MPP05 521 R1303V

Chng trnh Ging dy Kinh t Fulbright
Nin kha 2011-2014
Cc phng php nh lng

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

Ch 5: Hi quy hai bin:
c lng khong v kim nh gi thit
Chng 5
HI QUY HAI BIN: C LNG KHONG

V KIM NH GI THIT
Hy cn thn khi kim nh qu nhiu gi thit; cng un nn s liu th chng cng d cho kt qu,
nhng kt qu thu c bng cch p buc l iu khng th chp nhn trong khoa hc.1
Nh cp trong Chng 4, c lng v kim nh gi thit l hai chuyn ngnh ln

ca thng k c in. L thuyt c lng bao gm hai phn: c lng im v c lng
khong. Chng ta tho lun v c lng im mt cch k lng trong hai chng trc, khi
trnh by cc phng php OLS v ML ca c lng im. Trong chng ny, trc ht chng ta
xem xt c lng khong v sau chuyn sang ni dung kim nh gi thit, mt ch lin
quan mt thit ti c lng khong.
5.1 CC IU KIN THNG K TIN QUYT

Trc khi minh ha cc c ch thc s thit lp khong tin cy v kim nh cc gi thit thng
k, ngi c c xem l quen thuc vi cc khi nim c bn v xc sut v thng k. Mc d
khng phi l thay th cho mt kha hc c bn v thng k, Ph lc A cung cp cc ni dung then
cht ca thng k m ngi c phi thu hiu hon ton. Cc khi nim then cht nh xc sut,
phn phi xc sut, sai lm Loi I v Loi II, mc ngha, nng lc ca kim nh thng k,
v khong tin cy rt quan trng hiu cc l thuyt trnh by trong chng ny v cc chng
sau.
5.2 C LNG KHONG: MT S KHI NIM C BN

lm r khi nim, ta phn tch v d gi thit v tiu dng - thu nhp trong Chng 3. Phng
trnh (3.6.2) cho thy xu hng tiu dng bin t c lng (MPC) - 2 l 0,5091. l mt c
lng n (c lng im) ca bin MPC - 2 ca tng th cha bit. c lng ny c tin
nh th no? Nh lu trong Chng 3, do cc dao ng ca vic ly mu, mt c lng n
c nhiu kh nng khc vi gi tr ng, mc d trong vic ly mu lp li, gi tr trung bnh ca n
s bng vi gi tr ng. (Lu : E ( 2 ) 2 ). Trong thng k, tin cy ca mt c lng im
c o bng sai s chun ca n. Do vy, thay v ch da vo c lng im, ta c th xy dng
mt khong xung quanh gi tr c lng im, v d trong phm vi hai hay ba ln sai s chun
hai pha ca gi tr c lng im, xc sut m gi tr ng ca tham s nm trong khong ny
l, v d, 95%. l s b tng ng sau c lng khong.
c th hn, gi thit rng ta mun tm xem ( 2 ) gn vi 2 nh th no. thc hin
mc ch ny, ta tm hai s dng v , s th hai nm trong khong t 0 n 1, xc sut m
khong ngu nhin ( 2 , 2 + ) cha gi tr ng ca 2 l 1 . V cng thc ta c:
Pr( 2 2 2 + ) = 1
(5.2.1)
Stephen M. Stigler, Testing Hypothesis or Fitting Models? Another Look at Mass Extinctions (Kim nh gi thit
hay cc m hnh thch hp: mt cch nhn na v s tuyt chng), trong Neutral Models in Biology (Cc m hnh trung
lp trong sinh hc), Matthew H. Nitecki & Antoni Hoffman hiu nh, Oxford University Press, Oxford, 1987, trang
148.
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Ch 5: Hi qui hai bin:
Khong ny, nu tn ti, c gi l khong tin cy; 1 c gi l h s tin cy; v (0 < <
1) c gi l mc ngha.2 Cc im u v cui ca khong tin cy c gi l cc gii hn tin
cy (cng c gi l gi tr ti hn - critical value), 2 c gi l gii hn tin cy di v
+ l gii hn tin cy trn. Lu rng v 1 thng c biu din di dng phn trm,
2
100 v 100(1 ) phn trm.

Phng trnh (5.2.1) cho thy mt c lng khong, tri vi c lng im, l mt
khong c thit lp n c xc sut cha gi tr ng ca tham s trong khong gii hn ca n
l 1 . V d, nu = 0,05, hay 5%, (5.2.1) s c pht biu l: Xc sut m khong (ngu
nhin) ch ra trn cha gi tr ng ca 2 l 0,95 hay 95%. Nh vy, c lng khong cho bit
mt khong cc gi tr m trong c th c gi tr ng ca 2.
Ngi c cn phi bit cc kha cnh sau y v c lng khong:
1. Phng trnh (5.2.1) khng ni rng xc sut m 2 nm gia cc gii hn l 1 . Do 2, mc
d cha bit, c gi thit l mt s c nh, n c th nm trong hay ngoi khong. iu
m (5.2.1) din t l bng cch s dng phng php trnh by trong chng ny, xc sut ca
vic xy dng mt khong cha 2 l 1 .
2. Khong (5.2.1) l mt khong ngu nhin, tc l n thay i theo cch chn mu do n c
da vo 2 , vn l mt gi tr ngu nhin. (Ti sao?).
3. Do khong tin cy mang tnh ngu nhin, cc pht biu v xc sut gn vi n phi c hiu
theo ngha di hn, tc l vic ly mu lp li. C th hn, (5.2.1) mang ngha l: nu trong
vic ly mu lp li, cc khong tin cy ging nh n c thit lp v s ln trn c s xc
sut 1 , th trong thi gian di hn, tnh trung bnh, c 1 ln trong tng s cc trng hp
nhng khong ny s cha gi tr ng ca tham s.
4. Nh nu th 2, khong (5.2.1) l ngu nhin khi 2 khng bit. Nhng khi ta c mt
mu c th v khi ta tm c gi tr s hc c th ca th khong (5.2.1) khng cn ngu
2
nhin na; n c c nh. Trong trng hp ny, ta khng th a ra pht biu thng k
(5.2.1); tc l ta khng th ni rng xc sut m mt khong c nh c th cha gi tr ng
ca 2 l 1 . Trong trng hp ny, 2 hoc nm trong khong c nh hay nm ngoi n.
Do vy, xc sut l 1 hoc 0. Nh th, trong v d gi thit v tiu dng - thu nhp, nu khong
tin cy 95% tnh c l (0,4268 2 0,5941), [c gii mt cch ngn gn trong (5.3.9)}, ta
khng th ni rng xc sut m khong ny cha gi tr ng ca 2 l 95%. Xc sut l 1
hoc 0.
Cc khong tin cy c xy dng nh th no? T tho lun trn ta c th on rng nu
vic ly mu hay phn phi xc sut ca cc c lng c bit trc, ta c th a ra cc pht
biu v khong tin cy nh (5.2.1). Trong Chng 4 ta thy vi gi thit phn phi chun ca
yu t nhiu (hay ngu nhin) ui, bn thn cc c lng OLS ca 1 v 2 c phn phi chun v
c lng OLS ca 2 c lin quan phn phi 2 (phn phi Chi-bnh phng). T cho thy
cng vic thit lp cc khong tin cy c v l mt cng vic n gin. V s tht l n n gin!
5.3 CC KHONG TIN CY CHO CC H S HI QUY 1 V 2

2
Cng c gi l xc sut mc sai lm Loi I. Sai lm Loi I l bc b gi thit ng, tri li sai lm Loi II l chp
nhn gi thit sai. (Ni dung ny c tho lun ton din hn trong Ph lc A). K hiu c gi l kch thc
ca kim nh (thng k).
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Khong tin cy cho 2

Mc 4.3 trong Chng 4 ch ra rng vi gi thit phn phi chun i vi ui, cc c lng OLS
ca 1 v 2 t chng c phn phi chun vi cc gi tr trung bnh v phng sai tnh c. Do
, v d ta c bin s
2 2
se( 2 )
( 2 2 )
2
i
(5.3.1)
nh trnh by trong (4.3.5) l mt bin chun c chun ha. Do vy, c v nh ta c th s

dng phn phi chun thc hin pht biu xc sut v 2 vi iu kin l bit phng sai tng
th 2. Nu 2 c bit trc, mt tnh cht quan trng ca bin c phn phi chun vi gi tr
trung bnh v phng sai 2 l din tch di ng cong chun trong khong bng gn
ng 68%, trong khong 2 bng gn ng 95%, v trong khong 3 bng gn ng
99,7%.
Nhng 2 t khi c bit trc, v trong thc t n c xc nh bi c lng khng
thin lch 2 . Nu ta thay th bng , (5.3.1) c th c vit di dng sau:
t
2 2
c lng tham so
sai so chuan cua c lng tnh c

se( 2 )
( 2 2 )
2
i
(5.3.2)
vi se( 2 ) by gi biu th sai s chun c lng c. C th ch ra rng (xem Ph lc 5A, Mc

5A.1) bin t nh ngha trn tun theo phn phi t vi n 2 bc t do. [Lu s khc nhau gia
(5.3.1) v 5.3.2)]. Do vy, thay v s dng phn phi chun, ta c th s dng phn phi t thit
lp mt khong tin cy cho 2 nh sau:
Pr(t/2 t t/2) = 1
(5.3.3)
vi gi tr t nm gia bt ng thc kp ny l gi tr t tnh c t (5.3.2) v vi t/2 l gi tr ca

bin t thu c t phn phi t vi mc ngha /2 v n 2 bc t do; n thng c gi l gi tr
ti hn ca t ti mc ngha /2. Thay (5.3.2) vo (5.3.3) ta c:
2
Pr t / 2 2
t / 2 1
se( 2 )
(5.3.4)
Sp xp li (5.3.4) ta c:
Pr[ 2 t/2 se( 2 ) 2 2 + t/2 se( 2 )] = 1 (5.3.5)3
3
Mt s tc gi thch vit (5.3.5) vi s bc t do c ch r nh sau:

Pr[ 2 t(n-2),/2 se( 2 ) 2 2 + t(n-2),/2 se( 2 )] = 1
Nhng n gin ta s gi nguyn k hiu ca mnh; ng cnh s lm r s bc t do thch hp s dng.

Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Phng trnh (5.3.5) cho bit khong tin cy 100(1 )% ca 2. Ta c th vit ngn gn
nh sau:
Khong tin cy 100(1 )% ca 2:
2 t/2 se( 2 )
(5.3.6)
Lp lun mt cch tng t v s dng (4.3.1) v (4.3.2), ta c th vit:

Pr[ 1 t/2 se( 1 ) 1 1 + t/2 se( 1 )] = 1
(5.3.7)
hay mt cch ngn gn hn,

Khong tin cy 100(1 )% ca 1:
1 t/2 se( 1 )
(5.3.8)
Lu mt c im quan trng ca cc khong tin cy trnh by trong (5.3.6) v (5.3.8):

Trong c hai trng hp chiu rng ca khong tin cy t l thun vi sai s chun ca c lng.
Tc l, sai s chun cng ln, th chiu rng ca khong tin cy cng ln. Ni mt cch khc, sai s
chun ca c lng cng ln th s khng chc chn trong c lng gi tr ng ca tham s
cha bit cng ln. V vy, sai s chun ca mt c lng thng c m t l i lng o s
chnh xc ca c lng, ngha l mc chnh xc m c lng tnh gi tr ng ca tng th.
Tr li v d tiu dng - thu nhp trong Chng 3 (Mc 3.6), ta tm ra 2 = 0,509, se( 2
) = 0,0357, v s bc t do = 8. Nu chng ta gi thit = 5%, tc l h s tin cy l 95%, bng t
cho bit vi s bc t do l 8, gi tr ti hn t/2 = t0,025 = 2,306. Thay nhng gi tr ny vo (5.3.5),
ngi c phi tnh c khong tin cy 95% ca 2 l:
0,4268 2 0,5914
(5.3.9)
Hay, s dng (5.3.6), khong tin cy l:

0,5091 2,306(0,0357)
tc l:
0,5091 0,0823
(5.3.10)
S gii thch v khong tin cy ny l: vi h s tin cy l 95%, trong thi gian di hn,
95 trong s 100 trng hp cc khong nh (0,4268, 0,5914) s cha gi tr ng ca 2. Nhng,
nh cnh gic phn trn, phi ch rng ta khng th ni rng xc sut khong c th (0,4268,
0,5914) cha gi tr ng ca 2 l 95% do khong ny c c nh v khng cn ngu nhin
na; do vy, 2 hoc nm trong khong hoc khng: do vy, xc sut m khong tin cy c th cha
gi tr ng ca 2 l 1 hoc 0.
Khong tin cy i vi 1
Tng t nh (5.3.7), ngi c c th d dng chng minh c rng khong tin cy 95% ca 1
trong v d tiu dng - thu nhp ca chng ta l
9,6643 1 39,2448
(5.3.11)
Hay, s dng (5.3.8), ta c

24,4545 2,306(6,4138)
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

tc l
24,4545 14,7902
(5.3.12)
Cng nh trc, ngi c phi cn thn khi gii thch khong tin cy ny. Trong thi gian di hn,
95 trong s 100 trng hp nh (5.3.11) s cha gi tr ng ca 1; xc sut m mt khong c
nh c bit cha gi tr ng ca 1 l 1 hoc 0.
Khong tin cy ng thi cho 1 v 2

C nhng trng hp m ta cn phi thit lp mt khong tin cy ng thi cho 1 v 2 vi h
s tin cy (1 ), v d, 95%, c 1 v 2 cng nm ng thi trong khong . Do ni dung ny
cng c lin quan, ngi c c th mun xem cc ti liu tham kho.4 (Xem ng thi Mc 8.4 v
Chng 10).
5.4 KHONG TIN CY I VI 2

Nh ch ra trong Chng 4, Mc 4.3, vi gi thit v phn phi chun, bin
2 = (n 2)
2
2
(5.4.1)
tun theo phn phi 2 vi n 2 bc t do.5 Do vy, ta c th s dng phn phi 2 thit lp
khong tin cy cho 2
Pr( 12 / 2 2 2 /2 ) = 1
(5.4.2)
vi gi tr 2 nm gia bt ng thc kp ny c tnh theo (5.4.1) v vi 12 / 2 v 2 / 2 l hai gi

tr ca 2 (cc gi tr ti hn ca 2) tnh c t bng Chi-bnh phng vi n 2 bc t do sao cho
chng ct ra 100(/2) phn trm din tch ui ca phn phi 2, nh minh ha trong Hnh 5.1.
Thay th 2 t (5.4.1) vo (5.4.2) v sp xp li cc s hng, ta c
2
2
Pr (n 2) 2 2 (n 2) 2 1
/ 2
1 / 2
(5.4.3)
Biu thc ny cho bit khong tin cy 100(1 )% cho 2.

minh ha, hy xem v d sau y. Trong Chng 3, Mc 3.6, ta tnh c 2 = 42,1591
v s bc t do = 8. Nu c chn gi tr 5%, bng Chi-bnh phng vi s bc t do l 8 cho
ta cc gi tr ti hn sau: 02,025 = 17,5346 v 02, 975 = 2,1797. Cc gi tr ny cho thy xc sut ca
mt gi tr Chi-bnh phng ln hn 17,5346 l 2,5% v ln hn 2,1797 l 97,5%. Do vy, khong
nm gia hai gi tr ny l khong tin cy 95% ca 2, nh c minh ha bng th trong Hnh
5.1. (Ch ti c im lch ca phn phi Chi-bnh phng).
F(2)
4
Xem John Neter, William Wasserman, v Michael H. Kutner, Applied Linear Regression Models (Cc m hnh hi
quy tuyn tnh ng dng), Richard D. Irwin, Homewood, Ill., 1983, Chng 5.
5
V phn chng minh, xem Robert V. Hogg & Allen T. Craig, Introduction to Mathematical Statistics (Gii thiu
thng k ton), xut bn ln th 2, Macmillan, New York, 1965, trang 144.
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
2,5%
Cc phng php nh lng

Bi c
95%
2,5%
2,1797

17,5346
02,025
2
0,975
HNH 5.1
Khong tin cy 95% i vi 2 (8 bc t do)
Thay th s liu trong v d ca chng ta vo (5.4.3), ngi c phi tnh c khong tin cy 95%
ca 2 nh sau:
19,2347 2 154,7336
S gii thch v khong ny l: Nu ta thit lp cc gii hn tin cy 95% i vi 2 v nu ta duy
tr mt s tin nghim rng cc gii hn ny s cha gi tr ng ca 2, ta s ng 95% trong s
cc trng hp trong thi gian di hn.
5.5 KIM NH GI THIT: CC BNH LUN TNG QUT

Sau khi tho lun vn c lng im v c lng khong, by gi ta s xem xt ni dung
kim nh gi thit. Trong mc ny chng ta tho lun ngn gn mt s kha cnh ca ch ny;
Ph lc A a ra thm mt s chi tit.
Vn kim nh gi thit thng k c th c pht biu n gin nh sau: Mt quan st
xc nh hay kt qu tm c c tng thch vi mt gi thit nu ra hay khng? T tng thch
s dng y c ngha l st vi gi tr c gi thit ta khng bc b gi thit pht biu.
Nh vy, nu mt l thuyt hay kinh nghim t trc lm ta tin rng h s gc ng 2 trong v d
tiu dng - thu nhp l 1n v, th gi tr quan st 2 = 0,5091 tnh c t mu trong Bng 3.2 c
ph hp vi gi thit pht biu khng? Nu c, ta khng bc b gi thit; nu khng, ta c th bc
b n.
Trong ngn ng thng k, gi thit pht biu c gi l gi thit khng v c k hiu l
H0. Gi thit khng thng c kim nh so vi mt gi thit thay th k hiu H1(hay cn gi l
gi thit i, gi thit duy tr). V d, gi thit thay th H1 ny c th pht biu l gi tr ng ca
2 c th khc 1. Gi thit thay th c th n gin hay phc hp.6 V d, H1: 2 = 1,5 l mt gi
thit n gin, nhng H1: 2 1,5 l mt gi thit phc hp.
6
Mt gi thit thng k c gi l gi thit n gin nu n c th ha (cc) gi tr chnh xc ca (cc) tham s ca

mt hm mt xc sut; nu ngc li, gi thit c gi l gi thit phc hp. V d, trong phn phi chun pdf
1
(1 / 2 )mu ( X ) / 2 , nu ta khng nh rng H1: = 15 v = 2, n l mt gi thit n gin; nhng

2
nu H1: = 15 v > 15, n l mt gi thit phc hp, do lch chun khng c gi tr c th.
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

L thuyt kim nh gi thit l xy dng cc quy tc hay th tc quyt nh bc b hay

khng bc b gi thit khng. C hai cch tip cn b sung ln nhau xy dng cc quy tc ,
gi l khong tin cy v kim nh ngha. C hai phng php ny khng nh rng bin s
(thng k hay c lng) ang xem xt c phn phi xc sut v kim nh gi thit l a ra cc
pht biu hay khng nh v (cc) gi tr hay (cc) tham s ca phn phi , V d, ta bit rng vi
gi thit v phn phi xc sut chun, th 2 c phn phi chun vi gi tr trung bnh bng 2 v
phng sai xc nh trong (4.3.4). Nu ta gi thit l 2 = 1, th ta ang a ra mt khng nh v
mt trong cc tham s ca phn phi chun, c th l gi tr trung bnh. Phn ln cc gi thit
thng k gp phi trong cun sch s vo dng ny a ra cc khng nh v mt hay nhiu gi
tr ca cc tham s ca mt phn phi xc sut gi thit no nh cc tham s c phn phi
chun, F, t, hay 2. Cc phn sau y s tho lun xem lm th no thc hin c cc cng vic
ny.
5.6 KIM NH GI THIT: PHNG PHP KHONG TIN CY

Kim nh hai pha hay hai ui
minh ha phng php khong tin cy, mt ln na chng ta tr li vi v d tiu dng - thu
nhp. Nh ta bit, xu hng tiu dng bin t c lng c (MPC), 2 , l 0,5091. Gi s ta
mc nh rng:
H0: 2 = 0,3
H1: 2 0,3
tc l, gi tr ng ca MPC l 0,3 theo gi thit khng nhng nh hn hay ln hn 0,3 theo gi
thit thay th. Gi thit khng l gi thit n gin, tri li gi thit thay th l gi thit phc hp;
thc t n c gi l gi thit hai pha. Thng th mt gi thit thay th c tnh cht hai pha
phn nh s tht l chng ta khng c mt nghin cu tin nghim hay mt k vng l thuyt mnh
v hng i ca gi thit thay th xut pht t gi thit khng.
2 quan st c c tng thch vi Ho khng? tr li cu hi ny, hy tham kho

khong tin cy (5.3.9). Ta bit rng trong thi gian di hn, cc khong nh (0,4268, 0,5914) s
cha gi tr ng ca 2 vi xc sut 95%.
Kt qu l v di hn (ngha l trong vic ly mu lp li), nhng khong nh vy cung cp mt di
hay cc gii hn trong gi tr ng ca 2 c th nm trong vi mt h s tin cy, v d l 95%.
Nh vy, khong tin cy cung cp mt tp hp cc cc gi thit H0 hp l. Do trong gi thit
khng, nu 2 nm trong khong tin cy 100(1 )%, ta khng bc b gi thit khng; nu n nm
ngoi khong, ta c th bc b n.7 Di ny c minh ha bng th trong Hnh 5.2.
Lun lun lu rng c 100 phn trm c hi m khong tin cy khng cha 2 theo H0 mc d gi thit ng. Mt
cch ngn gn, c 100 phn trm c hi mc sai lm Loi I. Nh vy, nu = 0,05, c 5% c hi ta c th bc b
gi thit khng mc d n ng.
7
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Cc gi tr ca 2 nm trong
khong ny l hp l theo H0
vi tin cy 100(1 )%.
Do vy, khng bc b H0 nu
2 nm trong min ny.
2 t / 2se( 2 )
2 t / 2se( 2 )
HNH 5.2
Khong tin cy 100(1 )% ca 2
Quy tc quyt nh: Thit lp mt khong tin cy 100(1 ) cho 2. Nu 2 theo H0 nm trong
khong tin cy ny, khng bc b gi thit H0, nhng nu 2 nm ngoi khong ny, bc b H0.
Theo quy tc ny, trong v d gi thit ca chng ta, Ho: 2 = 0,3 r rng nm ngoi khong
tin cy 95% cho trong (5.3.9). Do vy, ta c th bc b gi thit rng gi tr ng ca MPC l 0,3,
vi tin cy 95%. Nu gi thit H0 ng, xc sut m ta c c bng cch tnh c mt gi tr ca
MPC nh l 0,5091 ln nht l 5%, mt xc sut nh.
Trong thng k, khi ta bc b gi thit khng, ta ni rng kt qu ca chng ta c ngha
thng k. Mc khc, khi ta khng bc b gi thit khng, ta ni rng kt qu ca chng ta khng
c ngha thng k.
Mt s tc gi dng cm t nh rt c ngha thng k. Cm t ny thng c ngha l
khi bc b gi thit khng, xc sut phm sai lm Loi I (ngha l ) l mt s nh, thng l 1%.
Nhng nh tho lun v gi tr p trong Mc 5.8 s cho thy, tt hn l cho nh nghin cu quyt
nh kt qu thng k l c ngha, kh c ngha hay rt c ngha.
Kim nh mt pha hay mt ui

i khi ta c mt tin nghim hay k vng l thuyt mnh (hay nhng k vng da trn mt cng
trnh nghin cu thc nghim trc ) rng gi thit thay th l mt pha hay theo mt hng ch
khng phi l hai pha nh va vi tho lun. Nh vy, trong v d v tiu dng - thu nhp, ta c
th vit:
H0: 2 0,3
H1: 2 > 0,3
C l l thuyt kinh t hay cng trnh nghin cu thc nghim trc y cho thy rng xu th tiu
dng bin t ln hn 0,3. Mc d th tc kim nh gi thit ny c th c suy ra mt cch d
dng t (5.3.5), cch lm thc t c th c gii thch mt cch tt hn theo phng php kim
nh ngha tho lun phn k tip8
Nu bn mun s dng phng php khong tin cy, thit lp mt khong tin cy mt pha (100 )% cho 2. Ti
sao?
8
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

5.7 KIM NH GI THIT: PHNG PHP KIM NH NGHA

Kim nh ngha ca cc h s hi quy: Kim nh t
Mt phng php thay th nhng b sung cho phng php khong tin cy kim nh cc gi
thit thng k l phng php kim nh ngha. Phng php ny c pht trin c lp bi
R. A. Fisher, v hai nh khoa hc Neyman v Pearson.9 Ni mt cch tng qut, mt kim nh
ngha l mt th tc m cc kt qu ca mu c s dng kim chng tnh ng n hay
sai lm ca mt gi thit khng. tng then cht ng sau cc kim nh ngha l mt thng
k kim nh (c lng) v phn phi mu ca thng k theo gi thit khng. Quyt nh chp
nhn hay bc b H0 c a ra trn c s gi tr ca thng k kim nh thu c t s liu c.
minh ha, nh li rng vi gi thit v phn phi chun, bin s
2 2
se( 2 )
( 2 2 )
2
i
(5.3.2)
tun theo phn phi t vi n 2 bc t do. Nu gi tr ng ca 2 c c th ha theo gi thit

khng, gi tr t trong (5.3.2) c th hon ton c tnh t mu sn c, v v th m n c th ng
vai tr l mt thng k kim nh. Do thng k kim nh ny tun theo phn phi t, ta c th a ra
cc pht biu v khong tin cy nh sau:
2 2*
Pr t / 2
t / 2 1
se( 2 )
(5.7.1)
vi 2 l gi tr ca 2 theo H0 v vi -t/2 v t/2 l cc gi tr ca t (cc gi tr ti hn ca t) tnh

c t bng t ti mc ngha l (/2) v n 2 bc t do [suy t (5.3.4)]. Bng t c trnh by
trong Ph lc D.
Sp xp li (5.7.1), ta c
Pr[ 2 t/2se( 2 ) 2 2 + t/2se( 2 )] = 1
(5.7.2)
Biu thc ny biu th khong cha 2 vi xc sut 1 , vi iu kin 2 = 2 . Theo ngn ng

kim nh gi thit, khong tin cy 100(1 )% thit lp trong (5.7.2) c gi l min chp nhn
(ca gi thit khng). V (cc) vng nm ngoi khong tin cy c gi l (cc) min bc b (ca
H0) hay (cc) min ti hn. Nh lu trc y, cc gii hn tin cy, cc im u v cui ca
khong tin cy, cng c gi l cc gi tr ti hn.
Mi lin kt bn cht gia phng php khong tin cy v kim nh ngha trong kim
nh gi thit c th c nhn nhn bng cch so snh (5.3.5) vi (5.7.2). Trong phng php
khong tin cy, ta thit lp mt di hay mt khong cha gi tr ng nhng cha bit ca 2 vi
mt xc sut nht nh, tri li trong phng php kim nh ngha, ta t gi thit mt gi tr no
ca 2 v xem gi tr tnh c 2 c nm trong cc gii hn (tin cy) hp l xung quanh gi tr
gi thit hay khng.
9
Cc chi tit c th tm trong E. L. Lehman, Testing Statistical Hypotheses (Kim nh cc gi thit thng k), John
Wiley & Sons, New York, 1959.
Damodar N. Gujarati
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Mt ln na hy tr li v d v tiu dng -thu nhp. Ta bit rng 2 = 0,5091, se( 2 ) =

0,0357, v s bc t do = 8. Nu ta gi s rng = 5%, th t/2 = 2,306. Nu ta mc nh H0: 2 =
2 = 0,3 v H1: 2 0,3, (5.7.2) tr thnh

Pr(0,2177 2 0,3823) = 0,95
(5.7.3)10
nh c minh ha bng th trong Hnh 5.3. Do 2 quan st c nm trong min ti hn, ta

bc b gi thit khng cho rng gi tr ng ca 2 = 0,3.
f( 2 )
2 = 0,5091
nm trong
min ti hn
2,5% ny
Min ti hn
2,5%
0,2177
0,3
0,3823
HNH 5.3
Khong tin cy 95% i vi 2 theo gi thit l 2 = 0,3
Trn thc t, khng cn phi c lng (5.7.2) mt cch r rng. Ta c th tnh gi tr t nm gia
bt ng thc kp (5.7.1) v xem n c nm gia cc gi tr ti hn ca t hay nm ngoi chng.
Trong v d ca chng ta:
t
0,5091 0,3
5,86
0,0357
(5.7.4)
Gi tr ny r rng nm trong min ti hn ca Hnh 5.4. Kt lun vn nh trc, tc l ta bc b

H0.
Lu rng nu 2 c lng c (= 2 ) bng vi gi tr gi thit 2, gi tr t trong (5.7.4)
s bng 0. Tuy nhin, do gi tr 2 c lng c khc vi gi tr gi thit ca 2, t (tc l, gi tr
tuyt i ca t; Lu : t c th dng hay m) s cng ln. Do vy, mt gi tr t ln s l bng
chng chng li gi thit khng. Tt nhin, ta lun lun c th s dng bng t xc nh xem gi
tr c bit ca t ln hay nh; cu tr li, nh ta bit, ph thuc vo s bc t do cng nh xc sut
ca sai lm Loi I m chng ta bng lng chp nhn. Nu bn xem bng t trong Ph lc D, bn s
nhn thy i vi mi gi tr ca bc t do, xc sut t c cc gi tr ln dn ca t cng nh
10
Mc 5.2, im 4 pht biu rng ta khng th ni rng xc sut m khong c nh (0,4268, 0,5914) cha gi tr
ng ca 2 l 95%. Nhng ta c th a ra pht biu thng k trnh by trong (5.7.3) do 2 , vi t cch l mt c

lng, l mt bin ngu nhin.
Damodar N. Gujarati
10
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

dn i. Nh vy, vi 20 bc t do, xc sut t c gi tr t bng 1,725 hay ln hn l 0,10 hay

10%, nhng vi cng s bc t do, xc sut t c gi tr t bng 3,552 hay ln hn ch l 0,002
hay 0,2%.
Do ta s dng phn phi t, th tc kim nh trn c gi mt cch thch hp l kim
nh t. Trong ngn ng ca kim nh ngha, mt thng k c xem l c ngha v mt
thng k nu gi tr ca thng k kim nh nm trong min ti hn. Trong trng hp ny,
gi thit khng b bc b. Cng tng t, mt kim nh c xem l khng c ngha v mt
thng k nu gi tr ca thng k kim nh nm trong min chp nhn. Trong tnh hung ny,
gi thit khng khng b bc b. Trong v d ca chng ta, kim nh t c ngha v do vy ta bc
b gi thit khng.
f(t)
Min ti hn
2,5%
-2,306
t = 5,86 nm
trong min ti
hn 2,5% ny
t
+2,306
HNH 5.4
Khong tin cy 95% i vi t (8 bc t do )
Trc khi kt thc tho lun v kim nh gi thit, Lu rng th tc kim nh va m t

tm lc c gi l hai pha hay hai ui. y l th tc kim nh ngha trong ta xem xt
hai pha ui ca phn phi xc sut, gi l cc min bc b, v bc b gi thit khng nu n nm
mt trong hai pha ui. Nhng iu ny xy ra bi v H1 ca ta l gi thit phc hp hai pha; 2
0,3, ngha l 2 hoc ln hn hoc nh hn 0,3. Nhng gi s kinh nghim trc y cho ta thy
rng MPC c d kin l ln hn 0,3. Trong trng hp ny ta c: H0: 2 0,3 v H1 > 0,3. Mc
d H1 vn l mt kim nh phc hp, by gi H1 c tnh mt pha, kim nh gi thit ny, ta s
dng kim nh mt pha (pha phi), nh minh ha trong Hnh 5.5. (Xem ng thi tho lun
trong Mc 5.6).
Damodar N. Gujarati
11
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

f( 2 )
2 = 0,5091
nm trong
min ti hn
2,5% ny
Min chp
nhn 95%
2
0,3664
Min chp
nhn 95%
*
2
1,860se( 2 )
t = 5,86 nm
trong min ti
hn 2,5% ny
t
1,860
t0,05 (8 bc t do)
HNH 5.5
Kim nh ngha mt pha
Th tc kim nh vn nhng trc tr vic gii hn tin cy pha trn hay gi tr ti hn by

gi tng ng vi t = t0,05, tc l, mc 5%. Nh Hnh 5.5 minh ha, ta khng cn xem xt ui
pha sau ca phn phi t trong trng hp ny. Vic s dng kim nh ngha mt pha hay hai
pha ph thuc vo mt s nghin cu tin nghim hay cc kinh nghim thc nghim c trc.
(Nhng chi tit s c trnh by trong Mc 5.8).
Ta c th tm tt phng php kim nh ngha t trong kim nh gi thit trong Bng 5.1.
Damodar N. Gujarati
12
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

BNG 5.1
Kim nh ngha t: cc quy tc quyt nh

Loi
gi thit
H0: Gi thit
khng
H1: Gi thit
thay th
Hai pha
2 = 2
2 2
t > t/2, df
Pha phi
2 2
2 > 2
t > t/2, df
2 2
2 <
t < t/2, df
Pha tri
Quy tc quyt nh:

Bc b H0 nu
Ghi chu: 2 l gi tr bng s gi thit ca 2.

t l gi tr tuyt i ca t.
t hay t/2 l gi tr ti hn ca t ti mc ngha hay /2.
df: bc t do, bng (n 2) i vi m hnh hai bin, (n 3) i vi m hnh ba bin, v.v
Kim nh gi thit i vi 1 c cng th tc.
Kim nh ngha ca 2: Kim nh 2

Vi mt minh ha khc v phng php ca lun kim nh ngha, xem xt bin s sau:
2 (n 2)
2
2
(5.4.1)
BNG 5.2
Tm tt kim nh 2
H0: Gi thit
khng
2 = 02

2
2
0
2 02
H1: Gi thit
thay th
Quy tc quyt nh:

Bc b H0 nu
df ( 2 )
2 > 02
<
2
2
0
df ( 2 )
2
0
02
df ( 2 )
2 02
2
0
2 ,df
(21 ), df
2 / 2, df
hay < (21 / 2 ),df

Ghi ch: 02 l gi tr ca 2 theo gi thit khng. Ch nh th nht di 2 ct cui cng l
mc ngha, v ch nh th hai l bc t do. y l nhng gi tr ti hn ca Chi-bnh phng.
Lu rng df l (n 2) i vi m hnh hi quy hai bin, (n 3) i vi m hnh hi quy ba
bin, v.v
Bin ny, nh cp trc y, tun theo phn phi 2 vi n 2 bc t do. Trong v d gi

thit, 2 = 42,1591 v s bc t do = 8. Nu ta mc nh rng H0: 2 = 85 so vi H1: 2 85,
phng trnh (5.4.1) cho ta thng k kim nh i vi H0. Thay th cc gi tr thch hp vo
(5.4.1), c th tm ra c rng vi H0, 2 = 3,97. Nu ta gi s = 5%, cc gi tr ti hn ca 2
bng 2,1797 v 17,5346. Do gi tr 2 tnh c nm khong cc gii hn ny, s liu ny h tr
gi thit khng v ta khng bc b n. (Xem Hnh 5.1). Kim nh ny c gi l kim nh
ngha Chi-bnh phng. Phng php kim nh ngha 2 trong kim nh gi thit c tm tt
trong Bng 5.2.
Damodar N. Gujarati
13
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

5.8 KIM NH GI THIT: MT S KHA CNH THC T

ngha ca vic chp nhn v bc b mt gi thit
Nu trn c s ca mt kim nh ngha, v d kim nh t, ta quyt nh chp nhn gi thit
khng, tt c nhng g ta pht biu l trn c s bng chng ca mu ta khng c l do bc b n; ta
khng th ni rng gi thit khng l ng m khng c nghi ng no. Ti sao? tr li cu hi
ny, hy quay li v d ca chng ta v tiu dng - thu nhp v gi s rng H0: 2 (MPC) = 0,50.
By gi, gi tr c lng ca MPC l 2 = 0,5091 vi se( 2 ) = 0,0357. Nh vy, trn c s ca
kim nh t, ta tm ra rng t = (0,5091 0,50)/0,0357 = 0,25. t khng c ngha ti = 5%. Do
vy, ta ni chp nhn H0. Nhng by gi hy gi s H0: 2 = 0,48. p dng kim nh, ta c t =
(0,5091 - 0,48)/0,0357 = 0,82. Gi tr ny cng khng c ngha thng k. V chng ta cng ni
chp nhn H0. Gi thit no ng trong hai gi thit khng ny? Ta khng bit. Do vy, bng
cch chp nhn gi thit khng ta phi lun lun nhn thc c rng mt gi thit khng na cng
c th hon ton tng thch vi s liu. Do vy, tt hn l nn ni rng ta c th chp nhn gi
thit khng ch khng nn ni l chp nhn n. Tt hn na l:
cng nh ta tuyn n l khng phm ti ch khng phi l trong sch, kt lun ca mt kim
nh thng k l khng bc b ch khng phi l chp nhn.11
Gi thit khng zero v quy tc kinh nghim 2-t

Mt gi thit khng thng c kim nh trong nghin cu thc nghim l Ho: 2 = 0, tc l h
s gc bng khng. Gi thit khng zero ny l mt loi hnh nm, mc ch l tm xem Y c
quan h g vi X, bin gii thch, hay khng. Nu bt u t vic khng c quan h gia Y v X th
vic kim nh gi thit nh 2 = 0,3 hay mi gi tr khc l v ngha.
Gi thit khng ny c th c d dng kim nh bng phng php khong tin cy hay
kim nh t c tho lun trong cc phn trn. Nhng thng th cch kim nh chnh thc ny
c th c lm tt bng cch p dng quy tc 2-t. Quy tc ny c pht biu nh sau:
Quy tc kinh nghim2-t. Nu s bc t do ln hn hoc bng 20 v nu , mc ngha, l 0,05,
th gi thit khng 2 = 0 c th b bc b nu gi tr t [= 2 /se( 2 )] tnh t (5.3.2) ln hn 2 v gi
tr tuyt i.
L do cn bn ca quy tc ny khng qu kh chng minh. T (5.7.1) ta bit l s bc b

H0: 2 = 0 nu
t = 2 /se( 2 ) > t/2
khi 2 > 0
t = 2 /se( 2 ) < t/2
khi 2 < 0
hay
hay khi
t
2
t / 2
se( 2 )
(5.8.1)
vi s bc t do ph hp.
11
Jan Kmenta, Elements of Econometrics (Cn bn v Kinh t Lng), Macmillan, New York, 1971, trang 114.
Damodar N. Gujarati
14
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

By gi, xem xt bng t trong Ph lc D, ta thy rng vi s bc t do ln hn hoc bng 20, gi tr

t tnh c ln hn 2 (v tr tuyt i), v d nh 2,1, s c ngha thng k mc 5%. T , ta
bc b gi thit khng. Do vy, nu thy gi tr tnh c ca t l 2,5 hay 3 vi s bc t do ln hn
hoc bng 20, ta khng cn tra bng t nh gi ngha ca h s gc tnh c. Tt nhin, ngi
ta lun lun c th tra bng t tnh mc ngha chnh xc, v phi lun lun lm vy nu s bc
t do nh hn 20.
Trc khi chuyn sang phn khc, lu rng nu ang kim nh gi thit mt pha 2 = 0
i li vi 2 > 0 hay 2 < 0, ta phi bc b gi thit khng nu
t
2
t
se( 2 )
(5.8.2)
Nu ta c nh mc 0,05, t bng t ta nhn thy vi 20 hay nhiu hn 20 bc t do, mt gi tr t

ln hn 1,73 c ngha thng k mc ngha 5% (mt pha). Do vy, bt c khi no gi tr t ln
hn 1,8 (v tr tuyt i) v s bc t do ln hn hoc bng 20, ta khng cn tham kho bng t
xc nh ngha thng k ca h s tnh c. Tt nhin, nu chn mc 0,01 hay bt k mc
no khc, ta s phi quyt nh v gi tr thch hp ca t t gi tr mc. Nhng ti gi th ngi c
phi c kh nng t lm c.
Lp gi thit khng v gi thit thay th12

Vi cc gi thit khng v gi thit thay th cho trc, vic kim nh chng v ngha thng k
khng cn l mt iu b n. Nhng lm sao c th thit lp cc gi thit ny? Khng h c mt quy
tc bt di bt dch no. Thng th tnh hung trong nghin cu s gi v tnh cht ca cc gi
thit khng v gi thit thay th. V d, trong Bi tp 5.16 ta c yu cu c lng ng th
trng vn (CML) ca l thuyt u t chng khon (portfolio theory), trong mc nh rng Ei =
1 + 2i vi E = sut sinh li k vng t c cu u t v = lch chun ca sut sinh li, mt
thc o ri ro. Do sut sinh li v ri ro c d on l c quan h ng bin ri ro cc cao th
sut sinh li cng cao gi thit thay th t nhin cho gi thit khng (2 = 0) s l 2 > 0. Tc l,
ta s khng xem xt cc gi tr 2 nh hn 0.
Nhng hy xem xt trng hp mc cu tin t. Nh ta s ch ra sau y, mt trong cc yu
t xc nh quan trng ca mc cu tin t l thu nhp. Cc nghin cu trc y v hm cu tin t
ch ra rng co gin thu nhp ca mc cu tin t (t s phn trm thay i v mc cu tin t
khi thu nhp thay i 1%) thng nm trong khong t 0,7 n 1,3. Do vy, trong mt nghin cu
mi v mc cu tin t, nu ta mc nh rng h s co gin thu nhp 2 l 1, gi thit thay th c th
l 2 1, mt gi thit thay th hai pha.
Nh vy, ta c th da vo cc k vng l thuyt hay nghin cu kinh nghim trc y hay
c hai thit lp cc gi thit. Nhng mc d cc gi thit c thit lp nh th no i na th
iu v cng quan trng l nh nghin cu phi thit lp nhng gi thit trc khi thc hin iu
tra thc nghim. Nu khng, nh nghin cu s phm phi vic lp lun vng quanh hay c c
on cho ph hp vi kt qu. Tc l, nu thit lp cc gi thit sau khi xem xt cc kt qu thc
nghim, ta c th mun thit lp gi thit bin minh cho kt qu tm c. Phi trnh cch lm
ny bng mi gi, t nht l to s khch quan khoa hc. Hy lu cu trch dn ca Stigler
u chng!
12
V mt tho lun th v v lp gi thit, xem J. Bradford De Long & Kevin Lang, Are All Economic Hypotheses
False?, Journal of Political Economy, (C ng l tt c cc gi thit kinh t u sai?, Tp ch Kinh t Chnh tr), tp
100, s 6, 1992, trang 1257-1272.
Damodar N. Gujarati
15
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

La chn mc ngha
Chng ta phi hiu r t nhng tho lun t u ti y l vic ta c bc b hay khng bc b gi
thit khng ph thuc nhiu vo , mc ngha hay xc sut phm sai lm Loi I xc sut bc
b gi thit ng. Trong ph lc A, ta tho lun ton din bn cht ca sai lm Loi I, quan h ca
n vi sai lm Loi II (xc sut chp nhn gi thit sai) v ti sao thng k c in thng tp trung
vo sai lm Loi I. Nhng ngay c nh th, ti sao li hay c c nh mc 1%, 5%, hay nhiu
nht l 10%? Thc t l cc gi thit ny khng c g l bt kh xm phm; mi gi tr khc cng c
th c la chn.
Trong mt cun sch gii thiu nh th ny, khng th tho lun chi tit v l do ti sao li
chn mc ngha 1, 5, hay 10%, bi v n s a chng ta ti lnh vc ra quyt nh thng k, mt
lnh vc n t t bn thn n. Tuy nhin, ta c th a ra mt tm tt ngn gn. Nh s tho lun
trong Ph lc A, vi mt c mu cho trc, nu ta gim sai lm Loi I, sai lm Loi II tng ln v
ngc li. Tc l, vi c mu cho trc, nu ta gim xc sut bc b gi thit ng, th ng thi ta
li tng xc sut chp nhn gi thit sai. Nh vy, c mt mi quan h c-mt trong hai loi sai
lm ny. By gi, cch duy nht m chng ta c th quyt nh v quan h c-mt ny l tm chi
ph tng i ca hai loi sai lm. Sau ,
Nu sai lm bc b gi thit khng m gi thit li ng trn thc t (Sai lm Loi I) c chi ph
cao hn so vi sai lm khng bc b gi thit khng khi n sai trn thc t (Sai lm Loi II), vic to
xc sut loi sai lm th nht thp l iu hp l. Mt khc, nu chi ph ca vic phm Sai lm Loi
I thp hn so vi chi ph phm Sai lm Loi II, s hp l nu to xc sut loi sai lm th nht cao
(tc l lm cho xc sut loi sai lm th hai thp).13
Tt nhin, kh khn l ch ta t khi bit c chi ph ca vic phm hai loi sai lm. V vy,
nhng nh kinh t lng ng dng thng tun theo cch lm l t gi tr ca mc 1, hay 5
hay cao nht l 10% v la chn mt thng k kim nh m s lm cho xc sut phm sai lm Loi
II nh nht. Bi v 1 tr xc sut phm sai lm Loi II c gi l nng lc ca kim nh, cch
lm ny l cc i ha sc mnh ca kim nh. (Xem Ph lc A v phn tho lun sc mnh
ca kim nh).
Nhng tt c vn kh khn v la chn gi tr thch hp ca c th c trnh khi nu
ta s dng ci gi l gi tr p ca thng k kim nh. Gi tr p c tho lun mc k tip.
Mc ngha chnh xc: Gi tr p

Nh lu , gt chn Asin ca phng php c in v kim nh gi thit l s ty trong
vic la chn . Khi ta tnh c mt thng k kim nh (v d thng k t) t mt v d cho trc,
ti sao li khng lm theo cch n gin l tra bng thng k thch hp tm xc sut thc t ca
vic t c mt gi tr ca thng k kim nh bng vi hay ln hn gi tr tnh c trong v d?
Xc sut ny c gi l gi tr p (ngha l gi tr xc sut). N cng c gi l mc ngha
quan st hay mc ngha chnh xc hay xc sut chnh xc phm sai lm Loi I. Ni mt cch
mang tnh k thut hn, gi tr p c nh ngha l mc ngha thp nht m gi thit khng c
th b bc b.
minh ha, hy quay li vi v d tiu dng - thu nhp. Vi gi thit khng l gi tr ng
ca MPC bng 0,3, ta c gi tr t l 5,86 theo (5.7.4). Gi tr p bng bao nhiu t c gi tr t
bng hay ln hn 5,86? Tra bng t trong Ph lc D, ta thy vi s bc t do l 8, xc sut t gi tr
13
Jan Kmenta, Elements of Econometrics (Cn bn v Kinh t Lng), Macmillan, New York, 1971, trang 126-127.
Damodar N. Gujarati
16
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

t nh th phi nh hn 0,0001 (mt pha) hay 0,0002 (hai pha). Bng cch s dng my tnh, c th
ch ra rng xc sut t c gi tr t bng 5,86 hay ln hn (i vi 8 bc t do) vo khong
0,000189.14 l gi tr p ca thng k t. Mc ngha quan st c, hay chnh xc ca thng k t
nh hn nhiu so vi mc ngha c nh mt cch quy c hay ty , nh 1, 5 hay 10%. Trn
thc t, nu ta s dng gi tr p va tnh c v bc b gi thit khng cho rng gi tr ng ca
MPC l 0,3, xc sut m ta phm sai lm Loi I ch l 0,02%, tc l khong 2 trong s 10.000!
Nh lu trc y, nu s liu khng h tr gi thit khng, t tnh c theo gi thit
khng s ln v do vy gi tr p t c t nh vy s nh. Ni mt cch khc, vi c mu
cho trc, khi t tng ln, gi tr p gim i, v do vy, ta c th bc b gi thit khng vi mc tin
cy cng tng cao.
u l mi quan h gia gi tr p v mc ngha ? Nu ta to thi quen c nh bng gi
tr p ca mt thng k kim nh (v d, thng k t), th khng h c mu thun gia hai gi tr. Ni
cch khc, tt hn l t b cch c nh mt cch ty v n gin l chn gi tr p ca
thng k kim nh. Tt hn l ngi c t quyt nh c bc b gi thit khng ti gi tr p
tnh c hay khng. Nu trong mt ng dng, gi tr p ca mt thng k kim nh bng 0,145 hay
14,5%, v nu ngi c mun bc b gi thit khng ti mc ngha (chnh xc) ny th c vic
lm. Khng c g sai nu chp nhn xc sut l s sai lm 14,5% nu bc b gi thit khng trong
khi gi thit ng. Tng t, nh trong v d tiu dng - thu nhp ca chng ta, khng c g sai
nu nh nghin cu mun chn gi tr p vo khong 0,02% v khng mun chp nhn xc sut l
phm sai lm nhiu hn 2 trong s 10.000 ln. Ni cho cng, mt s ngi iu tra c tm l thch
ri ro cn s khc li ght ri ro.
Trong phn cn li ca cun sch ny, ni chung ta s tnh gi tr p ca mt thng k kim
nh cho trc. Mt s ngi c c th mun c nh ti mt mc no v bc b gi thit
khng nu gi tr p nh hn . l s la chn ca h.
ngha thng k so vi ngha thc t

Hy quay li vi v d tiu dng - thu nhp v lp gi thit rng gi tr ng ca MPC l 0,61 (H0:
2 = 0,61). Da vo kt qu 2 = 0,5091 trong mu, ta c khong (0,4268, 0,5914) vi 95% tin
cy. Do khong ny khng cha 0,61, ta c th ni rng, vi 95% tin cy, c lng ca chng
ta c ngha thng k, tc l, kt qu khc ng k so vi 0,61.
Nhng u l ngha thc t hay ngha lu di ca kt qu? Tc l, c g khc khi ta chn
gi tr ca MPC l 0,61 ch khng phi l 0,5091? S khc bit 0,1009 gia hai gi tr MPC c
quan trng trn thc t khng?
Vic tr li cu hi ph thuc vo vic ta thc s lm g vi cc c lng ny. V d, trong
kinh t v m ta bit rng s nhn thu nhp l 1/(1 MPC). Nh vy, nu MPC l 0,5091, s nhn
l 2,04, nhng n s l 2,56 nu MPC bng 0,61. Tc l, nu chnh ph mun tng chi tiu ca
mnh ln 1 USD a nn kinh t ra khi suy thoi, thu nhp s tng ln 2,04 USD nu MPC l
0,5091 nhng s tng ln 2,56 USD nu MPC l 0,61. V nh vy, s khc bit c th rt quan
trng phc hi nn kinh t.
14
Ta c th tnh gi tr p vi vi s thp phn bng cch dng cc bng thng k in t. Tuy vy, cc bng thng k
quy c, do thiu ch, khng th chnh xc mc c. Micro TSP, SHAZAM, ET, v mt vi phn mm thng k
khc c th t ng cho bit cc gi tr p.
Damodar N. Gujarati
17
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

im Lu trong ton b qu trnh tho lun ny l ta khng c nhm ln ngha thng

k vi ngha thc t, hay kinh t. Nh Goldberger lu :
Khi mt gi thit khng, v d j = 1, c c th ha, ngi ta thng c nh cho rng j gn
bng 1, rt gn n mc m i vi tt c cc mc ch thc t, n c th c xem l n bng 1.
Nhng 1,1 c ngang bng trn thc t vi 1,0 khng l vn kinh t hc, khng phi thng k.
Ta khng th gii quyt vn ny bng cch da vo mt kim nh thng k bi v thng k kim
nh [t = (bj 1)/^ bj ] tnh h s c lng trong cc n v sai s chun. Chng khng phi l cc
n v c ngha tnh h s kinh t j 1. Tt hn l dnh thut ng ngha cho khi nim
thng k, v dng t thc t cho khi nim kinh t.15
tng ca Goldberger tht s quan trng. Khi c mu rt ln, cc vn ngha thng k

tr nn rt t quan trng nhng cc vn ngha kinh t li tr nn thit yu. Bi v vi cc mu
rt ln, hu ht mi gi thit khng s b bc b; c th c cc nghin cu m trong ch quan tm
ti ln ca cc c lng im.
S la chn gia phng php khong tin cy v kim nh ngha trong kim nh
gi thit thng k
Trong phn ln cc phn tch kinh t ng dng, gi thit khng c thit lp nh l mt hnh nm
v mc ch ca nghin cu thc nghim l bc b n, tc l bc b gi thit khng. Nh vy, trong
v d tiu dng/thu nhp ca chng ta, gi thit khng cho rng MPC, 2 = 0 hin nhin l ng
ngn, nhng ta thng s dng n kch tnh ha cc kt qu thc nghim. R rng l nhng
ngi bin tp cc tp ch c danh ting khng ly g lm hng th khi xut bn mt nghin cu
thc nghim m li khng bc b gi thit khng. Tuy nhin, kt qu rt ra l MPC khc 0 v mt
thng k th li ng ng tin hn l tm ra rng n bng, v d nh, 0,7!
Do vy, J. Bradford Delong v Kevin Lang lp lun rng tt hn l cc nh kinh t nn
tp trung vo tr s ca cc h s v bo co v cc mc tin cy ch khng phi cc kim nh
ngha. Nu tt c hay gn nh tt c cc gi thit khng l sai, hon ton c t gi tr khi ta tp trung
vo phn tch xem theo gi thit khng th mt c lng c th phn bit hay khng phn bit vi gi
tr d on ca n. Thay vo , ta mun lm sng t nhng m hnh no l cc php tnh gn ng
tt. iu ny yu cu ta phi bit cc khong gi tr ca thng s m b loi tr bi cc c lng
thc nghim.16
Ni tm li, cc tc gi ny thch s dng phng php khong tin cy hn so vi phng php

kim nh ngha. Ngi c c th mun ghi nh li khuyn ny.
5.9 PHN TCH HI QUY V PHN TCH PHNG SAI

Trong phn ny, ta nghin cu phn tch hi quy t quan im phn tch phng sai v gii thiu
cho ngi c mt cch nhn sng t v mang tnh b sung v vn suy lun thng k.
Trong Chng 3, Mc 3.5, ta xy dng ng thc sau:
15
Arthur S. Goldberger, A Course in Econometrics (Kha hc v Kinh t lng), Harvard University Press, Cambridge,
Massachusetts, 1991, trang 240. Ch bj l c lng OLS ca j v ^ bj l sai s chun ca n. V quan im
chng thc cho vn ny, xem D. N. McCloskey, The Loss Function Has Been Mislaid: The Rhetoric of
Significance Tests (Hm s mt b tht lc: S hng bin ca cc kim nh ngha), American Economic Review
(Tp ch Kinh t Hoa K), Vol. 75, 1985, trang 201-205.
16
Xem bi vit ca h trch dn trong ch thch 12, trang 1271.
Damodar N. Gujarati
18
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
2
i
Cc phng php nh lng

Bi c
yi2 ui2 22 xi2 ui2

(3.5.2)
tc l, TSS = ESS + RSS. ng thc ny chia tng bnh phng ton phn thnh hai phn: tng
bnh phng gii thch c (ESS) v tng bnh phng phn d (RSS). Nghin cu cc thnh
phn ny ca TSS c gi l phn tch phng sai (ANOVA) t quan im hi quy.
Lin quan ti mi tng bnh phng l bc t do ca n, tc l s quan st c lp m n
c da vo. TSS c n 1 bc t do do ta mt 1 bc t do khi tnh gi tr trung bnh mu Y . RSS

c n 2 bc t do. (Ti sao?) (Lu : iu ny ch ng vi m hnh hi quy hai bin vi s c mt
ca tung gc 1). ESS c 1 bc d do (ch ng cho trng hp 2 bin). l do ESS =
22 xi2 l hm s ca 2 ch khi bit c xi2 .
Hy sp xp cc tng bnh phng khc nhau v bc t do lin quan ca chng trong Bng
5.3. y l mu chun ca bng AOV, i khi c gi l bng ANOVA. Vi nhng cng thc
trong Bng 5.3, by gi ta xem xt bin s sau:
F
MSS cua ESS

MSS cua RSS
22 xi2
u /( n 2)
x
2
i
2
2
2
i
(5.9.1)
Nu gi s rng yu t nhiu ui c phn phi chun v H0: 2 = 0, ta c th ch ra rng F trong

(5.9.1) tha mn cc iu kin ca nh l 4.6 (Mc 4.5) v do vy tun theo phn phi F vi 1 v
n 2 bc t do. (Xem Ph lc 5A, Mc 5A.2).
T s F trn c dng lm g? Ta c th ch ra rng17
E( 22 xi2 ) = 2 + 22 xi2
(5.9.2)
v
E
2
i
n2
E ( 2 ) 2
(5.9.3)
(Lu rng 2 v 2 xut hin v phi ca nhng phng trnh ny l cc tham s ng). Do vy,
nu 2 bng 0 trn thc t, cc phng trnh (5.9.2) v (5.9.3) cho ta cc c lng ng nht ca
gi tr ng ca 2. Trong tnh hung ny, bin gi thch X khng c tc ng tuyn tnh i vi Y
v ton b bin thin ca Y c gi thch bi yu t nhiu ngu nhin ui. Mt khc, nu 2 khc 0,
(5.9.2) v (5.9.3) s khc nhau v mt phn bin thin ca Y s c quy cho X. Do vy, t s F
trong (5.9.1) cho ta mt kim nh v gi thit khng H0: 2 = 0. Do tt c cc s a vo phng
trnh ny c th tnh c t mu sn c, t s F cung cp mt thng k kim nh kim nh gi
thit khng cho rng gi tr ng ca 2 bng 0. Tt c nhng iu cn phi lm l tnh t s F v so
snh n vi gi tr F ti hn tnh c t cc bng F ti mc ngha chn, hay thu thp gi tr p
ca thng k F tnh c.
17
V phn chng minh, xem K. A. Brownlee, Statistical Theory and Methodology in Science and Engineering (L
thuyt thng k v phng php lun trong khoa hc v k thut), John Wiley & Sons, New York, 1960, trang 278-280.
Damodar N. Gujarati
19
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

BNG 5.3
Bng ANOVA cho m hnh hi quy hai bin

Ngun bin thin
Do hi quy (ESS)
Do phn d (RSS)
TSS
*
SS*
y
u
2
i
22
2
i
2
i
Bc t do (df)
MSS
22 xi2
n2
2
i
n2
n1
yi2
SS l tng bnh phng

Tng trung bnh cc bnh phng, tnh c bng cch chia SS cho s bc t do ca n.
minh ha, hy tip tc vi v d v tiu dng - thu nhp. Bng ANOVA trong v d ny
c trnh by trong Bng 5.4. Gi tr F tnh c l 202,87. Gi tr p ca thng k F tng ng vi
1 v 8 bc t do khng th tnh c t bng F trong Ph lc D, nhng bng cch s dng cc bng
thng k in t, ta c th ch ra rng gi tr p l 0,0000001, mt xc sut v cng nh. Nu quyt
nh chn phng php mc ngha kim nh gi thit v c nh mc 0,01, hay mc 1%,
bn c th thy rng gi tr F tnh c l 202,87 r rng c ngha mc ny. Do vy, nu ta bc
b gi thit khng cho rng 2 = 0, xc sut phm sai lm Loi I rt nh. i vi tt c cc mc
ch thc t, mu ca chng ta khng th c chn t mt tng th c gi tr 2 bng 0 v ta c th
kt lun vi mc tin cy cao rng X, thu nhp, tht s c tc ng ti Y, chi tiu cho tiu dng.
Theo nh l 4.7 trong Mc 4.5, bnh phng gi tr t vi k bc t do l gi tr F vi 1 bc
t do t s v k bc t do mu s. Trong v d tiu dng -thu nhp, nu gi s H0: 2 = 0, th t
(5.3.2) ta c th d dng chng minh rng gi tr c lng t l 14,24. Gi tr t ny c 8 bc t do.
Vi cng gi thit khng, gi tr F l 202,87 vi 1 v 8 bc t do. Nh vy, (14,24)2 = gi tr F, loi
b cc sai s do lm trn.
Vy, cc kim nh t v F cho ta hai cch thay th nhng b sung cho nhau kim nh gi
thit khng l 2 = 0. Nu nh vy th ti sao li khng ch da vo kim nh t v b qua kim nh
F cng vi phn tch phng sai i cng vi n? i vi m hnh hai bin th tht s khng cn ti
kim nh F. Nhng khi xem xt ch hi quy bi, ta s thy rng kim nh F c mt s ng
dng th v lm cho n tr thnh mt phng php rt hu ch v mnh kim nh cc gi thit
thng k.
BNG 5.4
Bng ANOVA cho v d tiu dng - thu nhp

Ngun bin thin
SS
Bc t do
MSS
Do hi quy (ESS)
8552,73
8552,73
Do phn d (RSS)
TSS
337,27
8890,00
8
9
42,159
Damodar N. Gujarati
20
8552,73
42,159
= 202,87
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

5.10 NG DNG PHN TCH HI QUY: VN D BO

Trn c s s liu mu trong Bng 3.2, ta c hi quy mu sau:
Yi = 24,4545 + 0,5091Xi
(3.6.2)
vi Yi l c lng ca gi tr ng E(Yi) tng ng vi X cho trc. Ta c th dng hi quy lch

s ny lm g? Mt cch s dng l d on hay d bo chi tiu tiu dng trong tng lai Y
tng ng vi mt mc thu nhp cho trc X. By gi c hai loi d bo: (1) d on gi tr trung
bnh c iu kin ca Y tng ng vi mt gi tr X cho trc, v d, X0, tc l im trn ng hi
quy tng th (xem Hnh 2.2), v (2) d on mt gi tr c bit ca Y tng ng vi X0. Ta s gi
hai loi d on ny l d on gi tr trung bnh v d on gi tr c bit.
D on gi tr trung bnh18
c th ha, gi s X0 = 100 v ta mun d on E(Y X0 = 100). By gi ta c th ch ra rng
hi quy lch s (3.6.2) cung cp c lng im ca d on gi tr trung bnh ny nh sau:
Y0 1 2 X 0
= 24,4545 + 0,5091(100)
= 75,3645
(5.10.1)
vi Y0 = c lng ca E(Y X0). Ta c th chng minh rng gi tr d on im ny l c lng

tuyn tnh khng thin lch tt nht (BLUE).
Do Y0 l mt c lng, n c nhiu kh nng khc vi gi tr ng ca n. S khc nhau
gia hai gi tr s cho ta mt s tng v sai s d on hay d bo. nh gi sai s ny, ta
cn tm phn phi mu ca Y0 . Theo Ph lc 5A, Mc 5A.3, Y0 trong phng trnh (5.10.1) c
phn phi chun vi gi tr trung bnh (1 + 2X0) v phng sai tnh theo cng thc sau:
1 ( X X )2
var(Y0 ) 2 0 2
xi
n
(5.10.2)
Bng cch thay th 2 cha bit bng c lng khng thin lch 2 , ta c
Y0 ( 1 2 X 0 )
se(Y0 )
(5.10.3)
tun theo phn phi t vi n 2 bc t do. Do , phn phi t c th c s dng tnh cc

khong tin cy cho gi tr ng ca E(Y0 X0) v kim nh gi thit v n theo cch thng thng.
C th,
Pr[ 1 + 2 X0 t/2se( Y0 ) 1 + 2X0 1 + 2 X0 + t/2se( Y0 )] = 1
(5.10.4)
vi se( Y0 ) c tnh t (5.2.10).
18
V phn chng minh cc pht biu ny, xem Ph lc 5A, mc 5A.3.
Damodar N. Gujarati
21
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Vi s liu ca chng ta (xem Bng 3.3),
1 (100 170)2
var( Y0 ) = 42,159
33.000
10
= 10,4759
v
se( Y0 ) = 3,2366
Do , khong tin cy 95% ca gi tr ng ca E(Y X0) = 1 + 2X0 c tnh bi
75,3645 2,306(3,2366) E(Y X0 = 100) 75,3645 + 2,306(3,2366)
tc l,
67,9010 E(Y X0 = 100) 82,8381
(5.10.5)
Nh vy, vi X0 = 100, trong mu lp li, 95 trong 100 khong ging nh (5.10.5) s cha gi tr
trung bnh ng, c lng n tt nht ca gi tr trung bnh ng tt nhin l c lng im
75,3645.
Nu ta tnh c cc khong tin cy 95% nh (5.10.5) cho mi gi tr X trong Bng 3.2, ta
c ci gi l khong tin cy, hay di tin cy, cho hm hi quy tng th. Hm ny c v trong
Hnh 5.6.
D on gi tr c bit
Nu s quan tm ca chng ta l d on gi tr ring l ca Y, Y0, tng ng vi mt gi tr cho
trc ca X, v d X0, th nh trong Ph lc 5, Mc 5A.3, c lng tuyn tch khng thin lch tt
nht ca Y0 cng theo phng trnh (5.10.1), nhng phng sai ca n c gi tr nh sau:
1 ( X X )2
var(Y0 Y0 ) E[Y0 Y0 ]2 2 1 0 2 0
xi
n
(5.10.6)
Hn na, Y0 cng tun theo phn phi chun vi gi tr trung bnh v phng sai tnh tng ng
theo (5.10.1) v (5.10.6). Thay 2 cho gi tr cha bit 2, suy ra
Y0 Y0
se(Y0 Y )
cng tun theo phn phi t. Do vy, phn phi t c th c dng suy lun v gi tr ng ca
Y0. Tip tc v d tiu dng - thu nhp, ta thy rng d on im ca Y0 l 75,3645, ging nh Y0 ,
v phng sai ca n l 52,6349 (ngi c phi chng minh c php tnh ny). Do , khong
tin cy 95% ca Y0 tng ng vi X0 = 100 l
(58,6345 Y0 X0 = 100 92,0945)
(5.10.7)
So snh khong ny vi (5.10.5), ta thy khong tin cy ca gi tr ring l Y0 rng hn

khong tin cy ca gi tr trung bnh Y0. (Ti sao?) Tnh cc khong tin cy ny ging nh (5.10.7)
vi cc gi tr X trong Bng 3.2, ta c di tin cy 95% cho cc gi tr ring l ca Y tng ng vi
Damodar N. Gujarati
22
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

cc gi tr ca X. Di tin cy ny cng vi di tin cy ca Y0 tng ng vi cng gi tr X c

minh ha trong Hnh 5.6.
Lu ti c im quan trng ca cc di tin cy trong Hnh 5.6. B rng ca cc di ny
nh nht khi X0 = X (Ti sao?) Tuy nhin, b rng ln ln nhanh chng khi X0 tin xa khi X (Ti
sao?). S thay i ny cho thy kh nng d on ca ng hi quy mu lch s gim mnh khi
X0 ngy cng xa vi X . Do vy, ta phi rt cn thn khi ngoi suy ng hi quy lch s
d on E(Y X0) tng ng vi gi tr cho trc X0 khc xa vi trung bnh mu X .
Khong tin cy ca
gi tr trung bnh Y
Khong tin cy ca
gi tr c bit Y
X
HNH 5.6
Cc khong (di) tin cy ca gi tr trung bnh ca Y v gi tr ring l ca Y.
5.11 BO CO CC KT QU CA PHN TCH HI QUY

C nhiu cch khc nhau bo co cc kt qu ca phn tch hi quy, nhng trong cun sch ny
ta s s dng nh dng sau, vn dng v d tiu dng - thu nhp trong Chng 3 nh mt minh
ha:
Yi
se
t
p
=
=
=
=
24,4545
+
0,5091Xi
(6,4138)
(0,0357)
(3,8128)
(14,2405)
(0,002571)
(0,000000289)
r2 = 0,9621
(5.11.1)
s bc t do (df) = 8
F1,8 = 202,87
Trong phng trnh (5.11.1), cc con s trong tp hp u tin trong ngoc l cc sai s chun c
lng ca cc h s hi quy, cc con s trong tp hp th hai l cc gi tr t c lng tnh t
(5.3.2) theo gi thit khng l gi tr tng th ng ca mi h s hi quy bng 0 (v d, 3,8128 =
24,4545 6,4138), v cc s liu trong tp hp th ba l cc gi tr p c lng. Nh vy, vi 8 bc
Damodar N. Gujarati
23
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

t do, xc sut t c gi tri t l 3,8128 hay ln hn l 0,0026 v xc sut t c gi tr t bng

14,2405 hay ln hn l vo khong 0,0000003.
Bng cch xc nh cc gi tr p ca cc h s t c lng, ta c th thy ngay lp tc mc
ngha chnh xc ca tng gi tr t c lng. Nh vy, theo gi thit khng l gi tr ng ca tung
gc tng th bng 0, xc sut chnh xc (ngha l gi tr p) t c gi tr t l 3.8128 hay ln
hn ch vo khong 0,0026. Do vy, nu ta bc b gi thit khng ny, xc sut m ta phm sai lm
Loi I l vo khong 26 trong 10.000, mt xc sut rt nh. i vi tt c cc mc ch thc t, ta
c th ni rng gi tr ng ca tung gc tng th khc 0. Cng nh vy, gi tr p ca h s gc
c lng bng 0 i vi tt c cc mc ch thc t. Nu gi tr ng ca MPC tht s bng 0, c
hi t c gi tr MPC l 0,5091 s bng 0 trn thc t. Nh vy, ta c th bc b gi thit khng
l gi tr ng ca MPC bng 0.
Trong nh l 4.7, ta ch ra mi lin kt cui cng gia thng k F v t, tc l, F1,k = tk2 .
Theo gi thit khng cho rng gi tr ng ca 2 = 0, (5.11.1) cho thy gi tr F l 202,87 (vi 1
t s v 8 mu s) v gi tr t vo khong 14,24 (8 bc t do); nh d kin, gi tr F bng bnh
phng gi tr t, loi tr cc sai s do lm trn. Bng ANOVA c tho lun trn.
5.12 NH GI CC KT QU CA PHN TCH HI QUY

Trong Hnh 1.4 ca Phn gii thiu, ta phc ha c cu ca vic lp m hnh kinh t lng. Ta
trnh by cc kt qu ca phn tch hi quy trong v d tiu dng - thu nhp trong (5.11.1). By
gi, ta mun t cu hi v s thch hp ca m hnh. M hnh ph hp ti u? tr li cu hi
ny, ta cn mt s tiu ch.
Th nht, du ca cc h s c lng c ph hp vi cc k vng l thuyt hay tin
nghim khng? Mt s tin ngim l 2, xu hng tiu dng bin t (MPC) trong hm tiu dng,
phi dng. Trong v d ny, 2 tnh c l s dng. Th hai, nu l thuyt ni rng mi quan h
khng nhng ch ng bin m cn phi c ngha thng k th v d a ra c nm trong trng
hp ny khng? Nh tho lun trong Mc 5.11, MPC khng ch dng m cn khc 0 ng k
v mt thng k; gi tr p ca gi tr t c lng v cng nh. Lp lun cng ng cho tung gc.
Th ba, m hnh hi quy gii thch bin thin trong chi tiu cho tiu dng tt n u? Ta c th
dng r2 tr li cu hi ny. Trong v d, r2 vo khong 0.96. y l gi tr rt cao khi gi tr cc
i ca r2 l 1.
Nh vy, m hnh m ta la chn gii thch hnh vi chi tiu tiu dng t ra kh tt.
Nhng trc khi quyt nh, ta cn mun tm xem m hnh c tha mn cc gi thit v m hnh c
in v hi quy tuyn tnh chun (CNLRM) hay khng? Ta s khng xem xt cc gi thit khc
nhau by gi bi v m hnh r rng qu n gin. Nhng c mt gi thit m ta cn kim tra, l
quy lut chun ca yu t nhiu, ui. Nh li rng cc kim nh t v F s dng trc y yu cu
rng sai s tun theo phn phi chun, Nu khng, th tc kim nh s khng c gi tr i vi cc
mu nh, hay mu c gii hn.
Kim nh quy lut chun

Mc d c mt s cc kim nh v quy lut chun, ta s ch xem xt hai loi: (1) kim nh
ph hp Chi-bnh phng v (2) kim nh Jarque-Bera. C hai kim nh ny u s dng
phn d ui v phn phi xc sut Chi-bnh phng.
Damodar N. Gujarati
24
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

KIM NH PH HP CHI-BNH PHNG (2).19 Kim nh ny tin hnh nh sau:

Trc ht ta chy hm hi quy, tnh cc phn d, u i , v tnh lch chun ca u i ca mu [Lu :
var(u i ) (u i u ) 2 /( n 1) u i2 (n 1) , do u =0]. Sau , ta xp th t cc phn d v gp
chng thnh cc nhm (trong v d ca chng ta, tt c c su nhm) tng ng vi s cc lch
chun khi 0. (Lu : gi tr trung bnh ca cc phn d bng khng. Ti sao?) Trong v d ca
chng ta, ta c c cc s liu nh sau :
Cc phn d quan st (Oi)
Cc phn d k vng (Ei)
(Oi Ei)2/Ei
0,0
0,2
0,2
2,0
1,4
0,26
3,0
3,4
0,05
4,0
3,4
0,10
1,0
1,4
0,11
0,0
0,2
0,2
Tng = 0,92
Lu : Oi = ui , vi ui l cc phn d OLS.
Dng phn d quan st cho bit phn phi tn sut ca cc phn d i vi cc lch chun c
th ln hn v nh hn khng. Trong v d ca chng ta, khng c phn d nm ngoi 2 lch
chun nh hn khng, 2 phn d gia 1 v 2 lch chun nh hn 0, 3 phn d gia 0 v 1
lch chun nh hn khng, 4 phn d gia 0 v 1 lch chun ln hn 0, 1 phn d gia 1 v 2
lch chun ln hn 0 v khng c phn d nm ngoi 2 lch chun ln hn 0.
Cc s trong dng phn d k vng cho bit phn phi tn sut ca cc phn d trn c s
ca phn phi xc sut gi thit, trong trng hp ny c dng chun. 20 Trong hng th ba, ta tnh
hiu s gia cc tn sut quan st v k vng, bnh phng cc hiu s ny ri chia cho cc tn sut
k vng v cng chng li. V mt i s, ta c:
(Oi Ei ) 2
Ei
i 1
k
X2
(5.12.1)
vi Oi = tn sut quan st trong lp hay khong i v Ei = tn sut k vng trong lp i trn c s ca

phn phi xc sut gi thit c dng chun. By gi, nu hiu s gia cc tn sut quan st v k
vng nh, n cho thy yu t nhiu ui c th c phn phi xc sut theo gi thit. Mt khc, nu
hiu s gia cc tn sut quan st v k vng ln, ta c th bc b gi thit khng l cc yu t
nhiu c phn phi xc sut theo gi thit. V l do ny m thng k trong (5.12.1) c gi l i
lng o ph hp bi v n cho bit mc m phn phi xc sut c gi thit ph hp vi s
liu thc t (ngha l s ph hp c tt khng?)
Gi tr X2 trong (5.12.1) phi c mc ln hay nh nh th no trc khi ta quyt nh
bc b hay khng bc b gi thit khng? Ta c th ch ra rng nu c mu tng i ln, thng k
X2 trong (5.12.1) tun theo gn ng phn phi Chi-bnh phng (2) vi (N 1) bc t do, vi N
l s lp hay nhm.21 Mt bc t do b mt do iu kin gii hn l tng s cc tn sut quan st v
k vng phi bng nhau.
19
Tho lun sau y c da vo Kenneth J. White & Linda T. M. Bui, Basic Economectrics: A Computer Handbook
Using SHAMZAM (Kinh t lng c bn: S tay my tnh s dng SHAMZAM) s dng vi Gujarati, Basic
Econometrics (Kinh t lng c bn), McGraw-Hill, New York, 1988, trang 34. Phn mm my tnh TSP cng tun
theo nhng th tc tng t.
20
SHAZAM, TSP, ET TM, v mt vi phn mm thng k c th a ra mt phn phi chun ph hp vi mt tp hp
s liu. Cc phn mm ny cng cung cp kim nh Chi-bnh phng ang c tho lun mt cch ngn gn.
Quy tc chung tm cc bc t do nh sau: s bc t do = (N 1 k), vi N l s nhm v k l s tham s c
lng. Trong trng hp ny, ta ang lm vic vi cc phn d ui . Nhng c nhng phn d ny, u tin ta phi
c lng hai i lng cha bit, 1 v 2. V vy, ta mt 2 bc t do. By gi lm ui ph hp vi phn phi chun,
21
Damodar N. Gujarati
25
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Tr li v d tiu dng - thu nhp, nh ch ra trong bng trn, ta thy gi tr ca X2 vo

khong 0,92. V ch minh ha nn ta s p dng kim nh Chi-bnh phng mc d c mu kh
nh. Ta c su nhm trong v d. C v nh s bc t do l (6 1) = 5. Nhng nh lu trong
ch thch 21, ta mt 3 bc t do na --- 2 do ta phi c lng 1 v 2 trc khi c th tnh cc
phn d u i v 1 do ta s dng s liu c lng lch chun ca cc phn d. By gi vi
2 bc t do, gi tr p t c mt gi tr Chi-bnh phng bng hoc ln hn 0,92 l vo
khong 0,63. Do xc sut ny kh cao, s khc bit gia cc gi tr quan st v k vng ca cc
phn d khng nghim trng ta bc b gi thit v quy lut chun.
(23)
(12)
(01)
(01)
(12)
(23)
HNH 5.7
Phn phi cc phn d t v d tiu dng - thu nhp, s cc lch chun () nh v ln hn 0.
Mt cch ngu nhin, trc khi p dng kim nh Chi-bnh phng va m t, ta c th n gin
v cc phn d quan st trong bng trn di dng th ct nh trong Hnh 5.7. Nh hnh cho
thy, cc phn d quan st (tnh theo n v lch chun khi 0) c v gn ng vi phn phi
chun. Thng th mt bc tranh minh ha nh th l mt cch tt tm hiu khng chnh thc v
hnh dng ca phn phi xc sut ca mt bin ngu nhin.
KIM NH JARQUE-BERA V QUY LUT CHUN.22 Kim nh JB v quy lut chun l
mt kim nh tim cn hay kim nh mu ln. N cng c da trn cc phn d OLS. Trc
ht, kim nh ny tnh lch (slewness) v nhn (kurtosis) ca phn phi xc sut (m t
trong Ph lc A) ca cc phn d OLS v s dng thng k kim nh sau:
S 2 ( K 3) 2
n
JB =
24
6
(5.12.2)
vi S l lch v K l nhn.
ta phi c lng cc tham s ca phn phi chun, tc l gi tr trung bnh v phng sai. Nhng do gi tr trung bnh
ca ui bng 0 (ti sao?), ta ch phi tnh phng sai. Do vy, ta mt 1 bc t do. T , ta mt k = 3 bc t do. Vi N =
6, s bc t do l (6 1 3) = 2. V cch s dng kim nh Chi-bnh phng tnh ph hp, xem mi cun sch
gii thiu v thng k.
22
Xem C. M. Jarque & A. K. Bera, A Test for Normality of Obserations and Regression Residuals (Mt kim nh
quy lut chun ca cc quan st v phn d hi quy), International Statistical Review (Tp ch Thng k Quc t), s
55, 1987, trang 163-172.
Damodar N. Gujarati
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Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Do i vi mt phn phi chun gi tr ca lch bng 0 v gi tr ca nhn bng 3, (K

3) i din cho nhn tri trong (5.12.2). Theo gi thit khng l cc phn d c phn phi
chun, Jarque v Bera ch ra rng mt cch tim cn (ngha l trong cc mu ln), thng k JB
trong (5.12.2) tun theo phn phi Chi-bnh phng vi 2 bc t do. Nu gi tr p ca thng k Chibnh phng tnh c trong mt ng dng c gi tr nh, ta c th bc b gi thit l cc phn
d c phn phi chun. Nhng nu gi tr p tng i ln, ta khng bc b gi thit v quy lut
chun.
Tr li vi v d tiu dng - thu nhp, ta tnh c (s dng phn mm SHAZAM, TSP,
hay ET) gi tr JB l 0,7769. Nu mu tng i ln, gi tr p t c mt gi tr Chi-bnh
phng nh vy vi 2 bc t do vo khong 0,6781, mt xc sut kh ln. Do vy, mt cch tim
cn ta khng bc b gi thit v quy lut chun.
Cc kim nh khc v s ph hp ca m hnh

Nh rng m hnh c in v hi quy tuyn tnh chun (CNLRM) a ra nhiu gi thit ch khng
ch quy lut chun ca s hng sai s. Khi pht trin l thuyt kinh t lng su hn, ta s xem xt
mt vi kim nh khc v s ph hp ca m hnh. Cho ti khi , hy lu rng vic lp m
hnh hi quy ca chng ta c da vo mt vi gi thit n gin ha, nhng gi thit c th
khng ng trong tng trng hp c th.
5.13 TM TT V KT LUN
1. c lng v kim nh gi thit l hai nhnh quan trng ca thng k c in. Sau khi tho
lun vn trong Chng 3 v 4, ta phn tch vn kim nh gi thit trong chng ny.
2. Kim nh gi thit tr li cu hi sau: kt qu tm c c tng thch vi mt gi thit
c pht biu hay khng?
3. C hai phng php b sung cho nhau tr li cu hi trn: khong tin cy v kim nh
ngha.
4. ng sau phng php khong tin cy l khi nim c lng khong. Mt c lng khong
l mt khong hay mt di c thit lp lm sao c mt xc sut c th cha trong gii hn
ca n gi tr ng ca mt tham s cha bit. Khong ny c gi l khong tin cy, thng
c pht biu di dng phn trm, nh 90 hay 95%. Khong tin cy cung cp mt tp hp
cc gi thit hp l v gi tr ca tham s cha bit. Nu gi tr theo gi thit khng nm trong
khong tin cy, gi thit khng s khng b bc b, tri li nu n nm ngoi khong ny, gi
thit khng c th b bc b.
5. Trong th tc kim nh ngha, ngi ta xy dng mt thng k kim nh v xem xt phn
phi mu ca n theo gi thit khng. Kim nh thng k thng tun theo mt phn phi xc
sut xc nh nh phn phi chun, t, F, hay Chi-bnh phng. Khi mt thng k kim nh (v
d thng k t) c tnh t s liu c, gi tr p ca n c th c tnh mt cch d dng.
Gi tr p cho ta xc sut chnh xc t c mt kim nh thng k c lng theo gi thit
khng. Nu gi tr p ny nh, ta c th bc b gi thit khng, nhng nu gi tr p ln ta c th
khng bc b n. Trong vic la chn gi tr p nh iu tra phi lu ti xc sut phm sai lm
Loi I v Loi II.
Damodar N. Gujarati
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Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

6. Trn thc t, ta phi cn thn khi c nh , xc sut phm sai lm Loi I, nhng gi tr ty
nh 1, 5, hay 10%. Tt hn l a ra gi tr p ca thng k kim nh. ng thi, ngha thng
k ca mt c lng khng th c nhm ln vi ngha thc tin ca n.
7. Tt nhin, kim nh gi thit mc nh rng m hnh la chn cho nghin cu thc nghim l
ph hp trn kha cnh l n khng vi phm mt hay nhiu gi thit ca m hnh c in v hi
quy tuyn tnh chun. Chng ny gii thiu mt trong cc kim nh , kim nh quy lut
chun, tm xem i lng sai s c tun theo phn phi chun hay khng. Do trong cc mu
nh, hay mu gii hn, cc kim nh t, F, v Chi-bnh phng yu cu gi thit v quy lut
chun, vic kim nh gi thit ny mt cch chnh thc l iu quan trng.
8. Nu m hnh ph hp trn thc t, n c th c s dng cho cc mc ch d bo. Nhng
trong khi d bo cc gi tr tng lai ca bin c hi quy, ta khng c i qu xa khi phm
vi mu ca cc gi tr dng lm hi quy. Nu khng, cc sai s d bo c th tng ln kh mnh.
BI TP
Cu hi
5.1. Cho bit v gii thch l do cc pht biu sau l ng, sai, hay khng chc chn. Hy pht biu chch
xc.
(a) Kim nh ngha t tho lun trong chng ny yu cu rng phn phi cc c lng 1 v 2
ca mu tun theo phn phi chun.
(b) Mc d yu t nhiu trong m hnh c in v hi quy tuyn tnh chun (CNRM) khng c phn
phi chun, cc c lng OLS vn khng thin lch.
(c) Nu m hnh hi quy khng c tung gc, cc ui c lng (= ui ) s khng c tng bng khng.
(d) Gi tr p v ln ca thng k kim nh c ngha nh nhau.
(e) Trong mt m hnh hi quy c tung gc, tng cc phn d lun lun bng khng.
(f) Nu mt gi thit khng khng b bc b th n ng.
(g) Gi tr 2 cng cao th phng sai 2 trong (3.3.1) cng ln.
(h) Trung bnh c iu kin v khng c iu kin ca mt bin ngu nhin c ngha nh nhau.
(i) Trong hm hi quy tng th hai bin PRF, nu h s gc 2 bng khng, tung gc c c
lng bng gi tr trung bnh mu Y
(j) Phng sai c iu kin, var(Yi Xi) = 2, v phng sai khng iu kin ca Y, var(Y) = Y2 , s
nh nhau nu X khng c tc ng ti Y.
5.2. Thit lp bng ANOVA theo cch trong Bng 5.4 cho m hnh hi quy trong (3.7.2) v kim nh gi
thit cho rng chi tiu tiu dng c nhn v tng sn phm quc dn ca nn kinh t Hoa K trong giai
on 1980-1991 khng c lin quan.
5.3. Xem xt cc kt qu hi quy sau i vi nn kinh t Hoa K trong giai on 1968-1987 ( Y = chi tiu
ca Hoa K i vi hng ha nhp khu v X = thu nhp kh dng c nhn, c hai u tnh bng t
la, gi c nh 1982):
Yt = 261,09
se =
t =
0,2453Xt
(31,327)
(
)
(
)
(16,616)
r2 = 0,9388
n = 20
(a) in s vo cc trng trong ngoc.

(b) Bn gii thch h s 0,2453 nh th no? V h s 261,09?
(c) C bc b gi thit cho rng gi tr ng ca h s gc bng 0 hay khng? S dng kim nh no?
Ti sao? Gi tr p ca thng k kim nh ca bn bng bao nhiu?
Damodar N. Gujarati
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Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

(d) Thit lp bng ANOVA cho v d ny v kim nh gi thit cho rng gi tr ng ca h s gc

bng 0. Bn s dng kim nh no v ti sao?
(e) Cc cu tr li trong (a) v (b) c mu thun vi nhau khng? Nu khng, iu g gii thch s
iu ha gia hai cu tr li?
(f) Gi s trong hi quy va nu, gi tr r2 khng c cho bit. Bn c th tnh c n t cc kt
qu khc trong hi quy khng?
5.4. Gi 2 l gi tr ng ca h s tng quan tng th. Gi s bn mun kim nh gi thit l = 0.
Gii thch bng li ni lm th no bn kim nh gi thit ny. Gi : S dng phng trnh (3.5.11).
Xem ng thi bi tp 5.7.
5.5. Ci c gi l ng c tnh ca phn tch u t hin i ch n gin l ng hi quy thit lp t
m hnh sau:
rit = i + irmt + ut
vi rit = sut sinh li ca chng khon th i vo thi gian t
rmt = sut sinh li trung bnh ca cc chng khon trn th trng vo thi gian t
ut = yu t nhiu ngu nhin
Trong m hnh ny i c gi l h s b ta ca chng khon th i, mt i lng o ri ro th
trng (hay h thng) ca mt chng khon.*
Da vo 240 sut sinh li hng thng trong thi k 1956-1976, Fogler & Ganapathy tnh ng
c tnh sau cho c phiu IBM trong quan h vi ch s chng khon th trng do i hc Chicago
xy dng:
r2 = 0,4710
s bc t do = 238
F1,238 = 211,896
(a) Mt chng khon c h s b ta ln hn 1 c gi l chng khon d bin ng hay nng ng.
IBM c phi l chng khon d bin ng khng trong khong thi gian ta nghin cu?
(b) H s tung gc c khc 0 v ngha hay khng? Nu c, ngha thc t ca n l g?
rit = 0,7264 + 1,0598rmt
se = (0,3001) (0,0728)
5.6. Phng trnh (5.3.5) cng c th vit di dng

Pr[ 2 t/2se( 2 ) < 2 < 2 + t/2se( 2 )] = 1
Tc l, bt ng thc yu () c thay th bng bt ng thc mnh (<). Ti sao?
5.7. R. A. Fisher tnh phn phi mu ca h s tng quan nh ngha trong (3.5.13). Nu gi s rng
cc bin X v Y ng thi phn phi xc sut theo quy lut chun, tc l nu chng thuc phn phi
chun ca hai i ng ngu nhin (xem Ph lc 4A, bi tp 4.1), th theo gi thit l h s tng
quan tng th bng 0, c th chng minh rng t r n 2 / 1 r 2 tun theo phn phi t ca
Student vi n 2 bc t do.** Chng minh rng gi tr t ng nht vi gi tr t trong (5.3.2) trong gi
thit khng cho rng 2 = 0. Sau , chng t rng vi cng gi thit khng F = t2. (Xem Mc 5.9).
Xem Haim Levy & Marshall Sarnat, Portfolio and Investment Selection: Theory and Pratice (C cu chng khon v
la chn u t: l thuyt v thc tin), Prentice-Hall International, Englewood Cliffs, N.J., 1984, Chng 12.
H. Russell Fogler & Sundaram Ganapathy, Financial Econometrics (Kinh t lng ti chnh), Prentice-Hall,
Englewood Cliffs, N.J., 1982, trang 13.
Nu tht s bng 0, Fisher chng minh rng r tun theo cng mt phn phi t vi iu kin mt trong hai bin X
hay Y c phn phi chun. Nhng nu khc 0, c hai bin phi c phn phi chun. Xem R. L. Anderson & T. A.
Bancroft, Statistical Theory in Research (L thuyt thng k trong nghin cu), McGraw-Hill, New York, 1952, trang
87-88.
**
Damodar N. Gujarati
29
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Bi tp
5.8. Tham kho hm cu i vi c ph trong phng trnh (3.7.1).
(a) Thit lp cc khong tin cy 95% ring l cho 1, 2 v 2.
(b) S dng phng php khong tin cy kim nh gi thit cho rng gi c ph khng c tc ng
g ti mc tiu dng c ph.
(c) Lm li cu (b), s dng phng php kim nh ngha. Bn s dng kim nh no v ti sao?
Ly = 5%.
(d) Gi tr p ca thng k kim nh tnh trong cu (c) bng bao nhiu? Nu gi tr p ny nh hn ,
bn c kt lun g?
(e) Thit lp bng ANOVA cho bi tp ny v kim nh gi thit 2 = 0. C mu thun gia cu tr
li ny vi cu (b) khng?
(f) Thay cho vic kim nh gi thit khng 2 = 0, bn c th kim nh gi thit cho rng gi tr
ng ca h s tt nh (coefficient of determination) bng 0 c khng?
(g) Gi s bn bc b gi thit khng l 2 = 0. Bn cng c th bc b gi thit l 2 = 1 c
khng? Bn s dng kim nh no cho gi thit th hai?
(h) Bn c th kim nh gi thit l 2 = 1 s dng kim nh F ca ANOVA c khng? Ti sao
hay ti sao khng?
5.9. T bi tp 3.19
(a) c lng hai hi quy a ra , tnh cc kt qu thng thng nh cc sai s chun, v.v
(b) Kim nh gi thit l cc yu t nhiu trong hai m hnh hi quy c phn phi chun.
(c) Trong hi quy gi vng, kim nh gi thit l 2 = 1, tc l c mi quan h mt - mt gia gi vng v
ch s gi tiu dng - CPI (ngha l vng c bo m hon ho v gi tr). Gi tr p ca thng k
kim nh c lng bng bao nhiu?
(d) Lp li bc (c) cho hi quy ch s NYSE (Th trng Chng khon New York). u t vo th trng
c phiu c c bo m hon ho chng li lm pht hay khng? Bn ang kim nh gi thit
khng no? Gi tr p bng bao nhiu?
(e) Gia vng v c phiu, bn la chn loi u t no? u l c s cho quyt nh ca bn?
5.10. Tham kho Bi tp 3.20. Lp bng ANOVA kim nh gi thit l thay i mc cung tin khng
c tc ng ti gi tiu dng ti Nht Bn trong khong thi gian nghin cu.
5.11. Tham kho Bi tp 3.21.
(a) Gia s hu in thoi v GDP bnh qun u ngi Singapore trong thi k 1960-1981 c quan
h khng? Lm sao bit c?
(b) Gi s GDP thc bnh qun u ngi trong nm 1982 l 5.752 USD. Gi tr trung bnh c
lng ca Y, s lng in thoi trong 1.000 dn, bng bao nhiu trong nm ? Thit lp mt
khong tin cy 95% cho c lng ny.
5.12. Tham kho Bi tp 1.1. i vi mi quc gia, c lng m hnh sau:
Yt = 1 + 2Xt + ut
vi Yt = t s lm pht trong thi gian t
Xt = thi gian, ly gi tr 1, 2,, 21
ut = s hng nhiu ngu nhin
(a) Bn c th a ra cc kt lun tng qut no v tc ng ca lm pht ti tng quc gia?
(b) i vi hi quy ca tng quc gia, kim nh gi thit cho rng 2, h s xu hng, ln hn 0.
(S dng mc ngha 5%)
Damodar N. Gujarati
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Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

5.13. Tip tc vi s liu trong Bi tp 1.1 v c lng hi quy sau:

Yit = 1 + 2Xt + ut
vi Yit = t s lm pht ti quc gia i, i l Anh Quc, Nht Bn, c, hay Php.
Xt = t s lm pht ti Hoa K.
(a) i vi tng hi quy, gia t s lm pht ca tng quc gia ny vi t s lm pht ca Hoa K c
mi quan h khng?
(b) Bn tin hnh kim nh mi quan h mt cch chnh thc nh th no?
(c) Bn c th s dng d bo t s lm pht ca 4 quc gia sau nm 1980 c khng? Ti sao
hay ti sao khng?
5.14. Bng sau cung cp s liu GNP v bn nh ngha v lng cung tin i vi Hoa K trong thi k
1970-1983.
GNP v bn i lng o lng cung tin
Thc o lng cung tin, t USD
GNP,
Nm
t USD
M1
M2
M3
1970
1971
1972
992,7
1.077,6
1.185,9
216,6
230,8
252,0
628,2
712,8
805,2
677,5
776,2
886,0
816,3
903,1
1.023,0
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1.326,4
1.434,2
1.549,2
1.718,0
1.918,3
2.163,9
2.417,8
2.631,7
2.957,8
3.069,3
3.304,8
265,9
277,6
291,2
310,4
335,4
363,1
389,1
414,9
441,9
480,5
525,4
861,0
908,5
1.023,3
1.163,6
1.286,7
1.389,1
1.498,5
1.632,6
1.796,6
1.965,4
2.196,3
985,0
1.070,5
1.174,2
1.311,9
1.472,9
1.647,1
1.804,8
1.990,0
2.238,2
2.462,5
2.710,4
1.141,7
1.247,3
1.367,9
1.516,6
1.704,7
1.910,6
2.117,1
2.326,2
2.599,8
2.870,8
3.183,1
nh ngha:
M1 = tin mt + tin gi khng k hn + sc du lch v cc loi tin gi c rt sc khc (OCDs)
M2 = M1 + Hp ng mua li chng khon (RP) 1 ngy m v Eurodollar + s d ca MMMF (qu
h tng trn th trng tin t) + MMDAs (cc ti khon tin gi trn th trng tin t) + tit
kim v tin gi nh
M3 = M2 + tin gi c k hn ln + Hp ng mua li chng khon c k hn + MMMF nh ch
L = M3 + cc ti sn thanh khon khc
Ngun: Economic Report of the PresidentI (Bo co Kinh t ca Tng thng), 1985, s liu GNP ly t Bng B-1, trang 232;
s liu lng cung tin ly t Bng B-61, trang 303.
Thc hin hi quy GNP theo cc nh ngha v lng cung tin khc nhau, ta c cc kt qu trong
bng sau:
Hi quy GNP - lng cung tin, 1970-1983
1) GNPt = 787,4723
(77,9664)
+ 8,6063M1t
(0,2197)
r2 = 0,9912
2) GNPt = 44,0626
+ 1,5875 M2t
r2 = 0,9905
Damodar N. Gujarati
31
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
(61,0134)
Cc phng php nh lng

Bi c

(0,0448)
3) GNPt = 159,1366
(42,9882)
+ 1,2034 M3t
(0,0262)
r2 = 0,9943
4) GNPt = 164,2071
(44,7658)
+ 1,0290 Lt
(0,0234)
r2 = 0,9938
Ghi ch: Cc s liu trong ngoc l sai s chun c lng.
Cc nh kinh t hc tin t hay cc nh ng h l thuyt nh lng cho rng thu nhp danh ngha
(ngha l GNP danh ngha) c xc nh phn nhiu bi thay i lng cung tin, mc d khng c
s nht tr trong nh ngha ng v tin t. Vi cc kt qu bng trn, tr li cc cu hi sau:
(a) nh ngha no v tin t c v c quan h mt thit vi GNP danh ngha?
(b) Do i lng r2 c gi tr cao mt cch ng nht, c phi n c ngha l s la chn nh ngha
tin t ca chng ta khng lm thay i g c?
(c) Nu H thng D tr Lin bang (Fed) mun kim sot lng cung tin, i lng o tin t no l
i tng tt nht cho mc tiu ny? Bn c th suy ra t cc kt qu hi quy c khng?
5.15. Gi s phng trnh ca mt ng ng dng gia hai hng ha l
XiYi = 1 + 2Xi
Bn lm th no c lng cc thng s ca m hnh ny? p dng m hnh trn cho cc s liu
sau v bnh lun cc kt qu ca bn:
Tiu dng hng ha X

Tiu dng hng ha Y
1
4
2
3,5
3
2,8
4
1,9
5
0,8
5.16. ng th trng vn (CML) ca l thuyt u t chng khon * mc nh mt mi quan h tuyn tnh

gia sut sinh li k vng v ri ro (tnh bng lch chun) cho c cu u t chng khon hiu qu
nh sau:
Ei = 1 + 2i
vi Ei = sut sinh li k vng ca chng khon i v i = lch chun ca sut sinh li. Sau y l s
liu v sut sinh li k vng v lch chun ca sut sinh li ca c cu chng khon ca 34 qu h
tng (qu u t chung) ti Hoa K trong giai on 1954-1963. Kim tra xem s liu c h tr l
thuyt hay khng.
5.17. Tham kho bi tp 3.22. S dng s liu trong , c lng m hnh xut i vi GDP tnh theo
la hin hnh trong giai on 1972-1986. S dng m hnh c lng, tnh cc gi tr d bo ca
GDP tnh theo gi hin hnh cho cc nm 1987, 1988, 1989, 1990, 1991 v so snh chng vi cc gi
tr thc t.
Kt qu hot ng ca 34 qu h tng, 1954-1963
Sut sinh li
lch chun
bnh qun nm ca sut sinh li
(%)
hng nm (%)
Tn qu
Affiliated Fund
American Business Shares
14,6
10,0
15,3
9,2
Xem William F. Sharpe, Portfolio Theory and Capital Markets (L thuyt u t chng khon v th trng vn),
McGraw-Hill, New York, 1970, trang 83.
Damodar N. Gujarati
32
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c
Axe-Houghton, Fund A
Axe-Houghton, Fund B
Axe-Houghton, Stock Fund
Bosten Fund
Board Street Investing
Bullock Fund
Commonwealth Investment Company
Delaware Fund
Dividend Shares
Eaton and Howard Balanced Fund
Eaton and Howard Stock Fund
Equity Fund
Fidelity Fund
Financial Industrial Fund
Fundamental Investors
Group Securities. Common Stock Fund
Group Securities. Fully Administered Fund
Incorporated Investors
Investment Company of America
Investors Mutual
Loomis-Sales Mutual Fund
Massachusetts Investors Trust
Massachusetts Investors-Growth Stock
National Investors Corporation
National Securities-Income Series
New England Fund
Putnam Fund of Boston
Scudder, Stevens & Clark Balanced Fund
Selected American Shares
United Funds-Income Fund
Wellington Fund
Wisconsin Fund

10,5
12,0
11,9
12,4
14,8
15,7
10,9
14,4
14,4
11,0
15,2
14,6
16,4
14,5
16,0
15,1
11,4
14,0
17,4
11,3
10,0
16,2
18,6
18,3
12,4
10,4
13,1
10,7
14,4
16,1
11,3
13,8
13,5
16,3
15,6
12,1
16,8
19,3
13,7
21,4
15,9
11,9
19,2
18,7
23,5
23,0
21,7
19,1
14,1
25,5
21,8
12,5
10,4
20,8
22,7
19,9
17,8
10,2
16,0
13,3
19,4
20,9
12,0
16,9
Ngun: William F. Sharpe, Mutual Fund Performance, Journal of Business (Kt qu hot ng
ca cc qu h tng, Tp ch Kinh doanh), thng 1 nm 1966, ph trng, trang 125.
5.18. T nm 1986, Tp ch the Economist (Nh kinh t) xut bn Ch s Big Mac nh l mt i lng o
th v vui nhn xem cc ng tin quc t c vo t gi hi oi ng ca chng khng, nh
theo l thuyt cn bng sc mua (PPP). L thuyt PPP cho rng mt n v tin t phi c kh nng
mua cng mt nhm hng ha tt c cc nc. Nhng ngi xut PPP lp lun rng, trong thi
gian di hn, cc ng tin c xu hng dch chuyn v gi tr PPP ca chng. Tp ch the Economist
s dng ch s Big Mac ca McDonald nh l mt nhm i din v a ra thng tin sau.
Tiu chun bnh m kp (hamburger)
Gi Big Mac
bng ni t* bng USD
UNITED STATES
Damodar N. Gujarati
USD2,30
2,30
33
T gi hi
oi thc t
5/4/94
PPP
quy cho
ca USD
Ph gi (-)/Nng
gi (+)** Ni t
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Argentina
c
o
B
Brazil
Anh Quc
Canada
Chil
Trung Quc
CH Sc
an Mch
Php
c
Thy S
H Lan
Hng Kng
Hungary
Nht Bn
Malaysia
Mhic
Ba Lan
B o Nha
Nga
Singapore
Hn Quc
Ty Ban Nha
Thy in
Thy S
i Loan
Thi Lan
Cc phng php nh lng

Bi c
Peso3,60
A$2,45
Scl34,00
BFr109
Crl,500
1,81
C$2,86
Peso948
Yuan9,00
CKr50
DKr25,75
FFr 18,5
DM4,60
Dr620
F15,45
HK$9,20
Forintl69
Lire4,550
V391
M$3,77
Peso8,1 0
Zloty31.000
Esc440
Rouble2.900
$2,98
Won2.300
Ptas345
Skr25,5
SFr5,70
NT$62
Baht48
3,60
1,72
2,84
3,10
1,58
2,65
2,06
2,28
1,03
1,71
3,85
3,17
2,69
2,47
2,85
1,19
1,66
2,77
3,77
1,40
2,41
1,40
2,53
1,66
1,90
2,84
2,50
3,20
3,96
2,35
1,90

1,00
1,42
12,00
35,20
949,00
1.46
1,39
414,00
8,70
29,70
6,69
5,83
1,71
251,00
1,91
7,73
103,00
1.641,00
104,00
2,69
3,36
2,69
174,00
17.775,00
1,57
810,00
138,00
7,97
1,44
26,40
25,30
1,57
1,07
14,80
47,39
652,00
1.27
1,24
412,00
3,91
217,00
11,20
8,04
2,00
270,00
2,37
4,00
73,48
1.978,00
170,00
1,64
3,52
13.478,00
191,00
1.261,00
1,30
1.000,00
150,00
11,10
2,48
26,96
20,87
+57
-25
+23
-35
-31
+15
-10
-1
-55
-27
+67
+38
+17
+8
+24
-48
-29
+21
+64
-39
+5
-40
+10
-29
-17
+24
+9
+39
+72
+2
-17
Gi c thay i trong ni a.
Cn bng sc mua: gi ni a chia cho gi ti Hoa K.
**
So vi la.
Trung bnh ca New York, Chicago, San Francisco, v Atlanta.
la/pound.
Ngun: McDonald v Tp ch The Economist, 9/4/1994, trang 88.
Xem xt m hnh hi quy sau:

Yi = 1 + 2Xi + ui
vi Y = t gi hi oi thc t v X = PPP quy cho ca la.
(a) Nu PPP ng, bn c mt tin nghim g v gi tr ca 1 v 2?
(b) Cc kt qu hi quy c h tr c on ca bn khng? Bn s dng kim nh chnh thc no
kim nh gi thit ca mnh?
(c) Tp ch the Economist c nn tip tc xut bn Ch s Big Mac khng? Ti sao hay ti sao khng?
Damodar N. Gujarati
34
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

5.19. Tham kho s liu S.A.T trong bi tp 2.16. Gi s bn mun d on im ton ca hc sinh nam (Y)
trn c s im ton ca hc sinh n (X) bng cch chy hi quy sau:
Yi = 1 + 2Xt + ut
(a) c lng m hnh trn.
(b) T cc phn d c lng, xc nh xem gi thit v quy lut chun c ng vng khng?
(c) By gi, kim nh gi thit l 2 = 1, tc l, c s tng ng mt - mt gia im ton ca hc
sinh nam v n.
(d) Thit lp bng ANOVA cho bi tp ny.
5.20. Lp li bi tp trn nhng vi Y v X i din cho im vn p tng ng ca hc sinh nam v n.
PH LC 5A
5A.1 NGUN GC PHNG TRNH (5.3.2)

t
Z1
2 2
( 2 2 )
2
i
(1)
se( 2 )
2
Z 2 ( n 2) 2
(2)
Vi bit, Z1 tun theo phn phi chun ha; tc l Z1 ~ N(0, 1). (Ti sao?) Z2 tun theo
phn phi 2 vi (n 2) bc t do. ( chng minh xem ch thch 5). Hn na, ta c th ch ra
rng Z2 c phn phi c lp vi Z1.* Do vy, theo nh l 4.5, bin s
Z1 n 2
(3)
Z2
tun theo phn phi t vi n 2 bc t do. Thay th (1) v (2) vo (3), ta c phng trnh 5.3.2).
5A.2 NGUN GC PHNG TRNH (5.9.1)
Phng trnh (1) cho bit Z1 ~ N(0, 1). Do vy, theo nh l 4.3,
Z
2
1
( 2 2 ) 2 xi2
tun theo phn phi 2 vi 1 bc t do. Nh cp trong Mc 5A.1,
2 u i
2
2
Z 2 (n 2)
cng tun theo phn phi 2 vi n 2 bc t do. Hn na, nh lu trong Mc 4.3., Z2 c phn
phi c lp vi Z1. Do vy, p dng nh l 4.6, ta c
*
chng minh, Xem J. Johnston, Econometric Methods (Cc phng php Kinh t lng), MacGraw-Hill, in ln th
3, NewYork, 1984, trang 181-182 (Cn c kin thc i s ma trn theo di chng minh ny)
Damodar N. Gujarati
35
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

( 2 2 ) 2 ( xi2 )
Z 12 / 1
F
Z 2 /( n 2)
u i2 /( n 2)
tun theo phn phi F tng ng vi 1 v n 2 bc t do. Theo gi thit khng H0: 2 = 0, t l F
trn rt gn thnh phng trnh (5.9.1).
5.A.3. NGUN GC PHNG TRNH (5.10.2) V (5.10.6)

Phng sai ca d bo gi tr trung bnh
Vi Xi = X0, gi tr ng ca d bo trung bnh E(Y0 X0) c tnh bi:
E(Y0 X0) = 1 + 2X0
(1)
Y0 1 2 X 0
(2)
Ta c lng (1) t
Ly k vng ca (2), vi X0 cho trc, ta c

E( Y0 ) = E( 1 ) + E( 2 )X0
= 1 + 2X0
Bi v 1 v 2 l cc c lng khng thin lch, V vy
E( Y0 ) = E(Y0 X0) = 1 + 2X0
(3)
Tc l, Y0 l mt i lng d bo khng thin lch ca E(Y0 X0).

By gi bng cch s dng tnh cht
Var (a+b) = Var (a) + Var (b) +2 Covar (a,b)
Chng ta thu c
Var ( Y0 ) = Var ( 1 ) + Var ( 2 ) X 02 +2 Covar ( 1 , 2 ) X0
By gi, s dng cc cng thc v phng sai v ng phng sai (tch sai) ca 1 v 2
trong (3.3.1), (3.3.3) v (3.3.9) v bin i cc s hng, ta c
2
0 ) 2 1 (X 0 X )
var(Y
xi2
n
= (5.10.2)
Phng sai ca d bo im c bit

Ta mun d bo gi tr c bit Y tng ng vi X = X0, tc l, ta mun tnh c
Y0 = 1 + 2X0 + u0
(5)
Ta d bo n nh sau
Damodar N. Gujarati
36
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Y0 = 1 + 2 X0
(6)
Sai s d bo, Y0 Y0 , l
Y0 Y0 = 1 + 2X0 + u0 ( 1 + 2 X0)
= (1 1 ) + (2 2 )X0 + u0
(7)
Do vy,
E(Y0 Y0 ) = E(1 1 ) + E(2 2 )X0 E(u0)
=0
do 1 , 2 khng thin lch, X0 l s c nh, v E(u0) bng 0 theo gi thit.
Bnh phng hai v ca (7) v ly k vng, ta c var(Y0 Y0 ) = var( 1 ) + X 02 var( 2 ) +
2X0 Cov(1, 2) + var(u0). S dng cc cng thc phng sai v tch sai cho 1 v 2 thit lp
trc y, v lu rng var(u0) = 2, ta c
1 (X 0 X )2
2
var(Y0 Y0 ) 1
xi2
n
Damodar N. Gujarati
37
= (5.10.6)
Bin dch: X. Thnh

Hiu nh: Cao Ho Thi

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Chng trnh Ging dy Kinh t Fulbright

Nin kha 2011-2014

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

HI QUY HAI BIN: C LNG KHONG

Nh cp trong Chng 4, c lng v kim nh gi thit l hai chuyn ngnh ln

5.1 CC IU KIN THNG K TIN QUYT

5.2 C LNG KHONG: MT S KHI NIM C BN

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

100 v 100(1 ) phn trm.

5.3 CC KHONG TIN CY CHO CC H S HI QUY 1 V 2

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

Khong tin cy cho 2

nh trnh by trong (4.3.5) l mt bin chun c chun ha. Do vy, c v nh ta c th s

sai so chuan cua c lng tnh c

vi se( 2 ) by gi biu th sai s chun c lng c. C th ch ra rng (xem Ph lc 5A, Mc

vi gi tr t nm gia bt ng thc kp ny l gi tr t tnh c t (5.3.2) v vi t/2 l gi tr ca

Mt s tc gi thch vit (5.3.5) vi s bc t do c ch r nh sau:

Nhng n gin ta s gi nguyn k hiu ca mnh; ng cnh s lm r s bc t do thch hp s dng.

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

Lp lun mt cch tng t v s dng (4.3.1) v (4.3.2), ta c th vit:

hay mt cch ngn gn hn,

Lu mt c im quan trng ca cc khong tin cy trnh by trong (5.3.6) v (5.3.8):

Hay, s dng (5.3.6), khong tin cy l:

Hay, s dng (5.3.8), ta c

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

Khong tin cy ng thi cho 1 v 2

5.4 KHONG TIN CY I VI 2

vi gi tr 2 nm gia bt ng thc kp ny c tnh theo (5.4.1) v vi 12 / 2 v 2 / 2 l hai gi

Biu thc ny cho bit khong tin cy 100(1 )% cho 2.

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

5.5 KIM NH GI THIT: CC BNH LUN TNG QUT

Mt gi thit thng k c gi l gi thit n gin nu n c th ha (cc) gi tr chnh xc ca (cc) tham s ca

(1 / 2 )mu ( X ) / 2 , nu ta khng nh rng H1: = 15 v = 2, n l mt gi thit n gin; nhng

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

L thuyt kim nh gi thit l xy dng cc quy tc hay th tc quyt nh bc b hay

5.6 KIM NH GI THIT: PHNG PHP KHONG TIN CY

2 quan st c c tng thch vi Ho khng? tr li cu hi ny, hy tham kho

Bin dch: X. Thnh

Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Kinh t lng c s - 3rd ed.

Kim nh mt pha hay mt ui

H1: 2 > 0,3

Bin dch: X. Thnh