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Nien khoa 2003-2004

Phng phap phan tch
Bai oc
Nhap mon kinh te lng vi cac ng dung
Chng 12: Bien phu thuoc nh tnh
va gii han

Ramu Ramanathan 1 Thuc Doan/Hao Thi


CHNG 12


Bien Phu Thuoc nh Tnh Va Gii Han

Trong tat ca cac chu e a thao luan trc ay, chung ta eu xem xet cac gia tr cua mot bien
phu thuoc nh the chung thay oi lien tuc. Tuy nhien, nhieu tnh huong xuat hien khong phai la
trng hp nh vay. V du, gia s chung ta mong muon lap mo hnh ra quyet nh mua cua mot
ho gia nh, cu the hn, quyet nh co nen mua mot chiec xe hi hay khong. Tai thi iem khao
sat, mot gia nh nao o hoac se mua hoac khong mua mot chiec xe. Trong tnh huong nay,
chung ta co mot b/en pha thaoc djnh t/nh tc la, ta se cho ra gia tr 1 neu ho gia nh nay
mua xe va gia tr 0 neu khong mua. Nhng quyet nh cua cac ho gia nh khac v du nh co
mua mot ngoi nha, o trang tr noi that, dung cu ien, hoac nhng hang hoa lau ben khac hay
khong la nhng v du ma bien phu thuoc co the la mot bien gia. Trong th trng lao ong,
quyet nh co gia nhap lc lng lao ong, sa thai mot nhan vien, hoac tham gia vao cong oan
hay khong la nhng v du cua cac loai bien phu thuoc nh nguyen. Trong nhng trng hp nay,
dien giai cua bien phu thuoc nay o la mot phng phap xac suat ma no nhan gia tr 0 hoac 1,
mac du gia tr ly thuyet co the la bat ky gia tr trung gian nao.
Trong Chng 7, chung ta a gii thieu cac bien gia (hoac la bien nh nguyen) va mo ta s
hu dung cua chung trong viec co c nhng tac ong cua cac bien oc lap nh lng len
bien phu thuoc. Cac van e ac biet nay sinh khi bien phu thuoc la bien nh nguyen. Nhng mo
hnh co cac bien phu thuoc loai nay c xem nh nhang mo hnh /aa chon ra/ rac hay nhang
mo hnh phan ang djnh t/nh.
Bien phu thuoc cung co the co nhieu dang khac ma chung khong lien tuc. V du, trong v
du mua xe, gia s, trong mot thi oan cho trc, chung ta lien he chi ph cho mot xe vi mot so
bien quyet nh v du nh thu nhap va o ln cua gia nh. Trong v du nh vay, bien phu thuoc
se lien tuc, nhng vi mot bc nhay ln iem 0 chi ph se la 0 neu ho gia nh khong mua
xe. Do o, mau co the bao gom mot so quan sat vi gia tr 0 cung vi nhng gia tr hang ngan.
Tnh huong nay cung can phai co mot dang phan tch ac biet. Cac bien phu thuoc cua loai nay
c biet en nh la nhang b/en pha thaoc g/a/ han. Chng nay xem xet en nhng van e
ac biet xuat phat t cac bien phu thuoc nh tnh va gii han va nhng ky thuat can thiet e
giai quyet cac van e nay. Bi v phng phap s dung ay la nguyen ly thch hp cc ai (mo
ta trong phan phu luc cua Chng 2 va 3), ma no vt xa pham vi cua quyen sach nay, nen
ay ch gii thieu phan m au cho nhng chu e nay. Tuy nhien, nhng v du thc nghiem c
trnh bay e minh hoa cho nhng ky thuat o. e biet them chi tiet ve cac phng phap, xem
Green (2000), Maddala (1983), va Amemiya (1981), GRETL, SHAZM, va Eviews ve nhng lenh
can thiet cho nhng ky thuat nay.
12.1 Mo Hnh Xac Suat Tuyen Tnh (hoac La Chon Nh Nguyen)
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 2 Thuc Doan/Hao Thi

Trong v du mua xe, at Y
t
la xac suat ma mot ho gia nh cu the nao o (th t trong mau) se
mua xe trong nam cho trc. X
t
la thu nhap cua ho gia nh. Xem xet mo hnh hoi qui n Y
t
=
+ X
t
+ u
t
. Mac dau dien dch cua Y
t
la mot xac suat, nhng gia tr quan sat c cua mot ho
gia nh hoac bang 0 hoac bang 1 bi v, trong giai oan khao sat, ho gia nh hoac se mua xe
hoac khong mua xe. Do o, bien phu thuoc ay co dang nh nguyen. Cac mo hnh nh vay
c biet en nh mo hnh xac suat tuyen tnh hoac mo hnh la chon nh nguyen. Tai sao
viec nay lai gay nen nhng van e? Tai sao khong c lng va bang cach lay hoi qui
bien gia Y theo mot hang so va thu nhap? Cau tra li se c ch ra ngay sau ay o la trong
trng hp cua bien gia, cac phan d se la phng sai cua sai so thay oi, va do o ng dung
cua OLS se mang lai nhng gia tr c lng khong hieu qua.
Goi p
t
la xac suat e cho Y
t
= 1, hoac cung tng ng vi, u
t
= 1 X
t
(xem Bang
12.1). Va 1 p
t
la xac suat e cho Y
t
= 0, hoac u
t
= - X
t
. Do o bien ngau nhien u
t
khong
tuan theo phan phoi chuan, ma chung thng c gia nh la nh vay, ma la phan phoi nh
thc (xem Phan 2.1) ch vi hai gia tr. Gia tr mong i cua u
t
phai bang zero, va do o ta co
0 = E(u
t
) = p
t
(1 X
t
) + (1 p
t
)( - X
t
)
Giai phng trnh nay tm p
t
, ta c p
t
= + X
t
. Phng sai cua u
t
(
2
t
) la E(
2
t
u ) bi v E(u
t
)
= 0. Theo nh ngha,
2
t
= p
t
(1 X
t
)
2
+ (1 p
t
)( - X
t
)
2

= p
t
(1 p
t
)
2
+ (1 p
t
)
2
t
p = p
t
(1 p
t
)
li dung d kien + X
t
= p
t
. T ay
2
t
= (1 X
t
)( + X
t
), ma chung thay oi theo t, v
vay tao ra phng sai cua sai so thay oi cua cac sai so u
t
.
Bang 12.1 Phan Phoi Xac Suat Cua a
t

u
t
Xac suat
1 X
t
p
t

X
t
1 p
t


Ngay ca khi gia thiet chuan cua u
t
b vi pham, th nhng gia tr c lng cua va
khong thien lech va nhat quan nhng khong hieu qua bi v hien tng phng sai cua sai
so thay oi. Cac kiem nh gia thuyet chu yeu phu thuoc vao s chuan hoa. Tuy nhien, chung
ta co the dan chng nh ly gii han trung tam (Tnh Chat 2.7b), phat bieu rang neu nhieu bien
ngau nhien c phan phoi mot cach ong nhat, th gia tr trung bnh se gan chuan ngay ca khi
cac bien ngau nhien ban au khong phai la chuan. Bi v cac gia tr c lng OLS la nhng
to hp tuyen tnh cua nhng bien nh vay, nen s chuan hoa cung se c duy tr cho nhng
c mau ln. Tuy nhien, bi v phng sai cua sai so thay oi lam mat hieu lc cua nhng kie m
nh, nen chung khong con gia tr na. Nh a thay trong Chng 8 la chung ta co the nhan
Chng trnh Giang day Kinh te Fulbright
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 3 Thuc Doan/Hao Thi

c nhng gia tr c lng gan hieu qua bang cach s dung thu tuc bnh phng toi thieu
trong so (WLS) ay, mien la chung ta co the nhan c cac gia tr c lng cua
2
t
. S
dung nhng gia tr c lng OLS va

, chung ta co the c lng phng sai phan d nh

sau
2

t
= ( +

X
t
)(1 - -

X
t
) =
t
Y

(1 -
t
Y

)
Bay gi, chung ta co the at w
t
= 1/
t
va ap dung bnh phng toi thieu trong so nh
cach a c mo ta trong chng 8. Tuy nhien, mot van e tiem an se nay sinh khi gia tr tien
oan
t
Y

la 0 hoac 1, hoac iem nao o nam ngoai khoang 0 va 1. Trong trng hp nay,
2

t

se khong mang gia tr dng. Khong co mot s am bao nao la OLS se khong tao ra nhng gia
tr c oan khong the chap nhan c nh vay. Tuy nhien, khi ieu o xay ra, chung ta co the
hieu chnh lai thu tuc chut t. Neu gia tr
2
t
c oan khong co gia tr dng, at w
t
bang
zero. ieu nay tng ng vi viec bo qua nhng quan sat nh vay. Cac bc c lng mot
mo hnh xac suat tuyen tnh nh sau:
Bc 1 c lng mo hnh bang thu tuc bnh phng toi thieu thong thng va nhan c
nhng gia tr c oan cua bien phu thuoc (
t
Y

).
Bc 2 c lng phng sai phan d
2

t
=
t
Y

(1 -
t
Y

),
Bc 3 Xay dng trong so cho quan sat th t khi w
t
= 1/
t
, vi ieu kien
2

t
dng. Neu
2

t
bang 0 hoac am, at w
t
bang 0 .
Bc 4 Nhan c gia tr c lng bnh phng toi thieu trong so (xem Phan 8.3) s
dung w
t
nh trong so cho quan sat th t.
Nh a e cap en, bi v nhng gia tr c oan khong c am bao la nam gia 0 va
1 (ngay ca sau khi ap dung WLS), nen mo hnh nay ngay nay khong c s dung nhieu na.
12.2 Mo Hnh n V Xac Suat (Probit)
Mot la chon khac vi mo hnh xac suat tuyen tnh c mo ta trong phan trc la mo hnh
n v xac suat. e minh hoa rang mo hnh nay khong co nhng nhc iem cua mo hnh
trc, xem xet mot v du cua mot nhan vien cua mot cong ty quyet nh co nen tham gia
nghiep oan hay khong. Gia thiet theo phan tch n v xac suat la co mot phng trnh phan
ng di dang
*
t
Y = + X
t
+ u
t
, vi X
t
la bien co the quan sat c nhng
*
t
Y la bien khong
the quan sat c.

t
u
la phan phoi chuan chuan hoa. Nhng g chung ta quan sat c trong
thc te la Y
t
, no mang gia tr 1 neu
*
t
Y > 0 va bang 0 neu cac gia tr khac. Do o chung ta co
Y
t
= 1 neu + X
t
+ u
t
> 0
Chng trnh Giang day Kinh te Fulbright
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 4 Thuc Doan/Hao Thi

Y
t
= 0 neu + X
t
+ u
t
0
Neu chung ta ky hieu F(z) la ham xac suat tch luy cua phan phoi chuan chuan hoa, tc
la, F(z) = P(Z z), th
P (Y
t
= 1) = P (u
t
> X
t
) = 1 F |
.
|

\
|

t
X

P (Y
t
= 0) = P (u
t
X
t
) = F |
.
|

\
|

t
X

Mat o xac suat ket hp cua mau cac quan sat (goi la ham thch hp trong phu luc Chng 2)
do vay c cho bi
L =

= =
(

|
.
|

\
|
|
.
|

\
|
1 0
1
t t
Y
t
Y
t
X
F
X
F

vi ky hieu tch so cua cac so hang. c lng thong so va bang cach cc ai bieu thc
nay, ma no ro rang khong tuyen tnh gia cac thong so va khong the c lng bang nhng
chng trnh hoi qui thong thng. Nhng chng trnh nh LIMDEP, Eviews, GRETL,
SHAZAM, PROBIT, MIDAS, va SAS co the thc hien viec toi u phi tuyen ac biet can thiet
ay.
Mot V Du Thc Nghiem: Mo Hnh n V Xac Suat oi Vi Hanh Vi Chng Trnh
Truyen Hnh
Foster and Hull (1986) s dung phan tch n v xac suat e lap mo hnh quyet nh xem mot
chng trnh truyen hnh co nen ang ky vi Ma Truyen Hnh cua Hiep Hoi Quoc Gia ve Phat
Thanh Truyen Hnh (NAB) hay khong. Mau d lieu cho 89 chng trnh truyen hnh thng
mai cua My c ban ra t gia thang Gieng 1976 en thang Ba 1982, khi NAB tam hoan
nhng ieu khoan quang cao co ma.
at
*
t
C la danh muc nhng khuyen khch cua chng trnh th t tuan theo ma so, ma no
phu thuoc vao mot so ac tnh. Mo hnh s dung bi Foster va Hull nh sau (bo qua ch so t
di):
C
*
=
1
+
2
A +
3
Ca +
4
Nc +
5
Y +
6
V + +
7
N
+
8
Cpo +
9
%CP +
10
T + u
t

vi C = 1 neu C
*
> 0 va bang 0 neu cac gia tr khac. Cac bien giai thch nh sau (xem bai bao
goc e biet them chi tiet ve nhng bien nay cung nh rat nhieu nhng mo hnh khac c c
lng bi nhng tac gia nay):
A = So lng khan gia cua chng trnh
Ca = Phan tram ho gia nh khu vc th trng ch nh (DMA) co truyen hnh cap
Nc = So chng trnh truyen hnh thng mai ln co the xem c
Y = Thu nhap au ngi trong khu vc
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 5 Thuc Doan/Hao Thi

V = 1 neu tram truyen hnh co kenh VHF, 0 neu kenh khac
N = 1 neu tram truyen hnh la mang li chi nhanh, 0 neu trng hp khac
Cpo = Ch so cua hieu qua phoi hp tiem tang
CP = Ch so khac cua hieu qua phoi hp tiem tang
T = So thang t ngay ban en thang Ba 1982
Mo hnh c lng la (vi gia tr tuyet oi cua cac t so t trong ngoac n)
C
^
*
= - 3,281 + 0,015A + 0,008Ca 0,113Nc + 0,380Y 0,551V
(1,22) (3,02) (0,55) (1,29) (1,90) (1,42)
+ 1,081N 0,002CP
0
+ 0,0003CP + 0,004T
(2,12) (0,11) (0,02) (0,42)
Neu nhng tac ong phoi hp la quan trong, chung ta co the mong muon Cpo, CP, va T co
tac ong ong bien y ngha len xac suat cua viec ang ky vi Ma Truyen Hnh; tc la,
8
,
9
,
va
10
se dng. Tuy nhien, khi cac tac gia kiem nh gia thuyet khong cho rang
8
=
9
=
10

= 0, no khong the b bac bo mc 10 phan tram. Neu tat ca cac bien khong co y ngha b loai
khoi t phng trnh ac trng, th mo hnh c lng nh sau:
C
^
*
= - 3,450 + 0,013A + 0,347Y 0,982N
(2,45) (2,93) (1,92) (2,57)
Nhng gia tr so cua hoi qui nay khong co mot dien dch cu the nao. Tuy nhien, chung ta co
the ket luan rang so lng khan gia truyen hnh cang cao hoac la thu nhap bnh quan au
ngi trong khu vc cang cao, th kha nang ang ky truyen hnh vi Ma Truyen Hnh NAB
cang cao. Tng t nh vay, mang li chi nha nh co mot anh hng ong bien len kha nang
ang ky. Nhng bien khac trong mo hnh ban au khong co tac ong mot cach y ngha len c
hoi ang ky tram truyen hnh ma.
12.3 Mo Hnh Logit
Trong Phan 6.12, chung ta a gii thieu mo hnh logit (cung c biet en di ten mo hnh
logistic) va cho thay s hu dung cua mo hnh khi bien phu thuoc ch nhan gia tr gia 0 va 1
(hoac la t 0 en 100, neu di dang phan tram). Mo hnh logistic co dang phng trnh nh
sau:
ln
(

P
P
1
= + X + u (12.1)
vi P la gia tr cua bien phu thuoc t 0 en 1. Nguyen do co dang nay co the c thay bang
cach giai phng trnh tm P (trc tien lay mu cua ca hai ve). Tiep theo chung ta thu c gia
tr P nh sau:
P =
) (
1
1
u X
e
+ +
+

(12.2)
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 6 Thuc Doan/Hao Thi

De dang thay rang neu X + , P 1, va khi X - ,, th P tien en 0. Do o, P khong
the nao nam ngoai khoang [0,1].
Thu tuc c lng phu thuoc vao gia tr quan sat P co nam gia 0 va 1 hay khong, hoac
la o co phai la so nh nguyen co gia tr 0 hoac 1 hay khong. Cac mo hnh ma bien phu thuoc
la nh nguyen c goi la nhng mo hnh logit nh nguyen. Wunnava va Ewing (2000) co
mot v du tuyet vi ve mo hnh nh vay. Trong trng hp ma P ung la nam gia khoang 0 va
1 (v du, P la phan nho cua so ho gia nh mua mot xe hi), phng phap ch n gian la bien
oi P va thu c Y = ln[P/(1 P)]. Tiep theo chung ta lay hoi qui Y theo mot hang so va X
(co the de dang them vao nhieu bien giai thch). Tuy nhien, neu P la so nh nguyen, th logart
cua P/(1 P) se khong the xac nh c khi P co gia tr hoac 0 hoac 1. Thu tuc s dung trong
trng hp nh the chnh la phng phap thch hp cc ai a c thao luan trong Phan 2.A.3
va 3.A.5.
Tac ong can bien cua X len P c tnh toan bang cach lay ao ham rieng phan cua P
theo X. Tac ong can bien c lng c cho nh sau:
)

1 (

] 1 [

2 )

(
)

(
P P
e
e
X
P
X
X
=
+
=

+
+

Mot so chng trnh may tnh c lng mo hnh logit theo pham vi rong hn. Nhng
chng trnh nay bao gom GRETL, Eviews, SAS, SHAZAM, MLOGIT, va QUAIL. Tham
khao nghien cu vao nam 1981 cua Amemiya e biet them chi tiet.
V DU 12.1
Trong v du nay chung ta s dung mo hnh logistic e c lng quan he gia t le tham gia
cua lc lng lao ong n va nhng yeu to cua chung. Mo hnh c lng s dung d lieu
trong DATA 4-5 (xem Phan Thc Hanh May Tnh 12.1) la
ln =
(

WLFP
WLFP
100
- 0,355 + 0,03316YF + 0,01175EDUC
- 0,0587 UE 0,00315URB 0,00414WH
(-5,53) (-2,71) (-2,75)
Bi v bien phu thuoc ay khong phai la WLEP, nen cac he so hoi qui khong the so sanh
c cung nh cac gia tr R
2
hieu chnh. Mot cach e so sanh o thch hp cua mo hnh tuyen
tnh vi o thch hp cua mo hnh logit la s dung mo hnh logit e d bao WLEF va tiep en
tnh tong bnh phng sai so va nhng tr thong ke cua mo hnh chon la. Khi thc hien xong
viec nay, chung ta nhan thay rang mo hnh logit la tot hn. Xem Phan Thc Hanh May Tnh
12.1 e biet them chi tiet.

(-1,53) (5,03) (4,17)
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 7 Thuc Doan/Hao Thi

V Du Thc Nghiem: S Gian oan Trong Nghe Nghiep Sau Khi Sinh Con
Even (1987) a s dung mo hnh logit e xem xet tac ong cua viec sinh con len xac suat ma
mot ngi phu n se tr lai cong viec.
1
Gia thiet can ban cua mo hnh ong ta s dung la mot
ngi phu n se bat au lai cong viec trong thi gian au tien ngay sau khi sinh neu nh tien
lng toan bo cua co ta (W) cao hn gia tr cua thi gian nha hoac la cao hn tien lng gi
cho (R). D lieu s dung lay t Cuoc Khao Sat Quoc Gia vao nam 1973 ve S Tang Trng
Gia nh, cho 866 phu n da trang a lap gia nh, co t nhat mot con va thnh thoang lam viec
trong suot thi gian mang thai. Cac bien giai thch nh sau:
s = So lan sinh con
KIDS = So con trong gia nh
DKIDS = Bien KIDS nhan vi so qu gian oan cong viec do sinh con
AGE = Tuoi cua ngi me tai thi iem sinh gan nhat
HINC = Thu nhap cua ngi cha ngay thi iem phong van
MQPRIOR = So thang ngi me ngng lam viec trc thi iem sinh con gan nhat
EXP = So nam kinh nghiem lam viec
DEXP = Bien EXP nhan vi so qu khong lam viec do viec sinh con
OCC = 1 neu nghe nghiep cua ngi me la chuyen nghiep hay ky thuat, 0 cho cac
trng hp khac.
EDUC = So nam i hoc
DEDUC = Bien EDUC nhan vi so qu khong lam viec do sinh con
Bang 12.2 trnh bay cac he so c lng (vi tr thong ke t trong ngoac n) cua mot so ac
trng mo hnh thay the, bien phu thuoc la xac suat cua s tr lai lam viec. Chung ta lu y rang
EDUC khong co y ngha thong ke trong bat ky mo hnh nao, trong khi chung ta ky vong se co
mot tac ong ong bien len tien lng. Nh mot li giai thch, Even gi y rang mc lng cao
co the lam cho mot ngi phu n oi hoi mot a tre c nuoi day tot, va v vay, co ta co the
bo cong viec e nang cao chat lng cua viec nuoi day tre. S khong y ngha cua so hang
tng tac DEDUC cho biet tac ong bien cua EDUC khong phu thuoc vao so qu ngh viec do
sinh con.
He so cua KIDS cung khong y ngha, nhng he so cua DKIDS tng tac th ong bien
mot cach y ngha ( mc y ngha 5 phan tram). ieu nay co ngha la them mot a tre co mot
tac ong khong ang ke len xac suat ngay sau khi sinh, nhng tac ong can bien tang theo thi
gian. ieu nay co the la do nhng a tre ln hn can t s chu y hn va do o s hien hu cua
chung co the lam tang nhu cau cua hang hoa tren th trng.
AGE mang dau am nh ky vong va co y ngha. Tng t nh vay, thu nhap cua ngi
chong cang cao, xac suat tr lai lam viec cang thap. Kinh nghiem cung nh bien gia oi vi
ngi phu n lam cong viec chuyen nghiep co tac ong ong bien nh ky vong len xac suat.

1
Cu the hn, nhng g c lap mo hnh chnh la t le may rui, xac suat co ieu kien cua viec tr lai lam viec tai
thi iem t, biet rang ngi phu n se khong tr lai lam viec trc thi iem t.
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Ramu Ramanathan 8 Thuc Doan/Hao Thi

Bang 12.2 Cac Mo Hnh Logit c Lng
(1) (2) (3) (4) (5) (6)
Hang so -0,286 -0,45 0,095 0,34 0,75 0,97
(0,69) (1,08) (0,18) (0,66) (1,44) (1,80)
s * * -0,12 -0,28 -0,58 -0,79
(1,62) (4,01) (6,31) (5,45)
s
2
* * * 0,0097 0,050 0,096
(7,02) (6,13) (3,67)
s
3
/100 * * * * -0,13 -0,47
(4,90) (2,54)
s
4
/100 * * * * * 0,077
(1,88)
DKIDS * 0,018 0,023 0,015 0,013 0,013
(2,29) (2,78) (2,03) (1,82) (1,82)
DEXP * -0,0080 -0,0074 -0,0053 -0,0055 -0,0055
(2,77) (2,49) (2,03) (2,23) (2,23)
DEDUC * -0,010 -0,0019 -0,0031 -0,0026 -0,0025
(5,21) (0,31) (0,65) (0,54) (0,53)
KIDS 0,082 0,026 0,0040 0,047 0,051 0,051
(1,70) (0,41) (0,02) (0,76) (0,81) (0,81)
AGE -0,046 -0,046 -0,045 -0,044 -0,044 -0,045
(2,87) (2,78) (2,73) (2,67) (2,66) (2,69)
HING -0,027 -0,016 -0,016 -0,015 -0,015 -0,015
(3,83) (2,27) (2,28) (2,12) (2,13) (2,12)
MQPRIOR -0,148 -0,12 -0,12 -0,12 -0,12 -0,12
(8,06) (6,63) (6,55) (6,30) (6,16) (6,11)
EXP 0,033 0,076 0,073 0,063 0,063 0,064
(2,26) (3,84) (3,66) (3,30) (3,29) (3,30)
OCC 0,311 0,28 0,29 0,27 0,25 0,25
(2,45) (2,12) (2,20) (2,02) (1,90) (1,97)
EDUC -0,025 0,025 -0,014 -0,0090 -0,0091 -0,0089
(0,92) (0,89) (0,38) (0,26) (0,26) (0,25)
Log-thch hp (loglikelihood) -1806,8 -1698,1 -1696,8 -1674,8 -1661,6 -1659,9
Tr thong ke o thch hp 459,65 98,84 97,14 61,34 37,82 33,91
(goodness of fit statistics)
(0) (2,2E-11) (4,4E-11) (2,0E-5) (0,027) (0,066)
Nguon: Trch dan t Even, 1987, Bang 2, t.266. c in lai di s chap thuan cua Nha Xuat Ban ai Hoc Chicago
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Ramu Ramanathan 9 Thuc Doan/Hao Thi

Bien MQPRIOR, la so thang ngi me ngng lam viec trc khi sinh, co mot tac ong
nghch bien rat manh. Do o, bo viec sm trong thi gian mang thai lam tang xac suat ma
ngi me se khong (hoac khong the) tr lai cong viec.
12.4 Bien Phu Thuoc Gii Han
Nh a e cap trong phan gii thieu cua chng nay, nhng gia tr quan sat cua mot bien oc
lap oi khi co mot bc nhay ri rac tai iem zero. V du, neu chung ta lay mot mau ngau
nhien cua phu n va ghi nhan mc lng cua ho, th chung ta co the quan sat nhieu gia tr zero
bi v ch ghi nhan c tien lng oi vi nhng ngi phu n ang lam viec. Do vay, trong
mo hnh hoi qui n Y
t
= + X
t
+ u
t
, chung ta ch quan sat c bien phu thuoc khi Y
t
> 0.
Theo mot v du khac, neu chung ta thu thap mot mau ngau nhien cac ho gia nh va ghi lai chi
tieu cua ho cho nhng hang hoa lau ben, mot vai gia tr co the bang zero trong khi nhng gia
tr khac dng. Do o, chung ta khong bao gi quan sat c nhng gia tr am. Hau qua cua
viec khong e y en d kien nay va lay hoi qui Y theo mot hang so va X la g? Chung ta lu y
trong tnh huong nay, cac sai so se khong thoa man ieu kien E(u
i
) = 0, la ieu kien can thiet
e cac gia tr c lng khong thien lech. Mot bien phu thuoc vi tnh chat co mot bc nhay
ri rac iem zero (hay bat ky gia tr ngng nao khac) c biet en nh mot bien phu thuoc
gii han. Tobin (1958) a a ra mot trong nhng ng dung au tien (trong kinh te hoc) cua
mo hnh bien phu thuoc gii han. Ong ta a ap dung mo hnh nay vao mo hnh chi tieu ho gia
nh oi vi xe hi. Nhng mo hnh nh vay c nhac en nh mo hnh tobit hay hoi qui
kiem duyet.
Mo Hnh Tobit (hay Hoi Qui Kiem Duyet)
Trong mo hnh Tobit, co mot s khong oi x ng gia cac quan sat vi gia tr dng cua Y va
gia cac quan sat vi gia tr am. Trong trng hp nay, mo hnh tr thanh

> > + +
=
t t t
t t t t t
t
X u Y
X u Y u X
Y


hoac 0 neu 0
hoac 0 neu

Gia thiet c ban ang sau mo hnh nay la co ton tai mot ham so ch so I
t
= + X
t
+ u
t
oi v i
moi nha kinh te ang tien hanh nghien cu. Neu I
t
0, th gia tr cua bien phu thuoc c at
bang 0. Neu I
t
> 0, gia tr cua bien phu thuoc c at bang I
t
. Gia s u co phan phoi chuan vi
tr trung bnh bang khong va phng sai
2
. Chung ta lu y Z = u/ la mot bien ngau nhien
chuan chuan hoa. Ky hieu f(z) la mat o xac suat cua bien Z chuan chuan hoa, va F(z) la xac
suat tch luy tc la, P[Z z]. Mat o xac suat ket hp cua nhng quan sat o vi Y
t
dng
c cho bi bieu thc sau: (xem Phan 3.A.5)
P
1
=

=
=
(

m i
i
i i
X Y
f
1
1

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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 10 Thuc Doan/Hao Thi

vi la ky hieu tch so va m la so quan sat trong tng mau con ma Y co gia tr dng. oi vi
mau con th hai (c mau la n) trong o gia tr Y quan sat la bang khong, bien ngau nhien u -
X. Xac suat cua d kien nay la
P
2
| |

=
=
=
n j
j
j j
X u P
1

=

=
=
(

n j
j
j
X
F
1

Do o xac suat ket hp cua tong the mau la L = P
1
P
2
. Bi v cac he so va la phi
tuyen, thu tuc OLS khong thch hp ay. Thu tuc e co c nhng gia tr c lng cua
va la lam cc ai L theo cac thong so. o la thu tuc thch hp cc ai c mo ta trong
Phan 3.A.5.
Trong cac chng trnh may tnh, nhng chng trnh nh Eviews, LIMDEP, SAS,
SHAZAM, va TSP co cac thu tuc e c lng mo hnh Tobit.
V Du Thc Nghiem: Mo Hnh Tobit Cua Viec ong Gop T Thien
Reece (1979), s dung mot mo hnh Tobit, a thc hien mot nghien cu ve nhng ong gop t
thien. Mac du ong ta xac nh c mot so thanh phan cua ong gop t thien, nhng ay
chung ta ch quan tam en ba thanh phan: tong cua tat ca ong gop, ong gop t thien, va mo t
nhom c goi la CONTRIB, ma no loai tat ca nhng ong gop qua tang en nhng thanh
vien khong gia nh va mot vai ong gop khac. Phan ln nhng d lieu thu thap c (cho
nhng so lng ln ho gia nh) t Khao Sat Chi Tieu Tieu Dung cua Cuc Thong Ke Lao
ong nam 1972 va 1973. Nhng ho gia nh t mot so Khu Vc Thong Ke o Th Tieu Chuan
(SMSA). Cac nguon d lieu khac t cuc Thong Ke ve ieu Tra Dan So va Bo Sc Khoe, Giao
Duc, va Phuc Li cua My. Bang 12.3 trnh bay nhng o co dan c lng the hien bang cac
he so cua ham ch so, ban than cac he so, va nhng tr thong ke t tng ng. Cac bien oc lap
nh sau:
PRICE = Gia cua nhng ong gop
INCOME = thu nhap (trc thue) trung bnh cua gia nh trong nam hien hanh va
nhng nam trc o cong vi thu nhap rong do viec s hu nha
ASSISTANCE = Tr giup cong cong trung bnh
RECIPIENT = Thu nhap gia nh bac di nam oi vi SMSA
COL = Mot ch so cua ngan sach gia nh oi vi SMSA
AGE = Tuoi cua chu ho
SECOND = 1 cho mau cua nam 1973, 0 cho mau cua nam 1972
Reece nh ngha gia cua mot ola ong gop la lng tieu dung mat i cua ho gia nh
do viec ho lam t thien. Bi v thue co the c khau tr do viec ong gop, nen gia noi chung
se nho hn 1. e biet them chi tiet va ai lng chnh xac c s dung, nhng ngi quan
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 11 Thuc Doan/Hao Thi

tam nen tham khao bai bao goc. e xem xet nhng khac biet ve gia cua hang hoa tieu dung
gia nhng ho gia nh, s dung bien ch so mc song (COL). Bien RECIPIENT c s dung
e c lng gan ung tac ong cua mo trng xa hoi. Gia thuyet la, ngoai tr ho ra, nhng ho
gia nh quan tam chu yeu en nhng ho gia nh khac cung song trong mot khu vc a ly (o
la gia thuyet s phu thuoc lan nhau ve li ch). Neu thu nhap cua nhng ho gia nh khac la
thap, ho gia nh co the rong rai hn cho nhng khoan ong gop cua ho. Thu nhap di 20
phan tram cua nhng gia nh sinh song trong khu vc (thap hn bac nam) c s dung nh
bien RECIPIENT.
Bang 12.3 Nhng Mo Hnh Tobit c Lng
Cac Phng trnh
(1) (2) (3)
Charity + Deducted All Contrib.
PRICE -0,976 -1,401 -1,192
-114,60 -787,88 -396,71
(-2,67) (-4,63) (-4,15)
INCOME 1,423 0,550 0,877
0,0095 0,0176 0,0166
(9,99) (4,87) (8,01)
AGE 0,309 0,484 0,380
0,8808 6,60 3,06
(1,44) (2,79) (2,30)
ASSISTANCE -0,097 -0,186 0,102
-0,0108 -0,0996 0,0322
(-0,29) (-0,67) (0,39)
RECIPIENT -0,138 0,327 0,351
-0,0017 0,0190 0,0121
(-0,37) (1,06) (1,20)
COL -1,511 0,518 -0,542
-0,1420 0,2329 -0,1443
(-1,21) (0,51) (-0,57)
SECOND -0,016 0,005 -0,012
-3,42 5,32 -7,30
(-0,27) (0,11) (-0,26)
CONSTANT 124,70 113,33 183,61
(0,95) (0,22) (0,64)
1-ee/s
2
0,342 0,175 0,282
1-ee/yy 0,466 0,405 0,529
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Ramu Ramanathan 12 Thuc Doan/Hao Thi

Lu y: o co dan, he so, va tr thong ke t (trong ngoac n) c cung cap cho tng bien
Nguon: Trch dan t Reece, 1979, Bang 1, t.147. c in lai di s chap thuan cua Hiep Hoi Kinh Te Hoa Ky
Hai hang cuoi cung trong Bang 12.3 cho thay hai ai lng o mc o thch hp. Mac du
chung khong qua cao, nhng chung hp ly, xet en trng hp e co c nhng o lng mc
o thch hp cao oi vi nhng d lieu cheo la rat kho khan (ac biet la mot oi vi so lng
ln ho gia nh). Bien phu thuoc CHARITY + DEDUCTED bao gom tat ca cac khoan ong
gop t thien, khong can biet en chung co c khau tr t khoan chi tra hay khong. Cac bien
PRICE va INCOME co y ngha thong ke va eu mang dau nh ky vong. Cac bien ve moi
trng xa hoi ASSISTANCE va RECIPIENT mang nhng he so am khong co y ngha. ieu
nay gi y rang thieu s ho tr oi vi gia thuyet s phu thuoc lan nhau ve li ch. He so cua
SECOND la am va khong y ngha. ieu nay cho thay nhng ong gop trung bnh cua nam
1973 a giam so vi nam 1972. Ket qua nay cung c mong i bi v nam 1972 la nam bau
c. Cac ket qua cung cho biet (1) kha nang khau tr thue cua viec ong gop t thien la yeu to
quan trong trong viec xac nh so lng ong gop va (2) nhng to chc ton giao thu c li
nhieu hn khi nhng ong gop c khau tr thue.
Tom Tat
Chng nay tap trung vao nhng nghien cu ac biet can thiet khi bien phu thuoc (Y) hoac co
dang nh nguyen hoac co mot bc nhay ri rac tai gia tr 0. Khi quyet nh mot nha kinh te
di dang thc hien hay khong thc hien mot hanh ong nao o (v du, mua xe hay mua nha,
bieu tnh chong lai ngi chu, bau c cho mot ng c vien, ), gia tr quan sat c cua Y la 1
hoac 0. Nhng mo hnh nham en loai bien phu thuoc nay c biet en nh nhng mo hnh
la chon ri rac. Nhng mo hnh xac suat tuyen tnh, nhng mo hnh n v xac suat, va nhng
mo hnh logit la nhng v du cua loai mo hnh la chon ri rac. Khong ap dung c thu tuc
OLS vao mot mo hnh vi bien phu thuoc nh nguyen bi v cac so hang sai so co phng sai
cua sai so thay oi. S dung mot mo hnh nh nguyen, ta co the c lng phng sai cua sai
so thay oi va ap dung bnh phng toi thieu trong so. Tuy nhien, khong co s bao am la
nhng gia tr c oan cua bien phu thuoc (c dien dch la mot ai lng xac suat) se nam
gia 0 va 1. e tranh s kho khan nay, nhng mo hnh logit thng c s dung. Bay gi
bien phu thuoc se co dang ln[P/(1 - P)], vi P la phan oan thi gian quan sat c cua mot
quyet nh nao o c a thch va ln la logart t nhien. Mo hnh logit co tnh chat ma gia tr
c oan cua P luon nam gia 0 va 1. Neu Y khong phai la phan c quan sat nhng la nh
nguyen (ch co gia tr 0 hoac 1), th s dung mo hnh n v xac thch hp hn.
Trong rat nhieu tnh huong, Y co the c gii han bi gia tr 0 (hoac mot vai gia tr
ngng nao o). Do vay, gia tr quan sat cua Y co the la dng hoac bang khong, nhng khong
bao gi am. Nhng bien noi sinh cua loai nay c biet en nh nhng bien phu thuoc gii
han. Mo hnh Tobit thng c s dung e ch ra nhng bien phu thuoc gii han. OLS cung
khong the ap dung c ay bi v ieu kien E(u) = 0 (u la so hang sai so) can thiet cho
nhng c lng khong thien lech, khong c thoa man. Thu tuc thch hp ay la phng
phap thch hp cc ai.
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Chng 12: Bien phu thuoc nh tnh
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Ramu Ramanathan 13 Thuc Doan/Hao Thi

Thuat Ng
Binary choice models: Mo hnh la chon nh nguyen
Binominal logit model: Mo hnh logit nh thc
Censored regressions: Hoi qui kiem duyet
Discrete choice models: Mo hnh la chon ri rac
Limited dependent variable: Bien phu thuoc gii han
Linear probability models: Mo hnh xac suat tuyen tnh
Logit model: Mo hnh Logit
Probit model: Mo hnh n v xac suat
Qualitative dependent variable: Bien phu thuoc nh tnh
Qualitative response models: Mo hnh phan ng nh tnh
Tobit models: Mo hnh Tobit