Cu 1 (25 im): Cc khng nh sau y c chnh xc khng?

Hy cn thn suy xt v gii thch cc

cu tr li ca Anh/Ch.
a. Cc c lng bnh phng nh nht thng thng (OLS) cho h s gc c c tnh
chnh xc hn nu nh cc gi tr ca X gn vi cc gi tr trung bnh mu hn.
Trc khi tr li cu ny, nhc li s khc nhau gia "ng" v "chnh xc" l hu ch. ng
ngha l khng chch; chnh xc ngha l phng sai thp. Do , cu hi ny l v phng sai
ca cc hm c lng bnh phng thng thng nh nht (OLS).
Phng sai ca cc hm c lng dc OLS trong m hnh hi qui n gin l:

T biu thc ny chng ta thy rng phng sai l nh hn (hm c lng ny chnh xc hn)
nu cc gi tr ca X cch xa gi tr trung bnh mu hn. Vy khng nh trn l sai.
b. Nu Xi v ui tng quan vi nhau, th cc hm c lng (OLS) vn l khng chch.
iu ny khng ng. thy ti sao, hy vit biu thc sau i vi hm c lng dc :

Nu Xi v ui c tng quan vi nhau, th s hng sau cng trong biu thc ny khng phi l zero
v hm c lng ny l chch.
c. Cc hm c lng khng th l c lng khng chch tuyn tnh tt nht (BLUE) tr khi
cc ui u c phn phi chun.
BLUE ngha l "Hm c lng khng chch tuyn tnh tt nht." Trong bi cnh ny, "tuyn
tnh " ch mt hm c lng l mt hm tuyn tnh ca s hng sai s ngu nhin trong m hnh
ny, hoc l mt hm tuyn tnh ca bin ph thuc ca m hnh ny. Kim tra cc hm c
lng OLS cho dc v tung gc l xc lp rng chng l tuyn tnh. Khng yu cu
tnh chun.
Khng chch c thit lp bng cch ly k vng ca hm c lng OLS, l iu m chng ta
lm nhiu ln. Khng cn ti tnh chun khi chng minh rng k vng ny bng vi gi tr
thc (nhng cha bit) ca thng s.
Tt nht l dng nh l Gauss-Markov. Php chng minh nh l ny khng cn ti tnh chun.
Chng ta thy rng pht biu ny l sai.

d. Nu phng sai ca ui ln th cc khong tin cy i vi cc h s s rng hn.

iu ny l ng. Chiu rng ca mt khong tin cy lin quan trc tip ti ln ca lch
chun ca hm c lng v lch chun ca hm c lng lin quan trc tip ti lch
chun ca s hng sai s. Anh/Ch cn vit c cc biu thc c lin quan ny da vo tr nh.
e. Nu cc gi tr ca X c mt phng sai ln th cc khong tin cy s hp hn.
iu ny l ng. Xem cc cu tr li cho phn 4a v 4d.
f.

Mt gi tr p cao c ngha l h s ny khc khng mc c ngha v mt thng k.

iu ny l sai. Cu hi ny ni ti kim nh thng k ca gi thuyt cho l h s hi qui bng
khng.
Gi tr p l xc sut ca vic tr thng k kim nh ny c th vt qu gi tr tuyt i ca tr
thng k kim nh c tnh ton cho mt mu c th, cho trc rng gi thuyt khng l ng.
Gi tr tuyt i ca tr thng k kim nh cng ln th gi tr p s cng nh. Tr thng k kim
nh cng ln th h s cng c ngha thng k hn.

g. Nu Anh/Ch chn mt mc ngha cao hn th mt h s hi qui c kh nng c ngha

nhiu hn.
iu ny ng. Cu hi ny ni ti kim nh thng k ca gi thuyt cho l h s hi qui bng
khng.
Mt mc ngha cao thu c mt gi tr ti hn nh hn nu xt v gi tr tuyt i. Bc b
gi thuyt khng khi gi tr tuyt i ca gi tr ti hn nh hn l iu d hn.
h. Gi tr p l xc sut gi thuyt khng (H0) l ng.
y l mt gii thch khng chnh xc (nhng thng gp) i vi gi tr p.
Xem cu tr li cho phn 4f.

Cu 2 (25 im):
Mt s liu thng k v li sut ngn hng (X, % nm) v tng vn u t (Y, t ng) trn a bn
tnh Bnh Dng qua 10 nm lin tip nh sau:
Nm

10

Xi

7.0

6.5

6.5

6.0

6.0

6.0

5.5

5.5

5.0

4.5

Yi

29

32

31

34

32

35

40

43

48

50

1. Hy lp m hnh hi quy tuyn tnh m t quan h gia tng vn u t v li sut ngn

hng (m hnh hi quy n). Nu ngha ca cc h s hi quy c lng c. nh gi
mc ph hp ca m hnh.
M hnh hi quy tuyn tnh m t quan h gia tng vn u t v li sut ngn hng c cho
nh sau:

Trong :
l tung gc ca hm hi quy trn, c tnh bng lnh Intercept trong Excel vi c
php nh sau: Intercept (Tp hp cc d liu ca bin ph thuc, Tp hp cc d liu ca
bin c lp) = 93.164. Gi tr ny ni ln rng khi li sut ngn hng bng 0% (iu ny
him xy ra trn thc t), th tng vn u t trung bnh mt nm s l 93.164 t ng.
l h s gc ca hm hi quy trn, c tnh bng lnh Slope trong Excel vi c php
nh sau: Slope (Tp hp cc d liu ca bin ph thuc, Tp hp cc d liu ca bin c
lp) = -9.532. Gi tr ny ni ln rng: xt cc gi tr ca X nm trong khong (4.5, 7)%, khi
li sut ngn hng tng thm 1% mt nm th tng vn u t mt nm s gim trung bnh
9.532 t ng/nm.
2. Kim nh gi thit: H s hi quy ca X trong hm hi quy tng th bng 0 vi mc
ngha 2% v nu ngha ca kt qu.
kim nh 2 = 0 vi mc ngha 2%, ta lm cc bc sau:
t gi thit khng v gi thit i:
H0: 2 = 0

vi

H1: 2 0

Chng ta bit rng trong m hnh hi quy hai bin kim nh 2 = 0 cng chnh l kim nh
s ph hp ca m hnh hi quy (X tht s c tc ng n Y?)
kim nh gi thit trn ta p dng quy tc kim nh sau:
Tnh :

Nu F > F(1, n-2) th ta bc b gi thit H0

Da vo bng s liu trn, ta tnh c

= 5.025;

= 4.975.

T kt qu trn,

Tra cu ta c: F(1, n-2) =F0.02(1, 8) = 8.389 (dng hm FINV trong Excel)

Ta thy rng: F > F(1, n-2) nn ta bc b gi thit H0, tc l 2 0.

ngha ca kt qu: Vi tp d liu mu cho, bc b gi thuyt H0 (2=0) c ngha rng
bin li sut ngn hng (X, % nm) thc s c tc ng n tng vn u t (Y, t ng).
Cch khc kim nh gi thit H0 trn l dng gi tr p (p-value):
Nguyn tc kim nh nh sau:
o

P-value < th bc b H0, chp nhn H1

P-value th cha c c s bc b H0.

Vy t kt qu P-value tnh c trn, ta so snh n vi mc ngha ca bi, ta c: Pvalue (0.000011683) < (0.02). P-value rt thp, c ngha l xc sut phm phi sai lm bc
b gi thit H0 khi n ng l rt thp.
3. D bo tng vn u t trung bnh khi li sut l 4,8% nm vi tin cy 98%.

Y0 = 93.164 - 9.532 * 4.8 = 47.409

2

2 1 (X0 X )
Ta tnh: Var Y0

xi2
n

2 = 4.975;

2
i

(*) trong :

= 5.025; X = 5.85; X0=4,8; n=10.

1
(4.8 5.86) 2

(*) Var Y0 4.975

1.589 Se Y0 1.261
5.025
10

t0,01 (8) = 2,896

Khong tin cy 98% ca vn u t trung bnh khi li sut l 4,8% nm:

47.409 2,896 *1.261

Hay: 43.757 < E(Y/X=4.8) < 51.061

Cu 3 (25 im):
Bng di y cho bit s liu v tin lng trung bnh 1 gi (mean hourly wage, t tn bin l
Meanwage) v s nm c o to (years of schooling, t tn bin l Education) nh sau:
Quan st
(n)

S nm c o to
(Education - nm)

Lng trung bnh mt gi

(Meanwage - $)

1
2
3
4
5
6
7
8

6
7
8
9
10
11
12
13

4.4567
5.7700
5.9787
7.3317
7.3182
6.5844
7.8182
7.8351

9
10
11
12
13

14
15
16
17
18

11.0223
10.6738
10.8361
13.6150
13.5310

T s liu trn, chng ta c kt qu hi quy sau:

Mean wagei 0.014453 0.724097 Educationi

se

(0.874624) (

a. Bn hy in vo ch trng (
Do t

)
(10.40648)

r2 = 0.9078

n = 13

) cc gi tr thch hp.

i 0
0.014453
0.724097
0.01652 ; A
0.06958 ;
B

0.874624
10.40648
Se( i )

b. Gii thch ngha ca h s gc.

1 = - 0.014453 l tung gc ca ng hi quy mu, khng th gii thch mt cch my mc

l khi s nm c o to bng 0 th tin lng mt gi trung bnh bng -0.014453$ (s m

khng c ngha y).

2 = 0.729097. Gi tr ny ni ln rng: xt cc gi tr ca Education nm trong khong (6, 18)

nm, khi s nm c o to tng thm mt nm th tin lng mt gi trung bnh s tng ln

0.729097$.

c. Education c nh hng n Meanwage khng? Ti sao? (Gi : Kim nh gi thit).

Kim nh gi thit: H0: 2=0, H1: 20 vi mc ngha 5%
t = 10.40648 ( cho)
t/2(n-2) = t0.025 (11) = 2.201
t

> t0.025 (11) nn bc b gi thit H0 (vi mc ngha 5%).

Vy 20 ng k v mt thng k, hay Education (s nm c o to) thc s c nh

hng n Meanwage (tin lng mt gi).
R2 = 0.9078 kh gn 1. Vy m hnh c mc ph hp cao.

d. nh gi mc ph hp ca m hnh.
Vi kt qu trong cu c (20) v R2 = 0.9078 kh gn 1. Ta c th kt lun rng m hnh c mc
ph hp cao vi tp d liu mu cho.

Cu 4 (25 im):
Xem kt qu ca phn tch hi quy sau:
Yi 0.2033 0.6560 X i

Se = (0.0976)
r2 = 0.397
Trong :

(0.1961)
RSS = 0.0544

ESS = 0.0358

Y l t l tham gia lc lng lao ng ca n nm 1972

X l t l tham gia lc lng lao ng ca n nm 1968

Kt qu phn tch hi quy ny c c t mt mu gm 19 thnh ph ca M.

a. Gii thch ngha ca cc h s hi quy c lng c.

1 = 0.2033 l tung gc ca ng hi quy mu, ni ln rng khi t l tham gia lc lng lao

ng ca n nm 1968 (X) bng 0, th t l tham gia lc lng lao ng trung bnh ca n nm

1972 (Y) bng 0.2033.

2 = 0.6560 l h s gc ca ng hi quy mu, ni ln rng khi t l tham gia lc lng lao

ng ca n nm 1968 (X) tng (gim) 1 n v, th t l tham gia lc lng lao ng trung bnh
ca n nm 1972 (Y) s tng (gim) 0.6560 n v.

b. Kim nh gi thit: H0: 2=1; H1: 2>1 vi mc ngha 5%.

2 1 0.6560 1

1.754
0.1961
Se( 2 )

t0,05 (17) = 1.740

t < t0,05 (17) nn khng bc b gi thit H0 (vi mc ngha 5%).

c. T kt qu phn tch hi quy trn, chng minh rng:

2 = 0.0032;

2
i

= 0.0832;

X = 0.4932

Ta c:
n

ESS ( 2 ) 2 xi2
i 1

e
i 1

2
i

n2

x
i 1

2
i

ESS
0.0358

0.0832 (pcm)
2

(0.6560) 2
( 2 )

RSS 0.0544

0.0032
n 2 19 2

(pcm)

Var ( 1 )

X
i 1
n

2
i

n xi2

2 ( Se( 1 )) 2

X
i 1

i 1

2
i

n xi2 ( Se( 1 )) 2
i 1

19 * 0.0832 * (0.0976) 2
X
4.7057

0.0032
i 1
n

2
i

i 1

i 1

2
2
2
Ta cn c: xi X i n( X )

( X )2

( X )2

X x
i 1

2
i

i 1

2
i

4.7057 0.0832
0.2433 X 0.4932 (pcm)
19

d. Gi s rng t l tham gia lc lng lao ng ca n nm 1968 l 0,58 (hay 58%). Trn c
s kt qu ca phn tch hi quy trn, gi tr trung bnh ca t l tham gia lc lng lao
ng ca n nm 1972 l bao nhiu? Thit lp khong tin cy 95% cho gi tr d bo trung
bnh ny.

Y0 = 0.2033 + 0.6560 * 0.58 = 0.58378

1 (0.58 0.4932) 2
1 ( X X )2
var Y0 2 0 2 = 0.0032

= 0,00046
0.0832
n
xi
19

se(Y0 ) = 0,02141
t0,025 (17) = 2.110
Khong tin cy 95% ca d bo trung bnh ca t l tham gia lc lng lao ng ca n nm
1972 khi t l tham gia lc lng lao ng ca n nm 1968 l 0.58, l:
0.58378 2.110* 0,002141

Hay: 0.5386 < E(Y/X=0.58) < 0.6289

Cu 1 (20 im):
Hy nu nh ngha ca k vng, phng sai, lch chun ca mt bin ngu nhin. Hy chng
minh nhng tnh cht sau y ca k vng v phng sai, trong X l mt bin ngu nhin v a, b l
nhng hng s.
(a) E[a] = a

(b) E[bX] = bE[X]

(c) E[a + bX] = a + bE[X]

2

(e) VAR[bX] = b VAR[X]

(d) VAR[a] = 0
(f) VAR[a + bX] = b2VAR[X]

(g) VAR[X] = E[X2] - (E[X])2

Gii:
(a) E[a] = a

(b) E[bX] = bE[X]

(c) E[a + bX] = a + bE[X]

(d) VAR[a] = 0

Da vo tnh cht ca ton t k vng E[X]: E[a] = a ( cu a)

(e) VAR[bX] = b2VAR[X]

(f) VAR[a + bX] = b2VAR[X]

(g) VAR[X] = E[X2] - (E[X])2

n gin ha k hiu, ta t = E[X]

C th hn, 1 v 2 c tnh bng cc cng thc nh sau:

n

X Y n. X .Y
i 1
n

X
i 1

i i
2
i

n.( X ) 2

4031.3 8 * 63.75 * .7.5

0.047.
36900 8 * (63.75) 2

1 Y 2 X 7.5 0.047 * 63.75 4.5032.