Kinh tế lượng - Chương 4

Chng trnh Giang day Kinh te Fulbright
Nien khoa 2003-2004

Phng phap phan tch
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Nhap mon kinh te lng vi cac ng dung
Chng 4: Mo hnh hoi quy boi

Ramu Ramanathan Thuc oan/Hao Thi 1

CHNG 4

Mo Hnh Hoi Qui Boi

Trong Chng 3 chung ta gii han trong trng hp n gian cua mo hnh hoi qui hai bien.
Bay gi, chung ta se xem xet hoi qui boi, ngha la lien he bien phu thuoc Y cho trc vi
nhieu bien oc lap X
1
, X
2
, ..., X
k
. Mo hnh hoi qui tuyen tnh a bien co cong thc tong quat
nh sau:

Y
t
=
1
+
2
X
t2
+ ... +
k
X
tk
+ u
t
(4.1)

X
t1
c at bang 1 e co c tung o goc. Ch t nho bieu th so lan quan sat va
co gia tr t 1 en n. Cac gia thiet ve so hang nhieu, u
t
, hoan toan giong nhng gia thiet a
xac nh trong Chng 3. Trong cac ac trng tong quat cua mot mo hnh hoi qui boi, Viec
la chon cac bien oc lap va bien phu thuoc xuat phat t cac ly thuyet kinh te, trc giac, va
kinh nghiem qua kh. Trong v du ve nganh bat ong san Chng 3, bien phu thuoc la gia
cua can nha mot ho gia nh. Chung ta a e cap o la ch so gia - hng thu phu thuoc
vao ac iem cua can nha. Bang 4.1 trnh bay d lieu bo sung cho 14 can nha mau a ban.
Lu y rang, d lieu cho X
1
ch n gian la mot cot gom cac so 1 va tng ng vi so hang
khong oi. Tnh ca so hang khong oi, co tat ca la k bien oc lap va v vay co k he so tuye n
tnh cha biet can c lng.
Mo hnh tuyen tnh boi trong v du nay nh sau:

PRICE =
1
+
2
SQFT +
3
BEDRMS +
4
BATHS + u (4.2)

Cung nh trc, gia c tnh bang n v ngan o la. Ngoai dien tch s dung, gia con lien
he vi so phong ngu cung nh so phong tam.
Anh hng cua thay oi trong Y
t
khi ch co X
ti
thay oi c xac nh bi Y
t
/X
ti
=
i
. V vay, y ngha cua he so hoi qui
i
la, gi gia tr cua tat ca cac bien khac khong
oi, neu X
ti
thay oi mot n v th Y
t
ky vong thay oi, trung bnh la,
i
n v. Do o,
4

trong phng trnh (4.2) c dien giai nh sau: Gia hai can nha co cung dien tch s dung
(SQFT) va so phong ngu (BEDRMS), can nha nao co them mot phong tam c ky vong se
ban vi gia cao hn, trung bnh, khoang
4
ngan o la. V vay, phan tch hoi qui boi giu p
chung ta kiem soat c mot tap hp con cac bien giai thch va kiem tra anh hng cua mot
bien oc lap a chon.

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Bang 4.1 D lieu ve nha mot ho gia nh (gia tnh bang ngan o la)

t
Gia
(Y)
Hang so
(X
1
)
SQFT
(X
2
)
BEDRMS
(X
3
)
BATHS
(X
4
)
1 199,9 1 1.065 3 1,75
2 228 1 1.254 3 2
3 235 1 1.300 3 2
4 285 1 1.577 4 2,5
5 239 1 1.600 3 2
6 293 1 1.750 4 2
7 285 1 1.800 4 2,75
8 365 1 1.870 4 2
9 295 1 1.935 4 2,5
10 290 1 1.948 4 2
11 385 1 2.254 4 3
12 505 1 2.600 3 2,5
13 425 1 2.800 4 3
14 415 1 3.000 4 3

4.1 Phng trnh chuan

Trong trng hp mo hnh hoi qui boi, Gia thiet 3.4 c hieu chnh nh sau: Moi X cho
trc sao cho Cov(X
si
, u
t
) = E(X
si
u
t
) = 0 vi moi i t 1 en k va moi s, t t 1 en n. V vay,
moi bien oc lap c gia nh la khong lien he vi tat ca cac so hang sai so. Trong trng
hp cua thu tuc bnh phng toi thieu thong thng (OLS), chung ta nh ngha tong cua
bnh phng sai so la

ESS =
n

t = 1
u
t
^
2
=
n

t = 1
(Y
t
-
^
1
-
^
2
X
t2
- ... -
^
k
X
tk
)
2

Thu tuc OLS cc tieu ESS theo
^
1
,
^
2
...,
^
k
. Bang cach thc hien nh trong Phan 3.A.3,
chung ta co the co c cac phng trnh chuan, so phng trnh chuan bang so he so tuyen
tnh c lng. Do o chung ta co k phng trnh trong o k he so hoi qui cha biet (cac
tong c tnh theo ch so t ngha la so lan quan sat):
Y
t
= n
^
1
+
^
2
X
t2
+ ... +
^
k
X
tk
Y
t
X
t2
=
^
1
X
t2
+
^
2
X
2
t2
+ ... +
^
k
X
tk
X
t2

...............................................................................................................

Y
t
X
ti
=
^
1
X
ti
+
^
2
X
t2
X
ti
+ ... +
^
k
X
tk
X
ti

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Y
t
X
tk
=
^
1
X
tk
+
^
2
X
t2
X
tk
+ ... +
^
k
X
2
tk

k phng trnh chuan tren co the giai c cac nghiem n (ch tr mot vai trng
hp ngoai le trnh bay trong Chng 5). Cac chng trnh may tnh chuan thc hien c
moi tnh toan nay khi nhap d lieu vao va xac nh cac bien oc lap, bien phu thuoc. Phu
luc 4.A.1 mo ta cac bc oi vi mo hnh ba bien trong o Y hoi qui theo mot so hang
khong oi, X
2
va X
3
.
Cac tnh chat 3.1 en 3.3 cung ung trong trng hp hoi qui tuyen tnh boi. Do o,
cac c lng OLS la BLUE, khong thien lech, hieu qua va nhat quan. Phan d va cac gia
tr d oan co c t cac lien he sau:

u
t
^
= Y
t
-
^
1
-
^
2
X
t2
- ... -
^
k
X
tk

Y
t
^
=
^
1
+
^
2
X
t2
+ ... +
^
k
X
tk
= Y
t
- u
t
^

V DU 4.1

oi vi mo hnh a neu trong Phng trnh (4.2), lien he c lng la (xem phan Thc
hanh may tnh 4.1)

PRICE = 129,062 + 0,1548SQFT 21,588BEDRMS 12,193BATHS

Lap tc chung ta lu y la cac he so hoi qui cua BEDRMS va BATHS eu am, trai vi
chung ta mong i. Chung ta co the cam thay theo trc giac la them phong tam hoac
phong ngu se tang gia tr cua can nha. Tuy nhien, he so hoi qui co y ngha ung ch khi
moi bien khac eu khong thay oi. Do o, neu chung ta tang so phong ngu len mot, gi
nguyen SQFT va BATHS khong oi, gia trung bnh c ky vong se ha xuong khoang
$21.588. Neu cung mot dien tch s dung c chia nho e co them mot phong ngu th moi
phong ngu se co dien tch nho hn. D lieu cho thay la, trung bnh, ngi mua anh gia
thap viec chia nho dien tch nay va v vay ho se ch san long tra mot mc gia thap hn.
Ly luan tng t cho BATHS. Gi nguyen SQFT va BEDRMS khong oi, neu ta
tang them mot phong tam, gia trung bnh ky vong se giam khoang $12.193. Mot lan na,
tang them phong tam nhng van gi nguyen dien tch s dung cung co ngha la phong ngu
se nho hn. Ket qua cho thay s khong ong y cua khach hang va v vay chung ta quan sat
thay gia trung bnh giam. T lap luan nay chung ta lu y la nhng dau co ve khong nh
mong i luc au (thng c goi la dau sai) lai c giai thch hp ly.
Gia s chung ta tang them mot phong ngu va tang them dien tch s dung khoang
300 (cho them hanh lang va cac yeu to lien quan khac). BEDRMS se tang them 1 va
SQFT tang them 300. Thay oi gia trung bnh (PRICE) la ket qua cua tac ong ket hp
nh sau:

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PRICE =
^
2
SQFT+
^
3
BEDRMS = 300
^
2
+
^
3

Trong mo hnh, phan nay the hien mot khoang tang $24.852 trong gia trung bnh
c lng [c tnh nh sau (300 x 0,1548) 21,588; n v ngan o la], mc gia nay co
ve hp ly.

BAI TAP THC HANH 4.1
Gia s tang them mot phong tam va mot phong ngu, vi dien tch s dung tang them 350
bo vuong. Mc gia trung bnh ky vong tang them bao nhieu? Gia tr nay co ang tin
khong?

D bao gia trung bnh cua mot can nha vi 4 phong ngu, 3 phong tam va dien tch s dung
la 2.500 bo vuong. D bao co hp ly so vi d lieu trong Bang 4.1 khong?

Mot c lng khong thien lech cua phng sai phan d
2
c tnh bang s
2
=
^2
=
u
t
^
2
/(n-k), vi n la so lan quan sat s dung trong c lng va k la so he so hoi qui c
lng, gom ca so hang khong oi. Chng minh phat bieu nay ve nguyen tac tng t nh
a trnh bay trong phan 3.A.7, nhng phc tap hn nhieu v co en k phng trnh chuan
ay (xem Johnston, 1984, trang 180-181). Trong Chng 3 chung ta chia tong bnh phng
sai so cho n 2 e c c lng khong thien lech cua
2
. ay, k phng trnh chuan
at ra k rang buoc, ieu nay dan en viec mat i k bac t do. V vay, chung ta chia cho
n k. Bi v
^2
phai khong am, n phai ln hn k. Thu tuc e tnh sai so chuan cua cac
^
la
tng t, nhng cac phep tnh bay gi se nham chan hn nhieu. Cac chng trnh may tnh
cung cap cac phep toan thong ke can thiet e c lng cac thong so va kiem nh gia
thuyet ve chung. Co the thay la u
t
^
2
/
2
co phan phoi Chi bnh phng vi bac t do n k
(xem Johnston, 1984, trang 181). Cac ket qua nay c tom tat trong tnh chat 4.1.

Tnh Chat 4.1
a. Mot c lng khong thien lech cua phng sai sai so (
2
) c tnh bang

s
2
=
^2
=
ESS
n - k
=
u
t
^
2
n - k

vi ESS la tong bnh phng cua cac phan d
b. ESS/
2
co phan phoi Chi bnh phng vi bac t do n k. Lu y rang tnh chat nay phu
thuoc ac biet vao Gia thiet 3.8 la so hang sai so u
t
tuan theo phan phoi chuan N(0,
2
).

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Cac Gia Tr D Bao Va Sai So Chuan

Cung nh trong mo hnh hoi qui n bien, chung ta se quan tam en tao ra cac d bao co
ieu kien cua bien phu thuoc vi cac gia tr cho trc cua cac bien oc lap. Gia s X
fi
la
gia tr cho trc cua bien oc lap th i vi i = 2, ..., k, va t = f, vi cac gia tr nay chung ta
muon d bao Y. nh ngha

=
1
+
2
X
f2
+ +
k
X
fk
Va
^
= Y
^
f
, nh ngha trc o t = f, va v vay d bao can co la gia tr c lng cua , va
sai so chuan tng ng se giup chung ta xay dng mot khoang tin cay cho d bao. Giai
1

t phng trnh tren va thay vao mo hnh ban au, chung ta co

Y
t
= -
2
X
f2
- ... -
k
X
fk
+
2
X
t2
+...+
k
X
tk
+ u
t

Nhom so hang mot cach thch hp, ta co the viet lai nh sau:

Y
t
= +
2
(X
t2
X
f2
) +... +
k
(X
tk
X
fk
) + u
t

= +
2
Z
t2
+ ... +
k
Z
tk
+ u
t

vi Z
ti
= X
ti
X
fi
, cho i = 2, ..., k. Viec viet lai cong thc nay ch ra cac bc sau e tien
hanh d bao

Bc 1 Vi gia tr X
fi
cho trc cua bien oc lap th i va t = f , tao mot bien mi Z
ti
= X
ti

X
fi
vi i = 2, ..., k.
Bc 2 Hoi qui Y
t
theo mot so hang va cac bien mi Z
t2
, ..., Z
tk
.
Bc 3 So hang khong oi c c lng la mot d bao iem can co. Khoang tin cay
tng ng (xem phan 3.8) c tnh bang (
^
- t*s
f
,
^
+ t*s
f
), vi t* la gia tr ti han
cua phan phoi t vi bac t do n k va mc y ngha cho trc, va s
f
la sai so chuan
cua so hang khong oi c c lng co c t bc 2.

V DU 4.2
Trong v du ve bat ong san, at SQFT = 2.000, BEDRMS = 4 va BATHS = 2,5. Bc th
nhat tao cac bien mi, SQFT2 = SQFT 2000, BEDRMS2 = BEDRMS 4 va BATHS2 =
BATHS 2,5. Ke en hoi qui PRICE theo mot so hang khong oi va SQFT2, BEDRMS2
va BATHS2. T bai thc hanh may tnh phan 4.1 chung ta lu y la gia trung bnh d bao
cua can nha nay la $321.830 va sai so chuan cua d bao la $13.865. ieu nay cho khoang
tin cay 95% la 321.830 (2,201 x 13.865) tnh c khoang tin cay la (291.313; 352.347).

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4.2 o Thch Hp

Khi anh gia mc o thch hp, tong bnh phng toan phan, tong bnh phng hoi qui, va
tong bnh phng cua sai so co cung dang nh a trnh bay trc, va ay cung co TSS =
RSS + ESS (mien la mo hnh co mot so hang khong oi). V vay,
TSS = (Y
t
- Y
_
)
2
RSS = (Y
^
t
- Y
_
)
2
ESS = u
t
^
2

Mc o thch hp c o nh trc ay bang R
2
= 1 (ESS/TSS). Neu co so hang
khong oi trong mo hnh, R
2
cung bang vi bnh phng cua he so tng quan gia Y
t
va Y
^
t
. Tuy nhien, nh ngha R
2
theo cach nay se phat sinh mot van e. Co the thay la viec
them vao bat ky mot bien nao (du bien nay co y ngha hay khong) th R
2
cung se khong
bao gi giam. Chng minh bang ai so phat bieu nay rat nham chan, nhng chung ta co
the ly luan theo trc giac. Khi mot bien mi c them vao va ESS c cc tieu, chung ta
ang cc tieu theo mot tap rat nhieu bien so va v vay ESS mi co ve se nho hn (t nhat
th cung khong ln hn). Cu the hn, gia s so hang
k+1
X
tk+1
c them vao phng trnh
(4.1) va ta co c mot mo hnh mi. Neu gia tr cc tieu cua tong bnh phng cua mo
hnh mi nay ln hn gia tr cua mo hnh cu, th ta at
k+1
bang khong va s dung cac c
lng cu cho cac gia tr khac se tot hn, va v vay cac c lng mi khong the co ESS
cc tieu. ieu nay keo theo khi mot bien mi c them vao, gia tr R
2
tng ng khong
the giam i ma con co the tang them. Do vay, ngi ta thng co gang them mot bien mi
vao ch e tang R
2
khong ke en mc o quan trong cua bien o oi vi van e ang giai
quyet.
e ngan chan tnh trang co a them bien vao mo hnh nh a neu tren, mot
phep o khac ve mc o thch hp c s dung thng xuyen hn. Phep o nay goi la R
2

hieu chnh hoac R
2
hieu chnh theo bac t do (chung ta thay ket qua nay trong ket qua in
ra cua may tnh Chng 3). e phat trien phep o nay, trc het phai nh la R
2
o lng
ty so gia phng sai cua Y c giai thch bang mo hnh; mot cach tng ng, no
bang mot tr ty so khong c giai thch do phng sai cua sai so Var(u). Phep o t
nhien goi la R
2
(R-ngang bnh phng), bang

R
2
= 1
Var(u)
Var(Y)

Chung ta biet rang mot c lng khong thien lech cua
2
= Var (u) c tnh bang
ESS/(n k), va mot c lng khong thien lech cua Var (Y) c tnh bang TSS/(n 1).
Thay vao phng trnh tren ta co

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R
2
= 1
ESS/(n k)
TSS/(n 1)
= 1
ESS(n 1)
TSS(n k)

= 1
n 1
n k
(1 R
2
) = 1
^
2
(n 1)
TSS

Viec them vao mot bien dan en tang R
2
nhng cung lam giam i mot bac t do, bi
v chung ta ang c lng them mot tham so na. R
2
hieu chnh la mot phep o o thch
hp tot hn bi v no cho phep anh oi gia viec tang R
2
va giam bac t do. Cung can lu
y la v (n 1) / (n k) khong bao gi nho hn 1. R
2
se khong bao gi ln hn R
2
. Tuy
nhien, mac du R
2
khong the am, R
2
co the nho hn khong. V du, khi n = 26, k = 6, va R
2
=
0,1, chung ta co R
2
= 0,125. R
2
am cho thay la mo hnh khong mo ta ay u qua trnh
phat d lieu.

V DU 4.3

Bang 4.2 trnh bay cac he so hoi qui c lng va cac tr thong ke lien quan cua bon
mo hnh khac nhau (Phan thc hanh may tnh 4.1 co hng dan cac tao nhng so nay). Cac
d lieu thap hn bac t do (d.f.) c thao luan trong phan tiep theo. Mo hnh A giong nh
mo hnh a c trnh bay trong Chng 3. Trong mo hnh B, BEDRMS c them vao va
trong mo hnh C ca BEDRMS va BATHS eu c them vao. Mo hnh D khong co cac
bien giai thch, ch co so ha ng khong thay oi. No se c s dung trong phan 4.4. Ro
rang t Bang 4.2, khi cang nhieu bien c them vao, tong bnh phng phan d giam va
R
2
tang. Tuy nhien, R
2
lai giam khi them cac bien. ieu nay co ngha la li ch trong viec
R
2
tang t hn so vi mat mat do giam bac t do, dan en mat mat rong trong mc o thch
hp. Mo hnh D co mot gia tr R
2
bang khong v cac gia tr ESS va TSS cua no la nh
nhau. ieu nay khong la g bi v khong co phan nao trong mo hnh giai thch thay oi ve
PRICE. No c e cap ay v no se co ch trong viec kiem nh gia thuyet (e cap
phan 4.4 )

Trong mo hnh A. SQFT giai thch 80,6 phan tram cua cac thay oi ve gia nha. Tuy nhien,
khi tat ca ba bien eu c a vao, mo hnh giai thch c 78,7 phan tram thay oi ve
gia, ieu nay hp ly oi vi nghien cu cheo. Neu cac bien bo sung c them vao, kha
nang giai thch cua mo hnh se cao hn. V du, kch thc, so lng va loai cac o gia dung
v.v. cung la nhng bien co the them vao. Tuy nhien, khi cac d lieu nay khong co san
trong mau d lieu, chung ta khong the them nhieu bien na vao. Trong Chng 7, chung ta
thao luan ve tac ong cua ho bi en gia nha.

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Bang 4.2 Cac Mo Hnh c Lng Cho D Lieu Gia Nha

Bien so Mo hnh A Mo hnh B Mo hnh C Mo hnh D
HANG SO 52,351
(1,404)
121,179
(1,511)
129,062
(1,462)
317,493
(13,423)
SQFT 0,13875 0,14831 0,1548

(7,407) (6,993) (4,847)

BEDRMS 23,911 21,588
( 0,970) ( 0,799)

BATHS 12,193
( 0,282)
ESS 18.274 16.833 16.700 101.815
R
2
0,821 0,835 0,836 0,000
R
2

0,806 0,805 0,787 0,000
F 54,861 27,767 16,989 180,189
d.f. 12 11 10 13
SGMASQ 1.523
*
1.530 1.670 7.832
AIC 1.737
*
1.846 2.112 8.389
FPE 1.740
*
1.858 2.147 8.391
HQ 1.722
*
1.822 2.077 8.354
SCHWARZ 1.903
*
2.117 2.535 8.781
SHIBATA 1.678
*
1.718 1.874 8.311
GCV 1.777
*
1.948 2.338 8.434
RICE 1.827
*
2.104 2.783 8.485

Ghi chu: cac gia tr trong ngoac la nhng tr thong ke t tng ng, o la cac he so chia cho sai so chuan cua
chung.
*
anh dau mo hnh tot nhat oi vi tieu chuan, ngha la, co gia tr nho nhat

BAI THC HANH 4.3
Chng minh rang R
2
va
^
2
chuyen ong ngc chieu nhau; ngha la neu R
2
tang, th
^
2
nhat
thiet phai giam. (V vay, chon mot mo hnh co R
2
cao hn ong ngha vi chon mot mo
hnh co
^
2
thap hn.)

Tnh R
2
va R
2
khi khong co so hang khong oi *

Tong bnh phng gop TSS = RSS + ESS ch co gia tr khi va ch khi mo hnh co so hang
khong oi. Neu mo hnh khong co so hang khong oi, tong bnh phng gop thch hp la
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Y
t
2
= Y
t
^ 2
+ u
t
^
2
. Lu y la gia tr trung bnh Y
khong c tr ra ay. Mot so chng

trnh may tnh tnh R
2
bang 1 (ESS/Y
t
2
) khi khong co so hang tung o goc. Cong thc
nay c Vien Tieu chuan va Cong nghe Quoc gia e ngh s dung. Tuy nhien, co the ch
ra la gia tr tnh theo cach nay khong tng thch vi gia tr tnh bang TSS v cac mau so
khac nhau gia hai mo hnh. Neu muc tieu la so sanh cac mo hnh co va khong co so hang
khong thay oi, ve mat mc o thch hp, cong thc tnh R
2
khong the oc lap vi mo hnh.
Tot hn nen dung 1 (ESS/TSS) trong ca hai trng hp e co the so sanh c R
2
. Neu
R
2
c tnh bang TSS trong mau so, co the no se co gia tr am khi so hang khong oi
khong co mat trong mo hnh. Gia tr am nh vay the hien mo hnh co the khong c ac
trng tot. Mot la chon khac va co le la mot phep o tot hn cua R
2
la bnh phng cua he
so tng quan gia Y
t
vaY
t
^
, gia tr luon luon khong am.
Chung ta a lap luan trc ay la R
2
= 1 [Var(u) / Var(Y)] la phep o tot hn cua
thay oi trong bien Y c giai thch bi mo hnh. ieu nay cho cong thc

R
2
= 1
ESS (n k)
TSS (n 1)

trong moi trng hp.
V cac chng trnh may tnh khac nhau ve cach tnh R
2
va R
2
trong trng hp
khong co so hang khong oi, v vay e ngh oc gia kiem tra bat ky chng trnh nao c
s dung va xac nh xem cac phep o co tng thch gia cac mo hnh hay khong. Cac nha
ieu tra thng loai so hang khong oi ra neu no khong co y ngha e lam tang mc y
ngha thong ke cua cac bien con lai (v du, mo hnh gia tai san von cua V du 1.3 khong co
so hang khong oi), viec thc hanh nay khong c khuyen khch v no co the dan en mo
hnh khong ac trng (xem them phan 4.5)

4.3 Cac Tieu Chuan Chung e Chon Mo Hnh

Chung ta a chng minh trc ay bang cach tang so bien trong mot mo hnh, tong bnh
phng phan d u
t
^
2
se giam va R
2
se tang, nhng oi lai bac t do se giam. R
2
va sai so
chuan cua phan d, [ESS / (n k)]
1/2
, tnh en viec anh oi gia giam ESS va giam bac t
do. ay la nhng tieu chuan thong dung nhat e so sanh cac mo hnh.
Nhn chung, mo hnh n gian hn c a thch hn v hai ly do ky thuat sau. Th
nhat, a qua nhieu bien vao mo hnh khien cho o chnh xac tng oi cua rieng moi he
so giam. ieu nay se c nghien cu ky trong Chng 5. Th hai, viec giam bac t do
se giam nang lc cua kiem nh tren cac he so. V vay, xac suat cua viec khong bac bo gia
thuyet sai (sai lam loai II) tang khi bac t do giam. Cac mo hnh n gian cung de hieu
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hn cac mo hnh phc tap. V vay, ly tng nen thiet lap nhng tieu chuan han che nhng
mo hnh ln nhng cung khong luon luon chon mo hnh n gian.
Trong nhng nam gan ay, nhieu tieu chuan chon mo hnh c e ngh. Tat ca
nhng tieu chuan nay co dang cua tong bnh phng phan d (ESS) nhan vi mot nhan to
bat li phu thuoc vao mc o phc tap cua mo hnh. Mo hnh cang phc tap ESS cang
giam nhng lai tang tnh bat li. Cac tieu chuan v vay phai cung cap cac loai anh oi
khac gia mc o thch hp va o phc tap cua mo hnh. Mot mo hnh co tr thong ke tieu
chuan thap c a chuong hn. Trong phan nay, chung ta trnh bay tom tat tong quat cac
nhan to bat li ma khong i sau vao phan ky thuat cua moi yeu to. Neu oc gia quan tam
en mot tom tat ay u chi tiet hn cung vi nhng ng dung, ban co the tham khao bai
bao cua Engle va Brown (1985).
Akaike (1970, 1974) xay dng hai phng phap, mot c goi la sai so hoan toan
xac nh trc (FPE) va phng phap th hai goi la tieu chuan thong tin Akaike (AIC).
Hannan va Quinn (1979) e ngh mot phng phap khac (c goi la tieu chuan HQ). Cac
tieu chuan khac gom cua Schwarz (1978), Shibata (1981), va Rice (1984), va phng phap
tnh chnh xac cheo tong quat (GCV) c Craven va Wahba (1979) phat trien va c
Engle, Graner, Rice, va Weiss (1986) s dung. Moi mot tr thong ke nay eu da tren vai
tnh chat toi u, chi tiet ve cac phng phap nay c e cap trong cac bai bao liet ke tren
(lu y la cac bai bao nay oi hoi kien thc ve ai so tuyen tnh). Bang 4.3 tom tat nhng
tieu chuan nay (n la so lan quan sat va k la so thong so c lng).
Khong can thiet phai a R
2
vao trong tieu chuan v R
2
va

SGMASQ (
^
2
) quan he
nghch, va v vay gia tr SGMASQ thap cung co ngha la R
2
se co gia tr cao. R
2
ch co ch
khi xac nh ty so cua bien oi trong Y c giai thch bi cac bien X.

Bang 4.3 Tieu Chuan Chon Mo Hnh

SGMASQ:
\
|
.
|
| ESS
n

\
|
.
|
|
1
\
|
.
|
| k
n
- 1

HQ:
\
|
.
|
| ESS
n
(ln n)
2k/n
AIC:
\
|
.
|
| ESS
n
e
(2k/n)
RICE:
\
|
.
|
| ESS
n

\
|
.
|
|
1
\
|
.
|
| 2k
n
- 1

FPE:
\
|
.
|
| ESS
n

n + k
n k

SCHWARZ:
\
|
.
|
| ESS
n
n
k/n
GVC:
\
|
.
|
| ESS
n

\
|
.
|
|
1
\
|
.
|
| k
n
- 2

SHIBATA:
\
|
.
|
| ESS
n

n + 2k
n

Mot cach ly tng, chung ta muon co mot mo hnh co cac gia tr cua cac tr thong ke
eu thap, khi so sanh vi mot mo hnh khac. Mac du co the xep hang mot vai tieu chuan
nay oi vi mot gia tr ESS, n, va k cho trc, th t nay se khong con y ngha na bi v
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cac mo hnh eu co ESS va k khac nhau. Ramanathan (1992) khao sat ky hn mot so
trng hp ac biet. Trong nhng trng hp dac biet nay, mot so tieu chuan tr nen d
tha ngha la, mot mo hnh u viet hn theo mot tieu chuan cung se u viet hn xet theo
cac tieu chuan khac. Tuy nhien, mot cach tong quat, co the tm c mot mo hnh u viet
theo mot tieu chuan nhng lai khong u viet theo tieu chuan khac. V du, tieu chuan
Schwarz coi trong ve tnh phc tap cua mo hnh hn la cac yeu to khac va v vay co the dan
en mot ket luan khac. Mot mo hnh tot hn mot mo hnh khac theo mot so tieu chuan se
c a chuong hn. Tuy nhien, tieu chuan AIC la tieu chuan c s dung pho bien nhat
trong phan tch chuoi thi gian.

V DU 4.4

oi vi d lieu gia nha , Bang 4.2 co 8 tr thong ke la chon mo hnh oi vi moi mo t
trong ba mo hnh. Tat ca cac tieu chuan eu anh gia cao mo hnh n gian nhat, trong mo
hnh o ch co mot bien giai thch duy nhat la SQFT. ieu nay co ngha la viec giam ESS
do tnh phc tap cua mo hnh khong u e anh oi vi nhan to bat li gan lien vi mo hnh
phc tap. Ket qua nay that s khong qua bat ng oi vi chung ta. Dien tch s dung phu
thuoc vao so phong ngu va phong tam trong nha. Mo hnh A v vay khong trc tiep e cap
en BEDRMS va BATHS. Do o, chung ta khong nen ky vong mo hnh B va C se tot hn
khi giam ESS u thap.

4.4 Kiem nh Gia Thuyet

Trong phan nay chung ta thao luan ba loai kiem nh gia thuyet: (1) kiem nh mc y ngha
thong ke cua cac he so rieng le, (2) kiem nh mot so he so hoi qui lien ket, va (3) kiem
nh to hp tuyen tnh cua cac he so hoi qui.

Kiem nh Cac He So Rieng Le
Nh trong Chng 3, kiem nh gia thuyet ve mot he so hoi qui n c tien hanh bang
kiem nh t. Cac tnh chat ma moi
^
i
tuan theo phan phoi chuan va ESS/
2
= (n k)
^
2
/
2

tuan theo phan phoi chi bnh phng cung c m rong cho trng hp a bien. Ch co
mot hieu chnh la ESS/
2
phan phoi chi bnh phng vi n k d.f. Cac bc tien hanh
kiem nh mot he so rieng biet nh sau:

KIEM NH t MOT PHA

Bc 1 H
o
: =
0
, H
1
: >
0.
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Bc 2 Thiet lap tr thong ke t
c
= (
^

0
) / s
^
, vi
^
la gia tr c lng va s
^
la sai so
chuan c lng cua no. Neu
0
= 0, gia tr t nay se giam en ty so cua he so hoi
qui chia cho sai so chuan cua no. Vi gia thuyet H
0
, no tuan theo phan phoi t v i
n k d.f.
Bc 3 Tm trong bang tra t gia tr tng ng vi bac t do bang n k va tm iem t
*
n-k
() sao cho dien tch cua phan ben phai iem nay bang mc y ngha ().
Bc 4 Bac bo gia thuyet khong neu t
c
> t
*
. Neu trng hp H
1
: <
0
, H
0
se b bac bo
neu t
c
< t
*
. Mot cach tng ng cho ca hai trng hp, bac bo neu |t
c
| > t
*
.
e s dung phng phap gia tr p, tnh p = P(t > |t
c
|, vi H
0
cho trc) va bac bo H
0
neu gia
tr p nho hn mc y ngha.

V DU 4.5
Chung ta hay ap dung vi Mo hnh B va C trong Bang 4.2. Mo hnh B co bac t do la 11
d.f. (14 3) va Mo hnh C co bac t do bang 10. T Bang A.2, t
*
11
(0,05) = 1,796 va t
*
10

(0,05) = 1,812 oi vi kiem nh 5%. V vay, e mot he so hoi qui dng hoac am co y
ngha thong ke, gia tr tuyet oi cua tr thong ke t cho trong Bang 4.2 phai ln hn 1,796
oi vi Mo hnh B va ln hn 1,812 oi vi Mo hnh C. Chung ta lu y la trong moi mo
hnh he so hoi qui cua SQFT la co y ngha. ieu nay co ngha la trong nhng trng hp
o chung ta khong the bac bo gia thuyet khong la he so tng ng bang khong.
Co hay khong mot mc y ngha nao khac 5 phan tram tai o ta co the bac bo gia
thuyet khong c? Sau cung, khong co g ac biet oi vi mc 5 phan tram. Neu mc y
ngha thc s cao hn mot chut, chung ta van co the san sang bac bo gia thuyet khong.
Chung ta lu y t Bang A.2 la oi vi mc y ngha 10 phan tram, t
*
10
(0,1) = 1,372. Tr
thong ke t cua BEDRMS trong Mo hnh C la 0,799 ve tr tuyet oi, nho hn 1,372. Do o,
chung ta ket luan la BEDRMS khong co y ngha trong Mo hnh C, mc y ngha 10 phan
tram.
S dung chng trnh GRETL, chung ta a tnh gia tr p cho cac he so cua BEDRMS
va BATHS (xem phan thc hanh may tnh 4.1). Cac he so nay xep t 0,175 en 0,39, ngu
y la neu chung ta bac bo gia thuyet khong la cac he so nay bang khong, co mot c hoi t
17,5 en 39 phan tram pham sai lam loai I. Khi cac he so nay cao hn mot mc chap nhan
thong thng, chung ta khong bac bo H
0
nhng thay v vay, ket luan la cac he so nay khong
khac khong mot cach co y ngha.

KIEM NH t HAI PHA

Bc 1 H
0
: =
0
, H
1
:
0
.
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Bc 2 Thiet lap tr thong ke t, t
c
= (
^

0
)/ s
^
, vi
^
la gia tr c lng va s
^

la sai so
chuan cua no. Theo gia thuyet H
0
,
^
tuan theo phan phoi t vi bac t do nk
Bc 3 Tm trong Bang t A.2 gia tr tng ng vi bac t do n k va tm t
*
n-k
(/2) sao
cho dien tch ben phai cua no bang phan na mc y ngha.
Bc 4 Bac bo gia thuyet khong neu |t
c
| > t
*
.

e s dung gia tr p, tnh gia tr p = 2P(t> |t
c
|, vi H
0
cho trc) va bac bo H
0
neu p nho hn
mc y ngha.
Tom tat, gia tr p (giong nh xac suat cua sai lam loai I bac bo gia thuyet ung) thap
ngha la chung ta an toan khi bac bo gia thuyet khong la he so bang khong (oi vi
0
=
0) va ket luan la he so nay khac khong ang ke. Neu gia tr p cao, th chung ta khong the
bac bo gia thuyet khong nhng thay vao o ket luan la he so khong co y ngha thong ke.

V DU 4.6
Chung ta ap dung kiem nh hai pha vi Mo hnh B va C. Trong Mo hnh B, bac t do la
11 v vay t
*
11
(0,025) la 2,201 oi vi mc y ngha 5 phan tram. Trong Mo hnh C,
t
*
10
(0,025) = 2,228. V vay, e mot he so hoi qui khac khong co y ngha tai mc y ngha 5
phan tram, tr thong ke t cho trong bang 4.2 phai ln hn 2,201 ve gia tr tuyet oi Mo
hnh B va ln hn 2,228 ve gia tr tuyet oi Mo hnh C. Chung ta lu y la trong moi mo
hnh he so hoi qui cua SQFT eu co y ngha, trong khi tat ca cac he so hoi qui khac khong
co y ngha. ieu nay co ngha la trong nhng trng hp o chung ta khong the bac bo gia
thuyet khong la he so tng ng bang khong.
Co hay khong mot mc y ngha khac ngoai mc 5 phan tram co the bac bo c gia
thuyet khong? Gia tr p bay gi bang hai lan cac gia tr co trc ay (o la 0,35 en 0,78).
Khi cac gia tr nay cao, ket luan la cac gia tr khac khong quan sat c cua nhng he so
hoi qui nay co the la do sai so mau ngau nhien. V vay, vi gia tr SQFT cho trc, cac
bien BEDRMS va BATHS khong anh hng quan trong en gia can nha. Ket qua nay
khang nh ket qua trc o trong Mo hnh A a c anh gia la tot theo tat ca 8 tieu
chuan.

S dung chng trnh hoi qui cua ban, c lng Mo hnh B va C, va kiem tra ket qua trong
Bang 4.2.

Co the thiet lap c tnh chat sau (xem Haitovsky, 1969):
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Tnh chat 4.2
Neu gia tr tuyet oi cua tr thong ke t cua mot he so hoi qui nho hn 1, th viec loai he so
nay ra khoi mo hnh se lam tang R
2
hieu chnh. Tng t, bo mot bien co tr thong ke t ln
hn 1 (ve gia tr tuyet oi) se lam giam R
2
.
ieu nay co the ch ra la, ben canh tr thong ke t ti han, chung ta co the s dung gia tr t
bang 1 nh la hng dan trong viec xac nh xem co the bo bt mot bien hay khong. Tuy
nhien, v R
2
ch la mot trong nhieu tieu chuan nen cac gia tr p rieng le, gia tr thong ke
chon mo hnh va tam quan trong ve ly thuyet cua cac bien nen c dung e xac nh cac
bien nao co the loai bo (xem v du phan 4.6 va 4.7)

Kiem nh mot so he so lien ket (kiem nh Wald)
Kiem nh t ve cac he so rieng le dung cho mc y ngha cua cac he so cu the. Ta cung co
the kiem nh y ngha lien ket cua mot so he so hoi qui, v du nh cac mo hnh di ay:

(U) PRICE =
1
+
2
SQFT +
3
BEDROOMS +
4
BATHS + u
(R) PRICE =
1
+
2
SQFT + v

Mo hnh U (la mo hnh C trong Bang 4.2) c goi la mo hnh khong gii han, va Mo hnh
R (la Mo hnh A trong Bang 4.2) c goi la mo hnh gii han. o la do
3
va
4
buoc
phai bang khong trong Mo hnh R. Ta co the kiem nh gia thuyet lien ket
3
=
4
= 0 vi
gia thuyet oi la t nhat mot trong nhng he so nay khong bang khong. Kiem nh gia
thuyet lien ket nay c goi la kiem nh Wald (Wald, 1943). Thu tuc nh sau.

Kiem nh Wald tong quat at cac mo hnh gii han va khong gii han la (bo qua ky hieu
t di):

(U) Y =
1
+
2
X
2
+ +
m
X
m
+
m+1
X
m+1
+ +
k
X
k
+ u
(R) Y =
1
+
2
X
2
+ +
m
X
m
+ v

Mac du Mo hnh U co ve khac nhng no hoan toan giong Phng trnh (4.1). Mo hnh R co
c bang cach bo bt mot so bien Mo hnh U, o la X
m+1
, X
m+2
, X
k
. V vay, gia thuyet
khong la
m+1
=
m+2
= =
k
= 0. Lu y rang (U) cha k he so hoi qui cha biet va (R)
cha m he so hoi qui cha biet. Do o, Mo hnh R co t hn k m thong so so vi U. Cau
hoi chung ta se neu ra la k m bien b loai ra co anh hng lien ket co y ngha oi vi Y
hay khong.
Gia s nhng bien b loai nay khong co anh hng co y ngha oi vi Y. Chung ta
se khong ky vong tong bnh phng sai so cua Mo hnh R (ESS
R
) qua khac biet vi tong
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bnh phng sai so cua Mo hnh U (ESS
U
). Noi cach khac, sai biet ESS
R
ESS
U
co ve rat
nho. Nhng gia tr nay nho nh the nao? Chung ta biet la ESS rat nhay vi n v o
lng, va v vay co the lam gia tr nay ln hn hay nho hn ch n gian bang cach thay oi
thang o. Nho hoac ln c xac nh bang cach so sanh sai biet tren vi ESS
U
, tong
bnh phng sai so cua mo hnh hoan toan khong gii han. V vay, ESS
R
ESS
U
c so
sanh vi ESS
U.
Neu gia tr au nho tng oi so vi gia tr sau, chung ta ket luan la viec
loai bo cac bien X
m+1
, X
m+2
, , X
k
khong thay oi ESS u e co the tin la cac he so cua
chung co y ngha.
Chung ta biet la cac tong cua nhng bnh phng oc lap co phan phoi chi bnh phng
(xem phan 2.7). V vay, ESS
U
/
2
la phan phoi chi bnh phng vi n k bac t do (n quan
sat tr k thong so trong Mo hnh U). Co the thay trong gia thuyet khong la v tnh chat cong
cua chi bnh phng (Tnh chat 2.12b), (ESS
R
ESS
U
)/
2
cung la phan phoi chi bnh
phng vi bac t do bang so bien so loai bo trong (R). Trong phan 2.7, chung ta thay la ty
so cua hai phan bo chi bnh phng oc lap co phan phoi F co hai thong so: bac t do cho
t so cua ty so, bac t do cho mau so. Tr thong ke se can c tren ty so F.
Cac bc thong thng e kiem nh Wald (thng c goi la kiem nh F) nh
sau:

Bc 1 Gia thuyet khong la H
0
:
m+1
=
m+2
= =
k
= 0. Gia thuyet ngc lai la H
1
: co t
nhat mot trong nhng gia tr khong bang khong. Gia thuyet khong co k m rang
buoc.
Bc 2 Trc tien hoi qui Y theo mot bien khong oi, X
2
, X
3
, , X
k
, va tnh tong bnh
phng sai so ESS
U
. Ke en hoi qui Y theo mot bien khong oi, X
2
, X
3
, , X
m
va
tnh ESS
R
. Chung ta biet t Tnh chat 4.1b la ESS
U
/
2
tuan theo phan phoi chi
bnh phng vi bac t do DF
U
= n k (ngha la n so quan sat tr k he so c
lng). Tng t, vi gia thuyet khong, ESS
R
/
2
tuan theo phan phoi chi bnh
phng vi bac t do DF
R
= n m. Co the thay la chung oc lap va vi tnh chat
cong c cua phan phoi chi bnh phng, sai biet cua chung (ESS
R
ESS
U
) /
2

cung phan phoi chi bnh phng, vi bac t do bang sai biet ve bac t do, ngha la,
DF
R
DF
U
. Lu y la DF
R
DF
U
cung bang k m, la so rang buoc trong gia
thuyet khong (o la so bien b loai bo). Trong phan 2.7, chung ta a nh ngha
phan phoi F la ty so cua hai bien ngau nhien phan phoi chi bnh phng oc lap.
ieu nay cho ta tr thong ke

F
c
=
(ESS
R
ESS
U
) (DF
R
DF
U
)
ESS
U
DF
U
(4.3)
=
(ESS
R
ESS
U
) / (k m)
ESS
U
/ (n k)

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Phng phap phan tch
Bai oc

=
(sai biet trong ESS so rang buoc)
( tong bnh phng sai so cua Mo hnh U d.f. cua Mo hnh U)

=
(R
2
U
R
2
R
)/ (k m)
(1 R
2
U
) / (n k)

vi R
2
la so o o thch hp khong hieu chnh. Chia cho bac t do ta c tong
bnh phng tren mot bac t do. Vi gia thuyet khong, F
c
co phan phoi F vi k
m bac t do oi vi t so va n k bac t do oi vi mau so.
Bc 3 T so lieu trong bang F tng ng vi bac t do k m cho t so va n k cho mau
so, va vi mc y ngha cho trc (goi la ), ta co F
*
k-m,n-k
() sao cho dien tch
ben phai cua F
*
la .
Bc 4 Bac bo gia thuyet khong mc y ngha neu F
c
> F
*
. oi vi phng phap gia
tr p, tnh gia tr p = P(F > F
c
|H
0
) va bac bo gia thuyet khong neu gia tr p nho hn
mc y ngha.

V DU 4.7
Trong v du ve bat ong san cua chung ta, H
0
:
3
=
4
= 0 va H
1
: co t nhat mot gia tr
khong bang khong. V vay, Mo hnh U gio ng nh Mo hnh C trong Bang 4.2, va Mo hnh R
chnh la Mo hnh A. So rang buoc se la 2. Cung vay, ESS
R
= 18.274 va ESS
U
= 16.700
(xem Bang 4.2). Bac t do cua Mo hnh U la 10. V vay, tr thong ke F c tnh
F
c
=
(18.274 16.700) / 2
16.700 / 10
= 0,471

T bang F (Bang A.4b), F
*
2,10
(0,05) = 4,1. V F
c
khong ln hn F
*
, chung ta khong
the bac bo gia thuyet khong, va v vay chung ta ket luan la
3
va
4
that s khong co y
ngha mc 5 phan tram. Ngay ca neu mc y ngha la 10 phan tram (xem Bang A.4c),
F
*
2,10
(0,1) = 2,92 > F
c
. ieu nay co ngha la ve phng dien mc y ngha cua cac bien oc
lap, Mo hnh A n gian hn va tot hn. Kiem nh tng t cung co the thc hien e so
sanh Mo hnh A va B, nhng viec nay khong can thiet v sai biet gia hai mo hnh nay ch
do mot bien, o la BEDRMS. Trong trng hp nay, phan phoi F ch co mot bac t do t
so. Khi ieu nay xay ra, gia tr cua F n gian ch la bnh phng cua tr thong ke t oi vi
BEDRMS (xem Tnh chat 2.14b). Chng minh ieu nay rat de. Mo hnh B bay gi la
khong gii han va v vay

F
c
=
(18.274 16.700) / 1
16.700 / 11
= 0,942

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

Co can bac hai la 0,97, bang vi tr thong ke t trong Bang 4.2. V vay, kiem nh Wald can
phai tien hanh ch khi co hai hoac nhieu hn hai he so hoi qui bang khong trong gia thuyet
khong.
Gia tr p trong v du nay la P(F > 0,471) = 0,64. Bi v co 64 phan tram c hoi bac
bo mot gia thuyet ung H
0
(la cac he so cua BEDRMS va BATHS bang khong) la qua cao
khong the chap nhan c, nen chung ta khong the bac bo H
0
nhng thay vao o ta ket
luan la cac he so co gia tr khac khong, khong co y ngha thong ke.
Chung ta thay t Bang 4.2 la so hang khong oi khong co y ngha trong bat ky mo
hnh nao (tr Mo hnh D). Tuy nhien, that khong khon ngoan khi loai bo so hang khong oi
khoi mo hnh. o la do so hang khong oi the hien mot cach khong gian tiep mot so cac
anh hng trung bnh cua cac bien b loai bo (van e nay c thao luan ay u hn trong
phan 4.5). Do o, viec loai bo so hang khong thay oi co the dan en sai nghiem trong
trong ac trng cua mo hnh.

Kiem nh Wald ac biet ve o thch hp tong quat Hay xem xet mot trng hp ac
biet cua kiem nh Wald trong hai mo hnh sau:

(U) Y =
1
+
2
X
2
+ +
k
X
k
+ u
(SR) Y =
1
+ w

Mo hnh U la mo hnh hoi qui boi trong phng trnh (4.1), vi X
1
la so hang khong thay
oi. Trong Mo hnh SR (that gii han), tat ca cac bien ngoai tr so hang khong thay oi
eu b loai khoi mo hnh; ngha la, chung ta at k 1 rang buoc
2
=
3
= =
k
= 0. Gia
thuyet nay se kiem nh phat bieu Khong mot he so nao trong mo hnh (ngoai tr so hang
khong thay oi) co y ngha thong ke. Co the thc hien kiem nh Wald cho gia thuyet
nay. Neu gia thuyet khong b bac bo, chung ta ket luan la khong co bien nao co the giai
thch mot cach lien ket thay oi cua Y. ieu nay co ngha la chung ta co mot mo hnh xau
va phai thiet lap lai mo hnh nay. ESS
U
la tong bnh phng sai so cua mo hnh ay u.

e co ESS
SR
, trc het chung ta cc tieu w
2
t
= (Y
t

1
)
2
theo
1
. De dang chng
minh c la
^
1
= Y
(xem chng minh phan 2.5). Do o, ta co ESS

SR
= (Y
t
Y
)
2
giong
nh tong bnh phng toan phan (TSS
U
) cua Mo hnh U (ay cung la tong bnh phng cua
Mo hnh SR). Tr thong ke F tr thanh

F
c
=
(TSS
U
ESS
U
) / (k 1)
ESS
U
/ (n k)
=
RSS
U
/ (k 1)
ESS
U
/ (n k)
=
R
2
/ (k 1)
(1 R
2
)

/ (n k)
(4.4)

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

gia tr nay co the c tnh t R
2
khong hieu chnh cua mo hnh ay u. Cac chng trnh
hoi qui eu cung cap tr thong ke F nay trong phan tom tat thong ke cua mot mo hnh.
Nhiem vu au tien la phai am bao rang gia thuyet khong cua kiem nh F nay b bac bo,
ngha la, F
c
> F
*
k-1, n-k
(). Neu khong, chung ta co mot mo hnh trong o khong co bien
oc lap nao giai thch c nhng thay oi trong bien phu thuoc, va v vay mo hnh can
c thiet lap lai.

V DU 4.8

Bang 4.2 cung cap tr thong ke F kiem nh Wald, cho trc trong phng trnh (4.4), oi
vi v du ve gia nha. Vi Mo hnh C, k = 4, va v vay k 1 = 3 va n k = 14 4 = 10. Bac
t do cua tr thong ke F la 3 oi vi t so va 10 oi vi mau so. T bang F, A.4b, gia tr ti
han oi vi kiem nh 5 phan tram la F
*
3,10
(0,05) = 3,71. V gia tr F trong Bang 4.2 la
16,989 oi vi Mo hnh C, chung ta bac bo gia thuyet khong la tat ca he so hoi qui ngoai tr
so hang khong oi bang khong. V vay, co t nhat mot he so hoi qui khac khong co y ngha
thong ke. T kiem nh t oi vi he so cua SQFT, chung ta a biet c trng hp nay.
De dang chng minh c la F
*
2,11
(0,05) = 3,98 oi vi Mo hnh B va F
*
1,12
(0,05) = 4,75
oi vi Mo hnh A, va v vay tat ca cac mo hnh eu bac bo gia thuyet khong la khong co
bien giai thch nao la co y ngha.
Chung ta lu y rang cac tr thong ke F cua Mo hnh B va C thap hn nhieu so vi
Mo hnh A. ieu nay la do cac sai biet trong R
2
kha nho, trong khi ty so (n 1) / (n k)
tang ang ke khi k tang. Do o chung ta thay t Phng trnh (4.4) co the giai thch sai biet
ln ve F. Tuy nhien, noi chung, cac sai biet ve F gia cac mo hnh la khong quan trong.
Ch co ket qua cua kiem nh Wald la ang quan tam.


Trong Bang 4.2, Mo hnh D la mo hnh that gii han ve hoi qui PRICE ch theo so hang
khong oi. So sanh mo hnh nay vi Mo hnh C la mo hnh khong gii han, va chng minh
gia tr F cua kiem nh Wald c bao cao trong Bang 4.2 cua Mo hnh C. Sau o thc
hien ung nh vay cho Mo hnh A va B. Cuoi cung, giai thch tai sao R
2
= R
2
= 0 oi vi
Mo hnh D.
Khac biet gia hai loai kiem nh F can c ghi chu can than. Cong thc cho trong
Phng trnh (4.4) khong the ng dung ch khi mot so t cac bien b loai bo. No co the ng
dung c khi mo hnh gii han ch co mot so hang khong oi. Tr thong ke F in t chng
trnh may tnh kiem nh tnh thch hp chung, trong khi tr thong ke F tnh c t Phng
trnh (4.3) kiem nh xem mot nhom cac he so co khac khong mot cach co y ngha thong ke
hay khong. Cung lu y la kiem nh F luon luon la kiem nh mot pha.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc


Tnh tr thong ke F khi mo hnh khong co so hang khong oi
*
Trong phan 4.2, chung ta
a thao luan ve cac sai biet cua cac so o R
2
gia hai mo hnh, mot vi so hang khong oi
va mo hnh th hai khong co so hang khong oi, va lap luan rang co the s dung cung mot
cong thc cho ca hai trng hp e so sanh mc o thch hp tng oi cua chung. Tuy
nhien, khi tnh ty so F cong thc c s dung se khac. e giai thch v sao lai nh vay,
chung ta hay xem xet hai mo hnh sau:

(A) Y =
2
X
2
+
3
X
3
+
k
X
k
+ u
(B) Y = w

Vi so hang khong thay oi X
1
(=1) b loai bo. Lu y la Mo hnh khong gii han A bay gi
ch co k 1 thong so (co ngha la so bac t do la n k +1) va Mo hnh gii han B khong co
thong so nao (vi d.f. n). e kiem nh o thch hp chung cua mo hnh, gia thuyet khong
lai la H
0
:
2
=
3
= =
k
= 0, va gia thuyet ngc lai tng t nh trc. Kiem nh
Wald cung co the ap dung ay va cong thc thch hp la Phng trnh (4.3). at ESS
A
=
u
t
^
2
la tong bnh phng sai so cua Mo hnh A. Trong Mo hnh B, tong bnh phng sai so
se la ESS
B
= Y
2
t.
Gia tr F c tnh bi:

F
c
=
(ESS
B
ESS
A
) / (k 1)
ESS
A
/ (n k + 1)
=
(Y
t
2
u
t
^
2
) / (k 1)
ESS
A
/ (n k + 1)
=
Y
t
^ 2
/ (k 1)
ESS
A
/ (n k + 1)
(4.4a)

bi v khai trien Y
t
2
= Y
t
^ 2
+ u
t
^
2

trong o khong co so hang khong oi. Vi gia thuyet
khong, tong nay co phan phoi F vi k 1 va n k + 1 bac t do. Tieu chuan e chap
nhan/bac bo H
0
cung tng t. Gia tr thong ke F ai dien cho Mo hnh D kiem nh gia
thuyet la so hang khong oi bang khong. V ch co mot he so se b loai khoi ay, gia tr F
la bnh phng cua tr thong ke t. Do o, F = 180,189 mac du R
2
= 0. Lu y cong thc
nay ch c dung e kiem nh o thch hp chung hoan toan khac vi cong thc trong
Phng trnh (4.4).

Kiem nh To Hp Tuyen Tnh Cua Cac He So
Chung ta rat thng gap nhng gia thuyet c phat bieu di dang to hp tuyen tnh cua
cac he so hoi qui. Mot v du minh hoa nh ham tieu thu tong hp sau:

C
t
=
1
+
2
W
t
+
3
P
t
+ u
t

Vi C la chi tieu cho tieu dung tong hp trong mot vung cho trc, W la tong tien lng thu
nhap, va P la tat ca cac thu nhap khac, phan ln la t li nhuan hoac thu hoi t von.
2
la
xu hng can bien chi tieu ngoai lng thu nhap, va
3
la xu hng can bien chi tieu ngoai
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

nhng thu nhap khac. Gia thuyet
2
=
3
ngu y la mot o la them vao cua thu nhap tien
lng va mot o la them vao cua thu nhap khac eu ong gop cung mot khoang them vao
tieu thu bnh quan. Kiem nh t ve cac he so rieng le khong the ap dung trong trng hp
nay na v gia thuyet la mot to hp tuyen tnh cua hai he so hoi qui. Gia thuyet H
0
:
2
=
3

oi lai H
1
:
2

3
co the c kiem nh bang ba cach khac nhau, moi cach eu a en
cung mot ket luan.
Trong nhng phan sau, chung ta se gap phai nhng loai to hp tuyen tnh khac nh
la
2
+
3
= 1 hoac
2
+
3
= 0. Bay gi chung ta thiet lap thu tuc e kiem nh to hp
tuyen tnh nh vay cua cac he so hoi qui. Viec nay thc hien oi vi mo hnh (khong gii
han) sau, vi hai bien oc lap (X
2
va X
3
):

(U) Y
t
=
1
+
2
X
t2
+
3
X
t3
+ u
t
(4.5)

PHNG PHAP 1 (KIEM NH WALD)
Bc 1 S dung rang buoc, giai e tm mot trong nhng he so theo cac he so con lai, va
the vao mo hnh khong gii han e co c mo hnh gii han. V vay, e kiem
nh
2
=
3
, thay cho
3
trong Phng trnh (4.5) va co c mo hnh sau:
(R) Y
t
=
1
+
2
X
t2
+
2
X
t3
+ u
t
(4.6)
=
1
+
2
(X
t2
+ X
t3
) + u
t

Viet lai mo hnh gii han bang cach nhom cac so hang thch hp. Trong trng
hp cua chung ta, chung ta se tao mot bien mi Z
t
= X
t2
+ X
t3
va viet mo hnh nh
sau:
(R) Y
t
=
1
+
2
Z
t
+ u
t

Bc 2 c lng cac mo hnh gii han va khong gii han, va co c cac tong bnh
phng sai so, ESS
R
va ESS
U
.
Bc 3 Tnh gia tr thong ke F Wald (F
c
), dung Phng trnh (4.3), va bac t do oi vi t
so va mau so
Bc 4 T bang F, co c iem F
*
sao cho dien tch phan ben phai bang mc y ngha.
Mot cach khac, tnh gia tr p = P(F > F
c
).
Bc 5 Bac bo H
0
neu F
c
> F
*
hoac neu gia tr p nho hn mc y ngha.

Xuat phat t cac mo hnh gii han e kiem nh
2
+
3
= 1 va
2
+
3
= 0

V DU 4.9
Tap tin DATA 4-2 (xem Phu luc D) cha d lieu hang nam ve Hoa Ky trong thi ky 1959-
1994 (vi n = 36). Cac nh ngha cua cac bien nh sau:

CONS (C
t
) = Chi tieu thc cho tieu dung tnh bang ty o la nam 1992
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

GDP (Y
t
) = Tong san pham quoc dan thc tnh bang ty o la nam 1992
WAGES = Tong tien tra cho nhan vien (lng, va cac khoan phu tr) tnh bang ty o la
hien hanh
PRDEFL = Gia giam phat oi vi tieu dung, 1992 = 100 (ay la ch so gia cua hang hoa
tieu dung)

Mo hnh chung ta se c lng la ham tieu thu sau a c trnh bay phan tren:
(U) C
t
=
1
+
2
W
t
+
3
P
t
+ u
t
(4.5)

Vi cac bien a c mo ta trc. Trc khi c lng mo hnh, chung ta phai thc hien
mot so chuyen oi d lieu e co c tat ca cac bien tai chnh dang thc (ngha la ong
o la khong oi c hieu chnh oi vi lam phat).
Tieu dung a dang thc. e co thu nhap tien lng dang thc (W
t
), chung ta
chia WAGES vi PRDEFL va nhan vi 100. Tong li nhuan va cac thu nhap khac t von
co c bang cach tr thu nhap tien lng thc ra khoi GDP.
W
t
=
100 WAGES
t
PRDEFL
t
P
t
= Y
t
W
t

Trong Phng trnh (4.5), at rang buoc
2
=
3
. Chung ta co
(R) C
t
=
1
+
2
W
t
+
2
P
t
+ u
t
=
1
+
2
(W
t
+ P
t
) + u
t
(4.6)
=
1
+
2
Y
t
+ u
t

vi Y
t
= W
t
+ P
t
la thu nhap tong hp. Phng trnh (4.5) la mo hnh khong gii han (vi n
bac t do) va Phng trnh (4.6) la mo hnh gii han. Do o chung ta co the tnh tr thong
ke F Wald cho trong Phng trnh (4.3) (vi k m = 1 bi v ch co duy nhat mot rang
buoc). V vay,

F
c
=
(ESS
R
ESS
U
) / 1
ESS
U
/ (n 3)

se c kiem nh vi F
*
1, n-3
(0,05) va bac bo gia thuyet khong neu F
c
> F
*
.
Ap dung vao d lieu tieu dung tong hp, ta co Phng trnh c lng (4.5) va (4.6).
(Xem phan thc hanh may tnh 4.2)
C
t
^
= 222,16 + 0,69W
t
+ 0,47P
t
ESS
U
= 38.977
C
t
^
= 221,4 + 0,71Y
t
ESS
R
= 39.305
F
c
=
(39.305 38.977)
38.977

/ 33
= 0,278

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

T Bang A.4c, F
*
1,33
(0,10) nam gia 2,84 va 2,88. V F
c
< F
*
, chung ta khong the
bac bo gia thuyet khong va ket luan la cac xu hng bien te tieu dung ngoai lng va li
nhuan khong khac nhau mot cach co y ngha mc y ngha 10 phan tram. V vay, mac du
gia tr so hoc cua chung hoan toan khac nhau, ve mat thong ke khac biet nay la do ngau
nhien.

PHNG PHAP 2 (KIEM NH t GIAN TIEP) Trong phng phap th hai, mo hnh c thay
oi theo cach khac va kiem nh t gian tiep c tien hanh. Cac bc thc hien nh sau:
Bc 1 Xac nh mot thong so mi, goi la , co gia tr bang khong khi gia thuyet khong la
ung. Do o khi H
0
la
2
=
3
, chung ta se nh ngha =
2

3
, va khi gia thuyet
H
0
la
2
+
3
= 1 th =
2
+
3
1.
Bc 2 Dien ta mot trong nhng tham so theo va cac tham so con lai, thay vao mo hnh
va nhom cac so hang mot cach hp ly.
Bc 3 Tien hanh kiem nh t s dung
^
, c lng cua .

V DU 4.10

Trong trng hp ham tieu thu, =
2

3
. Gia thuyet khong bay gi tr thanh H
0
: = 0
oi vi H
1
: 0. Cung co
3
=
2
. Thay vao mo hnh ta co

C
t
=
1
+
2
W
t
+ (
2
)P
t
+ u
t

=
1
+
2
(W
t
+ P
t
) P
t
+ u
t

V Y
t
= W
t
+ P
t
, mo hnh nay tr thanh

C
t
=
1
+
2
Y
t
P
t
+ u
t
(4.7)

Mo hnh nay ve mat khai niem hoan toan tng ng vi Phng trnh (4.5). Bay gi hoi
qui C theo mot so hang khong oi, Y, va P, va s dung tr thong ke t cho e kiem nh gia
thuyet mong muon. Trong trng hp nay, kiem nh giam en kiem nh t chuan nhng
theo mo hnh hieu chnh. (Xem nh bai tap thc hanh, hay ap dung ky thuat nay oi vi
2

+
3
= 1)
oi vi d lieu cua chung ta, Phng trnh c lng (4.7) la (xem phan thc hanh
may tnh 4.2)
C
t
^
= 222,16 + 0,69Y
t
+ 0,04P
t

(11,4) (21,3) (0,5)
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

Cac gia tr trong ngoac n la tr thong ke t tng ng. oi vi
^
, gia tr t la 0,5, nho hn
t
*
33
(0,05) gia 2,021 va 2,042. Do o, ay cung khong bac bo gia thuyet khong.

PHNG PHAP 3 (KIEM NH t TRC TIEP) Phng phap cuoi cung ap dung mot kiem nh
t trc tiep va khong oi hoi c lng cua mot he so hoi qui nao khac.

Bc 1 Nh trong phng phap 2, xac nh mot thong so mi goi la co gia tr bang
khong khi gia thuyet khong la ung. Do o khi H
0
la
2
=
3
, chung ta se nh
ngha =
2

3
, va khi gia thuyet H
0
la
2
+
3
= 1 th =
2
+
3
1.
Bc 2 Trc tiep lay phan phoi thong ke cua , va s dung e tnh tr thong ke t.
Bc 3 Tien hanh kiem nh t tren s dung trc tiep e tnh tr thong ke.

Kiem nh trc c minh hoa ay ch cho v du chung ta s dung, H
0
:
2
=
3
.
(Xem nh bai tap thc hanh, hay ap dung phng phap nay oi vi gia thuyet
2
+
3
= 1)
V cac c lng OLS la to hp tuyen tnh cua cac quan sat tren bien phu thuoc va
do o la to hp tuyen tnh cua cac so hang sai so phan phoi chuan, chung ta biet la

2
^
~ N(
2
,
2
2
^
)
3
^
~ N(
3
,
2
3
^
)

vi
2
la phng sai tng ng. Hn na, mot to hp tuyen tnh cua cac bien chuan cung
phan phoi chuan. Do o,

2
^

3
^
~ [
2

3
, Var(
2
^

3
^
)]

T Tnh chat 2.8a, phng sai cua
2
^

3
^
tnh bang Var(
2
^
) + Var (
3
^
) 2 Cov(
2
^
,
3
^
). Chuyen nhng so tren ve phan phoi chuan chuan hoa (bang cach tr i gia tr trung bnh
va chia cho o lech chuan), chung ta co

2
^

3
^
(
2

3
)
[Var(
2
^
) + Var(
3
^
) 2 Cov(
2
^
,
3
^
)]
1/2
~ N(0,1)

Vi gia thuyet khong, H
0
:
2

3
= 0. Cung vay, chung ta khong biet chnh xac cac phng
sai va ong phng sai, nhng co the c lng c chung (hau het cac chng trnh may
tnh eu co la chon cung cap cac gia tr nay). Neu chung ta thay cac c lng cua cac
phng sai va ong phng sai nay, tr thong ke tren khong con tuan theo phan phoi N(0,1)
ma theo phan phoi thong ke t
n-k
(n 3 trong v du cua chung ta). V vay, co the s dung
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

cung kiem nh t cho tr thong ke tnh t ang thc tren vi cac c lng phu hp c
thay vao. Tr thong ke t c tnh bang
t
c
=
2
^

3
^

[Var(
2
^
) + Var(
3
^
) 2 Cov(
2
^
,
3
^
)]
1/2

V
2
=
3
theo gia thuyet khong. Vi mc y ngh 5%, H
0
b bac bo va gia thuyet H
1
:
2
-
3

> 0 c cung co neu gia tr t
c
ln hn t
*
n-k
(0,05). oi vi trng hp gia thiet ngc lai co
dang hai pha, H
1
:
2

3
, ta tra gia tr t
*
n-k
(0,025) va bac bo H
0
neu ,t
c
, > t
*
. V phng
phap nay oi hoi phai thc hien mot so tnh toan phu, nen mot trong cac phng khac
thng c e ngh s dung hn phng phap 3.

V DU 4.11:

e minh hoa, chung ta xem phng trnh (4.5), phng trnh nay c c lng t tap d
lieu DATA4-2 phu luc D. Phng trnh c lng cung vi cac tr phng sai va ong
phng sai c trnh bay di ay (xem Phan Thc Hanh May Tnh 4.2):

t t t
P 736 0 W 693 0 16 222 C , , ,
+ + =
2
R = 0,999 d.f. = 33 ESS = 38.977

2
2
032606 0 Var ) , (
=
2
3
048822 0 Var ) , (
=

001552 0 Cov
3 2
, )
( =

Tr thong ke t c tnh theo:

53 0
001552 0 2 048822 0 032606 0
736 0 693 0
2 1 2 2
,
)] , ( ) , ( ) , [(
, ,
/
=
+

=
c
t

V t
*
33
(0,05) co gia tr nam gia 2,021 va 2,042, va gia tr nay ln hn nhieu so vi gia tr
tnh toan nhieu nen chung ta khong bac bo gia thuyet H
0
cho rang khuynh hng can bien
chi tieu t tien lng va thu nhap khac la nh nhau. Ket qua nay gi nguyen cho du gia
thuyet ngc lai H
1
la mot pha hay hai pha.

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Chung ta thay rang ca ba phng phap eu cho ra cung mot ket qua. Trong ba phng
phap c trnh bay, Phng phap 2 thc hien de nhat v no khong oi hoi cac tnh toan
phu nhng lai co the s dung e kiem nh gia thuyet bang phep kiem nh t trc tiep theo
mot mo hnh c ieu chnh mot t. Tuy nhien, kiem nh Wald c trnh bay trong
phng phap 1 co the c ap dung trong nhieu trng hp tong quat hn.

4.5. Cac Sai So ac Trng

Nh a e cap trc ay, viec la chon cac bien oc lap va phu thuoc trong mo hnh kinh te
lng phai c da tren ly thuyet kinh te, kien thc ve cac hanh vi tiem an, va kinh
nghiem qua kh. Tuy nhien, cac ban chat cac quan he gia cac bien kinh te la khong bao
gi biet, va v vay chung ta co the mong i nhng sai so trong viec xac nh cac ac trng
cua mo hnh kinh te lng. Sai so ac trng xay ra neu chung ta xac nh sai mo hnh theo
cac loai nh chon bien, dang ham so, hoac cau truc sai so (ngha la so hang ngau nhien u
t

va cac tnh chat cua no). Trong phan nay chung ta se khao sat sai so ac trng loai th
nhat. Trong chng 6 chung ta se xem xet en viec la chon cac dang ham so va cac sai so
ac trng cua so hang ngau nhien se c thao luan chng 8 va 9.

Khi chon cac bien oc lap cua mo hnh, ta co the pham phai hai loai sai so sau: (1) bo
qua mot bien thuoc ve mo hnh va (2) a vao mot bien khong lien quan. Trong ham cau,
neu chung ta bo qua bien gia ca hang hoa hoac thu nhap cua ho gia nh, chung ta co the
gay ra trng hp sai so ac trng loai th nhat. Trong v du ve bat ong san trc ay, gia
s cac bien ve loai mai lp hoac thiet b ien s dung hoac khoang cach en cac trng hoc
lan can khong tac ong ang ke en gia ban ngoi nha. Neu chung ta van tiep tuc a
nhng bien nay vao mo hnh, chung ta se pham phai sai so ac trng loai th hai, ngha la,
a tha bien vao mo hnh. Trong nhng phan sau, chung ta se xem xet cac he qua ly
thuyet cua tng loai sai so ac trng nay ong thi trnh bay cac bang chng thc nghiem.

Bo qua bien quan trong.

au tien chung ta khao sat trng hp trong o mot bien thuoc ve mo hnh b bo qua. Gia
s mo hnh that la:

Y
t
=
1
+
2
X
t2
+
3
X
t3
+ u
t

Nhng chung ta c lng c mo hnh

Y
t
=
1
+
2
X
t2
+ v
t

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Noi cach khac, gia tr that cua
3
la khac 0, nhng chung ta lai gia nh rang no bang 0 va
v vay a loai bo bien X
3
ra khoi mo hnh. Cac so hang sai so cua mo hnh that c gia
nh la ap ng c cac gia thiet t 3.2 en 3.8. Cac he qua cua loai sai so xac nh nay
c tom tat qua cac tnh chat sau:

Tnh chat 4.3
a. Neu mot bien oc lap ma he so hoi qui that cua no khac khong b loai ra khoi mo hnh,
cac gia tr c lng cua tat ca cac he so hoi qui con lai se b thien lech tr phi bien b
loai ra khong tng quan vi moi bien c a vao.
b. Ngay ca khi ieu kien nay c thoa man, so hang hang so c c lng noi chung
cung b thien lech, va v vay cac gia tr d bao cung b thien lech.
c. c lng phng sai cua he so hoi qui cua mot bien c a vao noi chung se b
thien lech, va v vay cac kiem nh gia thuyet se khong co y ngha.

Co the thay t Tnh chat 4.3 rang he qua cua viec bo qua mot bien quan trong la rat nghiem
trong. Cac c lng va tr d bao se b thien lech, va cac kiem nh gia thuyet se khong
con co y ngha na. Nguyen nhan cua s thien lech (c goi la thien lech bien b bo sot)
la de dang nhan thay. So sanh hai mo hnh, chung ta thay rang v
t
=
3
X
t3
+ u
t
. Gia tr ky
vong cua so hang sai so trong mo hnh sai la E(v
t
) =
3
X
t3
0. V vay, v
t
vi pham Gia s
3.3. Nghiem trong hn, ong phng sai gia X
t2
va v
t
c tnh theo (xem Phan 2.3 ve
ong phng sai):

Cov(X
t2
, v
t
) = Cov(X
t2
,
3
X
t3
+u
t
) =
3
Cov(X
t2
, X
t3
) +

Cov(X
t2
, u
t
)
=
3
Cov(X
t2
, X
t3
)

V X
2
va u khong tng quan. Nh vay, tr phi ong phng sai gia X
2
va X
3
bang 0
ngha la, tr phi X
2
va X
3
la khong tng quan ong phng sai gia X
2
va v se khac
khong, va nh vay cung vi pham Gia thiet 3.4. Tnh chat khong thien lech va nhat quan
phu thuoc vao hai gia thiet nay. Nh vay,
2
se khong b khong thien lech va nhat quan.

Khang nh tren co the c nhan ra mot cach ro rang hn. Goi
1
va
2
la cac c
lng cua so hang hang so va he so o doc cua X
t2
khi chung ta hoi qui Y
t
theo so hang
hang so va mot bien X
t2
, ngha la loai bo ra X
t3
. Cac gia tr c lng thc cua hai c
lng nay c chng minh Phu Luc Phan 4.2 nh sau:

(
+ =
22
23
3 2 2
S
S
E )
( va
(
+ =
22
23
3 3
3 1 1
S
S
X X E )
(

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Trong o cac bien co gach ngang tren au la cac gia tr trung bnh tng ng,
) )( ( 3
3 t
2
2 t 23
X X X X S =
va
2
2
2 t 22
X X S ) (
= . T ay chung ta co the thay rang,

tr phi S
23
= 0, tc la, tr phi X
2
va X
3
khong tng quan, th E(
2
)
2
va v vay noi
chung
2
la thien lech. Cung lu y rang

2
bao gom mot so hang lien quan en

3
, o la
anh hng cua bien b loai bo. V vay, chung ta khong the dien dch
2
la anh hng can

bien cua rieng X
2
. Mot phan anh hng cua bien b loai bo ra khoi mo hnh cung c ke
en. Nh vay, he so trong mo hnh se o lng anh hng trc tiep cua bien c a vao
mo hnh cung nh anh hng gian tiep cua bien b loai bo. ieu nay cung ung vi cac c
lng cua so hang hang so. Lu y rang ngay ca khi S
23
= 0,
1
se thien lech tr phi co

them gia tr trung bnh cua X
3
= 0. Bi v cac ieu kien a ra ay la rat kho thoa man,
nen nhn chung cac c lng va cac gia tr d bao la thien lech.

S NGUY HIEM CUA VIEC LOAI BO SO HANG HANG SO. Nh a thay tren
1
va
2
co ke
en mot phan anh hng cua bien b loai bo X
3
. Do o can thiet phai a so hang hang so
vao mo hnh. Neu so hang hang so b bo qua, ng hoi qui b ep phai i qua goc toa o,
ieu nay co the dan en viec ac trng sai nghiem trong ham hoi qui. Chung ta co the thay
t bieu o phan tan Hnh 3.1 hay Hnh 3.11 rang s rang buoc ng hoi qui i qua goc
toa o se lam cho cac c lng cua o doc b thien lech va cac sai so se ln hn. Mot lan
na, ket luan t phan thao luan nay la so hang hang so luon luon nen c a vao mo hnh
tr phi co mot ly do ly thuyet vng chac e khong lam ieu o (trong Chng 6 chung ta se
gap mot trng hp trong o ly thuyet bat buoc khong co so hang hang so)

Trong mo hnh tuyen tnh n, gia s rang ban a nham lan loai bo so hang hang so; ngha
la, gia s rang mo hnh that la Y
t
= + X
t
+ u
t
, nhng ban c lng ra thanh Y
t
= X
t
+
v
t
. au tien kiem chng c lng OLS cua khi s dung mo hnh sai o la
= [(X
t
Y
t
)]/[
(X
t
2
)]. Ke en thay vao Y
t
trong bieu thc nay bang Y
t
t mo hnh that, va tnh E(
).
Va sau o chng minh rang
la thien lech. Cuoi cung tm ieu kien e
la khong thien
lech mac du s dung mo hnh sai. Neu cac dien dch trc giac ve cac ieu kien ban tm ra.
[Trong bai tap dang nay va cac bai tng t cuoi chng, tien hanh nh sau: (1) s
dung mo hnh c lng va tm ra bieu thc ai so cho cac tr c lng thong so; (2) thay
vao Y
t
t mo hnh that theo so hang X
t
, u
t
, va cac thong so cua mo hnh that (chung ta s
dung mo hnh that v Y
t
c xac nh thong qua no ma khong phai bang mo hnh sai); (3)
tnh gia tr ky vong cua cac c lng; va (4) so sanh cac gia tr ky vong vi gia tr that,
kiem tra tnh khong thien lech, va neu can thiet, xac nh ieu kien e co s khong thien
lech]

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V du 4.12:

en ay can phai co mot minh hoa thc tien ve cac thien lech xac nh do viec loai bo cac
bien quan trong. Tap tin DATA4-3 mo ta Phu luc D cha cac d lieu hang nam ve viec
xay mi nha My. Quan he c lng gia viec mua nha (HOUSING) (n v nghn o
la), GNP (theo t o la 1982), va lai suat cam co (%) la nh sau (xem chi tiet Phan Thc
Tap May Tnh 4.3)

Mo hnh A: HOUSING = 687,898 + 0,905GNP 169,658 INTRATE
(1,80) (3,64) (-3,87)
2
R = 0,375 F(2, 20) = 7,609 d.f. = 20

T ly thuyet c ban ve nhu cau chung ta ky vong rang nhu cau ve nha se tang khi
thu nhap tang. Trai lai, khi lai suat cam co tang, chi ph s hu nha se tang, va nhu cau ve
nha se giam. Nhan thay rang cac dau cua cac he so c lng phu hp vi cam nhan trc
giac cua chung ta. Chung ta cung thay t cac tr thong ke t trong ngoac n rang GNP va
INTRATE va rat co y ngha. Tuy nhien,
2
R co gia tr khong cao lam oi vi tap d lieu
theo thi gian. Gia s chung ta bo qua bien quan trong INTRATE. Mo hnh c lng se
tr thanh nh sau:

Mo hnh B: HOUSING = 1.442,209 + 0,058GNP
(3,39) (0,38)
2
R = - 0,04 F(1, 21) = 0,144 d.f. = 21
Cac ket qua thay oi rat ln. au tien,
2
R bay gi co gia tr am, cho thay rang mot s
thch hp kem. ieu nay c cung co them bang tr thong ke F vi gia tr nho va khong
co y ngha. Tr thong ke t cua GNP khong co y ngha, cho thay GNP co tac ong khong
ang ke en viec mua nha. Cuoi cung gia tr c lng cua he so GNP b thay oi ang ke.
Cac ket qua nay la hoan toan khong chap nhan c va la hau qua cua viec bo qua lai suat
the chap, la mot bien quan trong tien quyet trong viec xac nh nhu cau nha .

a Vao Mo Hnh Mot Bien Khong Lien Quan
Gia s rang mo hnh that la
Y
t
=
1
+
2
X
t2
+ u
t

Nhng chung ta them nham bien X
3
va c lng c mo hnh

Y
t
=
1
+
2
X
t2
+
3
X
t3
+ v
t

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Nh trc ay so d that u
t
c gia nh tuan theo gia thiet 3.2 en 3.8 Chng 3. Hau
qua cua loai ac trng sai nay la g? c lng cua
2
co thien lech hay khong? Lieu no
van la BLUE? Cac kiem nh gia thuyet co hp le khong? Cau tra li cho cac cau hoi nay
c tom tat cac tnh chat sau:

Tnh chat 4.4
a. Neu mot bien oc lap co gia tr he so hoi qui that bang khong (ngha la, bien nay la
tha) c a vao mo hnh, cac gia tr c lng cua tat ca cac he so hoi qui khac van
se khong thien lech va nhat quan.
b. Tuy nhien phng sai cua chung se cao hn cac gia tr khi khong co bien khong lien
quan, va v vay cac he so se khong hieu qua.
c. V cac phng sai c lng cua cac he so hoi qui la khong thien lech, cac kiem nh
gia thuyet van co hieu lc.

Nh vay hau qua cua viec a vao mo hnh mot bien khong lien quan la t nghiem trong
hn so vi trng hp bo sot mot bien quan trong.

CHNG MINH
*

phan 4.A.3 ta a chng minh c rang
E(
2
) =
2
va E(
3
) = 0
Nh vay,
2
la khong thien lech va ky vong cua

3
bang 0. Tnh nhat quan c gi

nguyen. Cac ket qua nay c tong quat hoa cho trng hp hoi qui boi vi nhieu bien giai
thch. Do vay, viec a vao cac bien khong lien quan khong lam thien lech cac c lng
cua cac he so cua cac bien con lai. V cac c lng la khong thien lech va nhat quan, cac
gia tr d bao da tren chung cung vay.
Bc ke tiep la tnh phng sai cua
2
e xac nh tnh chat hieu qua. T phan

4.A.3 (s dung cac ky hieu o) ta co:
) (
)
(
2
22
2
2
r 1 S
Var
=
Trong o r
2
la bnh phng cua phng sai n (xem Phng trnh 2.11) gia X
2
va X
3
c
nh ngha nh la r
2
= S
2
23
/(S
22
S
33
). Chung ta so sanh ket qua nay vi phng sai cua c
lng theo OLS (goi gia tr nay la
*
2
) ma le ra se thu c neu mo hnh that c s dung.
T cac phng trnh (3.12) va (3.19) chng 3 ta co:

22
2 y
2
S
S
=
*
va
22
2
2
S
Var

= ) (
*

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o hieu qua tng oi (xem nh ngha 2.8b) cua
2
oi vi
*
2
la
1
r 1
1
Var
Var
2
2
2
) (
)
(
*

V vay ro rang c lng cua
2
khi s dung mo hnh sai la khong hieu qua tr phi r
2
= 0
ngha la, tr phi X
2
va X
3
khong tng quan vi nhau. V tnh khong hieu qua nay, tr
thong ke t co khuynh hng nho hn, va do o chung ta co the ket luan sai rang nhng bien
nay la khong co y ngha ve mat thong ke nhng thc s chung lai hoan toan khac khong.
Co the chng minh rang (xem Johnston, 1984, trang 262) c lng cua phng sai cua
2
la khong thien lech va do o cac kiem nh gia thuyet van co hieu lc.

V DU 4.13:
Tap tin DATA4-3 cung co cha d lieu ve dan so (POP) va t le that nghiep (UNEMP).
Dan so c o theo n v hang trieu va that nghiep c o bang t le phan tram. Chung
ta co the ky vong rang dan so cang cao th so lng nha xay mi cang cao. T le that
nghiep la so o hp ly oi vi chu ky kinh doanh. Khi t le that nghiep cao, ngi tieu
dung co khuynh hng hoan viec mua nha. Chnh v vay viec a bien POP va UNEMP
vao lam bien giai thch la hp ly. Mo hnh hieu chnh nh sau: (tr thong ke t trong ngoac
n)

Mo hnh C: HOUSING = 5.087,434 + 1,756GNP 174,692 INTRATE
(0,5) (0,8) (-2,9)
33,434 POP + 79,720 UNEMP
(-0,4) (0,7)
2
R = 0,328 F(4, 18) = 3,681 d.f. = 18

Khi so sanh vi mo hnh A chung ta thay co nhieu s khac biet ang ke. GNP trc
o la co y ngha th bay gi khong con y ngha na. Tr thong ke t cua bien INTRATE
cung giam mac du no van con co y ngha. ieu nay ung vi nhng ieu phan tch ly
thuyet a c d oan. Tnh chat 4.4b noi rang phng sai cua cac he so co kha nang ln
hn, ieu nay ham y rang cac tr thong ke t se co the nho hn. Cac tr thong ke t cua cac
bien POP va INTRATE la rat nho, cho thay cac bien nay co the la khong quan trong trong
vai tro cac bien them vao chi phoi nhu cau ve nha , cho trc rang GNP va INTRATE o
lng quy mo cua nen kinh te va chu ky kinh doanh. Thc ra, chung ta co the thc hien
kiem nh Wald oi vi viec loai bo POP va UNEMP. Xem Mo hnh C la mo hnh khong
gii han va Mo hnh A la mo hnh gii han, tr thong ke F trong kiem nh Wald (xem
Phng Trnh 4.3) c tnh theo:

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C C
C A C A
c
f d ESS
f d f d ESS ESS
F
. .
) . . . . ( ) (

=
292 0
18 274 444 1
2 274 444 1 140 491 1
,
/ . .
/ ) . . . . (
=
=

Gia tr quan sat F
c
la rat nho va khong co y ngha ngay ca mc 25% (p-value la
0.75). V vay, kiem nh Wald se khong bac bo gia thuyet khong cho rang cac he so hoi qui
cua POP va UNEMP bang khong. Chung ta cung lu y rang dau cua POP va UNEMP
ngc vi nhng g chung ta a ky vong. Tuy nhien, trong trng hp cac he so khong co
ngha, th dau cua chung khong lien quan va co the c chon tuy y.

Bai tap thc hanh 4.8
Thay v a ca hai bien POP va UNEMP vao, nh a lam tren ay, ch a t le that nghiep
vao mo hnh A thoi (c goi la mo hnh D). Hay so sanh cac ket qua nhan c vi cac
ket qua cua mo hnh A. Cac ket qua co khac biet nhieu khong?

Chung ta quan sat s anh oi bang cach so sanh gia viec them vao mot bien
khong lien quan vi viec loai bo mot bien quan trong. Sai so ac trng loai th nhat tao ra
cac c lng khong hieu qua, mac du khong b thien lech. Loai sai th hai gay ra s thien
lech trong cac c lng va cac kiem nh gia thiet. Bi v khong the biet c cac moi
quan he that s, nen chung ta phai oi mat vi van e nan giai trong viec la chon dang
thc thch hp nhat. Mot nha khao cu at nang s khong thien lech, nhat quan, va tin cay
cua cac kiem nh se nam gi cac bien khong lien quan hn la oi mat vi nhng hau qua
cua viec bo mat cac bien quan trong. Mat khac, neu mot nha nghien cu khong the chap
nhan nhng c lng kem hieu qua, th viec xoa mot hay nhieu bien gay kho chu se de
c chon la. Ly thuyet ve kinh te hoc va s hieu biet ve cac hanh vi ang dien ra co the
giup thoat khoi tnh trang tien thoai lng nan nay. Cac rang buoc chon la mo hnh thao
luan phan trc cung co the tr giup c. Trong chng 6 chung ta se thay rang cac
kiem nh oi vi cac ac trng cung se tr giup cho chung ta. Tat ca ieu nay can rat
nhieu s can nhac. S gan bo mu quang oi vi cac tieu chuan cng nhac phai c ngan
nga bang moi gia.

4.6 ng dung: Cac Yeu To Quyet nh So Ngi i Xe Buyt

ng dung au tien lien quan en so ngi se di chuyen bang xe buyt vi nhieu yeu to anh
hng khac nhau. DATA 4-4 c mo ta trong phu luc D co d lieu cheo cho 40 thanh pho
khap nc My. Cac bien nh sau:

BUSTRAVL = Mc o giao thong bang xe buyt o th tnh theo ngan hanh khach moi gi
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FARE = Gia ve xe buyt tnh bang My kim
GASPRICE = Gia mot ga long nhien lieu tnh bang My kim
INCOME = Thu nhap bnh quan au ngi tnh bang My kim
POP = Dan so thanh pho tnh bang ngan ngi
DENSITY = Mat o dan so tnh (ngi/dam vuong)
LANDAREA = Dien tch thanh pho (dam vuong)

ac trng tong quat cua mo hnh, thng c xem nh mo hnh bon ra chen, c cho
di ay (khong co ch so t):

BUSTRAV =
1
+
2
FARE +
3
GASPRICE +
4
INCOME +
5
POP +
6
DENSITY
+
7
LANDAREA + u

Trc khi c lng mo hnh, chung ta se xac nh dau cua cac bien, mc o u
tien, cho cac he so hoi qui. Trong phan thao luan nay, nhng tiem an ve pha cung khong
c xem la quan trong. Bi v mot s gia tang gia ve xe buyt co the lam giam nhu cau i
xe buyt, nen chung ta ky vong
2
se am. Trong lnh vc di chuyen, xe hi se la mot thay
the oi vi xe buyt, va v vay mot s gia tang gia nhien lieu co the khien mot so ngi tieu
thu chuyen sang i xe buyt. V vay chung ta ky vong mot hieu ng tch cc ay; ngha la,
3
se dng. Khi thu nhap tang, chung ta ky vong nhu cau oi vi hang tieu dung cung
tang len, va v vay nh thng le chung ta ky vong
4
se dng. Tuy nhien, neu hang tieu
dung thuoc loai hang hoa thap cap, th hieu ng thu nhap (ngha la,
4
) se am. Mot s gia
tang kch thc dan so hay mat o dan so thng lam gia tang nhu cau di chuyen bang xe
buyt. V vay, chung ta ky vong
5
va
6
se dng. Neu dien tch at tang cao, th thanh pho
se trai rong ra hn va ngi tieu thu co the thch dung xe hi nh la phng tien giao thong
chnh hn. Neu ay la mot tnh huong,
7
c ky vong se am.

Bang 4.4 trch mot phan ket qua chay may tnh s dung chng trnh GRETL (Xem
phan Thc hanh may tnh 4.4). Cac nhan xet can phai chi tiet va nen c nghien cu can
than trc khi phat trien xa hn. Tat ca cac chu e ma chung ta a nghien cu c gan ket
lai vi nhau trong d an thc nghiem nho nay, va Bang 4.4 se giup ban lap ghep nhng
manh rap hnh khac nhau thanh mot hnh anh hoan chnh. Ngay ca neu ban s dung chng
trnh cua rieng mnh e kiem tra lai cac ket qua, th cung ang e nghien cu cac lu y
trong Bang 4.4.

Bang 4.4 Trch mot phan ket qua chay may tnh oi vi So ngi i xe buyt

MODEL 1: OLS est i mat es usi ng t he 40 obser vat i ons 1- 40
Dependent var i abl e: BUSTRAVL

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VARI ABLE COEFFI CI ENT STDERROR T STAT 2PROB( t > | T| )

0) Const 2744. 6797 2641. 6715 1. 039 0. 306361
2) FARE - 238. 6544 451. 7281 - 0. 528 0. 600816
3) GASPRI CE 522. 1132 2658. 2276 0. 196 0. 845491
4) I NCOME - 0. 1947 0. 0649 - 3. 001 0. 005090 ***
5) POP 1. 7114 0. 2314 7. 397 0. 000000 ***
6) DENSI TY 0. 1164 0. 0596 1. 954 0. 059189 *
7) LANDAREA - 1. 1552 1. 8026 - 0. 641 0. 526043

Mean of dep. var 1933. 175 S. D. of dep. var i abl e 2431. 757
Er r or Sumof Sp ( ESS) 1. 8213e+007 St d Er r of Resi d. ( sgmahat ) 742. 9113
Unadj ust ed R- squar ed 0. 921 Adj ust ed R- squar ed 0. 907
F- st at i st i c ( 6, 33) 64. 1434 p- val ue f or F( ) 0. 000000
Dur bi n- Wat son st at 2. 083 Fi r st - or der aut ocor r . coef f - 0. 156

MODEL SELECTI ON STATI STI CS

SGMASQ 551917 AI C 646146 FPE 648503
HQ 719020 SCHWARZ 868337 SHI BATA 614698
GCV 668991 RI CE 700510
Excl udi ng t he const ant , p- val ue was hi ghest f or var i abl e 3 ( GASPRI CE)

[R bnh phng hieu chnh la 0,907, hien th rang 90,7% phng sai cua BUSTRAVL c
giai thch chung bi cac bien trong mo hnh. oi vi mot nghien cu cheo, ieu nay hoan
toan tot. Cot cuoi cung cho gia tr p-value oi vi kiem nh 2 uoi cho gia thuyet khong
tng ng vi cac he so hoi qui bang khong. Ba dau sao (***) hien th rang gia tr p-value
nho hn 1%, ** co ngha no nam gia 1 va 5%, * am ch p-value trong khoang 5 en 10%,
va khong co * ngha la p-value tren 10%. Hay nh rang gia tr p-value cao ngha la xac suat
sai lam loai I bac bo gia thuyet khong se cao. Neu ieu nay cao hn mc y ngha a c
chon (0,10, chang han), th chung ta se khong bac bo gia thuyet khong cho rang he so bang
0. Noi cach khac, khi gi cac bien khac co nh, bien nay se khong co anh hng co y
ngha len BUSTRAVL. Da theo ieu nay, ch INCOME, POP, va DENSITY co cac he so
co ngha mc 10%. Hang so va
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Bang 4.4 (Tiep theo)

cac he so cua FARE, GASPRICE, va LANDAREA khong co y ngha ve mat thong ke ngay
ca mc 25%.
S phu hp cua cac tr thong ke chon la mo hnh (a thao luan trong Phan 4.3) sau
nay se tr nen hien nhien. Tr thong ke Durbin-Watson va t tng quan bac nhat se c
thao luan trong chng 9, nhng khong lien quan lam cho muc ch cua chung ta.
Chung ta nen lam ieu g ke tiep? Chung ta a mot vai lan nhac en hang so khong
co ngha thc te va khong tham gia giai thch y ngha cua bien phu thuoc cung nh cac hieu
ng trung bnh cua cac bien b loai bo. Do o, qui tac chung la bo qua y ngha cua hang so
hoac la khong can no. Tuy nhien, FARE, GASPRICE, va LANDAREA la nhng ng c
vien au tien cho s loai bo khoi mo hnh bi v khong co bang chng chng to chung co
nhng anh hng co ngha len BUSTRAVL. Chung ta co the thc hien mot bc ln, bo tat
ca chung, c lng mot mo hnh c gii han, va thc hien kiem nh Wald F-test nh a
c mo ta Phan 4.4. e tao thuan li cho viec nay, chung ta lay ra tong bnh phng sai
so va so bac t do cho mo hnh khong gii han va mi c c lng. Tuy nhien, ban hay
can trong, mot so bien ong thi b loai bo khong phai la viec lam khon ngoan. Bi v ban
se nhn thay ieu nay trong v du ke tiep va nhng v du sau, viec cung luc loai bo mot vai
bien cung co the bo mat nhng bien co y ngha hoac la nhng bien quan trong ve mat ly
thuyet. Do o, cach lam than trong va nhay ben hn la loai bo dan tng bien. Co mot vai ly
do oi vi viec loai bo cac bien vi cac he so khong co ngha. Th nhat, mot mo hnh n
gian hn de dien giai hn mot mo hnh phc tap. Th hai, viec bo bt mot bien lam tang
bac t do va v vay cai thien s chnh xac cua cac he so con lai. Cuoi cung, nh chung ta se
thay trong chng tiep theo, neu cac bien giai thch co tng quan chat vi nhau no se gay
kho khan cho s dien giai rieng tng he so. Viec loai tr cac bien lam giam c hoi nay sinh
nhng tng quan nay va v vay no lam cho viec dien giai co y ngha hn.
iem bat au cho qua trnh loai bo la nhan dien bien co he so hoi qui t co ngha
nhat. ieu nay c thc hien bang cach nhn vao gia tr p-value cao nhat trong mo hnh
c lng khong co hang so. Ve trung bnh, he so tng ng c ky vong gan bang khong,
va v vay chung ta tin rang bat c thien lech nao b gay ra do s loai bo se la rat nho. T
ket qua mo hnh A, chung ta e y rang he so cho GASPRICE co gia tr p-value cao nhat va
v vay t co y ngha nhat. Do o, bien nay b loai bo khoi ac trng mo hnh va chung ta hay
xem ieu g xay ra. Da tren o chung ta co the loai bo nhieu bien hn. Qua trnh nay c
goi la n gian mo hnh da tren so lieu.]

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0) const 3215. 8565 1090. 4692 2. 949 0. 005730 ***
2) FARE - 225. 6595 440. 4936 - 0. 512 0. 611762 ***
4) I NCOME - 0. 1957 0. 0638 - 3. 069 0. 004203 ***
5) POP 1. 7168 0. 2265 7. 581 0. 000000 ***
6) DENSI TY 0. 1182 0. 0580 2. 037 0. 049453 ***
7) LANDAREA - 1. 1953 1. 7656 - 0. 677 0. 502980 ***



SGMASQ 536311 AI C 615352 FPE 616757
GCV 630954 RI CE 651234

Excl udi ng t he const ant , p- val ue was hi ghest f or var i abl e 2 ( FARE) of t he 8
model sel ect i on st at i st i cs, 8 have i mpr oved.
[Lu y rang tat ca 8 rang buoc la chon mo hnh a c cai thien, ngha la, giam i. Cung
vay, viec loai bo GASPRICE a cai thien o chnh xac cua cac he so con lai bang cach lam
cho chung co y ngha nhieu hn chang han, hang so va DENSITY. Bien co he so t y
ngha nhat, ngha la, gia tr p-value cao nhat, bay gi la FARE. Nhng ve xe buyt la mot
thc o gia ca ma theo cach noi ly thuyet kinh te la mot yeu to quan trong cua nhu cau.
Do o, chung ta khong nen loai bo no ngay ca khi gia tr p-value cho rang chung ta co the
bo. Do vay bc ke tiep la loai bo LANDAREA, bien co gia tr p-value cao nhat ke tiep.]


0) const 3111. 1805 1071. 0669 2. 905 0. 006330 ***
2) FARE - 295. 7306 424. 8354 - 0. 696 0. 490959oooo
4) I NCOME - 0. 2022 0. 0626 - 3. 232 0. 002680 ***
5) POP 1. 5883 0. 1227 12. 950 0. 000000 ***
6) DENSI TY 0. 1490 0. 0357 4. 173 0. 000189 ***

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SGMASQ 528011 AI C 593232 FPE 594012
GCV 603441 RI CE 616012

Excl udi ng t he const ant , p- val ue was hi ghest f or var i abl e 2 ( FARE) of t he 8
model sel ect i on st at i st i cs, 8 have i mpr oved.

[Bien DENSITY a gia tang ang ke. Tuy nhien, bien FARE co gia tr p-value la 49%, qua
cao khong the chap nhan c vi bat c mc y ngha hp ly nao. ieu nay gi y rang, vi
s co mat cua cac bien khac, gia ca co the khong anh hng len nhu cau i xe buyt. Noi
cach khac, khi co nhu cau i xe buyt, ngi tieu thu co the khong nhay cam lam vi gia ca.
Do vay, loai bo FARE la can thiet va xem ieu g xay ra.]



0) const 2815. 7032 976. 3007 2. 884 0. 006589 ***
4) I NCOME - 0. 2013 0. 0621 - 3. 241 0. 002566 ***
5) POP 1. 5766 0. 1206 13. 071 0. 000000 ***
6) DENSI TY 0. 1534 0. 0349 4. 396 0. 000093 ***



SGMASQ 520451 AI C 572112 FPE 572496
GCV 578279 RI CE 585507

Of t he 8 model sel ect i on st at i st i cs, 8 have i mpr oved.
[Lu y rang mo hnh 4 co cac tr thong ke la chon mo hnh thap nhat va tat ca cac he so
eu co ngha rat ln. Cung vay, cac he so oi vi INCOME, POP, va DENSITY khong
khac vi cac he so gia mo hnh 3 va mo hnh 4. V vay s thien lech trong viec loai bo
FARE khong qua nghiem trong.
V li ch cua s hoan tat, that ang e xem mo hnh 1 nh mot mo hnh khong gii
han va Mo hnh 4 nh mot mo hnh gii han va e thc hien mot kiem nh F-test e kiem
tra xem lieu cac he so cua GASPRICE, LANDAREA, va FARE la ong thi khac vi
khong. Ket qua cho di ay.]
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F( 3, 33) : ar ea t o t he r i ght of 0. 315845 = 0. 813800

[Gia thuyet khong oi vi kiem nh F Wald phat bieu rang cac he so cua tat ca cac bien b
loai bo eu bang khong, ngha la, he so
2
=
3
=
7
= 0. V gia tr p-value trong trng hp
nay la 0.8138, gia tr nay cao trong bat c tieu chuan hp ly nao, chung ta khong the bac bo
gia thuyet khong. S dung tnh toan va phng trnh (4.3), kiem tra lai tr thong ke F cho
cac bien b loai bo a cho tren la 0,315845 (lu y rang mo hnh 1 la mo hnh khong b
gii han va mo hnh 4 la mo hnh gii han oi vi kiem nh nay). Sau o dung bang F vi
mc 10% c cho trong Bang A.4c va kiem tra lai rang ban khong the bac bo gia thuyet
khong mc 10%. V vay, cac he so cua FARE, GASPRICE, va LANDAREA th ong thi
khong co ngha mc nay. Da tren tat ca cac rang buoc, mo hnh 4 dng nh la tot
nhat va c chon nh la mo hnh cuoi cung cho viec dien dch.

Cac he so cua thu nhap, kch thc dan so, va mat o dan so co y ngha rat ln. Ly
thuyet kinh te chuan cho rang anh hng thu nhap len nhu cau oi vi bat c hang hoa nao
eu dng, nhng he so c lng cua INCOME th lai am. ieu nay, khong gay ngac
nhien, gi y rang i xe buyt la mot loai hang hoa thap cap. Khi thu nhap tang len, ngi
ta co khuynh hng s dung xe hi e di chuyen, va v vay lng i xe buyt se giam xuong.
Neu thu nhap au ngi tang len khoang 100 o la, th, ve trung bnh, i xe buyt c ky
vong giam khoang 100|
4
|, ngha la, khoang 20,13 ngan ngi moi gi. Nh ky vong, he
so cua POP va DENSITY dng. Noi cach khac, khi kch thc dan so hay mat o dan so
tang len, th co nhieu ngi di chuyen bang xe buyt hn. Tuy nhien, mac du gia tr so cua
DENSITY rat nhay, nhng oi vi POP th lai khong bi v no ln hn 1 (chu y rang ca hai
DENSITY va POP eu c o lng cung n v). ieu nay gi y mot kha nang ac trng
sai mo hnh.

Khi c lng cac moi quan he nhu cau, ngi ta thng at cau hoi lieu nhu cau
co gian hay khong co gian oi vi gia ca va thu nhap. Viec tra li cho cau hoi o oi
hoi c lng moi quan he phi tuyen tnh, mot chu e c khao sat chi tiet Chng 6.]

4.7 ng dung: S tham gia lc lng lao ong cua n gii

ng dung th hai xuyen suot c dung ay la nghien cu kinh te lng xac nh ty le
tham gia lc lng lao ong cua n gii phan tram n gii tren 16 tuoi trong lc lng lao
ong thc s ang lam viec hay tm viec. DATA4-5 a mo ta trong phu luc D trnh bay d
lieu ieu tra dan so nam 1990 cho 50 bang tren nhieu bien (bien au tien la bien phu
thuoc):

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WLFP =

YF =
YM =
EDUC =
UE =
MR =
DR =
URB =
WH =
Ty le tham gia (%) cua moi phu n tren 16 tuoi (phan tram phu n trong lc
lng lao ong)
Mc lng trung v (ngan o-la) cua n
Mc lng trung v (ngan o-la) cua nam
Phan tram n gii tot nghiep trung hoc tren 24 tuoi
Ty le that nghiep (%)
Ty le ket hon (%) cua n gii t 16 tuoi tr len
Ty le ly hon
Phan tram dan so thanh th trong nc
Phan tram phu n da trang tren 16 tuoi

Mo hnh kinh te lng dung tat ca cac bien giai thch nh sau:

WLFP =
1
+
2
YF +
3
YM +
4
EDUC +
5
UE +
6
MR +
7
DR
+
8
URB +
9
WH + u

Trc khi thc s c lng mo hnh, viec thao luan cac dau cua cac he so hoi qui
ky vong la rat hu ch. S thao luan c rut ra da tren ly thuyet kinh te tng phan v i
ly thuyet kinh te lng. Ban oc co the tham khao bai viet cua ONeill (1981), Kelley va
Da Silva (1980), va King (1978) e biet them chi tiet ve vai ly thuyet nay.
YF: ay la o o lng tien tra cho ngi lao ong n, ta ky vong no co hieu ng
dng len bien WLFP. Noi cach khac, lng cang cao, n gii cang tham gia lao ong. Tuy
nhien, ta nen nh rang ly thuyet lao ong noi rang hieu ng cua thu nhap len lao ong la
am; ngha la khi thu nhap tang, ngi lao ong mong muon th nhan hn (t viec). Vi tien
lng hien hanh, hieu ng nay co the yeu; va do o, khi can bang, ta ky vong bien nay co
he so dng.
YM: Khi ngi chong lam ra tien nhieu hn, ngi v khong can lam viec nhieu.
Do o, ta ky vong he so nay la am. Cung co the bi v nhieu phu n co kha nang chuyen
mon tot, cho nen thu nhap cua nam gii cang cao khien cang nhieu phu n tm nhng viec
nh vay. Tuy nhien, ieu nay tac ong en loai cong viec va hau nh khong tac ong en
viec nhieu phu n tham gia lc lng lao ong hn hay khong.
EDUC: S giao duc cang nhieu ngu y cang co nhieu c hoi viec lam (mong c) san
co cho n. Vay, ta ky vong he so nay dng.
UE: Ty le that nghiep co ca hieu ng am va dng. gia thuyet ngi lao ong chan
nan noi ro rang ty le that nghiep cang cao la mot dau hieu cho phu n (va bo phan ngi
thieu so) biet rang tm viec la cong viec vo ch. ieu nay lam cho ho ri khoi lc lng lao
ong, vay he so nay co dau am. Cung co the co hieu ng dng. Neu ngi chong mat
viec, ngi v co the phai tham gia lao ong e bu vao khoan tien b mat. Neu hieu ng
nay khong manh, th dau am se chiem u the.
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MR: Neu mot phu n ket hon, co ta co xu hng co t c hoi lam viec (ac biet khi
ho co con) va co the giam mong muon va s can thiet co viec. Vay ty le ket hon cao co the
giam ty le tham gia lao ong cua n WLFP.
DR: Ta ky vong dau dng cho bien nay bi v khi ty le ly hon cao, nhieu phu n co
the tham gia lc lng lao ong nham t chu cap cho ho.
URB: Tai cac khu vc thanh th c hoi viec lam nhieu hn tai nong thon. Ta ky
vong rang nhng tieu bang co phan dan so song thanh th nhieu hn se co ty le tham gia
lao ong n cao hn. Mat khac, phu n nong thon co chieu hng t song bang nuoi thu
nuoi va gia cam va lam nhng viec ong ang khac. Vay, ho a la mot phan lc lng lao
ong. ieu nay co ngha rang neu mot tieu bang co dan so nong thon ong hn (ngha la t
URB), th s tham gia lao ong n se cao hn, ket qua la he so am. Hieu ng sau cung co
the c xac nh ch theo kinh nghiem.
WH: Khong co dau ro rang ky vong trc cho bien nay. Neu phu n da mau tng
oi khong gioi chuyen mon va tm loai viec nh giup viec hay quan gia, ta ky vong dau am
cho he so nay bi v ty le phu n da trang (WH) cao hn th so phu n da mau thap hn.
Cung vay, neu phu n da trang tng oi giau co, ho co the khong tham gia lc lng lao
ong. ieu nay cung se dan en dau am. Neu nhng gia thiet nay khong ung, ket qua se
la dau dng hoac bang 0.
Bang 4.5 cho thay ket qua chay may tnh tng phan vi nhng chu thch (xem Phan
4.5 Thc hanh May tnh). Dung chng trnh hoi qui cua chnh ban va DATA 4-5 e mo
phong cac ket qua. Sau o nghien cu ky cac ket qua trc khi tien hanh tiep.

Bang 4.5 Ket qua chay may tnh tng phan co chu thch ty le tham gia lc lng lao
ong cua n gii

[Mo hnh vi tat ca cac bien (thng c xem la mo hnh bon ra chen)]

Dependent var i abl e: wl f p

VARI ABLE COEFFI CI ENT STDERROR T STAT 2Pr ob( t > T)

0) const 44. 5096 8. 9750 4. 959 0. 000013
2) yf 0. 9880 0. 4076 2. 424 0. 019847
3) ym - 0. 1743 0. 3062 - 0. 569 0. 572212
4) educ 0. 2851 0. 0932 3. 060 0. 003888
5) ue - 1. 6106 0. 3136 - 5. 136 0. 000007
6) mr - 0. 0782 0. 1731 - 0. 452 0. 653835
7) dr 0. 4374 0. 2583 1. 693 0. 098035
8) ur b - 0. 0926 0. 0333 - 2. 776 0. 008195
9) wh - 0. 0875 0. 0398 - 2. 196 0. 033819

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Bang 4.5 (tiep theo)

Mean of dep. var . 57. 474 S. D. of dep. var i abl e 4. 249
Er r or Sumof Sq ( ESS) 193. 9742 St d Er r of Resi d. ( sgmahat ) 2. 1751
Dur bi n- Wat son st at . 1. 637 Fi r st - or der aut ocor r . coef f 0. 179


SGMASQ 4. 73108 AI C 5. 56058 FPE 5. 58267
HQ 6. 33926 SCHMARZ 7. 84492 SHI BATA 5. 2761
GCV 5. 76961 RI CE 6. 06169

Excl udi ng t he const ant , p- val ue was hi ghest f or var i abl e 6 ( mr ) .

[Lu y rang ym va mr co gia tr p cao va la cac bien u tien e loai ra khoi mo hnh. Bay gi
ta bo cac bien moi lan mot bien, bat au vi mr, co gia tr p cao nhat]


VARI ABLE COEFFI CI ENT STDERROR T STAT 2Pr ob ( t > T)

0) const 41. 3460 5. 5598 7. 437 0. 000000
2) yf 1. 0671 0. 3645 2. 927 0. 005497
3) ym - 0. 1984 0. 2987 - 0. 664 0. 510097
4) educ 0. 2582 0. 0709 3. 643 0. 000734
5) ue - 1. 5910 0. 3076 - 5. 171 0. 000006
7) dr 0. 3916 0. 2354 1. 664 0. 103626
8) ur b - 0. 0876 0. 0311 - 2. 814 0. 007420
9) wh - 0. 0851 0. 0391 - 2. 175 0. 035271



SGMASQ 4. 64142 AI C 5. 36914 FPE 5. 38405
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GCV 5. 5255 RI CE 5. 73352

Bang 4.5 (tiep theo)

Excl udi ng t he const ant , p- val ue was hi ghest f or var i abl e 3 ( ym) .
Of t he 8 model sel ect i on st at i st i cs, 8 have i mpr oved

[Bo bien ym, la bien van con gia tr p cao, va chu y rang bay gi dr tr nen co y ngha mc
10 phan tram]

MODEL 3: OLS est i mat es usi ng t he 50 obset vat i ons 1- 50

VARI ABLE COEFFI CI ENT STDERROR T STAT 2Pr ob ( t > T)

0) const 41. 8336 5. 4753 7. 640 0. 000000
2) yf 0. 8493 0. 1582 5. 370 0. 000003
4) educ 0. 2492 0. 0691 3. 606 0. 000804
5) ue - 1. 6776 0. 2769 - 6. 059 0. 000000
7) dr 0. 4341 0. 2251 1. 929 0. 060390
8) ur b - 0. 0942 0. 0293 - 3. 212 0. 002500
9) wh - 0. 0961 0. 0352 - 2. 729 0. 009156



SGMASQ 4. 58112 AI C 5. 21282 FPE 5. 22248
GCV 5. 32688 RI CE 5. 47189

Of t he 8 model sel ect i on st at i st i cs, 8 have i mpr oved

[Dung Mo hnh 3 lam mo hnh gii han va Mo hnh 1 lam mo hnh khong gii han, ta co the
thc hien F-test. Ket qua cho nh sau.]

F( 2, 41) : ar ea t o t he r i ght of 0. 318535 = 0. 728997

[Dung mot may tnh, thc hien thong ke kiem nh Wald khi bo cac bien ym va dr. Gia
thuyet khong cho kiem nh nay la
3
=
7
= 0. Nh tren, gia tr p la xac suat cua sai lam loai
I neu ta bac bo gia thuyet khong. V 0,279 la qua cao cho bat c mc y ngha hp ly nao, ta
khong nen bac bo gia thuyet khong ma thay vao o ket luan rang ym va dr cung khong co y
ngha lien ket. Ban nen chng minh ieu nay bang cach dung bang F trong Phu luc A.4c vi
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mc y ngha 10 phan tram. Tat ca cac tr thong ke chon la mo hnh la thap nhat trong Mo
hnh 3. Do o, ta chon Mo hnh 3 la mo hnh cuoi cung tot nhat e khao sat tiep. e giai
thch cac ket qua, xem bai oc.]

Trong Mo hnh 3, c chon la mo hnh cuoi cung tot nhat, dau dng tai bien YF
ch ra rang hieu ng ng cung be ngc len lao ong ngha la, khi tien lng tang
ngi lao ong thch th nhan hn va t tham gia vao lc lng lao ong la yeu. Moi ieu
khac nh nhau, lng cua mot phu n tang len $1.000 th ty le tham gia lao ong cua co ta
c ky vong tang trung bnh 0,849 phan tram.
Tien lng cua nam gii (YM) a khong co y ngha. ieu nay co the bi v bien nay
c lien ket chat che vi bien YF va b bao gop bi he so cua bien YF.
Nh a ky vong, giao duc tang lam cho nhieu phu n tm viec hn. Ty le phu n tot
nghiep trung hoc tang 1 phan tram se tang ty le tham gia lao ong trung bnh 0,249 phan
tram.
Dau am cua bien UE xac nhan cho gia thuyet ngi lao ong chan nan, noi ro rang
khi ty le that nghiep cao, phu n ang tm viec co the chan nan va ri khoi lc lng lao
ong. Mc quan trong cua he so nay hoan toan cao. Bien UE tang 1 phan tram ong ngha
vi ty le tham gia lao ong WLFP giam trung bnh 1,678 phan tram.
Ty le ly hon co dau dng. Trung bnh, ty le ly hon tang 1 phan tram se ky vong lam
cho ty le tham gia lao ong WLFP tang 0,434 phan tram. Tuy nhien, ty le ket hon (MR)
khong co y ngha ve mat thong ke.
He so am cua bien URB (-0,094) xac nhan luan iem trc ay rang dan so nong
thon cao (ngha la, URB thap) co the lam cho WLFP cao bi v phu n nong thon lam nhieu
cong viec ong ang va ngha la tham gia lc lng lao ong.
Phan tram phu n da trang tang 1 phan tram lam cho ty le tham gia lao ong n giam
trung bnh 0,096 phan tram.
Gia tr
2
R cho biet ch khoang 74 phan tram thay oi trong ty le tham gia lao ong
lien bang c giai thch bi Mo hnh C. Vay, ta co the bo vai bien e tang kha nang giai
thch cua mo hnh. Tuy nhien, d lieu cheo gia cac lp cho ra
2
R thap la hoan toan ac
trng. Bi v d lieu theo chuoi noi chung nhieu lan phat trien qua mc, cac mo hnh da tren
d lieu nay co chieu hng cho o thch hp mot cach tng oi. Co the thay ieu nay qua
gia tr cua
2
R (0,999) oi vi ham tieu dung c trnh bay trong V du 4.11. Vi d lieu
them vao, ta co the co s gia i thch tot hn ve ty le tham gia lao ong cua n gii. Cac bien
co the tnh en khi hoi qui nh sau:

1. Quy mo gia nh, ty le sinh san, va so tre em di mot ngng tuoi; cac yeu to nay co
chieu hng lam giam c hoi viec lam cua n gii.
2. Mot bien o lng so phu n tot nghiep ai hoc.
3. Phan phoi tuoi cua n gii
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4. Tr cap tra cho phu n oc than co tre em; yeu to nay co the khien cho phu n i lam hoac
nha (Tnh san co cua s cham soc hang ngay cung co cung hieu ng)
5. o o the hien s khac nhau gia cac vung; vung trang trai va vung cong nghiep co the co
cac kieu hanh vi khac nhau.

Nhng nhan xet quan trong khi dien giai cac he so hoi qui
Khi dien giai cac he so hoi qui c lng can phai that than trong. Trc het, dau cua
mot he so hoi qui co the trai ngc vi nhng g ban ky vong ban au. Neu he so khong co y
ngha ve mat thong ke (ngha la, ban khong the bac bo gia thuyet khong cho rang he so bang
khong), th s sai dau la khong thch hp bi v ve mat thong ke, gia tr bang so co the mang
dau dng hoac am ngang nhau va o n thuan la tnh c ngau nhien ban thu c dau sai.
Trong cac nhan xet co chu thch trong bang 4.4, ta a noi ro mot so ly do hp ly e loai bo
mot bien co mot he so khong co y ngha (dien giai de hn, y ngha hn va chnh xac hn).
Trong mot trng hp nh vay, n gian la ban nen bo bien so ra va c lng lai mo hnh
vi s tin rang o thien lech cua bien va loai bo la khong ang ke. Nen chu y rang khi bo
mot bien ra khong co ngha ban noi bien o khong co hieu ng len bien Y, ma phai hieu la,
moi th khac nh nhau, bien ang ban en khong co hieu ng rieng le. Hieu ng cua no c
the hien qua s hien dien cua bien khac co tng quan (Chng ke tiep se e cap nhieu hn)
Khi quyet nh chon s y ngha hoac khong cua mot thong so hoi qui, mot cau hoi
ang quan tam la Vi mc gia tr nao cua p ta cho rang la cao e bac bo gia thuyet khong
cua hieu ng 0? Hau het cac nha phan tch dung mc 5 phan tram (hoac 0.05) lam chuan.
Mc a thch cua ca nhan toi la 10 phan tram. Mot u iem khi dung gia tr cao hn la co
nhieu bien c gi lai trong mo hnh hn (giai thch v sao ay la tnh huong), do vay giam
bat c s thien lech nao cua bien bo i. Khong giong nh nhng th nghiem y hoc, khi ma sai
lam co the tra gia rat at, hanh vi kinh te phai chu nhieu yeu to khong chac chan, va do o
mc dung sai phai cao hn. Tuy nhien, neu c mau (n) la rat ln, ta nen dung gia tr p ngat
hn. Bi v khi n ln, cac o lech chuan se nho, lam cho hau het moi he so eu co y ngha.
Ta nen lam g neu he so co dau ngc co y ngha ve mat thong ke? Ta nen tm cau
giai thch. Lay v du, trong v du 4.1 ve gia nha, ta phat hien nhng dau am khac thng cua
2 bien BEDRMS va BATHS. Tuy nhien, theo y ngha hp ly cua mot he so hoi qui ngha
la hieu ng tng phan, khi tat ca cac bien khac khong oi gia tr ta thay rang cac he so am
xet cho cung la khong qua ngac nhien. v du th hai, trong mo hnh du lch xe buyt trong
Phan 4.6 (xem Bang 4.4), ta phat hien he so thu nhap co dau am, trai ngc vi ieu moi
ngi thng ky vong. Trong trng hp nay, ta co the i en mot s giai thch hp ly khi
nhan thay rang dau am cho biet du lch xe buyt la mot hang hoa thap cap. Chng 5 cung
cap nhng v du khac cua cac trng hp ma ta bat gap nhng dau khac thng va e xuat
nhng bien phap x ly. Cac v du nay nen c nghien cu ky lng.
Mot lu y quan trong khac la phai chu y en cac n v o cua cac bien khi dien giai
cac gia tr bang so cua cac he so hoi qui (xem Phan 3.6 ve chuyen oi n v e nh lai).
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Ban cung that than trong khi dien giai nhng bien c the hien bang phan so hoac phan
tram (v du, ty le that nghiep va lai suat). Neu ban thc hien d an thc nghiem cua chnh
ban, nhn chung nen tranh dang phan so hoac ty le ma hay bieu dien nhng bien nh vay
theo phan tram. Ly do bi v se de dang hn khi dien dch hieu ng cua 1 phan tram thay v
0,01 thay oi trong 1 bien so. Tuy nhien, trong mot bai viet thc nghiem nha ieu tra nghien
cu co the bieu dien vai bien di dang ty le. Trong nhng trng hp nh the, phai that than
trong khi dien dch cac gia tr bang so. phan nay, ban oc se hieu hn khi xem lai s dien
dch cua cac he so c lng cua cac bien dang phan tram trong v du tham gia lc lng lao
ong cua n gii va mi thao luan.

4.8 V du thc nghiem: Ty le di tru rong va chat lng cuoc song

Liu (1975) a nghien cu moi quan he gia s thay oi ty le di tru rong gia cac bang va mot
so cac bien giai thch, trong o gom chat lng cuoc song. D lieu cheo tren 50 bang, va
mo hnh c ban c dung nh sau:

MIGRATE = f(QOL, Y, E, IS, ES, AP, ED, HW)

Trong o

MIGRATE = Ty le di tru rong gia nam 1960 va 1970 (so chuyen en tr so chuyen i
chia cho dan so)
QOL = Ch so chat lng cuoc song
Y = Ch so thu nhap bang tren thu nhap quoc gia
E = Ty le gia so viec lam cua bang tren so viec lam quoc gia
IS = Ch so tnh trang ca nhan
ES = Ch so tnh trang nen kinh te
AP = Ch so san xuat nong nhgiep
ED = Ch so phat trien giao duc
HW = Ch so tr cap phuc li va cham soc sc khoe

Da tren nhng ch tieu c phat trien bi Uy ban Muc tieu Quoc gia cua Chu tch
Eisenhower. Liu a xay dng moi ch so liet ke nh tren. QOL la trung bnh so hoc cua cac
ch so khac cua chat lng cuoc song. Bang 4.6 co cac he so c lng va cac thong ke lien
quan cho mot so mo hnh hoi qui boi lien ket ty le di tru vi cac ch so chat-lng-cuoc-song.
e thng thc bai nghien cu ve di tru cua tac gia, sinh vien nen oc nguyen ban bai viet.
Mac du nhng chu e e cap trong chng nay u e hieu ro cac mo hnh va cac ket qua,
ay ta ch trnh bay tom tat cac ket qua nay.
Tac gia a khong cung cap thong tin cac tong bnh phng phan d cho cac mo hnh,
va do vay ta khong the so sanh cac mo hnh bang cach dung cac tieu chuan chung a c
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trnh bay trc ay. o thch hp co the c anh gia ch bi
2
R . Ta lu y rang thu nhap va
viec lam t ban than khong giai thch bat ky s thay oi nao trong bien di tru. Gia tr cua
2
R
la am trong Mo hnh 2. QOL t than giai thch khoang 6 phan tram thay oi trong bien di tru.
Neu thu nhap va viec lam c them vao QOL (Mo hnh 3),
2
R giam mot cach ang ke.
ieu nay ham y rang 2 bien nay hau nh khong thuoc ve mo hnh. Trong Mo hnh 4, tac gia
loai tr Y va E. Ta lu y rang, khi loai bo yeu to phuc li va cham soc sc khoe (HW), moi
bien chat-lng-cuoc-song khac eu co y ngha hoac hau nh co y ngha mc y ngha 5
phan tram. Bi v HW khong co y ngha trong cac mo hnh, tot hn nen bo bien nay ra va c
lng lai mo hnh e c lng cac he so con lai hieu qua hn. Nhng tac gia a quyet nh
gi bien so lai e tranh s thien lech co the co cua bien b bo i.
Tat ca cac bien chat lng-cuoc-song co dau ky vong dng khi loai bo bien phat trien
giao duc (dau am cua bien HW co the bo qua bi v no khong co y ngha ve mat thong ke).
S hp ly cua Liu trong cac ket qua khac thng nay c tai dien lai ay (Liu, 1975, trang
333):

Bang 4.6 Tng quan c lng gia Di tru va Chat lng cua cuoc song

Bien oc lap Mo hnh 1 Mo hnh 2 Mo hnh 3 Mo hnh 4 Mo hnh 5
CONSTANT
QOL

Y

E

IS

ES

AP

ED

HW
-23.05
24.06
(2.05)

104.62

0.36
(0.05)
103.47
(-0.48)

55.94
23.40
(1.93)
-0.74
(-0.10)
-77.26
(-0.37)
-16.46

28.68
(2.02)
20.03
(2.24)
18.73
(2.87)
-31.56
(-3.46)
-18.45
(-1.41)
-62.50

7.19
(1.11)
41.76
(0.23)
30.21
(2.14)
20.49
(2.28)
19.13
(2.89)
-33.48
(-3.59)
-21.69
(-1.57)
2
R 0.06 -0.03 0.02 0.37 0.36
D.F. 48 47 46 44 42

Lu y: Cac gia tr trong () la thong ke t
f
Nguon: Liu (1975), Tai ban vi s cho phep cua Hieu trng va hoi vien cua trng Harvard
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Trc het, trong khi s di tru la bien ong th bien giao duc ai dien cho khai niem tnh. ieu nay
dan en mot tien trnh hieu chnh can bang gia khoi ngi c giao duc va dong di tru tai My,
ngha la nhng bang c biet la co s phat trien giao duc ang ke ang xuat khau nhan lc co
trnh o cao sang nhng bang ma nhan lc co ky nang cao tng oi khan hiem va ket qua la, di
dan co trnh o cao tm thay nhng bang nay c hoi nghe nghiep nhieu hn cung nh nhieu
cong viec thch ang hn. Th hai, nhng di dan khong ong nhat ve qua trnh giao duc, va quyet
nh di tru cua ho thng b tac ong bi ban be hay ngi than tai ni en, nhng ngi nay
thng co cung trnh o giao duc nh ho. He qua la, nhng bang co c dan khong ong nhat ve
trnh o van hoa th ky vong se co ty le di tru rong cao hn nhng bang tng oi ong nhat. Tuy
nhien, can phai nghien cu bo sung them e anh gia hieu ng cua bien giao duc nay len s di
tru.

4.9 D an thc nghiem

Neu d an thc nghiem la mot phan trong khoa hoc kinh te lng cua ban, ban nen theo
hng dan trong phan 1.3 va thu thap vai d lieu. Neu ban co thong tin u cac bien, ban nen
nhap d lieu vao may tnh va chac rang d lieu c nhap mot cach chnh xac (neu ban ang
dung GRELT, hay oc sach hng dan e sap at file d lieu cua chnh ban). Sau o ban co
the th mo hnh au tien, loai bo cac bien va thc hien kiem nh Wald, va ke tiep ap dung
ky thuat n gian hoa mo hnh da tren d lieu e kh cac bien. Tuy nhien tat ca cac bc
nay n thuan la e thc hanh va hieu ro them nhng chu e c e cap trong chng nay.
Ban khong nen qua xem trong cac ket qua, bi v can phai co nghien cu ly thuyet ang ke
trc khi am nhan mot mo hnh y ngha va phan tch.

Tom tat
Trong mo hnh hoi qui tuyen tnh boi, bien phu thuoc (Y) c hoi qui da vao k bien oc lap
X
1
, X
2
,, X
k
. X
1
thong thng at la 1 e co the bao gop mot so hang tung o goc khong oi.
Nh trc ay, thu tuc OLS cc tieu tong bnh phng sai so
2
t
u
va cho ra k phng trnh
chuan. Nhng phng trnh nay noi chung duy nhat c giai cho cac he so, vi ieu kien la
so quan sat ln hn k.
c lng khong thien lech cua phng sai sai so (
2
) c xac nh bi s
2
=
) /( ) ( k n u
2
t
2
=
. Vi gia thiet rang so hang sai so u
t
la phan phoi oc lap va ong nhat nh
N(0,
2
), tr thong ke
2 2
k n / ] ) [(
co phan phoi chi bnh phng vi n-k bac t do.
o thch hp c o lng theo mot trong 2 cach tng ng. T phng trnh c
lng, phan d c o la
tk k 2 t 2 1 t t
X X Y u =

...

. Tong bnh phng sai so (ESS) la
2
t
u
, va tong bnh phng toan phan (TSS) la

2
t
Y Y ) (
. o lech chuan hoi qui c xac
nh bi
2 1
k n ESS
/
)] /( [ =
co the so sanh vi
2 1
Y
1 n TSS
/
)] /( [ =
e thay o bien giam
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nh the nao. Mot o o lng khong t do n v c xac nh bi bnh phng R co hieu
chnh (ky hieu bang
2
R ), c tnh nh sau

TSS
1 n
1 R 1
k n
1 n
1
k n TSS
1 n ESS
1 R
2
2 2
) (
) (
) (
) (
=
=

2
R co the c dien giai la s thay oi cua Y
t
c giai thch bi mo hnh. Khong
giong R
2
, bang 1(ESS/TSS),
2
R co tnh en s anh oi gia s tang them cua R
2
do bien
c them vao va s giam i trong cac bac t do.
Trong chng nay, ta cung thao luan 8 tieu chuan khac nhau e chon cac mo hnh tot
nhat. Mot mo hnh n gian hn c a thch v (1) s gop qua nhieu bien lam cho o
chnh xac tng oi cua cac he so rieng le kem i (se thay chi tiet hn trong chng ke
tiep), (2) Them cac bien ong ngha vi giam bac t do, lam cho kha nang kiem nh kem
i, va (3) mot mo hnh n gian hn th de hieu hn mot mo hnh phc tap. Tieu chuan
chon la mo hnh co dang cua tong bnh phng sai so nhan vi he so bat li, he so nay phu
thuoc vao tnh phc tap cua mo hnh. Mot mo hnh c anh gia la tot hn neu cac tr
thong ke tieu chuan trong phan ln cac ac trng co gia tr thap hn. Tuy nhien, trong vai
trng hp ac biet nao o, mot hay vai tieu chuan tr nen khong can thiet.
e kiem nh mot he so rieng le () khac khong mot cach y ngha hay khong, trc
tien ta tnh thong ke t (t
c
), la ty so cua he so c lng vi o lech chuan c lng. Neu ,t
c
,
> t
*
n-k
(/2), vi t
*
la iem trong phan phoi t vi bac t do n-k theo o xac suat e t > t
*

bang mot na cua mc y ngha , th gia thuyet khong H
0
: = 0 b bac bo va gia thuyet H
1
:
0 c cung co. Neu gia thuyet cung co c kiem nh mot pha, ta thu c t
*
ma
vung ben phai cua gia tr nay bang vi mc y ngha. Vay ta bac bo H
0
va chap nhan > 0
neu t
c
> t
*
hoac < 0 neu t
c
< -t
*
.
e ap dung phng phap p-value, trc tien tnh toan 2 lan vung ben phai cua ,t
c
,
trong phan phoi t vi bac t do n-k. Bac bo H
0
neu gia tr p nho hn mc y ngha, va ket
luan rang he so co y ngha.
e kiem nh bo he so hoi qui co bang khong hay khong, phai thc hien kiem nh F-
test, con c goi la kiem nh Wald. Cu the hn, e kiem nh H
0
:
m+1
=
m+2
= . . .=
k
=
0 oi lai gia thuyet rang co t nhat mot he so khac khong, trc tien ta c lng mo hnh
khong gii han (U):

(U) Y =
1
+
2
X
2
+ . . . +
m
X
m
+
m+1
X
m+1
+ . . . +
k
X
k
+ u

Tiep theo ta bo k-m bien cuoi cung va c lng mo hnh gii han (R):

(R) Y =
1
+
2
X
2
+ . . . +
m
X
m
+ v

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Ke en ta tnh tr thong ke F Wald

) /( ) (
) /( ) (
) /(
) /( ) (
k n R 1
m k R R
k n ESS
m k ESS ESS
F
2
U
2
R
2
U
U
U R
c

=

=

Trong o R
2
la o thch hp cha hieu chnh. Gia thuyet khong b bac bo neu F
c
> F
*
k-m, n-k

(), trong o F
*
la iem trong phan phoi F vi k-m va n-k bac t do theo o xac suat e F >
F
*
la (v du, 0,05 hoac 0,01). Kiem nh Wald khong can thc hien neu ch co mot he so
hoi qui b bo ra khoi mo hnh. Ly do v mot kiem nh t-test tren he so tng ng la tng
ng.
Tr thong ke kiem nh Wald cho o thch hp tong quat c xac nh nh sau

) /( ) (
) /(
k n R 1
1 k R
F
2
2
c

=

co phan phoi F vi bac t do k-1 va n-k.
Kiem nh to hp tuyen tnh cua cac he so hoi qui co the thc hien theo 3 cach tng
ng. Thong ke t da tren to hp tuyen tnh cua cac c lng co bac t do n-k va co the
dung trong kiem nh t tng t nh da tren he so hoi qui rieng le. Hoac to hp tuyen tnh
co the c sap nhap vao mo hnh va thc hien kiem nh t hoac F-test.
Khoang tin cay cho cac he so rieng le tng t nh nhng ieu rut ra t Chng 3.
Khoang tin cay cho d bao
k k 2 2 1
X X Y + + + =

. . .
de dang co c bang cac c lng
mot mo hnh co sa oi nho.
Nen tranh khai thac d lieu khong can than e tm o thch hp tot nhat bi v
ieu nay thng dan en s chng minh cua bat ky gia thuyet nao ma ta ngh en tuy nhien
nhng chng minh nh vay co the trai ngc. Khong nen ap dung mu quang nhng ch tieu
cng nhac ma khong xet en ly thuyet hoac s hieu biet cua hanh vi c ban.
He qua cua viec a vao mot bien khong lien quan (ngha la bien co he so hoi qui
bang khong) nh sau:

1. Cac he so hoi qui c lng do dung mo hnh sai va nhng d bao da tren cac c
lng nay la khong thien lech va nhat quan.
2. Nhng c lng la khong hieu qua va khong phai c lng khong thien lech tuyen
tnh tot nhat (BLUE) bi v c lng da tren mo hnh ung la BLUE.
3. Nhng kiem nh cua cac gia thuyet van hp le bi v cac phng sai c lng cung
khong thien lech. Tuy nhien, kha nang kiem nh b giam. Noi cach khac, kha nang
chap nhan mot gia thuyet sai lam (sai lam loai II) la cao hn khi dung mo hnh sai.

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He qua cua viec loai bo bien ang ra thuoc ve mo hnh la:

1. Cac he so hoi qui c lng do dung mo hnh sai va cac d bao da tren cac c lng
nay la thien lech va khong nhat quan
2. Phng sai c lng cung thien lech, va do o cac kiem nh cua cac gia thuyet
khong con hp le.

So sanh nhng he qua theo ly thuyet gia viec them bien khong lien quan vi viec
loai bo mot bien quan trong, ta quan sat thay co s anh oi. Sai so ac trng cua viec
them bien vao lam cho cac c lng khong hieu qua, cho du la khong thien lech. Dang sai
so cua viec bo bien ra lam cho cac c lng va cac kiem nh cac gia thuyet thien lech.
Bi v cha the biet moi quan he thc, ta lam vao tnh the kho khan e chon cong thc
thch hp nhat. Mot nha ieu tra nghien cu cho rang tnh khong thien lech, tnh thch hp
va tin cay cua cac kiem nh la quan trong th se gi mot bien khong lien quan hn la nhan
hau qua cua viec loai bo mot bien quan trong. Ngc lai, neu mot nha nghien cu khong
the chap nhan cac c lng khong hieu qua, th se thch loai bo cac bien khong lien quan
hn. Ly thuyet kinh te va s hieu biet hanh vi c ban thng giup ch trong tnh the kho
khan nh vay. Tieu chuan la chon mo hnh c thao luan trc ay cung co the giup ch.
Cac kiem nh cua cac ac trng (Chng 6) cung se giup ch.
Bi v so hang khong oi bao gop nhng hieu ng trung bnh cua cac bien b loai bo,
nen nhn chung khong nen bo so hang nay ra khoi ac trng, ngay ca khi no rat khong co y
ngha va / hoac co dau khong nh ky vong.

Thuat ng

Adjusted R
2

Akaike information criterion (AIC)
Data-based model simplification
Finite prediction error (FPE)
F-test
Generalized cross validation (GCV)
Hedonic price index
HQ criterion
Joint significance
Nodel in deviation form
Multiple regression
Omitted variable bias
Restricted model
Bnh phng R co hieu chnh
Tieu chuan thong tin Akaike (AIC)
n gian hoa mo hnh da tren d lieu
Sai so d bao hu han (FPE)
Kiem nh F-test
Tnh hp le cheo suy rong (GCV)
Ch so gia hng thu
Tieu chuan HQ
Y ngha lien ket
Mo hnh dang sai lech
Hoi qui boi
Thien lech cua bien b loai bo
Mo hnh gii han
Nien khoa 2003-2004
Phng phap phan tch
Bai oc

R
2
adjusted for degrees of freedom
Specification error
Unrestricted model
Wald test
Bnh phng R co hieu chnh oi vi cac bac t do
Sai so ac trng
Mo hnh khong gii han
Kiem nh Wald

4.A PHU LUC
Cac Ket Qua Tnh Toan Khac
4.A.1 Mo Hnh Hoi Quy Ba Bien
Mo hnh hoi quy 3 bien dien ta moi quan he gia bien phu thuoc Y vi mot hang so va hai
bien oc lap X
2
, X
3
. Mo hnh chnh thc c cho nh sau:
Y
t
=
1
+
2
X
t2
+
3
X
t3
+ u
t
(4.A.1)
Lay trung bnh moi so hang cua mo hnh, ta co c:
u X X Y
3 3 2 2 1
+ + + = (4.A.2)
Lay hieu so vi mo hnh (4.A.1), ta co c mo hnh dang sai lech nh sau:
y
t
=
2
X
t2
+
3
X
t3
+ e
t
(4.A.3)
Trong o Y Y y
t t
= ,
2 2 t 2 t
X X x = ,
3 3 t 3 t
X X x = , va u u e
t t
= . Cac ky t dang ch
thng dien ta gia tr sai lech gia bien vi gia tr trung bnh tng ng cua bien o. Li
iem trong viec bieu dien mo hnh di dang sai lech la ch con hai thong so can c c
lng (
2
va
3
). Neu
1
)
,
2
)
, va
3
)
la gia tr c lng cua he so tng quan hoi qui,
1
)
c c lng nh sau:
3 3 2 2 1
X
=
gia tr c lng cua so d la
3 t 3 2 t 2 1 t t
X
X

Y u =
Nguyen tac OLS se lam cc tieu hoa tong bnh phng sai so ESS =
2
t
u
theo
1
,
2
, va
3
. ieu nay tng ng vi viec cc tieu hoa (khong chng minh)

2
3 t 3 2 t 2 t
2
t
) X
y ( e

= . Cho ao ham tng phan theo
2
, va
3
cua ang thc tren

bang 0, de dang chng minh ieu kien tren tr thanh
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= = ) x
y ( x 0 e
x
3 t 3 2 t 2 t 2 t t 2 t

= = ) x
y ( x 0 e
x
3 t 3 2 t 2 t 3 t t 3 t

Ket qua tren dan en hai phng trnh nh sau (bo qua ch so t nho).

= +
2 3 2 3
2
2 2
yx x x
(4.A.4)

= +
3
2
3 3 3 2 2
yx x
x x
(4.A.5)
Dung cac ky hieu n gian hn, hai phng trnh nay co the viet lai nh sau:
2 y 23 3 22 2
S S
= + (4.A.6)
3 y 33 3 23 2
S S
= + (4.A.7)
Trong o

= =
2
2 2 t
2
2 t 22
) X X ( x S (4.A.8)

= = ) X X )( X X ( x x S
3 3 t 2 2 t 3 t 2 t 23
(4.A.9)

= =
2
3 3 t
2
3 t 33
) X X ( x S (4.A.10)

= = ) X X )( Y Y ( x y S
2 2 t t 2 t t 2 y
(4.A.11)

= = ) X X )( Y Y ( x y S
3 3 t t 3 t t 3 y
(4.A.12)
Li giai cho phng trnh (4.A.6) va (4.A.7) nh sau
= / ) S S S S (
23 3 y 33 2 y 2
(4.A.13)
= / ) S S S S (
23 2 y 22 3 y 3
(4.A.14)
Vi
2
23 33 22
S S S = (4.A.15)
Cach tnh phng sai cua
s
)
c trnh bay phu luc 5.A.
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4.A.2 o Thien Lech Do Viec Bo Qua Mot So Bien Lien Quan
Mo hnh ung va c lng c cho nh sau
Mo hnh ung:
t 3 t 3 2 t 2 1 t
u X X Y + + + =
Mo hnh c lng:
t 2 t 2 1 t
v X Y + + =

Cac gia tr c lng theo phng phap OLS oi vi nhng thong so trong mo hnh c
lng c cho nh sau (xem phng trnh 3.9 va 3.10)
22 2 y 2
S / S
= va
2 2 1
X
= (4.A.16)
Trong o S
y2 va
S
22
c nh ngha theo phng trnh (4.A.11) va (4.A.8). Gia tr ky vong
cua
2
)
c cho bi E(S
y2
) / S
22
v S
22
la khong ngau nhien:

= = ) X X ( Y ) X X ( Y ) X X )( Y Y ( S
2 2 t 2 2 t t 2 2 t t 2 y

= ) X X ( Y
2 2 t t

V gia tr Y co the rut ra c t phep tnh tong va
= 0 ) X X (
2 2 t
theo tnh chat 2.A.4.
Thay the Y
t
t mo hnh ung (v o la qua trnh ung e tao ra Y
t
):
+ + + = ) u X X )( X X ( S
t 3 t 3 2 t 2 1 2 2 t 2 y

t 2 2 t 3 t 2 2 t 3 2 t 2 2 t 2
u ) X X ( X ) X X ( X ) X X ( 0

+ + + =
So hang au tien bang zero rut ra t tnh chat 2.A.4. So hang th hai nh sau:

+ = ) X X X )( X X ( X ) X X (
2 2 2 t 2 2 t 2 t 2 2 t

= + =
2
2 2 t 2 2 t 2
2
2 2 t
) X X ( ) X X ( X ) X X (
V so hang th hai bang zero , va theo cach tnh tng t, ta co:

= ) X X )( X X ( X ) X X (
3 3 t 2 2 t 3 t 2 2 t

S dung cac ket qua nay, ta co c:
Nien khoa 2003-2004
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t 2 2 t 3 3 t 2 2 t 3
2
2 2 t 2 2 y
u ) X X ( ) X X ( ) X X ( ) X X ( S

+ + =
2 u 23 3 22 2
S S S + + =
Trong o, viec ky hieu oi vi cac so hang S cung tng t nh nhng so hang cho trong
phng trnh (4.A.8) cho en phng trnh (4.A.12). V X
2
va X
3
la khong ngau nhien va
khong tng quan vi u va v E(u) = 0 nen ta co:
23 3 22 2 2 u 23 3 22 2 2 y
S S ) S ( E S S ) S ( E + = + + =
Theo sau ang thc tren, ta co:
(
+ =
22
23
3 2 2
S
S
)
( E
V
3
0 nen
2
se co sai so tr khi S
23
= 0 ngha la tr khi X
2
va X
3
khong tng quan
nhau. ieu nay chng minh cho phng trnh 4.4a c s dung trong cac mo hnh ay.
o sai so cua cac bien b bo qua c cho bang
3
(S
23
/S
22
). Hng cua o thien lech phu
thuoc vao gia tr am hay dng cua
3
cung nh s tng quan gia X
2
va X
3
la thuan hay
nghch. V c mau tang len mot cach khong xac nh nen
2
se khong hoi tu ve
2
(neu S
23

0), va do o gia tr c lng co c se khong nhat quan.
T phng trnh (4.A.16), ta co
2 2 1
X
= , va do o )
( E X ) Y ( E )
( E
2 2 1
= . V
u X X Y
3 3 2 2 1
+ + + = , nen suy ra
3 3 2 2 1
X X ) Y ( E + + = . The gia tr ky vong nay va gia
tr ky vong cua
2
vao ang thc tren, ta co:

(
+ + + =
22
23
3 2 2 3 3 2 2 1 1
S
S
X X X )
( E

(
+ =
22
23
2 3 3 1
S
S
X X
Lu y rang ieu kien can va u cho
1
khong b thien lech la 0

S
S
X X
22
23
2 3
=
(
.
ieu kien hai bien X
2
va X
3
khong tng quan nhau cung khong u e bao am cho gia tr
c lng cua so hang tung o goc khong b thien lech. Ngoai ra, gia tr trung bnh cua
3
X
phai bang zero. T cac gia tr c lng cua
1
va
2
, co the nhan thay rang cac gia tr nay

cung chu mot phan cac anh hng do viec loai bo bien X3. iem nhan xet nay co y ngha
rat quan trong va nen c nhan manh. Do he qua nay ma gia tr so hoc cua he so tng
quan hoi qui co the khac so vi nhng phat bieu trc ay. ieu nay ch ra rang cac van e
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at ra cho he so tng quan khong ch la cac tac ong trc tiep cua bien tng ng ma con
la cac tac ong cua nhng bien b lc bo nhng co tng quan vi cac bien ang xem xet.
Tac gia Kamenta (1986, p. 394) a chng minh rang ngay ca khi S
23
= 0 th gia tr
phng sai c lng cua ) s (
2
2
2
cung b thien lech theo pha dng. ieu nay co ngha la

E ) s (
2
= Var (
2
) + Q, trong o gia tr Q la khong am. V the ma nhng kiem tra gia nh

thong thng se khong em lai ket qua. Hau qua cho viec lc bo mot bien co lien quan la
kha nghiem trong.
4.A.3 Chng Minh Tnh Chat 4.4
Mo hnh c lng c cho nh sau
Y
t
=
1
+
2
X
t2
+
3
X
t3
+ v
t
T phng trnh (4.A.13) va (4.A.14) c e cap lai cung vi (4.A.15) gia tr c
lng cua
2
va
3
theo phng phap OLS la:
$
(S ) /
2 2 33 3 23
=
y y
S S S (4.A.13)
$
(S ) /
3 3 22 2 23
=
y y
S S S (4.A.14)
Trong o
2
23 33 22
S S S = (4.A.15)
e kiem tra xem gia tr
$
2
co b thien lech hay khong, ta can co cac gia tr ky vong
ung cua S
y2
va S
y3
. Mo hnh ung nh sau (di dang o lech):
y x u u
t t t
= +
$
2 2

The gia tr y
t
t mo hnh ung vao trong S
y2
, ta co:

+ = + = =
2 u 22 2 t 2 t 2 2 t 2 t t 2 y
S S ) u u x ( x x y S
22 2 2 y
S ) S ( E =

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v x
t2
la khong ngau nhien hoac cho trc va E(S
u2
) = 0. Mo hnh ung phai c s dung v
y
t
c phat ra bi mo hnh ung nay ch khong phai bi phng trnh c lng. Tng t,
ta co:

+ = + = =
3 u 23 2 t 2 t 2 3 t 3 t t 3 y
S S ) u u x ( x x y S

23 2 3 y
S ) S ( E =
Lay gia tr ky vong cua phng trnh (4.A.13) va (4.A.14) va the vao E(Sy
2
) va E(Sy
3
), ta
co c:
E S S S S (
$
) [ ] /
2 33 2 22 23 2 23 2
= =
E S S S S (
$
) [ ] /
3 22 2 23 23 2 22
0 = =
Suy ra, gia tr
$
2
khong b thien lech va gia tr ky vong cua
$
3
se bang khong. o
cung la ket qua cua tch chat 4.5a. Theo nguyen tac luat so ong th tnh chat nhat quan de
dang c thiet lap.
Tnh toan phng sai cua
$
2

Bc tiep theo la tnh toan gia tr phng sai cua
$
2
. Ta co:
Var (S
y2
) = Var (
2
S
22
+ S
u2
) = Var (S
u2
) =
2
S
22

Var (S
y3
) = Var (
2
S
23
+ S
u3
) = Var (S
u3
) =
2
S
33

Cov (S
y2
, S
y3
) = Cov (
2
S
22
+ S
u2
,
2
S
23
+ S
u3
) =
2
S
23

Trong viec ao ham cac ve tren, ta a s dung tnh chat khong ngau nhien cua bien S
22
va
S
33
. Ap dung tnh chat 2.4a, ta co
2
3 y 2 y 23 33 3 y
2
23 2 y
2
33 2
/ )] S , S ( Cov S S 2 ) S ( Var S ) S ( Var S [ )
( Var + =
2
23 23 33 33
2
23 22
2
33
2
/ ] S S S 2 S S S S [ + =
) S / S ( S S S S
S
33
2
23 22
2
2
23 33 22
33
2
=

Nien khoa 2003-2004
Phng phap phan tch
Bai oc

Do r S S
2
23
2
22 33
= / (S ) (r
2
la bnh phng cua gia tr tng quan n gia bien x
2
va x
3
),
phng trnh tren co the rut gon lai nh sau:
Var
S r
(
$
)
( )

2
2
22
2
1
=

T ay suy ra c phat bieu ve gia tr phng sai cua
$
2
.

Kinh tế lượng - Chương 4

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Kinh tế lượng - Chương 4

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Chng trnh Giang day Kinh te Fulbright

Nien khoa 2003-2004

khong c tr ra ay. Mot so chng

(xem chng minh phan 2.5). Do o, ta co ESS

se khong b khong thien lech va nhat quan.

= . T ay chung ta co the thay rang,

la thien lech. Cung lu y rang

bao gom mot so hang lien quan en

la anh hng can

se thien lech tr phi co

la thien lech. Cuoi cung tm ieu kien e

la khong thien lech va ky vong cua

bang 0. Tnh nhat quan c gi

e xac nh tnh chat hieu qua. T phan

. Tong bnh phng sai so (ESS) la

. ieu nay tng ng vi viec cc tieu hoa (khong chng minh)

cua ang thc tren

vao ang thc tren, ta co:

khong b thien lech la 0

, co the nhan thay rang cac gia tr nay

cung b thien lech theo pha dng. ieu nay co ngha la

) + Q, trong o gia tr Q la khong am. V the ma nhng kiem tra gia nh

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