Nhom 6.

KINH TE LNG NG DUNG

BAI TAP 4 (Phng sai thay oi)
Bai 6: Bai tap 11.15, Gujarati (2003), trang 432-433, Table
11.7
S dung Table 11.7
Vi MPG: average miles per gallon (trung bnh lng gallon~4.875L)
SP: top speed, miles per hour (toc o)
HP: engine horsemower (ma lc ong c)
VOL: cubic feet of cab space
WT: vehicle weight, hundreds of pounds. (trong lng xe)
Obs: car observation number
a. Xem mo hnh ben di:
MPGi = 1 + 2SP + 3HP + 4WT + ui.
anh gia cac tham so trong mo hnh va giai thch ket qua.
Co y ngha kinh te khong?
Dependent Variable: MPG

Method: Least Squares

Date: 08/30/07 Time: 11:31

Sample: 1 81

Included observations: 81

Coefficien
Variable
Std. Error t-Statistic Prob.
t
C
189.9597 22.52879 8.431865
0.0000
SP
-1.271697 0.233117 -5.455179
0.0000
HP
0.390433 0.076246 5.120719
0.0000
WT
-1.903273 0.185516 -10.25936
0.0000
Mean dependent
R-squared
0.882864
33.83457
var
Adjusted R0.878301
S.D. dependent var 10.05541
squared
S.E. of regression 3.507873
Akaike info criterion 5.396019
Sum squared
947.4985
Schwarz criterion
5.514263
resid
FLog likelihood
-214.5388
193.4526
statistic
Durbin-Watson
1.023742
Prob(F-statistic)
0.00000
stat

Vay ta co mo hnh: MPG i = 189.96 1.2717SP + 0.391HP

1.9033WT
* anh gia cac tham so trong mo hnh:

2 = -1.2717 co y ngha khi toc o tang/giam 1% th trung bnh

lng gallon s dung se giam / tang 1.2717 % vi cac yeu to
khac khong oi.
3 = 0.39 co y ngha khi ma lc tang / giam 1% th trung bnh
lng gallon s dung se tang / giam 0.39 % vi cac yeu to
khac khong oi.
4 = - 1.9033 co y ngha khi trong lng xe tang/ giam 1% th
trung bnh lng gallon s dung se giam/ tang 1.9033 %, vi
cac yeu to khac khong oi.
* Can c ket qua tren ta nhan thay gia tr F rat nho, do
vay co y ngha kinh te.
b. Ban ky vong g ve phng sai nhieu trong mo hnh
tren. Tai sao?
Do nghien cu rat nhieu loai xe (80mau), do vay phng sai
khac nhau. Nhn bien MPG so lieu so sanh chenh lech rat
ln. V vay nhan nh ve phng sai thay oi la hp ly. Tuy
nhien, ky vong van la phng sai khong oi, ta co bieu o
sau:
15

10
5

-5

-10
10

20

30

40

50

60

70

80

RESID

c. S dung kiem nh White e tm, neu phng sai

nhieu la gia tr khac.
White Heteroskedasticity

Test:
F-statistic
8.686636
Probability
0.0000
Obs*R-squared
33.47376
Probability
0.000008
Test Equation:

Dependent Variable:

RESID^2
Method: Least Squares

Date: 09/01/07 Time: 15:59

Sample: 1 81

Included observations: 81

Coefficien
Variable
Std. Error t-Statistic Prob.
t
C
2339.156 504.9905 4.632078
0.0000
SP
-33.1849 7.960441 -4.168726
0.0001

SP^2
HP
HP^2
WT
WT^2

0.098336
6.406445
-0.009948
-18.3565
0.123796

0.030483 3.225893
0.0019
1.620861 3.952496
0.0002
0.002856 -3.482819
0.0008
4.08077 -4.498294
0.0000
0.049459 2.502985
0.0145
Mean dependent
0.413256
11.69751
var

R-squared
Adjusted Rsquared
S.E. of regression
Sum squared
resid

0.365683

S.D. dependent var

23.75653

18.92066

Akaike info criterion

8.800841

26491.36

Schwarz criterion

9.007769

Log likelihood

-349.4341

Durbin-Watson
stat

1.901058

Fstatistic

8.686636

Prob(F-statistic)

0.0000

Vi gia thiet: H0 :phng sai khong oi

Da vao ket qua kiem nh White ta co (X2)n*R2 = 33.47376
Tra bang Chi-Square X0.05(df) = X0.05(71) = 79.0819
So sanh X2tt=33.474 < X2tb=79.0819 => chap nhan gia thiet H0
Chap nhan gia thiet: H0. Chap nhan gia thiet phng sai
khong oi.
Kiem nh them bang Park Test, Glejsei Test.
Kiem nh Park:
Tao bien mpghat =c(1)*sp + c(2)hp + c(3)*wt
Ve o th mpghat resid.
15

RESID

10
5
0
-5
-10
10

20

30

40

50

60

MPGHAT

Nhn bieu o tren, cho nhan xet co phng sai thay oi.
Do co nhieu mau nen ta chon kiem nh phan d vi Y^
(mpghat) nh sau:
Dependent Variable:
LOG(UI^2)

Method: Least Squares

Date: 09/05/07 Time: 11:56

Sample: 1 81

Included observations: 81

Coefficien
Variable
Std. Error t-Statistic Prob.
t
C
-1.259728 4.204734 -0.299597
0.7653
MPGHAT
-0.005041 0.010793 -0.467056
0.6417
Mean dependent
R-squared
0.002754
0.697782
var
Adjusted R-0.00987
S.D. dependent var 3.023135
squared
S.E. of regression 3.038017
Akaike info criterion 5.084669
Sum squared
729.1344
Schwarz criterion
5.143791
resid
FLog likelihood
-203.9291
0.218142
statistic
Durbin-Watson
1.111434
Prob(F-statistic)
0.641745
stat

Vi gia thiet H0: b2=0, phng sai khong oi.

Can c vao ket qua tren, ta co t=-0.467
va ttb (5%,79) = 2. =>
H0.

-2 < t=-0.467 < 2, chap nhan gia thiet

Vay phng sai khong oi.

Kiem nh Glejsei:
Bien gia tr tuyet oi: abse=@abs(ui)
c lng mo hnh theo Y^I (mpghat)
Dependent Variable: ABSE

Method: Least Squares

Date: 09/05/07 Time: 13:05

Sample: 1 81

Included observations: 81

Coefficien
Variable
Std. Error t-Statistic Prob.
t
C
-2.918914 3.105317 -0.939973
0.3501
MPGHAT
-0.014128 0.007971 -1.772531
0.0802
Mean dependent
R-squared
0.038249
2.567591
var
Adjusted R0.026075
S.D. dependent var
2.2735
squared
S.E. of regression 2.243663
Akaike info criterion 4.478478
Sum squared
397.6878
Schwarz criterion
4.5376
resid
FLog likelihood
-179.3784
3.141868
statistic
Durbin-Watson
1.183274
Prob(F-statistic)
0.080161

stat

Vi gia thiet H0: b2=0, phng sai khong oi

Ta co ttt = -1.773 thuoc khoang (-2.2) tai mc y ngha =5%, ttb
=2
=> -2 < t=-1.773 < 2, chap nhan gia thiet H0.
Vay phng sai khong oi.
d. Neu phng sai cua cac nhieu thay oi c xac nh, ban
lam the nao e chuyen sang d lieu nh vay gia tr sai
so trong d lieu c chuyen qua la phng sai ong nhat.
Ch ra cach tnh can thiet.
e. Trong Eview, khi co nghi ng phng sai thay oi th dung
Cac he so giong hoi quy thong thng, sai so nho hn dan
en t-stat cao co y ngha hn.

Bai 7: Bai tap 11.16, Gujarati (2003), trang 434, Table 11.8
Chi tieu thc pham tai An o. S dung bang 11.8.
a. Hoi quy chi tieu ve thc pham tren tong chi tieu va
kiem tra phan d lay ra t hoi quy nay.
Dependent Variable: Y

Method: Least Squares

Date: 08/30/07 Time: 11:58

Sample: 1 15

Included observations: 15

Variable
Coefficient Std. Error t-Statistic Prob.
C
73586.8 3944.584 18.65515
0.0000
X
949.5621 217.9417 4.356954
0.0008
Mean dependent
R-squared
0.593535
88051.8
var
Adjusted R0.562268
S.D. dependent var 12469.51
squared
S.E. of regression
8249.989
Akaike info
20.99738

Sum squared resid

Log likelihood
Durbin-Watson
stat

criterion
8.85E+08
Schwarz criterion
-155.48
F-statistic

21.09178
18.98305

1.939906

0.000777

Prob(F-statistic)

Mo hnh hoi quy chi tieu ve thc pham tren tong chi tieu Y =
73568.8 + 949.5621X
b. Ve o th phan d lay ra trong tong chi tieu va ch
ra neu ban quan sat bat ky mo hnh co tnh he
thong.
Kiem tra phan d t mo hnh hoi quy:
ei=resid, bieu o theo bien giai thch X
20000

10000

EI

-10000

-20000

-30000
0

10

20

30

40

Nhan xet: ei tang/giam theo bien giai thch X. ieu nay

chng to nhan nh ve phng sai thay oi la hp ly.
c. Kiem nh Park, Glejsei, White
Kiem nh Park:
c lng mo hnh phan d ei vi bien giai thch X
Dependent Variable: LOG(EI^2)

Method: Least Squares

Date: 09/05/07 Time: 13:27

Sample: 1 15

Included observations: 15

Variable
Coefficient Std. Error t-Statistic Prob.
C
16.24022 1.413778 11.48711
0.0000
LOG(X)
0.027874 0.545728 0.051077
0.96
R-squared
0.000201
Mean dependent var
16.30592
Adjusted R-0.07671
S.D. dependent var
2.190526
squared
S.E. of regression
2.272988
Akaike info criterion
4.603633
Sum squared resid
67.16418
Schwarz criterion
4.69804
Log likelihood
-32.5273
F-statistic
0.002609
Durbin-Watson
1.706592
Prob(F-statistic)
0.960041
stat

Vi gia thiet H0: b2=0, phng sai khong oi.

Can c vao ket qua tren, ta co t= 0.0511

va ttb (5%,13) = 2.16 =>
gia thiet H0.

-2.16 < t= 0.0511 < 2.16, chap nhan

Vay phng sai khong oi.

Kiem nh Glejsei:
Dependent Variable: @ABS(EI)

Method: Least Squares

Date: 09/05/07 Time:

13:40
Sample: 1 15

Included observations: 15

Coefficie
Variable
Std. Error t-Statistic Prob.
nt
276.662
C
3730.955 0.074153
0.942
9
1452.69
SQRT(X)
955.9221 1.519675
0.1525
1
0.15084
Mean dependent
R-squared
5559.832
9 var
Adjusted R0.08553
S.D. dependent var 5484.616
squared
5244.82
Akaike info
S.E. of regression
20.09144
5 criterion
3.58E+0
Sum squared resid
Schwarz criterion
20.18584
8
Log likelihood
-148.686
F-statistic
2.309411
Durbin-Watson
1.08342
Prob(F-statistic)
0.152535
stat
2

Vi gia thiet H0: b2=0, phng sai khong oi

Ta co ttt = 1.5197 thuoc khoang (-2.16, 2.16) tai mc y ngha
=5%, ttb = 2.16
=> -2.16 < t=1.5197 < 2.16, chap nhan gia thiet H0.
Vay phng sai khong oi.
Kiem nh White:
White Heteroskedasticity Test:

6.75235
F-statistic
Probability
8
7.94248
Obs*R-squared
Probability
2
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 09/05/07 Time: 13:51
Sample: 1 15
Included observations: 15

Coefficien
Variable
Std. Error t-Statistic
t

0.010848
0.01885

Prob.

5284151 3417944
1.546002
2
9
2143075
(@SQRT(X))
-4.2E+07
8 1.944054
(@SQRT(X))^2
8042756 3106226 2.589237
Mean dependent
R-squared
0.529499
var
Adjusted RS.D. dependent
0.451082
squared
var
2616394
Akaike info
S.E. of regression
5 criterion
Sum squared resid 8.21E+15
Schwarz criterion
FLog likelihood
-275.809
statistic
Durbin-Watson
1.585893
Prob(F-statistic)
stat
C

0.1481
0.0757
0.0237
2384043
0
3531420
7
37.17452
37.31613
6.752358
0.010848

Vi gia thiet: H0 :phng sai khong oi

Da vao ket qua kiem nh White ta co (X 2)n*R2 =15*0.5295=
7.94249
Tra bang Chi-Square X20.05(df) = X20.05(12) = 21.026
So sanh X2tt=7.94249 < X2tb=21.026 => chap nhan gia thiet
H0:phng sai khong oi.
d. Khac phuc theo cach nao
Chia cho can bac 2 tong chi tieu.