Kinh Tế Lương Căn Bản

Chng trnh Ging dy Kinh t Fulbright
Nin kha 2010-2012
Cc phng php nh lng

Bi c
Nhp mn Kinh t lng vi cc ng dng 5th ed.

Ch. 3: M hnh hi qui tuyn tnh n
Chng 3
M Hnh
Hi Quy Tuyn Tnh n
chng 1 pht biu rng bc u tin trong phn tch kinh t lng l vic thit lp
m hnh m t c hnh vi ca cc i lng kinh t. Tip theo nh phn tch kinh
t/ kinh doanh s thu thp nhng d liu thch hp v c lc m hnh nhm h tr cho
vic ra quyt nh. Trong chng ny s gii thiu m hnh n gin nht v pht trin
cc phng php c lng, phng php kim nh gi thuyt v phng php d bo.
M hnh ny cp n bin c lp (Y) v mt bin ph thuc (X). chnh l m hnh
hi quy tuyn tnh n. Mc d y l mt m hnh n gin, v v th phi thc t, nhng
vic hiu bit nhng vn c bn trong m hnh ny l nn tng cho vic tm hiu
nhng m hnh phc tp hn. Thc t, m hnh hi quy n tuyn tnh c th gii thch
cho nhiu phng php kinh t lng. Trong chng ny ch a ra nhng kt lun cn
bn v m hnh hi quy tuyn tnh n bin. Cn nhng phn khc v phn tnh ton s
c gii thiu phn ph lc. V vy, i vi ngi c c nhng kin thc cn bn v
ton hc, nu thch, c th c phn ph lc hiu r hn v nhng kt qu l thuyt.
3.1 M Hnh C Bn
Chng 1 trnh by v d v m hnh hi quy n cp n mi lin h gia gi ca
mt ngi nh v din tch s dng (xem Hnh 1.2). Chn trc mt s loi din tch, v
sau lit k s lng nh c trong tng th tng ng vi tng din tch chn. Sau
tnh gi bn trung bnh ca mi loi nh v v th (quy c cc im c biu th
l X). Gi thuyt c bn trong m hnh hi quy tuyn tnh n l cc tr trung bnh ny s
nm trn mt ng thng (biu th bng + SQFT), y l hm hi quy ca tng th
v l trung bnh c iu kin (k vng) ca GI theo SQFT cho trc. Cng thc tng
qut ca m hnh hi quy tuyn tnh n da trn Gi thit 3.1 s l
GI THIT 3.1 (Tnh Tuyn Tnh ca M Hnh)
Y t = + Xt + u t
(3.1)
trong , Xt v Yt l tr quan st th t (t = 1 n n) ca bin c lp v bin ph thuc, tip

theo v l cc tham s cha bit v s c c lng; v ut l s hng sai s khng
quan st c v c gi nh l bin ngu nhin vi mt s c tnh nht nh m s
c cp k phn sau. v c gi l h s hi quy. (t th hin thi im trong
chui thi gian hoc l tr quan st trong mt chui d liu cho.)
Thut ng n trong m hnh hi quy tuyn tnh n c s dng ch rng ch c
duy nht mt bin gii thch (X) c s dng trong m hnh. Trong chng tip theo khi
ni v m hi quy a bin s b sung thm nhiu bin gii thch khc. Thut ng hi quy
xut pht t Fraccis Galton (1886), ngi t ra mi lin h gia chiu cao ca nam vi
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

chiu cao ca ngi cha v quan st thc nghim cho thy c mt xu hng gia chiu
cao trung bnh ca nam vi chiu cao ca nhng ngi cha ca h hi quy (hoc di
chuyn) cho chiu cao trung bnh ca ton b tng th. + Xb gi l phn xc nh ca
m hnh v l trung bnh c iu kin ca Y theo X, l E(YtXt) = + Xt. Thut
ng tuyn tnh dng ch rng bn cht ca cc thng s ca tng th v l tuyn
tnh (bc nht) ch khng phi l Xt tuyn tnh. Do , m hnh Y t = + X t2 + u t vn
c gi l hi quy quyn tnh n mc du c X bnh phng. Sau y l v d v
phng trnh hi quy phi tuyn tnh Yt = + X + ut. Trong cun sch ny s khng
cp n m hnh hi quy phi tuyn tnh m ch tp trung vo nhng m hnh c tham s
c tnh tuyn tnh m thi. Nhng m hnh tuyn tnh ny c th bao gm cc s hng phi
tuyn tnh i vi bin gii thch (Chng 6). nghin cu su hn v m hnh hi quy
phi tuyn tnh, c th tham kho cc ti liu: Greene (1997), Davidson v MacKinnon
(1993), v Griffths, Hill, v Judg (1993).
S hng sai s ut (hay cn gi l s hng ngu nhin) l thnh phn ngu nhin khng
quan st c v l sai bit gia Yt v phn xc nh + Xt. Sau y mt t hp ca bn
nguyn nhn nh hng khc nhau:
1. Bin b st. Gi s m hnh thc s l Yt = + Xt + Zt +vt trong , Zt l mt bin
gii thch khc v vt l s hng sai s thc s, nhng nu ta s dng m hnh l Y =
+ Xt +ut th ut = Zt +vt. V th, ut bao hm c nh hng ca bin Z b b st. Trong
v d v a c phn trc, nu m hnh thc s bao gm c nh hng ca phng
ng v phng tm v chng ta b qua hai nh hng ny m ch xt n din tch
s dng th s hng u s bao hm c nh hng ca phng ng v phng tm ln gi
bn nh.
2. Phi tuyn tnh. ut c th bao gm nh hng phi tuyn tnh trong mi quan h gia Y
2
v X. V th, nu m hnh thc s l Yt = + X t + X t + ut , nhng li c gi nh
bng phng trnh Y = + Xt +ut , th nh hng ca X t2 s c bao hm trong ut.
3. Sai s o lng. Sai s trong vic o lng X v Y c th c th hin qua u. V d,
gi s Yt gi tr ca vic xy dng mi v ta mun c lng hm Yt = + rt +vt
trong rt l li sut n vay v vt l sai s tht s ( n gin, nh hng ca thu
nhp v cc bin khc ln u t u c loi b). Tuy nhin khi thc hin c
lng, chng ta li s dng m hnh Yt = + Xt +ut trong Xt = rt +Zt l li sut
cn bn. Nh vy th li sut c o lng trong sai s Zt thay rt = Xt Zt vo phng
trnh ban u, ta s c
Yt = +(Xt Zt) +vt = + Xt Zt + vt = + Xt + ut
Cn lun lu rng tnh ngu nhin ca s hng ut bao gm sai s khi o lng li
sut n vay mt cch chnh xc.
4. Nhng nh hng khng th d bo. D l mt m hnh kinh t lng tt cng c th
chu nhng nh hng ngu nhin khng th d bo c. Nhng nh hng ny s
lun c th hin qua s hng sai s ut.
Nh cp ban u, vic thc hin iu tra ton b tng th xc nh hm hi
quy ca tng th l khng thc t. V vy, trong thc t, ngi phn tch thng chn
mt mu bao gm cc cn nh mt cch ngu nhin v o lng cc c tnh ca mu
ny thit lp hm hi quy cho mu. Bng 3.1 trnh by d liu ca mt mu gm 14
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

nh bn trong khu vc San Diego. S liu ny c sn trong a mm vi tn tp tin l

DATA3-1. Trong Hnh 3.1, cc cp gi tr (Xt, Yt) c v trn th. th ny c
gi l th phn tn ca mu cho cc d liu. Hnh 3.1 tng t nh Hnh 1.2, nhng
trong Hnh 1.2 lit k ton b cc gi tr (Xt, Yt) ca tng th, cn trong Hnh 3.1 ch lit
k d liu ca mu m thi. Gi s, ti mt thi im, ta bit c gi tr ca v . Ta
c th v c ng thng + X trn biu . y chnh l ng hi quy ca tng
th. Khong cch chiu thng xung t gi thc (Yt) n ng hi quy + X l sai s
ngu nhin ut. dc ca ng thng () cng l Y/X, l lng thay i ca Y trn
mt n v thay i ca X. V vy c din dch l nh hng cn bin ca X ln Y.
Do , nu l l 0.14, iu c ngha l mt mt vung din tch tng thm s lm
tng gi bn nh ln, mc trung bnh, 0.14 ngn la (lu n v tnh) hay 140 la.
Mt cch thc t hn, khi din tch s dng nh tng thm 100 mt vung th hy vng
rng gi bn trung bnh ca ngi nh s tng thm $14.000 la. Mc du l tung
gc v l gi tr ca tr trung bnh Y khi X bng 0, s hng ny vn khng th c hiu
nh l gi trung bnh ca mt l t trng. Nguyn nhn l v cng n cha bin b st
v do khng c cch gii thch cho (iu ny c cp k hn trong Phn 4.5).
BNG 3.1
t
Gi tr trung bnh c lng v trung bnh thc t ca gi

nh v din tch s dng (mt vung)
SQFT
Gi bn1
Gi trung bnh
c lng2
1
1.065
199,9
200,386
2
1.254
288
226,657
3
1.300
235
233,051
4
1.577
285
271,554
5
1.600
239
274,751
6
1.750
293
295,601
1.800
285
302,551
7
8
1.870
365
312,281
9
1.935
295
321,316
10
1.948
290
323,123
11
2.254
385
365,657
12
2.600
505
413,751
13
2.800
425
441,551
14
3.000
415
469,351
HNH 3.1 Biu Phn Tn Ca Mu Trnh By Mi Lin H Gia Gi v SQFT
1
2
n v tnh: 1.000 la
Phng php tnh gi trung bnh c lng s c trnh by Phn 3.2
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c
600
(X

, Yt )
500
+ X
ut
400
300
200
100
0 1000
+ X t
1400
1800
2200
2600
Xt
3000
HNH 3.2 Phng Trnh Hi Quy ca Tng Th v ca Mu

Y
+ X (Hoi qui mau)
( X t , Yt )
u t
+ X (Hoi qui tong the)
Yt = + X t
+ X t = E (Yt | X t )
Mc tiu u tin ca mt nh kinh t lng l lm sao s dng d liu thu thp c

c lng hm hi quy ca tng th, l, c lng tham s ca tng th v . K
hiu l c lng mu ca v l c lng mu ca . Khi mi quan h trung
^ =
^ X. y c gi l hm hi quy ca mu. ng vi mt gi
^ +
bnh c lng l Y
^ =
^ X . y l gi tr d bo ca Y vi mt gi tr
^+
tr quan st cho trc t, ta s c Y
t
t
cho trc l Xt. Ly gi tr quan st c Yt tr cho gi tr ny, ta s c c lng ca
ut c gi l phn d c lng, hoc n gin l phn d, v k hiu l
th hin trong phng trnh sau:
^ =Y
^X
^
u^t = Yt Y
t
t
t
u t 1v c
Sp xp li cc s hng trn, ta c
^ , b thay cho ^ v e thay cho u^ . Chng ta s dng du hiu

Mt s tc gi v ging vin thch s dng a thay cho
t
t
^ theo qui nh trong l thuyt thng k v n gip phn bit r rng gia gi tr tht v gi tr c lng v cng xc
nh c thng s ang c c lng.
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
Y t = + X t + u t
(3.3)
Vic phn bit gia hm hi quy ca tng th Y = + X v hm hi quy ca mu

Yt = + X l rt quan trng. Hnh 3.2 trnh by c hai ng v sai s v phn d (cn
nghin cu k vn ny). Lu rng ut l k hiu ch sai s, v

phn d.
u t l k hiu ch
BI TP 3.1
Xem xt cc phng trnh sau y:
a. Yt = + X + u t
b. Yt = + X + u t
c. Y = + X + u
t
d. Yt = + X
e. Yt = + X + u t
f. Y = + X + u
t
Gii thch k ti sao phng trnh (a) v (b) ng, nhng (c), (d), (e) v (f) sai. Hnh
3.2 rt c ch trong vic tr li cu hi ny.
3.2 c lng m hnh c bn bng phng php bnh phng ti thiu thng thng
Trong phn trc, nu r m hnh hi quy tuyn tnh c bn v phn bit gia hi quy
ca tng th v hi quy ca mu. Mc tiu tip theo s l s dng cc d liu X v Y v
tm kim c lng tt nht ca hai tham s ca tng th l v . Trong kinh t
lng, th tc c lng c dng ph bin nht l phng php bnh phng ti
thiu. Phng php ny thng c gi l bnh phng ti thiu thng thng,
phn bit vi nhng phng php bnh phng ti thiu khc s c tho lun trong cc
chng sau. K hiu c lng ca v l
v , phn d c lng th bng
u t = Yt X t . Tiu chun ti u c s dng bi phng php bnh phng ti

thiu l cc tiu ha hm mc tiu
t =n
t =n
t =1
t =1
ESS ( , ) = u t2 = (Yt X t ) 2
v . ESS l tng cc phn d bnh phng v phng

vi cc tham s cha bit l
php OLS cc tiu tng cc phn d bnh phng2. Cn nn lu rng ESS l khong
2
Rt d nhm khi gi ESS l tng ca cc phn d bnh phng, nhng k hiu ny c s

dng ph bin trong nhiu chng trnh my tnh ni ting v c t ti liu v Phn tch phng
sai
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
cch bnh phng c o lng t ng hi quy. S dng khong cch o lng ny,
c th ni rng phng php OLS l tm ng thng gn nht vi d liu trn th.
Trc quan hn, gi s ta chn mt tp hp nhng gi tr v , l mt ng
thng X . C th tnh c lch ca Yt t ng thng c chn theo phn d
c lng u = Y X . Sau bnh phng gi tr ny v cng tt c cc gi tr
t
bnh phng ca ton b mu quan st. Tng cc phn d bnh phng ca cc tr quan
2
st [c xem nh tng bnh phng sai s (ESS)] do s bng ut . Tng ng vi
mt im trn ng thng s c mt mt tr tng bnh phng sai s. Phng php bnh
phng ti thiu chn nhng gi tr v sao cho ESS l nh nht.
Vic bnh phng sai s t c hai iu sau. Th nht, bnh phng gip loi b
du ca sai s v do xem sai s dng v sai s m l nh nhau. Th hai, bnh phng
to ra s bt li cho sai s ln mt cch ng k. V d, gi s phn d ca mu l 1, 2,
1 v 2 ca h s hi quy chn trc tr v chn trc. So snh cc gi tr ny vi

mt mu khc c phn d l 1, 1, 1 v 3. Tng gi tr sai s tuyt i c hai trng
hp l nh nhau. Mc d mu chn th hai c sai s tuyt i thp hn t 2 n 1, iu
ny dn n sai s ln khng mong mun l 3. Nu ta tnh ESS cho c hai trng hp th
ESS ca trng hp u l 10 (12 + 22+ 12+ 22), ESS cho trng hp sau l 12 (12 + 12+
12+ 32). Phng php bnh phng ti thiu p t s bt li ln cho sai s ln v do
ng thng trong trng hp u s c chn. Phn 3.3 s tip tc trnh by nhng c
tnh cn thit khc ca phng php cc tiu ESS.
Phng Php Thch Hp Cc i
Phn ny ch cp s v phng php thch hp cc i. Phng php ny s c
trnh by chi tit phn 2.A.4. Phn 3.A.5 s trnh by nguyn tc p dng m hnh hi
quy tuyn tnh n. Mc d phng php thch hp cc i da trn mt tiu chun ti
u khc, nhng cc thng s c lng vn ging nh cc thng s c lng phng
php OLS. Ni n gin, phng php thch hp cc i chn c lng sao cho xc
sut xy ra ca mu quan st l ln nht.
Phn tho lun trc cho thy nu thc hin hai phng php c lng v khc
nhau mt cch chnh xc th u dn n cng mt kt qu. Nh vy th ti sao cn phi
xem xt c hai phng php? Cu tr li l trong cc chng sau, ta s thy rng khi mt
s gi thit ca m hnh c gim nh, th thc t, hai phng php c lng khc
nhau s cho kt qu khc nhau. Mt phng php khc c th cho kt qu khc na, l
phng php cc tiu tng sai s tuyt i
. Nhng phng php ny khng c
dng ph bin trong kinh t lng v kh tnh ton.
Phng Trnh Chun

Trong phn 3.A.3 ca ph lc, phng php OLS c chnh thc p dng. Phn ny cho
thy rng iu kin cc tiu ESS vi v s theo hai phng trnh sau y, c
gi l phng trnh chun (khng c lin h g n phn phi chun).
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
= 0 = (Yt X t ) = Yt ( n ) X t
( X u
) = [ X t (Yt X t )] = 0
t t
(3.4)
(3.5)
Trong Phng trnh (3.4), cn lu rng = n bi v mi s hng s c mt v

c n s hng. Chuyn v cc s hng m trong Phng trnh (3.4) sang phi v chia mi
s hng cho n, ta c
1
1
Yt = + X t
n
n
(3.6)
(1/n)Yt l trung bnh mu ca Y, k hiu l Y , v (1/n)Yt l trung bnh mu ca X,

k hiu l X . S dng kt qu ny thay vo Phng trnh (3.6), ta c phng trnh sau
Y = + X
(3.7)
^ X l ng c lng v l ng hi quy ca mu, hoc

^ +
ng thng
ng thng thch hp. C th thy rng t Phng trnh (3.7) ng hi quy ca mu
i qua im trung bnh ( X , Y ) . Trong Bi tp 3.12c, ta s thy rng tnh cht ny khng
m bo tr khi s hng hng s c trong m hnh.
T Phng trnh (3.5), cng tt c theo tng s hng, v a v ra lm tha s
chung, ta c
( X Y ) X
t t
X t2 = 0
hay
( X Y ) = X
t t
+ X t2
(3.8)
Li Gii v Phng Trnh Chun

thun li cho vic p n v hai phng trnh chun, cc tnh cht sau y l rt cn
thit. Nhng tnh cht ny c chng minh trong Ph lc Phn 3.A.2
TNH CHT 3.1
1
Sxx = (Xt X)2 = Xt2 nX)2 = Xt2 (Xt)2

n
TNH CHT 3.2
Sxy = (Xt X)(Yt Y) = (XtYt) n XY

= XtYt [(Xt ) (Yt) / n]
Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
T Phng trnh (3.7),
= Y X =
1
1
Yt X t
n
n
(3.9)
Thay vo (3.8)
X Y
t t
1
1
= Yt X t ( X t ) + X t2
n
n
Nhm cc s hng c tha s :

2
( X t )( Yt )
Xt )
(
+ X t
X tYt =
n
n
Tm ta c
X Y
t t
2
t
( X )( Y )
t
n
( X t )2
n
S dng k hiu n gin c gii thiu Tnh cht 3.1 v 3.2, c th c din t
nh sau
S xy
=
(3.10)
S xx
trong
( X )
S xx = X
2
t
v
S xy = X t Yt
(3.11)
( X )( Y )
t
(3.12)
K hiu Sxx v Sxy c th c nh mt cch trc quan nh sau, nh ngha

xt = X t X v y t = Yt Y , trong k hiu thanh ngang ch trung bnh ca mu. Do
xt v yt k hiu lch gia X v Y so vi gi tr X v Y trung bnh. Kt qu sau y s
c chng minh phn Ph lc Phn 2.A.1 v 3.A.2.
xt = 0
S xx = xt2 = ( X t X ) 2 = X t2
Ramu Ramanathan
1
( X t )2
n
(3.13)
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

S xy = xt yt = ( X t X )(Yt Y ) = X t Yt
1
n
[( X )( Y )]
t
(3.14)
Sxy l tng cc gi tr ca xt nhn yt . Tng t, Sxx tng cc gi tr ca xt nhn xt ,

hay tng ca xt bnh phng
Phng trnh (3.9) v (3.10) l li gii cho phng trnh chun [(3.4) v (3.5)] v cho
ta c lng v ca mu cho tham s v ca tng th.
Cn lu rng khng th xc nh c c lng ca trong Phng trnh (3.10)
2
2
nu Sxx = xt = ( Xt X ) = 0 . Sxx bng khng khi v ch khi mi xt bng khng, c
ngha l khi v ch khi mi Xt bng nhau. iu ny dn n gi thuyt sau y
GI THIT 3.2 (Cc Gi Tr Quan St X L Khc Nhau)

Khng phi l tt c gi tr Xt l bng nhau. C t nht mt gi tr Xt khc so vi nhng
gi tr cn li. Ni cch khc, phng sai ca mu Var ( X ) = 1 ( X t X ) 2 khng
n 1
c bng khng.
y l mt gi thit rt quan trng v lun lun phi tun theo bi v nu khng m
hnh khng th c lng c. Mt cch trc quan, nu Xt khng i, ta khng th gii
thch c ti sao Yt thay i. Hnh 3.3 minh ha gi thuyt trn bng hnh nh. Trong v
d v a c, gi s thng tin thu thp ch tp trung mt vo loi nh c din tch s dng
l 1.500 mt vung. th phn tn ca mu s c th hin nh Hnh 3.3. T th
c th thy r rng d liu ny khng y cho vic c lng ng hi quy tng th
+X.
HNH 3.3 V D v Gi Tr X Khng i
Y
1,500
V d 3.1
Theo thut ng c dng ph bin trong kinh t lng, nu ta s dng d liu trong
Bng 3.1 v thc hin hi quy Y (GI) theo s hng hng s v X (SQFT), ta c th
xc nh c mi quan h c lng (hay hm hi quy ca mu) l
Yt = 52,351 + 0,13875351 X t . Yt l gi c lng trung bnh (ngn la) tng ng

Ramu Ramanathan
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
vi Xt. (xem Bng 3.1). H s hi quy ca Xt l nh hng cn bin c lng ca din

tch s dng n gi nh, mc trung bnh. Do vy, nu din tch s dng tng ln mt
n v, gi trung bnh c lng k vng s tng thm 0,13875 ngn la ($138.75).
Mt cch thc t, c mi 100 mt vung tng thm din tch s dng, gi bn c lng
c k vng tng thm, mc trung bnh, $ 13.875.
Hm hi quy ca mu c th c dng c lng gi nh trung bnh da trn din
tch s dng cho trc (Bng 3.1 c trnh by gi trung bnh ct cui.) Do , mt cn
nh c din tch 1.800 mt vung th gi bn k vng trung bnh l $302.551[ = 52,351 +
(0,139 1.800)]. Nhng gi bn thc s ca cn nh l $285.000. M hnh c lng
gi bn vt qu $17.551. Ngc li, i vi mt cn nh c din tch s dng l 2.600
mt vung, gi bn trung bnh c lng l $413.751, thp hn gi bn thc s $505.000
mt cch ng k. S khc bit ny c th xy ra bi v chng ta b qua cc yu t nh
hng khc ln gi bn nh. V d, mt ngi nh c sn vn rng v/ hay h bi, s c
gi cao hn gi trung bnh. iu ny nhn mnh tm quan trng trong vic nhn din
c cc bin gii thch c th nh hng n gi tr ca bin ph thuc v a cc nh
hng ny vo m hnh c thit lp. Ngoi ra, rt cn thit trong vic phn tch tin
cy ca cc c lng ca tung v h s dc trong Phng trnh (3.1), v mc
thch hp ca m hnh i vi d liu thc t.
BI TP 3.2
Sao chp hai ct s liu trong Bng 3.1 vo mt bng mi. Trong ct u tin ca
bng tnh sao chp cc gi tr v Yt (GI) v Xt (SQFT) trong ct th hai. S dng my
tnh v tnh thm gi tr cho hai ct khc. Bnh phng tng gi tr trong ct th hai v
in gi tr vo ct th ba (x). Nhn ln lt tng gi tr ct th nht vi gi tr
tng ng ct hai v in kt qua vo ct th t (XtYt). Tip theo, tnh tng ca tng
ct v nh gi cc tng sau y:
X
Y
= 26 .753
X t2 = 55 . 462 . 515
= 4 . 444 ,9
2
t
= 9 . 095 . 985 , 5
trnh tnh trng qu nhiu v sai s lm trn, cn s dng cng nhiu s thp phn
cng tt. Sau , tnh Sxy t Phng trnh (3.12) v Sxx t Phng trnh (3.11). Cui
cng, tnh theo (3.10) v theo (3.9) v kim tra li nhng gi tr trnh by ban
u.
3.3 Tnh cht ca cc c lng
Mc d phng php bnh phng cho ra kt qu c lng v mi quan h tuyn tnh
c th ph hp vi d liu sn c, chng ta cn tr li mt s cu hi sau. V d, c tnh
thng k ca v ? Thng s no c dng o tin cy ca v ? Bng
cch no c th s dng v kim nh gi thuyt thng k v thc hin d
bo? Sau y chng ta s i vo tho lun tng vn trn. S rt hu ch nu bn n li
Phn 2.6, phn ny a ra tm tt v nhng tnh cht cn thit ca thng s c lng.
Ramu Ramanathan
10
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Tnh cht u tin cn xem xt l khng thin lch. Cn lu rng trong Phn 2.4
cc thng s c lng v ? t thn chng l bin ngu nhin v do tun theo
phn phi thng k. Nguyn nhn l v nhng ln th khc nhau ca mt cuc nghin
cu s cho cc kt qu c lng thng s khc nhau . Nu chng ta lp li nghin cu
vi s ln th ln, ta c th t c nhiu gi tr c lng. Sau chng ta c th tnh
t s s ln m nhng c lng ny ri vo mt khong gi tr xc nh. Kt qu s s
cho ra phn phi ca cc c lng ca mu. Phn phi ny c gi tr trung bnh v
phng sai. Nu trung bnh ca phn phi mu l thng s thc s (trong trng hp ny
l hoc ), th y l c lng khng thin lch. khng thin lch r rng l iu
lun c mong mun bi v, iu c ngha l, mc trung bnh, gi tr c lng s
bng vi gi tr thc t, mc d trong mt s trng hp c bit th iu ny c th khng
ng.
C th ni rng thng s c lng OLS ca v a ra trong Phn 3.2 c tnh cht
khng thin lch. Tuy nhin, chng minh iu ny, chng ta cn t ra mt s gi
thuyt b sung v Xt v ut. Cn nh rng, mc d Gi thit 3.1 c th v c gim nh
phn sau, nhng Gi thuyt 3.2 v 3.3 l lun lun cn thit v phi tun theo. Sau y l
cc gi thit b sung cn thit.
GI THIT 3.3 (Sai S Trung Bnh bng Zero)

Mi l u mt bin ngu nhin vi E(u) = 0
Trong Hnh 3.1 cn lu rng mt s im quan st nm trn ng + X v mt
s im nm di. iu ny c ngha l c mt gi tr sai s mang du dng v mt s
sai s mang du m. Do + X l ng trung bnh, nn c th gi nh rng cc sai s
ngu nhin trn s b loi tr nhau, mc trung bnh, trong tng th. V th, gi nh
rng ut l bin ngu nhin vi gi tr k vng bng 0 l hon ton thc t.
GI THIT 3.4 (Cc Gi Tr X c Cho Trc v Khng Ngu Nhin)

Mi gi tr Xt c cho trc v khng l bin ngu nhin. iu ny ngm ch rng ng
phng sai ca tng th gia Xt v ut, Cov(Xt, ut) = E(Xt, ut) E(Xt)E(ut) = XtE(ut)
XtE(ut) = 0. Do gia Xt v ut khng c mi tng quan (xem nh ngha 2.4 v 2.5).
Theo trc gic, nu X v u c mi tng quan, th khi X thay i, u cng s thay i.
Trong trng hp ny, gi tr k vng ca Y s khng bng + X. Nu gi tr X l
khng ngu nhin th gi tr k vng c iu kin ca Y theo gi tr X s bng + X.
Kt qu ca vic vi phm Gi thit 3.4 s c trnh by trong phn sau, c bit l khi
nghin cu m hnh h phng trnh (Chng 13). Tnh cht 3.3 pht biu rng khi hai
gi thit c b sung, thng s c lng OLS l khng thin lch.
TNH CHT 3.3

( Khng Thin Lch)
Trong hai gi thit b sung 3.3 v 3.4, [E(ut) = 0, Cov(Xt, ut) = 0], thng s c lng,
thng s c lng bnh phng ti thiu v l khng thin lch; ngha l
E ( ) = , v E = .
()
Ramu Ramanathan
11
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
CHNG MINH

Cc phng php nh lng

Bi c
(Nu c gi khng quan tm n chng minh, c th b

qua phn).
()
T Phng trnh (3.10), E = E (S xy S xx ) . Nhng theo Gi thuyt 3.4, Xt l khng ngu

nhin v do Sxx cng khng ngu nhin. iu ny c ngha l khi tnh gi tr k vng,
cc s hng lin quan n Xt c th c a ra ngoi gi tr k vng. V vy, ta c
1
E =
E (S xy ) . Trong Phng trnh (3.12), thay Yt t Phng trnh (3.1) v thay
S xx
bng n .
()
( X t )(n + X t + u t )
S xy = X t ( + X t + u t )
(3.15)
( X t )2 ( X t )( ut )
= X t + X + X t ut X t
n
n
(
Xt )
( X )( u )
+ X t ut t t
= X t
n
n
2
t
= S xx + S xu
trong Sxx c cho bi Phng trnh (3.13) v
S xu = X t ut
( X )( u )
t
(3.16)
= X t u t X u t = (X t X )u t
X l trung bnh mu ca X, Xt l khng ngu nhin, X xut hin mi s hng, v k
vng ca tng cc s hng th bng tng cc gi tr k vng. Do vy,
E (S xu ) = E ( X t ut ) X E (ut ) = X t E (ut ) X E (ut ) = 0
()
theo Gi thit 3.3. Do , E(Sxy) = Sxx, ngha l E = E ( S xy ) S xx = . Nh vy l

^ . Cn nhn thy rng vic
c lng khng thin lch ca . Chng minh tng t cho
chng minh khng thin lch ph thuc ch yu vo Gi thit 3.4. Nu E(Xtut) 0,
c th b thin lch.
BI TP 3.3
S dng Phng trnh (3.9) chng minh rng l khng thin lch. Nu r cc gi
thuyt cn thit khi chng minh.
Ramu Ramanathan
12
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Mc du khng thin lch lun l mt tnh cht lun c mong mun, nhng t
bn thn khng thin lch khng lm cho thng s c lng tt, v mt c lng
khng thin lch khng ch l trng hp c bit. Hy xem xt v d sau v mt thng s
~
~
c lng khc l = (Y2 Y1)/(X2 X1). Lu rng n gin l dc ca ng
~
thng ni hai im (X1, Y1) v (X2, Y2). Rt d nhn thy rng l khng thin lch
( + X 2 + u 2 ) ( + X 1 + u1 )
Y2 Y1
u u1
=
=+ 2
X 2 X1
X 2 X1
X 2 X1
~
Nh ni trc y, cc gi tr X l khng ngu nhin v E(u2) = E(u1) = 0. Do ,
l khng thin lch. Thc ra, ta c th xy dng mt chui v hn ca cc thng s c
~
lng khng thin lch nh trn. Bi v loi b cc gi tr quan st t 3 n n, mt
cch trc quan y khng th l mt thng s c lng tt. Trong Bi tp 3.6, tt c
cc gi tr quan st c s dng th thit lp cc thng s c lng khng thin lch
khc, nhng tng t nh trn y khng phi l l thng s c lng khng thin lch
tt nht. Do , rt cn c nhng tiu chun b sung nh gi tt ca mt thng
s c lng.
Tiu chun th hai cn xem xt l tnh nht qun, y l mt tnh cht ca mu ln
c nh ngha trong Phn 2.6 (nh ngha 2.10). Gi s ta chn ngu nhin mt mu c
n phn t v i tm v . Sau chn mt mu ln hn v c lng li cc thng
s ny. Lp li qu trnh ny nhiu ln c c mt chui nhng thng s c lng.
Tnh nht qun l tnh cht i hi cc thng s c lng vn ph hp khi c mu tng
~
ln v hn. c lng c trnh by trn r rng l khng t c tnh nht qun
bi v khi c mu tng ln khng nh hng g n thng s ny. Tnh cht 3.4 pht biu
cc iu kin mt c lng c tnh nht qun.
TNH CHT 3.4

(Tnh Nht Qun)
Theo Gi thit (3.2), (3.3) v (3.4), c lng bnh phng ti thiu c tnh cht nht
qun. Do , iu kin t c tnh nht qun l E(ut) = 0, Cov(Xt, ut) = 0 v Var(Xt)
0.
CHNG MINH
(Nu c gi khng quan tm, c th b qua phn ny.)
T Phng trnh (3.15) v (3.10)
= +
S xu / n
S xx / n
(3.17)
Theo quy lut s ln (Tnh cht 2.7a), Sxu/n ng quy vi k vng ca chnh n, l
Cov(X, u). Tng t, Sxx/n ng quy vi Var(X). Do vy dn ti iu, nu n hi t n v
Ramu Ramanathan
13
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
cng, s ng quy vi + [Cov(X,u)/Var(X), v s bng nu Cov(X,u) = 0 ngha l

nu X v u khng tng quan. Nh vy, l c lng nht qun ca .
Mc d l khng thin lch v nht qun, vn c nhng tiu chun cn b sung bi
c th xy dng c lng nht qun v khng thin lch khc. Bi tp 3.6 l mt v

d v loi c lng . Tiu chun s dng tip theo l tnh hiu qu (nh ngha trong
Phn 2.6). Ni mt cch n gin, c lng khng thin lch c tnh hiu qu hn nu
c lng ny c phng sai nh hn. thit lp tnh hiu qu, cn c cc gi thit sau
v u t .
GI THIT 3.5 (Phng sai ca sai s khng i)
Tt c gi tr u c phn phi ging nhau vi cng phng sai 2, sao cho
Var (ut ) = E u t2 = 2 . iu ny c gi l phng sai ca sai s khng i (phn tn
u).
( )
GI THIT 3.6 (c Lp Theo Chui)

Gi tr u c phn phi c lp sao cho Cov(ut, us) = E(utus) = 0 i vi mi t s. y
c gi l chui c lp.
Cc gi thit trn ngm ch rng cc phn d phn c phn phi ging nhau v phn
phi c lp (iid). T Hnh 1.2 ta thy rng ng vi mt gi tr X s c mt gi tr phn
phi Y xc nh phn phi c iu kin. Sai s ut l lch t trung bnh c iu kin
+ Xt. Gi thit 3.5 ngm nh rng phn phi ca ut c cng phng sai (2) vi phn
phi ca us cho mt quan st khc s. Hnh 3.4a l mt v d v phng sai ca sai s
thay i (hoc khng phn tn u) khi phng sai thay i tng theo gi tr quan st X.
Gi thuyt 3.5 c gim nh trong Chng 8. Phn 3.6 Ph chng c trnh by m t
ba chiu ca gi thuyt ny.
Gi thit 3.6 (s c gim nh trong Chng 9) ngm nh rng l ut v us c lp v
do vy khng c mi tng quan. C th l, cc sai s lin tip nhau khng tng quan
nhau v khng tp trung. Hnh 3.4b l mt v d v t tng quan khi gi thuyt trn b
vi phm. Ch rng khi cc gi tr quan st k tip nhau tp trung li, th c kh nng cc
sai s s c tng quan.
HNH 3.4 V D v Phng Sai Ca Sai S Thay i v T Hi Quy

Y
a. Phng sai ca sai s thay i

Ramu Ramanathan
14
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

b. T hi quy
TNH CHT 3.5

(Hiu qu, BLUE v nh l Gauss-Markov)
Theo Gi thit 3.2 n 3.6, c lng bnh phng ti thiu thng thng (OLS) l c
lng tuyn tnh khng thin lch c hiu qu nht trong cc c lng. V th phng
php OLS a ra c Lng Khng Thin lch Tuyn Tnh Tt Nht (BLUE).
Kt qu ny (c chng minh trong Phn 3.A.4) c gi l nh l Gauss
Markov, theo l thuyt ny c lng OLS l BLUE; ngha l trong tt c cc t hp
tuyn tnh khng thin lch ca Y, c lng OLS ca v c phng sai b nht.
Tm li, p dng phng php bnh phng ti thiu (OLS) c lng h s hi
quy ca mt m hnh mang li mt s tnh cht mong mun sau: c lng l (1) khng
thin lch, (2) c tnh nht qun v (3) c hiu qu nht. khng thin lch v tnh nht
qun i hi phi km theo Gi thuyt E(ut) = 0 v Cov(Xt, ut) = 0. Yu cu v tnh hiu
qu v BLUE, th cn c thm gi thuyt, Var(ut) = 2 v Cov(ut, us) = 0, vi mi t s.
3.4 Chnh Xc ca c Lng v Mc Thch Hp ca M Hnh

S dng cc d liu trong v d v a c ta c lng c thng s nh sau = 52.351
v = 0,13875 . Cu hi c bn l cc c lng ny tt nh th no v mc thch hp
ca hm hi quy mu Y = 52 ,351 + 0,13875351 X vi d liu ra sao. Phn ny s tho
t
lun phng php xc nh thng s o lng chnh xc ca cc c lng cng nh

ph hp.
Chnh Xc ca Cc c Lng
T l thuyt xc sut ta bit rng phng sai ca mt bin ngu nhin o lng s phn
tn xung quanh gi tr trung bnh. Phng sai cng b, mc trung bnh, tng gi tr
ring bit cng gn vi gi tr trung bnh. Tng t, khi cp n khong tin cy, ta bit
rng phng sai ca bin ngu nhin cng nh, khong tin cy ca cc tham s cng b.
Nh vy, phng sai ca mt c lng l thng s ch chnh xc ca mt c
lng. Do vic tnh ton phng sai ca v l lun cn thit.
Ramu Ramanathan
15
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
Do v thuc vo cc gi tr Y, m Y li ph thuc vo cc bin ngu nhin u1, u2,

, un, nn chng cng l bin ngu nhin vi phn phi tng ng. Sau y cc phng
trnh c rt ra trong Phn 3.A.6 phn ph lc ca chng ny.
Var ( ) = 2&& = E =
S
xx
2
] nSX
2
Var ( ) = 2 = E ( ) =
)]
2
t
(3.18)
(3.19)
xx
X
Cov ( , ) = = E ( ) =
S xx
(3.20)
trong Sxx c nh ngha theo Phng trnh (3.11) v 2 l phng sai ca sai s. Cn
lu rng nu Sxx tng, gi tr phng sai v ng phng sai (tr tuyt i) s gim.
iu ny cho thy s bin thin X cng cao v c mu cng ln th cng tt bi v iu
cho chng t chnh ca cc thng s c c lng.
Cc biu thc trn l phng sai ca tng th v l n s bi v 2 l n s. Tuy
nhin, cc thng s ny c th c c lng bi v 2 c th c c lng da trn
mu. Lu rng Yt = + X t l ng thng c lng. Do , u t = Yt X t l mt
c lng ca ut, v l phn d c lng. Mt c lng d thy ca 2 l
2
t
/n
nhng c lng ny ngu nhin b thin lch. Mt c lng khc ca c cho sau
y (xem chng minh Phn 3.A.7)
2
s 2 = 2 =
2
t
(3.21)
n2
L do chia t s cho n 2 th tng t nh trng hp chia chi-square cho n 1,

c tho lun trong Phn 2.7. n 1 c p dng do ( xi x ) c iu kin l bng 0.
p dng chia cho n 2, cn c hai iu kin bi Phng trnh (3.4) v (3.5). Cn bc
hai ca phng sai c lng c gi l sai s chun ca phn d hay sai s chun
ca hi quy. S dng c lng ny, ta tnh c cc c lng ca phng sai v ng
phng sai ca v . Cn bc hai ca phng sai c gi l sai s chun ca h s
hi quy v k hiu s v s . Phng sai c lng v ng phng sai ca h s hi
quy c lng bng
s 2 =
Ramu Ramanathan
(3.22)
S xx
X
=
2
t
nS xx
X 2
=
S xx
16
(3.23)
(3.24)
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Tm li: Trc tin, cn tnh h s hi quy c lng v bng cch p dng

Phng trnh (3.9) v (3.10). Kt qu cho cho mi quan h c lng gia Y v X. sau
tnh gi tr d bo ca Yt theo Yt = + X t . T , ta c th tnh c phn d ut theo
Y Y . Sau tnh ton c lng ca phng sai ca ut da theo Phng trnh (3.21).
t
Thay kt qu vo Phng trnh (3.18), (3.19) v (3.20), ta c gi tr phng sai v

ng phng sai ca v .
Cn lu rng cng thc tnh phng sai ca phn d s2 c cho trong Phng
trnh 3.21 c ngha, cn c iu kin n > 2. Khng c gi thuyt ny, phng sai c
c lng c th khng xc nh c hoc m. iu kin tng qut hn c pht biu
trong Gi thuyt 3.7, v bt buc phi tun theo.
GI THIT 3.7 (n > 2)

S lng quan st (n) phi ln hn s lng cc h s hi quy c c lng (k). Trong
trng hp hi quy tuyn tnh n bin, th iu kin n > 2 khng c.
V d 3.2
Sau y l sai s chun trong v d v gi nh,
Sai s chun ca phn d = s = = 39,023
Sai s chun ca = s = 37,285
Sai s chun ca = s = 0,01873
ng phng sai gia v = s = 0,671

Thc hnh my tnh Phn 3.1 ca Ph chng D s cho kt qu tng t.
Mc d c cc i lng o lng s hc v chnh xc ca cc c lng, t thn
cc o lng ny khng s dng c bi v cc o lng ny c th ln hoc nh mt
cch ty tin bng cch n gin l thay i n v o lng (xem thm Phn 3.6). Cc
o lng ny c s dng ch yu trong vic kim nh gi thuyt, ti ny s c
tho lun chi tit Phn 3.5.
Thch Hp Tng Qut

Hnh 3.1 cho thy r rng khng c ng thng no hon ton thch hp vi cc d
liu bi v c nhiu gi tr d bo bi ng thng cch xa vi gi tr thc t. c th
nh gi mt mi quan h tuyn tnh m t nhng gi tr quan st c tt hn mt mi
quan h tuyn tnh khc hay khng, cn phi c mt o lng ton hc thch hp.
Phn ny s pht trin cc thng s o lng .
Khi thc hin d bo v mt bin ph thuc Y, nu ta ch c nhng thng tin v cc
gi tr quan st ca Y c c t mt s phn phi xc sut, th c l cch tt nht c th
2
l l c lng gi tr trung bnh Y v phng sai s dng Y2 = (Yt Y ) (n 1) .
Nu cn d bo, mt cch n gin, ta c th s dng gi tr trung bnh bi v khng cn
thng tin no khc. Sai s khi d bo quan st th t bng Yt Y . Bnh phng gi tr ny
Ramu Ramanathan
17
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
v tnh tng bnh phng cho tt c mu, ta tnh c tng phng sai ca Yt so vi Y l
2
(Y Y ) . y l tng bnh phng ton phn (TSS). lch chun ca mu ca Y
o lng phn tn ca Yt xung quanh gi tr trung bnh ca Y, ni cch khc l phn
tn ca sai s khi s dng Y lm bin d bo, v c cho nh sau Y = TSS (n 1)
Gi s ta cho rng Y c lin quan n mt bin X khc theo Phng trnh (3.1). Ta c
th hy vng rng bit trc gi tr X s gip d bo Y tt hn l ch dng Y . C th hn
l, nu ta c cc c lng v v bit c gi tr ca X l Xt, nh vy c lng
ca Yt s l Y = + X . Sai s ca c lng ny l u = Y Y . Bnh phng gi tr sai
t
s ny v tnh tng cc sai s cho ton b mu, ta c c tng bnh phng sai s
(ESS), hay tng cc bnh phng phn d, l ESS = u t2 . Sai s chun ca cc phn
d l = ESS (n 2) . Gi tr ny o lng phn tn ca sai s khi s dng Yt lm
bin d bo v thng c so snh vi Y c cho trn xem xt mc gim
xung l bao nhiu. Bi v ESS cng nh cng tt, v mc gim xung cng nhiu.
Trong v d a ra, Y = 88,498 v = 39,023 , gim hn phn na so vi gi tr ban
u.
Phng php ny khng hon ton tt lm, tuy nhin bi v cc sai s chun rt nhy
cm i vi n v o lng Y nn rt cn c mt thng s o lng khc khng nhy
cm vi n v o lng. Vn ny s c cp sau y.
HNH 3.5 Cc Thnh Phn ca Y

Y
( X t , Yt )
Yt
Y = + X
u t
Yt Y
Yt Y
Y
Xt
Thng s o lng tng bin thin ca Yt so vi Y (l gi tr trung bnh ca Yt ) cho

ton mu l
thy
(Y Y ) . c gi l tng bnh phng hi quy (RSS). Phn 3.A.8 cho

2
(Y
Ramu Ramanathan
2
Y ) = Yt Y
18
) + u
2
2
t
(3.25)
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Do vy, TSS = RSS + ESS. Lu rng (Yt Y ) = (Yt Y ) + u t . Hnh 3.5 minh ha cc
thnh phn trn. Phng trnh (3.25) pht biu rng cc thnh phn cng c bnh
phng. Nu mi quan h gia X v Y l cht ch, cc im phn tn (Xt, Yt) s nm
gn ng thng + X . ni cch khc ESS s cng nh v RSS cng ln. T s
RSS
ESS
= 1
TSS
TSS
c gi l h s xc nh a bin v k hiu l R2. Thut ng a bin khng p dng

trong hi quy n bin bi v ch c duy nht mt bin ph c lp X. Tuy nhin, do biu
thc R2 trong hi quy n bin cng ging nh trong hi quy a bin nn y chng ta
dng cng thut ng
R
u = 1 ESS = RSS
= 1
TSS TSS
(Y Y )
2
t
0 R2 1
(3.26)
R rng rng, R2 nm gia khong t 0 n 1. R2 khng c th nguyn v c t s v

mu s u c cng n v. im quan st cng gn ng thng c lng, thch
hp cng cao, ngha l ESS cng nh v R2 cng ln. Do vy, R2 l thng s o lng
thch hp, R2 cng cao cng tt. ESS cn c gi l bin thin khng gii thch c
bi v u t l nh hng ca nhng bin khc ngoi Xt v khng c trong m hnh. RSS l
bin thin gii thch c. Nh vy, TSS, l tng bin thin ca Y, c th phn thnh
hai thnh phn: (1) RSS, l phn gii thch c theo X; v (2) ESS, l phn khng gii
thch c. Gi tr R2 nh ngha l c nhiu s bin thin Y khng th gii thch c
bng X. Ta cn phi thm vo nhng bin khc c nh hng n Y.
Ngoi ngha l mt t l ca tng bin thin ca Y c gii thch qua m hnh, R2
cn c mt ngha khc. l thng s o lng mi tng quan gia gi tr quan st Yt
v gi tr d bo Yt (rY Y ) . Cn xem li phn trnh by v h s tng quan ca mu v ca
t t
tng th Phn 2.3 v 3.5. Phn 3.A.9 trnh by
rYY
Cov 2 (Yt Yt )
RSS
=
=
= R2
Var (Yt )Var(Yt ) TSS
(3.26a)
Nh vy, bnh phng h s tng quan n bin gia gi tr quan st Yt v gi tr d

bo Yt bng phng trnh hi quy th s cho ra kt qu bng vi gi tr R2 c nh ngha
trong Phng trnh (3.26a). Kt qu ny vn ng trong trng hp c nhiu bin gii
thch, min l trong hi quy c mt s hng hng s.
C mt thc mc ph bin v thch hp tng th, l bng cch no xc nh
rng R2 l cao hay thp?. Khng c mt quy nh chun hay nhanh chng kt lun v
R2 nh th no l cao hay thp. Vi chui d liu theo thi gian, kt qu R2 thng ln
bi v c nhiu bin theo thi gian chu nh hng xu hng v tng quan vi nhau rt
nhiu. Do , gi tr quan st R2 thng ln hn 0.9. R2 b hn 0.6 v 0.7 c xem l
thp. Tuy nhin, i vi d liu cho, i din cho dng ca mt yu t thay i vo mt
Ramu Ramanathan
19
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

thi im no , th R2 thng thp. Trong nhiu trng hp, R2 bng 0.6 hoc 0.7 th
cha hn l xu. y n gin ch l thng s o lng v tnh y ca m hnh. iu
quan trng hn l nn nh gi m hnh xem du ca h s hi quy c ph hp vi cc l
thuyt kinh t, trc gic v kinh nghim ca ngi nghin cu hay khng.
V d 3.3
Trong bi tp v gi nh, TSS, ESS v R2 c cc gi tr sau (xem li kt qu Phn thc
hnh my tnh 3.1):
TSS = 101.815
R2 = 0,82052
ESS = 18.274
Nh vy, 82,1% bin thin ca gi nh trong mu c gii thch bi din tch s

dng tng ng. Trong chng 4, s thy rng thm vo cc bin gii thch khc, nh s
lng phng ng v phng tm s ci thin thch hp ca m hnh.
3.5 Kim nh Gi Thuyt Thng K

Nh lc u, kim nh gi thuyt thng k l mt trong nhng nhim v chnh ca
nh kinh t lng. Trong m hnh hi quy (3.1), nu bng 0, gi tr d bo ca Y s c
lp vi X, ngha l X khng c nh hng i vi Y. Do , cn c gi thuyt = 0, v ta
k vng rng gi thuyt ny s b bc b. H s tng quan () gia hai bin X v Y o
lng tng ng gia hai bin. c lng mu ca c cho trong Phng trnh
(2.11). Nu = 0, cc bin khng c tng quan nhau. Do cng cn kim nh gi
thuyt = 0. Phn ny ch tho lun phng php kim nh gi thuyt i vi v .
Kim nh gi thuyt i vi p s c trnh by phn sau. Cn lu rng, trc khi
tip tc phn tip theo, bn nn xem li Phn 2.8 v kim nh gi thuyt v Phn 2.7 v
cc loi phn phi.
Kim nh gi thuyt bao gm ba bc c bn sau: (1) thit lp hai gi thuyt tri
ngc nhau (Gi thuyt khng v Gi thuyt ngc li), (2) a ra kim nh thng k v
phn phi xc sut cho gi thuyt khng, v (3) a ra quy lut ra quyt nh bc b
hay chp nhn gi thuyt khng. Trong v d v gi nh, Gi thuyt khng l Ho : = 0.
Bi v chng ta k vng rng s dng, Gi thuyt ngc li l H1: 0. thc hin
kim nh ny, v sai s chun c lng s c s dng a ra thng k kim
nh. a ra phn phi mu cho v , m iu ny nh hng gin tip n cc s
hng sai s ngu nhin u1, u2, un (xem Phng trnh 3.15), cn b sung mt gi thuyt
v phn phi ca ut.
GI THIT 3.8 (Tnh Chun Tc ca Sai S)

Mi gi tr sai s ut tun theo phn phi chun N(0, 2) , ngha l mt c iu kin ca
Y theo X tun theo phn phi N( + X, 2).
Nh vy, cc s hng sai s u1, u2, un c gi nh l c lp v c phn phi chun
ging nhau vi gi tr trung bnh bng khng v phng sai bng 2. Gi thit 3.8 l gi
thit cn bn trong kim nh gi thuyt thng k. Bng 3.2 s trnh by tm tt tt c cc
Ramu Ramanathan
20
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

gi thit c a ra. Nhng s hng sai s tha cc Gi thit t 3.2 n 3.8 th c

xem l sai s ngu nhin hay sai s do nhiu trng.
BNG 3.2
Cc Gi Thit ca M Hnh Hi Quy Tuyn Tnh n Bin
3.1 M hnh hi quy l ng thng vi n s l cc h s v ; l

Yt = + Xt + ut, vi t = 1, 2, 3, n.
3.2 Tt c cc gi tr quan st X khng c ging nhau; phi c t nht mt gi tr khc
bit.
3.3 Sai s ut l bin ngu nhin vi trung bnh bng khng; ngha l, E(ut) = 0.
3.4 Xt c cho v khng ngu nhin, iu ny ngm nh rng khng tng quan vi ut;
ngha l Cov (Xt, ut) = E(Xtut) E(Xt)E(ut)= 0.
3.5 ut c phng sai khng i vi mi t; ngha l Var(ut) = E (u t2 ) = 2
3.6 ut v us c phn phi c lp i vi mi t s, sao cho Cov(ut, us) = E(ut us).
3.7 S lng quan st (n) phi ln hn s lng h s hi quy c c lng ( y n
> 2).
3.8 ut tun theo phn phi chun ut ~ N(0, 2), ngha l ng vi gi tr Xt cho trc, Yt ~
N( + Xt, 2).
Xc nh Tr Thng K Kim nh
Phn ny chng minh rng kim nh thng k t c = 0 s tun theo phn phi
Student t, theo gi thuyt khng, vi bc t do l n 2 (bi v ta ang c lng hai tham
s v ). Lu rng Gi thuyt 3.7 rt cn chc chn rng bc t do l dng.
(c gi khng quan tm n ngun gc vn , c th b
qua phn ny).
CHNG MINH
Trc ht cn xem xt cc tnh cht sau
TNH CHT 3.6

a.
b.
v c phn phi chun.
c.
v c phn phi c lp vi 2 .
( u )
2
t
= ( n 2) 2 2 c phn phi chi-bnh phng vi bc t do n2.
Tnh cht 3.6a xut pht t thc t l v l nhng t hp tuyt tnh ca ut v ut c

phn phi chun. chng minh tnh cht b v c, nn tham kho ti liu Hogg v Graig
(1978, trang 296-298). Tn dng cc kt qua ta c
~ N ( , 2 ),
~ N ( , 2 ),
Ramu Ramanathan
21
2
t
~ X n2 2
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
trong 2 v 2 l phng sai ca v theo Phng trnh (3.18) v (3.19). Bng

cch chun ha phn phi ca thng s c lng ngha l tr cho trung bnh v chia
cho lch chun) ta c
(
)~
N ( 0 , 1 ),
(n
)~
( 0 , 1 ),
2 )
~ X
2
n2
Trong phn 2.7, phn phi t c nh ngha l t s ca s chun chun ha trn cn

bc hai ca mt chi-square c lp vi n. Thay vo cho v p dng phng trnh
(3.18), (3.19) v (3.22), ta c
t =
( )

2
2
1 2
) (

=
~ tn2
s

trong
s =
S xx
S xx
s l sai s chun c lng ca theo Phng trnh (3.22).

t c trnh by trn l tr thng k kim nh da trn quy lut ra quyt nh c thit
lp sau ny. Kim nh ny c gi l kim nh t. Cc bc kim nh thng k phn
ra trong hai trng hp kim nh mt pha v kim nh hai pha c trnh by sau y.
Quy Tc Ra Quyt nh
Kim nh t-test mt pha
BC 1
BC 2
H0: = 0
H1: 0
Kim nh thng k l t c = 0 s , c tnh da trn mu. Theo gi
BC 3
thuyt khng, kim nh thng k c phn phi t vi bc t do l n 2. Nu

tc tnh c l ln, ta c th nghi ng rng s khng bng 0. iu ny
dn n bc tip theo.
Trong bng tra phn phi t trang ba trc ca sch, tra bc t do l n 2.
V chn mc ngha () v xc nh im t*n2() sao cho P(t > t*) = .
Bc b H0 nu tc > t*. Nu gi thuyt ngc li < 0 , tiu chun kim
nh bc b H0 l nu tc < t*.
BC 4
Kim nh trn c minh ha bng hnh nh qua Hnh 3.6 (k hiu c s dng
ch mc ngha trnh nhm ln vi ch tung ). Nu tc ri vo din tch in m
trong hnh v (c gi l vng ti hn) ngha l tc >t*. Trong trng hp , gi thuyt
khng s b bc b v kt lun c rng ln hn 0 rt nhiu.
Ramu Ramanathan
22
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

HNH 3.6 Kim nh Mt Pha vi H0: = 0
H1: 0
f(tn-2)
Dien tch a
0
Chap nhan Ho
t*n-2(a)
tn-2
Bac bo Ho
V d 3.4
Trong v d v gi nh, ta c 0 = 0. Do , t c = s , l kim nh thng k n gin

v l t s gia h s hi quy c lng trn sai s chun. T s c gi l tr thng k
t. Cc c lng l = 0,13875 , v theo v d 3.2 ta bit s = 0,01873 . Do , tr thng
k t c tnh s l tc = 0,13875/0,01873 = 7.41. Bc t do bng n 2 = 14 2 = 12. Cho
mc ngha l 1%, ngha l = 1%. Tra bng phn phi t, ta c t*n2=2,681 . Do tc >
t*, gi thuyt H0 b bc b v kt lun c rng ln hn zero mt cch ng k vi
mc ngha 1%. Lu rng h s ny vn c ngha trong trng hp mc ngha ch
l 0,05% bi v t*12(0,0005) = 4,318.
Tr thng k t i vi c cho bi tc = 52,351/37,285 = 1.404 nh hn
t*12(0,0005) = 1.782. Do khng th bc b H0 nhng thay vo c th c th kt
lun rng khng ln hn zero xt v mt thng k vi mc ngha 5%. Cc im
khng ngha hai im sau. Th nht, X = 0 th hon ton nm ngoi khong mu v do
c lng Y khi X = 0 khng ng tin cy (xem thm Phn 3.9). Th nh, t Hnh
3.1 c th thy rng c im hai bin l khng y gii thch bin thin gi ca
cc gi tr quan st. Trong chng 4 s cho thy bao hm c nh hng trung bnh ca
bin b b st v tnh phi tuyn, khi X bng 0. Cc nh hng trn s lm cho khng
c ngha.
Mt S Lu khi S Dng Kim nh t-Test

Mc d kim nh t-test rt hu ch trong vic xc nh ngha thng k ca cc h s,
tuy nhin rt d nhm ln gia cc ngha ca kim nh. V d, V d 3.4 kim nh ttest i vi khng th bc b gi thuyt khng l = 0. Nh vy c phi kim nh ny
chng minh rng = 0 hay khng? Cu tr li l khng. C th chc chn rng, theo
tp d liu v m hnh c m t, khng c bng chng no cho thy > 0. Trong
chng 4, s cp kim nh t-test cho nhiu h s hi quy. Nu mt trong nhng h s
ny khng c ngha (ngha l, khng th bc b gi thuyt rng h s bng 0), iu
khng c ngha l bin tng ng khng c nh hng g n bin ph thuc hoc bin
khng quan trng. Vn ny s c tho lun y trong chng sau. Trong
chng 5 s thy rng khi m hnh thay i, mc ngha ca h s cng thay i. Do ,
cn thc hin k cc kim nh gi thuyt a ra v khng nn vi v kt lun m khng
Ramu Ramanathan
23
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

xt n m hnh v nhng phn tch thm v cc kim nh chun on cn thit a

ra mt kt lun ngha (n nh theo c im m hnh).
Phng Php p-value trong Kim nh Gi thuyt

Kim nh t-test c th c thc hin theo mt phng php khc tng ng. Trc
tin tnh xc sut bin ngu nhin t ln hn tr quan st tc, ngha l
p-value = P(t>tc ) = P (sai lm loi I)
Xc sut ny (c gi l p-value) l phn din tch bn phi tc trong phn phi t (xem
Hnh 3.7) v l xc sut sai lm loi I ngha l xc sut loi b gi thuyt H0. Xc sut
ny cng cao cho thy hu qu ca vic loi b sai lm gi thuyt ng H0 cng nghim
trng. p-value b ngha l hu qu ca vic loi b gi thuyt ng H0 l khng nghim
trng (ngha l, xc sut xy ra sai lm loi I l thp) v do c th yn tm khi bc b
H0. Nh vy, quy lut ra quyt nh l khng bc b H0 nu p -value qu ln, v d: ln
hn 0,1, 0,2, 0,3. Ni cch khc, nu p-value ln hn mc ngha , c th kt lun rng
h s hi quy khng ln hn 0 mc ngha . Nu p-value nh hn , gi thuyt H0
b bc b v kt lun c rng ln hn 0 mt cch ng k.
thy c s tng ng ca hai phng php, lu rng trn Hnh 3.7 nu xc
sut P(t>tc ) b hn mc ngha , th im tng ng l tc phi nm bn phi im t*n2(). Ngha l tc ri vo min bc b. Tng t, nu xc sut P(t>tc ) ln hn mc
ngha , th im tng ng l tc phi nm bn tri im t*n-2() v do ri vo min
chp nhn. Sau y l cc bc b sung trong phng php p-value nh sau:
HNH 3.7 Kim nh Gi thuyt theo Phng Php p-value

f(tn-2)
Bac bo Ho neu
p- value< a
BC 3a
BC 4a
Ramu Ramanathan
t*
tc
tn-2
Tnh xc sut (k hiu p-value) t ln hn tc , ngha l tnh phn din tch

bn phi gi tr tc.
Bc b H0 v kt lun rng h s c ngha nu p-value b hn mc
ngha c chn.
24
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
Tm li, c xem l ln hn 0 mt cch ng k nu tr thng k t ln hay p-value

l b, mc nh th no l ln v b s c quyt nh bi ngi nghin cu. Phng
php ph bin trong kim nh gi thuyt l xc nh gi tr mc t*. Tuy nhin theo
hng php tnh p-value, li cn tnh ton phn din tch mt u ng vi gi tr tc cho
trc. Ngy cng c nhiu phn mm my tnh tnh ton sn p-value (chng trnh
SHAZAM v ESL c gii thiu trong sch ny) v do phng php ny d ng
dng d dng. Tuy nhin, cn cn thn kim tra li gi tr p-value l dng cho kim mt
pha hay kim nh hai pha.
V d 3.4a
p dng phng php p-value cho v d v gi nh, ta tnh xc sut t ln hn gi tr
quan st = 7.41. S dng ESL tnh ton ta c p < 0,0001 (tham kho phn kt qu
trong phn Thc hnh my tnh 3.1). iu c ngha l, nu ta bc b gi thuyt khng,
th c hi xy ra sai lm loi I b hn 0,01%, v do hon ton yn tm khi bc b
Ho v kt lun c rng ln hn 0. i vi tham s , p-value bng 0,093, ngha l
P(t>1,404) = 0,093. Nu H0: = 0 b bc b, xc sut xy ra sai lm loi I l 9,3%,
ln hn 5%. Do , khng th bc b H0 mc ngha 5%, ngha l ta c cng kt lun
nh trong phng php u, l mc ngha 5%, khng ln hn zero xt v mt
thng k. Nh vy phng php p-value c mt u im l, ta bit c chnh xc mc
m h s c ngha v c th nh gi xem mc ngha ny thp hay khng
xem xt bc b H0. Cui cng, khng cn lo lng i vi cc gi tr 0,01, 0,05 v 0,1.
Kim nh t-test Hai Pha
Bao gm cc bc sau:
BC 1
BC 2
H0: = 0
H1: 0
Kim nh thng k l t c = 0 s , c tnh da trn mu. Theo gi
thuyt khng, kim nh thng k c phn phi t l tn-2.

Trong bng tra phn phi t trang ba trc ca sch, tra bc t do l n 2
v chn mc ngha () v xc nh im t*n2() sao cho P(t>t*) = /2
(phn na mc ngha).
BC 3a p dng phng php - value, tnh gi tr p
- value = P(t > tc hoc t < tc ) = 2P(t > |tc |)
do phn phi t i xng.
BC 4
Bc b H0 nu |tc |> t* v kt lun khc vi 0 mt cch ng k mc
ngha .
BC 4a Bc b H0 nu p-value < , mc ngha ny.
BC 3
Kim nh trn c minh ha bng hnh nh qua Hnh 3.8. Bc t do trong trng
hp ny bng n2. Nu tr thng k t (tc ) ri vo vng din tch en, gi thuyt khng b
bc b v kt lun c rng khc vi 0. gi tr t* = 2 c s dng l quy lut
nh gi mc ngha ca tr thng k t mc 5% (kim nh hai pha). Bi v t* gn
bng 2 vi bc t do l 25.
Ramu Ramanathan
25
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c
HNH 3.8 Kim nh Hai Pha vi H0: = 0

H1: 0
f(tn-2)
Dien tch a/2
Dien tch a/2
-t* n-2 (a/2)
Bac bo Ho
0
Chap
nhan Ho
t*n-2(a/2) tn-2
Bac bo Ho
V d 3.5
Theo cch tnh ny tc trong v d gi nh c gi tr nh cch tnh theo t-test, = 7.41 v
= 1.404 . Tra bng gi tr t, ta c t12* (0.005) = 3.055 , iu ny c ngha l din tch ca
c 2 pha tng ng vi gi tr 3.055 l 0.01. Bi i vi th tc>t* do ta c th loi
gi thuyt H0 v kt lun c rng khc vi mc ngha 1%. i vi th
*
t 12
(0.025) = 2.179 ln hn gi tr tc. Do ta khng th bc b gi thuyt H0 (lu rng
ta ang dng kim nh gi tr mc ngha 5%). T bc 3a ta c th suy ra c
gi tr p-value i vi = 2 P (t > 1.404) = 0.186 (lu gi tr p-value tng ng vi tc
trong trng hp kim nh 2 pha s gp 2 ln gi tr ca n trong trng hp kim nh
1 pha). Do sai lm loi I c gi tr 18.6% l khng th chp nhn c nn ta khng th
bc b gi thuyt H0: = 0. iu ny c ngha l khng c ngha v thng k trong
khi li c.
BI TP 3.4
Trong v d gi nh, hy kim nh gi thuyt H0: = 0.1 v gi thuyt H1: 0.1 ln
lt mc ngha 0.05 v 0.01.
BI TP 3.5
Chng minh rng nu mt h s c ngha mc 1% th h s ny cng s c ngha
mc cao hn.
BI TP 3.6
Hy chng minh rng nu mt h s khng c ngha mc 10% th h s ny cng
s khng c ngha bt k mc ngha no thp hn 10%.
Kim nh 2
Mc d thng k kim nh mc ngha phng sai sai s 2 khng ph bin nhng vn
c trnh by y trong phn ny. Kim nh 2 gm cc bc sau:
Ramu Ramanathan
26
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
BC 1
BC 2
BC 3
BC 4
Cc phng php nh lng

Bi c

H1: 2 2 0
2
Tr kim nh l Qc = ( n 2) 2 . Sau tra bng phn phi Chi-square
0
vi bc t do n-2. Nu Q c gi tr ln ta c th nghi ng rng 2 khng
bng 2 0
Trong bng tra phn phi Chi-square trang ba trc ca sch, tra gi tr
ca Q*n-2() sao cho din tch bn phi bng .
Bc b H0 mc ngha nu Qc> Q*n-2().
H0: 2 = 2 0
Nguyn nhn tng qut lm cho kim nh ny khng ph bin l do ngi kim nh
khng c thng tin s cp ban u v gi tr ca 2 s dng trong gi thuyt H0.
Kim nh Thch Hp
Ta c th thc hin kim nh thch hp. Gi p l h s tng quan tng th gia X v
Y c nh ngha Phng trnh (2.7). Theo phng trnh (2.11), ta thy gi tr c
lng p2 c xc nh bi rxy2 = S xy2 /( S xx S yy ) trong Sxx v Sxy c nh ngha theo
Phng trnh (3.8) v (3.9), v
( Yt )2
= (Yt Y ) 2 = TSS
(3.27)
S yy = Yt
n
Phn 3.A.10 ngi ta chng minh rng r2xy bng vi R2 (iu ny ch ng trong
trng hp hi qui n bin m thi). Phn kim nh gi thuyt 2.8 trnh by phng
php kim nh gi thuyt cho rng X v Y khng c mi tng quan. Kim nh ny gi
l kim nh F (F-test). Kim nh F-test gm cc bc sau:
2
BC 1
BC 2
H0: xy = 0
H1: xy 0
Tr thng k kim nh l Fc = R2(n 2)/(1 R2). Fc cng c th c tnh
theo cng thc sau Fc = RSS(n 2)/ESS. Theo gi thuyt H0, tr thng k
ny tun theo phn phi F vi 1 bc t do t s v n 2 bc t do mu
s .
BC 3
Tra bng F theo 1 bc t t s v n 2 bc t do mu s tm gi tr F*1,

*
n 2 () sao cho phn din tch v pha phi ca F l , mc ngha.
BC 4
Bc b gi thuyt H0 (ti mc ngha ) nu Fc > F*.
Nn lu rng gi thuyt H0 trn s khng hp l khi c nhiu gi tr X. Nh s

c trnh by chng 4, kim nh F vn c s dng nhng H0 s khc.
V d 3.6
Trong v d gi nh, R2 = 0,82052. Fc = 0,82052(14 2)/(1 0,82052) = 54,86. Theo v
d 3.5, ESS = 18.274, v RSS = TSS ESS = 83.541. V vy Fc cn c th c tnh
theo cng thc khc nh bc 2: Fc = 83.541 (14 2)/18.274 = 54,86. Bc t do ca t
Ramu Ramanathan
27
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

s l 1, ca mu s l 12. Vi mc ngha = 5%, tra bng A.4b ta c F*1, 12(0.05) =

4,75. V Fc > F* chng ta bc b (ti mc ngha 5%) gi thuyt H0 cho rng X v Y
khng tng quan. Thc ra, v Fc > F*1, 12(0.01) (tra bng A.4a), gi thuyt H0 cng b
bc b ti mc ngha 1%. Nh vy, mc d gi tr R2 kh nh hn 1, n cng khc 0
mt ng k.
Trnh By Cc Kt Qu Hi Quy
Cc kt qu ca phn tch hi quy c trnh by theo nhiu cch. Theo cch thng
thng, ngi ta s vit phng trnh c lng km vi cc tr thng k t di mi h
s hi quy nh sau:
GIA = 52,351 + 0,13875 SQFT

(1,404)
(7,41)
d.f . = 12
R 2 = 0.821
= 39.023
Mt cch khc l in cc sai s chun di cc h s hi quy:
GIA = 52,351 + 0,13875 SQFT

(37.29)
(0.019)
Nu nhiu m hnh hi quy c c lng, vic trnh by kt qu dng bng nh

Bng 4.2 s thun tin hn.
Vic tch tng cc bnh phng ton phn ra thnh cc thnh phn thng c tm
tt dng bng Phn Tch Phng Sai (ANOVA) Bng 3.3.
3.6 Thang o v n V o
Gi s chng ta tnh GI theo n v ng la thay v theo ngn ng la. Ct GI
bng 3.1 s cha cc gi tr nh 199.900, 228.000, v.v. Nhng c lng ca h s hi
quy, cc sai s chun ca chng, R2, v.v. s b nh hng nh th no bi s thay i n
v ny? Cu hi ny s c kho st y v GI v SQFT c tnh cc n v khc
nhau. u tin chng ta chy li m hnh.
GI = + SQFT + u
Gi GI* l gi tnh theo la thng. Nh vy GI* = 1.000 GI. Nhn mi s
hng trong phng trnh vi 1.000 v thay GI* vo v tri. Chng ta c
GI* = 1.000 + 1.000SQFT + 1.000u = GI* = * + *SQFT + u*
Nu chng ta p dng phng php OLS cho phng trnh ny v cc tiu ha
chng ta s tm c cc gi tr c lng ca * v *. D dng nhn thy rng
cc h s hi quy mi s bng cc h s c nhn vi 1,000. Nh vy, thay i thang o
ca ch bin ph thuc trong m hnh hi quy lm cho thang o ca mi h s hi quy
thay i theo tng ng. V u* = 1,000u, cc phn d v sai s chun cng s c nhn
(u*t)2,
Ramu Ramanathan
28
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

ln 1.000. Tng cc bnh phng s c nhn thm 1 triu (1.000 bnh phng). Cn
lu rng cc tr thng k t, F, v R2 s khng b nh hng v chng l cc t s trong
yu t thang o s trit tiu.
BNG 3.3
Phn Tch Phng Sai
Ngun
Tng bnh phng

(SS)
Hi quy (RSS)
(Y Y )
Sai s (ESS)
u = 18.274
(Y Y ) = 101.815
Tng (TSS)
Bc t do
(d.f.)
= 83.541
2
t
Bnh
phng
trung bnh
(SSd.f.)
83.541
N 2 = 12
1.523
N 1 = 13
7.832
RSS( n 2)
= 54,86
ESS
Tc ng ca vic thay i thang o ca mt bin c lp s ra sao? Gi s SQFT

c tnh theo n v trm mt vung thay v theo mt vung thng thng, nhng GI
c tnh theo n v ngn la nh trc. Gi SQFT l bin tnh theo trm mt vung.
Vy SQFT= 100SQFT. Thay vo phng trnh ban u ta c:
GI = + 100SQFT + u
R rng theo phng trnh ny, nu chng ta hi quy GI theo mt hng s v SQFT,
h s duy nht s b nh hng l h s ca SQFT. Nu l h s ca SQFT, th
' = 100 . Sai s chun ca n cng s nhn vi 100. Tuy nhin, tt c cc s o khc
ESS, gi tr thng k t, F, R2 chng hn s khng b nh hng. Tm li, trong mt m
hnh hi quy tuyn tnh, nu thang o ca mt bin c lp thay i cc h s hi quy ca
n v cc sai s chun tng ng s thay i tng ng nhng cc tr thng k khc s
khng thay i.
C l do chnh ng thay i thang o ca cc gi tr sao cho cc s sau khi thay
i s khng ln cng khng qu nh v tng t vi cc gi tr ca cc bin khc. iu
ny l v cc s c gi tr ln s ln t cc sai s v cc s nh s gy ra sai s lm trn,
c bit l khi tnh gi tr tng bnh phng, vic ny s lm nh hng xu n chnh
xc ca kt qu.
hiu mt cch thc t hu qu ca vic thay i n v, hy Thc Hnh My Tnh
phn 3.2 ph lc D.
BI TP 3.7
Gi s chng ta t mt bin mi X* = SQFT 1.000 (ngha l, X* l phn din tch
vung trn 1.000) v c lng m hnh GI = a + bX* + v. Gii thch bng cch no
bn c th tm c a v b t v m khng phi c lng li m hnh mi.
3.7 ng dng: c Lng ng Engel Biu Din Quan H Gia Chi Tiu cho Chm Sc
Sc Khe v Thu Nhp.
Ramu Ramanathan
29
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Trong phn ny, chng ta s trnh by mt ng dng tp dt vi m hnh hi quy hai

bin. D liu c s dng l chui d liu cho cho 50 bang v qun Columbia (n =
51), d liu c thu thp t cun Tm Lc Thng K M nm 1995 (Statistical
Abstract of the US). Cc gi tr ca d liu thc c tp tin DATA3-2. Cc bin l:
Chi tiu tng hp (n v t la) cho chm sc sc khe ca bang vo
nm 1993, Bng 153, trang 111, khong t 0,998-9,029.
INCOME = Thu nhp c nhn (n v t la) ca bang vo nm 1993, Bng 712,
trang 460, khong t 9,3-64,1.
M hnh l ng Engel tm c v d 1.4 v c p dng vi tng chi tiu cho
chm sc sc khe ca M l hm s theo tng thu nhp c nhn. Phn ng Dng My
Tnh 3.3 (xem ph lc bng D.1) trnh by hng dn tm ra kt qu. Bn ch thch
ca bo co in t my tnh, s dng chng trnh ESL v tp tin PS3-3.ESL, c trnh
by bng 3.4. Phn c in m l nhp lng ca chng trnh v cc phn in
nghing l cc nhn xt v kt qu. Bn nn tm hiu cc ch thch ny cn thn v s
dng chng trnh hi quy bn c chy li cc kt qu ny (tp tin PS3-3.SHZ cha
cc dng lnh s dng phn mm SHAZAM). Di y l m hnh c lng cng
vi tr thng k mu t trong ngoc n, v p-value (gi tr xc sut p) trong ngoc vung:
EXPHLTH =
EXPHLTH = 0,176496 + 0,141652 INCOME

(0.378)
(49.272)
[0.707]
[<0.0001]
R2 = 0,98
d.f. = 49
F = 2.428
= 2,547
M hnh rt thch hp vi s liu v 98% s bin i ca chi tiu cho chm sc sc
khe c gii thch bi bin thu nhp. Nh gii thch Bng 3.3, s hng hng s
khng c ngha v mt thng k v ph hp vi tiu chun l thuyt ra trong v d
1.4, ch ra rng = 0. bit thm chi tit, xem cc ch thch Bng 3.4
3.8 Khong Tin Cy

Nh c ch ra Phn 2.9, mt cch xem xt trc tip n vic c lng v
trong iu kin khng chc chn l xc nh khong tin cy. Nh vy, v d, thay v ni
^
= 0,139 chng ta c th ni rng vi mc xc sut cho trc, s nm trong khong

t 0,09 n 0,17. T kt qu cc gi tr thng k kim nh phn 3.5 ta c:
~ t n 2 v
~ t n 2
t t*n-2(0,025) l im name trn phn phi t vi n-2 bc t do sao cho P(t>t*) = 0,025.
iu ny tng ng vi P(- t* t t*) = 0,95. Nh vy,
BNG 3.4 Bo Co t My Tnh Km Theo Ch Gii cho Phn 3.7
Cc lnh ESL c in m v cc nhn xt c in nghing.
Danh sch bin
Ramu Ramanathan
30
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c
(0) Hng s
(1) exphlth

(2) income
( th ca mc chi tiu theo thu nhp cho thy c s quan h cht ch gia hai bin)
EXPHLTH
94,178
|
o
|
|
78,648
+
|
|
|
o
|
52,764
+
|
o
|
o
|
o
|
o
o
26,881
+
o
|
o
o
|
o
|
o ooo
| oooo
o
0,998
+ ooo
| +++++++
9,3
income
683,5
c lng OLS vi 51 quan st 1-51
Bin ph thuc EXPHLTH
Bin
(0) hng
(1) income
H s
0,176496
0,141652
Sai s chun
0,467509
0,002875
T-stat
0,377525
49,271792
2 Prob(t >T)
0,707414
<0,0001***
Gi tr c lng ca h s ca bin thu nhp l = 0,141652 v c lng ca s

hng hng s l = 0,176496. Tr thng k t (h s chia cho sai s chun) ca bin thu
nhp l 49,271792, y l gi tr rt ngha. 2Prob(t >T) l vng din tch hai u
phn phi t chn bi gi tr kim nh t v l gi tr p-value hoc xc sut sai lm loi I
(i vi kim nh 2 pha). Nu p-value nh (trong trng hp ny, nh hn 0,0001),
chng ta an ton khi bc b gi thuyt Ho rng = 0, v kt lun rng h s ca bin
thu nhp l khc 0 ng k. Gi tr p-value ca s hng hng s bng 0,707414 gi
rng nu chng ta bc b gi thuyt Ho cho rng = 0, chng ta c th phm phi sai
lm loi I trong 70,7 % s ln. V mc sai lm ny qu cao, chng ta khng th bc b
gi thuyt Ho. Nh vy chng ta kt lun rng s hng hng s khng khc 0 ng k.
Lu rng trong v d 1.4, vic suy din l thuyt ra ng Engel m ch rng khng c
s hng hng s. S hng hng s khng c ngha l ph hp vi kt qu theo l
thuyt. Xu hng chi tiu cn bin cho vic chm sc sc khe ly t thu nhp l
Ramu Ramanathan
31
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

0,141652; ngha l, vi mi khon tng thu nhp 100 la, chng ta c th k vng cc
c nhn s chi trung bnh 14,17 la cho chm sc sc khe.
Gi tr R2 (R-square) ch ra rng 98% s bin i ca chi tiu c gii thch bi bin
thu nhp. S khc nhau gia gi tr R2 Hiu chnh v Khng hiu chnh s c gii
thch chng 4 cng vi cc gi tr thng k mu chn m hnh.
Gi tr thng k mu Durbin-Watson v h s tng quan chui bc nht s c gii
thch chng 9, nhm gii quyt s vi phm gi thit 3.6 cho rng cc s hng sai s
ca hai quan st l khng tng quan. Gi tr trung bnh ca bin ph thuc l Y v
S.D. l lch chun ca Sy
Gi tr trung bnh ca
bin ph thuc
Tng bnh phng sai
s (ESS)
R- bnh phngkhng
hiu chnh
Tr thng k F
15,068863
S.D. ca bin ph thuc
17,926636
317,898611
Sai s chun ca phn d
2,547102
R- hiu chnh
0,980
2427,709468
Tr thng k DurbinWatson
0,980
p-value =
Prob(F>2427.709)
H s t tng quan bc
nht
2,209485
<0,0001
-0,121
Gi tr thng k mu chn m hnh

SGMASQ
HQ
GCV
6,487727
6,939901
6,752532
AIC
SCHWARZ
RICE
6,741876
7,272471
6,7638
FPE
SHIBATA
6,742147
6,722193
?genr ut=uhat (lu cc c lng phn d trong my vo ut.)

Generated var. no. 3 (ut)
?genr =exphlth-ut (gi tr thch hp = exphlth quan st tr phn d)
Generated var. no. 4 (yhat)
?print o exphlth yhat ut;
(In gi tr chi tiu thc v d bo, gi tr phn d. Du hiu
o ch in ra dng bng)
Ramu Ramanathan
Obs
exphlth
yhat
1
2
3
4
5
6
7
8
9
10
11
0,998
1,499
4,285
1,573
2,021
2,26
1,953
2,103
3,428
2,277
3,452
1,493862
1,763001
2,598749
2,131297
1,720505
2,343775
1,989644
2,244618
3,179523
2,910384
3,731965
32
ut
-0,49586172
-0,26400087
1,686251
-0,55829655
0,30049479
-0,08377483
-0,03664435
-0,1416183
0,24847729
-0,63338356
-0,27996523
Ngi dch: Thc oan
Hiu nh: Cao Ho Thi
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Cc phng php nh lng

Bi c
3,485
3,433
3,747
4,4
3,878
5,197
4,118
6,111
6,903
6,187
7,341
7,999
8,041
12,216
10,066
9,029
10,384
10,635
12,06
13,014
14,194
15,154
14,502
16,203
15,949
15,129
16,401
23,421
6,682
20,104
18,241
25,741
27,136
33,456
34,747
41,521
44,811
49,816
67,033
94,178
P ( t *
4,057766
3,476992
4,652705
4,666871
3,916114
4,341071
4,426062
5,672601
7,301601
5,686766
7,485749
8,533975
7,967367
13,250993
11,027054
8,84561
9,256401
10,276297
10,318793
10,276297
13,619289
16,96228
14,32755
13,477637
14,68168
16,395672
15,701576
20,985202
20,036133
19,002072
18,56295
30,093438
27,756177
31,042507
37,516012
36,439456
40,320726
49,0465
64,004971
96,995765

-0,57276526
-0,0439923
-0,90570543
-0,26687065
-0,03811407
0,85592937
-0,30806194
0,43839884
-0,39850129
0,50023362
-0,14474913
-0,53497529
0,07353344
-1,034993
-0,96105374
0,1833899
1,127599
0,35870284
1,741207
2,737703
0,57471128
-1,80828
0,17445035
2,725363
1,26732
-1,256672
0,69942416
2,435798
-13,354133
1,101928
-0,32194997
-4,352438
-0,62017675
2,413493
-2,769012
5,081544
4,490274
0,7694999
3,028029
-2,817765
t * ) = 0.95 = P ( t * s + t * s
T y c th rt ra rng khong tin cy 95% ca v ln lt l t * s v t * s
Ramu Ramanathan
33
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

V d 3.7
Trong v d v gi nh, sai s chun ca v l s = 37,285 v s = 0,18373. ng
thi, t bng t, ta c t*12(0,025) = 2,179. Do , khong tin cy 95% l
i vi :
52,351 (2,179x37,285) = (-28,893; 133,595)
i vi :
0,13875 (2,179x0,018373) = (0,099; 0,179)
Lu rng cc khong tin cy ny l tng i rng. y l du hiu cho thy m
hnh hi quy tuyn tnh thch hp rt km vi tp d liu. Mt m hnh hi quy thch hp
s cho khong tin cy hp hn.
BI TP 3.8
Xc nh khong tin cy ca v trong Phn ng Dng 3.7
3.9 D Bo
Nh cp trc y, mt trong cc ng dng ph bin ca m hnh hi quy l d
bo (ch ny s c tho lun chi tit hn chng 11). Trong v d gi nh, chng
ta c th t cu hi gi bn d bo ca mt ngi nh c din tch 2,000 mt vung s l
bao nhiu. M hnh hi quy c lng l Y = 52.351 + 0.13875 X . Nh vy, khi X =
2,000, gi tr d bo caY l 52,351 + (2,000x0,13875) = 329,851. V gi c tnh theo
n v ngn la, gi tr d bo ny cng c n v ngn la. V vy, theo m hnh, gi
trung bnh c lng ca mt cn h din tch 2,000 mt vung l 329.851 la. Mt
cch tng qut, d dng nhn thy nu X c gi tr X0 th gi tr d bo ca Y0 s l
Y0 = + X 0 . Gi tr trung bnh c iu kin ca bin d on Y cho trc X = X0 l
E (Y X = X 0 ) = E ( ) + X 0 E ( ) = + X 0 = E (Y X = X 0 )
Nh vy Y0 l gi tr d bo c iu kin khng thin lch ca gi bn trung bnh ti X0.
Khong Tin Cy cho Gi Tr D Bo Trung Bnh

V v c c lng c sai s, gi tr d bo Y0 cng chu sai s. xt n yu t
ny, chng ta tnh sai s chun v khong tin cy cho gi tr d bo trung bnh. Di y
l c lng ca phng sai ca gi tr d bo (xem chng minh Phn 3.A.11 )
1 (X X )2
sY20 = 2 + 0
S xx
n
(3.28)
Khong tin cy ca gi tr d bo trung bnh l
Ramu Ramanathan
34
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

[Y0 t * sY , Y0 + t * sY ]
0
trong t* l gi tr ngng ca phn phi t. Lu rng khi X0 cng lch xa gi tr trung

bnh X , th sY cng ln v khong tin cy tng ng cng rng. iu ny c ngha rng
0
nu d bo c thc hin qu xa khi phm vi ca mu, tin cy ca d bo s gim

i. Nu X0 = X , khong tin cy s hp nht. Hnh 3.9 cho nim v di tin cy vi
cc gi tr X0.
HNH 3.9 Di Khong Tin Cy ca Cc Gi Tr D Bo
Khong Tin Cy cho D Bo im

Phng sai mu trnh by phn trc dng d bo gi tr trung bnh. Bn cnh
chng ta cng mun tm phng sai ca sai s d bo cho cc gi tr thc Y0 tng ng
vi X0. Cng thc di y c ly t Ph lc 3.A.12:
1 ( X X )2
2
su20 = Var (u0 ) = 2 1 + + 0
> sY0
n
S
xx
(3.29)
trong u 0 = Y0 Y0 l sai s ca d bo im. Khong tin cy c tnh theo su0 thay

v sY . Khi c mu ln, s hng th hai v th ba trn s khng ng k so vi s u 0
0
mt gi tr gn bng . Ngoi ra, t* cng gn bng 2 trong trng hp mc ngha

95%. Nh vy, khong tin cy ca mu c kch thc ln l Y0 2
V d 3.8
Ramu Ramanathan
35
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Trong v d gi nh, chng ta c sY2 = 111,555 v su20 =1634,353 v khong tin cy

0
tng ng khi X0 = 2.000 s l (307, 353) v (242, 418). Khong tin cy vi c mu ln

l (252,408). (Xem phn Thc Hnh My Tnh 3.4 chy li kt qu ny).
Chng ta nn chn loi khong tin cy no trong s hai loi trn? V quan tm chnh
l sai s d bo i vi gi tr thc Y0, phng trnh (3.29) thng c s dng. Lu
rng khong tin cy theo phng trnh ny rng hn nhiu khong tin cy da trn
phng trnh (3.28)
So Snh Cc Gi Tr D Bo
Cc nh phn tch kinh t v kinh doanh thng s dng nhiu hn mt m hnh d
bo. Mt s o thng dng so snh nng lc d bo ca cc m hnh khc nhau l
sai s bnh phng trung bnh (hoc i khi ngi ta s dng cn bc hai ca n, v
c gi l cn bc hai sai s bnh phng trung bnh).
Gi Yft l gi tr d bo ca bin ph thuc cho quan st t, v Yt l gi tr thc. Sai s
bnh phng trung bnh c tnh nh sau:
(Ytf Yt ) 2
MSE =
n2
RMSE = MSE
Nu hai m hnh c s dng d bo Y, m hnh no c MSE nh hn s c

nh gi l m hnh tt hn cho mc ch d bo.
Mt s o hu ch khc l sai s phn trm tuyt i trung bnh (MAPE)
Yt Ytf
1
MAPE = 100
n
Yt
S o ny ch c ngha nu tt c cc gi tr Y u dng (xem Phn ng Dng

3.11). Mt cch khc, chng ta c th tnh sai s phn trm bnh phng trung bnh
(MSPE) hoc cn ca n
Y Ytf
1
MSPE = 100 t
n
Yt
RMSPE = MSPE
Mt phng php khc nh gi m hnh v nng lc d bo ca n l thc hin d

bo hu mu. Theo phng php ny, ngi phn tch s khng s dng mt s quan
st cui cng (chng hn, 10% s quan st cui cng) trong vic c lng m hnh,
nhng s s dng cc c lng thng s t tp quan st u tin d bo Yt cho phn
mu dnh. Sau chng ta c th tnh MSE v MAPE cho giai on hu mu. M
hnh no c cc gi tr o lng ny thp hn s tt hn cho mc ch d bo.
3.10 Tnh Nhn Qu trong M Hnh Hi Quy
Khi nh m hnh dng Y = + X + u, chng ta ngm gi nh rng X gy ra Y. Mc
d R2 o thch hp, n khng th c s dng xc nh tnh nhn qu. Ni cch
Ramu Ramanathan
36
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

khc, vic X v Y tng quan cht vi nhau khng c ngha rng s thay i X dn n s
thay i Y hay ngc li. V d, h s tng quan gia s lng knguru ca c v tng
dn s nc ny c th l rt cao. Phi chng iu ny c ngha rng s thay i mt
bin s lm cho bin kia thay i? R rng l khng, v y chng ta c mt trng hp
tng quan gi to. Nu chng ta hi quy mt trong cc bin vi bin cn li, chng ta
s c s hi qui gi to. Ly mt v d khc thc t hn, gi s chng ta hi quy s
lng v trm trong mt thnh ph vi s hng hng s v s nhn vin cnh st (X) v
sau quan st thy h s gc c lng c gi tr dng, c ngha rng c tng quan
thun gia X v Y. Phi chng iu ny c ngha rng vic tng s lng cnh st s lm
tng s v trm, do ngm ko theo phi c chnh sch gim lc lng cnh st? R
rng kt lun ny l khng th chp nhn c. iu xy ra c th l mi quan h nhn
qu l ngc li, c ngha l thnh ph nn thu thm cnh st v s v trm tng ln, v
nh vy vic hi quy X theo Y l hp l hn. Tuy nhin, trong thc t, hai bin s c
xc nh kt hp v do chng ta nn nh r hai phng trnh, mt vi Y theo X v
cc bin khc v phng trnh cn li vi X theo Y v cc bin khc. Vic xc nh ng
thi cc bin s c trnh by chi tit chng 13. Nh s thy chng ny cc c
lng thu c bng cch b qua tnh ng thi s b sai lch v khng nht qun. Cng
c th l s tng quan cao quan st c gia X v Y c th hon ton l do cc bin
khc v khng bin no trong s chng c th trc tip gy ra cc bin cn li. Nhng v
d ny nhn mnh tm quan trng ca vic cn nhc k lng bn cht c ch hnh vi
tim n l g, tc l, qu trnh pht d liu l g (DGP), v lp m hnh mt cch ph
hp. L thuyt kinh t, kin thc ca nh phn tch v cc hnh v tim n, kinh nghim
qu kh, v.v. phi gi m hnh nn phi c xc nh nh th no. Tuy nhin, c th
kim nh phng hng ca s nhn qu mt cch r rng (chi tit s trnh by
chng 10). c gi quan tm n vn ny c th tham kho bi vit ca Granger
(1969) v Sims (1972).
minh ha tm quan trng ca vic xc nh chnh xc s nhn qu, gi s chng ta
o ngc v tr ca X v Y v c lng m hnh:
Xt = * + *Yt + vt
(3.1)
Liu chng ta c th tm c ng thng ging nh trc khng? Cu tr li, ni
chung, l khng. V th tc bnh phng nh nht c p dng cho phng trnh (3.1)
s cc tiu ha tng bnh phng ca cc lch ng t ng thng (xem hnh 3.10).
Tri li, ng thng nghch cc tiu ha tng bnh phng ca cc lch ngang vt.
Tm Yt theo Xt, Phng trnh (3.1) c th c vit li nh sau:
* 1
vt
Yt = * + * X t * = ' + ' X t + vt'

Vic cc tiu ha
2
t
, lm tng t nh vi phng trnh (3.1), v cc tiu ha
2
t
s thng cho ra cc kt qu khc nhau. C th hn, gi tr c lng ca s khc vi

gi tr t phng trnh (3.1).
HNH 3.10 Cc Tiu Ha Tng Bnh Phng theo Trc Tung v Trc Honh
Ramu Ramanathan
37
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
V d 3.9
Quan h c lng khi
2
t
c cc tiu ha l (xem Phn Thc Hnh My Tnh 3.5)
GIA = 52,351 + 0,13875 SQFT
Khi quan h nhn qu c o ngc v
2
t
c cc tiu ha, chng ta c
SQFT = 33,385 + 5,913666 GIA

Nghch o quan h c lng th hai v biu din GI l hm ca SQFT, ta c
GIA =
33.385
1
+
SQFT = 5.645 + 0.169SQFT
5.913666 5.913666
Lu rng du ca s hng hng s b nghch o v dc l hon ton khc.

Nh vy di iu kin g th hai ng c lng s nh nhau? tr li cu hi
ny, u tin p dng OLS cho phng trnh (3.1); ngha l cc tiu ha vt2 . Hon i
X v Y trong phng trnh 3.10, ta c:
Ramu Ramanathan
38
xy
yy
'
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

V do ' = S yy / S xy . c lng bnh phng nh nht lm cc tiu

= S xy / S xx . ' bng , iu kin l
S xy
S xx
S yy
S xy
hoac
S xy2
S xx S yy
2
t
=1
Nhng v tri ca phng trnh th hai l rxy2, bnh phng ca h s hi quy n gia
X v Y (nh ngha phng trnh 2.11). Nh vy, iu kin cn l X v Y phi tng
quan hon ho. Tnh cht 2.4d ni rng nu tn ti s tng quan hon ho gia hai bin,
th phi tn ti mt quan h tuyn tnh chnh xc gia chng. V vy, s thch hp gia X
v Y phi hon ho th chng ta mi nhn c cng mt ng hi quy cho d chng ta
p dng OLS cho phng trnh (3.1) hay (3.1). Nhn chung, s tng quan gia X v Y
s khng hon ho, chnh v vy chng ta s khng nhn c cng mt ng thng hi
quy. iu ny nhn mnh tm quan trng ca vic xc nh ng hng quan h nhn
qu thay v vic chn thiu suy xt bin X v Y.
Nh c minh ha trc y trong v d v ti phm, quan h nhn qu c th
theo c hai chiu, tnh hung ny c gi l phn hi. Quan h gia gi bn v lng
bn cng l v d ca hin tng ny. V gi v lng bn c xc nh cng lc bi
quan h tng tc gia cung v cu, cho nn ci ny c th nh hng ci kia. Tng t,
hin tng phn hi cng c tm thy trong quan h gia thu nhp tng hp v tiu
dng hay u t. Nhng tnh hung ny s c trnh by ch m hnh hi quy h
phng trnh chng 13.
3.11 ng Dng: Quan H gia Bng Sng Ch v Chi Ph cho Hot ng Nghin Cu
v Pht Trin (R&D)
Phn ny s trnh by mt v d din tp khc v phn tch hi quy. D liu dng trong
v d ny tp tin DATA3.3, m s cp n cc bin sau:
PATENTS = S ng dng bng sng ch c ghi nhn, n v ngn, giao ng t 84,5 189,4
R&D =
Chi ph cho nghin cu v pht trin, n v t la 1992, c xc nh

bng t s gia chi ph theo la hin hnh v ch s gim pht tng sn
phm quc ni gp (GDP), giao ng t 57,94 n 166,7.
D liu theo nm ly trong vng 34 nm t 1960 n 1993 cho ton b nc M.

Ngun c trnh by ph lc D.
Nu mt quc gia chi nhiu hn cho hot ng nghin cu v pht trin, chng ta c
th k vng rng quc gia ny s t c nhiu ci tin c bo v thng qua lut bng
sng ch hn. Do , chng ta k vng tn ti mt quan h dng gia s lng bng
sng ch c ban b v chi tiu cho R&D. Mc d hiu qu ca hot ng nghin cu
v pht trin s tr vi nm sau khi d n c bt u, n gin ha chng ta b qua
hin tng ny. nhng chng sau chng ta s kho st hiu ng tr ca cc bin c
lp v s quay li v d ny.
Ramu Ramanathan
39
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

M hnh hi quy tuyn tnh c lng c trnh by di y km vi cc tr thng

k mu t trong ngoc n (Phn Thc Hnh My Tnh 3.6 hng dn cch lp li kt qu
ca phn ny v Bng 3.5 trnh by kt qu.)
SANGCHE = 34,571 + 0,792R & D

(5,44)
(13,97)
R2 = 0,859
d.f. = 32
Fc (1,32) =195,055 = 11,172
kim nh m hnh v s ngha tng th, chng ta s dng tr thng k F, c gi

tr bng 195,055. Theo gi thuyt H0 th s bng sng ch v chi ph cho R&D l khng
tng quan, Fc tun theo phn phi F vi bc t do t s l 1 v bc t do mu s l
32 (= 34 2). T bng A.4a (cng trong ba sau) chng ta c nhn xt rng gi tr
ngng F(1,32) mc ngha 1% nm gia 7,31 v 7,56. V Fc cao hn nhiu so vi
gi tr ny, chng ta kt lun rng s bng sng ch v chi ph cho R&D l tng quan
ng k. Kt lun ny c cng c thm thng qua gi tr thng k mu t. Kim nh
hai u vi mc ngha 1%, bng t trong ba trc ca quyn sch (hay Bng A.2) cho
thy gi tr ngng vi 32 bc t do nm gia 2,704 v 2,75. V gi tr quan st tc cao
hn nhng gi tr ny nhiu chng ta kt lun rng c s hng tung gc v dc c
gi tr khc 0 mt cch ng k. S o thch hp R2 cho bit m hnh gii thch c
85,9% s bin i ca bin ph thuc. Mc d y dng nh l mt s thch hp tt,
tuy nhin chng ta thy t hnh 3.11 rng m hnh khng hon ton th hin s bin i
thc t v s bng sch ch. ng thng hi quy l ng lin v n khng i din
y bn cht ng cong ca d liu quan st. Chnh v iu ny m hnh s d bo
rt km s lng bng sng ch ti nhiu nm.
im ny c nu ra r hn Bng 3.5, bng ny c nhiu tr thng k hu ch khc.
Ct th t l gi tr trung bnh c lng Yt , ct nm l gi tr phn d c tnh bng
gi tr quan st tr i gi tr trung bnh c lng u = Y Y v ct cui cng l sai s
()
phn trm tuyt i (APE), c tnh bng 100 ut / Yt . Gi tr d bo trnh by bng

3.5 c lm trn n 1 ch s thp phn. V d liu gc v s bng sng ch ch c mt
s thp phn, nn vic c gng c c cc gi tr d bo c chnh xc n hn mt s
thp phn l khng c ngha.
HNH 3.11 S Bng Sng Ch Theo Chi Ph cho R&D ca Nc M

S bng sng ch
(ngn)
Ch ph R&D
(t)
Ramu Ramanathan
40
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
BNG 3.5
Cc phng php nh lng

Bi c

Bo Co My Tnh c Ch Thch cho Phn ng Dng ca

Phn 3.11.
Cc lnh ELS c in m v cc li nhn xt c in nghing

Danh sch cc bin
(0) Hng s
(1) Nm
(2) R&D
(3) PATENTS (SNG CH)
Thi on: 1, quan st ln nht: 34, phm vi quan st: sut 1960-1993, hin hnh 19601993 (c lng m hnh theo OLS)
c lng theo OLS s dng 34 quan st t 1960-1993

Bin ph thuc PATENTS
Bin
H s
Sai s chun
T stat
2Prob(t > |T|)
(0) Hng
(2) R&D
34,571064
0,791935
6,357873
0,056704
5,437521
13,966211
< 0,0001***
< 0,0001***
Gi tr trung bnh ca
bin ph thuc
Tng bnh phng sai
s (ESS)
R-bnh phng khng
hiu chnh
Tr thng k F
Tr Durbin-Watson
119,238235 S.D. ca bin ph

thuc
3994,300257 Sai s chun ca phn
d
0,859 R- bnh phng hiu
chnh
195,055061 p-value =
Prob(F>2427.709)
0,233951 H s t tng quan
bc nht
29,305827
11,172371
0,855
<0,0001
0,945
Cc gi tr thng k chn m hnh

SGMASQ
HQ
GCV
124,821883
136,255226
132,623251
AIC
SCHWARZ
RICE
132,146377
144,560215
133,143342
FPE
SHIBATA
132,164347
131,300527
?genr ut=uhat
(lu cc c lng phn d )
?genr temp = PATENTS -ut
(tnh gi tr gn)
genr fitted = int (0.5+ (10*temp))/10
(lm trn n mt s thp phn)
?genr error = PATENTS fitted (tnh sai s d bo)
?genr abspcerr = int (0.5 + (1000*abs(error)/PATENTS))/100 (tnh sai s % tuyt i
v lm trn n hai ch s thp phn)
?print o R&D PATENTS fitted error abspcerr;
(in cc gi tr dng bng)
OBS
1960
1961
1962
1963
1964
Ramu Ramanathan
R&D
57,94
60,59
64,44
70,66
76,83
Patens
84,5
S6,2
90,4
91,1
93,2
41
Fited
80,5
82,6
85,6
90,5
95,4
Error ABSPCERR
4,0
4,73
5,6
6,35
4,8
5,31
0,6
0,66
-2,2
2,36
Ngi dch: Thc oan
Hiu nh: Cao Ho Thi
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
80,00
84,82
86,84
88,81
88,28
85,29
83,18
85,07
86,72
85,45
83,41
87,44
90,11
94,50
99,28
103,64
108,77
113,96
121,72
133,33
144,78
148,39
150,90
154,36
157,19
161,86
164,54
166,70
165,20
Cc phng php nh lng

Bi c
100,4
93,5
93,0
98,7
104,4
109,4
111,1
105,3
109,6
107,4
108,0
110,0
109,0
109,3
108,9
113,0
114,5
118,4
112,4
120,6
127,1
133,0
139,8
151,9
166,3
176,7
178,4
187,2
189,4

97,9
101,7
103,3
104,9
104,5
102,1
100,4
101,9
103,2
102,2
100,6
103,8
105,9
109,4
113,2
116,6
120,7
124,8
131,0
140,2
149,2
152,1
154,1
156,8
159,1
162,8
164,9
166,6
155,4
2,5
-8,2
-10,3
-6,2
-0,1
7,3
10,7
3,4
6,4
5,2
7,4
6,2
3,1
-0,1
-4,3
-3,5
-6,2
-6,4
-18,5
-19,6
-22,1
-19,1
-14,3
-4,9
7,2
13,9
13,5
20,6
24,0
2,49
8,77
11,08
6,28
0,10
6,67
9,63
3,23
5,84
4,84
6,85
5,64
2,84
0,09
3,95
3,19
5,41
5,41
16,55
-16,25
17,39
14,36
10,23
3,23
4,33
7,87
7,57
11,00
12,67
Nhiu gi tr APE ln hn 5%, v trong mt s nm chng vt qua 10%, y l t l

kh ln. Chng ta cng quan st thy rng cc im phn tn co cm li vi nhau trong
cc nm t 1966-1977, ch ra rng mt yu t no khc hn l chi ph R&D gy ra s
thay i v s bng sng ch. Do , quan st k hn cc kt qu ch cho thy s xc
nh sai m hnh. Trong chng 6, chng ta s dng tp d liu ny c lng m
hnh ng cong v s xem xt xem liu vic xc nh ny c th hin tt hn cc bin
i quan st c v s bng sng ch khng.
TM TT
Mc d m hnh hi quy tuyn tnh n hai bin c s dng trong chng ny, nhng
hu ht cc kha cnh c bn ca vic tin hnh phn tch thc nghim c cp.
Tht hu ch khi tm tt li cc kt qu c tho lun t u n gi.
Mt m hnh hi quy tuyn tnh n l Yt = + Xt + ut (t = 1, 2, , n). Xt v Yt l
quan st th t ln lt ca bin c lp v bin ph thuc, v l cc thng s ca tng
th khng bit s c c lng t d liu ca X v Y, ut s hng sai s khng quan st
c, y l cc bin ngu nhin vi cc tnh cht c cp di y, n l tng s
quan st. dc () c din dch l nh hng cn bin ca s tng mt n v gi tr
Xt ln Yt , + Xt l tr trung bnh c iu kin ca Y cho trc X = Xt.
Th tc bnh phng nh nht thng thng (OLS) cc tiu ha tng bnh phng sai
s u 2t v tnh ton cc c lng (k hiu v ) ca s hng tung gc v
Ramu Ramanathan
42
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
dc . Yu cu duy nht thc hin vic c lng cc thng s theo OLS l n c gi

tr nh nht bng 2 v t nht mt trong nhng gi tr ca X l khc nhau ngha l,
khng phi tt c cc gi tr ca X l nh nhau.
Nu ut l bin ngu nhin c gi tr trung bnh bng 0, v Xt cho trc v khng ngu
nhin, th E(ut) = 0 v E(Xtut) = 0. Cc phng trnh chun l ut = 0 v X t ut = 0 .
Li gii ca cc phng trnh ny cho kt qu l cc c lng theo OLS ca v .
Di cc gi nh va nu ra, cc c lng theo OLS l khng thin lch v nht
qun. S nht qun c gi nguyn ngay c nu Xt l ngu nhin, min l Cov(X, u) =
0 v 0 < Var(X) < - ngha l, min l X v u khng tng quan v X khng l hng s.
Nu cc gi tr u tun theo phn phi c lp v tng t nhau (iid) vi mt phng
sai xc nh, v cng s l cc c lng khng thin lch tuyn tnh tt nht
(BLUE); tc l, trong s tt c t hp tuyn tnh khng thin lch ca cc gi tr ca Y,
v c phng sai nh nht. Kt qu ny c gi l nh l Gauss-Markov v c
ngha rng, ngoi tnh cht khng thin lch v nht qun, cc c lng theo OLS cng
l cc c lng hiu qu nht. Nu cc gi tr ca u tun theo phn phi chun c lp
v tng t nhau N(0, 2), cc c lng theo OLS cng l cc c lng thch hp nht
(MLE).
T v , gi tr d bo ca Yt (k hiu l Yt ) thu c bng Yt = + X t , v phn
d c c lng bng u = Y Y . Sai s chun ca cc phn d l mt c lng
ca lch chun v c tnh theo cng thc = u t2 (n 2) . T cc kt qu

ny, ta c th suy ra sai s chun ca v ( s v s ). Cc sai s chun cng nh,
1/ 2
chnh xc ca cc c lng ca cc thng s cng ln. S bin i ca X cng ln cng

tt v iu ny c khuynh hng ci thin chnh xc ca cc c lng ring l.
Cc bc tin hnh kim nh i thuyt mt u v c tin hnh nh sau:
BC 1
BC 2
H0 : = 0
H1 : > 0
Tr thng k kim nh l t c = 0 / s , trong s l sai s chun
c lng ca . Theo gi thuyt H0, gi tr ny tun theo phn phi t vi

n 2 bc t do.
BC 3
Tra bng t vi gi tr ng vi n 2 bc t do v mt mc ngha cho trc

(chng hn ), v tm im t*n-2() sao cho P(t> t*) = .
BC 4
Bc b H0 ti mc ngha nu tc > t*. Nu gi thuyt ngc li H1 l

< 0, H0 s b bc b nu tc < - t*.
Kim nh c th c thc hin theo mt cch tng ng. Cc bc 3 v 4 c iu

chnh nh sau:
BC 3a
BC 4a
Ramu Ramanathan
Tnh xc sut (k hiu l p-value) sao cho t > |tc|.

Bc b H0 v kt lun l h s c ngha nu p-value nh hn mt mc
ngha no ().
43
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Cc bc kim nh gi thuyt ngc li H1 c tnh hai pha c thc hin nh sau:

H0 : = 0
H1 : 0
Tr thng k kim nh l t c = 0 / s . Theo gi thuyt H0, gi tr tun
BC 1
BC 2
theo phn phi t vi n 2 bc t do.

Tra bng t vi gi tr ng vi n 2 bc t do v mt mc ngha cho trc
(chng hn ), v tm im t*n-2(/2) sao cho P(t> t*) = /2 (mt na ca
mc ngha).
Bc b H0 ti mc ngha nu |tc| > t*.
BC 3
BC 4
Cc bc hiu chnh thc hin kim nh theo phng php p-value nh sau:
BC 3a Tnh p-value = 2P(t > |tc|).
BC 4a Bc b H0 nu p-value nh hn mt mc ngha no ().
Tr thng k o lng thch hp ca mt m hnh l R2 = 1- (ESS/TSS), trong
2
ESS = u v TSS = Yt Y . R2 c gi tr t 0 n 1. Gi tr ny cng cao
2
thch hp cng tt. R mang hai ngha: (1) n l t l ca tng phng sai ca Y m m
hnh gii thch, v (2) n l bnh phng ca h s tng quan gia gi tr quan st (Yt)
.
ca bin ph thuc v gi tr d bo Y
t
2
t
( )
Kim nh v thch hp tng th ca m hnh c th c thc hin bng cch s

dng gi tr R2. Cc bc c tin hnh nh sau (xy l h s tng quan ca tng th
ca hai bin X v Y):
BC 1
BC 2
BC 3
BC 4
H0: xy = 0
H1: xy 0
Tr thng k kim nh l Fc = R2(n 2)/(1 R2). Theo gi thuyt H0, tr
thng k ny tun theo phn phi F vi 1 bc t do t s v n 2 bc t
do mu s.
Tra bng F theo t s 1 bc t do v mu s n 2 bc t do v mt mc
ngha cho trc (chng hn ) tm g tr F* sao cho: P(F>F*) = .
Bc b gi thuyt H0 (ti mc ngha ) nu Fc > F*.
Khong tin cy 95% ca c xc nh nh sau:
( t s
*
, + t * s
D bo c iu kin ca Y, cho trc X bng X0, l Y = + X 0 . Phng sai ca n

(php o tin cy ca d bo) t l thun vi khong cch ca X0 so vi gi tr trung
bnh X . Nh vy, X0 cng xa khi gi tr trung bnh ca X, gi tr d bo cng km tin
cy.
Ramu Ramanathan
44
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

Thay i thang o ca bin ph thuc dn n thay i tng ng thang o ca mi h

s hi quy. Tuy nhin, cc gi tr R2 v tr thng k t s khng i. Nu thang o ca
mt bin c lp thay i, h s hi quy ca n v cc h sai s chun tng ng b thay
i cng thang o, tuy nhin tt c cc tr thng k khc khng thay i.
Vic xc nh chnh xc quan h nhn qu l ht sc quan trng trong m hnh hi
quy. Gi thit chun l X gy ra Y. Tuy nhin, nu X v Y c tro i, v m hnh
c c lng bng Xt = * + *Yt + vt, ng thng hi quy ni chung s khc vi
ng c xc nh t m hnh Yt = + Xt + ut.
THUT NG
Analysis of variance (ANOVA)
Best linear unbiased estimator (BLUE)
Coefficient of multiple determination
Conditional mean of Y given X
Critical region
Data-generating process (DGP)
Engel curve
Error sum of square (ESS)
Estimated residual
Explained variation
Feedback
Fitted straight line
F-test
Gauss-Markov theorem
Goodness of fit
Heteroscedasticity
Homoscedasticity
Joinly determined
Linear estimator
Marginal effect of X on Y
Mean absolute percent error (MAPE)
Mean squared error (MSE)
Mean squared percentage error (MSPE)
Method of least square
Nonlinear regression model
Normal equation
Ordinary least squares (OLS)
Population parameters
Population regression function
Population regression line
Population variance
Postsample forecast
Ramu Ramanathan
45
Phn tch phng sai

c lng khng thin lch tuyn tnh tt
nht
H s xc nh bi
Gi tr trung bnh iu kin ca Y bit trc
X
Vng ngng (vng ti hn)
Qu trnh pht d liu
ng cong Engel
Tng bnh phng sai s
Phn d c lng
S bin i gii thch c
Phn hi
ng thng thch hp
Kim nh F
nh l Gauss-Markov
khp
Phng sai ca sai s thay i
ng phng sai sai s (tnh cht phng
sai ca sai s khng thay i)
c xc nh cng lc
c lng tuyn tnh
Hiu ng cn bin ca X ln Y
Sai s phn trm tuyt i trung bnh
Sai s bnh phng trung bnh
Sai s phn trm bnh phng trung bnh
Phng php bnh phng ti thiu
M hnh hi quy phi tuyn
Phng trnh chun
Bnh phng ti thiu thng
Tham s ca tng th
Hm hi quy ca tng th
ng hi quy ca tng th
Phng sai ca tng th
D bo hu mu
Ngi dch: Thc oan
Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c
p-value
Regression coefficients
Regression sum of squares (RSS)
Residual
Root mean squared error
Sample estimate
Sample regression line
Sample regression function
Sample scatter diagram
Serial correlation
Serial independence
Significanly different from zero
Significanly greater from zero
Simple linear regression model
Spurious correlation
Spurious regression
Standard error of a regression
coefficient
Standard error of the regression
Standard error of the residuals
Statistically insignificant
Statistically not greater than zero
Statistically significant
Sum of squares of the residuals (ESS)
Total sum of squares (TSS)
Total variance
t-statistic
t-test
Unexplained variation
Well-behaved errors
White-noise errors

Gi tr p
Cc h s hi quy
Tng bnh phng hi quy
Phn d
Cn bc hai ca sai s bnh phng trung
bnh
c lng ca mu
ng hi quy ca mu
Hm hi quy ca mu
Biu phn tn ca mu
Tng quan chui
c lp chui
Khc 0 mt cch ng k
Ln hn 0 mt cch ng k
M hnh hi quy tuyn tnh n
Tng quan gi to
Hi quy gi to
Sai s chun ca h s hi quy
Sai s chun ca hi quy
Sai s chun ca phn d
Khng c nghav thng k
Khng ln hn 0 v mt thng k
C ngha v thng k
Tng bnh phng ca cc phn d
Tng bnh phng ton phn
Phng sai tng
Tr thng k t
Kim nh t
Bin i khng gii thch c
Sai s thay i ngu nhin
Sai s do nhiu trng
3.A PH LC
Chng Minh Cc Phng Trnh
3.A.1 Biu din 3 chiu ca m hnh tuyn tnh n

Hnh 3.A.1 biu din bng th cc gi thit lit k trong bng 3.2 cho trng hp ca m hnh
hi qui 2 bin n. Trc X v Y i din cho cc gi tr ca cc bin X v Y. Trc Z l hm mt
xc sut f(u) ca sai s ngu nhin u. ng thng + X l trung bnh c iu kin ca Y
vi X cho trc, c gi s l tuyn tnh. Cc phn phi thng k c v xung quanh ng
trung bnh cho 3 gi tr X1, X2 v X3 l cc phn phi c iu kin tng ng. Nh cp
trong bi, gi thit rng Var(ut) = 2 c gi l phng sai ca sai s khng i, c ngha
phn tn nh nhau. Hnh 3.A.1 m t tnh bt bin ca phng sai ca sai s cho tt c cc quan
st. Nu cc phng sai ny khng bt bin m thay i theo t [nh vy, Var(ut) 2t], ta c
Ramu Ramanathan
46
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

phng sai ca sai s thay i (phn tn khng nh nhau). Hnh 3.A.2 minh ha trng hp
phng sai ca sai s thay i trong phng sai tng khi X tng. Trng hp ny c xem
xt chi tit hn trong chng 8.
Hnh 3.A.1 Biu din th ca M hnh Hi Qui Tuyn Tnh n

Y
f(u)
+ X
X1
X2
X3
Hnh 3.A.2 Minh ha v phng sai ca sai s khng i

Y
f(u)
+ X
Ramu Ramanathan
X1
X2
X3
47
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

3.A.2 Cc Kt Qu Ca Php Tnh Tng
Cc tnh cht 3.1 v 3.2 c chng minh y

TNH CHT 3.1
S xx = ( X t X) 2 = X 2t n( X) 2 = X 2t
1
( X t ) 2
n
Chng minh
(X
X) 2 = X 2t 2 X t X + ( X) 2 = X 2t 2 XX t + ( X) 2
Nh trc y, X nh nhau vi mi gi tr t. Do vy, biu thc trn =
X
X
2
t
2 X X t + n( X)2 . Hn na
2
t
2 Xn X + n( X)2 . Kt hp s hng th hai v ba trong biu thc ta c phn th
= n X . Do , biu thc tr thnh
nht ca tnh cht. Ta bit rng X = (Xt)/n. Thay vo, ta c phn th hai ca tnh cht.
TNH CHT 3.2
S xy = ( X t X)(Yt Y ) = X t Yt nX Y = X t Yt
[( X )( Y )/ n]
t
Chng minh
(X
X)(Yt Y ) = ( X t Yt X t Y Yt X + X Y )
= X t Yt Y X t X Yt + nX Y
= X t Yt YnX XnY + nX Y
= Xt Yt nX Y
Thay X = ( X t ) / n v Y = ( Yt ) / n , ta c ng thc th hai.

3.A.3 Chng Minh Cc Phng Trnh Chun Bng Php Bnh Phng Nh Nht
Trong phn ny ta p dng phng php bnh phng nh nht, c trnh by trong phn 3.2 v
chng minh cc phng trnh chun (3.4) v (3.5). Tiu chun bnh phng nh nht l chn gi
tr ca v lm ti thiu tng bnh phng sai s:
t=n
t =n
t =1
t =1
ESS( , ) = u 2t = ( Yt X t ) 2
Ramu Ramanathan
48
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

ti thiu ESS vi v , ta cho o hm ring (xem phn 2.A.3 v o hm ring) ESS/

v ESS/ bng 0 v gii phng trnh ny. Ta c
ESS
=
(u ) = 2 u
ESS
=
(u ) = 2 u
2
t
2
t
u t
= 2 u t ( 1) = 2 ( Yt X t )( 1) = 0
u t
= 2 u t ( X t ) = 2 (Yt X t )( X t ) = 0
T ta thu c cc phng trnh sau:
(Y X ) = 0
(Y X )X = 0
t
Ly tng tng s hng v lu rng v khng ph thuc vo t v l tha s chung c th

a ra ngoi cc tng, ta c
Y = n + X
Y X = X + X
t
2
t
Phng trnh u tin tng ng vi phng trnh (3.4) v phng trnh th 2 tng ng vi
phng trnh (3.5).
3.A.4 c Lng Khng Thin Lch Tuyn Tnh Tt Nht (Blue) V nh L GaussMarkov
T l thuyt thng k ta bit rng mt trong nhng tnh cht mong mun cho mt c lng l
c lng tuyn tnh khng thin lch phng sai nh nht (xem nh ngha 2.8). Ni cch khc,
gia cc t hp tuyn tnh ca bin ph thuc khng thin lch, ta chn mt bin c phng sai
nh nht. y l c lng khng thin lch tt nht (BLUE). Trong phn ny ta chng minh
nh l Gauss-Markov, nh l ny cho rng c lng OLS rt ra trong phn 3.2 cng c tnh
cht BLUE.
u tin lu rng c s OLS thc s c th c biu din nh l t hp tuyn tnh

ca Yt. thy iu ny, ta vit li phng trnh (3.12) di y.
(3.12)
( X )( Y )
Sxy = X t Yt t t
n
Lu X = Xt / n , kt qu ny c th c biu din nh
Ramu Ramanathan
49
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
X Y X Y = ( X
t
X)Yt
V = Sxy/Sxx t phng trnh (3.10), ta c
X X
= t
Yt = t Yt
Sxx
X X
y l t hp tuyn tnh ca Yt vi trng s t = t
ph thuc vo Xt. By gi xem tng
Sxx
~
t hp tuyn tnh ca cc gi tr ca Y c dng = a t Yt , vi at c tnh khng ngu nhin. c
~
~
lng khng thin lch tt nht (BLUE) c 2 tnh cht: (1) khng thin lch v (2) Var( ) l
nh nht.
Chng minh
Gi dt = at - t l hiu s cc trng s (lu rng dt ch ph thuc cc bin X v do c xem

l khng ngu nhin). Vy at = t + dt. Tip theo l
~
= (t + d t )Yt = + d t Yt
~
E( ) = + E(d t Yt ) = + d t E(Yt ) = + d t ( + X t )
= + d t + d t X t
c tnh khng thin lch, kt qu ny phi bng , iu ny xy ra khi v ch khi
dt = 0
dtXt = 0
~
Phng sai ca c lng c xc nh bi Var[(t + dt)Yt]. T tnh cht 2.A.5c, phng
sai ca tng cc bin ngu nhin c lp l tng cc phng sai (tnh c lp c m bo bi
gi thit 3.6). Hn na, do gi thit 3.5 v phng sai ca sai s khng i, ut v do vy Yt c
phng sai khng i 2. T ta c
~
Var( ) = 2(t + dt)2 = 22t + 2d2t + 22tdt
S hng th 3 bng 0 v tdt =
Xt X
d t = 0 , do cc iu kin v tnh khng thin lch
Sxx
dt = 0 v dtXt = 0 lm cho mi s hng trong tng bng 0. Trong biu thc trn v phng sai
~
ca , s hng u c lp vi cc bin chn dt. Bi v s hng th hai l tng cc bnh phng,
Ramu Ramanathan
50
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

Cc phng php nh lng

Bi c
ch c cch duy nht ti thiu s hng ny l chn mi gi tr ca ds bng 0. iu ny lm cho

~
at = t v do , nh vy ni rng c lng OLS thc s l BLUE v do vy s c hiu
qu nht. iu ny xc minh nh l Gauss-Markov. Cng nn lu rng vic chng minh nh
l cn n cc gi thit 3.5 v 3.6 v phng sai ca sai s khng i v tnh c lp theo chui.
Nu mt trong 2 gi thit ny b vi phm, th phng php OLS khng cho c lng hiu qu.
3.A.5 c Lng Thch Hp Nht
L do ca phng php c lng thch hp nht c din t chi tit trong phn 2.A.4. Bn c
c th xem phn trc khi bt u phn ny. Trong phn , phng php ny c p
dng cho trng hp c lng gi tr trung bnh v phng sai ca mt phn phi chun. y
ta p dng k thut tng t vo bi ton hi qui. Bi v nguyn l thch hp nht i hi kin
thc v cc phn phi trong bi ton, nn ta cn gi thit 3.7. Cc bc xc nh mt c
lng thch hp nht rt d hiu. Trc tin, lp hm thch hp lin kt hm mt ca cc quan
st vi cc thng s cha bit. cc i hm ny, ly vi phn ring phn logarit ca hm thch
hp cho mi thng s cha bit v cho bng 0. K n gii cc iu kin bc nht tm cc c
lng thch hp nht. Hm mt ca u c xc nh theo [xem phng trnh (2.4)]
f ( u) =
1
( 2 )
e u
/ 2 2
Bi v cc quan st l c lp nhau, hm thch hp ca u1, u2,,un l

L(, , 2) = f(u1) f(u2) f(u3).. .. ..f(un)
=
=
( 2 )
1
( 2 )
e u t /( 2
e ( Yt X t )
/( 2 2 )
Thc hin cc i ha logarit ca hm thch hp th d hn, gi tr cc i s bng vi gi tr ln

nht L bi v loga c tnh cht tng u; ngha l nu a>b, th ln(a)>ln(b).
(Yt Xt ) 2
ln L = n ln n ln( 2 )
22
SSE
= n ln n ln( 2 )
2 2
Trong SSE = (Yt - -Xt)2. v ch xut hin trong s hng SSE. Do , lnL ln nht
bng vi SEE nh nht (bi v c du m trc SSE). Nhng SSE nh nht ngha l cc c
lng bnh phng nh nht. Do , cc c lng bnh phng nh nht cng l MLE vi iu
kin cc sai s ca u tun theo phn phi N(0,2). Bi v cc c lng thch hp nht l ng
nht v hiu qu mt cch tim cn, nn cc c lng OLS cng vy.
Ramu Ramanathan
51
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

c MLE ca 2, ly vi phn ring phn lnL theo v cho bng 0. Ta c

(ln L)
n SEE
= + 3 =0
Gii phng trnh tm 2 ta c 2 = SSE/n. Nhng SSE ph thuc vo v . Tuy nhin, ta c

th dng cc c lng ca chng v . Do ta thu c MLE ca phng sai ca ut bng
~ 2 = u 2 / n . Nh pht biu trc , gi tr ny khng thin lch. Mt c lng khng
v i
t
thin lch c th tm c bng cch chia u 2t cho n-2 v dng 2 xc nh trong phng
trnh (3.21). iu kin khng thin lch c chng minh trong phc lc phn 3.A.7.
3.A.6 Tm Cc Phng Sai Ca Cc c Lng
T phng trnh (3.10), ta c = Sxy/Sxx. V X l khng ngu nhin theo gi thit 3.4, Sxx cng
khng ngu nhin v do Var( ) = Var(Sxy)S2xx. T phng trnh (3.15), Sxy = Sxx + Sxu v
do Var(Sxy) = Var(Sxu). T phng trnh (3.16) ta lu rng Sxu = ( Xt X) u t . Tnh cht
2.A.5c cho thy phng sai ca tng cc bin ngu nhin l tng ca cc phng sai vi iu kin
ng phng sai (covariance) cc s hng bng 0. Theo gi thit 3.6, ut v us l khng tng quan
vi mi ts v ng phng sai bng 0. Do ,
Var(Sxu ) = Var ( X t X) u t = Var[( X t X) u t ] = ( X t X) 2 Var( u t )

Vi gi thit 3.5, Var(ut) = 2. Do , Var(Sxu) = 2 ( Xt X)2 =2Sxx. T s c
Var( ) =
Var(S xy )
S2xx
2 S xx
S2xx
2
S xx
Vy ta chng minh phng trnh (3.18). Th tc chng minh cc phng trnh (3.19) v (3.20) cng
tng t v s l bi tp cho bn c.
3.A.7 c Lng Khng Thin Lch Ca Phng Sai Ca S Hng Sai S
Theo phng trnh (3.21), s2 = 2 = ( u 2t ) /(n 2) l mt c lng khng thin lch ca 2.

iu ny c chng minh nh sau.
u t = Yt X t = Yt ( Y X) X t
Dng phng trnh (3.9) cho . V Yt c xc nh bi phng trnh (3.1), Y = + X + u vi
u bng ut/n. Do , nhm tt c cc s hng ta c,
Ramu Ramanathan
52
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

u t = ( + Xt + ut ) ( + X + u) + X X t
= ( u u) ( )(X X)
t
Tng bnh phng ca u t c xc nh theo
u = ( u
2
t
u )2 + ( )2 ( X t X )2 2( ) ( X t X )( u t u )
= Suu + ( )2 Sxx 2( )Sxu
t
Dng k hiu tng t nh trong phng trnh (3.11) v (3.16). T phng trnh (3.15), Sxu= Sxy Sxx = Sxx( - ). Thay kt qu ny vo phng trnh trn v kt hp cc s hng th hai v ba ta
c
2
t
= S uu ( ) 2 S xx
tnh gi tr k vng ca tng bnh phng ca sai s, ta cn E(Suu)v E[( - )2]. T tnh cht
2.11b ta lu rng
E(Suu) = (n-1)Var(u) = (n-1)2. Hn na,
2
E[( - )2] = Var( ) =
S xx
T phng trnh (3.18). t tt c cc kt qu, ta c
E u 2t = E (S uu ) S xx E[( ) 2 ] = (n 1) 2 2 = (n 2) 2
Chia cho n-2 ta c kt qu mong mun

u 2t
2
2
E( ) = E
=
n 2
Vy, 2 l c lng khng thin lch ca 2.
3.A.8 Chng Minh Phng Trnh 3.25
Gi tr tng bnh phng c vit li nh sau:
(Y
+Y
Y) 2
Y ) 2 = (Yt Y
t
t
=
(Y
) 2 + (Y
Y ) 2 + 2 ( Y Y
)(Y
Y)
Y
t
t
t
t
t
, hai s hng u tin l hai s hng c trong phng trnh (3.25). By gi tt c

Vi u t = Yt Y
t
)(Y
Y ) = u (Y
Y) = 0 .
iu ta cn l phi chng minh rng (Y Y
t
Ramu Ramanathan
53
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
u (Y
t

Cc phng php nh lng

Bi c
Y ) = u t ( + X t Y ) = u t + u t X t Y u t
T phng trnh chun u tin (3.4), u t = (Yt X t ) = 0 . T phng trnh (3.5),

u X = (Y X ) X = 0 , vy kt qu c chng minh.
3.A.9 Chng Minh Phng Trnh 3.26a
chng minh phng trnh (3.26a), trc tin ta tm ng phng sai mu (k hiu bi Cov)
gia Yt v Yt . T phng trnh (2.10),
)=
Cov (Yt, Y
t
1
(Yt Y )(Y t Y )
n 1
cng l Y bi v + X = Y . Vy,
Lu rng trung bnh ca Y
t
) + (Y
Y ) = u + (Y
Y)
Yt Y = (Yt Y
t
t
t
t
Do ,
)=
Cov (Yt, Y
t
Y)
(Y
t
n 1
(Y
+
Y) 2
n 1
bng vi
Phn trc cho thy s hng th nht bng 0. Do vy, ng phng sai ca Yt v Y
t
s hng th hai, l RSS/(n-1);
) = RSS
Cov (Yt, Y
t
n 1
Ta cng c
TSS
Var(Yt) =
n 1
)=
Var( Y
t
(Y
Y) 2
n 1
RSS
n 1
T phng trnh (2.7) ta nh li bnh phng ca h s tng quan n gia Yt v Yt c xc

nh bi
rY2Y =
)
Cov 2 (Yt , Y
t
)
Var(Yt )Var(Y
t
Thay th ng phng sai v phng sai t biu thc va rt ra v b n-1, ta c

Ramu Ramanathan
54
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
rY2Y =

Cc phng php nh lng

Bi c
RSS2
RSS
=
= R2
TSS RSS TSS
Vy, bnh phng ca tng quan n gia gi tr quan st Yt v gi tr Yt c d bo bi m

hnh hi qui l nh nhau v l R2 c nh ngha trong phng trnh (3.26).
3.A.10 Chng Minh Rng r2xy = R2 Cho M Hnh Hi Qui n
Trong phn ny ta s chng minh rng trong trng hp m hnh hi qui n, R2 cng bng vi
bnh phng ca tng quan n gia X v Y. T phng trnh (2.11), r2xy = S2xy/(SxxSyy). Syy
= + X v
Y ) 2 . V Y
bng vi tng bnh phng TSS. Hn na, RSS = (Y
t
t
t
Y = ( X X) . Do ,
Y = + X , ta c Y
t
t Y ) 2 = 2 ( X t X ) 2 = 2 S xx
RSS = ( Y
T phng trnh (3.10), = Sxy/Sxx. Thay kt qu ny cho mt s hng trn, ta thu c
S xy
RSS =
S xx
(S xx ) = S xy
Thay th Sxy t kt qu ny v lu rng Syy = TSS, ta c

2
xy
r =
S 2xy
S xy S xy
S xx S yy S xx TSS
Kt qu c chng minh.
S xy
TSS
= R2
3.A.11 Chng Minh Phng Trnh 3.28
) = E[ Y
E( Y
X )] 2
Var ( Y
0
0
0
= E[ + X 0 X 0 ] 2 = E[( ) + X 0 ( )] 2
= Var( ) + X 2 Var( ) + 2X Cov( , )
0
Trong php bin i trn, ta dng tnh cht 2.4a. Thay t phng trnh (3.18), (3.19) v (3.20),
ta c
X2
) = 2 t + X2 1 2 X0 X
Var (Y
0
o
S xx
S xx
nS xx
Ramu Ramanathan
55
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Vi Sxx =
2
t
Cc phng php nh lng

Bi c
n X 2 . Lu rng
2
t

= S xx + nX 2 v thay vo biu thc phng sai, ta c
X 2 + X 20 2X 0 X
( X 0 X) 2
2 1
2 1
Var(Y0 ) = +
= +
S xx
S xx
n
Kt qu ny l phng trnh (3.28).

3.A.12 Chng minh phng trnh 3.29
l sai s ti im d bo ca Y0, vi Y
= + X l gi tr d bo ca trung
Gi u 0 = Y0 Y
0
0
0
bnh. Do ta c
) 2Cov(Y , Y
)
Var( u 0 ) = Var(Y0 ) + Var(Y
0
0
0
) c xc nh bi phng trnh (3.26).
V Y0 = + X0 + u0, Var(Y0) = 2. Mt khc, Var( Y
0
) = 0, bi v u0 khng tng quan vi cc s d khc v do khng tng
Cui cng, Cov(Y0, Y
0
quan vi v . Vy ta c
1 (X X) 2
Var ( u 0 ) = 2 1 + + 0
S xx
n
Ramu Ramanathan
56
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi
Cc phng php nh lng

Bi c

BI TP
Cu Hi L Thuyt
3.1. Tt c cc tng bn biu thc di y c dng tnh cc d liu mu, khng
phi dnh cho tp hp hon chnh. Hy ch ra nhng biu thc sai v ng. Gii
thch ti sao nhng biu thc ng hay sai.
a.
tn=1 ut = 0
b.
tn=1 X t ut = 0
c.
tn=1 ut = 0
d. t =1 X t ut = 0
3.2. C s khc bit g gia s hng sai s v phn d? Hy gii thch s khc bit gia ut
v E(ut). Sau , hy chng minh rng E (u t ) = 0 . V gii thch gi tr k vng
ngha l g cng nh nu ra nhng gi thit cn thit chng minh biu thc trn.
3.3. Cho m hnh tuyn tnh n bin Yt = + X t + u t , hy chng minh rng di
nhng gi thit nht nh, phng php c lng OLS cho kt qu cc c lng
n
khng chch? C ngha l cn phi chng minh rng E (Yt = E (Yt ) . Hy nu ra

nhng gi thit cn thit cho vic chng minh .
3.4. Nu ra nhng gi thit cn thit cho mi pht biu sau. ng thi gii thch l do ti
sao nhng gi thit ny cn cho pht biu .
e. c lng v bng phng php OLS
f. chng minh rng cc c lng ca cc thng s theo phng php OLS l
khng chch v nht qun.
g. chng minh rng cc c lng theo phng php OLS l hiu qu
h. thc hin kim nh t v F
3.5. Nhng cu hi sau l ng hay sai? Nu nhng cu hi ny ch ng mt phn, bn
hy ch ra phn ng . Gii thch l do ti sao nhng cu (phn) ng.
i. Cc c lng h s gc theo phng php OLS s chnh xc hn nu cc gi tr
X gn vi tr trung bnh mu ca chng hn.
j. Nu Xt v ut tng quan, cc c lng vn s khng chch.
k. Cc c lng khng th l c lng khng lch tuyn tnh tt nht (BLUE) tr
phi tt c cc gi tr ut tun theo phn b chun.
l. Nu cc s hng sai s khng tun theo phn phi chun th cc kim nh t v F
khng th c thc hin.
m. Nu phng sai ca ut ln th cc khong tin cy ca cc c lng s ln (rng)
hn.
n. Nu phng sai ca X ln th cc khong tin cy c lng s hp hn.
o. Khi tr s p-value ln th h s s khc 0 mt cch ng k.
p. Nu bn chn mt mc ngha cao hn th h s hi qui s c kh nng c
ngha hn.
Ramu Ramanathan
57
Ngi dch: Thc oan

Hiu nh: Cao Ho Thi

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Nin kha 2010-2012

Cc phng php nh lng

Nhp mn Kinh t lng vi cc ng dng 5th ed.

trong , Xt v Yt l tr quan st th t (t = 1 n n) ca bin c lp v bin ph thuc, tip

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Cc phng php nh lng

Nhp mn Kinh t lng vi cc ng dng 5th ed.

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Chng trnh Ging dy Kinh t Fulbright

Cc phng php nh lng

Nhp mn Kinh t lng vi cc ng dng 5th ed.

nh bn trong khu vc San Diego. S liu ny c sn trong a mm vi tn tp tin l

Gi tr trung bnh c lng v trung bnh thc t ca gi

HNH 3.1 Biu Phn Tn Ca Mu Trnh By Mi Lin H Gia Gi v SQFT

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Cc phng php nh lng

Chng trnh Ging dy Kinh t Fulbright

Nhp mn Kinh t lng vi cc ng dng 5th ed.

HNH 3.2 Phng Trnh Hi Quy ca Tng Th v ca Mu

+ X (Hoi qui mau)

+ X (Hoi qui tong the)

Mc tiu u tin ca mt nh kinh t lng l lm sao s dng d liu thu thp c

^ , b thay cho ^ v e thay cho u^ . Chng ta s dng du hiu

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Nhp mn Kinh t lng vi cc ng dng 5th ed.

Cc phng php nh lng

Chng trnh Ging dy Kinh t Fulbright

Vic phn bit gia hm hi quy ca tng th Y = + X v hm hi quy ca mu

nghin cu k vn ny). Lu rng ut l k hiu ch sai s, v

v , phn d c lng th bng

u t = Yt X t . Tiu chun ti u c s dng bi phng php bnh phng ti

v . ESS l tng cc phn d bnh phng v phng

Rt d nhm khi gi ESS l tng ca cc phn d bnh phng, nhng k hiu ny c s

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Chng trnh Ging dy Kinh t Fulbright

Nhp mn Kinh t lng vi cc ng dng 5th ed.

Cc phng php nh lng

1 v 2 ca h s hi quy chn trc tr v chn trc. So snh cc gi tr ny vi

. Nhng phng php ny khng c

dng ph bin trong kinh t lng v kh tnh ton.

Phng Trnh Chun

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Nhp mn Kinh t lng vi cc ng dng 5th ed.

Cc phng php nh lng

Chng trnh Ging dy Kinh t Fulbright

Trong Phng trnh (3.4), cn lu rng = n bi v mi s hng s c mt v

(1/n)Yt l trung bnh mu ca Y, k hiu l Y , v (1/n)Yt l trung bnh mu ca X,

^ X l ng c lng v l ng hi quy ca mu, hoc

Li Gii v Phng Trnh Chun

Sxx = (Xt X)2 = Xt2 nX)2 = Xt2 (Xt)2

TNH CHT 3.2

Sxy = (Xt X)(Yt Y) = (XtYt) n XY

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Nhp mn Kinh t lng vi cc ng dng 5th ed.

Cc phng php nh lng

Chng trnh Ging dy Kinh t Fulbright

T Phng trnh (3.7),

Nhm cc s hng c tha s :

K hiu Sxx v Sxy c th c nh mt cch trc quan nh sau, nh ngha

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Cc phng php nh lng

Chng trnh Ging dy Kinh t Fulbright