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# TNG HP LI NHNG VN THC MC CA SINH TIN

## (Sau bui h h!"# \$%"# "a&'

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Bnh lun v vic bt bin khi MH (cu hi l thuyt)
V d:
Gi s c MH Q=b1+b2K+b3L+b4L^2+u
bi hi dnh gi v kin "Khi mc dch chi l dnh
gi tc dng ca K ln Q th chi cn hi quy Q theo K
m khng cn dua bin L, L^2 vo m hnh"?
Theo thay em nen trinh bay 2 y sau:
1) Khang dinh y kien tren la chua co co so. Boi vi: Ngoai K ra co rat nhieu yeu to anh huong den Q
trong do L mot trong cac yeu to quan trong thuc su co anh huong den Q (ly thuyet ve ham san xuat
trong kinh te vi mo)
2) De bo bien L va L^2 ra khoi MH thi co the lam cho MH thieu bien quan trong vi: L co the tac dong
den Q va L co the co tuong quan voi K. Do do de co can cu danh gia y kien tren ta tien hanh kiem dinh
gia thuyet thong ke "Bo 2 bien L, L^2 ra khoi MH". Cac buoc kiem dinh:
1) HQ MH tren --> R1^2
2) Thu hep MH bang cach bo 2 bien ra khoi MH va HQ --> R2^2
3) Thiet lap Fqs = ....; tra bang co gia tri toi han F
4) Ket luan:
+ Neu...
+ Neu...
ngha ca cc hs trong cc MH c dng hm khc nhau C 4 dang hm ca MH thung gp
1) MH tuyn tnh: Y = a + bX + u E(Y/X) = a + bX
b = dao hm ca E(Y/X) theo X v c ngha l X tng ln 1 n v th E(Y/X) (hiu theo
ngha l trung bnh ca Y) thay di b n v
2) MH loga tuyn tnh: lnY = a + blnX + u E(lnY/lnX) = a + blnX (X, Y>0)
b = h s co gin ca E(Y/X) theo X v c ngha l X tng ln 1 % th trung bnh ca Y thay
di b %
3) MH bn loga: lnY = a + bX + u E(lnY/X) = a + bX (Y>0)
ngha l X tng ln 1 n v th trung bnh ca Y thay di b*100(%)
4) MH bn loga: Y = a + blnX + u E(Y/lnX) = a + blnX (X>0)
ngha l X tng ln 1 % th trung bnh ca Y thay di b/100
Gii thch ngha ca MH khi c bin bc 2
Y = beta1 + beta2X + beta3X^2 + beta4Z + U
E(Y/X, Z) = beta1 + beta2X + beta3X^2 + beta4Z
- Mc dch dua bin bc 2 ca X vo l mun xem xt Quy lut "loi sut cn bin gim dn c tc
dng ln mi quan h ca bin X v bin Y hay khng
- Gii thch ngha nhu sau:
+ ao hm bc 1 ca E(Y) theo X = beta2 + 2beta3*X: cho bit khi X tng ln 1 don vj th trung bnh
ca Y thay di (beta2 + 2beta3*X) don vj (gi trj thay di ny ty thuc vo gi trj ca bin X)
+ ao hm bc 2 ca E(Y) theo X = 2beta3: N cho bit khi X tng ln th "gi trj cn bin ca E(Y)
theo X thay di nhu th no
Nu mqh gia y v X chju su chi phi ca quy lut loi sut cn bin gim dn th
2beta3<0 beta 3 <0
- Ngoi ra nu cho m hnh lnY = a + blnX + u E(lnY/lnX) = a + blnX (X, Y>0)
Nu mqh gia y v X chju su chi phi ca quy lut loi sut cn bin gim dn th
0<b3<1 nu phi K th tin hnh kim djnh 2 cp gi thuyt:
Cp 1: H0: b = 0; H1: b>0 v cp 2: H0:b=1; H1: b<1
(ch nu phi tnh ton c th th cc beta v b duoc thay bng cc gi trj uc luong dim ca n
ly t kt qu ca m hnh)
Vn v k vng ca cc hs hi quy
Y = beta1 + beta2X + beta3Z + U
E(Y/X, Z) = beta1 + beta2X+beta3Z
- Sinh vin cn dua vo l thuyt kinh t hoc hiu bit thuc t d dua ra ky vong v cc hs hi quy
ca MH. dy l ky vong du ca cc hs trong MH tng th (d sau ny di chiu vi cc gi trj uc
luong duoc xem c ph hop vi ky vong hay khng). Mt s trung hop c th ky vong nhiu hon l
du. v d m hnh: Chi tiu = a + bThu nhp + U (r rng ban s ky vong 0 < b<1)
- ngha ca beta1 = E(Y/X=Z=0): dy l ngha v mt l thuyt. ngha thuc t ty thuc vo tnh
hung kinh t (ni dung ca cc bin Y, X, Z)
TC = beta1 + beta2Q + beta3Q^2+beta4Q^3 +U Beta1 = E(TC/Q=0) = chi ph c djnh trung bnh
Chi tiu = beta1+beta2TN + U beta1 = E(chi tiu/TN = 0) = chi tiu ti thiu
........
Tuy nhin: ni chung khi duoc hi ngha ca cc hs hi quy th nu thy beta1 khng c ngha thuc
t th cng khng cn ky vong v cng khng cn gii thch ngha ca beta1^
Vn v cc khuyt tt
Khng r khi no th phi vit MH hi quy ph, cch lm th
no?
1) Nu cu hi: Kim djnh cc khuyt tt ca MH
+ Vt cp gi thuyt
+ xut phuong php Kim djnh (tuong ng vi cc khuyt tt)
+ Kt lun dua vo kt qu
2) Nu cu hi: Gi trj thng k F-statistic hoc Khi bnh phuong qs duoc tnh t nhu th no, c kt
lun g v MH
B1: Nu cc buc d tnh Fqs/Khi bnh phuong qs
+ Vit MH ban du (l MH cn kim djnh khuyt tt)
+ HQ MH ny thu duoc gi trj phn du/Y^ (ty theo khuyt tt)
+ HQ m hnh ph (ty theo khuyt tt)
+ Vit cng thc d tnh Fqs/Khi bnh phuong qs
B2: Dua vo kt qu d c K
+ Vt cp gi thuyt
+ xut phuong php Kim djnh (tuong ng vi cc khuyt tt)
+ Kt lun dua vo kt qu
Cu hi Cc hs hi quy c lng c c ng tin cy hay
khng?
Y = beta1 + beta2X + beta3Z + U
E(Y/X, Z) = beta1 + beta2X+beta3Z
- Khi nim "ng tin cy l mt khi nim cn phi xem xt k dua vo thng tin cho trong bng kt
qu (trnh hin tuong suy din kiu nhu "bit du vn c CT, dang hm sai..
- Theo |nh l Gauss-Markov
+MH vi s liu cho: tha mn 4 gi thit (GT1 v mu ngu nhin duong nhin tha mn khng
cn kim djnh; GT2: E(U)=0 Kim djnh Ramsey; GT3: SSS dng du K hite; MH khng c
CT hon ho hn ny thung duoc tha mn v bn thn MH d uc luong duoc th tc l
khng c CT hon ho)
+ MH vi s liu theo thi gian th c thm GT v TTQ (K D vi TTQ bc 1 hoc K BG vi TTQ
bc bt ky)
NU C T NHT 1 G THT TRNG CC G THT TRN B| V HM V C TH C CC
KT QU C LNG C L KHNG NG TN CY
- Nu gi thit v
+ SSS khng phn phi chun
+ CT khng hon ho mc d cao
Mc d khng vi pham gi thit theo L Gauss Markov nhung lai dn dn cc hu qu v
vic cc SUY DN THNG K (km djnh v L khong tin cy khng NG TN CY)
KT LUN: Vic tr li "NG TN CY cn duoc phn bit nhu 2 trn
Vn vi vic hiu chnh MH bng cch a bin gi vo
MH
- MH ban u
Y = beta1 + beta2X + beta3Z + U
E(Y/X, Z) = beta1 + beta2X+beta3Z
- MH sau khi hiu chnh
Y = beta1 + beta2X + beta3Z +
beta4D+beta5D*X+beta6D*Z+ U
D = 0 vi cc quan st c thuc tnh no
D=1 vi cc quan st cn li
- Khi duoc yu cu so snh hoc dnh gi tc dng ca Z v/hoc Z dn Y l "khc nhau khi D nhn
gi trj khc nhau (quan st c thuc tnh khc nhau) chng thuc hin theo cc buc:
+ Xc djnh chnh xc ni dung v dt bin gi
+ oc yu cu d bit dua bin gi vo MH nhu th no
MH1: nu ch mun xem Trung bnh ca Y c khc nhau khi D nhn gi tr khc nhau hay khng: E(Y/X,Z,D) =
beta1 + beta2X + beta3Z + beta4D
MH2: Khi mun nh gi tc ng ca X Y c khc nhau khi D nhn gi tr khc nhau hay khng: E(Y/X,Z,D) =
beta1 + beta2X + beta3Z + beta4D*X
MH3: Khi mun nh gi tc ng ca Z Y c khc nhau khi D nhn gi tr khc nhau hay khng: E(Y/X,Z,D) =
beta1 + beta2X + beta3Z + beta4D*Z
..
Cu hi s xoay quan:
+ ngha ca beta4
+ Kim nh lin quan n hs beta4 trong MH
M hnh vi s liu theo thi gian
Yt = beta1 + beta2Xt +beta3Zt+ Ut
- MH c th c bin tr ca bin dc lp
Yt = beta1 + beta2Xt +beta3Zt+ beta3Xt-1 +Ut
- MH c th c bin tr ca bin ph thuc
Yt = beta1 + beta2Xt +beta3Zt+ beta3Yt-1 +Ut (MH ny khng th s dng kim nh TTQ bc 1 bng
phng php DW v c bin tr ca bin ph thuc vi vai tr l bin c lp)
- ngha hs gn vi bin tr c gii thch mt cch bnh thng nh cc bin c lp khc (v d: gi
nm trc; thu nhp thng trc,.)
- MH c th c bin xu th
Yt = beta1 + beta2Xt +beta3Zt+ beta4T+ Ut
Bin T nhn cc gi tr = 1, 2, .n tng ng vi cc quan st theo th t
ngha ca beta4 = khi T tng ln 1 n v (c th l sau 1 thi k - sau 1 nm, 1 qu, 1 thng) th TB
ca Y tng ln/gim xung beta4 n v trong iu kin cc yu t khc khng thay i
- MH c th c yu t ma v: hy xem xt s thay di ca Y khi chuyn t ma nng ma lnh (nhu
cu v bia, nc ma,.)
+ ua bin gi vo d dnh gi su thay di ny
+ hn tch hs ca bin gi
Vn d bo trong MH hi quy - Du bo dua trn uc luong dim
+ Cho gi trj ca cc bin dc lp
+ Dua vo SRF: Y^ =beta^+...--> tm duoc Y^ (dy l uc luong cho E(Y/X)- mt gi trj du
bo)
- Du bo dua trn uc luong khong TC
Y^-Se(Y^)T(n-k),a/2<= E(Y)<= Y^+Se(Y^)T(n-k),a/2
Vn d l phi c Se(Y^) (ci ny bi cho)