Phuong Sai Thay Doi

Chng trnh Ging dy Kinh t Fulbright Cc phng php nghin cu II Kinh t lng c s - 3rd ed.
Bi c Ch.11: Phng sai thay i

Damodar N. Gujarati 2 Bin dch: Xun Thnh
Hiu nh: Cao Ho Thi

P PH H N NG G S SA AI I T TH HA AY Y I I

Phng sai thay i (Heteroscedasticity, cn gi l phng sai ca sai s thay i) cha bao gi
l l do loi b mt m hnh m nu khng v l do ny m hnh s rt tt.
*

Nhng cng khng th b qua phng sai thay i!
Tc gi

Mt gi thit quan trng trong m hnh hi quy tuyn tnh c in (Gi thit 4) l cc yu t
nhiu u
i
xut hin trong hm hi quy tng th c phng sai khng thay i (homoscedasticity,
cn gi l phng sai c iu kin khng i); tc l chng c cng phng sai. Trong chng
ny, ta xem xt gi tr ca gi thit ny v tm xem iu g s xy ra nu gi thit ny khng
c tha mn. Ging nh trong Chng 10, ta tm cu tr li cho cc cu hi sau:
1. u l bn cht ca phng sai thay i?
2. u l nhng hu qu ca n?
3. Lm sao pht hin ra n?
4. u l cc bin php sa cha vn ny?
11.1 BN CHT CA PHNG SAI THAY I
Nh nu trong Chng 3, mt trong s cc gi thit quan trng ca m hnh hi quy tuyn
tnh c in l phng sai ca tng yu t nhiu u
i
, ty theo gi tr la chn ca cc bin gii
thch, l mt s khng i, bng o
2
. y l gi thit v phng sai khng thay i
(homoscedasticity), hay l khong chnh lch (scedasticity) bng nhau (homo), tc l, phng
sai bng nhau. V k hiu, ta c:
E(
2
i
u ) = o
2
i = 1, 2, ..., n (11.1.1)

*
N. Gregory Mankiw, A Quick Refresher Course in Macroeconomics, Journal of Economic Literature (Kha hc
gii thiu nhanh v kinh t v m, Tp ch Kinh t), tp XXVIII, 12/1990, trang 1648.
CHNG
11
Chng trnh Ging dy Kinh t Fulbright

Cc phng php nghin cu II
Bi c
Kinh t lng c s - 3
rd
ed.
Ch.11: Phng sai thay i

Hiu nh: Cao Ho Thi
Bng th, trong m hnh hi quy hai bin, phng sai khng thay i c th c biu din
trong Hnh 3.4. thun li, hnh ny c v li trong Hnh 11.1. Nh Hnh 11.1 biu din,
phng sai c iu kin ca Y
i
(bng vi phng sai ca u
i
), ty thuc vo gi tr cho trc ca
X
i
, khng i khi bin X nhn cc gi tr khc nhau.
Tri li, xem Hnh 11.2 trong cho thy phng sai c iu kin ca Y
i
tng ln khi X
tng. y, cc phng sai ca Y
i
khng ging nhau. Do vy c phng sai thay i. V k hiu
ta c:
E(
2
i
u ) = o
i
2
(11.1.2)
Ch ti ch s di ca o
2
. N lm ta nh li rng cc phng sai c c iu kin u
i
(= cc
phng sai c iu kin ca Y
i
) khng cn l hng s na.
lm r s khc nhau gia phng sai khng thay i v phng sai thay i, gi s
rng trong m hnh hai bin Y
i
= |
1
+ |
2
X
i
+ u
i
, Y i din cho tit kim v X i din cho thu
nhp. Hnh 11.1 v 11.2 cho thy rng khi thu nhp tng ln, tit kim tnh trung bnh cng tng
ln. Nhng trong Hnh 11.1 phng sai ca tit kim khng i tt c cc mc thu nhp, tri
li trong Hnh 11.2 phng sai tng ln theo thu nhp. Dng nh trong Hnh 11.2 cc gia nh
c thu nhp cao hn, tnh mt cch trung bnh, tit kim nhiu hn cc gia nh c thu nhp thp,
nhng bin thin trong tit kim ca h cng cao hn.
C mt vi l do ti sao cc phng sai ca u
i
c th thay i. Sau y l mt s l do.
1

HNH 11.1 Cc nhiu c phng sai khng thay i

1
Xem Stefan Valavanis, Econometrics (Kinh t lng), McGraw-Hill, New York, 1959, trang 48.

Thu nhp
Tit kim

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 11.2 Cc nhiu c phng sai thay i

1. Theo cc m hnh hc tp -sai lm, khi mi ngi hc hi, cc sai lm v hnh vi ca h
ngy cng nh i theo thi gian. Trong trng hp ny, o
i
2
c d kin l s gim dn. V
d, xem Hnh 11.3 trong biu din quan h gia sai st nh my xy ra trong mt
khong thi gian cho trc vi s gi thc tp nh my. Nh hnh 11.3 m t, khi s gi
thc tp nh my tng ln, s cc sai st nh my trung bnh cng nh phng sai ca
chng gim xung.
2. Khi thu nhp tng ln, ngi dn c nhiu thu nhp t nh hn
2
v phm vi la chn v
vic s dng thu nhp cng tng ln. V vy, o
i
2
c nhiu kh nng tng ln vi thu nhp. Do
vy, trong hi quy tit kim - thu nhp, ta s thy o
i
2
tng ln theo thu nhp (nh trong Hnh
11.2) do ngi dn c nhiu la chn hn v hnh vi tit kim ca mnh. Tng t, cc cng
ty c nhiu li nhun hn thng cho thy c nhiu bin thin hn trong chnh sch tr c
tc so vi cc cng ty c li nhun thp. Cng nh vy, cong ty c hng pht trin th c
kh nng cho thy c nhiu bin thin ln trong t l tr c tc so i cng ty c mc pht
trin khng i.
3. Khi cc k thut thu nhp s liu c ci thin, o
i
2
c nhiu kh nng gim. Nh vy, cc
ngn hng c thit b x l s liu phc tp thng phm t sai lm trong cc bo co hng
thng hay hng qu v khch hng ca h hn l cc ngn hng khng c cc phng tin
ny.

2
Nh Valavanis trnh by, Thu nhp tng ln, v ngi dn by gi khng cn tnh tng ng na, tri li trc
y, h tnh tng ho, ibid., trang 48.

Thu nhp
Tit kim

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 11.3 Minh ha phng sai thay i

4. Phng sai thay i cng c th ny sinh do s hin din ca yu t tch bit (outlier, cn
gi l yu t nm ngoi). Mt quan st nm ngoi l mt quan st rt khc (c th rt nh hay
rt ln) vi cc quan st khc trong mu. Vic bao gm hay loi tr mt quan st nh th, c
bit l nu nh c mu nh, c th lm thay i ng k cc kt qu phn tch hi quy. V d,
hy xem xt th phn tn trong Hnh 11.4. Da v s liu trong bi tp 11.20, hnh 11.4 v
tc thay i phn trm ca gi c phiu (Y) v gi tiu dng (X) trong giai on sau Chin
tranh Th gii th II ti 1969 cho 20 nc. Trong hnh v ny, quan st v Y v X ca Chil
c th c coi nh l mt quan st tch bit bi v cc gi tr Y v X ca Chil ln hn nhiu
so vi cc nc cn li. Trong cc trng hp ny, kh c th duy tr gi thit v phng sai
khng thay i. Trong bi tp 11.20 bn c yu cu tm xem iu g xy ra i vi cc kt
qu hi quy nu cc quan st ca Chil c loi b khi phn tch.
5. Mt ngun to ra phng sai thay i na ny sinh t vic vi phm Gi thit 9 ca m hnh
hi quy tuyn tnh c in (CLRM) rng m hnh hi quy c xc nh mt cch ng n.
Mc d ta s tho lun ni dung cc sai s dc trng y hn trong Chng 13, thng th
ci m c v nh phng sai thay i c th l do mt s bin quan trng b loi b khi m
hnh. Nh vy, trong hm cu mt hng ha, nu ta khng a gi c ca cc hng ha b
sung hay cnh tranh vi mt hng xem xt vo m hnh (thin lch ca bin b loi b), cc
phn d thu c t hi quy c th cho thy mt n tng r nt rng phng sai ca sai s
c th khng c nh. Nhng nu cc bin b st c a vo m hnh, n tng c th
bin mt.

S gi thc hnh nh my
Sai lm nh my

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 11.4 Quan h gia gi c phiu v gi tiu dng.
Lu rng vn phng sai thay i thng ph bin hn trong s liu cho so vi s
liu chui thi gian. Trong s liu cho, ngi ta thng lm vic vi cc thnh vin ca mt
tng th ti mt thi im, nh ngi tiu dng ring bit hay gia nh h, cng ty, ngnh kinh
t, hay khu vc a l nh bang, quc gia, thnh ph, v.v Hn na, cc thnh vin ny c th
c quy m khc nhau nh cng ty quy m nh, va hay ln, hay thu nhp thp, va hay cao. Mt
khc, trong s liu chui thi gian, cc bin c xu hng c th t v ln ging nhau do
ngi ta thng thu thp s liu ca cng mt i tng trong mt khong thi gian. V d nh
GNP, chi tiu tiu dng, tit kim, hay vic lm ti Hoa K trong giai on 1950-1994.
minh ha cho vn phng sai thay i thng xy ra trong phn tch s liu cho,
hy xem Bng 11.1. Bng ny cho ta s liu v lng bnh qun mt lao ng trong 10 ngnh
cng nghip ch to sn phm khng lu bn, phn loi theo quy m lao ng ca doanh nghip
hay c cu t chc trong nm 1958. Bng 11.1 cng cho ta s liu v nng sut bnh qun ca 9
nhm quy m lao ng.
Mc d cc ngnh khc nhau v c cu sn lng, Bng 11.1 cho thy r rng, tnh mt
cch trung bnh, cc cng ty ln tr lng cao hn cc cng ty nh. V d, cc cng ty s dng
t 1 n 4 lao ng tr trung bnh khong 4843 USD. Nhng lu rng c bin thin ng k
trong thu nhp gia cc phn loi quy m lao ng khc nhau. iu ny c biu th bng
lch chun c lng ca thu nhp. N cng c nhn thy t s liu i cng, trong biu th
di thu nhp trong tng nhm quy m lao ng. Nh Hnh 11.4 m t, di (gi tr cao nht - gi
Gi tiu dng (% thay i)


Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
tr thp nht), mt i lng th v mc bin thin, thay i theo nhm quy m lao ng, t
cho thy phng sai thay i trong thu nhp ca cc nhm quy m lao ng khc nhau.
11.2 C LNG OLS KHI C S HIN DIN CA PHNG SAI THAY
I
iu g xy ra i vi cc c lng OLS v phng sai ca chng nu ta a vo m hnh
phng sai thay i bng cch cho E(
2
i
u ) = o
i
2
nhng gi nguyn tt c cc gi thit khc ca
m hnh c in? tr li cu hi ny, ta hy quay li vi m hnh hai bin:
Y
i
= |
1
+ |
2
X
i
+ u
i

HNH 11.5 Lng bnh qun mt lao ng trong quan h vi quy m lao ng.

p dng cng thc thng thng, c lng OLS ca |
2
l:

=
2
2
i
i i
x
y x
|
=

n X Y X Y
n X X
i i i i
i i
2 2
( )
(11.2.1)
Lng trung bnh Di
S lao ng trung bnh

Chng trnh Ging dy Kinh t Fulbright Cc phng php nh lng II
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
BNG 11.1
Mc lng lao ng (USD) trong cc ngnh cng nghip ch to sn phm khng lu bn theo quy m lao ng ca doanh nghip, 1985
Qui m lao ng (s cng nhn trung bnh)
Ngnh cng nghip 1-4 5-9 10-19 20-49 50-99 100-249 250-499 500-999 1000-2499
Thc phm v cc sn phm tng t 2.994 3.295 3.565 3.907 4.189 4.486 4.676 4.968 5.342
Sn phm thuc l 1.721 2.057 3.336 3.320 2.980 2.848 3.072 2.969 3.822
Sn phm dt 3.600 3.657 3.674 3.437 3.340 3.334 3.225 3.163 3.168
May mc v cc sn phm lin quan 3.494 3.787 3.533 3.215 3.030 2.834 2.750 2.967 3.453
Giy v cc sn phm t g 3.498 3.847 3.913 4.135 4.445 4.885 5.132 5.342 5.326
In v xut bn 3.611 4.206 4.695 5.083 5.301 5.269 3.182 5.395 5.552
Ha cht v cc sn phm tng t 3.875 4.660 4.930 5.005 5.114 5.248 5.630 5.870 5.876
Sn phm du la v than 4.616 5.181 5.317 5.337 5.421 5.710 6.316 6.455 6.347
Sn phm cao su v nha 3.538 3.984 4.014 4.287 4.221 4.539 4.721 4.905 5.481
Da v sn phm t da 3.016 3.196 3.149 3.317 3.414 3.254 3.177 3.346 4.067
Lng lao ng trung bnh 3.396 3.787 4.013 4.014 4.146 4.241 4.387 4.538 4.843
lch chun 743,7 851,4 727,8 805,1 929,9 1080,6 1243,2 1307,7 1112,5
Nng sut trung bnh 9.355 8.584 7.962 8.275 8.389 9.418 9.795 10.281 11.750
Ngun: The Census of Manufacturers (Tng iu tra ngnh cng nghip ch to, B Thng mi Hoa K, 1958 ( tnh ton).

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
nhng phng sai ca n by gi c biu din bi cng thc sau (xem Ph lc 11A, Mc
11A.1):

=
2 2
2 2
2
) (
)
var(
i
i i
x
x o
| (11.2.2)
R rng cng thc ny khc vi cng thc phng sai thng thng trong trng hp c gi
thit v phng sai khng thay i; c th l:

=
2
2
2
)
var(
i
x
o
| (11.2.3)
Tt nhin, nu o
2
i
= o
2
i vi mi i, hai cng thc s ng nht. (Ti sao?)
Nh li rng
2
| l c lng tuyn tnh khng thin lch tt nht (BLUE) nu gi thit

ca m hnh c in, bao gm c gi thit v phng sai khng thay i, c tha mn. c
lng ny c cn l c lng tuyn tnh khng thin lch tt nht na khng khi ta b gi thit
v phng sai khng thay i v thay n bng gi thit v phng sai thay i? Ta c th d
dng chng minh rng
2
| vn l tuyn tnh v khng thin lch. Trn thc t, nh trnh by

trong Ph lc 3A, Mc 3A.2, to s khng thin lch ca
2
| , khng nht thit l cc yu t

nhiu (u
i
) phi c phng sai khng thay i. Thc t, phng sai ca u
i
, khng thay i hay
thay i, khng c vai tr trong vic xc nh tnh cht khng thin lch.
Vi iu kin
2
| vn tuyn tnh khng thin lch, n c hiu qu v tt nht, tc l

n c phng sai nh nht trong nhm cc c lng tuyn tnh khng thin lch hay khng? V
phng sai trong Phng trnh (11.2.2) c phi l phng sai nh nht khng? Cu tr li l
khng cho c hai cu hi:
2
| khng cn l phng sai tt nht v phng sai nh nht khng

phi l (11.2.2). Vy, u l c lng tuyn tnh khng thin lch tt nht trong trng hp c
s hin din ca phng sai thay i? Cu tr li c gii quyt trong mc sau.
11.3 PHNG PHP BNH PHNG TI THIU TNG QUT (GLS)
Ti sao c lng |
2
theo phng php bnh phng ti thiu thng thng (OLS) khng phi l
tt nht, mc d n vn khng b thin lch? V trc gic, ta c th nhn thy l do t Hnh 11.5.
Nh Hnh ny m t, mc thu nhp gia cc nhm quy m lao ng c bin thin ng k.
Nu ta thc hin hi quy mc lng bnh qun mt lao ng theo quy m lao ng, ta s thy
cn s dng kin thc cho rng thu nhp c tnh bin thin ln gia cc nhm. Mt cch l
tng, ta mun thit k mt chng trnh c lng qua cc quan st t tng th vi bin
thin cao s c trng s thp hn nhng quan st t tng th c bin thin nh hn. Xem xt
Hnh 11.5, ta s cho trng s ln hn i vi cc quan st t cc nhm quy m lao ng nh 10-
19 v 20-49 so vi cc quan st t nhm quy m lao ng nh 5-9 v 250-499 bi v cc quan
st t nhm quy m lao ng nh 10-19 v 20-49 phn b gn cc gi tr trung bnh ca chng
hn, v t cho php ta c lng hm hi quy tng th (PRF) chnh xc hn.
Tuy nhin, phng php OLS thng thng khng tun theo cch lm ny v do vy
khng s dng thng tin v tnh bin thin khng bng nhau ca bin ph thuc Y, nh lng
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
lao ng trong Hnh 11.5: Phng php OLS cho mi quan st cc trng s hay tm quan trng
nh nhau. Nhng mt phng php c lng, gi l bnh phng ti thiu tng qut (GLS),
a cc thng tin ny vo m hnh v do vy c kh nng a ra cc c lng tuyn tnh khng
thin lch tt nht (BLUE). tm hiu xem iu ny c thc hin nh th no, hy tip tc
vi m hnh hai bin quen thuc:
Y
i
= |
1
+ |
2
X
i
+ u
i
(11.3.1)
d dng hn cho vic bin i i s, ta vit (11.3.1) di dng
Y
i
= |
1
X
0i
+ |
2
X
i
+ u
i
(11.3.2)
vi X
0i
= 1 vi mi i. Ngi c c th nhn thy rng hai cng thc ny ng nht vi nhau.
By gi gi thit rng cc phng sai thay i o
2
i
bit. Chia 2 v (11.3.2) cho o
i
, ta c:

Y X X u
i
i
i
i
i
i
i
i
o
|
o
|
o o
=
|
\
|
.
|
+
|
\
|
.
|
+
|
\
|
.
|
1
0
2
(11.3.3)
d trnh by, ta vit (11.3.3) di dng
Y X X u
i i i i
* * * * * *
= + + | |
1 0 2
(11.3.4)
vi cc bin sao hay bin i l cc bin ban u chia cho o
i
bit. Ta s dng k hiu |
1
*

v |
2
*
, cc tham s ca m hnh bin i, phn bit chng vi cc tham s OLS thng
thng |
1
v |
2
.
Mc ch ca vic bin i m hnh gc l g? tm hiu, ch ti c im sau ca
sai s bin di u
i
*
:
var(u
i
*
) = E(u
i
*
)
2
= E
u
i
i
o
|
\
|
.
|
2

=
1
2
o
i
E(u
i
2
) do o
i
2
bit
=
1
2
o
i
(o
i
2
) do E(u
i
2
) = o
i
2

= 1 (11.3.5)
v khng i. Tc l, phng sai ca yu t nhiu bin i u
i
*
by gi l phng sai khng
thay i. Do ta vn gi nguyn cc gi thit khc ca m hnh c in, kt qu u
*
c phng sai
khng thay i cho thy nu ta p dng OLS i vi m hnh bin i (11.3.3), n s cho ta
cc c lng BLUE. Ni ngn gn, |
1
*
v |
2
*
by gi l c lng BLUE ch khng phi cc
c lng OLS
1
| v
2
| .
Php bin i cc bin gc cc bin bin i tha mn cc gi thit ca m hnh c
in v sau p dng phng php OLS i vi chng c gi l phng php bnh phng
ti thiu tng qut. Ni ngn gn, GLS l OLS i vi cc bin bin i tha mn cc gi
thit bnh phng ti thiu tiu chun. Cc c lng tnh c nh vy c gi l cc c
lng GLS, v chnh cc c lng ny mi c tnh cht BLUE.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Phng php thc t c lng |
1
*
v |
2
*
c trnh by nh sau. Th nht, ta vit
hm hi quy mu (SRF) ca (11.3.3)

|
|
.
|
\
|
+
|
|
.
|
\
|
+
|
|
.
|
\
|
=
i
i
i
i
i
i
i
i
u X X Y
o o
|
o
|
o

*
2
0 *
1

hay

* * *
2
*
0
*
1
*

i i i i
u X X Y + + = | | (11.3.6)
By gi, tnh cc c lng GLS, ta ti thiu ha

=
2 * *
2
*
0
*
1
* * 2
)

(
i i i i
X X Y u | |

tc l,

(
(
|
|
.
|
\
|
|
|
.
|
\
|
|
|
.
|
\
|
=
|
|
.
|
\
|
2
*
2
0 *
1
2

i
i
i
i
i
i
i
i
X X Y u
o
|
o
|
o o
(11.3.7)
Cch thc thc t ti thiu ha (11.3.7) tun theo k thut gii tch tiu chun v c trnh
by trong Ph lc 11A, Mc 11A.2. Nh trnh by trong ph lc, c lng |
2
*
theo GLS l:

=
2 2
*
2
) ( ) )( (
) )( ( ) )( (
i i i i i
i i i i i i i i
X w X w w
Y w X w Y X w w
| (11.3.8)
v phng sai ca n c tnh bi

=
2 2
1
*
2
) ( ) )( (
)
var(
i i i i
i
X w X w w
w
| (11.3.9)
vi w
i
= 1/o
i
2
.

S khc nhau gia OLS v GLS

Nh li t Chng 3 rng trong OLS ta ti thiu ha

2
2
1
2
)

(
i i i
X Y u

= | | (11.3.10)
nhng trong GLS ta ti thiu ha (11.3.7). (11.3.7) cng c th c vit nh sau:

=
2 *
2
*
1
2
)

(
i i i i i
X Y w u w | | (11.3.11)
vi w
i
= 1/o
i
2
[kim chng rng (11.3.11) v (11.3.7) ng nht].
Nh vy, trong GLS ta ti thiu ha tng bnh phng phn d c trng s vi w
i
= 1/o
i
2

ng vai tr cc trng s, nhng trong OLS ta ti thiu ha RSS khng c trng s hay (tng
ng vi) cc trng s bng nhau. Nh (11.3.7) biu th, trong GLS trng s ca tng quan st
t l nghch vi gi tr o
i
ca n, tc l trong qu trnh ti thiu ha RSS(11.3.11), cc quan st
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
t mt tng th vi gi tr o
i
ln hn s c trng s tng i nh hn v nhng quan st t tng
th vi gi tr o
i
nh hn s c trng s ln hn theo t l. nhn nhn s khc nhau gia OLS
v GLS mt cch r rng hn, hy xem xt th phn tn gi thit trong Hnh 11.6.
Trong phng php OLS (khng c trng s), tng gi tr
2
i
u gn vi cc im A, B, C
s nhn cng mt trng s trong qu trnh ti thiu ha RSS. R rng l trong trng hp ny gi
tr
2
i
u gn vi im C s chim u th trong RSS. Nhng trong GLS quan st thi cc C s c
trng s tng i nh hn so vi hai quan st kia. Nh nu trn, y l phng php ng
n bi v c lng hm hi quy tng th (PRF) mt cch tin cy hn, ta cho trng s ln
hn i vi cc quan st nm gn xung quanh gi tr trung bnh (tng th) ca chng so vi cc
quan st nm ri rc xa.
Do (11.3.11) ti thiu ha RSS c tnh trng s, n c gi l bnh phng ti thiu c
trng s (WLS), v cc c lng tnh c trong php ton ny v trnh by trong (11.3.8) v
(11.3.9) c gi l cc c lng WLS. Nhng WLS ch l mt trng hp c bit ca k
thut c lng tng qut hn, GLS. Trong bi cnh c phng sai thay i, ngi ta coi hai
khc nim WLS v GLS tng ng nhau. Trong cc chng sau, ta s tip cn vi cc trng
hp c bit khc ca GLS.
Trc khi chuyn sang phn tip theo, ch rng nu w
i
= w = hng s vi mi i,
*
2
|
ng nht vi
2
| v var(
*
2
| ) ng nht vi phng sai thng thng (ngha l phng sai khng

thay i) var(
2
| ) tnh theo cng thc (11.2.3). iu ny ny hon ton khng c g ngc nhin.
(Ti sao?) (Xem bi tp 11.8).

HNH 11.6 th phn tn gi thit

X
Y
0
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
11.4 CC HU QU CA VIC S DNG OLS KHI C S HIN DIN CA
PHNG SAI THAY I
Nh ta thy, c
*
2
| v
2
| u l cc c lng (tuyn tnh) khng thin lch: trong vic ly

mu lp li, tnh mt cch trung bnh,
*
2
| v
2
| s bng vi gi tr ng ca |
2
,
3
tc l, c hai l
cc c lng khng thin lch. Nhng ta bit rng ch c
*
2
| l hiu qu, tc l, c phng sai

nh nht. iu g xy ra vi khong tin cy, kim nh gi thit v cc th tc khc ca chng ta
nu ta tip tc s dng c lng OLS ca
2
| ? Ta phn bit hai trng hp.

c lng OLS c tnh ti phng sai thay i
Gi s ta s dng
2
| v s dng cng thc phng sai trong (11.2.2), trong c tnh n vn

phng sai thay i. S dng phng sai ny, v gi s bit o
i
2
, ta c th thit lp cc
khong tin cy v cc gi thit kim nh vi cc kim nh t v F thng thng c khng?
Cu tr li chung l khng bi v ta c th ch ra rng var(
*
2
| ) s var(
2
| ),
4
c ngha l cc
khong tin cy, da vo var(
2
| ) s ln mt cch khng cn thit. Do vy, cc kim nh t v F

c nhiu kh nng cho ta cc kt qu khng chnh xc bi v var(
2
| ) qu ln v ci m c th l
mt h s khng c ngha v thng k (do gi tr t s nh hn mc thch hp) c th trn thc
t li c ngha nu cc khong tin cy ng c thit lp trn c s ca phng php GLS.
c lng OLS khng tnh n phng sai thay i
Tnh hnh tr nn rt nghim trng nu ta khng ch s dng
2
| m cn tip tc s dng cng

thc phng sai thng thng (phng sai khng thay i) trong (11.2.3) thm ch nu phng
sai thay i tn ti hay c nghi l tn ti: Ch rng thng th hay xy ra trng hp th hai,
bi v chy chng trnh hi quy OLS chun v b qua (hay khng ch ) ti phng sai thay
i s cho ta phng sai
2
| nh trong (11.2.3). Trc ht, var(

2
| ) trong (11.2.3) l c lng

thin lch ca var(
2
| ) trong (11.2.2), tc l, tnh mt cch trung bnh, n c lng qu cao hay

qu thp var(
2
| ) trong (11.2.2), v ni chung ta khng th ni thin lch l dng (c lng

qu cao) hay m (c lng qu thp) bi v n ph thuc vo bn cht ca quan h gia o
i
2
v
cc gi tr ca bin X, nh c th thy r t (11.2.2) (xem bi tp 11.9). Thin lch pht sinh t
thc t l
2
o , c lng quy c ca o
2
, c th l, ) 2 /(
2
n u
i
khng cn l c khng thin
lch ca o
2
na khi c phng sai thay i. Do vy, ta khng th da vo cc khong tin cy v
cc kim nh t v F tnh theo quy c na.
5
Ni ngn gn, nu ta tip tc s dng cc th tc

3
Cng c th ch ra rng c
*
2
| v
2
| u l cc c lng nht qun, tc l, chng hi t gi tr ng ca |

2

khi kch thc mu n tng ln v hn.
4
C th xem chng minh chnh thc trong Phoebus J. Dhrymes, Introductory Econometrics (Kinh t lng gii
thiu), Springer-Verlag, New York, 1978, trang 110-111. Nhn y, lu rng s mt hiu qu ca
2
| [ngha l
var(
2
| ) vt var(
*
2
| ) bao nhiu] ph thuc vo cc gi tr mu ca cc bin X v gi tr ca

2
i
o .
5
T (5.3.6) ta bit rng khong tin cy 100(1o)% i vi |
2
l [
2
| t
o/2
se(
2
| )]. Nhng nu se(

2
| ) khng th
c c lng mt cch khng thin lch, ta c th tin tng g vo khong tin cy tnh theo quy c?
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
kim nh thng thng mc d c phng sai thay i, nhng kt lun hay s suy din c
th dn ta ti sai lm.
lm sng t thm ni dung ny, ta tham kho nghin cu Monte Carlo do Davidson
v MacKinnon thc hin.
6
H xem xt m hnh n gin sau, theo cch k hiu ca ta l
Y
i
= |
1
+ |
2
X
i
+ u
i
(11.4.1)
H gi s rng |
1
= 1, |
2
= 1, v u
i
~ N(0,
o
i
X ). Nh biu thc sau cng cho thy, phng sai
ca sai s thay i v quan h vi gi tr ca bin hi quy c lp X ly tha o. V d, nu o = 1,
phng sai ca sai s t l vi gi tr ca X; nu o = 2, phng sai ca sai s t l vi bnh
phng gi tr ca X, v v.v... Trong Mc 11.6 ta s xem xt lgc ng sau phng php ny.
Da vo vic lp li 20.000 ln v cho php o nhn cc gi tr khc nhau, h tnh c cc sai s
chun ca hai h s hi quy s dng OLS [xem Phng trnh (11.2.3)], OLS c tnh ti phng
sai thay i [xem Phng trnh (11.2.2)] v GLS [xem Phng trnh (11.3.9)]. Ta tm tt cc kt
qu vi cc gi tr la chn ca o trong bng sau:

Sai s chun ca
1
| Sai s chun ca
2
|
Gi tr o OLS OLS
het.
GLS OLS OLS
het.
GLS
0,5 0,164 0,134 0,110 0,285 0,277 0,243
1,0 0,142 0,101 0,048 0,246 0,247 0,173
2,0 0,116 0,074 0,0073 0,200 0,220 0,109
3,0 0,100 0,064 0,0013 0,173 0,206 0,056
4,0 0,089 0,059 0,0003 0,154 0,195 0,017
Ch : OLS
het.
c ngha l OLS c tnh ti phng sai thay i.
c im ni bt nht ca cc kt qu ny l OLS, c hiu chnh hay khng hiu chnh khi ny
sinh phng sai thay i, u lun c lng qu cao gi tr ng ca sai s chun tnh bi
phng php GLS (ng n), c bit l i vi cc gi tr cao hn ca o, v do vy cho thy
r tnh u vit ca GLS. Cc kt qu ny cng cho thy rng nu ta khng s dng GLS v da
vo OLS c tnh n hay khng tnh n vn thay i bc tranh l phc hp. Cc sai s
chun OLS thng thng hoc qu ln (i vi tung gc) hoc thng qu nh (i vi h s
gc) trong quan h vi cc gi tr tnh c bng OLS c tnh ti phng sai thay i. Thng
ip rt r rng: Trong trng c phng sai thay i, ta s dng GLS. Tuy nhin, v cc l do
gii thch phn sau ca chng, trn thc t, khng phi lc no cng c th p dng GLS mt
cch d dng.
T tho lun trn, r rng l phng sai thay i l mt vn kh khn nghim trng
v tim nng v cc nh nghin cu cn phi bit trong mt tnh hung c th vn ny c xut
hin hay khng. Nu s hin din ca n c pht hin, ta c th a ra bin php chnh sa,
nh s dng hi quy bnh phng ti thiu c trng s hay k thut khc. Tuy nhin, trc khi
quay li xem xt cc phng php hiu chnh khc nhau, trc ht ta phi tm xem phng sai
thay i c xut hin hay c nhiu kh nng xut hin trong mt trng hp c th hay khng.
Ni dung ny c tho lun trong phn sau.

6
Russell Davidson & James G. macKinnon, Estimation and Inference in Econometrics (c lng v Suy lun
trong Kinh t Lng), Oxford University Press, New York, 1993, trang 549-550.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
11.5 PHT HIN PHNG SAI THAY I
Cng nh trng hp a cng tuyn, cu hi quan trng trn thc t l: Lm sao ta bit c c
phng sai thay i trong mt tnh hung c th? Cng nh trong a cng tuyn, khng c cc
quy tc bt di bt dch pht hin ra phng sai thay i m ch c vi qui tc kinh nghim.
Nhng y l tnh hung khng th trnh c do ta ch c th bit c o
i
2
nu c ton b tng
th Y tng ng vi cc gi tr X, nh l tng th trnh by trong Bng 2.1 hay Bng 11.1. Nhng
nhng s liu l mt ngoi l ch khng phi l mt quy tc s dng trong hu ht cc iu
tra kinh t. V mt ny, cc nh kinh t lng khc vi cc nh khoa hc trong cc lnh vc nh
nng nghip v sinh hc. Trong cc lnh vc , nh nghin cu c nhiu kh nng kim sot cc
i tng ca mnh. Thng th trong nghin cu kinh t, ch c mt gi tr mu ca Y tng
ng vi mt gi tr c th ca X. V khng c cch no m ta c th bit c o
i
2
ch t mt
quan st ca Y. Do vy, trong phn ln cc trng hp lin quan ti iu tra kinh t lng,
phng sai thay i c l l vn trc gic, kh nng d on qua rn luyn, kinh nghim thc
nghim c trc, hay suy on tuyt i.
Vi vn trnh by trc trn, hy xem xt mt s phng php khng chnh thc v
chnh thc pht hin phng sai thay i. Nh tho lun sau y s lm sng t, phn ln cc
phng php c da vo vic xem xt cc phn d OLS
i
u do chng l nhng yu t m ta
quan st, ch khng phi yu t nhiu u
i
. Ngi ta hy vng rng chng l nhng c lng tt
ca u
i
. Hy vng ny s l hin thc nu c mu kh ln.
Cc phng php khng chnh thc
Bn cht ca vn . Thng th bn cht ca vn ang xem xt gi cho ta v phng sai
thay i c kh nng xy ra hay khng. V d, tip tc nghin cu cng trnh tin phong ca
Prais v Houthakker v ngn sch gia nh, trong h tm ra rng phng sai phn d xung
quanh hi quy ca tiu dng i vi thu nhp tng theo thu nhp, by gi ngi ta gi thit tng
qut rng trong cc iu tra tng t ta c th k vng rng cc phng sai khng bng nhau
gia cc yu t nhiu.
7
Trn thc t, trong s liu cho lin quan ti cc n v khng ng nht,
phng sai thay i c th l quy lut ch khng phi l trng hp ngoi l. Nh vy, trong
phn tch s liu cho lin quan ti chi u t trong quan h vi doanh thu, mc li sut, v.v,
phng sai thay i thng xy ra nu cc cng ty quy m nh, va v ln c a vo cng
trong mt mu.
Phng php th. Nu khng c mt s tin nghim hay thng tin thc nghim v bn cht
ca phng sai thay i, trn thc t ngi ta c th thc hin phn tch hi quy da trn gi
thit l khng c phng sai thay i v sau thc hin kim tra sau khi chy hi quy v phn
d bnh phng u
i
2
xem xem chng c biu th mt mu hnh h thng khng. Mc d u
i
2

khng ng nht vi u
i
2
, chng c th c s dng lm s gn ng c bit nu c mu
ln.
8
Mt s thm tra u
i
2
c th cho ta thy c cc mu hnh nhng trong Hnh 11.7.

7
S. J. Prais & H. X. Houthakker, The Analysis of Family Budgets (Phn tch Ngn sch Gia nh), Cambridge
University Press, New York, 1955.
8
V quan h gia
u
i
2
v u
i
2
, xem E. Malinvaud, Statistical Methods of Economictrics (Cc Phng php Thng k
ca Kinh t Lng), North Holland Publishing Company, Amsterdam, 1970, trang 88-89.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Trong Hnh 11.7, u
i
2
c v trong quan h vi Y
i
, gi tr c lng ca Y
i
t ng hi
quy. tng l tm xem gi tr trung bnh c lng ca Y c quan h mt cch h thng vi
phn d bnh phng hay khng. Trong Hnh 11.7a ta thy rng khng c mt mu hnh h
thng gia hai bin, t gi rng c l khng c s hin din ca phng sai thay i trong
s liu. Tuy nhin, cc hnh 11.7b n e cho thy mt mu hnh c th. V d, Hnh 11.7c a ra
mt quan h tuyn tnh, tri li Hnh 11.7d v e ch ra quan h bc hai gia u
i
2
v Y
i
. S dng
kin thc ny, mc d khng chnh thc, ngi ta c th chuyn s liu theo cch thch hp
cc s liu sau khi bin i khng cn phng sai thay i. Trong Mc 11.6, ta s xem xt mt
s php bin i ny.
Thay cho vic v u
i
2
theo Y
i
, ngi ta c th v chng theo mt bin gii thch, c bit
nu nh vic v u
i
2
theo Y
i
to ra mu hnh nh Hnh 11.7a. Mt th v nh trnh by trong
Hnh 11.8, c th cho ta cc mu hnh ging nh trong Hnh 11.7. (Trong trng hp m hnh
hai bin, v u
i
2
theo Y
i
tng ng vi vic v n theo X
i
, v do vy m Hnh 11.8 ging vi
Hnh 11.7. Nhng iu ny s khc i khi ta xem xt m hnh c hai hay nhiu bin gii thch X;
trong v d ny, u
i
2
c th c v theo mi bin X c trong m hnh).
V d, mt mu hnh nh trong Hnh 11.8c, cho thy rng phng sai ca yu t nhiu c
quan h tuyn tnh vi bin X. Nh vy, nu trong hi quy tit kim - thu nhp, ta tm thy mt
mu hnh nh trong Hnh 11.8c th iu cho thy rng phng sai thay i c th t l vi gi
tr ca bin thu nhp. Thng tin ny c th tr gip ta trong php bin i s liu theo cch
trong hi quy i vi s liu bin i, phng sai ca yu t nhiu s khng thay i. Ta s
quay tr li ni dung ny trong phn sau.

HNH 11.7 Cc mu hnh gi thit ca phn d bnh phng c lng
0
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

Cc phng php chnh thc
Kim nh Park.
9
Park hp thc ha phng php th bng cch cho rng o
i
2
l mt hm s
ca bin gii thch X
i
. Dng hm s m Park gi l
o
i
2
= o
2 X
i
|
e
vi

hay
lno
i
2
= ln o
2
+ |lnX
i
+ v
i
(11.5.1)
vi v
i
l s hng nhiu ngu nhin.

HNH 11.8 th phn tn ca cc phn d bnh phng c lng theo X.

Do ta thng khng bit c o
i
2
, Park ngh s dng u
i
2
nh mt bin thay th v thc hin
hi quy sau:
ln u
i
2
= lno
2
+ |lnX
i
+ v
i

= o + |lnX
i
+ v
i
(11.5.2)
Nu | c ngha v mt thng k, n s cho thy l c phng sai thay i trong s liu. Nu |
khng c ngha, ta c th chp nhn gi thit v phng sai khng thay i. Nh vy, kim
nh Park l mt quy trnh hai bc. Trong bc mt, ta chy hi quy OLS m khng xem xt

9
R. E. Park, Estimation with Heteroscedastic Error Terms (c lng vi cc s hng sai s c phng sai thay
i), Econometrica, tp 34, s 4, 10/1966, trang 888. Kim nh Park l mt trng hp c bit ca kim nh tng
qut do A. C. Harvey xut trong Estimating Regression Models with Multiplicative Heteroscedasticity (c
lng cc m hnh hi quy vi phng sai thay i tch), Econometrica, tp 44, s 3, 1976, trang 461-465.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
ti phng sai thay i. Ta tnh c
i
u t hi quy ny, v sau trong bc hai ta chy hi quy
(11.5.2).
Mc d c ngha v mt thc nghim, kim nh Park c mt s vn kh khn.
Goldfeld v Quandt lp lun rng sai s v
i
trong (11.5.2) c th khng tha mn cc gi thit
OLS v bn thn n c th l phng sai thay i.
10
Tuy vy, ngi ta c th s dng kim nh
Park nh mt phng php gii thch cht ch.
V d 11.1. Quan h gia lng v nng sut. minh ha phng php Park, ta s dng s liu trong
Bng 11.1 chy hi quy sau:
Y
i
= |
1
+ |
2
X
i
+ u
i

Vi Y = lng trung bnh tnh theo nghn USD, X = nng sut trung bnh tnh theo nghn USD, v i =
quy m lao ng th i ca t chc kinh t. Sau y l cc kt hi quy:
Y
i
= 1992,3452 + 0,2329X
i

se = (936,4791) (0,0998) (11.5.3)
t = (2,1275) (2,333) R
2
= 0,4375
Cc kt qu cho thy h s dc c lng c ngha mc 5% trn c s ca kim nh t mt
pha. Phng trnh cho thy khi nng sut lao ng tng ln, v d, 1 USD, lng (th lao lao ng)
tnh trung bnh tng ln 23 xen.
Cc phn d nhn c t hi quy (11.5.3) c tnh hi quy theo X
i
nh trong Phng trnh
(11.5.2). T ta c cc kt qu sau:
ln u
i
2
= 35,817 2 ,8099lnX
i

se = (38,319) (4,216) (11.5.4)
t = (0,934) (-0,667) R
2
= 0,0595
R rng, khng c quan h c ngha thng k gia hai bin. Theo kim nh Park, ta c th kt
lun rng khng c phng sai thay i trong phng sai ca sai s.
11

Kim nh Glejser.
12
Kim nh Glejser tng t nh tinh thn ca kim nh Park. Sau khi
tnh c cc phn d u
i
t hi quy OLS, Glejser thc hin hi quy cc gi tr tuyt i ca u
i

theo bin X, cc gi tr ny c cho rng c quan h mt thit vi o
i
2
. Trong cc th nghim
ca mnh, Glejser s dng cc dng hm s sau:
u
i
= |
1
+ |
2
X
i
+ v
i

u
i
= |
1
+ |
2 X
i
+ v
i

u
i
= |
1
+ |
2
1
X
i
+ v
i

10
Stephen M. Goldfeld & Richard E. Quandt, Nonlinear Methods in Econometrics (Cc Phng php Phi tuyn
trong Kinh t Lng), North Holland Publishing Company, Amsterdam, 1972, trang 93-94.
11
Dng hm c th do Park la chn ch l gi . Mt dng hm khc c th to ra quan h c ngha. V d, ta
c th s dng
u
i
2
thay cho ln
u
i
2
lm bin ph thuc.
12
H. Glejser, A New Test for Heteroscedasticity, Journal of the American Statistical Association (Mt kim nh
mi v phng sai thay i, Tp ch ca Hip hi Thng k Hoa K), tp 64, 1969, trang 316-323.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
u
i
= |
1
+ |
2
1
X
i
+ v
i

u
i
= | |
1 2
+ X
i
+ v
i

u
i
= | |
1 2
2
+ X
i
+ v
i

vi v
i
l s hng sai s.
Mt ln na, trn kha cnh thc nghim hay thc tin, ta c th s dng phng Glejser. Nhng
Goldfeld v Quandt ch ra rng s hng sai s v
i
c mt s vn theo gi tr k vng ca v
i

khc khng, v
i
c tng quan chui (xem Chng 12), v kh chm bim l n li c phng sai
thay i.
13
Mt kh khn na ca phng php Glejser l cc m hnh nh
u
i
= | |
1 2
+ X
i
+ v
i
v u
i
= | |
1 2
2
+ X
i
+ v
i

c cc tham s phi tuyn v do vy khng th c lng bng quy trnh OLS.
Glejser tm thy rng i vi cc mu ln, 4 m hnh u tin trong s cc m hnh trn
cho ta cc kt qu ni chung l tha ng trong vic pht hin ra phng sai thay i. Do vy, v
mt thc tin, phng php Glejser c th c s dng cho cc mu ln. i vi cc mu nh
th n ch c xem nh l mt phng tin nh tnh tm hiu v phng sai thay i. V
ng dng phng php Glejser, xem Mc 11.7.
Kim nh tng quan theo hng ca Spearman (Spearman rank correlation test). Trong bi
tp 3.8, ta nh ngha h s tng quan hng ca Spearman nh sau:
r
d
n n
s
i
=
(
(
1 6
1
2
2
( )
(11.5.5)
vi d
i
= s khc nhau gia cc hng quy cho hai c im khc nhau ca thnh phn hay hin
tng th i v n = s cc thnh phn hay hin tng c xp th hng. H s ng quan hng
trn c th c s dng pht hin ra phng sai thay i nh sau: Gi s Y
i
= |
0
+ |
1
X
i
+ u
i
.
Bc 1. Thc hin hi quy Y theo X v tnh phn d u
i
.
Bc 2. B qua du ca u
i
, tc l, ly gi tr tuyt i u
i
, xp th hng c u
i
ln X
i
(hay
Y
i
) theo th t tng ln hay gim xung v tnh h s tng quan hng Spearman theo
cng thc trn.
Bc 3. Gi thit rng h s tng quan hng ca tng th
s
bng khng v n > 8, ngha ca
r
s
mu c th c kim nh bng kim nh t nh sau:
14

2
1
2
s
s
r
n r
t

= (11.5.6)
vi s bc t do = n 2.

13
V chi tit, xem Goldfeld & Quandt, op. Cit., Chng 3.
14
Xem G. Udny Yule & M. G Kendall, An Introduction to the Theory of Statistics (Gii thiu L thuyt Thng k),
Charles Griffin & Company, London, 1953, trang 455.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Nu gi tr t tnh c ln hn gi tr t ti hn, ta c th chp nhn gi thit v phng sai
thay i; ngc li ta c th bc b n. Nu m hnh hi quy c nhiu hn mt bin X, r
s
c th
c tnh gia u
i
v tng bin X mt cch ring r v c th c kim nh v ngha thng
k bng kim nh t theo nh Phng trnh (11.5.6).
V d 11.2. Minh ha kim nh tng quan hng. minh ha kim nh tng quan hng, xem
xt s liu trong Bng 11.2 l mt mu con ly t s liu trong bng thuc bi tp 5.16, trong yu
cu bn c lng ng th trng vn ca l thuyt c cu u t chng khan, c th, E
i
= |
1
+
|
2
o
i
, vi E l sut sinh li k vng ca c cu u t v o l lch chun ca sut sinh li. Do s
liu lin quan ti 10 qu h tng c quy m v mc tiu u t khc nhau, trong s tin nghim ta
c th d kin c phng sai thay i. kim nh gi thit ny, ta p dng phng php tng
quan hng. Cc php tnh cn thit cng c ch trong Bng 11.2.
p dng cng thc (11.5.5), ta c:

) 1 100 ( 10
110
6 1
=
s
r
= 0,3333 (11.5.7)
p dng kim nh t trong (11.5.6), ta c:

1110 , 0 1
) 8 )( 3333 , 0 (
= t
= 0,9998 (11.5.8)
Vi 8 bc t do, gi tr t khng c ngha mc ngha10%; gi tr p bng 0,17. Nh vy, khng
c bng chng v mi quan h h thng gia bin gii thch v cc gi tr tuyt i ca phn d.
iu ny c th cho thy rng khng c phng sai thay i.

BNG 11.2
Kim nh tng quan hng v phng sai thay i

Tn qu
E
i
, sut
sinh li
bq nm
%
o
i
, lch
chun ca
sut sinh
li/nm

i
*
i
u
phn d,
( )
i i
E E

Th
hng
ca
i
u
Th
hng
ca
o
i

d, hiu
s gia
hai th
hng

d
2

Boston Fund 12,4 12,1 11,37 1,03 9 4 5 25
Delaware Fund 14,4 21,4 15,64 1,24 10 9 1 1
Equity Fund 14,6 18,7 14,40 0,20 4 7 -3 9
Fundamental
Investors
16,0 21,7 15,78 0,22 5 10 -5 25
Investors Mutual 11,3 12,5 11,56 0,26 6 5 1 1
Loomis-Sales Mutual
Fund
10,0 10,4 10,59 0,59 7 2 5 25
Massachusetts
Investors Trust
16,2 20,8 15,37 0,83 8 8 0 0
New England Fund 10,4 10,2 10,50 0,10 3 1 2 4
Putnam Fund of
Boston
13,1 16,0 13,16 0,06 2 6 -4 16
Wellington Fund 11,3 12,0 11,33 0,03 1 3 -2 4
Total 0 110
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
* Tnh t hi quy:
i
= 5,8194 + 0,4590o
i
.
Gi tr tuyt i ca cc phn d.
Ch : Th t c xp theo gi tr tng dn.
Kim nh Goldfeld-Quandt.
15
Phng php ph bin ny dc p dng nu ta gi s rng
phng sai thay i, o
i
2
, quan h ng bin vi mt trong s cc bin gii thch trong m hnh
hnh hi quy. n gin ha, ta hy xem xt m hnh hai bin thng thng sau:
Y
i
= |
1
+ |
2
X
i
+ u
i

Gi s o
i
2
quan h ng bin vi X
i
nh sau
o
i
2
= o
2
2
i
X
(11.5.9)
vi o
2
l hng s.
16

Gi thit (11.5.9) mc nh rng o
i
2
t l thun vi bnh phng ca bin X. Prais v
Houthakker trong nghin cu ngn sch gia nh ca h nhn thy rng gi thit nh vy l
thch hp. (Xem Mc 11.6).
Nu (11.5.9) thch hp, iu c ngha l o
i
2
c th ln hn khi gi tr ca X
i
ln hn.
Nu trng hp ny xy ra, phng sai thay i c rt nhiu kh nng hin din trong m hnh.
kim nh mt cch r rng, Goldfeld v Quandt a ra cc bc sau:
Bc 1. Xp th t hay sp hng cc quan st theo cc gi tr ca X
i
, bt u t gi tr thp nht
ca X.
Bc 2. Loi b quan st nm gia, vi c c xc nh l mt tin nghim, v chia (n c)
quan st cn li lm hai nhm, mi nhm cha (n c)/2 quan st.
Bc 3. Thit lp cc hi quy OLS ring r cho (n c)/2 quan st u v cui, v tnh tng cc
bnh phng phn d RSS
1
v RSS
2
tng ng, RSS
1
i din cho RSS t hi quy
tng ng vi cc gi tr nh hn ca X
i
(nhm phng sai nh) v RSS
2
i din cho
RSS t hi quy tng ng vi cc gi tr ln hn ca X
i
(nhm phng sai ln). Mi
RSS ny c:
df hay |
.
|
\
|
2
2
2
) ( k c n
k
c n
(bc t do)
vi k l s cc tham s cn c lng, bao gm c tung gc. (Ti sao?) Trong
trng hp hai bin, tt nhin l k bng 2.
Bc 4. Tnh t l

df RSS
df RSS
/
/
1
2
= (11.5.10)

15
Goldfeld & quandt, op. cit., Chng 3.
16
y ch l mt gi thit hp l. Trn thc t, iu kin cn thit l
2
i
o c quan h n iu vi X
i
.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Nu u
i
c gi thit l c phn phi chun (mt gi thit m ta thng a ra), v
nu gi thit v phng sai thay i c hiu lc, th c th ch ra rng trong
(11.5.10) tun theo phn phi F vi s bc t do (df) t s v mu s l (n c 2k)/2.
Nu trong mt ng dng, gi tr (= F) tnh c ln hn F ti hn ti mc ngha
chn, ta c th bc b gi thit v phng sai khng thay i, tc l, ta c th ni rng phng
sai thay i c rt nhiu kh nng tn ti.
Trc khi minh ha kim nh ny, ta cn gii thch v vic loi b c quan st gia.
Cc quan st ny c loi b lm r hay tng thm s khc bit gia nhm phng sai nh
(ngha l RSS
1
) v nhm phng sai ln (ngha l RSS
2
). Nhng kh nng ca kim nh
Goldfelt-Quandt trong vic thc hin iu ny mt cch thnh cng ph thuc vo vic c c
la chn nh th no.
17
i vi m hnh hai bin, cc th nghim Monte Carlo do Goldfelt v
Quandt thc hin cho thy c vo khong 8 nu c mu khong 30, v khong 16 nu c mu vo
khong 60. Nhng Judge v cc ng tc gi lu rng c = 4 nu n = 30 v c = 10 nu n vo
khong 60 l tha ng trn thc tin.
18

Trc khi tip tc tho lun, c th cn lu rng trong trng hp c nhiu hn mt
bin X trong m hnh, xp th hng ca cc quan st, tc l bc mt trong kim nh, c th
c thc hin theo bt c bin no trong s cc bin X. Nh vy trong m hnh: Y
i
= |
1
+ |
2
X
2i

+ |
3
X
3i
+ |
4
X
4i
+ u
i
, ta c th xp th t s liu theo mi bin trong s cc bin X. Nu trong tin
nghim, ta khng bit chc bin X no l thch hp, ta c th thc hin kim nh i vi tng
bin X, hay bng kim nh Park i vi tng bin X.
V d 11.3. Kim nh Goldfelt-Quandt. minh ha kim nh Goldfeld-Quandt, ta trnh by
trong Bng 11.3 s liu cho ca 30 gia nh v chi tiu tiu dng trong quan h vi thu nhp. Gi s
ta mc nh rng chi tiu tiu dng quan h tuyn tnh vi thu nhp nhng s liu c phng sai thay
i. Ta mc nh thm rng bn cht ca phng sai thay i ging nh trong (11.5.9). Vic xp li
th t cn thit cc s liu p dng kim nh cng c trnh by trong Bng 11.3.
B 4 quan st gia, cc hi quy OLS da vo 13 quan st u v 13 quan st cui v cc tng bnh
phng phn d tng ng ca chng c trnh by tip sau (sai s chun c t trong ngoc).
Hi quy da vo 13 quan st u:
Y
i
= 3,4094 + 0,6968X
i

(8,7049) (0,0744) r
2
= 0,8887
RSS
1
= 377,17
Bc t do = 11
Hi quy da vo 13 quan st sau:

17
V mt k thut, nng lc ca kim nh ph thuc vo vic c c lc chn nh th no. Trong thng k, nng
lc ca mt kim nh c tnh bi xc sut bc b gi thit khng khi n sai [ngha l bng 1 Xc sut (sai lm
loi II)]. y, gi thit khng l cc phng sai ca hai nhm nh nhau, ngha l phng sai khng thay i. V
tho lun su hn, xem M. M. v C. Giaccotto, Mt Nghin cu cc Kim nh Mi v Hin hu v Phng sai
thay i trong M hnh Tuyn tnh Tng qut, Journal of Econometrics (Tp ch Kinh t Lng), tp 26, 1984,
trang 355-373.
18
George G. Judge, R. Carter Hill, William E. Griffiths, Helmut Ltkepohl, v Tsoung-Chao Lee, Introduction to
the Theory of Econometrics (Gii thiu L thuyt Kinh t Lng), John Wiley & Sons, New York, 1982, trang 422.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Y
i
= 28,0272 + 0,7941X
i

(30,6421) (0,1319) r
2
= 0,7681
RSS
1
= 1536,8
Bc t do = 11

BNG 11.3
S liu gi thit v chi tiu tiu dng Y(USD) v thu nhp
X(USD) minh ha kim nh Goldfelt-Quandt
S liu xp bc theo cc gi tr X
Y X Y X
55 80 55 80
65 100 70 85
70 85 75 90
80 110 75 100
79 120 65 105
84 115 74 110
98 130 80 115
95 140 84 120
90 125 79 125
75 90 90 130
74 105 98 140
110 160 95 145
113 150 108 150
125 165 113 160
108 145 110 165 4 quan st
115 180 125 180 gia
140 225 115 185
120 200 130 190
145 240 135 200
130 185 120 205
152 220 140 210
144 210 144 220
175 245 152 225
180 260 140 230
135 190 137 240
140 205 145 245
178 265 175 250
191 270 189 260
137 230 178 265
189 250 191 270

T cc kt qu hi quy ny, ta c

07 , 4
11 / 17 , 377
11 / 8 , 1536
1
2
=
= =
df RSS
df RSS
/
/

}
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Gi tr ti hn ca F i vi 11 bc t do t s v 11 bc t do mu s ti mc 5% l 2,82. Do gi
tr F(= ) ln hn gi tr ti hn, ta c th kt lun rng c phng sai thay i trong phng sai ca
sai s. Tuy nhin, nu mc ngha c c nh ti 1%, ta c th khng bc b gi thit v phng
sai khng thay i. (Ti sao?) Lu rng gi tr p ca quan st c l 0,014.
Kim nh Preusch-Pagan-Godfrey.
19
S thnh cng ca kim nh Goldfeld-Quandt khng
ch ph thuc vo gi tr ca c (s cc quan st gia b loi b) m cn vo vic xc nh ng
bin X dng n xp thc t cc quan st. Hn ch ny ca kim nh c th vt qua c
nu ta xem xt kim nh Preusch-Pagan-Godfrey (BPG).
minh ha kim nh ny, hy xem xt m hnh hi quy tuyn tnh k bin sau:
Y
i
= |
1
+ |
2
X
2i
+ ... + |
k
X
ki
+ u
i
(11.5.11)
Gi thit rng phng sai ca sai s o
i
2
c biu din nh sau:
o
i
2
= f(o
1
+ o
2
Z
2i
+ .. + o
m
Z
mi
) (11.5.12)
tc l, o
i
2
l mt hm s ca cc bin phi ngu nhin Z; mt s hay tt c X c th ng vai tr
ca Z. Mt cch c th, gi thit rng
o
i
2
= o
1
+ o
2
Z
2i
+ .. + o
m
Z
mi
(11.5.13)
tc l, o
i
2
l hm tuyn tnh ca cc bin Z. Nu o
2
= o
3
= ... = o
m
, th o
i
2
= o
1
= hng s. Do
vy, kim nh xem o
i
2
c khng thay i hay khng, ta c th kim nh gi thit l o
2
= o
3

= ... = o
m
= 0. y l tng c bn ng sau kim nh Breusch-Pagan. Sau y l quy tc thc
t:
Bc 1. c lng (11.5.11) bng OLS v tnh cc phn d u
1
, u
2
,..., u
n
.
Bc 2. Tnh
= n u
i
/
~ 2 2
o . Nh li t Chng 4 rng y l c lng hp l ti a (ML)
ca o
2
. [Lu : c lng OLS l
) /(
2
k n u
i
].
Bc 3. Lp cc bin p
i
vi nh ngha sau:

2 2 ~
/ o
i i
u p = (11.5.14)
Bin p
i
n gin l tng phn d bnh phng chia cho
2 ~
o .
Bc 4. Thc hin hi quy i vi p
i
va thit lp theo cc bin Z nh sau:
p
i
= o
1
+ o
2
Z
2i
+ .. + o
m
Z
mi
+ v
i
(11.5.15)
vi v
i
l phn d trong hi quy ny.
Bc 5. Tnh ESS (tng cc bnh phng gii thch c) t (11.5.14) v nh ngha

19
T. Breusch & A. Pagan, A Simple Test for Heteroscedasticity and Random Coefficient Variation (Mt kim
nh n gin v phng sai thay i v bin thin h s ngu nhin), Econometrica, tp 47, 1979, trang 1287-1294.
Xem ng thi L. Godfrey, Testing for Multiplicative Heteroscedasticity, Journal of Econometrics (Kim nh
phng sai thay i tch, Tp ch Kinh t Lng), tp 8, 1978, trang 227-236. Do ging nhau nn cc kim nh ny
c gi chung l kim nh Breusch-Pagan-Godfrey v phng sai thay i.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
T =
2
1
(ESS) (11.5.15)
Gi s u
i
c phn phi chun, ta c th ch ra rng nu c phng sai khng thay i
v nu c mu n tng ln v hn, th
T ~
2
1 m
_ (11.5.16)
tc l, T tun theo phn phi Chi-bnh phng vi (m 1) bc t do. (Lu : asy c
ngha l tim cn).
Do vy, nu trong mt ng dng gi tr T tnh c (= _
2
) vt gi tr ti hn ca
_
2
ti mc ngha chn, ta c th bc b gi thit v phng sai khng thay i;
nu khng ta khng bc b n.
V d 11.4. Kim nh Breusch-Pagan-Godfrey. Ta hy quay li vi s liu (Bng 11.3) c dng
minh ha kim nh Goldfelt-Quandt v phng sai thay i. Thc hin hi quy Y theo X, ta c
cc kt qu sau:
Bc 1.
Y
i
= 9, 2903 + 0,6378X
i

se = (5,2314) (0,0286) RSS = 2361,153 (11.5.17)
R
2
= 0,9466
Bc 2.
2 ~
o =
i
u / 30 = 2361,153 / 30 = 78,7051
Bc 3. Chia cc phn d u
i
tnh c t hi quy (11.5.7) cho 78,7051 thit lp bin p
i
.
Bc 4. Gi thit rng p
i
c quan h tuyn tnh vi X
i
= (Z
i
) nh theo (11.5.3), ta c hi quy:
p
i
= 0,7426 + 0,0101X
i

se = (0,7529) (0,0041) ESS = 10,4280 (11.5.18)
R
2
= 0,18
Bc 5.
T =
2
1
(ESS) = 5,2140 (11.5.19)
Vi gi thit ca kim nh BPG, T trong (11.5.19) mt cch tim cn, tun theo phn phi Chi-
bnh phng vi s bc t do bng 1. [Lu : Ch c mt bin hi quy c lp trong (11.5.8)]. By
gi, t bng Chi-bnh phng ta thy rng vi 1 bc t do, gi tr Chi-bnh phng ti hn 5% l
3,8414 v gi tr F ti hn 1% l 6,6349. Nh vy, gi tr Chi-bnh phng quan st c l 5,2140 c
ngha mc 5% nhng khng c ngha mc 1%. Do vy, ta c cng kt lun nh kim nh
Goldfelt-Quandt. Nhng lu rng, ni mt cch cht ch, kim nh BPG l mt kim nh tim
cn, hay mu ln v, trong v d ca ta, 30 quan st c th khng to thnh mt mu ln. Cng cn
phi ch ra rng trong cc mu nh, kim nh nhy cm vi gi thit cho rng cc yu t nhiu u
i
c
asy
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
phn phi chun. Tt nhin, ta c th kim nh gi thit v quy lut chun bng cc kim nh Chi-
bnh phng hay Bera-Jarque tho lun trc y.
20

Kim nh tng qut v phng sai thay i ca White. Khng nh kim nh Goldfelt-
Quandt trong yu cu vic xp li th t cc quan st theo bin X, vn c cho rng gy
ra phng sai thay i, hay kim nh BGP nhy cm vi gi thit v quy lut chun, kim nh
tng qut v phng sai khng thay i do White xut khng l thuc vo gi thit v quy
lut chun v c d dng thc hin.
21
minh ha tng c bn, hy xem xt m hnh hi
quy ba bin sau (tng qut ha thnh m hnh k bin c th c d dng thc hin):
Y
i
= |
1
+ |
2
X
2i
+ |
3
X
3i
+ u
i
(11.5.20)
Kim nh White c tin hnh nh sau:
Bc 1. Vi s liu cho trc, ta c lng (11.5.20) v tnh cc phn d u
i
.
Bc 2. Sau , ta thc hin hi quy (b tr) sau:

2
i
u = o
1
+ o
2
X
2i
+ o
3
X
3i
+ o
4
2
2i
X
+ o
5
2
3i
X
+ o
6
X
2i
X
3i
+ v
i
(11.5.21)
22

Tc l, cc phn d bnh phng t hi quy gc c hi quy theo cc bin X ban u
hay bin hi quy c lp, gi tr bnh phng ca chng, v (cc) tch cho gia cc
bin hi quy c lp. Ta cng c th a ra cc ly tha cao hn i vi cc bin hi
quy c lp. Lu rng c mt s hng khng i trong phng trnh ny mc d hi
quy ban u c th cha hay khng cha n. Tnh R
2
t hi quy (b tr).
Bc 3. Vi gi thit khng cho rng khng c phng sai thay i, ta c th ch ra rng c
mu (n) nhn vi R
2
tnh c t hi quy b tr, mt cch tim cn, tun theo phn
phi Chi-bnh phng vi s bc t do (df) bng vi s lng cc bin hi quy c lp
(loi tr s hng khng i) trong hi quy b tr. Tc l,
n R
2
~
2
df
_ (11.5.22)
vi df (s bc t do) c xc nh trn. Trong v d ca ta, s bc t do l 5 do c 5
bin hi quy c lp trong hi quy b tr.
Bc 4. Nu gi tr Chi-bnh phng tnh c trong (11.5.22) vt gi tr Chi-bnh phng
ti hn ti mc ngha la chn, ta kt lun rng c phng sai thay i. Nu n
khng vt gi tr Chi-bnh phng ti hn th khng c phng sai thay i, tc l ta
ni rng trong hi quy b tr (11.5.21), o
2
= o
3
= o
4
=o
5
=o
6
= 0 (xem ch thch 22).

20
V kha cnh ny, xem R. Koenker, A Note on Studentizing a Test for Heteroscedasticity, Journal of
Econometrics (Mt lu v thc hin kim nh t v phng sai thay i, Tp ch Kinh t Lng), tp 17, 1981,
trang 1180-1200.
21
H. White, A Heteroscedasticity Consistent Covariance Matrix Estimator and a Direct Test of Heteroscedasticity
(c lng ma trn tch sai nht qun phng thay i v kim nh trc tip phng sai thay i), Econometrica,
tp 48, 1980, trang 817-818.
22
ng sau quy trnh ny l gi thit cho rng phng sai ca sai s u
i
,
2
i
o , c quan h hm s vi cc bin hi quy
c lp, bnh phng ca chng, v tch cho gia chng. Nu tt c cc h s dc ring phn trong hi quy u
ng thi bng 0, th phng sai ca sai s l hng s khng thay i bng vi o
1
.
asy
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
V d 11.5. Kim nh v phng sai thay i ca White. Da vo s liu cho ca 41 quc gia,
Stephen Lewis c lng m hnh hi quy sau:
23

lnY
i
= |
1
+ |
2
lnX
2i
+ |
3
lnX
3i
+ u
i
(11.5.23)
vi Y = t l gia thu ngoi thng (thu xut nhp khu) v thu nhp ca chnh ph, X
2
= t l gia
tng gi tr xut khu nhp khu v GNP, v X
3
= GNP bnh qun u ngi; ln l logart t nhin.
Gi thit ca Lewis l Y v X
2
s c quan h ng bin (kim ngch ngoi thng cng cao th thu
nhp t thu ngoi thng cng cao) v Y v X
3
s c quan h nghch bin (khi thu nhp tng ln,
chnh ph s d thu thu trc thu v d nh thu li tc hn so vi thu ngoi thng).
Cc kt qu thc nghim h tr gi thit ny. i vi mc ch ca chng ta, im quan trng l
trong s liu c phng sai thay i hay khng. Do y l s liu cho gm nhiu quc gia khc
nhau, ta d on l c phng sai thay i trong phng sai ca sai s. Bng cch p dng kim nh
v phng sai thay i ca White i vi cc phn d tnh c t hi quy (11.5.23), ta tnh c
cc kt qu sau:
24

2
i
u = 5,8417 + 2,5629lnTrade
i
+ 0,6918lnGNP
i

0,408(lnTrade
i
)
2
0,049(lnGNP
i
)
2
(11.5.24)
+ 0,0015(lnTrade
i
)(lnGNP
i
) R
2
= 0,1148
Lu : Cc sai s chun khng c trnh by do chng khng thch hp cho mc ch ca chng ta
y.
By gi, n R
2
= 41(0,1148) = 4,7068 mt cch tim cn, c phn phi Chi-bnh phng vi 5
bc t do (ti sao?). Gi tr Chi-bnh phng ti hn mc 5% vi 5 bc t do l 11,0705, gi tr ti
hn mc 10% l 9,2363, v gi tr ti hn mc 25% l 6,62568. Vi tt c cc mc ch thc
tin, ta c th kt lun rng, trn c s ca kim nh White, khng c phng sai thay i.
Sau y l mt bnh lun cn thit v kim nh White. Nu mt m hnh c vi bin hi
quy c lp, th vic a ra tt c cc bin hi quy c lp, bnh phng ca chng (hay ly tha
bc cao hn), v tch cho c th nhanh chng s dng ht s bc t do. Do vy, ta phi lu khi
s dng kim nh ny. i khi ta c th b cc s hng tch cho. Trong cc trng hp m
thng k kim nh c ngha, phng sai thay i c th khng nht thit l nguyn nhn, m
li l cc sai s c trng. Vn ny s c cp trong Chng 13 (nh li im #5 trong
Mc 11.1). Ni mt cch khc, kim nh White c th l mt kim nh v phng sai thay
i (thun ty) hay sai s c trng hay c hai.
Cc kim nh khc v phng sai thay i. C mt vi kim nh khc v phng sai thay
i, mi loi da trn cc gi thit nht nh. Ngi c c quan tm c th xem ti liu tham
kho.
25

23
Stephen R. Lewis, Government Revenue from Foreign Trade, Manchester School of Economics and Social
Stuties (Thu nhp ca chnh ph t ngoi thng, Trng Kinh t v X hi hc Manshester) , tp 31, 1963, trang
39-47.
24
Cc kt qu ny, vi thay i trong k hiu, c ly t William F. Lott & Subhash C. Ray, Applied
Econometrics: Problems with Data Sets, Instructors Manual (Kinh t lng ng dng: cc vn vi nhng tp
hp s liu, S tay Ngi hng dn), Chng 22, trang 137-140.
25
Xem M. J. Harrson & B. P. MacCabe, A Test for Heteroscedasticity Based on Ordinary Least Square
Residuals, Journal of the American Statistical Association (Mt kim nh v phng sai thay i da trn cc
phn d tnh theo phng php bnh phng ti thiu thng thng, Tp ch ca Hip hi Thng k Hoa K, tp 74,
1979, tang 494-499; J. Szroeter, A Class of Parametric Tests for Heteroscedasticity in Linear Econometric
Models (Mt lp cc kim nh thng s v phng sai thay i trong cc m hnh kinh t lng tuyn tnh),
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
11.6. CC BIN PHP KHC PHC
Nh ta thy, phng sai thay i khng lm mt i tnh cc tnh cht khng thin lch v nht
qun ca cc c lng OLS, nhng chng khng cn hiu qu na, thm ch khi tim cn
(ngha l quy m mu ln). Vic mt tnh hiu qu lm cho quy tc kim nh gi thit c gi tr
m h. Do vy, cn phi c cc bin php khc phc. C hai cch thc x l: khi bit
2
i
o v khi
cha bit
2
i
o .
Khi bit
2
i
o : Phng php bnh phng ti thiu c trng s
Nh ta thy trong Mc 11.3, nu bit c
2
i
o , phng php n gin nht hiu chnh
phng sai thay i l bng bnh phng ti thiu c trng s v vy cc c lng theo phng
php ny l cc c lng tuyn tnh khng thin lch tt nht (BLUE).
V d 11.6. Minh ha phng php bnh phng ti thiu c trng s. minh ha phng php
ny, gi s ta mun nghin cu quan h gia lng v quy m lao ng qua s liu trong Bng 11.1.
n gin ha, ta tnh quy m lao ng bng 1 (1-4 lao ng), 2 (5-9 lao ng),..., 9 (1000-2499
lao ng), mc d ta cng c th tnh n bng trung im ca cc nhm lao ng khc nhau trong
bng (xem bi tp 11.21).

BNG 11.4
Minh ha hi quy bnh phng ti thiu c trng s
Lng Quy m L
Y X o
i
Y
i
/o
i
X
i
/o
i

3396 1 743,4 4,5664 0,0013
3787 2 851,4 4,4480 0.0023
4013 3 727,8 5,5139 0.0041
4104 4 805,06 5,0978 0.0050
4146 5 929,9 4,4585 0.0054
4241 6 1080,6 3,9247 0.0055
4387 7 1243,2 3,5288 0.0056
4538 8 1307,7 3,4702 0.0061
4843 9 1112,5 4,3532 0.0081
Lu : Trong hi quy (11.6.2), bin ph thuc l (Y
i
/o
i
) v cc bin c lp l (1/o
i
) v
(X
i
/o
i
).
Ngun: S liu v Y v o
i
( lch chun ca lng) c ly t Bng 11.1. Quy m lao
ng: 1 = 1-4 lao ng, 2 = 5-9 lao ng, v.v... S liu ny cng c ly t Bng 11.1.
By gi, gi Y l lng trung bnh mt lao ng (USD) v X l quy m lao ng, ta chy hi quy
sau [Xem Phng trnh (11.3.6)]:
) / ( ) / (
) / 1 (
/
*
2
*
1 i i i i i i i
u X Y o o | o | o + + = (11.6.1)

Econometrica, tp 46, 1978, trang 1311-1327; M. A. Evans & M. L. King, A Futher Class of Tests for
Heteroscedasticity, Journal of Econometrics (Mt lp cc kim nh na v phng sai thay i, Tp ch Kinh t
Lng), tp 37, 1988, trang 265-276.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
vi o
i
l cc lch chun ca mc lng nh bo co trong Bng 11.1. S liu th cn thit chy
hi quy ny c trnh by trong Bng 11.4.
Trc khi chuyn sang phn tch cc kt qu hi quy, lu rng (11.6.1) khng c tung gc.
(Ti sao?) Do vy, ta s phi s dng m hnh hi quy qua gc ta . c lng
*
1
| v
*
2
| , mt
ch tho lun trong Chng 6. Nhng phn ln cc phn mm thng k ngy nay c tnh nng
kh tung gc (v d, xem SAS). Cng lu mt c im th v na ca (11.6.1): N c hai bin
gii thch, (1/o
i
) v (X
i
/o
i
), tri li nu ta s dng OLS thc hin hi quy mc lng theo quy m lao
ng, hi quy s c mt bin gii thch, X
i
. (Ti sao?)
Sau y l cc kt qu hi quy ca bnh phng ti thiu c trng s (WLS):
(Y
i
/o
i
) = 3406,639(1/o
i
) + 154,153(X
i
/o
i
)
(80,983) (16,959) (11.6.2)
t = (42,066) (9,090) R
2
= 0,9993
26

so snh, ta a ra cc kt qu hi quy OLS thng thng hay khng tnh trng s:
Y
i
= 3417,833 + 148,767X
i

(81,136) (14,418) (11.6.3)
t = (42,125) (10,318) R
2
= 0,9383
Trong bi tp 11.7 bn c yu cu so snh hai hi quy ny.
Khi cha bit
2
i
o
Nh lu trn, nu bit gi tr ng ca
2
i
o , ta c th s dng phng php WLS tnh
cc c lng BLUE. V gi tr ng ca
2
i
o t khi bit c nn cu hi t ra l c cch no
tnh c cc c lng nht qun (v mt thng k) ca cc phng sai v tch sai ca cc c
lng OLS thm ch nu c phng sai thay i hay khng? Cu tr li l c.
Cc sai s chun v phng sai nht qun - thay i ca White. White ch ra rng c
lng ny c th c thc hin sao cho c th a ra suy lun thng k c gi tr mt cch tim
cn (ngha l c mu ln) v cc gi tr ng ca tham s.
27
Ta s khng trnh by cc chi tit
ton hc do chng nm ngoi phm vi ca cun sch ny. Nhng mt s phn mm my tnh (v
d, TSP, ET, SHAZAM) gi y trnh by cc phng sai v sai s chun hiu chnh phng
sai thay i cng vi cc phng sai v sai s chun OLS thng thng.
28

V d 11.7. Minh ha quy tc ca White. V d, ta tm tt cc kt qu sau do Greene thc hin:
29

Y
i
= 832,91 1834,2(Thu nhp) + 1587,04(Thu nhp)
2

OLS se = (327,3) (829,0) (519,1)
t = (2,54) (2,21) (3,06) (11.6.4)

26
Nh lu trong ch thch 3 ca Chng 6, R
2
ca hi quy qua gc ta khng trc tip so snh vi R
2
ca m
hnh c tung gc. R
2
tnh c l 0,9993 c tnh n s khc bit ny. (Xem phn mm SAS v chi tit R
2
c
hiu chnh nh th no cho vic thiu tung gc. Xem c Ph lc 6A, Mc 6A1).
27
Xem H. White, op. Cit.
28
Ni mt cch k thut hn, chng c gi l cc c lng ma trn tch sai nht qun-phng sai thay i
(heteroscedasticity-consistent covariance matix estimators), vit tt l HCCME.
29
William H. Greene, Econometric Analysis (Phn tch Kinh t Lng), Xut bn ln th 2, Macmillan, New York,
1993, trang 385.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
White se = (460,9) (1243,0) (830,0)
t = (1,81) (1,48) (1,91)
vi Y = chi tiu bnh qun u ngi cho trng cng lp theo tiu bang nm 1979 v Thu nhp = thu
nhp bnh qun u ngi theo tiu bng nm 1979. Mu gm 50 bang cng vi Washington, D.C.
Nh cc kt qu trn biu th, cc sai s chun hiu chnh phng sai thay i ca
White ln hn ng k so vi cc sai s chun OLS v do vy cc gi tr t c lng nh hn
nhiu so vi cc gi tr tnh c theo phng php OLS. Trn c s ca cc c lng OLS, c
hai bin hi quy c lp iu c ngha thng k mc 5%, tri li trn c s ca cc c lng
White th chng khng c ngha. Tuy nhin, cn phi ch ra rng cc sai s chun hiu chnh
phng sai thay i ca White c th ln hn hay nh hn cc sai s chun khng hiu chnh.
Do gi y cc c lng phng sai nht qun - thay i ca White c trong cc phn
mm hi quy chnh thc, ngi c nn bo co chng trong kt qu hi quy ca mnh. Nh
Wallace v Silver lu :
Ni chung, nn s dng phng php White (c trong cc chng trnh hi quy) thng xuyn, c l
so snh kt qu vi kt qu OLS thng thng kim tra xem phng sai thay i c gy ra vn
nghim trng no khng trong mt tp hp s liu c th.
30

Cc gi thit hp l v dng phng sai thay i. Ngoi yu cu v mu ln, mt thiu st ca
quy tc White l cc c lng tnh c c th khng hiu qu nh l cc c lng tnh c
bng cc phng php trong bin i s liu phn nh cc th loi c th ca phng sai
thay i. minh ha iu ny, hy quay li vi m hnh hi quy hai bin:
Y
i
= |
1
+ |
2
X
i
+ u
i

By gi, ta xem xt mt s gi thit v phng sai thay i.
Gi thit 1: Phng sai ca sai s t l thun vi
2
i
X :
E(
2
i
u ) = o
2 2
i
X (11.6.5)
31

30
T. dudley Wallace & J. Lew Silver, Econometrics: An Introduction, (Kinh t Lng: Gii thiu), Reading, Mass.
1988, trang 265.
31
Nh li rng ta gp phi gi thit ny trong phn tho lun v kim nh Goldfelt-Quandt.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 11.9 Phng sai ca sai s t l thun vi X
2
.

Nu, do tnh cht suy on, cc phng php th, hay phng php Park & Glejser, ngi
ta tin rng phng sai ca u
i
t l thun vi bnh phng ca bin gii thch X (xem Hnh 11.9),
ta c th bin i m hnh gc nh sau. Chia m hnh gc cho X
i
:

i
i
i i
i
X
u
X X
Y
+ + =
2
1
|
|

i
i
v
X
+ + =
2 1
1
| | (11.6.6)
vi v
i
l s hng nhiu bin i, bng u
i
/X
i
. By gi, ta c th d dng chng minh rng:
) (
1
) (
2
2
2
2
i
i i
i
i
u E
X X
u
E v E =
|
|
.
|
\
|
=
= o
2
s dng (11.6.5)
Vy, phng sai ca v
i
gi y khng thay i, v ta c th tip tc p dng OLS cho phng
trnh bin i (11.6.6), thc hin hi quy Y
i
/X
i
theo 1/X
i
.
Lu rng trong hi quy bin i, tung gc |
2
l h s gc ca m hnh ban u v
h s dc . Do vy, tr li m hnh ban u ta s phi nhn (11.6.6) c lng c vi X
i
.
Mt p dng ca php bin i ny c trnh by trong bi tp 11.17.
Gi thit 2: Phng sai ca sai s t l thun vi X
i
. Bin i cn bc hai:
E(
2
i
u ) = o
2
X
i
(11.6.7)

X
2
i
o
0
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 11.10 Phng sai ca sai s t l thun vi X.

Nu ta tin rng phng sai ca u
i
, thay v t l vi bnh phng ca X
i
, t l vi X
i
, th m hnh
ban u c th c bin i nh sau (xem Hnh 11.10):

Y
X X
X
u
X
i
i i
i
i
i
= + +
|
|
1
2

= + + | |
1 2
1
X
X v
i
i i
(11.6.8)
vi v
i
= u
i
/ X
i
v vi X
i
> 0.
Vi gi thit 2, ta c th d dng chng minh rng E( v
i
2
) = o
2
, mt trng hp phng
sai khng thay i. Do vy, ta s phi s dng m hnh hi quy qua gc ta c lng |
1

v |
2
. Sau khi thc hin (11.6.8), ta c th quay tr li vi m hnh ban u n gin bng
cch nhn (11.6.8) vi X
i
.
Gi thit 3: Phng sai ca sai s t l thun vi bnh phng gi tr trung bnh ca Y.
E( u
i
2
) = o
2
[E(Y
i
)]
2
(11.6.9)
Phng trnh (11.6.9) mc nh rng phng sai ca u
i
t l vi bnh phng gi tr k
vng ca Y (xem Hnh 11.7.e). By gi
E(Y
i
) = |
1
+ |
2
X
i

Do vy, nu bin i hm s ban u nh sau:
X
2
i
o
0
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

Y
E Y E Y
X
E Y
u
E Y
i
i i
i
i
i
i
( ) ( ) ( ) ( )
= + +
|
|
1
2

=
|
\
|
.
| + + | |
1 2
1
E Y
X
E Y
v
i
i
i
i
( ) ( )
(11.6.10)
vi v
i
= u
i
/E(Y
i
), ta c th thy rng E( v
i
2
) = o
2
; tc l, cc yu t nhiu v
i
c phng sai khng
thay i. Vy, hi quy (11.6.10) s tha mn gi thit v phng sai khng thay i ca m hnh
hi quy tuyn tnh c in.
Tuy nhin, php bin i (11.6.10) khng thc hin c do E(Y
i
) ph thuc vo |
1
v |
2

u cha bit. Tt nhin, ta bit Y
i
=
|
1
+
|
2
X
i
l mt c lng ca E(Y
i
). Do vy, ta c th tin
hnh theo hai bc: Th nht, ta chy hi quy OLS thng thng, khng ti phng sai
thay i, v tnh Y
i
. Sau , s dng Y
i
c lng c, ta bin i m hnh nh sau:

Y
Y Y
X
Y
v
i
i
i
i
i
i
i

=
|
\
|
.
| +
|
\
|
.
| + |
1
(11.6.11)
vi v
i
= (u
i
/Y
i
). Trong Bc 2, ta chy hi quy (11.6.11). Mc d
Y
i
khng chnh xc l E(Y
i
),
chng l nhng c lng nht qun; tc l, khi kch thc mu tng ln v hn, chng hi t ti
gi tr ng ca E(Y
i
). Vy, php bin i (11.6.11) s c thc hin mt cch tha ng trn
thc tin nu c mu ln.
Gi thit 4: Bin i lgart nh
lnY
i
= |
1
+ |
2
lnX
i
+ u
i
(11.6.12)
thng lm gim phng sai thay i khi so snh vi hi quy Y
i
= |
1
+ |
2
X
i
+ u
i
.
Kt qu ny ny sinh l do bin i lgart lm thu li t l m cc bin c o lng,
do vy lm gim s khc bit 10 ln gia hai gi tr xung cn s khc bit 2 ln. Vy, s 80 gp
10 ln s 8, nhng ln80 (= 4,3280) gp khong hai ln ln8 (= 2,0794).
Mt li th na ca php bin i lgart l h s dc |
2
o co gin ca Y theo X,
tc l, thay i theo t l phn trm ca Y i vi thay i t l phn trm ca X. V d, nu Y l
tiu dng v X l thu nhp, |
2
trong (11.6.12) s cho ta co gin thu nhp, tri li trong m
hnh gc |
2
ch o tc thay i ca tiu dng trung bnh khi thu nhp thay i i mt n v.
l mt l do ti sao cc m hnh log kh ph bin trong kinh t lng thc nghim. (V mt
s vn lin quan ti bin i log, xem bi tp 11.4).
kt thc phn tho lun v cc bin php khc phc, ta ti nhn mnh rng tt c cc
php bin i tho lun trn l phc v cho mc tiu c th; ta c bit quan tm ti bn
cht ca o
i
2
. Php bin i no tho lun trn s hu hiu ph thuc vo bn cht ca vn
v tnh cht nghim trng ca phng sai thay i. Ta cng cn phi lu thm mt s vn
lin quan ti cc php bin i:

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
1. Khi m rng m hnh hn hai bin, ta c th khng bit trc cc bin X no cn phi la
chn bin i s liu.
32

2. Bin i log tho lun trong Gi thit 4 khng p dng c nu mt s gi tr ca Y v X
bng khng hay m.
33

3. Ta cn gp phi vn tng quan gi (spurious correlation). Thut ng ny, do Karl
Pearson t ra, ni v trng hp c tng quan gia cc t s ca cc bin mc d cc bin
gc khng c tng quan hay ngu nhin.
34
Vy, trong m hnh Y
i
= |
1
+ |
2
X
i
+ u
i
, Y v X c
th khng tng quan nhng trong m hnh bin i Y
i
/X
i
= |
1
(1/X
i
) + |
2
, Y
i
/X
i
v 1/X
i

thng c tm thy l c tng quan.
4. Khi o
i
2
khng c bit trc tip v c c lng t mt hay nhiu php bin i m ta
tho lun trn, tt c cc quy tc kim nh ca ta s dng kim nh t, F,v.v, ni mt
cch cht ch, ch c gi tr trong cc mu ln. Do vy, ta phi cn thn trong vic gii thch
cc kt qu da vo cc php bin i khc nhau trong cc mu nh hay mu c gii hn.
35

11.7 V D KT LUN
kt thc tho lun v phng sai thay i, chng ta a ra mt v d minh ha v cc phng
php khc nhau trong vic pht hin ra n v mt s bin php khc phc.
V d 11.8: Chi tiu cho nghin cu v pht trin (R&D) Hoa K, 1988. S liu v chi tiu cho
nghin cu v pht trin ca 18 nhm ngnh kinh t trong quan h vi doanh thu v li nhun c
trnh by li trong Bng 11.5. Do s liu cho trnh by trong Bng 11.5 kh khng ng nht, hi
quy R&D theo doanh thu (hay li nhun) c nhiu kh nng xut hin phng sai thay i. Sau y l
cc kt qu hi quy R&D theo doanh thu:
R&D = 192,99 + 0,0319 Doanh thu
i

se = (990,00) (0,0083) (11.7.1)
t = (0,1948) (3,8434) r
2
= 0,4783
Nh k vng, chi tiu R&D v doanh thu c tng quan ng bin. Gi tr t tnh c dng nh
c ngha thng k mc 0,002 (kim nh hai pha). D nhin, nu phng sai thay i, ta khng
th tin tng vo cc sai s chun c lng hay cc gi tr t c lng. p dng kim nh Park cho
cc phn d c lng t (11.7.1), ta c cc kt qu sau:
ln
2
i
u = 5,6877 + 0,7014lnDoanhthu
i

se = (6.6977) (0,6033) (11.7.2)
t = (0,8572) (1.1626) r
2
= 0,0779

32
Tuy nhin, trn thc tin, ta c th v u
i
2
theo tng bin v quyt nh bin X no c th c s dng bin i
s liu. (Xem Hnh 11.8).
33
i khi ta c th s dng ln(Y
i
+ k) hay ln(X
i
+ k), vi k l mt s dng la chn sao cho tt c cc gi tr ca Y
v X tr nn dng. Xem bi tp 11.22.
34
V d, nu X
1
, X
2
, v X
3
khng c tng quan ln nhau r
12
= r
13
= r
23
= 0 v ta nhn thy rng (cc gi tr ca) cc
t s X
1
/X
2
v X
2
/X
3
c tng quan, th y l trng hp tng quan gi. Tng qut hn, tng quan c th c
xem l gi nu c to ra bi phng php x l s liu ch khng phi c trong s liu ban u. M. G.
Kendall & W. R. Backland, A Dictionary of Statistical Terms (T in Thut ng Thng k), Hafner Publishing,
New York, 1972, trang 143.
35
V chi tit, xem George G. Judge v cc tc gi, op. Cit., Mc 14.4, trang 415-420.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Trn c s ca kim nh Park, ta khng c l do no bc b gi thit v phng sai khng thay
i.

BNG 11.5
i mi cng ngh ti Hoa K: Chi tiu cho nghin cu v pht trin (R&D) ti
Hoa K, 1988 (tnh theo triu USD)
Nhm ngnh kinh t Doanh thu Chi R&D Li nhun
1. Bao b & ng gi 6.375,3 62,5 185,1
2. Ti chnh phi ngn hng 11.626,4 92,9 1569,5
3. Dch v 14.655,1 178,3 276,8
4. Kim loi v khai thc m 21.869,2 258,4 2.828,1
5. Nh v xy dng 26.408,3 494,7 225,9
6. Cng nghip ch to chung 32.405,6 1.083,0 3.751,9
7. Cc ngnh dch v gii tr 35.107,7 1.620,6 2.884,1
8. Giy v sn phm t rng 40.295,4 421,7 4.645,7
9. Thc phm 70.761,6 509,2 5.036,4
10. Y t 80.552,8 6620,1 13.869,9
11. Hng khng 95.294,0 3.918,6 4.487,8
12. Hng tiu dng 101.314,1 1595,3 10.278,9
13. in v in t 116.141,3 6,107,5 8.787,3
14. Ha cht 122.315,7 4.454,1 16.438,8
15. Tp on 141.649,9 3.163,8 9.761,4
16. Thit b vn phng v my tnh 175.025,8 13.210,7 19.774,5
17. Nhin liu 230.614,5 1.703,8 22.626,6
18. Thit b t ng 293.543,0 9.528,2 18.415,4
Lu : Cc ngnh c xp theo th t doanh thu tng dn.
Ngun: Business Week, s c bit 1989, Bng tnh im R&D, trang 180-224.
Trn c s ca kim nh Glejser, ta c cc kt qu sau ( tn din tch, y ch trnh by
cc gi tr ca t):

i
u = 578,57 + 0,0119lnDoanhthu
i

t = (0,8525) (2,0931) r
2
= 0,2150 (11.7.3)

i
u = 507,02 + 7,2970
i
Doanhthu
t = (0,5032) (2,3704) r
2
= 0,2599 (11.7.4)

i
u = 2.273,7 + 19.925.000(1/Doanhthu
i
)
t = (3,7601) (1,6175) r
2
= 0,1405 (11.7.5)
Nh phng trnh (11.7.3) v (11.7.4) cho thy, gi thit v cc phng sai khng thay i c th b
bc b. Do vy, cc sai s chun c lng v gi tr t khng th c chp nhn ti gi tr bn ngoi
ca chng. Trong bi tp 11.23 ngi c c yu cu p dng cc kim nh Breusch-Pagan v
White v phng sai thay i cho s liu trong Bng 11.5.
Do dng nh c nghi ng v gi thit phng sai khng thay i, hy xem liu ta c th bin i
s liu gim tnh nghim trng ca phng sai thay i hay khng, nu khng phi l hon ton
loi b n. V cc phn d tnh c t hi quy (11.7.1), ta c th thy rng phng sai ca sai s t
l vi bin doanh thu (kim tra iu ny), v do vy, theo Gi thit 2 tho lun trn, ta c th s
dng bin i cn bnh phng. Php bin i ny cho ta cc kt qu sau:
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi

i
i i
Doanhthu
Doanhthu Doanhthu
D & R
00368 , 0
1
68 , 246 + =
se = (341,13) (0,0071) (11.7.6)
t = (0,6472) (5,1723) R
2
= 0,6258
Nu bn nhn (11.7.6) vi
i
Doanhthu c hai v, bn s c cc kt qu c th so snh vi hi
quy gc (11.7.1). C rt t khc bit gia hai h s dc. Nhng lu rng so vi (11.7.1) sai s
chun ca h s dc trong (11.7.6) nh hn, t cho thy hi quy OLS gc c lng sai s
chun qu cao trn thc t. Nh lu trn, khi xut hin phng sai thay i, cc c lng OLS
ca sai s chun b thin lch v ta khng th ni trc c l thin lch theo hng no. Trong v
d hin ti, thin lch c hng i ln, tc l, n c lng qu cao sai s chun. ng thi lu
rng (11.7.6) i din cho bnh phng ti thiu c trng s (ti sao?).
Trong bi tp 11.25, ngi c c yu cu tnh cc sai s chun hiu chnh phng sai thay
i ca White cho v d trn v so snh cc kt qu vi kt qu trong (11.7.6).
11.8 TM TT V KT LUN
1. Mt gi thit quan trng ca m hnh hi quy tuyn tnh c in l cc yu t nhiu u
i
c
cng phng sai, o
2
. Nu gi thit ny khng c tha mn th c s hin din ca phng
sai thay i.
2. Phng sai thay i khng lm mt i tnh cht khng thin lch v nht qun ca cc c
lng OLS.
3. Nhng cc c lng ny khng cn c phng sai nh nht hay l cc c lng hiu qu.
Tc l chng khng cn l cc c lng tuyn tnh khng thin lch tt nht (BLUE).
4. Cc c lng BLUE c tnh t phng php bnh phng ti thiu c trng s, vi iu
kin l cc phng sai thay i, o
i
2
, bit.
5. Khi c phng sai thay i, cc phng sai ca cc c lng OLS khng c tnh t cc
cng thc OLS thng thng. Nhng nu ta vn s dng cc cng thc OLS thng thng,
cc kim nh t v F da vo chng c th gy ra nhng kt lun sai lm.
6. Trnh by cc hu qu ca phng sai thay i d hn l pht hin ra n. C mt s cc kim
nh chun on, nhng ta khng th m bo chc rng kim nh no hu hiu trong mt
trng hp c th.
7. Thm ch nu nh ta nghi ng v pht hin ta phng sai thay i, vic hiu chnh vn
khng phi l vic d dng. Nu mu ln, ta c th tnh cc sai s chun ca cc c lng
OLS hiu chnh phng sai thay i ca White v thc hin suy lun thng k da trn
cc sai s chun ny.
8. Tri li, da vo cc phn d OLS, ta c th thc hin d on qua rn luyn v dng c th
c ca phng sai thay i v bin i s liu gc theo cch m trong s liu bin i
khng cn phng sai thay i.
9. Cui cng, cc nhiu phn d OLS c th khng ch thay i m cn t tng quan. Mt k
thut gi l phng sai thay i c iu kin t tng quan, vit tt l ARCH, c th
c s dng gii quyt vn ny. Ta s tho lun iu ny trong Chng 12 khi xem
xt chi tit ni dung t tng quan.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
BI TP
Cu hi

11.1. Cho bit vi l do ngn gn cc pht biu sau l ng, sai hay khng chc chn:
(a) Trong trng hp c phng sai thay i cc c lng OLS b thin lch v khng hiu
qu.
(b) Nu c phng sai thay i, cc kim nh t v F thng thng khng c gi tr.
(c) Trong trng hp c phng sai thay i phng php OLS thng thng lun lun c
lng qu cao sai s chun ca cc c lng.
(d) Nu cc phn d c lng t mt hi quy cho thy c mt mu hnh h thng, iu c
ngha l c phng sai thay i trong s liu.
(e) Khng c mt kim nh tng qut no v phng sai thay i m khng cn c bt k gi
thit v bin s no m s hng sai s c tng quan vi.
(f) Nu mt m hnh hi quy b xc inh sai (v d mt bin quan trng b b st), cc phn d
OLS s c mt mu hnh r nt.
(g) Nu mt bin lm hi quy c phng sai thay i b b st (mt cch khng ng n), cc
phn d (OLS) s thay i.
11.2 Trong mt hi quy mc lng trung bnh (W) theo s lao ng (N) trong mt mu ngu nhin gm
30 cng ty, ta c cc kt qu hi quy sau:
*

W = 7,5 + 0,009N
t = khng c (16,10) R
2
= 0,90 (1)
W/N = 0,008 + 7,8 1/N
t = (14,43) (76,58) R
2
= 0,99 (2)
(a) Bn gii thch hai hi quy ny nh th no?
(b) u l gi thit ca tc gi khi i t Phng trnh (1) sang (2)? ng ta c lo lng v phng
sai thay i hay khng? Lm sao m bn bit c?
(c) Bn c th tm thy mi lin quan gia cc h s dc v tung gc ca hai m hnh
khng?
(d) Bn c th so snh cc gi tr R
2
ca hai m hnh khng? Ti sao c hay ti sao khng?
11.3. (a) Bn c th c lng cc thng s ca cc m hnh

i i i
v X u + + =
2 1
2
| |

i i i
v X u + + =
2
2 1
2
| |
bng phng php bnh phng ti thiu thng thng c khng? Ti sao c hay ti sao
khng?

*
Xem Dominick Salvatore, Managerial Economics (Kinh t hc Qun l), McGraw-Hill, New York, 1989, trang
157.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
(b) Nu khng, bn c th a ra mt phng php, khng chnh thc hoc chnh thc, c
lng cc thng s ca cc m hnh nh trn c khng?
11.4. Mc d cc m hnh log nh trong (11.6.12) thng lm gim phng sai thay i, ta phi cn
thn n tnh cht ca yu t nhiu ca nhng m hnh nh th. V d, m hnh
Yi = |
1
2
|
i
X ui (1)
c th c vit thnh
lnYi = ln|
1
+ |
2
lnX
i
+lnu
i
(2)
(a) Nu lnu
i
c k vng bng 0, phn phi ca u
i
phi nh th no?
(b) Nu E(u
i
) = 1, E(lnu
i
) c bng 0 khng? Ti sao c hay ti sao khng?
(c) Nu E(lnu
i
) khc 0, c th thc hin bin php g cho n bng 0?
11.5. Chng t rng
*
2
| trong (11.3.8) cng c th c biu din bng
=
* 2
* *
*
2
i i
i i i
x w
x y w
|
v var(
*
2
| ) trong (11.3.9) cng c th c biu din bng
=
* 2
*
2
1
) var(
i i
x w
|
vi
* *
Y Y y
i i
= v
* *
X X x
i i
= i din cho cc lch t gi tr trung bnh trng s ca
*
Y
v
*
X nh ngha nh sau

=
i i i
w Y w Y /
*

=
i i i
w X w X /
*

11.6. Phc v cho cc mc ch s phm, Hanushek & Jackson c lng m hnh sau:
C
t
= |
1
+ |
2
GNP
t
+ |
3
D
t
+ u
i
(1)
vi C
t
= tng chi tiu tiu dng t nhn trong nm t, GNP
t
= tng sn phm quc dn trong nm t,
v D = chi tiu quc phng trong nm t, mc ch ca phn tch l nghin cu tc ng ca chi
tiu quc phng ti cc loi chi tiu khc trong nn kinh t.
Mc nh rng
2
t
o = o
2
(GNP
t
)
2
, cc tc gi bin i (1) v c lng
C
t
/GNP
t
= |
1
(1/GNP
t
) + |
2
+ |
3
(D
t
/ GNP
t
) + u
i
/GNP
t
(2)
Sau y l cc kt qu thc nghim da vo s liu trong giai on 1946-1975 (cc sai s chun
c trnh by trong ngoc)
*
:
C
t
= 26,19 + 0,6248GNP
t
0,4398D
t

(2,73) (0,0060) (0,0736) R
2
= 0.999

*
Eric A. Hanushek & John E. Jackson, Statistical Methods for Social Scientists (Cc phng php thng k cho cc
nh khoa hc x hi), Academic, New York, 1977, trang 160.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
C
t
/GNP
t
= 25,92(1/GNP
t
) + 6242 0,4315(D
t
/ GNP
t
)
(2,22) (0,0068) (0,0597) R
2
= 0,875
(a) Cc tc gi c gi thit g v bn cht ca phng sai thay i? Bn c th xc minh gi
thit c khng?
(b) So snh cc kt qu ca hai hi quy. Php bin i m hnh gc c ci thin kt qu khng,
tc l, c gim cc sai s chun c lng khng? Ti sao c hay ti sao khng?
(c) Bn c th so snh hai gi tr R
2
khng? Ti sao c hay ti sao khng? (Gi : Xem xt cc
bin ph thuc).
11.7. Tham chiu cc hi quy c lng (11.6.2) v (11.6.3). Cc kt qu hi quy kh ging nhau.
iu g c th to ra kt qu ny? (Gi : Tham kho bi tp 11.13).
11.8. Chng minh rng nu w
i
= w l hng s, i vi mi i,
*
2
| v
2
| cng nh phng sai ca n l

ng nht.
11.9. Tham chiu cc cng thc (11.2.2) v (11.2.3). Gi s

2
i
o = o
2
k
i

vi o
2
l hng s v k
i
l cc trng s bit, khng nht thit phi bng nhau.
S dng gi thit ny, hy chng t rng phng sai trong (11.2.2) c th c biu din
l:
var(|
2
) =

2
2
2
2
i
i i
i
x
k x
x
o

S hng th nht v phi l cng thc phng sai trong (11.2.3), tc l var(|
2
) trong trng hp
phng sai khng thay i. Bn c th ni g v bn cht ca mi quan h gia var(|
2
) trong
trng hp phng sai khng thay i v thay i? (Gi : Xem xt s hng th hai v phi
ca cng thc trn). Bn c th a ra cc kt lun tng qut no v cc mi quan quan h gia
(11.2.2) v (11.2.3)?
11.10. Trong m hnh
Y
i
= |
2
X
i
+ u
i
(Lu : khng c tung gc)
bn c cho bit rng var(u
i
) = o
2
2
i
X
. Ch ra rng
var(|
2
) =

2 2 4 2
) /( ) (
i i
X X o

Bi tp
11.11. Vi s liu trong Bng 11.1, thc hin hi quy mc th lao (lng) trung bnh Y theo nng sut
trung bnh X, xem quy m lao ng l n v quan st. Gii thch cc kt qu ca bn, v xem liu
cc kt qu ca bn c ph hp vi cc kt qu trong (11.5.3) hay khng?
(a) T hi quy trn, tnh cc phn d u
i
.
(b) Theo kim nh Park, thc hin hi quy ln
2
i
u theo lnX
i
v kim chng li hi quy (11.5.4)
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
(c) Theo phng php Glejser, thc hin hi quy
i
u theo X
i
v sau hi quy
i
u theo
i
X
v bnh lun v cc kt qu ca bn.
(d) Tm tng quan hng gia
i
u v X
i
v bnh lun v bn cht ca phng sai thay i, nu
c, trong s liu.
11.12. Bng sau cho bit s liu v t l doanh thu/tin mt trong cc ngnh cng nghip ch to ca
Hoa K phn theo quy m ti sn ca doanh nghip trong giai on 1971-I n 1973-IV. (S liu
trn c s qu). T l doanh thu/tin mt c th c coi l i lng o tc thu nhp ca khu
vc cng ty, tc l, s ln trung chuyn la.
Quy m ti sn (triu USD)
Nm v
qu

1-10

10-25

25-50

50-100

100-250

250-1.000

1.000 +
1971-I 6,696 6,929 6,858 6,966 7,819 7,557 7,860
-II 6,826 7,311 7,299 7,081 7,907 7,685 7,351
-III 6,338 7,035 7,082 7,145 7,691 7,309 7,088
-IV 6,272 6,265 6,874 6,485 6,778 7,120 6,765
1972-I 6,692 6,236 7,101 7,060 7,104 7,584 6,717
-II 6,818 7,010 7,719 7,009 8,064 7,457 7,280
-III 6,783 6,934 7,182 6,923 7,784 7,142 6,619
-IV 6,779 6,988 6,531 7,416 7,279 3,928 6,919
1973-I 7,291 7,428 7,272 7,571 7,583 7,053 6,630
-II 7,766 9,071 7,818 8,692 8,608 7,571 6,805
-III 7,733 8,357 8,090 8,357 7,680 7,654 6,772
-IV 8,316 7,621 7,766 7,867 7,666 7,380 7,072
Ngun: Quaterly Financial Report for Manufacturing Corporations, Federal Trade Commission and the
Securities and Exchange Commission, (Bo co Ti chnh Hng Qu cho cc Cng ty Cng nghip Ch
to, y ban Thng mi Lin Bang v y ban Chng khon v Giao dch), Chnh ph Hoa K, cc s
khc nhau ( tnh ton).
(a) Vi mi quy m ti sn, tnh gi tr trung bnh v lch chun ca t l doanh thu/tin mt.
(b) V gi tr trung bnh theo lch chun tnh trong (a), s dng quy m ti sn lm n v
quan st.
(c) Bng phng tin ca mt m hnh hi quy thch hp, quyt nh xem lch chun ca t
s c tng ln theo gi tr trung bnh khng. Nu khng, lm sao bn c th hp l ha kt
qu?
(d) Nu c quan h mang ngha thng k gia hai bin, lm sao bn bin i s liu khng
cn phng sai thay i?
11.13 Kim nh phng sai khng thay i ca phng sai ca Bartlett.
*
Gi s c k phng sai
mu c lp,
2 2
2
2
1
,..., ,
k
s s s , vi f1, f2,, fk bc t do, mi phng sai t cc tng th trn theo
phn phi chun vi gi tr trung bnh v phng sai
2
i
o . Gi s tip rng ta mun kim nh
gi thit khng H0:
2 2 2
2
2
1
... o o o o = = = =
k
; tc l, mi phng sai mu l mt c lng ca
cng mt phng sai tng th o
2
.

*
Xem Properties of Sufficiency and Statistical Tests, Proceedings of the Royal Society of London (Cc tnh cht
v kim nh thng k, Ti liu lu ca Hip hi Hong gia Lun n), A, tp 160, 1937, trang 268.
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Nu gi thit H0 ng, th

f
s f
f
s f
s
i i
i
k
i
i i
= =
=
2
1
2
2

cho ta mt c lng ca c lng phng sai tng th chung (tng hp) o
2
, vi f
i
= (n
i
1), n
i

l s cc quan st trong nhm th i v vi
=
=
k
i
i
f f
1
.
Barlett ch ra rng gi thit khng c th c kim nh bng t s A/B, c phn phi
gn ng nh phn phi _
2
vi k 1 bc t do, v

= ) ln ( ln
2 2
i i
s f s f A
v

(
(
|
|
.
|
\
|
+ =

f f k
B
i
1 1
) 1 ( 3
1
1
p dng kim nh ca Barlett cho s liu trong Bng 11.1 v kim chng rng gi thit cc
phng sai tng th ca mc lng bng nhau trong tng nhm quy m lao ng ca doanh
nghip khng th b bc b ti mc ngha 5%.
Lu : f
i
, s bc t do ca tng phng sai mu, l 9, do n
i
ca tng mu (ngha l nhm
quy m lao ng) bng 10.
11.14. S liu trong bng sau l mc lng trung v ca cc nh kinh t nam v n theo lnh vc chuyn
mn trong nm 1964.
(a) Tm mc lng trung bnh v lch chun ca mc lng ca hai nhm cc nh kinh t.
(b) C s khc bit ng k khng gia hai lch chun? (Bn c th s dng kim nh
Barlett).
(c) Gi s bn mun d bo mc lng trung v ca cc nh kinh t nam t mc lng trung v
ca cc nh kinh t n. Hy xy dng mt m hnh hi quy thch hp cho mc ch ny. Nu
bn d on c phng sai thay i trong m hnh ny, lm sao bn c th x l n?
Mc lng trung v (nghn USD)
Lnh vc chuyn mn ha Nam N
Kinh doanh, ti chnh, v.v 9,3 13,0
Kinh t lao ng 10,3 12,0
Tin t-ngn sch 8,0 11,6
L thuyt kinh t chung 8,7 10,8
Dn s, cc chng trnh phc li, v.v 12,0 11,5
Cc h thng kinh t v pht trin kinh t 9,0 12,2
Ngun: The Structure of Economists Employment and Salaries (C cu vic lm v mc lng
ca cc nh kinh t), y ban ca Hi Khoa hc Quc gia, Bo co v Ngh Kinh t, Tp ch Kinh
t Hoa K, tp 55, s 4, 12/1965, trang 62.

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
11.15. S liu sau y cho ta mc lng trung v ca cc nh kinh t phn theo bng cp v tui:
Mc lng trung v (nghn USD)
Tui (nm) Bng cao hc Bng tin s
25-29 8,0 8,8
30-34 9,2 9,6
35-39 11,0 11,0
40-44 12,8 12,5
45-49 14,2 13,6
50-54 14,7 14,3
55-59 14,5 15,0
60-64 13,5 15,0
65-69 12,0 15,0
Ngun: The Structure of Economists Employment and Salaries (C cu
vic lm v mc lng ca cc nh kinh t), y ban ca Hi Khoa hc Quc
gia, Bo co v Ngh Kinh t, Tp ch Kinh t Hoa K, tp 55, s 4, 12/1965,
trang 37.
(a) Cc phng sai ca mc lng trung v ca cc nh kinh t c bng cao hc v tin s c
bng nhau khng?
(b) Nu bng nhau, lm sao bn c th kim nh gi thit cho rng mc lng trung bnh ca hai
nhm bng nhau?
(c) Cc nh kinh t c bng cao hc hng lng cao hn cc nh kinh t c bng tin s trong
tui t 35 n 54. Lm sao bn c th gii thch kt qu ny nu bn tin rng nh kinh t
c bng tin s phi c mc lng cao hn nh kinh t c bng cao hc?
11.16. Tham chiu s liu v nng sut trung bnh v lch chun ca nng sut trong bng sau. Gi s
rng
Y
i
= |
1
+ |
2
X
i
+ u
i

vi Y = nng sut trung bnh trong nhm lao ng th i, X
i
= quy m lao ng tnh bng 1 = 1-4
lao ng, 2 = 5-9 lao ng, , 9 = 1000-2499 lao ng.
S dng s liu, c lng hi quy bnh phng ti thiu c trng s v khng c trng
s theo Phng trnh (11.6.2) v (11.6.3) v bnh lun v kt qu thu c.

Quy m lao ng
(s lao ng)
Nng sut trung bnh
(USD)
lch chun ca nng sut
(USD)
1-4 9.355 2.487
5-9 8.584 2.642
10-19 7.962 3.055
20-49 8.275 2.706
50-99 8.389 3.119
100-249 9.418 4.493
250-499 9.795 4.910
500-999 10.281 5.893
1.000-2.499 11.750 5.550
Ngun: Census of Manufactures (Tng iu tra cng nghip ch to), B Thng mi Hoa
K, 1958 ( tnh ton).
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
11.17. Trong mt iu tra khong 9966 nh kinh t trong nm 1964, cc s liu sau y c tnh:

Tui (nm) Mc lng trung v (USD)
20-24 7.800
25-29 8.400
30-34 9.700
35-39 11.500
40-44 13.000
45-49 14.800
50-54 15.000
55-59 15.000
60-64 15.000
65-69 14.500
70 + 12.000
Ngun: The Structure of Economists Employment and Salaries
(C cu vic lm v mc lng ca cc nh kinh t), y ban ca Hi
Khoa hc Quc gia, Bo co v Ngh Kinh t, Tp chi Kinh t Hoa
K, tp 55, s 4, 12/1965, trang 36.
(a) Xy dng mt m hnh hi quy hp l gii thch mc lng trung v trong quan h vi
tui.
Lu : phc v cho mc ch hi quy, gi s rng cc mc lng trung v ng vi
im gia ca cc lp tui. Tc l, 7.800 USD ng vi tui 22,5 nm, v v.v i vi
lp tui cui cng, gi s tui ti a l 75 nm.
(b) Gi s rng phng sai ca s hng nhiu t l vi bnh phng tui, bin i s liu
lm cho cc s hng nhiu c phng sai khng thay i.
(c) Lp li (b), gi s rng phng sai t l vi tui. Php bin i no c v hp l hn?
(d) Nu khng c php bin i no trn hp l, gi s rng phng sai t l vi k vng c
iu kin ca mc lng trung v, ty thuc theo tui nht nh. Lm sao bn c th bin
i s liu to ra phng sai khng thay i?
11.18 Bng sau cho bit s liu v quyn rt tin c bit (SDR), cn c gi l vng giy, v cn cn
thanh ton ca 10 quc gia trong nm 1974.
Quc gia SDR, triu USD Cn cn thanh ton,
triu USD
B 715 346
Canada 574 26
Php 248 83*
c 1.763 466
221 4.633
Nht Bn 529 1.241
H Lan 595 985
Thy in 131 802
Anh Quc 843 4.355
Hoa K 2.370 8.374
* Du m biu th thm thng cn cn thanh ton
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
Ngun: International Financial Statistics (Thng k Ti chnh Quc t), Qu Tin t Quc
t, 12/1975.
Bi v SDR c s dng lm ng tin quc t, quy m SDR c d kin l c quan
h vi tnh hnh cn cn thanh ton ca mt quc gia.
(a) T s liu trn, c mt mi quan h r nt no gia SDR v cn cn thanh ton hay khng?
Tr li bng hi quy ca SDR theo cn cn thanh ton.
(b) S dng kt qu ca bn trong (a), kim nh ring r cc gi thit sau: phng sai ca nhiu
t l vi
(i) bnh phng gi tr cn cn thanh ton
(ii) gi tr k vng c iu kin ca SDR ty thuc theo gi tr ca cn cn thanh ton.
(c) Bn c th s dng php bin i log tho lun phn trn bin i s liu khng? Ti sao
hay ti sao khng?
(d) p dng kim nh tng quan hng i vi u
i
tnh c t hi quy trong (a) v s liu cn
cn thanh ton. Bn c th ni g khng v phng sai thay i trn c s ca kim nh ny?
11.19. Bn c cho bit cc s liu sau:
RSS
1
da vo 30 quan st u = 55, s bc t do = 25
RSS
2
da vo 30 quan st u = 140, s bc t do = 25
Thc hin kim nh Goldfelt-Quandt v phng sai thay i mc ngha 5%.
11.20. Bng sau cho bit s liu v t l thay i phn trm gi c phiu (Y) v gi tiu dng (X) trong
s liu cho ca 20 quc gia.
Gi c phiu v gi tiu dng, giai on sau Chin tranh Th gii
th II (ti 1969)

Tc thay i (%/nm)
Quc gia Gi c phiu, Y Gi tiu dng, X
1. c 5,0 4,3
2. Ao 11,1 4,6
3. B 3,2 2,4
4. Canada 7,9 2,4
5. Chil 25,5 26,4
6. an Mch 3,8 4,2
7. Phn Lan 11,1 5,5
8. Php 9,9 4,7
9. c 13,3 2,2
10. n 1,5 4,0
11. Ai Len 6,4 4,0
12. Israel 8,9 8,4
13. 8,1 3,3
14. Nht Bn 13,5 4,7
15. Mhic 4,7 5,2
16. H Lan 7,5 3,6
17. Niu Di Ln 4,7 3,6
18. Thy in 8,0 4,0
19. Anh Quc 7,5 3,9
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
20. Hoa K 9,0 2,1
Ngun: Phillip Cagan, Common Stock Values and Infaltion: The Historical
Record of Many Countries, National Bureau of Economic Research (Gi tr c
phiu thng v lm pht: thng k lch s ca nhiu quc gia, Cc Nghin cu
Kinh t Quc gia), ti liu b sung, 3/1974, Bng 1, trang 4.
(a) V s liu ln th phn tn.
(b) Thc hin hi quy Y theo X v xem xt cc phn d t hi quy ny. Bn quan st thy g?
(c) Do s liu Chil c v nh khng tiu biu (hay nm ngoi), lp li hi quy trong (b), b s
liu Chil. By gi xem xt cc phn d t hi quy ny. Bn quan st thy g?
(d) Nu trn c s ca cc kt qu trong (b) bn kt lun l c phng sai thay i trong phng
sai ca sai s nhng trn c s cc kt qu trong (c) bn o ngc kt lun ca mnh, bn rt
ra kt lun tng qut g?
11.21 Tnh cc hi quy tng t nh (11.6.2) v (11.6.3) bng cch tnh quy m lao ng theo trung
im ca nhm trong cc nhm quy m lao ng (v d 2,5, 7,0) v so snh kt qu ca bn vi
cc kt qu trong (11.6.2) v (11.6.3).
Bn thch phng php tnh quy m lao ng no v ti sao? u l vn kh khn tim nng
nu bn c mt nhm quy m lao ng m, v d, 2500 lao ng hay nhiu hn?
11.22. Tham chiu bng trong bi tp 11.8. Cng thm s 8500 vo tt c cc s liu cn cn thanh ton
trong bng, v
(a) thc hin hi quy cc SDR theo cc s liu cn cn thanh ton mi s dng m hnh tuyn
tnh.
(b) thc hin hi quy cc SDR theo cc s liu cn cn thanh ton mi s dng m hnh tuyn
tnh log hay m hnh log kp.
(c) so snh hai kt qu hi quy v bnh lun cc kt qu ca bn.
(d) Ti sao phi cng thm s 8500 vo s liu cn cn thanh ton? Thm bt c s khc c
c khng?
11.23. Tham chiu s liu trong Bng 11.5. Thc hin hi quy chi tiu nghin cu v pht trin (R&D)
theo doanh thu v tm trn c s ca kim nh Breusch-Pagan v White xem phng sai ca sai
s trong hi quy ny c khng thay i hay khng.
11.24. Lp li bi tp 11.23, ln ny thc hin hi quy R&D theo li nhun.
11.25. Ti V d 11.8 tho lun trong Mc 11.7, tnh cc sai s chun hiu chnh phng sai thay i
ca White trong hi quy chi tiu R&D theo doanh thu v so snh cc kt qu ca bn vi hi quy
(11.7.1). Bn rt ra kt lun quan trng no t v d ny?

Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
PH LC 11A
11.A.1. CHNG MINH PHNG TRNH (11.2.2)
T Ph lc 3A, Mc 3A.3, ta c
) 2 ... ( )
var(
2 2 2
2
2
2
2
1
2
1 2
hang so hai cua cheo tch + + + + =
n n
u k u k u k E |
= ) ... (
2 2 2
2
2
2
2
1
2
1 n n
u k u k u k E + + +
do cc k vng ca cc s hng tch cho bng khng theo gi thit rng khng c tng quan
chui.
) ( ... ) ( ) ( )
var(
2 2 2
2
2
2
2
1
2
1 2 n n
u E k u E k u E k + + + = |
do k
i
bit. (Ti sao?)

2 2 2
2
2
2
2
1
2
1 2
... )
var(
n n
k k k o o o | + + + =
do E(
2
i
u ) = o
i
2
.
=
2 2
2
)
var(
i i
k o |

(
(
|
|
.
|
\
|
=
2
2
2
i
i
i
x
x
o do
=
2
i
i
i
x
x
k
2 2
2 2
) (
=
i
i i
x
x o
(11.2.2)

11.A.2 PHNG PHP BNH PHNG TI THIU C TRNG S
minh ha phng php ny, ta s dng m hnh hai bin Y
i
= |
1
+ |
2
X
i
+ u
i
. Phng php
bnh phng ti thiu khng c trng s s cc tiu ha

=
2
2 1
2
)

(
i i i
X Y u | | (1)
tnh cc c lng, tri li phng php bnh phng ti thiu c trng s s cc tiu ha
tng bnh phng phn d c trng s:

2 *
2
*
1
2
)

(
i i i i i
X Y w u w | | =

(2)
vi
*
1
| v
*
2
| l cc c lng bnh phng ti thiu c trng s v vi cc trng s w

i
tnh nh
sau:

2
1
i
i
w
o
= (3)
tc l, cc trng s t l nghch vi phng sai ca u
i
hay Y
i
, ty thuc vo gi tr c th ca X
i
.
Ta hiu rng var(u
i
X
i
) = var(Y
i
X
i
) = o
i
2
.
Ly vi phn (2) theo
*
1
| v
*
2
| , ta c
Bi c
Kinh t lng c s - 3
rd
ed.

Hiu nh: Cao Ho Thi
) 1 )(

( 2
*
2
*
1
*
1
2
=
c
c
i i i
i i
X Y w
u w
| |
|

) )(

( 2
*
2
*
1
*
2
2
i i i i
i i
X X Y w
u w
=
c
c
| |
|

Cho cc biu thc trn bng 0, ta c hai phng trnh chun sau:

+ =
i i i i i
X w w Y w
*
2
*
1

| | (4)

+ =
2 *
2
*
1

i i i i i i i
X w X w Y X w | | (5)
Ch s ging nhau gia cc phng trnh chun v cc phng trnh chun ca phng php
bnh phng ti thiu khng c trng s.
Gii cc phng trnh ny ng thi, ta c

* *
2
* *
1

X Y | | = (6)
v

2 2
*
2
) ( ) )( (
) )( ( ) )( (
=
i i i i i
i i i i i i i i
X w X w w
Y w X w Y X w w
| (7)=(11.3.8)
Phng sai ca
*
2
| trong (11.3.9) c th tnh c theo cch tnh |

2
trong Ph lc 3A, Mc
3A.3.
Ch :

=
i i i
w Y w Y /
*
v

=
i i i
w X w X /
*
. Nh c th c kim chng d
dng, cc trung bnh trng s ny trng vi cc trung bnh thng thng hay khng c trng s
Y v X khi w
i
= w = hng s, vi mi i.

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Chng trnh Ging dy Kinh t Fulbright Cc phng php nghin cu II Kinh t lng c s - 3rd ed.

Bi c Ch.11: Phng sai thay i

| l c lng tuyn tnh khng thin lch tt nht (BLUE) nu gi thit

| vn l tuyn tnh v khng thin lch. Trn thc t, nh trnh by

| , khng nht thit l cc yu t

| vn tuyn tnh khng thin lch, n c hiu qu v tt nht, tc l

| khng cn l phng sai tt nht v phng sai nh nht khng

| ) ng nht vi phng sai thng thng (ngha l phng sai khng

| u l cc c lng (tuyn tnh) khng thin lch: trong vic ly

| l hiu qu, tc l, c phng sai

| ? Ta phn bit hai trng hp.

| v s dng cng thc phng sai trong (11.2.2), trong c tnh n vn

| ) s ln mt cch khng cn thit. Do vy, cc kim nh t v F

| m cn tip tc s dng cng

| nh trong (11.2.3). Trc ht, var(

| ) trong (11.2.3) l c lng

| ) trong (11.2.2), tc l, tnh mt cch trung bnh, n c lng qu cao hay

| ) trong (11.2.2), v ni chung ta khng th ni thin lch l dng (c lng

| u l cc c lng nht qun, tc l, chng hi t gi tr ng ca |

| ) bao nhiu] ph thuc vo cc gi tr mu ca cc bin X v gi tr ca

| )]. Nhng nu se(

| cng nh phng sai ca n l

| l cc c lng bnh phng ti thiu c trng s v vi cc trng s w

| trong (11.3.9) c th tnh c theo cch tnh |

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