MPP05 521 R1901V

Chng trnh Ging dy Kinh t Fulbright
Nin kha 2012-2014

Cc phng php nh lng
Bi c
Nhp mn kinh t lng vi cc ng dng 5
th
ed.
Ch.6: La chn dng hm s v kim nh c trng
m hnh

Ramu Ramanathan 1 Bin dch: Thc oan
Hiu nh: Cao Ho Thi
Chng 6

L L A A C CH H N N D D N NG G H H M M S S V V K KI I M M N NH H
C C T TR R N NG G M M H H N NH H

Trong Chng 4 v 5 chng ta nghin cu s hi quy bi trong bin ph thuc ang
quan tm (Y) quan h vi nhiu bin c lp (Xs). S la chn cc bin c lp s da theo l
thuyt kinh t, trc gic, kinh nghim qu kh, v nhng nghin cu khc. trnh s thin lch
ca bin b loi b nh tho lun trc y; nh nghin cu thng thm vi bin gii thch
m ng rng c nh hng n bin ph thuc. Tuy nhin; mi quan h gia Y v cc bin X
nghin cu cho n gi vn gi s l tuyn tnh. y hin nhin l rng buc nghim ngt v
khng thc t trn mt m hnh. Trong ng dng Phn 3.11, chng ta lu rng biu phn
tn quan st c gia s lng bn quyn pht hnh v chi ph nghin cu pht trin (Hnh
3.11) cho thy mi quan h theo ng cong. Ta thy rng gi thit tuyn tnh cho d on
xu trong vi nm. Bn cnh cc s vic quan st thc nghim ca dng ny, thng cn c
nhng l l l thuyt tt cho vic xem xt cc dng hm tng qut ca mi quan h gia cc bin
ph thuc v c lp. V d, l thuyt kinh t cho chng ta bit rng ng cong chi ph trung
bnh c dng ch U, v do vy gi thit tuyn tnh l ng ng nu ta mun c lng ng
cong chi ph trung bnh.

Trong chng ny, chng ta kho st mt cch chi tit ng k cc cch thnh lp v c
lng cc quan h phi tuyn. c th v cc th, nhiu cch trnh by ch gii quyt duy
nht mt bin gii thch. y ch n thun l mt phng cch mang tnh s phm. Trong cc
v d v ng dng chng ta s gim nh rng buc ny.

Chng ny cng tho lun vi phng php tin hnh cc kim nh c trng m hnh
chnh thc. c bit, cc phng php tng qut n n gin v n gin n tng qut
c cp trong Chng 1 s c tho lun, v gi l th tc Ramseys RESET (1969).

6.1 n Li Cc Hm Logarit v Hm M

Cc hm m v logarit l hai trong s cc hm c dng ph bin nht trong lp m hnh. V l
do ny, s hu ch khi n li nhng tnh cht c bn ca cc hm ny trc khi s dng chng.
Hm Y = a
X
(a > 0) l mt v d ca mt hm m. Trong hm ny, a l c s ca hm v X
l s m. Trong ton hc, c s thng thng nht dng trong mt hm m l hng s ton hc e
c xc nh bi

... 71828 , 2
n
1
1 lim e
n
n
=
|
.
|
\
|
+ =

Vy hm m chun c dng Y = e
X
, v cng c vit di dng exp(X). Hm nghch ca hm
m gi l hm logarit. Logarit c s a cho trc (phi l s dng) ca mt s c nh ngha
l khi ly tha logarit ca c s s cho chnh s . Ta vit X = log
a
Y. V d, v 32 = 2
5
, logarit
c s 2 ca 32 l 5. Logarit c s e c gi logarit t nhin v k hiu l Y = lnX, m khng

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cn ghi r c s. Lu rng ln 1 = 0 bi v e
0
= 1. Mt s tnh cht ca hm m v logarit c
lit k di y.

Tnh cht 6.1

a. Hm logarit v hm m l n iu tng; ngha l, nu a > b, th f(a) > f(b), v ngc li.
b. Logarit ca tch hai s bng tng logarit; ngha l, ln(XY) = lnX + lnY. Cng vy, logarit ca
t s l hiu ca cc logarit. Vy, ln(X/Y) = lnX lnY. Theo ln(1/X) = lnX.
c. ln(a
X
) = Xln a. Theo a
X
= e
Xln a
.
d. a
X
a
Y
= a
X+Y
v (a
X
)
Y
= a
XY
.

Khng nh ng thng, c dc khng i, hm s tng qut f(X), nh hm m v logarit, c
dc thay i. S thay i ca Y theo thay i n v ca X l tc ng cn bin ca X ln Y
v thng k hiu bi AY/AX (xem Hnh 2.A v phn tho lun lin quan). Nu s thay i ca
X v cng nh, ta c dc ca tip tuyn ca ng cong f(X) ti im X. dc gii hn ny
c xem l o hm ca Y i vi X v c k hiu bi dY/dX. Vy o hm l tc ng cn
bin ca X ln Y vi s thay i rt nh ca X. l mt khi nim v cng quan trng trong
kinh t lng, bi v ta lun hi s thay i k vng ca bin ph thuc l g khi ta thay i gi
tr ca mt bin c lp vi mt lng rt nh. Cc tnh cht ca cc o hm c tm tt trong
Tnh cht 2.A.5 v ng nghin cu. Tnh cht 6.2 lit k mt t tnh cht ca hm m v
logarit m rt hu ch trong kinh t lng. Hnh 6.1 minh ha bng th hai hm s ny.

Tnh cht 6.2

a. Hm m vi c s e c tnh cht c bit l n bng vi o hm ca chnh n. Vy, nu Y =
e
X
, th dY/dX = e
X
.
b. o hm ca e
aX
l ae
aX
.
c. o hm ca ln X bng 1/X.
d. o hm ca a
X
bng a
X
ln a. Kt qu ny c c t c s l a
X
= e
Xlna
v tnh cht o hm
ca e
bX
= be
bX
.


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Hiu nh: Cao Ho Thi
Hnh 6.1 Th ca Hm M v Logarit

a. th ca Y = exp(X)

b. th ca Y = ln(X)

Khi Nim ca Co Gin

Logarit c tng quan rt gn vi khi nim ca co gin c dng trong kinh t. Ta s thy
trong cc phn sau rng khi nim ny cng c s dng rng ri trong kinh t lng thc
nghim. Theo thut ng n gin, co gin ca Y i vi X c nh ngha l phn trm thay
i ca Y i vi mt phn trm thay i ca X cho mt thay i nh ca X. Vy nu AY l s
thay i ca Y, phn trm thay i l 100AY/Y. Tng t, 100AX/X l phn trm thay i ca
X. T s ca s u i vi s sau l co gin. iu ny a n nh ngha sau.
0
5
10
15
20
25
0 0.5 1 1.5 2 2.5 3

exp (X)
X
-2.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
0 0.5 1 1.5 2 2.5 3

X
ln (X)

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Bng 6.1 Cc Tc ng Cn Bin v Co Gin ca cc Dng Hm Khc Nhau

Tn Dng Hm Tc ng Cn Bin
(dY/dX)
Co Gin
[(X/Y)(dY/dX)]
Tuyn tnh Y = |
1
+ |
2
X |
2
|
2
X/Y
Logarit tuyn tnh Y = |
1
+ |
2
lnX |
2
/X |
2
/Y
Nghch o Y = |
1
+ |
2
(1/X) |
2
/X
2
|
2
/(XY)
Bc hai Y = |
1
+ |
2
X + |
3
X
2
|
2
+ 2|
3
X (|
2
+ 2|
3
X)X/Y
Tng tc Y = |
1
+ |
2
X + |
3
XZ |
2
+ |
3
Z (|
2
+ |
3
Z)X/Y
Tuyn tnh-logarit lnY = |
1
+ |
2
X |
2
Y |
2
X
Nghch o logarit lnY = |
1
+ |
2
(1/X) |
2
Y/X
2
|
2
/X
Bc hai logarit lnY = |
1
+ |
2
X + |
3
X
2
Y(|
2
+ 2|
3
X) X(|
2
+ 2|
3
X)
Log-hai ln
(log-log)
lnY = |
1
+ |
2
lnX |
2
Y/X |
2

Logistic
X
Y 1
Y
ln
2 1
| + | =
(
|
2
Y(1-Y) |
2
(1-Y)X

NH NGHA 6.1
co gin ca Y i vi X (k hiu l q) l

dX
dY
Y
X
X
Y
Y
X
X
X
Y
Y
A
A
=
A
A
= q khi AX tin v 0. (6.1)

Bng 6.1 c cc tc ng ng cn bin (dY/dX) v co gin [(X/Y)(dY/dX)] ca mt s dng
hm c th chn la trong chng ny. Lu rng i khi cc kt qu ny ph thuc vo X
v/hoc Y. tnh ton chng, ngi ta thng thay th gi tr trung bnh X v gi tr d on
tng ng Y
.

6.2 Quan H Logarit-Tuyn Tnh

Trong mt m hnh logarit-tuyn tnh, bin ph thuc khng i nhng bin c lp th hin
di dng logarit. Nh vy,

Y = |
1
+ |
2
lnX + u (6.2)

Vi s dng |
1
v |
2
, Hnh 6.2 minh ha th quan h nh l mt hm phi tuyn. Quan h ny
cho AY/AX = |
2
/X. Nu |
2
> 0, s tng cn bin ca Y tng ng vi s tng ca X l mt hm
gim ca X. Ta lu rng

|
=
(
A |
=
A
| = A
100 X
X
100
100 X
X
Y
2 2
2
thay i phn trm ca X
T y s cho mt iu l thay i mt phn trm gi tr bin X s lm thay i Y, trung bnh,
|
2
/100 n v (khng phi phn trm).


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Hnh 6.2 Dng Hm Logarit-Tuyn Tnh

V d, gi Y l sn lng la m v X l s mu trng trt. Vy AY/AX l sn lng cn
bin ca mt mu trng trt thm. Ta gi thuyt rng sn lng cn bin s gim khi din tch
tng. Khi din tch thp, ta k vng rng vng t mu m nht s c trng trt trc tin. Khi
din tch tng, nhng vng t mu m hn s c em s dng; sn lng c thm t nhng
vng ny c th khng cao nh sn lng t nhng vng t mu m hn. iu ny a ra gi
thuyt s gim sn lng cn bin ca din tch la m. Lp cng thc logarit-tuyn tnh gip
chng ta c th hiu thu mi quan h ny.
V d khc, Gi Y l gi ca mt cn nh v X l din tch sinh hot. Xem xt 2 cn nh,
mt cn vi din tch sinh hot l 1.300 b vung (square feet) v mt cn khc vi din tch
sinh hot 3.200 b vung. Ta k vng rng phn gi tng thm m mt ngi tiu dng s sn
sng tr cho 100 b vung thm vo din tch sinh hot s cao khi X = 1.300 hn l khi X =
3.200. iu ny l bi v cn nh sau rng sn, v ngi mua c th khng mun tr thm
nhiu tng thm din tch. iu ny c ngha rng tc ng cn bin ca SQFT (din tch) ln
PRICE (gi) k vng s gim khi SQFT tng. Mt cch kim nh iu ny l iu chnh mt
m hnh logarit-tuyn tnh v kim nh gi thuyt H
0
: |
2
= 0 i li gi thuyt H
1
: |
2
> 0. iu
ny s c nhn nhn nh l mt kim nh mt pha. Quy tc ra quyt nh l bc b H
0
nu t
c

> t
*

n-2
(0,05). Ta lu t Bng 6.1 rng trong m hnh ny co gin ca Y i vi X l |
2
/Y.
Ta c th tnh ton co gin ti gi tr trung bnh l |
2
/ Y. Nu d liu l chui thi gian, co
gin ng quan tm hn l co gin tng ng vi quan st gn y nht vi t = n. co
gin ny l |
2
/Y
n
.
Mc d nhng v d minh ha ny vn l cc dng m hnh hi quy n gin, phn m
rng thm cho trng hp a bin l khng phc tp. n gin l pht ra cc logarit ca cc bin
gii thch thch hp, gi chng l Z
1
, Z
2
v.v v hi quy bin Y theo mt hng s v cc bin Z.

BI TON THC HNH 6.1
Tm biu thc co gin ca Y i vi X trong cc m hnh tuyn tnh v phi tuyn v chng
minh cc mc trong Bng 6.1.

BI TON THC HNH 6.2
V th Phng trnh (6.2) khi |
2
< 0 ( n gin gi s rng |
1
= 0).

X
Y
|
1
+ |
2
lnX

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V D 6.1

Ta c lng m hnh logarit-tuyn tnh s dng d liu gi nh trong Bng 4.1 (xem Phn
My Tnh Thc Hnh 6.1 gii thiu cch chy li cc kt qu ca v d ny v kim tra nhng
khng nh thc hin y). S bin lun v s gim tc ng cn bin p dng nh nhau
cho s phng ng v s phng tm. V vy ta pht ra cc logarit ca cc bin SQFT,
BEDRMS, v BATHS v k tip hi quy bin PRICE theo mt hng s v nhng s hng
logarit ny. K n logarit ca BATHS v BEDRMS c loi b mi ln tng bin mt bi v
h s ca chng rt khng c ngha. M hnh tt nht c chn theo cc tiu chun la
chn tho lun trong Chng 4. Cc phng trnh c lng ca m hnh tuyn tnh tt nht
v m hnh logarit-tuyn tnh tt nht s c trnh by tip sau, vi cc tr thng k t trong
ngoc.

PRICE = 52,351 + 0,139 SQFT
(1,4) (7,4)

2
R = 0,806 d.f. = 12

PRICE = 1.749,974 + 299,972 ln(SQFT) 145,094 ln(BEDRMS)
(-6,8) (7,5) (-1,7)

2
R = 0,826 d.f. = 11

Ta lu rng gi tr
2
R hi cao hn i vi m hnh logarit-tuyn tnh. M hnh ny cng
c cc tr thng k la chn m hnh thp nht. Tuy nhin, h s cho logarit ca BEDRMS ch c
ngha mc 11,48 phn trm. Nu s hng ny b loi b, cc tr thng k la chn s xu i
ng k, v do ta chn gi n li. H s hi quy cho ln(SQFT) c ngha cao, vy ng h
cho gi thuyt rng tc ng cn bin ca din tch sinh hot gim khi s b vung tng. H s
cho logarit ca BEDRMS c gi tr m ging nh i vi m hnh tuyn tnh, nhng tc ng
ca h s ny l yu v mt thng k.

BI TON THC HNH 6.3

Tnh co gin tng phn ca PRICE i vi SQFT cho cc m hnh c lng logarit-tuyn
tnh v tuyn tnh khi SQFT l 1.500, 2.000 v 2.500. Lm th no chng so snh vi nhau?


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X
|
1
Y

Hnh 6.3 Quan H Nghch o

6.3 Bin i Nghch o

Mt dng hm thng c s dng c lng ng cong nhu cu l hm bin i nghch
o:

u
X
1
Y
2 1
+
|
.
|
\
|
| + | =
Bi v ng cong nhu cu c th dc xung, ta k vng |
2
l dng. Lu rng khi X tr nn
ln, Y tim cn tin gn vi |
1
(xem Hnh 6.3). Du v ln ca |
1
s xc nh ng cong c
ct trc X hay khng.

BI TON THC HNH 6.4
V th hm nghch o vi |
2
< 0, |
1
> 0.

6.4 Thch Hp ng Cong a Thc

Cc nh nghin cu rt thng dng mt a thc lin h mt bin ph thuc vi mt bin c
lp. M hnh ny c th l

Y = |
1
+ |
2
X + |
3
X
2
+ |
4
X
3
+ . . . + |
k+1
X
k
+ u

Th tc c lng bao gm to cc bin mi X
2
, X
3
, v.v qua cc php bin i v k n hi
quy Y theo mt s hng hng s, theo X, v theo cc bin bin i ny. Mc a thc (k) b
rng buc bi s quan st. Nu k = 3, ta c quan h bc ba; v nu k = 2, ta c cng thc bc hai.
Cc cng thc bc hai thng c s dng iu chnh cc hm chi ph c dng ch U v cc
quan h phi tuyn khc. Mt ng cong bc ba thng c lm thch hp gn ng vi hnh
dng trong Hnh 6.9 (xem phn m hnh logit). Nhn chung, bc a thc ln hn 2 nn trnh.
Mt trong cc l do l thc t mi s hng a thc ng ngha vi vic mt i thm mt bc t
do. Nh cp trong Chng 3, s mt i bc t do ngha l gim s chnh xc ca cc c
lng cc thng s v gim kh nng ca cc kim nh. Cng vy, ta thy trong Chng 5
rng mi tng quan cao c th c gia X, X
2
, v X
3
lm cho cc h s ring l km tin cy hn.

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S dng cc tnh cht v o hm (xem Tnh cht 2.A.5), ta c th cho thy rng tc ng
cn bin ca X ln Y c xc nh bi

dY/dX = |
2
+ 2|
3
X + 3|
4
X
2
+ . . . + k|
k+1
X
k-1

Mt trng hp c bit ca dng hm a thc l m hnh bc hai

Y = |
1
+ |
2
X + |
3
X
2
+ u

Tc ng cn bin ca X ln Y, ngha l dc ca quan h bc hai, c xc nh bi
dY/dX = |
2
+ 2|
3
X. Lu rng tc ng cn bin ca X ln Y ph thuc vo gi tr ca X m ti
ta tnh tc ng cn bin. Mt gi tr ph bin c dng l gi tr trung bnh, X. Nh cho
thy trong ph lc Chng 2, khi dY/dX = 0, hm s s hoc t cc i hoc cc tiu. Gi tr X
ti xy ra iu ny s c c t vic gii iu kin |
2
+ 2|
3
X = 0 khi X
0
= |
2
/(2|
3
). xc
nh xem hm t cc tiu hay cc i, ta cn phi tnh o hm bc hai, d
2
Y/dX
2
= 2|
3
. Nu |
3

< 0, hm s s t cc i ti X
0
, v nu |
3
dng, hm t cc tiu ti X
0.
Tip theo ta trnh by
hai v d: mt hm chi ph trung bnh c quan h dng ch U (Hnh 6.4) v mt hm sn xut c
quan h dng ng cong li (hump-shaped) (Hnh 6.5).

V D 6.2

DATA6-1 m t trong Ph lc D c d liu v chi ph n v (UNITCOST) ca mt cng ty
sn xut trn mt thi on 20 nm, mt ch s xut lng ca cng ty (OUTPUT), v mt ch s
chi ph nhp lng ca cng ty (INPCOST). Trc ht ta c bnh phng hai bin c lp v k
n hi quy UNICOST theo mt hng s, OUTPUT, OUTPUT
2
, INPCOST, v INPCOST
2

(xem Phn My Tnh Thc Hnh 6.2 bit thm chi tit v iu ny). Bi v INPCOST
2
c h
s v cng khng c ngha, n b loi b v m hnh c c lng li. Cc kt qu c cho
sau y, vi cc tr thng k t trong ngoc.

UNITCOST = 10,522 0,175 OUTPUT + 0,000895 OUTPUT
2

(14,3) (- 9,7) (7,8)
+ 0,0202 INPCOST
(14,454)

2
R = 0,978 d.f. = 16

Lu rng i vi m hnh ny
1
| ,
3
| > 0 v
2
| < 0, gii thch cho quan h dng ch U. M

hnh gii thch 97,8 phn trm s thay i trong chi ph trung bnh. D dng chng minh rng tt
c cc h s hi quy u v cng c ngha. Lu rng nhng g ta c trn y l mt h cc
ng cong chi ph trung bnh c di chuyn theo cc mc ch s chi ph nhp lng. Cng rt
hu ch khi v th hm chi ph n v cho mt chi ph nhp lng tiu biu. Hnh 6.4 l hm
chi ph trung bnh c dng ch U c lng cho mt dy xut lng v 3 mc chi ph nhp
lng khc nhau (80, 115, v 150). Chng t gi tr nh nht ti ch s xut lng c mc 98
(hy xc minh).


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Hnh 6.4 Cc Hm Chi Ph Trung Bnh c Lng

V D 6.3

DATA6-2 m t trong Ph lc D c d liu hng nm v vic sn xut c ng trng (Thunnus
Alalunga) trong vng Basque ca Ty Ban Nha. Bin xut lng (ph thuc) l tng s m c
theo n v ngn tn v bin nhp lng (c lp) l n lc nh c c o lng bng tng s
ngy nh c (n v l ngn). M hnh c lng l (tr thng k t trong ngoc)

Catch = 1,642 Effort 0,01653 Effort
2

(17,1) (-8,0)

2
R = 0,660 d.f. = 32

Phn My Tnh Thc Hnh 6.3 c th c dng xc minh iu ny. Lu rng, bi v m c
khng th c c khi khng c n lc, |
1
v l thuyt phi bng 0 cho m hnh ny. Ta hn
thy rng
2
| > 0 v
3
| < 0; do , hm sn xut s c th nh Hnh 6.5 vi gi tr cc i t

c khi n lc l 50.

BI TON THC HNH 6.5
+

S dng d liu gi nh, hy c lng quan h bc hai sau gia gi v b vung:

PRICE = |
1
+ |
2
SQFT + |
3
SQFT
2
+ u


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Hnh 6.5 Hm Sn Xut c Lng

Din gii v mt kinh t ca gi thuyt |
3
= 0 l g? Kim nh gi thuyt ny i li vi gi
thuyt H
1
: |
3
< 0. Bn c kt lun g v tc ng cn bin ca SQFT ln PRICE? So snh m
hnh ny, theo cc tiu chun la chn, vi m hnh logarit-tuyn tnh c c lng trong V
d 6.1 (xem Phn My Tnh Thc Hnh 6.4).

BI TON THC HNH 6.6

Hy c lng m hnh PRICE = |
1
+ |
2
ln SQFT + |
3
BATHS + u, v so snh cc kt qu vi
cc kt qu trong Bng 4.2 v trong Bi Ton Thc Hnh 6.5.

BI TON THC HNH 6.7

Vi quan h Y = |
1
+ |
2
X + |
3
X
2
, hy xc minh dc v co gin cho trong Bng 6.1.

6.5 Cc S Hng Tng Tc

Tc ng cn bin ca mt bin gii thch i khi c th ph thuc vo mt bin khc. minh
ha, Klein v Morgan (1951) xut mt gi thuyt v s tng tc ca thu nhp v ti sn
trong vic xc nh cc dng tiu dng. H bin lun cho rng xu hng tiu dng bin t cng
s ph thuc vo ti sn mt ngi giu hn c th c xu hng bin t khc tiu dng
ngoi khon thu nhp. thy iu ny, gi C = o + |Y + u. Gi thuyt l |, xu hng tiu
dng bin t, ph thuc vo ti sn (A). Mt cch n gin cho php thc hin l gi s rng | =
|
1
+ |
2
A. Thay th biu thc ny vo hm tiu dng, ta thu c C = o + (|
1
+ |
2
A)Y + u. iu
ny bin i thnh m hnh C = o + |
1
Y + |
2
(AY) + u. S hng AY c xem l s hng tng
tc bi v n bao gp s tng tc gia cc tc ng ca thu nhp v ti sn. Nhm mc ch
c lng, ta to ra mt bin mi Z, bng vi tch ca Y v A, v k n hi quy C theo mt
hng s, Y, v Z. Nu |
2
c ngha v mt thng k, th c du hiu v s tng tc gia thu
nhp v ti sn. Lu rng trong v d ny, AC/AY = |
1
+ |
2
A. xc nh tc ng cn bin
ca Y ln C, ta cn c gi tr ca A.
V d th hai, xt quan h E
t
= o + |T
t
+ u
t
, trong E
t
l s kilowatt gi tiu th in v
T
t
l nhit ti thi im t. Nu m hnh ny c c lng cho ma h, ta k vng | s


Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
dng bi v, khi nhit tng vo ma h, th nhu cu dng my lnh s cao hn v do tiu
th in s tng. Tuy nhin, ta c th gi thuyt rng tc ng cn bin ca T ln E c th ph
thuc vo gi in (P
t
). Nu gi in l t, ngi tiu dng c th hon bt my lnh hoc tt
sm hn. Mt cch kim nh tc ng ny l gi s rng | = |
1
+ |
2
P
t
. Vy ta ang gi s
rng tc ng cn bin ca nhit ln tiu th in ph thuc vo gi. Thay biu thc ny vo
quan h, ta c

E
t
= o + (|
1
+ |
2
P
t
)T
t
+ u
t
= o + |
1
T
t
+ |
2
(P
t
T
t
) + u
t

c lng cc thng s, ta cho Z
t
= P
t
T
t
v hi quy E theo mt hng s, T, v Z. S ngha
ca |
2
l du hiu ca mt tc ng tng h gia nhit v gi. Lu rng AE/AP = |
2
T;
ngha l, tc ng cn bin ca P ln E ph thuc vo nhit . Nu ta cho o cng ph thuc vo
P, m hnh tr thnh

E
t
= o
1
+ o
2
P
t
+ |
1
T
t
+ |
2
(P
t
T
t
) + u
t

Trong cc chng sau, ta c vi v d v cc tc ng tng h nh vy.

Phi Tuyn Gi To

nhn bit s phi tuyn c th c, ta c th th v th Y theo mt bin c lp c th (X) v
quan st xem c s phi tuyn no xy ra hay khng. y l th tc nguy him bi v n c th
dn n c trng sai m hnh nghim trng. V d, gi s rng Y l tuyn tnh vi X, Z, v s
hng tng tc XZ, vy ta c

Y = |
1
+ |
2
X

+ |
3
Z + |
4
(XZ) + u v AY/AX = |
2
+ |
4
Z

Trong tnh ton tc ng cn bin ca X ln Y, ta xem Z l c nh. Lu rng tc ng cn
bin ca X ln Y, ngha l dc, ph thuc vo Z. Biu phn tn quan st thc nghim, gia
Y v X c th nhn ging nh Hnh 6.6, c v nh l quan h logarit-tuyn tnh gia Y v X.
Trong thc t, iu ny l do hai quan h tuyn tnh gia Y v X vi cc gi tr khc nhau ca Z
(Z
1
v Z
2
). Vy, thay v v th thc nghim quan st bin Y theo mi bin X, bn nn c gng
m hnh ho qu trnh pht d liu (DGP) dng l thuyt v trc gic v hnh vi c bn v k
n tin hnh kim nh c trng. Trong Phn 6.13, 6.14, v 6.15, ta tho lun vi phng php
kim nh cc c trng hi quy.

Hnh 6.6 Mt V D ca Phi Tuyn Gi To


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th

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Hiu nh: Cao Ho Thi
6.6 Hin Tng Tr Trong Hnh Vi (Cc M Hnh ng)

Cc tc ng kinh t v cc bin khc him khi xy ra tc thi; phi tn thi gian ngi tiu
dng, nh sn xut, v cc tc nhn kinh t khc phn ng. L thuyt kinh t v m cho ta bit
rng tng sn lng quc dn (GNP) cn bng (Y) c xc nh bi mt s bin ngoi sinh, c
bit, bi chi tiu chnh ph (G), thu (T), cung tin (M), xut khu (X) v.v. Bi v hiu ng
cn bng ch gim c sau mt khong thi gian, cc m hnh kinh t lng dng d liu dng
chui thi gian thng c thnh lp vi hin tng tr trong hnh vi. Mt v d ca m hnh
nh vy cho nh sau:

Y
t
= |
1
+ |
2
G
t
+ |
3
G
t-1
+ |
4
M
t
+ |
5
M
t-1
+ |
6
T
t
+ |
7
T
t-1
+ |
8
X
t
+ |
8
X
t-1
+ u
t

Th tc c lng y hon ton n gin. n gin ta to cc bin c hiu ng tr G
t-1
,
M
t-1
, T
t-1
v X
t-1
v hi quy Y
t
theo cc bin ny dng quan st t 2 n n. Bi v G
t-1
v cc bin
khc khng c nh ngha cho t = 1, ta mt quan st th nht trong c lng. Tuy nhin, mt
s vn pht sinh trong m hnh ny bi v cc bin c lp tng quan vi nhau v cng do
bi v bc t do b mt khi c nhiu hiu ng tr hn thm vo. Nhng vn ny c tho
lun chi tit trong Chng 10.
Hin tng tr trong hnh vi c th c dng hin tng tr trong bin ph thuc. M hnh
c th c dng

Y
t
= |
1
+ |
2
Y
t-1
+ |
3
X
t
+ |
4
X
t-1
+ u
t

V d, gi Y
t
l chi tiu ti thi im t v X
t
l thu nhp. Bi v ngi tiu dng c xu hng duy
tr mc tiu chun sng thng l, ta c th k vng s tiu dng ca h lin quan mt thit vi
s tiu dng trc y ca h. V vy, chng ta c th k vng l Y
t
cng ph thuc vo Y
t-1
.
C th hn, xem phng trnh sau:

Y
t
= |
1
+ |
2
Y
t-1
+ |
3
(X
t
X
t-1
) + u
t

V cc tp qun thi quen nn ni chung ngi tiu dng min cng thay i li sng ca h,
v do chng ta k vng mc tiu th ti thi im t (Y
t
) ph thuc vo mc tiu th giai
on trc (Y
t-1
). Tuy nhin, nu mc thu nhp (X
t
) thay i, ngi tiu dng s iu chnh
hnh vi tiu dng ca h tng ng vi s tng hoc gim thu nhp. Do vy chng ta s dng
m hnh ng c xy dng trn v k vng rng tt c cc h s s c gi tr dng.

V D 6.4

Tp d liu DATA6-3 (xem Ph lc D) l d liu v chi tiu tiu dng c nhn u ngi ca
Vng Quc Anh (C, o bng bng Anh) v thu nhp ty dng u ngi (ngha l, thu nhp c
nhn tr thu, k hiu l DI, v cng c tnh theo n v bng Anh). iu chnh tc ng
ca lm pht, c hai bin ny c biu din theo gi tr thc (cn c gi l gi khng i).
M hnh ng c lng c trnh by di y (xem Phn Thc Hnh My Tnh 6.5), vi tr
thng k t trong ngoc n.

t
C
= -46,802 + 1,022C
t-1
+ 0,706 (DI
t
DI
t-1
)
(-2.07) (123.0) (9.93)


Cc phng php nh lng
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2
R = 0,998 df = 38

Mc d m hnh t c s thch hp rt tt v cc c lng c v hp l, m hnh ny c mt
s tr ngi. Nh s thy Chng 10 v 13 rng m hnh ny vi phm tnh c lp chui ca
Gi thit 3.6 v Gi thit 3.4 l cc bin c lp khng c tng quan vi cc s hng sai s.
c trng sai ny s lm cho cc tr c lng b thin lch. Chng ta s xem xt li m hnh
ny trong cc chng 10 v 13.

6.7 ng dng: Quan H Gia S Bng Sng Ch V Chi Tiu R&D ( duyt li)

Trong Phn 3.11, chng ta c lng m hnh hi quy tuyn tnh n gia s bng sng ch
v chi tiu cho R&D v bit rng m hnh ny l hon ton khng v biu phn tn ca cc
gi tr quan st cho thy mt quan h ng cong (Xem Hnh 3.11). Chng ta cng ch ra rng
c hin tng tr gia chi tiu thc cho hot ng nghin cu v pht trin v hiu qu ca cc
chi tiu ny v mt s bng sng ch. y chng ta s c lng m hnh phi tuyn ng v
so snh cc kt qu. Tuy nhin, v cha c l thuyt v kinh t hay cc l thuyt khc v s nm
ca hin tng tr ny hoc v dng hm s cn s dng, nn mt cch ty chng ta cho tr
ny ln n 4 nm. Bn bin tr c to ra gm R&D(t-1), R&D(t-2), R&D(t-3), v R&D(t-4).
Cc bin ny sau s c bnh phng ln v mt m hnh bc hai vi tt c cc bin c
c lng.

Hnh 6.7 So Snh M Hnh ng v M Hnh Tnh (ng lin l m hnh tnh, x l
gi tr quan st thc, v o l m hnh ng)

V vy, y l mt bi tp khp ng cong thun ty thay v l mt bi tp da trn l thuyt
kinh t. Bo co c ch gii in ra t my tnh bng 6.2 cn c tm hiu k lng (xem Phn
Thc Hnh My Tnh 6.6 chy li bng 6.2). Hnh 6.7 v s bng sng ch tht, cc gi tr
gn t m hnh tnh Chng 3 (ng thng lin), v cc gi tr t m hnh ng cui cng.
Chng ta nhn thy rng m hnh ng th hin rt tt din bin thc t, ngay c trong nhng
nm cc chi ph R&D tm li v trong nhng nm t 1988-1993 khi m hnh tuyn tnh hon
ton khng th hin c. Do m hnh phi tuyn ng l mt c trng tt hn so vi m
hnh tnh tuyn tnh n gin.

Bng sng ch
Chi ph R&D

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th

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Hiu nh: Cao Ho Thi
Bng 6.2 Kt Qu My Tnh C Km Ch Gii Cho Phn ng Dng Phn 6.7

MODEL 1: OLS estimates using the 34 observations 1960-1993
Dependent variable: PATENTS

VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t>,T,)
0) const 34.5711 6.3579 5.438 0.000006 ***
3) R&D 0.7919 0.0567 13.966 0.000000 ***

Mean of dep. var. 119.238 S.D. of dep. variable 29.306
Error Sum of Sq (ESS) 3994.3003 Std Err of Resid. (sgmahat) 11.1724
Unadjusted R-squared 0.859 Adjusted R-squared 0.855
F-statistic (1, 32) 195.055 p-value for F() 0.000000
Durbin-Watson stat. 0.234 First-order autocorr. coeff 0.945

MODEL SELECTION STATISTICS

SGMASQ 124.822 AIC 132.146 FPE 132.164
HQ 136.255 SCHWARZ 144.56 SHIBATA 131.301
GCV 132.623 RICE 133.143

Bng 6.2 (tip theo)

[pht cc bin tr]
R&D1 = R&D(-1) sq_R&D = (R&D)
2

R&D2 = R&D(-2) sq_R&Di = (R&Di)
2

R&D3 = R&D(-3) for I = 1,2,3, and 4
R&D4 = R&D(-4)

[c lng m hnh tng qut vi tt c cc bin gii thch bng cch s dng ch cc quan st t 1964-
1993, v cc bin tr khng c nh ngha trong giai on t 1960-1963]

MODEL 2: OLS estimates using 30 observations 1964-1993
Depedent variable: PATENTS

0) const 85.3526 22.1027 3.862 0.001051
***
3) R&D -0.0477 1.1251 -0.042 0.966638
4) R&D1 0.6033 2.0562 0.293 0.772387
5) R&D2 0.0001794 2.1850 0.000 0.999935
6) R&D3 -0.5869 2.0522 -0.286 0.777989
7) R&D4 -0.1837 1.0994 -0.167 0.869055
8) sq_R&D -0.0007326 0.0049 -0.150 0.882674
9) sq_R&D1 -0.0018 0.0089 -0.197 0.845884
10) sq_R&D2 0.0017 0.0098 0.177 0.861555
11) sq_R&D3 -0.0007564 0.0092 -0.082 0.935597
12) sq_R&D4 0.0071 0.0051 1.405 0.176209



SGMASQ 11.7568 AIC 15.5026 FPE 16.0676

Cc phng php nh lng
Bi c
th

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Hiu nh: Cao Ho Thi
GCV 18.5633 RICE 27.9224

Excluding the constant, p-value was highest for variable 5 (R&D2)

[Lu rng c hin tng a cng tuyn rt cao gia cc bin gii thch. Cc gi tr hin hnh v tr ca
chi ph R&D cng nh R&D v cc bnh phng ca chng c k vng l tng quan cht vi nhau.
Nh vy, khng c g ngc nhin, tr s hng hng s, tt c u khng c ngha. Nh cp
chng trc, iu ny khng c ngha rng cc bin ny l khng quan trng, m ch c ngha rng
hin tng a cng tuyn c th l nhng bin n cn c a vo m hnh. Theo phng php n gin
ha m hnh da trn d liu, chng ta nn loi cc bin tha. Bc u tin, chng ta loi b cc bin
vi gi tr p-values trn 0,9. l cc bin R&D, R&D2, v sq_R&D3.]


Bng 6.2 (tip theo)


0) const 84.8409 19.0579 4.452 0.000200 ***
4) R&D1 0.6043 0.6351 0.952 0.351669
6) R&D3 -0.7352 0.5233 -1.405 0.174012
7) R&D4 -0.0745 0.5134 -0.145 0.886004
8) sq_R&D -0.0009491 0.0012 -0.824 0.418554
9) sq_R&D1 -0.0017 0.0034 -0.496 0.624855
10) sq_R&D2 0.0016 0.0025 0.641 0.527835
12) sq_R&D4 0.0066 0.0020 3.364 0.002799 ***



SGMASQ 10.1647 AIC 12.7064 FPE 12.8753
GCV 13.861 RICE 15.9732

Excluding the constant, p-value was highest for variable 7 (R&D4).
Comparison of Model 2 and Model 3 is given below: Null hypothesis is: the regression parameters are zero for the
variables R&D, R&D2, and sq_R&D3.

Test statistic: F(3,19) = 0.006957, with p-value = 0.999173
Of the 8 model selection statistics, 8 have improved

[Trong kim nh F Wald cho cc bin b loi ra, p-value t gi tr cao cho thy rng chng ta khng th
bc b gi thuyt khng cho rng cc h s ca cc bin ny tt c u bng khng ngay c ti mc
ngha cao n 0,9. Nh vy, loi b chng l hp l. Hn na, tt c tm tr thng k chn m hnh u
gim, iu c ngha c mt s ci thin v thch hp ca m hnh. Mc d nhiu gi tr p-value
gim, ch c duy nht mt gi tr nh c ngha l gi tr ca bin s 12. iu ny c ngha
phi loi b thm. Tip theo, chng ta loi b bin R&D4, sq_R&D1, v sq_R&D2, cc bin ny ng vi
gi tr p-value ln hn 0,5]


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Hiu nh: Cao Ho Thi

0) const 82.8545 12.0355 6.884 0.000000 ***
4) R&D1 0.4771 0.3278 1.455 0.158001
6) R&D3 -0.6370 0.2388 -2.667 0.013227 **
8) Sq_R&D -0.0011 0.0010000 -1.146 0.262479
12) Sq_R&D4 0.0065 0.0006784 9.609 0.000000 ***

Bng 6.2 (tip theo)



SGMASQ 9.34047 AIC 10.8631 FPE 10.8972
GCV 11.2086 RICE 11.6756

Excluding the constant, p-value was highest for variable 8 (sq_R&D).
Comparison of Model 3 and Model 4:

Null hypothesis is: the regression parameters are zero for the variables R&D4, sq_R&D1, and sq_R&D2.

Test statistic: F(3,22) = 0.324242, with p-value = 0.807788
Of the 8 model selection statistics, 8 have improved.

[Trong trng hp ny cng vy, trong kim nh F Wald cho cc bin b loi ra, p-value t gi tr cao
cho thy rng chng ta khng th bc b gi thuyt khng cho rng cc h s ca cc bin ny tt c u
bng khng ngay c ti mc ngha cao n 0,8. V vy, vic loi b chng l hp l. Thm na, tt c
tm tr thng k chn m hnh u gim, iu c ngha c mt s ci thin v thch hp ca m
hnh. Vn cn hai bin (sq_R&D v R&D1) c gi tr trn 15%. Chng ta tip tc loi b cc bin ny,
nhng tng bin mt, v i n mt m hnh cui cng trong tt c cc h s c ngha mc di
2%]


0) const 91.3464 6.4046 14.263 0.000000 ***
6) R&D3 -0.2951 0.1175 -2.512 0.018286 **
12) sq_R&D4 0.0059 0.0005486 10.675 0.000000 ***



SGMASQ 9.58047 AIC 10.5315 FPE 10.5385
GCV 10.645 RICE 10.778
Of the 8 model selection statistics, 7 have improved.

Cc phng php nh lng
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th

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Hiu nh: Cao Ho Thi

Bng 6.2 (tip theo)
[Tnh cc tr d bo v sai s phn trm tuyt i cho tng d bo]

Obs R&D PATENT
S
Predicted
value
Prediction
error
Absolute
percent error

1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
76.83
80
84.82
86.84
88.81
88.28
85.29
83.18
85.07
86.72
85.45
93.2
100.4
93.5
93
98.7
104.4
109.4
111.1
105.3
109.6
107.4
93.1259
93.8292
94.8126
97.9126
102.306
103.795
107.851
109.3
111.483
111.815
109.399
0.0740826
6.57081
-1.31258
-4.91264
-3.606
0.605085
1.5492
1.80002
-6.1826
-2.21525
-1.99891
0.0794878
6.54463
1.40383
5.28241
3.65394
0.579583
1.41609
1.62018
5.87141
2.02121
1.86118
1975 83.41 108 106.76 1.24028 1.14841
1976 87.44 110 108.135 1.86509 1.69554
1977 90.11 109 110.169 -1.16945 1.07289
1978 94.5 109.3 109.491 -0.191014 0.174761
1979 99.28 108.9 106.285 2.61523 2.4015
1980 103.64 113 109.529 3.4713 3.07194
1981 108.77 114.5 111.009 3.49072 3.04867
1982 113.96 118.4 114.344 4.05551 3.42526
1983 121.72 112.4 118.482 -6.0819 5.41094
1984 133.33 120.6 122.149 -1.54888 1.28431
1985 144.78 127.1 126.998 0.101834 0.0801211
1986 148.39 133 131.477 1.52261 1.14482
1987 150.9 139.8 138.761 1.03908 0.743265
1988 154.36 151.9 152.722 -0.821732 0.540969
1989 157.19 166.3 170.303 -4.00303 2.40711
1990 161.86 176.7 175.76 0.9403 0.532145
1991 164.54 178.4 179.138 -0.737635 0.413472
1992 166.7 187.2 184.487 2.71267 1.44908
1993 165.2 189.4 188.272 1.12779 0.595455

[Tr mt s nm (1965, 1967, 1972 v 1983), tt c cc sai s phn trm tuyt i u nh hn 5 phn
trm. Tht ra, hu ht cc gi tr ny u nh hn 2 phn trm. Cng nh vy, so snh vi m hnh thng
k tuyn tnh c R bnh phng hiu chnh bng 0,855, m hnh cui cng ny c gi tr tng ng l
0,988.]

6.8 Quan h tuyn tnh-logarit (hay l m hnh bn logarit)

Tt c cc quan h phi tuyn c tho lun trc y c bin ph thuc Y xut hin di dng
tuyn tnh. Ch c nhng bin c lp phi tri qua mi s bin i. Cng s lu l, mc d
chng ta s dng log v bnh phng ca cc bin c lp, cc m hnh u tuyn tnh theo cc
h s. By gi, chng ta kho st mt vi m hnh trong bin c lp xut hin dng bin
i.
Gi s chng ta c mt bin P tng vi mt tc khng i. C th hn, t P
t
= (1 +
g)P
t 1
, vi g l tc tng trng khng i gia thi on t 1 v t. P c th l dn s v g l
tc tng dn s. Bng cch thay th lp li ta c P
t
= P
0
(1+g)
t
. S dng d liu v P
t
, chng
ta mun c lng tc tng trng g. Mi quan h ny khng c dng tuyn tnh thun li

Cc phng php nh lng
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Hiu nh: Cao Ho Thi
c dng trong cc phn trc. Tuy nhin, c th chuyn quan h ny thnh dng tuyn tnh
c. Ly logarit ca hai v (v dng Tnh cht 6.1), chng ta c lnP
t
= lnP
0
+ t ln (1 + g). t
Y
t
= lnP
t
,

X
t
= t, |
1
= lnP
o
v |
2
= ln (1 + g). Khi , mi quan h c th c vit li nh sau
Y
t
= |
1
+ |
2
X
t
. V Y v X c l khng tha mn mt cch chnh xc mi quan h, chng ta cng
thm mt s hng sai s u
t
, lm cho mi quan h ging vi m hnh hi quy n gin ca
Phng trnh (3.1). M hnh bin i tr thnh

lnP
t
= |
1
+ |
2
t + u
t
(6.3)

Ly hm s m phng trnh ny, ta c m hnh gc l

P
t
= e
|
1
+ |
2
t + u
t
(6.4)

Phng trnh (6.4) l mt quan h hm s m v c minh ha trong Hnh 6.8. Cn lu
l s hng nhiu trong Phng trnh (6.4) c th tng ln gp nhiu ln. Phng trnh (6.3) l
tuyn tnh khi bin ph thuc dng logarit. Vi ln P
t
thuc trc tung, cng thc tr thnh
phng trnh ng thng. Bc u tin c lng tc tng trng (g) l chuyn cc
quan st P
1
, P
2
, , P
n
bng cch s dng php bin i logarit v vy chng ta c Y
t
= ln P
t
. K
n chng ta hi quy Y
t
theo mt s hng khng i v thi gian t. Chng ta c

ln P
0
= |
^
1
v ln (1 + g) = |
^
2

Gii c g v P
0
, ta c

P
^
0
= e
|
^
1
v g
^
= e
|
^
2
1 (6.5)

Hnh 6.8 Hm Dng Hm S M

Bt k gi thuyt no v g u c th th hin ( c mt s ngoi l khng ng k) thnh
mt gi thuyt tng ng theo |
2
. Do bin ph thuc c bin i dng log, m hnh ny
c gi l m hnh tuyn tnh-logarit, hoc i khi cn gi l m hnh bn logarit. Nu m
hnh ny c vit di dng ln P
t
= |
1
+ |
2
X
t
+ u
t
, |
2
l tc ng bin t ca X ln ln P
t
khng
phi ln P
t
. |
2
c gi l tc tng trng tc thi. Ly o hm hai v theo X
t
(xem Tnh
cht 6.2 v o hm), ta c
P
t
0
t

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Hiu nh: Cao Ho Thi

|
2
=
d(ln P
t
)
dX
t
=
1
P
t

dP
t
dX
t
(6.6)

S hng dP
t
/P
t
c th c din dch nh l thay i ca P
t
chia cho P
t
. Khi nhn vi 100, |
2

cho phn trm thay i ca P
t
trn mt n v thay i ca X
t
. tnh co gin ca P theo X,
xem Bng 6.1.
Ly gi tr k vng ca hai v phng trnh (6.4), ta c

E(P
t
) = e
|
1
+ |
2
t
E(e
u
t
) (6.7)

C th thy l E(e
u
t
) = e
o
2
/2
= 1, v do nu chng ta d bo P
t
bng cch dng biu thc
e
|
1
+ |
2
t
, gi tr d on s thin lch, khng nht qun v khng hiu qu. Biu thc ph hp
trong trng hp ny l

P
^
t
= exp[|
^
1
+ |
^
2
t + (o
^
2
/2)] (6.8)

vi o
^
2
l phng sai mu ca cc s hng sai s v exp l hm s m. P
^
t
l mt c lng nht
qun ca E(P
t
).
Cn c mt iu chnh tng t trong Phng trnh (6.5) v E(e
|
^
2
) = e
|
2
+ [Var (|
^
2
)/2]
. Do ,
mt c lng khng thin lch ca g c tnh bi

g
~
= exp[|
^
2
1/2 Var (|
^
2
)] 1

C th c c mt khong d bo hiu chnh ca P
t
. Trc y, chng ta nh ngha Y
t

= ln (P
t
). t Y
^
t
l d bo ca ln(P
t
) trong m hnh tuyn tnh logarit v s
t
= s(Y
^
t
) l sai s chun
c c lng tng ng. Vy, khong tin cy ca Y
t
l Y
^
t
t
*
s
t
, vi t
*
l im trn phn phi t
sao cho P(t > t
*
) = mt na ca mc ngha (tham kho Phn 3.9 v cc khong tin cy ca d
bo). Ly hm s m (ngha l ngc vi ly log) v hiu chnh thin lch ging nh trong
Phng trnh (6.8), chng ta c khong tin cy hiu chnh cho vic d bo P
t
l exp[Y
^
t
t
*
s
t
+ (o
^
2
/2)], vi o
^
2
l phng sai mu ca cc s hng sai s. Cn ch ra l khong tin cy ny s khng
i xng qua P
t
= exp[Y
^
t
+ (o
^
2
/2)]. Tham kho Nelson (1973, trang 161-165) tho lun thm
v cc d bo im v cc khong tin cy ca chng khi bin ph thuc c bin i sang log.

V D 6.5

M hnh tuyn tnh-logarit c s dng rng ri trong l thuyt v vn nhn lc trong l
thuyt cho rng logarit ca thu nhp hoc lng c s dng nh l mt bin ph thuc.
pht trin l thuyt ny, gi s l t sut li nhun ca mt nm hc tp thm l r. Vy, i vi
thi on th nht, lng w
1
= (1 + r)w
0
. i vi hai nm hc tp cng thc ny l w
2
= (1+
r)
2
w
0
. i vi s nm, chng ta c w
s
= (1 + r)
2
w
0
. Ly logarit, chng ta c (tham kho Tnh cht
6.1c).

ln(w
s
) = s ln(1+ r) + ln(w
0
) = |
1
+ |
2
s


Cc phng php nh lng
Bi c
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ed.
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Hiu nh: Cao Ho Thi
V vy chng ta c mt quan h tuyn tnh-logarit gia lng v s nm hc tp. Cng l
lun tng t i vi s nm kinh nghim. Tui ca mt nhn vin c v nh c mt loi tc
ng khc. Chng ta k vng thu nhp thp khi mt ngi cn tr, v lng s tng khi ngi
ny tui cng ln hn, nhng thu nhp li gim sau khi v hu. Tng quan dng ng cong li
ny c th c kim nh bng mt cng thc bc hai vi AGE v AGE
2
. tng qut ha,
chng ta c th mun kim nh xem hc vn v kinh nghim c cng mt dng tc ng bc hai
khng. V vy, mt m hnh tng qut c dng nh sau:

ln(WAGE) = |
1
+ |
2
EDUC + |
3
EXPER + |
4
AGE
+ |
5
EDUC
2
+ |
6
EXPER
2
+ |
7
AGE
2
+ u (6.9)

DATA6-4 cha d liu v lng thng, hc vn tnh bng s nm sau lp tm, kinh
nghim tnh bng s nm v tui ca mu gm 49 c nhn. Trc tin chng ta c lng m
hnh tuyn tnh-logarit trc nhng li tm c mt s cc h s hi quy tuyn tnh khng c
ngha. Nh trc y, chng ta thc hin vic n gin ha tp d liu bng cch loi b cc
bin ln lt mi ln mt bin (xem Bi Thc hnh My tnh phn 6.7 tnh li cc kt qu
ny) n khi cc tr thng k chn m hnh tr nn xu hn. Cc kt qu m hnh cui cng
c trnh by y vi tr thng k t trong du ngoc.

ln(WAGE) = 7,023 + 0,005 EDUC
2
+ 0,024 EXPER (6.10)
(76,0) (4,3) (3,9)
R
2
= 0,33 d.f. = 46
C trnh hc vn bnh phng v kinh nghim u rt c ngha mc di 0,001.
ngha ca h s kinh nghim 0,024 l, gia hai nhn vin c cng trnh hc vn, nu ngi
no c nhiu hn mt nm kinh nghim so vi ngi cn li th s c k vng l c lng cao
hn, trung bnh khong 2,4 phn trm (xem Phng trnh 6.6 cho phn din dch ny). Lu l
EDUC c tc ng bc hai vi tc ng bin t tng theo trnh hc vn. Tuy nhin, khng nn
qu xem trng cc kt qu ny v php o thch hp kh thp ngay c i vi tp d liu cho.
R rng cn thc hin nhiu cng vic na trc khi chng ta c c nhng con s chnh xc.
Chng ta s nhc li m hnh ny trong nhng chng sau v s c nhiu kt qu ng tin cy
hn.

Tansel (1994) c mt ng dng rng ri m hnh lng dng logarit. V vy cn nghin
cu m hnh ny cn thn.

BI TP THC HNH 6.8

S dng d liu trong DATA6-4, c lng c m hnh tng qut trong Phng trnh (6.9) v
m hnh cui cng trong Phng trnh (6.10). Thc hin mt kim nh Wald s dng hai m
hnh ny. Hy pht biu gi thuyt khng v gi thuyt ngc li v kt lun ca bn di dng
vn vit.
Gi s lng c tnh bng hng trm la. Vic ny s nh hng n cc h s hi quy
nh th no? Nu c bt k h s no thay i, hy vit li cc gi tr mi trong Phng trnh
(6.10)


Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
BI TP THC HNH 6.9
Tnh tc ng bin t (dY/dX) v co gin (X/Y)(dX/dY) ca m hnh lnY = |
1
+ |
2
X + |
3
X
2
+
u

BI TP THC HNH 6.10
Tnh tc ng bin t v co gin cho m hnh lnY = |
1
+ |
2
X + |
3
(XZ) + u.

BI TP THC HNH 6.11
Xt m hnh tuyn tnh logarit lnY = |
1
+ |
2
X + |
3
Z + |
4
X
2
+ |
5
XZ + u, vi X v Z l cc bin
gii thch. Tm mt biu thc i s ca co gin ca Y theo X. Hy trnh by cch bn s
dng kim nh Wald kim tra xem cc s hng phi tuyn X
2
v XZ c ngha thng k hay
khng.

6.9 So Snh Cc Gi Tr R
2
Gia Cc M Hnh

Trong V d 6.5, nu chng ta s dng WAGES nh bin ph thuc thay v logarit ca bin
ny, R
2
hiu chnh s l 0,338. V R
2
ca m hnh tuyn tnh-logarit l 0,333, nh vy c phi l
m hnh tuyn tnh t nhiu tt hn v mc thch hp? Cu tr li l chc chn khng, bi v
tht l khng ng khi so snh cc gi tr R
2
khi m cc bin ph thuc l khc nhau. Trong
trng hp tuyn tnh, m hnh gii thch 33,8 phn trm thay i ca Y, trong khi trong trng
hp tuyn tnh-logarit, m hnh gii thch 33,3 phn trm thay i trong ln(Y). s so snh l
hp l, cc bin ph thuc phi ging nhau.
Tuy nhin, c mt cch so snh thch hp bng cch th sai. Cc bin trong trng hp tuyn
tnh-logarit nh sau:

Bc 1 c lng m hnh tuyn tnh-logarit nh cch lm thng thng v tnh c gi tr
thch hp cho m hnh ln(Y).
Bc 2 T nhng gi tr ny, to gi tr trung bnh c lng cho Y bng cch php tnh nghch
ca logarit, v bo m l thin lch hiu chnh nh trong Phng trnh (6.8). Vy,
chng ta s c

Y
^
t
= exp[ln(Y
t
) + o
^
2
/2)] (6.11)

Bc 3 Tnh bnh phng ca tng quan gia Y
t
v Y
^
t
. Tng quan ny c th so snh c
vi R
2
hiu chnh ca mt m hnh tuyn tnh.
Bc 4 Tnh tng bnh phng sai s v phng sai ca phn d bng cch s dng cc mi
quan h

ESS = (Y
t
Y
^
t
)
2
v o
^
2
=
ESS
n k

Bc 5 Dng ESS, tnh cc tr thng k la chn m hnh i vi m hnh mi. Cc tr thng
k ny c th so snh c vi cc tr thng k ca m hnh tuyn tnh.

V D 6.6
S dng d liu trong DATA6-4 v m hnh tuyn tnh-logarit c c lng trong V d 6.5,
chng ta tin hnh cc bc ny v tnh i lng R
2
mi v cc tr thng k la chn m
hnh (xem chi tit trong Bi thc hnh my tnh 6.8). Kt qu tm c l R
2
bng 0,37, ln hn

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
rt nhiu so vi gi tr ny trong m hnh tuyn tnh. Tt c cc tr thng k la chn m hnh
ca m hnh tuyn tnh-logarit u thp hn so vi m hnh tuyn tnh. V vy, theo cc tiu
chun ny, m hnh tuyn tnh-logarit c u th hn mt cht.

6.10 M hnh Log-hai ln (hay Log-Log)

M hnh Log-hai ln (hay Log-Log) rt ph bin trong c lng cc hm sn xut cng nh
hm nhu cu. Nu Q l s lng u ra ca mt qu trnh sn xut, K l s lng vn u vo
(s gi my), v L l s lng lao ng u vo (s gi nhn cng lao ng), th tng quan
gia u ra v u vo l phng trnh hm sn xut vit nh sau Q = F(K,L). Mt c trng
chung ca dng hm ny l hm sn xut Cobb-Douglas, rt ni ting trong l thuyt kinh t vi
m. Hm ny c dng tng qut sau:
Q
t
= cK
t
o
L
t
|

vi c, o v | l nhng thng s cha bit. Ly logarit hai v (xem Tnh cht 6.1) v thm vo s
hng sai s, chng ta c c hm kinh t lng (|
1
= ln c):

ln Q
t
= |
1
+ o ln K
t
+ | ln L
t
+ u
t

Nu chng ta ch thay i K nhng gi L khng i, th chng ta c (s dng Tnh cht 6.2c)
o =
A (ln Q)
A (ln K)
=
(1/Q) AQ
(1/K) AK
=
K
Q

AQ
AK

100A(lnQ) = 100AQ/Q l phn trm thay i theo Q. Do , o l phn trm thay i ca Q chia
cho phn trm thay i ca K. y l co gin ca u ra theo vn. Tng t nh vy, | l
co gin ca u ra theo lao ng. V vy, cc h s hi quy trong m hnh log-hai ln n
gin l cc co gin tng ng, c gi tr khng i. Lu , v tnh cht ny, cc gi tr bng
s ca cc h s ca cc bin c lp khc nhau th c th so snh c trc tip. Bng 6.3 tm
tt din dch ca cc h s hi quy trong cc m hnh c logarit ca cc bin.

Bng 6.3 Din dch Cc tc ng bin t trong cc m hnh lin quan n Logarit

M hnh Dng hm s Tc ng bin t Din dch
Tuyn tnh Y = |
1
+ |
2
X AY = |
2
AX Mt n v thay i
trong X s lm Y thay
i |
2
n v
Logarit-tuyn tnh Y = |
1
+ |
2
lnX
AY =
|
2
100

\
|
.
|
|
100
AX
X

Mt phn trm thay
i trong X s lm Y
thay i |
2
/100 n v
Tuyn tnh-logarit lnY = |
1
+ |
2
X
100
AX
X
= 100|
2
AX
Mt n v thay i
trong X s lm Y thay
i 100|
2
phn trm
logarit-hai ln ln Y = |
1
+ |
2
ln X
100
AY
Y
=
|
2
\
|
.
|
|
100
AX
X

Mt phn trm thay
i trong X s lm Y
thay i |
2
phn trm


Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
Chng ta c th c c kt qu th v t m hnh ny. Gi s s lng vn v lao ng
u vo tng gp i. Lc ny u ra l

Q
1
= c(2K)
o
(2L)
|
= 2
o+|
Q

Nu o + | = 1, Q
1
= 2Q. V vy, u ra cng s tng gp i nu o + | = 1. y l iu
kin rt ph bin v li nhun khng i theo qui m. Nu cc co gin c lng l P
t
=
exp[Y
^
t
+ (o
^
2
/2)], chng th hin li nhun tng theo qui m, v o
^
+ |
^
< 1 cho thy li nhun
gim theo qui m. Mt kim nh thng thng i vi li nhun khng i theo qui m rt th
v. Gi thuyt khng l H
0
: o + | = 1 v gi thuyt i l H
1
: o + | = 1. Trong Phn 4.4, chng
ta pht trin ba kim nh cho cc gi thuyt lin quan n t hp tuyn tnh ca cc h s hi
quy. p dng Phng php 2, nh ngha |
2
= o + | 1. Theo gi thuyt khng, |
2
= 0. Gii
c |, chng ta c | = |
2
+ 1 o. Thay vo m hnh, ta c
lnQ
t
= |
1
+ o lnK
t
+ (|
2
+ 1 o) lnL
t
+ u
t

= |
1
+ o (lnK
t
lnL
t
) + lnL
t
+ |
2
lnL
t
+ u
t

M hnh ny khng th c lng c nh dng trn v s hng lnL
t
khng c h s. c
lng, cc bin nh vy phi c chuyn sang v bn tri. V vy, ta c

LnQ
t
lnL
t
= |
1
+ o (lnK
t
lnL
t
) + |
2
lnL
t
+ u
t

t Y
t
= lnQ
t
lnL
t
, X
t1
= lnK
t
lnL
t
, v X
t2
= lnL
t
, m hnh tr thnh

Y
t
= |
1
+ oX
t1
+ |
2
X
t2
+ u
t

c lng m hnh, chng ta bin i cc bin ban u to ra cc bin mi v sau hi
quy Y
t
theo mt s hng khng i, X
t1
v X
t2
. Kim nh cn i vi li nhun khng i theo
qui m ch n gin l mt kim nh t v h s ca X
t2
.

BI TP THC HNH 6.12
+

M t cc bc thc hin mt kim nh tng t s dng Phng php 1 v 3 c m t trong
Phn 4.4

BI TP THC HNH 6.13
Gi nh v li nhun khng i theo qui m vn c gi; ngha l o + | = 1. Theo gi thit
ny, hy m t bng cch no c th c lng c hm sn xut Cobb-Douglas.
V D Thc Nghim: Mt Hm Sn Xut Nng Nghip
Carrasco-Tauber v Moffitt (1992) c lng mt hm sn xut loi Cobb-Douglas lin h
gi tr ca sn lng nng nghip ( dng log-hai ln) vi lao ng, t, nh, my mc thit b,
cc u vo khc, phn bn v thuc tr su. Sau , h s dng hm sn xut c lng
tnh sn lng bin t n (c nh gi bng trung bnh hnh hc) ca mi loi u vo nng
nghip. D liu nm 1987 ca cc tiu bang M, tr Alaska v Hawaii. Tt c cc bin tnh
bng hng ngn la mi nng tri, tr lao ng tnh bng ngn ngy trn mi nng tri. M
hnh c lng c cho y, vi cc tr thng k t trong ngoc n.

Ln Q = 4,461 + 0,227 ln(lao ng) + 0,159 ln (t & nh)
(2.11) (2,12) (2,01)
+ 0,274 ln(my mc thit b) + 0,402 ln(cc u vo khc)

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
(2,42) (8,55)
+ 0,082 ln(phn bn) + 0,136 ln (thuc tr su)
(0,85) (2,00)
Tr co gin ca phn bn, cc u vo khc c ngha thng k mc 5 phn trm.
Cc sn phm bin t c lng i vi cc u vo l $44,54 mi ngy i vi lao ng, $0,04
cho mi la t v nh, $1,25 cho mi la my mc, $1,29 cho mi la ca cc u vo khc,
$4,91 cho mi la phn bn v $5,66 cho mi la thuc tr su. Cc tc gi c lng mt
s m hnh thay th bng cch s dng dng hm s khng c tho lun trong chng ny v
thu c cc i lng sn lng bin t khc nhau i vi mt s u vo. Cc c gi quan
tm c th tham kho chi tit trong cc bi bo ca nhng tc gi ny.

6.11 ng Dng: c Lng Co Gin Ca Giao Thng Bng Xe But

V m hnh log-hai ln cho cc h s hi quy c co gin khng i, y l mt hm rt thng
dng trong c lng hm nhu cu. Chng ta minh ha m hnh log-hai ln bng cch xem li
cc yu t quyt nh ca giao thng bng xe but tm hiu trong Phn 4.6. Tp d liu trong
tp tin DATA4-4, v Bi thc hnh my tnh Phn 6.9 c hng dn tnh ton cc kt qu
c trnh by y.

M hnh cng vi tt c cc bin gii thch s c h s khng ngha ( mc 10%) i vi
logarit ca FARE, GASPRICE, POP, DENSITY, v LAND AREA, trong log ca hm mt
dn so t c ngha nht (ngha l c gi tr p cao nht). Khi bin ny c loi b ra ngoi v
m hnh c c lng li th h s i vi hm INCOME, POP, v LANDAREA tr nn c
ngha mc di 0,001. Nguyn nhn ch yu v mt l thuyt cho s thay i nghim trng
ny l do gim tnh a cng tuyn v lm tng bc t do kt hp vi mt m hnh nh gn hn
c th ci thin c chnh xc ca cc h s. Chng ta tip tc loi bt nhng bin khc m
h s ca chng khng c ngha cho n khi ch cn li nhng h s c ngha m thi. Nh
trong trng hp tuyn tnh, ln(FARE) cng b loi b. M hnh sau y l m hnh cui cng
vi sai s chun trong ngoc n (khng ging nh tr thng k t thng thng):

ln(BUSTRAVL) = 45,846 4,730 ln(INCOME) + 1,820 ln(POP)
(9,614) (1,021) (0,236)

0,971 ln(LANDAREA)
(0,207)
d.f = 36

Mt cu hi th v khc c nu ra l bin du lch bng xe but c tnh cht co gin hay
khng co gin. Nu gi tr bng s ca co gin ny thp hn 1 (b qua du) th chng ta c th
kt lun rng bin s dng xe but l khng co gin. Nu n cao hn 1 th c ngha l bin c
tnh co gin. Gi thuyt khng chnh thc s c p dng i vi h s ny v gi thuyt ngc
li s c tnh hai pha. Tr thng k kim nh i vi mi bin co gin l

4.73 1
1.021
= 3.65
1.82 1
0.236
= 3.47
0.971 1
0.207
= 0.14

T bng tra t c trnh by mt trong ca trang ba u, chng ta c gi tr ti hn vi
bc t do 36 v mc ngha 0,002 (i vi kim nh hai pha) nm gia 3,307 v 3,385. V tr
609 0
2
, = R

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
thng k t i vi h s ca bin thu nhp v dn s tnh ton c cao hn khong ny nn
chng ta c th kt lun rng tnh co gin ca cc bin s trn l c ngha. Tuy nhin, ngc li
th h s i vi bin din tch t l khng khc 1, ngay c vi mc 0,8 (gi tr ti hn nm
trong khong 0,225 v 0,256 v gi tr bng s cao hn gi tr quan st c). Trong trng hp
ny, chng ta c th kt lun rng bin din tch t c tnh cht co gin n v.

BI TP THC HNH 6.14
Thc hin kim nh Wald tng t nh bi tp thc hnh 6.8

6.12 Nhng M Hnh Khc *

M Hnh Logit *
Trong vi trng hp, bin ph thuc c th nhn gi tr gia 0 v 1. V d ta c th lin h gia
phn s ca s ngi b phiu cho mt v tng thng no vi cc yu t quyt nh ca n.
Mt cch khc, c th lin h gia phn s ca s ngi mua xe hi trong mt thi on xc
nh no vi cc yu t quyt nh ca n. Nu mt m hnh hi quy thng thng no
c s dng trong nhng trng hp nh vy th khng c g c th bo m rng gi tr d
on trc s nm trong khong 0 v 1. bo m khng xy ra nhng trng hp nh vy,
ngi ta thng p dng mt dng hm nh sau (c gi l ng cong Logistic):

u X
P 1
P
ln + | + o =
(

trong P gi tr ca bin ph thuc nm trong khong 0 v 1. M hnh ny thng c gi l
m hnh Logit. Rt P t phng trnh trn (bng cch ly hm s m ln th nht hai v phng
trnh), ta c

) u X (
e 1
1
P
+ | + o
+
=

D dng nhn thy rng, nu gi tr | > 0 th P s tin n gi tr 0 khi X -, v gi tr 1
khi X . V th, gi tr P khng bao gi vt ra khi phm vi [0, 1]. ng cong Logistic s
c hnh dng nh trnh by trong hnh 6.9. ng cong ny cng c s dng khp vi dng
ng cong tng trng. V d, doanh s bn hng ca mt sn phm mi (nh tivi c nt
cao) c th tng nhanh trong thi gian u nhng sau gim dn ri ngng hn. M hnh Logit
c c lng da trn cch tnh hi quy ca hm ln[P/(1 - P)] theo mt hng s v bin X.
Nhng m hnh di dng nh vy c m rng v phn tch y hn chng 12.

Php bin i Box Cox *
Trong m hnh sau y, ngi ta s dng php bin i c gi php bin i Box Cox
[xem Box and Cox (1964)]:

u
1 X 1 Y
+
| + o =


Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
Hnh 6.9 Th ng Cong Logistic

C th chng minh c rng khi gi tr = 0 th m hnh c th rt gn bng dng log hai ln
ln Y = o + | ln X + u. Trong trng hp = 1, chng ta c c m hnh dng tuyn tnh Y 1
= o + | (X - 1) + u hay Y = o
*
+ |X + u, trong o
*
= o - | + 1. Khi nhn cc gi tr khc,
chng ta s c c m hnh phi tuyn tnh. M hnh ny c th c lng bng th tc c
lng thch hp nht bng cch s dng chng trnh ti u ho phi tuyn tnh. th hm s s
c nhiu dng mt cch linh ng, v ngi ta c th kim nh vi bng 0 hay bng 1, hay vi
cc gi tr khc. Nu bit trc c phm vi gi tr ca t 1 n +1, chng ta c th chn
mt gi tr cho v dng cc bin mi l Y
*
= (Y
1)/ v X
*
= (X
1)/. Sau chng ta

hi quy Y
*
theo bin X
*
v theo cc s hng hng s v nhn c tng bnh phng sai s.
Chng ta lp li quy trnh ny vi cc gi tr khc nhau ca v chn ra gi tr nh nht trong s
cc kt qu tng bnh phng sai s. Quy trnh d tm ny c th thc hin bng chng trnh
hi quy tuyn tnh m khng cn n chng trnh hi quy phi tuyn tnh. Phn m rng cho
phng php ny l s dng ng thc X
*
= (X
1)/, th kt qu vi cc gi tr v (t -1
n +1), v chn ra t hp m cho kt qu tng bnh phng sai s ESS l nh nht.
Mun bit thm chi tit v php bin i Box Cox, xin tham kho tc gi Kim v Hill (1993),
Showalter (1994) v tc gi Wooldridge (1992).

Tnh Phi Tuyn Trong Cc Thng S *

Chng ta xem xt nhiu phng php m trong tnh cht phi tuyn trong cc bin c th
gii quyt tng t nh trong trng hp hi quy tuyn tnh, tc l cc bin ny s c bin i
mt cch thch hp, v nh vy chng ta s c c mt m hnh tuyn tnh vi h s hi quy
cha bit. Tuy nhin, cng c nhng trng hp m cch thc trn khng th thc hin c.
Hm Box Cox l mt v d cho trng hp m mi quan h l phi tuyn tnh trong cc thng
s v cng khng th bin i thnh dnh tuyn tnh ngoi tr mt vi trng c bit k trn.
Mt v d khc l hm sn xut ca cc bin thay th c h s co gin khng i (CES), c
cho nh sau:

Q = [o K

+ (1 - o) L

]
v /
e
u
( > 0, 0 < o < 1, v > 0, > -1)

Trong thng s cha bit , o, v, v c tnh cht phi tuyn. Chng ch c th xc nh bng
th tc c lng thch hp nht hoc bng cc phng php bnh phng ti thiu phi tuyn.
Tuy nhin, trong trng hp ny tc gi Kmenta (1986, trang 515) p dng cch tnh bnh
phng bc hai gn ng nh sau:
Y
1
0
X

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi

u ] L ln K )[ln 1 (
2
1
L ln ) 1 ( K ln ln Q ln
2
+ o vo o v + o + =

u ) L ln K (ln L ln K ln
2
4 3 2 1
+ | + | + | + | =

Gi tr c lng ca cc thng s ban u trong hm sn xut CES c th ly kt qu t gi tr
c lng ca cc |.
Mc d c th d dng bin i cc bin v a chng vo trong m hnh nhng nn trnh
vic p dng cc phng php bin i m khng phn bit ngha ng dng ca cc phng
php ny. iu cn thit l hy xem xt nhng im l thuyt c bn trong cc php bin i v
gi cho m hnh cng n gin cng tt.

6.13 Phng Php M Hnh Ho T Tng Qut n n Gin Hendry/Lse

Nh pht biu trc y, s hnh thnh m hnh kinh t lng mc chp nhn c l rt cn
thit i vi nhng kt lun rt ra t m hnh . Trong cc phn v chng trc, chng ta
tho lun v nhng tiu chun dng nh gi xem th no l mt m hnh tt. Qu trnh u
tin hnh thnh m hnh c da trn l thuyt kinh t. y l nhng kin thc ring ca nh
nghin cu v nhng hnh vi c bn, v nhng nghin cu khc tng t, ...v.v. Nh phn tch
cng c th c nhng kin tng quan v cc tc ng c th ca tnh cht phi tuyn cng nh
s tng tc gia cc bin. V khng th c mt phng php thng nht chung trong vic xc
nh mi quan h gia bin ph thuc v bin gii thch, nn nh nghin cu thng a ra cc
m hnh thay th khc v sau thc hin hng lot cc kim nh chn on cc m hnh ny.
Trong vic nh gi xem mt m hnh kinh t lng c c chp nhn hay khng th du
ca cc h s hi quy c lng l mt trong nhng i lng rt quan trng, v iu cn thit l
nh nghin cu phi c c nhng nhn nh ban u v cc gi tr k vng s nhn c, t
nht l i vi nhng bin quan trng. V d, gi s chng ta ang c lng cho mi quan h
ca nhu cu v kt qu c co gin c lng v gi l dng. y l mt du hiu r rng cho
nhng c trng sai c th c trong thnh phn xc nh hoc cu trc sai s (hoc c hai) v/
hoc phng php lun kinh t lng c li sai. Mc d gi tr
2
R l mt i lng rt hu dng
khi dng nh gi tnh thch hp, nhng tin tng vo i lng ny qu mc l mt iu
khng nn. Thng thng nhng cuc nghin cu cho u cho kt qu
2
R thp hn so vi cc
nghin cu theo chui thi gian, trong hu ht cc bin u cho thy xu hng v c mi
tng quan cao gia chng. Mc d gi tr
2
R thp s cho thy kh nng mt s bin b loi b
nhng ngi ta cng khng khuyn khch chn la mt m hnh da trn tiu chun cc i gi
tr
2
R .
Trong chng 4, chng ta cp n 8 tiu chun chn la m hnh nh l nhng i
lng hu ch dng nh gi xem m hnh ny c tt hn m hnh kia hay khng. Mt tiu
chun khc na cng thng c dng nh gi m hnh l kh nng d bo gi tr bin ph
thuc ca m hnh. Nu gi tr d bo l mt trong nhng mc tiu quan trng i vi nh kinh
t lng th kh nng d bo ca m hnh cn thit phi c xem xt thn trng (xin xem thm
chng 11).
Trong cc phn ng dng v v d v tnh cht phi tuyn v v cc bin c tr trnh by
trong chng ny, chng ta bt u vi mt m hnh khng c gii hn tng qut v sau
gim i bng cch loi dn tng bin c h s ngha thp nht. Cch tip cn ny, c gi l
phng php i t tng qut n n gin, c tc gi Hendry (1985) rt tn thnh cng
nh nhiu nh kinh t lng khc thuc trng kinh t London (xin tham kho thm tc gi
Hendry v Richards, 1982, 1983; tc gi Gilbert, 1986, 1989). Cch tip cn ca h cn c gi

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
l phng php Hendry/ LSE. Mc d tc gi Hendry nhn mnh n vic m hnh ho
theo chui thi gian nhng nguyn l cng c th p dng tng t trn d liu cho. Y tng
c bn trong thut ng ca tc gi Hendry l c mt quy trnh pht ra cc d liu (DGP) nm
n di cc gi tr ca cc bin s v kinh t v cng vic ca nh nghin cu l dng cc l
thuyt kinh t, kh nng trc quan, v kinh nghim cng nh thng qua mt s kim nh nh
gi m hnh xem m hnh c th ci thin c hay khng. lm c iu ny, nh nghin
cu s bt u vi mt m hnh ng tng qut cho php h s dng nhiu tham s hn, ngha
l c nhiu tr v bin (bao gm c nhng s hng phi tuyn c th c) hn nhng g m
ngi ta thng tin hnh v sau , nh nghin cu s thc hin php n gin ho da trn
d liu bng kim nh Wald v kim nh t. V d 6.5 v ng dng trong phn 6.7 v chi ph
bng sng che v chi ph R&D l nhng v d c th cho phng php lun ny. Trong chng
7, 9, v 10, chng ta s c nhiu v d hn v phng php tip cn t tng qut n n gin.
S n gin ho m hnh da trn d liu dn ti kt qu l m hnh c cc c trng xc
tch hn, c ngha l m hnh vi t thng s hn. Li th ca kt qu xc tch ny l (1) tng
chnh xc cho cc gi tr c lng v lm gim tnh a cng tuyn, (2) c nhiu bc t do
hn v v th m gi tr c lng s ng tin cy hn, (3) nng lc kim nh s cao hn, v (4)
m hnh n gin hn, ngi ta s d dng lnh hi hn l m hnh phc tp.

6.14 M Hnh Ho T n Gin n Tng Qut Bng Cch S Dng Kim nh
Nhn T Lagrange

V mt nguyn tc th ngi ta vn a thch cch tip cn t tng qut n chi tit hn, nhng
nhng ng dng thc t thun ty theo phng php ny c th em li mt s phin toi. V d,
vic a thm mt vi bin mi c tnh cht tr so vi cc bin hin ti trong m hnh s khin
cho cc bin c lp khc tr nn tng quan vi nhau cao hn. Nh trnh by trong cc
chng trc, khi mc tng quan tr nn cao hn th vic o lng cc nh hng ring l
ca cc bin c lp tr nn kh khn hoc khng th c. Tng t, thng thng th nh
nghin cu s t tin hn vi mt m hnh c trng c bn hn l vic xy dng mt m hnh
tng qut. trnh nhng vn trn, vic m hnh ho da trn cch tip cn t n gin
n tng qut s c bt u t pha ngc li vi c trng c bn v nhng g m nh
nghin cu cm thy t tin v ri cu hi t ra l liu c nn a thm bin vo trong m hnh
hay khng. Mt cng c chn on thng c cc nh nghin cu s dng trong cch tip cn
ny l kim nh vi nhn t Lagrange (LM). Tuy nhin, trc khi i su vo vn trn, iu
cn thit l phi c c cch nhn tng qut y v nhng phng php khc nhau i vi
kim nh c trng m hnh.

C nhiu phng php chnh thc c dng trong vic kim nh gi thuyt, nhng
phng php c dng thng xuyn nht bao gm kim nh bng nhn t Lagrange (LM),
kim nh t s thch hp (LR), v kim nh Wald. Trong cc phn c trnh by trc y
th kim nh c s dng nhiu nht l kim nh Wald. Trong phn ny, ngi ta s tp trung
vo kim nh LM nh l mt phng n thay th trong vic kim nh cc c im ca m
hnh. Kim nh LR s c tho lun thm trong phn ph lc. Trong tt c cch tip cn trn,
ngi ta xy dng ln hai m hnh, m hnh gii hn v m hnh khng gii hn. M hnh
gii hn c thit lp bng cch a cc gii hn tuyn tnh hoc phi tuyn tnh vo trong cc
thng s ca m hnh v tng ng vi gi thuyt khng. M hnh khng gii hn l mt gii
php thay th khc.

Trong cc chng trc y, chng ta dng phng php Wald kim nh gi thuyt
gia m hnh khng gii hn v m hnh gii hn, trong chng ta c th b qua mt s bin.

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
iu ny c trnh by nhiu trong cc ng dng theo chui thi gian v cho. Kim nh Wald
bt u vi mt phng n thay th (m hnh khng gii hn) v a ra cu hi l gi thuyt
khng (m hnh gii hn) c c a thch hn hay khng. Kim nh t s thch hp l mt
php so snh trc tip gia hai gi thuyt. Nguyn l ca nhn t Lagrange bt u vi gi
thuyt khng v hi xem c s dch chuyn v hng cc gii php a thch hn. Hay ni cch
khc l th tc LM s xc nh c mt m hnh n gin hn nhng xc tch hn v cu hi
t ra l c cn thit phi thm bin mi hay khng. V vy m chng ta s bt u vi cch thit
lp c bn v tin hnh kim nh vic thm cc bin mi thay v bt u vi mt m hnh y
v kim nh xem c nn b bt i mt s cc bin hay khng. Phng php LM th kh tng
qut nn c th p dng vo trong nhng tnh hung khc s c m t trong cc chng sau.
C hai phng php t tng qut n n gin v t n gin n tng qut l nhng phng
php rt hu dng v ngi ta ngh rng nn s dng c hai phng php c c mt kt
lun vng chc hn.

C nhiu bi nghin cu cp n kim nh LM nh ca tc gi Aitcheson v Silvey
(1958), Silvey (1959), Berndt v Savin (1977), Godfrey (1978), Buse (1982), v ca tc gi
Engle (1982, 1984). Tt c cc bi nghin cu trn i hi ngi c phi c kin thc v i s
tuyn tnh. Trong chng ny, chng ta s c trnh by mt cch tm lc cc loi kim nh
cng vi kh nng ng dng ca chng. Mt vi kt qu l thuyt khc cng s c tm tt
trong phn ph lc ca chng cng vi mt bng gii thch cc thut ng v nhn t Lagrange
v t s thch hp. Mt s so snh ba phng php ny da trn cp s nhn cng c a
thm vo trong phn ph lc v c din gii bng v d n gin. Trong chng, chng ta s
xc nh cc bc cn thit thc hin mt kim nh LM v ng dng chng vi d liu thc
t. Mc d kim nh LM l kim nh trn mu ln, nhng ngi ta nhn thy n cng rt hu
ch ngay c trong trng hp s mu quan st ch c 30. Kim nh Wald cng c th p dng
i vi trng hp s mu quan st nh. Kim nh t s thch hp i khi c p dng cho c
mu nh. Nhng im ny s c trnh by chi tit hn trong phn ph lc.

Nhng gi thuyt vi ng bc b bt cc bin l trng hp c bit ca gi thuyt lng
vo nhau. dng lng vo nhau, m hnh gii hn tr thnh mt m hnh con ca mt m hnh
khng gii hn khc. Cc gi thuyt khng lng vo nhau l nhng m hnh hon ton khc
nhau m trong mt m hnh khng th tr thnh m hnh con ca mt m hnh khc. V d,
vic bc b mt s bin v thm mt s bin khc s hnh thnh nn m hnh khng lng vo
nhau. Trong cun sch ny, chng ta ch tp trung vo cc gi thuyt lng vo nhau. c gi c
quan tm n kim nh gi thuyt khng lng vo nhau c th tham kho cc bi vit ca tc gi
Davidson v MacKinnon (1981, 1982) v ca Mackinnon (1983) nhng ch rng chng i
hi phi c kin thc v i s tuyn tnh.

Kim nh Nhn T Lagrange Khi Thm Cc Bin

Th tc kim nh LM s d hiu hn trong trng hp nh phn tch kinh doanh hay kinh t
mun bit c nn a thm bin vo trong m hnh hay khng (v d a cc s hng phi tuyn
tnh v s hng tng tc). Hy xem xt m hnh khng gii hn v gii hn sau y:

(R) Y = |
1
+ |
2
X
2
+ |
3
X
3
+ + |
m
X
m
+ u
(U) Y = |
1
+ |
2
X
2
+ + |
m
X
m
+ |
m+1
X
m+1
+ + |
k
X
k
+ v


Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
Trong m hnh U, c (k m) bin mi X
m+1
,

X
m+2
, , X
k
(v d, cc bin phi tuyn tnh) c
thm vo. im th v gi thuyt khng ny l h s hi quy ca cc bin thm vo l bng 0.
Cc bc thc hin kim nh LM nh sau:

Bc 1 H
0
: |
m+1
= |
m+2
= = |
k
= 0. H
1
: trong s cc | trn tn ti t nht mt | khc
khng.
Bc 2 c lng gi tr R ca m hnh gii hn
Bc 3 Thu c phn d c lng ca m hnh nh sau

m m 3 3 2 2 1 R
X
... X
X

Y u | | | | =

Gi s cc c trng ng thuc v m hnh U; trong trng hp ny th nn a
cc bin X
m+1
, X
m+2
, , X
k
vo trong m hnh. Cc nh hng ca chng s c quan
st bng phn d
R
u
. V vy,
R
u
c xem nh c lin h vi nhng bin b loi b.
Ni cch khc, nu chng ta hi quy gi tr
R
u
theo cc bin trn, chng ta s c c
s thch hp tt, mt ch s chng t rng t nht c mt s bin trong s X
m+1
, X
m+2
,
, X
k
nn c a thm vo trong m hnh. L lun ny dn n bc tip theo.
Bc 4 Hi quy bin
R
u
theo hng s v tt c cc bin X, bao gm cc bin trong m hnh
gii hn. iu ny c ngha l hi quy theo tt c cc bin c lp trong m hnh
khng gii hn. Chng ta s xem bc hi quy th hai ny l hi quy ph. Tc gi
Engle (1982) chng minh rng, i vi cc mu quan st ln, c mu (n) nhn vi
gi tr R
2
khng hiu chnh trong hi quy ph ny s c phn phi Chi-square vi bc
t do tng ng vi s gii hn trong gi thuyt khng (iu ny c trnh by
trong phn ph lc 6.A.3 i vi trng hp hi quy n). V th, trong bi ton ca
chng ta,
2
nR ~
2
m k
_ . L do a cc bin ban u vo trong hi quy ph l gi tr
thng k kim nh c c dng thun tin. Nu ) ( nR
2 *
m k
2
o _ >

th v tr ca mt
im no trn th phn phi
2
m k
_ m din tch bn phi im bng (o), chnh
l mc ngha m chng ta s bc b gi thuyt khng cho rng tt c h s hi quy
mi u bng khng. Mt cch khc, chng ta s tnh gi tr p = ) nR ( P
2 2
m k
> _

v bc
b gi thuyt khng nu gi tr p thp hn mc ngha. Ni cch khc, chng ta c th
kt lun rng t nht c mt s trong cc bin mi nn c a thm vo trong m
hnh. Cc gi tr p ca mi h s ring l cng c th kt lun rng bin no nn c
a vo.

S Dng Hi Quy Ph Xc nh Cc Bin a Thm Vo M Hnh C Bn

Hi quy ph cung cp cc thng tin v nhng bin mi ang c xem xt tr thnh i tng
a thm vo trong m hnh c bn. Thc t, h s c lng v cc tr s thng k lin quan
n cc bin mi s c a thm vo trong hi quy ph ca kim nh LM cng ging vi cc
i lng c c t m hnh khng gii hn hon ton. M hnh khng gii hn ny s c
bt u cng vi phng php t tng qut n n gin. im ny c chng minh y
bi tc gi Ramanathan (1986) v cng c din gii mt cch thc nghim qua v d 6.7. Mc
d khng c mt hng dn l thuyt r rng no c th chn ra cc bin t danh sch hi
quy ph, nhng ngi ta c th s dng mt quy tc n gin l a nhng bin no c h s hi
quy hoc gi tr p nh hn 0,5. Quy tc ny t ra bo th hn quy tc ch chn nhng bin c
ngha thc s. Nh s trnh by trong v d 6.7 v 6.8, vic s dng tiu chun mc ngha mt
cch nghim ngt s c khuynh hng b qua cc bin c th c ngha so vi nhng bin c

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
mc ngha ti thiu b loi b. Th tc ny tng ng vi vic c lng ton b m hnh
tng qut ri loi b tt c cc bin c gi tr p tng ng cao hn 0,5.

V D 6.7

Phng php kim nh LM c din gii trc tin vi d liu c lng nhu cu s dng
truyn hnh cp trnh by trong phn DATA4-8. D liu ny thuc dng d liu cho thu thp t
40 thnh ph (cc bin c nh ngha sau y v s c m t chi tit hn trong phn ph lc
1).

sub = s ngi ng k trn mi h thng (tnh bng n v ngn)
home = s lng nh m h thng i qua
inst = chi ph lp t tnh bng la
svc = chi ph dch v hng thng ca mi h thng tnh bng la
tv = s lng tn hiu truyn hiu ti bi mi h thng cp
age = tui th ca mi h thng tnh theo nm
air = s lng tn hiu truyn hnh t do nhn c
y = thu nhp tnh bng la trn mi u ngi

Bng 6.4 trnh by cc kt qu my tnh ring phn c km gii thch, cho c gi thy cc bc
va m t. c c ton b kt qu, hy thc hnh bi tp my tnh phn 6.10.
Mc d cc tr thng k kim nh LM cho trong v d u cho thy c ngha, nhng i
khi php kim nh cng c th cho cc du tri ngc. im ny s c trnh by trong v d
tip theo.

Bng 6.4 Kt Qu My Tnh Ring Phn C Km Gii Thch Trong V D 6.7

[Trc tin, hy c lng m hnh c bn bng cch hi quy bin sub theo bin constant, home,
inst, svc, tv, age, air, v bin y. Sau pht ra phn d u
t
. Hi quy ph trnh by y s hi
quy phn d u
t
theo cc bin trong m hnh c bn v cng tt c cc s hng bnh phng ca
cc bin, biu din di dng sq_x (v d sq_home = home
2
).]

Dependent variable: Ut

VARIABL
E
COEFFICIENT STDERROR T STAT 2Prob(t > |T|)
0) const -481.4363 264.2862 -1.822 0.080496 *
2) home 0.0339 0.0839 0.404 0.689961
3) inst 0.9184 2.1242 0.432 0.669195
4) svc 10.1055 19.1942 0.526 0.603188
5) tv -1.4180 2.6542 -0.534 0.597895
6) age -2.5507 1.4623 -1.744 0.093391 *
7) air 23.8229 5.2392 4.547 0.000121 ***
8) y 0.0829 0.0526 1.576 0.127509
9) sq_home 0.0002207 0.0002839 0.778 0.444146
10) sq_inst -0.0210 0.0655 -0.321 0.750748
11) sq_svc -0.7790 1.2854 -0.606 0.549977
12) sq_tv 0.0484 0.1017 0.476 0.637925
13) sq_age 0.1393 0.0734 1.898 0.069252 *
14) sq_air -1.5823 0.3732 -4.240 0.000267 ***
15) sq_y -4.547e-006 2.8346e-006 -1.604 0.121287

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi


[Tr thng k LM = s ln quan st nhn vi gi tr cha hiu chnh R
2
= 21,992652.]

Chi-square (7): area to right of 21.992652 = 0.002548.

[Gi thuyt khng i vi kim nh LM l h s ca tt c by bin bnh phng c a thm
vo m hnh s bng 0] (v vy, bc t do l 7). Gi tr p bng 0,002548 cho thy chng ta an
ton khi quyt nh bc b gi thuyt khng v kt lun rng c t nht mt vi trong s cc bin
c a thm vo thuc v m hnh. (S dng my tnh cm tay kim tra tr thng k kim
nh LM v thc hin kim nh Chi-square bng cch s dng mc ngha 1% vi bng phn
phi Chi-square).

Bng 6.4 (Tip theo)

Hi quy ph s gip chng ta quyt nh nhng bin mi no s c a thm vo trong
m hnh. Tuy nhin, ngi ta cng khng c nhng hng dn no v mt l thuyt i vi vic
chn la trong thc t. V th, chng ta s s dng quy tc ty l a nhng bin mi c gi tr
p nh hn 0,5 vo trong m hnh, tng ng vi mc ngha 50%. Quy tc ny bo th hn
c khi ta s dng im ngng 10% m chng ta s dng lu nay v n cng c thit k
cc tiu ho cc sai lch c th c t cc bin b b qua vi nguyn nhn khng a bin vo
trong m hnh. Theo quy tc 0,5, tr bnh phng ca bin home, age, air, v y c a thm
vo trong m hnh c bn. iu ny s c thc hin tip theo y. Ch rng bin ph thuc
hin ti l sub. Li m ngi ta hay phm phi im ny l iu chnh bin u
t
nh l bin ph
thuc hoc a bin ny vo trong nhm cc bin c lp. iu ny r rng l sai v khng c
ngha.]

Dependent variable: sub

VARIABL
E
0) const -407.0791 211.7804 -1.922 0.064813 *
2) home 0.4319 0.0792 5.451 0.000008 ***
3) inst -0.1821 0.3957 -0.460 0.648969
4) svc 0.2123 1.9666 0.108 0.914822
5) tv 0.6962 0.5292 1.315 0.199029
6) age -1.0718 1.2305 -0.871 0.391149
7) air 18.1986 4.8824 3.727 0.000868 ***
8) y 0.0757 0.0476 1.591 0.122767
9) sq_home 0.0002240 0.0002689 0.833 0.411944
13) sq_age 0.1174 0.0580 2.025 0.052478 *
14) sq_air -1.5579 0.3383 -4.605 0.000082 ***
15) sq_y -4.049e-006 2.5562e-006 -1.584 0.124383

Mean of dep. Var.
Error Sum of Sq (ESS)
Unadjusted R-squared
F-statistic(11,28)
Durbin-Watson stat.
24.509
2307.1870
0.947
45.8496
1.943
S.D. of dep. Variable
Std Err of Resid. (sgmahat)
Adjusted R-squared
p-value for F()
First-order autocorr. coeff
33.537
9.0774
0.927
0.000000
0.001

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SGMASQ 82.3995 AIC 105.099 FPE 107.119
GCV 117.714 RICE 144.199

Excluding the constant, p-value was highest for variable 4 (svc)

[Phn cui ca th tc l lm gn m hnh da trn d liu m chng ta nhn c trc y.
iu ny c thc hin bng cch loi b lin tip cc bin c gi tr p cao nht, nhng phi
loi b tng bin mt. trnh lm ln nu trnh by qu nhiu kt qu khng cn thit nn trn
trang ti liu ny ch a ra m hnh cui cng.]

Bng 6.4 (Tip theo)

VARIABL
E
0) const -562.6761 158.0817 -3.559 0.001185 ***
2) home 0.4960 0.0283 17.525 0.000000 ***
6) age -1.5575 0.9037 -1.723 0.094460 *
7) air 17.3047 4.3410 3.986 0.000364 ***
8) y 0.1108 0.0348 3.186 0.003215 ***
13) sq_age 0.1392 0.0438 3.181 0.003251 ***
14) sq_air -1.4177 0.2919 -4.856 0.000030 ***
15) sq_y -5.948e-006 1.8798e-006 -3.164 0.003399 ***

Mean of dep. Var.
Error Sum of Sq (ESS)
Unadjusted R-squared
F-statistic(11,28)
Durbin-Watson stat.
24.509
2521.9340
0.943
74.9412
2.069
S.D. of dep. Variable
Std Err of Resid. (sgmahat)
Adjusted R-squared
p-value for F()
First-order autocorr. coeff
33.537
8.8775
0.930
0.000000
-0.051


SGMASQ 78.8104 AIC 94.0571 FPE 94.5725
GCV 98.513 RICE 105.081

[ lm r s tng phn gia phng php t n gin n tng qut ny vi phng php
Hendry/ LSE m hnh ho t tng qut n n gin, chng ta s c lng m hnh tng qut
nht bao qut c s hng tuyn tnh v bnh phng bc hai. Mt ch th v l cc h s v
sai s chun ca bnh phng cc s hng thm vo cng ging nh cc s hng trong hi quy
ph trnh by trn. Mun bit thm cch chng minh v mt l thuyt rng ti sao trng hp
ny lun lun xy ra, hy tham kho tc gi Ramanathan (1986).]

Dependent variable: sub

VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|)
0) const -488.2440 264.2862 -1.847 0.076556 *
2) home 0.4394 0.0839 5.238 0.000020 ***
3) inst 0.3920 2.1242 0.185 0.855089
4) svc 12.1443 19.1942 0.633 0.532671
5)
6)
tv
age
-0.6615
-1.3571
2.6542
1.4623
-0.249
-0.928
0.805230
0.362229


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7)
8)
9)
10)
11)
12)
13)
14)
15)
air
y
sq_home
sq_inst
sq_svc
sq_tv
sq_age
sq_air
sq_y
18.7117
0.0845
0.0002207
-0.0210
-0.7790
0.0484
0.1393
-1.5823
-4.547e-006
5.2392
0.0526
0.0002839
0.0655
1.2854
0.1017
0.0734
0.3732
2.8346e-006
3.572
1.608
0.778
-0.321
-0.606
0.476
1.898
-4.240
-1.604
0.001475
0.120423
0.444146
0.750748
0.549977
0.637925
0.069252
0.000267
0.121287
***

*
***

Bng 6.4 (Tip theo)


[Theo chin lc gin lc m hnh da trn d liu, chng ta ln lt loi b cc bin c h s
khng ngha. M hnh cui cng c xc nh theo cch ny ging nh m hnh tm c
trc y theo phng php t n gin n tng qut. Nh vy, trong v d ny, hai phng
php l tng ng. V iu ny khng phi lc ny cng xy ra, ngi ta ngh s dng c
hai phng php v thc hin kim tra cho. Tuy nhin, nu cn phi chn mt trong hai cch
tip cn, cch tip cn Hendry/LSE thng c s dng hn v bin php tip cn ny chc
chn hn v khng ph thuc vo quy tc 0,5 ch quan khi chn cc bin t vic hi quy ph.
Tuy nhin, trong chng 8, 9, v 10 chng ta s thy rng kim nh LM l mt th tc kim
nh cc k mnh trong nhng tnh hung khc]

BI TP THC HNH 6.15
Trong v d 6.7, chng ta loi b cc bin da trn mc ngha ca cc h s hi quy ca chng.
Bt u t m hnh tng qut nht theo phng php Hendry/LSE v loi b tng bin mt nh
trc y, nhng gi li bin thu nhp (income), ph dch v hng thng (monthly service
charge), v ph lp t (installation fee) cho n cui cng bi v chng l cc s o v thu nhp
v gi trong phng trnh ng cu v v vy c ngha v mt l thuyt. So snh m hnh cui
cng thu c (v mt tiu ch chn la v mc ngha ca cc h s) vi m hnh cui cng
bng 6.4. Bn thy nhng khc bit g? Bn s ngh s dng m hnh no thc hin din
dch cui cng? Hy s dng m hnh din dch cc kt qu.

V D 6.8

V d minh ha th hai ny s trnh by cch thc p dng kim nh LM cho bi tp c
nghin cu v d 6.5, ngha l, trong m hnh tuyn tnh lgart v tin lng. Bng 6.5 trnh
by kt qu my tnh c ch thch v trng hp ny (xem chi tit Phn Thc Hnh My Tnh
6.11). Gi tr R
2
khng hiu chnh ca hi quy ph ch bng 0,079, vi tr thng k nR
2
bng
3,86. Theo gi thuyt khng cc s hng bc hai c h s bng 0, gi tr ny tun theo phn phi
Chi bnh phng vi 3 bc t do. Gi tr p-value bng 0,28 cho thy rng chng ta khng th
bc b gi thuyt H
0
mt cch an ton. iu ny hm rng khng mt bin mi no c h s
c ngha. Tuy nhin, lu rng gi tr p-value ca h s ca bin EDUC
2
c ngha ti mc
7,33%, y l mc ngha chp nhn c. V vy, hi quy ph ngh bin ny c a vo
m hnh (quy tc p-value 0,5 cng s chn bin ny v loi tt c cc bin cn li). Ngc li,
kim nh nR
2
cho thy khng c bin no cn a vo m hnh. Do , kim nh LM a ra
cc kt lun tri ngc nhau v mc quan trng ca vic thm mt bin mi vo m hnh ban
u.


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Hiu nh: Cao Ho Thi
Bng 6.5 Bo Co C Ch Gii Mt Phn In T My Tnh Cho V D 6.8

[c lng hi quy ph]

VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t>,T,
0)
2)
3)
4)
7)
8)
9)
const
EDUC
EXPER
AGE
sq_EDUC
sq_EXPER
sq_AGE
0.4934
-0.1576
-0.0088
-0.0008179
0.0115
0.0004293
0.0000211
0.8092
0.0864
0.0245
0.0338
0.0063
0.0011
0.0003814
0.610
-1.824
-0.361
-0.024
1.837
0.384
0.055
0.545334
0.075224
0.719991
0.980822
0.073294
0.703130
0.956041

*

*

Unadjusted R-squared = 0.079
Value of the LM statistic = 3.861657
Chi-square (3): area to the right of 3.861657 = 0.276796

[Lu rng p-value cho bit khng th bc b gi thuyt khng, nhng h s ca bin EDUC
2
c
ngha ti mc ngha 7,33%]

Trong v d ny, phng php t tng qut n n gin s tt hn v s trnh c s m h.
Tuy nhin, nu chng ta s dng quy tc p-value 0,5 trong vic chn bin, hai phng php l
nh nhau.

V d trn gii thch rng, mc d kim nh LM l mt cng c chn on hu ch trong vic
xy dng mt khung phn tch t n gin n tng qut, trong mt s trng hp tnh hu ch
ca chng b hn ch. Tuy nhin, chng ta s thy cc chng 8, 9, v 10 rng kim nh LM
rt mnh trong nhiu tnh hung.

6.15 Th Tc RESET Ramsey Xc nh Sai S c Trng Hi Quy

Ramsey (1969) ra mt phng php khc kim nh c trng ca m hnh. N c gi
l RESET (kim nh sai s c trng hi quy). Vic p dng th tc ny cng d dng nh
vic p dng kim nh LM c m t phn trc. Cc bc ca th tc RESET c thc
hin nh sau:
Bc 1: c lng m hnh theo th tc OLS v lu cc gi tr c thch hp
t
Y
.
Bc 2: Thm cc bin
2
t
Y
,
3
t
Y
, v
4
t
Y
vo m hnh bc 1 v c lng m hnh mi

Bc 3: Thc hin kim nh F Wald cho vic loi b ba bin mi trong bc 2. Nu gi
thuyt khng cho rng cc bin mi khng c hiu ng b bc b, chnh l du hiu
ca sai s c trng.

C s ca th tc RESET Ramsey l cc phn d c lng (
t
u ) m i din cho cc tc ng
bin b loi b c th c tnh xp x bng t hp tuyn tnh ca cc ly tha ca cc gi tr
c thch hp. Nu cc ly tha ny c cc tc ng c ngha, th m hnh gc c coi nh
b c trng sai. Tuy nhin, nhc im chnh ca phng php RESET l kim nh s
khng ch ra c loi c trng sai v cng khng gi dng hm thch hp cn s dng. Tuy
vy, kim nh ny b sung cho cc kim nh Wald v LM c ng dng kim nh cc tc
ng ng v phi tuyn c th. im ny c minh ha trong v d di y.


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V D 6.9

Trong v d 6.2, chng ta s dng tp d liu DATA6-1 c lng hm chi ph trung bnh
ca mt cng ty sn xut. u tin chng ta s dng th tc RESET kim nh xem quan h
tuyn tnh th hin bn cht bi ton cha (xem Phn Thc Hnh My Tnh 6.12 v cc
bc chy li cc kt qu ca v d ny). Nh vy, chng ta hi quy bin UNITCOST theo s
hng hng s, OUTPUT, v INPCOST, v lu cc tr c lng ca Y ( Y
). Tip theo chng ta

tin hnh hi quy bin UNITCOST theo cc bin trn v thm cc ly tha ca tr c lng Y
v thc hin kim nh F Wald cho cc ly tha ca Y
. Tr thng k tnh ton F bng 3,7447,

tr ny, theo gi thuyt khng l cc bin c thm vo khng tc ng n UNITCOST, c
phn phi F vi 3 bc t do t s v 14 (=20 6) bc t do mu s. Gi tr p-value tng
ng l 0,036407, c ngha rng cc h s ca cc bin c thm vo c ngha kt hp di
mc 5%. Ni cch khc, th tc RESET ch ra s c trng sai m hnh. Trong v d 6.2, chng
ta thm vo s hng bc hai i vi bin OUTPUT v nhn thy bin c mt tc ng c
ngha (iu ny cng chng c g ngc nhin bi v l thuyt cho chng ta thy ng cong chi
ph trung bnh c dng tng qut hnh ch U). iu ny i hi trc tin phi hi quy bin
UNITCOST theo mt s hng hng s, OUTPUT, INPCOST, v OUTPUT
2
v lu cc tr c
lng Y nh trc . Sau thm ly tha ca tr Y c lng vo lm bin gii thch v s
dng kim nh F Wald i vi cc bin c thm vo ny. Tr thng k F l 0,4826 vi tr p-
value bng 0,7. V gi tr ny qu cao, chng ta khng th bc b gi thuyt khng rng cc bin
c thm vo khng c nh hng n bin UNITCOST. Nh vy, phng php RESET cho
rng m hnh cui cng trong V d 6.2 c th khng b c trng sai.

BI TP THC HNH 6.16
Ap dng th tc RESET kim nh c trng sai trong m hnh cui cng phn bi tp v d
6.7.

BI TP THC HNH 6.17
Lm tng t cho m hnh cui cng trong V d 6.5

Tm Tt

M hnh hi quy tuyn tnh n cng c th c s dng gii quyt cc quan h khng tuyn
tnh, vi iu kin l m hnh tuyn tnh trong cc thng s. Cc dng hm khc nhau thng
c s dng l m hnh bn lgart hoc tuyn tnh-lgart, quan h lgart-tuyn tnh, m hnh
lgart hai ln, v php bin i nghch o.
Bnh phng v ly tha cao hn ca cc bin c lp, hoc tr ca cc bin, d dng
c xem xt trong m hnh min l cc h s hi quy cha bit dng nh c dng tuyn tnh.
Ch cn bin i d liu thch hp v a chng vo trong m hnh. Tc ng cn bin ca mt
bin c th c to ra ph thuc vo mt bin gii thch khc thng qua cc s hng tng
tc. Mt s m hnh khng th bin i c v dng c cc thng s tuyn tnh. Trong nhng
trng hp nh vy, th tc c lng bao gm phng php bnh phng nh nht phi tuyn
hoc phng php thch hp cc i.

Vic so snh gi tr R
2
ca cc m hnh s khng ng tr phi chng c cng cc bin pha
bn tay tri ca m hnh. Nu cc bin ph thuc khc nhau, chng ta c th s dng cc m
hnh khc d on gi tr ca cng bin v k tnh h s tng quan ca cc gi tr tin
on v quan st ca bin ny. Cc h s tng quan ny c th c so snh vi nhau gia cc

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m hnh. Tuy nhin cn lu rng cc d bo v mc ca bin c lp c to ra t cc m
hnh tuyn tnh-lgart v lgart hai ln l thin lch v khng nht qun v cn c h s hiu
chnh.

Ba phng php thng c s dng nht trong kim nh gi thuyt lng vo nhau -
ngha l, trong cc gi thuyt m trong m hnh gii hn l tp con ca mt m hnh khng
gii hn tng qut hn. l cc kim nh Wald, kim nh t s thch hp (LR), v kim nh
nhn t Lagrange (LM). Phng php Wald (cn c gi l phng php lp m hnh t tng
qu n n gin Hendry/LSE) lp m hnh vi nhiu bin c lp v cc tr ca chng v
k n s hi liu rng c loi bt mt s bin khng. Kim nh LM lin quan n vic lp m
hnh c bn v tip theo l liu c nn thm bin no khc no m hnh khng. y l phng
php t n gin n tng qut. C hai phng php s dng s phn on v u hu dng,
ty vo tnh hung. Kim nh LR xem hai m hnh tng ng.

Mc d mt cch tim cch (ngha l, vi c mu ln) ba kim nh ny tng ng,
kim nh LM hu dng trong cc tnh hung tng qut hn. N cng hu dng trong vic kim
nh cc tc ng phi tuyn v s tn ti ca cc s hng tng tc. Kim nh LM c tin
hnh theo ba bc: (1) hi quy bin ph thuc theo mt nhm bin c lp c bn, bao gm c
s hng hng s; (2) xc nh cc phn d t th tc OLS c thc hin Bc (1); v (3) hi
quy cc phn d theo tt c cc gi tr ca X trong Bc (1), cng nh cc bin mi (m v s
lng), m c th gm cc s hng phi tuyn hoc tch cho (bnh phng v tng tc) ca cc
bin c lp.

Nu tch ca c mu (n) v R
2
khng hiu chnh t php hi quy ph ny (ngha l, nR
2
) ln hn
_
2
m
(o), im nm trn phn phi Chi bnh phng vi m bc t do, v pha phi sao cho phn
din tch l o (mc ngha), th gi thuyt khng cho rng tt c m bin c thm vo c h s
bng 0 b bc b. Nu gi thuyt b bc b, tr t-values trong Bc (3) s gip xc nh cc bin
c th c thm vo m hnh c bn. Ngay c nu kim nh nR
2
khng bc b c gi thuyt
khng v cc h s bng 0, tr thng k t ca php hi quy ph c th gi rng mt s bin nn
c thm vo. Sau cc bin ny c th c thm vo m hnh c bn thc hin cc tp
c lng mi. Trong cc chng sau chng ta s thy rng cc nguyn tc ca th tc kim
nh LM c th p dng c trong cc trng hp tng qut hn.

Kim nh sai s c trng hi quy Ramsey (RESET) cng c th c s dng kim
nh c trng ca m hnh. u tin m hnh c c lng v cc tr c lng ca Y ( Y
)
c lu li. Cc bin
2
t
Y
,
3
t
Y
, v
4
t
Y
c thm vo m hnh v kim nh F kt hp c

thc hin cho cc h s. Nu cc h s l c ngha kt hp, y s l du hiu ca c trng
sai m hnh. Tuy nhin, th tc ny khng xc nh bn cht ca c trng sai. D vy, phng
php RESET c th l mt phng php b sung hu ch cho kim nh Wald, LM v LR v c
trng m hnh.

Thut ng

Auxilary Regression
Base
Box Cox transformation
Cobb Douglas production function
Constant returns to scale
Data based simplication
Hi quy ph
C s
Php bin i Box Cox
Hm sn xut Cobb Douglas
Li nhun khng i theo quy m
n gin ha da trn d liu

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Data generation process
Decreasing returns to scale
Derivative
Qu trnh pht d liu
Li nhun gim dn theo quy m
o hm
Double-log model M hnh lgart hai ln
Dynamic model M hnh ng
Elasticity co gin
Elasticity of output with respect to capital co gin ca sn lng theo vn
Elasticity of output with respect to labor co gin ca sn lng theo lao ng
Exponent S m e
Exponential function Hm s m
General to simple approach Phng php t tng qut n n gin
Hendry/LSE approach Phng php Hendry/LSE
Increasing returns to scale Li nhun tng dn theo quy m
Instantaneous rate of growth T l tng trng tc thi
Interaction terms S hng tng tc
Lagrange multiplier (LM) test Kim nh nhn t Lagrange (LM)
Lags in behavior tr v hnh vi
Likelihood ratio (LR) test Kim nh t s thch hp
Linear-log model M hnh lgart-tuyn tnh
Logarithmic function Hm lgart
Logistic curve ng cong Logistic
Logit model M hnh Logit
Log-linear model M hnh tuyn tnh-lgart
LSE approach Phng php LSE
Marginal effect Tc ng cn bin
Natural logarithm Lgart c s e
Nested hypothesis Gi thuyt lng vo nhau
Nonlinearity in parameters Tnh phi tuyn ca cc thng s
Nonested hypothesis Gi thuyt khng lng vo nhau
Overparametrized Qu nhiu thng s
Parsimonious specification c trng xc tch
Polynomial curve-fitting Thch hp bng ng cong a thc
Reciprocal transformation Php bin i nghch o
Regression specification error test (RESET) Kim nh sai s c trng hi quy
Semilog model M hnh bn lgart
Simple to general approach Phng php t n gin n tng qut
Spurious nonlinearity Phi tuyn gi to
Static model M hnh tnh
Trend-fitting Thch hp ng xu hng
Unitary elastic Co gin n v

6.A PH LC CHI TIT V CC KIM NH LR, WALD V LM

Ph lc ny cung cp cc chi tit l thuyt v kim nh Wald, t s thch hp v nhn t
Lagrange. Tuy nhin, trc khi xem phn ny bn nn c phn 2.A.3 v nguyn tc thch hp
cc i v phn 3.A.5 v ng dng ca n i vi m hnh hi quy tuyn tnh n. Mc d ba
kim nh ny c th ng dng trong nhiu trng hp nhng y chng ta vn nn tp trung
vo cc vn hi quy, c bit l m hnh sau y:

y
t
= |x
t
+ u
t
(6.A.1)

Nhng ch vit thng th hin cc lch ca cc bin so vi gi tr trung bnh tng ng.
Nh trnh by phn 4.A.1, li ch ca cch tip cn ny l loi b hng s. Theo s gi nh
ny, cc gi tr u tun theo phn phi chun c trung bnh l 0, phng sai o
2
, logarit ca hm

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thch hp i vi tp hp cc quan st y
1
, y
2
, , y
n
v tham s | cha bit c vit nh sau
(qu trnh ny tng t nh qu trnh trong phn 3.A.5).

( )
( )
2
2
2
2 ln ln ln
x y
n n L
t t

=

(6.A.2)

Gi thuyt khng m chng ta ang xem xt c dng | = |
0
v gi thuyt ngc li | = |
0
.
Khi |
0
= 0, iu ny tng ng vi cu hi liu bin s x c thuc v m hnh khng. Mi th
tc kim nh c tho lun ring r, v sau thc hin so snh cc phng php v mt hnh
hc. Xem li chng minh ca Buse (1982) v Engle (1982) cng nh Ramanathan (1993) bit
chi tit hn v ba kim nh ny.

6.A.1 Kim nh T s Thch Hp

Trong thng k, th tc kim nh c in da trn t s thch hp, m theo nhng cm t n
gin, n c nh ngha nh t s ca gi tr ln nht ca hm thch hp vi gi thuyt khng b
chia bi gi tr ln nht ca n khi khng b gii hn. c bit hn, cho
l c lng thch hp
cc i ca tham s. Hm thch hp c nh gi t nhng gi tr ny c din t bi L(

),
b qua o
2
. Hy t hm thch hp theo gi thuyt | = |
0
l L(|
0
). T s thch hp c xc nh
nh sau:

)
(
) (
0
L
L
=

Bi v mu s da trn m hnh khng gii hn, nn gi tr ca n khng th nh hn gi tr
ca t s. V th, 0 s s 1. Nu gi thuyt ny ng, bng trc gic chng ta k vng gn
bng 1. Nu cch xa 1 th LR theo gi thuyt khng khc vi LR theo m hnh khng gii hn,
l gi thuyt ngc li. iu ny cho thy rng chng ta nn bc b gi thuyt khng nu
qu nh. Kim nh LR c thnh lp nh l mt kim nh bc b gi thuyt khng nu s K,
vi K c xc nh bi iu kin, theo gi thuyt khng, 0 s s K tng ng vi mc
ngha (o); ngha l, P(0 s s K|| = |
0
) = o.
Trong mt s trng hp, vng ti hn s K c th chuyn sang mt hnh thc khc lin
quan n thng k mu ph bin nh l thng k t hay F. Trong nhng tnh hung ny, kim
nh LR gim xung thnh kim nh t-, F-, hay _
2
. V d cho nhng trng hp ny, ngi c
tham kho Mood, Graybill v Boes (1974) v c Ramanathan (1993), Chng 9. Nhng kim
nh khc trnh by Chng 2 c th xut pht t nguyn tc t s thch hp. Khi khng th
chuyn sang dng thng k khc c phn b ph bin, th php th tin hnh trn mt lng mu
ln thng c s dng. iu c th ch ra rng (xem Ramanthan. 1993, trang 228), i vi
kch c mu ln, thng k

) ( ln 2 - )
( ln 2 ln 2 - LR
0
L L = =
(6.A.3)

c phn b chi-square vi bc t do tng ng vi s gii hn, bc t do bng 1 nh trong v
d ca chng ta. tng ng sau kim nh ny c th c trnh by mt cch hnh hc.
hnh 6.A.1, logarit ca hm thch hp c v khi ch c duy nht mt tham s trong m hnh.

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
) ( L ln |
) ( L ln
0
|
|
)
( L ln |
|
0
|
LR
2
1
Hnh v nm bn di trc bi v log ca hm thch hp (n l mt mt phn b nh hn 1)
l s m. im

tng ng vi trng hp khi hm thch hp t gi tr cc i v |

0
tng
ng vi gi thuyt khng. Kim nh LR da trn hiu s v tung , chnh l bng mt na LR.
Nu khong cch theo tung ln, gi thuyt khng b bc b.

V D 6.A.1

Nguyn tc kim nh t l thch hp c minh ha cho kim nh gi thuyt | = 0 trong
phng trnh (6.A.1). Bng cch tin hnh nh trong Phn 3.A.5 v s dng ch thch trong
Phn 3.2, chng ta lu rng hm thch hp khng gii hn ch t cc i khi

= S
xy
/S
xx
v
2
=
2
t
u /n = ESS/n, trong ESS l tng bnh phng sai s. Gi tr cc i tng ng l

| |
/2 - 2 2
2
1
) /(2 exp
2
1

n
n
t
n
e u L
|
|
.
|
\
|
=
|
|
.
|
\
|
=

t o
o
t o

Theo gi thuyt khng | = 0, m hnh tr thnh y
t
= u
t
v hm thch hp tr thnh
| | | | ) /(2 exp
2
1
) /(2 exp
2
1
) (
2 2 2
o
t o
o
t o
o

|
|
.
|
\
|
=
|
|
.
|
\
|
=
2 2
t
n
t
n
y u L

Hm ny cc i khi
2
~
=
2
t
y /n = TSS/n, trong TSS l tng bnh phng. Do vy, gi tr cc
i theo gi thuyt khng c cho bi

/2 -
2
~
1

~
n
n
e L
|
|
.
|
\
|
=
t o

T s thch hp l
n/2 2 2 n
)
~
/ ( )
~
/ (
/
~
o o o o = = = L L
. Tr thng k kim nh LR l

Hnh 6.A.1 Biu din hnh hc ca cc kim nh Wald, LR, v LM


Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
) - ln(1 - (ESS/TSS) ln - )
~
/ ( ln - ln 2 - LR
2 2 2
R n n n = = = = o o

trong R
2
l R
2
cha hiu chnh ca m hnh khng gii hn.
i vi nhng mu ln, LR c phn phi chi-square vi bc t do l 1. Chng ta s bc b
gi thuyt khng vi | = 0 nu LR > K, trong K l im trn
2
t
m vng bn phi ca K l
mc ngha.

6.A.2 KIM NH WALD

Khng ging nh kim nh LR, s dng hiu s tung (xem hnh 6.A.1), kim nh Wald s
dng php o bnh phng hiu s honh . c bit, hiu s honh bnh phng (| |
0
)
2
,
c gn trng s bi hm dng I(

), c s dng:
) ( ) - (
2
0
I W = (6.A.4)

trong

(
c
c
=
2
2
ln
- ) (
L
E I (6.A.5)

l gi tr k vng ca o hm bc hai ca hm thch hp-logarit theo |. l mt php o
cong ca hm thch hp-logarit. Hm I c bit nh l ma trn thng tin. Th tc tnh ton i
vi kim nh ny c th c tin hnh bng cch c lng m hnh gii hn v m hnh
khng gii hn, nh c thc hin trong Chng 4, v bng cch xy dng mt tr thng k
F. Vic chng minh c bi bn cho kim nh ny i hi v i s tuyn tnh. (xem
Ramanathan, 1993, trang 273-275).

V D 6.A.2
Trong trng hp hi quy n, lu rng

tun theo phn b N(|

0
, o
2
/S
xx
). V th,
) / )/( -
( z
0 xx
S = tun theo phn phi chun, v v th z
2
l chi-square vi bc t do bng 1.
V vy, thng k kim nh Wald tng ng vi gi thuyt khng | = 0 c cho bi
2
xx
2
/ S
W = . T phng trnh (3.12) chng ta c
S
xx
=S
xy
. Chng ta cng tm ra
S
xy
=RSS, tng bnh phng hi quy, trong Phn 3.A.1. S dng hai k qu ny, chng ta c

2
2
xx
1 ESS
RSS

ESS/
) S

R
nR n
n

W
= = =

Nh trong trng hp kim nh LR, hm ny c phn phi chi-square i vi mu ln. Gi
thuyt khng s b bc b nu W vt qu gi tr ti hn K c rt ra trong V d 6.A.1.

6.A.3 KIM NH NHN T LAGRANGE

Kim nh LM trong Chng 2 da trn k thut nhn t Lagrange ti u ha cc rng buc.
M hnh gii hn c c bng cch p t iu kin | bng vi |
0
. iu ny gi rng chng
ta ti a ha logarit ca hm thch hp theo | vo
2
, vi rng buc | = |
0
. Nh chng ta thy

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi
Phn 2.A.2, iu ny tng ng vi cc i ha ln L(|) (| |
0
), trong l nhn t
Lagrange. iu kin o hm bc nht cho vic cc i ha l
L

ln
=
c
c

Nu gi thuyt khng | = |
0
l ng, c lng thch hp cc i gii hn s gn vi gi tr
c lng khng gii hn. Chng ta cng lu rng nu nhn t Lagrange, , l 0, th phng
trnh s cho gi tr c lng thch hp cc i. Do , nhn t Lagrange c th c din gii
nh l gi m ca rng buc | = |
0
. Nu gi cao, rng buc nn b bc b v khng nht qun
vi s liu. iu ny chnh l ng c dn n kim nh LM. Kim nh LM da trn o hm
ring phn (| ln L)/c|, c bit n nh hm gi tr im v c m t bi S. Engle (1982),
c c t thng k kim nh cho m hnh hi quy bi v cho thy rng kim nh c th c
thc hin bng cch chy hi quy ph trn cc phn d c lng ca m hnh gii hn (cng c
th xem Ramanthan, 1993, trang 276-277). Cc bc thc hin c trnh by trong Phn 6.14.
Thng k kim nh LM c dng

LM = S
2
(|
0
) I(|
0
)
-1
(6.A.6)

Trong hnh 6.A.1, hm gi tr im, o hm ring phn ca hm thch hp-logarit, chnh l
dc ca ca th ti |
0
. Gi thuyt ngc li tng ng vi S(|) = 0: c ngha l dc gn
ti 0. V th, kim nh Wald da trn hiu s honh gia

v |
0
trong th, kim nh LR
da trn hiu s tung , v kim nh LM da trn dc ca ng cong |
0
. Mi kim nh l
php o hp l v khong cch gia gi thuyt khng v gi thuyt ngc li. Mt cch c lp
nhau, Engle (1982) v Buse (1982) ch ra rng khi hm thch hp-logarit l hm bc hai (nh
phng trnh Phn 6.A.2), th tt c ba th tc kim nh ny u cho kt qu nh nhau. i
vi mt m hnh tuyn tnh tng qut, c s bt cn xng v rng buc gia ba tiu chun kim
nh. iu ny c th hin nh sau:

W > LR > LM

iu c ngha l bt c khi no kim nh LM bc b gi thuyt khng vi cc h s zero,
th cc kim nh khc cng vy. Tng t, bt c khi no kim nh Wald khng bc b gi
thuyt khng th cc kim nh khc cng vy. Ni mt cch my mc, kim nh LR th rm
r nht, tr khi chuyn i sang kim nh t, F, hay kim nh _
2
. Hai cch kim nh khc n
gin hn, nh th hin trong ti liu.

V D 6.A.3

Trong trng hp hi quy n, hm gi tr im c cho bi

2 2

) (

ln
S
u x
x x - y
L
t t t t t
= =
c
c
=
v phng sai ca n l x
2
t
/o
2
= S
xx
/ o
2
. Do ,

( )
2
1
t t
u x
~
S Var(S)
S
z
xx
2
2
2
2

= =

Cc phng php nh lng
Bi c
th

ed.
m hnh

Hiu nh: Cao Ho Thi

Do , tr thng k kim nh LM c cho bi
( )
xx
2
2
S
~
LM
u x
t t
=
Hy xem xt hi quy ph
t
u = x
t
+ v
t
. Lm theo cc bc ging nh v d 6.A.1, d dng c
c cc phng trnh sau:

~
, RSS ,
S

2
2
aux
xx
n
u
u x
u x
t
t t
t t
= = =
Thay th cc biu thc ny vo tr thng k kim nh LM, chng ta c

( ) | | | |
2
aux aux aux
2
aux
TSS RSS RSS LM nR n u n
t
= = =

iu ny to ra kt qu c cho trong ti liu rng tr thng k kim nh LM bng s quan
st nhn vi R
2
cha hiu chnh ca hi quy ph. Mc d chng minh ny ch cho trng hp
hi quy n c xem xt y, nhng n cng ng cho m hnh hi quy bi tng qut. Mun
bit thm chi tit, hy xem Ramanathan (1993), trang 276-278.

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Chng trnh Ging dy Kinh t Fulbright

Nin kha 2012-2014

| < 0, gii thch cho quan h dng ch U. M

| < 0; do , hm sn xut s c th nh Hnh 6.5 vi gi tr cc i t

1)/. Sau chng ta

vo m hnh bc 1 v c lng m hnh mi

). Tip theo chng ta

. Tr thng k tnh ton F bng 3,7447,

c thm vo m hnh v kim nh F kt hp c

tng ng vi trng hp khi hm thch hp t gi tr cc i v |

tun theo phn b N(|

W = . T phng trnh (3.12) chng ta c

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