (2.1') l co dn gi ca cu l -1, hay l ng cu c co dn n v.
Ngha l gi ca hng ho tng 1%, lng cu gim 1% vi cc yu t khc khng
i.
Cc mc tiu nghin cu ny phi c qun trit trong cc m hnh hi quy
v phn tch hi quy c th kt hp 1 hay cc mc tiu trn.
2. Phn bit cc mi quan h trong m hnh hi quy
a. Phn bit gia quan h chnh xc (quan h ton hc) v quan h thng k ngu
nhin.
+ Gi s chng ta c mi quan h gia X v Y di dng hm s Y = f(X)
hay Y l hm s ca bin X. y l mi quan h hon ton mang tnh cht ton
hc. Tc l ng vi mt gi tr ca X, ta c mt gi tr tng ng chnh xc ca Y.
+ Trong trng hp quan h ca X v Y c biu din di dng: Y = f(X)
+ u (trong u l sai s ngu nhin), th mi quan h ny phn nh mi quan h
thng k ngu nhin gia X v Y.
V d:
v
Y = 2500 + 100X - X2
(2.2)
Y = 2500 + 100X - X2 + u
(2.3)
Cng thc (2.2) hon ton l quan h ton hc (hay chnh xc), ngha l ng
vi mt gi tr ca X ta ch c mt gi tr duy nht ca Y.
7
0
2500
Xi
Yi
20
4100
50
5000
Cng thc (2.3) l quan h thng k ngu nhin, ngha l ng vi mt gi tr

ca X ta c mt khong gi tr ca Y. Gi s sai s u = 500, ta c gi tr ca X v
Y nh sau:
0
2000 - 3000
Xi
Yi
20
3600 - 4600
50
4500 - 5500
V chng ta c th chn gi tr ca Y l t nht 3 trong s 6 gi tr trn

0
2000
Xi
Yi
20
4600
50
5500
Nu sai s u l phn phi lin tc (phn phi chun) vi gi tr bnh qun ca

u bng 0{E(u ) = 0} v phng sai ca n bng 1, th vi mi gi tr ca X, chng ta
c mt phn phi chun cc gi tr ca Y. V vy cng thc (2.3) th hin mi quan
h thng k ngu nhin gia X v Y.
Trong phn tch hi quy, chng ta ch gii quyt mi quan h thng k ngu
nhin. V mi quan h chnh xc (ton hc) khng phi lc no cng c trong thc
t, nht l trong kinh t. S xut hin sai s (u) trong cc m hnh phn nh mi
quan h kinh t l do:
+ S mu iu tra khng miu t ton b tng th cn nghin cu.
+ M hnh hi quy c chn khng bao gm y cc bin (cc yu t)
gii thch hin tng kinh t cn nghin cu.
V d: Khi nghin cu nng sut la ph thuc vo cc yu t lao ng, phn
bn, chng ta khng a vo m hnh cc bin phn nh nh hng ca thi tit,
kh hu...
+ Sai s cng xut hin l do c sai s trong n v o hoc lm trn s.
+ S liu iu tra mu thng c sai s v s tr li thiu y v chnh xc
ca ngi c iu tra.
+ S liu iu tra t cc c quan thng k thng c sai s do ghi chp v
tnh ton.
b. Phn bit gia quan h hi quy v quan h nhn qu.

Mc d phn tch hi quy i su nghin cu s ph thuc ca mt bin vo
cc bin khc, nhng n khng c ngha l t rt ra quan h nhn qu. Mt
tng quan thng k d mnh ti u cng khng th no to ra mt mi quan h
nhn qu. Cc mi quan h nhn qu thng c suy ra t mt l thuyt ring bit
no .
V d: Nng sut cy trng trong phn tch hi quy (tng quan), chng ta
xc nh n ph thuc vo s phn b lng ma trong nm. Nhng chng ta
khng th t mi quan h suy ngc li thnh mi quan h nhn qu l s
phn b lng ma ph thuc vo nng sut cy trng.
c. Phn bit gia hi quy v tng quan
Phn tch tng quan v hi quy c mi quan h cht ch vi nhau, song c
s khc bit v mt quan nim.
Trong phn tch tng quan (correlation analysis) mc ch chnh l do mc
quan h tuyn tnh gia hai bin hoc nhiu bin. H s tng quan (correlation
coefficient) nh gi mc quan h tuyn tnh gia cc bin X v Y. Trong phn
tch tng quan khng c s phn bit gia bin c lp v bin ph thuc, c 2
bin u gi thit l 2 bin ngu nhin.
Trong phn tch hi quy (regression analysis) chng ta c lng hoc d
on gi tr bnh qun ca mt bin trn c s bit gi tr c nh ca cc bin
khc. Trong phn tch hi quy ngi ta phn bit c bin c lp v bin ph
thuc, trong bin ph thuc c gii thch l mt bin thng k ngu nhin
(statistical or stochastic variable). Tc l c mt phn phi thng k. Mt khc, cc
bin gii thch c gi thit l c gi tr c nh trong cc cch chn mu lp li.
Tm li: Hu ht l thuyt tng quan u da trn gi thit ngu nhin ca
cc bin, trong khi hu ht cc l thuyt hi quy li da vo gi thit l bin ph
thuc l bin ngu nhin c c tnh thng k (c phn phi thng k), cn cc
bin c lp li l cc bin c nh.
Tit 3
Chng 2 (tip)

II. S liu trong phn tch hi quy
* S liu s dng trong phn tch kinh t thng l s liu thu thp t cc c
quan Nh nc, cc t chc quc t, cc t chc t nhn hoc t c nhn thng qua
cc phng php iu tra khc nhau phc v cho cc mc tiu nghin cu khc
nhau.
* S liu th nghim c thu thp thng qua cc th nghim khoa hc t
nhin. Thng thng cc nh nghin cu thu thp s liu bng cch gi mt s
nhn t c nh xem xt nh hng ca mt yu t no .
* S liu thu thp t cc hot ng kinh t x hi (ngoi th nghim). S liu
ny nm ngoi s kim sot ca nh nghin cu. y l i tng ch yu ca kinh
t lng.
* Thng thng c 3 loi s liu cho phn tch kinh t lng.
1. S liu theo dy s thi gian (Time Series Data)
L cc s liu thu thp c theo thi gian (v d: tng sn phm quc dn
qua cc nm (GDP), gi c qua cc nm, vn u t qua cc nm,...). Nhng s liu
ny c th l s liu nh lng (nh: chnh sch gi, chnh sch xut khu, tnh
cht ca mt ch tiu no nh nam hay n, c vic lm hay khng c vic
lm...).
2. S liu theo dy s thi im (Cross - Section Data)
Loi s liu c thu thp ti mt thi im nht nh (v d: iu tra v
nng sut v chi ph cho sn xut la v chim 1998, hoc gi c ti mt thi im
nht nh...).
3. Tp hp dy s thi im v thi gian (Pooled Data)
Loi s liu ny c c im ca c s liu theo dy s thi gian v dy s
thi im.
10
Nu chia theo tnh cht, ta c s liu nh lng (thu thp, gi c, nng sut,
mc u t phn bn...) v s liu nh tnh (tn gio, gii tnh, mu sc, chnh
sch...).
S liu s dng cho phn tch phi m bo cc nguyn tc sau: y ,
chnh xc, hp l, v ph hp vi mc ch nghin cu.
t c cc nguyn tc trn cn ch cc vn sau:
- Chun b tt biu mu iu tra bao gm biu iu tra, ch tiu iu tra v
cc cu hi trong iu tra m bo tnh n gin, khoa hc v thun li cho c
ngi iu tra v ngi c iu tra.
- Chn s mu iu tra: S mu iu tra phi ln v i din cho tng th,
mu phi miu t c cc ni dung ch yu ca tng th, trnh sai s ln trong
chn mu.
- T chc cng tc iu tra tt: chn thi im iu tra, trnh chuyn mn
ca ngi lm cng tc iu tra, m bo tnh khch quan v chnh xc khi thu thp
s liu.
- Kim tra v chnh l s liu iu tra: S liu iu tra phi c kim tra li
pht hin nhng iu bt hp l trong qu trnh iu tra chnh l kp thi.
- S liu phi c tng hp tt trnh sai st khi tnh ton.
III. Hm hi quy tng th v hm hi quy mu
1. Hm hi quy tng th (Population Regression Function, PRF)

Tr li v d v cu mt hng ho, ta thy rng lut cu phn nh quan h
ngc chiu gia lng cu v gi c hng ho vi iu kin cc yu t khc
(thu nhp ca ngi tiu dng, s thch ca h, gi c ca cc hng ho lin
quan,...) khng i. Gi s chng ta c 1 th trn nh c lp vi 55 ngi tiu
dng (ngha l tng th ch c 55 n v) v c s li v cu mt loi s vit nh
bng 2.1.
Qua bng 2.1, ta c th thy ti mc gi Xi = 1 (n v l 1000/1 quyn) c 7
ngi tiu dng, s lng h mua dao ng t 45 n 51 quyn v lng cu bnh
qun ca 7 ngi ny l 48. Ti mc gi Xi = 4, c 6 ngi tiu dng, lng cu Yi
dao ng t 35 n 47 quyn v lng cu bnh qun ca 6 ngi ny l 42 quyn.
Tng t ta cng c s liu cho cc mc gi khc. Tm li nu vi mi mc gi Xi ta
s c s lng quyn v c tiu th s l k vng c iu kin ca Y, hay ta vit
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nh sau: E(Y/X=Xi) = (Yi P(Y=Yi/X=Xi) . Nh vy gia Xi v Yi c quan h hm

s, nh vy ta vit: E(Y/X=Xi) =f(Xi) (2.4).
T ta gi (2.4) l hm hi quy tng th, k hiu l PRF (Population
Regression Function). Hm hi quy tng th phn nh mi quan h gia gi tr trung
bnh ca cc bin ph thuc vi bin c lp. Nu hm hi quy tng th c mt bin
c lp th c gi l hm hi quy n, c nhiu hn mt bin c lp th c gi
l hm hi quy bi.
Bng 2.1. Biu cu v s vit mt th trn c lp nh sau
Gi c, Xi
(1000)
1
2
3
4
5
6
7
8
9
10
Lng cu, Yi
(quyn)
45,46, 47, 48, 49, 50, 51
44, 45, 46, 47, 48
40, 42, 44, 46, 48
35, 38, 42, 44, 46, 47
36, 39, 40, 42, 43
32, 35, 37, 38, 39, 42, 43
32, 34, 36, 38, 40
31, 32, 33, 34, 35, 36, 37
28, 30, 32, 34, 36
29, 30, 31
Tng s:
S ngi tiu
dng (ngi)
7
5
5
6
5
7
5
7
5
3
55
Lng cu Y trung
bnh (quyn)
48
46
44
42
40
38
36
34
32
30
Hm f(Xi) c dng nh th no chng ta cha bit. xc nh dng ca PRF

chng ta da vo th biu din s bin thin ca dy cc s liu quan st v X v
Y. Tuy nhin, vic xc nh dng hm cn ph thuc vo tng th v y l vn
thc nghim ta s cp phn sau.
Nhn vo th ta thy rng xu hng chung l lng cu Y gim khi X tng v
ngc li. Xu hng ny s thy r hn nu ta ch tp trung vo tr trung bnh hay k
vng ca Y. Nu chng ta v mt ng i qua cc tr ny ta s c ng hi quy tng
th (Population Regression Line - PRL). Nh vy ng PRL cho ta bit gi tr trung
bnh ca bin ph thuc (bin Y) tng ng vi mi gi tr ca bin c lp (bin X) hay
ni cch khc ng PRL cho ta bit mi quan h gia tr trung bnh ca Y lin quan vi
mi gi tr ca X nh th no. Bng m hnh ton hc ta c th biu din ng PRL c
dng tuyn tnh nh sau: E(Y | X i ) = 1 + 2 X i
12
(2.5)
Hnh 2.1. th phn tn ca tng th trnh by mi quan h

gia Lng cu v gi
55
50
PRL
45
40
35
30
25
0
10
12
Phng trnh (2.5) phn nh tr trung bnh hay k vng ca Y(E(Y | X i ))

tng ng hay iu kin mt gi tr no ca X. V d: E(Y | X i = 2) = 46 . Nh vy
ng PRL l ng i qua cc gi tr trung bnh c iu kin ca Y. Phng trnh
c biu din nh phng trnh (2.5) ngi ta gi l hm hi quy tng th (PRF).
1 v 2 c gi l cc tham s hay h s hi quy. 1 l hng s (Intercept) v 2
l h s gc (Slope Coefficient), n l thc o s thay i trung bnh ca Y khi X
thay i 1 n v.
Vi X = 1, th tr trung bnh ca Y l 48, nu ta chn ngu nhin 1 trong s 7
ngi tiu dng nhm ny, ta thy rng lng cu ca ngi khng chc
bng 48 (ngi u tiu ch c 45, ngi cui cng li l 51). Ta s gii thch nh
th no v lng cu ca tng ngi lin quan n mt mc gi no ? tr li
cu hi ny v phn nh lng cu ca tng ngi, ta s cng thm hay bt i
mt lng t lng bnh qun ca nhm . M hnh ton hc nh sau:
Yi = 1 + 2 X i + u i
(2.6)
Trong : ui l sai s ngu nhin (Stochastic or Random Error Term) hay

n gin ta gi l sai s.
13
Tit 4
Chng 2 (tip)

II. S liu trong phn tch hi quy
III. Hm hi quy tng th v hm hi quy mu
1. Hm hi quy tng th (Population Regression Function, PRF)

2. Bn cht ca sai s trong hm hi quy
Mt cch tng qut, gi s chng ta bit hm hi quy tng th E(Y/Xi).
V E(Y/Xi) l gi tr trung bnh ca bin Y bit, cho nn cc gi tr c bit Yi
xoay xung quanh E(Y/Xi). K hiu ui l chnh lch gia cc gi tr Yi v trung bnh
E(Y/Xi) ca chng, ta c:
Yi=E(Y/Xi) + ui hay Yi=f(Xi) + ui, ta suy ra ui=Yi - E(Y/Xi), v ui c gi
l yu t ngu nhin hay sai s.
Trong phn tch hi quy ta c mt s gi thit i vi sai s ui nh sau:
+ E(ui) = 0.
+ Var (ui) = E(ui)2 = 2.
+ Cov (ui, uj) = 0 vi i j.
+ Gi tr nh ca ui xut hin vi tn sut cao hn gi tr ln ca ui.
+ ui tun theo phn b chun (u ~ N (0, 2).
Sai s ng mt vai tr cc k quan trng trong phn tch hi quy, bn cht
ca sai s ui c th tm tt nh sau:
+ Sai s ui phn nh nh hng ca nhng bin khc khng c a vo
trong m hnh. Trong v d ca chng ta n c th l nh hng thu nhp ca ngi
tiu dng, gi c ca hng ho cnh tranh,...
+ Trong trng hp chng ta a tt c cc bin hp l vo trong m hnh
th mt sai s ngu nhin no vn xy ra v ta khng gii thch c. v d nh
hnh vi ca con ngi hay hnh vi ngi tiu dng trong v d trn.
+ Sai s c th phn nh sai st trong n v o hay khi thu thp d liu. V
d khi ta lm trn s.
14
+ Khi xy dng m hnh ta thng c gng lm sao cng n gin cng tt,
iu s lm cho mt bin nm ngoi m hnh. Mc d ta phn on c nh
hng ca cc bin ny. Tuy nhin nh hng cng hng ca chng c th rt nh
v n trong sai s.
3. Hm hi quy mu (Sample Regression Function - SRF)
Lm th no c lng c hm hi quy tng th PRF? Ngha l lm th
no chng ta c lng c cc gi tr ca 1 v 2 ? iu c th c nu
chng ta c d liu y ca ton b tng th nh bng 2.1. Trong thc t ta
khng th no thu thp c s liu cho ton b tng th m chng ta ch c th c
s liu ca mt mu i din cho tng th . Do nhim v ca chng ta l c
lng hm hi quy tng th PRF trn c s nhng thng tin t mu.
Hm hi quy c xy dng trn c s mt mu ngu nhin c gi l hm
hi quy mu (SRF) hay hi quy mu.
Bng 2.2: Mt mu ngu nhin th nht
Bng 2.3: Mt mu ngu nhin th 2 t tng
t tng th (bng 2.1)
th (bng 2.1)
Y
49
45
44
39
38
37
34
33
30
29
Y
51
47
46
42
40
37
36
35
32
30
X
1
2
3
4
5
6
7
8
9
10
X
1
2
3
4
5
6
7
8
9
10
Gi s s liu v biu cu bng 2.2 v 2.3 l nhng mu ngu nhin. Khc

vi bng 2.1, y ng vi mi gi tr ca X, ta cng ch c 1 gi tr tng ng ca
Y. Trn c s s liu 2 bng 2.2 v 2.3., liu chng ta c th c lng c hm
hi quy tng th PRF hay khng? Hay ni cch khc, chng ta c th c lng
PRF t s liu mu hay khng? Hay ni cch khc, chng ta c th c lng PRF
t s liu mu hay khng ? tr li cu hi trn, ta c th v ng cu t s liu
bng 2.2 v 2.3.
15
Hnh 2.2. Cc ng hm hi quy mu c ly ra t tng th
S lng
SRL2
SRL1
X
Gi c
ng vi mi mu (s liu) ta c th v c mt ng hi quy phn nh xu

hng hay quy lut ca d liu. ng ny ngi ta gi l ng hi quy mu
(Sample Regression Line - SRL). Nu ta c k mu d liu th cng c th v c k
ng SRL. Chng ta cha th khng nh chc chn l ng SRL no s i din
hon ho cho ng PRL bi v cc mu khc nhau th c bin ng v sai s khc
nhau. Biu din bng m hnh ton hc cc ng SPL, ta c th vit nh sau:
Yi = 1 + 2 X i
(2.7)
Trong :
Yi = c lng ca E(Y | X i ) hay tr trung bnh ca tng th.
1 = c lng ca 1.
2 = c lng ca 2.
M hnh (2.7) gi l hm hi quy mu (Sample Regression Function - SRF).

Nhn vo th trn ta thy rng khng phi mi im (t bng d liu) nm chnh
xc trn ng SRL. Cng ging nh hm hi quy tng th ngu nhin, ta cng c
th xy dng c hm hi quy mu ngu nhin t ng SRL. M hnh nh sau:
Yi = 1 + 2 X i + e i
(2.8)
Trong : ei l c lng ca ui v c gi l phn d (Ressidual Term), i

khi n gin ngi ta cng gi l sai s.
16
Hnh 2.3. Phng trnh Hi quy ca tng th v ca mu

Y
Lng cu
Y1
e1
= + X
SRF; Y
i
1
2
i
u1
A
PRF; E(X|Xi) = 1 + 2 Xi
Xi
Gi c
Xn
T th trn, ta c th biu din nh sau:

Yi = Yi + ei
(2.9)
Yi = E(Y|Xi) + ui
(2.10)
V pha tri im A, Yi c lng vt gi tr trung bnh ca E(Y|Xi), cn

pha phi im A, SRF c lng thp hn PRF.
Chng ta bit rng hm hi quy mu (SRF) ch l xp x hay gn ng vi
hm hi quy tng th (PRF), vy mt cu hi quan trng y l: Liu chng ta c
th tm c phng php hay c cch no lm cho s "xp x" ny nh i
khng hay ni cch khc c cch no hm hi quy mu cng gn vi hm hi
quy tng th hay khng. C th hn chng ta phi xy dng SRF th no cc
tham s c lng 1 v 2 cng gn vi 1 v 2 cng tt. Chng ta s xem xt
vn ny trong mc IV.
4. Hi quy tuyn tnh
Mt cu hi t ra l ti sao ta li gi l hi quy tuyn tnh? M hnh hi quy
tuyn tnh nh m hnh (2.6) c th gii thch ngha "tuyn tnh" bng 2 cch sau:
+ Tuyn tnh cc bin
Tr trung bnh ca bin ph thuc l hm tuyn tnh ca bin c lp nh m
hnh (2.6) v (2.7). Nhng m hnh sau khng phi l hm tuyn tnh:
E(Y) = 1 + 2 X12 hoc E(Y) = 1 + 2(1/Xi) (2.11)
Hay ni cch khc trong m hnh hi quy tuyn tnh cc bin, h s gc
(Y/Xi) l hng s, cn m hnh phi tuyn s khng c iu ny.
17
+ Tuyn tnh cc tham s:

Tr trung bnh ca bin ph thuc l hm tuyn tnh ca cc tham s, j nh
h hnh (2.6) v (2.7). M hnh sau khng phi l hm tuyn tnh:
E(Y ) = 1 + 22 X i
(2.12)
Trong chng ny v nhng chng sau, khi ni n hi quy tuyn tnh

chng ta hiu l ch xem xt nhng m hnh tuyn tnh cc tham s. Nh vy
cm t "hi quy tuyn tnh" s c ngha l tuyn tnh cc tham s j ,cn cc bin
c lp hay gii thch th c th khng tuyn tnh.
Tit 5
Chng 2 (tip)
IV. c lng cc tham s - Phng php bnh phng
nh nht (OLS)
1. t vn
Gi s chng ta c n n v mu iu tra (s quan st) v mi quan h gia X
v Y, chng ta c th xy dng c m hnh hi quy nh sau:
Yi = 1 + 2 X i + u i vi i = 1, 2, ... , n
(2.13)
y l hm hi quy tng th. Mc tiu ca chng ta l c lng cc tham

s cha bit 1 v 2 trong m hnh (2.13) t s liu mu. Ngha l chng ta phi
xc nh c m hnh:
Yi = 1 + 2 X i + e i vi i = 1,2,..., n
(2.14)
Trong : 1 v 2 l cc lng ca 1 v 2; ei l c lng ca ui.

M hnh ny phi gn vi m hnh thc (2.13). C nhiu phng php c th
c lng c cc tham s 1 v 2 (OLS, MLE). Tuy nhin ta ch xem xt
phng php bnh phng nh nht (OLS). Phng php ny da trn gi thit l
tng bnh phng cc phn d l nh nht (cc tiu) (ei2 min ).
2. Cc gi thit (assumptions)
Nh trn chng ta tho lun, kinh t lng ch gii quyt cc mi quan h
thng k ngu nhin, trong sai s ui ng vai tr quan trng trong vic xc nh
gi tr ca Y. c lng c chnh xc cc tham s trn chng ta c gi nh
(assumptions) sau:
18
(1)
K vng (hoc gi tr trung bnh) ca sai s ui l bng khng:E(ui) = 0
vi mi i . iu c ngha l vi mi gi tr ca Xi ta c cc gi tr ca Yi, cc tr
s ca Yi ny phn b quanh tr s trung bnh ca n, c gi tr bn trn v bn
di ng trung bnh ca tng th.
- iu cng c ngha l gi tr trung bnh (hoc k vng) ca hm hi quy
c c lng Y l bng vi gi tr thc ca n.
Chng minh:
E(Yi ) = 1 + 2 X i
Lng cu
E(Yi ) = E(1 + 2 X i + u i ) = E(1 ) + E( 2 X i ) + E(u i ) = 1 + 2 X i
E(Y/Xi) = 1 + 2 Xi
u1
u2
u3
u5
u4
u6
Gi c
(2) Phng sai ca sai s l mt hng s (homoscedasticity)
Var (ui) = 2 vi mi i.
- iu c ngha l sai s ui c tnh ng nht. Khi gi tr ca X tng th
gi tr ca Yi (lng cu) cng tng nhng sai s ui vn gi nguyn (bng nhau) i
vi tt c cc mc Xi (gi c).
(3) Hip phng sai gia ui v uj l bng khng (nonautocorrelation)
Cov (ui, uj) = 0 vi i j
- iu c ngha l gia sai s ui v uj khng c tng quan ln nhau
(None Autocorrelation)
(4) Dng hm s l tuyn tnh: Yi = 1 + 2 X i + u i vi i = 1, 2, ..., n.
(5) Bin c lp Xi l bin phi ngu nhin, ngha l cc gi tr ca Xi ta
bit trc.
Nm gi thit trn ngi ta gi l gi thit ca phn tch hi quy tuyn tnh
c in - CLRA (Classical Linear Regression Analysis).
19
(6) Sai s tun theo lut phn phi chun vi mi i hay ui l c lp v tun
theo phn phi chun vi gi tr bnh qun ca ui bng 0 v phng sai l 2 (ui ~
N(0, 2))
2
0
Gi thit th 6 s cho vic kim nh m hnh v cc tham s hi quy.
T nhng gi thit trn ta c th pht trin nhng ng dng l h qu ca cc
gi thit.
* Kt hp gi thit (1), (2) v (5) ta c E(u i , X i ) = X i E(u i ) = 0 ; Ngha l sai s
ui khng ph thuc vo ln ca bin X: ui f(Xi) hay Xi l bin c lp v
khng c quan h tng quan (uncorrelated) vi sai s ui.
Khi : Cov (Xi, ui) = 0 vi mi i.
* Kt hp gi thit (1), (2) v (3) ta c: E(u i ) = E(u i ) = 0 ; Ngha l gi tr
ca tng sai s ca mi mu u bng nhau.
* Var (Yi ) = E[Yi E(Yi )]
= E[Yi 1 2 X i ]
= E(u i )
= Var (u i ) = 2
Hay phng sai ca Yi chnh bng phng sai ca sai s ui.

Da trn cc gi nh trn cc tham s ca m hnh (2.13) s c c lng
thng qua m hnh (2.14).
Nu gi thit (1) khng tho mn, ngha l E(ui) 0.
Gi s E(ui) = 0. T m hnh tng th:
Yi = 1 + 2 X i + u i vi i = 1, 2, ..., n
Ta cng v tr v phi ca phng trnh mt lng nh nhau l .

Yi = ( 1 + ) + 2 X i + (u i ) vi i = 1,2,...,n
V E(u i ) = E(u i ) E( ) = = 0
20
Nh vy nu gi thit (1) khng tho mn th ta s xy dng c m hnh

mi vi hng s khc vi m hnh c v c k vng ca sai s bng khng (0).
Tit 6
Chng 2 (tip)
3. Ni dung ca phng php bnh phng nh nht (Ordinary Least
Squares, OLS)
Phng php da trn gi thit rng c c lng ng (khng chnh) cc
h s phn nh mi quan h hi quy th tng sai s (phn d) ca hm c lng
phi l thp nht.
T m hnh mu: Yi = 1 + 2 X i + e i vi i = 1, 2,...n
(2.15)
Ngha l chng ta phi la chn (tm) hai h s 1 v 2 cc tiu ho tng

bnh phng phn d hay sai s (residuals, ei)
Q = i e i2 = i Yi 1 2 X i
min
(2.16)
Trong Q l tng bnh phng cc phn d hay sai s ei. (2.16) c cc

tiu, th iu kin cn l o hm ring ca n theo 1 v 2 phi bng khng. Nh
vy:
(
= 2 (Y
)
X )( X ) = 0
Q/1 = 2 i Yi 1 2 X i ( 1) = 0
(2.17)
Q/ 2
(2.18)
Phng trnh (2.17) v (2.18) c 2 n s, chng ta c th gii tm 1 v

2 . T 2 phng trnh trn ta c th vit nh sau:
i Yi = n1 + 2 i X i
(2.19)
i Yi X i = 1 i X i + 2 i X i2 (2.20)
H phng trnh (2.19) v (2.20) c gi l h phng trnh chun tc

1
n
t: X = i X i ;
Y=
1
i Yi
n
Phng trnh (2.19) v (2.20) s c bin i thnh:

nY = n1 + n 2 X
(2.21)
1 = Y 2 X
(2.22)
21
Thay 1 = Y 2 X (phng trnh 2.22) vo phng trnh (2.20) ta c:
i Yi X i = Y 2 X i X i + 2 i X i2 = Y i X i 2 X i X i + 2 i X i2
i Yi X i Y i X i = 2 ( i X i2 X i X i )
(2.23)
Gii phng trnh trn:

i X i Yi Y i X i
i X i2 X i X i
(2.24)
X Y nX Y
Hay 2 = i i 2i
2
(2.25)
2 =
i X i nX
Trong mt s sch (hoc ti liu) h s 2 c tnh theo cng thc sau:

2 =
i (Yi Y )(X i X )
(2.26)
i (X i X )
Cng thc (2.24) v (2.26) l nh nhau. n gin ta c th vit i = . Ta

c th bin i bng cch bin i (khai trin) cng thc (2.26) sang (2.24) hoc t
cng thc (2.24) , ta bin i t s v mu s (cng hoc tr i mt khi lng Y
v cng hoc tr i mt lng X).
2 =
=
i (Yi Y )(X i X )
i (X i X )
Yi X i YX i XYi + X Y
X 2XX i + (X )
2
i
Yi X i nY X
y chnh l cng thc (2.25).
X i2 nX 2
iu kin nh phng trnh (2.17) v (2.18) ch l iu kin cn (2.16)

cc tiu hoc cc i. Tuy nhin, (2.16) cc tiu th iu kin l o hm bc
hai phi ln hn khng (0). Chng ta ly o hm ring bc hai theo 1 v 2 c
ma trn nh sau:
2 Q/12
2

Q/ 2 1
2 Q/ 2 1 2n
=
2 Q/ 22 2 X i
2 X i
2 X 12
iu kin l ma trn trn phi l ma trn c nh ngha dng, ngha l

cc s hng trn hai ng cho ca ma trn v nh thc ca n phi dng. Nhn
vo cc s hng ca ma trn, ta thy chng u dng. Ta cn xt nh thc ca
chng:
D = (2n ) 2 X i2 (2 X i )(2 X 1 ) = 4n(X i2 ) 4n( X ) = 4n( X i X ) D > 0

2
22
V d: T s liu v cu mt loi s vit bng 2.2 (s liu ca mu), ta c

th tm cc tham s 1 v 2 nh sau:
Xi
Yi
X i2
XiYi
Yi - Y
Xi - X
49
49
-4.5
11.2
20.25
-50.4
45
90
-3.5
7.2
12.25
-25.2
44
132
-2.5
6.2
6.25
-15.5
39
16
156
-1.5
1.2
2.25
-1.8
38
25
190
-0.5
0.2
0.25
-0.1
37
36
222
0.5
-0.8
0.25
-0.4
34
49
238
1.5
-3.8
2.25
-5.7
(Yi -
Y )2
(Xi - X ) (Yi - Y )
33
64
264
2.5
-4.8
6.25
-12
30
81
270
3.5
-7.8
12.25
-27.3
10
29
100
290
4.5
-8.8
20.25
-39.6
55
378
385
1901
82.5
-178
(hng cui cng l tng s)

Tnh cc s trung bnh: X =
55
378
= 5.5 ; Y =
= 37.8
10
10
2 = (1901 - 10 * 5,5 * 37,8)/(385 - 10 * 5,52)
= - 2,15758 hay 2 = - 178/82,5 = - 2,15758

1 = 37,8 - (- 2,15758) * 5,5 = 49,66667
Tit 7
Chng 2 (tip)
4. Mt s c tnh ca hm hi quy
a. ng hi quy c lng i qua im trung bnh ca mu tc im (Y, X )
Y = 1 + 2 X
(2.27)
b. Gi tr bnh qun ca cc gi tr Yi c c lng t hm hi quy (tc l Y i )

cng chnh bng gi tr bnh qun ca gi th thc t Y .
=Y
Y
(2.27a)
c. Gi tr bnh qun ca phn d hay sai s bng khng
=0
(2.27b)
23
d. Phn d (sai s) ei khng c tng quan vi Xi.

Nu ei khng c tng quan vi Xi : Cov (Xi, ei) = 0
Cov(X i , e i ) =
(X i X )(e i e i )
(n 1)
= 0 Cov(X, e i ) =
(X i X )e i X i e i Xe i
=
(n 1)
(n 1)
Ta bit: e i = 0 X i e i = 0
e. Phn d (sai s) ei khng c tng quan vi Yi c lng
,e = 0
Cov Y
i
i
(2.28)
5. Cc c tnh ca cc tham s c lng

S dng phng php bnh phng nh nht (OLS) ta c lng c cc
tham s ca m hnh hi quy. Tuy nhin ta cng c nhng phng php khc
c lng tham s 1 v 2. Cc tham s c lng t phng php OLS l cc c
lng tuyn tnh khng chch tt nht.
nh l Gauss - Markov : Vi cc gi thit ca phn tch hi quy tuyn tnh
c in (Classical Linear Regression Analysis - CLRA), cc tham s c lng t
phng php OLS l cc c lng tuyn tnh khng chch tt nht (BLUE).
a. Cc tham s c lng l hm tuyn tnh ca Yi
T cng thc (2.24) v (2.26):
2 =
i X i Yi Y i X i i (Yi Y )(X i X )
=
2
i X i2 X i X
i (X i X )
Hay:
2 =
i x i yi
vi x i = (X i X ) v y = (Yi Y )
i x i2
t: c i =
xi
2 = i c i y i (2.29)
i x i2
Ta bit rng Xi l bin c nh (bin phi ngu nhin), do ci l hng s

ngha l ci khng phi l bin ngu nhin. Nh vy 2 (cng thc 2.29) l c
lng tuyn tnh.
b. c lng ca cc tham s l c lng khng chch (unbiasedness)
iu c ngha l gi tr trung bnh (k vng) ca tham s c lng l
gn vi gi tr thc ca n.
24
E( 2 ) = 2
Chng minh: t m hnh tng th
Yi = 1 + 2Xi + ui v cng thc (2.26):
2 =
i (Yi Y )(X i X )
i (X i X )
i (X i X )Yi i (X i X )Y
i (X i X )
i (X i X )Yi
1 { i (X i X )}+ 2 { i (X i X )X i }+ i (X i X )u i
i (X i X )
i (X i X )( 1 + 2 X i + u i )
i (X i X )
i (X i X )
Ta bit rng: i (X i X ) = 0
(2.30)
V: i (X i X )X i = i (X i X )
(2.31)
Do : 2 = 2 + i c i u i
(2.32)
Chng ta ly k vng 2 v phng trnh:
( )
E 2 = E( 2 ) + E( i c i u i )
= 2 + i c i E(u i )
(2.33)
= 2
Ta kt lun rng tham s c lng 2 l c lng khng chch ca 2.

c. Tham s c lng l tt nht hay phng sai (Var ( 2 )) l nh nht:
Phng sai ca cc tham s l nh nht gia cc loi tham s hay tham s
c c lng l tt nht.
Variance ln hn
Variance nh hn
Chng minh: Theo phng php bnh phng nh nht ta c :
( ) [
( )]
Var 2 = E 2 E 2
Bi 2 l c lng khng chnh nn E( 2 ) = 2. Nh vy:

25
( ) (
Var 2 = E 2 2
(2.34)
Ta gi li phng trnh (2.32): 2 = 2 + i c i u i hay 2 2 = c i u i

Bnh phng 2 v phng trnh trn :
= (c i u i )
= c12 u 12 + c 22 u 22 + ... + c 2n u 2n + 2c1c 2 u 1 u 2 +

+ 2c 2 c 3 u 2 u 3 + ... + 2c n 1c n u n 1 u n
= in c i2 u i2 + 2 in 1 j=i +1n c i c j E (u i u j )
Vy: Var ( 2 ) = E in c i2 u i2 + 2 in 1 j=i +1 c i c j u i u j

n
Bi v Xi l bin phi ngu nhin, do ci v cj cng l bin phi ngu nhin

hay hng s:
( )
( )
Var 2 = in c i2 E u i2 + 2 in 1 j=i +12 c i c j E (u i u j )
T gi thit ca CLRA:
( )
E (u i , u j ) = 0
Var (u i ) = E u i2 = 2 ;
Do : Var ( 2 ) = c i2 2 = 2 c i2
Ta bit rng: c i =
(2.35)
( )
2
xi
1
2
=
c
=
Var
2
i
i x i2
x i2
x i2
(2.36)
T nh ngha: x i2 = (X i X )2
( )
2
nVar (X )
Xi X
v Var(X ) =
n
Nh vy: Var 2 =
(2.37)
chng minh Var( 2 ) l nh nht trong cc c lng t cc phng php

khc nhau. Ta gi s rng 2 l tham s c lng t cc phng php khc.
Tham s 2 cng c cc c tnh l tuyn tnh v khng chch. Nh vy t cng
thc:
2 = c i Yi Ta cng s c 2/ = q i Yi = 1 q i + 2 q i X i + q i u i
Ly k vng 2 v phng trnh trn:
( )
E ' 2 = E( 1 q i ) + E( 2 q i X i ) + E(q i u i )
Nu 2 ' l khng chch, ngha l q i X i = 1 v q i = 0

26
Nh vy: ' 2 = 2 + q i u i
Hay Var ( ' 2 ) = 2 q i2
Gi s v i = q i c i q i = c i + v i
( )
2
Var ' 2 = 2 (c i + v i )
= 2 (c i2 + v i2 + 2i v i )
Vi ci v vi l 2 bin ngu nhin, vy c i v i = 0
( )
Var ' 2 = 2 c i2 + 2 v i2
= Var + 2 v 2
( )
Var ( ) Var ( ' ), ngha l Var( ) l nh nht.
2
Hay
i vi tham s 1 ta cng c th chng minh tng t:

E( 1 ) = 1
( )
Var 1 =
2 X i2
n(X i X )
(2.38)
Hay:
( )
2 X i2
Var 1 =
n x i2
=
2 X i2
n 2 Var (X )
(2.38')
(2.38'')
Ta c th tm tt cc c im ca tham s c lng nh sau:

Phng sai nh nht
Tham s c lng
(estimated parameter)
(best estimator)
(Linear)
BLU
c lng khng chch

(unbiasedness)
Ngoi ra ngi ta cng c thm cc c tnh khc ca thng s c lng

hiu qu (efficiency), y (sufficiency), v n nh chc chn (consistency).
cng chnh l kt qu ca 3 c im trn.
27
Tit 8
Chng 2 (tip)
V. Phn tch phng sai v kim nh gi thit thng k
1. Phng sai v sai s chun ca cc tham s c lng

Cc tham s c lng c phn nh trong cng thc (2.22) v (2.24) l
nhng bin ngu nhin. Gi tr ca chng s thay i khi thay i s n v mu
(s bin ng ca mu). Nhng bin ng ny c o bng phng sai hay sai s
chun ca cc tham s c lng ny. Phng sai v sai s chun ca cc tham s
c lng t cng thc (2.22) v (2.24) nh sau:
Phng sai ca hng s Var( 1 ), t cng thc (2.38):
( )
X i2
Var 1 =
. 2
2
n x i
(2.39)
(Lu : trong cng thc bao gm c k hiu x nh v X ln)

Sai s chun ca hng s se( 1 ):
( )
( )
se 1 = Var 1
(2.40)
Phng sai v sai s chun ca h s gc ( 2 ), t cng thc (2.36)
( )
2
Var 2 =
x i2
( )
( )
se 2 = Var 2
(2.41)
(2.42)
Trong 2 l phng sai ca sai s ui, 2 c c lng t cng thc sau:

2 = 2 = S2 = (e i2 )/ (n 2 )
(2.43)
2 l c lng ca 2 (ta s dng ^ ch c lng). (n - 2) l bc t do
(chng ta c th tnh c ei ch khi Yi c lng c tnh. Khi tnh Yi c

lng chng ta phi c lng 1 v 2 . c lng c 2 tham s ny chng
ta mt i 2 bc t do v ta c n quan st, do vy bc t do l n - 2)
2. c lng khong tin cy v kim nh gi thit thng k cho tham s
Nh chng ta bit, c lng khong tin cy v trc nghim gi thit
thng k l 2 vn chnh ca l thuyt thng k c in. L thuyt c lng bao
gm 2 phn.
28
- c lng im: c lng gi tr ca cc tham s bng phng php

OLS.
- c lng khong tin cy.
a. c lng khong tin cy:
Gi s chng ta c m hnh hi quy:
Yi = 49,666671 2,15758X i
y h s 2 = 2,15758 l c lng im. Cu hi t ra l c ng 2 =

-2,15758 hay khng? v 2 = -2,15758 tin cy mc no?
Ta bit rng do c s bin ng v s lng mu, mt c lng im ( 2 )
c th khc vi gi tr thc cn c lng (2) mc d E( 2 ) = 2.
Trong thng k ta c th xc nh tin cy ca c lng 2 thng qua
vic xc nh xc sut m gi tr ca h s nm mt khong no xung quanh
im c lng. chnh l khong tin cy.
Nu 2 l gn ng vi 2 mt mc no ta c th tm ra hai s dng
v trong khong [0, 1] sao cho xc sut ca khong ngu nhin [ 2 - , 2 +
] c cha gi tr thc 2 l (1- ). Tc l:
P 2 2 2 = (1 )
P = xc sut
khong ny gi l khong tin cy.

l mc ngha thng k, c tnh bng %.
(1 - ) l mc tin cy (confidence level), c tnh bng %.
2 - l gi tr tin cy pha di.
2 + l gi tr tin cy pha trn.
* Xy dng khong tin cy cho cc h s ca ng hi quy

- Vic tnh ton khong tin cy ca 1 v 2 da trn nhng hiu bit v phn
phi ca 1 v 2 .
- Ta c gi thit sai s ui c phn phi chun ui ~ N (0, 2)
29
- Cc h s 2 v 2 c c lng t phng php OLS c phn phi cng

l phn phi chun vi:
( )
~ N ( , )
1 ~ N 1 , 2
v ta c Z =
( )
2 = Var 1
1
= Var 2 = 2 / x i2
( )
/ x i
( )
) ~ N(0,1)
(2.44)
y l phn phi chun c k vng bng khng v phng sai bng 1. Tuy
nhin, chng ta khng bit gi tr tht ca phng sai 2 m ch bit c lng ca
n 2 (theo cng thc 2.43). Nu ta thay phng sai tht 2 bng c lng ca n
2 vo cng thc (2.44). Khi v phi s tun theo phn b t vi bc t do l (n -
2).
t=
2
~ t (n 2 )
se
2
( )
(2.45)
Trong :
se( 2 ) l sai s chun ca 2 ; n - 2 l t do
Vi n ln, phn phi t v phn phi chun l nh nhau, khi ta s c:
(
t=
x i2
(2.46)
Gi s vi = 5%, chng ta cn la chn gi tr ca t0 tiu chun (critical

value) :
Prob( t 0 < t n 2 < t 0 ) = 0,95
(2.47)
Gi tr ca t0 thay i vi bc t do khc nhau. Chng ta thay th (2.45) vo

cng thc trn ta c:
2*
< t 0 = 0,95
Prob t 0 < 2
se 2
( )
Hay Prob( t se( ) + < < + t se( )) = 0,95
= t se( ) = t / x
0
*
2
*
2
2
i
Chng ta c th kt lun rng xc sut 2 nm trong khong
( ( 2 t 0 se( 2 )) l 95%.
30
V d: Vi s liu t bng 2.2 v kt qu t mc IV, ta s tnh c tng

bnh phng cc phn d e i2 = 8,551515 . Nh vy
( )
se( ) =
Var 2 = 2 /i2 = S 2 /i2 = (e i2 / (n 2 ))/i2 = (8,551515/8)/82,5 = 0,14472

2
2* = 2
( )
t se( ) gi s mc thng k 5%, t
Var 2 = 0,14472 = 0,1203
0
= 1,86 (df = 8)
2* = 2,15758 1,86 * 0,1203
= - 2,15758 0,223757 - 2,381337 2* - 1,933823

Tng t ta c:
( )
Var 1 =
( )
385
* 1.0689 = 0.4988
10 * 82.5
se 1 = 0,706
48,2783 1* 51,05505
Tit 9
Chng 2 (tip)
V. Phn tch phng sai v kim nh gi thit thng k
1. Phng sai v sai s chun ca cc tham s c lng

2. c lng khong tin cy v kim nh gi thit thng k cho tham s
a. c lng khong tin cy:
b. Kim nh cc gi thit
Gi s chng ta c m hnh: Yi = 1 + 2 X i + u i cu hi t ra l h s 1 v
2 c c lng c phn nh mi quan h tuyn tnh gia Y v X hay khng?
Gi tr ca 1 v 2 c gn vi c lng thc ca 1 v 2 hay khng? tr li

cu hi trn 1 v 2 phi c kim nh gi thit thng k kt hp vi vic xc
nh khong tin cy. Nu 1 v 2 l c ngha thng k th chng s c chp
nhn nh l h s phn nh mi quan h gia X v Y.
Gi thit thng k:
+ Gi thit khng (nullhypothesis): k hiu l H0.
+ Gi thit khc hay i gi thit (alternative hypothesis): k hiu l H1 hay
HA.
31
- Tng ng vi gi thit H0 ngi ta gi thit rng 2 = 0 iu c ngha

l X khng c mi quan h tng quan no vi Y c mc d c s lng mu l
bao nhiu.
- Tng ng vi gi thit H1 l 2 0 , iu c ngha l X v Y l c
mi quan h vi nhau v gi tr ca 2 l c th chp nhn c.
T cng thc: t n 2 =
2
se
2
( )
Ta c: Nu 2 = 0 th
2
= t n2
se 2
( )
kim nh gi thit 2 ui hay 2 pha, ta c:
( )
t (n 2,/2 ) 2 /se 2 t (n 2,/2 ) hay

t (n 2,/2 ) t kd t (n 2,/2 )
Trong :
( )
t kd = 2 /se 2 l s kim nh
t(n-2,/2) l h s tiu chun c tra trn bng.

n - 2 l bc t do; /2 l xc sut sai s.
- Nu gi tr tuyt i ca t kim nh ln hn h s t0 tiu chun th ta bc
b gi thit H0 vi gi nh rng 2 = 0 v chp nhn gi thit H1:2 0
- Nu gi tr tuyt i ca t kim nh nh hn h s t0 tiu chun th ta chp
nhn gi thit H0 l 2 = 0.
Nu H1 c chp nhn, ta kt lun rng 2 l c ngha thng k v X v Y
c mi quan h tng quan.
* Tnh ton t kim nh (tkd)
+ Kim nh tham s 1
t =
1
se
1
( )
( )
( )
X i2
se 1 = Var 1 =
nxi2
+ Kim nh tham s 2 :
32
t =
2
se
2
( )
( )
( )
se 2 = Var 2 =
1
x i2
Trong :
se( 1 ) v se( 2 ) l sai s chun ca 1 v 2 .
l sai s chun ca Y
= 2 =
e i2
=
n2
(Yi Y )
n2
V d: Cng vi s liu trn:
( )
= /se( ) = 49,66667 / 0,746439 = 66,53815
t = 2 /se 2 = 2,15758/0,120 = 17,935

2
3. Phn tch phng sai

a. cht ch ca m hnh (goodness - of - fit)
Phn trc chng ta xem xt kim nh t, nhng php kim nh ny ch
cho chng ta bit tng h s c lng (hng s 1 v h s gc 2 ) c ngha
thng k hay khng m khng cho bit mc ph hp (fit) ca ng hi quy
c lng t s liu mu vi ng hi quy thc (true model) hay tng th. Ta bit
rng khng phi tt c cc sai s e i = (Yi Yi ) u bng khng m mt s ei c gi
tr dng v mt s ei c gi tr m. Nh vy, phn tch sai s ca m hnh hi quy
c th gip ta nh gi xem ng hi quy c c lng c quan h cht ch
(ph hp) vi s liu iu tra m ta c hay khng? Nu sai s l ln ta ni rng m
hnh khng cht ch, nu sai s nh ta ni m hnh l ph hp. Thc o nh
gi cht ch ca m hnh l h s xc nh r2.
33
nh gi cht ch ca m hnh ta bt u t nh ngha: e i = (Yi Yi )

Y
Yi
Yi
ng hi quy mu
= + X
Y
i
1
2
i
ei
Y
i
-Y
Y
Xi
M hnh ng ca tng th
Yi = 1 + 2 X i + u i
Ta c E(Yi ) = Y do ta c th biu din Yi = E(Yi ) + u i

Chng ta c th c lng 1 v 2 nh s liu t iu tra mu, khi ta c
ng hi quy mu: Yi = 1 + 2 X i v m hnh ca ng hi quy mu :
Yi = 1 + 2 X i + e i
1 v 2 l cc lng t mu ca 1 v 2
Ta s c Yi = Yi + e i = 1 + 2 X i + e i = Y 2 X + 2 X i + e i
Tr 2 v phng trnh cho Y :
Y+e
Yi Y = Y
i
i
= 2 (X i X ) + e i
- V tri ca ng thc phn nh s chnh lch gia Yi thc t v Y bnh

qun.
- S hng th nht ca v phi pht sinh s chnh lch gia Y c lng v
Y bnh qun.
- S hng th hai ca v phi phn nh s chnh lch gia Yi thc t v Y
c lng.
Bnh phng 2 v phng trnh v ly tng
2
Y 2 + e 2
(Yi Y ) = Y
i
i
(2.48)
2
= 22 (X i X ) + e i2
34
(Bi e (Y Y ) = 0)
i
Hay : (TSS = ESS + RSS)

Trong :
TSS (Total sum of squares) l tng lch bnh phng.
ESS (Explained sum of squares) l tng lch c th gii thch c t
ng hi quy.
RSS (Residual sum of squares) l tng phn d bnh phng hay phn
lch khng gii thch c.
Chia c 2 v cho TSS:
1=
ESS RSS
+
TSS TSS
t ESS/TSS = r2.
Ta c:
r2 = 1
RSS
TSS
r2 c gi l h s xc nh, n phn nh mc cht ch ca mi quan h

gia X v Y (goodness - of - fit). V bn cht n gii thch (hay c mi lin quan)
s bin ng ca Y m bin ng ny c gii thch bi bin c lp X.
H s xc nh lun nm trong khong (0,1) 0 r2 1.
V d: cng vi s liu t bng 2.2. Ta c:
e i2 = 9,551515;
(X i X ) = 82,5
2
2
TSS = 22 (X i X ) + e i2
= (- 2,15758)2 * (82,5) + 9,551515

= 384,049995 + 9,551515= 393,6015
suy ra ESS/TSS = 384,049995/393,6015= 0,9757=r2
Ngha l bin ng ca bin c lp hay gi c (Xi) gii thch 97,57% bin
ng ca bin ph thuc hay lng cu Yi.
Mt s im quan trng i vi r2.
+ r2 c th xy ra nh hn 0 (m) nu m hnh c lng khng c hng s.
+ r2 ch l h s biu din thng k m t.
r2 thp th ng hi quy phn nh Yi km. r2 thp c th do nhiu nguyn
nhn (m hnh a ra thiu, mu khng ...).
35
Tit 10
Chng 2 (tip)
3. Phn tch phng sai
a. cht ch ca m hnh (goodness - of - fit)
b. Kim nh m hnh hi quy
Vic phn chia s bin ng ca Y thnh 2 thnh phn to c s s kim
nghim thng k v s hin din tng quan tuyn tnh gia X v Y.
Nu 2 = 0 l ng (tht s) th tng lch bnh phng (TSS) s ch c
gii thch bng tng phn d hay sai s bnh phng (RSS). Trn thc t nu 2 = 0
th ESS = 0.
Nu mi quan h gia X v Y khng c ngha th t s ESS/RSS s khng
c ngha thng k (ngha l t s ny c th bng khng).
Kim nh
Gi thit khng H0 : 2= 0
Gi thit khc H1: 2 0.
xem xt gi thit khng, ta c cng thc
ESS/1
~ F1, (n 2 )
RSS/ (n 2 )
Trong :
l mc c ngha
ESS/1 > F1, (n 2 ) T chi H 0 , chp nhn H1

Nu
RSS/ (n 2) < F1, (n 2 )

Chp nhn H 0
F1 (n 2 ) l phn phi F c t do l (1, n - 2) v mc tin cy l (1-).
Kim nh trn (F) cng ging nh kim nh t, ngha l n s cho kt qu

ging nhau khi v mu quan st ging nhau.
Mi quan h gia r2 v kim nh F
Ta bit:
r2 = 1
RSS ESS
=
TSS TSS
V kim nh F
ESS/1
~ F1, n 2
RSS/ (n 2 )
36
Thay RSS v ESS trong kim nh F bng r2:

Ta s c:
F1, n 2 ~
(n 2)r 2
r2
=
(1 r 2 )/(n 2) 1 r 2
Cng thc trn cho thy rng ta vn c th thc hin c kim nh F, khi
khng c d liu v ESS v RSS.
Trong cng thc trn, ta cng thy rng nu r2 thp th gi tr ca F cng
thp.
V d: Tnh ton gi tr FK:
+ Tnh ton t bng s liu 2.2
- Theo h s xc nh: FK =
(n 2)r 2
1 r
= 8 * (0,9757 2 ) / (1 0,9757 2 )= 321.66
- Theo tng bnh phng lch:

FK = (ESS/1)/(RSS/(n-2))= 384,049995/(9.551515/8)= 321.66.
- Ta c th tnh ton thng qua phn mm Excel nh sau:
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.987791951
R Square
0.975732939
Adjusted R Square
0.972699557
Standard Error
1.092675338
Observations
10
Bng phn tch phng sai

ANOVA
df
Regression
Residual
Total
1
8
9
SS
384.0484848
9.551515152
393.6
MS
384.0485
1.193939
F
321.665
Significance F
9.57605E-08
t Stat
66.53811
-17.935
P-value
2.9E-12
9.58E-08
Lower 95%
47.9453733
-2.4349873
Bng c lng cc h s
Intercept
X
Coefficients
49.66666667
-2.157575758
Standard Error
0.746439359
0.120299595
37
Upper
95%
51.38796
-1.88016
Ta c th tnh ton thng qua phn mm Eview cho ton b s liu trong
bng 2.1, ta c kt qu nh sau:
Dependent Variable: Y
Method: Least Squares
Date: 12/17/06 Time: 22:53
Sample: 1 55
Included observations: 55
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
X
50.00000
-2.000000
0.808272
0.135989
61.86037
-14.70712
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.803193
0.799480
2.801617
416.0000
-133.6838
1.653846
Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
39.49091
6.256471
4.933956
5.006950
216.2993
0.000000
Tit 11
Chng 2 (tip)
v d v phn tch hi quy tuyn tnh n
C bng s liu thi gian v mc tiu dng (Y) trn u ngi v thu nhp X trn
u ngi tnh theo gi c nh 1994. VT l 100.000VN
Nm
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
Y
48.34
48.54
47.44
54.58
55.00
63.49
59.22
57.77
60.22
55.40
X
52.02
52.41
51.55
58.88
59.66
68.42
64.27
63.01
65.61
61.05
Nm
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
Y
57.17
60.84
60.73
76.04
76.42
69.34
61.75
68.78
67.07
72.94
X
63.36
67.42
67.86
83.39
84.26
77.41
70.08
77.4
70.08
77.44
Yu cu:
a) Hy kim tra xem gia Y v X c mi tng quan theo dng hm s tuyn
tnh hay khng. c lng m hnh hi quy tuyn tnh dng: Y=a +bX + ui
b) Hy cho bit kt qu c lng c ph hp vi l thuyt kinh t khng?v
sao
38
c) Hy tnh ESS, RSS

d) Vi h s tin cy 95% hy tm khong tin cy ca cc h s hi quy
e) Vi mc ngha 5% hy kim nh gi thit b=0.T kt qu nhn c hy
nu ngha v mt kinh t ca kt lun
f) Hy gii thch ngha kinh t ca h s xc nh
Gii
a) Hy kim tra xem gia Y v X c mi tng quan theo dng hm s tuyn
tnh hay khng. c lng m hnh hi quy tuyn tnh dng: Y=a +bX + ui
Trc tin ta phn nh mi quan h gia Y v X ln trn th phn tn:
100
80
60
Y
40
20
0
0
20
40
60
80
100
Qua th ta c th khng nh l gia Y v X c mi quan h tuyn tnh vi nhau,

v hm s hi quy a ra theo bi l ph hp.
Ta i c lng h s hm hi quy
Y
48.34
48.54
47.44
54.58
55
63.49
59.22
57.77
60.22
55.4
57.17
60.84
60.73
76.04
76.42
69.34
61.75
X
52.02
52.41
51.55
58.88
59.66
68.42
64.27
63.01
65.61
61.05
63.36
67.42
67.86
83.39
84.26
77.41
70.08
X2
2706.08
2746.81
2657.40
3466.85
3559.32
4681.30
4130.63
3970.26
4304.67
3727.10
4014.49
4545.46
4604.98
6953.89
7099.75
5992.31
4911.21
XX
-14.8
-14.4
-15.2
-7.9
-7.1
1.6
-2.5
-3.8
-1.2
-5.7
-3.4
0.6
1.1
16.6
17.5
10.6
3.3
Y Y
(X X )
-12.7
-12.5
-13.6
-6.5
-6.1
2.4
-1.8
-3.3
-0.8
-5.7
-3.9
-0.2
-0.3
15.0
15.4
8.3
0.7
217.8
206.5
231.9
62.4
50.7
2.7
6.3
14.2
1.4
32.8
11.7
0.4
1.2
275.9
305.6
113.0
10.9
39
yi*xi
187.6
179.8
207.3
51.1
43.1
4.0
4.6
12.4
1.0
32.4
13.3
-0.1
-0.4
248.9
268.6
88.1
2.3
(Y Y )
Y
48.0
48.4
47.6
54.1
54.8
62.5
58.8
57.7
60.0
56.0
58.0
61.6
62.0
75.7
76.5
70.4
64.0
ei
0.3
0.2
-0.2
0.5
0.2
1.0
0.4
0.0
0.2
-0.6
-0.9
-0.8
-1.3
0.3
-0.1
-1.1
-2.2
ei2
0.1
0.0
0.0
0.2
0.1
1.0
0.1
0.0
0.0
0.4
0.8
0.6
1.6
0.1
0.0
1.2
4.9
169.5
160.7
180.5
48.6
39.4
2.1
4.9
11.1
1.1
25.5
9.1
0.3
0.9
214.7
237.8
88.0
8.5
68.78
67.07
72.94
61.054
77.4
70.08
77.44
66.779
5990.76
4911.21
5996.95
90971.42
10.6
3.3
10.7
7.7
6.0
11.9
Tng
112.8
10.9
113.7
1782.7
82.1
19.9
126.7
1572.7
70.4
64.0
70.5
1221.1
-1.6
3.1
2.5
0.0
2.7
9.6
6.2
29.7
87.8
8.5
88.5
1387.5
Trung bnh ca X l: 66.779

Trung bnh ca Y l:61.054
p dng cng thc:
b= 2 =
i (Yi Y )(X i X )
i (X i X )
=157.2/1782.7=0.882
a= 1 = Y 2 X =61.054- 0.882*66.779=2.141
Do vy ta c phng trnh hi quy nh sau: Y=2.141+0.882X
b) Theo kt qu c lng cho ta thy h s gc ca ng thng dng
(b=0.882>0) cho ta bit khi thu nhp tng th tiu dng c xu hng tng
theo. Nhn vo th phn tn ta cng thy ngay gia X v Y c mi tng
quan dng. Kt qu c lng ny ph hp vi thc t.
c) Ta c ESS = (Yi Y ) 2 = 1387.5 ; RSS = (Yi Yi ) 2 = ei 2 = 29.67
d) Tm khong tin cy cho cc h s.
Trc tin ta i tnh sai s chun ca ng hi quy:
=
2
i
n2
1.28 2
2
29.7
=
= 0.000926
= 1.28 ; Var(b)=
2
20 2
xi 1782.7
suy ra: se(b)=sqrt(0.000926)=0.030423

Khong tin cy ca b l: 0.882 t(5%,18)*se(b)< b < 0.882 + t(5%,18)*se(b)
y t(5%/2,18)=2.44
se(a)= se(a) =
X
n x
* 2 = sqrt(90971.42*1.282/20*1782.7)=2.045
i
2
Khong tin cy ca a l: 2.141 t(5%,18)*se(a)< b < 2.141+ t(5%,18)*se(a)

e) Gi thit Ho: b=0
i thit H1: b <>0
Ta c t kim nh: tK=b/se(b)=29.0131579 > t0=2.44 (tra bng ti mc ngha
5%/2, n=18), do vy bc b Ho, tc l thu nhp c nh hng ti tiu dng. Khi
thu nhp m tng ln 1000 th xu hng ngi tiu dng s tiu dng thm l
0.88nghn ng.
40
f) Hy gii thch ngha kinh t ca h s xc nh

R2 =ESS/TSS=0.979062 hay 97,9%; ngha ca h s xc nh: Thu nhp gii
thch c 97,9% s tc ng ti tiu dng, cn li 2,1% l s tc ng ca cc yu
t khc.
Vi kt qu tnh ton bng cc cng thc nh trn ta c th tnh ton bng phn
mm Excel cng cho kt qu tng t nh sau:
SUMMARY OUTPUT
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.989476
0.979062
0.977899
1.283907
20
Bng phn tch phng sai

ANOVA
df
Regression
Residual
Total
1
18
19
SS
1387.458
29.67149
1417.129
MS
1387.458
1.648416
F
841.6912
Significance F
1.44803E-16
Bng c lng h s hi quy
Intercept
X
Coefficients
2.141530388
0.882200536
Standard Error
2.050824121
0.030408214
t Stat
1.044229
29.01192
41
P-value
0.310201
1.45E-16
Lower
95%
-2.167094544
0.818315199
Upper
95%
6.450155
0.946086
Tit 12
Chng 3
Phn tch hi quy tuyn tnh nhiu chiu (a bin)
I. Thit lp m hnh
1. Gii thiu
Phn tch hi quy tuyn tnh nhiu chiu l s pht trin ca phn tch hi
quy tuyn tnh gin n. Trong m hnh hi quy gin n, chng ta nghin cu mi
quan h gia mt bin ph thuc b nh hng bi mt bin. Cn m hnh hi quy
tuyn tnh xem xt, nghin cu mi quan h gia mt bin ph thuc Y v nhiu
bin c lp (X1, X2, ..., Xk) gi l hi quy tuyn tnh nhiu chiu.
V d:
Khi nghin cu nhu cu tiu th, chng ta nghin cu mi quan h gia s
lng sn phm theo nhu cu v gi ca chnh loi sn phm . Ngoi ra ta cng
cn xem xt mi quan h vi gi ca sn phm thay th hay sn phm lin quan v
thu nhp ca ngi tiu dng. M hnh hi quy phn nh mi quan h trn biu
din nh sau:
E(Yi) = 1X1i+ 2X2i + 3X3i + 4Xki
(3.1)
Yi = 1X1i + 2X2i + ... + kXki + ui

= jjXij + ui
(3.2)
2. ngha ca cc tham s
a. Hng s (1)
Hng s phn nh gi tr trung bnh ca Y khi tt c cc Xj bng khng. iu
c ngha y chnh l nh hng ca cc yu t khc nm ngoi m hnh.
b. Cc h s tham s hi quy - j (partial regression coefficients)
y l hm hi quy tuyn tnh, nn o hm ring ca Y i vi mt bin Xj
no chnh bng h s j (Y/ Xj = j). H s j ny l s thay i gi tr trung
bnh (hay k vng) ca Y (E(Yi)) khi thay i mt n v ca bin c lp Xj vi
tt c cc bin c lp khc khng i.
V d:
Gi s chng ta c hm hi quy ca tng th
42
E(Yi) = 15 - 1,2 X2i + 0,8 X3i

Nu X3i khng i (gi s X3i= 10), khi E(Yi) = 23 - 1,2X2i v h s 2 = 1,2 chnh l gi tr trung bnh ca Y s thay i khi chng ta thay i mt n v
ca bin X2.
V mt l thuyt, chng ta c th chn bt k hng s no cho bin X2,
nhng trong thc t nghin cu th khi ly o hm ring ca mt bin c lp no
, cc bin c lp khc chng ta ly tr trung bnh thc t ca cc bin .
3. Cc gi thit ca hi quy tuyn tnh nhiu chiu
Cng nh m hnh hi quy gin n, chng ta cng c cc gi nh v sai s
trong hi quy nhiu bin. Tuy nhin trong trng hp ny ta c k bin c lp v n
quan st, do ton b s liu s l mt ma trn vi k ct v n hng (ma trn bc n
* k). Cc gi thit nh sau:
(1) M hnh l hi quy tuyn tnh: Y = X + u
(2) Tr s trung bnh ca sai s bng khng
E (u1 )
E (u )
2
=0
E(ui) = 0 hay E(ui) = .
E (u n )
iu c ngha l: E(Yi) = X
(3) Phng sai ca sai s l mt hng s (homoscedasiticity)
Var (ui) = 2I vi mi i
hay E(uu') =
0
.
..........
2
..........
..........
..........
0
= 2I
Trong : I l ma trn n v
Gii thit ny tng ng vi gi thit 3 v 4 trong chng 2 (mc II.2).
(4) Cc bin c lp Xj l cc bin phi ngu nhin. Sai s ui l c lp vi Xj
i v j, tc l khng c mi quan h gia Xj v ui.
E(u |X) = 0
Ta bit rng: Cov [X, u] = Cov[X, E(u | X) ]
Vy gi thit ny c ngha l: Cov[X, u] = 0

43
(5) Hin tng a cng tuyn (multicollinearity) khng c hoc khng r

rng gia cc bin Xj.
y l gi thit mi khc vi cc gi thit v phn tch hi quy gin n.
Trong phn tch hi quy bi, chng ta nghin cu mi quan h gia mt bin ph
thuc vo nhiu bin c lp. V vy, chng ta cn phi thm gi thit rng: gia
cc bin Xj l khng c tng quan tuyn tnh hoc mi tng quan khng r rng.
V d: Chng ta c m hnh: Y = 1 + 2X2 + 3X3 + u
v gi s gia X2 v X3 c mi tng quan tuyn tnh nh sau:
2X2 + X3 = 4; khi ta c th th hin X3 thng qua X2
X3 = 4 - 2X2; M hnh hi quy tuyn tnh by gi s l:
Y = 1 + 2X2 + 3X3 + u
= 1 + 2X2 + 3(4 - 2X2) + u
= (1 + 43) + (2 - 23) X2 + u hay
= 1* + 2*X2 + u
Nh vy chng ta c th c lng 1* v 2*, ch khng th c lng 1, 2
v 3 ring bit.
(6) X l ma trn cc bin khng ngu nhin bc (n x k) hay l ma trn hng
k. Ngha l n c nh vi cc mu lp li.
(7) Sai s ui tun theo phn phi chun v c lp, vi tr trung bnh bng
khng v phng sai 2I. Ngha l:
ui ~ N (0, 2I)
Ngoi ra ta cng cn c thm cc gi thit: s quan st phi ln hn s bin
c lp. Ngha l n phi ln hn k (n > k).
Cc gi thit t 1 n 6 m bo cho vic s dng phng php bnh phng
nh nht (OLS) c lng cc tham s 1, 2, ..., k. Khi cc c lng ny
khng chch (unbias) v c phng sai (variance) nh nht.
Gi thit 7 l cn thit cho vic kim nh ngha thng k v khong tin
cy ca cc tham s, n khng cn thit chng minh cc c im ti u ca cc
tham s c c lng theo phng php OLS.
44
Tit 13
Chng 3 (tip)
I. Thit lp m hnh
II. c lng cc tham s - phng php bnh phng nh
nht (OLS)
1. M hnh hi quy vi 2 bin c lp
Trng hp n gin nht ca hi quy tuyn tnh a bin l ch c 2 bin c
lp. Phng php c lng thng c dng nht trong hi quy tuyn tnh l
phng php bnh phng nh nht (OLS). Chng ta cng s ng dng phng
php ny c lng m hnh hi quy tuyn tnh vi 2 bin c lp.
M hnh: Yi = 1 + 2X2i + 3X3i + ui
(3.3)
ng hi quy tng th: E(Yi) = 1 + 2X2i + 3X3i
(3.4)
M hnh i vi mu: Yi = 1 + 2 X 2i + 3 X 3i + e i
(3.5)
ng hi quy mu: y i = 1 + 2 X 2i + 3 X 3i
(3.6)
Trong : ui l sai s; i = 1, 2,...., n.

1, 2 v 3 l cc c lng ca 1, 2, v 3.
ei l sai s c lng ca ui hay l phn d (residuals)

yi l c lng ca Yi ; X1i = 1
cc c lng 1, 2 v 3 l cc c lng khng chch ca 1, 2, v
3 th tng bnh phng cc sai s c lng ei phi l nh nht.
i(ei)2 min
i (ei)2 = i (Yi - 1 - 2X2i - 3X3i)2
(3.7)
t i(ei)2 = Q, th cc tiu ho Q ta cn phi ly o hm ring ca Q

(cng thc 3.7) theo 1, 2, v 3 cho bng 0.
Q/ 1 = i2(Yi - 1 - 2X2i - 3X3i) (-1)
=0
(3.8)
Q/ 2 = i2(Yi - 1 - 2X2i - 3X3i) (-X2i) = 0
(3.9)
Q/ 3 = i2(Yi - 1 - 2X2i - 3X3i) (-X3i) = 0
(3.10)
48
45
T (3.8) ta c: iYi = n 1 + 2iX2i + 3iX3i

hay Y = 1 2 X 2 3 X 3 ta suy ra:
1 = Y 2 X 2 3 X 3
(3.11)
Trong : (iYiX2i) = 1iX2i + 2iX22i + 3X2iX3i

Thay gi tr ca 1 t (3.11) vo ng thc trn
iYiX2i = ( Y 2 X 2 3 X 3 ) iX2i + 2iX22i + 3iX2iX3i
= n X 2Y n 2 X 22 n3 X 2 X 3 + 2iX22i + 3iX2iX3i
iYiX2i- n X 2Y = 2(iX22i - n X 22 ) + 3(iX2iX3i - n X 2 X 3 ) (3.12)
T (3.10) cng lm tng t, ta c:
iYiX3i - n X 3Y = 2(iX2iX3i - n X 2 X 3 ) + 3(iX23i - n X 32 )
(3.13)
Ta c th t nh sau:
S22 = iX22i - n X 22
S23 = iX2iX3i - n X 2 X 3
S33 = iX23i - n X 32
S2y = iYiX2i - n X 2Y
S3y = iYiX3i - n X 3Y
Syy = iY2i - n Y 2
Nh vy t phng trnh (3.12) v (3.13) ta c th vit thnh h phng
trnh:
S2y = 2S22 + 3S23
S3y = 2S23 + 3S33
(3.14)
Gii h phng trnh trn ta c:

2 =
3 =
S 33 S 2 y S 23 S 3 y
S 22 S 33 S
2
23
S 22 S 3 y S 23 S 2 y
S 22 S 33 S
2
23
=
=
S 33 S 2 y S 23 S 3 y
(3.15)
S 22 S 3 y S 23 S 2 y
(3.16)
Trong : = S22S33 - S232
46
Sau khi c lng c 2 v 3, ta thay 2 gi tr ny vo (3.13) ta s tm

c gi tr ca 1.
Qu trnh tnh ton c th tm tt nh sau:
(1) Tnh ton c cc gi tr bnh qun ca Y , X 2 v X 3
(2) Tnh ton cc tng bnh phng v tng ca tch cc s sau:
iX22i; iX23i; iX2iX3i; iYiX2i v iYiX3i
(3) Tnh ton cc gi tr S22; S23; S33; S2y; S3y v Syy
(4) c lng cc tham s 2 v 3 thng qua h phng trnh tuyn tnh
(3.14) v cng thc (3.15) v (3.16).
(5) Thay th cc gi tr 2 v 3 vo phng trnh (3.11) tnh 1.
Mt s im quan trng
Vi nhng gi thit nh trn (mc 1.3) th cc tham s c lng u l
nhng c lng tuyn tnh khng chch tt nht (BLUE - best linear unbiased
estimators).
c lng khng chch ca E(ui2) = 2 l S2
S2 =
i ei2
trong : k l s cc tham s c lng.
nk
Vi gi thit: ui ~ N (0, 2) kim nh ta s c p dng (trng hp c th

ta b qua ma trn)
j j
~ tn-k vi mi j
se( j )
Trong : se( j) l sai s chun ca j

Trng hp vi 2 bin c lp th se( j) c tnh nh sau:
se( 2 ) =
S2
i ( X 2i X 2 ) 2 (1 322 )
se( 3 ) =
S2
i ( X 3i X 3 ) 2 (1 322 )
Trong :
32 =
i ( X 2i X 2 )( X 3i X 3 )
i ( X 2 i X 2 ) i ( X 3i X 3 )
2
Cov( X 2 , X 3 )
Var ( X 2 )Var ( X 3 )
32 l h s tng quan bi gia X2 v X3.

47 http://www.ebook.edu.vn
Tit 14
Chng 3 (tip)
II. c lng cc tham s - phng php bnh phng nh
nht (OLS)
1. M hnh hi quy vi 2 bin c lp
2. M hnh hi quy vi k bin c lp
Gi s chng ta c m hnh hi quy:
Yi = 1X1i+ 2X2i + ... + kXki + ui
Trong : i = 1, 2, ..., n;
(3.17)
X1i = 1; j= 1, 2, ..., k
Nu biu din phng trnh (3.17) di dng ma trn, ta c:

Y = X + u
Trong : Y l vc t ct cha n s liu quan st; X l ma trn nxk chiu
cha k bin c lp vi n quan st v u l vector ct phn nh phn bin ng m
m hnh khng gii thch c hay cn gi l sai s.
Gi tr tht ca u ta khng bit, nhng ta c th c lng u thng qua s
liu ca tp hp cc mu quan st. i lng c lng ca u l e. N chnh l
phn bin ng ca s quan st Y v phng trnh c lng ca m hnh hay
phng trnh mu (c lng t s liu mu).
Y = X + e
hay
e = Y - X
Trong : l i lng c tnh ca ; cc k hiu khng c ch s i hoc j

l biu din vector.
Trnh t c lng cc tham s trong m hnh nh sau:
(1) t cc 1,...., k l cc c lng ca 1,..., k.
(2) t ei l sai s c lng (phn d) ca ui, khi ta c:
ei = Yi - 1X1i - ... - jXji - ... - kXki
(3.18)
(3) 1,..., k l cc c lng khng chch ca 1,..., k, th tng bnh

phng cc sai s c lng (iei2) phi l nh nht. Tc l o hm ring ca n
theo 1,..., k phi bng khng.
51
48
(4) Ly o hm ring theo 1,..., k v cho cc o hm ny bng khng, ta

c h phng trnh vi cc bin 1,..., k.
(5) Gii h phng trnh trn ta c cc c lng 1,..., k.
Di dng ma trn, tng bnh phng cc sai s (e) c vit nh sau:
e'e = (Y - X )'(Y - X ), Du (') c hiu l ma trn chuyn v
= Y'Y - 'X'Y - Y'X + 'X'X
= Y'Y - 2 'X'Y + 'X'X
(3.19)
iu kin cn cc tiu ho (e'e) l o hm ring ca tng bnh phng

sai s (cng thc 3.19) theo phi bng khng.
(e'e)/ = -2X'Y + 2X'X = 0
X'X = X'Y
(3.20)
Cc phng trnh trong (3.20) c gi l h phng trnh chun. Theo gi

thit 5 th cc bin c lp (X) trong m hnh khng c a cng tuyn. iu c
ngha l tn ti ma trn nghch o ca (X'X), nn t phng trnh (3.20) ta c th
tm c .
= (X'X)-1 (X'Y)
(3.21)
(Nghim ca phng trnh (3.21) chnh l c lng ca ).

Tuy nhin kim nh tng bnh phng sai s (e'e) l nh nht ta cn phi
c iu kin l o hm bc hai ca n theo phi dng.
2(e'e)/ = 2X'X
(3.22)
Gi s c l mt vector khc khng v gi s q = e'X'Xe. Do ta c th vit:

q = v'v = iv2i; trong : v = Xc. Ngoi tr trng hp cc s hng ca v = 0, cn
li q dng. Nu nh v = 0, iu c ngha l t hp tuyn tnh ca X bng 0. N
s mu thun vi gi thit X l ma trn bc (n x k) y .
49
III. Phn tch phng sai v kim nh gi thit thng k

1. cht ch ca m hnh
Trong m hnh hi quy gin n, r2 l thc o cht ch ca m hnh, n
phn nh t l hay s phn trm bin ng ca bin ph thuc c gii thch bi
bin ng ca duy nht 1 bin c lp. Trong m hnh hi quy a bin th h s
ny cng chnh l s phn trm bin ng ca bin ph thuc nhng c gii
thch bi bin ng ca tt c cc bin c lp kt hp vi nhau. H s ny ta gi l
h s xc nh bi (multiple coefficient of determination), i khi ngi ta cng
gi tt l h s xc nh v c k hiu l R2.
s dng h s xc nh R2 nh l ch tiu nh gi mc cht ch v
ph hp ca m hnh hi quy, chng ta cn nhc li v m rng mt s vn
tho lun chng trc.
Chng ta bt u vi m hnh k bin, phng trnh (3.2)
Yi = 1X1i _ 2X2i + ... + kXki+ ui
Chng ta c th phn chia s khc nhau gia Yi v s bnh qun ca n nh
sau:
Yi Y = (Yi Yi ) + (Yi Y )
Trong : y i l c lng ca Yi.

Bnh phng ca 2 v v ly tng tt c cc mu t 1 n n, ta c:
(Y
2
2
2
Y ) = (Yi Yi ) + (Yi Y )
Hay TSS = RSS + ESS

Trong :
TSS l tng bnh phng lch gia Yi thc t v Y bnh qun.
RSS tng bnh phng sai s phn khng gii thch c
Trng hp vi 2 bin c lp, n c tnh nh sau:
RSS = (Yi - Y )2 - 2(Yi - Y )(X2i - X 2 ) - 3(Yi - Y )(X3i - X 3 )
ESS tng hi quy bnh phng (phn lch c th gii thch c).
ESS = 2(Yi - Y )(X2i- X 2 ) + 3(Yi - Y )(X3i - X 3 )
Trong mt s sch v kinh t lng c s khc nhau khi nh ngha RSS v
ESS. Nu vit tt ESS t Error Sum of Squares th tng bnh phng sai s phn
50
khng gi thch c (nh RSS trong phn ny). Nu vit tt RSS t Regression
Sum of Square th l tng hi quy bnh phng (phn lch c th gii thch c
- nh ESS trong phn ny). Do cn ch khi tnh ton. Nhng cng thc chung
tnh R2 vn l:
Phn bin ng gii thch c bng m hnh hi quy
R2
Tng bin ng ca bin ph thuc
Hay:
R2 =
ei2
ESS ( y i Y ) 2
=
=
1
TSS (Yi Y ) 2
(Yi Y ) 2
(3.27)
R2 nh gi t l thay i ca Y, t l thay i ny c gii thch bi m

hnh hi quy a bin. R2 c s dng nh l ch tiu thng k nh gi cht
ch ca m hnh (goodness - of - fit) v so snh s hp l ca cc kt qu hi quy
c mc s dng khc nhau ca cc bin c lp.
C mt s vn khi s dng R2 trong m hnh hi quy nhiu bin:
- Nu kt qu thng k ca chng ta tun theo gi thit ban u rng m hnh
l chnh xc th chng ta s khng c cc th tc thng k so snh cc cch xc
nh (s dng) khc nhau ca cc bin c lp.
- Vic gii thch ngha ca R2 s kh khn nu h s t do (hng s) ca
m hnh c gi tr bng khng (0). Trong trng hp c t l ca tng hi quy bnh
phng v tng lch c th khng nm trong khong (0 , 1).
- Nu R2 l nhy cm vi s lng bin c lp trong m hnh th khi tng
thm bin c lp s lm cho R2 tng ln hay ni cch khc l R2 khng bao gi
gim i khi ta tng s lng bin c lp trong m hnh. y cng l mt cch
tng tr s ca h s xc nh R2. V R2 gn lin vi lch c th gii thch c
v khng gii thch ng ca Y, do R2 khng ph thuc vo bc t do trong m
hnh. iu dn n l c ngi mun gii thch bin ng ca m hnh mnh
a ra l tt s a thm nhiu bin vo trong m hnh.
khc phc vn ny, trn thc t nghin cu ngi ta a ra v s dng
thc o cht ch ca m hnh c tnh n s bin c lp v c gi l h s
xc nh iu chnh R 2 (khc nhau l c du gch ngang trn).
51
Cng thc ca n c tnh nh sau:

R2 = 1
Var (ei )
Var (Yi )
(3.28)
Trong :
ei2
nk
(3.29)
(Yi Y ) 2
n 1
(3.30)
Var (ei ) = S 2 =
Var (Yi ) =
k l s cc tham s c lng.
n 1 i ei2
x
2
n k (Yi Y )
Do : R 2 = 1
Ta bit rng: R 2 = 1
(3.31)
ei2
(Yi Y ) 2
Thay gi tr ca R2 vo cng thc (3.31), ta c th thit lp mi quan h gia

h s xc nh v h s xc nh iu chnh nh sau:
R 2 = 1 (1 R 2 )
n 1
nk
(3.32)
Cng thc (3.32) c mt s c im sau:

Khi k = 1 th R 2 = R 2
Khi k > 1, th R 2 R 2 . Ngha l khi tng s bin trong m hnh th phn tng
ca h s xc nh iu chnh, 2 R s nh hn phn tng ca h s xc nh R2. C
th xy ra R 2 < 0 .
2
R l h s xc nh iu chnh, n nh gi cht ch ca m hnh tt,
hn h s xc nh, R2, v da vo R2 chng ta khng quan st c bc t do nh

hng n m hnh nh th no. Khi ta tng bin c lp trong m hnh, R2 lun
tng, trong khi 2 R c th khng tng. Nu s dng h s xc nh iu chnh,
2
R s loi tr bt c mt s ng c ca ngi nghin cu mun c tht nhiu
bin trong m hnh hi quy tng gi tr ca R2 m khng ch n bin thm

vo c tht cn thit trong m hnh cn nghin cu hay khng.
52
Tit 15
Chng 3 (tip)
III. Phn tch phng sai v kim nh gi thit thng k
1. cht ch ca m hnh
2. Kim nh gi thit thng k
a. Kim nh cc h s
Mc d h s xc nh phn nh cht ch ca ng hi quy c lng
nhng n khng phn nh cc h s c lng c ngha thng k (c ngha
khc khng) hay khng. Nu gi thit ui tun theo lut phn phi chun v c tr
trung bnh ng bng j l h s thc ca m hnh. Tuy nhin phng sai ca m
hnh, 2 chng ta cha bit cho nn ta phi thay n bng S2 (phng sai mu) l c
lng khng chch ca 2.
Trong : S 2 =
i ei2
nk
Khi cc tham s c lng j s tun theo phn b t vi bc t do l (n k) ch khng phi phn b chun. Nh vy:
t=
j j
se( j )
t n k vi mi j ;Trong : se( j) l sai s chun ca j
kim nh tng h s j, ta c gi thit:

Gi thit khng (H0): j = 0
Gi thit i vi (H1): j 0
Gi thit i (H0) c pht biu nh sau: Nu cc yu t khc khng i th
s thay i ca 1 bin c lp Xj s khng nh hng g ti bin ph thuc, Y. Cn
gi thit H1 c pht biu rng bin Xj c nh hng n Y. Vy gi thit H0 s l:
t KD = t =
j j
se( j )
j
se( j )
(v j = 0)
(3.33)
Gi tr tK trong cng thc (3.33) s tun theo phn phi t vi bc t do l (n

- k). Trn c s gi tr tK tnh c t cng thc (3.33), chng ta c th kt lun
53
bin Xj c nh hng n Y hay khng. Phng php kim nh ny c 2 hng:

kim nh ngha ca h s v kim nh khong tin cy ca h s.
+ Kim nh ngha ca h s: Trc tin chng ta phi chn mc c
ngha (level of significance) sau so snh gi tr tK ca m hnh hi quy vi
gi tr tc ti hn (t critical value) (gi tr tc l gi tr c tra t bng vi cho
trc v bc t do (n - k). Nu gi tr tuyt i ca tK tnh ra c ln hn gi tr tc
ti hn (|tK | > tc) th chng ta bc b gi thit H0. Ngha l ta chp nhn gi thit
H1 hay bin c lp m chng ta ang xem xt c nh hng ti Y.
Bng 3.1: Kim nh gi thit v j
Loi gi thit
Gi thit H0
Gi thit i H1
Min bc b
Hai pha
j = j
j j
|tK| > t/2(n-k)
Pha phi
j j
j > j
tK > t(n-k)
Pha tri
j j
j < j
tK < - t(n-k)
Gi tr ca thng c dng l 0,1; 0,05; v 0,01 hay 10%, 5%, v 1%.

Gi tr t(n-k) c xc nh bi P(t > t(n-k)) = (P l xc sut (Probability) c tra
t bng).
+ Kim nh khong tin cy: Ta bit rng
j ~ N(j, bj2) trong : E( j) = j
bj2 = Var (vj) = 2mij

(mij l phn t th i trn ng cho ca ma trn (X'X)-1)
tK =
j j
se( j )
~ tn - k vi mi j; Do vi mc ngha (hay mc tin cy
(1 - )), ta c: P(-t/2(n-k)
j j
se( j )
t/2(n-k)) = 1 -
Hay: [-t/2(n-k) se( j) + j] j [ j + t/2(n-k)se( j)]
(3.34)
(3.35)
b. Kim nh F
Trong phn trn chng ta xem xt ngha thng k ca tng h s j. Tuy
nhin ta ch xt ring bit tng tham s xem chng c khc khng (0) hay khng.
By gi ta xt gi thit ng thi cc h s ny u bng khng (0):
54
H0: 1 = 2 = .... = j = 0 (j = 1, 2, ..., k)
(3.36)
H1 : C t nht 1 h s khc khng (t nht j 0)

Gi thit H0, ngha l tt c cc bin c lp, Xj trong m hnh khng c nh
hng g ti bin ph thuc, Y. Gi thit trn cng c th vit nh sau:
H0: R2 = 0
(3.37)
Nh th c ngha l tt c cc bin c lp, Xj gii thch 0 phn trm bin

ng ca bin ph thuc Y. Nu nh bng kim nh t, ta bit rng tng bin Xj
u c ngha thng k khc khng, th khi kim nh kt hp chng cng s khc
khng. Tuy nhin c trng hp xy ra l khi kim nh ring bit mt s h s no
th n khng nh hng g ti Y, nhng khi kt hp n s xy ra hin tng
cng hng v n nh hng n Y. iu c ngha l kim nh t khng th p
dng trong trng hp ny.
kim nh c gi thit nh (3.36) ta cn phi s dng phng php
phn tch phng sai. Di gc ca phn tch hi quy th phng php ny s
chia tng bnh phng cc sai s TSS thnh 2 b phn: Phn gii thch c ESS v
phn khng gii thch c RSS.
TSS = ESS + RSS hay (Yi - Y )2 = ( y i Y )2 + (Yi - y i )2
(3.38)
= j[ j i(Yi- Y ) (Xji - X j ) + iei2

Nu cc gi thit v hi quy a bin c tho mn th bin s F c tnh
bng t s gia phng sai gii thch c bi cc Xj(ESS/d.f) v phng sai khng
gii thch c (RSS/d.f) s tun theo phn b F vi bc t do (k - 1) trn t s v
(n - k) mu s.
F=
=
j [ j i (Yi Y )( X ji X j )] /(k 1)
(( y i Y ) 2 /(k 1)
=
((Yi y i ) 2 ) /( n k )
i ei2 /( n k )
j [ j i (Yi Y )( X ji X j ] /( k 1)
(3.39)
i ei2 /( n k )
Chng ta s s dng kim nh F nh th no? Cu tr li xut pht t cng

thc (3.39). Nu t s ca (3.39) ln hn mu s ca n hay nu nh phng sai
ca Y c gii thch bng ng hi quy th gi tr F s ln hn. Do khi gi tr
F tng ln n s phn li gi thit i H0 (cc bin c lp Xj khng c nh hng
ti Y), ngha l ta s chp nhn gi thit H1 hay l trong s cc bin Xj s c t nht
55
mt bin no c nh hng ti Y. Tuy nhin so snh v kt lun khi kim

nh, chng ta cn so snh gi tr F tnh c (thng c k hiu l FK) vi gi
tr F ti hn (F critical value, Fc). Nu FK > Fc, chng ta t chi gi thit H0, cn
nu FK Fc, chng ta khng th t chi gi thit H0 (ngha l cc bin c lp
khng c nh hng g ti bin ph thuc).
Bng 3.2. Phn tch phng sai
Ngun bin
Tng bnh phng (SS)
ng
Do ng hi
sai
Tng bnh phng bnh
do
qun, MSS = SS/d.f
k-1
j[ ji (Yi- Y )(Xj - X j )]
quy (ESS)
Do
Bc t
(phn d RSS)
(Y1 - Y )2
Tng (TSS)
i [ j i (Y1 Y )( X ij X j )
k 1
n-k
iei2
Gi tr FK
MSS ESS
MSS RSS
iei2/(n-k)
n-1
Gi tr ca thng c dng l 0,1; 0,05 v 0,01 hay 10%, 5%, v 1%.

Mi quan h gia F v R2
Nu ta thay cng thc (3.31) vo cng thc (3.39) tm gi tr F, th:
FKD =
R 2 /(k 1)
(1 R 2 ) /( n k )
(3.40)
Khi R2 = 0, th F cng s bng khng (0), nu R2 ln hn th gi tr F cng

ln hn, cn khi R2 = 1, th gi tr F l khng xc nh.
Nh vy, kim nh F l thc o mc c ngha ng thi ca ng
hi quy c lng v n cng l thc o mc ngha ca h s R2. Cng thc
(3.40) c li th l ta c th kim nh ng hi quy v ch cn bit R2 (gi tr ny
cc chng trnh my tnh thng tnh c). T ta c bng phn tch phng
sai (ANOVA) tng ng vi bng (3.2) nh sau:
Bng 3.3: Phn tch phng sai tnh t R2
Ngun bin
Tng bnh phng
ng
(SS)
Do ng hi
R2[i(Yi - Y )2]
quy (ESS)
Do
sai s
(phn d RSS)
Tng (TSS)
Bc t
do
Tng bnh phng bnh

qun, MSS = SS/d.f
R 2 [ i (Yi Y ) 2 ]
k 1
2
(1 R )[ i (Yi Y ) 2 ]
nk
k-1
iei2
n-k
(Y1 - Y )2
n-1
Gi tr FK
R2 /(k 1)
(1 R2 ) /(n k)
Gi tr ca thng c dng l 0,1; 0,05; v 0,01 hay 10%, 5% v 1%.

56
57
Ti liu tham kho

1.
Nguyn Quang Dong, Gio trnh Kinh t lng, NXB khoa hc

v KT,2003
2.
Nguyn Cao Vn, Trn Thi Ninh, Gio trnh L thuyt xc xut
v thng k ton, NXB khoa hc v KT,1996
3.
Damodar N.Gujarati, Base Econometrics, MacGrow Hill,1995
4.
Madala, Introduction of Econometrics,new york,2001
58
Mc lc
Tit ging
Trang
Tit 1
Tit 2
Tit 3
10
Tit 4
14
Tit 5
18
Tit 6
21
Tit 7
23
Tit 8
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Tit 9
31
Tit 10
36
Tit 11
38
Tit 12
42
Tit 13
45
Tit 14
48
Tit 15
53
59

Doko - VN 192225 Giao Trinh Kinh Te Luong

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Tit 1

Cho n nay cha c mt nh ngha v kinh t lng c mi ngi cng

thuyt trn khng cho bit thc o ln ca mi quan h v y chnh l cng

1. Kinh t lng vi l thuyt kinh t

kim, gi c do cc c quan nh nc hoc t nhn thu thp u l cc s liu

Phn tch kinh t lng bao gm mt s giai on sau:

Trong m hnh ton hc ta thy rng mi quan h gia Q v P l hon

Pht biu l thuyt

Thu thp s liu

S dng m hnh cho

1. Khi nim v hi quy (Regression)

Trong phn tch hi quy mi quan h gia bin ph thuc v bin c lp

Mc tiu ca vic phn tch hi quy l:

Cng thc (2.3) l quan h thng k ngu nhin, ngha l ng vi mt gi tr

V chng ta c th chn gi tr ca Y l t nht 3 trong s 6 gi tr trn

Nu sai s u l phn phi lin tc (phn phi chun) vi gi tr bnh qun ca

b. Phn bit gia quan h hi quy v quan h nhn qu.

1. Khi nim v hi quy (Regression)

1. Hm hi quy tng th (Population Regression Function, PRF)

nh sau: E(Y/X=Xi) = (Yi P(Y=Yi/X=Xi) . Nh vy gia Xi v Yi c quan h hm

Hm f(Xi) c dng nh th no chng ta cha bit. xc nh dng ca PRF

Hnh 2.1. th phn tn ca tng th trnh by mi quan h

Phng trnh (2.5) phn nh tr trung bnh hay k vng ca Y(E(Y | X i ))

Trong : ui l sai s ngu nhin (Stochastic or Random Error Term) hay

1. Khi nim v hi quy (Regression)

1. Hm hi quy tng th (Population Regression Function, PRF)

Bng 2.3: Mt mu ngu nhin th 2 t tng

t tng th (bng 2.1)

Gi s s liu v biu cu bng 2.2 v 2.3 l nhng mu ngu nhin. Khc

Hnh 2.2. Cc ng hm hi quy mu c ly ra t tng th

ng vi mi mu (s liu) ta c th v c mt ng hi quy phn nh xu

M hnh (2.7) gi l hm hi quy mu (Sample Regression Function - SRF).

Trong : ei l c lng ca ui v c gi l phn d (Ressidual Term), i

Hnh 2.3. Phng trnh Hi quy ca tng th v ca mu

T th trn, ta c th biu din nh sau:

V pha tri im A, Yi c lng vt gi tr trung bnh ca E(Y|Xi), cn

+ Tuyn tnh cc tham s:

Trong chng ny v nhng chng sau, khi ni n hi quy tuyn tnh

y l hm hi quy tng th. Mc tiu ca chng ta l c lng cc tham

Trong : 1 v 2 l cc lng ca 1 v 2; ei l c lng ca ui.

K vng (hoc gi tr trung bnh) ca sai s ui l bng khng:E(ui) = 0

E(Yi ) = E(1 + 2 X i + u i ) = E(1 ) + E( 2 X i ) + E(u i ) = 1 + 2 X i

Hay phng sai ca Yi chnh bng phng sai ca sai s ui.

Ta cng v tr v phi ca phng trnh mt lng nh nhau l .

Nh vy nu gi thit (1) khng tho mn th ta s xy dng c m hnh

Ngha l chng ta phi la chn (tm) hai h s 1 v 2 cc tiu ho tng

Trong Q l tng bnh phng cc phn d hay sai s ei. (2.16) c cc

Phng trnh (2.17) v (2.18) c 2 n s, chng ta c th gii tm 1 v

H phng trnh (2.19) v (2.20) c gi l h phng trnh chun tc

Phng trnh (2.19) v (2.20) s c bin i thnh:

Thay 1 = Y 2 X (phng trnh 2.22) vo phng trnh (2.20) ta c:

Gii phng trnh trn:

Trong mt s sch (hoc ti liu) h s 2 c tnh theo cng thc sau:

Cng thc (2.24) v (2.26) l nh nhau. n gin ta c th vit i = . Ta

iu kin nh phng trnh (2.17) v (2.18) ch l iu kin cn (2.16)

iu kin l ma trn trn phi l ma trn c nh ngha dng, ngha l

D = (2n ) 2 X i2 (2 X i )(2 X 1 ) = 4n(X i2 ) 4n( X ) = 4n( X i X ) D > 0

V d: T s liu v cu mt loi s vit bng 2.2 (s liu ca mu), ta c

(hng cui cng l tng s)

2 = (1901 - 10 * 5,5 * 37,8)/(385 - 10 * 5,52)

= - 2,15758 hay 2 = - 178/82,5 = - 2,15758

b. Gi tr bnh qun ca cc gi tr Yi c c lng t hm hi quy (tc l Y i )

c. Gi tr bnh qun ca phn d hay sai s bng khng

Khong tin cy ca a l: 2.141 t(5%,18)se(a)< b < 2.141+ t(5%,18)se(a)