1.

M hnh hi quy tuyn tnh

Xem xt s ph thuc ca Y (bin ph thuc) vo cc bin c lp X2, X3,, Xk, ta c
Hm hi quy tng th
E(Y/X2,X3,...Xk) = 1 + 2 X 2 + ..... + k Xk
M hnh hi quy tng th
Y = 1 + 2 X 2 + ..... + k Xk + U
S dng thng tin t mu ta xy dng c
Hm hi quy mu
+
X 2 +.... +
Xk
Y =
1
2
k

M hnh hi quy mu
Y = 1 + 2 X 2 + .... + k Xk + e

j ( j =1, k ) gi l cc h s hi quy
( j =1, k ) l c lng im ca cc h s hi quy

U : sai s ngu nhin (sai s gia gi tr c bit ca Y v gi tr trung bnh ca n E(Y/X2,X3,...Xk) trong
tng th)
e : phn d (residual sai s gia gi tr c bit/thc t ca Y v gi tr c lng ca n trong hi quy Y
trong mu quan st)
(+) ngha ca cc h s:

1 l h s chn, n l gi tr trung bnh ca bin ph thuc khi cc bin c lp trong m hnh

nhn gi tr bng 0.
j ( j = 2, k ) l cc h s hi quy ring (cc h s gc). N phn nh tc ng ca bin c lp Xj

ti bin ph thuc Y. Nu cc yu t khc khng i, Xj tng 1 n v th trung bnh ca Y s tng l j

n v v ngc li (iu kin cc yu t khc khng i).
(+) Du ca j s th hin chiu ca mi quan h

j > 0 : Xj tng lm Y tng v ngc li (nh hng cng chiu)

j < 0 : Xj tng lm Y gim v ngc li (nh hng ngc chiu)
j = 0 : Xj thay i khng lm Y thay i (Y khng c quan h ph thuc tuyn tnh vo Xj)
(+) c lng 1 hi quy mu tuyn tnh vi 1 mu quan st c th, phng php c s dng ph bin
nht hin nay l phng php bnh phng nh nht OLS vi tiu chun c lng:
n

e
i =1

2
i

min

Gi tr ny c gi l Tng bnh phng phn d (Residual Sum of Squares RSS hoc Sum squared
residual)

Bo co OLS do phn mm EVIEWS cung cp:

M hnh hi quy tuyn tnh:
Y = 1 + 2 K + 3 L +U

Dependent Variable: Y (Bin ph thuc l Y)

Method: Least Squares (Phng php bnh phng nh nht OLS)
Date: 12/19/12 Time: 09:11
Sample: 1 20 (Kch thc mu: 20 quan st)
Included observations: 20 (S quan st bao gm: 20)
Variable
Coefficient
Std. Error
t-Statistic

1 =
C ( 1 )
S.E( 1 ) =
1
=
) -21717.59
22180.83
S.E(
1
0.979116

2 =10751.92 S.E( 2 ) =
K ( 2 )

2
=
) 4.96506
2165.515
S.E(
2
1

L ( 3)
S.E( 3 ) =
3
3 =17662.45
=
) 3.89624
4533.201
S.E(
3
2
2
R-squared
R = 0.715471 Mean dependent var
Adjusted R-squared
R 2 = 0.681997 S.D. dependent var
S.E. of regression
32557.46 Akaike info criterion
Sum squared resid.
1.80E+10 Schwarz criterion

Prob.
0.3413

0.0001

0.0012

109468.7
57734.42
23.75688
23.90624

(Tng bnh phng phn d)

Log likelihood
Durbin-Watson stat

-234.5688
2.289076

F-statistic
Prob(F-statistic)

21.37391
0.000023

Breusch-Godfrey Serial Correlation LM Test: (Kim tra hin tng t tng quan)
F-statistic
0.429557
Fqs = 0.656872 Probability
Obs*R-squared

2qs =

0.788709

Probability

0.374491

Ramsey RESET Test: (Kim tra dng hm sai)

F-statistic
Fqs = 0.160628
Log likelihood ratio (Khng s dng)
0.199784

Probability
Probability

0.693880
0.654895

White Heteroskedasticity Test: cross terms (Kim tra phng sai sai s thay i (c
h s cho))

F-statistic
Obs*R-squared

Fqs = 5.228787
2qs = 13.02510

Probability
Probability

0.006478
0.023145

White Heteroskedasticity Test: no cross terms (Kim tra phng sai sai s thay i
(khng c h s cho))

F-statistic
Obs*R-squared

Fqs = 7.001717
2qs = 13.02437

Probability

0.002182

Probability

0.011157

Trong bo co trn th s h s ca hi quy l k = 3: 1 , 2 v 3

M hnh hi quy tuyn tnh vi cc bin logarith:

ln(Y ) = 1 + 2 ln( K ) + 3 ln( L) + U

Dependent Variable: LOG(Y)

Method: Least Squares
Date: 12/19/12 Time: 11:50
Sample: 1 20
Included observations: 20
Variable
C
LOG(K)
LOG(L)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
(+)

Coefficient
9.770251
0.523699
0.693005
0.781422
0.755707
0.282033
1.352226
-1.438970
1.833099

Std. Error
0.228568
0.093755
0.140540
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

t-Statistic
42.74543
5.585820
4.931025

Prob.
0.0000
0.0000
0.0001
11.45945
0.570617
0.443897
0.593257
30.38777
0.000002

j ( j = 2, k ) vn l cc h s hi quy ring (cc h s gc). Trong dng hm ny, n phn nh tc

ng tng i ca bin c lp Xj ti bin ph thuc Y. Nu cc yu t khc khng i, Xj tng 1 % th

trung bnh ca Y s tng l j % v ngc li (iu kin cc yu t khc khng i). Trong kinh t hc
th cc h s gc ca dng hm hi quy ny c gi l h s co dn ca bin ph thuc Y theo bin c lp
Xj
(+) Du ca j s th hin chiu ca mi quan h

j > 0 : Xj tng lm Y tng v ngc li (nh hng cng chiu)

j < 0 : Xj tng lm Y gim v ngc li (nh hng ngc chiu)
j = 0 : Xj thay i khng lm Y thay i (Y khng c quan h ph thuc tuyn tnh vo Xj)
= 0.523699 cho bit khi bin vn (K) tng 1% th bin sn
(+) Theo kt qu hi quy ta c
2

lng (Y) tng 0.523699% v ngc li (trong iu kin cc yu t khc khng i)

= 0.693005 cho bit khi bin lao ng (L) tng 1% th bin sn lng (Y) tng
Tng t,
3

0.693005% v ngc li (trong iu kin cc yu t khc khng i)

(+) Cc cu hi phn tch hi quy vi dng hm ny ch khc vi dng hm tuyn tnh thng thng
n v ca cc bin.
V d: Trong dng hm tuyn tnh thng thng, nu hi X (bin c lp) tng 1 n v th Y (bin
ph thuc) tng 2 n v, nhn xt kin ny cn kim nh cp gi thuyt:
H0: 2 = 2 (tng ng vi nhn xt kin u bi l ng)
H0: 2 2 (tng ng vi nhn xt kin u bi l sai)
Cn trong dng hm tuyn tnh vi cc bin di dng loga Nepe ny th cch hi s thay i hi X

(bin c lp) tng 1 % th Y (bin ph thuc) tng 2 %, nhn xt kin ny ta vn cn kim

nh cp gi thuyt:

H0: 2 = 2 (tng ng vi nhn xt kin u bi l ng)

H0: 2 2 (tng ng vi nhn xt kin u bi l sai)

2. Cng thc khong tin cy ca cc h s hi quy

(+) Vi tin cy (1 - ) cho trc, khong tin cy ca cc h s j
KTC i xng :

SE( j )t/2(n k) <

j < j + SE( j )t/2(n k)

KTC bn phi :

SE( j )t (n k) <

(k l s h s ca m hnh)

j < j + SE( j )t (n k)

KTC bn tri :

Ch cch s dng:
-

Nu hi lng thay i trung bnh ca bin ph thuc nm trong khong no (khi bin c lp thay

i) ta s dng khong tin cy i xng.

-

Khi mi quan h xem xt l thun chiu ( j > 0), nu hi lng thay i ti a ca bin ph thuc th

dng KTC ti a, v ngc li.

-

Khi mi quan h l ngc chiu (j < 0), nu hi lng thay i ti a ca bin ph thuc ta s dng

KTC ti thiu v ngc li. Sau i du gi tr tm c c kt qu cui cng.

(+) Vi tin cy (1 - ) cho trc, khong tin cy ca a. j + b. s
KTC i xng :

a. j + b. s Se(a. j + b. s ).t( n k ) < j < a. j + b. s + Se(a. j + b. s ).t( n k )

2

KTC bn phi : a. j + b. s Se(a. j + b. s ).t

( n k )

< j < +

(k l s h s ca m hnh)

< j < a. j + b. s + Se(a. j + b. s ).t( n k )

KTC bn tri :
Trong :

+b.
)=
Se( a.
j
s

)] 2 +b 2 .[ Se(
)] 2 +2a.b. cov(
,
)
a 2 .[ Se(
j
s
j
s

3. Quy tc kim nh gi thuyt i vi cc h s hi quy

a1. Cp gi thuyt 1

H 0 : j = j

H1 : j j

Tiu chun kim nh : T =

j *j
)
Se(
j

Vi kt qu c lng, ta c:
Tqs =

j *j
Se( j )

Vi cho trc, min bc b H0:

W = T : T > t( n k )
2

Nu Tqs W th bc b H0
Nu ngc li : chp nhn H0.

b1. Cp gi thuyt 2

H 0 : j = *j

*
H 1 : j > j

Vi cho trc, min bc b H0:

W = T : T > t( n k )

Nu Tqs W th bc b H0
Nu ngc li : chp nhn H0.
c1. Cp gi thuyt 3

H 0 : j = *j

*
H 1 : j < j

Vi cho trc, min bc b H0:

W = T : T < t( n k )

Nu Tqs W th bc b H0
Nu ngc li : chp nhn H0.
(+) Trng hp c bit khi

*j = 0

Tqs =

j
) = T- Statistic
Se(
j

Khi hi X (bin c lp) tng c lm Y (bin ph thuc) thay i hay khng cn kim

nh cp gi thuyt:
H 0 : j = 0

H1 : j 0
Khi hi X (bin c lp) tng (gim) c lm Y (bin ph thuc) tng (gim) hay khng

cn kim nh cp gi thuyt:
H 0 : j = 0

H1 : j > 0
Khi hi X (bin c lp) tng (gim) c lm Y (bin ph thuc) gim (tng) hay khng

cn kim nh cp gi thuyt:
H 0 : j = 0

H1 : j < 0

(+) Khi kim nh cp gi thuyt

H 0 : j = 0

H1 : j 0

c th s dng quy tc p-value (Prob - Probability)

nh sau :
Nu p-value = hoc < bc b H0
Nu p-value > chp nhn H0

(+) Kim nh biu thc gia cc h s hi quy:

a2. Cp gi thuyt 1

H 0 : a. j + b. s = a

H 1 : a. j + b. s a

+b.
a *
a.
j
s
Tiu chun kim nh : T =
+b.
)
Se( a.
j

Vi kt qu c lng, ta c:

Tqs =

+ b.
a *
a.
j
s
+ b.
)
Se(a.
j

Vi cho trc, min bc b H0:

W = T : T > t( n k )
2

Nu Tqs W th bc b H0
Nu ngc li : chp nhn H0.
b2. Cp gi thuyt 2

H 0 : a. j + b. s = a

H 1 : a. j + b. s > a

Vi cho trc, min bc b H0:

W = T : T > t( n k )

Nu Tqs W th bc b H0
Nu ngc li : chp nhn H0.
c2. Cp gi thuyt 3

H 0 : a. j + b. s = a

H 1 : a. j + b. s < a

Vi cho trc, min bc b H0:

W = T : T < t( n k )

Nu Tqs W th bc b H0
Nu ngc li : chp nhn H0.

4. H s xc nh ca m hnh v kim nh gi thuyt v s ph hp ca hm hi quy

ESS
RSS
=1= R Squared Cho bit t l s bin ng ca bin
TSS
TSS
ph thuc c gii thch bi s bin ng ca tt c cc bin c lp (bin gii thch) c trong m
hnh.
H s xc nh R2 =

RSS = Residual Sum of Squares

TSS = (n-1)*(S.D. Dependent Variable)2
H s xc nh hiu chnh R 2 = 1- (1 R2)

n 1
= Adjusted -R - Squared H
n k

cch tnh R2 nh

sau:

R 2 = 1- (1 R 2 )

n k
n 1

H s R 2 cn c s dng nh gi vic a thm 1 bin c lp mi vo m hnh c cn thit hay

khng. So snh h s ny ca m hnh thm bin v m hnh cha thm bin mi, nu R 2 tng ln khi
a thm bin th bin c lp mi l cn thit cho m hnh v ngc li.
Kim nh s ph hp ca hm hi quy
Cp gi thuyt

H 0 : R 2 = 0
H 0 : 2 = ... = k = 0

2
H 1 : j 0 : ( j 1)
H1 : R 0
7

H0 : Hm hi quy khng ph hp (tt c cc bin c lp cng khng tc ng ti bin ph thuc)

H1 : Hm hi quy ph hp (c t nht mt bin c lp c gii thch cho bin ph thuc)

R2

Kim nh F:

Fqs =

2
(k 1)
= R 2 nk
2
(1 R )
k 1
1 R
(n k )

= F Statistic

- Nu Fqs > F(k - 1; n - k) th bc b H0 : hm hi qui l ph hp.

- Ngc li, hm hi qui khng ph hp.
C th s dng mc xc sut (p-value) c phn mm tnh ra thc hin kim nh cp gi thuyt trn
theo quy tc:

Prob (F-Statistic) <

Prob >

Bc b H0

chp nhn H0

Ch : C th t cng thc kim nh trn

R2 =

cch tnh R2

1
1
n k
1+

F statistic k 1

5. Kim nh thu hp hi quy (kim nh thm bin hay bt bin bng kim nh F)
(Kim nh nhiu iu kin rng buc vi cc h s hi quy)
E(Y/X2,..,Xk - m,..,Xk ) = 1 + 2X2 + + k-mXk m + + kXk

(UR)

E(Y/X2,, Xk - m) = 1 + 2X2 + + k-mXk - m

(R)

H 0 : k m+1 = k m+ 2 ... = k = 0

H 1 : j 0 : ( j = k m + 1 k )

(C th b m binra khi m hnh (UR))

(Khng th b.)

Khng cn a thm m bin .vo m hnh (R)

Nn a thm m bin vo m hnh (R)

Fqs =

2
2
( RUR
RR2 ) / m
RUR
RR2 n k RSS R RSSUR n k
=

2
2
m
RSSUR
m
(1 RUR
) /(n k ) 1 RUR

Trong :
m s iu kin rng buc
k s h s hi quy ca m hnh (UR)
n s quan st
Nu Fqs > F(m, n k)

bc b H0 v ngc li.

6. Cc m hnh c cha bin gi:

1
Bin gi D1 =
0

A1
A2

(+) M hnh c bin c lp l bin gi

PRM :

Yi = 1 + 2 X i + 3 D1i + ui

( A1 )

hoc

( D1i = 1) :

Yi = ( 1 + 3 ) + 2 X i + u i

( A2 )

hoc

( D1i = 0) :

Yi = 1 + 2 X i + u i

(+) M hnh c bin tng tc gia bin c lp v bin gi

PRM :

Yi = 1 + 2 X i + 3 ( X i * D1i ) + u i

( A1 )

hoc

( D1i = 1) :

Yi = 1 + ( 2 + 3 ). X i + u i

( A2 )

hoc

( D1i = 0) :

Yi = 1 + 2 X i + u i

(+) M hnh c c bin gi v bin tng tc

PRM :

Yi = 1 + 2 X i + 3 D1i + 4 ( X i * D1i ) + u i

( A1 )

hoc

( D1i = 1) :

Yi = ( 1 + 3 ) + ( 2 + 4 ). X i + u i

( A2 )

hoc

( D1i = 0) :

Yi = 1 + 2 X i + u i

7. Phng sai sai s ngu nhin thay i

Gi thit OLS: Phng sai cc yu t ngu nhin l ng nht : Var(Ui) = 2 khng i.

2
Gi thit khng tha mn: Var(Ui) = i khng ng nht PSSS thay i

Kim nh WHITE: thng dng cho hi quy nhiu bin

M hnh gc:
Y = 1 + 2 X 2 + 3 X 3 + U
Bc 1: Hi qui m hnh gc thu c phn d ei
2
2
2
Bc 2: To bin ei , X 2 i , X 3i , ( X 2 i X 3i )

Hi qui m hnh hi qui ph:

2
2
2
(2) ei = 1 + 2 X 2i + 3 X 2 i + 4 X 3i + 5 X 3i + Vi

(no cross terms)

2
2
2
(3) ei = 1 + 2 X 2 i + 3 X 2 i + 4 ( X 2 i X 3i ) + 5 X 3i + 6 X 3i + Vi (cross terms)

2
2
(i) c cc h s xc nh R22 v R3 (k hiu l Ri )

m l s h s ca m hnh (i)
Bc 3: Kim nh cp gi thuyt

H 0 : Ri2 = 0

2
H1 : Ri 0
H0 : M hnh ban u c phng sai ca sai s ng u
H1 : M hnh ban u c phng sai ca sai s thay i
Kim nh F, 2
2
2
2
2
Kim nh 2 : qs = nRi = Obs*R-squared (White test) nu qs > (m 1) th bc b H0

Ri2

Kim nh F: Fqs =

Ri2
nm
(m 1)
=

2
2
(1 Ri )
1 Ri m 1
( n m)

= F-statistic (White test)

nu Fqs > F(m-1, n m) th bc b H0.

C th s dng mc xc sut c my tnh tnh ra trong kim nh White thc hin kim nh cp gi

Prob >

thuyt theo quy tc:

Prob <

Bc b H0
Cha bc b H0

Ch : Nu m hnh ban u ch c 1 bin c lp th khng phn bit kim nh c h s cho hay

khng v hi quy ph trong c 2 trng hp kim nh u l:
ei2 = 1 + 2 X i + 3 X i2 + Vi

7. T tng quan

Yt = 1 + 2 X t + U t

MH ban u:

Gi thit OLS : Cc yu t ngu nhin khng tng quan

Nu gi thit b vi phm : hin tng TTQ bc

Xt trng hp = 1 lc t tng quan bc 1 AR(1)

ut = ut - 1 + t
vi - 1 1 v t tha mn cc gi thit ca OLS
-1<<0

t tng quan m

=0

khng c t tng quan

0<<1

t tng quan dng

u t u t 1

2
t

Kim nh Durbin Watson (Dng kim nh t tng quan bc 1)

thay th khi quan st hin tng t tng quan

Trong thc t ta dng c lng
n

e e

t 1

t =2

2
t

t =1

Thng k Durbin Watson c tnh theo cng thc:

n

d=

(e

t =2

et 1 ) 2

e
t =1

2
t

t =2

2 et et 1

2
t 1

t =2

t =2

2
t

1
Vi - 1

e + e

t =1

2(1 )

2
t

0 d 4

Vi n, k = k 1 cho trc, tra bng ph lc 5 dL (gi tr cn di thng k d) v dU (gi tr cn trn

thng k d)
T tng
quan dng > 0
0

Khng c kt
lun
dL

Khng c t
tng quan = 0

dU

Khng c kt
lun

4 dU

T tng
quan m < 0

4 dL

Ch : Kim nh DW s khng dng c trong cc trng hp sau:

*

khi m hnh khng c h s chn

Yt = 2 X t + 3 Z t + U t

10

c bin tr ca bin ph thuc ng vai tr bin c lp gii thch trong m hnh gc

Yt = 1 + 2 X t + 3Yt 1 +U t

Kim nh Breusch - Godfrey

Bc 1: Hi quy m hnh ban u c et v et 1

Bc 2: Hi quy ph
(2) et = 1 + 2 X t +Vt
(3) et = 1 + 2 X t + 3 et 1 +Vt
Bc 3: Kim nh cp gi thuyt
H0 : M hnh khng c t tng quan
H1 : M hnh c t tng quan
2
2
2
2
Kim nh 2 : qs = (n 1) R3 = Obs*R-squared (Breusch Godfrey test) nu qs > (1) th

bc b H0 v ngc li (trong phn mm EVIEWS s quan st c ly l n quan st v quan st

b thiu do bin tr ca phn d gy ra c gn tr bng 0)
Kim nh F: Fqs =

R32 R 22 n k 1

1
1 R32

= F-statistic (Breusch Godfrey test) nu Fqs >

F (1,n-k-1) th bc b H0 v ngc li
Ch : k l s h s hi quy ca m hnh ban u v m hnh ban u c bao nhiu bin c lp u
c a vo trong hi quy ph (2) v (3). Dng ban u ca cc bin c lp cng c gi nguyn
trong cc hi quy ph ny (nu trong m hnh gc l dng ln(Xi) th trong cc hi quy ph cng l
ln(Xi))
C th s dng mc xc sut c my tnh tnh ra trong kim nh Breusch Godfrey kt lun v cp
gi thuyt theo quy tc:

Prob >
Prob <

Bc b H0
Cha bc b H0

8. Pht hin m hnh thiu bin gii thch

Bc 1: Hi quy m hnh ban u thu c et v

Y
t

Bc 2: Hi quy ph
(2) Yt = 1 + 2 Xt +3 Yt + ut
2

(3) et = 1 + 2 Xt +3 Yt 2 + ut

Bc 3: Kim nh cp gi thuyt
H0: M hnh ban u khng thiu bin (m hnh c dng hm ng)
H1 : M hnh ban u thiu bin (m hnh c dng hm sai)
qs2 = nR32

qs2 > 2 (1)

11

Kim nh 2 :

nu

th bc b H0

R22 R12 n k 1

Kim nh F: Fqs =
= F - statistic (Ramsey Reset test) nu
1 R22
1

Fqs >

F(1,n-k-1) th bc b H0.
C th s dng p-value thc hin kim nh cp gi thuyt

Prob >

Prob <

Bc b H0
Cha bc b H0

Ch : k l s h s hi quy ca m hnh ban u v m hnh ban u c bao nhiu bin c lp u

c a vo trong hi quy ph (2) v (3). Dng ban u ca cc bin c lp cng c gi nguyn
trong cc hi quy ph ny (nu trong m hnh gc l dng ln(Xi) th trong cc hi quy ph cng l
ln(Xi))

9. Kim nh v quy lut phn phi xc sut ca yu t ngu nhin (Kim nh Jarque Bera)
H0 : Yu t ngu nhin phn phi chun
H1 : Yu t ngu nhin khng phn phi chun
S 2 ( K 3) 2
2
+
Kim nh 2 : qs = n
= Jarque Bera
24
6
Vi S l h s bt i xng, K l h s nhn ca phn d e trong m hnh ban u
n

ei3
i =1

S=

n 2
ei
i =1
n

K=

i =1

4
i

ei2
i =1
n

2
2
Nu qs > (2) th bc b H0, ngc li chp nhn H0

C th s dng p-value thc hin kim nh cp gi thuyt.

Prob >

Prob <

Bc b H0,
Cha bc b H0

12