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MPP05 521 R1602V
MPP05 521 R1602V
CHNG 8
1 1
se( 1 )
(8.1.1)
2 2
se( 2 )
(8.1.2)
t
t
Vi gi thit qui lut chun, cc hm c lng OLS 2 , 3 v 1 l cc hm c lng phng sai cc tiu
trong ton b nhm cc hm c lng khng thin lch, d chng c tuyn tnh hay khng. Ngn gn hn, chng
l BUE (hm c lng khng thin lch tt nht). Xem C.R.Rae, Linear Statistical Inference and its Applications,
(Suy din thng k tuyn tnh v cc ng dng ca n), John Wiley & Sons, NewYork, 1965, trang 258.
1
Damodar N. Gujarati
1
3 3
se( 3 )
2
i
(8.1.3)
v sau c 2 vic u tin l cn c lng
3 h s hi quy ring phn, v vy chng s t ba gii hn ln tng cc bnh phng ca phn d (RSS) (
theo trnh t suy lun ny , trong trng hp 4 bin s c n-4 df v.v... ). Do , phn phi t c th c s
dng thit lp cc khong tin cy v kim nh cc gi thit thng k v cc h s hi quy ring phn
ca tng th ng. Tng t phn phi 2 c th c s dng kim nh gi thit v 2 ng. biu
din cc c ch ny, ta s dng v d minh ha sau.
8.2.
Gi s ta mun nghin cu ng biu din ca vic chi tiu tiu dng c nhn M cho nhiu nm
trc y. Cho mc ch ny, ta s dng m hnh n gin sau y:
E (Y X 2 , X 3 ) 1 2 X 2i 3 X 3i
(8.2.1)
trong :
Y = chi tiu tiu dng c nhn (PCE)
X2 = thu nhp kh dng (sau thu) c nhn (PDI)
X3 = thi gian tnh bng nm
Phng trnh (8.2.1) nh ra rng PCE quan h tuyn tnh vi PDI v thi gian hay l bin xu hng.
Trong hu ht cc php phn tch hi quy a bin lin quan n d liu chui thi gian, thc t chng
t nn gii thiu bin thi gian hay l bin xu hng cng vi mt vi cc bin gii thch khc v cc
l do sau:
1. S quan tm ca chng ta c th n gin ch l tm xem bin ph thuc biu hin nh th no
theo thi gian. V d, cc biu thng c v cho thy biu hin ca nhiu i lng v d
nh GNP, tuyn dng , tht nghip, gi c phiu, ... theo giai on thi gian no . Vic xem xt
cc biu ny cho ta thy s chuyn dch chung ca chui thi gian l ln (xu hng ln),
xung (xu hng xung), hay l khng c xu hng (ngha l khng c dng r rng). Trong cc
php phn tch ny, chng ta c th khng tm hiu v nguyn nhn ng sau xu hng ln hay
xung ; mc tiu ca chng ta ch n gin l m t d liu theo thi gian.
2. Nhiu khi, bin xu hng l s thay th cho bin c bn nh hng n Y. Nhng bin c bn
ny c th khng quan st c, hoc nu c quan st c th d liu v n hoc l khng c
sn, hoc l kh m thu c . V d, trong l thuyt sn xut, cng ngh chnh l bin nh vy.
Ta c th cm thy tc ng ca cng ngh nhng ta khng bit lm sao o c n. Do ,
cho thun li, ta c th gi s rng cng ngh l hm no y ca thi gian c o theo chiu
thi gian . Trong vi trng hp, c th tin rng bin nh hng n Y o lng c tng quan
theo thi gian gn n mc ta gii thiu bin thi gian cn d hn l gii thiu bin c bn. V
d, trong (8.2.1), thi gian X3 c th i din rt tt cho dn s. PCE tng hp tng khi dn s
tng, v dn s c th c tng quan (tuyn tnh) no vi thi gian.
3. Mt nguyn nhn khc ca vic a bin xu hng l trnh vn tng quan gi. D liu
bao gm cc chui thi gian kinh t, nh l chi tiu tiu dng c nhn (PCE), thu nhp sau thu
kh dng c nhn (PDI) trong hi quy (8.2.1), thng dch chuyn theo mt hng, phn nh xu
hng ln hay xung. Do , nu ngi ta cn hi quy PCE hay l PDI v thu c gi tr R2
cao, gi tr cao ny c th khng phn nh lin kt thc gia PCE v PDI; n c th n gin ch
phn nh xu hng chung , i din cho chng. trnh cc lin kt gi nh th gia cc chui
thi gian kinh t, ngi ta c th x l bng mt trong hai cch sau: Gi s rng cc chui thi
gian biu hin xu hng tuyn tnh, ngi ta c th a vo bin thi gian hay bin xu hng mt
Damodar N. Gujarati
u 2t . Cui cng, hi quy u1t trn u 2t , c hai i lng ny u khng chu nh hng (tuyn tnh)
ca thi gian. H s dc trong hi quy ny s phn nh lin kt thc gia Y v X2, v do n
bng b2 (xem bi tp 8.7). Xt v phng din tnh ton, phng php trc tit kim hn phng
php sau.
4. Lu cnh gic: Qu trnh loi b xu hng cc chui thi gian va m t tuy l thng thng
trong ng dng, hin ang b soi xt ph phn bi cc nh l thuyt phn tch chui thi gian3.
Nh ta s tho lun trong cc chng v phn tch chui thi gian, qu trnh loi b xu hng
va m t (3) c th thch hp nu chui thi gian biu hin xu hng tt nh v khng phi
l mt xu hng ngu nhin (hay l bin ngu nhin). Trong cc chng ta s ch ra cc
phng php c s dng xc nh xem mt chui thi gian c th biu th xu hng ngu
nhin hay tt nh.
Nh mt kim nh m hnh (8.2.1), ta ly d liu trong Bng 8.1. ng hi quy c lng
s nh sau:
Yi
R 2 0.9988
R 2 0.9986
(8.2.2)
F2,12 = 5128.88
* Biu din gi tr rt nh
BNG 8.1
Chi tiu tiu dng c nhn (PCE) v thu
nhp kh dng c nhn sau thu (PDI)
Hoa K, nm 1956-1970, tnh bng t la
nm 1958
Thi gian, X3
PCE, Y
PDI, X2
281.4
288.1
290.0
307.3
309.3
316.1
318.8
333.0
1956 = 1
1957 = 2
1958 = 3
1959 = 4
316.1
340.3
1960 = 5
Qu trnh ny rt tng qut . Nu chui thi gian biu th xu hng bnh phng, ta a X 32 vo (8.2.1) trong
X3 l thi gian.
3
Nh lu Chng 1, phn tch thc nghim da trn d liu chui thi gian ng cho rng cc chui thi
gian c s c tnh dng. S loi b thnh phn xu hng l mt trong cc qu trnh c s dng lm cho chui
thi gian tr thnh chui dng. Nh ta s ch ra Chng 21, qu trnh loi b xu hng m t trc y c th
c gii thiu nu chui thi gian c s c xu hng tt nh.
Damodar N. Gujarati
322.5
338.4
353.3
350.5
367.2
381.2
1961 = 6
1962 = 7
1963 = 8
373.7
397.7
418.1
430.1
408.1
434.8
458.9
477.5
1964 = 9
1965 = 10
1966 = 11
1967 = 12
452.7
469.1
476.9
499.0
513.5
533.2
1968 = 13
1969 = 14
1970 = 15
trong , tip theo vi khun kh ca phng trnh (5.11.1), cc s trong nhm u tin ca cc
ngoc n l cc sai s chun c lng, cc s trong nhm th hai l gi tr t theo gi thit khng
cho rng h s tng quan ca tng th lin quan c gi tr bng 0, v cc s trong nhm th ba l
cc gi tr c lng p.
Cch gii thch phng trnh (8.2.2) nh sau: nu X2 v X3 u c c nh 0, gi tr trung
bnh ca mc chi tiu tiu dng c nhn (c th phn nh nh hng ca tt c cc bin b b qua)
c c lng gn ng bng 53.16 t la nm 1958. Nh lu trc y, trong hu ht cc
trng hp, s hng tung gc khng c ngha kinh t. H s hi quy ring phn 0.7266 ngha l
khi gi cho tt c cc bin khc khng i (X3 trong trng hp ny), v thu nhp kh dng c nhn
tng, cho l 1$, mc chi tiu tiu dng c nhn trung bnh s tng, vo khong 73 xu. Cng nh vy,
nu X2 c gi khng i, mc chi tiu tiu dng c nhn trung bnh c c lng tng mc 2.7
t la mi nm. Gi tr R2 bng 0.9988 ni ln rng hai bin gii thch c th gii thch c khong
99.9% bin thin trong chi tiu tiu dng c nhn M vo giai on 1956-1970. Gi tr R2 c
hiu chnh cho thy rng sau khi ch n bc t do df, X2 v X3 vn gii thch c khong 99.8
phn trm ca bin thin ca Y.
8.3.
Khi ra khi th gii n gin ca m hnh hi quy tuyn tnh hai bin, kim nh gi thit gi
nh mt vi dng th v, nh l cc dng sau y:
1. Kim nh cc gi thit v h s hi quy ring phn ring bit (Phn 8.4)
2. Kim nh ngha ton din ca m hnh hi quy a bin c lng, ngha l tm ra xem c
phi tt c cc h s d dc ring phn ng thi bng 0 hay khng. (Phn 8.5)
3. Kim nh hai hay nhiu hn cc h s bng vi mt h s khc (Phn 8.6)
4. Kim nh cc h s hi quy ring phn c tha mn cc gii hn nht nh khng (Phn
8.7).
5. Kim nh tnh n nh ca m hnh hi quy c lng theo thi gian hay l trong cc n v
cho (cross-sectional units) khc nhau. (Phn 8.8)
6. Kim nh dng hm s ca cc m hnh hi quy (Phn 8.9)
V vic kim nh mt hay nhiu dng ny rt thng xy ra trong phn tch thc nghim nh
vy, ta s dnh ring mt phn cho mi dng.
Damodar N. Gujarati
v H1:b2 0
Gi thit khng khng nh: Khi gi cho X3 khng i, thu nhp kh dng c nhn sau
thu khng c nh hng (tuyn tnh) ln mc chi tiu tiu dng c nhn4. kim nh gi
thit khng, ta s dng kim nh t cho trong (8.1.2). Theo Chng 5, nu gi tr t tnh c
vt qu gi tr ti hn t ti mc ngha chn, ta c th bc b gi thit, ngc li, ta khng
th bc b n. i vi v d ca ta, s dng (8.12.2) v lu rng b2 = 0 theo gi thit khng, ta
c:
t
0.7266
14.9060
0.0487
(8.4.1)
2 t / 2 se( 2 ) 2 2 t / 2 se( 2 )
trong trng hp ca ta n tr thnh:
0.7266 2.179 (0.0487) b2 0.7266 + 2.179(0.0487)
ngha l
0.6205 b 0.8327
(8.4.2)
Trong hu ht cc iu tra thc nghim, gi thit khng c khng nh di dng ny, ngha l ly v tr cc tr
sao cho khng c lin quan no gia bin ph thuc v bin gii thch xem. tng y l tm xem lin quan
gia hai bin ny c phi l khng ng k hay khng bt u.
Damodar N. Gujarati
= 0.05 v gi thit rng mi h s hi quy ring phn c gi tr mt cch ring bit bng 0, th,
r rng [t (8.2.2)] mi h s hi quy ring phn c lng l c ngha thng k, ngha l khc
bit vi 0 v ngha v gi tr t tnh c trong mi trng hp u vt qu gi tr t ti hn; ta
c th bc b mt cch ring bit gi thit khng (ring bit ).
Nhn y xin lu rng cc gi tr p ca cc h s hi quy khc nhau trong (8.2.2) l cc
thp, iu gi rng mi h s hi quy ring phn c ngha thng k ti mc ngha thp
hn nhiu so vi mc 1 hay 5 phn trm quy c.
Damodar N. Gujarati
/2
/2
y
TSS
2
i
2 yi x 2i yi x3i u i2
ESS
RSS
(8.5.2)
Thomas B.Fomby, R.Carter Hill, and Stanley R., Johnson, Advanced Econometric Methods, (Cc phng php
kinh t lng cao cp), Springer Verlag, New York, 1984, trang 37.
7
Xem K.A. Brownlee, Statistical Theory and Methodology in Science and Engineering, John Wiley & Sons, New
York, 1960, trang 278-280.
Damodar N. Gujarati
( 2 y i x 2i 3 y i x3i ) / 2
2
i
/( n 3)
(8.5.3)
ESS/df
RSS/df
c phn phi nh l phn phi F vi 2 v n-3 bc t do.
BNG 8.2
SS
Do hi quy (ESS)
2 yi x 2i 3 yi x3i 2
Do phn d
Tng cng
df
MSS
2 y i x 2i 3 y i x3i
n3
2
i
2
2
i
n3
n-1
2
i
u
E
2
i
E ( 2 ) 2
n3
Vi gi thit b sung b2 = b3 = 0, n c th c ch rng:
E ( 2 yi x2i 3 yi x3i )
2
(8.5.4)
(8.5.5)
V vy, nu gi thit khng l ng, c hai biu thc (8.5.4) v (8.5.5) cho cc c lng ng
nht ca 2 thc. Khng nh ny c th khng c g mi m v nu c lin quan khng ng k
gia Y v X2 v X3, ngun bin thin duy nht trong Y l do nh hng ngu nhin vi ui l i
din. Tuy nhin nu gi thit khng l sai , ngha l X2 v X3 nh hng mt cch r rng n Y,
du bng gia biu thc (8.5.4) v (8.5.5) s khng thc hin c . Trong trng hp ny, ESS
s tng i ln hn RSS, do c k n cc bc t do tng ng ca chng. V vy, gi tr F ca
(8.5.3) cho ta kim nh v gi thit khng rng cc h s dc thc ng thi bng 0. Nu gi
tr F c tnh t (8.5.3) vt qu gi tr ti hn ca F trong Bng F ti mc ngha a phn
trm, ta bc b H0; ngc li ta khng th bc b n . Ni cch khc, nu gi tr p ca F quan st
l nh, ta c th bc b H0.
Tr li v d ca ta , ta c Bng 8.3, s dng (8.5.3) ta thu c:
F
32982.5502
5128.8781
6.4308
(8.5.6)
Nh sch trn.
Damodar N. Gujarati
BNG 8.3
SS
df
MSS
Do hi quy
Do phn d
65,965.1003
77.1690
2
12
32,982.5502
6.4308
Tng cng
66,042.2693
14
Yi 1 2 X 2i 3 X 3i .... k X ki ui
kim nh gi thit
H0:b2 = b3 =... = bk = 0
(ngha l: tt c cc h s dc ng thi bng 0) i li
H1: khng phi tt c cc h s dc ng thi bng 0,
hy tnh
ESS / df
ESS /( k 1)
RSS / df RSS /( n k )
(8.5.7)
Theo quy c, trong trng hp ny, ta ni rng gi tr F tnh c c ngha cao bi v xc sut gy ra sai lm
loi 1 (nghi l mc ngha) rt thp: 1 trong 100.
Damodar N. Gujarati
ESS / 2
RSS /( n 3)
(8.5.8)
ESS /( k 1)
RSS /( n k )
(8.5.9)
(8.5.10)
tun theo phn phi F vi k-1 v n-k bc t do. (Lu : s lng tng cng cc thng s cn
c lng l k, trong c mt thng s l s hng tung gc).
Ta hy bin i (8.5.10) nh sau:
10
Damodar N. Gujarati
10
n k ESS
k 1 RSS
nk
ESS
k 1 TSS ESS
n k ESS / TSS
k 1 1 ( ESS / TSS )
F
n k R2
k 1 1 R2
R 2 /( k 1)
(1 R 2 ) /( n k )
(8.5.11)
trong s dng nh ngha R2 = ESS/TSS. Phng trnh (8.5.11) cho thy F v R2 lin quan
nh th no i vi nhau. Hai i lng ny bin i trc tip. Khi R2 = 0 , F bng 0. R2 cng ln
th gi tr F cng ln. Trong gii hn, khi R2= 1, F l v hn. V vy kim nh F l thc o
ngha ton din ca hi quy c lng, cng l kim nh ngha ca R2. Ni cch khc, vic
kim nh gi thit khng (8.5.9) l tng ng vi vic kim nh gi thit khng cho rng R2
(tng th) bng 0.
Vi trng hp ba bin , (8.5.11) tr thnh
R2 / 2
F
(1 R 2 ) /( n 3)
(8.5.12)
y
Tng cng
MSS*
R 2 ( yi2 ) / 2
df
2
n3
(1 R 2 )( yi2 ) /( n 3)
2
i
n-1
2
i
bi v n trit tiu, nh
c ch ra trong (8.5.12)
Damodar N. Gujarati
11
R 2 /( k 1)
(1 R 2 ) /( n k )
(8.5.13)
Yi = 1
+ 12 X 2i
= 12.762
+ 0.8812X2i
(4.6818)
(0.0114)
t = (2.7259) (77.2982)
Damodar N. Gujarati
r2= 0.9978
r2 iu chnh = 0.9977
12
(8.5.14)
Theo gi thit khng b12 = 0 ,cho thy rng gi tr t c lung bng 77.2982 (= 0.8812 / 0.0114)
c ngha r rng v mt thng k c mc 5 hay 1 phn trm. V vy X2 nh hng mt cch
c ngha ln Y. Bng ANOVA i vi hi quy (8.5.14) c cho trong Bng 8.5.
Gi thit rng cc nhiu ui c phn phi chun v gi thit khng b12 = 0 ta bit rng
65898.235
(8.5.15)
F
5947.494
11.080
tun theo phn phi F vi 1 v 13 bc t do. Gi tr F ny r rng c ngha ti mc ngha
thng thng. V vy, nh trc y, ta c th bc b gi thit cho rng b12 = 0. Nhn y, lu
rng t2 = (77.2982) 2 = 5975.012, bng vi gi tr F ca (8.5.15) vi sai s lm trn. Nhng kt
qu ny khng c g ng ngc nhin v, nh ni Chng 5, theo cng gi thit khng v
cng mc ngha, bnh phng ca gi tr t vi n-2 bc t do bng vi gi tr F vi 1 v n-2
bc t do.
Khi thc hin hi quy (8.5.14), chng ta gi s rng ta quyt nh thm X3 vo m hnh
v thu c hi quy bi (8.2.2). Ta mun tr li cc cu hi sau: (1) Th no l ng gp gia
tng hay l ng gp bin t ca X3 bit rng X2 c trong m hnh v n c quan h mt cch
ngha i vi Y ? (2) ng gp gia tng c ngha thng k khng? (3) Tiu chun no
thm cc bin vo m hnh? Cc cu hi ny c th uc tr li bi k thut phn tch phng
sai. thy r iu ny, ta hy xy dng Bng 8.6. i vi v d bng s ca ta, Bng 8.6 tr
thnh Bng 8.7.
BNG 8.5
SS
ESS (do X2 )
65898.2353
65898.2353
144.0340
13
11.0800
66042.2693
14
RSS
Tng cng
df
MSS
BNG 8.6
SS
df
ESS ch do X2
Q1 122 x22
ESS do thm X3
Q2 Q3 Q1
ESS do c X2 v X3
Q3 2 yi x2i 3 yi x3i
Damodar N. Gujarati
13
MSS
Q1
1
Q2
1
Q3
1
RSS
Q4 Q5 Q3
n3
Tng cng
Q5 yi2
n1
Q4
n3
ESS
mi
ESS
/ bin hi quy c lp mi
c s cc
RSS
/ df ( s
n cc thng s trong m hnh mi
mi
Q /1
cho v d ca chng ta
2
Q4 / 12
)
(8.5.16)
trong ESSmi = ESS ca m hnh mi (ngha l sau khi thm bin hi quy c lp mi= Q3),
ESSc = ESS ca m hnh c (= Q1) v RSSmi=RSS ca m hnh mi (ngha l sau khi lu
rng tt c cc bin hi quy c lp = Q4 ).
i vi v d minh ha ca ta, ta thu c:
66.865 / 1
77.1693 / 12
10.3973
(8.5.17)
BNG 8.7
Bng ANOVA cho v d minh ha: Php phn tch gia tng.
Ngun bin thin
ESS ch do X2
ESS do thm X3
ESS do thm X2 v X3
SS
Q1 = 65898.2353
Q2 = 66.8647
Q3 = 65965.1000
df
1
1
2
WSS
65898.2353
66.8647
32982.5500
RSS
Q4 = 77.1693
12
6.4302
Tng cng
Q5 = 66042.2693
14
By gi, theo gi thit thng thng v qui lut chun ca ui, v gi thit khng cho rng
b3 = 0, n c th cho thy rng F ca biu thc (8.5.16) tun theo phn phi F vi 1 v 12 bc t
do. T bng F, r rng gi tr F bng 10.3973 l c ngha ngoi mc ngha 1 %, gi tr p l
0.0073.
Nhn y, t s F ca (8.5.16) c th c vit li khi ta ch s dng cc gi tr R2 , nh
ta lm trong (8.5.13). Nh bi tp (8.2) ch r, t s F ca (8.5.16) tng ng vi t s F
Damodar N. Gujarati
14
sau y 11:
2
2
( RMi
moi Rc
cu ) / df
2
(1 Rmi
moi ) / df
2
2
s cc bin hi quy c lp mi
( Rmi
moi Rc
cu ) /
2
(= n - s cc thng s trong m hnh mi)
(1 Rmi
moi ) / df
(8.5.18)
T s F ny cng tun theo phn phi F vi df t s v mu s thch hp, tng ng l 1 v 12
trong v d trn.
i vi v d ca ta, R2mi = 0.9988 [t (8.2.2)] v R2c =0.9978 [t (8.5.14)]. V vy:
F
(0.9988 0.9978) / 1
(1 0.9988) / 12
10.3978
(8.5.19)
S tun theo kim nh F l trng hp c bit ca kim nh F khi qut hn cho trong (8.7.9) hay l
(8.7.10) trong Phn 8.7.
12
c dn chng, xem Dennis J. Aigner, Basic Econometrics, Prentice Hall, Englewood Clifts, New Jersey,
1971,trang 91-92.
Damodar N. Gujarati
15
Khi no Thm Nhm cc Bin. Ta c th pht trin qui tc tng t cho quyt nh vic b
sung (hay l b i) mt nhm cc bin t m hnh hay khng? Cu tr li r rng t (8.5.18) :
Nu vic b sung (hay b bt) mt nhm cc bin i vi m hnh cho gi tr F ln (hay nh)
hn 1, R2 s tng (hay gim). ng nhin, t (8.5.18), ngi ta c th d dng tm ra vic b
sung (hay b bt ) mt nhm bin c lm tng (hay gim) mt cch ng k nng lc gii thch
ca m hnh hi quy hay khng.
8.6 KIM NH S BNG NHAU CA HAI H S HI QUY
Gi s rng trong hi quy a bin:
Yi = b1 +b2X2i + b3X3i +b4X4i +ui
(8.6.1)
hay
(b3 - b4) = 0
H1:b3 b4
hay
(b3 - b4) 0
(8.6.2)
( 3 4 ) ( 3 4 )
se( 3 4)
(8.6.3)
tun theo phn phi t vi n-4 bc t do v (8.6.1) l m hnh bn bin, hay l khi qut hn, vi
n-k bc t do df, trong k l s lng tng cng cc thng s c lng, bao gm c s hng
hng s.. i lng se( 3 - 4 ) c tnh t cng thc quen thuc sau (xem Ph lc thng k
bit thm chi tit).
se( 3 4 ) var( 3 ) var( 4 ) 2 cov( 3 , 4 )
(8.6.4)
Damodar N. Gujarati
3 4
var( 3 ) var( 4 ) 2 cov( 3 , 4 )
16
(8.6.5)
(4.7786)
(0.9857)
(0.0591)
(7.11.6)
3 4
var( 3 ) var( 4 ) 2 cov( 3 , 4 )
12.9615 0.9396
(0.9867) 2 (0.0591) 2 2(0576)
13.9011
1.0442
-13.3130
(8.6.6)
13
Dng biu th i s cho cng thc ng phng sai t c ni n. Chng 9 cung cp biu thc gn v n, tuy
nhin s dng di dng ma trn.
Damodar N. Gujarati
17
(7.10.1) = (8.7.1)
trong Y = sn lng, X2 = nhp lng lao ng, X3 = nhp lng vn. Vit di dng logarit,
phng trnh tr thnh:
lnYi = b0 +b2lnX2i +b3lnX3i + ui
(8.7.2.)
trong b0 = lnb1.
By gi, nu sinh li khng i theo qui m (thay i theo t l trong sn lng i vi
thay i theo t l trong nhp lng), l thuyt Kinh t gi rng:
b2 +b3 = 1
(8.7.3)
( 2 3 ) ( 2 3 )
se( )
2
( 2 3 ) 1
var( 2 ) var( 3 ) 2 cov( 2 3 )
(8.7.4)
Damodar N. Gujarati
18
b2 = 1 - b3
(8.7.5)
b3 = 1 - b2
(8.7.6)
hay l
(8.7.7)
(8.7.8)
hay l
trong (Yi / X2i) = t s sn lng / lao ng v (X3i / X2i) = t s vn /lao ng, cc i lng
quan trng ln v kinh t.
Lu : phng trnh nguyn thy (8.7.2) c bin i nh th no. Mt khi ta c
lng b3 t (8.7.7) hay l (8.7.8), b2 c th c c lng t quan h (8.7.5). Cng cn ni
thm, qu trnh ny s bo m rng tng ca cc h s c lng ca hai nhp lng s bng 1.
Qu trnh ny c vch r (8.7.7) hay (8.7.8) c bit n nh cc bnh phng ti thiu
gii hn (RLS). Qu trnh ny c th c khi qut ha cho cc m hnh cha s lng bt k
cc bin gii thch nhiu hn mt gii hn ng thc tuyn tnh. S khi qut ny c th tm thy
Theil15 . (Xem kim nh F khi qut di y).
Ta c th so snh cc hi quy bnh phng ti thiu gii hn v khng gii hn nh th
no? Ni cch khc, ta lm sao bit rng, v d nh, gii hn (8.7.3) l ng? Cu hi ny c
th c kim nh bng cch p dng kim nh F nh sau. Ta xem:
u
u
2
UR
Th,
( RSS R RSS UR ) / m
RSS UR /( n k )
2
( u R2 uUR
)/m
2
UR
(8.7.9)
/( n k )
tun theo phn phi F vi m, (n-k) bc t do (Lu UR v R i din tng ng cho khng gii
15
Henry Theil, Principles of Econometrics, (Nguyn l ca kinh t lng) John Wiley & Sons, New york, 1971,
trang 43 - 45
Damodar N. Gujarati
19
hn v gii hn).
Kim nh F trn y cng c th biu th theo R2 nh sau:
2
( RUR
RR2 ) / m
F
2
(1 RUR
) /( n k )
(8.7.10)
2
trong RUR
v R R2 tng ng l cc gi tr R2 thu c t cc hi quy khng gii hn v c
gii hn, ngha l t cc hi quy (8.7.2) v (8.7.7). Cn lu rng:
2
RUR
RR2
u R2
Trong bi tp 8.4 bn s c c yu cu nh gi pht biu ny.
2
UR
(8.7.11)
(8.7.12)
Lu c bit: Khi s dng (8.7.10), ta nh rng nu bin ph thuc trong cc m hnh gii hn
2
v khng gii hn l khng ging nhau, RUR
v R R2 khng th so snh trc tip c. Trong
trng hp , hy s dng qui trnh m t Chng 7 tr li kh nng so snh cho hai gi tr
R2 (Xem v d 8.3 di y).
Cng cn c b sung rng ta c lu ng qu nhn mnh R2; cch s dng
n trong (8.7.10) ch l cho tin li trong trng hp cc gi tr RSS khng c sn .
V d 8.3: Hm sn xut Cobb-Douglas i vi Khu vc Nng nghip i loan cho nhng
nm 1958 1972
Bng cch minh ha cho nhng iu tho lun trn, cho php chng ti tham kho d liu trong
Bng 7.3 v hm sn xut kt qu Cobb-Douglas cho trong (7.10.4). y l hi quy khng gii
hn v khng c gii hn no c n nh cho cc thng s. By gi gi s rng ta mun t gii
hn b2 +b3 = 1, ngha l sinh li khng i theo qui m trong khu vc Nng nghip i loan, cho chu
k thi gian nu. Khi t gii hn ny, ta c lng hi quy (8.7.8), ta c kt qu sau:
(8.7.13)
R = 0.7685
R 2 = 0.7507
trong cc s trong ngoc n l cc sai s chun c lng.
Lu : Cc gi tr R2 ca hi quy khng gii hn (7.10.4) v (8.7.13) khng th so snh trc tip
c v bin ph thuc trong hai m hnh khng ging nhau. Bng cch s dng phng php so
snh 2 gi tr R2 tho lun trong phn 7.6, ta thu c gi tr R2 l 0.8489 cho m hnh (8.7.13),
by gi n c th c so snh vi gi tr R2 l 0.8890 ca hi quy khng gii hn (7.10.4).
2
T hi quy khng gii hn (7.10.4), ta thu c RUR
khng gii hn c gi tr l 0.8890 trong
khi hi quy gii hn (8.7.13) cho R R2 gii hn l 0.8489. Do , ta s dng c kim nh F
trong (8.7.10) kim nh tnh hiu lc ca gi thit v sinh li khng i theo qui m p t ln
hm sn xut.
Damodar N. Gujarati
20
2
( RUR
RR2 ) / m
2
(1 RUR
) /( n k )
(0.8890 0.8489) / 1
(1 0.8890) / 12
0.0401
0.0092
4.3587
(8.7.14)
c phn phi F tng ng vi 1 v 12 bc t do. T bng F ta thy rng F0.05(1,12) = 4.75 nhng
F0.10 (1,12) = 3.18. Ngha l gi tr F quan st 4.3587 khng c ngha ti mc 5 % nhng c ngha
ti mc 10%. Nu ta quyt nh gi mc ngha 5%, th gi tr F quan st khng c ngha, iu
ng rng ta c th chp nhn gi thit sinh li khng i theo qui m trong vng Nng nghip i
loan cho thi k 1958 1972; gi tr sinh li theo qui m c quan st l 1.9887 thy trong hi
quy (7.10.4) khng khc bit so vi 1v thng k. V d ny minh ha v sao iu thit yu l ngi ta
cn xem xt kim nh chnh thng i vi cc gi thit v khng ch da vo cc h s c lng. V
d ny cng nhc ta rng ta nn xc nh mc ngha trc khi thc s kim nh gi thit thng k
v khng chn n sau khi hi quy c c lng. Nh lu trong mt s trng hp, tt hn
l ta nn nh gi tr p t thng k c lng, trong v d ny i lng l 0.0588. V vy gi tr
F quan st 4.3587 l c ngha ti mc xp x 0.06.
Nhn y, hy thy rng h s dc c lng 0.61298 l 3 v do , t phng trnh
(8.7.5), ta c th tnh d dng gi tr 2 1 0.38702. Nh lu , tng ca h s ny c bo m
bng 1.
(8.7.15)
Kim nh F ca (8.5.16) hay kim nh t ca (8.6.3) cng l cch p dng chi tit ca
(8.7.10). V vy, cc gi thit nh l:
H0: b2 = b3
H0: b3 + b4 + b5 = 3
(8.7.16)
(8.7.17)
lin quan n mt vi gii hn tuyn tnh theo cc thng s ca m hnh k bin, hay cc gi thit
nh l
H0 : b3 = b4 = b5 = b6 = 0
(8.7.18)
Damodar N. Gujarati
21
hnh ln hn bng cch trit tiu mt vi bin trong , v d, (8.7.18), hay l bng cch t vi
gii hn tuyn tnh ln mt hay nhiu hn cc h s ca m hnh ln hn, v d, (8.7.16) hay
(8.7.17).
Sau . ta lm cho cc m hnh rng buc v khng rng buc thch hp vi d liu v
2
thu c cc h s xc nh tng ng, gi l RUR
v R R2 .Ta lu : bc t do trong m hnh
khng rng buc ( = n-k) v cng lu bc t do trong m hnh rng buc (= m), m l s lng
gii hn tuyn tnh [v d, l 1 trong (8.7.6) hay (8.7.18) ], hay l s lng cc bin hi quy c
lp b b i t m hnh [v d, m = 4 nu (8.7.18) l ng,v 4 bin hi quy c lp c
gi thit l khng c trong m hnh]. Sau , ta tnh t s F nh ch trong (8.7.10) v s
dng Qui tc Quyt nh ny: Nu F tnh c vt qu F (m, n-k), trong F (m, n-k) l
F ti hn ti mc ngha a, ta bc b gi thit khng , ngc li, ta khng bc b n .
Ta hy minh ha:
V d 8.4: Nhu cu v G M, nm 1960 1982. Trong bi tp 7.2.3, trong s cc vn khc,
bn c yu cu xem xt hm nhu cu sau y v g:
ln Yt = b1 + b2 ln X2t + b3 ln X3t + b4 ln X4t + b5 ln X5t + ui
(8.7.19)
trong Y = mc s dng g bnh qun cho mi ngi, n v cn Anh, X2 = thu nhp thc t kh dng
bnh qun cho mi ngi, tnh bng $, X3 = gi bn l thc t 1 cn Anh g, tnh bng xu, X4 = gi bn l
thc t 1 cn Anh tht heo, tnh bng xu, v X5 = gi bn l thc t 1 cn Anh tht b, tnh bng xu.
Trong m hnh ny, b2 , b3, b4 v b5 tng ng l cc h s co gin thu nhp, gi tht g, gi cho
(tht heo), v gi cho (tht b). (V sao?). Theo l thuyt Kinh t,
b2 >
b3 <
b4 >
<
=
b5 >
<
=
0
0
0,
0,
0,
0,
0,
0,
(8.7.20)
(8.7.21)
(8.7.22)
Damodar N. Gujarati
22
(8.7.23)
(8.7.24)
RR2 0.9801
trong cc s trong ngoc n l cc sai s chun c lng. Lu : cc gi tr R2 ca (8.7.23) v
(8.7.24) c th so snh c v bin ph thuc trong hai m hnh ny ging nhau.
2
( RUR
RR2 ) / m
2
(1 RUR
) /( n k )
(8.7.10)
(0.9823 0.9801) / 2
(1 0.9823) / 18
= 1.1224
(8.7.25)
c phn phi F vi 2 v 18 bc t do.
Ti mc 5%, r rng gi tr F ny khng c ngha thng k [F0.5(2,18) = 3.55]. Gi tr
p l 0.3472. Do , khng c l do bc b gi thit khng nhu cu v g khng ph thuc
vo gi tht heo v b. Ngn gn hn, ta c th chp nhn hi quy rng buc (8.7.24) nh i
din cho hm nhu cu i vi g.
Lu rng hm nhu cu tha mn cc k vng kinh t tin nghim, m trong co
gin ca gi tht g l m v co gin v thu nhp l dng. Tuy nhin co gin gi c lng,
tnh theo gi tr tuyt i, nh hn 1 v mt thng k, ng rng nhu cu v g l khng co gin
theo gi (V sao?). Cng vy, mc d c gi tr dng, co gin theo thu nhp cng nh hn 1 v
mt thng k, n gi rng g khng phi l hng ha cao cp; theo qui c, hng ha c coi
l cao cp nu co gin theo thu nhp ca chng ln hn 1.
F
Damodar N. Gujarati
23
BNG 8.8
0.36
0.21
0.08
0.20
0.10
0.12
0.41
0.50
0.43
1955
1956
1957
1958
1959
1960
1961
1962
1963
Tit kim
0.59
0.90
0.95
0.82
1.04
1.53
1.94
1.75
1.99
Thu nhp
15.5
16.7
17.7
18.6
19.7
21.1
22.8
23.9
25.2
Yt = 1 + 2xt + u1t
t = 1, 2,..., n1
(8.8.1)
Yt = b1 + b2xt + u2t
t = 1, 2,..., n2
(8.8.2)
trong Y l tit kim c nhn, X l thu nhp c nhn , cc u l cc s hng nhiu trong hai
phng trnh, v n1 v n2 l s lng cc quan st trong hai thi k. Lu rng cc s lng cc
quan st trong hai thi k c th ging nhau hoc khc nhau.
By gi s thay i c th c ngha l hai tung gc khc nhau, hay l hai h s dc
khc nhau, hay l c tung gc v h s dc u khc nhau, hay l s kt hp ca cc thng
s. ng nhin, nu khng c thay i cu trc (ngha l tnh n nh cu trc), ta c th kt
hp tt c n1 v n2 quan st v tm ngay hm tit kim nh l:
Yt = 1 + 2Xt + ut
(8.8.3)
Ta lm th no xc nh c thay i cu trc trong mi tng quan tit kim thu nhp gia
hai thi k hay khng? Kim nh thng c s dng ph bin tr li cu hi ny c bit
nh l kim nh Chow, mang tn Gregory Chow17, mc d n ch n gin l kim nh F
tho lun trc y.
Cc gi thit nn tng ca kim nh Chow l hai mt:
(a) u1t N( 0,2 ) v u2t N( 0,2 )
ngha l hai s hng sai s u phn phi chun vi phung sai 2 ging nhau (phng sai c
iu kin khng i), v
17
Gregory C. Chow, Tests of Equality between Sets of Coefficients in Two Linear Regressions,. Econometrica,
(Kim nh s bng nhau gia cc tp h s trong hai hi quy tuyn tnh, Kinh t lng), Bn 28, s 3, 1960, trang
591 605.
Damodar N. Gujarati
24
Yt = -1.0821 + 0.1178 Xt
(0.1452) (0.0088)
t = (-7.4548)
(13.4316)
r2 = 0.9185
S1 = 0.5722
(8.8.5)
df = 16
Yt = -0.2622 + 0.0470 Xt
(0.3054) (0.0266)
t = (-0.8719) (1.7700)
r2 = 0.3092
S2 = 0.1396; df = 7
(8.8.6)
Yt = -1.7502 + 0.1504 Xt
(0.3576) (0.0175)
t = (-4.8948) (8.5749)
r2 = 0.9131
S3 = 0.1931; df = 7
(8.8.7)
Bc III:
S4 = (S2 + S3 ) = 0.3327
18
Trong Chng 11, v phng sai c iu kin khng i, ta s ch ra lm cch no ngi ta bit hai (hay nhiu
hn) phng sai c ging nhau hay khng. Kim nh Chow c bin i ch n phng sai ca sai s
thay i. Xem W.A. Jayatissa, Tests of Equality between Sets of Coefficents in Two Linear Regressions When
Disturbance Variances Are Unequal, Econometica, (Kim nh s bng nhau gia cc tp h s trong hai hi quy
tuyn tnh khi phng sai ca nhiu khng bng nhau, Kinh t lng) Tp 45, 1977, trang 1291-1292.
Damodar N. Gujarati
25
S5 =( S1 S4) = 0.2395
Bc IV:
0.2395 / 2
0.3327 / 14
= 5.04
T chn.
J. Mackinnon, H. White, v R. Davidson. Tests for Model Specification in the Presence of Alternative
Hypothesis; Some Further Results.(Cc kim nh c trng m hnh trong s hin din ca cc gi thit thay th;
Mt vi kt qu khc, Tp ch kinh t lng) Journal of Econometrics ,tp 21, 1983, trang 53 70. Mt php th
tng t c a ra bi A. K. Bera v C. M. Jarque Model Specification Tests: A Simultaneous Approach. (Cc
kim nh c trng m hnh: Mt phng php ng thi). Journal of Econometrics, tp 20, 1982, trang 245
246.
20
Ni dung ny da trn William H. Greene, ET: Econometrics toolkit Version 3, phn mm Kinh t lng, Belport,
New York, 1992, trang 245 246.
19
Damodar N. Gujarati
26
(8.9.1)
(8.9.2)
trong Y l s lng hoa hng theo n v t, X2 l gi s trung bnh ca hoa hng ($/ t) X3 l gi
s trung bnh ca cm chng ($/t). Mt tin nghim, 2 v b2 c k vng l c du m.(V sao?),
v 3 v b3 l du dng (V sao?). Nh ta bit, cc h s dc trong cc m hnh tuyn tnh
lgarit l cc h s ca co gin.
Cc kt qu hi quy l nh sau:
(-6.6069)
(2.9712)
(8.9.3)
R2 = 0.77096
F = 21.84;
(-5.9044)
(2.5407)
(8.9.4)
F = 17.50; R2 = 0.7292
Nh cc kt qu ny cho thy, c hai m hnh tuyn tnh v tuyn tnh lgarit c v ha hp tt vi
d liu: cc thng s c du k vng v cc gi tr t v R2 c ngha thng k.
Da trn kim nh MWD, la chn gia hai m hnh, u tin ta kim nh gi thit rng
m hnh thc l tuyn tnh. Sau , lm theo bc IV ca kim nh, thu c cc hi quy sau:
(-6.3337)
(2.8366)
(0.0207)
R2 = 0.7707
F = 13.44;
Damodar N. Gujarati
(8.9.5)
27
(8.9.6)
(8.10.1)
= (8.2.2)
trong Y = chi tiu tiu dng c nhn, X2 = thu nhp kh dng c nhn sau thu, v X3 = xu
hng thi gian.
Yi nh ta bit, l hm c lng ca E(Y X2, X3), ngha l trung bnh ng ca Y khi
bit X2 v X3.
By gi, ta gi s rng d liu cho nm 1971 nh sau : X2 = 567 t la v X3 = 16. t
cc gi tr ny vo (8.10.1), ta c:
(8.10.2)
V vy, cho nm 1971, chi tiu tiu dng c nhn trung bnh (PCE) vo khong 509 t la.
Theo cc l do nu Phn 5.10, 509 t la cng l gi tr d bo ring bit cho nm 1971,
Y1971.
Damodar N. Gujarati
28
Tuy nhin cc phng sai ca Y1971 v Y1971 khc bit nhau. T cc cng thc cho
Chng 9, c th c ch ra rng:
var ( Y1971 X2, X3) = 3.6580
var (Y1971 X2, X3) = 10.0887
(8.10.3)
(8.10.4)
trong var(Y1971 X2, X3) i din cho E (Y1971- Y1971 X2, X3)2. Nh k vng trc,var(Y1971) >
var( Y1971). (v sao?). Lu : varY1971 l vit tt ca var(Y1971 Y1971) .
Theo cc gi thit ca m hnh c in, v tip theo ni dung tho lun phn 5.10,
chng ta c th thit lp khong tin cy 100(1 - a) i vi d bo trung bnh nh sau
[ Y1971 - t/2 se ( Y1971) E (Y1971) Y1971 + t/2se( Y1971) ]
(8.10.5)
(8.10.6)
D bo ring bit:
508 9297 2 179(3 1763) Y1971 508 9297 + 2 179(3 1763)
501 9988 Y1971 515 8412
(8.10.7)
Ghi nh rng bc t do df i vi gi tr t l (n-3) cho m hnh 3 bin, (n-4) cho m
hnh 4 bin, hay l (n-k) cho m hnh k bin.
*
t chn.
i vi ni dung gn ng nh vy, xem A. Buse, The Likelihood Ratio, Wald and Lagrange Multiplier Tests:
An Expository Note, American Statisticians, tp 36, 1982, trang 153 157.
21
Damodar N. Gujarati
29
8.12 TM TT V CC KT LUN
1.
2.
3.
4.
5.
Russell Davidson v James G. MacKinnon, Estimation and Inference in Econometrics, Oxford University Press,
New York, 1993, trang 456
Damodar N. Gujarati
30
bng cch ni lng mt hay nhiu hn cc gi thit ca m hnh c in. Nhim v ca chng ta
trong phn cn li ca quyn sch ny l tm ra iu g s xy ra nu mt hay nhiu hn gi thit
ca m hnh c in b ni lng. Ta mun bit m hnh c in mnh nh th no trong
trng hp ta chp nhn cc gi thit t cht ch hn. Ta mun bit, v d, iu g s xy ra nu
gi thit mang tnh khun mu b ni lng, hay nu ta cho php c phng sai ca sai s thay i
hay tng quan chui, hay l cc sai s c trng.
Nhng trc khi quay v vi yu cu ny, chng ti gii thiu trong Chng 9 m hnh
c in trong cch vit bng ma trn. Chng ny khng ch trnh by phn tm tt thun li t
Chng 1 n 8 m cn cho thy i s ma trn l mt cng c hu ch nh th no mt khi ta
i xa hn cc m hnh hi quy hai hay ba bin; khng c n vic tnh ton m hnh hi quy k
bin s l cng vic phin toi kinh khng.
Cng cn lu rng Chng 9 khng phi l thit yu hiu phn cn li ca sch ny.
N ch yu hng ti li ch cho cc sinh vin thin v Ton hc. Cn i vi cc nguyn tc c
s v i s ma trn cho trong Ph lc B, bn c cha c kin thc trc v i s ma trn
s thy gia tr khi c k Chng ny. Nhng cho php ti lp li, Chng ny khng phi l
ch cht hiu phn cn li ca sch ny; n c th c b qua m khng mt i tnh lin
tc.
CC BI TP
Cc cu hi
8.1 Gi s bn mun nghin cu hnh vi ca vic bn sn phm, nh l, s lng xe hi
trong mt s nm v gi s c ngi gi bn hy th cc m hnh sau:
Yt = b0 + b1t
Yt = 0 + 1t + 2t2
8.2.
8.3.
8.4.
8.5.
Y 1 L 2 K 3
(1)
trong Y = sn lng, L = nhp lng lao ng, v K = nhp lng vn. Chia (1) cho K
ta c
( y / K ) 1 ( L / K ) 2 K 2 3 1
(2)
Damodar N. Gujarati
31
(3)
trong b0= ln b1
(a) Gi s bn c d liu thc hin hi quy (3). Bn lm th no kim nh gi
thit cho rng sinh li khng i theo qui m, ngha l (b2 + b3) = 1 ?
(b) Nu c li ch khng i theo qui m, bn gii thch hi quy (3) nh th no?
(c) C khc bit g khng nu ta chia (1) cho L ch khng phi K?
8.6. Cc gi tr ti hn ca R2 khi R2 thc = 0. Phng trnh (8.5.11) cho mi lin quan gia
F v R2 di gi thit rng tt c cc h s dc ring phn l ng thi bng 0 (ngha l
R2 = 0). Ch cn ta tm c gi tr ti hn ca F ti mc ngha a t Bng F, ta c th
tm ra gi tr ti hn ca R2 t quan h sau :
R2
( k 1) F
( k 1) F ( n k )
u1i a1 a2 u 2i w1i
(1)
trong u1i = (tuyn tnh) Y loi b thnh phn xu hng, u 2i = (tuyn tnh) X2 loi
b thnh phn xu hng v w1i = phn d (tt c cc w trong cc hi quy sau u l cc
phn d).
Yi b1 b2 u 2i w2i
(2)
u1i c1 c2 X 2i c3 X 3i w3i (X3 l thi gian )
(3)
Yi d1 d 2 u 2i d 3 X 3i w4i
(4)
Hy chng t rng a2 = b2 = c2 = d2. Bn c th rt ra kt lun tng qut g? (Lu : a2 =
b2)
8.10. Da trn d liu hng nm cho thi k 1968 1987, cc kt qu hi quy sau y c tnh
bng:
(1)
(2)
trong Y = mc chi tiu cho hng nhp M, t la nm 1982, X2 = thu nhp kh dng
Damodar N. Gujarati
32
Yt
t
Yt
t
= 16899
= (8.5152)
= 9734.2
= (3.3705)
- 2978.5 X2t
(-4.7280)
- 3782.2 X2t + 2815 X3t
(-6.6070)
(2.9712)
R2 = 0.6149
R2 = 0.7706
Bn c th tm ra c c mu nn tng ca cc kt qu ny khng?
( Gi : nhc li mi lin quan gia cc gi tr R2, F v t).
8.14. Cn c vo tho lun ca ta v cc php kim nh ring bit v lin kt ca cc gi thit
tng ng da trn cc kim nh t v F , bi cnh no trong nhng bi cnh sau y l
c kh nng xy ra:
1. Bc b gi thit khng lin kt da trn c s thng k F, nhng khng bc b mi gi
thit khng ring bit da trn c s cc kim nh t ring bit;
2. bc b gi thit khng lin kt da trn c s thng k F, bc b mt gi thit ring bit
trn c s kim nh t, v khng bc b gi thit ring bit khc trn c s kim nh t
ring bit.
3. Bc b gi thit khng lin kt da trn c s tr thng k F, v bc b mi gi thit khng
ring bit da trn c s cc kim nh t ring bit;
4. Khng bc b gi thit khng lin kt da trn c s tr thng k F, v khng bc b mi
gi thit khng ring da trn c s cc kim nh t ring bit;
5. Khng bc b gi thit khng lin kt da trn c s tr thng k F , bc b mt gi thit
ring bit da trn c s kim nh t, v khng bc b gi thit ring bit khc trn c s
*
chp nhn t Peter Kennedy, A Guide to Econometrics,(Hng dn kinh t lng), NXB MIT, bn 3,
Cambridge, Massachusetts, 1992, trang 310.
Damodar N. Gujarati
33
kim nh t;
6. Khng bc b gi thit khng lin kt da trn c s tr thng k F, nhng bc b mi
gi thit khng ring bit da trn c s cc kim nh t ring bit.**
Cc vn
8.15. Tham kho bi tp 7.18.
(a)
2 v 3 c ngha thng k ring bit khng?
(b) Chng c khc 1 v mt thng k khng?
2 v 3 c ngha thng k ring bit khng?
(c)
(d) D liu c h tr gi thit cho rng b2 = b3 = 0 hay khng?
(e) Hy kim nh gi thit cho rng 2 = 3 = 0.
(f) Bn tnh cc co gin ca sn lng theo lao ng v vn cho m hnh th nht
nh th no? Cho m hnh th hai nh th no?
(g) Bn thch chn m hnh no? V sao?
(h) Hy so snh cc gi tr R2 ca hai m hnh. Bn c th s dng mc ngha 5%.
8.16. Tham kho bi tp 7.19.
(a) Hy kim nh ngha ton din ca hm hi quy c lng.
(b) ng gp gia tng ca X2i l g?
(c) Bn c gi c X2t trong m hnh trn c s ca kim nh F khng? Trn c s ca
R2?
8.17. Tham kho bi tp 7.25.
(a) Th no l cc co gin trong thu nhp v trong li sut thc ca cc cn bng tin
mt thc?
(b) Cc co gin trn c ngha thng k ring bit khng?
(c) Hy kim nh ngha ton din ca hi quy c lng.
(d) co gin trong thu nhp ca nhu cu i vi cc cn bng tin mt thc c khc
bit so vi 1 khng?
(e) Bin li sut c cn c gi trong m hnh khng? V sao?
8.18.
Tip tc vi bi tp 7.25. Gi thit rng ta thc hin hi quy sau y:
M tn 0Yt1 rt 2 Pt3
trong M tn = tng cn bng tin mt danh ngha ti thi gian t. Yt = ton b thu nhp
thc ti thi gian t , rt = li sut di hn ti thi gian t v Pt = yu t gim lm pht gi n
ti thi gian t (nh l i lng ca mc gi chung).
(a) Hy chy hi quy trn v gii thch cc kt qu.
(b) So snh cc kt qu ca hi quy ny vi cc kt qu thu c t hi quy ca bi tp
7.25.
(c) Mt tin nghim, gi tr a3 s nh th no? V sao?
(d) Bn c th ni g v o tng v trong Kinh t n cho thi k 1948 1965?
8.19. Tip tc vi bi tp 8.18, hy xt nhu cu sau cho hm tin t:
**
Trch dn t Ernst R. Berndt, The Practice of Econometrics: Classic and Contemporary, (Thc hnh kinh t
lng: C in v ng thi), Addison-Wesley, Reading, massachusetts, 1991, trang 79.
Damodar N. Gujarati
34
M tn 0 (Yt n ) 1 rt2 Pt 3
trong , b sung cho cc nh ngha cho trong bi tp 8.18, Yt n i din cho ton
b thu nhp quc dn rng danh ngha.
(a) Hy chy hi quy trn v bnh lun cc kt qu ca bn.
(b) So snh cc kt qu ca hi quy ny vi cc kt qu thu c t cc bi tp 7.25 v
8.18.
(c) Tng quan gia a1 v 1 l g (nu c) ?
8.20. Gi s rng Y v X2 ,X3 ,...,Xk l phn phi chun lin kt da bnh thng v gi s rng
gi thit khng rng cc tng quan ring phn tng th bng 0 mt cch ring bit, R. A.
Fisher chng t :
r
nk 2
t 12.34...k
1 r122 .34...k
tun theo phn phi t vi n-k-2 bc t do, trong k l h s tng quan ring phn bc k
v trong n l s lng tng cng cc quan st. (Lu r12. 3 l h s tng quan ring
phn bc 1, r12. 34 l h s tng quan ring phn bc 2 v.v...). Tham kho bi tp 7.2. Gi
thit rng Y v X2 v X3 c phn phi chun lin kt. Hy tnh 3 tng quan ring phn
r12. 3 , r13. 2 , r23. 1 v kim nh ngha chung ca chng di gi thit rng cc tng quan
tng th tng ng u bng 0 mt cch ring bit.
8.21. Trong nghin cu nhu cu my ko nng nghip M cho thi k 1921 - 1941 v 1948 1957, Griliches* thu c cc kt qu sau:
logYt = hng s 0.519 logX2t 4.933 log X3t
(0.231)
(0.477)
R2 = 0.793
Z. Griliches , The Demand for a Durable Input: Farm Tractors in the United States, 1921 1957, (Nhu cu i
vi nhp lng lu di: my ko nng nghip M), trong The demand for Durable Goods,Arnold C. Harberger
(ed.), NXB University of Chicago, 1960, Bng 1, trang 192.
Ly t Prices and Earning in 1951 - 1969 : An Econometric assessment, Dept. of Employment, HMSO, 1971,
phng trnh (19), trang 35.
Damodar N. Gujarati
35
8.24.
8.25.
8.26.
8.27.
Damodar N. Gujarati
36
Yi 1 L 2 k 3 e 4 L 5 K
Xem sch ca ng Energy Prices and Capital Formation:(Cc gi nng lng v s hnh thnh gi) 1972-1977,,
Review, Federal Reserve Bank of St. Louis, tp 61, s 5, thng 5/1979, trang 4.
Damodar N. Gujarati
37
X2,
GNP
X3,
Thng k
nh
X4,
Tht
nghip %
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1,051.8
1,078.8
1,075.3
1,107.5
1,171.1
1,235.0
1,217.8
1,202.3
1,271.0
1,332.7
1,399.2
1,431.6
1,480.7
1,510.3
1,492.2
1,535.4
1,503.6
1,486.7
1,434.8
2,035.6
2,360.8
2,043.9
1,331.9
1,160.0
1,535.0
1,961.8
2,009.3
1,721.9
1,298.0
1,100.0
1,039.0
1,200.0
3.6
3.5
5.0
6.0
5.6
4.9
5.6
8.5
7.7
7.0
6.0
6.0
7.2
7.6
9.2
8.8
X5,
T l chm 6
thng trc
5.8
6.7
8.4
6.2
5.4
5.9
9.4
9.4
7.2
6.6
7.6
10.6
14.9
16.6
17.5
16.0
X6,
Mc li gii
hn ca ngi
tiu dng %
Y,
Mc mua
cht do
tng cng
(MPF)
5.9
4.5
4.2
4.2
4.9
5.0
4.1
3.4
4.2
4.5
3.9
4.4
3.9
3.1
0.6
1.5
5,873
7,852
8,189
7,497
8,534
8,688
7,270
5,020
6,035
7,425
9,400
9,350
6,540
7,675
7,419
7,923
Damodar N. Gujarati
38
8.33. Marc Nerlove c lng hm chi ph sau cho vic pht in*
Y AX P1 P 2 P3 u
(1)
trong Y = tng chi ph sn xut, X= cng sut tnh bng Kwh, P1 = gi nhp lng lao
ng, P2 = gi nhp lng vn, P3 = gi nhin liu v u = s hng nhiu. Ni mt cch l
thuyt, tng ca cc co gin v gi c d tnh l 1, ngha l ( 1 + 2 + 3 )=1.
Bng vic n nh gii hn ny, hm chi ph trn c th c vit nh l:
(Y / P3 ) AX ( P1 / P3 )1 ( P2 / P3 ) 2 u
(2)
Ni cch khc, (1) l hm chi ph khng gii hn v (2) l hm chi ph gii hn.
Trn c s mu ca 29 hng c quy m va, v sau khi bin i logarit, Nerlove thu
c cc kt qu sau:
se
lnYi = -4.93
= (1.96)
- 0.26lnP2
(0.29).
+ 0.94 lnXi
+ 0.31 ln P1
(0.11)
(0.23)
+ 0.44lnP3
(0.07)
RSS = 0.336
(a)
(b)
(3)
(4)
Marc Nerlove, Return to Scale in Electric Supply, (Sinh li theo qui m trong cung cp in),, in Carl Christ,
Ed., Measurement in Economics, NXB Standford University, Palo Alto, California, 1963. Cch vit c thay i.
Damodar N. Gujarati
39
(1)
Ri 1 2 i ui
(2)
(3)
1 r f
2 = Rm rf , hm c lng ca (ERm - rf).
Tip theo, hy xem xt m hnh thay th:
Ri 1 2 i 3 se2i ui
(4)
t = (12.0)
(5.1)
(2)
R2 = 0.21
(4)
H. Levy, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio, (S can
bng trog mt th trng khng hon ho: Mt s rng buc v s chng khon trong tp danh mc u t),
American Economic Review , tp 68, s 4, thng 9, 1978, trang 643 658.
Damodar N. Gujarati
40
t = (13.2)
(3.3)
(5.3)
R2 = 0.39
Tit kim Y
57.5
65.4
59.7
86.1
93.4
100.3
93.0
87.9
107.8
123.3
153.8
191.8
199.5
168.7
222.0
189.3
187.5
142.0
155.7
152.1
175.6
199.6
Thu nhp X
831.0
893.5
980.5
1,098.7
1,205.7
1,307.3
1,446.3
1,601.3
1,807.9
2,033.1
2,265.4
2,534.7
2,690.9
2,862.5
3,154.6
3,379.8
3,590.4
3,802.0
4,075.9
4,380.3
4,664.2
4,828.3
thy c c s thay i ngha hay khng trong lin quan tit kim-thu nhp cho thi
k 1970 1980 v 1981 1991 (thi k cc Tng thng Reagan v Bush), Hy tin hnh
kim nh Chow. Bn c th dng m hnh tuyn tnh hay tuyn tnh logarit lin quan
gia tit kim v thu nhp. Hy trnh by cc tnh ton ca bn tht r rng. Bn c th rt
Damodar N. Gujarati
41
ra kt lun chung g t php phn tch ny? Mt cch trc gic, lm th no bn tm ra rng
cc gi thit ca php kim nh Chow c c thc hin hay khng?
PH LC 8A.
KIM NH T L THCH HP (LR)
(1)
(2)
*
*
(3)*
T chn
Biu thc ny cng c th biu din nh l -2(RLLF - ULLF) hay l -2 ln(RLF/ULF).
Damodar N. Gujarati
42
trong ULLF v RLLF tng ng l hm thch hp logarit khng gii hn [phng trnh (1)]
v hm thch hp logarit gii hn [phng trnh (2)]. Nu c mu ln, n c th cho thy rng tr
thng k kim nh cho trong (3) tun theo phn phi Chi-bnh phng (2) vi bc t do
bng s cc gii hn c t bi gi thit khng, tc l bng 1 trong trng hp ny.
T tng c s ng sau kim nh LR tht n gin: Nu (cc) gii hn tin nghim
hiu lc, cc hm LF gii hn v khng gii hn logarit khng cn khc bit nhau, trong trng
hp , trong (3) s bng 0. Nhng nu khng phi trng hp , hai hm LF s i chch
nhau. V v trong mu ln ta bit rng tun theo phn phi Chi-bnh phng, ta c th tm ra
rng chnh lch ny c ngha thng k, cho l ti mc ngha 1 hoc 5%, hay khng. Hay
khc i, ta c th tm ra gi tr p ca c c lng.
tip tc vi v d ca chng ta, s dng MICRO TSP loi 7.0, ta thu c d liu sau:
ULLF = -132.3601
RLLF = -136.5061
Do ,
= 2[-132.3601 (-136.50610)] = 8.2992
Ni theo cch tim cn, n c phn phi nh l phn phi chi-bnh phng vi 1
bc t do (v ta ch c 1 gii hn t) . Gi tr p t cch tnh gi tr chi-bnh phng
8.2992 hay ln hn l vo khong 0.004 l xc sut nh. Do , ngi ta c th bc b gi
thit khng rng gi cm chung khng c nh hng n nhu cu v hoa hng, ngha l,
trong phng trnh (8.9.3) bin X3 cn c gi li. Th th, khng c g ng ngc nhin
rng gi tr t ca h s ca X3 c ngha trong phng trnh ny.
Do tnh phc tp ton hc ca cc kim nh Wald v LM, ta s khng tho lun chng
y. Nhng nh lu trong bi, ni theo cch tim cn, cc kim nh LR, Wald v LM cho
cc cu tr li ng nht, s la chn kim nh ph thuc vo tnh thun tin ca vic tnh ton.
trong v d ny, kch thc mu l kh nh. Do , ngi ta cn thn trng trong s dng cc kt qu tim cn. V
d ca ta ch l, ng nhin, i vi khoa s phm.
Damodar N. Gujarati
43