Kinh tế lượng - c7

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

Phng phap phan tch
Bai oc
Nhap mon kinh te lng vi cac ng dung
Chng 7: Bien oc lap nh tnh
(hoac bien gia)

Ramu Ramanathan 1 Thuc Doan/Hao Thi

CHNG 7

Bien oc Lap nh Tnh (Hoac Bien Gia)

Tat ca cac bien chung ta gap trc ay eu co ban chat nh lng; ngha la cac bien nay
co cac ac tnh co the o l ng bang so. Tuy nhien, hanh vi cua cac bien kinh te cung co
the phu thuoc vao cac nhan to nh tnh nh gii tnh, trnh o hoc van, mua, cong cong
hay ca nhan v.vLay mot v du cu the, hay xem xet mo hnh hoi qui tuyen tnh n sau (e
n gian ta bo qua ch t nho):

Y = + X + u (7.1)

Goi Y la mc tieu thu nang lng trong mot ngay va X la nhiet o trung bnh. Khi
nhiet o tang trong mua he, chung ta se ky vong mc tieu thu nang lng se tang. V
vay, he so o doc co kha nang la so dng. Tuy nhien, trong mua ong, khi nhiet o
tang v du t 20 en 40 o, nang lng c dung e si am se t hn, va mc tieu thu
se co ve giam khi nhiet o tang. ieu nay cho thay co the am trong mua ong. V
vay, ban chat cua quan he gia mc tieu thu nang lng va nhiet o co the c ky
vong la phu thuoc vao bien nh tnh mua. Trong chng nay, chung ta se khao sat
cac thu tuc e xem xet cac bien nh tnh trong c lng va kiem nh gia thuyet.
Chung ta ch tap trung chu y vao cac bien oc lap nh tnh. Chng 12 thao luan
trng hp cac bien phu thuoc nh tnh.

7.1 Cac Bien nh Tnh Ch Co Hai La Chon

Chung ta bat au vi viec xem xet trng hp n gian nhat trong o mot bien nh tnh
ch co hai la chon. V du, gia hai ngoi nha co cung cac ac trng, mot co the co ho
bi trong khi ngoi nha con lai khong co. Tng t, gia hai nhan vien cua mot cong ty
co cung tuoi, hoc van, kinh nghiem v.v, mot ngi la nam va ngi kia la n. Cau hoi
quan trong trong nhng v du nay la lam the nao e o lng tac ong cua gii tnh en
lng va tac ong cua s hien dien cua ho bi en gia nha. e phat trien ly thuyet,
chung ta xem xet v du ve lng va at Y
t
la tien lng hang thang cua nhan vien th t
trong mot cong ty. e n gian ve mat s pham, ay, chung ta bo qua cac bien khac
co anh hng en lng va ch tap trung vao gii tnh. V bien gii tnh khong phai la
mot bien nh lng mot cach trc tiep c nen chung ta nh ngha mot bien gia (goi
la D), bien gia nay la bien nh nguyen ch nhan gia tr 1 oi v i nhan vien nam va gia
tr 0 oi vi nhan vien n. Chung ta se thay sau nay la cac nh ngha tren cung tng
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(hoac bien gia)

ng vi viec nh ngha bien D bang 1 oi vi n nhan vien va bang 0 oi vi nam
nhan vien. Do o cach chon nay la hoan toan ngau nhien. Nhom ma gia tr D bang 0
goi la nhom ieu khien. Bang 7.1 co d lieu lng thang va gia tr cua D cho 49 nhan
vien trong tap tin DATA6-4 ma chung ta a gap trong chng trc. Lu y rang, co 26
nam va 23 n. Lng thang trung bnh chung la $1.820,20. Tuy nhien, neu chung ta
chia nhan vien thanh hai nhom theo gii tnh, lng trung bnh cua nam la $2.086,93 va
$1.518,70 oi vi n (hay chng minh). Co phai ieu nay ngha la co phan biet gii
tnh trung bnh len en $568,23 moi thang? Cau tra li ro rang la khong v chung ta
khong kiem soat c cac bien khac nh kinh nghiem, hoc van, v.v Co the la nhan
vien n trong mau nay co so nam hoc tap va kinh nghiem t hn va do o nhan c
lng trung bnh thap hn. Chung ta co the th xac nh nhan vien n vi nhan vien
nam co kinh nghiem nh nhau hoac co hoc van nh nhau va sau o tnh lng trung
bnh. Viec nay khong nhng kho khan ma con co the khong kha thi v co the co nhieu
ac iem khac nh dan toc hoac loai nghe ma chung ta phai xem xet. ay la pham vi
ma phan tch kinh te lng tr thanh mot cong cu rat hieu qua. Chung ta se thiet lap va
c lng mot mo hnh s dung bien gia nh mot bien giai thch. Dang n gian nhat
cua mo hnh nh sau

Y
t
= + D
t
+ u
t
(7.2)

vi mo hnh khong co mot bien giai thch nao khac (c goi la mo hnh phan tch
phng sai). Chung ta se dan dan m rong mo hnh nay, them vao cac ac iem cua
nhan vien thay v ch co gii tnh. Chung ta gia s la so hang sai so thay oi ngau nhien
va thoa man tat ca cac gia thiet trong Chng 3. Chung ta co the lay ky vong co ieu
kien cua Y vi D cho trc va c cac phng trnh sau
Nam: E(Y
t
|D = 1) = +
N: E(Y
t
|D = 0) =

Bang 7.1 D lieu cheo ve lng thang va gii tnh

Y D Y D Y D
1345
2435
1715
1461
1639
1345
1602
1144
1566
1496
1234
0
1
1
1
1
0
0
0
1
1
0
1566
1187
1345
1345
2167
1402
2115
2218
3575
1972
1234
0
0
0
0
1
1
1
1
1
1
0
2533
1602
1839
2218
1529
1461
3307
3833
1839
1461
1433
1
0
0
1
0
1
1
1
1
0
1
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(hoac bien gia)

1345
1345
3389
1839
981
1345
0
0
1
1
1
0
1926
2165
2365
1345
1839
2613
1
0
0
0
0
1
2115
1839
1288
1288
0
1
1
0

Vay, la lng trung bnh cua nhom ieu khien va la khac biet ky vong cua lng
trung bnh cua hai nhom, cho ca tong the.
Chung ta a thay trong Chng 3 la cac phng trnh chuan e c lng Phng
trnh (7.2) a cho nh sau

Y
t
= n
^
+
^
D
t
(7.3)
Y
t
D
t
=
^
D
t
+
^
D
t
2
=
^
D
t
+
^
D
t
(7.4)

Lu y rang do D la bien gia va ch nhan gia tr 1 va 0, D
2
cung co gia tr giong D. Trong
Phng trnh (7.4), D
t
ve ben phai bang so nam nhan vien (goi la n
m
) va Y
t
D
t
ve
ben trai bang tong lng cua ho. Chia hai ve cho n
m
ta co
^
+
^
= Y
m
(7.5)
vi Y
m
la lng trung bnh cua nam nhan vien. V vay, tong cac he so hoi qui la mot c
lng cua E(Y
t
|D = 1), trung bnh tong the lng cua nam nhan vien.
V D
t
= n
m
, Phng trnh (7.3) va (7.4) co the viet lai thanh
Y
t
= n
^
+ n
m
^

Y
t
D
t
= n
m
(
^
+
^
)

Lay phng trnh th nhat tr phng trnh th hai va bo i nhng so hang chung ve
ben phai, ta co

Y
t

Y
t
D
t
= (n n
m
)
^
= n
f
^

vi n
f
la so nhan vien n. Lu y la ve ben trai cua phng trnh n gian la tong lng
cua n nhan vien (tong cua toan bo lng tr tong lng cua nam nhan vien). V vay,
chia hai ve cho n
f
, chung ta co
^
= Y
f
, trung bnh mau cua lng n nhan vien, ay la
mot c lng cua trung bnh tong the E(Y
t
|D = 0).
Tom lai, neu chung ta hoi qui Y
t
theo mot so hang khong oi va bien gia D
t
, tung
o goc
^
c lng lng trung bnh cua n nhan vien va he so o doc
^
c lng khac
biet gia lng trung bnh cua nam nhan vien va n nhan vien. T Bai thc hanh may
tnh Phan 7.1 (xem Phu luc Bang D.1), chung ta co cac c lng hoi qui la
^
=
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(hoac bien gia)

1.518,70 va
^
= 568,23. Chung ta thay la phng phap hoi qui tng t nh viec chung
ta chia mau thanh hai nhom nam va n va tnh lng trung bnh tng ng. Tuy nhien,
nh chung ta se thay trong nhng phan sau, phng phap hoi qui nay manh hn v
phng phap nay co the ng dung ngay ca khi cac nhan vien khac nhau ve cac ac iem
khac nh kinh nghiem va hoc van.

BAI TAP THC HANH 7.1
+

Gia s bien gia a c nh ngha la D
*
= 1 oi vi n va bang 0 oi vi nam va bien
D
t
*
c dung thay cho bien D
t
. Noi cach khac, xet mo hnh mi Y
t
=
*
+
*
D
t
*
+ u
t
.
Lu y la D
*
= 1 D, tnh cac tng quan ai so gia cac he so hoi qui mi va cac he so
hoi qui cu. Cu the hn, ch ra bang cach nao ta co the c lng
*
va
*
ma khong can
thc hien hoi qui. Cac sai so chuan, gia tr t, R
2
, ESS, va tr thong ke F co b anh hng
hay khong? Neu co, anh hng nh the nao?

Them Cac Bien oc Lap nh Lng
Bc tiep theo trong phan tch la them vao cac bien oc lap co the nh lng c. e
minh hoa, at Y la lng thang nh trc nhng ngoai bien gia D a gii thieu trc, ta
a them bien kinh nghiem (goi la X) vao nh mot bien giai thch. Lu y la bay gi
chung ta co the kiem soat c kinh nghiem va co the hoi Gia hai nhan vien co cung
kinh nghiem, co s khac biet do gii tnh khong? Mot cach n gian e tra li cau hoi
nay la at tung o goc trong Phng trnh (7.1) khac nhau oi vi nam va n. Thc
hien viec nay bang cach gia s la =
1
+
2
D. Vi n, D = 0 va v vay =
1
. Vi
nam, D = 1 va v vay =
1
+
2
. De dang thay la
2
o lng khac biet trong tung o
goc cua hai nhom. Thay the gia tr cua vao Phng trnh (7.1) ta co mo hnh kinh te
lng

Y =
1
+
2
D + X + u (7.6)

Lu y la
1
,
2
va c c lng bang cach hoi qui Y theo mot hang so, D, va X.
Cac quan he c c lng cho hai nhom la

N: Y
^
=
^
1
+
^
X (7.7)
Nam: Y
^
= (
^
1
+
^
2
) +
^
X (7.8)

Hnh 7.1 ve cac moi quan he nay khi cac va dng. Chung ta lu y la cac
ng thang c lng song song vi nhau. o la do chung ta a gia nh la ca hai
nhom eu co cung . Gia thiet nay c bo qua trong Phan 7.3.
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(hoac bien gia)

Mot gia thuyet t nhien can kiem nh la khong co s khac biet trong quan he
gia hai nhom. So sanh Phng trnh (7.7) va (7.8), chung ta thay la cac quan he se
nh nhau neu
2
= 0. V vay, chung ta co H
0
:
2
= 0 va H
1

2
>0 hoac
2
0. Kiem nh
thch hp la kiem nh t cho
2
vi bac t do la d.f. = n 3.

Hnh 7.1 Mot V Du Ve Di Tung o Goc Bang Cach S Dung Mot Bien Gia

V DU 7.1
S dung DATA7-2 mo ta trong Phu luc D, chung ta a c lng Phng trnh (7.6) nh
sau (cac so trong dau ngoac la cac gia tr p)

WAGE = 1.366,27 + 525,63D + 19,81 EXPER
(<0,01) (0,003) (0,152)
R
2
= 0,197 n = 49 F
c
(2, 46) = 6,90

e tnh lai c cac ket qua nay, hay thc hien Bai thc hanh may tnh Phan 7.2. Gia
tr p cua bien gia la rat nho, cho thay mc y ngha cao. V vay, khi kiem soat c bien
kinh nghiem, co s khac biet ve lng trung bnh co y ngha theo gii tnh. Gia tr p cua
kinh nghiem cho thay khong co y ngha mc 0,15. Tuy nhien khong nen nhn van e
nay qua nghiem trong bi v mo hnh khong gom cac bien giai thch khac nh trnh o
hoc van va tuoi va do o cac c lng la thien lech. Bien phu thuoc cung vay, nen
c the hien di dang logart (xem lai Phan 6.8). Trong Phan 7.3, chung ta trnh bay
mot phan tch tong quat hn ve cac yeu to quyet nh cua lng, bao gom ca nhng tac
ong cua mot so bien nh tnh.

V DU 7.2
^
1
^
2
^
1
+
^
2
+
^
X
^
1
+
^
X
Y

X

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(hoac bien gia)

DATA7-3 co d lieu bo sung ve 14 can ho gia nh n, tat ca cac d lieu bo sung eu
la cac bien gia. POOL nhan gia tr 1 neu can nha co ho bi va gia tr 0 cho trng hp
ngc lai. Tng t, FAMROOM ai dien cho viec can nha co phong gia nh, va
FIREPL la can nha co thiet b bao chay. Co ngi se ky vong la mot can nha ma co
nhng ac trng nh vay co le gia se cao hn mot can nha tng t nhng khong co
nhng ac trng nay. Bang 7.2 co cac he so c lng va cac tr thong ke lien quan cua
mot so mo hnh trong o co Mo hnh A, ma chu ng ta a c lng trc ay (cac ket qua
co the tnh lai bang Bai thc hanh may tnh Phan 7.3).
So sanh Mo hnh A vi Mo hnh E la mo hnh co tat ca cac bien mi, chung ta lu
y la R
2
tang t 0,806 len 0,836, nhng bon trong so cac tieu chuan e la chon mo hnh
lai xau hn. RICE th khong xac nh c v can phai co so quan sat gap oi so he so
c c lng, khong phu hp trong trng hp nay. Tr thong ke t cua POOL la
2,411 co y ngha mc thap hn 1 phan tram. Tuy nhien, cac he so hoi qui cua
BEDRMS, BATHS, FAMROOM, va FIREPL khong co y ngha cac mc y ngha ln
hn 25 phan tram (hay chng minh). Trong Mo hnh F nhng bien khong co y ngha
nay b loai bo va mo hnh c c lng lai. S dung Mo hnh E nh la mo hnh khong
gii han va Mo hnh F la mo hnh gii han, chung ta thc hien kiem nh Wald e kiem
nh gia thuyet khong la cac he so hoi qui cua BEDRMS, BATHS, FAMROOM va
FIREPL bang khong. Tr thong ke F c tnh bang

F
c
=
(9.455 9.010) 4
9.010 7
= 0,086

gia tr nay co phan phoi F vi bac t do la 4 va 7. De thay la F
c
khong co y ngha ngay
ca mc y ngha tren 25 phan tram. Do o chung ta ket luan la cac he so hoi qui tng
ng khong co y ngha lien ket.
Neu nhng bien nay b loai bo, chung ta thay la cac tr thong ke cua SQFT va
POOL cao hn. Tng t, R
2
tang len 0,89. V vay, viec loai bo nhng bien khong co y
ngha a cai thien ket qua chung cua mo hnh. Can phai nhan manh la ket luan nay
khong co ngha la cac bien loai bo khong quan trong, ma ch co ngha la gi SQFT va
POOL khong oi, viec them vao bien BEDRMS, BATHS, FAMROOM, va FIREPL
khong tang them kha nang giai thch cua mo hnh. t nhat mot so anh hng cua cac
bien b loai bo a c cac bien co trong mo hnh the hien. Trong Mo hnh F he so cua
POOL la 52,790, co ngha la gia hai ngoi nha co cung dien tch s dung, can nha co ho
bi c ky vong se ban mc gia cao hn can nha khong co ho bi mot khoang la
$52.790. Xem xet chi ph xay dng ho bi, gia tr nay co ve qua cao. Co mot cach giai
thch la cung vi ho bi, nhng can nha nay co the con co mach nc ngam, san thng
hoac mot so ac iem khac. V vay bien gia POOL co the that s ai dien cho cac nang
cap khac.
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Bang 7.2 Anh Hng Cua Cac Bien Gia en Gia Nha

Bien Mo hnh A Mo hnh E Mo hnh F
CONSTANT 52,351
(1,404)
39,057
(0,436)
22,673
(0,768)
SQFT 0,13875
(7,407)
0,147
(4,869)
0,144
(10,118)
BEDRMS 7,046
(0,245)

BATHS 0,264
(0,006)

POOL 53,196
(2,411)
52,790
(3,203)
FAMROOM 21,345
(0,498)

FIREPL 26,188
(0,486)

R
2

0,806 0,836 0,890
ESS 18.274 9.010 9.455
d.f. 12 7 11
SCMASQ 1.523 1.287 860
*
AIC 1.737 1.749 1.037
*
FPE 1.740 1.931 1.044
*
HQ 1.722 1.698 1.024
*
SCHWARZ 1.903 2.408 1.189
*
SHIBATA 1.678 1.287 965
*
CCV 1.777 2.574 1.094
*
RICE 1.827 Khong xac nh 1.182
*
Ghi chu: Mo hnh B, C va D trong Bang 4.2. Cac gia tr trong ngoac la cac tr thong ke tng ng.

*
anh dau mo hnh tot nhat xet ve tieu chuan tng ng

BAI THC HANH 7.2

Trong Phan 6.2, chung ta a lap luan la tac ong bien te cua SQFT len PRICE co the
giam khi SQFT tang. ieu nay a en viec s dung ln(SQFT) thay cho SQFT. S
dung chng trnh hoi qui cua ban, c lng lai Mo hnh A, E va F trong Bang 7.2 s
dung ln(SQFT) thay v SQFT. Cac ket qua co tot khong? Tiep theo th vi SQFT. Cac
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(hoac bien gia)

ket qua co c cai thien hay xau hn khong? Tm mot bieu thc cho anh hng bien te
cua SQFT en PRICE. (Bai thc hanh may tnh Phan 7.4 se co ch cho bai tap nay)

V Du Thc Nghiem: Thu Lao Va Thi au Trong Lien oan Bong Chay
Sommers va Quinton (1982) tien hanh mot nghien cu ve thu lao va thi au trong lien
oan bong chay, trong nghien cu nay, cac bien gia c s dung e the hien cac bien
nh tnh nh cac oi trong lien oan quoc gia, cac oi oat giai, mot san van ong cu
hay mi v.v Trc khi thao luan ve ket qua cua ho, can phai gii thieu vai net tong
quan.
Nganh bong chay co ac iem la oc quyen (hoac canh tranh oc quyen) trong o
cac ong chu co kha nang kiem soat lng cua cau thu. en tan 1975, ngi chu co the
ky lai hp ong mi vnh vien vi mot cau thu khong ky hp ong. Tuy nhien, trong
nam o trong tai lao ong Peter Seitz qui nh la cac cau thu co the lam viec vi nhieu
chu khac nhau sau khi chi mot nam khong ky hp ong. Do luc nay cau thu co the i
tm nhng ni tra gia cao cho dch vu ho cung cap, chung ta co the ky vong la lng cua
ho se gan vi ket qua doanh thu bien te mong i (thu nhap tang them tren mot gi lao
ong them). Cu the hn, at R la tong doanh thu cua ca oi. Vay li nhuan rong la =
R wL rK, vi L la lao ong trong so gi lam viec cua cong nhan, K ai dien cho tat
ca nhng au vao khac, w la mc lng, va r la gia thue. Vay ong chu oi muon toi a
hoa li nhuan se lam cho / L bang khong, dan en ieu kien R / L = w. Ve trai
la doanh thu bien te. Vay, e toi a hoa li nhuan, lng phai bang ket qua doanh thu
bien te.
Sommers va Quinton a c lng ong gop ca nhan cua mot so cau thu vao
doanh thu bien te va so sanh c lng nay vi lng cua cac cau thu t do. Hai phng
trnh sau a c c lng mot cach rieng biet, s dung cac quan sat cheo cua 50 oi
trong so SMSA (Cac khu vc thong ke cua thanh pho chuan) trong nhng nam 1976 va
1977:

PCTWIN = 188,45 + 256,33 TSA
*
+ 80,87 TSW
*
55,33 XPAN
(1,97) (2,90) (2,85) (2,62)
+ 51,34 CONT 72,07 OUT
(4,90) (6,14)
R
2
= 0,892 d.f. = 44

REVENUE = 2.297.500 + (22.736 2.095 SMSA + 415 SMSA
2
) PCTWIN
(1,12) (4,54) (1,65) (3,22)
313.700 STD + 4.298.900 XPAN 3.750.200 TWOTM
(0,45) (2,70) (3,74)
2.513 BBPCT
(0,08)
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Phng phap phan tch
Bai oc
(hoac bien gia)

R
2
= 0,704 d.f. = 42
vi
PCTWIN = 100 lan ty so cua so tran thang tren so tran a thi au
REVENUE = So khach tham d nhan gia ve trung bnh cong thu nhap giam c c
lng cong doanh thu t quyen truyen hnh tran au
TSA
*
= mc hoat ong trung bnh cua oi (tong tran au chia cho tong so cau
thu) la mot ty so trung bnh cua cac bo phan co lien quan cua lien
oan
TSW
*
= ty so tan cong-xuat quan (so lan tan cong chia cho so lan ra quan) chia
cho ty so tng t cua lien oan
XPAN = 1 neu oi la mot cau lac bo m rong, ngc lai bang 0
CONT = 1 oi vi oi oat giai hay oi thang, ngoai ra se bang 0
OUT = 1 oi vi cac oi chi 20 tran hoac nhieu hn t khi bat au en ket
thuc mua bong, ngc lai bang 0
SMSA = dan so cua SMSA
STD = 1 neu san van ong cu, ngc lai bang 0
TWOTM = 1 neu oi co cung SMSA nha vi mot oi khac
BBPCT = phan tram cau thu da en chi cho oi

e cho phep co tng tac gia PCTWIN va kch thc cua SMSA trong ham
doanh thu, cac tac gia a gia nh la REVENUE / PCTWIN la ham bac hai cua
SMSA. V v du nay ch tap trung vao cac bien gia, chung ta khong dien dch bat ky ket
qua nao khac. Sommers va Quinton a s dung nhng phng trnh c c lng nay
e tnh ket qua doanh thu bien te cua 14 cau thu va so sanh cac ket qua nay vi cac mc
lng tng ng. Ket luan cua ho la, trai vi suy ngh pho bien, cac cau thu bong chay
b tra lng thap hn nhieu so vi mc ho ang c hng.
Trong phng trnh PCTWIN tat ca cac bien gia eu co y ngha. Cau lac bo c
m rong, trung bnh se giam 55 iem. Cac oi chi tran au tien trung bnh thap hn 72
iem. Trong phng trnh REVENUE, STD khong co y ngha, cho thay la san van ong
mi hay cu khong quan trong. TWOTM co y ngha va gia tr am cua bien nay cho thay
viec co them mot oi th hai trong cung mot thanh pho se gay thiet hai en doanh thu,
ieu nay khong co g ang ngac nhien.

7.2 Bien nh Tnh Vi Nhieu La Chon

So cac la chon co the co cua mot bien nh tnh co the nhieu hn hai. V du, at Y la
tien tiet kiem cua mot ho gia nh va X la thu nhap cua ho. Chung ta ky vong quan he
gia tien tiet kiem va thu nhap se khac nhau oi vi cac nhom tuoi khac nhau. oi vi
mot mc thu nhap cho trc, trung bnh mot ho gia nh tre co the tieu dung nhieu hn
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

so vi mot gia nh do mot ngi trung nien lam chu. o la do gia nh sau co the tiet
kiem nhieu hn danh cho viec giao duc con cai va chuan b khi ve hu. Mot gia nh a
ngh hu trung bnh co ve tieu xai nhieu hn v nhu cau tiet kiem cho tng lai luc nay
se giam. Neu chung ta co tuoi chnh xac cua ngi chu ho, bien nay co the c a
vao mot mo hnh nh la bien nh lng. Tuy nhien, neu chung ta ch co nhom tuoi (v
du ngi chu ho thuoc nhom tuoi di 25, t 25 en 55 hay tren 55), chung ta xem xet
bien nh tnh nhom tuoi cua ngi chu ho nay nh the nao? Thu tuc ay la chon
mot trong nhng nhom nay lam nhom kiem soat va xac nh cac bien gia cho hai nhom
con lai. Cu the hn, chung ta xac nh

A
1
=
1 neu chu ho t 25 en 55 tuoi
0 neu ieu kien khac
(7.9)
A
2
=
1 neu chu ho tren 55 tuoi
0 neu ieu kien khac
(7.10)

Nhom kiem soat (la nhom ma ca A
1
va A
2
eu bang 0) la tat ca nhng ho gia nh
ma ngi chu ho di 25 tuoi. e khac nhau oi vi moi nhom khac nhau, chung ta
gia nh la =
0
+
1
A
1
+
2
A
2
. Thay vao Phng trnh (7.1) ta co

Y =
0
+
1
A
1
+
2
A
2
+ X + u (7.11)

oi vi mot ho gia nh tre, A
1
= A
2
= 0. oi vi nhom tuoi trung nien A
1
= 1 va
A
2
= 0. oi vi nhom ln tuoi nhat, A
1
= 0 va A
2
= 1. Cac mo hnh c c lng cho
ba nhom nay nh sau:

Tuoi < 25: Y
^
=
^
0
+
^
X (7.12)
Tuoi 25-55: Y
^
= (
^
0
+
^
1
) +
^
X (7.13)
Tuoi > 55: Y
^
= (
^
0
+
^
2
) +
^
X (7.14)

^
1
la mot c lng cua khac biet trong tung o goc gia hai nhom ho gia nh tre
va trung nien.
^
2
la c lng cua khac biet trong tung o goc gia nhom ho gia nh tre
va ho gia nh ln tuoi. V vay, dch chuyen tung o goc la nhng sai lech so vi nhom
kiem soat. Cac ng thang c lng se song song vi nhau.

Bang 7.3 Gia Tr D Lieu Mau Vi Mot So Bien nh Tnh

t Y Const X A
1
A
2
H

E
1
E
2
O
1
O
2
O
3
O
4
1 Y
1
1 X
1
1 0 1 1 0 0 1 0 0
2 Y
2
1 X
2
1 0 0 0 0 0 0 0 1
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

3 Y
3
1 X
3
0 0 0 0 1 0 0 0 0
4 Y
4
1 X
4
0 1 0 1 0 0 0 1 0
5 Y
5
1 X
5
0 1 0 1 0 0 1 0 0

Co mot ly do ac biet e khong nh ngha mot bien gia th ba, A
3
, nhan gia tr 1
oi vi nhom gia nh tre va gia tr 0 cho cac nhom khac. Neu chung ta a gia nh la
=
0
+
1
A
1
+
2
A
2
+
3
A
3
, chung ta se gap a cong tuyen chnh xac v A
1
+ A
2
+ A
3

luon luon bang 1, la mot so hang khong oi (xem Bang 7.3). ay goi la bay bien gia.
e tranh van e nay, so cac bien gia luon luon t hn mot bien so vi so cac la chon
(xem Bai thc hanh 7.3 oi vi mot trng hp ngoai le oi vi van e nay). V vay,
neu chung ta muon tnh cac sai biet theo mua gia lng ien tieu thu va nhiet o,
chung t se nh ngha ba bien gia (v co tat ca bon mua). e tnh sai biet theo thang,
chung ta can 11 bien gia.
Mot so gia thuyet rat thu v. e kie m nh gia thuyet gia nh nhom tuoi cao
hn co hanh vi giong gia nh nhom tuoi tre hn, chung ta n gian ch tien hanh kiem
nh t oi vi
^
2
. e kiem nh gia thuyet khong co khac biet trong ham tiet kiem
theo o tuoi, gia thuyet la H
0
:
1
=
2
= 0 va gia thuyet ngc lai la H
1
: t nhat mot
trong cac he so khac khong. Gia thuyet nay c kiem nh bang kiem nh Wald c
trnh bay trong Phan 4.4. Mo hnh khong gii han la Phng trnh (7.11), va mo hnh
gii han la Y =
0
+ X + u. Kiem nh Wald F t cac tong bnh phng tng ng se
co bac t do d.f. la 2 va n 4. Gia thuyet khong co khac biet trong hanh vi gia hai
nhom tuoi trung nien va cao tuoi ngha la
1
=
2
. Gia thuyet nay co the c kiem
nh bang cach s dung ba phng phap a c mo ta trong Phan 4.4. e ap dung
kiem nh Wald, at ieu kien nay vao Phng trnh (7.11). Chung ta co mo hnh gii
han

Y =
0
+
1
A
1
+
1
A
2
+ X + u (7.15)
=
0
+
1
(A
1
+ A
2
) + X + u

Thu tuc e c lng mo hnh gii han la tao ra mot bien mi, Z = A
1
+ A
2
, va hoi
qui Y theo mot hang so, Z, va X. Mot kiem nh Wald c thc hien sau o gia mo
hnh nay va Phng trnh (7.11) bang cach so sanh cac tong bnh phng cua cac phan
d c lng. Tr thong ke F se co bac t do d.f. la 1 va n 4.

Gia s chung ta a dung bien gia th ba A
3
nh va nh ngha va a thiet lap mo hnh Y
=
1
A
1
+
2
A
2
+
3
A
3
+ X + u, khong co so hang khong oi. Chng to la khong co van
e a cong tuyen chnh xac ay. Hay mo ta co the tnh c cac c lng cua cac
t cac c lng cua cac nh the nao.

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

+
Chon mot nhom tuoi khac lam nhom kiem soat gia s nhom trung nien va lap lai mo
hnh. Cac gia tr c lng cua mo hnh mi quan he nh the nao vi cac c lng
trong Phng trnh (7.11)? Cu the hn, tnh cac c lng cua mo hnh mi t nhng
c lng cua Phng trnh (7.11). Mo ta cac kiem nh gia thuyet cu the co the thc
hien trong mo hnh mi nay.

Mot So Cac Bien nh Tnh
Phan tch bien gia de dang c m rong cho trng hp trong o co nhieu bien nh
tnh, mot so cac bien nay co the co nhieu hn mot gia tr. e minh hoa, hay xem xet
ham tiet kiem c mo ta trc ay, trong o, Y la tiet kiem cua ho gia nh va X la thu
nhap cua ho gia nh. Co the a ra gia thuyet la ngoai tuoi cua chu ho, cac yeu to khac
nh s hu nha, trnh o hoc van, tnh trang nghe nghiep v.v cung la nhng yeu to xac
nh tiet kiem cua ho gia nh. V du, gia s ta co thong tin la chu ho co trnh o sau ai
hoc, co trnh o ai hoc, ch tot nghiep trung hoc. Hn na, gia s ta biet la chu ho co
the lam mot trong nhng nghe sau: quan ly, cong nhan tay nghe cao, cong nhan khong
co tay nghe, th ky, kinh doanh t do hoac nhan vien chuyen nghiep. Cung tng t, ta
khong biet chnh xac tuoi cua chu ho nhng biet c ong ta/ba ta thuoc nhom tuoi nao.
Chung ta a nhng bien nay vao phan tch nh the nao? Thu tuc la nh ngha tat ca
cac bien gia can co va a chung vao mo hnh. Mo hnh khong gii han se nh sau:

Y =
0
+
1
A
1
+
2
A
2
+
3
H +
4
E
1
+
5
E
2
+
6
O
1

+
7
O
2
+
8
O
3
+
9
O
4
+
10
X + u (7.16)

vi

A
1
=
1 neu chu ho t 25 en 55 tuoi
0 neu ieu kien khac

A
2
=
1 neu chu ho tren 55 tuoi
0 neu ieu kien khac

H

=
1 neu chu ho s hu can nha
0 neu ieu kien khac

E
1
=
1 neu chu ho co trnh o sau ai hoc
0 neu ieu kien khac

E
2
=
1 neu chu ho co trnh o ai hoc
0 neu ieu kien khac

O
1
=
1 neu chu ho la nha quan ly
0 neu ieu kien khac

O
2
=
1 neu chu ho la cong nhan lanh nghe
0 neu ieu kien khac

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

O
3
=
1 neu chu ho la th ky
0 neu ieu kien khac

O
4
=
1 neu chu ho kinh doanh ca the
0 neu ieu kien khac

Nen lu y rang ac tnh cua nhom ieu khien nh sau: chu ho co o tuoi
di 25, la cong nhan khong co tay nghe, vi trnh o hoc van ch bac trung
hoc. Bang 7.3 la mot v du ve ma tran d lieu. c lng cac tham so c thc
hien bang viec lay hoi qui Y theo mot so hang khong oi, A
1
, A
2
, H, E
1
, E
2
, O
1
, O
2
,
O
3
, O
4
, va X (cac bien nh lng cong them them c a vao de dang neu mo
hnh can chung). Tnh trang s hu nha c kiem nh bang kiem nh t oi vi
3
(vi bac t do df la n - 11). Trnh o hoc van c kiem nh bang kiem nh
Wald vi gia thuyet khong la
4
=
5
= 0. Mo hnh khong gii han la Phng
trnh (7.16), va mo hnh gii han la mo hnh co c t viec loai bo E
1
va E
2
ra
khoi (7.16). Bac t do oi vi tr thong ke F se la 2 va n - 11. Tng t, e kiem
nh xem tnh trang viec lam co phai la van e trong viec ly giai nhng bien ong
trong tiet kiem, ta s dung kiem nh Wald vi gia thuyet khong la
6
=
7
=
8
=
9
= 0. Co the s dung rat nhieu kiem nh khac na; nhng kiem nh nay c
danh lai cho ngi oc trong phan bai tap.
BAI THC HANH 7.5
Viet quan he c lng cho mot ho gia nh trung nien s hu nha, chu nha co
bang ai hoc, va la mot nhan vien van phong.
BAI THC HANH 7.6
+
Mo ta tng bc viec thc hien kiem nh nhng gia thuyet sau: (a) hanh vi tiet
kiem cua nhng nhan vien van phong tng t nh hanh vi tiet kiem cua nhng
cong nhan lanh nghe, va (b) tnh trang viec lam khong co tac ong y ngha len
hanh vi tiet kiem. Cu the hn, mo ta viec chay (cac) hoi qui, tnh toan cac kiem
nh thong ke, phan phoi thong ke theo gia thuyet khong (bao gom ca bac t do),
va cac tieu ch e bac bo gia thuyet khong.
Cac Mo Hnh Phan Tch Phng Sai*
Tat ca cac bien oc lap trong mot mo hnh eu co the la nh nguyen. Nhng mo
hnh nh vay c goi la mo hnh phan tch phng sai (ANOVA). Chung rat
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

pho bien trong cac nganh kinh te nong nghiep, nghien cu th trng, xa hoi hoc,
va tam ly hoc. Trong phan nay, chung ta ch gii thieu cac mo hnh ANOVA mot
cach tom tat. Chi tiet hn, tham khao mot cuon sach ve thong ke nao o hay
nhng thiet ke thc nghiem.
Xem xet mot thc nghiem nong nghiep ma nha ieu tra len ke hoach nghien
cu san lng trung bnh tren mot mau do ba loai hat giong ghep khac nhau c
x ly vi bon loai lieu lng thuoc tr sau khac nhau. Ngi thiet ke thc nghiem
nay chia khoanh at rong thanh mot so cac manh at nho hn va mot cach ngau
nhien a vao nhng ket hp khac nhau gia hat giong va lieu lng phan bon.
Tiep theo san lng quan sat c tren moi manh at c lien he vi loai hat
giong va lieu lng phan bon tng ng. Nha thiet ke thc nghiem se thiet lap
nen mo hnh nh sau:
Y
ijk
= + a
j
+ b
k
+
ijk

vi Y
ijk
la san lng quan sat c tren manh at th i s dung hat giong th j (j =
1, 2, 3) va lieu lng phan bon th k (k = 1, 2, 3, 4), la trung bnh ln, a
j
la
tac ong cua hat giong, va b
k
la tac ong cua phan bon,
ijk
la so hang sai so
khong quan sat c. Do vay san lng trung bnh c ket hp lai t tac ong
toan bo chung len tat ca cac manh at, ma no c hieu chnh theo loai hat giong
va lieu lng phan bon tren tng manh at . Bi v a
j
va b
k
la nhng thien lech t
tr trung bnh tong the, chung ta co ieu kien a
j
= b
k
= 0. Chnh v nhng rang
buoc nay, tam tham so (, ba a, va bon b) thc te giam xuong ch con sau tham
so. Mo hnh c viet lai nh sau cho nhng ket hp a chon:
Y
i12
= + a
1
+ b
2
+
i12

Y
i34
= + a
3
+ b
4
+
i34

Ta co the thiet lap mot mo hnh tng t ch vi nhng bien gia. oi vi
nhng loai hat giong, nh ngha hai bien gia: S
1
= 1 neu loai hat giong au tien
c chon, neu khong se la 0; S
2
= 1 neu loai hat giong th hai c chon, neu
khong se la 0. Tng t nh vay, nh ngha ba bien gia cho lieu lng thuoc tr
sau: D
1
= 1 khi lieu lng th nhat c s dung, D
2
= 1 cho lieu lng th hai,
va D
3
= 1 cho lieu lng th ba. Lu y rang nhom kiem soat la loai hat giong th
ba va lieu lng thuoc th t. Phng trnh kinh te lng la
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

Y =
0
+
1
S
1
+
2
S
2
+
1
D
1
+
2
D
2
+
3
D
3
+ u
ay cung co sau tham so cha biet e c lng. oi vi hai ket hp tren, mo
hnh tr thanh
Y =
0
+
1
+
2
+ u (S
1
= D
2
= 1, S
2
= D
1
= D
3
= 0)
Y =
0
+ u (S
1
= S
2
= D
1
= D
2
= D
3
= 0)
Trong khi so sanh hai phng phap, chung ta lu y rang
0
+
1
+
2
= +
a
1
+ b
2
va
0
= + a
3
+ b
4
. Co the ch ro s tng ng mot-mot gia mo hnh
kinh te lng va mo hnh thiet ke thc nghiem. Gia thuyet cho rang khong co s
khac biet gia cac hat giong co the c dien dch nh a
1
= a
2
= a
3
= 0, hay cung
tng ng nh
1
=
2
= 0. Tng t nh vay, gia thuyet cho rang khong co s
khac biet ve san lng do tac ong cua lieu lng thuoc tr sau co the c kiem
nh hoac bang b
1
= b
2
= b
3
= b
4
= 0 hoac
1
=
2
=
3
= 0.
BAI THC HANH 7.7
Viet tat ca cac quan he gia cac a, b, va , ; Tm a va b di dang cac va ;
va ch ra cach thiet lap thiet ke thc nghiem t phng trnh kinh te lng.
7.3 Tac ong Cua Cac Bien nh Tnh Len So Hang o Doc (Pha n Tch ong
Phng Sai)
Ch Dch Chuyen So Hang o Doc
Trong phan nay, chung ta cho phep kha nang cua co the khac nhau cho nhng
bien nh tnh khac nhau. Nhng mo hnh nh vay c biet en nh nhng mo
hnh phan tch ong phng sai. Chang han nh trong v du ve tien lng, lam
sao chung ta co the kiem nh c gia thuyet cho rang la khac nhau gia nam
va n? au tien chung ta gia nh rang he so tung o goc la khong thay oi.
(ieu nay se c ni long trong phan ke tiep.) Thu tuc tng t vi trng hp
ma tung o goc dch chuyen gia hai la chon. at =
1
+
2
D, vi D = 1 cho
nam va bang 0 cho n. Phng trnh (7.1) bay gi tr thanh
Y = + (
1
+
2
D)X + u (7.17)
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

= +
1
X+
2
(DX) + u
2
DX bieu dien so hang tng tac c mo ta trong Phan 6.5. e c lng
mo hnh nay, chung ta nhan bien gia vi X va tao mot bien mi, Z = DX. Roi
chung ta hoi qui Y theo mot so hang khong oi, X, va Z. Cac quan he c c
lng nh sau (c bieu dien tren Hnh 7.2, vi gia nh rang va tat ca
dng):
N: X Y
1
+ = (7.18)
Nam: X Y )

(
2 1
+ + = (7.19)
Hnh 7.2 Mot V Du Cua Viec Dch Chuyen o Doc Bang Cach S Dung
Bien Gia
Y

X

Bi v tung o goc c gia nh la nh nhau, nen nhng oan thang bat au t
cung mot iem nhng co o doc khac nhau. Neu mot cong nhan vien n tch luy
them mot nam kinh nghiem, th co ta se mong i nhan c mc lng trung
bnh tang len
1
o la. Nam nhan vien vi them mot nam kinh nghiem se ky

vong mc lng trung bnh tang len
1
+
2
o la mot thang. Do vay,

2
o
lng s khac biet trong o doc c lng.
+
1
X
+ (
1
+
2
)X
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

Thu tuc kiem nh gia thuyet cung tng t nh trng hp trc, tc la ch
co tung o goc dch chuyen. Mot kiem nh t oi vi
2
(bac t do d.f la n 3) se
kiem nh rang khong co s khac biet nao ve o doc.

Dch Chuyen Ca So Hang Tung o Goc Va o Doc
Cho phep dch chuyen ca tung o goc va o doc la mot thu tuc khong may phc
tap. Chung ta ch n gian cho =
1
+
2
D va =
1
+
2
D. Thay the hai gia
tr nay vao Phng trnh (7.1), ta co mo hnh khong gii han la
Y =
1
+
2
D + (
1
+
2
D)X + u (7.20)
=
1
+
2
D +
1
X+
2
(DX) + u
Hoi qui Y theo mot hang so, D, X, va so hang tng tac DX. Cac quan he
c c lng cho hai nhom la
Nam: X Y )

( ) (
2 1 2 1
+ + + = (7.21)
N: X Y
1 1
+ = (7.22)
Hnh 7.3 Mot V Du Cua Viec Dch Chuyen Tung o Goc Va o Doc
Y

1

1
+
1
X
(
1
+
2
) + (
1
+
2
)X
2

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

X

Hnh 7.3 bieu dien cac moi quan he nay khi tat ca va dng. e kiem nh
gia thuyet cho rang khong co s khac biet nao trong toan bo quan he, chung ta co
H
0
:
2
=
2
= 0. Kiem nh la kiem nh Wald F, vi Phng trnh (7.20) la mo
hnh khong gii han va Y =
1
+
1
X + u la mo hnh gii han. Tr thong ke F se
co bac t do df la 2 va n - 4.
Dien Dch Cac He So Bien Gia Trong Mo Hnh Tuyen Tnh-Logart
Trong Phan 6.8 chung ta a gii thieu mo hnh tuyen tnh-logart ma theo o bien
phu thuoc la ln(Y). 100 nhan vi mot he so hoi qui c dien dch la thay oi
phan tram trung bnh cua Y so vi thay oi mot n v cua bien oc lap tng ng.
Tuy nhien, neu bien oc lap la mot bien gia, th viec dien dch se khong con gia
tr. e thay c ie u nay, xem xet mo hnh
ln (Y) =
1
+
2
X +
3
D + u
vi D la mot bien gia. Lay oi log cua phng trnh nay, ta c Y = exp(
1
+
2
X +
3
D + u), vi exp la ham mu. Ky hieu bien phu thuoc la Y
1
khi D = 1, va
Y
0
khi D = 0. Do o phan tram thay oi gia hai nhom la 100 (Y
1
Y
0
)/Y
0
= 100
[exp (
3
)

1)]. Viec au tien la c lng
3
exp
theo
3
exp
. Tuy nhien, ay
khong phai la phng phap thch hp, ly do tai sao se c giai thch ky hn
trong Phan 6.8. Phng phap ung e hieu chnh thien lech
3
exp
la
[ ] )
exp
3
2
1
3
Var , vi Var la phng sai c lng. T o ta co
( ) [ ] { } 1

exp 100 ) 1
( 100
3 2
1
3 0 1
= r Y Y Va
Neu mo hnh co mot so hang tng tac th mo hnh se tr thanh
Ln (Y) =
1
+
2
X +
3
D +
4
DX + u
bieu thc tng ng phc tap hn nhieu. Trong trng hp nay, viec kiem tra mo
hnh se la
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100( ( ) [ ] { } 1

) 1
4 2
1
4 3 0 1
+ + = X Y Y
3
Var exp 100

Bieu thc phng sai phu thuoc vao gia tr cua X va no cung bao gom mot ket
hp tuyen tnh gia cac bien ngau nhien. De dang thay rang, khi mo hnh co mot
so hang tng tac gia mot bien gia va bien nh lng, viec dien giai tac ong
cua bien gia phc tap hn nhieu.
Mac du viec dien giai tac ong cua bien gia oi hoi s hieu chnh trong
trng hp mo hnh tuyen tnh-logart, tac ong can bien cua mot bien nh lng
th kha de hieu. Ta co, ln(Y
)/X = D
4 2

+ . S dung Tnh chat 6.2c, cho ta,
X D
Y
Y
+ =
)

( 100 100
4 2

Dan en 100
2
la phan tram thay oi gan ung cua Y oi vi s thay oi mot n

v cua X khi D = 0 va 100(
4 2

+ ) la phan tram thay oi gan ung cua Y oi vi
s thay oi mot n v cua X khi D = 1.
7.4 ng Dung: Phan Tch ong Phng Sai Trong Mo Hnh Tien Lng
ng dung xuyen suot c chon ay la ng dung a c s dung trong V du
6.5, o la quan he gia tien lng va ac tnh cua nhan vien. Tuy nhien, trong v
du o, chung ta ch s dung yeu to hoc van, kinh nghiem, lng bong, va mc chi
tieu cua ho. Mo hnh tuyen tnh-logart can ban la
(A) ln (WAGE) = + EDUC + EXPER + AGE + u
T phan tch trc o chung ta thay rang gia tr cua
2
R cua Mo hnh A la
0,283, ieu o co ngha la ba bien giai thch ch giai thch c 28,3% mc bien
ong cua ln(WAGE). Nh a ch ra trc ay, ieu nay la kho ng thuyet phuc lam
ngay ca oi vi mot nghien cu cheo, ma thng la co nhng gia tr
2
R thap.
Quan he tren la trung bnh oi vi tat ca cac nhom nhan vien va co ve nh khac
nhau cho tng mc o ky nang khac nhau cung nh gii tnh va sac toc khac
nhau. DATA 7-2, mo ta trong Phu luc D, co d lieu hoan chnh cho mau gom 49
nhan vien mot c quan nao o. Cac bien giai thch bao gom so nam i hoc tren
lp tam thi iem ma ngi o c thue mn (EDUC), so nam kinh nghiem
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(EXPER) tai c quan o, va o tuoi cua nhan vien (AGE). ong thi cung co
nhng bien gia ve gii tnh, sac toc, va loai cong viec (VD: nhan vien van phong,
bao tr, hay th thu cong). Phan loai nh sau: nam (GENDER = 1), da trang
(RACE = 1), nhan vien van phong (CLERICAL = 1), nhan vie n bao tr (MAINT
= 1), va th thu cong (CRAFTS = 1). Nhom ieu khien la n, da mau, co tay
nghe va chung ta co cac gia tr zero cho nhng bien gia nay.
Gia s gia thuyet rang khong giong nhau cho tat ca cac nhan vien, nhng
khac nhau tuy theo gii tnh, sac toc, va tnh trang nghe nghiep. e kiem nh
ieu nay, gia nh rang
=
1
+
2
GENDER +
3
RACE +
4
CLERICAL +
5
MAINT +
6
CRAFTS
va kiem nh gia thuyet
2
=
3
= =
6
= 0.
Thay the trong Mo hnh A, ta c Mo hnh B, mo hnh khong gii han
ma no lien quan vi ln(WAGE) en mot so cac bien nh tnh cung nh cac bien
gia.
(B) ln (WAGE) =
1
+
2
GENDER +
3
RACE +
4
CLERICAL +
5
MAINT
+
6
CRAFTS + EDUC + EXPER + AGE + u
Mot cau hoi de thay la lieu nhng tac ong can bien cua hoc van, kinh nghiem,
va o tuoi co phu thuoc vao loai cong viec, gii tnh, va sac toc hay khong. Hay
noi mot cach khac, so nam i hoc hay so nam kinh nghiem gop phan vao mc
lng cua mot nhan vien nam nhieu hn gop phan vao mot nhan vien n hay mot
nhan vien da mau hay khong? Cung nh vay, co li nhuan giam dan theo qui
mo oi vi viec hoc tap va kinh nghiem khong? Cu the hn, thu nhap tang them
cho viec co nhieu hn mot nam hoc tap co giam khi hoc van tang len hay khong?
e tra li cho nhng cau hoi nay, chung ta cho phep so hang o doc , , va
phu thuoc vao cac ac tnh khac nhau cua mot ngi nhan vien. Do o, v du nh
chung ta co the gia nh
=
1
+
2
GENDER +
3
RACE +
4
CLERICAL +
5
MAINT +
6
CRAFTS +

7
EDUC
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va kiem nh xem
i
= 0 cho tat ca cac i = 2 7 hay khong. Nhng ac trng
tng t eu co the s dung c cho va . Neu ta thay the va va nhng
quan he tng t la va vao mo hnh c ban, ta c mot mo hnh hoan chnh
vi nhieu so hang bac hai va so hang tng tac. e tiet kiem khoang trong,
chung ta se khong viet phng trnh hoan chnh nay. Vi s gia tang nhanh chong
cua cac bien nh vay, phng phap tong quan en n gian se khong de dang
t nao. Phng phap kiem nh LM bat au t Mo hnh A can ban se de kiem soat
hn nhieu.
Bang 7.4 cho thay mot ket qua vi tnh rieng phan ma no minh hoa cach kiem
nh nhan t Lagrange co the c s dung e xac nh xem mot vai hoac tat ca
cac so hang them vao co y ngha hay khong. Phan Thc Hanh May Tnh 7.5 se
hu ch trong viec tai tao lai cac ket qua nay va trong viec thc hien nhng
nghien cu ve sau.
So sanh cac he so va nhng tr thong ke lien quan oi vi cac bien them vao
trong hoi qui phu (xem Bang 7.4) vi nhng he so va tr thong ke cua Mo hnh 3
tong quat nhat trong Bang 7.5.
Lu y rang chung giong nh nhau. Gia tr R bnh phng oi vi hoi qui phu
la 0,818, tr thong ke nR
2
hi ln hn 40, va gia tr p tng ng la 0,01506. ieu
nay co ngha la chung ta bac bo gia thuyet khong cho rang tat ca cac bien them
vao eu co nhng he so hoi qui khong co y ngha, dan en xac suat cua sai lam
loai I (loai bo mot gia thuyet ung) ch la 1,5 phan tra m. Bi v con so nay rat
thap, chung ta kha an toan trong viec loai bo gia thuyet khong va khong co g
ngac nhien khi ket luan rang co t nhat mot vai bien co lien quan en mo hnh.
Cau hoi at ra ay la, Chung ta nen a bien mi nao trong mo hnh hoi
qui phu vao ac trng cua mo hnh? Neu chung ta tuan theo y ngha chat che (
mc 10 phan tram hoac nhng mc thap hn), th ch co sq_EDUC, (bnh phng
cua EDUC). ED_CRAFT (EDUC*CRAFTS), va AGE_MAIN (AGA*MAINT) se
c a vao mo hnh. Tuy nhien, chung ta co the ky vong mot a cong tuyen
gia cac bien giai thch, ma co the lam cho cac he so khong con y ngha. Qui tac
kinh nghiem bao thu la cho n nhng bien ma cac gia tr p cua cac he so la nho hn
0,5 (nhng nha nghien cu khac co the se a thch mot vai qui tac khac). Theo
qui tac nay, chung ta a cac bien GENDER, RACE, sq_EDUC, sq_EXPER,
sq_AGE, ED-GEN, ED_CLER, ED_MAINT, ED_CRAFT, AGE_GEN,
AGE_RACE, AGE_MAIN, AGE_CRFT, EXP_RACE, va EXP_CRFT vao mo
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hnh. Ta c lng mo hnh nay, ket qua c tom tat trong Bang 7.5 vi tieu e
Mo hnh 1.
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Bang 7.4 Mot Phan Ket Qua Co Kem Chu Giai Cua ng Dung Kiem nh LM
Trong Phan 7.4
[Danh sach di ay bao gom mot so bien bnh phng va tng tac cua chung c phat
ra thong qua nhng bien oi noi tai. sq_x la bnh phng cua x, va x_y la tch cua x va y.]
0) const 1) WAGE 2) EDUC 3) EXPER 4) AGE
5) GENDER 6) RACE 7) CLERI CAL 8) MAI NT 9) CRAFTS
10) sq_EDUC 11) sq_EXPER 12) sq_AGE 13) ED_GEN 14) ED_RACE
15) ED_CLER 16) ED_MAI NT 17) ED_CRAFT 18) AGE_GEN 19) AGE_RACE
20) AGE_CLER 21) AGE_MAI N 22) AGE_CRFT 23) EXP_GEN 24) EXP_RACE
25) EXP_CLER P_MAI N 27) EXP_CRFT 28) LWAGE
[au tien lay hoi qui cua ln(WAGE) theo mot hang so, EDUC, EXPER, va AGE, va gi
lai cac phan d
t
u xem nh ut. Tiep theo la hoi qui phu tc la lay hoi qui cac phan d
theo tat ca cac bien trong mo hnh khong gii han.]
Bang 7.4 (tiep theo)
Dependent var i abl e: ut =
t
u
VARI ABLE COEFFI CI ENT STDERROR T STAT Pr ob ( t > | T|)
0) const - 0. 8801 1. 0029 - 0. 878 0. 389639
2) EDUC 0. 2627 0. 1399 1. 878 0. 073766
3) EXPER 0. 0259 0. 0354 0. 732 0. 471946
4) AGE 0. 0118 0. 0290 0. 408 0. 686923
5) GENDER 0. 4091 0. 4499 0. 909 0. 373031
6) RACE - 0. 3639 0. 4476 - 0. 813 0. 424849
7) CLERI CAL 0. 3677 0. 7374 0. 499 0. 622954
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8) MAI NT - 0. 2408 0. 9154 - 0. 263 0. 794947
9) CRAFTS 0. 1086 0. 7718 0. 141 0. 889374
10) sq_EDUC - 0. 0222 0. 0109 - 2. 038 0. 053703
11) sq_EXPER - 0. 0008053 0. 0011 - 0. 705 0. 488381
12) sq_AGE - 0. 0002380 0. 0003148 - 0. 756 0. 457766
13) ED_GEN 0. 0700 0. 0471 1. 485 0. 151642
14) ED_RACE 0. 0368 0. 0560 0. 658 0. 517394
15) ED_CLER - 0. 0761 0. 0506 - 1. 504 0. 146848
16) ED_MAI NT - 0. 2094 0. 1305 - 1. 605 0. 122645
17) ED_CRAFT - 0. 1245 0. 0682 - 1. 826 0. 081493
18) AGE_GEN - 0. 0151 0. 0098 - 1. 533 0. 139646
19) AGE_RACE 0. 0104 0. 0100 1. 044 0. 307974
20) AGE_CLER - 0. 0041 0. 0096 - 0. 426 0. 674481
21) AGE_MAI N 0. 0255 0. 0121 2. 102 0. 047225
22) AGE_CRFT 0. 0114 0. 0118 0. 968 0. 343325
23) EXP_GEN - 0. 0048 0. 0178 - 0. 268 0. 791547
24) EXP_RACE - 0. 0229 0. 0246 - 0. 928 0. 363564
25) EXP_CLER - 0. 0077 0. 0206 - 0. 375 0. 711264
26) EXP_MAI N - 0. 0018 0. 0272 - 0. 068 0. 946544
27) EXP_CRFT 0. 0184 0. 0188 0. 975 0. 340112
Unadj ust e R- squar ed 0. 818 Adj ust ed R- squar ed 0. 603
Chi - squar e( 23) : ar ea t o t he r i ght of 40. 078742 ( LM st at i st i c) = 0. 015060
[Gia tr p thap ch ra viec bac bo gia thuyet khong cho rang he so cua cac bien them vao
la zero. Bc ke tiep la chon bien them vao mo hnh c ban s dung qui tac kinh nghiem
n gian nhng tuy y ve viec bao gom ca cac bien cong them mi ma co gia tr p nho hn
0,5. Ket qua la Mo Hnh 1 trong Bang 7.5. e co c mo hnh cuoi cung, tc Mo Hnh 2
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trong Bang 7.5, chung ta bo cac bien ma co cac he so khong co y ngha, mot vai bien mot
lan, cho en khi nao tat ca cac he so eu co y ngha mc 10 phan tram. Cuoi cung,
chung ta c lng mo hnh hoan chnh vi tat ca cac so hang bnh phng va so hang
tng tac. o chnh la Mo Hnh 3 trong Bang 7.5. Lu y rang Mo Hnh 3 co mot so so
hang khong co y ngha chu yeu la do hien tng a cong tuyen manh.]
Bang 7.5 Ket Qua Mo Hnh Chon Loc Cho ng Dung
Bien Mo hnh 1 Mo hnh 2 Mo hnh 3
CONSTANT 6,25809 6,69328 5,95582
(11,879) (36,624) (5,939)
EDUC 0,29236 0,22078 0,32721
(3,347) (3,618) (2,339)
EXPER 0,04514 0,01794 0,04864
(2,095) (4,287) (1,372)
AGE 0,00465 0,01223
(0,219) (0,422)
GENDER 0,18628 0,40913
(0,671) (0,909)
RACE 0,00089 -0,36392
(0,004) (-0,813)
CLERICAL 0,36774
(0,499)
MAINT -0,24081
(-0,263)
CRAFTS 1,10860
(0,141)
sq_EDUC -0,01792 -0,01109 -0,02219
(-2,874) (-2,506) (-2,038)
sq_EXPER -0,00085 -0,00081
(-1,098) (-0,705)
sq_AGE -0,00015 -0,00007 -0,00024
(-0,633) (-2,184) (-0,756)
ED_GEN 0,06650 0,02960 0,06995
(2,191) (2,943) (1,485)
ED_RACE 0,03682
(0,658)
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ED_CLER -0,06110 -0,06169 -0,07611
(-5,843) (-6,525) (-1,504)
ED_MAINT -0,22790 -0,13896 -0,20945
(-3,523) (-3,119) (-1,605)
ED_CRAFT -0,11688 -0,10726 -0,12452
(-3,857) (-5,504) (-1,826)
AGE_GEN -0,01081 -0,01507
(-1,492) (-1,533)
AGE_RACE 0,00721 0,01043
(1,127) (1,044)
AGE_CLER -0.00409
(-0,426)
AGE_MAIN 0.02066 0,00758 0,02550
(2,554) (1,700) (2,102)
AGE_CRFT 0,01059 0,01152 0,01145
(1,945) (3,649) (0,968)
EXP_GEN -0,00475
(-0,268)
EXP_RACE -0,02525 -0,02286
(-1,881) (-0,928)
EXP_CLER -0,00771
(-0,375)
EXP_MAIN -0,00185
(-0,068)
EXP_CRFT 0,02402 0,01837
(2,058) (0,975)
ESS 0,61473 0,78302 0,574710
2
R 0,790 0,789 0,733
d.f 30 38 22
SGMASQ 0,020491* 0,020606 0,026123
AIC 0,027245 0,025036* 0,035307
FPE 0,028437 0,025231* 0,040518
HQ 0,035988 0,029413* 0,052436
SCHWARZ 0,056738 0,038283* 0,100135
SHIBATA 0,022275* 0,023155 0,024655
GCV 0,033469 0,026571* 0,058184
RICE 0,055885 0,029001* khong xac nh
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Lu y: dau * ky hieu mo hnh la tot nhat oi vi tieu ch o. Gia tr trong ngoac n la cac tr thong ke
t.
Chung ta lu y mot vai he so co tr thong ke t rat thap, tc la khong y ngha.
Nhng tr nay se c loai bo dan dan cho en khi ch thu c mot mo hnh ma
tat ca cac he so eu co y ngha 10 phan tram hoac thap hn (Xem Phan Thc
Hanh May Tnh 7.5). Ket qua c the hien Mo hnh 2 trong bang. Cuoi cung,
Mo hnh 3 la mot ac trng bon ra chen, trong o bao gom tat ca cac so hang
bac hai va so hang tng tac. Ai o co the hoai nghi rang Mo Hnh 3 b vi pham
nang ne do van e a cong tuyen, ma thng thng no co xu hng lam cho cac
he so tr nen mat y ngha. Di hnh thc dung tr thong ke e la chon mo hnh
va mc y ngha cua cac he so hoi qui, Mo Hnh 2 ro rang la tot hn va c chon
la mo hnh cuoi cung cho viec dien dch.
DIEN DCH KET QUA Cac bien trong mo hnh giai thch 79 phan tram s
thay oi trong logart cua WAGE. oi vi mot nghien cu cheo, ieu nay kha tot.
Bay gi chung ta xem xet nhng tac ong can bien cua tng yeu to rieng re.
Hoc van: So nam i hoc (tren lp tam) quan trong trong viec giai thch
ve lng. No minh hoa y ngha phi tuyen va no co y ngha tng tac vi gii tnh
va tnh trang nghe nghiep. Tac ong cuc bo la
ln(WAGE) / EDUC = 0,221 0,022 EDUC + 0,030 GENDER
0,062 CLERICAL 0,139 MAINT 0,107 CRAFTS
Kha thu v khi nhan thay rang tac ong can bien cua viec i hoc giam theo
so nam i hoc. Hay noi cach khac, tien lng them vao cho mot nam i hoc tang
them, ve mat trung bnh, la thap hn cho mot ngi a co trnh o hoc van mc
cao khi so sanh vi mot ngi t hoc hn. Do vay co hien tng li nhuan giam
dan theo so nam i hoc. Gia nam nhan vien va n nhan vien, ma ho eu co
cung nhng ac tnh khac, th nam nhan vien ky vong kiem c trung bnh 3
phan tram nhieu hn n nhan vien cho moi nam i hoc nhieu hn. Loai cong viec
tng tac mot cach y ngha vi hoc van. Khi so sanh vi nhng nhan vien chuyen
nghiep (nhom ieu khien), mot nam i hoc tang them co y ngha 6,2 phan tram
lng t hn oi vi nhng nhan vien van phong, 13,9 phan tram t hn cho nhan
vien bao tr, va 10,7 phan tram t hn oi vi th thu cong.
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Kinh nghiem: Khong co g ngac nhien khi so nam kinh nghiem cho mot
cong viec nao o co tac ong tch cc len tien lng. Tuy nhien, khong co hien
tng li nhuan giam dan mot cach co y ngha nao cung nh khong co bat ky
tng tac nao vi cac bien gia. Mot nam kinh nghiem tang them co y ngha mc
lng trung bnh tang them ch co 1,8 phan tram.
o tuoi: o tuoi cua mot nhan vien co li nhuan giam dan y ngha, no ch
ra rang vi cac yeu to khac la nh nhau, mot ngi ng tuoi hn se co mc
lng trung bnh thap hn. Tac ong can bien la
ln(WAGE) / AGE = 0,00014 AGE + 0,00758 MAINT + 0,01152 CRAFTS
Anh hng cua o tuoi phan nao bu ap cho nhng nhan vien bao tr va th thu
cong nhng khong cho nhng loai nhan vien khac.
Gii tnh: T Bang 7.4 ta thay tac ong cuc bo cua gii tnh phu thuoc
vao so nam i hoc. He so c lng la 0,02960 EDUC, va phng sai c lng
tng ng la (0,0101 EDUC)
2
. Dau dng cho biet mot s chenh lech ve gii
tnh co y ngha thc s hien hu (vi thu nhap cua ngi nhan vien nam co the so
sanh c mc trung bnh la cao hn) va no cung cho biet khoang cach tang len
vi so nam i hoc. Do o nhng ngi phu n co hoc van cao co mc lng trung
bnh thap hn mot cach bat can oi so vi nam gii cung vi ac tnh nh vay.
Tac ong can bien c lng co the c xac nh nh sau (xem lai ket qua trong
phan trc):
100{exp[
EDUC
2
1
Var(
EDUC)] - 1} = 100{exp[
EDUC
2
1
EDUC
2
Var(
)] - 1}
oi vi
= 0,02960 va EDUC = 4 va 8 (trung hoc va ai hoc), nhng tac ong

nay lan lt la 12,5 phan tram va 26,3 phan tram, chu ng cao mot cach kho hieu.
Sac toc: Khong co cac bien ve sac toc nao la co y ngha, cho thay
khong co s khac biet co y ngha ve lng gia cac sac toc.
Loai cong viec: Nhng nhan vien trong mau thuoc vao bon nhom nghe
nghiep khac nhau. Nhom ie u khien bao gom nhng nhan vien chuyen nghiep,
va nhng nhom khac la nhan vien van phong, bao tr va th thu cong. Nhng tac
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ong rieng phan c c lng cho logart cua tien lng cho tng nhom khong
ieu khien la
Nhan vien van phong: - 0,062 EDUC
Bao tr: - 0,139 EDUC + 0,008 AGE
Th thu cong: - 0,107 EDUC + 0,012 AGE
Nh a a ra trc ay, loai cong viec va hoc van tng tac vi nhau rat manh.
Tuoi tac co nhng tac ong tch cc y ngha len nhan vien bao tr va th thu cong
nhng khong tac ong len nhng nhom khac.
oi vi mot ng dung trong the gii thc cua mo hnh log-tien lng, tham
khao bai viet cua Tansel c trch dan Chng 6.
7.5 c Lng Nhng Tac ong Mua
Mot v du khac ve viec s dung bien gia xuat hien trong c lng tac ong mua
cua cac bien oc lap. Xem xet quan he E = + T + u, a c gii thieu trc
ay, gia viec tieu thu ie n nang va nhiet o. Trong mua he, khi nhiet o tang,
nhu cau may lanh se ay viec tieu thu ien nang len. Do vay chung ta ky vong
co dau dng, cho ra mot quan he dng gia E va T. Tuy nhien, vao mua
ong, khi nhiet o tang (t 20 o len 40 o), nhu cau cho viec si am nha tr
nen thap hn va t o chung ta mong i co dau am ve mua ong, cho ra mot
quan he am gia E va T. Bang cach nao chung ta co the ghi nhan c tac ong
len E cua bien nh tnh mua co bon loai: xuan, ha, thu, ong? Viec nay thc
hien c bang cach xac nh ba bien gia; c goi la: bien gia theo mua. Nh
a giai thch trc ay, chung ta khong nh ngha bon bien gia e tranh hien
tng a cong tuyen hoan hao. Mua thu c s dung lam mua ieu khien:
D
1
=
khac mua la Neu

ong mua la Neu
0
1

D
2
=
khac mua la Neu

xuan mua la Neu
0
1

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D
3
=
khac mua la Neu

ha mua la Neu
0
1

Bay gi at =
0
+
1
D
1
+
2
D
2
+
3
D
3
va =
0
+
1
D
1
+
2
D
2
+
3
D
3
.
ac trng tong quat thu c bang cach thay the nhng bieu thc nay vao quan
he gia E va T:
E =
0
+
1
D
1
+
2
D
2
+
3
D
3
+
0
T +
1
D
1
T +
2
D
2
T +
3
D
3
T + u (7.23)
Nhng mo hnh c lng cho tng mua nh sau (Hnh 7.4 minh hoa ieu nay):
Thu: E
=
0
+
0
T
ong: E
= (
0
+
1
) +(
0
+
1
)T
Xuan: E
= (
0
+
2
) +(
0
+
2
)T
Ha: E
= (
0
+
3
) +(
0
+
3
)T
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Phng phap phan tch
Bai oc
(hoac bien gia)

Hnh 7.4 V Du Ve Yeu To Mua

1
la o lech cua he so tung o goc mua ong so vi he so tung o goc cua
mua thu, va
1
la o lech cua he so o doc mua ong so vi he so o doc cua
mua thu. Co the thc hien nhieu kiem nh oi vi nhng mo hnh nay. V du, gia
thuyet hp ly la khong co s khac biet trong quan he gia mua thu va mua xuan.
So sanh cac phng trnh cua mua thu va mua xuan, gia thuyet ham y rang
2
=
2
= 0. ieu nay c kiem nh bang kiem nh Wald trong o Phng trnh
(7.23) la mo hnh khong gii han va mo hnh gii han la
E =
0
+
1
D
1
+
3
D
3
+
0
T +
1
D
1
T +
3
D
3
T + u (7.24)
Mot so nha ieu tra thch gi lai nhng bien gia mua trong mo hnh ngay ca
khi neu mot vai bien trong so cac bien gia o la khong co y ngha. Tuy nhien, s
a thch nay khong ro rang v cac bien gia d ra co the lam giam mot cach khong
can thiet o chnh xac cua cac thong so khac. Neu ta tm thay mot vai mua la nh
nhau (v du mua thu va mua xuan), th co the hp nhat chung thanh mot mua
bang cach nh ngha mot bien gia D = 1 cho mua thu va mua xuan, va bang 0
cho cac mua con lai. e kiem nh gia thuyet cho rang tat ca cac mua co cung
quan he, ieu kien la
1
=
2
=
3
=
1
=
2
=
3
= 0. Mo hnh khong gii han se
la (7.23), va mo hnh gii han se la E =
0
+
0
T + u. Bac t do cua tr thong ke F
S dung
nang lng
Nhiet o
0 20 40 60 80 100
Mua ong
Mua xuan
Mua thu
Mua ha
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(hoac bien gia)

la 6 cho t so va so quan sat tr i 8 cho mau so (giai thch tai sao). Chung ta se
mong i viec bac bo gia thuyet nay v chung ta a ch ra trc ay la quan he
gia E va T se ong bien trong mua ha va nghch bien trong mua ong.
BAI THC HANH 7.8
Lam lai phan tch trc va s dung mua ha thay v mua thu lam mua ieu khien.
Thay v s dung ba bien gia, gia s chung ta nh ngha mot bien gia nh
sau:
D =
ha mua la Neu 4
xuan mua la Neu 3
ong mua la Neu
thu mua la Neu
2
1

Ke en gia s rang =
0
D va =
0
D. Mo hnh bay gi tr thanh
E =
0
D +
0
DT + u
va cac moi quan he c c lng bay gi tr thanh
Mua Thu: E
^
=
^
0
+
^
0
T
Mua ong: E
^
= 2
^
0
+ 2
^
0
T
Mua Xuan: E
^
= 3
^
0
+ 3
^
0
T
Mua He: E
^
= 4
^
0
+ 4
^
0
T
Phng phap nay so vi phng phap ba mua ma chung ta a xem xet
trc ay nh the nao? Xin lu y rang mac du cac phng trnh cho mua thu la
ong nhat, nhng nhng phng trnh khac th rat khac nhau. Cu the la khi so
sanh mua thu vi mua ong, chung ta thay rang s chenh lech ve tung o goc
gia hai mua nay la
0
. Khong co ly do tai sao s chenh lech nay phai bang vi
tung o goc cua mua thu. That ra, s chenh lech ve tung o goc gia bat ky hai
mua ke tiep nhau nao cung bang
0
. Do o chung ta gia s rang s dch chuyen
tung o goc la nh nhau qua suot cac mua ke tiep nhau. Tng t, s chenh lech
ve o doc gia hai mua ke nhau luon bang
0
. Gia thiet nay la qua han che va
hau nh kho bao am c trong trng hp tong quat. V vay, phng phap thay
the se a en ac trng sai mo hnh nghiem trong va nen c bo qua nhng
cho cho phng phap tong quat vi ba bien gia a c trnh bay nhng phan
trc.
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Xem Phan 7.8 ve mot ng dung thc te cua viec mo hnh hoa cac tac ong
theo mua.

7.6 Kiem nh S Thay oi Ve Cau Truc
Moi quan he gia cac bien phu thuoc va oc lap co the co mot s thay oi ve
cau truc (con c goi la s bat on nh ve cau truc hay nhng gian oan ve
cau truc); co ngha la, moi quan he co the thay oi t thi oan nay sang thi
oan khac. V du nh, gia s C la lng tieu thu gas Hoa Ky trong mot thi
oan cho trc va cac bien oc lap la gia ban (P) va thu nhap (Y). a co ba thi
oan trong suot khoang thi gian 1970-2000 khi gia gas tang mot cach tram
trong, co the gay ra nhng thay oi trong mo hnh hanh vi tieu thu gas. Thay oi
au tien xay ra vao nam 1974 ngay sau khi tap oan OPEC (To chc cua cac
quoc gia xuat khau dau hoa) tuyen bo kiem soat gia dau tren the gii. t thay
oi th hai xay ra vao nam 1979, ngay sau cuoc cach mang Iran. Thay oi cuoi
cung xay ra vao nam 1990 khi Iraq anh chiem Kuwait. Cung co ly khi chung ta
ky vong rang cac o co gian cua gia ban va thu nhap oi vi lng tieu thu gas
khac nhau qua bon thi oan c phan chia bang cac nam ke tren. Kiem nh
thong ke oi vi thay oi ve cau truc c goi la Kiem nh Chow (sau khi
Gregory Chow [1960] lan au tien cong bo ky thuat nay). Phan nay trnh bay hai
phng phap kiem nh oi vi thay oi ve cau truc. Phng phap th nhat bao
gom viec chia mau thanh hai hay nhieu nhom, c lng mo hnh mot cach rieng
biet oi vi tng thi oan va vi ca mau chung lai, va sau o xay dng mot tr
thong ke F s dung e tien hanh kiem nh. phng phap th hai, chung ta s
dung cac bien gia.

Kiem nh da tren viec phan cat mau (Kiem nh Chow)
Gia s chung ta muon kiem nh xem co mot s thay oi ve cau truc hay khong
vao thi iem t = n
1
. Thu tuc se la phai chia mau gom n quan sat thanh hai nhom
nhom 1 gom n
1
quan sat au tien va nhom 2 gom nhng quan sat con lai n
2
= n
- n
1
. c lng mo hnh mot cach rieng biet (vi k he so hoi qui) oi vi tng
nhom mot va tnh toan tong so d bnh phng ESS
1
va ESS
2
. Do o, tong cac
bnh phng khong gii han c tnh bang ESS
U
= ESS
1
+ ESS
2.
Khi lay so nay
chia cho
2
, ket qua se co phan phoi chi-square vi bac t do d.f. la n
1
k + n
2

k = n 2k, bi v viec c lng mo hnh mot cach rieng biet ngu y rang moi
phng trnh co k he so hoi qui. Ke en gia s rang cac he so hoi qui la nh nhau
trc va sau thi oan n
1
(ma no se lam tang len k rang buoc). c lng mo
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) k 2 n ( ) ESS ESS (
k ) ESS ESS ESS (
F
2 1
2 1 R
c
+

=
1 oi vi thi oan 1979.1 tr ve sau
0 oi vi thi oan khac
hnh lan na nhng vi chung ca mau, va thu c gia tr ESS
R
. Tr thong ke
kiem nh phu hp bay gi la

Thu tuc kiem nh la e bac bo gia thuyet khong rang khong co thay oi ve cau
truc nao neu F
c
vt qua gia tr F
*
k, n-2k
, iem nam tren phan phoi F vi bac t do
d.f. la k va n 2k ma vung t o tnh sang ben phai bang vi mc y ngha. Mot
gia thiet quan trong ang sau kiem nh nay la cac phng sai sai so cua hai mau
la nh nhau.

Kiem nh Da Tren Cac Bien Gia
Kiem nh cung co the c tien hanh bang cach s dung ky thuat dung bien gia
c gii thieu trong chng nay (xem chi tiet hn trong sach cua Franklin
Fisher, 1970). Phng phap nay c minh hoa ay cho lng tieu thu gas va
c mo ta (ch ap dung oi vi cac moc thi gian nam 1974 va 1979).
Mo hnh c ban la

ln C = + lnP + lnY + u

ay la mot mo hnh log-hai lan ma trong o la o co gian ve gia va la o co
gian ve thu nhap. Chung ta nh ngha hai bien gia nh sau (1974.1 e cap en
qu mot cua nam 1974; cac qu khac c bieu dien tng t):

D
1
=

D
2
=

Xin lu y rang oi vi tat ca cac thi oan t 1979.1, ca D
1
va D
2
eu bang 1. e
kiem nh xem cac cau truc cho ba thi oan (t trc en 1974.1, 1974.1 en 1978.4,
va t 1979.1 tr ve sau) eu khac nhau, ac trng mau phai c gia s nh sau:

=
0
+
1
D
1
+
2
D
2
=
0
+
1
D
1
+
2
D
2
=
0
+
1
D
1
+
2
D
2

1 oi vi thi oan 1974.1 tr ve sau
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Phng phap phan tch
Bai oc
(hoac bien gia)


Thay the nhng thong so nay vao phng trnh (7.26), chung ta co c mo hnh khong
gii han

ln C =
0
+
1
D
1
+
2
D
2
+ (
0
+
1
D
1
+
2
D
2
)lnP + (
0
+
1
D
1
+
2
D
2
)lnY +
u
=
0
+
1
D
1
+
2
D
2
+
0
lnP +
1
(D
1
lnP) + . . . + u

e c lng gia tr nay, trc het chung ta tao nhng bien mi Z
1
= D
1
lnP , Z
2
= D
2

lnP, Z
3
= D
1
lnY, va Z
4
= D
2
lnY. Ke en chung ta hoi qui lnC theo mot hang so, D
1
, D
2
,
lnP, Z
1
, Z
2
, lnY, Z
3
, va Z
4
. Cac mo hnh a c c lng la:

T trc en 1974.1: ln C =
^
0
+
^
0
lnP +
^
0
lnY
1974.1 1978.4 : ln C =
^
0
+
^
1
+ (
^
0
+
^
1
) lnP + (
^
0
+
^
1
) lnY
1979.1 ve sau: ln C =
^
0
+
^
1
+
^
2
+ (
^
0
+
^
1
+
^
2
) lnP
+ (
^
0
+
^
1
+
^
2
) lnY
Bang cach so sanh nhng quan he nay, chung ta co the kiem nh mot loat cac
gia thuyet khac nhau. Chang han nh, gia thuyet rang
1
=
2
=
1
=
2
=
1
=
2
= 0 cho
thay khong co thay oi ve cau truc nao. Mot kiem nh t oi vi
2
se kiem nh xem o
co gian ve gia co khong oi trong thi oan t 1974.1 1978.4 va 1979.1 ve sau. Nhieu
gia thuyet khac con e lai dang bai tap thc hanh.
Phng phap dung bien gia co mot thuan li hn so vi viec chia cat mau; noi
cach khac, chung ta co the kiem nh, neu chung ta mong muon nh vay, ch mot vai he
so hoi qui oi vi thay oi ve cau truc hn la quan he toan bo, nh phng phap c
trnh bay sau nay.
Chung ta thay t trong mo hnh khong gii han oi vi lnC rang neu tung o goc
cung nh tat ca he so o doc c cho phep khac nhau qua cac thi oan, th so lng
cac so hang tng tac, va do o ca so lng cac he so hoi qui e c lng co the ln.
ieu nay se dan en viec mat i mot vai bac t do va mot s giam i sc manh cua cac
kiem nh. V vay mot nha nghien cu thng c khuyen la phai canh giac vi s
phat trien cua cac bien gia ma do o dan en tnh trang khai thac d lieu (data
mining). Mot phng phap hu ch e thiet lap nen mot mo hnh c ban khong co bien
gia va khi o se s dung kiem nh nhan t Lagrange a c mo ta Chng 6 e
kiem nh xem cac bien gia them vao va cac so hang tng tac co nen a vao mo hnh
hay khong.

BAI TOAN THC HANH 7.9
+
Mo ta cach kiem nh gia thuyet cho rang o co gian ve thu nhap khong he thay oi
trong ba thi oan.

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Phng phap phan tch
Bai oc
(hoac bien gia)

Mo ta cach kiem nh gia thuyet cho rang tung o goc la nh nhau oi vi tat ca cac thi
oan.

Gia s bien gia D
3
, c nh ngha ay, c s dung thay cho D
1
:

D
3
=

Lam lai phan tch co trc vi gia s nay. Moi quan he gia cac he so at c theo
cach nay va nhng he so at c trc o la g?

ng Dung: Thay oi Ve Cau Truc Trong Lc Lng Lao ong N
Cac Ty Le Tham D
Trong Phan 4.7, chung ta a s dung DATA 4-5 va a c lng mot mo hnh oi vi ty
le tham gia cua lc lng lao ong n (WLFP). Tap d lieu o c dung cho nam
1990 va cho 50 tieu bang. Trong DATA7-4 chung ta co d lieu cho ca nam 1990 va
1980. D lieu cho nam 1990 b sap at ben di cac d lieu cho nam1980 vi mot cot
mi c them vao, tc la cot D90. ay la mot bien gia co gia tr bang 1 cho nam 1990
bang khong cho nam 1980. Bien nay se kha thu v e kiem tra xem co mot s thay oi
ve cau truc trong moi quan he gia WLFP va cac yeu to quyet nh cua no hay khong.
e co mot thao luan hoan chnh ve cac bien oc lap va cac tac ong ky vong cua chung
len WLFP, hay xem Phan 4.7 trc. Bi v moi quan he toan bo co the a dch chuyen
gia nam 1980 va 1990, chung ta can phai phat ra tat ca nhng so hang tng tac bang
cach nhan D90 vi tng bien oc lap. Nh vay, chung ta se phat c cac bien nh la
D90YF, von la ket qua cua D90 nhan vi YF, va lam tng t oi vi cac bien khac.
Bang 7.6 co mot phan ket qua thu c t may tnh (thu c t Phan Thc hanh tren
may tnh 7.6). Xin lu y rang kiem nh Chow oi vi khong co thay oi ve cau truc b
bac bo ngay nhng mc di 0,01 phan tram. Mo hnh tong quat vi tat ca nhng so
hang tng tac co mot gia tr a hieu chnh cua R
2
la 0,833, ma no cao hn gia tr o
c tng ng (0,746) oi vi mo hnh 1990 trong Phan 4.7. Tuy nhien, chung ta co the
ng rang hau nh co mot lng ang ke tnh a cong tuyen gia cac bien. Do o chung
ta loai bo cac bien co he so khong y ngha, nhng phai bo tng bien mot. Mo hnh c
lng sau cung c cho bi phng trnh sau, vi gia tr p trong ngoac n:

WLFP = 47,637 + 0,00478 YF 0,00405 (D90 x YF) + 0,275 EDUC
(< 0,01) (< 0,01) (< 0,01) (< 0,01)
1,061 UE 0,569 (D90 x UE) 0,207 MR
(< ,01) (0,085) (0,051)
1 oi vi thi oan 1974.1 1978.4
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+ 0,126 (D90 x MR) + 0,282 DR 0,078 URB 0,111 WH
(0,015) (0,038) (< 0,01) (< 0,01)
R
2
= 0,842 d.f. = 89
^
= 2,192
e at c cac moi lien he rieng biet oi vi hai thi oan, tr c het chung ta cho D90
bang khong, nh vay se co c phng trnh oi vi nam 1980 nh sau:

WLFP = 47,637 + 0,00478 YF + 0,275 EDUC 1,061 UE 0,207 MR
+ 0,282 DR 0,078 URB 0,111 WH

Bang 7.6 Ket qua Tng phan oi vi ng dung Thay oi ve cau truc trong Phan
7.6

[au tien hoi qui WLFP theo mot hang so, YF, YM, EDUC, UE, MR, DR, URB, va WH, va
thc hien mot kiem nh Chow oi vi thay oi ve cau truc.]
Kiem nh Chow oi vi gian oan ve cau truc tai iem quan sat th 50:
F(9, 82) = 6,903514 vi gia tr p la 0,000000 (co ngha la rat nho)
[Lu y rang gia thuyet khong ve s khong co thay oi ve cau truc la b bac bo hoan toan. Ke
en, c lng mot mo hnh vi cac bien goc ban au cong vi cac so hang tng tac.]
VARIABLE COEFFICIENT STDERROR T STAT 2 Prob (t > T )

0) const 50.8808 11.6760 4.358 0.000038 ***
10) D90 - 6.3712 14.9234 - 0.427 0.670549
2) YF 0.0045 0.0012 3.757 0.000321 ***
11) D90YF - 0.0035 0.0013 - 2.770 0.006939 ***
3) YM - 0.0000111 0.0005489 - 0.020 0.983935
12) D90YM - 0.0001633 0.0006339 - 0.258 0.797400
4) EDUC 0.2779 0.0674 4.121 0.000090 ***
13) D90EDUC 0.0072 0.1177 0.061 0.951319
5) UE - 1.1191 0.2917 - 3.836 0.000244 ***
14) D90UE - 0.4915 0.4365 - 1.126 0.263485
15) D90MR 0.1461 0.2427 0.602 0.548850
6) MR - 0.2243 0.1636 - 1.371 0.174124
7) DR 0.2268 0.1876 1.209 0.230234
16) D90DR 0.2106 0.3268 0.645 0.521040
8) URB - 0.0691 0.0317 - 2.180 0.032124 **
17) D90URB - 0.0236 0.0469 - 0.503 0.616474
9) WH - 0.1284 0.0351 - 3.654 0.000455 ***
18) D90WH 0.0409 0.0542 0.755 0.452353
Error Sum of Sq (ESS) 416.0265 Std Err of Resid. (sqmahat) 2.2524
Unadjusted R squared 0.862 Adjusted R squared 0.833
F statistic (17, 82) 30.1406 p-value for F ( ) 0.000000

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Phng phap phan tch
Bai oc
(hoac bien gia)

MODEL SELECTION STATISTICS
SGMASQ 5.07349 AIC 5.96303 FPE 5.98672
HQ 7.20924 SCHWARZ 9.53062 SHIBATA 5.65796
GCV 6.18719 RICE 6.50041
[Bay gi bo tng bien mot e thu c mo hnh sau cung vi cac he so co mc y ngha 10%.]

Bang 7.6 (Tiep theo)
VARIABLE COEFFICIENT STDERROR T STAT 2 Prob (t > T )

0) const 47.6366 6.5784 7.241 0.000000 ***
2) YF 0.0048 0.0007339 6.512 0.000000 ***
11) D90YF - 0.0041 0.0006821 - 5.943 0.000000 ***
4) EDUC 0.2751 0.0455 6.045 0.000000 ***
5) UE - 1.0614 0.2456 - 4.322 0.000040 ***
14) D90UE - 0.5694 0.3272 - 1.740 0.085324 *
6) MR - 0.2073 0.1049 - 1.976 0.051227 *
15) D90MR 0.1264 0.0510 2.479 0.015066 **
7) DR 0.2816 0.1337 2.106 0.037986 **
8) URB - 0.0785 0.0206 - 3.805 0.000260 ***
9) WH - 0.1115 0.0242 - 4.599 0.000014 ***
Mean of dep. var 53.869 S. D. of dep. variable 5.519
Error Sum of Sq (ESS) 427.5756 Std Err of Resid. (sqmahat) 2.1919
Unadjusted R squared 0.858 Adjusted R squared 0.842
F statistic (10, 89) 53.8705 p -value for F ( ) 0.000000
Durbin Watson stat. 1.983 First-order autocorr. coeff 0.007

MODEL SELECTION STATISTICS
SGMASQ 4.80422 AIC 5.32792 FPE 5.33268
HQ 5.98311 SCHWARZ 7.09599 SHIBATA 5.21642
GCV 5.398 RICE 5.48174

Moi quan he oi vi nam 1990 thu c bang cach cho D90 bang 1 va ket hp cac so
hang cho cac bien giong nhau. Chang han nh, neu D90 = 1, so hang cho bien YF can
c ket hp vi so hang cho D90 x YF. Do o, moi quan he c c lng oi vi
nam1990 la

WLFP = 47,637 + 0,00073 YF + 0,275 EDUC 1,630 UE 0,081 MR
+ 0,282 DR 0,078 URB 0,111 WH

Mo hnh sau cung giai thch c 84,2 phan tram cua s bien oi trong WLFP, ieu nay
tng xng vi d lieu cheo. Cac tac ong cua bien EDUC, DR, URB, va WH a mang
cac dau nh ky vong va giong nhau oi vi nam 1980 va 1990. Tac ong can bien cua ty
le ket hon (MR) co gia tr vao nam 1990 nho hn nam 1980. Mot s gia tang 1 phan
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tram MR lam giam WLFP, trung bnh khoang 0,207 phan tram vao nam 1980 nhng
ch giam 0,081 phan tram vao nam 1990. ieu nay cho thay rang, so vi nam 1980, co
nhieu phu n sau khi ket hon trong lc lng lao ong hn. Tac ong cua ty le that
nghiep cung khac nhau ang ke gia hai cuoc ieu tra dan so nay. Vao nam 1980, tac
ong can bien cua UE la 1,061, trong khi vao nam 1990 tac ong o la 1,630. V vay,
gia thuyet ngi cong nhan chan nan oi vi nam 1990 manh hn oi vi nam 1980. S
khac nhau trong tac ong cua thu nhap cua phu n (YF) cung co y ngha 0,00478 vao
nam 1980 so vi 0,00073 vao nam 1990 mot s sut giam manh ve gia tr, ma nguyen
nhan cua viec nay khong c ro rang. Mot cach giai thch co the co la do tnh cong
tuyen gan hoan hao gia YF va D90YF, ma no lam cho kho at c cac tac ong rieng
biet.

7.7 V Du Thc Nghiem: S Bai Bo Qui nh Van Tai Mo-To
Blair, Kaserman, va McClave (1986) nghien cu tac ong cua viec bai bo qui nh ve
cau truc gia cua cac dch vu van tai noi bo tieu bang Florida. S bai bo qui nh nay co
hieu lc vao ngay 1 thang bay nam 1980, va d lieu cua cac tac gia tap hp c hn
27.000 quan sat, bao gom 10 hang van tai va xuyen suot bon thi oan, mot thi oan
trc khi bai bo qui nh. Cac tac gia a gia s rang viec cung cap cac dch vu van tai
cho mot nha xuat nhap khau co gian ve gia rat nhieu theo toc o cua th trng. Bien
phu thuoc la ln(PTM), trong o PTM la gia van chuyen hang tren mot tan-dam theo n
v o-la vao nam 1980. Cac bien oc lap nh lng c la: ln(WT), trong o WT la
iem gia cua cac loai trong lng khac nhau; PD la gia dau diesel vao nam 1980 tnh
theo cent tren mot n v gallon; va ln(DIST), trong o DIST la so dam ng van
chuyen. Nghien cu cung bao gom mot vai bien gia: ORIGJ bang 1 khi viec van chuyen
xuat phat t Jacksonville, ORIGM bang 1 neu viec van chuyen xuat phat t Miami,
CLASS
i
(i = 1, 2, 3, 4) bieu th nam loai van chuyen khac nhau, va DEREG bang 1 trong
thi ky hau-bai bo qui nh. Mo hnh c ban c c lng nh sau, vi cac tr thong
ke t trong ngoac n:
Ln(PTM) = 10,1805 + 0,0305 ORIGJ + 0,0254 ORIGM 0,1590 ln(WT)
(327,44) (6,31) (5,28) (- 133,74)
0,6398 ln(DIST) + 0,2800 CLASS1 + 0,5871 CLASS2
(- 196,00) (16,21) (97,22)
+ 0,9086 CLASS3 + 1,0923 CLASS4 + 0,0030 PD 0,1581 DEREG
(150,45) (175,82) (10,42) (- 35,08)
R
2
= 0,79
He so hoi qui cua moi quan tam c ban la he so cho DEREG. He so nay va am
va co y ngha mc y ngha 1 phan tram, cho thay rang gia thuyet viec bai bo qui nh
tao ra mot s giam ang ke oi vi cac ty le van tai la ang thuyet phuc. Nhng ieu
kien khac bang nhau, viec bai bo qui nh van tai noi bo tieu bang Florida cho ra mot
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

s giam ty le trung bnh gan 16 phan tram. Cac bien con lai cung co y ngha ve mat
thong ke mc 1 phan tram va co ung dau cho cac he so.
Cac tac gia cung a kiem nh s tng tac gia cac bien gia va mot so bien nh
lng, cung nh gia cac bien gia vi nhau, nhng vi ket qua hon hp. Co the oc
them chi tiet trong bai bao cua cac tac gia nay.

7.8 ng Dung: Nhu Cau oi Vi Mot Loai Chat Chong Tham (Sealant) S Dung
Trong Xay Dng
Mot cong ty cu the lam mot hp chat chong tham c s dung trong cong viec o be
tong xay dng va lam ng. Cong ty tin rang mot oi thu canh tranh a tung ra tin on
ve chat lng cua san pham cua cong ty, gay ra mot khoang mat mat ve doanh thu va
li nhuan trong suot thi oan t thang bay nam 1986 en thang mi nam 1988. Cong
ty a phat n kien oi thu canh tranh va oi en bu thiet hai. Mot nhan chng chuyen
mon lam ai dien cho pha cong ty vi mot thai o hai hc goi cong ty la cong ty
Cement Overcome (COI), va ban than ong ta Rodney Random, nham e bao ve s can
mat cua cac chi tiet cua phien toa.
Hnh 7.5 la mot o th bieu dien so lng (theo n v gallon) cua chat chong
tham a c ban bi COI moi thang t thang gieng nam 1983 en thang nam nam
1990. Ba dang ang quan tam xuat hien tren o th. Dang th nhat, co tnh chat mua vu
trong so lng, va co the ky vong rang doanh so thang gieng thap mot cach ac trng va
doanh so trong suot giai oan thang tam-thang chn nhn chung la cao. th hai, doanh so
trung bnh the hien s giam sut trong thi oan thiet hai (Thang bay nam 1986
thang mi nam 1988) va con giam hn na trong thi oan hau thiet hai. Cuoi cung,
chieu cao cua thi cao iem doanh so he a giam xuong mot cach e u an t thi oan
nay sang thi oan khac. Nh vay, dng nh co mot bieu hien ban au ho tr oi vi
luan iem cho rang doanh so ban thap hn trong suot thi oan b thiet hai. Thc ra,
nhng thiet hai van co the tiep dien sau thi oan kien tung.
Rodney Random co d lieu ve mot so bien co anh hng en cac chuyen van
chuyen hau nh hang thang. DATA 7-5 (xem Phu luc D) cung cap d lieu hang thang
cua cac bien sau ay cho thi oan t thang gieng nam 1983 en thang nam nam 1990:

Q = So chuyen van chuyen hp chat chong tham s dung trong xay dng, theo n
v gallon/thang
P = Gia ban moi gallon, theo n v o-la
HS = Cac a iem xuat phat, theo n v ngan a iem
SHC = Ch so danh muc cua cong trnh xay dng ng pho va ng cao toc
OC = Ch so chung cua cong trnh xay dng t nhan va cong cong
L = 1 cho thi oan t thang bay nam 1986 en thang mi nam 1988, khi cong ty
chu s thiet hai
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

PL = 1 cho thi oan t thang mi mot nam 1988 tr ve sau, thi oan hau thiet
hai.

Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

Hnh 7.5 Cac chuyen van chuyen hp chat chong tham (gallon/thang)

Random a lam mot phan tch rat ky lng oi vi tap d lieu, gom viec thc
hien nhieu thu tuc kiem nh a c mo ta Chng 8, 9, va 10. ay chung ta trnh
bay mot phan phan tch a co sa oi e minh hoa cho s hu ch cua cac bien gia.
iem khi au la mo hnh c ban:

(A) Q =
1
+
2
P +
3
HS +
4
SHC +
5
OC +
6
L +
7
PL + u

Can chu y rang so hang L va PL la nhng bien gia lam dch chuyen tung o goc. Thi
oan au tien la s kiem soat, va
6
va
7
o lng o lech cua so hang khong oi t
thi oan c ban (chu y la L ch c xac nh bang 1 cho thi oan thiet hai). Cac c
lng OLS cua he so c cho tiep theo cung vi gia tr p trong ngoac n (Phan Thc
hanh tren May tnh 7.7 co tat ca chi tiet cho viec s dung chng trnh GRETL e cho ra
ket qua nh trong phan nay).

Q
^
= 2065 301,670P + 14,423HS + 0,629SHC
(0,27) (0,003) (0,047) (0,124)
+ 33,677OC 1.075,203L 733,934PL
(0,010) (0,023) (0,223)
R
2
= 0,354 d.f. = 82
^
= 1,258

So lng
Thi
oan thiet
hai
Nam
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

Cac dau cua cac he so hoi qui cho L va PL la am, cho thay rang, tnh trung bnh,
doanh so trong hai thi oan sau thap hn doanh so trong thi oan au, ngay ca sau khi
co chnh sa oi vi cac tac ong cua cac bien giai thch khac nh cac a iem xuat
phat, cong trnh ng cao toc cua bang, va cong trnh xay dng noi chung. Tuy nhien,
gia tr p oi vi he so cua PL la 0,223 cao len mot cach khong chap nhan c. Lu y
rang gia tr p oi vi he so cua L ch la 0,023, cho thay cac doanh so trung bnh thap hn
mot cach ang ke trong giai oan thiet hai khi so sanh vi thi oan au. Tuy nhien,
mo hnh ch giai thch c co 35,4 phan tram cua nhng bien ong trong cac chuyen
van chuyen hang thang va co the s dung mot cai tien nao o trong ac trng.
Hnh 7.5 co iem can lu y rang co mot dang theo mua trong d lieu cua cac
chuyen hang. ieu nay gi y cho viec phoi hp cac bien gia e gi lai cac tac ong theo
mua. Theo o, 11 bien gia a c nh ngha, tng bien mot tng ng cho cac thang t
thang hai en thang mi hai (thang gieng c bo qua e tranh bay bien gia). Cac
bien nay sau o c them vao Mo hnh A, va mot mo hnh mi (B) a c c lng.
Do qua nhieu cac so hang hien dien, ket qua khong c trnh bay ay, nhng no van
co the thu c bang cach s dung Phan Thc hanh tren May tnh 7.7. Ngi a thay
rang he so oi vi L van con am mot cach ang ke, nhng he so oi vi PL, mac du van
con am, ch am mot cach ang ke mc y ngha 48 phan tram. Tuy nhien, nhieu bien
gia ay tham ch cang khong co y ngha hn. Chung ta co the bo qua nhng bien nay
va tai c lng mo hnh e xem y ngha cua cac bien con lai co cai thien hay khong.
Thay v lam nh vay, chung ta a ap dung mot phng phap ma no neu ngay c van
e thiet hai.
Phan tch ban au cho thay rang co the a co mot thiet hai co y ngha trong
doanh so trong suot thi oan th hai, va co le ngay ca trong suot thi oan trc o.
Phng cach hp ly e at c mot o o cho vie c thiet hai co the co ve doanh so ban
la loai bo d lieu cua cac thi oan thiet hai va hau thiet hai. Viec tnh luon chung vao
se gay anh hng en cac c lng, v the, ieu nay chnh la cau hoi ma chung ta ang
co gang tra li. Thu tuc nay a chap nhan cac c lng ma mo hnh a s dung 42 quan
sat oi vi thi oan 1983.01 1986.06. Khi o chung ta co the phat ra cac d bao cho
cac thi oan thiet hai va hau thiet hai va so sanh chung vi nhng gia tr thc te a
biet. Neu cac chuyen van chuyen a c d oan nhieu hn so chuyen thc te mot
cach co he thong, th co mot bang chng manh me ve mot thay oi trong cau truc va
nhng thiet hai co y ngha.
Thu tuc ma chung ta va mo ta a c ap dung vao d lieu cua thi oan au,
va mot mo hnh th ba (C) a c c lng bang cach s dung cac bien giai thch vi
so hang khong oi, P, HS, SHC, OC, va 11 bien gia hang thang, nhng khong ke en
bien L va PL, ca hai eu bang khong oi vi thi oan au. Nh trc kia, cac he so ho i
qui oi vi phan nhieu cac bien gia khong co y ngha, cung nh cho cac a iem xuat
phat (HS). Nham e cai thien tnh chnh xac cua cac he so con lai, cac bien nay a c
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

loai bo va mo hnh c tai thiet ke. Cac c lng cho mo hnh sau cung (D) c
a ra ay, vi cac gia tr p trong ngoac n:
Q
^
= 1,915 1,157 dummy6 499,986 + 1,896 SHC + 51,928 OC
(0,34) (0,096) (0,002) (0,0004) (0,0006)
R
2
= 0,513 d.f. = 37
^
= 1,202
He so cho bien gia thang sau co y ngha mc 9,6 phan tram, nhng tat ca
nhng he so khac (khong ke so hang khong oi) co y ngha mc di 1 phan tram. Gia
tr R
2
hieu chnh tang len mot cach ang ke t gia tr 0,354, nhng ngay ca mo hnh mi
hn cung ch giai thch c mot na s bien ong trong cac chuyen hang. ieu nay co
the bi v d lieu hang thang thng hay thay oi (ngha la thay oi mot lng hang ln)
va kho cho viec mo hnh.
Mo hnh D a c s dung tiep theo e d bao cac chuyen hang cho thi oan
1986.07 1988.10 va 1988.11 1990.05. Hnh 7.6 cho tha y o th cua cac chuyen van
chuyen thc te va d bao oi vi ca 89 thang. (Phan Thc hanh tren May tnh 7.7 tnh
toan nhng gia tr bang so.) Xin lu y rang trong suot thi oan au trc khi d luan
vien chng ve COI, mo hnh bam sat theo cac gia tr thc te, ngoai tr oi vi mot so t
cac gia tr cc oan. ieu nay khong gay ngac nhien lam v OLS cho gia tr tong sai so
cua cac bnh phng thap nhat va co nhng sai so ma trung bnh tien ti khong. Tuy
nhien, ngc lai, cac d bao cho thi oan thiet hai lai cao hn cac gia tr thc te mot
cach co he thong. oi vi thi oan hau thiet hai, s khac biet c phat bieu nhieu
hn. ay la bang chng manh me nhat rang cau truc a thay oi that s en s ton that
cua doanh so va li nhuan cua COI. Thc te la nhng thiet hai con tiep tuc dien ra trong
suot thi ky hau thiet hai. Cac ai lng o lng cua thiet hai rong trong doanh so va
thu nhap a at nh sau (dau e cap en tong rong cua cac thiet hai):
Doanh so ban = (Q
^
t
Q
t
) = 54.209 + 38.467 = 92.676
Tong thu nhap = P
t
(Q
^
t
Q
t
) = 481.575 + 335.597 = 817.172
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)


Hnh 7.6 So chuyen van chuyen hp chat chong tham theo d bao va tren thc te
(So lieu thc te la ng net lien con so d bao la ng net t)

Rodney Random a nop cac c lng ve thiet hai cua mnh (khac vi nhng so
lieu ch c cung cap mot phan bi v vu kien tung ch c e cap en thi oan
gia ma thoi) trong mot bao cao chi tiet. Khi vu viec c a ra xet x, ben b n a
b ap ao bi nhng phan tch manh me cua Rodney ma tat ca nhng ton that oi v i
COI a c x ly ben ngoai toa an va ong khong bao gi co mot c hoi e kiem chng.
ieu nay a lam cho Rodney that vong tran tre bi v ong se phai tra 250 o-la mot gi
cho bang chng cua ong ta.
V du nay minh hoa cho cach thc ma cac bien gia co the hu dung trong viec
lap mo hnh phu hp cho hanh vi thc te.

7.9 D An Thc Nghiem
Neu mot d an thc nghiem la mot yeu cau trong chng trnh hoc cua cac ban, ban se
phai tuan theo nhng ch dan trong Phan 4.9, tm hieu tong quan ve c s ly thuyet co
lien quan va thu thap d lieu thch hp. Bay gi khi ban a hoc c lam cach nao ma
cac bien phi tuyen tnh va nh tnh co the c x ly trong mot boi canh hoi qui, hay
chac chan e xac nh cac bien gia phu hp cung nh cac thanh phan phi tuyen, neu
can. Ke en ban hay tao mot tap tin d lieu va nhap tat ca nhng d lieu vao may tnh,
theo cac bien hay theo cac quan sat. Sau o thiet lap mo hnh (xem Phan 14.3), phat ra
cac bien mi co lien quan (Phan 14.4), va tien hanh phan tch d lieu s bo (Phan 14.5)
Thi
oan thiet
hai
So lng
Nam
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)

e bao am rang cac d lieu a c nhap mot cach chnh xac va cac bien giai thch
thay oi qua cac quan sat (nh a trnh bay bang he so cua ai lng bien oi). Ban
tham ch co the th c lng mot mo hnh ban au trc.
Cac ket qua c lng ban au thng gay that vong v cac he so hoi qui co the
khong co y ngha hoac cac dau cua chung co the khong nh ky vong (c e cap pho
bien nh la cac dau sai). Viec kiem nh chan oan tiep theo chac chan se la can thiet,
nhng chung ta van cha phat bieu c nhng van e ac biet nhat nh ma co the thu
c nhng dang kiem nh mi cung nh cac thu tuc c lng. Do o phan tch thc
nghiem se ch hoan tat c mot phan trong giai oan nay. Ban ch nen tiep tuc viec
phan tch sau khi oc cac chng tiep theo.

Tom tat
Trong chng nay chung ta a xem xet cach thc ma cac bien oc lap nh tnh nh bien ve gii
tnh, trnh o hoc van hoac nghe nghiep, mua vu, cong cong hay t nhan, v.v co the c x ly
nh the nao trong mot cong thc kinh te lng. Phng phap nay rat de tiep can. au tien chu ng
ta chon mot trong cac la chon cua bien nh tnh xem nh la bien kiem soat (chon la nay tuy
y). Sau o chung ta xac nh cac bien gia (la nhng bien ch co gia tr 1 hoac 0) oi vi moi l a
chon khac, so lng cac bien gia t hn mot bien so vi so la chon (e tranh tnh chat cong
tuyen hoan toan gia cac bien gia). Trong mot mo hnh co dang Y = + X + u, neu so hang
khong oi ( ) thay oi tng ng vi cac la chon khac nhau, th chung ta gia s nh sau:

=
0
+
1
D
1
+
2
D
2
+ . . . +
m-1
D
m-1

trong o m la so cac la chon oi vi cac bien gia, va D
1
, D
2
, . . . , D
m-1
la cac bien gia. D
1
se
co gia tr bang 1 oi vi cac quan sat tuy thuoc vao la chon 1 va 0 oi vi tat ca cac quan sat
khac. Cac bien D khac c nh ngha tng t. e dch chuyen o doc ( ) oi vi cac loai
bien khac nhau, chung ta gia s rang

=
0
+
1
D
1
+
2
D
2
+ . . . +
m-1
D
m-1

e c lng cac he so va , chung ta phat ra cac bien tng tac Z
1
= D
1
X, Z
2
= D
2

X, . . . , Z
m-1
= D
m-1
X, trong o X la mot bien oc lap nh lng. Sau o chung ta hoi qui ham Y
theo mot so hang khong oi, D
1
, D
2
, . . . , D
m-1
, X, Z
1
, Z
2
, . . . , Z
m-1
. Cac he so cua cac bien D la
cac
^
va cac he so cua cac bien Z la cac
^
. Xin lu y rang so lng cac he so c c lng la
2m va do o cac bac t do la n 2m. ieu nay co ngha la tr phi so lng quan sat toi thieu
bang 2m, mo hnh vi cac so hang tng tac ay u khong the c lng c. Neu so lng cac
la chon ln, bien gia va cac so hang tng tac co the tang len nhanh chong. Van e cang tr
nen rac roi hn neu co nhieu bien nh lng hn trong mo hnh ma cac he so cua chung e u
phai dch chuyen. Mot phng phap hu dung la thiet lap mot mo hnh c ban va sau o tien
hanh kiem nh LM oi vi cac o dch chuyen tung o goc va o doc. Hoac bang cach khac,
chung ta co the s dung viec giam bt da tren c s d lieu Henry/LSE t mot mo hnh tong
quat.
Nien khoa 2003-2004
Phng phap phan tch
Bai oc
(hoac bien gia)


Thuat ng
Analysis of covariance model
Analysis of variance (ANOVA) model
Binary variables
Chow test
Control group
Dummy variables
Dummy variables trap
Qualitative variables
Quantitative variables
Seasonal dummies
Structural break
Structural change
Structural instability
Mo hnh phan tch ong phng sai
Mo hnh phan tch phng sai
Bien nh nguyen
Kiem nh Chow
Nhom kiem soat
Cac bien gia
Bay bien gia
Cac bien nh tnh
Cac bien nh lng
Cac bien gia theo mua
Gian oan ve cau truc
Thay oi ve cau truc
Bat on nh ve cau truc

Kinh tế lượng - c7

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Kinh tế lượng - c7

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Chng trnh Giang day Kinh te Fulbright

Nien khoa 2003-2004

o la. Nam nhan vien vi them mot nam kinh nghiem se ky

o la mot thang. Do vay,

la phan tram thay oi gan ung cua Y oi vi s thay oi mot n

= 0,02960 va EDUC = 4 va 8 (trung hoc va ai hoc), nhng tac ong

khac mua la Neu

khac mua la Neu

khac mua la Neu

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