Professional Documents
Culture Documents
Bai Giang Kinh Te Luong Co So
Bai Giang Kinh Te Luong Co So
Ti liu
[1]. Nguyn Quang Dong, (2002), Bi ging Kinh t lng, NXB Thng k.
(Ti bn cc nm 2000, 2001, 2002, 2003).
[2]. V Thiu, Nguyn Quang Dong (2001), Kinh t lng - Bi tp & Hng
dn thc hnh Mfit3, NXB KHKT.
Tham kho v nng cao
[3]. Nguyn Cao Vn, Trn Thi Ninh, (1998), L thuyt Xc sut v Thng k
ton, NXB GD.(Ti bn cc nm 2002, 2005)
[4]. Nguyn Quang Dong, (2002), Kinh t lng - Chng trnh nng cao, NXB
KHKT.
[5]. Nguyn Quang Dong, (2002), Bi tp Kinh t lng vi s tr gip ca phn
mm Eviews, NXB KHKT.
[6]. Nguyn Khc Minh, (2002), Cc phng php Phn tch & D bo trong
Kinh t, NXB KHKT.
[7]. Graham Smith, (1996), Econometric Analysis and Applications, London
University.
8 D. Gujarati. Basic Econometrics. Third Edition. McGraw-Hill,Inc 1996.
9 Maddala. Introduction to Econometrics . New york 1992.
____________________________________________
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Bi ging Kinh t lng Nguyn
Bi m u
1. Khi nim v Kinh t lng (Econometrics)
- Nhiu nh ngha, ty theo quan nim ca mi tc gi.
- Econo + Metric
Khi nim: KTL nghin cu nhng mi quan h Kinh t X hi; thng qua vic
xy dng, phn tch, nh gi cc m hnh cho ra li gii bng s, h tr vic
ra quyt inh
Econometrics Pragmatic Economics
- KTL s dng kt qu ca :
+ L thuyt kinh t
+ M hnh ton kinh t
+ Thng k, xc sut
2. Phng php lun (cc bc tin hnh)
2.1. t lun thuyt v vn nghin cu
- Xc nh phm vi, bn cht, tnh cht ca cc i tng v mi quan h
gia chng.
- Xc nh m hnh l thuyt kinh t hp l.
2.2. Xy dng m hnh kinh t ton :
+ Mi i tng i din bi mt hoc mt s bin s.
+ Mi mi quan h: Phng trnh, hm s, bt phng trnh
+ Gi tr cc tham s : cho bit bn cht mi quan h.
2.3. Xy dng m hnh kinh t l-ng t-ng ng
- M hnh kinh t ton: ph thuc hm s
- M hnh kinht l-ng: ph thuc t-ng quan v hi quy
2.4. Thu thp s liu
- S liu c dng : t thng k.
2.5. Uc lng cc tham s ca m hnh.
Vi b s liu xc nh v phng php c th, kt qu c lng l nhng
con s c th.
2.6. Kim nh m hnh.
- Bng phng php kim nh thng k: kim nh gi tr cc tham s, bn
cht mi quan h
- Kim nh tnh chnh xc ca m hnh.
_______________________________________________________________________________________________
_______
Bi ging Kinh t lng Nguyn
1989
3223.3
1990
3260.4
1991
3240.8
Ngun: Bo co kinh t ca tng thng M, 1993.
4838.0
4877.5
4821.0
5. c l-ng m hnh.
Dng ph-ng php bnh ph-ng nh nht, tm -c cc uoc l-ng sau:
1 = -231,8
2 = 0,7194
Nh- vy -c l-ng ca hm tiu dng l:
Y i = -231,8 + 0,7194Xi
6. Kim nh m hnh:
H0: 2 = 0
H1: 2 0
H0: 2 = 1
H1: 2 1 . . .
7. D bo.
Chng hn c c s cho rng GDP ca M vo nm 1994 l 6000 t USD. Lc
c th tm -c mt d bo im cho Tng mc tiu dng c nhn ca M vo nm
l:
Y 1994 -231,8 + 0,7194*6000 = 4084,6 t USD
T c th xy d-ng tip cc d bo bng khong tin cy.
8. Kim sot hoc xut chnh sch.
Chng hn chnh ph M tin rng nu c -c tng mc tiu dng c nhn l 4000 t
USD th s duy tr -c t l tht nghip mc 6,5%. T duy tr -c t l tht
nghip ni trn cn phi c -c GDP l:
GDP ( 4000 + 231,8 )/ 0,7194 5882 t USD.
3. S liu dng trong KTL
3.1. Phn loi
- S liu theo thi gian.
- S liu theo khng gian.
- S liu cho
3.1. Ngun gc
- iu tra
- Mua
- T ngun c pht hnh : Nin gim thng k
3.2. Tnh cht ca s liu
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Bi ging Kinh t lng Nguyn
2 =
E (Y / X i )
: h s gc (slope coefficient)
X i
2, ui.
1. M hnh
- M hnh hi qui n ( Simple regression ) l m hnh mt ph-ng trnh gm
mt bin ph thuc (Y) v mt bin gii thch (X).
E(Y/Xi)= 1 + 2 Xi
- M hnh c dng: PRF
PRM
Yi = 1 + 2 Xi + ui
- Vi mu W = {(Xi, Yi), i = 1 n}, tm 1 , 2 sao cho SRF: Yi = 1 + 2 Xi phn
nh xu th bin ng v mt trung bnh ca mu.
i 1
i 1
(Yi Yi ) 2 ei 2 min
1n
+ 2Xi = Yi
t xi = Xi X ;
1 = Y 2 X
yi = Yi Y ; y i = Y i Y
2 =
x y
i
i 1
n
x
i 1
2
i
y i = 2xi
gi l hm hi quy mu i qua gc to .
ei 0
i 1
ei X i 0
i 1
eiYi = 0
i 1
3. Cc gi thit c bn ca OLS
K vng :
E( 2 ) = 2
n
Var( 1 ) =
Phng sai :
X
i 1
n
2
i
n xi2
Var( 2 ) =
x
i 1
i 1
1
n
2
2
i
(j = 1,2)
2 =
ei2
i 1
n2
= 2
Lc ta thu -c:
Se( 1 ) =
X
i 1
2
i
n xi2
i 1
Se( 2 ) =
x
i 1
2
i
Cov( 1, 2) = - X Var( 2)
Hip ph-ng sai phn nh mi quan h gia 1 v 2.
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Bi ging Kinh t lng Nguyn
10
5. S ph hp ca hm hi qui- H s xc nh R2
y i Yi Y
y i Yi Y yi = y i + ei ; V chng minh c
ei Yi Y
y y e
i 1
2
i
i 1
2
i
i 1
2
i
ESS
RSS
1
gi l h s xc nh,
TSS
TSS
0 R2 1
11
a.
b.
c.
d.
1 N( 1, var( 1))
e. 2 N( 2, var( 2))
f. 2 =
(n 2) 2
2
2(n-2)
(j =
1,2)
2 (n 2)
2 (n 2)
2
<
<
2 / 2 (n 2)
12 / 2 (n 2)
2 (n 2)
2
2 ( n 2)
2 (n 2)
12(n 2 )
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Bi ging Kinh t lng Nguyn
12
H 0 : j *j
*
H1 : j j
i. Cp gi thuyt
Tqs =
j = 1,2
j *j
Se( )
j
*
H 1 : j j
Nu Tqs > t (n 2) : bc b
H : *j
iii. Cp gi thuyt 0 j
*
Nu Tqs < t (n 2) : bc b
ii. Cp gi thuyt
H0
H 1 : j j
H0
Trng hp c bit
H 0 : j 0
H1 : j 0
Tqs =
j
Se( j )
2
H1 : R 0
Kim nh F:
Fqs =
H : 0
0 2
H1 : 2 0
ESS / 1
R 2 /1
13
Vi Y0 = 1 + 2 X0
Se( Y0 )
1 ( X 0 X )2
n
xi2
11.2. D bo gi tr c bit
Y0 Se( Y 0 - Y0)t/2(n 2) < Y0 < Y0 + Se( Y 0 - Y0) t/2(n 2)
1
n
Vi Se( Y 0 - Y0) = 1
( X 0 X )2
xi2
14
1.1. M hnh:
M hnh hi qui trong bin ph thuc Y ph thuc vo 2 bin gii thch X2, X3 c
dng
PRF: E(Y/ X2i, X3i) = 1 + 2 X2i + 3X3i (1) th l mt mt
phng
PRM:
Yi = 1 + 2X2i + 3X3i + ui
Gi s mi gi thit ca OLS u tho mn, lc vi mu kch th-c n -c lp t
tng th s xc nh -c:
SRF: Yi = 1 + 2 X2i + 3 X3i
(2)
SRM: Yi = 1 + 2X2i + 3X3i + ei
Tm j ( j = 1,3 ) sao cho
Q=
i 1
i 1
(Yi Yi ) 2 ei min
2
Q/ 1 = 0
Q/ 2 = 0
Q/ 3 = 0
1n
+ 2X2i
1X2i + 2X2i2
+ 3X3i = Yi
+ 3X3i = X2iYi
K hiu:
Y = (Yi)/n
X 2 = (X2i)/n
X 3 = (X3i)/n
Yi = Yi Y
x2i = X2i X 2
x3i = X3i X 3
1 = Y - 2 X 2 - 3 X 3
1.2.
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Bi ging Kinh t lng Nguyn
15
X 2 x 2 X 2 x 2 2 X 2 X 3 x 2 i x 3i 2
1
Var( 1) = + 2 3i 2 3 2 2i
x x
Var( 2) =
Var( 3 ) =
2i
2
3i
x x ( x
x
x x ( x
2
2i
( x 2 i x 3i )
3i
2
3i
2
3i
2
x22i (1 r232 )
2 =
2
x32i (1 r232 )
x 3i ) 2
2i
2
2i
2
2i
2 =
x 3i ) 2
2i
RSS
n3
r23 2
(1 r232 ) x22i x32i
H s xc nh bi R2
ESS
RSS
2
R = --------- = 1 - -------TSS
TSS
Vi m hnh ba bin:
1.3.
R2 =
1.4.
2 x 2i y i 3 x3i y i
2
i
H s t-ng quan.
r132
2
23
( x 2i y i ) 2
x y
( x y )
x y
( x x )
x x
2
2i
2
i
3i
2
3i
2i
2
2i
2
i
2
3i
2
3i
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Bi ging Kinh t lng Nguyn
16
c. H s t-ng quan ring phn rij , k : o mc t-ng quan tuyn tnh gia bin
i v bin j ca m hnh vi iu kin bin k khng i.
r12,3 =
r13,2 =
r23,1 =
(3)
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Bi ging Kinh t lng Nguyn
17
SRM:
(4)
Y1 1 X 21
Y2 1 X 22
... ...
...
Yn1 1 X 2 n1
Y 1 X
2n
n
Y(n1) =
X(nk)
e1
e2
... , th
en1
e
n
= X
Y
X k1
u
1 1
X k 2 u2
2
...
... ...
...
... X kn1 u n1
k
... X kn u n
...
...
(k1) + U(n
E(Y) = X
Y = X + U
Y1
1
Y2
Tng t, t Y = ... ; = 2 ; e =
...
Yn1
k
Yn
Y = X + e
e
i 1
2
i
= ee min
(Y - X ) (Y - X ) min XX = XY
Nu tn ti (XX)-1 th = (XX)-1XY
Khi = (XX)-1XY l c lng tuyn tnh khng chch tt nht ca
Cov ( 2 , 1 )
Var ( 2 )
Cov( ) =
...
...
Cov ( , ) Cov ( , )
k
1
k
2
... Cov( 1 , k )
... Cov( 2 , k )
2
= (XX)
...
...
...
Var ( k )
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Bi ging Kinh t lng Nguyn
18
Vi 2 c c lng bi 2 =
e' e
nk
2.5. S ph hp ca hm hi qui
H s xc nh bi.
R2 =
ESS
RSS
=1TSS
TSS
n 1
nk
+ R 2 c th nhn gi tr m.
+ Khi s bin gii thch ca m hnh tng ln th R 2 tng chm hn R2.
R 2 R2 1
Tnh cht ny -c dng lm cn c xem xt vic -a thm bin gii thch vo m
hnh.
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Bi ging Kinh t lng Nguyn
19
(j = 1, k )
Se( i j )
Var ( i j ) =
H 0 : j *j
*
H1 : j j
H 0 : j *j
*
H 1 : j j
Tqs> t( n/2k )
Tqs =
j *j
Se( )
Tqs > t( n k )
H 0 : j *j
*
H 1 : j j
H 0 : i j a
H1 : i j a
Min bc b H0
Tqs < t( n k )
Tqs =
i j a
Se( )
i
Tqs> t( n/2k )
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Bi ging Kinh t lng Nguyn
20
4. Kim nh s ph hp ca hm hi qui
H 0 : R 2 0
2
H1 : R 0
H : ... 0
k
0 2
H
:
0
:
(
j
1)
j
1
ESS /(k 1)
R 2 /(k 1)
Fqs =
RSS /(n k ) 1 R 2 /(n k )
H 1 : j 0 : ( j k m 1 k )
(UR)
(R)
( Rur2 R2 ) / m
( RSSr RSSur ) / m
=
RSSur /(n k )
(1 Rur2 ) /(n k )
(UR)
H0: 3 = 1; H1: 3 1.
H0 ng
Yi = 1 + 2X2i + X3i + ui
(R)
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Bi ging Kinh t lng Nguyn
21
H0: 2 = 3; H1: 2 3.
H0 ng
Yi = 1 + 2X2i + 2X3i + ui
(R)
H0: 2 + 3 = a; H1: 2 + 3 a
H0 ng
Yi = 1 + 2X2i + (a 2)X3i + ui
Yi aX3i = 1 + 2(X2iX3i) + ui Yi* = 1+ 2Xi*+ ui
(R)
6. D bo.
6.2. D bo gi tr c bit
Y0 Se(Y0)t/2(n k) < Y0 < Y0 + Se(Y0) t/2(n k)
Vi Se(Y0) = 1 X 0 ' (X' X) 1 X 0
7. Mt s m hnh Kinh t
7.1. Hm thu nhp chi tiu
Yi : Thu nhp
Ci : Chi tiu
Ci = 1 + 2Yi + ui
- C l chi tiu cho tiu dng : 1 > 0; 1 > 2 > 0
- C l chi tiu cho hng ha thng thng
- C l chi tiu cho hng ha cao cp
- C l chi tiu cho hng ha th cp
7.2. Hm cu
Qi : cu v hng ha
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Bi ging Kinh t lng Nguyn
22
Pi : gi c hng ha
PTi : gi hng ha thay th
PBi : gi hng ha b sung
Qi = 1 + 2Pi + 3PTi + 4PBi + ui
7.3. Hm chi ph sn lng
Qi : sn lng
TCi : tng chi ph, MCi : chi ph cn bin, ACi: chi ph trung bnh, FCi: chi ph
c nh
TCi = 1 + 2Qi + 3 Qi2 + 4 Qi3 + ui
FCi = 1 + ui
MCi = 2 + 23Qi + 34 Qi2 + ui
ACi =
1
+ 2 + 3Qi + 4 Qi2 + ui
Qi
23
Di =
Nu quan st l Nam
Nu quan st l N
M hnh : Yi = 1 + 2Di + ui
Thu nhp trung bnh ca nam E(Y/Di = 1) = 1 + 2
Thu nhp trung bnh ca n
E(Y/Di = 0) = 1
Nu 2 0 th TN trung bnh c ph thuc gii tnh
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Bi ging Kinh t lng Nguyn
24
nu c trnh trung hc
nu c trnh khc
nu c trnh i hc
nu c trnh khc
Yi = 1 + 2D2i + 3D3i + 4D4i + ui
25
D=
2
2
H1 : 3 4 0
Hm hi qui ng nht
Hm hi qui khng ng nht
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Bi ging Kinh t lng Nguyn
26
H 0 : [1 = 1 = 1] v [2 = 2 = 2 ]
hoc [2 2]
H1 : [1 1]
Hm hi qui ng nht
Hm hi qui khng ng nht
RSS RSS n1 n 2 2k
k
RSS
H0
Tit
kim
Thu nhp
Nm
Tit
kim
Thu
nhp
1946
0,36
8,8
1955
0,59
15,5
1947
0,21
9,4
1956
0,9
16,7
1948
0,08
10,0
1957
0,95
17,7
1949
0,2
10,6
1958
0,82
18,6
1950
0,1
11,0
1959
1,04
19,7
1951
0,12
11,9
1960
1,53
21,1
1952
0,41
12,7
1961
1,94
22,8
1953
0,50
13,5
1962
1,75
23,9
1954
0,43
14,3
1963
1,99
25,2
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Bi ging Kinh t lng Nguyn
27
Li nhun(tr. USD)
10503
12092
10834
12201
12245
14001
12213
12820
11349
12615
11014
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_______
Bi ging Kinh t lng Nguyn
28
1967-4
12730
151776
1968-1
12539
148862
1968-2
14849
158913
1968-3
13203
155727
1968-4
14947
168409
1969-1
14151
162781
1969-2
15949
176057
1969-3
14024
172419
1969-4
14315
183327
1970-1
12381
170415
1970-2
13991
181313
1970-3
12174
176712
1970-4
10985
180370
a. Hy hi quy li nhun vi doanh s v cho nhn xt.
b. V th ca li nhun v doanh s theo thi gian v cho nhn xt.
c. T hy tm cch hon thin m hnh.
6. Hi qui tuyn tnh tng khc
Hm hi qui tuyn tnh gp khc ti im X = Xt0
1 : X X
t0
D=
0
:
X
X
t0
29
j 0 (j 1) sao cho:
2 X2i + + kXki + vi = 0
vi vi l SSNN c phng sai dng vn c li gii.
1.2. Nguyn nhn
a cng tuyn hon ho gn nh khng bao gi xy ra
a cng tuyn khng hon ho thng xuyn xy ra, do cc nguyn nhn:
- Bn cht cc bin gii thch c quan h t-ng quan vi nhau.
- Do s liu mu khng ngu nhin.
- Do kch thc mu khng .
- Do qu trnh lm trn s liu.
2. Hu qu
2.1. a cng tuyn hon ho : khng gii c
V lc
0
j
0
j v
Var( j ) = j
2.2. a cng tuyn khng hon ho:
- Cc c lng c phng sai ln, l c lng khng hiu qu.
- Khong tin cy rng khng cn ngha.
- Cc kim nh T c th sai.
- Cc kim nh T v kim nh F c th cho kt lun mu thun nhau.
- Cc c lng c th sai v du.
- M hnh tr nn nhy cm vi mi s thay i ca s bin gii thch v
ca tp s liu.
3. Pht hin a cng tuyn.
3.1. S mu thun gia kim nh T v F
C mu thun: Kim nh F c ngha, tt c cc kim nh T v cc h
s gc khng c ngha.
c a cng tuyn.
iu ngc li cha chc ng.
30
3.4. Hi qui ph
Nghi ng bin gii thch Xj ph thuc tuyn tnh vo cc bin gii thch
khc, hi qui m hnh hi qui ph:
Xj = 1 + 2X2 + + j-1Xj -1 + j+1Xj+1 + + vi (*)
H 0 : R*2 0
2
H1 : R* 0
Fqs =
2
1 R* k* 1
3.5. o Theil
Dng so snh mc a cng tuyn khng hon ho gia cc m hnh.
B-c 1: Hi quy m hnh ban u tm -c R2
B-c 2: B bin Xj ra khi m hnh, hi qui thu c R2 j (j=2,k)
k
m = R2 ( R 2 R2 j ) c gi l o Theil
j 2
31
Yi = 1 + 2X2i + 3X3i + ui
lnYi = 1 + 2lnX2i + 3lnX3i + ui
32
2
H1 : 2 0 : R* 0
M hnh u c PSSS ng u
M hnh u c PSSS thay i
33
Gt : i2 = 2Xi2
Gt : i2 = 2 X i
MH hi qui ph ei2 = 1 + 2 X i + vi
Gt : i2 = 2 X i
MH hi qui ph ei2 = 1 + 2 X i + vi
2
H1 : R* 0
ei2 = 1 + 2 Yi 2 + vi (*)
H 0 : 2 0 H 0 : R*2 0
2
H1 : 2 0 H1 : R* 0
Yi = 1X0i + 2Xi + ui
Var(ui) = 1 khng i
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Bi ging Kinh t lng Nguyn
34
3.2. Nu cha bit i2 Dng GLS Ph-ng php bnh ph-ng nh nht tng
qut.
Tu thuc vo tnh cht ca i2 m bin i m hnh gc sao cho ph-ng sai ca
sai s ngu nhin tr nn ng u.
Gt 1 : i2 = 2Xi
Lc chia hai v cho X i
Yi
Xi
u
1
2 Xi i
Xi
Xi
PSSS s bng 2
Gt 2 : i2 = 2Xi2
Lc chia hai v cho Xi
Gt 3 : i2 = 2E(Yi)2
Lc chia hai v cho Yi
Ch : C th thay i dng hm khc phc ph-ng sai ca sai s thay i.
a.
lnYi = 1 + 2lnXi + ui
b.
lnYi = 1 + 2Xi + ui
c.
Yi = 1 + 2lnXi + ui
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Bi ging Kinh t lng Nguyn
35
=-1
t tng quan m hon ho
-1<<0
t tng quan m
=0
khng c t tng quan
0<<1
t tng quan dng
=1
t tng quan dng hon ho
L-c AR(1)
Tng qut : t tng quan bc p : ut = 1 ut - 1 + 2 ut - 2 + + p ut - p + t vi p
0
L-c AR(p) : Autoregresseve Procedure order p.
1.2. Nguyn nhn
- Bn cht, tnh qun tnh trong hin tng kinh t x hi
- Hin tng mng nhn trong kinh t
- Qu trnh x l, ni suy s liu
- M hnh thiu bin hoc dng hm sai
2. Hu qu
- Cc c lng l khng chch nhng khng cn l c lng tt nht.
3. Pht hin
3.1. Quan st th ca et theo et-1
Bc 1. Hi quy m hnh gc tm et v et-1
B-c 2. V th ca et theo et-1 v nhn xt.
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Bi ging Kinh t lng Nguyn
36
d=
(et et 1 ) 2
t 2
e
t 1
2( 1 - ) vi
2
t
e e
i 1
n
t t 1
e
i 1
l c lng cho
2
t
Hn ch:
+ Vn cn hai min khng c kt lun Dng kim nh DW ci bin.
+ Khng p dng -c vi cc m hnh t hi quy.
Trng hp m hnh t hi quy c tr bc 1 ca bin ph thuc lm bin gii thch
th dng Kim nh h-Durbin :
Yt = 1 + 2Xt + 0Yt -1 + ut
h =
d
n
; = 1 2
1 nVar ( 0 )
T tng
quan m
<0
Khng c t
tng quan
=0
T tng
quan dng
>0
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- 1.96
1.96
3.3. Hi qui ph
Kim nh
ut = 1 ut -1 + 2 ut -2 + + p ut-p + t
MH hi qui ph : et = (0) + 1et -1 + + pet-p + vt (*)
H 0 : R*2 0
H : ... p 0
0 1
2
H1 : R* 0
H1 : j 0 : ( j 0)
Kim nh T hoc F
3.4. Kim nh Breusch- Goldfrey.
MH hi qui ph
et = [ 1 + 2Xt ] + 1et -1 + + pet-p + vt (*)
H 0 : 1 ... p 0
H1 : j 0 : ( j 0)
R*2 R*2* n* k*
1 R*2
k* 1
Nu Fqs > F( k* 1; n* k* ) th bc b
H0
4. Khc phc
Mc ch l chuyn MH ban u c khuyt tt t tng quan thnh MH mi c
cng h s c nhng khng c t tng quan
M hnh ban u: Yt = 1 + 2 Xt + ut
C t tng quan : ut = ut -1 + t vi 0 , t tha mn cc gi thit OLS.
4.1. Khi bit Dng ph-ng php sai phn tng qut.
Yt = 1 + 2 Xt + ut
Yt -1 = 1 + 2Xt -1 + ut -1 Yt -1 = 1 + 2 Xt -1 + ut -1
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Yt Yt-1 = 1(1 ) + 2(Xt Xt -1) + ut ut-1 (phng trnh sai phn tng
qut)
Yt*
1*
+ 2Xt*
*
1* 1 = 1 v 2
1
Yt Yt 1
X X t 1
1 2 t
t
2
2
trt)
4.2. Khi cha bit
c lng bng cc phng php khc nhau
i. T thng k Durbin-Watson
d 2( 1 - ) = 1 -
d
2
ii. T hi qui ph
et = (0) + 1et - 1 + vt ly 1
iii. Phng php Cochran-Orcutt
Hi qui m hnh ban u: Yt = 1 + 2 Xt + ut 1(1) , 2(1) , et(1)
Hi qui m hnh et(1) = + et(11) + vt (1)
Ly (1) thay vo phng trnh sai phn tng qut 1( 2) , 2( 2) , et( 2)
Hi qui m hnh et( 2) = + et(21) + vt ( 2)
Ly ( 2) thay vo ph-ng trnh sai phn tng qut 1(3) , 2(3) , et(3)
39
Chng 8. ch NH M HNH
1. Thuc tnh ca m hnh tt
- y : khng thiu v khng tha bin gii thch
- ng nht : s liu thng nht tham s thng nht
- Ph hp l thuyt : cc h s ph hp l thuyt
- Hm hi qui ph hp : R2 ln
- Kh nng phn tch v d bo
Yi = 1 + 2Xi + ui
LnYi = 1 + 2LnXi + vi
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H 1 : j 0, j 1, m
Fqs =
R(22 ) R(21)
1 R
2
(2)
(2)
n k( 2)
k( 2) 1
H1 : j 0, j 1, m
MH (1) c dng hm ng
2
qs
41
24
6
JB = qs2 n
Nu qs2 2 (2) th bc b H0
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