Kinh tế lượng - c8

Chng trnh Giang day Kinh te Fulbright
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Nhap mon kinh te lng vi cac ng dung
Chng 8: Phng sai cua sai so thay oi

Ramu Ramanathan Thuc oan/Hao Thi 1

CHNG 8

Phng Sai Cua Sai So Thay oi

Trong viec tnh toan cac gia tr c lng bnh phng toi thieu thong thng (OLS) cung
nh cac gia tr c lng thch hp cc ai (MLE), chung ta a thiet lap gia thuyet cho
rang cac so hang sai so u
i
co phan phoi giong nhau vi tr trung bnh bang khong va
phng sai
2
nh nhau (Xem Gia Thuyet 3.5 cua Chng 3 a phat bieu rang Var(u
i
|x
t
=
2
cho tat ca cac t). Gia thuyet phng sai bang nhau c hieu la phng sai cua sai so
khong oi (co ngha la phan tan nh nhau). Phng sai
2
la mot ai lng o lng mc
o phan tan cua cac so hang sai so t, xung quanh gia tr trung bnh zero. Mot cach tng
ng, o la mot ai lng o lng mc o phan tan cua gia tr bien phu thuoc quan sat
c (Y) xung quanh ng hoi qui
1
+
2
X
2
+ +
k
X
k
. Phng sai cua sai so khong oi
co ngha la mc o phan tan nh nhau cho tat ca cac quan sat.
Tuy nhien, trong nhieu trng hp thong thng co lien quan en nhng d lieu
cheo, gia thuyet nay co the sai. V du, gia s nh chung ta tien hanh ieu tra mot mau
ngau nhien cac ho gia nh va thu c thong tin ve tong chi ph tieu dung cua tng ho
gia nh va thu nhap cua ho trong mot nam cho trc. Nhng ho gia nh vi mc thu
nhap thap khong co nhieu linh ong trong chi tieu. Phan ln thu nhap se tap trung vao
cac nhu cau can ban chang han nh thc an, cho , quan ao, va i lai. Do vay, mau hnh
chi tieu gia nhng ho gia nh co thu nhap thap nh the se khong khac nhau nhieu lam.
Mat khac, nhng gia nh giau co co s linh ong rat ln trong chi tieu. Mot vai gia nh
la nhng ngi tieu dung ln; nhng ngi khac co the la nhng ngi tiet kiem nhieu va
au t nhieu vao bat ong san, th trng chng khoan, . ieu nay ham y rang tieu dung
thc co the khac nhieu so vi mc thu nhap trung bnh. Hay noi cach khac, rat co kha
nang nhng ho gia nh co thu nhap cao co mc o phan tan xung quanh gia tr tieu dung
trung bnh ln hn nhng ho gia nh co thu nhap thap. Trong trng hp nh the, bieu
o phan tan gia tieu dung va thu nhap se ch ra nhng ie m cua mau gan vi ng hoi
qui hn cho nhng ho gia nh thu nhap thap nhng nhng iem phan tan rong hn cho
nhng ho gia nh thu nhap cao (xem Hnh 8.1). Hien tng nh vay c goi la phng
sai cua sai so thay oi (co ngha la phan tan khong nh nhau). Hnh 3.A.2 trong Phu luc
Chng 3 co mot o th ve phng sai cua sai so thay oi trong tong the.
V du th hai xet en mot mau ngau nhien cua nhng thanh pho ma chung ta se lien
he mc o toi pham thng gap cua nhng thanh pho o vi so lng nguon lc san co
cua tng thanh pho trong viec chong toi pham. Chung ta co the ky vong rang s phan tan
cua nhng iem quan sat c co the phan tan rong hn oi vi nhng thanh pho ln hn
khi so sanh vi nhng thanh pho nho hn. ay mot lan na gia thuyet ve phng sai
cua sai so khong oi co the b vi pham.
Phng sai cua sai so thay oi cung xuat hien khi s dung d lieu nhom thay v s
dung d lieu ca nhan. V du, chung ta co the khong co d lieu cua tng cong ty nhng
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thay vao o chung ta co the s dung d lieu trung bnh cua nganh. Trong trng hp nay,
mo hnh co the la
t
Y = +
t
X +
t
u , vi nhng thanh ngang bieu th gia tr trung bnh
cho nganh cong nghiep th t. Phng sai cua so hang sai so gi ay se la Var(
t
u ) =
2
/n
t
, vi n
t
la so lng cong ty trong nganh cong nghiep th t. Bi v so lng cong ty co
the khac nhau, nen phng sai cua cac so hang sai so cung se khac nhau, do o dan e n
hien tng phng sai cua sai so thay oi.

Hnh 8.1 Mot V Du Ve Phng Sai Cua Sai So Thay oi

Trong chng nay, chung ta ni long gia thuyet phng sai cua sai so co gia tr
khong oi va gia thuyet co phng sai cua sai so thay oi. Chnh thc hn, chung ta hieu
chnh Gia Thuyet 3.5 nh sau:

GIA THUYET 3.5a

u
t
la mot bien ngau nhien vi E(u
t
|X
t
) = 0 va Var(u
t
| X
t
) = E(
2
t
u | X
t
) =
2
t
, vi t = 1, 2, ,
n.

Do o, moi quan sat co mot phng sai sai so khac nhau. Tat ca cac gia thuyet khac
ve so hang nhieu nga u nhien van c gi lai. Hnh 3.A.2 minh hoa mot bieu dien ba
chieu ve phng sai cua sai so thay oi va Hnh 3.A.1 cung minh hoa bieu dien ba chieu
ve phng sai cua sai so khong oi.

Thu nhap
Tieu dung
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Phng sai cua sai so thay oi cung co the xuat hien trong d lieu chuoi thi gian.
Van e nay se c thao luan trong chng ke tiep.

V DU 8.1
DATA3-11 cho biet mc lng hang nam va so nam co bang tien s cua 222 giao s t
bay trng ai hoc. Chung ta thay rang mo hnh logart-wage la mo hnh thch hp oi
vi mo hnh tien cong (wages) va tien lng (salaries). o th trong Hnh 8.2 bieu dien
logart cua tien lng oi vi so nam nhan c bang tien s tng ng. Chung ta lu y
o rong xung quanh quan he ng thang trung bnh la khong ong dang, dan en vi
pham gia thuyet thong thng ve phng sai cua sai so khong oi cua cac so hang sai
so. ieu ang chu y ay la phng sai xung quanh quan he trung bnh co ieu kien
mi au tang khi so nam tang nhng sau o giam dan. Khong co g ngac nhien ca, bi v
mc lng hien thi cua cac tien s kha canh tranh tren th trng viec lam va do vay
chung ta khong the mong i nhng chenh lech cao ve mc lng. Tuy nhien, mc
lng cua nhng giao s trong bien che co the khac nhau nhieu phu thuoc vao nang lc
va uy tn cua ho. Sau mot so nam, mc lng tang theo chieu hng on nh va do o
phng sai co kha nang giam bt. Chung ta se i sau vao v du nay mot cach chi tiet hn
trong Phan 8.2 ve viec kiem nh phng sai cua sai so thay oi.

Hnh 8.2 Phng Sai Cua Sai So Thay oi Trong Logart-Salary

Gia s chung ta bo qua phng sai cua sai so thay oi va s dung thu tuc OLS e
c lng cac tham so. Tnh chat cua chung la g? Chung co b thien lech, khong hieu
qua hay khong nhat quan khong? Nhng kiem nh thong ke co tiep tuc con hieu lc hay
khong? Co mot thu tuc nao o ma co lu y mot cach ro rang en phng sai cua sai so

Logart cua tien lng
So nam co bang Tien S
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thay oi va cho ra nhng gia tr c lng tot hn? Nhng van e nay lan lt se c e
cap ngay sau ay.

8.1 Cac Ket Qua Cua Viec Bo Qua Phng Sai Cua Sai So Thay oi

au tien chung ta nghien cu en nhng quan he cua viec s dung thu tuc OLS e c
lng cac he so hoi qui khi co s hien dien phng sai cua sai so thay oi. Mo hnh la

Y
t
=
1
+
2
X
t2
+ +
k
X
tk
+ u
t

vi Var (u
t
|x
t
) =
2
t
va t = 1, 2, , n. Thay oi duy nhat la cac phng sai cua sai so se
khac nhau oi vi nhng gia tr t khac nhau va nhng gia tr nay cha biet.

Tac ong Len Tnh Chat Cua Cac c Lng

Nhng chng minh cua Tnh Chat 3.1 va 3.2 (phat bieu rang cac c lng OLS la
khong thien lech va nhat quan) ch phu thuoc vao Gia Thuyet 3.3 va 3.4 (ma u
t
co gia tr
trung bnh bang khong va khong tng quan vi X
t
) va khong phu thuoc vao Gia Thuyet
3.5 hay 3.5a. Do vay, cac tnh chat cua s khong thien lech va s nhat quan khong b vi
pham do viec bo qua hien tng phng sai cua sai so thay oi va s dung OLS e c
lng va . Tuy nhien, trong khi chng minh nh ly Gauss-Markov, chung ta a s
dung gia thuyet cho rang Var (u
t
|x
t
) =
2
nham lam cc tieu phng sai cua mot ket hp
tuyen tnh gia cac gia tr Y. Bi v gia thuyet o khong con ung na, nen khong the
khang nh rang c lng OLS hieu qua hn. ieu nay co ngha la c lng OLS hien
gi la khong hieu qua. Co the tm mot c lng tuyen tnh khong thien lech khac ma
co gia tr phng sai thap hn c lng OLS. Phan phu luc cua chng nay minh hoa
ieu nay oi vi mo hnh hoi qui tuyen tnh n.

Tac ong Len Cac Kiem nh Gia Thuyet

Co the thay rang (xem Phu Luc 8.A) cac phng sai va ong phng sai c lng cua
cac c lng OLS cho cac gia tr
i
la thien lech va khong nhat quan khi phng sai
cua sai so thay oi hien hu nhng b bo qua (xem Kmenta, 1986, tr. 276279). Do o,
cac kiem nh gia thuyet khong con gia tr na.

Tac ong Len Viec D Bao

Chung ta va chng to rang cac c lng OLS van khong thien lech. T o dan en
cac d bao da tren nhng gia tr c lng nay cung se khong thien lech. Nhng v ly
do cac c lng la khong hieu qua, nen cac d bao cung se khong hieu qua. Noi cach
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khac, o tin cay cua nhng d bao nay (o lng bang phng sai cua chung) se kem
hn mot c lng thay the khac co hieu qua hn.
Ket qua nhan c trong phan nay c tom tat trong Tnh Chat 8.1.

Tnh Chat 8.1 Neu ta bo qua phng sai cua sai so thay oi gia nhng so hang nhieu ngau
nhien trong mot mo hnh hoi qui va s dung thu tuc OLS e c lng cac tham
so, th cac tnh chat sau co hieu lc:
a. Cac c lng va d bao da tren cac c lng o van khong thien lech va
nhat quan
b. c lng OLS khong con la BLUE va se khong hieu qua. Cac d bao cung
se khong hieu qua
c. Phng sai va ong phng sai c lng cua cac he so hoi qui se thien lech
va khong nhat quan, va do o cac kiem nh gia thuyet (tc la kiem nh t va
F) khong con hieu lc)

8.2 Kiem nh Phng Sai Cua Sai So Thay oi

Bi v chung ta biet rang phng sai cua sai so thay oi lam mat hieu lc cua cac ket
qua kiem nh, nen ta se mong muon kiem nh mot cach chnh thc viec phng sai
cua sai so thay oi co hie n hu hay khong. Trong phan nay, chung ta gii thieu cac kiem
nh c s dung pho bien nhat oi vi phng sai cua sai so thay oi.
Tuy nhien, trc khi i vao thc hien bat ky kiem nh chnh thc nao, kha la hu
ch khi kiem tra nhng phan d cua mo hnh bang cai nhn be ngoai e co c mot cam
giac t tm xem phng sai cua sai so thay o i co hien hu hay khong. Thc hien viec
nay bang cach bieu dien tren o th bnh phng cua cac phan d co c t viec ap
dung OLS vao mo hnh ang xem xet. S dung bnh phng cac phan d OLS bi v
trong mot mo hnh hoi qui, phan d
t
u
)
la mot gia tr c lng khong thien lech cua so
hang sai so tong the u
t
, ngay ca oi vi s hien dien cua phng sai cua sai so thay oi.
Do o, mot gia tr c lng de nhan thay, mac du khong hoan hao, cua phng sai sai
so
2
t
= E(
2
t
u | x
t
) la
2
t
u . Noi cach khac, cac phan d bnh phng co the c s dung
e c lng
2
t
. Tiep en chung ta the hien chung tren o th theo mot bien ma bien
nay c nghi ng la nguyen nhan gay ra phng sai cua sai so thay oi. Neu mo hnh
co nhieu bien giai thch, ta co the ve
2
t
u theo tng bien nay hoac tot hn la ve chung
theo
t
Y
)
, la gia tr thch hp cua bien phu thuoc s dung gia tr c lng OLS. Tuy
nhien, ta nen thay rang ky thuat o th nay ch co tnh gi y ve phng sai cua sai so
thay oi va khong thay the c kiem nh chnh thc.

V DU 8.2
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S dung bo d lieu DATA3-11 a c e cap trong V Du 8.1, chung ta thu c mo
hnh logart bnh phng sau ay (xem Phan Thc Hanh May Tnh 8.1 e kiem tra lai
ket qua trong phan nay):

ln (SALARY) = 3,809365 + 0,043853 YEARS 6,273475e-04 YEARS
2

(92,15) (9,08) (-5,19)

2
R = 0,532 d.f. = 219

Gia tr trong ngoac n la tr thong ke t, cho thay co y ngha rat cao. So hang bnh
phng cho phep co kha nang xay ra li nhuan bien giam dan theo kinh nghiem. He so
am y ngha manh cua YEARS
2
ung ho gia thuyet nay. oi vi viec kiem tra bang o th
kha nang phng sai cua sai so thay oi, chung ta thu c bnh phng cac phan d
cua phng trnh va bieu dien chung theo kinh nghiem. T Hnh 8.3 cho thay cac phan
d bnh phng co xu hng tang len theo so nam roi sau o giam dan, mot dang mau
hnh a c giai thch trong V Du 8.1. Mac du khong a ra ay (thc hien Phan
Thc Hanh 8.1 cho ieu nay), o th phan d bnh phng theo gia tr d bao cua
ln(SALARY) cho thay mot s tang nhieu hn ro ret cua phng sai. Do o co mot bang
chng co tnh gi y ve phng sai cua sai so thay oi trong mo hnh. Trong phan ke tiep,
se tien hanh mot kiem nh chnh thc oi vi viec nay.

Hnh 8.3 Phng Sai Cua Sai So Thay oi Cua Cac Phan D Trong V Du 8.2

Phan d bnh phng
So nam co bang Tien S
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Kiem nh Nhan T Larrange (LM) oi Vi Phng Sai Cua Sai So Thay oi
Co mot so kiem nh oi v i phng sai cua sai so thay oi va chung khac nhau ve
nguyen tac va nang lc kiem nh. Trong nhng kiem nh o, phng phap kiem nh
LM tr nen pho bien trong nhng nam gan ay. Bi v kiem nh thong ke nay de tnh
toan va no co the bao quat c nhieu phng an. Trong phan nay, chung ta thao luan
kiem nh LM oi vi phng sai cua sai so thay oi theo ba phng an gia thuyet ve
nguyen nhan gay ra phng sai cua sai so thay oi. at mo hnh la

Y
t
=
1
+
2
X
t2
+
3
X
t3
+ +
k
X
tk
+ u
t
(8.1)

vi phng sai sai so la
2
t
= E(
2
t
u | x
t
). Neu chung ta khong ch ro dang cua
t
, th se co
n, va k he so hoi qui e c lng, tc la, n + k tham so e c lng. Ch vi n quan
sat, ay la nhiem vu khong thc hien c. Do o chung ta can thiet phai n gian hoa
nhng gia thuyet ve phng sai sai so. Ba phng an sau ay bao quat hau het cac
trng hp a thao luan trong ly thuyet:

2
t
=
1
+
2
Z
t2
+
3
Z
t3
+ +
p
Z
tp
(8.2a)

t
=
1
+
2
Z
t2
+
3
Z
t3
+ +
p
Z
tp
(8.2b)
ln(
2
t
) =
1
+
2
Z
t2
+
3
Z
t3
+ +
p
Z
tp
(8.2c)

ieu nay tng ng vi

2
t
= exp (
1
+
2
Z
t2
+
3
Z
t3
+ +
p
Z
tp
)

vi exp viet tat cua ham mu, p la so he so cha biet, va cac gia tr Z la cac bien vi
nhng gia tr a biet (mot vai hoac tat ca cac Z co the la cac gia tr X trong mo hnh).
Chung ta tham khao nhng phng trnh nay nh nhng phng trnh phu cho phng
sai cua sai so. Kiem nh Breusch-Pagan (Breusch va Pagan, 1979) s dung bieu thc
(8.2a), Kiem nh Glesjer (Glesjer, 1969) s dung bieu thc (8.2b) va kiem nh
Harvey-Godfrey (Harvey, 1976, va Godfrey, 1978) s dung bieu thc (8.2c). Kiem
nh cuoi cung c goi la phng sai cua sai so thay oi boi bi v phng sai sai so
c xac nh nh tch so cua mot so cac so hang. Kiem nh Park (Park, 1966) la mot
trng hp ac biet cua kiem nh Harvey-Godfrey va khong c e cap en mot cach
rieng re ay. De thay rang gia thuyet khong cua phng sai cua sai so thay oi co p
1 rang buoc va c cho bi
2
=
3
= =
p
= 0. Theo gia thuyet khong phng sai se
khong oi, co ngha la phng sai cua sai so thay oi khong ton tai. Lu y rang trong tat
ca cac bieu thc tren, chung ta gia nh rang cac bien a biet Z chu trach nhiem oi vi
phng sai cua sai so thay oi.
Bi v chung ta khong biet
t
, nen chung ta s dung gia tr c lng co c t
viec ap dung OLS vao Phng Trnh (8.1). Do o, chung ta se s dung
2
t
u cho
2
t
,
t
u
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(gia tr tuyet oi cua u
t
) cho
t
va ln(
2
t
u ) cho ln(
2
t
). Cac bc tien hanh kiem nh LM
nh sau:
Bc 1 Hoi qui Y theo mot so hang khong oi, X
2
, X
3
, , va X
k
, va nhan c gia tr
c lng OLS cua cac he so .
Bc 2 Tnh toan phan d
t
u = Y
t
-
1
-
2
X
t2
-
3
X
t3
- -
k
X
tk
.
Bc 3a Bnh phng cac phan d va hoi qui
2
t
u theo mot so hang khong oi, Z
t2
,
Z
t3
,, va Z
tp
, va nhan c gia tr c lng OLS cho cac he so . ay chnh
la hoi qui phu tng ng vi Phng Trnh (8.2a).
Bc 3b Tnh toan gia tr tuyet oi va hoi qui
t
u theo mot so hang khong oi, Z
t2
,
Z
t3
,, va Z
tp
, va nhan c gia tr c lng OLS cho cac he so . ay chnh
la hoi qui phu tng ng vi Phng Trnh (8.2b).
Bc 3c Lay logart cua bnh phng cac phan d va hoi qui ln(
2
t
u ) theo mot so hang
khong oi, Z
t2
, Z
t3
,, va Z
tp
, va nhan c gia tr c lng OLS cho cac he so
. ay chnh la hoi qui phu tng ng vi Phng Trnh (8.2c).
Bc 4 Tnh toan kiem nh thong ke LM = nR
2
, vi n la so quan sat c s dung
trong viec c lng hoi qui phu va R
2
la R
2
cha hieu chnh t hoi qui nay.
Bc 5 Tnh gia tr p = Prob(
2
1 p
>LM), o la phan dien tch pha ben phai cua LM
trong phan phoi Chi bnh phng vi bac t do df la p 1.
Bc 6 Bac bo H
0
:
i
= 0 vi (i = 2, 3, , p) va ket luan rang phng sai cua sai so
thay oi co y ngha neu gia tr p nho hn mc y ngha. Hoac la, tra bang Chi
bnh phng oi vi bac t do df la p -1 cho gia tr ti han
2
1 p
(), vi la
mc y ngha. Bac bo H
0
neu LM >
2
1 p
(). Neu khong bac bo kiem nh, th
khong co bat ky bang chng nao ung ho phng sai cua sai so thay oi.
Trong trng hp nay, OLS la thu tuc c lng c chap nhan.

Tr thong ke nR
2
c e cap en ay khong phai la tr thong ke kiem nh c
a ra bi nhng tac gia au tien cua nhng kiem nh nay. V du, kiem nh Glesjer
khong phai la mot kiem nh Wald. Harvey a ra mot kiem nh t le thch hp (xem
Phu Luc Chng 6 ve kiem nh t le thch hp). Cac kiem nh Breusch-Pagan va kiem
nh Godfrey kien ngh mot na tong bnh phng hoi qui (nh ngha trong Chng 3)
ve hoi qui phu la mot kiem nh thong ke, ma no co phan phoi giong nh
2
1 p
. Nh
Engle (1984) a ch ra, bi v tat ca cac kie m nh nay la nhng kiem nh mau ln, cho
nen tat ca kiem nh e xuat bi nhieu tac gia khac nhau eu tng ng ve mat thao
tac vi kiem nh nhan t Lagrange va c e cap tren. Bi v phan phoi chnh xac
cua nhng kiem nh thong ke nay cha c biet (ac biet la vi c mau nho), do vay
chung khac nhau ve nang lc cua kiem nh. Kiem nh biet ro nguyen nhan gay nen
phng sai cua sai so thay oi cang chnh xac, th nang lc cua kiem nh o cang cao.
Do kiem nh LM gan tng ng vi nhng kiem nh khac (tc la, danh cho nhng
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c mau ln), tr thong ke nR
2
la thch hp nhat va no la kiem nh e ngh c s dung.
Ngi oc vi nhng kien thc ve ai so ma tran c khuyen khch nghien cu chi tiet
hn nhng van e ve kiem nh va c lng oi vi s hien dien cua phng sai cua
sai so thay oi trong nhng bai bao au tien cua cac tac gia a trch dan trong bai. Cung
nen tham khao Chng 12 quyen sach cua Green (2000) co mot tom tat xuat sac ve
nhng van e nay.

V DU 8.3
Trong V Du 8.1, chung ta a s dung mo hnh bnh phng-logart ve lng cua nhng
giao s vi d lieu lay t DATA3-11 va minh hoa bang o th s hien dien cua phng
sai cua sai so thay oi, vi cac phng sai sai so luc au tang theo so nam t khi ho lay
c bang Tien s va sau o giam dan. ieu nay gi y nhng mo hnh bnh phng cho
cau truc sai so sau ay:

(a) Breusch-Pagan:
2
t
=
1
+
2
YEARS
t
+
3
2
YEARS
t

(b) Glesjer:
t
=
1
+
2
YEARS
t
+
3
2
YEARS
t

(c) Harvey-Godfrey: ln(
2
t
) =
1
+
2
YEARS
t
+
3
2
YEARS
t

Gia thuyet khong ve phng sai cua sai so thay oi tng ng vi H
0
:
2
=
3
= 0. T
Phan Thc Hanh May Tnh 8.2 va Bang 8.1, chung ta thay rang cac tr thong ke kiem
nh LM tng ng la 16,587, 28,923, va 35,303. T bang chi-bnh phng, gia tr ti
han vi bac t do df la 2 va mc y ngha 0,001 la 13,816. Tat ca tr thong ke cua kiem
nh LM eu ln hn gia tr nay, va do vay chung ta bac bo gia thuyet khong cho tat ca
cac trng hp va ket luan rang co phng sai cua sai so thay oi. Nh Bang 8.1 cho
biet, dau cua gia tr
2
c lng la dau dng va dau cua gia tr
3
c lng la dau am
trong ca ba kiem nh, khang nh rang mau hnh o th cua viec au tien phng sai
tang dan va sau o giam dan.

Kiem nh Goldfeld-Quandt
Goldfeld va Quandt (1965) a ra mot kiem nh khac da tren khai niem cho rang neu
phng sai cua sai so la nh nhau cho tat ca cac quan sat (tc la, neu chung co tnh chat
phng sai cua sai so khong oi), th phng sai cho mot phan cua mau cung se tng t
nh phng sai cho mot phan khac cung cua mau o. Do vay ta co the kiem nh s
bang nhau gia nhng phng sai cua sai so bang viec s dung mot kiem nh F. Kiem
nh tr thanh mot t so cua hai phng sai mau. Chia mau cua nhng quan sat thanh ba
phan, va loai bo nhng quan sat gia. Tiep en mo hnh se c c lng cho tng
cap quan sat va tnh toan phng sai phan d. Nhng bc chnh thc thc hien kiem
nh Goldfeld-Quandt nh sau:
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Bang 8.1 Ket Qua Rieng Phan Cua Cac Kiem nh LM Trong V Du 8.3 S Dung DATA3-
11

[au tien lay hoi qui cua ln(SALARY) theo mot hang so, YEARS, va YEARS
2
. Tiep theo phat ra
cac bien: usq =
2
t
u , absuhat =
t
u , va lnusq = ln(
2
t
u ). Hoi qui phu cho ba kiem nh LM c cho
di ay, bat au bang kiem nh Breusch-Pagan. Gia thuyet khong la gia thuyet ma cac he so cua
YEARS va YEARS
2
eu bang khong.]

Dependent variable: usq
VARIABLE COEFFICIENT STDERROR T STAT 2 Prob (t > | T|)
0) const -0.0111 0.0135 -0.823 0.411484
2) YEARS 0.0061 0.0016 3.866 0.000146 ***
4) YRS2 -0.0001288 0.0000394 -3.271 0.001246 ***

Unadjuste R-squared 0.075 Adjusted R-squared 0.066
Chi-square(2): area to the right of (LM =) 16.586551 = 0.000250

[Gia tr p thap cho biet bi v kha nang bac bo mot gia thuyet ung la thap, nen chung ta co the bac
bo mot cach an toan gia thuyet khong ve phng sai cua sai so thay oi va ket luan rang co phng
sai cua sai so thay oi mot cach y ngha. Tiep en la hoi qui phu cho kiem nh Glesjer.]

Dependent variable: absuhat
0) Const 0.0312 0.0241 1.296 0.196278
2) YEARS 0.0144 0.0028 5.118 0.000001 ***
4) YRS2 -0.0002975 0.0000704 -4.227 0.000035 ***


[Gia tr p thap nh vay cho biet s hien hu cua phng sai cua sai so thay oi. Tiep theo la hoi qui
phu oi vi kiem nh Harvey-Godfrey cung vi gia tr p thap, cho biet s hien hu cua phng sai
cua sai so thay oi]

Dependent variable: lnusq
0) Const -6.5627 0.3592 -18.268 0.000000 ***
2) YEARS 0.2356 0.0420 5.614 0.000000 ***
4) YRS2 -0.0048 0.0011 -4.548 0.000009 ***

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Bc 1 Xac nh mot bien (VD la Z) ma phng sai cua sai so
2
t
quan he vi no. V
du, gia nh rang
2
t
nghi ng quan he ong bien vi Z
t
. Sap at lai bo d
lieu theo gia tr tang dan cua Z
t
(Z
t
co the la mot trong nhng gia tr X trong
hoi qui, chang han nh thu nhap hay dan so).
Bc 2 Chia mau co n quan sat thanh n
1
au tien va n
2
cuoi cung, do vay loai bo tat
ca cac quan sat phan gia t n
1
+ 1 en n - n
2
. So quan sat c loai bo la
tuy y va thng thng la gia mot phan sau hoac mot phan ba. Lu y rang
n
1
va n
2
phai ln hn so he so c c lng
Bc 3 c lng nhng hoi qui rieng biet cho cac quan sat t 1 en n
1
va t n n
2

+ 1 en n.
Bc 4 Thu c tong bnh phng sai so nh sau:
ESS
1
=
=
1
1
2
n
t
t
u va ESS
2
=
+ =
n
n n t
t
u
1
2
2

T Tnh Chat 4.1c chung ta biet rang ESS/
2
t
tuan theo phan phoi chi-bnh
phng. T Phan 2.7, chung ta biet rang t so gia hai gia tr chi-bnh phng
oc lap chnh la mot phan phoi F. ieu nay gi y cho bc ke tiep.
Bc 5 Tnh toan

F
c
=
) /(
) /(
1 1
2
2
1
2
2
k n
k n
=
ESS
ESS
2

vi k la so he so hoi qui bao gom luon ca so hang hang so. Theo gia thuyet
khong ve phng sai cua sai so khong oi, gia tr F
c
tuan theo phan phoi F
vi bac t do df la n
2
k va n
1
k. Neu F
c
> F
*
, iem nam tren phan phoi F
ma dien tch ve pha ben phai la 5 phan tram, th bac bo gia thuyet khong ve
phng sai cua sai so khong oi va ket luan rang co phng sai cua sai so
thay oi. [Lu y: Neu F
c
< 1, th s dung 1/F
c
. Bi v gia thuyet thay the
thng la
2
2
>
2
1
.]

V DU 8.4
oi vi d lieu tien lng ma chung ta ang s dung ay, au tien sap xep lai d lieu
theo trat t tang dan theo YEARS va ke en c lng mo hnh bnh phng-logart cho
75 quan sat au tien va quan sat cuoi cung, loai bo 72 quan sat gia. T ket qua trong
Phan Thc Hanh May Tnh 8.3 ta co c

2
1
= 0,015416
2
2
= 0,050608 F
c
= 3,283

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Theo gia thuyet khong ve phng sai cua sai so khong oi, F
c
tuan theo phan phoi F vi
bac t do df la 72 cho t so va cung bac t do nh vay cho mau so. Gia tr F
*
ti han oi
vi mc 1 phan tram nam gia 1,53 va 1,84 (xem Bang A.4a). Do vay, kiem nh thong
ke ro rang co y ngha, ieu nay gi y rang chung ta nen bac bo gia thuyet khong va
khang nh lai nhng ket qua trc ay.

Kiem nh Cua White

Kiem nh Goldfeld-Quandt khong hu ch nh nhng kiem nh LM bi v no khong
the tng thch vi nhng trng hp ma co nhieu bien ket hp gay nen phng sai cua
sai so thay oi, nh trong Phng Trnh (8.2a), (8.2b), va (8.2c). Cung bang cach bo i
nhng quan sat gia, chung ta a loai ra nhng thong tin co gia tr. Ta thay rang kiem
nh Breusch-Pagan la nhay cam vi bat ky vi pham nao len gia thuyet tieu chuan.
(Xem Koenker, 1981, ve viec thay oi kiem nh cua ho oi vi s hien hu cua tnh
khong chuan tac.) Tat ca nhng kiem nh trc kia eu yeu cau mot kien thc trc o
ve cai ma co the gay nen phng sai cua sai so thay oi. White (1980) a a ra mot
kiem nh trc tiep ve phng sai cua sai so thay oi ma no rat gan vi kiem nh
Breusch-Pagan nhng lai khong gia nh bat ky kien thc nao trc o ve phng sai
cua sai so thay oi. Kiem nh cua White cung la mot kiem nh LM mau ln vi la
chon ac biet cho cac gia tr Z, nhng no khong phu thuoc vao gia thuyet chuan tac. V
nhng ly do nay, kiem nh nay c e ngh hn tat ca cac kiem nh trc. Ta cung co
the tien hanh tat ca cac kiem nh va xem ket qua nao la vng chac. Cac bc thc hien
kiem nh White ve phng sai cua sai so thay oi c mo ta theo mo hnh sau. Viec
m rong nhng mo hnh tong quat hn th khong phc tap lam.

Y
t
=
1
+
2
X
t2
+
3
X
t3
+ u
t
(8.3)

3 2 6
2
3 5
2
2 4 3 3 2 2 1
2
t t t t t t t
X X X X X X + + + + + = (8.4)

Bc 1 c lng (8.3) bang thu tuc OLS va nhan c
1
,
2
, va
3
.
Bc 2 Tnh toan phan d
t
u = Y
t
-
1
-
2
X
t2
-
3
X
t3
, va lay bnh phng phan d
o.
Bc 3 Hoi qui phan d
2
t
u theo mot he so khong oi, X
t2
, X
t3
,
2
2 t
X ,
2
3 t
X , va X
t2
X
t3
.
ay la hoi qui phu tng ng vi (8.4)
Bc 4 Tnh toan tr thong ke nR
2
, vi n la c mau va R
2
la R-bnh phng cha hieu
chnh t hoi qui phu cua Bc 3
Bc 5 Bac bo gia thuyet khong cho rang
2
=
3
=
4
=
5
=
6
= 0 neu nR
2
>
2
5
(),
iem phan tram cao hn trong phan phoi chi-bnh phng vi bac t do df
la 5.
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Mac du kiem nh nay la mot kiem nh vi c mau ln, no kha hu ch oi vi c
mau t 30 tr len. Neu khong bac bo gia thuyet khong, Phng trnh (8.4) tr thanh
2
t

=
1
, ham y rang cac phan d la phng sai cua sai so khong oi. Kiem nh cua White
c de dang tong quat hoa trong trng hp hoi qui boi vi nhieu hoi qui. Trong trng
hp nay, oi vi Bc 1, chung ta hoi qui Y theo mot hang so (ma no phai hien hu) va
cung nh nhieu hoi qui, tc la can nhng gia tr X. Roi chung ta nhan c nhng phan
d t mo hnh nay va bnh phng chung thanh
2
t
u . Chung ta hoi qui phan d bnh
phng theo tat ca cac bien trong bc au tien, cong vi bnh phng cua tat ca cac
bien oc lap, cong vi tch so cheo gia cac cap hoi qui. Cuoi cung, chung ta tnh toan
tr thong ke nR
2
va bac bo hien tng phng sai cua sai so khong oi neu nR
2
>
2
()
vi mc y ngha la va bac t do tng ng vi so he so hoi qui trong hoi qui phu vi
2
t
u la bien phu thuoc, loai tr hang so. Lu y rang bac t do khac vi bac t do nhan
c khi s dung kiem nh LM e kiem nh nhng bien b loai bo.
Can phai can trong trong viec thc hien Bc 3, ac biet la neu mot vai bien giai
thch la nhng bien gia. Neu X
t2
la mot bien gia, th
2
2 t
X ong nhat vi X
t2
va do vay
khong nen tnh en mot cach rieng biet, neu khong chac chan se xay ra hien tng a
cong tuyen va khong the chay c hoi qui phu. Th hai, neu Phng Trnh (8.3) co
nhieu bien gia, Bc 3 se gom rat nhieu bien (bi v nhng so hang bnh phng va
nhng so hang tch cheo nhau). Do vay kha nang so bien trong hoi qui phu vt qua so
quan sat, va lam cho Bc 3 khong the thc hien c. Trong trng hp tong quat, vi
k bien giai thch, bao gom ca so hang hang so, hoi qui phu se co k(k + 1)/2 so hang. So
quan sat phai ln hn so so hang nay va v vay n>k(k + 1)/2 la mot ieu kien can thiet.
Neu bac t do co the la mot van e, th mot phng an n gian dung e hoi qui
2
t
u theo
mot hang so,
t
Y
, va
2
t
Y , vi
t
Y
la gia tr thch hp cua Y

t
khi s dung gia tr c lng
OLS. Bi v
t
Y
phu thuoc vao tat ca cac X va

2
t
Y co tat ca cac bnh phng va tch so
cheo gia cac X, nen thu tuc nay la mot phng an thch hp e giai quyet van e bac t
do df.

V DU 8.5
oi vi mo hnh bnh phng-logart s dung trc ay, cac bien bnh phng se la
YEARS
2
va YEARS
4
va bien tch so cheo la YEARS
3
. Do o, phng trnh phu cho mo
hnh nay la

2
t
=
1
+
2
YEARS +
3
YEARS
2
+
4
YEARS
3
+
5
YEARS
4

Hoi qui phan d bnh phng co c t viec ap dung OLS vao mo hnh bnh phng-
logart theo mot hang so va theo so mu cua YEARS, R
2
cha hieu chnh = 0,09 va n =
222 (xem Phan Thc Hanh May Tnh 8.4). Do o, LM = nR
2
= 19,98. Gia thuyet khong
la
i
= 0 vi i = 1, 2, , 5. Di gia thuyet nay, LM co phan phoi chi-bnh phng vi
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bac t do df la 4 va mc y ngha 0,001 la 18,467, nho hn LM. Do vay, ay chung ta
cung bac bo hien tng phng sai cua sai so khong oi.

8.3 Cac Thu Tuc c Lng

Neu gia thuyet ve phng sai cua sai so khong oi b bac bo, chung ta gap phai van e
trong viec co gang tm ra nhng thu tuc c lng thay the ma no tot hn thu tuc bnh
phng toi thieu thong thng. Trong phan nay, chung ta thao luan mot so phng phap
c lng.

c Lng Ma Tran ong Phng Sai Nhat Quan Phng Sai Cua Sai So Thay oi
(HCCM)

Trong Tnh Chat 8.1, a e cap en cac phng sai c lng cua gia tr c lng OLS
b thien lech va khong nhat quan, va do vay nhng suy luan thong ke se khong con hieu
lc na. Tuy nhien, neu co the thu c nhng gia tr c lng nhat quan oi vi cac
phng sai c lng, th van co the co nhng suy luan con hieu lc oi vi nhng c
mau ln. White (1980) a ra mot phng phap e co c nhng c lng nhat quan
cua phng sai va ong phng sai cua c lng OLS, ma ong ta goi la c Lng Ma
Tran ong Phng Sai Nhat Quan Phng Sai Cua Sai So Thay oi (HCCM).
Messer va White (1984) cho thay co the co c mot c lng HCCM bang cach s
dung ket hp cac hoi qui thong thng. Viec nay a c m rong bi MacKinnon va
White (1985), ho a nghien cu ba phng phap khac nhau e co c gia tr c lng
HCCM. Ho ket luan t nhng mau thc nghiem rang c lng vi tnh chat c mau nho
tot nhat th da vao cai ma nhng nha thong ke thng v en nh Jackknife (con dao
xep) (Effron, 1982). Trong nhng so hang n gian, mot c lng Jackknife trc het
se c lng mot mo hnh n lan, moi lan bo i mot quan sat. Viec nay se phat sinh ra
mot chuoi cac gia tr c lng ma tnh chat thay oi c cua no se c tan dung
trong viec xay dng c lng Jackknife nh mot gia tr trung bnh cua cac phng sai
va ong phng sai rieng biet.

V DU 8.6
oi vi v du tien lng ma chung ta ang s dung, ca hai gia tr c lng OLS va
HCCM cua cac sai so chuan eu co c t viec s dung chng trnh GRETL va
SHAZAM (xem Phan Thc Hanh May Tnh 8.5). Ket qua nam phan ke tiep vi nhng
sai so chuan OLS trong ngoac n; nhng sai so chuan HCCM t chng trnh GRETL
nam trong ngoac vuong, va nhng sai so chuan HCCM t chng trnh SHAZAM nam
trong ngoac moc. Nhng gia tr c lng HCCM cua phng sai cua c lng la nhat
quan, trong khi nhng gia tr c lng OLS th lai khong, nhng nhng gia tr c lng
cua cac he so hoi qui va R bnh phng se khong thay oi (
2
R = 0,532).
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ln (SALARY) = 3,809 + 0,044 YEARS 6,27e-04 YEARS
2

(0,041) (0,0048) (1,209-04)
[0,027] [0,0046] [1,256e-04]
{0,026} {0,0043} {1,171e-04}
Ly do co s khac biet rat t trong cac gia tr c lng oi vi nhng sai so chuan gia
chng trnh GRETL va SHAZAM la chng trnh au s dung hieu chnh Jackknife a
c thao luan trc ay, trong khi o chng trnh sau th khong s dung. Chung ta lu
y rang tat ca cac he so eu mc y ngha thap hn 0,001.

Bnh phng to thieu tong quat (hoac trong so)

Xet mo hnh trong Phng trnh (8.3) .va chia cac so hang cho
t
, o lech chuan cua u
t
.
Chung ta co mo hnh hieu chnh

Y
t
t
=
1

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

hoac

Y
t
*
=
1
X
*
t1
+
2
X
*
t2
+
3
X
*
t3
+ u
t
*
(8.5)

Vi dau sao ky hieu cac bien tng ng chia cho
t
. Chung ta co

Var(u
t
*
) = Var
u
t
t
=
Var(u
t
)
t
2

= 1
V vay, Phng trnh (8.5) thoa man tat ca cac ieu kien oi hoi oi vi cac c
lng OLS e co c cac tnh chat mong muon. Do o, cac c lng co c bang
cach hoi qui Y
t
*
theo X
*
t1
, X
*
t2

va X
*
t3
(khong co so hang khong oi) se co tnh BLUE.
Thu tuc va c mo ta la mot trng hp ac biet cua mot phng phap tong quat hn
goi la bnh phng toi thieu tong quat (GLS). Mac du thu tuc GLS co ve n gian,
nhng van e ve thc hanh la
t
khong biet c, va do o chung ta khong the c
lng Phng trnh (8.5) ma khong co them cac gia thiet khac.
Thu tuc GLS c ap dung cho trng hp phng sai thay oi th cung giong nh
thu tuc bnh phng toi thieu co trong so (WLS). at w
t
= 1/
t
va lu y la (8.5) co the
c viet lai nh sau:

w
t
Y
t
=
1
w
t
+
2
( w
t
X
t2
) +
3
( w
t
X
t3
) + (w
t
u
t
) (8.6)

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So sanh (8.5) va (8.6), chung ta thay ngay la cc tieu tong bnh phng cua u
t
tng
ng vi cc tieu tong bnh phng co trong so cua d so:

(w
t
u
t
)
2
= (w
t
Y
t

1
w
t

2
w
t
X
t2

3
w
t
X
t3
)
2
(8.7)

V vay, moi quan sat cua tng bien (gom ca so hang khong oi) c cho trong so w
t
,
nghch ao vi o lech chuan cua u
t
. ieu nay co ngha la cac quan sat ma trong o
t

ln c cho trong so thap trong thu tuc WLS. De dang chng minh c la (xem Bai
tap 8.1) cac c lng thu c hoan toan giong vi cac c lng co c bang cach ap
dung OLS cho Phng trnh (8.5). Co the thay la cac c lng bnh phng toi thieu
trong so cung thch hp cc ai nh trong trng hp sai so chuan (xem Bai tap 8.2)
Can lu y rang, do cac so hang sai so cua Phng trnh bien oi (8.5) la ngau
nhien theo nh ly Gauss-Markov, cac c lng WLS hieu qua hn cac c lng
OLS. Thc te, cac c lng nay la BLUE, mien la cac trong so bang mot ty so biet
trc nh trong trng hp phan tiep theo.

Phng sai cua sai so thay oi vi ty so biet trc
Trc tien xem xet mot trng hp n gian trong o cau truc cua phng sai cua sai so
thay oi co dang cu the biet trc. Trong mo hnh Phng trnh (8.3), gia s tnh
phng sai cua sai so thay oi sao cho o lech chuan cua sai so
t
ty le vi Z
t
biet trc.
Cu the hn, gia s Phng trnh (8.5) nh sau:

Var(u
t
) =
t
2
=
2
Z
t
2
hoac tng ng
t
= Z
t
(8.8)

vi cac gia tr cua Z
t
biet trc vi moi t. Noi cach khac, o lech chuan cua phan d ty
le vi mot so bien Z
t
biet trc, hang so cua ty le nay la (cha biet). Trong v du trc
ay ve chi tieu cho tieu dung, Z
t
se la thu nhap ho gia nh, va trong v du ve toi pham,
Z
t
se la dan so cua thanh pho. Ngoai tr s thay oi nay ra, u
t
c xem la thoa man tat
ca cac gia thiet khac e ap dung OLS. Chia moi so hang cua Phng trnh (8.3) cho Z
t
,
Y
t
Z
t
=
1
1
Z
t
+
2
X
t 2
Z
t
+
3
X
t 3
Z
t
+
u
t
Z
t

hoac
Y
t
*
=
1
X
*
t1
+
2
X
*
t2
+
3
X
*
t3
+ u
t
*
(8.9)

vi dau sao ky hieu cac bien tng ng c chia cho Z
t
. Chung ta co
Var(u
t
*
) = Var
u
t
Z
t
=
Var (u
t
)
Z
t
2 =
2

V vay, Phng trnh (8.9) thoa man tat ca cac ieu kien yeu cau oi vi cac c
lng OLS e co cac tnh chat mong muon. Do o, cac c lng co c bang cach hoi
qui Y
t
*
theo X
*
t1
, X
*
t2
va X
*
t3
se la BLUE (khi
t
2
=
2
Z
t
2
). ay cung giong nh WLS
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vi w
t
= 1/Z
t
. Lu y la Phng trnh (8.9) khong co mot so hang khong oi tr khi X
t2

hoac X
t3
hoan toan giong Z
t
. V cac c lng GLS la BLUE, cac c lng OLS cua
(8.3) se khong hieu qua.

V DU 8.7
DATA8-2 cha d lieu cheo ve tong chi tieu cho di chuyen (EXPTRAV) va thu nhap ca
nhan tng ng (INCOME) cua 50 tieu bang My va Quan Columbia. Ca hai c tnh
bang ty ola. Hay xet ng tng quan Engel sau

EXPTRAV
t
= + INCOME
t
+ u
t

Chung ta co the ky vong la cac phng sai cua sai so co tnh thay oi va tang theo dan
so. Noi cach khac, cac tieu bang co dan so cao co ve se co bien oi nhieu hn trong chi
tieu cho di chuyen so vi cac tieu bang nho. Do o, mot ac trng hp ly la
t
= POP
t

hoac tng ng, Var(u
t
) =
t
2
=
2
POP
t
2
. Gia thiet cho rang o lech chuan ty le vi
dan so se tng ng vi gia thiet phng sai ty le vi bnh phng cua dan so. Nh
bc au tien, chung ta s dung kiem nh Glesjer oi vi tnh chat phng sai cua sai
so thay oi va ket qua la co y ngha (xem Bang 8.2 co t Bai tap thc hanh may tnh
Phan 8.6). Chia moi so hang trong mo hnh cho POP
t
, chung ta co

EXPTRAV
t
POP
t
=
1
POP
t
+
INCOME
t
POP
t
+
u
t
POP
t
(8.10)

De dang chng minh c so hang sai so trong Phng trnh (8.10) co phng sai khong
oi v gia thiet la
t
= POP
t
. Do o, chung ta co the ap dung OLS cho Phng trnh
(8.10). Lu y la bien phu thuoc mi n gian la chi tieu cho di chuyen tren au ngi.
Tng t nh vay, cac bien oc lap mi la thu nhap tren au ngi va nghch ao cua
dan so, khong co so hang khong oi. V vay, chung ta thay la thiet lap mot mo hnh vi
cac so hang bnh quan au ngi se the hien c bat ky tnh chat phng sai cua sai so
thay oi nao xuat hien do kch thc cua dan so. Neu dan so co vai tro trong mo hnh,
mot cach tien hanh tot la the hien mo hnh di dang cac so hang bnh quan au ngi.
Mo hnh c c lng nh sau, vi cac tr thong ke trong ngoac n va R
2
hieu chnh
cua mo hnh bien oi (xem Bang 8.2 va Bai tap thc hanh may tnh Phan 8.6):

EXPTRAV
POP
= 0,737
1
POP
+ 0,059
INCOME
POP

(2,2) (4,8)
R
2
= 0,174 F = 42,2

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Can nhan thay la trong khi OLS c ap dung cho mo hnh bien oi, dien dch cua cac
he so la cua phng trnh nguyen thuy. V vay, he so c c lng cua 1/POP la he
so cua so hang tung o goc, va he so c c lng cua INCOME/POP la he so cua xu
hng bien te cua thu nhap theo tieu dung cho di chuyen.
Mac du R
2
co ve thap, no lien quan en mo hnh bien oi ch khong phai cua ac trng
goc cac mc y ngha. Tuy nhien, tr thong ke F co y ngha mc 1 phan tram. Ca cac
tr thong ke t cung co y ngha mc thap hn 4 phan tram. Nh trong Bang (8.2), mot
kiem nh Glesjer a c ap dung cho mo hnh bien oi va khong co tnh chat phng
sai cua sai so thay oi co y ngha.

Bnh Phng Toi Thieu Tong Quat Kha Thi (FGLS)

Thu tuc bnh phng toi thieu tong quat a c thao luan trc ay gom viec chia moi
bien (gom ca so hang khong oi) cho
t
(o lech chuan cua so hang sai so) va sau o ap
dung thu tuc bnh phng toi thieu thong thng cho mo hnh bien oi nhan c. V
cau truc cua phng sai cua sai so thay oi mot cach tong quat la khong biet (ngha la,
t
khong biet trc), mot nha nghien cu trc tien phai co cac c lng cua
t
bang
mot so cach va sau o s dung thu tuc bnh phng toi thieu co trong so. Harvey (1976)
va Greene (2000) goi thu tuc nay la bnh phng toi thieu tong quat kha thi (FGLS).
Tuy nhien, thu tuc thc s e c lng
t
bien oi nhieu trong thc te. e biet them
chi tiet ve cac van e nay va cac phng phap lien quan, hay tham khao Harvey (1976),
Judge et al. (1985), Kmenta (1986), va Greene (2000).

Bang 8.2 Ket Qua Rieng Phan Cua V Du 8.7 S Dung DATA8-2

[au tien hoi qui exptrav theo mot hang so va thu nhap sau o chay hoi qui phu oi vi
kiem nh Glesjer]

Dependent var i abl e: | u
^
t
|
VARI ABLE COEFFI CI ENT STDERROR T STAT 2Pr ob( t >| T| )

0) const 0. 7312 0. 4100 1. 783 0. 080757 *
3) pop 0. 1774 0. 0543 3. 264 0. 002004 ***

Unadj ust ed R squar ed 0. 179 Adj ust ed R- squar ed 0. 162
Chi - squaar ed ( 1) : ar ea t o t he r i ght of ( LM =) 9. 110000 = 0. 002542

[Gia tr p thap cho thay v xac suat bac bo mot gia thuyet ung la thap, chung ta co the
an toan bac bo gia thuyet khong ve phng sai cua sai so thay oi va ket luan la phng
sai cua sai so thay oi co y ngha. Bc tiep theo la chia mo hnh cho pop va c lng
bang OLS. Trc tien phai tao ra cac bien sau.]
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pcex = expt r av/ pop
pci ncm = i ncome/ pop
i nvpop = 1/ pop

Dependent var i abl e: pcexp
8) i nvpop 0. 7368 0. 3323 2. 218 0. 031250 **
7) pci ncm 0. 0586 0. 0123 4. 775 0. 000017 ***

R-squared is the square of the correlation between the observed and fitted values of
dependent variable.
Er r or Sumof Sq ( ESS) 78. 6612 St d Er r of Resi d. ( sgmahat ) 1. 2670
Unadj ust ed R- squar ed 0. 191 Adj ust ed R- squar ed 0. 174

[Kiem nh mo hnh bien oi oi vi tnh chat phng sai cua sai so thay oi bang cach
hoi qui gia tr tuyet oi cua phan d t hoi qui tren theo mot hang so va bien dan so]
0) const 0. 8367 0. 2018 4. 147 0. 000133 ***
3) pop 0. 0426 0. 0267 1. 593 0. 117531

Chi - squar ed( 1) : ar ea t o t he r i ght of ( LM = ) 2. 511978 = 0. 112984
[Gia tr p cao cho thay chung ta khong the bac bo tnh chat phng sai cua sai so khong
oi mc y ngha 10 phan tram va do o OLS la chap nhan c.]

Trong pham vi cac kiem nh LM a c thao luan trong chng nay, phng phap t
nhien e c lng o lech chuan cua sai so hoac phng sai la khai thac thong tin trong
hoi qui phu. at
^
i
ai dien cho cac c lng cua cac thong so cua phng trnh phu.
Neu chung ta thay the vao phng trnh nay, chung ta co cac phng sai d bao tng
ng hoac o lech chuan da vao o ta co the thiet lap c cac trong so thch hp. Cac
bc thu tuc cua FGLS nh sau:
Bc 1 Hoi qui Y theo mot so hang khong oi, X
2
, X
3
, , va X
k
va co c cac c
lng OLS cua cac .
Bc 2 Tnh cac phan d theo u
^
t
= Y
t

^
1

^
2
X
t2

^
3
X
t3

^
k
X
tk
.
Bc 3 Hoi qui u
^
t
2
theo mot so hang khong oi, Z
t2
, Z
t3
, , va Z
tp
va co c cac c
lng OLS cua cac . ay la hoi qui phu tng ng cua Phng trnh (8.2a)
oi vi kiem nh Breusch-Pagan va oi vi kiem nh White trong o cac Z
la gia tr X nguyen thuy, bnh phng cua chung va tch cheo. Ke tiep, thay
cac c lng nay vao Phng trnh (8.2a) va co c
^
t
2
. Cac trong so la
cac gia tr nghch ao cua can bac hai cua cac phng sai c c lng;
ngha la, w
t
= 1/
^
t
2
.
Ton tai mot van e la khong co g bao am la cac phng sai d bao se
dng vi moi t. Neu bat ky phng sai d bao nao co gia tr bang khong th
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he so tng ng se khong xac nh. Neu bat ky phng sai d bao nao co gia
tr am, chung ta khong the lay can bac hai. Neu trng hp nay xay ra oi
vi mot so quan sat th chung ta co the s dung u
^
t
2
goc va lay can bac hai
dng cua chung.
Bc 3b Hoi qui | u
^
t
| theo mot so hang khong oi, Z
t2
, Z
t3
, va Z
tp
va co c cac c
lng OLS cua cac . ay la hoi qui phu tng ng vi Phng trnh (8.2b)
oi vi kiem nh Glesjer. Ke en, thay cac c lng nay vao Phng trnh
(8.2b) va co c
^
t
. Cac trong so la gia tr nghch ao cua chung. ay,
mot lan na chung ta gap van e o lech chuan khong dng. Neu trng
hp nay xay ra, chung ta co the s dung |u
^
t
| tng ng va gia tr nghch ao
cua no, at w
t
= 1/|u
^
t
|.
Bc 3c Hoi qui ln (u
^
t
2
) theo mot so hang khong oi, Z
t2
, Z
t3
, , va Z
tp
va co c cac
c lng OLS cua cac . ay la hoi qui phu tng ng vi Phng trnh
(8.2c) oi vi kiem nh Harvey-Godfrey. Ke tiep, thay nhng c lng
nay vao Phng trnh (8.2c) va co ln (
t
2
). Lay oi log (ngha la ham so mu)
e co cac phng sai d bao. Cac trong so la nghch ao cua can bac hai cua
cac phng sai c c lng. Lu y la, v ham so mu ch tao ra nhng gia
tr dng, khong co van e phng sai am hoac bang khong trong trng hp
nay. V ly do nay, kiem nh Harvey-Godfrey va cac ket qua c lng
phng sai lien quan la mot thu tuc hap dan.
Bc 4 c lng mo hnh goc bang thu tuc bnh phng toi thieu co trong so (WLS)
s dung cac trong so w
t
= 1/
^
t
, vi
^
t
la o lech chuan c lng trong Bc
3. Cu the hn, nhan moi bien trong mo hnh gom ca hang so, vi w
t
va hoi
qui (w
t
Y
t
) theo w
t
, (w
t
X
t2
), , (w
t
X
tk
), khong co mot so hang khong oi.

Cac c lng FGLS co c bang cach nay th nhat quan nh la cac c lng
OLS. Tuy nhien, khong nh OLS, cac phng sai va cac ong phng sai c lng cua
cac c lng ay khong nhat quan. Cung vay, cac c lng mot cach tiem can co
ve hieu qua hn cac c lng OLS. Tuy nhien, lu y la bang cach tnh cac trong so t
mau, cac ket qua c lng WLS se khong thien lech.
Nen lu y la do thu tuc WLS bien oi bien phu thuoc bang cach su dung bien trong
so, cac phng phap thong thng e tnh R
2
khong co hieu lc. Mot phng phap co
ve trc giac la tnh R
2
nh la bnh phng cua he so tng quan gia cac gia tr quan sat
va gia tr thch hp cua bien phu thuoc goc. Chac chan la ban phai biet chng trnh
may tnh cua ban tnh R
2
nh the nao.
ay cung can lu y en viec s dung cac lenh viet san cho c lng WLS v
cac chng trnh khac nhau trong cach thc hien. V du, trong EVIEWS va GRETL,
bien trong so la w
t
= 1/
^
t
, WLS c thc hien bang cach hoi qui (w
t
Y
t
) theo w
t
va
(w
t
X
ti
) vi i = 2, , k. Ngc lai, SHAZAM yeu cau trong so cu the bang 1/
^
t
2
. Trc
khi c lng, lay can bac hai dng va nhan vi bien phu thuoc va bien oc lap nh a
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neu ay. V vay, viec quan trong la ban phai hieu ro chng trnh cua ban tnh nh
the nao.

V DU 8.8
oi vi d lieu ve lng cua giao s, chung ta a thay la mo hnh bac hai-log the hien
tnh phng sai cua sai so thay oi (xem V du8.3 va 8.5). Chung ta a s dung cac
cong thc phng sai c e xuat bi Glesjer, Breusch-Pagan, White, va Harvey-
Godfrey e co c bon c lng khac nhau cua mo hnh. Cac ket qua c tom tat
trong Bang 8.3

Bang 8.3 Cac c Lng FGLS Cua Mo Hnh Log-Lng S Dung Hoi Qui
Phu T Cac Kiem nh LM

Bien Glesjer Breusch-
Pagan
White Harvey-
Godfrey
CONSTANT 3,842
(0,019)
3,869
(0,011)
3,848
(0,013)
3,828
(0,020)
YEARS 0,037
(0,003)
0,031
(0,003)
0,0369
(0,003)
0,038
(0,003)
YRS2 4,068e-04
(7,949e-05)
2,392e-04
(6,217e-05)
4,514e-04
(9,481e-05)
-4,433e-04
(8,27e-05)
Adj Rsq 0,524 0,507 0,528 0,526
SGMASQ 0,043652 0,045382 0,043375* 0,043531
AIC 0,044242 0,045995 0,043961* 0,044119
FPE 0,044242 0,045995 0,043961* 0,044119
HQ 0,045071 0,046857 0,044785* 0,044946
SCHWARZ 0,046324 0,048159 0,046030* 0,046195
SHIBATA 0,044226 0,045978 0,043945* 0,044103
GCV 0,044250 0,046003 0,043969* 0,044127
RICE 0,044259 0,046012 0,043977* 0,044136

Cac gia tr trong ngoac la cac sai so chuan tng ng. Cac dau sao ky hieu mo hnh vi tieu chuan chon
mo hnh thap nhat. Cac gia tr cua AIC va FPE giong nhau ch la tnh c. Cac gia tr nay khac nhau ngoa i
sau so thap phan.

Bang 8.4 Cac bc thc hien tren may tnh oi vi V du 8.8 ve c lng bang
FGLS S dung DATA8-1

1. Hoi qui ln(SALARY) theo mot hang so, YEARS va YEAR
2
, va chep cac so d (u
^
t
).
2. Phat absuhat = | u
^
t
|, usq = u
^
t
2
, va lnusq = ln (u
^
t
2
).
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3. Hoi qui absuhat theo mot hang so, YEARS va YEARS
2
, va chep cac gia tr
thch hp thanh absuhat1. ay la
t
c lng cua ac trng Glesjer. May
man thay, tat ca cac gia tr nay eu dng.
4. Tnh wt1 = 1/absuhat1 va dung no nh la trong so e co cac c lng bnh
phng toi thieu co trong so FGLS.
5. oi vi cac ac trng Breusch-Pagan, hoi qui usq theo mot hang so, YEARS, va
YEARS
2
, va chep cac gia tr thch hp thanh usqhat1. ay la cac gia phng
sai cua sai so c lng. Tuy nhien, ba quan sat co gia tr am, la khong the chap
nhan. Thay the cac gia tr am nay bang cac gia tr usq goc, va goi nhng gia tr
thay the nay la usqhat2. Mot cach de dang e thc hien viec nay la trc tien
s dung chng trnh hoi qui cua ban phat ra mot bien gia, goi la d1, bien nay co
gia tr bang 1 cho moi gia tr dng cua usqhat1 va ngoai ra se bang 0. Ke tiep
phat usqhat2 = (d1*usqhat1) + ((1 d1)*usq).
6. Tnh wt2 = 1/sqrt(usqhat2), va s dung lam trong so e co c cac c lng
bnh phng toi thieu co trong so FGLS (sqrt la ham can so bac hai).
7. oi vi ac trng cua kiem nh White, hoi qui usq theo mot hang so, YEARS,
YEARS
2
, YEARS
3
va YEARS
4
, va chep cac gia tr thch hp thanh usqhat3.
ay la cac phng sai cua sai so c lng. Tuy nhien, ay cung co ba quan
sat co gia tr am can phai thay the bang cac gia tr usq goc (xem Bc 5). Goi
chuoi cac gia tr thay the la usqhat4
8. Tnh wt3 = 1/sqrt(usqhat4), va s dung lam trong so e co cac c lng bnh
phng toi thieu co trong so FGLS.
9. oi vi ac trng Harvey-Godfrey, hoi qui lnusq theo mot hang so, YEARS va
YEARS
2
, chep cac gia tr thch hp thanh lnsq1, va lay oi log (ngha la lay
ham mu) e co c usqhat5, cac phng sai cua sai so c lng. V ham mu
ch tao ra cac gia tr dng, khong co van e phng sai am ay.
10. Tnh wt4 = 1/sqrt(usqhat5), va s dung lam trong so e co c cac c lng
bnh phng toi thieu co trong so FGLS.

Bang 8.4 mo ta cac bc thc hien viec nay, va can phai nghien cu ky cac bc
nay trc khi tien hanh.
Chung ta thay t bang 8.3 la cac c lng manh mot cach ang ngac nhien theo
toan bo cac phng phap c s dung ay. Tat ca cac he so eu co y ngha thong ke
mc thap hn 0,0001. Ch co s lech duy nhat la cua cac c lng Breusch-Pagan
oi vi YEARS va YEARS
2
. V R
2
hieu chnh va cac tr thong ke la chon mo hnh
khong co y ngha oi vi mo hnh bien oi co c bang cach chia ln(SALARY) cho
^
t
,
cac c lng nay c tnh bang cach s dung tong bnh phng sai so cua mo hnh bac
hai-log khong bien oi. Chung ta thay t Bang 8.3 la phng phap White co cac tr
thong ke chon mo hnh thap nhat. V vay, theo cac tieu chuan nay, ay la ham tot nhat.
Ket qua nay tai khang nh v chung ta a e c kiem nh White tren tat ca cac kiem
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nh khac v tnh tong quat va khong phu thuoc vao gia thiet phan phoi chuan cua kiem
nh nay. S dung cac c lng nay, chung ta co mo hnh c lng sau va tac ong
bien te tng ng cua kinh nghiem en lng (xem lai phan thao luan ve mo hnh bac
hai trong Phan 6.4 va phan phan tch mo hnh tuyen tnh-logarit trong Phan 6.8):

ln(SALARY) = 3,848 + 0,0369YEARS 0,0004514YEARS
2
(8.11)

1
SALARY

SALARY
YEARS
= 0,0369 0,0009028 YEARS (8.12)

at phng trnh nay bang khong va giai YEARS, ta co so nam ma tai o
SALARY se at gia tr cc ai (chung ta biet la ay la gia tr cc ai khong phai gia
tr cc tieu la do he so am cua so hang bac hai). Ket qua bang 40,1 ln hn hau het
cac khoang mau. V the, y ngha la lng luon tang trong vong 40 nam qua nhng
do he so am cua YEARS
2
, nen co nhng li nhuan bien te b giam. Trong Phng
trnh (8.12), at YEARS bang cac gia tr 1, 5, 10, 15, 20 va 25, chung ta co cac con
so 0,036; 0,032; 0,028; 0,023; 0,019; 0,014. Hay nh lai t Phan 6.8, 100 nhan vi
cac gia tr nay cho ta phan tram tang gan ung cua tien lng oi vi moi nam kinh
nghiem nhieu hn. V vay, lng bien te tang hang nam thay oi t mot gia tr cao
la 3,6 phan tram oi vi mot Tien s mi xuong 1,4 phan tram oi vi nhng ngi
co 25 nam kinh nghiem.

Phng sai cua sai so thay oi cua bien phu thuoc

Thnh thoang, o lech chuan cua u
t
(
t
) c ac trng nh la mot ty le theo gia tr
ky vong cua bien phu thuoc. Bai ban hn, gia s
t
= E(Y
t
). V Y
^
t
la mot c
lng khong thien lech va nhat quan cua E(Y
t
), mot thu tuc c e ngh ay la s
dung trong so w
t
= 1/ Y
^
t
, ngha la nghch ao cua
^
1
+
^
2
X
t2
+ +
^
k
X
tk
. Tuy nhien
thu tuc nay khong c khuyen s dung v ay cung khong co g bao am la Y
^
t

buoc phai dng vi moi gia tr t va khong co mot thu tuc khac e thay the Y
^
t
bang
khong hay am. V E(Y
t
) la mot ham cua cac X, ay la mot trng hp ac biet cua
ham Glesjer c neu trong Phng trnh (8.2b), vi cac X c thay the cho cac Z
c s dung trong Phng trnh o. V vay, chung ta khuyen cao la nen bo qua ac
trng nay trong kiem nh Glesjer va cac phng phap khac e tnh cac trong so.
Tuy nhien, tot hn hay ap dung cac phng phap va xem co xuat hien cac ket qua
manh hay khong.

8.4 ng Dung: Mot Mo Hnh Cua Chi Tieu Cho Cham Soc Sc Khoe My

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Trong phan nay, chung ta tap trung tat ca cac e tai a thao luan trong chng nay
va ap dung cac ky thuat vao mot mo hnh cua chi tieu cho cham soc sc khoe My.
Tap tin DATA8-3 cha d lieu cheo ve thu nhap ca nhan gop va chi tieu cho cham
soc sc khoe cua 50 tieu bang My va Quan Columbia (xem nguon t Phu luc D).
Ca hai eu c tnh bang ty ola. Cung a co san d lieu ve dan so My (n v
hang trieu) va phan tram ngi 65 tuoi tr len. Chung ta a thay trong V du 8.7 la
bien dan so thng dan en tnh phng sai cua sai so thay oi va do o the hien cac
bien di dang tren au ngi bang cach chia cho dan so, la mot cach hu dung e
giam tac ong nay. Do o, mo hnh c thiet lap ay nh sau:

EXPHLTH
POP
=
1
+
2

INCOME
POP
+
3
SENIORS + u
Chung ta a s dung cac kiem nh Glesjer, Breusch-Pagan, White va Harvey-
Godfrey va a nhan thay gia thuyet khong ve tnh chat phng sai cua sai so khong
oi b bac bo mc y ngha thap hn 0,001 bang ba kiem nh au tien. Tuy nhien,
gia tr p-value cua kiem nh LM tr thong ke cua kiem nh Harvey-Godfrey oi
vi tnh chat phng sai cua sai so thay oi boi co gia tr la 0,14, cao hn nhieu so
vi cac mc chap nhan thong thng. Do o, chung ta khong the bac bo gia thuyet
khong ve tnh chat phng sai cua sai so khong oi, ngay ca mc y ngha 10 phan
tram. Tuy nhien, nh chung ta lu y Bang 8.5, ket qua rieng phan co kem chu
giai, hoi qui phu oi vi trng hp nay cho thay la thu nhap au ngi va bnh
phng cua no hoan toan co y ngha. Do o, kiem nh th hai c thc hien ch
vi nhng bien nay, va gia tr p la 0,056. V gia tr nay la chap nhan c, chung ta
ap dung thu tuc FGLS/WLS s dung tat ca bon phng phap tren.
Bang 8.6 tom tat cac c lng va cac tr thong ke lien quan. Chung ta lu y la
cac c lng Breusch-Pagan va White rat gan nhau nhng con cac c lng khac
lai khac nhau. Xet ve cac tieu chuan chon mo hnh, cac c lng Breusch-Pagan la
tot nhat. Ca hai he so cua thu nhap va cua tham nien co dau ky vong la dau dng
va co y ngha cao mc thap hn 0,0001. Gi phan tram tham nien khong oi, vi
mc tang $100 trong thu nhap, trung bnh mot khoang chi tieu cho sc khoe c ky
vong la $15. oi vi mot mc thu nhap cho trc tieu bang, mot phan tram tang
ve so nam tham nien ky vong la se lam tang chi tieu trung bnh cho cham soc sc
khoe la $116.9 (v no c tnh bang ngan ola). So o thch hp cho thay la mo
hnh ch giai thch khoang 42 phan tram cua chi tieu bnh quan au ngi cho cham
soc sc khoe. Co le, viec them cac bien phi tuyen vao se lam gia tang nang lc giai
thch. Phan nay xem nh bai tap cho oc gia.

Bang 8.5 Ket Qua Rieng Phan oi Vi ng Dung Trong Phan 8.4 S Dung
DATA8-3

(e tiet kiem cho, cac ket qua c tom gon tr phi no hu dung)
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[Kiem nh s dung phng phap Harvey-Godfrey bang cach trc tien hoi qui ln(u
^
t
2
) theo
mot hang so, x ( = income/pop), tham nien sq_x = x
2
, va sq_seniors = seniors
2
]

Dependent var i abl e: l n( u
^
t
2
)
VARI ABLE COEFFI CI ENT STDERROR T STAT 2Pr ob ( t >| T| )
0) Const 18. 3709 13. 8537 1. 326 0. 191364
6) X
2. 2253
1. 1308
1. 968
0. 055130 *
4) Seni or s 0. 1809 0. 8672 0. 209 0. 835647
10) Sq_x 0. 0552 0. 0262 2. 109 0. 040404 **
12) Sq_seni o
0. 0149
0. 0357
0. 416
0. 679121

Chi - squar e ( 4) : ar ea t o t he r i ght of ( LM) 6. 929352 = 0. 139669

[V gia tr p-value cao, chung ta khong the bac bo tnh phng sai cua sai so khong
oi. Tuy nhien, v cac he so cua x va x-bnh phng la co y ngha, mot kiem nh
LM khac c thc hien ch vi nhng bien nay]

Chi - squar e ( 2) : ar ea t o t he r i ght of ( LM) 5. 765542 = 0. 055979

[V gia tr p-value la chap nhan c, chung ta bac bo tnh phng sai cua sai so
khong oi va tien hanh vi c lng bnh phng toi thieu co trong so FGLS. Tom
tat phan thao luan ve cac ket qua xem trong phan ly thuyet]

Bang 8.6 Cac c lng FGLS cua mo hnh Chi tieu cho sc khoe s dung
cac hoi qui phu t cac kiem nh LM

Bien Glesjer Breusch-
Pagan
White Harvey-
Godfrey
CONSTANT -0.402
(0.670)
-1.588
(0.206)
-1.552
(0.195)
0.093
(0.657)
INCOME/POP 0.103
(0.028)
0.150
(0.013)
0.146
(0.013)
0.082
(0.026)
SENIORS 0.092
(0.025)
0.117
(0.015)
0.119
(0.015)
0.086
(0.026)
Adj Rsq 0.416 0.422 0.420 0.403
SGMSAQ 0.392697 0.358060* 0.359175 0.422389
AIC 0.415741 0.379071* 0.380251 0.447174
FPE 0.415797 0.379122* 0.380302 0.447235
HQ 0.434192 0.395894* 0.397126 0.467020
SCHWARZ 0.465773 0..424690* 0.426012 0.500990
SHIBATA 0.413080 0.376644* 0.377817 0.444312
GCV 0.417241 0.380439* 0.381623 0.448788
RICE 0.418877 0.381931* 0.383119 0.450548
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Cac so trong ngoac la sai so chuan tng ng. Dau sao ky hieu mo hnh vi tieu chuan la chon thap
nhat.

8.5 e Tai Thc Nghiem
Neu ban a bat au mot e tai thc nghiem nh mot phan cua mon hoc va a tien hanh
cac bc mo ta trong Phan 4.9 va 7.9, ban co the a san sang e thc hien c lng cac
mo hnh va kiem nh cac gia thuyet mien la nghien cu cua ban ch lien quan en d
lieu cheo. Tuy nhien, ban nen can than neu khong oc them nhng chng khac trong
cuon sach nay, phan tch cua ban se b han che. V du, neu d lieu cua ban la d lieu
chuoi thi gian va mo hnh cua ban la mo hnh ong co o tre trong hanh vi, ban nen i
en khi ban oc het chng 9 va 10, nhng chng nay trnh bay cac van e ac biet
lien quan en chuoi thi gian. Tng t, ban chat cua van e ma ban nghien cu co the
xac nh cac tac ong tr lai (xem Phan 3.10) nhng tac ong nay can en mot mo hnh
nhieu phng trnh ong thi (c trnh bay trong chng 13). Neu ban bo qua van e
nay, cac c lng cua ban se thien lech va khong nhat quan va cac kiem nh se khong
co hieu lc. Chng 12 se rat quan trong neu ban gap bien phu thuoc gia hoac s dung
d lieu b bo bt (v du ch co cac gia tr dng c quan sat). Mot cach ly tng, ban
nen oc chng 13 trc khi tien hanh c lng va kiem nh gia thuyet. Tuy nhien,
neu thi gian co han, ban hay tm li khuyen ni giao vien ve cac chng nao nen oc
trc khi bat au phan tch thc nghiem.
Neu ban tien hanh phan tch d lieu cheo, hay thiet lap mot hoac nhieu mo hnh
tong quat va c lng chung. Neu d lieu cua ban gom ca dan so nh mot bien giai
thch, hay dien ta cac bien di dang bnh quan au ng i hn la s dung dan so nh
mot bien oc lap. Viec nay tranh c cac van e ve phng sai cua sai so thay oi co
the co. Hay am bao tien hanh cac kiem nh thch hp oi vi van e phng sai cua
sai so thay oi. Neu van e nay hien dien, hay s dung bnh phng toi thieu co trong
so e co c cac c lng hieu qua hn. Sau o ap dung ky thuat gian lc c s d
lieu e loai bo cac bien tha khoi mo hnh.

Tom tat
Neu phng sai cua phan d trong mo hnh hoi qui tuyen tnh la giong nh trong
moi quan sat, chung ta co phng sai cua sai so khong oi. Neu ngc lai, phng sai
cua cac phan d khac nhau trong mau, cac sai so c xem la co phng sai cua sai so
thay oi. Neu chung ta bo qua s hien dien cua tnh chat phng sai cua sai so thay oi
va ap dung thu tuc OLS, mot so tnh chat cua cac c lng b thay oi. Cac c lng
OLS van khong lech va nhat quan. Cac d bao can c tren cac c lng cung khong
thien lech va nhat quan. Tuy nhien, cac c lng va d bao la khong hieu qua va do
o se khong con la BLUE. V cac phng sai c lng va cac ong phng sai cua cac
c lng la thien lech va khong nhat quan, cac kiem nh gia thuyet se khong con hieu
lc na.
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Mot cong cu hu dung e xac nh tnh chat phng sai cua sai so thay oi la ve o
th bnh phng cua phan d OLS (u
^
t
2
) theo cac bien nghi ng la tao ra van e phng
sai cua sai so thay oi hoac theo cac gia tr thch hp (Y
^
t
2
). Tuy nhien, mot kiem nh
theo thu tuc c a chuong hn.
S co mat cua tnh chat phng sai cua sai so thay oi c xac nh bang mot so
kiem nh. Kiem nh Goldfeld-Quandt gom (1) xac nh mot bien co the gay ra tnh
chat phng sai cua sai so thay oi, (2) sap xep cac quan sat theo chieu tang dan cua
bien o, (3) c lng mo hnh oi vi n
1
quan sat au tien va n
2
quan sat cuoi cung (n
1

va n
2
bang khoang mot phan ba n), va (4) s dung kiem nh F ve ty so cua cac phng
sai sai so c lng
^
1
2
va
^
2
2
. Tuy nhien, kiem nh nay khong c e ngh s dung v
bang cach loai bo gan nh mot phan ba cac quan sat chung ta a bo i nhng thong tin
ang gia. Tng t, kiem nh nay khong ng dung c neu tnh chat phng sai cua
sai so thay oi phat sinh mot cach lien ket bi nhieu bien (v du nh dan so va thu
nhap).
Mot thu tuc kiem nh c a chuong la s dung kiem nh nhan t Lagrange
(LM), ay la mot kiem nh c mau ln. Trong chng nay, chung ta a thay bon kiem
nh LM, moi kiem nh co mot ac trng khac nhau cua phng sai sai so. Kiem nh
Glesjer gia nh rang o lech chuan cua sai so th t (
t
) phu thuoc vao mot so bien (ky
hieu la Z); kiem nh Breusch-Pagan gia nh la phng sai (
t
2
) phu thuoc vao cac Z;
kiem nh White ac trng cac Z bang cac bien goc X, bnh phng cua chung va tch
gia chung; va kiem nh Harvey-Godfrey ac trng logarit cua phng sai [ln(
t
2
)] nh
mot ham cua cac Z, tng ng vi gia nh la tnh chat phng sai cua sai so thay oi
la gia tang. Trong tat ca cac trng hp nay, bc au tien la hoi qui Y theo tat ca cac
bien X, gom ca so hang khong oi, va co c cac phan d u
^
t
. Bc tiep theo la hoi qui
| u
^
t
| (oi vi kiem nh Glesjer) hoac u
^
t
2
(oi vi cac kiem nh Breusch-Pagan va
White), hoac ln(u
^
t
2
) theo cac bien Z, phai gom ca so hang khong oi. Bc nay la hoi
qui phu trong o so bien giai thch gom ca so hang khong oi c ky hieu la p. Tr
thong ke la LM = nR
2
, vi n la so quan sat s dung va R
2
la R
2
khong hieu chnh trong
hoi qui phu. Theo gia thuyet khong ve tnh chat phng sai cua sai so khong thay oi,
LM co phan phoi chi-square vi p 1 bac t do. Bac bo gia thuyet khong neu LM vt
khoi gia tr gii han
2
p 1
(), vi la mc y ngha. Mot cach khac, tnh p-value =
Prob(
2
p - 1
> LM) dien tch ben phai cua LM trong phan phoi chi-square. Neu p-
value thap (di ), chung ta an toan khi bac bo gia thuyet khong va ket luan la co
tnh chat phng sai cua sai so thay oi. Neu p-value cao khong chap nhan c, chung
ta khong the bac bo gia thuyet ve phng sai cua sai so khong thay oi. Trong trng
hp nay, OLS la thu tuc chap nhan c.
Neu tnh chat phng sai cua sai so thay oi c phat hien, ngi ta co the s dung
bnh phng toi thieu tong quat kha thi (FGLS), hay con goi la bnh phng toi thieu co
trong so (WLS) e co c cac c lng nhat quan va hieu qua hn mot cach tiem can
(oi vi cac mau ln) cua cac thong so. Thu tuc nay la xac nh trong so w
t
cho moi
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quan sat, bang vi nghch ao cua o lech chuan ( 1/
t
) cua so hang sai so th t. V o
lech chuan nay cha biet, chung ta phai gia nh la no ty le vi mot so bien a biet hoac
phai s dung mo hnh e c lng
t
. Trong trng hp th nhat, cac c lng la
BLUE va tat ca cac kiem nh co hieu lc ngay ca oi vi cac mau nho. Trong trng
hp th hai, cac kiem nh ch hieu lc mot cach tiem can. Thu tuc chung la s dung hoi
qui phu e d bao phng sai hoac o lech chuan. Neu co bat ky gia tr nao bang khong
hoac am, chung ta se thay bang | u
^
t
| goc cho c lng o. Mot thu tuc khac bao am
cac phng sai d bao se dng la hoi qui ln(u
^
t
2
) theo cac bien Z va co c cac gia tr
d bao. Phep oi log (la lay ham mu) cua cac gia tr nay se luon luon dng va co the
c s dung nh la
^
t
2
. Ke en, at w
t
bang 1/
^
t
. Sau o nhan bien phu thuoc va moi
bien oc lap, bao gom ca so hang khong oi (so hang nay bat buoc phai co trong mo
hnh), vi w
t
tng ng. Cuoi cung, hoi qui bien phu thuoc a bien oi theo tat ca cac
bien oc lap a bien oi. Phep hoi qui cuoi cung nay se khong co so hang khong oi.
Cac c lng co c t mo hnh bien oi nay c goi la c lng bnh phng toi
thieu tong quat kha thi (FGLS). ay la cac c lng nhat quan, nh la cac phng sai
c lng va do vay tat ca cac kiem nh la hieu lc oi vi mau ln. Tuy nhien cac
c lng nay la thien lech oi vi mau nho.

Thuat ng

Auxiliary equation Phng trnh phu
Auxiliary regression Hoi qui phu
Breusch-Pagan test Kiem nh Breusch-Pagan
Dependent variable heteroscedasticity Tnh phng sai cua sai so thay oi cua
bien phu thuoc
Feasible generalized least squares
(FGLS)
Bnh phng toi thieu tong quat kha thi
Generalized least squares (GLS) Bnh phng toi thieu tong quat
Glesjer test Kiem nh Glesjer
Goldfrey-Quandt test Kiem nh Goldfrey-Quandt
Harvey-Godfrey test Kiem nh Harvey-Godfrey
Heteroscedasticity Phng sai cua sai so thay oi
Heteroscedasticity consistent covariance
matrix (HCCM) estimator
c lng ma tran ong phng sai nhat
quan cua phng sai cua sai so thay oi
Homoscedasticity Phng sai cua sai so khong oi
Jackknife Con dao xep
Multiplicative heteroscedasticity Phng sai cua sai so thay oi boi
Park test Kiem nh Park
Weight least squares (WLS) Bnh phng toi thieu co trong so
Whites test Kiem nh White
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Kinh tế lượng - c8

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Kinh tế lượng - c8

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Chng trnh Giang day Kinh te Fulbright

Nien khoa 2003-2004

la gia tr thch hp cua Y

phu thuoc vao tat ca cac X va

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