Gio trnh Kinh t lng

2008 Tamakeno -Nhatdong@gmail.com - 0909429292 4/30/2008 BI GING KINH T LNG Mc lc

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1.

CHNG 1 GII THIU.. 8

1.1 1.2 1.3 1.4 1.5 Kinh t lng l g?. 8 Phng php lun ca kinh t lng. 9 Nhng cu hi t ra cho mt nh kinh t lng. 14 D liu cho nghin cu kinh t lng. 14 Vai tr ca my vi tnh v phm mm chuyn dng. 15 Xc sut 17

2.

CHNG II N TP V XC SUT V THNG K.. 17

2.1

2.1.1 2.1.2 2.1.3 2.1.4 2.1.5

2.2

Xc sut bin ngu nhin nhn c mt gi tr c th. 17 Hm mt xc sut (phn phi xc sut) 19 Mt s c trng ca phn phi xc sut 23 Tnh cht ca bin tng quan. 26 Mt s phn phi xc sut quan trng. 27 Xu hng trung tm ca d liu.. 31 phn tn ca d liu.. 31 tri S. 32 nhn K.. 32 Quan h gia hai bin-H s tng quan. 32 c lng. 32 Hm c lng cho . 33 Phn phi ca ... 33 Cc tnh cht ng vi mu nh. 35 Tnh cht ca mu ln. 37

Thng k m t. 30

2.2.1 2.2.2 2.2.3 2.2.4 2.2.5

2.3

Thng k suy din - vn c lng. 32

2.3.1 2.3.2 2.3.3 2.3.4 2.3.5

2.4

Thng k suy din - Kim nh gi thit thng k. 38

3.

2.4.1 Gi thit 38 2.4.2 Kim nh hai ui 39 2.4.3 Kim nh mt ui 42 2.4.4 Mt s trng hp c bit cho c lng gi tr trung bnh ca tng th. 43 2.4.5 Sai lm loi I v sai lm loi II 45 2.4.6 Tm tt cc bc ca kim nh gi thit thng k. 47 CHNG II HI QUY HAI BIN.. 48
3.1 3.2 3.3 Gii thiu.. 48

3.1.1 3.1.2 3.2.1 3.2.2 3.3.1 3.3.2 3.3.3 3.3.4

3.4 3.5 3.6 3.7 3.8

Khi nim v hi quy. 48 S khc nhau gia cc dng quan h. 48 Hm hi quy tng th (PRF) 50 Hm hi quy mu (SRF) 53 Cc gi nh ca m hnh hi quy tuyn tnh c in. 54 Phng php bnh phng ti thiu: 55 Tnh cht ca hm hi quy mu theo OLS. 56 Phn phi ca v .... 57 Khong tin cy cho cc h s hi quy. 58 Kim nh gi thit v h s hi quy. 60

Hm hi quy tng th v hi quy mu.. 50 c lng cc h s ca m hnh hi quy theo phng php bnh phng ti thiu-OLS 54

Khong tin cy v kim nh gi thit v cc h s hi quy. 58

3.4.1 3.4.2

nh l Gauss-Markov. 63 thch hp ca hm hi quy R2 63 D bo bng m hnh hi quy hai bin. 66 ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng. 68

4.

3.8.1 Tuyn tnh trong tham s. 68 3.8.2 Mt s m hnh thng dng. 69 CHNG 4 M HNH HI QUY TUYN TNH BI 74
4.1 Xy dng m hnh. 74

4.1.1 4.1.2 4.1.3

4.2

Gii thiu.. 74 ngha ca tham s. 74 Gi nh ca m hnh. 75 Hm hi quy mu v c lng tham s theo phng php bnh phng ti thiu 75 c lng tham s cho m hnh hi quy ba bin. 76 Phn phi ca c lng tham s. 77

c lng tham s ca m hnh hi quy bi 75

4.2.1 4.2.2 4.2.3

4.3 4.4 4.5 4.6 4.7

v hiu chnh. 78 Kim nh mc ngha chung ca m hnh. 79 Quan h gia R2 v F. 80 c lng khong v kim nh gi thit thng k cho h s hi quy. 80 Bin phn loi (Bin gi-Dummy variable) 81

5.

4.7.1 Hi quy vi mt bin nh lng v mt bin phn loi 81 4.7.2 Hi quy vi mt bin nh lng v mt bin phn loi c nhiu hn hai phn lp 83 4.7.3 Ci by ca bin gi. 84 4.7.4 Hi quy vi nhiu bin phn loi 85 4.7.5 Bin tng tc. 86 CHNG 5 GII THIU MT S VN LIN QUAN N M HNH HI QUY 88
5.1 a cng tuyn. 88

5.1.1 5.1.2 5.1.3

5.2

Bn cht ca a cng tuyn. 88 H qu ca a cng tuyn. 89 Bin php khc phc. 91 Bn cht ca phng sai ca sai s thay i 92 H qu ca phng sai thay i khi s dng c lng OLS. 93 Pht hin v khc phc. 95

Phng sai ca sai s thay i - HETEROSKEDASTICITY.. 92

5.2.1 5.2.2 5.2.3

5.3 5.4

T tng quan (tng quan chui) 97 La chn m hnh. 98

6.

5.4.1 Thiu bin c lin quan v cha bin khng lin quan. 99 5.4.2 Kim nh so snh m hnh (5.21) v (5.22) - Kim nh Wald.. 99 5.4.3 Hai chin lc xy dng m hnh. 99 CHNG 6 D BO VI M HNH HI QUY (c thm) 101
6.1 6.2 6.3 6.4 D bo vi m hnh hi quy thng thng. 102 Tnh cht tr ca d liu chui thi gian v h qu ca n n m hnh. 102 M hnh t hi quy. 103 M hnh c tr phn phi 103

6.4.1 6.4.2 6.4.3 6.4.4

6.5 6.6

Cch tip cn ca Alt v Tinberger: 103 M hnh Koyck. 104 M hnh k vng thch nghi 105 M hnh hiu chnh tng phn. 106

c lng m hnh t hi quy. 106 Pht hin t tng quan trong m hnh t hi quy. 107 Cc thnh phn ca d liu chui thi gian. 109

7.

CHNG 7 CC M HNH D BO MANG TNH THNG K (Tham kho) 109

7.1

7.1.1 7.1.2 7.1.3 7.1.4

7.2

Xu hng di hn. 109 Chu k. 109 Thi v.. 109 Ngu nhin. 109 M hnh xu hng tuyn tnh. 111 M hnh xu hng dng m.. 112 M hnh xu hng dng bc hai 113 Trung bnh trt (Moving Average) 113 San bng s m (Exponential Smoothing Method) 113 T hi quy (Autoregression) 114

D bo theo ng xu hng di hn. 111

7.2.1 7.2.2 7.2.3

7.3

Mt s k thut d bo n gin. 113

7.3.1 7.3.2 7.3.3

7.4 7.5 7.6

Tiu chun nh gi m hnh d bo. 114 Mt v d bng s. 115 Gii thiu m hnh ARIMA.. 116

8.

7.6.1 Tnh dng ca d liu.. 116 7.6.2 Hm t tng quan v hm t tng quan mu.. 117 7.6.3 Hm t tng quan ring phn (PACF) 118 7.6.4 M hnh AR, MA v ARMA.. 119 7.6.5 M hnh ARIMA v SARIMA.. 120 7.6.6 Phng php lun Box-Jenkins. 120 TI LIU THAM KHO.. 129

1. CHNG 1 GII THIU

1.1

Kinh t lng l g?

Thut ng ting Anh Econometrics c ngha l o lng kinh t[1]. Tht ra phm vi ca kinh t lng rng hn o lng kinh t. Chng ta s thy iu qua mt nh ngha v kinh t lng nh sau:

Khng ging nh thng k kinh t c ni dung chnh l s liu thng k, kinh t lng l mt mn c lp vi s kt hp ca l thuyt kinh t, cng c ton hc v phng php lun thng k. Ni rng hn, kinh t lng lin quan n: (1) c lng cc quan h kinh t, (2) Kim chng l thuyt kinh t bng d liu thc t v kim nh gi thit ca kinh t hc v hnh vi, v (3) D bo hnh vi ca bin s kinh t.[2]
Sau y l mt s v d v ng dng kinh t lng.

c lng quan h kinh t

(1) (2) (3) (1) (2) (3) (1) (2) (3) o lng mc tc ng ca vic h li sut ln tng trng kinh t. c lng nhu cu ca mt mt hng c th, v d nhu cu xe hi ti th trng Vit Nam. Phn tch tc ng ca qung co v khuyn mi ln doanh s ca mt cng ty. Kim nh gi thit v tc ng ca chng trnh khuyn nng lm tng nng sut la. Kim chng nhn nh co dn theo gi ca cu v c basa dng fillet th trng ni a. C s phn bit i x v mc lng gia nam v n hay khng? Doanh nghip d bo doanh thu, chi ph sn xut, li nhun, nhu cu tn kho Chnh ph d bo mc thm ht ngn sch, thm ht thng mi, lm pht D bo ch s VN Index hoc gi mt loi c phiu c th nh REE.

Kim nh gi thit

D bo

1.2

Phng php lun ca kinh t lng

Theo phng php lun truyn thng, cn gi l phng php lun c in, mt nghin cu s dng kinh t lng bao gm cc bc nh sau[3]: (1) Pht biu l thuyt hoc gi thit. (2) Xc nh c trng ca m hnh ton kinh t cho l thuyt hoc gi thit. (3) Xc nh c trng ca m hnh kinh t lng cho l thuyt hoc gi thit. (4) Thu thp d liu. (5) c lng tham s ca m hnh kinh t lng. (6) Kim nh gi thit. (7) Din gii kt qu (8) D bo v s dng m hnh quyt nh chnh sch L thuyt hoc gi thit Lp m hnh kinh t lng Thu thp s liu c lng thng s Kim nh gi thit Din dch kt qu Xy dng li m hnh D bo Quyt nh chnh sch Lp m hnh ton kinh t Hnh 1.1 Phng php lun ca kinh t lng V d 1: Cc bc tin hnh nghin cu mt vn kinh t s dng kinh t lng vi ti nghin cu xu hng tiu dng bin ca nn kinh t Vit Nam. (1) Pht biu l thuyt hoc gi thit Keynes cho rng: Qui lut tm l c s ... l n ng (n b) mun, nh mt qui tc v v trung bnh, tng tiu dng ca h khi thu nhp ca h tng ln, nhng khng nhiu nh l gia tng trong thu nhp ca h.[4] Vy Keynes cho rng xu hng tiu dng bin(marginal propensity to consume-MPC), tc tiu dng tng ln khi thu nhp tng 1 n v tin t ln hn 0 nhng nh hn 1. (2) Xy dng m hnh ton cho l thuyt hoc gi thit Dng hm n gin nht th hin tng ca Keynes l dng hm tuyn tnh. (1.1) Trong : 0 < < 1. Biu din di dng th ca dng hm ny nh sau: GNP TD b2=MPC b1 0 b1 : Tung gc b2: dc TD : Bin ph thuc hay bin c gii thch GNP: Bin c lp hay bin gii thch Hnh 1. 2. Hm tiu dng theo thu nhp. (3) Xy dng m hnh kinh t lng M hnh ton vi dng hm (1.1) th hin mi quan h tt nh(deterministic relationship) gia tiu dng v thu nhp trong khi quan h ca cc bin s kinh t thng mang tnh khng chnh xc. biu din mi quan h khng chnh xc gia tiu dng v thu nhp chng ta a vo thnh phn sai s: (1.2) Trong e l sai s, e l mt bin ngu nhin i din cho cc nhn t khc cng tc ng ln tiu dng m cha c a vo m hnh. Phng trnh (1.2) l mt m hnh kinh t lng. M hnh trn c gi l m hnh hi quy tuyn tnh. Hi quy tuyn tnh l ni dung chnh ca hc phn ny. (4) Thu thp s liu S liu v tiu dng v thu nhp ca nn kinh t Vit Nam t 1986 n 1998 tnh theo n v tin t hin hnh nh sau: Tiu dng Tng thu nhp H s kh Nm TD, ng hin hnh GNP, ng hin hnh lm pht 1986 526.442.004.480 553.099.984.896 2,302 1987 2.530.537.897.984 2.667.299.995.648 10,717 1988 13.285.535.514.624 14.331.699.789.824 54,772 1989 26.849.899.970.560 28.092.999.401.472 100

1990 1991 1992 1993 1994 1995 1996 1997 1998

39.446.699.311.104 64.036.997.693.440 88.203.000.283.136 114.704.005.464.064 139.822.006.009.856 186.418.693.406.720 222.439.040.614.400 250.394.999.521.280 284.492.996.542.464

41.954.997.960.704 76.707.000.221.696 110.535.001.505.792 136.571.000.979.456 170.258.006.540.288 222.839.999.299.584 258.609.007.034.368 313.623.008.247.808 361.468.004.401.152

142,095 245,18 325,189 371,774 425,837 508,802 540,029 605,557 659,676

Bng 1.1. S liu v tng tiu dng v GNP ca Vit Nam Ngun : World Development Indicator CD-ROM 2000, WorldBank.
TD: Tng tiu dng ca nn kinh t Vit Nam, ng hin hnh. GNP: Thu nhp quc ni ca Vit Nam, ng hin hnh. Do trong thi k kho st c lm pht rt cao nn chng ta cn chuyn dng s liu v tiu dng v thu nhp thc vi nm gc l 1989. Tiu dng Tng thu nhp Nm TD, ng-gi c nh 1989 GNP, ng-gi c nh 1989 1986 22.868.960.302.145 24.026.999.156.721 1987 23.611.903.339.515 24.888.000.975.960 1988 24.255.972.171.640 26.165.999.171.928 1989 26.849.899.970.560 28.092.999.401.472 1990 27.760.775.225.362 29.526.000.611.153 1991 26.118.365.110.163 31.285.998.882.813 1992 27.123.609.120.801 33.990.999.913.679 1993 30.853.195.807.667 36.735.001.692.581 1994 32.834.660.781.138 39.982.003.187.889 1995 36.638.754.378.646 43.797.002.601.354 1996 41.190.217.461.479 47.888.002.069.333 1997 41.349.567.191.335 51.790.873.128.795 1998 43.126.144.904.439 54.794.746.182.076

Bng 1.2. Tiu dng v thu nhp ca Vit Nam, gi c nh 1989

(5) c lng m hnh (c lng cc h s ca m hnh) S dng phng php tng bnh phng ti thiu thng thng (Ordinary Least Squares)[5] chng ta thu c kt qu hi quy nh sau: TD = 6.375.007.667 + 0,680GNP t [4,77][19,23] 2 = 0,97 R c lng cho h s b1 l 6.375.007.667 c lng cho h s b2 l 0,68 Xu hng tiu dng bin ca nn kinh t Vit Nam l MPC = 0,68. (6) Kim nh gi thit thng k Tr s xu hng tiu dng bin c tnh ton l MPC = 0,68 ng theo pht biu ca Keynes. Tuy nhin chng ta cn xc nh MPC tnh ton nh trn c ln hn 0 v nh hn 1 vi ngha thng k hay khng. Php kim nh ny cng c trnh by trong chng 2. (7) Din gii kt qu Da theo ngha kinh t ca MPC chng ta din gii kt qu hi quy nh sau: Tiu dng tng 0,68 ngn t ng nu GNP tng 1 ngn t ng. (8) S dng kt qu hi quy Da vo kt qu hi quy chng ta c th d bo hoc phn tch tc ng ca chnh sch. V d nu d bo c GNP ca Vit Nam nm 2004 th chng ta c th d bo tiu dng ca Vit Nam trong nm 2004. Ngoi ra khi bit MPC chng ta c th c lng s nhn ca nn kinh t theo l thuyt kinh t v m nh sau: M = 1/(1-MPC) = 1/(1-0,68) = 3,125 Vy kt qu hi quy ny hu ch cho phn tch chnh sch u t, chnh sch kch cu

1.3
1. 2. 3. 4.

Nhng cu hi t ra cho mt nh kinh t lng

M hnh c ngha kinh t khng? D liu c ng tin cy khng? Phng php c lng c ph hp khng? Kt qu thu c so vi kt qu t m hnh khc hay phng php khc nh th no?

1.4

D liu cho nghin cu kinh t lng

C ba dng d liu kinh t c bn: d liu cho, d liu chui thi gian v d liu bng. D liu cho bao gm quan st cho nhiu n v kinh t mt thi im cho trc. Cc n v kinh t bao gm cc cc nhn, cc h gia nh, cc cng ty, cc tnh thnh, cc quc gia D liu chui thi gian bao gm cc quan st trn mt n v kinh t cho trc ti nhiu thi im. V d ta quan st doanh thu, chi ph qung co, mc lng nhn vin, tc i mi cng ngh mt cng ty trong khong thi gian 1990 n 2002. D liu bng l s kt hp gia d liu cho v d liu chui thi gian. V d vi cng b bin s v cng ty nh v d trn, chng ta thu thp s liu ca nhiu cng ty trong cng mt khong thi gian.

Bin ri rc hay lin tc Bin ri rc l mt bin c tp hp cc kt qu c th m c.V d bin Quy m h gia nh v d mc 1.2 l mt bin ri rc. Bin lin tc l bin nhn kt qu mt s v hn cc kt qu. V d lng lng ma trong mt nm mt a im.
D liu c th thu thp t mt th nghim c kim sot, ni cch khc chng ta c th thay i mt bin s trong iu kin cc bin s khc gi khng i. y chnh l cch b tr th nghim trong nng hc, y khoa v mt s ngnh khoa hc t nhin. i vi kinh t hc ni ring v khoa hc x hi ni chung, chng ta rt kh b tr th nghim c kim sot, v s thc dng nh tt c mi th u thay i nn chng ta ch c th quan st hay iu tra thu thp d liu.

1.5
Excel

Vai tr ca my vi tnh v phm mm chuyn dng

V kinh t lng lin quan n vic x l mt khi lng s liu rt ln nn chng ta cn dn s tr gip ca my vi tnh v mt chng trnh h tr tnh ton kinh t lng. Hin nay c rt nhiu phn mm chuyn dng cho kinh t lng hoc h tr x l kinh t lng. Ni chung cc phn mm bng tnh(spreadsheet) u c mt s chc nng tnh ton kinh t lng. Phn mm bng tnh thng dng nht hin nay l Excel nm trong b Office ca hng Microsoft. Do tnh thng dng ca Excel nn mc d c mt s hn ch trong vic ng dng tnh ton kinh t lng, gio trnh ny c s dng Excel trong tnh ton v d minh ho v hng dn gii bi tp.

Phn mm chuyn dng cho kinh t lng

Hng n vic ng dng cc m hnh kinh t lng v cc kim nh gi thit mt cch nhanh chng v hiu qu chng ta phi quen thuc vi t nht mt phn mm chuyn dng cho kinh t lng. Hin nay c rt nhiu phn mm kinh t lng nh: Phn mmCng ty pht trin AREMOS/PC Wharton Econometric Forcasting Associate BASSTALBASS Institute Inc BMDP/PCBMDP Statistics Software Inc DATA-FITOxford Electronic Publishing ECONOMIST WORKSTATIONData Resources, MC Graw-Hill ESPEconomic Software Package ETNew York University

EVIEWSQuantitative Micro Software

GAUSSAptech System Inc LIMDEPNew York University MATLABMathWorks Inc PC-TSPTSP International P-STATP-Stat Inc SAS/STATVAR Econometrics SCA SYSTEMSAS Institute Inc SHAZAMUniversity of British Columbia SORITECThe Soritec Group Inc

SPSSSPSS Inc
STATPROPenton Sofware Inc Trong s ny c hai phn mm c s dng tng i ph bin cc trng i hc v vin nghin cu Vit Nam l SPSS v EVIEWS. SPSS rt ph hp cho nghin cu thng k v cng tng i thun tin cho tnh ton kinh t lng trong khi EVIEWS c thit k chuyn cho phn tch kinh t lng.

2. CHNG II N TP V XC SUT V THNG K

Bin ngu nhin.
Mt bin m gi tr ca n c xc nh bi mt php th ngu nhin c gi l mt bin ngu nhin. Ni cch khc ta cha th xc nh gi tr ca bin ngu nhin nu php th cha din ra. Bin ngu nhin c k hiu bng k t hoa X, Y Z. Cc gi tr ca bin ngu nhin , tng ng c biu th bng k t thng x, y, z Bin ngu nhin c th ri rc hay lin tc. Mt bin ngu nhin ri rc nhn mt s hu hn(hoc v hn m c) cc gi tr. Mt bin ngu nhin lin tc nhn v s gi tr trong khong gi tr ca n. V d 2.1. Gi X l s chm xut hin khi tung mt con sc sc (x ngu). X l mt bin ngu nhin ri rc v n ch c th nhn cc kt qu 1,2,3,4,5 v 6. V d 2.2. Gi Y l chiu cao ca mt ngi c chn ngu nhin trong mt nhm ngi. Y cng l mt bin ngu nhin v chng ta ch c nhn c sau khi o c chiu cao ca ngi . Trn mt ngi c th chng ta o c chiu cao 167 cm. Con s ny to cho chng ta cm gic chiu cao l mt bin ngu nhin ri rc, nhng khng phi th, Y thc s c th nhn c bt c gi tr no trong khong cho trc th d t 160 cm n 170 cm tu thuc vo chnh xc ca php o. Y l mt bin ngu nhin lin tc.

2.1
2.1.1

Xc sut
Xc sut bin ngu nhin nhn c mt gi tr c th

Chng ta thng quan tm n xc sut bin ngu nhin nhn c mt gi tr xc nh. V d khi ta sp tung mt sc sc v ta mun bit xc sut xut hin Xi = 4 l bao nhiu. Do con sc sc c 6 mt v nu khng c gian ln th kh nng xut hin ca mi mt u nh nhau nn chng ta c th suy ra ngay xc sut X= 4 l: P(X=4) = 1/6. Nguyn tc l do khng y (the principle of insufficient reason): Nu c K kt qu c kh nng xy ra nh nhau th xc sut xy ra mt kt qu l 1/K. Khng gian mu: Mt khng gian mu l mt tp hp tt c cc kh nng xy ra ca mt php th, k hiu cho khng gian mu l S. Mi kh nng xy ra l mt im mu. Bin c : Bin c l mt tp con ca khng gian mu. V d 2.3. Gi Z l tng s im php th tung hai con sc sc. Khng gian mu l S = {2;3;4;5;6;7;8;9;10;11;12} A = {7;11}Tng s im l 7 hoc 11 B = {2;3;12}Tng s im l 2 hoc 3 hoc 12 C = {4;5;6;8;9;10} D = {4;5;6;7} L cc bin c.

Hp ca cc bin c
E = A hoc B = = {2;3;7;11;12}

Giao ca cc bin c:
F = C v D = = {4;5;6}

Cc tnh cht ca xc sut

P(S) =1

Tn sut
Kho st bin X l s im khi tung sc sc. Gi s chng ta tung n ln th s ln xut hin gi tr xi l ni. Tn sut xut hin kt qu xi l Nu s php th ln th tn sut xut hin xi tin n xc sut xut hin xi.

nh ngha xc sut
Xc sut bin X nhn gi tr xi l

2.1.2

Hm mt xc sut (phn phi xc sut)

Hm mt xc sut-Bin ngu nhin ri rc

X nhn cc gi tr xi ring r x1, x2,, xn. Hm s f(x) = P(X=xi) , vi i = 1;2;..;n =0 , vi x xi c gi l hm mt xc sut ri rc ca X. P(X=xi) l xc sut bin X nhn gi tr xi. Xt bin ngu nhin X l s im ca php th tung mt con sc sc. Hm mt xc sut c biu din dng bng nh sau. X 1 2 3 4 5 6 P(X=x) 1/6 1/6 1/6 1/6 1/6 1/6 Bng 2.1. Mt xc sut ca bin ngu nhin ri rc X Xt bin Z l tng s im ca php th tung 2 con sc sc. Hm mt xc sut c biu din di dng bng nh sau. z 2 3 4 5 6 7 8 9 10 11 12 P(Z=z) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36 Bng 2.2. Mt xc sut ca bin ngu nhin ri rc Z Hnh 2.1. Biu tn sut ca bin ngu nhin Z.

Hm mt xc sut(pdf)-Bin ngu nhin lin tc. V d 2.4. Chng ta xt bin R l con s xut hin khi bm nt Rand trn my tnh cm tay dng tiu biu nh Casio fx-500. R l mt bin ngu
nhin lin tc nhn gi tr bt k t 0 n 1. Cc nh sn xut my tnh cam kt rng kh nng xy ra mt gi tr c th l nh nhau. Chng ta c mt dng phn phi xc sut c mt xc sut u. Hm mt xc sut u c nh ngha nh sau:f(r) = Vi L : Gi tr thp nht ca phn phi U: Gi tr cao nht ca phn phi Hnh 2.2. Hm mt xc sut u R. Xc sut R ri vo khong (a; b) l P(a <r<b) = . C th xc sut R nhn gi tr trong khong (0,2; 0,4) l: P(0,2 < r < 0,4) = , y chnh l din tch c gch cho trn hnh 2.1. Tng qut, hm mt xc sut ca mt bin ngu nhin lin tc c tnh cht nh sau: (1) f(x) 0 (2) P(a<X<b) = Din tch nm di ng pdf P(a<X<b) =

(3)

Hm ng mt xc sut -Bin ngu nhin ri rc V d 2.5. Xt hai bin ngu nhin ri rc X v Y c xc sut ng xy ra X = xi v Y = yi nh sau.
X 2 3 P(Y) 1 0,2 0,4 0,6 Y 2 0,3 0,1 0,4 P(X) 0,5 0,5 1,0 Bng 2.3. Phn phi ng mt xc xut ca X v Y. nh ngha :Gi X v Y l hai bin ngu nhin ri rc. Hm s f(x,y) = P(X=x v Y=y) = 0 khi X x v Yy c gi l hm ng mt xc sut, n cho ta xc xut ng thi xy ra X=x v Y=y.

Hm mt xc sut bin
f(x) = hm mt xc sut bin ca X f(y) = hm mt xc sut bin ca Y V d 2.6. Ta tnh hm mt xc sut bin i vi s liu cho v d 2.5. f(x=2) = =0,3 + 0,3 = 0,5 f(x=3) = =0,1 + 0,4 = 0,5 f(y=1) = =0,2 + 0,4 = 0,6 f(y=2) = =0,3 +0,1 = 0,4

Xc sut c iu kin
Hm s f(xy) = P(X=xY=y) , xc sut X nhn gi tr x vi iu kin Y nhn gi tr y, c gi l xc sut c iu kin ca X. Hm s f(yx) = P(Y=yX=x) , xc sut Y nhn gi tr y vi iu kin X nhn gi tr x, c gi l xc sut c iu kin ca Y. Xc sut c iu kin c tnh nh sau , hm mt xc sut c iu kin ca X , hm mt xc sut c iu kin ca Y Nh vy hm mt xc sut c iu kin ca mt bin c th tnh c t hm ng mt xc sut v hm mt xc sut bin ca bin kia. V d 2.7. Tip tc v d 2.5 v v d 2.6.

c lp v thng k
Hai bin ngu nhin X v Y c lp v thng k khi v ch khi f(x,y)=f(x)f(y) tc l hm ng mt xc sut bng tch ca cc hm mt xc sut bin.

Hm ng mt xc sut cho bin ngu nhin lin tc

Hm ng mt xc sut ca bin ngu nhin lin tc X v Y l f(x,y) tha mn f(x,y) 0 Hm mt xc sut bin c tnh nh sau , hm mt xc sut bin ca X , hm mt xc sut bin ca Y

2.1.3

Mt s c trng ca phn phi xc sut

Gi tr k vng hay gi tr trung bnh

Gi tr k vng ca mt bin ngu nhin ri rc Gi tr k vng ca mt bin ngu nhin lin tc V d 2.8. Tnh gi tr k vng bin X l s im ca php th tung 1 con sc sc

Mt s tnh cht ca gi tr k vng

(1) E(a) = avi a l hng s (2) E(a+bX) = a + bE(X)vi a v b l hng s (3) Nu X v Y l c lp thng k th E(XY) = E(X)E(Y) (4) Nu X l mt bin ngu nhin c hm mt xc sut f(x) th , nu X ri rc , nu X lin tc Ngi ta thng k hiu k vng l m : m = E(X)

Phng sai
X l mt bin ngu nhin v m = E(X). phn tn ca d liu xung quanh gi tr trung bnh c th hin bng phng sai theo nh ngha nh sau: lch chun ca X l cn bc hai dng ca , k hiu l . Ta c th tnh phng sai theo nh ngha nh sau , nu X l bin ngu nhin ri rc , nu X l bin ngu nhin lin tc

Trong tnh ton chng ta s dng cng thc sau

var(X)=E(X2)-[E(X)]2 V d 2.9. Tip tc v d 2.8. Tnh var(X)

Ta c E(X) = 3,5 Tnh E(X2) bng cch p dng tnh cht (4). E(X2) =15,17 var(X)=E(X2)-[E(X)]2 = 15,17 3,52 = 2,92

Cc tnh cht ca phng sai

(1) (2) var(a) = 0 vi a l hng s (3) var(a+bX) = b2var(X)vi a v b l hng s (4) Nu X v Y l cc bin ngu nhin c lp th var(X+Y) = var(X) + var(Y) var(X-Y) = var(X) + var(Y) (5) Nu X v Y l cc bin c lp, a v b l hng s th var(aX+bY) = a2var(X) + b2var(Y)

Hip phng sai

X v Y l hai bin ngu nhin vi k vng tng ng l mx v my. Hip phng sai ca hai bin l cov(X,Y) = E[(X-mx)(Y-my)] = E(XY) - mxmy Chng ta c th tnh ton trc tip hip phng sai nh sau i vi bin ngu nhin ri rc i vi bin ngu nhin lin tc

Tnh cht ca hip phng sai

(1) Nu X v Y c lp thng k th hip phng sai ca chng bng 0. cov(X,Y) = E(XY) mxmy =mxmymxmy =0 (2) cov(a+bX,c+dY)=bdcov(X,Y)vi a,b,c,d l cc hng s Nhc im ca hip phng sai l n ph thuc n v o lng.

H s tng quan
khc phc nhc im ca hip phng sai l ph thuc vo n v o lng, ngi ta s dng h s tng quan c nh ngha nh sau: H s tng quan o lng mi quan h tuyn tnh gia hai bin. r s nhn gi tr nm gia -1 v 1. Nu r=-1 th mi quan h l nghch bin hon ho, nu r=1 th mi quan h l ng bin hon ho. T nh ngha ta c cov(X,Y) =rsxsy

2.1.4

Tnh cht ca bin tng quan

Gi X v Y l hai bin c tng quan var(X+Y) = var(X) + var(Y) + 2cov(X,Y) = var(X) + var(Y) + 2rsxsy var(X-Y) = var(X) + var(Y) - 2cov(X,Y) = var(X) + var(Y) - 2rsxsy

M men ca phn phi xc sut

Phng sai ca bin ngu nhin X l m men bc 2 ca phn phi xc sut ca X. Tng qut m men bc k ca phn phi xc sut ca X l E(X-m)k M men bc 3 v bc 4 ca phn phi c s dng trong hai s o hnh dng ca phn phi xc sut l skewness( bt cn xng) v kurtosis( nhn) m chng ta s xem xt phn sau.

2.1.5

Mt s phn phi xc sut quan trng

Phn phi chun

Bin ngu nhin X c k vng l m, phng sai l s2. Nu X c phn phi chun th n c k hiu nh sau Dng hm mt xc xut ca phn phi chun nh sau m- s m s m s m+ s m+ s m+ s m Xp x 68% Xp x 95% Xp x 99,7%

Hnh 2.3. Hm mt xc sut phn phi chun Tnh cht ca phn phi chun
(1) Hm mt xc sut ca i xng quanh gi tr trung bnh. (2) Xp x 68% din tch di ng pdf nm trong khong ms, xp x 95% din tch nm di ng pdf nm trong khong m2s, v xp x 99,7% din tch nm di ng pdf nm trong khong m3s. (3) Nu t Z = (X-m)/s th ta c Z~N(0,1). Z gi l bin chun ho v N(0,1) c gi l phn phi chun ho. (4) nh l gi hn trung tm 1: Mt kt hp tuyn tnh cc bin c phn phi chun,, trong mt s iu kin xc nh cng l mt phn phi chun. V d v th Y =aX1+bX2 vi a v b l hng s c phn phi Y~N[(am1+bm2),(]. (5) nh l gii hn trung tm 2: Di mt s iu kin xc nh, gi tr trung bnh mu ca cc mt bin ngu nhin s gn nh tun theo phn phi chun. (6) M men ca phn phi chun M men bc ba: E[(X-m)3]=0 M men bc bn : E[(X-m)4]=3s4 i vi mt phn phi chun tri (skewness): nhn(kurtosis): (7) Da vo kt qu mc (6), ngi c th kim nh xem mt bin ngu nhin c tun theo phn phi chun hay khng bng cch kim nh xem S c gn 0 v K c gn 3 hay khng. y l nguyn tc xy dng kim nh quy lut chun Jarque-Bera. JB tun theo phn phi c2vi hai bc t do(df =2).

Phn phi c2 nh l : Nu X1, X2,, Xk l cc bin ngu nhin c lp c phn phi chun ho th tun theo phn phi Chi-bnh phng vi k bc t do. Tnh cht ca c2
(1)

(2) (3) Phn phi Student t nh l: Nu Z~N(0,1) v l c lp thng k th tun theo phn phi Student hay ni gn l phn phi t vi k bc t do. Tnh cht ca phn phi t
(1) Phn phi t cng i xng quanh 0 nh phn phi chun ho nhng thp hn. Khi bc t do cng ln th phn phi t tim cn n phn phi chun ho. Trong thc hnh. Khi bc t do ln hn 30 ngi ta thay phn phi t bng phn phi chun ho. (2) m = 0 v s = k/(k-2)

Phn phi c2l phn phi lch v bn tri, khi bc t do tng dn th phn phi c2 tin gn n phn phi chun. m = k v s2 = 2k , hay tng ca hai bin c phn phi c2cng c phn phi c2 vi s bc t do bng tng cc bc t do.

Phn phi F nh l : Nu v l c lp thng k th tun theo phn phi F vi (k1,k2) bc t do. Tnh cht ca phn phi F
Phn phi F lch v bn tri, khi bc t do k1 v k2 ln, phn phi F tin n phn phi chun. m = k2/(k2-2) vi iu kin k2>2 v vi iu kin k2>4. (3) Bnh phng ca mt phn phi t vi k bc t do l mt phn phi F vi 1 v k bc t do (4) Nu bc t do mu k2 kh ln th . Lu : Khi bc t do ln th cc phn phi c2, phn phi t v phn phi F tin n phn phi chun. Cc phn phi ny c gi l phn phi c lin quan n phn phi chun (1) (2)

2.2

Thng k m t

M t d liu thng k(Descriptive Statistic)

C bn tnh cht m t phn phi xc sut ca mt bin ngu nhin nh sau: Xu hng trung tm hay im gia ca phn phi. Mc phn tn ca d liu quanh v tr im gia. tri(skewness) ca phn phi. nhn(kurtosis) ca phn phi. Mi quan h thng k gia hai bin s c m t bng h s tng quan.

2.2.1

Xu hng trung tm ca d liu

Trung bnh tng th (gi tr k vng) mx = E[X] Trung bnh mu Trung v ca tng th : X l mt bin ngu nhin lin tc, Md l trung v ca tng th khi P(X<Md) = 0,5. Trung v mu : Nu s phn t ca mu l l th trung v l s gia ca mu sp theo th t tng dn hoc gim dn. Nu s phn t ca mu chn th trung v l trung bnh cng ca hai s gia. Trong kinh t lng hu nh chng ta ch quan tm n trung bnh m khng tnh ton trn trung v.

2.2.2

phn tn ca d liu

Phng sai
Phng sai ca tng th : Phng sai mu: hoc

lch chun
lch chun tng th : lch chun mu : hoc :

2.2.3

tri S

tri tng th : tri mu : i vi phn phi chun tri bng 0.

2.2.4

nhn K

nhn ca tng th nhn mu i vi phn phi chun nhn bng 3. Mt phn phi c K ln hn 3 l l nhn, nh hn 3 l phng.

2.2.5

Quan h gia hai bin-H s tng quan

H s tng quan tng th H s tng quan mu vi

2.3
2.3.1

Thng k suy din - vn c lng

c lng

Chng ta tm hiu bn cht, c trng v yu cu ca c lng thng k thng qua mt v d n gin l c lng gi tr trung bnh ca tng th. V d 11. Gi s chng ta mun kho st chi ph cho hc tp ca hc sinh tiu hc ti trng tiu hc Y. Chng ta mun bit trung bnh chi ph cho hc tp ca mt hc sinh tiu hc l bao nhiu. Gi X l bin ngu nhin ng vi chi ph cho hc tp ca mt hc sinh tiu hc (X tnh bng ngn ng/hc sinh/thng). Gi s chng ta bit phng sai ca X l =100. Trung bnh thc ca X l m l mt s cha bit. Chng ta tm cch c lng m da trn mt mu gm n=100 hc sinh c la chn mt cch ngu nhin.

2.3.2

Hm c lng cho m

Chng ta dng gi tr trung bnh mu c lng cho gi tr trung bnh ca tng th m. Hm c lng nh sau l mt bin ngu nhin. ng vi mt mu c th th nhn mt gi tr xc nh.

c lng im
ng vi mt mu c th, gi s chng ta tnh c = 105 (ngn ng/hc sinh). y l mt c lng im. Xc sut mt c lng im nh trn ng bng trung bnh thc l bao nhiu? Rt thp hay c th ni hu nh bng 0.

c lng khong
c lng khong cung cp mt khong gi tr c th cha gi tr chi ph trung bnh cho hc tp ca mt hc sinh tiu hc. V d chng ta tm c = 105. Chng ta c th ni m c th nm trong khong hay . Khong c lng cng rng th cng c kh nng cha gi tr trung bnh thc nhng mt khong c lng qu rng nh khong hay th hu nh khng gip ch c g cho chng ta trong vic xc nh m. Nh vy c mt s nh i trong c lng khong vi cng mt phng php c lng nht nh: khong cng hp th mc tin cy cng nh.

2.3.3

Phn phi ca

Theo nh l gii hn trung tm 1 th l mt bin ngu nhin c phn phi chun. V c phn phi chun nn chng ta ch cn tm hai c trng ca n l k vng v phng sai.

K vng ca Phng sai ca

Vy lch chun ca l . T thng tin ny, p dng quy tc 2s th xc sut khong cha m s xp x 95%. c lng khong vi tin cy 95% cho m l Lu : Mc d v mt k thut ta ni khong cha m vi xc sut 95% nhng khng th ni mt khong c th nh (103; 107) c xc sut cha m l 95%. Khong (103;107) ch c th hoc cha m hoc khng cha m. ngha chnh xc ca tin cy 95% cho c lng khong cho m nh sau: Vi quy tc xy dng khong l v chng ta tin hnh ly mt mu vi c mu n v tnh c mt khong c lng. Chng ta c lp i lp li qu trnh ly mu v c lng khong nh trn th khong 95% khong c lng chng ta tm c s cha m. Tng qut hn, nu tr thng k cn c lng l v ta tnh c hai c lng v sao cho vi 0 < a < 1 hay xc sut khong t n cha gi tr tht l 1-a th 1-a c gi l tin cy ca c lng, a c gi l mc ngha ca c lng v cng l xc sut mc sai lm loi I. Nu a = 5% th 1-a l 95%. Mc ngha 5% hay tin cy 95% thng c s dng trong thng k v trong kinh t lng. Cc tnh cht ng mong i ca mt c lng c chia thnh hai nhm, nhm tnh cht ca c lng trn c mu nh v nhm tnh cht c lng trn c mu ln.

2.3.4

Cc tnh cht ng vi mu nh

Khng thin lch(khng chch)

Mt c lng l khng thin lch nu k vng ca ng bng . Nh chng minh phn trn, l c lng khng thin lch ca m. E(q1)=q E(q2) q f(q) q1 q2 Hnh 2.4. Tnh khng thin lch ca c lng. q1 l c lng khng thin lch ca q trong khi q2 l c lng thin lch ca q.

Phng sai nh nht

Hm c lng c phng sai nh nht khi vi bt c hm c lng no ta cng c .

Khng thin lch tt nht hay hiu qu

Mt c lng l hiu qu nu n l c lng khng thin lch v c phng sai nh nht.

E(q1)=E(q2)=q f(q) q1 q2 Hnh 2.5. c lng hiu qu. Hm c lng q2 hiu qu hn q1.

Tuyn tnh
Mt c lng ca c gi l c lng tuyn tnh nu n l mt hm s tuyn tnh ca cc quan st mu. Ta c Vy l c lng tuyn tnh cho m.

c lng khng thin lch tuyn tnh tt nht (Best Linear Unbiased Estimator-BLUE)
Mt c lng c gi l BLUE nu n l c lng tuyn tnh, khng thin lch v c phng sai nh nht trong lp cc c lng tuyn tnh khng thin lch ca . C th chng minh c l BLUE.

Sai s bnh phng trung bnh nh nht

Sai s bnh phng trung bnh: MSE()=E(-)2 Sau khi bin i chng ta nhn c: MSE()=var()+E[E()-]2 MSE()=var()+bias() Sai s bnh phng trung bnh bng phng sai ca c lng cng vi thin lch ca c lng. Chng ta mun c lng t thin lch ng thi c phng sai nh. Ngi ta s dng tnh cht sai s bnh phng trung bnh nh khi khng th chn c lng khng thin lch tt nht.

2.3.5

Tnh cht ca mu ln

Mt s c lng khng tho mn cc tnh cht thng k mong mun khi c mu nh nhng khi c mu ln n v hn th li c mt s tnh cht thng k mong mun. Cc tnh cht thng k ny c gi l tnh cht ca mu ln hay tnh tim cn.

Tnh khng thin lch tim cn

c lng c gi l khng thin lch tim cn ca nu V d 2.12. Xt phng sai mu ca bin ngu nhin X: C th chng minh c Vy l c lng khng thin lch ca , trong khi l c lng khng thin lch tim cn ca .

Nht qun
Mt c lng c gi l nht qun nu xc sut nu n tin n gi tr ng ca khi c mu ngy cng ln. l nht qun th vi d l mt s dng nh tu . N nh N rt ln N ln 0 q Hnh 2.6. c lng nht qun

Quy lut chun tim cn

Mt c lng c gi l phn phi chun tim cn khi phn phi mu ca n tin n phn phi chun khi c mu n tin n v cng. Trong phn trn chng ta thy bin X c phn phi chun vi trung bnh m v phng sai s 2 th c phn phi chun vi trung bnh m v phng sai s2/n vi c c mu nh v ln. Nu X l bin ngu nhin c trung bnh m v phng sai s2 nhng khng theo phn phn phi chun th cng s c phn phi chun vi trung bnh m v phng sai s2/n khi n tin n v cng. y chnh l nh l gii hn trung tm 2.

2.4
2.4.1

Thng k suy din - Kim nh gi thit thng k

Gi thit

Gi thit khng l mt pht biu v gi tr ca tham s hoc v gi tr ca mt tp hp cc tham s. Gi thit ngc pht biu v gi tr ca tham s hoc mt tp hp tham s khi gi thit khng sai. Gi thit khng thng c k hiu l H0 v gi thit ngc thng c k hiu l H1.

2.4.2

Kim nh hai ui

V d 13. Quay li v d 11 v bin X l chi ph cho hc tp ca hc sinh tiu hc. Chng ta bit phng sai ca X l =100. Vi mt mu vi c mu n=100 chng ta tnh c =105 ngn ng/hc sinh/thng. Chng ta xem xt kh nng bc b pht biu cho rng chi ph cho hc tp trung bnh ca hc sinh tiu hc l 106 ngn ng/thng. Gi thit H0: m = 106 = m0 H1: m 106 = m0 Chng ta bit ~N(m,/n), vi tin cy 95% hay mc ngha a = 5% chng ta xy dng c c lng khong ca m l . Nu khong ny khng cha m th ta bc b gi thit khng vi tin cy 95%, ngc li ta khng c s bc b gi thit H0. phn trn chng ta tnh c c lng khong ca m da theo l (103;107). Khong ny cha m0 = 106. Vy ta khng th bc b c gi thit H0. Khong tin cy m ta thit lp c c gi l min chp nhn, min gi tr nm ngoi min chp nhn c gi l min bc b. Hnh 2.7. Min bc b v min chp nhn H0. Tng qut hn ta c Z= ~N(0,1) hay Z tun theo phn phi chun ho. a/2 a/2 Hnh 2.8. Min chp nhn v min bc b theo a ca tr thng k Z Ta c tt c hai min bc b v do tnh cht i xng ca phn phi chun, nu mc ngha l a th xc sut Z nm min bc b bn tri l a/2 v xc sut Z nm min bc b bn tri cng l a/2. Chng ta t gi tr ti hn bn tri l Za/2 v gi tr ti hn bn phi l Z1-a/2. Do tnh i xng ta li c Za/2 = - Z1-a/2. Xc sut Z nm trong hai khong ti hn l (2.1) hay
Thay Z= v bin i mt cht chng ta nhn c (2) Cc mnh (2.1) v (2.2) l nhng mnh xc sut.

Kim nh gi thit thng k theo phng php truyn thng Pht biu mnh xc sut Nguyn tc ra quyt nh
Nu hoc th ta bc b H0 vi tin cy 1-a hay xc sut mc sai lm l a. Nu th ta khng th bc b H0. Vi mc ngha a =5% th Z1-a/2 = Z97,5% = 1,96 2 Ta c Vy ta khng th bc b gi thit Ho.

Kim nh gi thit thng k theo tr thng k Z Pht biu mnh xc sut Quy tc quyt nh
Nu Ztt= < Za/2 hoc Ztt= > Z1-a/2 th ta bc b H0 vi tin cy 1-a hay xc sut mc sai lm l a. Nu Za/2 Ztt Z1-a/2 th ta khng th bc b H0. Vi mc ngha a =5% ta c Z1-a/2 = Z97,5% = 1,96 2 v Za/2 = Z2,5% = -1,96 -2 Ztt= Vy ta khng th bc b Ho.

Kim nh gi thit thng k theo gi tr p

i vi kim nh hai ui gi tr p c tnh nh sau: Vi Ztt = -1 ta c P(1<Z) = 0,16, vy gi tr p = 0,32.

Quy tc quyt nh
Nu p < a : Bc b Ho.

 Nu p a : Khng th bc b Ho. Trong v d trn p = 0,32 > a = 5%. Vy ta khng th bc b Ho. Ba cch tip cn trn cho cng mt kt qu v thc ra ch t nhng bin i ca cng mt mnh xc sut. Trong kinh t lng ngi ta cng thng hay s dng gi tr p.

2.4.3

Kim nh mt ui

Kim nh ui tri V d 14. Tip tc v d 13. Kim nh pht biu : Chi cho hc tp trung bnh ca hc sinh tiu hc ln hn 108 ngn ng/hc sinh/thng. Gi thit
H0: m > 108 = m0 H1: m 108 = m0

Pht biu mnh xc sut

P(Za<Z) =1-a

Quy tc quyt nh
Nu Ztt < Za : Bc b Ho. Nu Ztt Za : Khng th bc b Ho. Vi a = 5% ta c Z5% = -1,644 Ta c Ztt = < Z5% = -1,644 vy ta bc b Ho.

Kim nh ui phi V d 15. Tip tc v d 13. Kim nh pht biu : Chi tiu cho hc tp trung bnh ca hc sinh tiu hc nh hn 108 ngn ng/hc sinh/thng. Gi thit
H0: m < 107 = m0 H1: m 107 = m0

Pht biu mnh xc sut

P(Z<Z1-a) =1-a

Quy tc quyt nh
Nu Ztt > Za : Bc b Ho. Nu Ztt Za : Khng th bc b Ho. Ta c Ztt = < Z5% = -1,644 vy ta khng th bc b Ho.

2.4.4

Mt s trng hp c bit cho c lng gi tr trung bnh ca tng th

v Tng th c phn phi chun, c mu ln, phng sai cha bit. Chin lc kim nh ging nh trn nhng thay phng sai tng th bng phng sai mu. v Tng th c phn phi chun, phng sai cha bit, c mu nh: t-stat~t(n-1) Kim nh trn tr thng k t cng tng t nh i vi tr thng k Z, ta ch vic tra t thay cho Z. Khi c mu ln tr thng k t tng t tr thng k Z. v Tng th khng tun theo phn phi chun, p dng nh l gii hn trung tm. Khi c mu ln th tr thng k t tnh ton nh phn trn c phn phi gn vi phn phi Z. Ngoi ra chng ta cn c th kim nh cc gi thit v phng sai, kim nh s bng nhau gia cc phng sai ca hai tng th v kim nh s bng nhau gia cc trung bnh tng th. Chng ta xt kim nh gi thit v phng sai v gi nh v phng sai khng i l mt gi nh quan trng trong phn tch hi quy.

Kim nh gi thit v phong sai Xt gi thit

Ho : H1 : C th chng minh c

Mnh xc sut Quy tc quyt nh

Nu hoc , th bc b H0. Nu , th khng bc b H0.

Kim nh s bng nhau ca phng sai hai tng th

Chng ta c mu c n1 t tng th 1 v mu c n2 t tng th 2.

Xt gi thit
H0 : H1 : Chng ta c Vy Hay

Pht biu mnh xc sut Quy tc quyt nh

Nu hoc th ta bc b H0. Nu th khng bc b H0.

2.4.5

Sai lm loi I v sai lm loi II

Khi ta da vo mt mu bc b mt gi thit, ta c th mc phi mt trong hai sai lm nh sau: Sai lm loi I: Bc b Ho khi thc t Ho ng. Sai lm loi II : Khng bc b Ho khi thc t n sai. Tnh cht H0 ng H0 sai Quyt nh Bc b Sai lm loi I Khng mc sai lm Khng bc b Khng mc sai lm Sai lm loi II m=108

Hnh 2.7. Sai lm loi I-Bc b H0: m=108 trong khi thc t H0 ng. Xc sut mc sai lm loi I V d 16. Tip tc v d 13. Kim nh pht biu : Chi cho hc tp trung bnh ca hc sinh tiu hc l 108 ngn ng/hc sinh/thng. Trung bnh
thc m = m0=108.

Gi thit
H0: m = 108 = m0 H1: m 108 = m0 Gi s gi tr m thc l m=108. Vi c lng khong cho m l (103;107) vi tin cy 95% chng ta bc b H0 trong khi thc s H0 l ng. Xc sut chng ta mc sai lm loi ny l a = 5%.

Xc sut mc sai lm loi II V d 17. Tip tc v d 13. Kim nh pht biu : Chi tiu cho hc tp trung bnh ca hc sinh tiu hc l 108 ngn ng/hc sinh/thng. Trung
bnh thc m = m0=104. Gi thit H0: m = 108 = m0 H1: m 108 = m0 Gi s gi tr m thc l m=104. Vi c lng khong cho m l (103;107) vi tin cy 95% chng ta khng bc b H0 trong khi H0 sai. Xc sut chng ta mc sai lm loi II ny l b. L tng nht l chng ta ti thiu ho c hai loi sai lm. Nhng nu chng ta mun hn ch sai lm loi I, tc l chn mc ngha a nh th khong c lng cng ln v xc sut mc phi sai lm loi II cng ln. Nghin cu ca Newman v Pearson[6] cho rng sai lm loi I l nghim trng hn sai lm loi II. Do , trong thng k suy din c in cng nh trong kinh t lng c in, ngi ta chn mc ngha a hay xc sut mc sai lm loi I nh, thng thng nht l 5% m khng quan tm nhiu n b.

2.4.6

Tm tt cc bc ca kim nh gi thit thng k

Bc 1.Pht biu gi thit H0 v gi thit ngc H1. Bc 2. La chn tr thng k kim nh Bc 3. Xc nh phn phi thng k ca kim nh Bc 4. La chn mc ngha a hay xc sut mc sai lm loi I. Bc 5. S dng phn phi xc sut ca thng k kim nh, thit lp mt khong tin cy 1-a, khong ny cn c gi l min chp nhn. Nu tr thng k ng vi H0 nm trong min chp nhn th ta khng bc b H0, nu tr thng k ng vi H0 nm ngoi min chp nhn th ta bc b H0. Lu l khi bc b H0 chng ta chp nhn mc sai lm l a.

3. CHNG II HI QUY HAI BIN

3.1
3.1.1

Gii thiu
Khi nim v hi quy

Phn tch hi quy l tm quan h ph thuc ca mt bin, c gi l bin ph thuc vo mt hoc nhiu bin khc, c gi l bin c lp nhm mc ch c lng hoc tin on gi tr k vng ca bin ph thuc khi bit trc gi tr ca bin c lp.[7] Mt s tn gi khc ca bin ph thuc v bin c lp nh sau: Bin ph thuc: bin c gii thch, bin c d bo, bin c hi quy, bin phn ng, bin ni sinh. Bin c lp: bin gii thch, bin d bo, bin hi quy, bin tc nhn hay bin kim sot, bin ngoi sinh. Sau y l mt v v d v phn tch hi quy (1) Ngn hng XYZ mun tng lng tin huy ng. Ngn hng ny mun bit mi quan h gia lng tin gi v li sut tin gi, c th hn h mun bit khi tng li sut thm 0,1% th lng tin gi s tng trung bnh l bao nhiu. (2) Mt nh nghin cu nng nghip mun bit nng sut tm s nui trong h thng thm canh ph thuc th no vo din tch ao nui, mt th tm ging, chi ph ho cht x l mi trng, trnh nhn cng. T phn tch hi quy ny ng ta ra cc ch tiu k thut ph hp cho loi hnh ny.

3.1.2

S khc nhau gia cc dng quan h

Quan h tt nh v quan h thng k

Quan h tt nh l loi quan h c th biu din bng mt hm s ton hc. Mt s quan h trong vt l, ho hc v mt s ngnh khoa hc t nhin khc l quan h tt nh. V d nh lut Ohm trong vt l : gi U l in p, R l in tr ca mch in th dng in I s l , ni cch khc khi in p v in tr c c nh trc th chng ta ch nhn c mt v ch mt gi tr dng in. a s cc bin s kinh t khng c quan h tt nh. Th d ta khng th ni vi din tch nui tm cho trc v k thut nui c chn th nng sut s l bao nhiu. L do l c rt nhiu bin s c k n trong m hnh cng tc ng ln nng sut, ngoi ra trong s cc bin s vng mt ny c nhng bin khng th kim sot c nh thi tit, dch bnh Nh nghin cu nng nghip k trn ch c th tin on mt gi tr trung bnh ca nng sut ng vi k thut nui chn. Quan h gia cc bin s kinh t c tnh cht quan h thng k.

Hi quy v quan h nhn qu

Mc d phn tch hi quy da trn tng s ph thuc ca mt bin s kinh t vo bin s kinh t khc nhng bn thn k thut phn tch hi quy khng bao hm quan h nhn qu. Mt v d in hnh ca s nhm ln hai khi nim ny tin hnh hi quy s v trm mt thnh ph vi s nhn vin cnh st ca thnh ph. Gi Y l s v trm trong mt nm v X l s nhn vin cnh st. Khi chng ta hi quy Y theo X, nu chng ta tm c mi quan h ng bin ca Y v X c ngha thng k th phn tch hi quy ny cho kt lun: Tng s lng nhn vin cnh st s lm tng s v trm. R rng phn tch ny sai lm trong vic nhn nh mi quan h nhn qu. S cnh st tng ln l do s tng cng ca lc lng cnh st trong bi cnh s v trm tng ln. Vy ng ra chng ta phi hi quy s cnh st theo s v trm hay X theo Y .Vy trc khi phn tch hi quy chng ta phi nhn nh chnh xc mi quan h nhn qu.[8] Mt sai lm ph bin na trong phn tch kinh t lng l quy kt mi quan h nhn qu gia hai bin s trong khi trong thc t chng u l h qu ca mt nguyn nhn khc. V d chng ta phn tch hi quy gia s gio vin v s phng hc trong ton ngnh gio dc. S thc l c s gio vin v s phng hc u ph thuc vo s hc sinh. Nh vy phn tch mi quan h nhn qu da vo kin thc v phng php lun ca mn khc ch khng t phn tch hi quy.

Hi quy v tng quan

Phn tch tng quan ch cho thy mnh yu ca mi quan h tuyn tnh gia hai bin s. Phn tch tng quan cng khng th hin mi quan h nhn qu.V d chng ta xt quan h gia hai bin s X l s bnh nhn b x gan v Y l s lt ru c tiu th ca mt nc. Chng ta c th nhn c h s tng quan cao gia X v Y. H s tng quan c xc nh nh sau: Qua ng thc ny chng ta cng thy trong phn tch tng quan vai tr ca hai bin l nh nhau v hai bin u l ngu nhin. Phn tch hi quy ca X theo Y cho ta bit trung bnh s bnh nhn b x gan l bao nhiu ng vi lng tiu dng ru cho trc. Chng ta khng th o ngc hi quy thnh Y theo X. Phn tch hi quy da trn gi nh bin c lp l xc nh trong khi bin ph thuc l ngu nhin. Chng ta tm gi tr k vng ca bin ph thuc da vo gi tr cho trc ca ca bin c lp.

3.2
3.2.1

Hm hi quy tng th v hi quy mu

Hm hi quy tng th (PRF)

V d 3.1. Hi quy tiu dng Y theo thu nhpX. Theo Keynes th hm tiu dng nh sau [9]: Y = b1 + b2X , vi b2 l xu hng tiu dng bin, 0<b2<1.(3.1) Chng ta kim chng gi thit trn vi s liu t mt nc gi nh Z c dn s 30 ngi vi s liu tiu dng v thu nhpca tng ngi nh th phn tn sau.[10]

Thu nhp X (XD) Hnh 3.1. th phn tn quan h gia tiu dng v thu nhp kh dng.
th 3.1. cho thy c mi quan h ng bin gia tiu dng v thu nhp kh dng, hay l thu nhptng s lm tiu dng tng. Tuy quan h gia Y v X khng chnh xc nh hm bc nht (3.1). Trong phn tch hi quy chng ta xem bin c lp X c gi tr xc nh trong khi bin ph thuc Y l bin ngu nhin. iu ny tng nh bt hp l. Khi chng ta chn ngu nhin ngi th i th chng ta thu c ng thi hai gi tr: Xi l thu nhpv Yi l tiu dng ca ngi . Vy ti sao li xem Yi l ngu nhin? Cu tr nh sau : Xt mt mc thu nhpX i xc nh, cch ly mu ca chng ta l chn ngu nhin trong s nhng ngi c thu nhpl Xi. Thu nhpgp phn chnh yu quyt nh tiu dng nh th hin hm s (1.3), tuy nhin cn nhiu yu t khc cng tc ng ln tiu dng nn ng vi mt cch ly mu th vi nhiu ln ly mu vi tiu ch X = Xi ta nhn c cc gi tr Yi khc nhau. Vy chnh xc hn bin ph thuc Y l mt bin ngu nhin c iu kin theo bin c lp X. c lng tt nht cho Y trong trng hp ny l gi tr k vng ca Y ng vi iu kin X nhn gi tr Xi xc nh. Hm hi quy tng th (PRF): E(Y/X=Xi) = b1 + b2X (3.2) i vi mt quan st c th th gi tr bin ph thuc lch khi k vng ton, vy: Yi = b1 + b2Xi + ei(3.3) b1 v b2 : cc tham s ca m hnh b1 : tung gc b2: dc Gi tr c lng ca Yi ei : Sai s ca hi quy hay cn c gi l nhiu ngu nhin Nhiu ngu nhin hnh thnh t nhiu nguyn nhn: B st bin gii thch. Sai s khi o lng bin ph thuc. Cc tc ng khng tin on c. Dng hm hi quy khng ph hp. Dng hm hi quy (3.2) c gi l hi quy tng th tuyn tnh. Chng ta s tho lun chi tit v thut ng hi quy tuyn tnh cui chng. Hnh 3.2 cho ta ci nhn trc quan v hi quy tng th tuyn tnh v sai s ca hi quy.

Thu nhp X (XD) Hnh 3.2. Hm hi quy tng th tuyn tnh

3.2.2

Hm hi quy mu (SRF)

Trong thc t him khi chng c s liu ca tng th m ch c s liu mu. Chng ta phi s dng d liu mu c lng hm hi quy tng th. Hm hi quy mu: (3.4) Trong : c lng cho b1. : c lng cho b2. i vi quan st th i : Yi = + Xi + ei(3.5) Hnh 3.3 cho thy s xp x ca hm hi quy mu (SRF) v hm hi quy tng th (PRF).

Thu nhp X (XD) Hnh 3.3. Hi quy mu v hi quy tng th

3.3 c lng cc h s ca m hnh hi quy theo phng php bnh phng ti thiu-OLS[11]
3.3.1 Cc gi nh ca m hnh hi quy tuyn tnh c in

Cc gi nh v sai s hi quy nh sau m bo cho cc c lng h s hm hi quy tng th da trn mu theo phng php bnh phng ti thiu l c lng tuyn tnh khng chch tt nht(BLUE). Gi tr k vng bng 0: Phng sai khng i: Khng t tng quan: Khng tng quan vi X: C phn phi chun: chng 5 chng ta s kho st hu qu khi cc gi thit trn b vi phm.

3.3.2

Phng php bnh phng ti thiu:

tng ca phng php bnh phng ti thiu l tm v sao cho tng bnh phng phn d c gi tr nh nht. T hm hi quy (3.5) Vy (3.6) iu kin (3.6) t cc tr l: (1) (3.7) (2) (3.8) T (3.7) v (3.8) chng ta rt ra (3.9) (3.10) Cc phng trnh (3.9) v (3.10) c gi l cc phng trnh chun. Gii h phng trnh chun ta c (3.11) Thay (3.9) vo (3.8) v bin i i s chng ta c (3.12) t v ta nhn c (3.13)

3.3.3
(1) (2)

Tnh cht ca hm hi quy mu theo OLS

v l duy nht ng vi mt mu xc nh gm n quan st (Xi,Yi). v l cc c lng im ca b1 v b2 . Gi tr ca v thay i theo mu dng c lng.

Tnh cht ca tham s c lng Tnh cht ca hm hi quy mu[12]

(1) Hm hi quy mu i qua gi tr trung bnh ca d liu Tht vy, t (3.11) ta c

Thu nhp X (XD) Hnh 3.4. ng hi quy mu i qua gi tr trung bnh ca d liu
(2) (3) (4) (5) Gi tr trung bnh ca c lng bng gi tr trung bnh ca quan st i vi bin ph thuc:. Gi tr trung bnh ca phn d bng 0: Cc phn d ei v Yi khng tng quan vi nhau: Cc phn d ei v Xi khng tng quan vi nhau:

3.3.4

Phn phi ca v [13]

c lng K vng Phng sai Sai s chun Phn phi Hip phng sai ca hai h s c lng Trong cc biu thc trn vi gi nh

3.4
3.4.1

Khong tin cy v kim nh gi thit v cc h s hi quy

Khong tin cy cho cc h s hi quy

Thc s chng ta khng bit nn ta dng c lng khng chch ca n l Sai s chun ca h s hi quy cho dc T vi ta c (3.14) T tnh cht ca phng sai mu ta c (3.15) T (3.14) v (3.15) Ta xy dng tr thng k (3.16) Bin i v tri chng ta c Thay vo (3.16) ta c (3.17) Chng minh tng t ta c (3.18) c lng khong cho h s hi quy vi mc ngha a nh sau (3.19) (3.20)

3.4.2

Kim nh gi thit v h s hi quy

Chng ta quan tm nhiu n ngha thng k dc (b2) ca phng trnh hi quy hn l tung gc (b1). Cho nn t y n cui chng ch yu chng ta kim nh gi thit thng k v dc. Gi thit Pht biu mnh xc sut Quy tc quyt nh Nu hoc th bc b H0. Nu th ta khng th bc b H0.

Quy tc thc hnh-Tr thng k t trong cc phn mm kinh t lng

Trong thc t chng ta thng xt xem bin c lp X c tc ng ln bin ph thuc Y hay khng. Vy khi thc hin hi quy chng ta k vng 0. Mc ngha hay c dng trong phn tch hi quy l a=5%. Gi thit Tr thng k tr thnh t-stat = Quy tc quyt nh Nu /t-stat/ > t(n-2,97,5%) th bc b H0. Nu /t-stat/ t(n-2,97,5%) th khng th bc b H0. Tra bng phn phi Student chng ta thy khi bc t do n trn 20 th tr thng k t97,5% th xp x 2.

Quy tc thc hnh

Nu /t-stat/ > 2 th bc b gi thit b2 = 0. Nu /t-stat/ 2 th ta khng th bc b gi thit b2=0. Trong cc phn mm bng tnh c tnh ton hi quy, ngi ta mc nh mc ngha a=5% v gi thit H 0: bi=0. Th tc tnh ton hi quy ca Excel cung cp cho ta cc h s hi quy, tr thng k t, c lng khong ca h s hi quy v gi tr p[14].Sau y l kt qu hi quy c tnh ton bng th tc hi quy ca mt vi phn mm thng dng.

Excel
Kt qu Regresstion cho d liu ca v d 3.1. (Ch trch phn h s hi quy) Intercept: Tung gc Coefficients : H s hi quy Standard Error : Sai s chun ca c lng h s t Stat : Tr thng k t(n-2) P-value : Gi tr p Lower95%: Gi tr ti hn di ca khong c lng vi tin cy 95%. Upper95% : Gi tr ti hn trn ca khong c lng vi tin cy 95%. Bc b H0 khi /t-stat/ > 2 hoc p-value < 0,05 hoc khong (Lower;Upper) khng cha 0.[15]

Eviews
Th tc Make Equation cho kt qu nh sau(ch trch phn h s hi quy): Dependent Variable: Y Method: Least Squares Included observations: 30 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob.

C 92.24091 33.61089 2.744376 0.0105 X 0.611539 0.067713 9.031280 0.0000 C : Tung gc Coefficient : H s hi quy Std. Error : Sai s chun ca c lng h s t Statistic : Tr thng k t(n-2) Prob: Gi tr p.Bc b H0 khi /t-Statistic/ > 2 hoc Prob < 0,05.

SPSS
Th tc Regression->Linear. (Ch trch phn h s hi quy). Unstandardized Standardized Coefficients Coefficients Model B Std. Error Beta 1 (Constant) 92,241 33,611 X ,612 ,068 ,863 Constant: Tung gc Unstandardized Coefficients: Cc h s hi quy Standardized Coefficients: Cc h s hi quy chun ho[16]. t: t-StatSig: Gi tr p. Bc b H0 khi /t/ >2 hoc Sig < 0,05 t 2,744 9,031 Sig. ,010 ,000

3.5

nh l Gauss-Markov

Vi cc gi nh ca m hnh hi quy tuyn tnh c in, hm hi quy tuyn tnh theo phng php bnh phng ti thiu l c lng tuyn tnh khng thin lch tt nht. Chng ta s khng chng minh inh l ny.[17]

3.6

thch hp ca hm hi quy R2

Lm th no chng ta o lng mc ph hp ca hm hi quy tm c cho d liu mu. Thc o ph hp ca m hnh i vi d liu l R2. c ci nhn trc quan v R2, chng ta xem xt th sau Y Yi Yi Xi Yi - Y Yi - Yi Yi Y

X Y
SRF Hnh 3.5. Phn tch thch hp ca hi quy : bin thin ca bin ph thuc Y, o lng lch ca gi tr Yi so vi gi tr trung bnh : bin thin ca Y c gii thch bi hm hi quy : bin thin ca Y khng gii thch c bi hm hi quy hay sai s hi quy. Trn mi Xi chng ta k vng e i nh nht, hay phn ln bin thin ca bin ph thuc c gii thch bi bin c lp. Nhng mt hm hi quy tt phi c tnh cht mang tnh tng qut hn. Trong hi quy tuyn tnh c in, ngi ta chn tnh cht tng bnh phng bin thin khng gii thch c l nh nht. Ta c Vi v Vy(3.21) S hng cui cng ca (3.21) bng 0. Vy t , v TSS(Total Sum of Squares): Tng bnh phng bin thin ca Y. ESS(Explained Sum of Squares): Tng bnh phng phn bin thin gii thch c bng hm hi quy ca Y. RSS(Residual Sum of Squares) : Tng bnh phng phn bin thin khng gii thch c bng hm hi quy ca Y hay tng bnh phng phn d.Ta c: TSS = ESS + RSS t Mt khc ta c Vy (3.22) Vy i vi hi quy hai bin R2 l bnh phng ca h s tng quan.

Tnh cht ca R2
(1) (2) 0 R2 1. Vi R2=0 th hin X v Y c lp thng k. R2 =1 th hin X v Y ph thuc tuyn tnh hon ho. R2 khng xt n quan h nhn qu.

3.7

D bo bng m hnh hi quy hai bin

Da trn X0 xc nh chng ta d bo Y0. c lng im cho Y0 l : . c lng khong chng ta phi tm phn phi xc sut ca .

D bo gi tr trung bnh
T Suy ra (3.23) Thay biu thc ca , v mc 3.3.4 vo (3.23) v rt gn

D bo gi tr c th ca Y0
T Ta c v (3.25) S hng cui cng . Vy (3.26)

Sai s chun ca d bo
Cho gi tr ca Y0

Khong tin cy cho d bo

Nhn xt: X0 cng lch ra khi gi tr trung bnh th d sai s ca d bo cng ln. Chng ta s thy r iu ny qua th sau. c lng khong cho Y0 trung bnh Y trung bnh c lng khong cho Y0 X trung bnh Hnh 3.6. c lng khong cho Y0.

3.8
3.8.1

ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng

Tuyn tnh trong tham s

Trong mc 3.2.1 chng ta t yu cu l c lng theo phng php bnh phng ti thiu th m hnh hi quy phi tuyn tnh. S dng tnh cht hm tuyn tnh ca cc phn phi chun cng l phn phi chun, da vo cc gi nh cht ch v phng php bnh phng ti thiu, ngi ta rt ra cc hm c lng tham s hiu qu v cc tr thng k kim nh. Hi quy tuyn tnh ch yu cu tuyn tnh trong cc tham s, khng yu cu tuyn tnh trong bin s. M hnh (3.27) l m hnh tuyn tnh trong cc tham s nhng phi tuyn theo bin s. M hnh (3.28) l m hnh phi tuyn trong cc tham s nhng tuyn tnh trong bin s. Hi quy tuyn tnh theo OLS chp nhn dng m hnh tuyn tnh trong tham s nh (3.27) m khng chp nhn dng m hnh phi tuyn trong tham s nh (3.28).

3.8.2

Mt s m hnh thng dng

M hnh Logarit kp
M hnh logarit kp ph hp vi d liu nhiu lnh vc khc nhau. V d ng cu vi co dn khng i hoc hm sn xut CobbDouglas. M hnh ng cu : (3.29) Khng th c lng m hnh (3.29) theo OLS v n phi tuyn trong tham s. Tuy nhin nu chng ta ly logarit hai v th ta c m hnh (3.30) t v ta c m hnh (3.31) M hnh ny tuyn tnh theo tham s nn c th c lng theo OLS. Chng ta s chng minh c tnh ng lu ca m hnh ny l co dn cu theo gi khng i. nh ngha co dn: Ly vi phn hai v ca (3.30) ta c => Vy co dn ca cu theo gi khng i. 0 X 0 ln(X) b2 Y Y = b1X ln(Y) ln(Y) = ln(b1) + b2ln(X) Hnh 3.8. Chuyn dng Log-log Tng qut, i vi m hnh logarit kp, h s ng vi ln ca mt bin s c lp l co dn ca bin ph thuc vo bin c lp .

M hnh Logarit-tuyn tnh hay m hnh tng trng

Gi g l tc tng trng, t ch thi k. M hnh tng trng nh sau (3.32) Ly logarit hai v ca (3.32) (3.33) t , v ta c m hnh hi quy (3.34)

M hnh tuyn tnh-Logarit (Lin-log)

(3.35) M hnh ny ph hp vi quan h thu nhp v tiu dng ca mt hng ho thng thng vi Y l chi tiu cho hng ho v X l thu nhp. Quan h ny cho thy Y tng theo X nhng tc tng chm dn. 0 X 0 ln(X) Y Y Y = b1 + b2ln(X) Hnh 3.9. Chuyn dng Lin-log

M hnh nghch o hay m hnh Hyperbol

(3.36) M hnh ny ph hp cho nghin cu ng chi ph n v, ng tiu dng theo thu nhp Engel hoc ng cong Philip. X X X Y Y Y b1>0 b2 >0 b1>0 b2<0 b1<0 b2>0 ng chi ph n v ng tiu dng ng Philip Hnh 3.10. Dng hm nghch o

Ph lc 3.1.PL S liu v thu nhp v tiu dng, XD.

STT 1 2 Thu nhp kh dng X 173 361 Tiu dng Y 194 363

3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

355 366 581 382 633 406 375 267 783 515 705 493 367 159 492 827 111 452 688 327 647 687 443 657 105 484 653 141

353 306 557 302 497 268 364 283 416 521 407 304 318 116 427 499 158 333 600 320 547 518 378 633 134 269 564 155

4. CHNG 4 M HNH HI QUY TUYN TNH BI

4.1
4.1.1

Xy dng m hnh
Gii thiu

M hnh hi quy hai bin m chng ta nghin cu chng 3 thng khng kh nng gii thch hnh vi ca bin ph thuc. chng 3 chng ta ni tiu dng ph thuc vo thu nhp kh dng, tuy nhin c nhiu yu t khc cng tc ng ln tiu dng, v d tui, mc lc quan vo nn kinh t, ngh nghip V th chng ta cn b sung thm bin gii thch(bin c lp) vo m hnh hi quy. M hnh vi mt bin ph thuc vi hai hoc nhiu bin c lp c gi l hi quy bi. Chng ta ch xem xt hi quy tuyn tnh bi vi m hnh tuyn tnh vi trong tham s, khng nht thit tuyn tnh trong bin s. M hnh hi quy bi cho tng th (4.1) Vi X2,i, X3,i,,Xk,i l gi tr cc bin c lp ng vi quan st i b2, b2, b3,, bk l cc tham s ca hi quy ei l sai s ca hi quy Vi mt quan st i, chng ta xc nh gi tr k vng ca Yi (4.2)

4.1.2

ngha ca tham s

Cc h s b c gi l cc h s hi quy ring (4.3) bk o lng tc ng ring phn ca bin Xm ln Y vi iu kin cc bin s khc trong m hnh khng i. C th hn nu cc bin khc trong m hnh khng i, gi tr k vng ca Y s tng bm n v nu Xm tng 1 n v.

4.1.3

Gi nh ca m hnh

S dng cc gi nh ca m hnh hi quy hai bin, chng ta b sung thm gi nh sau: (1) Cc bin c lp ca m hnh khng c s ph thuc tuyn tnh hon ho, ngha l khng th tm c b s thc (l1,l2,...,lk) sao cho vi mi i. Gi nh ny cn c c pht biu l khng c s a cng tuyn hon ho trong m hnh. (2) S quan st n phi ln hn s tham s cn c lng k. (3) Bin c lp Xi phi c s bin thin t quan st ny qua quan st khc hay Var(Xi)>0.

4.2
4.2.1

c lng tham s ca m hnh hi quy bi

Hm hi quy mu v c lng tham s theo phng php bnh phng ti thiu

Trong thc t chng ta thng ch c d liu t mu. T s liu mu chng ta c lng hi quy tng th. Hm hi quy mu (4.4) Vi cc l c lng ca tham s bm. Chng ta trng i l c lng khng chch ca bm, hn na phi l mt c lng hiu qu. Vi mt s gi nh cht ch nh mc 3.3.1 chng 3 v phn b sung 4.1, th phng php ti thiu tng bnh phng phn d cho kt qu c lng hiu qu bm. Phng php bnh phng ti thiu Chn b1, b2, , bk sao cho (4.5) t cc tiu. iu kin cc tr ca (4.5) (4.6) H phng trnh (4.6) c gi l h phng trnh chun ca hi quy mu (4.4). Cch gii h phng trnh (4.4) gn gng nht l dng ma trn. Do gii hn ca chng trnh, bi ging ny khng trnh by thut ton ma trn m ch trnh by kt qu tnh ton cho hi quy bi n gin nht l hi quy ba bin vi hai bin c lp. Mt s tnh cht ca hi quy ta thy c hi quy hai bin c lp c th p dng cho hi quy bi tng qut.

4.2.2

c lng tham s cho m hnh hi quy ba bin

Hm hi quy tng th (4.7) Hm hi quy mu (4.8) Nhc li cc gi nh (1) K vng ca sai s hi quy bng 0: (2) Khng t tng quan: , ij (3) Phng sai ng nht: (4) Khng c tng quan gia sai s v tng Xm: (5) Khng c s a cng tuyn hon ho gia X2 v X3. (6) Dng hm ca m hnh c xc nh mt cch ng n. Vi cc gi nh ny, dng phng php bnh phng ti thiu ta nhn c c lng cc h s nh sau. (4.10) (4.11) (4.12)

4.2.3

Phn phi ca c lng tham s

Trong phn ny chng ta ch quan tm n phn phi ca cc h s c lng v . Hn na v s tng t trong cng thc xc nh cc h s c lng nn chng ta ch kho st . y ch trnh by kt qu[18]. l mt c lng khng chch : (4.13) (4.14) Nhc li h s tng quan gia X2 v X3 : t = r23 bin i i s (4.14) ta c (4.15) T cc biu thc (4.13) v (4.15) chng ta c th rt ra mt s kt lun nh sau: (1) Nu X2 v X3 c tng quan tuyn tnh hon ho th =1. H qu l v cng ln hay ta khng th xc nh c h s ca m hnh hi quy. (2) Nu X2 v X3 khng tng quan tuyn tnh hon ho nhng c tng quan tuyn tnh cao th c lng vn khng chch nhng khng hiu qu. Nhng nhn nh trn ng cho c hi quy nhiu hn ba bin.

4.3

v hiu chnh

Nhc li khi nim v : Mt m hnh c ln th tng bnh phng sai s d bo nh hay ni cch khc ph hp ca m hnh i vi d liu cng ln. Tuy nhin mt tnh cht c trng quan trng ca l n c xu hng tng khi s bin gii thch trong m hnh tng ln. Nu ch n thun chn tiu ch l chn m hnh c cao, ngi ta c xu hng a rt nhiu bin c lp vo m hnh trong khi tc ng ring phn ca cc bin a vo i vi bin ph thuc khng c ngha thng k. hiu chnh pht vic a thm bin vo m hnh, ngi ra a ra tr thng k hiu chnh(Adjusted )[19] (4.16) Vi n l s quan st v k l s h s cn c lng trong m hnh. Qua thao tc hiu chnh ny th ch nhng bin thc s lm tng kh nng gii thch ca m hnh mi xng ng c a vo m hnh.

4.4

Kim nh mc ngha chung ca m hnh

Trong hi quy bi, m hnh c cho l khng c sc mnh gii thch khi ton b cc h s hi quy ring phn u bng khng. Gi thit H0: b2 = b3 = = bk = 0 H1: Khng phi tt c cc h s ng thi bng khng. Tr thng k kim nh H0: Quy tc quyt nh Nu Ftt > F(k-1,n-k,a) th bc b H0. Nu Ftt F(k-1,n-k,a) th khng th bc b H0.

4.5

Quan h gia R2 v F

4.6

c lng khong v kim nh gi thit thng k cho h s hi quy

c lng phng sai ca sai s (4.17) Ngi ta chng minh c l c lng khng chch ca s2, hay . Nu cc sai s tun theo phn phi chun th . K hiu . Ta c tr thng k c lng khong cho bm vi mc ngha a l (4.18) Thng thng chng ta mun kim nh gi thit H0 l bin Xm khng c tc ng ring phn ln Y. H0 : bm = 0 H1 : bm 0 Quy tc quyt nh Nu /t-stat/ > t(n-k,a/2) th ta bc b H0. Nu /t-stat/ t(n-k,a/2) th ta khng th bc b H0.

4.7

Bin phn loi (Bin gi-Dummy variable)

Trong cc m hnh hi quy m chng ta kho st t u chng 3 n y u da trn bin c lp v bin ph thuc u l bin nh lng. Thc ra m hnh hi quy cho php s dng bin c lp v c bin ph thuc l bin nh tnh. Trong gii hn chng trnh chng ta ch xt bin ph thuc l bin nh lng. Trong phn ny chng ta kho st m hnh hi quy c bin nh tnh. i vi bin nh tnh ch c th phn lp, mt quan st ch c th ri vo mt lp. Mt s bin nh tnh c hai lp nh: Bin nh tnh Lp 1 Lp 2 Gii tnh N Nam Vng Thnh th Nng thn Tn gio C Khng Tt nghip i hc Cha Bng 4.1. Bin nh phn Ngi ta thng gn gi tr 1 cho mt lp v gi tr 0 cho lp cn li. V d ta k hiu S l gii tnh vi S =1 nu l n v S = 0 nu l nam. Cc bin nh tnh c gn gi tr 0 v 1 nh trn c gi l bin gi(dummy variable), bin nh phn, bin phn loi hay bin nh tnh.

4.7.1

Hi quy vi mt bin nh lng v mt bin phn loi

V d 4.1. v d ny chng ta hi quy tiu dng cho go theo quy m h c xem xt h thnh th hay nng thn.
M hnh kinh t lng nh sau: Yi = b1 + b2X i+ b3Di + ei(4.19)Y: Chi tiu cho go, ngn ng/nm X : Quy m h gia nh, ngi D: Bin phn loi, D = 1 nu h thnh th, bng D = 0 nu h nng thn. Chng ta mun xem xt xem c s khc bit trong tiu dng go gia thnh th v nng thn hay khng ng vi mt quy m h gia nh Xi xc nh. i vi h nng thn (4.20) i vi h thnh th (4.21) Vy s chnh lch trong tiu dng go gia thnh th v nng thn nh sau (4.22) S khc bit trong tiu dng go gia thnh th v nng thn ch c ngha thng k khi b3 khc khng c ngha thng k. Chng ta c phng trnh hi quy nh sau Y = 187 + 508*X - 557*D (4.23) t-stat [0,5] [6,4] [-2,2] R2 hiu chnh = 0,61 H s hi quy khc khng vi tin cy 95%. Vy chng ta khng th bc b c s khc bit trong tiu dng go gia thnh th v nng thn. Chng ta s thy tc ng ca lm cho tung gc ca phung trnh hi quy ca thnh th v nng thn sai bit nhau mt khong b3 = -557 ngn ng/nm. C th ng vi mt quy m h gia nh th h thnh th tiu dng go t hn h nng thn 557 ngn ng/nm.Chng ta s thy iu ny mt cch trc quan qua th sau: Hnh 4.1. Hi quy vi mt bin nh lng v mt bin phn loi.

4.7.2

Hi quy vi mt bin nh lng v mt bin phn loi c nhiu hn hai phn lp

V d 4.2. Gi s chng ta mun c lng tin lng c quyt nh bi s nm kinh nghim cng tc v trnh hc vn nh th no.
Gi Y : Tin lng X : S nm kinh nghim D: Hc vn. Gi s chng ta phn loi hc vn nh sau : cha tt nghip i hc, i hc v sau i hc.

Phung n 1:
Di = 0 nu cha tt nghip i hc Di = 1 nu tt nghip i hc Di =2 nu c trnh sau i hc Cch t bin ny a ra gi nh qu mnh l phn ng gp ca hc vn vo tin lng ca ngi c trnh sau i hc ln gp hai ln ng gp ca hc vn i vi ngi c trnh i hc. Mc tiu ca chng ta khi a ra bin D ch l phn loi nn ta khng chn phng n ny. Phng n 2: t b bin gi D1iD2iHc vn 00Cha i hc 10i hc 01Sau i hc M hnh hi quy Yi = b1 + b2X + b3D1i + b4D2i + ei(4.24)

Khai trin ca m hnh (4.24) nh sau i vi ngi cha tt nghip i hc E(Yi )= b1 + b2X (4.25) i vi ngi c trnh i hc E(Yi )= (b1 + b3)+ b2X3(4.26) i vi ngi c trnh sau i hc E(Yi )= (b1 + b3+ b4 )+ b2X (4.27)

4.7.3

Ci by ca bin gi

S lp ca bin phn loiS bin gi Trong v d 4.1. 21 Trong v d 4.232 iu g xy ra nu chng ta xy dng s bin gi ng bng s phn lp? V d 4.3. Xt li v d 4.1. Gi s chng ta t bin gi nh sau D1iD2iVng 10Thnh th 01Nng thn M hnh hi quy l Yi = b1 + b2X i+ b3D1i + b4D2i +ei(4.28) Chng ta hy xem kt qu hi quy bng Excel

Coefficients

Standard Error

t Stat

P-value

Intercept 2235,533 0 65535 #NUM! X 508,1297 80,36980143 6,322396 1,08E-06 D1 -2605,52 0 65535 #NUM! D2 -2048 0 65535 #NUM! Kt qu hi quy rt bt thng v hon ton khng c ngha kinh t. L do l c s a cng tuyn hon ho gia D1, D2 v mt bin hng X2 =-1. D1i + D2i + X2 = 0 . Hin tng a cng tuyn hon ho ny lm cho h phng trnh chun khng c li gii. Thc t sai s chun tin n v cng ch khng phi tin n 0 nh kt qu tnh ton ca Excel. Hin tng ny c gi l ci by ca bin gi. Quy tc: Nu mt bin phn loi c k lp th ch s dng (k-1) bin gi.

4.7.4

Hi quy vi nhiu bin phn loi

V d 4.4. Tip tc v d 4.2. Chng ta mun kho st thm c s phn bit i x trong mc lng gia nam v n hay khng.
t thm bin v t li tn bin GTi: Gii tnh, 0 cho n v 1 cho nam. TL : Tin lng KN: S nm kinh nghim lm vic H: Bng 1 nu tt nghip i hc v 0 cho cha tt nghip i hc SH: Bng 1 nu c trnh sau i hc v 0 cho cha. M hnh hi quy TLi = b1 + b2KNi + b3Hi + b4SHi +b5GTi+ ei(4.29) Chng ta xt tin lng ca n c trnh sau i hc E(TLi /SH=1GT=0)= (b1 + b4)+ b2KNi

4.7.5

Bin tng tc

Xt li v d 4.1. Xt quan h gia tiu dng go v quy m h gia nh. cho n gin trong trnh by chng ta s dng hm ton nh sau. Nng thn: Y = a1 + b1X Thnh th: Y = a2 + b2X D : Bin phn loi, bng 1 nu h thnh th v bng 0 nu h nng thn. C bn trng hp c th xy ra nh sau (1) a1=a2 v b1= b2, hay khng c s khc bit trong tiu dng go gia thnh th v nng thn. M hnh : Y = a + b X Trong a1=a2 = a v b1= b2 = b. (2) a1a2 v b1= b2, hay c s khc bit v tung gc M hnh: Y = a + bX + cD Trong a1 = a, a2 = a + c v b1 = b2 = b.

(3) a1=a2 v b1 b2, hay c s khc bit v dc M hnh: Y = a + bX + c(DX) Trong DX = X nu nu D =1 v DX = 0 nu D = 0 a1 = a2 = a , b1 = b v b2 = b + c. (4) a1a2 v b1 b2, hay c s khc bit hon ton v c tung gc v dc. M hnh: Y = a + bX + cD + d(DX) a1 = a , a2 = a + c, b1 = b v b2 = b + d. Quy m h, X a. M hnh ng nht a1=a2 b1 = b2 Tiu dng go, Y Tiu dng go, Y Quy m h, X b. M hnh song song a1 a2 b1 = b2 Quy m h, X d. M hnh phn bit Tiu dng go, Y Tiu dng go, Y a1=a2 b1 b2 1 a2 a1 b1 b2 Quy m h, X c. M hnh ng quy Hnh 4.2. Cc m hnh hi quy Bin DX c xy dng nh trn c gi l bin tng tc. Tng qut nu Xp l mt bin nh lng v Dq l mt bin gi th XpDq l mt bin tng tc. Mt m hnh hi quy tuyn tng qut c th c nhiu bin nh lng, nhiu bin nh tnh v mt s bin tng tc.

5. CHNG 5 GII THIU MT S VN LIN QUAN N M HNH HI QUY

5.1
5.1.1

a cng tuyn
Bn cht ca a cng tuyn

a cng tuyn hon ho: Cc bin X1, X2,,Xk c gi l a cng tuyn hon ho nu tn ti l1, l2, ,lk khng ng thi bng khng sao cho l1X1 + l2X2 + + lkXk =0(5.1) Hin tng a cng tuyn hon ho thng xy do nhm ln ca nh kinh t lng nh trng hp ci by ca bin gi m chng ta xem xt mc 4.7.3 chng 4. Hin tng a cng tuyn m chng ta xt trong kinh t lng c hiu vi ngha rng hn a cng tuyn hon ho nh iu kin (5.1). Cc bin X1, X2,,Xk c gi l a cng tuyn khng hon ho nu tn ti l1, l2, ,lk sao cho l1X1 + l2X2 + + lkXk + e =0(5.2) vi e l sai s ngu nhin. Chng ta c th biu din bin Xi theo cc bin cn li nh sau vi li 0.(5.3) Vy hin tng a cng tuyn xy ra khi mt bin l s kt hp tuyn tnh ca cc bin cn li v mt nhiu ngu nhin. Mt s nguyn nhn gy ra hin tng a cng tuyn (1) Khi chn cc bin c lp mi quan c quan h nhn qu hay c tng quan cao v ng ph thuc vo mt iu kin khc. V d s ging bnh v s bc s nu ng thi l bin c lp ca mt hi quy th s gy ra hin tng a cng tuyn gn hon ho. (2) Khi s quan st nh hn s bin c lp. Mt v d in hnh l mt nghin cu y khoa trn mt s lng nh bnh nhn nhng li kho st qu nhiu nhn t tc ng ln hiu qu iu tr. (3) Cch thu thp mu. V d ch thu thp mu trn mt s lp gii hn ca tng th. (4) Chn bin Xi c bin thin nh.

5.1.2

H qu ca a cng tuyn

V d 5.1[20]. Nghin cu ca Klein v Golberger(1995) v quan h gia tiu dng ni a C, thu nhp t lng W, thu nhp khc phi nng nghip P v thu nhp t nng nghip A ca nn kinh t Hoa K t nm 1928 n 1950, vi s liu ca cc nm 1942 n 1944 b loi ra khi d liu. Klein v Golberger thc hin hi quy tiu dng ni a theo ba loi thu nhp nh sau Ct = b1 + b2Wt + b3Pt + b4A + et(5.4) Hi quy ny c th gp phi hin tng a cng tuyn v cc loi thu nhp c xu hng cng tng theo s pht trin ca nn kinh t.

Nm

1928 52,8 39,21 17,73 4,39 1929 62,2 42,31 20,29 4,60 1930 58,6 40,37 18,83 3,25 1931 56,6 39,15 17,44 2,61 1932 51,6 34,00 14,76 1,67 1933 51,1 33,59 13,39 2,44 1934 54 36,88 13,93 2,39 1935 57,2 39,27 14,67 5,00 1936 62,8 45,51 17,20 3,93 1937 65 46,06 17,15 5,48 1938 63,9 44,16 15,92 4,37 1939 67,5 47,68 17,59 4,51 1940 71,3 50,79 18,49 4,90 1941 76,6 57,78 19,18 6,37 1945 86,3 78,97 19,12 8,42 1946 95,7 73,54 19,76 9,27 1947 98,3 74,92 17,55 8,87 1948 100,3 74,01 19,17 9,30 1949 103,2 75,51 20,20 6,95 1950 108,9 80,97 22,12 7,15 Bng 5.1. S liu thu nhp v tiu dng ca nn kinh t Hoa K Kt qu hi quy nh sau =8,133 +1,059W +0,452P +0,121A(5.5) t-Stat(0,91)(6,10)(0,69)(0,11) Khong 95%(-10,78;27,04)(0,69;1,73)(-0,94;1,84)(-2,18;2,43) R2 = 0,95F = 107,07 > F(3,16,99%) = 5,29. M hnh ny c tnh gii thch cao th hin qua R2 rt cao v thng k F cao. Tuy nhin mt s h s li khng khc khng vi ngha thng k th hin qua t-stat thp, ngha l c lng khong cho cc h s cha 0. W vi h s c t-stat ln th ngha kinh t li rt l: nu thu nhp t

lng tng 1 USD th tiu dng tng 1,059 USD. tm hiu l do gy ra hin tng trn chng ta phi dng l thuyt ca i s ma trn, y ch minh ho bng m hnh hi quy ba bin. Phng sai ca c lng h s b2 l Khi X2 v X3 c hin tng cng tuyn th cao lm cho phng sai ca c lng b2 cao. c lng b2 theo phng php bnh phng ti thiu tr nn khng hiu qu.

H qu ca a cng tuyn
(1) c lng cc h s khng hiu qu do phng sai ca c lng ln. M hnh c a cng tuyn c t-stat nh v mt s h s ca th c du tri vi l thuyt hay c gi tr khng ph hp. R2 th hin ph hp ca d liu v F th hin ngha chung ca cc h s c th rt cao. (2) Gi tr c lng ca cc h s rt nhy cm i vi vic tng hoc bt mt hoc quan st hoc loi b bin c mc ngha thp. (3) Mc d vic phn tch tc ng ring phn ca mt bin kh khn nhng tnh chnh xc ca d bo c th vn cao khi bn cht ca a cng tuyn vn khng i i vi quan st mi.

5.1.3

Bin php khc phc

Nu mc tiu ca phn tch hi quy l d bo th trong mt s trng hp chng ta khng cn khc phc hin tng a cng tuyn. Nu mc tiu ca phn tch l xt tc ng ring phn ca tng bin s ln bin ph thuc quyt nh chnh sch th a cng tuyn tr thnh mt vn nghim trng. Sau y l mt s bin php khc phc. (1) Dng thng tin tin nghim. V d khi hi quy hm sn xut Cobb-Douglas Ln(Yi)=b1 + b2ln(Ki)+ b3ln(Li) + ei (5.6) Chng ta c th gp hin tng a cng tuyn do K v L cng tng theo quy m sn xut. Nu ta bit l hiu sut khng i theo quy m th ta c thm thng tin b2+b3=1. Vi thng tin tin nghim ny chng ta chuyn m hnh hi quy (5.6) thnh Ln(Yi)=b1 + b2ln(Ki)+ (1-b2)ln(Li) + ei (5.7) (2) B i mt bin c a cng tuyn. y l cch lm n gin nht. V d trong m hnh c bin gii thch l s bc s v s ging bnh th ta c th b i bin s ging bnh. Nu bin b b i thc s cn phi c trong m hnh th chng ta li gp phi mt vn khc, l c lng chch i vi cc h s cn li. Vn ny chng ta s tip tc xem xt cui chng. (3) Chuyn dng d liu Gi s chng ta hi quy trn d liu chui thi gian Yt = b1 + b2X2t + b3X3t + et(5.8) V chng ta gp phi hin tng a cng tuyn do X1t v X3t c th cng tng hoc gim theo tng nm. Ta c th ti thiu tc ng a cng tuyn ny bng k thut hi quy trn sai phn bc nht nh sau: Ta c Yt-1 = b1 + b2X2,t-1 + b3X3,t-1 + et-1(5.9) T (5.8) v (5.9) ta xy dng m hnh hi quy (Yt -Yt-1 )= b2(X2t-X2,t-1) + b3(X3t- 3X3,t-1 )+ nt(5.10) Vi nt= et-et-1. Mt vn mi ny sinh l nt c th c tnh tng quan chui, v nh th khng tun theo gi nh ca m hnh hi quy tuyn tnh c in. Nu hin tng tng quan chui l nghim trng th m hnh (5.10) cn km hn c m hnh (5.8). (4) Tng thm quan st. Gii php ny thch hp cho hin tng a cng tuyn do c mu nh. i khi ch cn tng thm mt s quan st l ta khc phc c hin tng a cng tuyn. Mt ln na chng ta li c s nh i. Tng d liu i khi ng ngha vi vic tng chi ph, nht l i vi d liu s cp. Mt khc nu l d liu khng c kim sot, chng ta phi bit chc rng cc iu kin khc tng t vi khi ta thu thp d liu gc. Khc phc hin tng a cng tuyn i hi cc k thut phc tp v i khi cng khng mang li hiu qu nh ta mong mun. Mt khc, hu ht cc m hnh hi quy bi u c tnh cng tuyn nht nh nn chng ta phi cn thn trong vic xy dng m hnh v gii thch kt qu. Chng ta s nghin cu nguyn tc xy dng m hnh cui chng.

5.2
5.2.1

Phng sai ca sai s thay i - HETEROSKEDASTICITY

Bn cht ca phng sai ca sai s thay i

Gi nh ca m hnh hi quy tuyn tnh c in l phng sai ca sai s hi quy khng i qua cc quan st. Trong thc t sai s hi quy c th tng ln hoc gim i khi gi tr bin c lp X tng ln. Tng qut, thay cho gi nh chng ta gi nh (5.11) Thng gp phng sai khng ng nht d liu cho v d liu bng. Nguyn nhn phng sai khng ng nht rt a dng, sau y l mt s trng hp in hnh: (1) Gi Y l s ph phm trong 100 sn phm ca mt th hc vic, X l s gi thc hnh. Khi s gi thc hnh cng ln th s ph phm cng nh v cng t bin ng. Chng ta c trng hp phng sai gim dn khi X tng dn. (2) Khi thu nhp(X) tng th chi tiu cho cc mt hng xa x tng v mc bin ng cng ln. Chng ta c trng hp phng sai tng dn khi X tng dn. (3) Khi ci thin phng php thu thp s liu th phng sai gim. (4) Phng sai ca sai s tng do s xut hin ca im nm ngoi, l cc trng hp bt thng vi d liu rt khc bit(rt ln hoc rt nh so vi cc quan st khc). (5) Phng sai thay i khi khng xc ng dng m hnh, nu mt bin quan trng b b st th phng sai ca sai s ln v thay i. Tnh trng ny gim hn khi a bin b b st vo m hnh.

5.2.2

H qu ca phng sai thay i khi s dng c lng OLS

Xt hi quy Yi = b1 + b2X i+ ei(5.12) vi S dng phng php bnh phng ti thiu thng thng (OLS) chng ta c (5.13) vy c lng theo OLS khng chch. Chng ta khng cha r l OLS c cho c lng hiu qu hay khng.

c lng bnh phng ti thiu c trng s (WLS)

t , chia hai v ca (5,12) cho wi chng ta c m hnh hi quy (5.14) Ta vit li m hnh (5.13) nh sau (5.15) M hnh (5.14) khng c tung gc v phng sai ng nht. Vy c lng h s ca (5.15) theo OLS l c lng hiu qu(BLUE). Kt qu c lng b2 ca (5.15) theo OLS nh sau (5.16) c lng (5.16) hon ton khc vi (5.13). Chng ta bit c lng theo WLS (5.16) l c lng hiu qu vy c lng theo OLS (5.13) l khng hiu qu. Phng sai ng ca h s c lng b2 l nhng cc phn mm my tnh bo co phng sai l . T phng sai ca sai s b tnh sai ny cc tr thng k t-stat v sai s chun ca h s c lng phn mm cung cp l v dng. Tm li, vi s hin din ca phng sai ca sai s thay i mc d c lng cc h s theo OLS vn khng chch nhng c lng khng hiu qu v cc tr thng k nh t-stat khng chnh xc.

5.2.3

Pht hin v khc phc

Pht hin phng sai ca sai s thay i. Phng php th. Xt th ca phn d theo gi tr Y v X. Hnh 5.1. th phn tn phn d ei theo . Hnh 5.2. th phn tn phn d ei theo Xi Theo cc th trn th khi gi tr d bo Y tng (hoc khi X tng) th phn d c xu hng tng, hay m hnh c phng sai ca sai s thay i.

Cc php th chnh thc

Xt hi quy bi (5.17) Trong (k-1) bin c lp trn ta trch ra (p-1) bin lm bin c lp cho mt hi quy ph. Trong hi quy ph ny phn d t hi quy m hnh(5.17) lm hi quy bin ph thuc. Cc dng hi quy ph thng s dng l (5.18) (5.19) (5.20) Kim nh Breusch-Pagan cn c vo hi quy ph (5.18), kim nh Glejser cn c vo (5.19) v kim nh Harvey-Godfrey cn c vo (5.20).

Gi thit khng l khng c phng sai khng ng nht H0 : a2 = a3 = = ap = 0 H1 : Khng phi tt c cc h s trn u bng 0. R2 xc nh t hi quy ph, n l c mu dng xy dng hi quy ph, vi c mu ln th nR2 tun theo phn phi Chi bnh phng vi (p-1) bc t do. Quy tc quyt nh Nu th bc b H0. Nu bc b c H0 th chng ta chp nhn m hnh c phng sai ca sai s thay i v thc hin k thut c lng m hnh nh sau: i vi kim nh Breusch-Pagan i vi kim nh Glejser i vi kim nh Harvey-Godfrey Ta c. n y chng ta c th chuyn dng hi quy theo OLS thng thng sang hi quy theo bnh phng ti thiu c trng s WLS.

5.3

T tng quan (tng quan chui)

Trong m hnh hi quy tuyn tnh c in chng ta gi nh khng c tng quan gia cc phn d hay E(eiej) = 0 vi mi i, j. Trong thc t i vi d liu chui thi gian, gi nh ny hay b vi phm. Mt l do nm na l bin s kinh t c mt qun tnh(sc ) nht nh. V d s tng cu mt loi hng ha ca nm nay s lm tng lng cung ni a ca hng ho vo nm sau, y l tc ng tr ca bin c lp hay bin ph thuc thi k t chu tc ng ca bin c lp thi k t-1. i khi nn kinh t li phn ng qu nhy vi s thay i. V d gi ma cao nm nay s lm cho nng dn x trng ma, sn lng ma nm sau tng vt lm gim gi ma nm sau, y l tc ng tr ca bin ph thuc hay gi tr bin ph thuc thi k t chu nh hng ca gi tr bin ph thuc thi k t-1. Hin tng t tng quan lm cho E(eiej) 0 v gy ra cc hu qu sau (1) c lng theo OLS khng chch nhng khng hiu qu (2) Cc tr thng k tnh theo OLS khng hu ch trong vic nhn nh m hnh. Chng ta c th pht hin hin tng t tng quan bng cch quan st th phn d ca m hnh trn d liu chui thi gian. Hnh 5.3. Tng quan chui nghch Hnh 5.4. Tng quan chui thun Chng ta s tip tc lm vic vi d liu chui v x l hin tng t tng quan phn sau ca gio trnh lin quan n cc m hnh d bo.

5.4

La chn m hnh

Mt yu t quan trng u tin chn ng m hnh hi quy l chn ng dng hm. chn ng dng hm chng ta phi hiu ngha v mi quan h kinh t ca cc bin s. ngha ca mt s loi hm thng dng c trnh by mc 3.8.2 chng 3. phn ny chng ta xt hu qu ca mt s dng xy dng m hnh sai v chin lc xy dng m hnh kinh t lng. Chng ta cng khng i su vo chng minh cc kt qu.

5.4.1

Thiu bin c lin quan v cha bin khng lin quan.

Xt hai hi quy sau (5.21) v (5.22) M hnh (5.21) c cc tr thng k tng ng c k hiu R v m hnh (5.22) c cc tr thng k tng ng c k hiu U. C hai trng hp xy ra: Trng hp 1: Nu m hnh (5.22) l ng nhng chng ta chn m hnh (5.21) ngha l chng ta b st L bin quan trng (X K+1,..XK+L). Hu qu l c lng cc h s cho K-1 bin c lp cn li b chch, m hnh km tnh gii thch cho c mc tiu d bo vo phn tch chnh sch. Trng hp 2: Nu m hnh (5.21) l ng nhng chng ta chn m hnh (5.22), ngha l chng ta a vo m hnh cc bin khng lin quan. Hu qu l c lng h s cho cc bin quan trng vn khng chch nhng khng hiu qu.

5.4.2

Kim nh so snh m hnh (5.21) v (5.22) - Kim nh Wald

Chng ta mun kim nh xem L bin (XK+1,..XK+L) c ng c a vo m hnh hay khng. H0: Tr thng k Quy tc quyt dnh: Nu th ta bc b H0 hay chp nhn L bin (XK+1,..XK+L) xng ng c a vo m hnh.

5.4.3

Hai chin lc xy dng m hnh

C hai chin lc xy dng m hnh kinh t lng l: Xy dng m hnh t n gin n tng qut: cha tt c cc bin c lin quan trong m hnh v loi b dn nhng bin t ngha thng k nht cho n khi nhn c m hnh tt nht. Xy dng m hnh tng qut n n gin : Xut pht t bin c lp c quan h kinh t trc tip nht vi bin ph thuc, tip tc b sung bin mi cho n khi nhn c m hnh tt nht. Mi cch lm u c nhng u v nhc im. Hin nay vi cng c my vi tnh, ngi ta khng cn ngi tnh ton trn m hnh ln v nhiu nh kinh t lng cho rng xy dng m hnh t tng qut n n gin th hiu qu hn t n gin n tng qut. Nt chung ca c hai chin lc ny l tng bc u phi thc hin kim nh Wald.

6. CHNG 6 D BO VI M HNH HI QUY (c thm)

PHN LOI CC PHNG PHP D BO
C hai nhm phng php d bo chnh l nhm nh tnh v nhm nh lng. Trong gio trnh ny chng ta ch yu s dng phng php nh lng c kt hp vi cc phn on nh tnh d bo.

Cc phng php d bo nh tnh

Cc phng php d bo nh tnh da vo phn on ch quan v trc gic a ra d bo thay cho v da vo cc s liu qu kh. Phng php d bo nh tnh hu ch cho vic d bo ton cc v mt s trng hp m s liu qu kh khng hu ch cho d bo.

Cc phng php d bo nh lng

Cc k thut d bo nh lng da vo vic phn tch s liu qu kh a ra d bo. Gi nh ca phng php ny l cc nhn t tng tc ng ln bin c d bo trong qu kh vn tip tc nh hng n bin ny trong tng lai. Vy da vo din bin d liu trong qu kh ta c th d bo cho tng lai. Cc phng php d bo nh lng li c chia thnh hai nhm chnh: d bo nh lng mang tnh nhn qu v d bo nh lng mang tnh thng k.

Cc phng php d bo nh lng mang tnh nhn qu

i din ca nhm phng php ny l phn tch hi quy. M hnh d bo c hai nhm bin s: cc bin s c d bo c gi l bin c lp, cc bin s dng d bo c gi l bin ph thuc. Chng ta nghin cu m hnh hi quy phn 1, nay chng ta tip tc nghin cu vic p dng m hnh hi quy cho d bo v mt s k thut phn tch hi quy vi d liu chui thi gian.

Cc phng php d bo nh lng mang tnh thng k

Nhm cc phng php d bo mang tnh thng k ch quan tm n quy lut bin thin ca bin cn d bo trong qu kh da ra d bo. Bin thin ca mt bin s kinh t c chia thnh cc thnh phn: xu hng, chu k, thi v v ngu nhin. Nhm cc phng php d bo mang tnh thng k li chia thnh hai nhm chnh. Nhm th nht phn tch mt thnh phn hoc kt hp mt s thnh phn ring bit nu trn nh: ng xu hng, san bng s m, trung bnh ng. Nhm th hai s dng cc khi nim thng k v d liu chui thi gian m khng chia bin ng ca d liu thnh cc thnh phn ring bit nh phng php lun Box-Jenkins.

6.1

D bo vi m hnh hi quy thng thng

M hnh hi quy (6.1) Ch s t ch thi k th t. Gi s m hnh ny tho mn cc iu kin ca phng php c lng theo bnh phng ti thiu. Cc tham s c lng t m hnh tng ng l . c on tt nht cho Yt+1 khi bit cc Xi,t+1 l: (6.2) lch chun ca c lng l i vi hi quy hai bin (6.3) i vi hi quy bi: cng thc rt phc tp v nm ngoi phm vi gio trnh ny.

6.2

Tnh cht tr ca d liu chui thi gian v h qu ca n n m hnh

Khi chng ta s dng m hnh (6.1) chng ta gi nh rng cc bin c lp tc ng tc th ln bin ph thuc v bin ph thuc ch chu tc ng ca bin c lp. i vi cc bin s kinh t cc gi nh ny thng khng ng. Tc ng ca bin c lp c thnh phn tc ng tc thi v c thnh phn tc ng tr. Mt khc, i khi bn thn bin ph thuc cng c qun tnh hay sc ca n. C ba nguyn nhn gy ra tr hay sc trong kinh t l (1) Nguyn nhn tm l Khi thu nhp ca mt ngi gim tiu dng ca ngi c th khng gim ngay lp tc do thi quen duy tr mc sng cao. Nu tnh hnh thu nhp vn khng phc hi trong thi gian di, anh ta phi hc cch chi tiu tit kim hn. (2) Nguyn nhn k thut Gi s cu ni a i vi mt mt hng tng ln lm gi mt mt hng ny tng. Sn lng ni a c th khng tng tc thi v tng sn lng cn phi c thi gian xy dng nh my, u t my mc thit b v o to cng nhn. Doanh nghip cn phi phn tch xem s tng cu ni a ny c mang tnh cht lu di hay ch l tc thi. (3) Nguyn nhn nh ch Cc rng buc php l l nguyn nhn ca mt s hin tng tc ng tr. V d nu hp ng ti tr Gii bng chuyn nghip Vit Nam c k kt c hiu lc 2 nm th Lin on Bng Vit Nam khng th hu hp ng k li vi mt i tc khc c s tin ti tr cao hn. Gi s s tin ti tr ph thuc tm nh hng ca gii u ln cng chng th hin qua s lt khn gi n sn v s lt khn gi theo di qua truyn hnh. S khn gi n sn tng ln ch c th tc ng lm tng s tin ti tr ca ln k kt 2 nm sau. Khi c tnh cht tr nu trn ca d liu chui thi gian, m hnh (6.1) c sai s hi quy khng tha mn cc iu kin ca m hnh hi quy tuyn tnh c in.(Ti sao?). T d bo theo (6.2) s khng chnh xc.

6.3

M hnh t hi quy

(6.4) M hnh (6.4) cn c gi l m hnh ng v n th hin mi lin h gia gi tr ca bin ph thuc vi gi tr qu kh ca n.

6.4

M hnh c tr phn phi

(6.5) Trong m hnh ny k c gi l tr. Chng ta phi xc nh tr k.

6.4.1

Cch tip cn ca Alt v Tinberger[21]:

V Xt l xc nh v khng tng quan vi et nn Xt-1,Xt-2, , Xt-k u xc nh v khng tng quan vi et. Do chng ta c th p dng OLS c lng tham s cho m hnh (6.5). Chng ta s xc nh k bng cch tng dn tr nh sau: (1) Hi quy Yt theo Xt (2) Hi quy Yt theo Xt v Xt-1 (k) Hi quy Yt theo Xt, Xt-1, , Xt-k (k+1) Hi quy Yt theo Xt, Xt-1, , Xt-(k+1) Qu trnh ny dng tr (k+1) hoc (k+2) khi chng ta nhn thy cc h s ng vi cc bin tr khng c ngha thng k hoc i du. Qu trnh trn vng phi bn nhc im nh sau: (1) Khng c tin liu trc l tr s l bao nhiu. (2) M hnh c thm mt tr th mt i mt bc t do, nu d liu chui thi gian khng di th ngha thng k ca m hnh ngy cng km. (3) Cc bin gii thch thc cht l gi tr ca mt bin X theo thi gian, iu ny gy ra s tng quan gia cc bin gii thch trong m hnh, tc l c hin tng a cng tuyn. c lng cc tham s ca m hnh trong trng hp c a cng tuyn s cho kt qu km chnh xc. (4) Vic xc nh tr k ca m hnh (6.5) theo cch thc trn l mt dng ca o m d liu.

6.4.2

M hnh Koyck

Gi nh: (1) Tt c cc h s ng vi bin tr c cng du (2) Cc h s tun theo cp s nhn gim dn: vi 0 < l < 1. Chng ta vit li m hnh (6.5) nh sau (6.6) Tng t (6.7) Nhn (6.7) vi l (6.8) Ly (6.6) tr (6.7) (6.9) Kt qu cui cng (6.10) Vi , cn c gi l trung bnh trt ca et v et-1. M hnh (6.10) c gi l m hnh chuyn dng Koyck. Chng ta chuyn m hnh tr phn phi thnh m hnh t hi quy.

6.4.3

M hnh k vng thch nghi

Gi s m hnh xc nh cu tin c dng nh sau[22] (6.11) Y : Cu tin X*: Gi tr k vng[23] ca li sut danh ngha e: Sai s hi quy Li sut k vng ca nm nay(nm t) khng th quan st c mt cch trc tip m c xc nh nh sau vi 0 < l 1. Biu thc ny hm k vng ca ngi ta thay i(thch hp) theo li sut thc t, hay ni cch khc ngi ta hc hi t sai lm. (6.12) Thay (6.12) vo (6.11) Qua mt s php bin i tng t nh m hnh Koyck ta c (6.13) Vi

6.4.4

M hnh hiu chnh tng phn

M hnh hiu chnh tng phn ph hp vi phn tch hi quy c tr do l do k thut v nh ch. Gi s mc u t t bn ti u ng vi mt mc sn lng X cho trc l Y*. M hnh hi quy n gin Y* theo X nh sau:

(6.14) Thc t chng ta khng trc tip quan st c . Gi nh c xc nh nh sau: vi 0 < d 1. (6.15) Trong : Thay i lng t bn thc t, cng chnh l u t trong k : Thay i lng t bn mong mun T (6.14) v(6.15) sau mt vi php bin i chng ta nhn c (6.17) Mt ln na chng ta li nhn c m hnh t hi quy.

6.5

c lng m hnh t hi quy

Trong c ba m hnh va xt, chng ta u nhn c m hnh cui cng c dng t hi quy. Koyck: (6.18) K vng thch nghi (6.19) Hiu chnh tng phn (6.20) Dng chung ca ba m hnh ny l (6.21) C hai vn cn lu tm i vi m hnh (6.21): (1) Th nht, c s hin din ca bin ngu nhin trong cc bin c lp, l Yt-1. iu ny vi phm iu kin ca m hnh hi quy tuyn tnh c in. (2) Th hai, c kh nng xy ra hin tng tng quan chui. trnh cc h qu bt li do Yt-1 gy ra ngi ta s dng mt bin thay th cho Yt-1 vi c tnh bin ny tng quan mnh vi Yt-1 nhng khng tng quan vi Xt. Bin c lp c c tnh va k c gi l bin cng c[24].

6.6

Pht hin t tng quan trong m hnh t hi quy

Tr thng k h (6.22) Trong : n = c mu; = phng sai h s c lng ca Yt-1. l h s t tng quan mu bc nht c xc nh t cng thc (6.23) h c phn phi chun ho tim cn. T phn phi chun ho chng ta c P(-1,96 < h < 1,96) = 0,95

Quy tc quyt nh:

Nu h < -1,96, chng ta bc b H0 cho rng m hnh khng c t tng quan bc 1 nghch. Nu h > 1,96, chng ta bc b H0 cho rng m hnh khng c t tng quan bc 1 thun. Nu -1,96 < h < 1,96: chng ta khng th bc b H0 cho rng khng c t tng quan bc nht.

7. CHNG 7 CC M HNH D BO MANG TNH THNG K (Tham kho)

7.1

Cc thnh phn ca d liu chui thi gian

Cc thnh phn chnh ca d liu chui thi gian l a. Xu hng b. Chu k c. Thi v d. Ngu nhin

7.1.1

Xu hng di hn

Xu hng di hn th hin s tng trng hoc gim st ca mt bin s theo thi gian vi khong thi gian di. Mt s bin s kinh t c xu hng tng gim di hn nh e. Tc tng dn s ca Vit Nam c xu hng gim. f. T trng nng nghip trong GDP ca Vit Nam c xu hng gim. g. Mc gi c xu hng tng.

7.1.2

Chu k

Cc s liu kinh t v m thng c s tng gim c quy lut theo chu k kinh t. Sau mt thi k suy thoi kinh t s l thi k phc hi v bng n kinh t, k tip tng trng kinh t s chng li v khi u cho mt cuc suy thoi mi. Tu theo nn kinh t m chu k kinh t c thi hn l 5 nm, 7 nm hay 10 nm.

7.1.3

Thi v

Bin ng thi v ca bin s kinh t l s thay i lp i lp li t nm ny sang nm khc theo ma v. Bin ng thi v xy ra do kh hu, ngy l, phong tc tp qunBin ng thi v c tnh ngn hn vi chu k lp li thng l 1 nm.

7.1.4

Ngu nhin

Nhng dao ng khng thuc ba loi trn c xp vo dao ng ngu nhin. Cc nguyn nhn gy ra bin ng ngu nhin c th l thi tit bt thng, chin tranh, khng hong nng lng, bin ng chnh tr Xu hng di hn Tnh thi v Hnh 7.1. Xu hng v thi v[25] Bt thng (Ngu nhin) Chu k 10 nm Hnh 7.2. Chu k v ngu nhin-Tng trng kinh t ca Hoa K giai on 1961-1999. Ngun : World Development Indicator CD-Rom 2000, World Bank.

7.2
7.2.1

D bo theo ng xu hng di hn
M hnh xu hng tuyn tnh

Chng ta s dng m hnh xu hng tuyn tnh nu tin rng bin Y tng mt lng khng i trong mt n v thi gian. (7.1) hoc dng (7.2) ng vi d liu hnh 7.2, phng trnh ng xu hng l gt = 3,6544- 0,029t Vi gt = tc tng trng GDP ca Hoa K, tnh bng %. t = nm ang xt- 1991. D bo tc tng trng kinh t cho nm 2000 l g2000 = 3,6544 0,029*(2000 1961) = 2,52 %

7.2.2

M hnh xu hng dng m

Chng ta s dng hm m khi cho rng c t l tng trng c nh trong mt n v thi gian. (7.3) chuyn dng (7.4) M hnh xu hng dng m dng d bo dn s, sn lng, nhu cu nng lngHnh 7.3 cho thy dn s ca Vit Nam c dng hm m vi phng trnh c lng nh sau: Yt = 33,933e0,0214n T dng hm (7.3), kt qu (7.4) cho thy tc tng dn s ca Vit Nam trong thi k 1960-1999 khong 2,14 %. Hnh 7.3. Dn s Vit Nam giai on 1960-1999 Ngun : World Development Indicator CD-Rom 2000, World Bank.

7.2.3

M hnh xu hng dng bc hai

(7.5) Du ca cc tham s quyt nh dng ng xu hng nh sau: Nu b2 v b3 u dng: Y tng nhanh dn theo thi gian. Nu b2 m v b3 dng: Y gim sau tng Nu b2 dng v b3 m: Y tng nhng tc tng gim dn sau t cc tr v bt u gim.

7.3
7.3.1

Mt s k thut d bo n gin
Trung bnh trt (Moving Average)

Gi tr d bo bng trung bnh ca m gi tr trc (7.6) Mt lu l khi lm trn chui d liu bng k thut trung bnh trt nh trn m hnh gim (m-1) bc t do. Chng ta tm gc li vic tho lun v s s hng m ca m hnh trung bnh trt (7.6).

7.3.2

San bng s m (Exponential Smoothing Method)[26]

tng ca m hnh san bng s m tng t m hnh k vng thch nghi m chng ta xt chng 6. Gi tr d bo mi khng ch ph thuc vo gi tr giai on trc m cn ph thuc gi tr d bo ca giai on trc. (7.7.a) hoc (7.7.b) -a cng gn 1 th d bo mi cng gn vi gi tr gn nht, nu a cng gn 0 th d bo mi cng gn vi d bo gn nht. Trong thc t ngi ta s th vi cc gi tr a khc nhau, gi tr c chn l gi tr lm cho sai s d bo bnh phng trung bnh(MSE) ca m hnh nh nht. -C th dng trung bnh ca 5 n 6 s u tin lm gi tr d bo u tin[27].

7.3.3

T hi quy (Autoregression)

Gi tr d bo c xc nh t m hnh t hi quy vi m tr. (7.8) Trong m hnh (7.7) c th c s b 0 hoc khng c b0. Trng hp c b 0 ng vi d liu c xu hng di hn tng hoc gim, trng hp khng c b0 ng vi d liu c tnh dng[28].

7.4

Tiu chun nh gi m hnh d bo

Gi l gi tr d bo cho Yt. Sai s ca d bo l et = Yt - . Hai tiu chun thng c s dng nh gi v so snh cc m hnh d bo l

Sai s d bo tuyt i trung bnh(Mean absolute deviation-MAD)

(7.9)

Sai s d bo bnh phng trung bnh(Mean squared error-MSE)

(7.10) M hnh tt l m hnh c MAD v MSE nh.

7.5

Mt v d bng s

S dng s liu gi bp ci n thng 12/1992(hnh7.1), chng ta lp m hnh d bo gi bp ci v d bo cho cc thng ca nm 1993. M hnh 1: Lin Xu hng tuyn tnh: vi k l s th t ca thi k t. M hnh 2: MA Trung bnh trt: M hnh 3: Holt Phung php Holt: vi a = 0,6. M hnh 4: AR T hi quy: Sau khi c lng cc h s ca m hnh 1 v 4 da trn s liu n ht 1992(trong mu), chng ta c lng cho c giai on trc 1993(trong mu) v 1993(ngoi mu). Chng ta v th cc dy s liu d bo v s liu gc nh hnh 7.5. Kt qu tnh ton sai s ca cc m hnh nh sau: Trong mu: M hnh Lin MA Holt AR MSE trong mu, ng^2 2.733 157 2.216 59.629 Ngoi mu M hnh Lin MA Holt AR MSE d bo, ng^2 429.043 245.417 216.134 260.392 Trong trng hp c th ca v d ny m trung bnh trt(MA) cho MSE trong mu nh nht nhng phng php Holt li cho MSE nh nht ngoi mu. Hnh 7.4. Cc phng php d bo n gin

7.6
7.6.1

Gii thiu m hnh ARIMA

Tnh dng ca d liu

Qu trnh ngu nhin(Stochastic process) Bt c d liu chui thi gian no cng c to ra bng mt qu trnh ngu nhin. Mt dy s liu thc t c th nh gi bp ci tng thng hnh 7.1 l kt qu ca mt qu trnh ngu nhin. i vi d liu chui thi gian, chng ta c nhng khi nim v tng th v mu nh sau: Qu trnh ngu nhin l mt tng th. S liu thc t sinh ra t qu trnh ngu nhin l mu. Tnh dng(Stationary) Mt qu trnh ngu nhin c gi l c tnh dng khi n c cc tnh cht sau: K vng khng i theo thi gian, E(Yt) = m. Phng sai khng i theo thi gian, Var(Yt) = E(Yt-m) = s2. ng phng sai ch ph thuc khong cch ca tr m khng ph thuc thi im tnh ng phng sai , nk = E[(Yt-m)(Yt-km)] khng ph thuc t.

Lu : Chng ta c th bin d liu chui thi gian t khng c tnh dng thnh c tnh dng bng cch ly sai phn ca n. wt = Yt-Yt-1: Sai phn bc nht : Sai phn bc hai

7.6.2

Hm t tng quan v hm t tng quan mu

Hm t tng quan(ACF) tr k c k hiu l c nh ngha nh sau: (7.11) Tnh cht ca ACF khng c th nguyn. Gi tr ca nm gia -1 v 1. Trong thc t chng ta ch c th c s liu thc t l kt qu ca qu trnh ngu nhin, do chng ch c th tnh ton c hm t tng quan mu(SAC), k hiu l . vi v lch chun h s t tng quan mu s(rj) = (7.12) Tr thng k t tk = (7.13) Vi c mu ln th tk ~ Z nn vi t > 1,96 th rk khc khng c ngha thng k, khi ngi ta gi rk l 1 nh. Cc phn mm kinh t lng s tnh ton cho chng ta kt qu ca SAC v cc gi tr n hn(hoc tr thng k t) ca n ng vi mc ngha a = 5%. Thng k Ljung-Box (7.14) n l c mu m l chiu di ca tr H0: Tt c cc u bng 0. H1: Khng phi tt c cc u bng 0. Nu LB > th ta bc b H0. Mt s phn mm kinh t lng c tnh ton tr thng k LB.

7.6.3

Hm t tng quan ring phn (PACF)

H s t tng quan ring phn vi tr k o lng tng quan ca Yt-k vi Yt sau khi loi tr tc ng tng quan ca tt cc cc tr trung gian. Cng thc tnh PACF nh sau (7.15) lch chun ca rkk[29] (7.16) Tr thng k t (7.17) Vi c mu ln th tkk~ Z nn vi tkk> 1,96 th rkk khc khng c ngha thng k, khi ngi ta gi rkk l 1 nh. Cc chng trnh kinh t lng c th tnh ton cho chng ta cc gi tr PACF, cc gi tr ti hn hay tr thng k t.

7.6.4

M hnh AR, MA v ARMA

Xt qu trnh ngu nhin c tnh dng vi d liu chui thi gian Yt c E(Yt) = m v sai s ngu nhin et c trung bnh bng 0 v phng sai s2(nhiu trng).

M hnh t hi quy (AR-Autoregressive Model)

M hnh t hi quy bc p c k hiu l AR(p) c dng (7.17) Nhn dng m hnh AR(p): PACF c nh n tr p v SAC suy gim nhanh ngay sau tr th nht th m hnh d bo c dng t hi quy bc p.

M hnh trung bnh trt(MA-Moving average Model)

M hnh trung bnh trt bc q c k hiu l MA(q) c dng (7.18) vi m l hng s, et l nhiu trng. Nhn dng m hnh MA(q): SAC c nh n tr q v SPAC suy gim nhanh ngay sau tr th nht.

M hnh kt hp t hi quy kt hp trung bnh trt(ARMA)

M hnh c t hi quy bc p v trung bnh trt bc q c k hiu l ARMA(p,q) c dng (7.19) Nhn dng m hnh ARMA(p,q): c SAC v SPAC u c gi tr gim dn theo hm m. Nhn dng ng p v q i hi phi c nhiu kinh nghim. Trong thc hnh ngi ta chn mt vi m hnh ARMA v la chn m hnh tt nht.

7.6.5

M hnh ARIMA v SARIMA

ARIMA
a s d liu kinh t theo chui thi gian khng c tnh dng(stationary) m c tnh kt hp(integrated). nhn c d liu c tnh dng, chng ta phi s dng sai phn ca d liu. Cc bc sai phn Sai phn bc 0 l I(0): chnh l d liu gc Yt. Sai phn bc 1 l I(1): wt = Yt Yt-1. Sai phn bc 2 l I(2): w2t = wt wt-1 Sai phn bc d k hiu I(d). M hnh ARMA(p,q) p dng cho I(d) c gi l m hnh ARIMA(p,d,q).

SARIMA
Trong m hnh ARIMA nu chng ta tnh ton sai phn bc nht vi tr ln hn 1 kh tnh ma v nh sau w t = Yt Yt-s, vi s l s k gia cc ma th m hnh c gi l SARIMA hay ARIMA c tnh ma v.

7.6.6

Phng php lun Box-Jenkins

Phng php lun Box-Jenkins cho m hnh ARIMA c bn bc nh sau:

Bc 1: Xc lp m hnh ARIMA(p,d,q)
Dng cc th xc nh bc sai phn cn thit th c tnh dng. Gi s d liu dng I(d). Dng th SAC v SPAC ca I(d) xc nh p v q. Trin khai dng ca m hnh.

Bc 2: Tnh ton cc tham s ca m hnh.

Trong mt s dng ARIMA n gin chng ta c th dng phng php bnh phng ti thiu. Mt s dng ARIMA phc tp i hi phi s dng cc c lng phi tuyn. Chng ta khng phi lo lng v vic c lng tham s v cc phn mm kinh t lng s tnh gip chng ta. Quay li bc 1 xy dng m hnh vi cp (p,q) khc dng nh cng ph hp. Gi s chng ta c lng c m m hnh ARIMA.

Bc 3: Kim tra chn on

So snh cc m hnh ARIMA c lng vi cc m hnh truyn thng(tuyn tnh, ng xu hng, san bng s m,) v gia cc m hnh ARIMA vi nhau chn m hnh tt nht.

Bc 4: D bo
Trong a s trng hp m hnh ARIMA cho kt qu d bo ngn hn ng tin cy nht trong cc phng php d bo. Tuy nhin gii hn ca ca ARIMA l: S quan st cn cho d bo phi ln. Ch dng d bo ngn hn Khng th a cc yu t thay i c nh hng n bin s cn d bo ca thi k cn d bo vo m hnh. Xy dng m hnh ARIMA theo phng php lun Box-Jenkins c tnh cht ngh thut hn l khoa hc, hn na k thut v khi lng tnh ton kh ln nn i hi phi c phn mm kinh t lng chuyn dng.

MT S GI TR Z THNG C S DNG
Mc ngha a 1% 5% Kim nh 1 ui Z 1-a 2,326 1,645 Kim nh 2 ui Z 1-a/2 2,576 1,960

10% 20%

1,282 0,842

1,645 1,282 Ngun: hm Normsinv ca Excel.

MT S GI TR t THNG C S DNG
Bc t do 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 >30 1% 63,656 9,925 5,841 4,604 4,032 3,707 3,499 3,355 3,250 3,169 3,106 3,055 3,012 2,977 2,947 2,921 2,898 2,878 2,861 2,845 2,831 2,819 2,807 2,797 2,787 2,779 2,771 2,763 2,756 2,750 2,576 Mc ngha a 5% 10% 12,706 6,314 4,303 2,920 3,182 2,353 2,776 2,132 2,571 2,015 2,447 1,943 2,365 1,895 2,306 1,860 2,262 1,833 2,228 1,812 2,201 1,796 2,179 1,782 2,160 1,771 2,145 1,761 2,131 1,753 2,120 1,746 2,110 1,740 2,101 1,734 2,093 1,729 2,086 1,725 2,080 1,721 2,074 1,717 2,069 1,714 2,064 1,711 2,060 1,708 2,056 1,706 2,052 1,703 2,048 1,701 2,045 1,699 2,042 1,697 1,960 1,645 20% 3,078 1,886 1,638 1,533 1,476 1,440 1,415 1,397 1,383 1,372 1,363 1,356 1,350 1,345 1,341 1,337 1,333 1,330 1,328 1,325 1,323 1,321 1,319 1,318 1,316 1,315 1,314 1,313 1,311 1,310 1,282 Ngun: hm Tinv ca Excel.

MT S GI TR F TI HN TRN THNG C S DNG

Mc ngha a = 5% 0 df1 df2 10 11 12 13 14 15 16 17 18 19 1 4,96 4,84 4,75 4,67 4,60 4,54 4,49 4,45 4,41 4,38 2 4,10 3,98 3,89 3,81 3,74 3,68 3,63 3,59 3,55 3,52 3 3,71 3,59 3,49 3,41 3,34 3,29 3,24 3,20 3,16 3,13 4 3,48 3,36 3,26 3,18 3,11 3,06 3,01 2,96 2,93 2,90 5 3,33 3,20 3,11 3,03 2,96 2,90 2,85 2,81 2,77 2,74 6 3,22 3,09 3,00 2,92 2,85 2,79 2,74 2,70 2,66 2,63 7 3,14 3,01 2,91 2,83 2,76 2,71 2,66 2,61 2,58 2,54 8 3,07 2,95 2,85 2,77 2,70 2,64 2,59 2,55 2,51 2,48 9 3,02 2,90 2,80 2,71 2,65 2,59 2,54 2,49 2,46 2,42 10 2,98 2,85 2,75 2,67 2,60 2,54 2,49 2,45 2,41 2,38 F1-a/2

20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40

4,35 4,32 4,30 4,28 4,26 4,24 4,23 4,21 4,20 4,18 4,17 4,16 4,15 4,14 4,13 4,12 4,11 4,11 4,10 4,09 4,08

3,49 3,47 3,44 3,42 3,40 3,39 3,37 3,35 3,34 3,33 3,32 3,30 3,29 3,28 3,28 3,27 3,26 3,25 3,24 3,24 3,23

3,10 3,07 3,05 3,03 3,01 2,99 2,98 2,96 2,95 2,93 2,92 2,91 2,90 2,89 2,88 2,87 2,87 2,86 2,85 2,85 2,84

2,87 2,84 2,82 2,80 2,78 2,76 2,74 2,73 2,71 2,70 2,69 2,68 2,67 2,66 2,65 2,64 2,63 2,63 2,62 2,61 2,61

2,71 2,68 2,66 2,64 2,62 2,60 2,59 2,57 2,56 2,55 2,53 2,52 2,51 2,50 2,49 2,49 2,48 2,47 2,46 2,46 2,45

2,60 2,57 2,55 2,53 2,51 2,49 2,47 2,46 2,45 2,43 2,42 2,41 2,40 2,39 2,38 2,37 2,36 2,36 2,35 2,34 2,34

2,51 2,45 2,39 2,49 2,42 2,37 2,46 2,40 2,34 2,44 2,37 2,32 2,42 2,36 2,30 2,40 2,34 2,28 2,39 2,32 2,27 2,37 2,31 2,25 2,36 2,29 2,24 2,35 2,28 2,22 2,33 2,27 2,21 2,32 2,25 2,20 2,31 2,24 2,19 2,30 2,23 2,18 2,29 2,23 2,17 2,29 2,22 2,16 2,28 2,21 2,15 2,27 2,20 2,14 2,26 2,19 2,14 2,26 2,19 2,13 2,25 2,18 2,12 Ngun: hm Finv ca Excel. Mc ngha a = 5%

2,35 2,32 2,30 2,27 2,25 2,24 2,22 2,20 2,19 2,18 2,16 2,15 2,14 2,13 2,12 2,11 2,11 2,10 2,09 2,08 2,08

MT S GI TR c2 TI HN TRN THNG C S DNG

a 0 a df 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 1% 9,21 11,34 13,28 15,09 16,81 18,48 20,09 21,67 23,21 24,73 26,22 27,69 29,14 30,58 32,00 33,41 34,81 36,19 37,57 38,93 40,29 41,64 42,98 5% 5,99 7,81 9,49 11,07 12,59 14,07 15,51 16,92 18,31 19,68 21,03 22,36 23,68 25,00 26,30 27,59 28,87 30,14 31,41 32,67 33,92 35,17 36,42 10% 4,61 6,25 7,78 9,24 10,64 12,02 13,36 14,68 15,99 17,28 18,55 19,81 21,06 22,31 23,54 24,77 25,99 27,20 28,41 29,62 30,81 32,01 33,20 20% 3,22 4,64 5,99 7,29 8,56 9,80 11,03 12,24 13,44 14,63 15,81 16,98 18,15 19,31 20,47 21,61 22,76 23,90 25,04 26,17 27,30 28,43 29,55 c21-a

25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40

44,31 45,64 46,96 48,28 49,59 50,89 52,19 53,49 54,78 56,06 57,34 58,62 59,89 61,16 62,43 63,69

37,65 38,89 40,11 41,34 42,56 43,77 44,99 46,19 47,40 48,60 49,80 51,00 52,19 53,38 54,57 55,76

34,38 35,56 36,74 37,92 39,09 40,26 41,42 42,58 43,75 44,90 46,06 47,21 48,36 49,51 50,66 51,81

30,68 31,79 32,91 34,03 35,14 36,25 37,36 38,47 39,57 40,68 41,78 42,88 43,98 45,08 46,17 47,27 Ngun: Hm Chiinv ca Excel

8. TI LIU THAM KHO

1) PGS.TS. V Thiu, TS. Nguyn Quang Dong, TS. Nguyn Khc Minh Kinh t lng NXB Khoa hc v K thut H ni-1996 2) TS. Bi Phc Trung Gio trnh Kinh t lng Trng i hc Kinh t TP H Ch Minh-2001 3) TS. Nguyn Thng Kinh t lng ng dng NXB i hc Quc gia TP H Ch Minh-2000 4) TS. Nguyn Quang Dong Bi tp Kinh t lng vi s tr gip ca phn mm Eviews NXB Khoa hc v k thut-2002 5) TS. Nguyn Quang Dong Kinh t lng nng cao NXB Khoa hc v k thut-2002 6) Loan L H thng d bo iu khin k hoch ra quyt nh NXB Thng K-2001 7) L Thanh Phong Hng dn s dng SPSS for Windows V.10 i hc Cn Th-2001 8) PGS. ng Hn Xc sut thng k NXB Thng k-1996 9) PGS. ng Hn Bi tp xc sut thng k NXB Thng k-1996 10) Nguyn nh Tr, T Vn Dnh v Nguyn H Qunh Ton hc cao cp NXB Gio Dc-1998 11) Cng Khanh Gii tch mt bin T sch i hc i cng TP H Ch Minh-1997 12) Cng Khanh Gii tch nhiu bin T sch i hc i cng TP H Ch Minh-1997 13) Bi Vn Ma Logic hc i hc Kinh t TP H Ch Minh-1998 14) Cao Ho Thi, L Nguyn Hu, T Tr Nhn, V Vn Huy v Nguyn Qunh Mai Crystal Ball- D bo v phn tch ri ro cho nhng ngi s dng bng tnh Chng trnh ging dy kinh t Fulbright Vit nam-1995 15) on Vn X Kinh t lng i hc Cn th 1993 16) Ban bin dch First News EXCEL ton tp Nh Xut Bn Tr-2001 17) TS.Phan Hiu Hin Phng php b tr th nghim v x l s liu(Thng k thc nghim) NXB Nng Nghip 2001. 18) Chris Brooks Introductory Econometrics for Finance Cambridge University Press-2002 19) A.Koutsoyiannis Theory of Econometrics-Second Edition ELBS with Macmillan-1996 20) Damodar N. Gujarati Basic Econometrics-Second Edition McGraw-Hill Inc -1988 21) Damodar N. Gujarati Basic Econometrics-Third Edition McGraw-Hill Inc -1995 22) Damodar N. Gujarati Basic Econometrics-Student solutions manual to accompany McGraw-Hill Inc-1988

23) Ernst R. Berndt The Practice of Econometrics: Classic and Contemporary MIT-1991 24) William E. Griffiths, R. Carter Hill, George G.Judge Learning and Practicing Econometrics John Wiley & Sons-1993 25) Daniel Westbrook Applied Econometrics with Eviews Fulbright Economics Teaching Program-2002 26) Ramu Ramanathan Introductory Econometrics with Applications Harcourt College Publishers-2002 27) Robert S.Pindyck and Daniel L.Rubinfeld Econometric Models and Economics Forcasts-Third Edition McGraw-Hill Inc-1991 28) Kwangchai A.Gomez and Arturo A.Gomez Statistical Procedures for Agricultural Research John Wiley & Sons-1983 29) Chandan Mukherjee, Howard White and Marc Wuyts Data Analysis in Development Economics Draft -1995 30) Aswath Damodaran Corporate Finance-Theory and Practice John Willey & Sons, Inc - 1997

1. A.Koutsoyiannis, Theory of Econometrics-Second Edition, ELBS with Macmillan-1996, trang 3 2. Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt College Publishers-2002, trang 2. [3] Theo Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt College Publishers-2002 [4] John Maynard Keynes, 1936, theo D.N.Gujarati, Basic Economics, 3rd , 1995, trang 3. [5] S c gii thiu trong chng 2. [6] Damodar N. Gujarati, Basic Econometrics-Third Edition, McGraw-Hill Inc -1995, p 787. [7] Theo Damodar N.Gujarati, Basic Econometrics-Third Edition, McGraw-Hill-1995, p16. [8] Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt College Publishers-2002, trang 113. [9] Damodar N Gujarati, Basic Economics-3rd Edidtion,p4. [10] S liu ph lc 3.1.PL cui chng 3. [11] OLS-Ordinary Least Square [12] Phn chng minh cc tnh cht phn ny c th tm c Gujarati, Basic Econometrics,3rd Edition, p56-59. [13] C th tnh ton chng minh cc biu thc ny da vo cc nh ngha v nh l v k vng v phng sai. Tham khoV Thiu v ng s, Kinh t lng, PL chng 2, trang 61. [14] chng 2 chng ta bit c kim nh trn c lng khong, tr thng k v gi tr p l tng ng nhau. [15] Nh trnh by chng 2, y thc ra l 3 cch din t t mt mnh xc sut nn kt lun t 3 tr thng k t, p v c lng khong l tng ng nhau. [16] Khi nim ny nm ngoi khun kh ca gio trnh. [17] Phn chng minh cc tnh cht phn ny c Gujarati, Basic Econometrics-3rd Edition, trang 97-98. [18] Cc thao tc chng minh kh phc tp, t chng minh c gi hy nh li cc nh ngha v tnh cht ca gi tr k vng, phng sai v hip phng sai ca bin ngu nhin. [19] Cng thc ca Theil, c s dng a s cc phn mm kinh t lng. Mt cng thc khc do Goldberger xut l Modified . (Theo Gujarati, Basic Econometrics-3rd, trang 208). [20] V d ny ly t William E.Griffiths et al, Learning and Practicing Econometrics, John Wiley&Sons Inc, 1998, trang 433. [21] F.F.Alt, Distribution Lags, Economitrica, quyn 10,1942, trang 113-128. (Theo D.N.Gujarati, Basis Econometrics 3 rd Edition, 1995, trang 591). [22] P.Cagan, The Monetary Dynamics of Hyperinflations, in M.Friedman (ed.), Studies in the Quantity Theory of Money, University of Chicago Press, 1956. [23] Gi tr k vng y mang ngha gi tr c mong i, khng mang ngha gi tr trung bnh thc. [24] N.Levitan c xut dng Xt-1 lm bin cng c cho Yt-1 v d xut mt h phng trnh chun c bit cho c lng h s, nhng vn a cng tuyn ca m hnh cng khng c khc phc trit . (Theo Gujarati, Basic Econometrics, 3rd Edition,Mc Graw-Hill Inc,1995, trang 604-605). [25] Ngun: Problem set 7, Analytic method for Policy Making, Chng trnh Ging dy Kinh t Fulbright Vit Nam 2000. [26] Phng php d bo ny cn c gi l phng php Holt. [27] Theo Loan L, H thng d bo iu khin k hoch ra quyt nh, NXB Thng K-2001, trang 307-308. [28] Chng ta s tho lun v tnh dng khi nghin cu m hnh ARIMA. [29] Cng thc tnh lch chun ca rkk ph thuc vo bc ca sai phn. Cng thc trnh by trn l cng thc gn ng vi s quan st ln.

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