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1.

Cc tiu chun ca m hnh

Chng 8

Tnh tit kim : m hnh cng n gin cng tt Tnh ng nht : cc tham s c lng l duy nht cho cng mt tp hp s liu Tnh thch hp : R2 v R2 hiu chnh cng gn 1 cng tt Tnh bn vng : m hnh phi da trn mt c s l thuyt no C kh nng d bo tt : m hnh cho kt qu d bo st vi thc t

LA CHN M HNH HI QUY

2.

Cch tip cn la chn m hnh

2.

Cch tip cn la chn m hnh

a.Xc nh s bin c lp
C hai hng tip cn T n gin n tng qut : B sung bin c lp t t vo m hnh T tng qut n n gin : u tin, xt m hnh y cc bin c lp c xc nh . Sau tin hnh loi tr nhng bin khng quan trng ra khi m hnh

b.Kim tra m hnh c vi phm gi thit hay khng


Kim tra cc bnh ca m hnh a cng tuyn T tng quan Phng sai thay i

2.

Cch tip cn la chn m hnh

2.

Cch tip cn la chn m hnh

c. Chn dng hm
Cn da vo Cc l thuyt kinh t Cc kt qu thc nghim th biu din

d.Mt s tiu chun khc


Gi tr ca hm hp l log-likelihood(L)

n n 1 L ln 2 ln( 2 ) U i2 2 2 2
Gi tr ca L cng ln chng t m hnh cng ph hp

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2.

Cch tip cn la chn m hnh

2.

Cch tip cn la chn m hnh

d.Mt s tiu chun khc


Tiu chun AIC (Akaike info criterion)

d.Mt s tiu chun khc


Tiu chun Schwarz (Schwarz criterion)

AIC

RSS 2 k n e n

SC

RSS 2 k n n n

Gi tr ca AIC cng nh chng t m hnh cng ph hp

Gi tr ca SC cng nh chng t m hnh cng ph hp

2.

Cch tip cn la chn m hnh

d.Mt s tiu chun khc


Nu ch n phc tp ca m hnh th thng ch n tiu chun SC Nu xt s liu theo thi gian th thng dng tiu chun AIC Lu l bin ph thuc xut hin trong m hnh phi cng dng

Kt qu hi quy bng Eviews nh sau :

3. Cc sai lm thng gp khi chn m hnh


a.

3. Cc sai lm thng gp khi chn m hnh


b.

B st bin thch hp

Tha bin

Gi s m hnh ng l : Yi = 1 + 2X2i+ 3X3i + Ui Nhng ta li chn m hnh : Yi = 1 + 2X2i + Vi hu qu :

(a) ( b)

Gi s m hnh ng l : Yi = 1 + 2X2i + Ui (a) Nhng ta li chn m hnh (c thm X3): Yi = 1 + 2X2i + 2X3i + Vi (b) hu qu :

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4. Pht hin nhng sai lm


a.

Pht hin tha bin

Kim nh Wald cho m hnh sau .

Xt hm hi qui : Yi = 1+ 2X2i+ 3X3i+ 4X4i+ 5X5i + Ui


- Trng hp nghi ng X5 l bin tha kim nh

H0 : 5 = 0 (Kim nh bng cch no?) Nu chp nhn H0 X5 khng cn thit. (C th s dng redundant test ca Eviews)

Trng hp nghi ng X3 v X5 l cc bin khng cn thit kim nh gi thit ng thi H0 : 3= 5 = 0 (S dng kim nh Wald)

Redundant variables Test

P_value = 0,9688>0,05 chp nhn H0

P_value = 0.0022 < 0,05 bc b H0, => Khng tha bin X2

4. Pht hin nhng sai lm


b. Kim nh cc bin b b st

Omitted variables Test

Xt m hnh : Yi = 1 + 2Xi + Ui (*) Gi s nghi ng m hnh b st bin Z kim tra bng cch : - Nu c s liu ca Z : + Hi qui m hnh Yi = 1+2Xi+3Zi +Ui + Kim nh H0 : 3= 0. Nu bc b H0 th m hnh ban u b st bin Z. - Hoc dng Omitted variable test

P_value = 0.8200>0,05 chp nhn H0, => Khng b st bin X4

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Kim nh RESET ca Ramsey :

Kim nh RESET ca Ramsey :

Nu khng c s liu ca Z : dng kim nh RESET ca Ramsey. Yi 2 3 Ramsey xut s dng Yi , Yi lm xp x cho Zi. Bc 1 : Hi qui m hnh (*), thu ly Yi2 , Yi3 Bc 2 : Hi qui Yi theo cc bin c lp trong (*) v Yi2 , Yi3 (m hnh ny gi l m hnh (new)) . Bc 3 : Kim nh H0 : cc h s ca Yi2 , Yi3 ng thi bng 0. Nu bc b H0 m hnh (*) b st bin.

P_value = 0.0000<0,05 m hnh ban u b st bin.

Ht