Khoa Kinh t

HQG TP.HCM

Kinh t lng

2007

CHNG 4: HI QUI A BIN

M hnh hi quy n trnh by cc chng 2 v 3 l kh hu dng cho rt nhiu
trng hp khc nhau. Mc d vy, n tr nn khng cn ph hp na khi c nhiu hn
mt yu t tc ng n bin cn c gii thch. Hi quy a bin cho php chng ta
nghin cu nhng trng hp nh vy. Hy xt cc v d sau:

4.1 Gii thiu v hi quy a bin

V d 4.1: Rt nhiu cc nghin cu trn th gii quan tm ti mi quan h gia thu nhp
v trnh hc vn. Chng ta k vng rng, t ra v trung bnh m ni, hc vn cng cao,
th thu nhp cng cao. V vy, chng ta c th lp phng trnh hi quy sau:
Thu nhp = 1 + 2 Hc vn +
Tuy nhin, m hnh ny b qua mt yu t kh quan trng l mi ngi thng c mc
thu nhp cao hn khi h lm vic lu nm hn, bt k trnh hc vn ca h th no. Vy
nn, m hnh tt hn cho mc ch nghin cu ca chng ta s l:
Thu nhp = 1 + 2 Hc vn + 3 Tui +
Nhng ngi ta cng thng quan st thy, thu nhp c xu hng tng chm dn khi ngi
ta cng nhiu tui hn so vi thi tr. th hin iu , chng ta m rng m hnh nh
sau:
Thu nhp = 1 + 2 Hc vn + 3 Tui + 4 Tu i 2 +
V chng ta s k vng rng, 3 mang du dng, v 4 mang du m.
Nh vy, chng ta ri b th gii ca hi quy n v bc sang hi quy a bin.
V d 4.2: Nghin cu v nhu cu u t M trong khong thi gian t nm 1968 1982.
M, thi k ny mang du n lch s l cuc chin tranh Vit Nam ko di, dn n bi
chi ngn sch v lm pht. Mt nm sau khi chin tranh kt thc, lm pht M t ti
mc k lc l 9.31% vo nm1976. iu dn n vic ngn hng trung ng phi p
dng mnh m chnh sch tin t cht, vn c p dng trong vi nm trc, v a
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Khoa Kinh t
HQG TP.HCM

Kinh t lng

2007

mc li sut ln ti mc cao k lc l 7.83%. Khi s dnh lu ca M v qun s ti Vit

Nam hon ton chm dt, ngun nhn lc trc y phc v cho chin tranh nay chuyn
o t sang khu vc thng mi. V iu ny li li lm dy ln mt t lm pht mi, t
ti 9.44% vo nm 1981, sau c a v mc 5.99% vo nm 1982 nh vo vic nng
li sut ln ti 13.42%. Nh vy, lch s kinh t M trong thi k ny c c trng bi
chnh sch tin t cht, ko theo xu hng ct gim lin tc v u t qua cc nm.
Chnh v vy, cc nh nghin cu M xut m hnh nghin cu sau v cu u t vo
giai on ny:
INV = 1 + 2 T + 3 G + 4 INT +
Trong , INV v G ln lt l cu v u t v GNP thc t, n v trillions dollars; INT l
li sut; v T l bin xu th, tnh theo thi gian tri qua, k t nm 1968. T l lun kinh
t v m, chng ta k vng rng, 3 mang du dng, v 4 mang du m. V v y l
thi k u t M c xu th b co hp, chng ta cng k vng rng 2 mang du m.
S dng d liu thng k v m ca nn kinh t M, t nm 1968 - 1982 [xem bng d liu
4.2 pha di], kt qu c lng ca m hnh hi quy ny nh sau:
Bng Error! No text of specified style in document..1: Bng kt xut m hnh hi qui cc
yu t nh hng n cu v u t ca M trong giai on t 1968 - 1982

Dependent Variable: INV

Method: Least Squares
Date: 04/09/07 Time: 16:14
Sample: 1 15
Included observations: 15
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
G
INT

-0.509237
-0.016583
0.670266
-0.002365

0.052526
0.001880
0.052426
0.001034

-9.694973
-8.819528
12.78506
-2.287282

0.0000
0.0000
0.0000
0.0430

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

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0.972420
0.964898
0.006403
0.000451
56.80612
1.958353

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.203333
0.034177
-7.040816
-6.852003
129.2784
0.000000

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

2007

Di dng bo co, kt qu c th c vit tm tt nh di y:

INV = -0.5092 - 0.0165T + 0.67G - 0.0023 INT
(0.0525) (0.0018) (0.052) (0.001)
R 2 = 0.972 , N= 15, ESS = 0.00045

Nu vit di dng sai phn, ta c:

INV = - 0.0165 T + 0.67 G - 0.0023 INT

Ni khc i, nu cc yu t khc c gi khng i, c sau mi mt nm, k t nm

1968 (tc l T = 1), nhu cu u t s b gim l -0.0165 trillions dollars. Cng nh vy,
nu b qua yu t xu th v li sut, tc ng ring phn ca vic tng GNP ln 0.1 trillions
dollars ( G = 0.1), s lm cu v u t tng ln thm 0.067 trillions; v nu y li sut
ln thm 1% ( INT = 1), trong khi gi nguyn cc yu t cn li, th s lm u t gim i
l -0.0023 trillions dollars.
Nhng tnh ton trn y cho thy c s tng ng r rt v cch din gii ngha ca cc
h s c lng trong m hnh hi quy a bin so vi trng hp n bin. iu gi
rng, v mt bn cht, m hnh hi quy a bin s ch l s m rng ca hi quy n bin.
Ta s thy r hn iu cc phn sau.

4.2 Biu din i s ca m hnh hi quy a bin

Chng ta hy a ra bng so snh v dng hm ca m hnh hi quy a bin so vi trng
hp n bin:

V d
Dng m hnh
Vi mi quan st

Hi quy n bin
CONS = 1 + 2 INC +

Hi quy a bin
INV = 1 + 2 T + 3 G + 4 INT +

Y = 1 + 2 X +
y n = 1 + 2 xn + n

Y = 1 + 2 X 2 + 3 X 3 + 4 X 4 +
y n = 1 + 2 xn 2 + 3 xn3 + 4 xn 4 + n

Nh vy, hi quy a bin l mt s m rng t nhin ca trng hp n bin, khi s bin

gii thch ln hn 2, k c hng s. cho tin li, chng ta s a vo cc k hiu vector:

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HQG TP.HCM

Kinh t lng

2007

Gi vector hng x n' = (1, xn 2, xn3, xn 4 ) l vector cc quan st th n = 1,2..., N ca cc bin

gii thch. [Lu , du phy bn phi, pha trn vector x n l du chuyn v. Nh vy,
theo mc nh, mi vector (m khng c du chuyn v) u c coi l vector ct].
Tng cp quan st d liu do vy, s l { y n , x n' }nN=1 .
minh ha, trong v d 4.2 v cu v u t M (1968 82), nhng cp ( y 5 , x5' ) v
( y11 , x11' ) c t mu:
Bng Error! No text of specified style in document..2: D liu v m v u t v cc bin
gii thch ca nn kinh t M (1968 82).
Obs
(n)
1
2
3
4
5
6
7
8
9

INV
(Y)
0.161
0.172
0.158
0.173
0.195
0.217
0.199
0.163
0.195

C
(X1)
1
1
1
1
1
1
1
1
1

T
(X2)
1
2
3
4
5
6
7
8
9

G
(X3)
1.058
1.088
1.086
1.122
1.186
1.254
1.246
1.232
1.298

INT
(X4)
5.16
5.87
5.95
4.88
4.5
6.44
7.83
6.25
5.5

10
11
12
13
14
15

0.231
0.257
0.259
0.225
0.241
0.204

1
1
1
1
1
1

10
11
12
13
14
15

1.37
1.439
1.479
1.474
1.503
1.475

5.46
7.46
10.28
11.77
13.42
11.02

( y 5 , x5' )

( y11 , x11' )

Ngun: Economic Report of the President. Government, Printing Office, Washington D.C.,
1983.

1

2
Tip theo, ta gi vector ct = l vector cc tham s tng th, cn c c lng

3

4
Lu rng, tch v hng gia hai vector x n' v s to li phn xu th trong v phi
ca phng trnh hi quy (4.2):

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

2007

1


'
x n = (1, x n 2, x n 3, x n 4 ) 2 = 1 + 2 x n 2 + 3 x n 3 + 4 x n 4 ,

14 41
3

4

n = 1,2..N

V vy, ng vi tng cp quan st {x n' , y n }nN=1 , ta c th vit li phng trnh hi quy

nh sau:
y n = x n' + n

n = 1,2,.., N

(4.3)

Nh vy, mi k hiu ta s dng trong c lng m hnh hi quy n bin, nay c th

c s dng li cho m hnh hi quy a bin. C th l:
^

y n = x n'

n = 1,2,.., N

(4.3)

V sai s c lng hay s d (residual) s c dng:

en = y n y n

(4.4)

Vic tin hnh c lng cc tham s ca m hnh bng phng php bnh phng cc tiu
tng ng vi vic gii bi ton sau:
^

S ( ) = n en2 = ( y n x n' ) 2 min ^

(4.5)

Tng t nh trong hi quy n, y, ta s dng iu kin cc tr, (first order condition,

^

FOC), tm cc tham s c lng k , k = 1,2,3,4. . Ni khc i, ta i gii h phng

trnh sau:
S ( )
^

=0

=0

1
S ( )
2
S ( )

=0

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

S ( )
^

=0

2007

(4.6)

y l h gm 4 phng trnh vi 4 n s, m vic gii n cho chng ta tham s c lng

^

= ( 1 , 2 , 3 , 4 ) ' . S dng phn mm Eviews, kt qu tnh ton cc tham s ny

c nu trong bng bo co 4.1 trn.
^

Mc d dng biu din gii tch ca vector l kh phc tp. Tuy nhin, v bn cht
41

chng vn khng khc g trng hp n bin. C th l, tng t nh , phng trnh

^

u tin ca h (4.6) c lng 1 dn n ci iu l, ng hi quy i qua im trung

bnh ( y n , x n' ) . V v vy, ta cng c th ni n tiu chun o lng ph hp ca ng

hi quy R 2 . C th l t mi quan h (4.4):
^

y n = y n + en

Hay cng ht nh th:

( y n y ) = y n y + en

Ngi ta c th vit li n nh sau:

( y n y ) = ( x n' x ' ) + en
Tc l, s giao ng so vi trung bnh ca bin Y c gii thch mt phn bi m hnh, v
phn cn li l sai s en , cha c gii thch bi m hnh. S dng cc iu kin tm cc
tr (4.6), ta cng c th vit li quan h nh sau:

( y n y ) 2 = n ( y n y ) 2 + n en2

Hay cng vy,

TSS = RSS + ESS
V th, chng ta c th a ra nh ngha:

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

R2 = 1

ESS
TSS

2007

( 0 R 2 1 ).

v s dng n lm thc o mc ph hp ca ng hi quy vi d liu quan st.

Phn tip sau s cp n bn cht thng k ca m hnh hi quy a bin.

4.3 Bn cht thng k ca m hnh hi quy a bin

T by gi, chng ta s s dng dng tng qut ca m hnh hi quy a bin:

Y = 1 + 2 X 2 + .... + k X k + ... + K X K +
y n = 1 + 2 x n 2 + ..... + k x nk + .... + K x nK + n
= x n' + n ,

(4.7)

n = 1,2,3,..., N

Vic hi quy m hnh (4.7) s cho ta biu din sau:

^

Y = 1 + 2 X 2 + .... + k X k + ... + K X K + e

(4.8)

y n = 1 + 2 x n 2 + ..... + k x nk + .... + K x nK + e n
^

= x n' + en ,

n = 1,2,3,..., N

Trong , N l s quan st, v K l s bin gii thch.

Ta pht biu nh l sau 1 :
nh l 4.1: Phng php bnh phng cc tiu, p dng cho m hnh hi quy a bin, s
cho ta cc tham s c lng di dng sau:

k = k + n c kn n , k = 1,2,.., K

(4.9)

Cng nh trng hp n bin, phng trnh (4.9) ch ra rng: k b tc ng bi cc yu

t ngu nhin n , lm gi tr ca n khng trng kht vi k tng th. V v b tc ng
1

Xem chng minh chi tit chng 8, phn Maximum likelihood.

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

2007

bi cc yu t ngu nhin, k cng l mt bin ngu nhin. Do , tt ca c lng s

ph thuc trc tip vo bn cht ca cc qu trnh ngu nhin { n }nN=1 .
iu ny dn n vic cn phi khc ha bn cht thng k ca m hnh hi quy, nh
chng ta lm cho trng hp n bin. Ta s tip tc s dng cc gi thuyt a ra v
n . C th l:
A1 E n = 0, vi mi n.
A2 Var n = 2 , vi mi n.
iid

A3 n ~ N (0, 2 ) , vi mi n. V:
A4 E ( y n | x n' ) = x n' , vi mi n.
i vi trng hp a bin, chng ta a thm i hi sau:
Gi X = [ X 1 , X 2 ,..., X k ,..., X K ] l ma trn to bi cc vector ct ca K bin gii thch
N K

[xem li v d minh ha v ma trn X bng 4.2 v d liu ca m hnh u t]. Khi , ta

i hi rng:
A5 Cc ct { X 1 , X 2 ,..., X k ,..., X K } l c lp tuyn tnh. Hay cng vy, rank X = K.
V mt hnh hc, gi thuyt ny c ngha nh sau. Hy xt trng hp K = 2, phng
php bnh phng cc tiu c th c biu din bi lc di y:

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

2007

th Error! No text of specified style in document..1: Biu din hnh hc ca hi quy

X1

y
^

X2
^

Vic c lng tham s cng ging nh l tm cc h s = ( 1 , 2 ) ' sao cho

21

y = 1 X 1 + 2 X 2 . lm c iu , iu kin cn l cc vector X 1 , X 2 khng c

trng kht vi nhau. Hay cng vy, X 1 , X 2 phi c lp tuyn tnh. y c gi l iu
kin xc nh (identification condition). Trong trng hp tng qut, khi K 2 , iu kin
c pht biu di dng gi thuyt A5. Chng ta s s dng gi thuyt ny khi bn ti
vn a cng tuyn (multicollinearity) trong chng 7.

4.4 Kim nh cc gi thuyt thng k

By gi hy ch ch n gi thuyt u tin A1 A3, v s dng chng nh gi tnh
tt ca c lng theo cc tiu chun thng k.
T phng trnh (4.9), ta c: k = k + c kn n . By gi, hy p dng ton t k vng
vo hai v ca (4.9). Ta c:
E k = E ( k + c kn n )
= k + c kn E n

= k
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(4.10)
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Khoa Kinh t
HQG TP.HCM

Kinh t lng

2007

[ y, ta s dng gi thit A1: E n = 0 ]. Do vy, k l c lng khng chch ca k .

Tip theo, s dng li cng thc: Var ( x) = Var ( x Ex) [xem chng 1, phn n tp], v
lu (4.9), (4.10), ta c:
^

Var k = Var ( k k )

= Var ( c kn n )
S dng gi thit A3 v tnh c lp ca cc yu t ngu nhin, cui cng ta nhn c:
Var k = c kn2 Var n
= 2 c kn2 , hay
^

Var k =

2
S kk

, k = 1,2,.., K

(4.11)

( y, mc d ta khng a ra c tnh ton trc tip; nhng v c bn S kk cng l

phng sai mu ca bin X k , tng t nh S XX trong trng hp n bin).
nh L 4.2 [Gauss Markov]: Phng php bnh phng cc tiu c sai s c lng,
^

o lng bi Var k , k = 1,2,.., K , l nh nht trong lp tt c cc c lng tuyn tnh v

khng chch.
Ta cng nn nhn mnh li rng, chng ta c c nhng tnh cht rt tt: khng chch v
hiu qu ca c lng bnh phng cc tiu, m ch i hi c trung bnh bng zero, tnh
c lp, v phng sai ging nhau ca cc yu t ngu nhin tc l gi thit A3.

S dng (4.9) (4.11), chng ta i n kt lun rng: k ~ N ( k ,

) . iu c ngha
S kk
k
l, sau khi chun ha, Z k = k
~ N (0,1) . Thay th 2 bi c lng khng chch
2
S kk
2

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Khoa Kinh t
HQG TP.HCM

Kinh t lng

1
ca n l s 2 =
N K

en2 , ta c thng k t k =

2007

k k
s 2 S kk

k k
^

~ t ( N K ) . Chng ta

se( k )
by gi c th xy dng khong tin cy cho k , k = 1,2,.., K , v tin hnh kim nh cc gi
thuyt thng k v tham s ca tng th. Chng hn nh nu mun kim nh tnh c
ngha ca bin gii thch X k , k = 1,2,.., K , chng ta lp gi thuyt sau:
H 0 : k = 0 .vs. H 1 : k 0

Vic kim nh bao gm cc bc sau:

Bc 1: Xc nh thng k t (t-stat):
^

tk =

k
^

se( k )

~ t(N K )

Bc 2: Tra bng thng k t-student vi (N-K) bc t do t ( N K ) tm gi tr t-tra

bng (t-critical) t ( N K ) , ng vi mi mc ngha (significance) [Chng hn, 0.05
2

(5%); hay 0.1 (10%)]

^

Bc 3: Bc b gi thuyt H 0 (vit tt l RH 0 ), nu | t k |=

k
^

se( k )

t ( N K ) , v
2

khng bc b gi thuyt ( DNRH 0 ), nu

k
^

se( k )

t (N K ) .
2

Cng nh trong trng hp n bin, ngi ta thng hay s dng p-value, hn l phi tnh
ton v tra bng qua cc bc 1 n 3 nh trn.
C th, ng vi tng bin gii thch X k , k = 1,2,.., K , ta cng t:

p value = Pr ob{| t ( N K ) || t k |)

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HQG TP.HCM

Kinh t lng

2007

Cng ht nh th 3-9, chng ta s bc b gi thuyt H 0 : k = 0 , nu: p value ,

[trong trng hp , ta ni X k l c ngha mc % ]. V chng ta s khng bc b
gi thuyt , nu p value .
Trong v d 4.1 v u t M (1968-82), p-value ca c 3 bin gii thch: T, G, INT , u
nh hn 5%. V vy, ta ni rng tt c cc bin ny l c ngha mc = 5% .

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