1

KINH T LNG
CHNG TRNH NNG CAO
GING VIN : Nguyn Th Minh
GIO TRNH: Kinh t lng chng trnh nng cao
Nguyn Quang Dong- 2006


2
Ni dung mn hc
Phn I: n phn KTL c bn:
M hnh hi quy: c lng, kim nh v d bo
Cc khuyt tt ca m hnh
Mt s dng ca m hnh hi quy
Phn II: Kinh t lng nng cao - mt s dng m hnh
M hnh c gi tr tr ca bin ph thuc
M hnh gm nhiu phng trnh
M hnh c bin ph thuc l bin gi
M hnh vi chui thi gian
Phn III: Thc hnh my tnh
nh gi: 40% kim tra trn my tnh/ Eviews + 60% thi
vit



3
Phn I- M hnh kinh t lng c bn
M hnh hi quy:
c lng
Kim nh
D bo
Cc khuyt tt ca m hnh
Mt s dng hm hi quy
4
Gii thiu
Nh kinh t: cung tin tng th lm pht tng (cc yu t
khc khng i)
Nh thng k: cung tin v lm pht c quan h tuyn
tnh cht vi nhau( xu hng thay i rt ging nhau)
Nh kinh t lng: khi cung tin tng 1% th lm pht
tng 0.2% (khi cc yu t khc khng i)
Tc ng ca vic tng cung tin ln lm pht?
Tc ng ca vic tng chi tiu chnh ph ln tng
trng kinh t?
Tc ng ca vic tng gi ln doanh thu?, v.v
5
M hnh hi quy tuyn tnh
Mc ch ca phn tch hi quy:
Dng s liu quan st c lng nh hng ca
cc bin s (bin c lp) ln gi tr trung bnh ca
mt bin s no (bin ph thuc)
T cc tham s c lng c:
nh gi tc ng nh hng
Thc hin cc d bo
a ra cc khuyn ngh v chnh sch


6
M hnh hi quy tuyn tnh gii thiu
V d: Q = Q ( Y, P)
=> hm hi quy tuyn tnh th hin quan h ny:
Q

=
1
+
2
Y+
3
P + u, nu gi thit E(u) =0 =>
E(Q| Y, P) =
1
+
2
Y+
3
P
Nu bit chng hn
1
=10,

2
=0.6,
3
= -0.3 =>
Khi gi tng 1 n v => ?
Khi thu nhp tng 1 n v =>?
Khi Y =100, P =10 th =>?
Chng ta mun bit cc
j





7
M hnh hi quy tuyn tnh gii thiu
M hnh hi quy tng th dng tuyn tnh




Cc thnh phn ca m hnh:
Bin ph thuc
Cc bin c lp
H s chn
H s gc, h s hi quy ring

i ki k i i i
u X X X Y + + + + + = | | | | ..
3 3 2 2 1
k k k
X X X X Y E | | | + + + = .. ) ;.., | (
2 2 1 2
8
M hnh hi quy tuyn tnh gii thiu
ngha ca cc h s hi quy
H s chn
H s gc
Tuy nhin cc h s ny thng khng bit => cn c
lng
Hm hi quy mu: gi s c mu ngu nhin n quan st


ki k i i i
X X X Y | | | |

..

3 3 2 2 1
+ + + + =
c lng
cho E(Y| X
j
)
c lng cho cc
j
cha bit
9
M hnh hi quy tuyn tnh gii thiu
Q: lm th no nhn c cc c lng tt
Vit li hm hi quy mu:


=> sai lch gia gi tr thc t v gi tr c lng l


Tm ng hi quy mu m c: e
1
2
+ e
2
2
+...e
n
2
b nht
=> OLS
i ki k i i i
e X X X Y + + + + + = | | | |

..

3 3 2 2 1
i i i
Y Y e

=
10
M hnh hi quy tuyn tnh c lng OLS
M hnh hai bin => UL OLS l:





M hnh 3 bin =>


Vic s dng cc c lng ny c u im g

) ( : ); ( : ;

2
2
2
2
2
Y Y y X X x
x
y x
i i i i
i
i i
= = =

=
2
2
2
2
)

var(
i
x
o
|

) 2 /(

2 2
=

n e
i
o

2
3 2
2
3
2
2
3
2 3
2
3
2
2
) (

=
i i
i
i
i
i i i
i
i i
x x x x
x x x y x x y
|

=
2
2
2
23
2
2
) 1 (
)

var(
i
x r
o
|
11
nh l Gauss-Markov
nh l: Nu cc gi thit 1-6 c tha mn th: cc c
lng nhn c t phng php OLS l:
Tuyn tnh, khng chch*
C phng sai nh nht trong lp cc UL KC
Cc gi thit:
1. E(u
i
|X
2i
,...,X
ki
)=0: khng c sai s h thng
2. var(u
i
|X
2i
,...,X
ki
) =
2
vi mi i
3. cov(u
i
,u
j
)=0 vi mi i khc j
4. u
i
~ N(0,
2
)

vi mi i
5. Khng c a cng tuyn hon ho gia cc bin X
j
6. Bin X
j
l phi ngu nhin, nu l ngu nhin th phi c
lp vi U
i

12
nh gi s b v hm hi quy c lng
Vy nu cc gi thit trn tha mn th p/p OLS cho ta cc
UL im tt nht cho cc tham s ca tng th
Ngoi ra vi gi thit 6 v tnh chun ca u, ta bit c
phn phi ca cc c lng
Du ca cc h s c lng: c ph hp vi l thuyt kinh
t khng?
H s xc nh (h s xc nh bi): R
2
, cho bit cc bin
gii thch trong m hnh gii thch c bao nhiu phn
trm s bin i ca bin ph thuc
13
V d minh ha
Kt qu thu c t hm hi quy mc tng gi theo mc
tng trong cung tin l nh sau:


p,m v gdp: mc tng (%) trong gi, cung tin v GDP
thc
CH: con s 0.8 cho bit iu g?
Khi tng cung tin 1%, liu mc tng (%) trong mc
tng gi s l khong bao nhiu?
=> Bi ton tm khong tin cy
Liu c thc s l khi tng cung tin th ga cng tng
khng?
=> Bi ton kim nh gi thuyt thng k

gdp m p 10 8 . 0 005 . 0

+ =
14
Bi ton xy dng KTC cho cc tham s
Nu gi thit 6 cng c tha mn, khi cc KTC l
))

; (
) ( , j k n j
se t | |
o
+
) );

( ,

(
) (
+
j k n j
se t | |
o
))

);

( ,

(
) ( , 2 / ) ( 2 / j k n j j k n j
se t se t | | | |
o o
+
) /(

);

) 2 (
;

) 2 (
(
2 2
2
; 2 / 1
2
2
; 2 /
2
k n e
n n
i
k n k n
=

o
_
o
_
o
o o
KTC i xng
KTC bn tri
KTC bn phi
KTC
cho

j

KTC
cho

2

V d 1
15
V d (ch3bt3)
Dependent Variable: Q
Included observations: 20
Variable Coefficient Std. Error t-Statistic Prob.
C 1373.24 171.41 8.01 0.00
P -113.42 32.03 -3.54 0.00
ADD 83.87 15.28 5.49 0.00
R-squared 0.74 Mean dependent var 460.20
Adjusted R-squared 0.71 S.D. dependent var 155.31
S.E. of regression 83.73 Akaike info criterion 11.83
Sum squared resid 119189.60 Schwarz criterion 11.98
Log likelihood -115.31 F-statistic 24.18
Durbin-Watson stat 1.94 Prob(F-statistic) 0.00
16
V d (ch3bt3)
=> Hm hi quy c ph hp vi l thuyt kinh t khng?
Xt du ca h s c lng: ^
2
= -135.7<0,
^
3
>0; ph hp vi ltkt ni rng....
Khi gi thay tng 1 n v th trung bnh Q thay i trong
khong no?
Tm KTC i xng cho
2
(- 135.7- t
0.025,17
32.03; -125.7+t
0.025;17
32.03)
Khi ADD tng 1 n v th trung bnh Q tng ti a bao
nhiu n v?
Tm KTC bn phi cho
3:
=> 83.87+ t
0.05;17
15.28 =
Cc bin ADD v P gii thch c bao nhiu % s thay
i trong Q?




17
Bi ton kim nh gi thuyt v tham s
V d v cc gi thuyt mun kim nh:
Cung tin khng nh hng n lm pht?
Xu hng tiu dng cn bin <= 1?
Chi tiu ca chnh ph v u t t nhn c nh hng
nh nhau n tng trng kinh t
Chi tiu cho qung co c tc ng n li nhun khng
b hn chi tiu cho R&D
Gi phn bn v gi in u cng khng nh hng n
sn lng la
Tt c bin c lp trong m hnh cng khng nh hng
n Y

2
= 0

2
<= 1

2
=
3

2
>=
3

2
=
3
=0

2
= ..=
k
=0
18
Thc hin kim nh gi thuyt
Cc bc thc hin:
a ra cp gi thuyt (H
0
, H
1
), thng k v min bc
b W

T s liu mu tnh ra gi tr ca thng k (quan st)
Nu gi tr ny thuc W

th bc b H
0
v chp nhn H
1
Kim nh T
Kim nh F:
Kim nh v s ph hp ca hm hi quy
Kim nh thu hp hm hi quy

19
Kim nh T
V d: Y=
1
+
2
TV+
3
IN +
4
P+ u ; n=100
Y: li nhun ca cng ty; TV: Qung co trn tivi; IN:
Qung co trn mng, P: gi bn ca sn phm
Kt qu chy hi quy:
Y^ = 156+ 1.7 TV+1.4IN 0.1P; R
2
= 0.95
se 2 (1.5) (0.5) (0.02)
Mun kim nh:
Qung co trn tivi gip tng li nhun?
0 : ; 0 :
2 1 2 0
> s | | H H
1 . 1
5 . 1
0 7 . 1
)

(
0

2
2
=

=
|
|
se
t
qs
Khng bc b H
0
W

= (t
0.05
;) = (1.66; )
20
Bng tm tt v cp gt v min bc b
|
i

=
Loi gi thit H
0
H
1
Bc b H
0
khi
Hai pha |
i
= |
i
*
|
i
# |
i
*
| t |> t
o/2
(n - k)
Bn tri |
i
= (>) |
i
*
|
i
< |
i
*
t < - t
o
(n - k)

Bn phi |
i
= (s |
i
*
) |
i
> |
i
*
t > t
o
(n - k)


)

(
*

2
2
|
| |
se
t
qs

=
21
Ghi ch
Khi kim nh: H
0
:
j
= 0; H
1
:
j
# 0 th c 2 cch thc
hin:
Kim nh thng thng: dng t s t
c gi tr P: nu P< th bc b H
0

Khi khng ni r (mc ngha ca kim nh), hoc (1-
) ( tin cy dng khi tm KTC) th mc nh = 0.05
22
Kim nh F v s ph hp ca hm hi quy
V s ph hp ca hm hi quy:
Y=
1
+
2
TV+
3
IN +
4
P+ u
H
0
:
2
=
3
=
4
= 0; H
1
: c t nht 1 h s l khc 0
F
qs
= (R
2
/3) / [(1 R
2
) /(n -4)]
Nu F
qs
> f

(3, n-4) => bc b H

0
Cng thc chung:
Nu F
qs
= (R
2
/(k-1)) / [(1 R
2
) /(n -k)] >f

(k-1, n-k) => bc b

H
0
;

trong k l s bin c mt trong m hnh




n = 100; R
2
= 0.68
F
qs
= 68 > 3.1
Bc b H
0

23
Kim nh hi quy c iu kin rng buc- kim
nh F
V d: Mun kim nh: c hai hnh thc qung co u
khng c tc ng n li nhun
H
0
:
2
= 0;
3
= 0 ; H
1
: c t nht 1 trong 2 h s ny
khc 0
W

= (f

(m, n-k), ) = (f
0.05
(2,96), ) = (3.49, )
Thc hin hi quy thu hp: Y=
1
+
2
P+ v, thu c R
2
th


F
qs
thuc min bc b => bc b H
0
144
96 / ) 95 . 0 1 (
2 / ) 8 . 0 95 . 0 (
) /( ) 1 (
/ ) (
2
2 2
=

=


=
k n R
m R R
F
th
qs
24
Kim nh nh F (tip)
V d ch3bt3:
Hm hi quy c ph hp khng?
c P v ADD u cng khng nh hng n Q?
H
0
:
2
=
3
= 0; H
1
: c t nht 1 h s khc 0
Kim nh F: c thng k F:
F
qs
= 24.18 > f
0.05
(2, 17) => bc b H
0

c gi tr P ca thng k F:
Gi tr P ca thng k F = 0.00< 0.05 => bc b H
0

25
Bi ton d bo
Tr li bi ton v mc tng gi (lm pht)
Gi nh sang nm 2008: GDP tng 9%, cung tin tng
20%
Khi mc tng gi (trung bnh) s l bao nhiu?
Mc tng gi trung bnh s dao ng trong khong
no?
Mc tng gi (c bit) l bao nhiu?
Mc tng gi c bit s dao ng trong khong no?
Bi ton v d bo gi tr trung bnh v gi tr c bit


26
Thc hin d bo
D bo bng c lng im
D bo bng KTC
gi tr trung bnh



Gi tr c bit
2 / 1
2
2
0
2 /
2 / 1
2
2
0
2 /
)
) ( 1
(

| ( )
) ( 1
(

0


+ + < <

+
=
i
i X X
i
i
x
X X
n
t Y Y E
x
X X
n
t Y o o
o o
2 / 1
2
2
0
2 /
2 / 1
2
2
0
2 /
)
) ( 1
1 (

| )
) ( 1
1 (

0


+ + + < <

+ +
=
i
i X X
i
i
x
X X
n
t Y Y
x
X X
n
t Y o o
o o
27
Tm tt
ngha kinh t ca h s gc:


Khi X
2
tng 1 n v => Y tng
2
n v, khi cc bin
khc khng i



Khi X
2
tng 1% th trung bnh ca Y tng
2
% n v

ngha thng k ca h s gc: c khc 0 hay khng?
~ bin X tng ng c nh hng ln bin c lp
khng
i ki k i i i
u X X X Y + + + + + = | | | | ..
3 3 2 2 1
i ki k i i
u X X Y + + + + = ) ln( .. ) ln( ) ln(
2 2 1
| | |
28
V cc khuyt tt c th c ca m hnh
- a cng tuyn cao
- Phng sai ca sai s thay i
- T tng quan
- Dng hm sai
- Tnh chun ca ssnn
29
a cng tuyn
Khi nim v a cng tuyn: mi tng quan tuyn tnh
gia cc bin gii thch trong m hnh
CT hon ho
CT khng hon ho - ch quan tm khi CT cao
v d: gi du v CPI; gi tht ln v gi tht b; lao
ng v vn ca doanh nghip
Chng hn trong:
Y=
1
+
2
X
2
+
3
X
3
+ u ==> r
23
cao?
Y=
1
+
2
X
2
+...+
k
X
k
+ u ==> tng quan tuyn tnh
gia X
2
;...;X
k
cao
Lm sao pht hin: hi quy ph; ..v d: m Eviews

30
a cng tuyn
c lng OLS khi c hin tng a cng tuyn cao
Vn l ULTTKC tt nht trong lp cc UL TTKC
Tuy nhin n khng tt, nh sau:
Xt m hnh hi quy 3 bin, khi :


Phng sai ca cc UL ln => chnh xc thp
KTC thng rng
T s t thng nh => ?
Du h s c lng c th sai .v.v

=
2
2
2
23
2
2
) 1 (
)

var(
i
x r
o
|
31
Phng sai sai s thay i
Khi nim: var(u
i
) =
2
i
Nguyn nhn:
Mi quan h gia cc bin s
Con ngi hc c t hnh vi trong qu kh,
v.v.
UL OLS khi PSSS thay i:
Vn l UL tuyn tnh, khng chch, nhng khng hiu
qu
UL ca cc phng sai s chch
Kim nh T, F mt hiu lc

32
Kim nh White v PSSS thay i
H
0
: PSSS trong m hnh l khng i
c lng m hnh gc thu c cc phn d e
t

chy hm hi quy (trng hp c tch cho):


Nu:




Tng t vi trng hp khng c tch cho
V d (m eviews)

u X X X X X X e + + + + + + =
3 2 6
2
3 5
2
2 4 3 3 2 2 1
2
| | | | | |
) 1 ( ) 1 (
2 2
> k nR
o
_
PSSS thay i
=> R
2
(1)
) /( )) 1 ( 1 (
) 1 /( )) 1 ( (
2
2
k n R
k R
F


=
k: s bin trong m.h 1
33
Khc phc PSSS thay i
nh dng ca phng sai thay
Dng th d on dng ca phng sai
Thc hin cc kim nh kim nh d on
Cch khc phc: phng php bnh phng b nht
tng qut (GLS):
Bin i bin s m hnh mi c PPSS khng i
c lng bng OLS m hnh mi ny, t suy
ngc li h s cho m hnh gc
V d: Y=
1
+
2
TV+
3
IN +
4
P+ u
nu PSSS c dng: var(u
i
) = aTV
2
, khi
Y/TV=
1
/TV+
2
+
3
IN/TV +
4
P/TV+ u/TV
Khi var(u
i
/TV
i
) = var(u
i
)/ TV
i
2
= a = khng i
34
T tng quan
Khi nim: cov(u
i
; u
j
) >< 0 vi i><j
Cc dng ca t tng quan:
u
t
= u
t-1
+ v
t
==> t tng quan bc nht; AR(1)
u
t
=
1
u
t-1
+..+
p
u
t-p
+ v
t
=> AR(p)
v(t) l sai s ngu nhin, tha mn cc gi thit ca OLS.
Hu qu khi c t tng quan:
Vn l UL khng chch
Phng sai c lng ca thng b chch
Cc kim nh T, F khng ng tin cy
c lng cng l c lng chch =>

|

2
o
35
Pht hin t tng quan
Kim nh Durbin Watson, dng trong trng hp:
AR (1)
Khng c gi tr tr ca bin ph thuc l bin gii
thch
Khng mt quan st


0 2
4
d
L
d
U
4-d
L
4-d
U

TTQ
dng
TTQ
m
Khng c TTQ
Khng chng c
kt lun
36
Pht hin t tng quan
Khi c gi tr tr ca bin ph thuc l bin gii thch:
Durbin h
kim nh B-G
e
t
= a
1
+ a
2
X
t
+
1
e
t-1
+..+
p
e
t-p
+v
t
=> R
2
(1)

e
t
= a
1
+ a
2
X
t
+ vv
t
=> R
2
(2)

Nu:
) ( ) 1 (
2 2
p nR
o
_ >
*) /( )) 1 ( 1 (
/ )) 2 ( ) 1 ( (
2
2 2
k n R
p R R
F


=
hoc
M hnh gc c TTQ bc p
v d
Eviews
37
T tng quan- khc phc
Bin php khc phc:
gi s TTQ c dng AR(1): u
t
= u
t-1
+v
t

c lng h s t tng quan ri sau dng GLS
da trn h s c lng ny, nh sau:
t Y* = Y Y(-1); X* = X X(-1)
Thc hin OLS hm hi quy theo bin mi:
Y* =
1
+
2
X* + v

38
nh dng m hnh
Tha bin: => c lng OLS l khng chch, vng nhng
khng hiu qu
Kim nh tha bin
Kim nh tha 1 bin: kim nh T
Kim nh tha >= 2 bin: Kim nh F
Thiu bin: => c lng OLS chch v khng vng
Dng hm sai & thiu bin: Kim nh RESET
Hi quy m hnh gc: Y =
1
+
2
X+u , thu c c
lng ca Y
t
v R
2
(1)

Thc hin hi quy:



t
m
t t t t
u Y Y X Y + + + + + =

..

2
3 2 1
o o o Thu c R
2
(2)
39
nh dng m hnh (Tip)
Nu F
qs
= [(R
2
(2) R
2
(1)/(m-1)]/[ (1-R
2
(2))/(n-k(2)) ]>
f (m, n-k(2))
Bc b H
0
, trong H
0
: hm nh dng ng
Kim nh nhn t Lagrange (LM)
Hi quy hm hi quy gc, thu c c lng ca Y
t
v R
2
(1)
Thc hin hi quy:


Thu c R
2
(3). Nu => m hnh
nh dng sai



t
m
t t t t
u Y Y X e + + + + + =

..

2
3 2 1
o o o
) 1 (
2 2
> m nR
o
_
40
Tm tt
Mc ch ca phn tch hi quy
Phng php s dng UL m hnh hi quy tuyn tnh
c in: OLS
Cc kt qu c lng dng :
Suy din v cc h s trong tng th
T c cc ng dng thc t v chnh sch
cc UL thu c c cc tnh cht tt, m hnh cn
tha mn mt s gi thit c bn
xt v 4 gi thit c bn
M hnh vi bin gii thch l bin gi: xem gio trnh
Tnh chun ca ssnn: xem gio trnh
41
Nhng ni dung chnh cn nh
Hiu ngha kinh t/ ngha thng k ca cc h s
c lng trong m hnh
Hiu mt s thng k quan trng ca m hnh
Nm c 4 loi khuyt tt c th c ca m hnh v
hu qu
Nm c cc phng php pht hin chnh/ cng thc
ca cc thng k dng kim nh
Hiu c cch khc phc ca tng loi khuyt tt


42
Phn II
Kinh t lng nng cao
43
Chng I: M hnh t hi quy, m hnh tr phn
phi v kim nh quan h nhn qu
Yu cu:
Nm c bn cht 2 loi m hnh
Nm c phng php UL IV
Nm c cch bin i m hnh c tr phn phi thnh
m hnh t hi quy
Nm c kim nh nhn qu

44
M hnh t hi quy v m hnh c tr phn phi
M hnh t hi quy: L m hnh trong c t nht mt
bin gii thch l gi tr tr ca bin ph thuc
V d: Y
t
= a
1
+a
2
X
t
+ a
3
Y
t-1
+ u
t
M hnh c tr phn phi: L m hnh trong c c gi
tr hin ti v gi tr tr ca bin gii thch.





b
0
tc ng ngn hn, l tc ng tc th ca s ca X
ln bin Y
b
0
+...+b
k
+...= tc ng di hn ca X ln Y, l: ----

Y
t
= a+b
0
X
t
+...+b
k
X
t-k
+ u
t

m hnh c tr phn phi
hu hn; k: chiu di ca tr
Y
t
= a+b
0
X
t
+...+b
k
X
t-k
+..+ u
t

m hnh c tr phn phi
v hn
45
u l m hnh ng:
S liu theo thi gian
Th hin tc ng tr gia cc bin s kinh t (chnh
sch tin t v lm pht, cung-cu v gi,.v.v)

46
c lng m hnh c tr phn phi
Gi s m hnh cn UL l:
Y
t
= a+b
0
X
t
+...+b
k
X
t-k
+..+ u
t
Phng php Alt and Tinbergen: Dng phng php OLS
UL Y
t
theo X
t
, thu c c lng ca b
0
UL Y
t
theo X
t
v X
t-1
, thu c c lng ca b
0
v b
1;
,v.v

Dng qu trnh trn khi UL ca h s cui cng khng c
ngha thng k, hoc du ca t nht mt h s UL thay i
Nhc im ca phng php trn:
Khng c nh hng ban u v chiu di ca tr
Khi c lng cc tr k tip => s bc t do b gim i =>
cc suy din s thiu chnh xc
Cc bin tr thng c tng quan cao=> vn v a cng
tuyn
Cn n cch tip cn khc => chuyn v dng m hnh t hi
quy?
47
Bin i m hnh c tr phn phi thnh m hnh
t hi quy
Mc ch: nhm UL cc tham s ca m hnh c tr phn phi
tng: a ra cc gi nh v dng ca dy cc h s b
j
Dng gi nh ny chuyn m hnh v dng t hi quy
Phng php Koyck: Xt m hnh c tr phn phi v hn:
Y
t
= a+b
0
X
t
+...+ b
k
X
t-k
+..+ u
t
(2.1)
Gi nh: b
0
;b
1
;.. c cng du v:
b
k
= b
0

k
vi 0<<1; k = 0,1,... (2.2)
Khi (2.1) tng ng vi:


) 3 . 2 ( .. ...
0 1 0 0 t k t
k
t t t
u X b X b X b a Y + + + + + + =


) 4 . 2 ( .. ...
1 1 0 2 0 1 0 1
+ + + + + + =
t k t
k
t t t
u X b X b X b a Y
48
Bin i m hnh (tip)
T (2.3) v (2.4)


b
0
: tc ng ngn hn ca X ln Y
b
0
+...+b
k
+...= b
0
/(1-): tc ng di hn ca X ln Y
Nhn xt:
Php bin i Koyck chuyn m hnh c TPP v dng
m hnh THQ
S h s cn c lng trong m hnh THQ ch cn l 3
Tuy nhin vic suy din v dng hm THQ da trn gi
nh (2.2) c v mang tnh ring bit v khng da trn
nn tng l thuyt no c ???
Nhng khi nhn t kha cnh khc th li hp l =>
) 5 . 2 ( ) ( ; ) 1 (
1 1 0
= + + + =
t t t t t t t
u u v v Y X b a Y
49
Tnh hp l ca m hnh Koyck

M hnh k vng thch nghi
Y
t
= a + bX
t
*
+u
t
(2.6)

Y: din tch trng trong nm; X*: gi mong i
Mong i v gi c iu chnh da theo sai lch
trong qu kh:


Thay (2.7) vo (2.6)


) 7 . 2 ( ) (
*
1 1
*
1
*

=
t t t t
X X X X
) 8 . 2 ( ) ) ) 1 ( ( ) 1 (
1 1 1
+ + + =
t t t t t
u u Y X b a Y
M hnh t hi quy
50
Tnh hp l ca m hnh Koyck (tip)
M hnh iu chnh ring (m hnh hiu chnh b phn):
Y*
t
= a + bX
t-1
+cZ
t
+ u
t
(2.9)
Y*: din tch gieo trng cn bng; X: gi thc t; Z:
cc bin khc


Thay (2.10) vo (2.9):


M rng ca Koyck (c gio trnh)

1 0
) 10 . 2 ( ) (
1
*
1
s <
=

o
o
t t t t
Y Y Y Y
t t t t t
u cZ Y X b a Y o o o o o + + + + =
1 1
) 1 (
51
c lng m hnh t hi quy
Q: c th dng OLS UL m hnh THQ ni trn khng?
Xt gi thit OLS ca 3 m hnh trn
M hnh mong i hp l v m hnh Koyck:
Y
t-1
v v
t
c tng quan
Cc v
t
l t tng quan
Do OLS s cho UL chch, khng vng=> khng ph
hp
M hnh iu chnh ring: OLS tha mn nhng i hi n
ln.
=> Cn phng php c lng mi c lng m
hnh t hi quy

52
Phng php bin cng c
tng: Nhm gii quyt vn v s tng quan gia
bin gii thch Y
t-1
v sai s ngu nhin v
t;
bng cch thay
th Y
t-1
bng mt bin Z
t
c tnh cht:
C cng tuyn cao vi bin Y
t-1

Khng tng quan vi v
t
Bin nh vy c gi l bin cng c
Thc hin: (Liviatan)
chn X
t-1
lm bin cng c cho Y
t-1

p dng OLS cho m hnh vi bin cng c ny

53
Tr a thc Almon
tng: L mt cch tip cn khc ca m hnh TPP, vi
gi thit cc h s trong m hnh c th biu din c
di dng a thc nh sau
b
i
= a
0
+ a
1
i+a
2
i
2
hoc b
i
= a
0
+ a
1
i+a
2
i
2
+...+a
r
i
r
Thc hin: dng php i bin s v sau p dng OLS
V d: vi m hnh TPP c chiu di tr l 5:
Y
t
= a+b
0
X
t
+...+ b
5
X
t-5
+ u
t

Gi s r = 2. Php i bin c thc hin nh sau:

+ + = =
+ + + = =
+ + = =
5
0
5 2
2
2
5
0
5 2 1
5
0
5 0
25 ... 4
5 ... . 2
....
t t t i t t
t t t i t t
t t i t t
X X X X i Z
X X X iX Z
X X X Z
Y
t
= a+ a
0
Z
0t
+ a
1
Z
1t
+ a
2
Z
2t
+u
t

54
Kim nh quan h nhn qu
T phn tch hi quy ni chung khng suy ra c quan
h nhn qu
i vi hi quy theo chui thi gian, c th suy din
c v quan h nhn qu
Khi nim nhn qu Grange:
X=>Y nu X gip d bo Y
Y=> X nu Y gip d bo X
X Y?
55
Kim nh quan h nhn qu (tip)
Thc hin kim nh:
H
0
: X khng gy ra Y; H
a
: X gy ra Y
Thc hin OLS:
Y
t
=
0
+
1
Y
t-1
+..+
m
Y
t-m
+
1
X
t-1
+..+
m
X
t-m
+u
t
(*)
Y
t
=
0
+
1
Y
t-1
+..+
m
Y
t-m
+ u
t
(**)
F
qs
= [ (R
2
*
- R
2
**
)/m]/[(1-R
2
*
)/n-k]
Nu F
qs
> f

(m, n-k) => bc b H

0
; X gy ra Y
Tng t i vi:
H
0
: Y khng gy ra X; H
a
: Y gy ra X
V d 2 (Eviews/ demo.wf1):

56
Tm tt chng I
Bin c lp c th c nh hng lu di n bin ph
thuc => m hnh tr phn phi
Y
t
= a+b
0
X
t
+...+ b
k
X
t-k
+..+ u
t

Mun c lng tc ng di hn v tc ng ngn hn
Chuyn v m hnh t hi quy:
Y
t
= a
1
+a
2
X
t
+ a
3
Y
t-1
+ u
t
Khi : a
2
tc ng ngn hn, a
2
/(1-a
3
) tc ng di hn
ca X
C 3 dng ca m hnh t hi quy
Bin i Kyock: gi s v dng ca b
i
M hnh k vng hp l
M hnh iu chnh ring
v
t
: TTQ
V
t
: khng TTQ
57
Tm tt chng I
Nu m hnh t hi quy l m hnh hiu chnh ring th
c th p dng c OLS c lng tc ng di
hn v tc ng ngn hn
Th no l m hnh hiu chnh ring?
Y*
t
= a + bX
t
+cZ
t
+ u
t
=> qua qu trnh hiu chnh =>
Y
t
= a
1
+a
2
X
t
+ a
3
Y
t-1
+ v
t,
trong v
t
khng t tng
quan

58
Tip
Nu m hnh t hi quy l m hnh k vng thch nghi
hoc m hnh Kyock: OLS l khng thch hp v Y
t-1
c
tng quan vi ssnn=> dng phng php bin cng c
Phng php BCC: tm mt bin thay th cho Y
t-1
trong
m hnh v UL OLS cho m hnh c thay th ny
Trong gi ca Liviatan l: dng X
t-1
lm bin cng
c cho Y
t-1


59
M hnh nhiu phng trnh
60
Gii thiu

Y= f(X, Z,u)
Z=g(X,Y,v)
Gi thit OLS b vi phm=>
Khng s dng c OLS
61
C ch lin h ngc
Gii thiu:
Trong m hnh c nhiu phng trnh gia cc bin s
Gia cc bin ny c th c mi quan h qua li =>
C th tn ti tng quan gia cc bin gii thch vi
sai s ngu nhin =>
Vi phm gi thit c bn ca OLS => ?
V d1: m hnh cung - cu: quan h gia cung cu v gi
ca mt loi hng ha
Q
D
= a
1
+a
2
P + u
1
; (4.1)
Q
S
=b
1
+b
2
P + u
2
; (4.2)
Q
D
= Q
S
(4.3)
Q: P v U
2
c tng quan khng?
Q: C nhn c gi tr quan st cho c (4.1) v (4.2)?
62
S
D
Q
P
P
1

P
0

Q
1
Q
0

Ban u th trng cn
bng mc gi P
0
v sn
lng Q
0
Gi s c c sc v cung=> ng
cung dch chuyn, ko theo s thay
i trong gi v sn lng
u
2
thay i ko theo P thayi:
c tng quan gia u
2
v P
63
V d 2: M hnh Keynes dng n gin:
C
t
= a
1
+ a
2
Y
t
+ u
t
(4.4)

Y
t
= C
t
+ I
t
(4.5)

C
t
v Y
t
c tc ng ln nhau
Khi u
t
thay i => C
t
thay i ==> Y
t
thay i. Ngha
l u
t
v Y
t
c tng quan vi nhau: phng trnh (4.4)
vi phm gi thit ca OLS.

(4.4) (4.5)
cc UL. OLS s l
UL chch v khng vng
64
Tm tt: cc mi quan h 2 chiu gia cc bin s kinh
t c th lm cho:
M hnh khng xc nh c (hm cung/ hm cu?)
M hnh xc nh c nhng vi phm gi thit ca
phng php OLS v tnh khng tng quan gia
bin gii thch v SSNN
Khi cc UL thu c t OLS:
Chch
Khng vng
Khi cn phi dng n cc phng php c
lng khc => cn xem xt vn nh dng c
cc phng php c lng tng ng
65
nh dng
Bin ni sinh: bin m gi tr ca n c xc nh t m hnh
Bin ngoi sinh: cc gi tr ca n c xc nh ngoi m
hnh (bao gm c bin tr ca bin ni sinh, ca bin ngoi
sinh)
Xt h M phng trnh
Mt Kt MK t M t M M M t M t M t M Mt
t Kt K t Mt M t t t
t Kt K t Mt M t t t
u X X Y Y Y Y Y
u X X Y Y Y Y
u X X Y Y Y Y
+ + + + + + + =

+ + + + + + =
+ + + + + + =

o o | | | |
o o | | |
o o | | |
.. .
.. . .
.. ..
1 1 ) 1 ( ) 1 ( 3 3 2 2 1 1
2 2 1 21 1 3 23 1 21 2
1 1 1 11 1 3 13 2 12 1
(4.6)
Cc phng trnh cu trc; cc phng trnh hnh vi,
cc h s: h s cu trc
66
Phng trnh rt gn: rt ra t phng trnh hnh vi, trong



Phng trnh rt gn cho v d 2: I
t
bin ngoi sinh




(4.7) v (4.8) l cc p.t rt gn ca (4.4) v (4.5)

t t
2
2
2
1
w I
- 1

1

+ +

=
t
C
t t
2 2
1
w I
- 1
1

1

+ +

=
t
Y
C
t
= t
1
+ t
2
I
t
+ w
t
(4.7)
Y
t
= t
3
+ t
4
I
t
+ w
t
(4.8)
t2 v t4: cc nhn t ngn hn, th hin tc ng tc th ca
s thay i ca bin ngoi sinh I
t
ln cc bin ni sinh (C
t
v Y
t
)

tng ng
bin ni sinh f(bin ngoi sinh; ssnn)
67
Nhn xt:
Phng trnh cu trc (= p.t hnh vi): v phi c cha
c bin ni sinh
Phng trnh rt gn: v phi ch cha bin ngoi
sinh
OLS p dng c cho cc p.t rt gn, thu c cc

j
(Ti sao?)
T c th suy ngc ra cc h s ca cc p.t cu
trc
Khi no th suy ngc ra c? Vn nh dng


68
nh dng
P.t khng nh dng c: l phng trnh hnh vi m
cc h s ca n khng suy ra c t cc h s ca h
phng trnh rt gn
V d: tr li v d v cung-cu
Q
Dt
=
1
+
2
P
t
+ u
1t
Q
St
=
1
+
2
P
t
+ u
2t

Q
st
= Q
Dt





P
t
=
1
+v
t
;
1
=(
1
-
1
)/(
2
-
2
)

Q
t
=
2
+w
t
;
2
=(
1

2
-
2

1
)/(
2
-
2
)

H phng trnh
rt gn
t
1
v
2
khng th suy
ra c 4 h s
i
v
i

Bin ni sinh: P
t
; Q
t
=>
69
Phng trnh nh dng c: l phng trnh hnh vi
m cc h s ca n c th suy ra c t cc h s
ca h phng trnh rt gn, v c chia lm 2 loi:
Phng trnh nh dng ng: cc h s ca n
c xc nh mt cch duy nht t cc h s ca
h phng trnh rt gn
Phng trnh v nh: cc h s ca n c xc
nh mt cch khng duy nht t cc h s ca h
phng trnh rt gn
V d:
Q
Dt
=
1
+
2
P
t
+
3
I
t
+ u
1t
Q
St
=
1
+
2
P
t
+
3
P
t-1
+ u
2t


1
+
2
P
t
+
2
I
t
+ u
1t
=
1
+
2
P
t
+
3
P
t-1
+ u
2t


70
Bin ngoi sinh: I
t
; P
t-1
=> h rt gn l:
P
t
=
1
+
2
I
t
+
3
P
t-1
+ v
1t
Q
t
=
4
+
5
I
t
+
6
P
t-1
+ v
2t
Trong :

1
= (
1
-
1
)/(
2
-
2
);
2
= -
3
/(
2
-
2
);
3
=
3
/(
2
-
2
)

4
= (
2

1
-
1

2
)/(
2
-
2
);
5
= -
3

2
/(
2
-
2
);

6
=
2

3
/(
2
-
2
)
T h (*): cc h s cu trc c suy ra mt cch duy
nht t cc h s rt gn => c 2 p.t cung/ cu u nh
dng ng
(*)
71
Quy tc nh dng
Gi M: s bin ni sinh; K: s bin ngoi sinh ca m
hnh
Xt phng trnh vi m bin ni sinh, k bin ngoi sinh.
iu kin cn, iu kin p.t l nh dng c?
iu kin cn:
phng trnh ni trn l nh dng c th: K-k>=m-1
Khi K-k = m-1: phng trnh nh dng ng
Khi K-k >m-1: phng trnh v nh
V d:


P.t (1): m =2, k=0 => K-k=0< m-1=1=> khng nh dng
c
P.t (2)?
Q
t
=
1
+
2
P
t
+ u
1t
(1)
Q
t
=
1
+
2
P
t
+ u
2t
(2)
M= 2; K = 0; m -1 = 1
72

V d:
Q
t
=
1
+
2
P
t
+
3
I
t
+ u
1t
(3)

Q
St
=
1
+
2
P
t
+ u
2t
(4)
I: bin ngoi sinh; M =2; K = 1
p.t (3): k = 1; m=2, K-k = 0< m-1=1 => khng nh dng
c
p.t (4): k=0;m=2, K-k= m-1=1=> nu nh dng c th
nh dng ng



M = 2, K = 1
73
iu kin cn v
nh l: Trong m hnh c M phng trnh, mt p.t l nh
dng c khi v ch khi tn ti t nht mt nh thc cp
M-1 khc khng c xy dng t h s ca cc bin
khng c trong p.t nhng c trong cc p.t khc ca
m hnh
Cch kim tra /k ca 1 p.t, chng hn p.t th j:
Lp bng ma trn h s ca tt c M phng trnh,
khng tnh h s t do
Gch b cc ct m h s p.t j l khc khng
Tm xem c tn ti nh thc cp (M-1) khc khng?
iu kin trn gip xc nh 1 p.t l nh dng c hay
khng. Vi p.t nh dng c, /k cn cho bit p.t
nh dng ng hay v nh
74
V d:






t t t t t
t t t t t
t t t t t
t t t t t
u X Y Y Y
u X X Y Y
u X X Y Y
u X Y Y Y
4 3 41 2 42 1 41 40 4
3 2 32 1 31 1 21 30 3
2 2 22 1 21 3 23 20 2
1 1 11 3 13 2 12 10 1
.
.
=
=
=
=
o | | |
o o | |
o o | |
o | | |
pt Y
1
Y
2
Y
3
Y
4
X
1
X
2
X
3

1 1 -
12
-
12
0 -
11
0 0
2 0 1 -
23
0 -
21
-
22
0
3 -
31
0 1 0 -
31
-
32
0
4 -
41
-
42
0 1 0 0 -
43

Y
4
X
2
X
3

0 -
22
0
0 -
32
0
1 0 -
43
p.t 1
Mi nh thc cp 3 (= M-1) bng 0 => p.t 1 khng
nh dng c
75
Kim nh v s tng quan gia 1 bin gii thch
v ssnn
Nu khng tn ti tng quan, khi cc ULOLS s l UL
vng v hiu qu. Nu c tn ti tng quan, ULOLS s
chch v khng vng. Dng kim nh Hausman
Kim nh Hausman c th hin nh sau: Xt m hnh
Q
t
=
1
+
2
P
t
+
3
I
t
+
4
R
t
+ u
1t
Nghi ng P
t
c tng quan vi u
1t
(v Q
t
=
1
+
2
P
t
+ u
2t
)
Phng trnh rt gn c dng:
P
t
=
1
+
2
I
t
+
3
R
t
+ v
1t
(5)

c lng (5) bng OLS thu c P v v
1t
.
c lng: Q
t
=
1
+
2
P
t
+
3
v
1t
+u
2t
. Nu h s ca v
1t

khc khng mt cch c ngha => c tng quan gia P
v u
2

76
c lng h phng trnh
Nu kim nh Hausman cho thy c tng quan gia
bin gii thch v ssnn => khng s dng c OLS
Phng php thng c s dng: c lng ring l
tng phng trnh (p/php thng tin khng y )
S trnh by cc p/p c lng cho 3 dng m hnh
M hnh quy
M hnh trong cc p/t l nh dng ng
M hnh trong c cc p/t l v nh
77
M hnh quy- OLS
Xt m hnh c dng quy nh sau:
Y
1t
=
10
+
11
X
1t
+
12
X
2t
+u
1t
(4.9)


Y
2t
=
20
+
21
Y
1t
+


21
X
1t
+
22
X
2t
+u
2t
(4.10)


Y
3t
=
30
+
31
Y
1t
+
32
Y
2t
+
31
X
1t
+
32
X
2t
+u
3t
(4.11)

Cc sai s u
1
, u
2
v u
3
l khng tng quan vi nhau
Trong : Y
i
: bin ni sinh; X
i
bin ngoi sinh
Xt (4.9): khng c bin ni sinh v phi => OLS
Xt (4.10): c bin ni sinh v phi, nhng
cov(Y
1t
, u
2t
) = cov(u
1t
; u
2t
) = 0 ( ga thit) => OLS
Tng t cho (4.11) =>OLS
Nu m hnh c dng quy, c th dng OLS UL cho
tng phng trnh
78
Nu m hnh nh dng ng => dng ILS
V d 3 (eviews)

Phng php ILS gm cc bc:
B1: Tm h phng trnh rt gn
B2: UL tng p.t rt gn bng OLS
B3: Tm UL ca h s cu trc t cc h s UL ca cc
p.t rt gn

UL phng trnh nh dng ng, p/p bnh
phng b nht gin tip (ILS)

Khng p dng c nu phng trnh l v nh
79
UL phng trnh v nh, p/p bnh phng b
nht 2 giai on (2SLS)

Nu cc phng trnh trong m hnh l v nh => dng
2SLS hoc 3SLS
V d 4
Phng php 2SLS gm 2 bc sau:
c lng cc phng trnh rt gn, thu c Y
i
c lng cc phng trnh ban u, trong cc
bin Y
i
v phi c thay bng cc UL ca n

80
2SLS- cc u im chnh
D p dng
C th p dng cho tng phng trnh ring r
p dng c cho c phng trnh nh dng ng, khi
kt qa trng vi kt qu thu c t ILS
Cho bit cc lch chun ca cc c lng
Cho ngay cc UL cho cc h s
Tuy nhin ch nn dng trong trng hp mu ln

81
Tm tt chng
Trong m hnh nhiu phng trnh, thng thng cc bin
c gii thch trong cc pt l c quan h vi nhau, khi
thng gy ra hin tng cc bin v phi c tng
quan vi ssnn => khi OLS l khng ph hp
Khi nu phng trnh l nh dng c th c th c
lng thng qua h phng trnh rt gn
Nu l nh dng ng: ILS: UL OLS h p.t rt gn ri tnh
ngc li cho h s ca cc phng trnh hnh vi (pt gc)
Nu l v nh: dng 2SLS, UL OLS p.t rt gn ri ly kt
qu UL lm bin s cho p.t hnh vi c lng tip

82
V d 3
Xt m hnh:
C
t
=
1
+
2
Y
t
+ u
t
Y
t
= C
t
+ I
t
; I: bin ngoi sinh
Cu hi: nh dng phng trnh (1); (2)?
Xt iu kin : p.t 1





Xt iu kin cn cho p.t 1:
K=1, k =0 => K-k = 1; m =2; m-1 = 1=> K-k =m-1 => nh
dng ng => c th thc hin c ILS



pt C Y I
(1) 1 -
2
0
(2) -1 1 1
Tn ti ma trn cp 1x1
khc khng => (1)nh
dng c
83
Thc hin ILS
B1: Phng trnh rt gn cho (1): C
t
=
1
+
2
I
t
+v
t
=>
B2: UL p.t rt gn thu c: CONS = 258.71 + 8.04*I
Ngha l: c lng ca
1
l: 258.71; ca
2
l 8.04
B3: Tnh ngc li cho c lng ca p.t hnh vi:
C
t
=
1
+
2
Y
t
+ u
t
;

Y
t
= C
t
+ I
t
=>


C
t
=
1
+
2
(C
t
+ I
t
)+u
t
;
(1-
2
)C
t
=
1
+
2
I
t
+u
t

C
t
=
1
/ (1-
2
) + (
2
/(1-
2
)) I
t
+u
t
/(1-
2
)

1
=
1
/ (1-
2
) ;
2
=
2
/ (1-
2
);
2
=
2
/(1+
2
);
1
=
1
/(1+
2
);
UL ca
1
= 258.71/(1+8.04); ca
2
= 8.04/(1+8.04)
(nhiu khi phi UL ton b h phng trnh rt gn th mi
tnh ngc c ra cc h s ban u, y ch trnh by
mt trng hp minh ha)
84
V d 4
M hnh:
R
t
= a
1
+ a
2
M
t
+ a
3
Y
t
+ a
4
M
t-1
+ u
1t
(3)
Y
t
= b
1
+ b
2
R
t
+ b
3
I
t
+ u
2t
(4)

Bin ni sinh: R
t
; Y
t
Kim tra nh dng: p.t (4) nh dng c dng v
nh => khng dng ILS c
Dng 2SLS
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