Chng 5

Phng sai sai s thay i

1. Bn cht v nguyn nhn

2. Hu qu
3. Cch pht hin
4. Cch khc phc

1. Bn cht v nguyn nhn

Cc hm mt xc sut ging nhau v hnh dng

v ln.
Var(U i ) E (U i )
2

Nu
Var(U i ) E (U i )
2

2
i

=> Phng sai sai s thay i

Hin tng PSSST l hin tng m

cc phng sai ca ng hi quy ca tng

th ng vi cc bin c lp l khc nhau

(phng sai khng l mt hng s).

 Nguyn nhn
Do bn cht ca cc mi lin h kinh t
Do k thut thu thp d liu c ci tin
Trong mu c cc outlier

Do hc c hnh vi trong qu kh
M hnh hi quy khng ng (sai hm, thiu

bin quan trng)

2. Hu qu
Cc c lng OLS vn l nhng c lng tuyn

tnh, khng thin lch.

c lng OLS s khng cn hiu qu.
Nhng kim nh thng k t v F khng cn ng tin

cy.
Kt qu d bo khng cn hiu qu khi s dng cc

c lng OLS c phng sai khng nh nht.

3. Cch pht hin

3.1. Phng php nh tnh
Bn cht ca vn ang nghin cu
Nhng nghin cu vi s liu cho thng

xy ra hin tng phng sai sai s thay i.

V d: kho st doanh thu v chi ph qung
co ca cc cng ty khc nhau cng lnh vc
kinh doanh.

 Da vo th phn d

3.2. Phng php nh lng

Kim nh Park
Park hp thc ha phng php th bng cch

cho rng si2 l mt hm s ca bin gii thch Xi.

Dng hm s m Park gi l

hay ln i2 = ln 2 + blnXi + vi (1.1)

* vi vi l s hng nhiu ngu nhin.

3.2. Phng php nh lng

Kim nh Park
Bc 1: c lng hi quy gc

Bc 2: Ly bnh phng phn d ei v bnh

phng chng c ei2, ri ly ln(ei2).
Bc 3: c lng hi quy (1.1) vi Xi l bin gii

thch trong hi quy gc.

Bc 4: kim nh gi thit Ho: b2 = 0 ngha l
khng c hin tng phng sai thay i.
Bc 5: Kt lun.

3.2. Phng php nh lng

Kim nh Gleiser
Hi quy cc gi tr tuyt i |ei|, s dng cc dng

hm s sau:

3.2. Phng php nh lng

Kim nh Gleiser
vi c mt s vn theo gi tr k vng ca vi

khc 0 v c tng quan chui.

Hai phng trnh sau cng cn c cc tham s phi

tuyn v do vy khng th c lng bng OLS.

Phng php Gleiser c th dng cho cc mu

ln, vi cc mu nh th t chnh xc.

3.2. Phng php nh lng

Kim nh tng quan hng ca Spearman
Bc 1: Thc hin hi quy v tnh e^I
Bc 2: ly gi tr tuyt i |e^i|, xp th hng v
tnh h s tng quan hng theo cng thc trn.

3.2. Phng php nh lng

Kim nh tng quan hng ca Spearman
Bc 3: Gi thit rng h s tng quan hng cu

tng th s bng 0 v n>8, ngha ca rs mu ct

h c kim nh bng kim nh t nh sau:
rs(n-2)1/2
T=
(1-rs2)1/2
Vi s bc t do = n-2

 Kim nh White
Xt m hnh:

X
1

X
3

U (*)

Bc 1: c lng m hnh (2.1)

Bc 2: c lng m hnh:
2

1 2 X 2 3 X 3 4 X 2 5 X 3 6 X 2 X 3 (2.2)
2

 Bc 3: Tnh gi tr thng k: n.R2

Trong : n: s quan st,

R2: h s xc nh ca (2.2)
Bc 4: bc b H0 nu

n.R2

>

2
df

vi: df = k-1
k: s tham s c lng trong m hnh (2.2)

V d: quan h chi tiu v thu nhp

M hnh hi quy gc:
CT TN
1

M hnh hi quy ph:

e
2

TN
2

TN
3

3.2. Phng php nh lng

Kim nh Goldfeld Quandt
Bc 1: Sp mu theo gi tr tng dn ca

bin X
Bc 2: loi b c quan st nm gia. Mi

nhm c n1 quan st u v n2 quan st

cui

 Bc 3: thc hin hi quy OLS gc

Y X U
i

cha quan st u v cui ca dy s.

Tnh phn d ESS1 v ESS2 tng ng cc

bc t do df1 = n1 k, df2 = n2 k

(k: s tham s c lng)

 Gi tr kim nh:
f

ESS
df
ESS
df

Bc b H0 (Phng sai sai s khng i) nu:

f > Fdf2,df1,

3.2. Phng php nh lng

Kim nh Breusch-Pagan
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

3.2. Phng php nh lng

Kim nh Breusch-Pagan
C s:
Yi = 1 + 2X2i + ... + kXki + ei (2.5.1)
i2 = f(1 + 2Z2i + .. + mZmi) (2.5.2)
i2= 1 + 2Z2i + .. + mZmi (2.5.3)
i2l mt hm s ca cc bin phi ngu

nhin Z; mt s hay tt c X c th ng vai

tr ca Z.

3.2. Phng php nh lng

Kim nh Breusch-Pagan
C s: gi thit rng
i2= 1 + 2Z2i + .. + mZmi (2.5.3)
tc l, i2l hm tuyn tnh ca cc bin Z. Nu 2 =
3 = ... = m, th i2 = 1 = hng s.
kim nh xem i2c khng thay i hay khng,
ta c th kim nh gi thit l 2 = 3 = ... = m = 0.

3.2. Phng php nh lng

Kim nh Breusch-Pagan
Bc 1. c lng (2.5.1) bng OLS v

tnh cc phn d u1, u2,..., un.

Bc 2. Tnh e^i2/n. Nh li t Chng 4
rng y l c lng hp l ti a (ML)
ca i2.
[Lu : c lng OLS l e^i2/(n-k)].

3.2. Phng php nh lng

Kim nh Breusch-Pagan
Bc 3. Lp cc bin pi vi nh ngha sau:

Pi = e^i2/ ~2
* Bin pi n gin l tng phn d bnh
phng chia cho ~2.

3.2. Phng php nh lng

Kim nh Breusch-Pagan
Bc 4. Thc hin hi quy i vi pi va thit

lp theo cc bin Z nh sau:

pi = 1 + 2Z2i + .. + mZmi + vi
vi vi l phn d trong hi quy ny.
Bc 5. Tnh ESS (tng cc bnh phng gii
thch c) t bc 3 v nh ngha
T = 1/2.(ESS)

3.2. Phng php nh lng

Kim nh Breusch-Pagan
Gi s ei c phn phi chun

T ~ 2ml
* bc t do = m-1
T tnh c (=2) > 2 ti mc ngha chn,
ta c th bc b gi thit v phng sai khng
thay i; ngc li ta khng bc b n

3.2. Phng php nh lng

Kim nh theo bin ph thuc
C s:

i2 = a1+a2 (E(Yi))2
trong m hnh trn, i2 v E(Yi) u cha
bit do ta s dng cc c lng ca n
l e^2i v Y^i2.

3.2. Phng php nh lng

Kim nh theo bin ph thuc
Bc 1: c lng m hnh ban u bng

OLS. T thu c ei v Yi2.

Bc 2: c lng m hnh sau bng OLS:
ei2 = a1 + a2Yi2 + vi

3.2. Phng php nh lng

Kim nh theo bin ph thuc
* Kim nh c2

Dng R2 v quan st mu tnh nR2. V nR2

c phn b xp x c2, nn nu nR2 > c2a vi
mc ngha mong mun th H0 b bc b.
Trng hp ngc li khng c c s bc
b H0.

3.2. Phng php nh lng

Kim nh theo bin ph thuc
** Kim nh F

Dng thng tin thu c v v Se(a2) t

m hnh c lng c Bc 2. V
F=

a2 2

c phn b F(1,n-

se(a22)

2)

Nu F > F(1,n-2) th h s a2 0, ngha l H0

b bc b.

4. Gii php khc phc

4.1. Bit phng sai tng th: Var (U i)

2
i

Xt m hnh hi quy: Y X U (*)

i

Chia 2 v ca pt(*) cho i:

Hay:

Lc :

*
i

Var (U i ) Var (U i / i )
*

1
i

X U

i
i

X i U i (**)
*

i
.
Var
(
)

1 const
Ui
2
2
2

4.2. Khng bit phng sai tng th

Phng sai ca sai s t l vi bnh phng

ca bin gii thch.

Phng sai ca sai s t l vi bin gii

thch.
Phng sai ca sai s t l vi bnh phng

ca gi tr Y i

 Phng sai ca sai s t l vi bnh

phng ca bin gii thch
E (U i )
2

.X
2

2
i

Chia 2 v ca pt (*) cho Xi:

Y
X

i
i

Ui

V i

1
1

Lc :
E (V i )2 E ( U i )2

E
(
)
2

Ui
2
i

.Xi

2
i

 Phng sai ca sai s t l vi bin

gii thch
E (U i ) . X i
2

Chia 2 v pt (*) cho X :

i

Y
X

U
X

Xi

1
1

X V

Lc :
E (V i )2 E (

U
X

)2

.X

E (U )2

 Phng sai ca sai s t l vi bnh

phng ca gi tr Y
i

E (U i ) .Y
2

2
i

Chia 2 v pt (*) cho Y :

i

Y U 1 X V
Y Y
Y
Y
Y
i

Lc :

.Y
1

U
E (V )2 E ( )2
E (U )2

Y Y
Y
2

 V d: Nghin cu mi quan h gia chi tiu

v thu nhp

S dng th

 S dng White-test

S dng gi nh 1:

E (U i )
2

.X
2

2
i

M hnh gc: CT = 0.05647 + 0.61326*TN

 S dng White-test