III.

KiM NH M HNH HI QUY

1. Cc i lng ngu nhin

a. i lng ngu nhin Ui
Theo gi thit ca phng php OLS, Ui l i lng
ngu nhin c gi tr trung bnh bng 0 v phng
sai khng thay i
Gi s
Ui ~ N(0,2)

Chng 2

M HNH HI QUY
HAI BIN (phn 2)

Khi 2 c gi l phng sai ca tng th , rt kh

tnh c nn thng c c lng bng phng sai
mu

2 =

ei2

n2

III. KiM NH M HNH HI QUY

RSS
n2

2 ~ N ( 2 , 2 )
2

N(1+2Xi,2)

1 ~ N ( 1 , 2 )

Gi s :

Nn Yi

n2

N(0,2)

V sao 1 , 2 l cc i lng ngu nhin ?

Yi = 1 + 2 X i + U i
Ui

1. Cc i lng ngu nhin

b. i lng ngu nhin ,

a. i lng ngu nhin Ui

(Y Y )

III. KiM NH M HNH HI QUY

1. Cc i lng ngu nhin

Ta c

Trong

l phng sai ca

2 l phng sai ca 2
2

III. KiM NH M HNH HI QUY

III. KiM NH M HNH HI QUY

1. Cc i lng ngu nhin

Vi

2 =
1

X
n( X nX

2 =
2

2
i

2
i

2
i

nX 2

1. Cc i lng ngu nhin

X
n ( X nX
2
i

2
i

se( 1 ) = 2

lch chun ca

se( 2 ) = 2

lch chun ca

2
i

nX 2

2
V : 1 N ( 1 , )
2 N ( 2 , 2 )
1

1 1
N (0,1)
se( 1 )

Nn :

2 2
N (0,1)
se( 2 )

Nhng do c lng bng 2 dn n

2

1 1
T (n 2)
se( 1 )
2 2
T (n 2)
se( 2 )

Vi T(n-2) l phn phi TStudent vi bc t do (n-2)

III. KiM NH M HNH HI QUY

th phn phi ca thng k t

2. Cc khong tin cy
a. Khong tin cy ca 2

f(t)

2
Ta c t = 2
T (n 2)
se( 2 )
Gi s ta mun xy dng mt khong gi tr
ca 2 vi tin cy (1-) .
V d (1-) = 95% hay 0,95

/2

/2
-t

t /2

/2

-4

III. KiM NH M HNH HI QUY

-3

-2

-1

0
t

2. Cc khong tin cy

a. Khong tin cy ca 2

b. Khong tin cy ca 1

P t
2

Nn khong tin cy ca 2 vi tin cy 1- l

2
2
t = 1
2
se( 2 )

2 t se ( 2 ); 2 + t se ( 2 )

2
2

Vi

III. KiM NH M HNH HI QUY

2. Cc khong tin cy

c c khi tra bng t-Student vi bc t

t=

1 1
T ( n 2)
se( 1 )

Lp lun tng t, khong tin cy ca 1 vi tin cy 1- l

1 t se ( 1 ); 1 + t se ( 1 )

2
2

Gii thch ngha ca tin cy (1- ), v d (1- ) =95%?

do (n-2), mc ngha /2

III. KiM NH M HNH HI QUY

V d p dng

2. Cc khong tin cy
c. Khong tin cy ca 2
V

2l c lng ca 2v ngi ta chng minh c rng

2 (n 2)
2 ( n 2)
2
Nn khong tin cy ca 2 vi tin cy 1- l

Vi

2
2
( n 2 ). ; ( n 2 ).

2
12

2
2
2

c c khi tra bng 2 vi bc t do (n-2), mc ngha /2

T s liu cho ca v d trc , yu cu tnh khong

tin cy ca 1, 2 v 2 vi tin cy 95%

III. KiM NH M HNH HI QUY

Nhc li v gi thit H0
Trong thng k, gi thit pht biu cn c kim nh
c gi l gi thit khng ( k hiu : H0). Gi thit i
c k hiu l gi thit H1
Bo b H0

Chp nhn H0

III. KiM NH M HNH HI QUY

t l kh nng mc sai lm loi I

l mc ngha ca kim nh
1- l tin cy ca kim nh

H0 sai

ng

Sai lm loi II

Ch

H0 ng

Sai lm loi I

ng

Khi ni chp nhn gi thit H0, khng c ngha

Ngi ta thng t gi thit H0 sao cho sai lm loi I l

nghim trng ( nguy him) hn sai lm loi II

III. KiM NH M HNH HI QUY

H0 ng.

La chn mc ngha : c th ty chn,

thng ngi ta chn mc 1%, 5%, hoc 10%.

III. KiM NH M HNH HI QUY

3. Kim nh gi thit v h s hi quy

Cc gi thit cn kim nh gm

Cc gi thit v h s hi quy

Cc gi thit v phng sai ca Ui

Cc gi thit v s ph hp ca m hnh

a. Kim nh gi thit v 2

Gi thit 2 pha

Ho:2 = o
H1:2 o

Cc loi gi thit
 Gi thit 2 pha , pha tri v pha phi

Gi thit pha tri

Ho:2 = o
H1:2 < o

Cc cch kim nh c bn :
o Phng php khong tin cy
o Phng php gi tr ti hn
o Phng php p-value ( dng my vi tnh)

Gi thit pha phi

Ho:2 = o
H1:2 > o

III. KiM NH M HNH HI QUY

3. Kim nh gi thit v h s hi quy

a. Kim nh gi thit v 2

III. KiM NH M HNH HI QUY

3. Kim nh gi thit v h s hi quy

Min chp nhn

Min bc b

Phng php khong tin cy

Bc 1 : Lp khong tin cy ca 2
Bc 2 : Nu 0 thuc khong tin cy th chp
nhn H0. Nu 0 khng thuc khong tin cy th
bc b H0

tin cy l 1-

Min bc b

Kim nh hai pha

Min bc b

Min chp nhn

Kim nh pha tri

Min chp nhn

Kim nh pha phi

Min bc b

III. KiM NH M HNH HI QUY

2. Kim nh gi thit v h s hi quy

a. Kim nh gi thit v 2

Phng php gi tr ti hn (kim nh t)

Bc 1 : tnh gi tr ti hn t = 2 0
se( 2 )
Bc 2 : tra bng t-Student vi bc t do (n-2) tm t/2
Bc 3 :
Nu -t/2 t t/2 : chp nhn gi thit H0
Nu t < -t/2 hoc t > t/2 : bc b gi thit H0

III. KiM NH M HNH HI QUY

2. Kim nh gi thit v h s hi quy

a. Kim nh gi thit v 2

Phng php p-value

2 0
se( 2 )
Bc 2 : Tnh p_value = P(|t| > |t/2|)
(tc l kh nng gi thit H0 b bc b)
Bc 3 :
Nu p_value : chp nhn gi thit H0
Nu p_value < : bc b gi thit H0

Bc 1 : tnh gi tr ti hn t =

SV t suy lun iu kin cho kim nh pha tri v phi

III. KiM NH M HNH HI QUY

2. Kim nh gi thit v h s hi quy

b. Kim nh gi thit v 1

Ho:1 = o
H1:1 o

Vi tin cy l 1-

Tng t kim nh gi thit v 2 nhng gi tr

ti hn lc ny l

t=

1 0
se( 1 )

III. KiM NH M HNH HI QUY

2. Kim nh gi thit v h s hi quy

c. Kim nh gi thit v 2

Ho:2 =02
H1:2 02

Vi tin cy l 1-

Bc 1 : Lp khong tin cy ca 2
Bc 2 :
Nu 02 thuc khong tin cy th chp nhn H0.
Nu 02 khng thuc khong tin cy th bc b H0

III. KiM NH M HNH HI QUY

V d p dng

4. Kim nh s ph hp ca m hnh

T s liu cho ca v d trc , yu cu kim nh cc

gi thit sau
a)

Ho:2 = 0
H1:2 0

Vi tin cy l 95%

b)

Ho:1 = 0
H1:1 0

Vi tin cy l 95%

c)

Ho:2 =16
H1:2 16

Vi tin cy l 95%

Km nh gi thit
Ho:R2 = 0 Vi tin cy l 1-
H1:R2 0
Phng php kim nh F
R 2 ( n 2)
Bc 1 : tnh F =
(1 R 2 )
Bc 2 : Tra bng tm F(1,n-2), mc ngha l
Bc 3 : Nu F>F(1,n-2) , bc b H0
Nu FF(1,n-2) , chp nhn H0

Cu hi

Vic kim nh gi thit

V d p dng
Ho:2 = 0
H1:2 0

tin cy l (1-)

c ngha nh th no?

Vic kim nh gi thit

Ho:R2 = 0
H1:R2 0

tin cy l (1-)

c ngha nh th no?

5. nh gi kt qu hi quy

Du ca cc h s hi qui c lng c ph hp

vi l thuyt hay tin nghim khng.

Cc h s hi qui c lng c c ngha v

mt thng k hay khng ?

Mc ph hp ca m hnh (R2) v m hnh c

thc s ph hp?

Kim tra xem m hnh c tha mn cc gi thit

ca m hnh hi qui tuyn tnh c in hay khng.

T s liu cho ca v d trc , yu cu kim nh s

ph hp ca m hnh vi tin cy 95%