Kinh Te Luong

Kinh t lung
MC LC
BI 1:
KINH T LNG L G?
TNH HUNG DN NHP ........................................................................................................ 3
1.1. Kinh t lng l g?........................................................................................................ 3

1.2. M hnh kinh t v m hnh kinh t lng ....................................................................... 4
1.3. Mc ch v phng php lun ca kinh t lng ................................................................. 4
TM LC CUI BI .............................................................................................................. 8
CU HI THNG GP ........................................................................................................... 9
BI TP TRC NGHIM ........................................................................................................... 9
BI 2:
PHN TCH HI QUY V MT S TNG C BN
TNH HUNG DN NHP ........................................................................................................12
2.1. Khi nim phn tch hi quy ..........................................................................................13

2.2. Hm hi quy tng th...................................................................................................16
2.3. Hm hi quy mu.........................................................................................................17
2.4. Sai s ngu nhin trong m hnh hi quy ......................................................................17
TM LC CUI BI .............................................................................................................20
CU HI THNG GP ..........................................................................................................21
BI TP TRC NGHIM ..........................................................................................................21
BI 3:
M HNH HI QUY TUYN TNH N
TNH HUNG DN NHP .......................................................................................................24
3.1. c lng tham s hi quy bng phng php bnh phng ti thiu .............................25
3.2. H s xc nh r 2 o ph hp ca hm hi quy mu.................................................30
3.3. Phn b xc sut ca cc tham s hi quy mu .............................................................32
3.4. c lng khong cho h s hi quy.............................................................................34
3.5. Kim nh gi thuyt v cc h s hi quy ....................................................................35
3.6. Phn tch phng sai trong phng trnh hi quy ...........................................................41
3.7. ng dng ca phn tch hi quy, bi ton d bo .........................................................42
TM LC CUI BI .............................................................................................................44
CU HI THNG GP ..........................................................................................................46
BI TP TRC NGHIM ..........................................................................................................46
Kinh t lng
y
BI 4:
M HNH HI QUY BI
TNH HUNG DN NHP ...................................................................................................... 48
4.1. M hnh hi quy vi hai bin gii thch .......................................................................... 49

4.2. c lng tham s ca m hnh hi quy ...................................................................... 50
4.3. Phng sai v lch chun ca cc c lng bnh phng nh nht.......................... 51
4.4. M hnh hi quy bi ..................................................................................................... 51
4.5. Cc tnh cht ca c lng bnh phng nh nht ....................................................... 53
4.6. H s xc nh bi R 2 v h s xc nh hiu chnh...................................................... 54
4.7. Quan h gia h s xc nh v tiu chun kim nh F................................................. 55
4.8. c lng khong cho h s hi quy ............................................................................ 57
4.9. Kim nh gi thuyt cho cc h s hi quy................................................................... 58
4.10. D bo cho m hnh hi quy tuyn tnh bi ................................................................. 60
TM LC CUI BI ............................................................................................................ 61
CU HI THNG GP ......................................................................................................... 63
BI TP TRC NGHIM ......................................................................................................... 63
BI 5:
A CNG TUYN
TNH HUNG DN NHP ...................................................................................................... 66
5.1. Khi nim a cng tuyn ............................................................................................. 67

5.2. c lng khi c a cng tuyn hon ho .................................................................... 67
5.3. c lng khi c a cng tuyn khng hon ho ......................................................... 68
5.4. Hu qu ca hin tng a cng tuyn ....................................................................... 69
5.5. Pht hin hin tng a cng tuyn ............................................................................ 70
5.6. Bin php khc phc hin tng a cng tuyn ........................................................... 72
TM LC CUI BI ............................................................................................................ 77
CU HI THNG GP ......................................................................................................... 78
BI TP TRC NGHIM ......................................................................................................... 78
BI 6:
PHNG SAI SAI S THAY I
TNH HUNG DN NHP ...................................................................................................... 80
6.1. Nguyn nhn ca hin tng phng sai sai s thay i................................................ 81
6.2. Hu qu ca phng sai sai s thay i........................................................................ 82
Kinh t lung
6.3. Pht hin hin tng phng sai sai s thay i ...........................................................82
6.4. Bin php khc phc hin tng khng thun nht ca phng sai sai s ......................88
TM LC CUI BI .............................................................................................................90
CU HI THNG GP ..........................................................................................................91
BI TP TRC NGHIM .........................................................................................................91
BI 7:
LA CHN M HNH HI QUY
TNH HUNG DN NHP .......................................................................................................94
7.1. Cc thuc tnh ca mt m hnh tt ..............................................................................95

7.2. Cch tip cn la chn m hnh ...................................................................................96
7.3. So snh hai m hnh hi quy .........................................................................................98
7.4. Hu qu ca vic chn m hnh khng ph hp ............................................................99
7.5. Kim nh pht hin s b st bin .............................................................................101
7.6. Kim nh pht hin hin tng tha bin ...................................................................104
7.7. La chn gia m hnh hi quy tuyn tnh v m hnh hi quy lga tuyn tnh...............104
7.8. Bn cht ca bin gi v m hnh hi quy vi bin gii thch l bin gi.........................106
7.9. M hnh hi quy vi mt bin lng v mt bin cht...................................................108
7.10. M hnh hi quy vi mt bin lng v hai bin cht ..................................................109
7.11. S dng bin gi trong phn tch ma .......................................................................110
7.12. Hi quy tuyn tnh tng khc ....................................................................................112
7.13. M hnh hi quy a thc ...........................................................................................113
7.14. nh hng tng tc................................................................................................114
TM LC CUI BI ...........................................................................................................115
CU HI THNG GP ........................................................................................................116
BI TP TRC NGHIM ........................................................................................................116
BI 8
T TNG QUAN
TNH HUNG DN NHP .....................................................................................................118
8.1. Bn cht ca hin tng t tng quan ......................................................................119

8.2. c lng bnh phng nh nht khi c t tng quan ...............................................119
8.3. Pht hin hin tng t tng quan............................................................................120
8.4. Hu qu ca hin tng t tng quan .......................................................................125
8.5. Bin php khc phc hin tng t tng quan ...........................................................125
Kinh t lng
y
TM LC CUI BI ...........................................................................................................126
CU HI THNG GP ........................................................................................................127
BI TP TRC NGHIM ........................................................................................................127
P N .............................................................................................................................129
PH LC ............................................................................................................................141
THUT NG .......................................................................................................................153
TI LIU THAM KHO ..........................................................................................................161
Bi 2: Phn tch hi quy v mt s tng c bn
BI 2. PHN TCH HI QUY V MT S TNG C BN

Mc tiu
Sau khi kt thc bi, hc vin s hiu

c nhng vn sau y:
Khi nim phn tch hi quy.
S liu trong phn tch hi quy.
M hnh hi quy tng th (PRF).
M hnh hi quy mu (SRF).
Quan nim tuyn tnh trong phn tch
hi quy.
ngha ca nhiu ngu nhin trong
m hnh.
Ni dung
Hng dn hc
Khi nim phn tch hi quy.
c ti liu c c nhng
tng chnh.
S liu trong phn tch hi quy.

M hnh hi quy tng th (PRF).
M hnh hi quy mu (SRF).
Quan nim tuyn tnh trong phn tch hi quy.
ngha ca nhiu ngu nhin trong m hnh.
Thi lng
Ly cc v d minh ha cho khi

nim phn tch hi quy.
Tp trung hiu r v phn bit 2
khi nim hm hi quy tng th v
hm hi quy mu.
Hiu r vai tr ca nhiu ngu nhin
(sai s ngu nhin) trong m hnh.
5 tit
11
TNH HUNG DN NHP
Tnh hung
Ban gim hiu Vin i hc M quan tm ti kt qu hc tp nm
u tin ca sinh vin c b nh hng bi im thi u vo ca
sinh vin hay khng. tin hnh nghin cu, h s chn ra ngu
nhin 100 sinh vin hc ht nm u tin trong trng ri ly
thng tin v im thi u vo (X) v im trung bnh chung nm
th nht (Y). Nh nghin cu sau khi thc hin cc m t thng k
xem xt mi quan h gia X v Y quyt nh s dng m hnh hi quy tuyn tnh
dng E ( Y / X i ) = 1 + 2 X i . Vi mu trn, ngi ta c lng c m hnh hi quy mu
c dng:
= 3.25 + 0.75X
Y
i
i
Cu hi
Vi kt qu ny, cc nh nghin cu s kt lun g v s nh hng ca im

thi u vo ti im trung bnh hc tp nm th nht ca sinh vin Vin i
hc M?
Vi kt qu ny, ta c th suy ra rng im thi u vo l c nh hng n im trung bnh

nm th nht. C th, khi im thi u vo tng ln 1 im th im trung bnh chung nm th
nht ca sinh vin s tng trung bnh l 0,75 im.
12
2.1.
Khi nim phn tch hi quy
Trong cuc sng hng ngy, chng ta thng gp tnh hung khi phi thnh lp mi
quan h gia hai i lng. i khi mi quan h l hon ho. V d, quan h
chuyn i gia mt loi tin t v loi tin t khc c chi phi bi t sut chuyn
i gia chng. Ti mt thi im xc nh, mt la M c i thnh 18000 ng
Vit Nam. Vo cng ngy, khng quan trng ai l ngi ang giao dch, t sut chuyn
i vn nh vy. Quan h hon ho ny c m t bi mt cng thc ton hc:
Di = 18000E i
(2.1)
Trong cng thc (2.1) D l gi tr ng Vit Nam (VND), E l gi tr ca la M

(USD), ch s di i l giao dch th i. Trong thc t, ngi ta cn tr ph cho qu
trnh trao i, chng hn 2000 VND cho mi giao dch v nh vy cng thc c th cn
c ph trao i trong , nh cng thc (2.2). Tuy vy mi quan h vn l hon ho.
Di = 2000 + 18000E i
(2.2)
V d v giao dch tin t m t mt quan h hon ho, bi v vi mi la M c

a cho quy giao dch tin t, chng ta bit mt cch chnh xc l bao nhiu ng
Vit Nam chng ta s nhn li. Quan h tuyn tnh hon ho thng c m t bng
th l mt ng thng tt c cc im d liu ri vo ng thng ny. M
hnh ton hc ca quan h tuyn tnh hon ho c cho bi cng thc:
Yi = b1 + b 2 X i
(2.3)
trong , ch s di i c dng ch trng hp th i. Nh vy, khi c mt quan

h tuyn tnh hon ho gia hai i lng X v Y, ta hon ton c th d on c
gi tr ca Y khi bit trc gi tr c th ca X .
Tuy nhin khng phi mi mi quan h u l hon ho. i khi xy ra trng hp
m i lng Y khng th d bo hoc khng th gii thch c mt cch hon ton
qua gi tr ca i lng X. Phn d (hoc nhiu) l mt thut ng dng m t bt
c i lng no cn li ca Y m khng gii thch c bi X. V mt ton hc, vi
mi im d liu, phn d l s sai khc gia gi tr quan st c v gi tr c d
bo qua X ca Y. Quan h khng hon ho gia Y v X c biu th qua cng thc
(2.4). Cng thc ny gn nh ng nht vi cng thc (2.3), ch khc phn d u
c cng thm vo.
Yi = b1 + b 2 X i + u i
(2.4)
Tng ca tt c cc phn d a ra mt du hiu ca vic gii thch hiu lc tc ng

ca X i vi Y. Khi phn d nh, th X l mt d bo mnh ca Y (hay gia X v Y
c quan h tuyn tnh mnh). Cn khi phn d ln, X l mt d bo yu ca Y (hay
gia X v T c quan h tuyn tnh yu). Theo biu , nhng du chm ca im d
liu gn vi ng d bo khi X l mt d bo mnh ca Y, cn nhng du chm
phn tn xa ng d bo khi X l d bo yu ca Y. iu ny c m t di dng
biu trn Hnh 2.1.
Phng trnh (2.4) biu din m hnh hi quy tuyn tnh n, ni dung xut pht v
n gin nht trong cc nghin cu v phn tch hi quy. T , ta c th tng bc
xy dng cc m hnh phc tp hn, thit k cc cng c a dng hn gii quyt
cc vn trong kinh t lng.
13
Quan h tuyn tnh mnh
Quan h tuyn tnh yu
Hnh 2.1 Mc quan h tuyn tnh gia hai bin.
Phn tch hi quy l mt trong nhng cng c c bn

ca kinh t lng. Phn tch hi quy l m t mi quan
h ph thuc ca mt bin (thng c gi l bin
ph thuc hay bin c gii thch) vo mt hay
nhiu bin khc (thng c gi l bin c lp hay
bin gii thch).
Ta k hiu bin c gii thch (bin ph thuc) l Y
v cc bin gii thch (bin c lp) l X1 , X 2 ,..., X k .
Thut ng hi quy c Francis Galton s dng khi
ng nghin cu cc mi quan h gia chiu cao ca
Francis Galton
nhng a tr v chiu cao ca b m chng. ng thy
(1822-1911)
rng mc d b m cao hoc thp th cng c nhng a
tr thp hoc cao nhng c mt xu th l chiu cao ca nhng a tr s hi t v mt
chiu cao trung bnh no ph thuc mt phn vo chiu cao ca b m.
Trng hp s bin gii thch k = 1 th ta gi l hi quy n, nu s bin gii thch k >1
th ta gi l hi quy bi.
V d 1: M hnh hi quy n vi mt bin ph thuc Y v mt bin c lp X, trong
Y = mc chi tiu
X = thu nhp
V d 2: M hnh hi quy bi vi bin ph thuc Y v
hai bin c lp X1 v X 2 , trong
Y = doanh thu ca cng ty
X1 = chi ph cho qung co
X 2 = lng tr cho nhn vin tip th
Trong v d 1 ta xc nh mi quan h ca mc chi
tiu Y v mc thu nhp X. Trong v d 2 ta xc nh
mi quan h gia doanh thu Y v chi ph cho qung co X1 v tin lng tr cho nhn
vin tip th X 2 .
Phn tch hi quy gii quyt nhng vn sau:
14
c lng gi tr trung bnh ca bin ph thuc vi gi tr cho ca bin c lp.

Trong v d 1, ta cn c lng mc chi tiu trung bnh khi bit mc thu nhp X.
D bo gi tr ca Y khi bit c gi tr ca bin gii thch X.
Kim nh gi thuyt v bn cht ca s ph thuc v xc nh hiu qu tc ng
ca bin c lp ln bin ph thuc.
Khi m t mi quan h gia bin ph thuc v cc bin c lp cng cn phn bit
r cc kiu quan h sau:
o Quan h tt nh hay cn gi l quan h ton hc gia X v Y, quan h ny
c cho di dng mt hm s Y = f (X) , c cho mt gi tr ca X ta s xc
nh c mt gi tr ca Y. Biu thc (2.3) m t mt mi quan h tt nh
gia X v Y.
o Quan h thng k l quan h m khng xc nh c gi tr duy nht ca Y
khi cho bit gi tr ca X m ta ch bit c gi tr ca Y theo mt xc sut
no , hay ni cch khc ta ch xc nh c phn b xc sut ca Y khi bit
gi tr ca X. Biu thc (2.4) tng ng vi mt mi quan h nh vy gia X
v Y.
Trong phn tch hi quy ta cp ti kiu quan h loi 2 trn y, ch khng chn
kiu quan h loi 1 lm i tng nghin cu.
V d 3: Xt v d 1 v mi quan h gia chi tiu Y v
thu nhp X. Gi s mi quan h c biu din qua
phng trnh
Y = b1 + b 2 X + u
trong b1 = 1,5 , b 2 = 0,9 , cn u l yu t ngu nhin
v u = 0,2 vi xc sut , u = 0,2 vi xc sut .
Khi nu bit gi tr ca X l bng 1 th gi tr ca Y l
Y = 2,6 vi xc sut ,
Y = 2,2 vi xc sut .
Nu u c phn b chun N(1; 2 ) , khi vi mi gi tr ca X th Y s c phn b
chun. Ta c th trong trng hp ny cho trong Hnh 2.2.
Y
K vng c iu kin
E(Y|xi)
Phn phi ca Y
vi X=x0
Hnh 2.2. Quan h ngu nhin gia X v Y vi sai s ngu nhin u c phn b chun.
15
Trong hnh 2.2, i lng Y khng nhn gi tr tt nh, cc gi tr ca Y c xc

nh mt cch ngu nhin, ph thuc vo gi tr ca i lng ngu nhin u.
ng thng tt nh Y biu din gi tr trung bnh ca Y ng vi tng gi tr cho
trc ca X. i vi mi gi tr c nh ca X th Y c th nhn nhng gi tr khc
nhau tp trung xung quanh gi trung bnh ca Y trn ng thng . Vi mi gi tr
X 0 ca X, gi tr ca Y c phn b chun trn ng thng X = X 0 (song song vi
trc tung). Mi quan h gia X v Y nh vy c gi l mi quan h ngu nhin v u
c gi l sai s hoc nhiu ngu nhin.
Tng qut hn, quan h gia X v Y c th c dng
Y = + X + u
vi u l nhiu ngu nhin c mt phn phi xc sut xc nh no . Trong phng
trnh trn thnh phn + X l thnh phn tt nh ca Y cn u l thnh phn ngu
nhin ca Y, cc tham s , c gi l cc h s hi quy, nhng h s ny s c
c lng t d liu quan st ca X v Y.
2.2.
Hm hi quy tng th
Cho hai bin X v Y, ta bit k vng c iu kin ca Y vi iu kin X, k hiu l

E(Y | X) , l mt hm ca bin X, ta c
E(Y | X) = f (X)
(2.5)
trong f (X) l hm ca bin gii thch X, cn c gi l hm hi quy tng th,

vit tt l (PRF) (population regression function).
Trong phng trnh (2.5) nu hm f c dng tuyn tnh th ta c m hnh hi quy
tuyn tnh n ca Y theo X. Khi ta c hm hi quy tng th (2.5) c dng
E(Y | X) = f (X) = 1 + 2 X ,
(2.6)
trong 1 v 2 l cc tham s cha bit v gi l cc h s hi quy,

1 : c gi l h s chn,
2 : c gi l h s dc (hoc h s gc).
Phng trnh (2.6) gi l phng trnh hi quy tuyn tnh n. Trong cc phng trnh
hi quy, thut ng tuyn tnh c hai ngha nh sau:
Tuyn tnh i vi bin:
V d: Phng trnh E(Y | X) = 1 + 2 X l tuyn tnh i vi bin, phng trnh
E(Y | X) = 1 + 2 X 2 khng tuyn tnh vi bin.

Tuyn tnh i vi tham s: hm E(Y | X) ch tuyn tnh theo tham s .
V d: Phng trnh E(Y | X) = 1 + 2 X l phng trnh tuyn tnh i vi cc
tham s v bin, cn phng trnh E(Y | X) = 1 + 2 X 2 l phng trnh tuyn tnh

i vi tham s nhng khng tuyn tnh i vi bin.
Thng thng trong cc m hnh hi quy, ta xt tnh tuyn tnh theo bin.
16
2.3.
Hm hi quy mu
Trong thc t khng th nghin cu c ton b tng th, do ch c th a

ra dng ca hm hi quy tng th ch khng th xc nh c hm ny mt
cch hon ton chnh xc. c lng c hm hi quy tng th phi da vo mt
mu c rt ra ngu nhin t tng th. Gi s c mu ngu nhin
(X1 , Y1 ), (X 2 , Y2 ),..., (X n , Yn ) , hm hi quy c xy dng da trn mu c gi
l hm hi quy mu, vit tt l SRF (Sample Regression Function).
V d: nghin cu s ph thuc gia nng sut la (Y) vi lng phn bn (X) ta
ly mt mu ngu nhin v thu c gi tr mu nh sau:
X
30
33
37
41
44
46
49
52
57
60
50
55
57
63
64
67
71
75
78
92
Khi X nhn gi tr Xi th gi tr ca E(Y | X) bng E(Y | X i ) , nhng do Y cha xc
l mt c lng ca
nh c nn E(Y | X i ) cng cha bit. Vy ta k hiu Y
i
E(Y | X i ) da trn s liu mu (Y1 , Y2 ,..., Yn ) . Ta thay E(Y | X i ) bng c lng
vo phng trnh hi quy tng th (PRF) ta thu c phng trnh:

tng ng Y
i
= + X ,
Y
i
1
2 i
(2.7)
trong 1 l c lng ca 1 , 2 l c lng ca 2 , phng trnh (2.7) c gi

l phng trnh hi quy mu trong hm hi quy mu (SRF).
2.4.
Sai s ngu nhin trong m hnh hi quy
Gi s ta c hm hi quy tng th:

E(Y | X) = f (X).
Vi mi gi tr ca X th E(Y | X) l k vng ca Y khi
X nhn mt gi tr c th, khi gi tr ca bin ngu
nhin Y s dao ng quanh gi tr k vng E(Y | X) .
K hiu u l sai lch gia Y v E(Y | X)
u = Y E(Y | X)
T ta c
Y = E(Y | X) + u.
(2.8)
Khi X nhn gi tr Xi th Y nhn gi tr Yi , v vy ta c

Yi = E(Y | X i ) + u i
(2.9)
u i l sai lch gia quan st th i v gi tr E(Y | X i ) , c gi l sai s ngu nhin

(hay nhiu ngu nhin), bao gm nhng gi tr m ta khng th quan st c. Nu
E(Y | X i ) c dng tuyn tnh tc l E(Y | X i ) = 1 + 2 X i , th phng trnh (2.9) c dng:
Yi = 1 + 2 X i + u i
(2.10)
T phng trnh (2.9) ta ly k vng c iu kin theo 2 v ta thu c

E(Yi | X i ) = E [ E(Y | X i ) + u i | X i ] = E(Y | X i ) + E(u i | X i ) .
17
T ta c: E(u i | X i ) = 0 .
Phng trnh (2.9) cho ta thy rng ngoi cc bin gii
thch trong m hnh vn cn nhng yu t khc nh
hng n bin ph thuc m nhng bin ny ta khng
th quan st c. V vy ta gp chng li v gi l
cc sai s ngu nhin khi biu din Y qua cc bin gii
thch X. Nhng v mt trung bnh th s nh hng ca
cc nhiu ngu nhin ny n bin ph thuc l bng 0.
Nh vy, cc yu t nh hng n bin ph thuc m khng c thng tin c th u
c a vo phn sai s ngu nhin. Vy liu c th a ra c ht cc yu t nh
hng n bin ph thuc hay khng v khi y c th loi b c s c mt ca
nhiu ngu nhin u i hay khng. Cu tr li l sai s ngu nhin vn lun tn ti v mt
s l do nh sau:
Vic xc nh c ht cc yu t c nh hng n bin ph thuc Y l rt kh,
n ging nh chng ta cn nghin cu ton b tng th;
Do iu kin k thut v kinh t nn ta mun c mt s m hnh n gin nht, tc
l mt m hnh m vi mt lng va bin gii thch ta cng c th gii thch
c cho hnh vi ca bin ph thuc. V th cn gp vo u i thay th cho cc bin
gii thch khc m c nh hng nh n hnh vi ca bin ph thuc.
Vi nhng l do nh trn th s tn ti ca yu t ngu nhin u i nh l mt s tt yu.
Gi s ta c phng trnh hi quy tuyn tnh tng th c dng (2.10). Da vo thng
tin ca mu ta c phng trnh c lng cho phng trnh l
Yi = 1 + 2 X i + u i ,
(2.11)
trong u i l c lng ca u i . T phng trnh (2.7) v (2.11) ta c

+ u
Yi = Y
i
i
(2.12)
Trn th ta c th biu din phng trnh hi quy mu (SRF) v hi quy tng th

(PRF) nh hnh 2.3:
ng hi quy mu
0 +
1 x1
y1 =
ng hi quy tng th
y1 = 0 + 1 x1
Hnh 2.3. ng hi quy tng th v ng hi quy mu.
18
Bi ton t ra l cn tm mt phng php v a ra cc iu kin da vo thng

tin mu ta thu c (SRF) l mt c lng tt nht cho phng trnh hi qui tng th
(PRF). Hay ni cch khc, ta cn xc nh h s c lng , c sai lch i
1
vi 1 , 2 l nh nht.
Trong chng sau s gii thch bi ton trn, tm c cc h s 1 , 2 sao cho tng
bnh phng cc sai s l nh nht, ng thi cng tm ra cc h s 1 , 2 l cc c
lng khng chch cho 1 , 2 (c lng khng chch ca mt tham s s m bo
xp x tt gi tr thc ca tham s khi c mu ln).
19
TM LC CUI BI
Phn tch hi quy (Regression Analysis): Phn tch hi quy l nghin cu s ph thuc ca
mt bin (thng c gi l bin ph thuc hay bin c gii thch) vo mt hay nhiu
bin khc (thng c gi l bin c lp hay bin gii thch).
Hm hi quy tng th: Gi s ta cn xem xt s ph thuc ca Y vo X. Nu nh ta bit
c ton b tng th, trung bnh c iu kin ca Y s l 1 hm s ca X:
E(Y/Xi) = 1 + 2Xi
(1)
1: h s chn, 2: h s gc
M hnh (1) gi l m hnh hi qui tng th PRF.
Hm hi qui mu: C mt mu ngu nhin t tng th ( X1 , Y1 ) , ... , ( X n , Yn ) . Ta c lng
c cc tham s trong m hnh (1), m hnh c lng c dng:
= + X
Y
i
1
2 i
(2)
l c lng ca E(Y/Xi ); v l c lng ca 1 v 2.

trong Y
i
1
2
M hnh (2) gi l m hnh hi quy mu (SRF).

Bn cht ca nhiu ngu nhin(ui): L phn chnh lch gia gi tr quan st v trung bnh
c iu kin ca Y:
Yi E(Y/Xi) = ui hay Yi = 1 + 2 Xi + ui
(3)
M hnh (3) c gi l dng ngu nhin ca PRF.

ui c th dng i din cho nh hng ca cc bin ngoi m hnh ln bin Y. Ta gi thit
l tng hp cc nh hng ny bng 0, hay E(ui /Xi) = 0.
20
CU HI THNG GP
1. Mc ch chnh ca k thut phn tch hi quy l g?
2. Thut ng hi quy tuyn tnh c th c hiu nh th no trong phn tch hi quy?
3. Trong cc m hnh hi quy tuyn tnh, c th khng s dng h s chn hay khng?
4. Vic s dng hi quy n v hi quy bi nh th no trong thc t?
5. Ti sao li cn a ra khi nim hm hi quy tng th?
6. Hm hi quy mu s cho bit iu g? C nhng cch th hin no cho hm hi quy mu v
hm hi quy tng th?
7. Khi nim v sai s ngu nhin v phn d c th c hiu th no?
BI TP TRC NGHIM
1. Phn tch hi quy l nghin cu v quan h ph thuc ln nhau (quan h qua li) gia bin
ph thuc v bin c lp.
A. ng.
B. Sai.
2. Trong phn tch hi quy, c th c nhiu bin ph thuc v nhiu bin c lp.
A. ng.
B. Sai.
3. Trong phn tch hi quy, hi quy tuyn tnh l thng mun ni ti tuyn tnh theo cc bin s.
A. ng.
B. Sai.
4. M hnh hi quy tng th 2 bin (PRF) c th c vit di dng:
A. Yi = 1 + 2 X 2i
= + X
B. Y
i
1
2 2i
C. Yi = 1 + 2 X 2i + u i
D. Yi = 1 + 2 X 2i + u i
5. M hnh hi quy mu 2 bin (SRF) c th c vit di dng:
A. Yi = 1 + 2 X 2i
= + X
B. Y
i
1
2 2i
C. Yi = 1 + 2 X 2i + u i
D. Yi = 1 + 2 X 2i + u i
6. Trong m hnh 2 bin Yi = 1 + 2 X 2i + u i , 1 v 2 c gi l:
A. H s hi quy ring.
B. H s gc ( dc) v h s chn.
21
C. h s chn v h s gc ( dc).
D. H s chn v h s hi quy ring.
7. Trong m hnh hi quy tuyn tnh n, h s gc cho bit:
A. H s co dn ca Y theo X.
B. Thay i trung bnh ca Y vi mi 1 n v thay i ca X.
C. Thay i trung bnh ca X vi mi 1 n v thay i ca Y.
D. T s Y/X.
8. Sai s ngu nhin trong m hnh kinh t lng th hin nhng iu sau y tr:
A. Sai s ca cc bin khi thc hin cc php o.
B. nh hng ca cc yu t ngoi m hnh ln bin ph thuc.
C. Cc bin c lp khng hon ton tng ng vi bin trong m hnh l thuyt.
D. Sai s khi thc hin phng php OLS c lng m hnh.
9. T 1 mu ngu nhin, ta c th c lng c cc m hnh hi quy mu khc nhau.
A. ng.
B. Sai.
10. Cc phn d trong m hnh hi quy mu l c lng ca cc sai s ngu nhin trong m
hnh hi quy tng th.
A. ng.
B. Sai
22
Bi 3: M hnh hi quy tuyn tnh n
BI 3. M HNH HI QUY TUYN TNH N

Mc tiu

c nhng vn sau y:
tng ca phng php bnh phng
ti thiu (OLS) v cch s dng OLS

c lng cc h s hi quy.
ngha ca cc h s hi quy c lng.
Cc gi thit c bn ca phng php OLS.
H s xc nh r2 o ph hp ca
hm hi quy.
Khong tin cy v kim nh gi
thuyt cho cc h s hi quy.
Phn tch phng sai kim nh v
s ph hp ca m hnh.
D bo.
Ni dung
Hng dn hc
Phng php OLS.
ngh hc vin n li phn c lng
Cc gi thit c bn ca phng php bnh

phng ti thiu.
v kim nh gi thit trong mn l

thit xc sut v thng k ton.
Theo di k bi ging.
Xem cc v d cho mi phn bi ging.
Lm cc v d v tr li cu hi trc nghim.
H s xc nh r2 o ph hp ca hm
hi quy mu.
c lng khong cho h s hi quy.
Kim nh gi thuyt v cc h s hi quy.
Phn tch phng sai trong m hnh hi quy.
D bo.
Thi lng
12 tit
23
TNH HUNG DN NHP

Tnh hung
Cng ty du n Tng An ang xem xt vic gim gi bn sn
phm (loi bnh 5 lt) tng lng hng bn ra, ng thi qung
b sn phm ca mnh n khch hng. Ngi qun l ca cng ty
mun tnh ton xem nu sn phm ny c gim gi i 1000
ng/lt th lng hng trung bnh bn ra s thay i th no. ng
thi, nu nh gim gi 1000 ng cho 1 lt m lng hng bn
thm c l nhiu hn 50000 sn phm th cng ty s tin hnh 1
chin dch khuyn mi trong 1 thng vi gi gim i l 10000/lt.
tin hnh nghin cu ny, phng marketing ca cng ty da vo cc s liu bn
hng ca cng ty trong vng 15 thng qua (n =15 quan st) thu thp s liu v gi bn
(P) v lng bn (Q) cho loi du n ny. Nghin cu vin sau khi tin hnh cc thng
k m t quyt nh dng hm cu dng tuyn tnh xem xt nh hng ca gi n
lng bn: Qi = 1 + 2 Pi + u i .
Dng s liu ca mu, c lng c hm hi quy mu c dng
= 6227 30.43P .
Q
i
i
Cu hi
Theo kt qu ca m hnh, khi gi gim 1 n v, lng hng bn ra thay i th no?
Liu khi gi gim i 1000 ng 1 lt th lng hng bn thm ln hn c 50000 sn phm
nh cc nh nghin cu mun kim tra khng?

Gi bn quyt nh bao nhiu % trong s thay i ca lng bn?
Nu gi bn l 150000 ng 1 bnh th lng bn d bo l bao nhiu?
24
Ni dung bi ny gii thiu mt m hnh hi quy n gin nht v a ra cc phng php c

lng, kim nh gi thit v d bo. l m hnh hi quy tuyn tnh n hay cn c gi l
m hnh hi quy 2 bin, m hnh cp n mt bin c lp X v mt bin ph thuc Y.
Trong bi ny chng ta s c lng hm hi quy tng th PRF da trn thng tin mu. Mc d
c rt nhiu phng php c lng hm hi quy tng th nhng chng ta s s dng phng
php thng dng l phng php bnh phng ti thiu (OLS) (Ordinary Least Square).
3.1.
c lng tham s hi quy bng phng php bnh phng ti thiu

BI TON
Cho bin c lp X v bin ph thuc Y, gi s ta c hm
hi quy tng th (PRF) c dng tuyn tnh:
Yi = E(Y | X i ) + u i = 1 + 2 X i + u i
(3.1)
Vi mt mu quan st (X1 , Y1 ),(X 2 , Y2 ),...,(X n , Yn )

Ta c: hm hi quy mu (SRF)
= + X
Y
i
1
2 i
(3.2)
+ u
v: Yi = 1 + 2 X i + u i = Y
i
i
(3.3)
x = Xi x
, u i l c lng
1 , 2 l cc c lng ca i
yi = Yi y
ca u i , u i c coi l phn d.
.
T (3.3) ta c: u i = Yi Y
i
Vn t ra l s dng cc d liu ca X v Y tm c lng tt nht cho 1 , 2

tha mn tng bnh phng cc phn d t gi tr nh nht.
Tc l ta cn phi xc nh 1 , 2 sao cho:
n
i =1
i =1
f ( 1 , 2 ) = u i 2 = (Yi 1 2 X i ) 2 t min.
Trong cc bi ging v gii tch nhiu bin ta c
trang b phng php tm gi tr cc tiu, cc i ca
hm f (X, Y) . Vy hm f ( , ) t gi tr nh nht
1
th 1 , 2 phi l nghim ca h phng trnh
Suy ra:
f ( 1 , 2 ) n
= 2(Yi 1 2 X i ) = 0
i =1
1
n
f ( 1 , 2 ) = 2X (Y X ) = 0
i
i
1
2 i

i =1
(3.4)
n
n
n
X
=
1 2 i Yi
i =1
i =1
n
n
n
2
X
X
X i Yi
+
2
i
1 i =1 i
i =1
i =1
(3.5)
25
Ta c:
1 n
1 n
1 n
X
;
Y
Y
;
XY
=
=
i
i
Xi Yi
n i =1
n i =1
n i =1
1 n
1 n
X 2 = X i2 ; Y 2 = Yi2 .
n i =1
n i =1
X=
Phng trnh (3.5) dn n:

1 + 2 X = Y
2
1X + 2 X = XY
(3.6)
Gii h phng trnh (3.6) ta thu c nghim
XY (X)(Y)
2 =
X 2 (X) 2
1 = Y 2 X
Ta t
(3.7)
i =1
i =1
i =1
i =1
SYY = (Yi Y) 2 = Yi2 n(Y) 2 = nY 2 n(Y) 2

SXX = (X i X) 2 = X i2 n(X) 2 = nX 2 n(X) 2
n
i =1
i =1
SXY = (X i X)(Yi Y) = X i Yi n(X)(Y) = nXY n(X)(Y)

Khi (3.7) c th vit li l
SXY
2 = S
XX
= Y X
2
1
Phng php tm cc c lng 1 , 2 nh trn c gi l phng php bnh phng
ti thiu.
3.1.1.
Tnh cht ca tham s hi quy mu c lng bng phng php bnh

phng ti thiu.
Phng php bnh phng ti thiu em li cc c lng vi cc tnh cht nh sau:

ng vi mt mu ((X , Y ), (X , Y ),...(X , Y )) cho trc, h s , c xc
1
nh duy nht.
= + X i qua im c
ng thng ca phng trnh hi quy mu (SRF) Y
i
1
2 i
to gi tr trung bnh (X, Y).

bng gi tr trung bnh ca cc quan st
Gi tr trung bnh ca cc c lng ca Y
i
= Y hay
Yi tc l: Y
i
1 n 1 n
Yi .
Yi = n
n i =1
i =1
26
Gi tr trung bnh cc phn d u i bng 0

n
u
i =1
= 0.
khng tng quan, tc l:

Cc phn d u i v Y
i
n
u Y = 0.
i
i =1
Cc phn d u i v X i khng tng quan, tc l:

n
u X
i
i =1
= 0.
By gi ta s chng minh mt s tnh cht trn:
Hin nhin v h phng trnh (3.6) c nghim duy nht.

Hin nhin v gi tr ca , l mt hm ca mu.
Thay im (X, Y) vo phng trnh hi quy mu, ta c:
Y = 1 + 2 X
1 = Y 2 X .
o
n
n
= 1 Y
= 1 + X
Ta c: Y
i
1
2 i
n i =1
n i =1
= 1 + 2 X
= Y.
o
. Suy ra ngay
Ta c: u i = Yi Y
i
n
i =1
i =1
i =1
i =1
u i = (Yi Y i ) = Yi Y i = nY nY = 0.
o
R rng t:
n
i =1
i =1
i =1
i =1
u i Y i = (Yi Y i )Y i = Yi Y i Y i2
n
i =1
i =1
= Yi ( 1 + 2 X i ) ( 1 + 2 X i ) 2
= n 1Y + n 2 XY n( 12 + 2 1 2 X + 22 X 2 )
Vy
1 n
= ( + X) + ( X + X 2 ) ( 2 + 2 X + 2 X 2 ) = 0.
u i Y
i
1
1
2
2
1
2
1
1 2
2
n i =1
u Y = 0.
i =1
(3.8)
27

o
D dng thy
i =1
i =1
u i Y i = u i ( 1 + 2 Xi )
n
i =1
i =1
= 1 u i + 2 u i X i .
T tnh cht 4 v 5 ta c
n
u = u Y = 0 .
i =1
i =1
u X
Vy ta c:
i =1
= 0.
V D 3.1
Thu thp s liu v im hc tp ca hc sinh v mc thu nhp hng nm ca b m ta

c bng s liu sau:
Thu nhp (x) (triu/nm)
45
60
30
90
75
45
105
60
im trung bnh (y)
8.75
7.5
6.25
8.75
7.5
5.0
9.5
6.5
Hy tm hm hi quy mu v tnh cc c trng ca n

3.1.2.
Cc gi thit c bn ca phng php bnh phng ti thiu
Khi phn tch hi quy, mc ch ca chng ta l tm phng trnh hi quy mu thng

qua vic c lng cc h s 1 , 2 . Da vo d liu mu ta thu c cc c lng
tng ng l 1 , 2 . Nhng 1 , 2 l cc c lng im ca 1 , 2 . V th ta cha bit
c cht lng ca cc c lng ny th no. Ta cn a ra mt s cc gi thit ca
phng trnh bnh phng ti thiu thu c cc
c lng tt nht cho 1 , 2 . T ta cng s thu
l c lng tt nht cho E(Y | X ) .
c gi tr Y
i
i
Cht lng ca cc c lng s ph thuc vo cc

yu t sau:
Dng hm ca m hnh c chn.
Ph thuc vo cc X i v u i .
Ph thuc vo c ca mu.
Vn v dng hm ca m hnh c la chn chng ta s xem xt bi 7. Ta s
a ra cc gi thit cho X i v u i cc c lng thu c khng chch v c
phng sai nh nht.
Gi thit 1: Bin gii thch X c gi tr quan st Xi khc vi t nht 1 gi tr cn
li, tc l phng sai mu hiu chnh khng suy bin:
S'2X =
28
1 n
(Xi X)2 0.
n 1 i =1
Gi thit 2: Gi tr trung bnh ca sai s c th mang du m hoc dng i vi

mi gi tr quan st nhng v mt trung bnh th bng 0.
Gi thit 3: Cc gi tr ca X c cho trc v khng ngu nhin, tc l mi X i
c cho trc v khng phi l bin ngu nhin. iu c ngha l X i v u i
l khng tng quan vi nhau.
CoV(Xi , u i ) = E(X i u i ) E(X i ) E(u i )
= X i E(u i ) X i E(u i ) = 0.
Gi thit ny c mt ngha rt quan trng l nu X v u c c tng quan th
khi X thay i, u cng s thay i. V th gi tr k vng ca Y s khc 1 + 2 X.
Gi thit 4: Phng sai sai s thun nht (khng i)
Var(u i ) = Var(u j ) = 2
i j .
Gi thit 5: Khng c tng quan gia cc u i , tc l:

CoV(u i , u j ) = 0
i j .
Vi cc gi thit nu, khi ta c tnh cht ca cc c lng theo phng php

bnh phng ti thiu nh sau:
nh l Gauss-Markov
Gi s ta c m hnh hi quy tuyn tnh, khi vi

cc gi thit 1-5 ta c c lng bnh phng ti
thiu l cc c lng tuyn tnh khng chch v c
phng sai nh nht trong lp cc c lng tuyn
tnh khng chch.
nh l Gauss-Markov cho mt khng nh l cc
c lng 1 , 2 ca 1 , 2 c c bng phng php bnh phng ti thiu l cc
c lng khng chch v c phng sai ti thiu trong cc c lng khng chch
ca 1 , 2 .
3.1.3.
Sai s ca phng php bnh phng ti thiu
Trong phn 3.1 ta c cc c lng 1 , 2 ca 1 , 2 theo phng php bnh phng ti

thiu l
XY (X)(Y)
2 =
X 2 (X) 2
= Y X .
1
t:
x i = X i X
yi = Yi Y
29
Khi ta c:
1 = Y 2 X
n
2 = x i yi
i =1
i =1
2
i
Vi cc gi thit 1-5 ca phng php bnh phng nh nht, ta c phng sai v

lch chun ca cc c lng l
2
;
Var( 2 ) = n
2
xi
se( 2 ) =
i =1
n x
i =1
x
n
Xi2
i =1
n
i =1
Var( 1 ) =
2
i
2 ; se( 1 ) =
;
2
i
X
i =1
n
2
i
n x
i =1
2
i
vi = Var(u i ) , se: sai s tiu chun (standard error).

Do 2 cha bit nn da vo d liu mu cho ta
thu c c lng ca 2 l 2 c xc nh
bng cng thc sau:
n
2 =
u
i =1
2
i
n2
i =1
2
i
n2
l sai s tiu chun ca c lng (standard error of the estimate).

3.2.
H s xc nh r 2 o ph hp ca hm hi quy mu:
Cho hai bin X v Y, xc nh mi quan h ca X v Y c dng tuyn tnh hay

khng ta a ra mt i lng o mc ph thuc tuyn tnh gia X v Y.
+ u
Ta c:
Y =Y
i
Y + u = Y
Y
+ u
Yi Y = Y
i
i
i
i
yi = y i + u i
(3.9)
Bnh phng hai v ca (3.9) ta c:

n
i =1
i =1
i =1
i =1
i =1
i =1
yi2 = y i2 + u i2 + 2 y i u i
= y i2 + u i2
n
i =1
i =1
= 22 x i2 + u i2
30
(3.10)
t:
i =1
i =1
TSS = yi2 = (Yi Y) 2
(3.11)
TSS (Total sum of squares) gi l tng bnh phng cc sai lch gia Yi vi gi tr
trung bnh Y .
n
i =1
i =1
i =1
Y
) 2 = y 2 = 2 x 2
ESS = (Y
i
i
i
2
i
(3.12)
ESS (Explained sum of squares) l tng bnh phng cc

v trung bnh ca n.
sai lch gia gi tr Y
i
RSS = u i2 .
(3.13)
(3.12)
i =1
RSS (Residual sum of squares) l tng tt c cc bnh

nhn
phng sai lch gia gi tr quan st Yi v gi tr Y
i
c t hm hi quy hay gi l tng cc phn d.
T (3.10), (3.11), ( 3.12), (3.13) ta c:
TSS = ESS + RSS
(3.14)
Chia hai v cho TSS ta c:
1=
ESS RSS
+
TSS TSS
n
(Y i Y)2
i =1
n
i =1
(Y Y) (Y Y)
2
i =1
n
ESS
t: r 2 =
= i =1
TSS n
Y) 2
(Y
i
i =1
.
2
T (3.14) v (3.15) ta c: r 2 = 1
n
Ta c:
r =
y i 2
i =1
n
y
i =1
trong :
S2X =
(3.15)
2
i =1
(Y Y)
2
i
2
i
RSS
TSS
22 x i2
i =1
n
y
i =1
2
i
(3.16)
n
22 (X i X) 2
i =1
n
(Y Y)
i =1
= 2
S2X
S2Y
(3.17)
1 n
1 n
(X i X) 2 ; S2Y =
(Yi Y) 2
n 1 i =1
n 1 i =1
31

n
l phng sai mu ca X v Y. Ngoi ra v 2 =
x y
i =1
n
x
i =1
nn (3.17) c th c vit
2
i
li nh sau:
2
x i yi
r 2 = n i =1 n
x i2 yi2
i =1
(3.18)
i =1
T (3.18) ta c:
n
r=
x i yi
i =1
x
i =1
2
i
y
i =1
n
1 n
X
Y
(
X
)(
Yi )
i
i i
n i =1
i =1
i =1
n
i =1
i =1
(Xi X)2 (Yi Y)2
2
i
n X i Yi ( X i )( Yi )
i =1
i =1
i =1
2
2
2
n
X
(
X
)
n
Y
(
Yi ) 2
i i i
i =1
i =1
i =1
i =1
Ta thy rng r chnh l h s tng quan mu ca X v Y.

Cc tnh cht ca h s tng quan:
r c th m hoc dng.
1 r 1.
r c tnh cht i xng r(X, Y) = r(Y, X).

Nu X = aX + c v Y = bY + d, a, b > 0, c, d l
hng s ta c r(X, Y) = r(Y, X) .
Nu X,Y c lp th r = 0.
r o ph thuc tuyn tnh gia X v Y.
3.3.
Phn b xc sut ca cc tham s hi quy mu
Trong phn trc ta thu c cc c lng

im ca 1 v 2 theo phng php bnh phng
nh nht (OLS) da trn cc gi thit c bn v sai
s ngu nhin u i l:
32
E(u i ) = 0.
Var(u i ) = 2 .
Cov(u i , u j ) = 0 , i j .
Khi cc c lng im thu c tng ng l 1 , 2 c tnh cht khng chch v

c phng sai nh nht. Tuy nhin, cc c lng im khng cho ta bit c sai
lch ca chng so vi gi tr thc, v vy c lng khong cho ta nhiu thng tin hn
so vi c lng im. c th tm c c lng khong cho cc tham s 1 , 2
chng ta cn xc nh c phn phi xc sut ca 1 v 2 . Cc phn phi xc sut
ny ph thuc vo phn phi xc sut ca u i . Vy ta a thm gi thit v phn phi
xc sut ca u i nh sau:
Gi thit: u i c phn phi chun N(0; 2 ) ,
Vi gi thit thm vo , 1 , 2 cn c cc tnh cht sau:
1 , 2 l cc c lng vng, tc l khi c mu ln th chng hi t n gi tr
1 , 2 .
1 c phn phi chun vi

n
E( 1 ) = 1 , Var( 1 ) = 12 =
X
i =1
n
2
i
n x
i =1
(3.19)
2
i
tc l 1 N(1 ; 12 ) . T bin ngu nhin

Z=
1 1
1
c phn phi chun tc N(0;1).
2 c phn phi chun vi:

E( 2 ) = 2 , Var( 2 ) = 22 =
2
n
x
i =1
(3.20)
2
i
2
tc l 2 N(2 ; 22 ) . Do bin ngu nhin Z = 2
c phn phi chun tc
2
N(0;1).
(n 2) 2
c phn phi khi-bnh phng vi n 2 bc t do.
2
Cc c lng 1 , 2 c phng sai nh nht trong s cc c lng khng chch
Thng k 2 =
ca 1 , 2 .
Ta c Yi = 1 + 2 X i + u i . T gi thit ca u i ta thu c cc thng k Z v 2 c
quy lut phn phi chun tc v khi bnh phng vi (n 2) bc t do. Vy ta c
th tm c khong c lng cho cc tham s 1 , 2 v 2 .
33
3.4.
c lng khong cho h s hi quy
Trong mc 3.3 vi gi thit v phn phi chun

N(0; 2 ) ca u i ta c:
1 N(1 ; 12 )
2 N(2 ; 22 )
vi cc phng sai 12 , 22 c xc nh trong

(3.19) v (3.20). Tuy nhin v phng sai 2 cha bit, nn cc phng sai 12 , 22 cng
cha bit, v vy ta dng c lng khng chch ca 2 l:
n
2 =
u
i =1
2
i
n2
RSS
.
n2
Khi cc thng k:
T1 =
1 1
2
v T2 = 2
Se( 1 )
Se( 2 )
vi: Se( 1 ) = Var( 1 ) ; se( 2 ) = Var( 2 ) .

Cc thng k ny c phn phi student vi (n 2) bc t do. ng thi, thng k
2
= (n 2) 2
c phn phi khi bnh phng vi (n 2) bc t do.

3.4.1.
Khong c lng cho 1
Vi tin cy 1 cho trc, ta c:
2)
P t (n 2) < T1 < t (n
= 1 ,
2)
vi t (n
l phn v mc
ca phn phi Student
T1 , tc l:
2)
<
P{ t (n
1 1 (n 2)
< t2 } = 1 .
se( 1 )
T dn n
2)
2)
P{ 1 t (n
se( 1 ) < 1 < 1 + t (n
se( 1 )} = 1 .
2
2
Vy vi mu c th ta c khong c lng cho 1 l:

2)
2)
se( 1 ); 1 + t (n
se( 1 )) .
1 ( 1 t (n
2
2
34
3.4.2.
Khong c lng cho 2
Tng t nh trn ta c, vi tin cy 1 cho

trc th:
2)
< t (n
= 1 .
P t (n 2) < T2 = 2
2
Se( 2 )
2
T ,
2)
P 2 t (n 2)Se( 2 ) < 2 < 2 + t (n
Se( 2 ) = 1 .
Vy vi mi mu c th ta c khong c lng cho 2 l:
2)
Se( 2 )
2 2 t (n 2)Se( 2 ); 2 + t (n
3.4.3.
Khong c lng cho 2
Ta thy thng k
(n 2) 2
=
2
2
c phn phi khi-bnh phng vi (n-2) bc t do.

Do :
P{
2
1 / 2;n 2
(n 2) 2
< =
< 2 / 2;n 2 } = 1
2
vi 12 / 2;n 2 v 2 / 2;n 2 l cc gi tr phn v mc 1 / 2 v / 2 ca phn phi

2 (n 2) .
T ta c:
(n 2) 2
(n 2) 2
P 2
< 2 < 2
= 1 .
1 / 2;n 2
/ 2;n 2
Vy vi mu c th v tin cy 1 , ta c khong c lng cho 2 l:
2 (
3.5.
(n 2) 2 (n 2) 2
;
).
2 / 2;n 2 12 / 2;n 2
Kim nh gi thuyt v cc h s hi quy
Kim nh gi thuyt thng k l mt trong nhng nhim v quan trng ca nh kinh

t lng. Chng hn, trong m hnh hi quy (3.1) ta thy nu 2 = 0 th Y s c lp
vi X, tc l X khng nh hng ti s thay i ca Y . Tuy nhin, ta li cha bit 2
c bng 0 hay khng v vy ta cn kim nh gi thuyt ny.
Trong cc mc trc, chng ta a ra cc c lng im v c lng khong
cho h s hi quy 1 , 2 . Cc c lng khong ny s gip ta gii quyt bi ton
kim nh gi thuyt v 1 , 2 .
35
Ta bit bi ton kim nh gi thuyt gm cc bc c bn sau:

Bc 1: Thit lp gi thuyt H 0 v i thuyt H1 .
Bc 2: Xy dng tiu chun thng k kim nh, xc nh quy lut phn phi
xc sut ca tiu chun thng k khi gi thuyt H 0 c cho l ng.
Bc 3: Xy dng min bc b gi thit W ng vi mc ngha cho trc.
Bc 4: So snh gi tr mu (quan st c) ca tiu chun thng k bc th 2
vi min bc b gi thuyt W bc 3 a ra kt lun bc b hay chp nhn
gi thuyt H 0 .
3.5.1.
Kim nh gi thuyt cho 1
Ta a gi thuyt H 0 : 1 = 1* v i thuyt H1 : 1 1* hoc H1 : 1 > 1* hoc H1 :

1 < 1* .
Ch rng nu gi thit H0 l ng th: thng k

T1 = 1 1 c phn phi Student vi n 2 bc
Se( 1 )
t do. Ta s da vo thng k ny tin hnh kim
nh gi thuyt cho 1 . Ta c cc bi ton kim nh
gi thuyt sau:
Bi ton 1: Kim nh hai pha
*
H 0 : 1 = 1
*
H1 : 1 1
(n-2)
(n-2)
l phn v mc p (p = /2) ca
Min bc b: W = (; t (n-2)
/ 2 ) (t / 2 ; + ) vi t p
phn phi Student T1 .

Bi ton 2: Kim nh mt pha (phi)
H 0 : 1 = 1*
*
H1 : 1 > 1
(n-2)
Min bc b: W= ( t (n-2)
l phn v
; + ) , vi t
mc ca phn phi Student T1 .

Bi ton 3: Kim nh mt pha (tri)
H 0 : 1 = 1*
*
H1 : 1 < 1
).
Min bc b: W = (; t (n-2)
3.5.2.
Kim nh gi thuyt cho 2
Ta c gi thuyt H 0 : 2 = *2 vi i thuyt H1 : 2 *2 hoc H1 : 2 > *2 hoc

H1 : 2 < *2 .
36
Trong mc 3.4 ta cng thy nu gi thuyt H 0 ng

th thng k
T2 =
2 2
Se( 2 )
c phn phi Student vi n 2 bc t do. Do , ta c

th tin hnh cc bi ton kim nh gi thuyt sau
cho 2 :
H 0 : 2 = *2
*
H1 : 2 2
(n-2)
Min bc b: W = (; t (n-2)
/ 2 ) (t / 2 ; + )
l phn v mc p ca phn phi Student T2 .

t (n-2)
p
H 0 : 2 = *2
*
H1 : 2 > 2
Min bc b: W = (t (n-2)
; +) , vi t (n-2)
l phn v mc ca phn phi Student T2 .
H 0 : 2 = *2
*
H1 : 2 < 2
Min bc b: W = (; t (n-2)
).
3.5.3.
Kim nh gi thuyt cho phng sai 2
Gi thuyt H 0 : 2 = 02 , vi mt trong cc i thuyt

H1 : 2 02 , H1 : 2 > 02 , H1 : 2 < 02 .
Ta c nu H 0 ng th thng k
2 =
(n 2) 2
2
c phn phi khi bnh phng vi n 2 bc t do. p dng kt qu , ta c th gii

quyt cc bi ton kim nh i vi 2 nh sau:
H 0 : 2 = 02
2
2
H1 : 0
37
Min bc b: W = (0; 1-2 / 2;n 2 ) ( 2 / 2;n 2 ; +)

trong 2p;n 2 l phn v mc p ca phn phi 2 .
2
2
H 0 : = 0
2
2
H1 : > 0
Min bc b
W= ( 2 ;n 2 ;+ ) .
H 0 : 2 = 02
2
2
H1 : < 0
Min bc b: W= ( 0; 1-2 ;n 2 ) .
CH
Phng php kim nh trn c gi l phng php kim nh theo min tiu chun m
ta bit trong gio trnh xc sut thng k. Ngoi phng php trn ta cn c phng
php kim nh gi thuyt theo p-value xc sut ngha, phng php ny cng c gii
thiu trong gio trnh xc sut-thng k.
3.5.4.
Phng php xc sut ngha (p-value)
Vi mt mu c th ta c gi tr quan st ca thng k Ti (i = 1, 2) l: t iqs =

Ta c: p-value = P {Ti > t iqs }
i *i
Se( i )
i = 1, 2
Xc sut ny gi l xc sut ngha, y chnh l

xc sut mc sai lm loi 1 (tc l xc sut bc b
H 0 khi H 0 ng).
Ta thy rng nu xc sut ngha cng cao th hu qu
vic bc b H 0 khi H 0 ng cng nghim trng, nu
xc sut ngha cng nh th hu qu ca vic bc b
sai H 0 cng t nghim trng. Vy khi cho trc mc
ngha (y l xc sut gii hn c bc b H 0 ), nu xc sut ngha khng
vt qu th ta c th bc b H 0 m khng s phm sai lm nghim trng, cn nu
xc sut ngha ln hn th cha c c s bc b H 0 .
By gi ta c th s dng xc sut ngha tin hnh cc bi ton kim nh i
vi cc tham s 1 , 2 .
Kim nh hai pha

H 0 : i = *i
*
H1 : i i
38
i = 1, 2
Bc 1: Tnh t iqs =
i *i
;
Se( )
i
Bc 2: Tnh p-value
p-value = P {Ti > t iqs hoc Ti < t iqs }
= 2P Ti > t iqs .
Bc 3: So snh xc sut ngha vi mc ngha xc nh t trc, nu
p-value th bc b H 0 , cn nu p-value > th chp nhn gi thuyt H 0 .
Kim nh mt pha (phi)

H 0 : i = *i
*
H1 : i > i
i =1, 2
Bc 1: T mu s liu c c, thnh lp thng k

t iqs =
i *i
;
Se( i )
Bc 2: T thng k , tnh xc sut ngha p-value = P {Ti > t iqs } .

p-value th bc b gi thuyt H 0 , cn nu p-value > th chp nhn gi
thuyt H 0 .
Kim nh mt pha (tri)
*
H 0 : i = i
*
H1 : i < i
Bc 1: Tnh t iqs =
i = 1, 2
i *i
;
Se(*i )
Bc 2: Tnh p-value = 1 P {T > t iqs } .

p-value th bc b gi thuyt H 0 , cn nu p-value > th chp nhn gi
thuyt H 0 .
V D 3.2
T v d 3.1 hy:
a) Tm khong c lng cho cc h s hi quy vi tin cy 95%.
b) Vi mc ngha 5% c th kt lun thu nhp ca b, m c nh hng ti kt qu hc
tp ca con ci hay khng?
c) Tnh ESS, TSS.
39
Gii: Theo bo co ca Eviews cho v d 3.1 ta c:
a) Ta c cc gi tr c lng ca 1 , 2 l 1 = 4.785256,
2 = 0.042094 v sai s
chun l: Se( 1 ) = 1.195385, Se( 2 ) = 0.017601. V c mu n = 8, vi mc tin

cy = 0.05 , tra bng phn phi student ta c: t (7)
0.025 = 2.364624 . Vy ta c cc
khong c lng cho 1 , 2 l:
1 ( 4.785265 2.364624x1.195385; 4.786265 + 2.36462x1.195385 )
1 (1.958629; 7.611901) .
Tng t ta c: 2 ( 2.78634; 2.86693 ) .
b) Ta cn kim nh bi ton sau:
H 0 : 2 = 0
H1 : 2 0
Cch 1: Ta c gi tr tiu chun thng k ca bi

ton trn l:
t2 =
2
0.042094
=
= 0.0539 .
Se( 2 ) 0.017601
Vi mc ngha 5%, tra bng phn phi student ta c: t (7)

0.025 = 2.364624 .
Vy min bc b ca bi ton l: W = ( ; 2.364624 ) ( 2.364624; + ) .
Ta thy gi tr tiu chun thng k t 2 W , do cha bc b c H0. Nh vy
c th kt lun thu nhp ca b m khng nh hng n kt qu hc tp ca con
ci mt cch c ngha.
Cch 2: Ta thy gi tr p- value = 0.0539 > 0.05 v vy cha th bc b c H0.
40
c) T kt qu trong bng ta c r2 = 0.488035, RSS = 8.155499, do theo cng thc

r2 = 1
RSS
TSS
ta c : TSS = RSS/(1 r2) = 8.155499/ (1 0.488035) = 15.9288.

ng thi ta li c cng thc: TSS = ESS + RSS,
do ta c: ESS = TSS RSS = 15.9288 8.155499 = 7.774301.
3.6.
Phn tch phng sai trong phng trnh hi quy
Trong phn ny chng ta xt bi ton kim nh gi

thuyt v h s hi quy 2 theo mt phng php
khc, l phng php phn tch phng sai.
H : = 0
Ta xt bi ton kim nh 0 2
H1 : 2 0
(*)
Gi thuyt H 0 ni ln rng bin X khng nh

hng ti Y, khi ta bc b gi thuyt H 0 cng c ngha l ta bc b gi thuyt cho
rng bin X khng c nh hng ti bin Y.
Trong cc phn trc ta thy nu nh gi thuyt H 0 l ng, tc l: 2 = 0 , th thng k
(n 2) 2 RSS
= 2
2
c phn phi khi - bnh phng vi n 2 bc t do, cn thng k
ESS
2
cng c c phn phi khi-bnh phng vi 1 bc t do. Mt khc hai thng k c

lp vi nhau, vy thng k
F=
ESS
TSSr 2
r2
n2
1 =
=
2
2
RSS
1 r
1
(1 r ) TSS
n2
n2
c phn phi Fisher vi s bc t do l: (1; n 2 ) . T , vi mc ngha cho

trc, min bc b cho bi ton kim nh ang xt l W= ( f (1; n 2 ) ; + ) .
ngha: Cch tip cn theo hng phn tch phng sai nh trn cho php ta a ra
cc phn on v ph hp ca m hnh hi quy ang xt. C th, nu thng k F c
gi tr rt ln (ng vi xc sut ngha rt nh) th ta c th kt lun m hnh c lp
ph hp vi s liu quan st. Cn nu thng k F c gi tr nh n mc xc sut
ngha tng ng ca n ln hn mc ngha nh (bng 5% chng hn) th r rng
m hnh l khng ph hp vi s liu, lc cn tm m hnh khc.
Ta c bng phn tch phng sai ngn gn nh sau:
41

Ngun bin thin
Tng bnh phng
2 x i2
ESS =
Bc t do
Phng sai
ESS
i =1
RSS =
Phn d
i =1
Tng
3.7.
n2
2
i
TSS
RSS
n2
n 1
ng dng ca phn tch hi quy, bi ton d bo
Mt trong cc ng dng ca phn tch hi quy l d bo

cho bit gi tr ca X l X 0 , ta cn d bo gi tr ca Y l
Y0 , khi thay gi tr X 0 vo phng trnh hi quy mu
tha mn
ta nhn c gi tr c lng ca Y l Y
0
= + X .
phng trnh: Y
0
1
2 0
Gi tr thc Y0 tha mn phng trnh Y0 = 1 + 2 X 0 + u 0 , vi u 0 l sai s.

Y = ( ) + ( )X u .
Ta c : Y
0
0
1
1
2
2
0
0
ng thi
E( 1 ) = 1 ; E( 2 ) = 2 v E(u 0 ) = 0.
Y ) = 0 E(Y
)=Y .
Do : E(Y
0
0
0
0
l mt c lng khng chch ca Y .
Vy c lng Y
0
0
Y c tnh theo
Ngoi ra, phng sai ca Y
0
0
Y ) = Var[( ) + ( )X u ]
Var(Y
0
0
1
1
2
2
0
0
= Var( 1 1 ) + (X 0 ) 2 Var( 2 2 ) + 2X 0 Cov( 1 1 ; 2 2 ) + Var(u 0 )
1 X2
= 2 +
n Sxx
X
2 x0
+
2x 0 2
+ 2
Sxx
Sxx
1 (X 0 X) 2 2
= 1 + +
X
Sxx
n
i =1
i =1
i =1
trong : Sxx = X i2 = (X i X) 2 = X i2 n(X) 2 .

Do phng sai 2 cha bit, ta thay 2 bng c lng khng chch 2 .
Khi ta c thng k t =
Y
Y
0
0
c phn phi Student vi n 2 bc t do.
Se(Y0 Y0 )
Vy vi mc ngha cho trc ta c khong c lng Y0 l:

42
NG DNG
t n 2Se(Y
Y )<Y <Y
+ t n 2Se(Y
Y )
Y
0
0
0
0
0
0
0
2
(3.21)
Cng thc (3.21) cho ta khong c lng v gi tr Y0 ca Y khi cho bit trc gi
tr X 0 ca X.
Bi ton trn c th pht biu di mt dng tng ng khc nh sau (Bi ton d
bo gi tr trung bnh): Cho trc gi tr X 0 ca X, cn c lng gi tr trung bnh
ca Y khi X = X 0 , tc l c lng gi tr E(Y | X = X 0 ) .
Ta c:
E(Y | X 0 ) = 1 + 2 X 0 ,
= + X .
Y
0
1
2 0
T , kt hp vi (3.19) v (3.20), ta thy

E(Y | X ) = ( ) + ( )X
Y
0
0
1
1
2
2
0
(X 0 X) 2
2 1
Var(Y0 E(Y | X 0 )) = +
.
Sxx
n
Do 2 cha bit, ta dng c lng 2 , dn n:

2
2
E(Y | X )) = 2 1 + (X 0 X) .
Var(Y
0
0
Sxx
n
K hiu:
E(Y | X )) ,
S2Y = Var(Y
0
0
0
khi y thng k
t=
E(Y | X )
Y
0
0
.
SY
0
c phn phi Student vi n 2 bc t do.

p dng kt qu trn, ta c th c lng gi tr trung bnh c iu kin
E(Y | X 0 ) bng biu thc sau:
NG DNG
t n 2S < E(Y | X ) < Y

+ t n 2S
Y
0
0
0
Y
Y
2
(3.22)
43
TM LC CUI BI
Phng php OLS

Gi s c 1 mu v 2 bin X v Y.
Ta cn c lng cc tham s trong m hnh PRF: Yi = E ( Y | X i ) + u i = 1 + 2 X i + u i
+ u .
tc l i tm cc h s trong m hnh: Yi = i + i X i + u i = Y
i
i
cng
tng ca phng php OLS l tm 1 ng SRF sao cho cc gi tr c lng Y
i
gn vi cc gi tr quan st Yi cng tt. V vy, ta i tm min cho hm sau:
i =1
i =1
f 1 , 2 = u i2 = (Yi 1 2 X i ) 2 .
Nh vy phng php OLS s ti thiu ha tng bnh phng cc phn d:
n
RSS = u i2 min .
i =1
Ta c cng thc cho cc h s c lng l: 1 = Y 2 X ; 2 =
x y
i =1
n
x
i =1
2
i
vi x i = X i X, yi = Yi Y.
Cc h s c lng trong m hnh
H s 1 , 2 c xc nh duy nht ng vi mt mu ( Xi , Yi )
1 , 2 l cc c lng im ca 1 , 2 .
Cc gi thit c bn ca phng php OLS v cc khuyt tt tng ng ca m hnh

Di y l cc gi thit cn lu :
Gi thit 1: M hnh hi quy phi c dng tuyn tnh.
Gi thit 2: Cc gi tr ca X c gi thit l phi ngu nhin v khng tng quan vi cc
sai s ngu nhin, tc l :
CoV ( X i , u i ) = E ( X i u i ) E ( X i ) E ( u i )
= X i E ( u i ) X i E ( u i ) = 0.
Gi thit 3: Trung bnh ca cc nhiu ngu nhin bng 0: E( u i /Xi) = 0.
Gi thit 4: Phng sai ca cc nhiu ngu nhin l khng i: Var ( u i ) = Var ( u j ) = 2 .
Ch : Gi thit 4 khng tho mn, ta ni c hin tng phng sai ca sai s thay i.
Gi thit 5: Khng c tng quan gia cc nhiu ngu nhin: CoV ( u i , u j ) = 0 .
Ch : Gi thit 5 khng tho mn, ta ni c hin tng t tng quan.

Gi thit 6: S quan st n phi ln hn tng s tham s trong m hnh.
44
nh l Gaus-Markov: Vi cc gi thit cho ca phng php bnh phng ti thiu tho

mn, c lng bnh phng ti thiu l cc c lng tuyn tnh khng chch v c phng
sai nh nht trong lp cc c lng tuyn tnh khng chch.
r2 o ph hp ca hm hi quy, gi tr ca r2 cho bit bao nhiu phn trm s bin thin
ca bin Y c gii thch bi bin X hoc bi hm hi quy mu.
ngha khong tin cy:
KTC cho 1:
( )
( ))
1 1 t na 2Se 1 ; 1 + t na 2 Se 1
2
KTC cho 1 cho bit trung bnh ca Y thay i th no khi X = 0.

KTC cho 2:
( )
( ))
2 2 t na 2 2Se 2 ; 2 + t na 2 2 Se 2
KTC cho 2 cho bit trung bnh ca Y thay i th no khi bin X thay i 1 n v.
Kim nh gi thit: Trong m hnh E(Y/Xi) = 1 + 2Xi: Ta mun kim tra H0: j = j*
(j = 1,2).
Kim nh Gt cho 1 = 1* cho bit trung bnh ca Y c bng 1* khi X = 0 hay khng.
Kim nh Gt cho 2 = 2* cho bit tc thay i ca trung bnh ca Y khi bin X thay i
1 n v c bng 2* hay khng.
Phn tch phng sai kim nh v s ph hp ca m hnh.
kim nh s ph hp ca m hnh hi quy tuyn tnh so vi s liu, ta c th tnh cc
tng bnh phng sai s ESS, RSS v TSS, t xc nh thng k F c phn phi Fisher ri
tin hnh kim nh gi thuyt i vi thng k .
D bo.
T s liu mu, ta c lng c m hnh hi quy thc nghim, t c th d bo c
gi tr ca bin ph thuc mi khi c mt gi tr mi ca bin c lp.
45
CU HI THNG GP
1. Ngoi phng php OLS th c phng php no khc c lng m hnh hi quy
mu khng?
2. Trong phng php OLS, trong mi trng hp, ta u phi gii h phng trnh tm cc
c lng ng khng?
3. Nu mt m hnh hi quy bi vi nhiu bin th vic dng phng php OLS c thun
tin khng?
4. Khi c lng cc h s bng OLS, lm th no nh gi c cht lng ca chng?
5. Ti sao phi xem xt cc gi thit ca phng php OLS?
6. nh gi ph hp ca m hnh hi quy vi cc s liu ca mu, ta dng tiu ch no?
7. C nht thit phi xy dng c m hnh hi quy mu vi r2 phi ln?
8. Trong kim nh gi thit, vic dng phng php xc sut ngha (p-value) c th thay cho
phng php kim nh thng thng hay khng?
CU HI TRC NGHIM
1. Cng thc no sau y th hin phng php bnh phng ti thiu (OLS)?
n
i =1
i =1
i =1
i =1
min
A. u i = Yi Y
i
C. u i2 = Yi Y
i
min
i =1
i =1
i =1
i =1
Y min
B. u i = Y
i
i
D. u i2 = Yi Y
i
max
= 20 + 0.75X. Tnh gi tr phn d ti im X = 100, Y = 90

2. Cho m hnh hi quy: Y
A. 5
B5
C. 0
D. 15.
3. Bc t do trong kim nh t vi m hnh 2 bin v c 20 quan st l:

A. 20
B. 22
C. 18
D. 2
4. R2 cho bit:
A. Tng quan gia X v Y.
B. S bin thin ca Y.
C. Hip phng sai gia X v Y.
D. Phn bin thin ca Y c gi thch bi X
5. Cho m hnh vi TSS = 0.9243, RSS = 0.2137. Tm r2
46
A. 0.7688
B. 0.2312
C. 0.3007
D. 0
Bi 4: M hnh hi quy bi
BI 4. M HNH HI QUY BI
Mc tiu

c nhng vn sau y:
M hnh hi quy bi c 2 bin v m
hnh tng qut k bin.
ngha ca cc h s hi quy c lng.
H s xc nh bi v h s xc nh
bi hiu chnh.
Khong tin cy v kim nh gi thit
cho cc h s hi quy.
Kim nh v s ph hp ca m
hnh hay nh hng ca tt c cc
bin c lp.
D bo trong m hnh hi quy bi.
Ni dung
Hng dn hc
M hnh hi quy bi gm 2 bin c lp.

M hnh hi quy bi gm k bin (k-1 bin
c lp).
ngh hc vin n li phn c

lng v kim nh gi thit trong mn
l thuyt xc sut v thng k ton.
Phng php OLS cho m hnh hi quy bi.
Theo di k bi ging.
H s xc nh bi v h s xc nh bi
hiu chnh.
Xem cc v d cho mi phn bi ging.
c lng khong tin cy v kim nh gi

thuyt cho h s hi quy.
Lm cc v d v tr li cu hi
trc nghim
Kim nh v s ph hp ca m hnh
hi quy.
D bo trong m hnh hi quy bi.
Thi lng
8 tit
47
TNH HUNG DN NHP

Tnh hung
Hi ng qun tr ca cng ty may c Giang ang mun xem xt
nh hng ca 2 yu t u vo ca sn xut l Vn (V, t ng) v
Lao ng (L, ngi) ln sn lng (SL, triu sn phm) ca cng ty.
C th, h mun a ra quyt nh v vic c nn tip tc m rng
sn xut, thu hp li hay gi nguyn nh hin ti. tin hnh nghin
cu ny, phng k hoch ca cng ty thu thp s liu v vn u t,
lao ng s dng v sn lng sn xut ra trong 30 thng qua ti cng ty (c n = 30 quan st).
M hnh dng nghin cu c dng
log(SLi) = 1 + 2log(Vi) + 3log(Li)+ui
Dng s liu ca mu, c lng c hm hi quy mu c dng,
log(SLi ) = 0.424816 + 0.7358log(Vi ) + 0.9489 log(Li ).
Cu hi
Vy cng ty c Giang nn tng, gim hay gi nguyn quy m sn xut?
Liu c 2 bin vn v lao ng cng khng c nh hng n sn lng c ng khng?
Gi s trong thng ti, cng ty quyt nh s dng lng vn l 10 t ng v lao ng l
3000 th sn lng d bo l bao nhiu?
48
Trong bi trc chng ta nghin cu m hnh hi quy tuyn tnh n gin, l hi quy tuyn
tnh n, trong m hnh ny chng ta nghin cu cc mi quan h gia mt bin c gii
thch l Y v mt bin gii thch X. Bi ny chng ta m rng nghin cu sang m hnh hi quy
tuyn tnh bi vi mt bin c gii thch Y v (k 1) bin gii thch X 2 ,..., X k . Trong thc t
m hnh hi quy tuyn tnh bi c s dng rng ri v i vi nhiu trng hp n gii thch
v hnh vi ca bin ph thuc (bin c gii thch) Y tt hn m hnh hi quy tuyn tnh n.
V d trong bi trc chng ta xt mi quan h gia thu nhp v chi tiu nhng thc t chi tiu
khng ch ph thuc vo thu nhp m n cn ph thuc vo cc yu t khc, chng hn nh:
nim tin vo nn kinh t, tui, ngh nghip, a l V vy m hnh hi quy n kh gii
thch c hnh vi ca bin ph thuc Y. Do vic m rng m hnh hi quy tuyn tnh bi s
gip chng ta gii thch c r hn v bin ph thuc Y.
BI TON
M hnh hi quy tuyn tnh bi l m hnh nghin cu mi quan h gia mt bin ph
thuc Y v (k 1) bin c lp X 2 , X 3 ,..., X k c dng:
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X k + u i
Trong
E(u i ) = 0, E(u i | X 2i , X 3i ,..., X ki ) = 0

Cov ( u i , u j ) = 0 i j
Cov(X 2i ,u i ) = 0;Cov(X 3i , u i ) = 0;...,Cov ( X ki , u i ) = 0
Var(u i ) = 2 , i .
4.1.
M hnh hi quy vi hai bin gii thch
nh ngha: M hnh hi quy tng th (PRF) vi hai bin gii thch c dng nh sau:
Yi = 1 + 2 X 2i + 3 X 3i + u i
(4.1)
vi Y l bin ph thuc; X 2 , X 3 l cc bin c lp, Yi , X 2i , X 3i l cc quan st th i

ca Y, X 2 , X 3 ; u l nhiu ngu nhin, u i l nhiu ti quan st th i; 1 l h s chn
(h s t do), bng gi tr trung bnh ca Y khi X 2 = X 3 = 0 ; 2 , 3 l cc h s hi
quy ring hay cn gi l h s ca cc bin c lp, 2 ch s thay i ca Y khi X 3
c nh v X 2 tng hoc gim 1 n v, cn 3 ch s thay i ca Y khi X 3 tng
hoc gim 1 n v v X 2 c nh.
Trong m hnh hi quy hai bin (4.1) ta c cc gi thit sau:
E(u i ) = 0, E(u i | X 2i , X 3i ) = 0.
Cc u i khng tng quan, tc l
Cov(u i , u j ) = 0, i j.
u i khng tng quan vi X 2i , X 3i , tc l

Cov(X 2i ,u i ) = 0;Cov(X 3i , u i ) = 0.
u i c phng sai khng thay i, tc l: Var(u i ) = 2 , i.
49
4.2.
c lng tham s ca m hnh hi quy
Tng t trong bi 3, bi ton t ra l t cc d liu quan st chng ta cn c lng

cc h s hi quy 1 , 2 , 3 ca m hnh (4.1). Phng php ta s s dng sau chnh
l phng php bnh phng ti thiu OLS. Hm hi quy mu (SRF) c xy dng
t n quan st (Yi , X 2 , X3 ) c dng:
= + X + X
Y
i
1
2 2i
3 3i
(4.2)
+ u
V Yi = 1 + 2 X 2i + 3 X 3i + u i = Y
i
i
trong 1 , 2 , 3 l c lng ca 1 , 2 , 3 , u i l c lng ca u i , phn d ca

quan st th i.
T (4.2) ta c:
n
i =1
i =1
u i2 = Yi 1 2 X 2i 3X3i
n
Ta cn xc nh 1 , 2 , 3 sao cho
i =1
2
i
(4.3)
trong (4.3) t gi tr nh nht.

n
Theo l thuyt gii tch nhiu bin, ta thy
u
i =1
2
i
t gi tr nh nht th 1 , 2 , 3
phi l nghim ca h phng trnh
+ X + X = Y
3 3
1 2 2
n
n
n
n
2
1 X 2i + 2 X 2i + 3 X 2i X 3i = Yi X 2i
i =1
i =1
i =1
i =1
n
n
n
n
2
1 X 3i + 2 X 2i X 3i + 3 X 3i = Yi X 3i
i =1
i =1
i =1
i =1
(4.4)
trong
X2 =
1 n
1 n
=
X
,
X
X 3i
2i 3 n
n i =1
i =1
1 n
Yi .
n i =1
H phng trnh (4.4) c gi l h phng trnh chun v phng php xc nh
1 , 2 , 3 nh trn c gi l phng php bnh phng ti thiu (OLS).
Y=
Nghim ca phng trnh (4.4) l:

1 = Y 2 X 2 3 X 3
n
2 =
y x x
i =1
2i
2
2i
i =1
i =1
2
3i
yi x 3i x 3i2 yi x 3i x 2i x 3i
i =1
i =1
i =1
x x
i =1
50
yi x 3i x 2i x 3i
x x x 2i x 3i
i =1
i =1
i =1
3 =
i =1
2
3i
2
2i
i =1
2
3i
i =1
( x 2i x 3i ) 2
i =1
Cov 2 ; 3 =
2 r23
n 2 n 2
x 2i x 3i
i =1
i =1
(1 r )
2
23
vi
yi = Yi Y, x 2i = X 2i X 2 , x 3i = X 3i X 3 .
Ta thy rng 2 l phng sai ca u i v 2 l cha bit. V vy ta thay 2 bng c

lng khng chnh lch ca n l
n
2 =
u
i =1
2
i
RSS
.
n 3
n 3
CH
r232 =
4.3.
( X X ( X )( X ))
2
2
X2
S S
2
X3
x 2i x 3i
= n i =1
n
2
2
x 2i x 3i
i =1
i =1
Phng sai v lch chun ca cc c lng bnh phng ti thiu
Ta thu c cc c lng cho cc h s hi quy bng phng php OLS. tm

cc c lng khong v tin hnh kim nh cc h s hi quy, ta cn xc nh
phng sai v lch chun ca cc c lng thu c trn y.
Phng sai v lch chun ca cc c lng h s hi quy theo phng php bnh
phng ti thiu c cho bi cc cng thc
( )
Var 2 =
2
n
x (1 r )
i =1
( )
Var 3 =
2
2i
2
23
2
n
x 3i2 (1 r232 )
( )
( )
( )
( )
; Se 2 = Var 2 ;
; Se 3 = Var 3 ,
i =1
vi r23 l h s tng quan gia X 2 v X 3 .

4.4.
M hnh hi quy bi
4.4.1.
Khi nim:
M hnh hi quy bi l m hnh c hm hi quy tng

th (PRF) gm mt bin ph thuc Y v k 1 bin c
lp X 2 , X 3 ,..., X k c dng nh sau:
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i
(4.5)
trong 1 l h s chn, h s t do, n cho ta bit

trung bnh ca Y khi X 2 , X 3 ,..., X k bng 0.
51
j ( j = 1, 2,..., k) l cc h s hi quy ring, n cho ta bit s thay i ca Y khi X j

thay i mt n v cn cc X h ( h j) bng 0,
u i l cc nhiu ngu nhin.
Phng trnh (4.5) c th c vit chi tit di dng h phng trnh sau:
Y1 = 1 + 2 X 21 + 3 X 31 + ... + k X k1 + u1
Y = + X + X + ... + X + u
2
1
2 22
3 32
k k2
2
...............................................................
Yn = 1 + 2 X 2n + 3 X 3n + ... + k X kn + u n
1 X 21
Y1

Y2
1 X 22
Y = . ; X = .
.

.
.
.
Y
n
1 X 2n
(4.6)
X 31 ... X k1
X 32 ... X k 2
.
...
.
.
...
X 3n
X kn
u1
1

u2
2
u = . ; = .

.
.
u

n
n
khi h phng trnh (4.6) c th vit di dng phng trnh ma trn
Y = X + u
4.4.2.
(4.7)
Cc gi thit c bn
Ta a ra cc gi thit c bn cho m hnh hi quy ni

bi nh sau:
Gi thit 1:
Ma trn ngu nhin u c k vng bng 0, tc l:

E ( u1 ) 0

E (u2 ) 0
E (u) = . = .

. .
E (u ) 0

n
Gi thit 2:
Cc thnh phn trong ma trn u l khng tng quan, tc l: E ( u i u j ) = 0

E ( u i u i ) = 2
hoc ta c th vit di dng: E ( uu T ) = 2 I , vi I l ma trn n v cp n.

52
i j
Gi thit 3: Cc u i c phn b chun N ( 0, 2 ) i = 1, n .

Gi thit 4: Cc X 2 , X 3 ,..., X k khng c quan h tuyn tnh.
4.4.3.
c lng cc tham s bng OLS
Vi
gi
thit
trn,
ta
( Yi , X 2i , X3i ,..., X ki ) , ( i = 1, n )
cn
da
vo
liu
quan st c tm c
lng vc t h s = ( 1 , 2 ,..., k ) ca m hnh hi quy

T
bi (4.7).
K hiu = 1 , 2 ,..., k
l c lng ca , khi ta c
phng trnh hi quy mu (SRF)
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i i = 1, n .
Ta cn tm cc h s 1 , 2 ,..., k
sao cho tng cc phn d
u
i =1
2
i
t gi tr
nh nht.
Kt qu ca phng php gii tch cho thy vc t c lng trn y tha mn
phng trnh ma trn
( XX ) = XY
(4.8)
trong X, Y tng ng l cc ma trn chuyn v ca X v Y . T gi thit 4 dn

n s tn ti ma trn nghch o ca XX v do
1
= ( XX ) XY.
Biu thc ny c gi l phng trnh c bn ca phng php OLS.

4.5.
Cc tnh cht ca c lng bnh phng nh nht
Xt m hnh hi quy bi
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i .
Ging nh m hnh hi quy n, m hnh hi quy bi ny c
cc tnh cht sau:
ng hi quy bi i qua im ( Y, X 2 , X 3 ,..., X k ) .
=Y.
Y
n
u
i =1
= 0.
u i khng tng quan vi X pi , ( p = 2,3,..., k ) ,
u X
i =1
pi
=0.
53
:
Cc u i khng tng quan vi Y
i
u Y = 0 .
i =1
i l cc c lng tuyn tnh khng chch v c phng sai nh nht cho cc
i i = 1, k .
4.6.
H s xc nh bi R 2 v h s xc nh hiu chnh
Trong m hnh hi quy tuyn tnh n ta a ra h

s xc nh
r2 =
ESS
RSS
= 1
.
TSS
TSS
T cng thc trn ta thy khi r 2 cng ln th tng bnh

phng sai s d bo cng nh, do m hnh hi quy
cng ph hp. V vy h s r 2 cn c dng o
ph hp ca m hnh. Tng t cho m hnh hi quy bi ta cng xy dng h s xc
ESS
RSS
nh k hiu l R 2 c xc nh bi cng thc: R 2 =
= 1
.
TSS
TSS
D dng chng minh c rng
R2 =
XY nY 2
.
YY nY 2
(4.9)
T cc cng thc trn c th thy h s xc nh R 2 c tnh cht sau:
0 R 2 1.
Nu R 2 = 1 khi ng hi quy gii thch 100% s thay i ca Y bi v khi :

n
u
i =1
2
i
=0.
Nu R 2 = 0 khi m hnh khng gii thch c s thay i ca Y.

Nu s bin c lp cng tng th h s R 2 cng ln, hay ni cch khc R 2 l mt
hm tng theo cc bin gii thch.
Nh vy, tnh ph hp ca m hnh hi quy tng ln
khi c nhiu bin gii thch trong m hnh hn. Tuy
nhin, ngi ta lun mun dng mt s lng bin
gii thch va sao cho vn c c m hnh ph
hp m khng qu tn km khi phi thu thp thng
tin ca qu nhiu bin gii thch. Hn na, nhiu
khi a thm mt s bin c lp vo m hnh th
tc ng ring phn ca cc bin c lp ti bin ph thuc li khng thc s c
ngha thng k. Vy cn c tiu chun nh gi s ph hp ca m hnh, trong c
cn nhc n s lng bin gii thch ca m hnh. Mt trong s cc tiu chun nh vy
l h s xc nh hiu chnh R 2 ca R 2 , cho bng biu thc
54
n
R = 1
2
u
i =1
n
2
i
y
i =1
/(n k)
.
2
i
/(n 1)
trong n l s quan st, k 1 l s bin c lp trong m hnh.

D dng thy c mi quan h gia R 2 v R 2 , c th l:
(n 1)
.
R 2 = 1 (1 R 2 )
(n k)
T R 2 c cc tnh cht sau:
Nu k > 1 th R 2 R 2 1 ;
Khi s bin c lp k 1 tng ln th R 2 cng tng ln nhng tng chm hn so vi R 2 ;
R 2 0 , nhng R 2 c th m. Khi R 2 nhn gi tr m th cho tin, thng th
ngi ta gn li cho n gi tr bng 0.
Trong thc hnh, khi mun nh gi s ph hp ca m hnh th R 2 hay c dng
hn so vi R 2 , v nu dng R 2 ta d a ra mt hnh nh lc quan qu mc v s ph
hp ca m hnh, nht l i vi cc bi ton m s lng bin gii thch khng nh
hn nhiu lm so vi s lng quan st. Tuy nhin, quan im ny cn c iu
chnh ty theo bi ton c th. Hn na, ngoi hai thng k R 2 v R 2 , ngi ta cn
dng mt s tiu chun khc nh gi tnh ph hp ca m hnh, chng hn nh:
quy tc thng tin Akaike hay quy tc d bo Amemiya.
4.7.
Quan h gia h s xc nh v tiu chun kim nh F
Xt m hnh hi quy bi (4.5):

Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i , i = 1, n
M hnh c gi l khng c hiu lc gii thch, hay ni cch khc khng gii thch
c s thay i ca bin Y, nu ton b cc h s hi quy ring u bng 0. V vy
kim nh sc mnh hay mc ngha ca m hnh ta cn kim nh bi ton sau:
H 0 : 2 = 3 = ... = k = 0
H1 : i 0
gii quyt bi ton kim nh trn, ta dng tiu chun thng k sau:
( XY nY 2 ) / k
F=
~ F(k 1, n k)
(YY XY) /(n k 1)
(4.10)
Khi gi thit thng k F c phn phi Fisher vi k 1 v n k bc t do. Vy vi

mc ngha ta c quy tc kim nh:
Nu Fqs > F ( k 1, n k ) th bc b H 0 .
Nu Fqs F ( k 1, n k ) th cha bc b H 0 .
Quan h gia h s xc nh R 2 v thng k F c din gii nh sau: T (4.5) v
(4.9), ta thy bi ton kim nh (4.10) tng ng vi bi ton kim nh
2
H 0 : R = 0
2
H1 : R 0
(4.11)
55
Mt khc: R 2 =
XY nY 2
.
YY nY 2
R 2 / ( k 1)
.
Do ta c: F =
(1 R 2 ) /(n k)
Vy thng k F cng l tiu chun thng k cho bi ton kim nh (4.11).
V d 1
Mt cng ty mun m rng th trng kinh doanh ti
mt thnh ph. Trc khi quyt nh m chi nhnh ti
thnh ph , cng ty tin hnh nghin cu th
trng bng cch tin hnh qung co v cho bn sn
phm ca mnh t xem xt kh nng tiu th sn
phm. Thu thp s liu trong 10 tun v s sn phm
bn c trong mt tun, gi sn phm X 2 v chi ph
cho qung co X 3 ta c bng s liu sau:

Gi sn phm
Cho ph qung co
S sn phm bn ra/tun
4.92
4.79
425
5.5
3.61
467
5.54
5.49
296
5.11
2.78
626
5.62
5.74
165
5.24
1.34
515
4.15
5.81
270
4.02
3.39
689
5.77
3.74
413
4.57
3.59
561
Phn tch s liu bng Evievs ta thu c bo co:
56
Da vo kt qu bo co trong Evievs ta xy dng c m hnh hi quy tuyn tnh 3

bin ch s ph thuc ca sn phm bn c Y vi chi ph qung co X 3 v gi thnh sn
phm X 2 qua biu thc
= + X + X
Y
1
2 2
3 3
vi 1 = 1360.84 , 2 = 110.2952 , 3 = 89.82406 . Ngoi ra cn c h s xc nh

bi R 2 = 0.772974 , h s xc nh hiu chnh (Adjusted R-Squared) R 2 = 0.708110 ,
gi tr tiu chun thng k F (F-Static) Fqs2 = 11.91675 . Vy m hnh hi quy c th l:
= 1360.84 110.2952X 89.82406X .
Y
2
3
i vi m hnh ny, ta cn t ra cu hi: Vi mc ngha = 0.05 th gi bn v

chi ph qung co c nh hng n s lng sn phm bn ra hay khng?
tr li cho cu hi ny, ta cn kim nh bi ton:
H 0 : 2 = 3 = 0
H1 : 2 , 3 0
hoc kim nh bi ton tng ng l:
H 0 : R 2 = 0
2
H1 : R > 0
C hai bi ton trn u c th gii quyt bng cch s dng thng k F . Ta c
Fqs = 11.91675 . Vi n = 10, k = 2, tra bng phn phi Fisher hoc dng lnh Excel ta
tm c phn v F0.05 ( 2;7 ) = 4.77 . R rng Fqs > F0.05 ( 2;7 ) , vy ta bc b H 0 , kt
lun gi bn ca sn phm v chi ph cho qung co c nh hng n s lng sn
phm bn ra.
Hai bi ton kim nh trn cn c th gii quyt bng cch so snh xc sut ngha
tng ng vi mc ngha nh. Kt qu ca Eviews cho thy xc sut ngha ca
thng k F (Prob(F-statistic)) c gi tr bng 0.005575, nh hn 0.05, vy c th bc
b gi thuyt H 0 .
4.8.
c lng khong cho h s hi quy
Gi s trong m hnh hi quy (4.7), vc t nhiu ngu nhin u c phn phi chun
1
N(0; 2 ) . Khi ta c vc t h s hi quy c phn phi chun N , 2 ( XX ) ,
cc thnh phn ca vc t cng c phn phi chun i ~ N ( ; 2 ) , (i = 1, k) , vi

2 cha bit v n c c lng khng chch l:
n
2 = u i2 ( n k ).
i =1
57
Cc thng k t =
i i
u c phn phi student vi (n k) bc t do. Do vy, vi
Se
( )
i
tin cy 1 ta c khong c lng cho i l:

i se( i )t n / 2k < i < i + se( i )t n / 2k ; i = 1, k
(4.12)
trong t n / 2k l phn v ca phn phi Student vi (n k) bc t do ng vi mc

ngha / 2 , gi tr ny c th thu c bng cch tra bng hoc dng lnh thch hp
trong Excel.
V d 2: T d liu trong v d 1 hy tm c lng khong ca h s hi quy ring
vi tin cy 95%.
Trong bng kt qu ca Eviews ta c:
= 1360.84 ,
= 110.2952 ,
1
3 = 89.82406
Trong ct Std.Error ta c:
( )
( )
( )
Se 1 = 258.4298 , Se 2 = 47.91851 , Se 3 = 20.69356 .

Ta thy n = 10 , k = 3 , 1 = 0.95 = 0.05 . T tra bng hoc s dng Excel
7)
(dng lnh Tinv(0.05,7)), ta s c t (0.025
= 2.365 . Thay cc thng s tng ng vo
(4.12), ta thu c cc c lng khong ca 2 v 3 ln lt l:

110.2952 47.91851 2.365 < 2 < 110.2952 + 47.91851 2.365
223.622 < 2 < 3.032 .
89.82406 20.69365 2.365 < 3 < 89.82406 + 20.69365 2.365
138.765 < 3 < 40.8836 .
4.9.
Kim nh gi thuyt cho cc h s hi quy
so snh cc h s hi quy vi cc gi tr gi nh cho trc, ta c cc gi thuyt

H 0 : i = *i
(i = 1, k)
i km vi mt trong s cc i thuyt tng ng H1 : i *i hoc H1 : i > *i hoc

H1 : i < *i .
Vi gi thuyt v sai s ngu nhin u nh trong phn 4.4 ta thy thng k t i =
i *i
Se
( )
i
c phn phi Student vi n k bc t do. Da vo kt qu ta c th gii quyt mt

lot bi ton kim nh so snh c lng ca cc h s trong m hnh hi quy tuyn
tnh bi nh sau:
*
H 0 : i = i
Bi ton 1:
*
H1 : i i
k )
Min bc b: W = (; t (n/2k ) ) (t (n
/ 2 ; ).
58
*
H 0 : i = i
Bi ton 2:
*
H1 : i > i
k )
; ).
Min bc b: W = (t (n
H 0 : i = *i
Bi ton 3:
*
H1 : i < i
Min bc b: W = (; t (n k ) )
S dng phn mm Eviews chng ta c th tnh c ngay gi tr tiu chun ca
thng k t i v xc sut ngha p tng ng, t c th gii quyt bi ton theo hai
cch sau:
Cch 1:
k )
Tm phn v t (n
v min bc b W ri so snh tiu chun thng k t i vi W
/2
a ra kt lun.
Cch 2:
So snh xc sut ngha p vi mc ngha nh trc nh sau:
o
i vi Bi ton 1, nu p th bc b gi thuyt H 0 , cn nu p > th

chp nhn H 0 .
i vi cc Bi ton 2 v 3, nu p / 2 th bc b gi thuyt H 0 , cn nu
p / 2 > th chp nhn H 0 .
V d 3: Xt s liu trong v d 1, vi mc ngha = 0.05 c th cho rng khi gi

sn phm tng th doanh s bn hng s gim khng?
Ta c phng trnh hi quy:
Y = 0 + 2 X 2 + 3 X 3 + u .
Nu 2 m th Y ph thuc nghch bin vi X 2 , tc l X 2 tng th Y gim. Vy
tr li cho cu hi trn ta cn lp bi ton kim nh gi thuyt
H 0 : 2 = 0
H1 : 2 < 0
Vi kt qu ca Eviews a ra phn trn, ta c:

t2 =
2
110.2952
=
= 2.30172 .
se( 2 ) 47.91851
7
k )
Mt khc, vi n = 10, k = 3, = 0.05 , ta c t (n
= t (0.05) = 1.895 .
Vy min bc b ca bi ton ny l
W = (; 1.895) .
R rng ta c t 2 W , do ta c th bc b gi thuyt H 0 , chp nhn H1 v a ra
kt lun 2 < 0 .
59
Nu gii quyt theo Cch 2 th ta c xc sut ngha p bng 0.0549, vy

p / 2 = 0.0549 / 2 < = 0.05 .
Do c th bc b gi thuyt H 0 .
4.10.
D bo cho m hnh hi quy tuyn tnh bi
Mt trong nhng ng dng quan trng ca hi quy l

d bo, bi ton t ra l da vo m hnh hi quy hy
d bo gi tr ca Y khi bit gi tr ca X l X . Xt
m hnh hi quy
= + X + ... + X = X .
Y
1
vi X = (1, X 2 , X 3 ,..., X k ) ; = ( 1 , 2 , 3 ,..., k ) ' .

Cho trc gi tr ca cc bin c
lp X = X = (1, X2 , X3 ,..., Xk ) , khi gi tr d bo
:
ca Y l Y
= E(Y | X , X ,..., X ) = + X + X + ... + X .
Y
2
3
k
1
2 2
3 3
k k
V d 4: Xt s liu trong v d 1, hy d bo doanh s bn hng trung bnh khi gi
sn phm l 4.5 v chi ph qung co l 3.2.
Ta c:
= 1360.84 110.2952X 89.824606X .
Y
2
Vy vi X2 = 4.5 v X3 = 3.2 , ta c:
= E ( Y | X = 4.5, X = 3.2 ) = 1360.84 110.2952 4.5 89.824606 3.2 = 577.07 .
Y
2
3
60
TM LC CUI BI
M hnh hi quy bi gm 2 bin c lp:

Gi s nghin cu s ph thuc ca Y vo 2 bin X2 v X3. M hnh c dng:
E ( Y / X 2i , X 3i ) = 1 + 2 X 2i + 3 X 3i
hoc
Yi = 1 + 2 X 2i + 3 X 3i + u i
1 l h s chn (h s t do): gi tr trung bnh ca Y khi X2 = X3 = 0,

2 v 3 l cc h s hi quy ring, ch s thay i ca trung bnh ca Y khi ring X2 v X3
tng hoc gim 1 n v v bin cn li c nh.
M hnh hi quy bi gm k bin (k1 bin c lp): Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i .
M hnh ny c 1 bin ph thuc v k1 bin c lp (k bin)
Cc h s hi quy ring j th hin nh hng ca ring tng bin c lp Xj ln trung bnh
ca Y khi cc bin khc c gi khng i.
Phng php OLS cho m hnh hi quy bi.
Trong m hnh k bin ch cng thc sau:
n
2 =
u
i =1
2
i
nk
RSS
.
nk
H s xc nh bi R2 v h s xc nh bi hiu chnh.
o ph hp ca hm hi quy, dng R2. Gi tr ca R2 cho bit bao nhiu % s bin
thin ca bin ph thuc c gii thch bi ng thi cc bin c lp hoc c gii thch
bi hm hi quy mu
R2 =
ERR
RSS
= 1
.
TSS
nk
V khi a thm bin c lp vo m hnh, R2 lun lun tng ln nn ngi ta s dng h s

xc nh bi iu chnh xem xt vic c nn a thm bin mi vo m hnh hay khng:
R 2 = 1 (1 R 2 )
n 1
nk
R2 R2
0 R2 1
H s R 2 c th m.
Khong tin cy vi tin cy 1 cho h s i l:
()
()
n k
n k
i Se t ( ) < i < i + Se t ( ) i = 1, k .
2
Khong tin cy ny cho bit khi Xi tng hoc gim 1 n v th trung bnh ca bin ph thuc
s thay i trong khong no.
Kim nh v s ph hp ca m hnh hi quy
i
Tiu chun kim nh: t i = i i
Se i
( )
61
*
H 0 : i = i
Bi ton 1:
*
H1 : i i
) (
Min bc b: W= ; t (n k ) t (n k ) ; + .
2
H 0 : i = *i
Bi ton 2:
*
H1 : i > i
Min bc b: W= t (n k ) ; + .
H 0 : i = *i
Bi ton 3:
*
H1 : i < i
Min bc b: W= ; t (n k ) .
62
CU HI THNG GP
1. Trong m hnh hi quy bi, cc gi thit ca phng php OLS c khc g so vi m hnh
hi quy n?
2. Vai tr ca cc h s hi quy trong m hnh hi quy bi khc th no so vi m hnh hi quy n?
3. H s xc nh bi trong m hnh hi quy bi cho bit iu g?
4. Ti sao li cn a ra khi nim h s xc nh bi iu chnh trong hm hi quy bi?
5. Khi no thi nn a thm bin c lp mi vo m hnh nu s dng h s xc nh bi
iu chnh?
6. Khi no thi ta cn xy dng khong tin cy cho cc h s hi quy?
7. Khi no th dng khong tin cy i xng, bn phi hoc bn tri?
8. Kim nh gi thit v mt h s hi quy bng 0 c ngha g, kim nh h s hi quy bng
mt gi tr c th c ngha g?
9. Kim nh F v s ph hp ca m hnh hi quy c ngha g?
CU HI TRC NGHIM
= 10 3X1 + 2.5X2. iu khng nh no sau y ng?

1. Cho m hnh hi quy Y
A. X2 quan trng hn X1 v du ca h s l dng.
B. Khi X1 gim 3 n v, Y gim 1 n v.
C. Khi X2 gim 2.5 n v, Y gim 1 n v.
D. Khi X1 gim 1 n v, Y tng 3 n v.
2. H s xc nh bi iu chnh lin quan ti iu chnh R2 qua:
A. Tng s tham s trong m hnh hi quy.

B. S bin ph thuc trong m hnh v kch thc mu.
C. S bin c lp trong m hnh v kch thc mu.
D. H s tng quan v mc ngha.
3. kim nh s ph hp ca hm hi quy mt m hnh gm 5 bin c lp v c 30 quan
st, bc t do trong gi tr phn v F l:
A. 5 v 30
B. 6 v 29
C. 5 v 24
D. 6 v 25
= 8 + 3X + 5X 4X . Khi X3 tng 1 n v, vi X1 v X2 gi
4. M hnh hi quy c dng Y
1
2
3
khng i, Y s:
A. Tng 1 n v.
B. Tng 12 n v.
C. Gim 4 n v.
D. Gim 16 n v.
63
5. T m hnh hi quy vi 3 bin c lp v c 25 quan st, tnh c R2 = 0.769. Gi tr ca

h s xc nh bi hiu chnh l:
A. 0.385
C. 0.591
B. 0.877
D. 0.736
6. Mt m hnh hi quy bi th c:
A. Ch duy nht 1 bin c lp.
B. Ch duy nht 2 bin c lp.
C. Nhiu hn 1 bin c lp.
D. Nhiu hn 1 bin ph thuc.
= 2 3X + 4X + 5X , 1 n v tng ca X1, X2 v X3 gi khng
7. Cho m hnh hi quy: Y
1
2
3
i, s dn n:
A. Tng 3 n v ca Y.
B. Gim 3 n v ca Y.
C. n v 8 n v ca Y.
D. Khng c la chn no trn.
8. kim nh s ph hp ca m hnh hi quy c 4 bin c lp, gi thuyt H0 l:
A. H 0 : 2 = 3 = 4 = 5 = 1.
B. H 0 : 1 = 2 = 3 = 4 = 5 .
C. H 0 : 2 = 3 = 4 = 5 = 0.
D. H 0 : 1 = 2 = 3 = 4 = 5 0.
9. Trong m hnh hi quy bi, gi tr ca h s R2 nm trong khong:

A. 1 v +1.
B. 0 v +1.
C. 1 v 0.
D. khng c la chn no trn.
10. kim nh v s ph hp ca m hnh hi quy bi, ta kim nh s bng khng ca tt c
cc h s hi quy bng kim nh:
A. Kim nh t.
B. Kim nh z.
C. Kim nh F.
D. Khng c la chn no trn.
64
Bi 5: a cng tuyn
BI 5. A CNG TUYN
Mc tiu

c nhng vn sau y:
Hin tng a cng tuyn (CT) xy
ra khi no?
Phn bit CT hon ho v khng
hon ho.
Hu qu ca CT.
Pht hin CT.
Cc bin php khc phc CT.
Ni dung
Hng dn hc
CT l g?
c ti liu c c nhng
tng chnh.
Phn bit CT hon ho v khng hon ho.

Hu qu ca CT.
Pht hin CT.
Khc phc CT.
Nghe tht k bi ging ca ging vin

nm c bn cht ca hin tng.
Tp trung vo phn khi nim, cc
bin php pht hin v khc phc.
Thi lng
6 tit
65
Bi 5: a cng tuyn
TNH HUNG DN NHP

Tnh hung
Cc nh qun l siu th BigC, mun xem xt vic gim gi mt
hng tht g kch thch tiu dng. thc hin iu ny, cc
nghin cu vin mun dng phng php Kinh t lng trong
bin ph thuc c chn chnh l tiu dng ca mt hng
tht g ca dn chng, cc bin c lp s l thu nhp ca ngi
tiu dng, gi ca tht g v gi ca tht ln l mt hng cnh
tranh vi tht g ti cc thi im quan st.
Vn t ra trong nghin cu l chn cc bin c lp vo trong m hnh. V lm pht l tnh
trng chung ca c nn kinh t nn cc mt hng thng c tnh trng cng tng gi hoc cng
gim gi, nht l nhng mt hng thit yu nh tht g v tht ln. Nu nh cc nh nghin cu
chn c gi tht g v gi tht ln lm bin c lp trong m hnh, chng s c quan h cng
tng hoc cng gim. V th khi tin hnh phn tch bng m hnh kinh t lng, s kh
phn tch nh hng ca tng bin ny ln tiu dng v th g hoc s gy ra cc hu qu v
mt k thut trong qu trnh phn tch.
Cu hi
Vy trong tnh hung nh th ny th cc nh nghin cu cn c bin php g?
Trong bi hc sau y, hc vin s c xem xt mt khuyt tt ca m hnh kinh t lng
trong tnh hung nu trn, l a cng tuyn. Lm th no pht hin v khc phc hin
tng ny khi xem xt mt m hnh vi nhiu bin c lp?
66
Bi 5: a cng tuyn
Trong bi trc chng ta xt m hnh hi quy bi vi gi thit

cc bin gii thch X i c lp tuyn tnh vi nhau. Tip theo y
chng ta s xt bi ton hi quy bi khi gi thit v tnh c lp
tuyn tnh b ph v v s a ra cch thc pht hin v bin
php khc phc hin tng gi thit b vi phm.
Trong m hnh hi quy bi trc th cc h s hi quy i vi
mt bin c th l s o tc ng ring phn ca bin tng ng
khi tt c cc bin khc trong m hnh c gi c nh. Nu tnh
c lp b ph v, tc l cc bin gii thch c tng quan th chng ta khng th ch cho mt
bin thay i v gi cc bin cn li c nh. Do vy chng ta khng th tch bit s nh hng
ring phn ca mt bin no .
5.1.
Khi nim a cng tuyn
5.1.1.
a cng tuyn hon ho
Bi ton
Cc bin X 2 , X 3 ,..., X k gi l cc a cng tuyn hon ho hay cn gi l a cng
tuyn chnh xc nu tn ti 2 ,..., k khng ng thi bng khng sao cho:
2 X 2 + 3 X 3 + ... + k X k = 0
5.1.2.
(5.1)
a cng tuyn khng hon ho (gn a cng tuyn)
Bi ton
Cc bin X 2 , X 3 ,..., X k gi l cc a cng tuyn khng hon ho nu tn ti 2 ,..., k
khng ng thi bng khng sao cho:
2 X 2 + 3 X 3 + ... + k X k + v = 0
(5.2)
trong v l sai s ngu nhin.

Trong (5.2) gi s i 0 khi ta biu din:
Xi =
v
X 2 3 X 3 ... k X k
i
i
i
i
(5.3)
T (5.3) ta thy hin tng a cng tuyn xy ra khi

mt bin l t hp tuyn tnh ca cc bin cn li v
mt sai s ngu nhin, hay ni cch khc l c mt
bin biu din xp x tuyn tnh qua cc bin cn li.
Mt s nguyn nhn gy ra hin tng a cng tuyn:
Cc bin c lp trong m hnh c tng quan cao;
S quan st nh hn s bin c lp;
Phng php thu thp s liu.
5.2.
c lng khi c a cng tuyn hon ho
Chng ta s thy rng khi c hin tng a cng tuyn hon ho th cc h s hi quy
c th khng xc nh v sai s tiu chun ca chng c th bng v cng. n
gin chng ta xt m hnh hi quy 3 bin
67
Bi 5: a cng tuyn
Yi = 1 + 2 X 2i + 3 X 3i + u i , i = 1, n .
(5.4)
yi = Yi Y, x 2i = X 2i X 2 , x 3i = X 3i X 3 , ta c
t:
yi = 2 x 2i + 3 x 3i + u i
(5.5)
Trong phn hi quy bi ta c cc c lng 2 , 3 l:

n
2 =
i =1
i =1
i =1
i =1
x x x 2i x 3i
i =1
i =1
i =1
2
2i
3 =
yi x 2i x 3i2 yi x 3i x 2i x 3i
n
2
3i
(5.6)
yi x 3i x 22i yi x 2i x 2i x 3i
i =1
i =1
i =1
i =1
x 22i x 3i2 x 2i x 3i
i =1
i =1
i =1
(5.7)
Nu c hin tng a cng tuyn hon ho th ta c:

X 3i = X 2i x 3i = x 2i .
Thay vo biu thc (5.6) v (5.7), ta c:
0
2 = 3 =
0
(5.8)
R rng (5.8) l khng xc nh.Vy trng hp a cng tuyn hon ho chng ta

khng c lng c cc h s hi quy ring , cho m hnh (5.4).
2
5.3.
c lng khi c a cng tuyn khng hon ho
Trong thc t him khi xy ra trng hp a cng

tuyn hon ho v cc bin c lp him khi c quan
h thc s tuyn tnh vi nhau. V vy nu c hin
tng a cng tuyn th thng ch xy ra hin tng
a cng tuyn khng hon ho. n gin, ta cng
xt m hnh hi quy 3 bin vi a cng tuyn khng
hon ho
Yi = 1 + 2 X 2i + 3 X 3i + u i ,
( i = 1, n )
(5.9)
vi u i l cc nhiu ngu nhin khng tng quan vi cc bin c lp. Khi gia
hai bin c lp X 2 , X 3 c s a cng tuyn khng hon ho, ngha l
X 3i = X 2i + vi
(5.10)
vi 0 , vi l cc nhiu ngu nhin khng tng quan vi X 2i v X 3i , tc l

n
X 2i vi = 0 ,
i =1
68
X
i =1
3i
vi = 0.
Bi 5: a cng tuyn
T (5.10) ta cng c: x 3i = x 2i + vi
n
x 2i vi = 0 ,
i =1
x
i =1
3i
(5.11)
vi = 0.
Ta c c lng cho 2 l:
n
n
n
2 n 2
n
2
2
y
x
x
+
v
y
x
+
y
v
i 2i
2i
i i 2i
i i x 2i
i =1
i =1
i =1
i =1
i =1
2 = i =1
2
n
n
n
n
x 22i 2 x 22i + vi2 x 22i
i =1
i =1
i =1
i =1
(5.12)
Tng t ta cng c biu thc ca 3 .

5.4.
Hu qu ca hin tng a cng tuyn
Ta xt trng hp m hnh c hin tng a cng

tuyn khng hon ho, tc l bin c lp X i c th
xp x tuyn tnh theo cc bin X 2 , X 3 ,..., X k . i vi
m hnh hi quy 3 bin th X 3 c th xp x theo X 2 ,
ngha l h s tng quan ring r23 c gi tr tuyt i
xp x 1.
Trong chng m hnh hi quy bi ta c biu thc:
( )
Var 2 =
2
n
i =1
( )
Var 3 =
(5.13)
x (1 r )
2
2i
2
23
2
n
(5.14)
x (1 r )
i =1
2
3i
2
23
ng thi vi tin cy 95% ta c khong c lng cho 2 , 3 l :
( )
( ))
i i 1.96Se i ; i + 1.96Se i
vi
( )
(5.15)
( )
Se i = Var i , ( i = 2,3) .
Ta thy rng khi r23 xp x 1 th:
( )
( )
Phng sai Var 2 , Var 3 gn vi ;
Khong c lng ca 2 , 3 ln, hay ni cch khc l khong c lng tin ti
( , + ) . V vy c lng h s tr ln kh c hiu lc, tc l khng c ngha,

v khong c lng qu ln.
kim nh gi thuyt H 0 : i = 0 , i = 2,3 , ta dng cc tiu chun thng k
ti =
i
, i = 2,3 .
se( i )
69
Bi 5: a cng tuyn
Tuy nhin, c hai thng k ny u tin dn ti 0 do Se( i ) , v vy kh nng

chp nhn gi thuyt H 0 s rt ln. iu ny mu thun vi thc t v r rng mc
tiu dng ni a ph thuc vo cc ngun thu X 2 , X 3 .
CH
Nu trong m hnh c hin tng a cng tuyn th m hnh hi quy khng gii thch c
mi quan h gia cc bin..
5.5.
Pht hin hin tng a cng tuyn
Ta thy hu qu ca hin tng a cng tuyn

trong m hnh hi quy. V vy vn quan trng l
lm th no pht hin ra hin tng a cng
tuyn v bin php khc phc ra sao.
Mt s quy tc pht hin ra hin tng a
cng tuyn:
H s xc nh R 2 ln nhng gi tr ca thng k t li nh: Khi thy trong m
hnh hi quy c h s xc nh R 2 kh cao ( R 2 > 0.8) nhng cc gi tr thng k
t i thp v xc sut ngha tng ng tng i cao th c th kt lun c hin
tng a cng tuyn.
H s tng quan gia cc bin c lp c gi tr tuyt i ln: Ta c th tnh cc
h s tng quan rij gia cc bin c lp. Nu rij kh gn 1 th kt lun c hin
tng a cng tuyn.
Ta xt v d sau:
V d 1: Trong nghin cu ca Klein v Golberger (1985) v mi quan h gia tiu
dng ni a Y, thu nhp t lng X 2 , thu nhp khc phi nng nghip X 3 , thu nhp t
nng nghip X 4 ca kinh t M t nm 1928 n 1950, cc s liu nm 1942 v 1944

b khuyt. Klein v Golberger thc hin m hnh hi quy ca tiu dng ni a Y theo
3 loi thu nhp X 2 , X 3 , X 4 .
70
Nm
X2
X3
X4
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
Bi 5: a cng tuyn
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
Ta c m hnh hi quy: Y = 1 + 2 X 2 + 3 X 3 + 4 X 4 .
R rng gia cc bin thu nhp X 2 , X3 , X 4 c hin tng a cng tuyn v khi kinh t
tng trng th cc loi thu nhp X 2 , X3 , X 4 cng tng.
Thc hin cc th tc tng ng ca phn mm Eviews ta thu c kt qu trong
bng sau:
Theo kt qu trong bng trn ta c m hnh c lng c nh sau:

Y = 7.304002 + 1.135052X 2 + 0.4053X 3 0.405888X 4 .
71
Bi 5: a cng tuyn
R rng h s xc nh ca m hnh R 2 = 0.954028 l kh cao, trong khi cc thng

k t i ca cc h s hi quy 3 v 4 c gi tr rt thp, c th l t 3 = 0.628347,
t 4 = 0.367274 vi cc xc sut ngha tng ng bng 0.5386 v 0.7182, do ta
phi chp nhn cc gi thuyt: H 0 : i = 0 , i = 3, 4 .
5.6.
Bin php khc phc hin tng a cng tuyn
Trong phn trc chng ta thy c hu qu ca hin tng a cng tuyn trong
m hnh hi quy v cch pht hin hin tng a cng tuyn. Phn ny a ra cc
bin php khc phc.
S dng thng tin tin nghim
Mu cht ca hin tng a cng tuyn l

thng tin mu v vy mt trong nhng bin
php khc phc l s dng thng tin tin
nghim (l cc thng tin bit t trc v m
hnh) hoc thng tin bn ngoi c lng
cc h s hi quy.
Ta xt v d sau :
Thit lp mt phng trnh sn xut ca mt qu trnh sn xut ta c phng trnh :
Yi = 1Li 2 K i 3 e ui
(5.16)
trong Yi l lng sn phm c sn xut thi k th i, Li l lng lao ng

thi k th i, K i l ngun vn c c trong thi k th i, U i l nhiu ngu
nhin, 1 , 2 , 3 l cc hng s cn c lng. Ly lgarit 2 v ca (5.16) ta c:
ln Yi = ln 1 + 2 ln ( Li ) + 3 ln ( K i ) + u i
(5.17)
t: Yi* = ln Yi ; L*i = ln ( Li ) ; K*i = ln ( K i ) , khi phng trnh (5.16) chuyn thnh

Yi* = ln 1 + 2 L*i + 3K *i + u i
(5.18)
Nu tng quan gia K v L cao, tc l c hin

tng a cng tuyn, khi phng sai ca cc
c lng 2 , 3 s ln. Tuy nhin, nu ta li
bit c t ngun thng tin bn ngoi l ngnh
sn xut ny c quy m khng i, tc l
2 + 3 = const (chng hn 2 + 3 = 1 ), th khi
ta c:
Yi* = ln 1 + 2 L*i + (1 2 ) K*i + u i
= ln 1 + 2 ( L*i K*i ) + K *i + u i ,
Yi* K*i = ln 1 + 2 ( L*i K*i ) + u i .
72
(5.19)
Bi 5: a cng tuyn
*
*
t: Yi** = Yi* K *i ; X**
i = L i K i , khi phng trnh (5.16) c a v
Yi** = ln 1 + 2 X**
i + ui
(5.20)
R rng (5.20) l phng trnh hi quy n, do ta c th c lng c cc h

s ln 1 , 2 v t tnh c c lng ca 3 .
Loi b bin a cng tuyn

Bin php b bin trong m hnh a cng tuyn l bin php n gin nht. Ta
thy rng hin tng a cng tuyn xy ra khi bin c lp no c biu din
tuyn tnh hoc gn tuyn tnh qua cc bin c lp khc. V th ta hy loi bin
ra khi m hnh, nhng vn t ra l khng ch c mt bin biu din tuyn tnh
qua cc bin khc m c nhiu bin nh vy. V vy ta cn da vo mt s quy tc
quyt nh b bin no trong s cc bin c lp ca m hnh. Hai quy tc
thng c p dng trc tin khi gp phi hin tng a cng tuyn l kho st
h s tng quan cp gia cc bin c lp v s dng cc m hnh hi quy ph.
C th:
o Khi gia hai bin c lp no c mi tng quan tuyn tnh mnh (h s
tng quan gia hai bin c gi tr tuyt i rt gn 1), ta c th da vo
ngha thc t cn nhc loi b mt trong hai bin ra khi phng trnh
hi quy.
o Cc m hnh hi quy ph vi mt bin c lp no c hi quy theo cc
bin c lp cn li c th c s dng xc nh bin cn loi b khi m
hnh. Nu h s xc nh ca m hnh hi quy ph c gi tr ln (trn 80%
chng hn), ta c th khng nh bin c gii thch trong m hnh hi quy
ph c xp x tuyn tnh qua cc bin c lp cn li, do c th b loi ra
khi danh sch cc bin c lp ca m hnh hi quy chnh.
S dng sai phn cp 1
Khi s liu c cu trc chui thi gian, ta c th s dng phng php sai phn
gim bt tnh a cng tuyn trong s liu, chng hn xt m hnh hi quy 3 bin
Yt = 1 + 2 X 2t + 3 X 3t + u t
(5.21)
trong t l ch s quan st theo cc thi im cch u nhau. Gi s gia hai bin

c lp X 2t v X 3t c hin tng cng tuyn. gim tnh a cng tuyn ta c
th s dng phng php sai phn nh sau: Phng trnh (5.13) cng ng vi giai
on t-1, tc l:
Yt 1 = 1 + 2 X 2t 1 + 3 X 3t 1 + u t 1
(5.22)
Tr (5.21) v (5.22) cho nhau, ta nhn c

Yt Yt 1 = 2 ( X 2t X 2t 1 ) + 3 ( X 3t X 3t 1 ) + u t u t 1
t:
Yt = Yt Yt 1 ;
X 2t = X 2t X 2t 1 ;
73
Bi 5: a cng tuyn
X 3t = X 3t X 3t 1 ;
U t = u t u t 1 .
Yt = 2 X 2t + 3 X 3t + u t
ta c:
(5.23)
M hnh (5.23) c th khc phc c hin tng

a cng tuyn gia cc bin c lp. Tuy nhin gii
php ny c th lm ny sinh mt vn l sai s
ngu nhin u t c th khng tha mn gi thit
ca m hnh hi quy l khng tng quan vi
nhau. V vy bin php ny c th gy ra hu qu
nghim trng hn.
Tng quan st :
Hin tng a cng tuyn c th xut hin do c mu nh. V vy chng ta c th
tng thm s quan st ln. Nhng chng ta bit rng khi tng thm s quan st
th chng ta li phi tng thm chi ph cng nh thi gian ly mu.
V d 2: Thng tin v chi ph tiu dng Y, thu nhp X 2 v tin tch ly X 3 ta c bng s
liu sau :
Y
70
65
90
95
110
115
120
140
155
150
X2
80
100
120
140
160
180
200
220
240
260
X3
810
1009
1273
1425
1633
1876
2052
2201
2435
2686
Dng th tc hi quy ca Eviews ta thu c phng trnh hi quy

Yi = 24.7747 + 0.941537X 2i 0.042435X 3i
(5.24)
vi cc sai s tiu chun
( )
Se 1 = 6.7525;
( )
Se 2 = 0.822898;
( )
Se 3 = 0.808664 .
v gi tr ca cc thng k
t1 = 3.668972, t 2 = 1.144172, t 3 = 0.526062
R 2 = 0.963504, R 2 = 0.953077.
Ta thy rng h s xc nh R 2 ca m hnh rt gn 1, trong khi thng k t3 li c
gi tr rt gn 0, tng ng vi xc sut ngha kh ln. Vy hin tng a cng
tuyn xy ra trong m hnh ny.
74
Bi 5: a cng tuyn
tm cch khc phc hin tng a cng tuyn, ta xt m hnh hi quy ph ca X 2

theo X 3 , chy th tc ca Eviews thu c kt qu:
X 2 = 0.368271 + 0.09792X 3 + u
t 2 = 62.04047 , R 22 = 0.997926 .
Vy ta thy tng quan ca X 2 v X 3 kh ln. iu ny mt mt khng nh mt ln
na s c mt ca hin tng a cng tuyn, mt khc cng gi vic loi b bt
bin c lp ra khi m hnh l mt gii php x l hin tng a cng tuyn.
Ta xt m hnh hi quy sau khi ln lt loi cc bin c lp X 2 , X 3 ra khi m hnh:
Khi loi X 2 ta c
75
Bi 5: a cng tuyn
Yi = 24.41104 + 0.049764X 3i
( )
Se ( ) = 0.003744, t
Se 1 = 6.874097, t1 = 3.551164
3
= 13.29166
R12 = 0.956679, R12 = 0.951264
Loi X 3 , ta c:
Yi = 24.45455 + 0.509091X 2i
( )
Se ( ) = 0.035743, t
Se 1 = 6.413817, t1 = 3.812791
2
= 14.24317
R 22 = 0.962062, R 22 = 0.957319 .
Ta thy R12 < R 22 nn b bin X 3 ra khi m hnh l hp l.
76
Bi 5: a cng tuyn
TM LC CUI BI
CT l g?
M hnh nhiu bin c lp:
E(Y X i ) = 1 + 2 X 2i + ... + k X ki
(k 3)
Cc bin c lp c quan h cng tuyn (v d c quan h bc nht vi nhau th) m hnh c

hin tng a cng tuyn (multicollinearity).
Phn bit CT hon ho v khng hon ho

Xt m hnh: Y = 1 + 2 X 2 + 3 X 3 + u.
a cng tuyn hon ho: nu X 2 = X 3 .
a cng tuyn khng hon ho: nu X 2 = X 3 + v.
Hu qu ca CT
c lng OLS khi c hin tng a cng tuyn cao:
Vn l c lng tuyn tnh khng chch tt nht trong lp cc c lng tuyn tnh khng
chch.Tuy nhin n khng tt, nh sau:
o Phng sai ca cc c lng ln => chnh xc thp.
o Khong tin cy thng rng.
2
o T s t thng nh => Cc h s khng c ngha nhng R vn ln.
o Du h s c lng c th sai.
Pht hin CT:

Da trn kt qu hi quy; mt s du hiu sau y c th cho bit c CT trong m hnh:
2
o R cao nhng t s t li thp (nhiu bin c lp khng c ngha.
o Du ca h s c lng c th sai so vi k vng ban u.
o H s tng quan ring gia cc bin c lp cao.
Cc bin php khc phc CT:

o
o
o
o
Thm thng tin.

S dng thng tin tin nghim.
B bt bin.
Nu khng qu nghim trng th khng cn khc phc.
77
Bi 5: a cng tuyn
CU HI THNG GP
1. Trong m hnh hi quy n c xy ra hin tng a cng tuyn hay khng ?
2. Trong 2 loi a cng tuyn hon ho v khng hon ho, loi no thng gp hn trong thc
t v v sao?
3. C phi khi no ta cng c a cng tuyn trong m hnh hi quy bi v gia cc bin kinh t
thng tn ti mt quan h no ?
4. Cc hu qu ca a cng tuyn gn hon ho c th hin th no?
5. a cng tuyn xy ra c nh hng g n tnh cht ca cc c lng ca cc h s hi quy?
6. C th nhn bit c a cng tuyn xy ra m khng cn thc hin cc kim nh?
7. Khi thc hin hi quy ph pht hin ra a cng tuyn, c nht thit phi thnh lp tt c
cc hm hi quy ph c th khng?
8. Trong cc bin php khc phc a cng tuyn th bin php no ph bin?
CU HI TRC NGHIM
1. Khi cc bin c lp tng quan vi nhau trong m hnh hi quy bi, hin tng ny gi l:
A. Phng sai ca sai s thay i.

C. a cng tuyn.
B. Phng sai ca sai s khng i.

D. T tng quan.
2. Nu c a cng tuyn th:

A. Kh phn tch nh hng ca tng bin c lp ln bin ph thuc.
B. Sai s tiu chun ca cc h s hi quy ln.
C. Cc gi tr t quan st trong kim nh t nh.
D. Tt c cc iu trn u ng.
3. iu no sau y l ng i vi a cng tuyn:
A. N xy ra hu ht cc m hnh hi quy bi.
B. Hu ht a cng tuyn l khng hon ho hoc gn hon ho.
C. L hin tng khi cc bin c lp tng quan vi nhau.
D. Tt c cc iu trn l ng.
4. Cc phng php c th dng khc ph a cng tuyn l:
A. Dng phng trnh sai phn cp 1.
B. Dng thng tin tin nghim.
C. Dng cch b bin.
D. Cc cch trn u ng.
5. a cng tuyn c th c pht hin bng cc cch sau y tr:
A. Dng hm hi quy ph.
B. Dng du hiu nhn bit trong kt qu hi quy.
C. Dng th cc phn d.
D. Dng ma trn h s tng quan ca cc bin c lp.
78
Bi 6: Phng sai s thay i
BI 6. PHNG SAI SAI S THAY I

Mc tiu

c nhng vn sau y:
Hin tng phng sai ca sai s
(PSSS) thay i xy ra khi no?
Hu qu ca PSSS thay i.
Pht hin PSSS thay i
Cc bin php khc phc PSSS thay i
Ni dung
Hng dn hc
PSSS thay i l g?
Cn nm c bn cht ca hin
tng, l khi gi thit ca phng
php OLS khng tha mn.
Hu qu ca PSSS thay i.
Pht hin PSSS thay i.
Khc phc PSSS thay i.
Thi lng
8 tit
Tp trung vo hu qu chnh ca hin

tng ny l lm cho cc c
lng OLS s l cc c lng khng
hiu qu.
Hiu r tng ca cc phng php
pht hin ra hin tng.
khc phc hin tng.
79
TNH HUNG DN NHP

Tnh hung
Ngn hng u t v pht trin Vit Nam BIDV nghin cu v tit
kim ph thuc vo tiu dng ca ngi dn H Ni v ngi dn Lai
Chu cng nh cc tnh min Bc, xy ra kh nng l s phn tn
ca tit kim ca ngi dn Lai Chu s nh hn so vi phn tn
trong tit kim ca ngi dn H Ni.
Khi nghin cu mt vn no bng phng php kinh t lng,
ta u s dng mt m hnh hi quy. V c lng m hnh hi
quy, ta thng dng phng php OLS (bi hc s 3). Tuy nhin,
thc hin c phng php OLS th v mt k thut, mt gi thit
trong m hnh cn tha mn. l gi thit v s bng nhau ca cc
nhiu ngu nhin. V bn cht th gi thit ny mun ng rng s phn tn trong cc quan
st ca bin ph thuc l nh nhau.
Cu hi
Vn t ra, khi Ngn hng BIDV nghin cu vn trn bng phng php kinh t lng
th hu qu s phn tn tit kim ca ngi dn H Ni v Lai Chu khc nhau nh vy l g?
80
Trong cc bi trc chng ta dng phng php bnh phng b nht c lng cc h s
ca m hnh hi quy. phng php c hiu qu, ta phi xt m hnh hi quy di mt s
gi thit, trong c mt gi thit rt quan trng l cc nhiu ngu nhin u i c phng sai khng
i. Mt cu hi t ra l nu gi thit ny b vi phm th hu qu s th no? ng thi, lm th
no pht hin hin tng gi thit b vi phm v khc phc hin tng bng cch no?
Bi ny xem xt cc vn nu trn.
6.1.
Nguyn nhn ca hin tng phng sai sai s thay i

BI TON
Thng thng m hnh hi quy tuyn tnh
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i
(6.1)
c nghin cu vi gi thit cc nhiu ngu nhin u i c

phng sai khng i,
Var ( u i ) = E ( u i2 ) = 2 , i = 1, n
(6.2)
Vy khi iu kin (6.2), tc l cc u i c phng sai thay i,
Var ( u i ) Var ( u j )
i j
th m hnh (6.1) b nh hng nh th no?
C nhiu nguyn nhn lm phng sai ca cc sai s u i khc nhau, c th k n mt

s nguyn nhn nh sau:
Trong s liu c hiu ng "hc tp", ging nh thi gian luyn tp s gip thnh
tch thi u ca vn ng vin ngy cng n nh, tc l phng sai ca sai s s
gim dn.
S liu b nh hng ca hin tng "mi" hoc "lo ha". Chng hn nh vo u
ca lm vic, cng nhn s tnh to hn v t sai st hn so vi cc thi im sau;
my mc mi s cho ra cc sn phm ng u hn so vi thi gian sau , khi
dn dn cc chi tit my b mn.
Quy m ca quan st nh hng n "t do" ca s liu. V d khi tin hnh
iu tra v chi ph tiu dng v thu nhp ca h gia nh, ta thy nhng h gia nh
c thu nhp thp th vic chi tiu ca h khng my linh ng, phn ln thu nhp
ca nhng h ny s tp trung vo cc nhu cu thit yu nh thc phm, qun o,
ch , i li. Nh th chi tiu ca nhm c thu nhp thp tng i ng u,
khng bin ng nhiu. Trong khi i vi nhm c thu nhp cao th ngoi vic
chi cho nhng nhu cu thit yu, h cn c kh nng la chn chi tiu cho du lch,
gii tr, hoc u t hay khng vo cc lnh vc bt ng sn, chng khon, Do
vy bin ng v chi tiu ca nhm ny s ln.
nh dng m hnh sai, iu ny xy ra do c s b st bin hoc dng hm hi
quy khng c la chn ph hp.
81
Do tc ng ca cc quan st ngoi lai, l nhng quan st c gi tr qu nh hoc

qu ln so vi nhng quan st khc trong mu.
K thut thu thp s liu khng ng u, cung cp s liu vi cht lng khc nhau.
6.2.
Hu qu ca phng sai sai s thay i
Khi gi thit phng sai sai s khng thay i ca m

hnh hi quy b ph v th s dn ti mt s hu qu nh
Cc c lng bnh phng nh nht ca cc h s
tuy vn l c lng khng chch nhng khng
phi l c lng hiu qu, tc l khng phi l c
lng c phng sai b nht;
Phn phi xc sut ca cc thng k s dng trong
m hnh khng xp x phn phi t hoc phn phi F
nh i hi ca c s l thuyt, do vic s dng
cc khong tin cy hay tin hnh kim nh gi thuyt da trn hai phn phi s
khng cn ng tin cy v d dn ti cc kt lun sai lm.
6.3.
Pht hin hin tng phng sai sai s thay i
Sau y chng ta s xem xt mt s cc php kim nh pht hin c hin tng

phng sai sai s thay i. Xt m hnh hi quy bi
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i
E ( u i2 ) = i2
vi:
(6.3)
( i = 1, n ) .
pht hin hin tng phng sai sai s thay i, ta c th s dng mt trong ba m
hnh hi quy ph sau y :
i2 = 1 + 2 Z2i + 3 Z3i + ... + p Zpi ;
(6.3a)
i = 1 + 2 Z2i + 3 Z3i + ... + p Zpi ;
(6.3b)
ln i2 = 1 + 2 Z2i + 3 Z3i + ... + p Zpi ;
(6.3c)
i2 = exp ( 1 + 2 Z2i + 3 Z3i + ... + p Zpi ) .

Cc m hnh hi quy ph ny cha p h s cha bit v Zp l cc bin vi nhng
gi tr bit (c th mt s Zp hoc l tt cc bin c thnh lp t cc bin
c lp X i ca m hnh hi quy (6.3)).
BI TON
H 0 : 2 = 3 = ... = p = 0
Bi ton kim nh:
H1 : i 0
Nu gi thuyt H 0 c chp nhn th c ngha l phng sai sai s trong m hnh (6.3)
khng thay i, ngc li l c hin tng phng sai thay i.
82
Bi ton kim nh trn c thc hin cho cc m hnh hi quy ph nhm a ra kt

lun v tnh thun nht ca phng sai sai s trong m hnh hi quy chnh, cung cp
cc php kim nh c th bao gm
Kim nh Breusch-Pagan s dng m hnh (6.3a);

Kim nh Glejser s dng m hnh (6.3b);
Kim nh Harvey-Godfrey s dng m hnh (6.3c).
Ngoi ra, cn c th k ti kim nh Park nh
mt trng hp c bit ca kim nh HarveyGodfrey.
Trong cc php kim nh trn, d liu ca i2
c c lng t (6.3) bng phng php OLS,
sau ta ly u i2 thay cho i2 , u i thay cho i v
ln ( u i2 ) thay cho ln ( i2 ) . Cc bc tin hnh nh sau:
Bc 1: Dng phng php OLS c lng cc h s i trong phng trnh hi
quy (6.3).
Bc 2: Tnh cc phn d:
u i = Yi 1 2 X 2i ... k X ki .
Bc 3a: Bnh phng cc phn d u i gn vo i2 ri c lng cc h s i ca
m hnh hi quy ph (6.3a) bng phng php OLS.

Bc 3b: Tnh gi tr tuyt i u i ca cc phn d gn vo v tr ca i trong m
hnh hi quy ph (6.3b) v thc hin phng php OLS tm cc c lng i .

Bc 3c: Ly ln ( u i2 ) th vo v tr ca ln ( i2 ) trong m hnh hi quy ph (6.3c) v
c lng bng phng php OLS tm i .

Bc 4: Tnh gi tr tiu chun thng k 2 = nR 2 vi n l s quan st (c mu), R 2
l h s xc nh.
Bc 5: Tnh xc sut ngha P = P { 2p 1 > 2 } , trong 2p 1 l bin ngu nhin c
phn phi khi-bnh phng vi p-1 bc t do.

Bc 6: Vi mc ngha nh (thng c cho bng 5%), nu p < th
bc b gi thuyt H 0 v kt lun c s bin ng ca phng sai sai s, nu ngc li
th chp nhn gi thuyt v khng nh tnh thun nht ca phng sai sai s trong
m hnh hi quy.
Ch : C th thay th vic tnh xc sut ngha P ca bc 5 bng vic tra bng phn
phi khi-bnh phng vi p-1 bc t do tm gi tr ti hn 2p 1 () . Tip so snh
gi tr ca tiu chun thng k 2 vi gi tr ti hn 2p 1 tm c, nu 2 > 2p 1 ()
th bc b gi thuyt H 0 .
Ngoi cc phng php kim nh trn cn c cc phng php kim nh White v
kim nh F cng c dng kim nh tnh thun nht ca cc phng sai sai s
trong cc m hnh hi quy tuyn tnh. C th,
83
Kim nh White:
n gin ta xt m hnh 3 bin
Yi = 1 + 2 X 2i + 3 X 3i + u i
(6.4)
i2 = 1 + 2 X 2i + 3 X3i + 4 X 22i + 5 X 3i2 + 6 X 2i X 3i
(6.5)
Php kim nh White c tin hnh theo cc bc sau:

Bc 1: c lng m hnh (6.4) bng phng php OLS tm c cc
phn d u i .
Bc 2: c lng m hnh (6.5) vi i2 c thay bng u i2 .
Bc 3: Tnh gi tr thng k 2 = nR 2 ca m hnh (6.5) v xc nh gi tr
ti hn 2 (5) .
Bc 4: So snh gi tr thng k vi gi tr ti hn, nu 2 > 2 ( 5 ) th bc b gi
thuyt H 0 : 1 = 2 = ... = 6 = 0 , ngc li th chp nhn gi thuyt .

Vic chp nhn gi thuyt trn ng ngha vi vic khng nh trong m hnh hi
quy (6.4) khng c hin tng phng sai sai s thay i, nu ngc li th ta phi
kt lun gi thuyt phng sai sai s thun nht b vi phm.
Kim nh F
Ta s dng m hnh hi quy ph
i2 = 1 + 2 ( E ( Yi ) )
(6.6)
2 c c t hi
trong i2 , E ( Yi ) cha bit v c thay bng cc c lng u i2 , Y
i
quy gc (6.6). Trong m hnh hi quy ny, xt thng k

2
F =
Se ( 2 )
l mt thng k c phn phi Fisher vi (1, n 2)

bc t do.
Vi mc ngha nh (thng c cho bng
5%), tra bng phn phi Fisher vi bc t do (1, n-2) tm ra gi tr ti hn
F > F (1, n 2 ) (gi tr ti hn ny bng phn v mc 1 ca phn phi Fisher
tng ng). So snh gi tr thng k F tnh c trn vi gi tr ti hn ny. Nu

F > F (1, n 2 ) th bc b gi thuyt H 0 : 2 = 0 , ngc li th chp nhn gi
thuyt. Vic chp nhn gi thuyt ny tng ng vi vic khng nh khng c

bin ng ng k ca phng sai sai s trong m hnh (6.3).
V d : Theo s liu bo co pht trin thng k 73 nc ang pht trin, trong
nm 1988 bao gm n nc ngoi D88 v tng sn phm quc ni Y88 , n v
c tnh bng triu USD.

84
Ta thc hin hi quy D88 theo Y88 ta c kt qu t hi quy ny ta tnh c gi

tr cc phn d u i v c k hiu l U88 . Kt qu ca m hnh hi ny c cho
trong bng sau:
kim tra xem trong m hnh trn, c hin tng phng sai sai s thay i hay
khng, ta ln lt tin hnh cc php kim nh khc nhau nh sau:
Kim nh Glejser. Thc hin hi quy U88 theo Y88 ( y chn Z l Y88 )
U88 = 1 + 2 Y88 .
ta thu c kt qu sau:
85
Vi m hnh hi quy ph c lng c trong bng trn, ta xt bi ton kim nh

H 0 : 2 = 0
H1 : 2 0
Kt qu trong bng cho thy t 2 = 5.698195 tng ng vi xc sut ngha rt nh

(Prob=0.000). Vy vi mc ngha 5% ta c th bc b gi thuyt H 0 , kt lun c
s thay i ca phng sai sai s.
2
theo Y88
Kim nh Breusch Pagan :Thc hin hi quy ca bin U88
2
U88
= 1 + 2 Y88
ta c kt qu sau:
H : = 0
p dng bi ton kim nh 0 2
H1 : 2 0
ta c t 2 = 5.198727 , Prob = 0.000, tc l xc sut

ngha nh hn 5%. Vy c th bc b gi thuyt
H 0 , kt lun phng sai sai s khng thun nht.
Kim nh White: c lng m hnh hi quy
2
U88
= 1 + 2 Y88 + 3Y882 .
Bng phn mm Eviews, ta c kt qu trong bng sau:
86
Vi kt qu , ta kim nh gi thuyt
H 0 : 2 = 3 = 0
H1 : i 0
Ta c: n = 73, R 2 = 0.4786 , do : 2 = nR 2 = 34.93 .

Vi mc ngha = 5% , tra bng phn phi khi-bnh
2
phng, ta thu c gi tr ti hn 0.05
( 2 ) = 5.99 . So snh hai gi tr trn vi
nhau, ta thy 2 = 34.93 > 5.99 . Vy c th bc b gi thuyt H 0 v khng nh c
hin tng phng sai sai s thay i.
Kim nh F: i vi kim nh ny, ta thc hin hi quy ph
2
U88
= 1 + 2 Y882 .
l gi tr c lng c khi thc hin hi quy D theo Y . K hiu Y
vi Y
88
88
88
88
l Y88f , s dng phn mm Eviews c lng m hnh trn, ta c
87
Xt bi ton kim nh
H 0 : 2 = 0
H1 : 2 0
Ta c t 2 = 3.138253 , Prob = 0.0025 < = 0.05 . Vy ta bc b gi thuyt H 0 ,

khng nh c hin tng phng sai sai s thay i.
Ch : Ta thy c bn phng php kim nh trn u a ra cng mt kt lun i
vi hin tng phng sai sai s thay i. Trong thc hnh khng nht thit phi thc
hin tt c bn php kim nh , m ch cn la chn thc hin mt php kim nh
l .
6.4.
Bin php khc phc hin tng khng thun nht ca phng sai sai s
M hnh hi quy c hin tng phng sai sai s thay i c th gy ra nhng hu qu

nh trnh by phn trc. N ph hy tnh khng chch, tnh vng ca cc c
lng. V vy cn phi c bin php khc phc hin tng .
Ta xt hai trng hp:
bit phng sai i2 ca cc sai s;
Cha bit phng sai i2 ca cc sai s.
Trng hp 1 : i vi trng hp i2 bit th
gii quyt vn , ta c th dng phng php

hi quy c trng s nh s trnh by tip sau y.
n gin ta xt m hnh hi quy hai bin
Yi = 1 + 2 X 2i + u i
(6.7)
ng vi phng trnh hi qui mu

Yi = 1 + 2 X 2i + u i
Gi s cc lch tiu chun ca sai s i > 0 bit. t bin hng s X1i = 1 , lc

(6.7) c a v dng
Yi = 1X1i + 2 X 2i + u i
(6.8)
Chia c hai v ca phng trnh trn cho i , ta thu c
Yi
X
X
u
= 1 1i + 2 2i + i .
i
i
i i
t
Yi* =
Yi * X1i * X 2i * u i
; X1i =
; X 2i =
; ui = .
i
i
i
i
Khi (6.8) c vit li thnh

Yi* = 1X1i* + 2 X*2i + u *i .
88
(6.9)
Trong phng trnh trn ta c

E(u *i ) = E(
1
1
u i ) = E(u i )
i
i
E(u *2
i ) = E(
1 2
1
u ) = 2 E(u i 2 ) = 1 .
2 i
i
i
Vy m hnh hi quy (6.9) c phng sai ca sai s u*i khng i. Khi p dng
phng php OLS thng thng, ta thu c cc c lng 1* , 2* ca 1 , 2 trong
(6.9) cng l cc c lng ca m hnh (6.7).
Trng hp 2: Khi cha bit phng sai sai s i2 , ta s ln lt xt cc trng hp
ring nh sau:
Nu phng sai sai s t l vi bnh phng bin gii thch X, tc l
E(u i2 ) = 2 X i2
th ta c th bin i m hnh gc (6.7) thnh
Yi 1
u
1
=
+ 2 + i = 1
+ 2 + vi .
Xi Xi
Xi
Xi
M hnh ny c phng sai sai s vi khng i v ta c th dng phng php
OLS thng thng c lng cc h s 1 , 2 ca m hnh.
Nu phng sai sai s t l vi bnh phng ca k vng Y, tc l
E(u i2 ) = 2 (E(Yi )) 2
ta c th bin i m hnh gc (6.7) v thnh
Yi
ui
= 1 + 2 Xi +
= 1 + 2X i + vi .
E(Yi ) E(Yi ) E(Yi )
E(Yi )
M hnh ny li tr thnh m hnh c phng sai sai s vi khng i.
Nu dng hm l sai th nh dng li m hnh.
Ngi ta thng nh dng li m hnh bt u
bng cch dng m hnh lgarit.
Chng hn, trc tin ngi ta dng m hnh log
tuyn tnh
Yi = 1 + 2 ln X i + u i .
Nu m hnh ny vn l nh dng sai th ngi ta
hiu chnh bng m hnh log - log tuyn tnh
ln Yi = 1 + 2 ln X i + u i
89
TM LC CUI BI
Hin tng phng sai ca sai s thay i
M hnh Yi = 1 + 2 X 2i + 3 X 3i + u i
Trong phng php OLS c gi thit: Var ( u i ) 2 , phng sai sai s khng i (ng u)
Homoscedasticity
Nu Var ( u i ) = i2 Var ( u j ) , i j PSSS thay i (khng ng u) Heteroscedasticity

Nguyn nhn PSSS thay i:
o
Bn cht Kinh t x hi: S dao ng ca bin ph thuc trong nhng iu kin khc
nhau khng ging nhau.
o
Qu trnh thu thp s liu khng chnh xc.
o
X l, lm trn s liu.
Hu qu:
o
Cc c lng l khng chch nhng khng tt nht (khng tho mn tnh cht c
lng hiu qu trong phng php OLS).
o
Kim nh T, F mt hiu lc (kt qu khng ng tin cy).
Pht hin PSSS thay i

o
Kim nh White:
M hnh ban u: E(Y/X)= 1+ 2X2+3X3.
Lp hm hi quy ph, trng hp c tch cho (cross terms)
i2 = 1 + 2 X 2i + 3 X 3i + 4 X 22i + 5 X3i2 + 6 X 2i X 3i + vi .
H0: M hnh u c PSSS ng u.
H1: M hnh u c PSSS thay i.
2
Kim nh F: qs
= nR 2 .
Kim nh: 2
2
Nu qs
> 2 ( 5 ) : bc b gi thuyt H0.
90
Cc bin php khc phc PSSS thay i
CU HI CUI BI
1. Phng sai ca sai s thay i c thc s l mt khuyt tt nghim trng trong phn tch hi quy?
2. Hu qu ca PSSS thay i khc th no so vi hu qu ca a cng tuyn?
3. Nu nh khng bit c cc nhiu ngu nhin th lm th no c th nhn nh v hin
tng PSSS thay i trong m hnh?
4. tng ca phng php dng th phn d pht hin PSSS thay i trong m hnh l g?
5. tng ca cc phng php dng kim nh pht hin ra PSSS thay i l g?
6. C nn p dng tt c cc phng php kim nh pht hin PSSS thay i hay khng?
7. Trong cc phn mm c sn cc kim nh pht hin PSSS thay i hay khng?
8. tng ca cc phng php khc phc PSSS thay i l g?
BI TP TRC NGHIM
1. Khi phng sai ca cc nhiu ngu nhin khng bng nhau, hin tng ny gi l:
C. a cng tuyn.
D. T tng quan.
2. C th lun lun chng t c rng khng c PSSS thay i trong m hnh hi quy:
A. ng.
B. Sai.
3. Phng sai ca sai s thay i ch xy ra vi s liu theo chui thi gian:
A. ng.
B. Sai.
4. Trong kim nh Glejser pht hin PSSS thay i, gi tr no s c s dng cho bin ph
thuc trong m hnh hi quy ph:
A. Sai s tiu chun ca hm hi quy.
B. Bnh phng ca phn d.
C. Phn d.
D. Gi tr tuyt i ca cc phn d.
5. Trong kim nh White pht hin PSSS thay i, nu m hnh ban u c 2 bin c lp th
trong m hnh hi quy ph c bao nhiu bin c lp (khng c tch cho).
A. 2
B. 3
C. 4
D. 5
6. Khi m hnh c PSSS thay i, ta lun c th khc phc n bng cch s dng lgarit ca
cc bin trong m hnh.
A. ng.
B. Sai.
91
7. Nu trong kim nh White pht hin PSSS thay i, tnh c thng k khi bnh phng
l 1.624 vi p-value tng ng l 0.444, s dng mc ngha 0.05. Vy kt lun l:
A. C PSSS thay i.
B. Khng c PSSS thay i.
C. Khng c kt lun vi nhng thng tin trn.
8. Nu trong m hnh c phng sai ca sai s thay i, n lm cho:
A. Phng sai ca cc c lng OLS khng phi l nh nht.
B. Cc c lng OLS khng phi l tuyn tnh.
C. Khng nh hng g n cc c lng OLS.
D. Khng c lng c cc tham s bng phng php OLS.
9. Phng php dng th pht hin ra PSSS thay i l:
A. V th ca X ln lt theo tng bin c lp.
B. V th ca phn d vi ln lt cc bin c lp.
C. V th ca bnh phng cc phn d vi ln lt cc bin c lp.
D. B hoc C.
92
Bi 7: La chn m hnh hi quy
BI 7. LA CHN M HNH HI QUY

Mc tiu

c nhng vn sau y:
Cc thuc tnh ca mt m hnh tt.
Cc loi sai lm v nh dng ca
m hnh.
Hu qu khi chn m hnh nh dng sai.
Kim nh pht hin m hnh nh
dng sai.
Gii thiu m hnh dng lga tuyn tnh.
Gii thiu m hnh vi bin gi.
Ni dung
Hng dn hc
Tiu chun cho mt m hnh tt.
n li cc bi hc trc hiu c
cc loi m hnh hi quy.
Cc loi sai lm nh dng ca m hnh.

Hu qu nu mt m hnh nh dng sai.
Cc kim nh pht hin sai lm nh dng.
Cc loi m hnh vi bin gi.
Thi lng
12 tit
Tp trung phn bit cc hu qu xy

ra khi c mt loi sai lm nh dng
no .
Tp trung vo cc phng php kim
nh pht hin cc sai lm nh dng.
Tp trung hiu r bn cht ca vic
a bin gi vo m hnh v cc loi
m hnh c bin gi.
Xem xt k cc v d trong gio trnh
v bi ging.
93

[
TNH HUNG DN NHP

Tnh hung
Tnh hung 1: Trong tnh hung ca bi hc s 4, chng ta s dng
m hnh di dng lgarit ca cc bin. Mt nh nghin cu khc li
xut s dng dng tuyn tnh ca cc bin (l dng ban u). Vy dng
m hnh no tt hn phn tch trong tnh hung ny?
Tnh hung 2: Mt nh nghin cu v bnh ng gii mun xem
xt vic liu thu nhp ca ngi lao ng c b nh hng bi gii
tnh ca h hay khng. Nh nghin cu ny xem xt m hnh hi quy
E(TN/Di) = 1 + 2Di
trong TN l thu nhp, D l bin gi, nhn gi tr bng 1 nu l nam, bng 0 nu l n.
Cu hi
Vi m hnh ny lm th no kt lun v liu c nh hng ca gii tnh n thu nhp
hay khng?
Trong bi hc s 7, ta s xem xt vic la chn mt m hnh tt s da trn cc tiu ch
no? V chng ta s tr li c cu hi thu nhp c b nh hng bi gii tnh hay khng.
94
Trong phn trnh by cc bi trc, ta gi nh rng mt m hnh

hi quy c la chn l mt m hnh ng, ngha l hin tng cn
nghin cu c m hnh ha ng vi bn cht v ph hp vi quy
lut vn c ca n. Tuy nhin, thng thng bc ban u ta cha
bit r v bn cht v quy lut ca hin tng, m phi da vo s
liu khm ph ra bn cht v quy lut . Vy th no l mt m
hnh tt, c phi mt m hnh hi quy c cc phn d cng nh th
cng tt hay khng, hay mt m hnh phi c phng trnh hi quy
tht phc tp, tht p v mt ton hc mi l tt?
7.1.
Cc thuc tnh ca mt m hnh tt

BI TON
Xt hai m hnh hi quy tuyn tnh
Yi = 1 + 2 X 2i + 3 X 3i + ... + k X ki + u i ,
(7.1)
Yi = 1 + 2 X 2i + 3 X 3i + ... + m X mi + vi ,
(7.2)
trong m < k (do vy sai s u i c xu th nh hn sai s vi ). C th kt lun l m

hnh (7.1) tt hn m hnh (7.2) khng? Hn na, c phi mt m hnh hi quy phi tuyn
no (m hnh lgarit chng hn) s tt hn hai m hnh tuyn tnh khng?
Ni rng ra, m hnh phi c nhng tnh cht g s c coi l mt m hnh ng n?
Vic nh gi mt m hnh c ng n, ph hp vi bn cht ca hin tng hay

khng phi c da trn nhng tiu chun nht nh. A.C. Harvey a ra cc tiu
chun nh gi cht lng ca m hnh hi quy. Cc tiu chun ny c vn
dng rng ri trong thc t, bao gm:
Tnh tit kim: M hnh cng n gin cng tt, tuy
nhin phi cha ng nhng bin c lp ch yu
nh hng n bin ph thuc gii thch c
cc hin tng cn nghin cu.
Vic nh gi bin c lp no nh hng mt
cch c ngha n bin ph thuc, mt mt phi
da trn ngha thc t ca m hnh. Mt khc c th
da vo php kim nh v cc h s trong phng
trnh hi quy.
Tnh xc nh: Cc tham s c lng c phi c tnh n nh v duy nht i vi
mt tp s liu cho trc.
Chng hn, nu hin tng a cng tuyn khng c x l th tnh xc nh
khng c m bo, v cc tham s c lng c c th c bin ng ln
v khi vic thay i mt vi quan st trong s liu c th lm cho cc tham s
c lng c thay i rt nhiu. Vy vic kh a cng tuyn c th gip cho m
hnh hi quy c tnh xc nh.
Tnh thch hp: Cc bin c lp gii thch c s thay i ca bin ph thuc
cng nhiu cng tt.
H s xc nh ca m hnh hi quy tuyn tnh cung cp mt thc o nh gi
tnh thch hp ca m hnh so vi s liu.
95

[
Tnh bn vng v mt l thuyt: M hnh phi ph hp vi c s l thuyt nn tng.

Chng hn, cc gi thit v tnh c lp ca cc quan st, tnh phn phi chun v
phng sai thun nht ca sai s, ... s m bo v mt l thuyt ca m hnh hi
quy tuyn tnh c in.
C kh nng d bo tt: M hnh tt l mt m hnh c kh nng cung cp cc kt
qu d bo cng st vi thc t cng tt.
7.2.
Cch tip cn la chn m hnh
la chn c m hnh hi quy thch hp vi b s liu v mc tiu nghin cu, ta

c th tin hnh ln lt theo cc bc sau:
Bc 1: Xc nh danh sch cc bin c lp c
th c trong m hnh. Da vo ngha thc t ca
bi ton c t ta, ta cn lit k tt c nhng
bin c lp c th c ca m hnh, l nhng bin
c kh nng nh hng n gi tr ca bin ph
thuc. Nhng bin ny c th c sn trong danh
sch cc bin ca b s liu, song cng c th l
bin c to ra t cc bin trong danh sch thng qua cc php bin i.
Bc 2: Kim tra s vi phm cc gi thit ca m hnh hi quy. Bc ny bao
gm vic tin hnh kim nh cc vn nh a cng tuyn, phng sai thay i,
t tng quan, phn b khng chun ca sai s, ... v khc phc cc vi phm pht
hin c.
Bc 3: Chn dng hm hi quy. Dng hm hi quy c th c xc nh da trn
kin thc chuyn ngnh lin quan n s liu hoc da vo dng hm c s
dng trong cc nghin cu trc . Bn cnh , c th xc nh dng hm hi
quy thng qua vic kho st cc th biu din s b mi quan h gia bin c
lp v bin ph thuc. Chng hn nu trn th, cc chm tng ng vi cc
quan st ca tp s liu nm tp trung hai bn mt ng thng no , th c th
chn dng hm hi quy tuyn tnh. Cn nu cc chm li nm hai bn mt
ng cong th c th da vo dng ca ng cong m a ra dng hm hi
quy phi tuyn thch hp.
Bc 4: p dng cc tiu chun nh gi v la
chn m hnh. H s xc nh l mt thc o
thng c dng u tin nh gi cht lng
ca m hnh hi quy. Nu h s xc nh c gi tr
ln hn 50% th c th coi m hnh kh ph hp
vi tp s liu. Cn nu h s xc nh nh hn
30% th c th khng nh m hnh khng ph hp
v nn tm m hnh khc.
Ngoi h s xc nh, cn c mt s tiu chun khc c th dng nh gi cc
m hnh hi quy nh:
o Tiu chun log-hp l (log-likelihood):
n
n
1 n
L = ln 2 ln(2) u i2 .
2
2
2 i =1
96
C th chng minh L c phn phi tim cn vi phn phi khi bnh phng.
Gi tr ny cng ln (tng ng vi xc sut ngha cng nh) th cng tt, v
cho thy m hnh ang xt rt khc bit vi m hnh tm thng (l m hnh
cho rng khng h c quan h gia cc bin c
lp v bin ph thuc). Trong thc hnh, gi tr
ca hm L c c lng bng cng thc:
n
RSS
L = (1 + ln(2) + ln(
)) .
2
n
o
Tiu chun AIC (Akaike info criterion):

AIC = (
RSS 2k / n
).e ,
n
trong k l s tham s trong m hnh hi quy. Gi tr AIC ny cng nh th

m hnh cng ph hp vi s liu.
o
Tiu chun Schwarz (Schwarz criterion):
SC = (
RSS k / n
).n
n
trong k l s tham s trong m hnh hi quy. Gi tr SC ny cng nh th m

hnh cng ph hp vi s liu.
H s xc nh c dng nh gi s ph hp ca m hnh hi quy nhiu
khi cha ni ln y cht lng ca m hnh v mt s l do sau y:
Nu hai m hnh hi quy cha danh sch cc
bin c lp khc nhau th h xc nh ca
hai m hnh (c th bng nhau) khng
gip kt lun c m hnh no tt hn;
C th vic loi b bt mt s bin no ra
khi phng trnh hi quy tuy lm gim h s
xc nh, song v thc cht li khng lm gim
ng k cht lng ca m hnh. Mt khc,
trong thc hnh, nhiu khi dng t bin c lp trong m hnh th kinh t
hn, mc d sai s c lng c th ln hn.
Nh vy, cn da vo cc php kim nh nh gi, la chn m hnh. Tiu

chun F di y c th gip tin hnh mt trong nhng php kim nh nh vy:
o
Tiu chun F (F criterion). Vi m hnh hi quy (7.1) ta xt bi ton kim nh:

BI TON KIM NH 1
H 0 : 2 = 3 = ... = k = 0
H1 : i 0
Vic chp nhn gi thuyt H 0 c ngha l tt c cc bin c lp khng h nh
hng n gi tr ca bin ph thuc. Ngc li, vic bc b gi thuyt H 0 c
ngha c t nht mt bin c lp no c tc ng n bin ph thuc, tc l m
hnh hi quy ph hp vi s liu mt mc nht nh.
97

[
gii quyt bi ton kim nh ny, ta thit lp t s:

F=
R2 / k
,
(1 R 2 ) /(n k 1)
trong R 2 l h s xc nh ca m hnh hi quy, k l s tham s trong m

hnh, n l s lng cc quan st trong b s liu. T s ny c phn phi xp
x phn phi Fisher vi bc t do (k, n k 1). Qua c th xc nh c
xc sut ngha (p-value) tng ng, c dng so snh vi mc ngha
cho (5% chng hn) a ra kt lun chp nhn hay bc b gi thuyt H 0 .
Ta xt li v d bi trc v s liu bo co pht trin thng k 73 nc

ang pht trin nm 1988, trong bin ph thuc l n nc ngoi D88 v
bin c lp l tng sn phm quc ni Y88 . Thc hin hi quy D88 theo Y88 ,
ta c kt qu trong bng sau:
Trong bng trn, ta thy m hnh c h s xc nh ln hn 77%, cho bit m

hnh hi quy ny ph hp vi tp s liu. Kt lun cng khng nh qua gi
tr 244.9136 ca thng k F, tng ng vi xc sut ngha bng 0.000000
(rt nh). Ngoi ra, bng cn cung cp gi tr ca cc tiu chun AIC, SC v
log - hp l.
7.3.
So snh hai m hnh hi quy
Cng vi h s xc nh, cc tiu chun t 1 n 4 trn y u c th dng nh

gi cht lng ca m hnh. Tuy nhin s nh gi mi cp n s ph hp ca
98
m hnh vi b s liu, ch cha nh gi so snh v cht lng ca cc m hnh.

Nh vy, cn da vo cc php kim nh nh gi, la chn m hnh. Vi hai m
hnh hi quy (7.1) v (7.2), ta xt bi ton kim nh:
BI TON KIM NH 2
H 0 : m +1 = m + 2 = ... = k = 0
H1 : i 0,i {m + 1, m + 2,..., k}
Vic chp nhn gi thuyt H 0 c ngha cc bin c lp X m +1 , X m + 2 ,..., X k khng c vai
tr ng k i vi bin Y , tc l hai m hnh (7.1) v (7.2) l nh nhau v kh nng d
bo gi tr ca bin ph thuc. Ngc li, vic bc b gi thuyt H 0 c ngha m hnh (7.1)
vi nhiu bin c lp hn, sai s hi quy nh hn, s cung cp d bo chnh xc hn cho
bin ph thuc.
Trong thc hnh, nu gi thuyt H 0 c chp nhn

th r rng nn chn m hnh (7.2) v s bin c lp t
hn, nn c li hn v mt kinh t. Cn nu gi thuyt
b bc b th nn chn m hnh (7.1), v d bo s cho
kt qu thc s chnh xc hn.
gii quyt bi ton kim nh ny, ta thit lp t s
F=
n k R 2k R 2m
,
k m 1 R 2k
trong R 2k l h s xc nh ca m hnh (7.1) vi k tham s, R 2m l h s xc nh

ca m hnh (7.2) vi m tham s, n l s lng cc quan st trong b s liu. T s
ny c phn phi xp x phn phi Fisher vi bc t do (n k, k m), qua c th
xc nh c xc sut ngha (p-value) tng ng, c dng a ra kt lun
chp nhn hay bc b gi thuyt H 0 .
7.4.
Hu qu ca vic chn m hnh khng ph hp
Gio s Rick Nordheim khng nh rng trong Thng k ng dng, khng c khi
nim v m hnh ng hay sai, m ch c m hnh ph hp hay khng ph hp vi
thc t, m hnh c phn nh c bn cht ca hin tng c nghin cu hay
khng. y l quan im xut pht t thc nghim v l quan im chung ca tt c
cc nh lm ng dng. V vy, ta lun phi xt n tnh ph hp ca m hnh mi khi
gii quyt mt bi ton hi quy. Vic chn m hnh khng ph hp c th do mt
trong nhng nguyn nhn sau gy ra:
Chn dng hm khng thch hp. Dng hm hi

quy khng thch hp c th dn n cc hu qu sau:
o Cc h s hi quy b c lng chch, thm ch
du ca h s hi quy b sai, dn n nhng
din gii mu thun vi thc t;
o H s xc nh th hin ph hp ca m
hnh vi s liu c th khng cao;
99

[
o
o
C th c rt t h s hi quy c lng c c ngha thng k;

Phn d ca cc quan st c th c th ln v gi tr tuyt i v c xu th bin
ng mang tnh h thng. iu ny c th dn n s vi phm cc gi thit c
bn ca m hnh hi quy.
B st bin: Vic b st bin cng c th gy ra hu qu nghim trng. Gi s m

hnh ph hp thc s phi l
Y = 0 + 1X1 + 2 X 2 + u ,
nhng ta li s dng m hnh
Y = 0 + 1X1 + v
ngha l bin X 2 b thiu, trong khi bin ny thc
s nh hng n bin ph thuc. iu ny c th dn n nhng hu qu khc
nhau. Nu bin X 2 tng quan vi bin X1 th cc c lng 0 v 1 ca 0 v
1 s l nhng c lng chch v khng vng ca 0 v 1 , tc l

E( 0 ) 0 ; E( 1 ) 1 .
Thc vy, v hai bin X1 v X 2 tng quan vi nhau nn ta c
X 2 = 0 + 1X1 + ,
vi 0 , 1 v ln lt l cc h s hi quy v sai s trong m hnh hi quy bin
X 2 theo bin X1 . Lc ,
E( 1 ) = 1 + 2 1 ; E( 0 ) = 0 + 2 (X 2 1X1 ) .
Do vy, ty theo du ca 2 1 m 1 s cho c lng qu cao hoc qu thp so
vi gi tr thc ca 1 .
Trong trng hp X 2 v X1 khng tng quan vi nhau th 1 = 0 v khi 1 l
c lng khng chch ca 1 , nhng 0 li l c lng chch ca 0 , nu
X2 0 .
Ngoi ra, vic b st bin cn dn n hu qu l c lng phng sai ca sai s
cng nh ca phng sai ca cc h s hi quy u l nhng c lng chch, ko
theo tnh khng chnh xc ca cc khong tin cy v v vy phng php kim
nh thng thng khng cn hiu lc.
Tha bin: Vic a vo m hnh nhng bin khng thch hp cng em li
nhng nguy hi ng k. Tht vy, gi s m hnh ph hp l
Y = 0 + 1X1 + u ,
(7.3)
nhng ta li s dng m hnh

Y = 0 + 1X1 + 2 X 2 + v
(7.4)
100
ngha l dng tha bin X 2 . Khi cc h s hi

quy c lng c t m hnh (7.4) vn l cc
c lng vng, khng chch, ngha l ta vn c
E( 0 ) = 0 ; E( 1 ) = 1 v E( 2 ) = 2 = 0 .
ng thi, phng sai ca ca sai s vn c c
lng mt cch khng chch, do khong tin cy
vn c xc nh tng i chnh xc v phng php kim nh thng thng
vn c hiu lc. Tuy nhin cc c lng thu c t m hnh (7.4) khng phi l
c lng hiu qu, v phng sai ca chng s ln hn phng sai ca c lng
tng ng thu c t m hnh (7.3). H qu l cc khong tin cy ca cc h s
s rng hn, do vai tr ca mt bin c lp i vi bin ph thuc c th b
nh gi sai (khong tin cy c lng qu rng s c kh nng cha im 0 - th
hin bin c lp khng nh hng n bin ph thuc, trong khi nu c c
lng ng th khong tin cy khng cha im 0 - chng t bin c lp tc ng
mt cch c ngha ln bin ph thuc).
7.5.
Kim nh pht hin s b st bin
Vi mt tp s liu cho trc, gi s ta s dng m

hnh hi quy
Yi = 0 + 1X i + u i .
(7.5)
Vn t ra l ngoi bin X nh hng n bin

ph thuc Y, cn c bin c lp no khc c nh
hng quan trng n Y m cha c a vo m hnh hay khng? Lc , ta cn
gii quyt bi ton kim nh sau:
BI TON KIM NH 3
H 0 : Khng c hin tng b st bin c lp trong m hnh (7.5)

H1 : C hin tng b st bin c lp trong m hnh (7.5)
Vic chp nhn gi thuyt H 0 c ngha m hnh (7.5) cha s bin c lp thc s
nh hng ti bin ph thuc, nhng nh hng thc s ca cc bin c lp khc cha c
mt, nu c th c th hin mt cch gin tip thng qua nh hng ca cc bin c
lp c mt trong m hnh. Ngc li, vic bc b gi thuyt H 0 c ngha l m hnh
(7.5) cha cha s bin c lp cn thit, bin ph thuc Y cn chu nh hng quan
trng ca mt hay nhiu bin c lp no cha c mt trong m hnh.
kim tra xem trong m hnh (7.5) cn b st bin c lp W hay khng, ta xt m

hnh hi quy y hn, vi s c mt ca bin c lp W
Yi = 0 + 1X i + 2 Wi + vi .
(7.6)
Vi m hnh ny, ta xt hai trng hp nh sau:

Trng hp 1: C s liu v bin W. Trong trng hp ny, ta c th gii quyt
bi ton 3 bng nhiu cch khc nhau, chng hn nh:
101

[
Cch 1: Dng kim nh t. kim tra xem c phi bin W b b st khi

dng m hnh hi quy (7.5) hay khng, ta c th tin hnh hi quy theo m
hnh (7.6) v kim nh gi thuyt 2 = 0 . Lc , nu gi thuyt ny b bc
b th thc s bin W b b st. Ngc li, nu gi thuyt 2 = 0 c chp

nhn th khng c hin tng b st bin W, v bt k bin c mt trong m
hnh hi quy hay khng, ta u thu c cht lng d bo ca m hnh nh nhau.
o
Cch 2: S dng hm log-hp l. Xt thng

k LR = 2(l1 l0 ) , trong l1 v l0 tng
ng l gi tr ln nht ca lgarit hm hp l
ng vi m hnh (7.6) v (7.5). Khi gi thuyt
H 0 ng, thng k LR c phn phi tim cn
phn phi khi bnh phng vi 1 bc t do
( 2 (1) ). Nu LR 2 (1) ( thng c ly
bng 5%) th ta bc b H 0 v kt lun c hin
tng b st bin c lp W.
o
Cch 3: S dng Bi ton kim nh 2. Ta c th p dng bi ton kim nh

2 so snh hai m hnh (7.6) v (7.5) thay cho vic so snh hai m hnh (7.1)
v (7.2). Khi y, vic gi thuyt c chp nhn (cht lng ca hai m hnh
nh nhau) ng ngha vic khng c hin tng b st bin W. Ngc li, nu
gi thuyt b bc b th c ngha bin W b b st trong m hnh hnh quy.
Ch : Trn y trnh by 3 cch pht hin vic b st 1 bin c lp W trong

m hnh hi quy. Tuy nhin, Cch 2 v Cch 3 cn c th dng pht hin vic
b st mt nhm bin c lp trong m hnh.
Tht vy, khi gii quyt bi ton kim nh 2, so snh hai m hnh (7.1) cha k 1
bin c lp vi m hnh (7.2) cha m 1 bin c lp (m < k), v thc cht ta
kim tra xem nhm k m bin c lp c mt trong m hnh (7.1) nhng khng c
mt trong (7.2) c phi l nhm bin b b st nu ch dng m hnh hi quy (7.2)
hay khng.
Cng c th s dng hm log-hp l gii quyt bi ton kim nh trn bng
cch lp thng k LR = 2(lk lm ) , trong lk v lm tng ng l gi tr ln nht
ca lgarit hm hp l ng vi m hnh (7.1) v (7.2). Khi gi thuyt H 0 ng,
thng k LR c phn phi tim cn phn phi khi bnh phng vi k m bc t do
( 2 (k m) ), t ta c th tnh c xc sut ngha ca php kim nh a
ra kt lun thng k v vic liu c phi nhm bin c lp b b st hay khng.
Trng hp 2: Khng c s liu v bin W . Khi khng c s liu ca bin c
lp b nghi l b b st trong m hnh (7.5), ta c th s dng cc thng tin ca
cc gi tr d bo thu c t m hnh (7.5) xem cc bin c lp trong m hnh
cung cp cho bin ph thuc mt lng thng tin t n mc bo ha hay
cha, tc l liu c cn thiu mt phn thng tin ca bin b b st no nh
hng n bin ph thuc na hay khng? C th, ta ln lt tin hnh cc bc
nh sau:
102
Bc 1: Dng s liu c lng cc gi tr 0 v 1 ca cc h s hi quy

trong m hnh (7.5);
Bc 2: Dng cc h s 0 v 1 v cc gi tr quan st c ca bin c lp

c lng cc gi tr ca bin ph thuc
= + X .
Y
i
0
1 i
vi cc gi tr trn c gi l bin d bo. T bin d bo ny, ta lp

Bin Y
2, Y
3 v Y
4 . C th thy
thm cc bin ph Y
cha phn thng tin ca bin ph thuc

bin Y
c th hin qua bin c lp X. ng thi c
2, Y
3 v Y
4 c th cn
th cho rng cc bin Y
cha mt phn thng tin khc ca bin ph
thuc cha c m t qua bin X. Nh vy,
kim tra xem m hnh (7.5) c b st bin c
lp no hay khng, ta c th tin hnh kim
2, Y
3 v Y
4 ng
nh bit liu cc bin Y
l nhm bin b b st hay khng.
Ti y, ta c th tip tc gii quyt bi ton bng mt s cch khc nhau, chng
hn nh:
o
Bc 3: Ta kim nh gi thuyt H 0 : 2 = 3 = 4 = 0 bng cch dng thng k

F=
n k R 2k R 2m
k m 1 R 2k
vi n l s quan st c trong s liu, k=5, m=2, cn R 2k v R 2m ln lt l h

s xc nh ca cc m hnh (*) v (7.5). Thng k ny c phn phi Fisher vi
bc t do n 5 v k m = 3 , qua tnh c xc sut ngha a ra kt
lun chp nhn hay bc b gi thuyt H 0 . Vic chp nhn gi thuyt cho php
khng nh khng c hin tng b st bin. Cn khi gi thuyt b bc b th
c ngha trong m hnh (7.5) cn st bin c lp.
Ti y, ta c th tip tc gii quyt bi ton bng mt s cch khc nhau, chng
hn nh:
2, Y
3
o p dng bi ton kim nh 2 kim tra xem c phi nhm cc bin Y
4 b b st khi dng m hnh hi quy (7.5) hay khng, ta xt m hnh

v Y
hi quy (7.5),
Yi = 0 + 1X i + u i ,
v m hnh
2 + Y
3
4
Yi = 0 + 1X i + 2 Y
i
3 i + 4 Yi + v i .
o
(*)
Phng php kim nh nhn t Lagrange. Phng php ny c tin hnh,

bt u bng Bc 1 v Bc 2 nh ni trn, vi mt b sung nh:
103

[
Th nht: Dng cc h s 0 v 1 v cc gi tr quan st c ca bin
v bin ph Y
2, Y
3, Y
4 , ng
c lp thu c lng bin ph thuc Y
thi xc nh cc gi tr ca bin phn d
; i = 1, 2,..., n .
u i = Yi Y
i
Th hai: Xt phng trnh hi quy

2 + Y
3
4
u i = 0 + 1X i + 2 Y
i
3 i + 4 Yi + v i
v dng s liu c lng h s xc nh R 2 ca phng trnh hi quy ;

Th ba: Lp gi thuyt H 0 : 2 = 3 = 4 = 0
v dng thng k nR 2 kim nh gi

thuyt y. Thng k ny c phn phi khi
bnh phng vi 3 bc t do, qua tnh
c xc sut ngha a ra kt lun
chp nhn hay bc b gi thuyt H 0 . Vic
chp nhn gi thuyt ny ng ngha vi
vic khng nh khng c hin tng b st
bin. Ngc li, nu gi thuyt b bc b th
m hnh (7.5) cn b st bin c lp.
Ch : Trong Trng hp 2 ny, ta ch c th a ra kt lun v cht lng
ca m hnh, khng nh m hnh c b st bin hay khng, m khng xc nh
c chnh xc bin b b st. Nu bit chc chn l c hin tng b st bin
v cn xc nh r bin b b st th cn da vo kinh nghim v kin thc ca
chuyn ngnh c s liu. Lc y c th tin hnh b sung s liu ca bin b b
st ci tin m hnh.
7.6.
Kim nh pht hin hin tng tha bin
Ta thy bi ton kim nh pht hin hin tng tha

bin c lp trong m hnh hi quy chnh l mt phn
ca bi ton ngc i vi bi ton kim nh 3
nhm pht hin s b st bin c lp trong m hnh,
vi gi thuyt ca bi ton ny c i thnh i
thuyt ca bi ton kia, v ngc li, i thuyt c
chuyn tng ng thnh gi thuyt, hn na c s
liu ca bin W , l bin ang b nghi vn l bin tha trong m hnh. Nh vy, hon
ton c th dng cc phng php trnh by cho trng hp 1, mc 7.5 trn y,
pht hin hin tng tha bin.
7.7.
La chn gia m hnh hi quy tuyn tnh v m hnh hi quy lga tuyn tnh
Mt trong cc gi thit ca m hnh hi quy tuyn tnh l gi thit v tnh phn b

chun ca cc phn d (hay cn c gi l sai s). D dng thy nu phn d ca m
hnh hi quy c phn b chun th bn thn bin ph thuc cng phi c phn b
chun. Tuy nhin, trong thc hnh rt hay gp phi nhng bin ph thuc khng c
phn b chun m li c phn b lga-chun. Th d, vi s liu v thu nhp trn u
104
ngi nm 1999 ca cc h gia nh huyn Ba V, ta c biu tn s bn tri trong

hnh di y. R rng biu khng i xng v bin thu nhp trn u ngi
(incomecapita) khng c phn b chun. Tuy nhin, nu ta lp bin mi logincocapita
bng cch ly loga c s 10 ca bin trn y th ta s c th tn s pha bn phi
vi dng ca phn b chun.
Trong trng hp ny, d bo thu nhp trn u ngi, r rng m hnh hi quy
tuyn tnh vi bin ph thuc logincocapita s ph hp hn m hnh hi quy tuyn tnh
vi bin ph thuc incomecapita. Lc , thay v dng m hnh
Y = 0 + 1X + v ,
(7.7)
log10 (Y) = 0 + 1X + u .
(7.8)
ta nn dng m hnh
Dng phng php bnh phng b nht c cc h s hi quy 0 v 1 ca phng

trnh hi quy tuyn tnh trn, t ta c th xy dng cng thc d bo gi tr ca
bin ph thuc nguyn thy Y qua biu thc:
= 10 0 +1X = 10 0 .(10X )1 .
Y
(7.9)
M hnh (7.8) c gi l m hnh lga tuyn tnh. Bn cnh m hnh , ngi ta cn

hay dng m hnh log-log tuyn tnh, c thnh lp bng cch ly lga c bin ph
thuc ln bin c lp trc khi a cc bin vo m hnh hi quy tuyn tnh thng
thng, nu c bin ph thuc v bin c lp u l nhng bin nhn gi tr dng
log10 (Y) = 0 + 1 log10 (X) + W .
(7.10)
Vi cc gi tr 0 v 1 ca phng trnh hi quy tuyn

tnh trn c lng c bng phng php bnh phng
b nht, ta c th xy dng cng thc d bo gi tr
ca bin ph thuc nguyn thy Y nh sau:
= 10 0 +1 log(X) = 10 0 .(X)1 . (7.11)
Y
Trn y, cc m hnh (7.8)-(7.11) c trnh by cho

trng hp hi quy n, tc l khi phng trnh hi quy ch cha mt bin c lp.
M hnh hi quy bi tng ng vi nhiu bin c lp cng c th trnh by hon ton
tng t.
105

[
Cc m hnh hi quy lga tuyn tnh v log-log tuyn tnh, mc d kh gii thch v
ngha thc t hn so vi m hnh hi quy tuyn tnh thng thng, nhng nhiu khi li
gip gii quyt c mt s vng mc ca m hnh hi quy tuyn tnh, chng hn
nh vn v phng sai sai s thay i cp n trong bi trc.
7.8.
Bn cht ca bin gi v m hnh hi quy vi bin gii thch l bin gi
M hnh hi quy thng c dng d bo gi tr nh lng ca bin ph thuc

theo gi tr bit ca mt hoc nhiu bin c lp. Trn y chng ta cp n
trng hp cc bin c lp l cc bin nh lng, m gi tr chng c th nhn c
l cc s o. Tuy nhin, trong thc hnh c nhiu trng hp c nhng bin c lp,
yu t nh hng n gi tr ca bin ph thuc, li khng phi l bin nh lng m
l bin nh tnh (cn c gi l bin nh danh, bin phn hng hay bin cht) vi
cc gi tr c th nhn c ca bin khng phi l cc con s, m li l cc thuc
tnh, tnh cht, c im, ... no ca i tng.
Th d, xy dng m hnh d bo chi ph ca mt khch nc ngoi dnh cho mt
chuyn du lch c thc hin ti Vit Nam, ta cn xt ti mi yu t c th nh
hng n kh nng sn sng chi tr ca khch. Cc yu t c th bao gm tui,
gii tnh, quc tch ca khch, thi gian (s ngy) thc hin ca chuyn du lch, ma
tin hnh chuyn du lch, ... C th thy trong cc yu t , ch c tui v thi
gian l hai bin nh lng, cn li u khng phi l cc bin nh lng.
Nh vy, trc tin ta cn m ha li cc bin nh tnh
c cc bin nhn cc gi tr s i din cho bin
nh tnh trong phng trnh. C th dng cc bin gi
nh phn (ch nhn hai gi tr 0-1) m ha li cc
bin nh tnh. Cch m ho bng cc bin gi nh vy
kh n gin v c th gip din gii cc h s c lng
c ca phng trnh hi quy mt cch rt r rng.
Chng hn, ta c th m ha bin gii tnh thnh bin
gi GT nhn gi tr 0 nu khch hng l nam gii, nhn gi tr 1 nu khch hng l ph
n. Lc khi c lng chi ph ca khch du lch theo gii tnh bng m hnh hi quy
Y = 0 + 1GT + u ,
trong Y l chi ph ca khch hng, u l sai s, th h s chn 0 chnh bng gi tr
chi ph trung bnh ca nhm khch hng n,
0 = E(Y GT = 0) .
ng thi, h s dc 1 chnh l gi tr chnh lch gia chi ph trung bnh ca nhm

khch hng nam so vi chi ph trung bnh nhm khch hng n, tc l tng 0 + 1
ca hai h s hi quy c gi tr ng bng gi tr chi ph trung bnh ca nhm khch
hng n,
0 + 1 = E(Y GT = 1) .
Php kim nh gi thuyt H 0 : 1 = 0 v s bng khng ca h s dc trong m hnh

ny cho php chng ta a ra kt lun v vic liu chi ph ca nhm khch hng nam
c ngang bng vi chi ph ca nhm khch hng n hay khng.
106
Vic s dng bin gi trong m hnh hi quy c th m rng cho trng hp bin nh
tnh nhn nhiu gi tr, tc l khi bin nh tnh xc nh nhiu nhm cc quan st ng
vi nhiu phm tr khc nhau. Chng hn, gi s khch du lch trong nghin cu c cc
quc tch Php, Nga, Nht, M, Trung Quc v Vit Nam. Lc ta c th dng 5 bin
gi D1 , D2 , D3 , D4 v D5 m ha bin nh tnh quc tch nh trong bng sau:
Quc tch
D1
D2
D3
D4
D5
Php
Nga
Nht
Trung Quc
Vit Nam
Trong bng trn, bin D1 ng vi nhm khch mang quc tch Php, nhn gi tr 1 i
vi quan st ca khch Php, nhn gi tr 0 i vi cc quan st nhm khc; bin D2
ng vi nhm khch mang quc tch Nga, nhn gi tr
1 i vi quan st ca khch n t nc Nga, nhn
gi tr 0 i vi cc quan st nhm khc; ... Ring i
vi nhm quan st ng vi khch ni a Vit Nam, tt
c cc bin gi t D1 n D5 u nhn gi tr bng 0.
Nhm ny c ly lm nhm nn (hay cn gi l
nhm chng), vi cc kt qu c ly lm mc c
s so snh vi kt qu ca cc nhm khc. Chng hn, khi dng m hnh hi quy
Y = 0 + 1D1 + 2 D 2 + 3 D3 + 4 D 4 + 5 D5 + u.
(7.12)
d on mc chi ph ca khch du lch ph thuc vo quc tch ca khch, kt qu

c lng c ca h s chn 0 cho bit mc chi ph trung bnh ca nhm khch
ni a
0 = E(Y D1 = D 2 = D3 = D 4 = D5 = 0)
Chi ph trung bnh ny ca nhm nn c ly lm mc sn so chi ph ca cc

nhm khch n t cc nc khc. Th d, t (7.12), chi ph trung bnh ca nhm
khch Php c c lng bng 0 + 1
0 + 1 = E(Y D1 = 1)
chnh lch chi ph ca nhm khch Php so vi nhm khch ni a c c lng

bng 1 ; chi ph trung bnh ca nhm khch Nga c c lng bng 0 + 2
0 + 2 = E(Y D 2 = 1)
chnh lch chi ph ca nhm khch Nga so vi nhm khch ni a c c lng

bng 2 ; ...
107

[
Cc php kim nh H10 : 1 = 0 , H 02 : 2 = 0 , H30 : 3 = 0 , H 04 : 4 = 0 v H50 : 5 = 0 s

ln lt cung cp cc kt lun so snh chi ph trung
bnh ca tng nhm khch phn theo quc tch vi chi
ph trung bnh ca nhm khch ni a.
Ch : Cc php kim nh trn ch so snh chi ph
trung bnh ca cc nhm khch nc ngoi vi chi ph
ca nhm nn (khch ni a), ch khng so snh
c chi ph trung bnh ca cc nhm khch nc ngoi
vi nhau.
7.9.
M hnh hi quy vi mt bin lng v mt bin cht
Sau y chng ta xy dng m hnh d bo chi ph ca khch du lch, vi gi thit chi

ph va t l vi thi gian ca chuyn du lch, va ph thuc vo c th ring lin
quan n quc tch ca khch du lch. Lc trong danh sch cc bin c lp ca m
hnh s va xut hin bin nh lng (bin TG ch thi gian tnh theo ngy ca
chuyn du lch), va c bin nh tnh l bin biu din quc tch ca khch du lch.
Trong m hnh hi quy, bin nh tnh ny c m ha li thnh cc bin gi nh
trnh by trn y. Ta xt phng trnh hi quy
Y = 0 + 1D1 + 2 D 2 + 3 D3 + 4 D 4 + 5 D5 + TG + u .
(7.13)
Ta thy trong m hnh ny, h s dc cho bit chi

ph hng ngy ca khch du lch, khng phn bit
ngi khch n t nc no. Nh vy h s ny
i din cho tnh cht chung ca tt c cc khch v
mt chi tiu cho mi ngy trong chuyn du lch. Cc h
s cn li th hin c th ring ca cc nhm khch
du lch n t cc nc khc nhau. C th ni m hnh
(7.13) l m hnh tng hp ca 6 m hnh hi quy
tuyn tnh n c cng h s dc, mi m hnh cho bit quy lut chi tiu ca khch
hng n t mt nc. C th, vi cc h s c lng c t (7.13), ta c th d
bo chi ph ca khch du lch ni a theo phng trnh
= + TG ;
Y
0
chi ph ca khch Php bng

= ( + ) + TG ;
Y
0
1
chi ph ca khch Nga bng

= ( + ) + TG ;
Y
0
2
chi ph ca khch Nht bng

= ( + ) + TG ;
Y
0
3
= ( + ) + TG ;
chi ph ca khch M bng: Y
0
4
= ( + ) + TG .
chi ph ca khch Trung Quc bng: Y
0
5
108
Trn th m t quan h ca chi ph theo thi gian thc hin chuyn du lch, cc
ng hi qui ca cc phng trnh hi quy n tng ng vi cc phng trnh trn
y s th hin thnh cc ng thng c cng h s dc v do song song vi nhau.
Y
0 + k
0 + 1
0
TG
V cc m hnh hi quy trn y c chung h s dc, ch c th khc nhau h s chn,

nn cc php kim nh H10 : 1 = 0 , H 02 : 2 = 0 , H30 : 3 = 0 , H 04 : 4 = 0 v
H50 : 5 = 0 v thc cht s ln lt cung cp cc kt lun so snh m hnh hi quy d
bo chi ph ca tng nhm khch phn theo quc tch vi m hnh tng ng ca
nhm khch ni a. Nu gi thuyt H 0k : k = 0 c chp nhn th hai m hnh
= ( + ) + TG v Y
= + TG c coi l nh nhau, chi ph ca khch du lch
Y
0
k
0
ca hai nhm c th d bo theo cng mt phng trnh hi quy.

7.10.
M hnh hi quy vi mt bin lng v hai bin cht
Ta c th a thm vo m hnh (7.13) c m hnh d bo chi ph ca khch du

lch theo bin thi gian thc hin chuyn du lch (TG - bin lng) v hai bin cht l
gii tnh (GT) v quc tch ca khch du lch. Bin gii tnh c m ha li thnh
cc bin gi nh ni pha trn v ta c m hnh hi quy mi nh sau:
Y = 0 + 1GT + 1D1 + 2 D 2 + 3 D3 + 4 D 4 + 5 D5 + TG + u .
(7.14)
Vi m hnh ny, h s dc vn th hin quy lut chung v chi ph hng ngy ca

khch du lch. Trong khi , h s chn c tch thnh nhiu phn, m t cc c th
ring ca tng nhm khch v chi ph ban u. C th, h s 1 cho bit s khc nhau
gia khch nam v khch n; cc h s 1 , 2 , 3 , 4 , 5 biu din s khc bit v chi
ph ban u gia nhng nhm khch du lch n t cc nc khc nhau; ring h s
0 li cho bit phn ging nhau, chung cho mi nhm khch, v chi ph ban u.
Nh vy, m hnh (7.14) c th coi l m hnh gp chung ca 12 hi quy ring r, do
va th hin c quy lut chung ca tt c cc nhm i tng, va biu din
c nhng c th ring ca mi nhm. T phng trnh hi quy (7.14) ta c th rt
ra hai phng trnh hi quy cho bit quy lut v chi ph ca hai nhm khch nam v
n ni a,
Y = 0 + TG + u (i vi nam),
Y = 0 + 1 + TG + u (i vi n);
109

[
hai phng trnh hi quy tng ng vi hai nhm khch nam v n ngi Php,
Y = ( 0 + 1 ) + TG + u (i vi nam),
Y = ( 0 + 1 + 1 ) + TG + u (i vi n);
...
v cui cng l hai phng trnh tng ng vi hai nhm khch nam v n ngi
Trung Quc,
Y = ( 0 + 5 ) + TG + u (i vi nam),
Y = ( 0 + 1 + 5 ) + TG + u (i vi n).
Trn th, 12 phng trnh hi quy trn y s tng ng vi 12 ng thng song
song vi nhau, c chung dc v ch khc nhau v v tr ct nhau vi trc tung.
Cc kt qu kim nh cc h s ca m hnh (7.14) s gip so snh h s chn ca 12
m hnh trn y. C th, php kim nh gi thuyt H 0 : 1 = 0 cho php chng ta
a ra kt lun v vic liu yu t gii tnh ca khch du lch c vai tr mang tnh
thng k i vi h s chn ca cc m hnh hay khng. Cn cc php kim nh
H10 : 1 = 0 ; H 02 : 2 = 0 ; H30 : 3 = 0 ; H 04 : 4 = 0 v H50 : 5 = 0 s ln lt cung cp
cc kt lun nh gi nh hng ca yu t quc tch ca khch du lch i vi h s
chn trong cc m hnh ring r (so snh h s chn trong mi m hnh vi h s chn
ca m hnh ng vi nhm khch ni a).
7.11.
S dng bin gi trong phn tch ma
Ti cc thi im khc nhau trong nm, c s khc

nhau v gi phng ca cc khch sn v gi cc dch
v khc i km. Do vy, cn s dng bin gi xy
dng m hnh biu din c c im ma ca quy
lut. Trong thc t, i vi cc a phng, cc ma
cao im, thp im i vi du lch thng ko
di khc nhau v vo qung thi gian khc nhau trong
nm. Tuy nhin, tin trnh by, ta tm coi mt nm c bn ma Xun, H,
Thu v ng. Lc , ta c th dng ba bin gi M1 , M 2 v M 3 m ha bin
Ma theo bng sau:
Ma
M1
M2
M3
Xun
Thu
ng
Ta s kt hp cc bin gi trn y vi bin nh lng bin TG (ch thi gian tnh

theo ngy ca chuyn du lch) to ra cc bin nh lng mi l TG1 = M1 *TG ,
TG 2 = M 2 *TG v TG 3 = M 3 *TG , t xy dng v tin hnh phn tch m hnh
Y = + 0 TG + 1TG1 + 2 TG 2 + 3TG 3 + u .
(7.15)
110
M hnh ny c th c coi l m hnh gp chung ca bn m hnh tng ng vi

quy lut ca bn ma. Bn m hnh ca bn ma c chung h s chn , ch khc
nhau h s dc. i vi ma Xun, phng trnh hi quy (7.15) thu gn thnh
Y = + ( 0 + 1 )TG + u .
Cc phng trnh tng ng vi cc ma cn li ln lt s l:
Y = + ( 0 + 2 )TG + u (ma H);
(7.15b)
Y = + ( 0 + 3 )TG + u (ma Thu)
(7.15c)
Y = + 0 TG + u (ma ng).
(7.15d)
Cc php kim nh H10 : 1 = 0 , H 02 : 2 = 0 v

H30 : 3 = 0 c thc hin khi phn tch m hnh
(7.15) s ln lt cung cp cc kt lun so snh h s
dc ca tng m hnh (7.15a), (7.15b) v (7.15c) vi
h s dc ca m hnh (7.15d), cho bit chi ph hng
ngy ca khch du lch vo mi ma Xun, H v
Thu c khc bit mt cch c ngha thng k so
vi chi ph hng ngy ca khch du lch vo ma
ng hay khng.
Ch :
Vi vic chn nhm cc quan st ca ma ng lm nhm nn (cc bin gi
M1 , M2 v M3 nhn gi tr bng 0 ti nhm ny), cc php kim nh trn ch gip
so snh h s dc trong m hnh hi quy ca cc ma khc vi h s dc trong m
hnh tng ng ca ma ng, ch khng so snh c h s dc trong cc m
hnh ng vi cc ma Xun, H v Thu vi nhau. Tuy nhin, bng cch chn li
nhm nn v lp cc bin gi mt cch thch hp,
hon ton c th tin hnh kim nh so snh cc
cp h s dc ty no .
C th kt hp m hnh (7.15) vi m hnh (7.13)
hoc (7.14) c mt m hnh din t c c quy
lut chung v cc quy lut ring cho cc nhm
khch du lch v cho cc ma trong nm. Chng
hn, kt hp (7.15) vi (7.13), ta s c m hnh
Y = 0 + 1GT +1D1 +2 D2 +3D3 +4D4 +5D5 + 0TG + 1TG1 + 2TG2 + 3TG3 + u
biu din c cc c th v ma v c th v quc tch ca cc nhm khch
du lch.
Trong cc mc t 7.8 n 7.11, th d v chi ph ca khch du lch c dng minh
ha cho vic s dng bin gi xy dng cc m hnh. Tuy nhin, cc m hnh ny
c th s dng rng ri cho nhiu nghin cu khc c cu trc s liu ph hp.
111

[
7.12.
Hi quy tuyn tnh tng khc
M hnh hi quy tuyn tnh thng l m hnh thun tin cho vic gii thch ngha
thc t ca cc kt qu phn tch thu c. Tuy nhin, c th quy lut tuyn tnh ca
m hnh khng phi mang tnh ton cc m ch mang tnh cc b, tc l ch ng i
vi tng khong tng i ngn trong min gi tr ca mt bin c lp. Khi , m
hnh hi quy tuyn tnh tng khc s cung cp mt gii php kh ph hp.
Th d, xt m hnh m t quan h gia thu nhp ca sinh
vin sau khi ra trng ph thuc vo thm nin cng tc,
trong c xt n nh hng ca chnh sch iu chnh
mc lng ti thiu c nh nc tin hnh hng nm.
Trong m hnh ny, thu nhp Y c n nh l bin ph
thuc cng vi bin c lp chnh l TN (thm nin), s
liu c quan st bt u t ngy 01/01/2004 n ht
nm 2009 v gi s vic iu chnh mc lng ti thiu
c thc hin u n vo ngy 01 thng 01 hng nm. Lc , ta c th dng 5 bin
gi N1 , N 2 , N3 , N 4 v N5 biu din khong thi gian ca cc nm nh trong
bng sau:
Nm
N1
N2
N3
N4
N5
2005
2006
2007
2008
2009
2004
Ta thnh lp cc bin nh lng mi l TN1 = N1 *TN , TN 2 = N 2 *TN ,

TN3 = N3 *TN , TN 4 = N 4 *TN v TN5 = N5 *TN , t xy dng v tin hnh
phn tch m hnh
Y = 0 + 1 N1 + 2 N 2 + 3 N 3 + 4 N 4 + 5 N 5 +
+ 0 TN + 1TN1 + 2TN 2 + 3TN 3 + 4TN 4 + 5TN 5 + u .
y l mt m hnh hi quy tuyn tnh tng khc, l m hnh tng hp ca 6 m hnh
hi quy tuyn tnh n tng ng vi tng nm t 2004 n 2009 nh sau:
Y = 0 + 0 TN + u (nm 2004);
Y = ( 0 + 1 ) + ( 0 + 1 )TN + u (nm 2005);
Y = ( 0 + 2 ) + ( 0 + 2 )TN + u (nm 2006);
Y = ( 0 + 3 ) + ( 0 + 3 )TN + u (nm 2007);
Y = ( 0 + 4 ) + ( 0 + 4 )TN + (nm 2008);
Y = ( 0 + 5 ) + ( 0 + 5 )TN + u (nm 2009).
112
Ch :
Mc d trong thc hnh, i vi s liu dng ging nh trong th d nu trn, c

th tin hnh tch tp s liu thnh 6 tp s liu ca cc nm v xy dng cc m
hnh hi quy tuyn tnh ring r cho tng nm bng cch s dng ln lt cc tp
s liu nh. Tuy nhin m hnh tuyn tnh tng khc trnh by trn y cung cp
hnh nh tng hp, khng ri rc. Hn na, bng cc php kim nh trong phn
tch m hnh tuyn tnh tng khc, ta c th so snh cc h s hi quy gia cc m
hnh hi quy ca cc nm.
Nu cc quan st trong mt khong thi gian ca m hnh tuyn tnh tng khc c
s ph thuc vo nhau, th nn s dng phng php Phn tch nhiu mc
(Multi-level analysis) thay cho m hnh tuyn tnh tng khc. C th tham kho
(chng hn trn mng Internet) cc ti liu khc bit thm v phng php
Phn tch nhiu mc.
7.13.
M hnh hi quy a thc
M hnh hi quy tuyn tnh l m hnh kh n gin,

c cc h s d dng c lng c bng cc thut
ton quen thuc, hn na li kh thun tin cho vic
din gii ngha thc t ca m hnh. Tuy nhin, trong
thc hnh li c nhiu bi ton khng ph hp vi m
hnh tuyn tnh m ph hp vi m hnh phi tuyn.
Chng hn khi c mt mt hng mi c tung ra th
trng, s lng hng tiu th trong mi thng s tng
ln rt nhanh do tnh hp dn ca mt hng. Nhng sau
mt thi gian, th trng s dn dn bo ha i vi mt hng v s lng tiu th
mt hng s tng bc chng li ri gim xung. i vi trng hp ny, mt m
hnh phi tuyn s thch hp hn m hnh tuyn tnh. Trong s cc m hnh phi tuyn,
bn cnh m hnh hi quy lga tuyn tnh ni ti trong mc 7.7, cc m hnh hi
quy a thc cng l nhng m hnh hay c xt n. Sau y chng ta s xem xt
m hnh hi quy a thc bc hai, cc m hnh a thc bc cao hn c th c xy
dng hon ton tng t.
M hnh hi quy a thc bc hai vi m bin c lp c dng tng qut l
m
i =1
i =1
Y = + i X i +
X X
j=1
ij
+,
(7.16)
trong Y l bin ph thuc, Xi ;i = 1, 2,..., m; l cc

bin c lp; , i , ij ;i, j = 1, 2,..., m; l cc h s hi
quy cn c lng, cn l sai s hi quy. Bng cch
lp cc bin mi
Zij = Xi X j ; i, j = 1, 2,..., m;
m hnh hi quy trn y s chuyn v dng
m
i =1
i =1
Y = + i X i +
Z
j=1
ij
ij
+.
(7.17)
113

[
y l m hnh hi quy tuyn tnh thng thng vi m + m 2 bin c lp. S dng

cc th tc c lng i vi m hnh hi quy tuyn tnh bi, ta tm c cc gi tr
c lng ca cc h s hi quy trong m hnh (7.17), cng chnh l cc h s ca
m hnh hi quy a thc bc hai (7.16) ang c xt n.
Ch :
Trong m hnh hi quy tuyn tnh bi (7.17) trn y, thng c hin tng a cng
tuyn gia bin Xi v bin Zii , i = 1, 2,..., m . Do vy, trc khi tin hnh c lng
cc h s ca m hnh, ta nn x l hin tng a cng tuyn trong tp hp m + m 2

bin c lp ca m hnh.
7.14.
nh hng tng tc
Trong m hnh hi quy bi vi mt bin ph thuc v nhiu bin c lp, ngoi nh

hng ring r ca tng bin c lp, bin ph thuc c th cn chu nh hng ca
s tng tc gia cc cp bin c lp, gia b ba, b bn cc bin c lp, ... Cc
nh hng tng tc c th lm gi tr ca bin ph thuc tng ln, song tng tc
cng c th lm gi tr ca bin ph thuc gim xung.
Trong m hnh (7.17) trn y, h s ij cho ta bit nh
hng tng tc ca hai bin c lp Xi v X j tc
ng ln gi tr ca bin ph thuc Y . Php kim nh
gi thuyt H ij0 : ij = 0 cho php chng ta a ra kt
lun v nh hng ca s tng tc . Nu gi thuyt
c chp nhn th ta c th kt lun s tng tc
khng gy ra tc ng mang tnh thng k i vi gi
tr ca Y . Nu ngc li, gi thuyt b bc b, th tng tc ca hai bin c lp Xi
v X j c tc ng thc s ln gi tr ca bin ph thuc Y . Khi , nu ij > 0 th gi
tr ca Y s tng ln khi c Xi v X j tng ln (tng tc c tc ng ng bin); cn
nu ij < 0 th gi tr ca Y s tng ln khi c Xi v X j tng ln (tng tc c tc
ng nghch bin).
Ch :
Vic din gii nh hng ca tng tc s r rng v d hiu hn, khi cc bin c
lp u l cc bin nh phn (ch nhn hai gi tr 0-1). Tuy nhin, s tng tc c
th xut hin gia cc bin nh tnh, gia cc bin nh lng, cng nh gia bin
nh v bin nh lng (trc khi a vo m hnh hi quy xt tnh tng tc,
cc bin nh tnh nn c a v cc bin nh phn bng cch s dng bin gi).
M hnh (7.17) gip chng ta phn tch cc tng tc b i gia cc bin c lp.
phn tch cc tng tc b ba, b bn, ... gia cc bin c lp, ta cn s dng
cc m hnh hi quy a thc bc cao hn, c thnh lp mt cch thch hp.
114
TM LC CUI BI
Mt m hnh c coi l c nhng thuc tnh tt cn c nhng tiu chun sau:

o C kh nng s bo tt.
o Phi m t c l thuyt kinh t lin quan .
o Khng c nhng quan h gia cc bin c lp v cc yu t ngu nhin.
o Gi tr ca cc tham s phi n nh, nu khng d bo s khng ng tin cy.
o M hnh phi phn nh c s liu (cc nhiu phi thc s ngu nhin).
o M hnh phi l ph hp nht trong s cc m hnh c th c.
Cc loi sai lm nh dng ca m hnh?
V d: Gi s ta c m hnh hm tng chi ph dng bc 3 nh sau:
Yi = 1 + 2 X i1 + 3 X i2 + 4 X i3 + u i
(1)
Khi thit lp mt m hnh ta c th mc phi cc sai lm v mt nh dng nh sau:

o M hnh b thiu bin cn thit: nu ta c lng m hnh (1) trn khng c bin Xi3.
o M hnh b tha bin: Nu trong m hnh (1) trn ta a thm c bin Xi4.
o Nu ta c lng m hnh di dng lga ca cc bin trong khi thc th m hnh ng
c dng tuyn tnh, ta ni m hnh sai dng hm.
o nh dng sai cho sai s ngu nhin.
o Gi thit v nhiu ngu nhin phn phi chun.
Hu qu nu mt m hnh nh dng sai.
o M hnh tha bin.
o Dng hm sai & thiu bin.
Do vy:
Khong tin cy v kim nh gi thit thng cho kt qu khng ng v cc tham s.
D bo da trn cc m hnh ny thng khng ng tin cy.
Cc kim nh pht hin sai lm nh dng.
o Kim nh tha bin.
Kim nh tha 1 bin: kim nh T.
Kim nh tha t 2 bin tr ln: Kim nh F (thu hp ca hm hi quy).
o Dng hm sai & thiu bin: Kim nh RESET.
Phng php bin gi:
o Trong m hnh hi quy, khi xem xt s ph thuc ca bin Y vo cc yu t nh tnh
(thu nhp vo gii tnh, trnh hc vn,...), ta cn lng ha cc bin nh tnh ny.
o lng ha cc bin nh tnh ny, ta s dng bin gi (Dummy variables). 1 bin gi D
c thnh lp nhn 2 gi tr 0 (nu mt thuc tnh no xut hin) v 1 (nu thuc tnh
khng xut hin).
o Bin gi trong m hnh hi quy c s dng ging nh cc bin nh lng thng thng.
115

[
CU HI THNG GP
1. Ti sao phi nh gi v la chn m hnh trong phn tch hi quy?
2. Nu nhiu ngu nhin ca m hnh khng c phn phi chun nh gi thit, hu qu s nh
th no?
3. Hu qu ca vic m hnh b nh dng sai l g?
4. Lm th no pht hin ra cc loi sai lm nh dng nu trn?
5. Ti sao ta ch xem xt phng php bin gi khi mun nghin cu nh hng ca bin nh
tnh ln bin ph thuc?
6. Ti sao s bin gi c thit lp cho mt bin nh tnh phi t hn s thuc tnh ca bin l 1?
7. Cc bin gi trong m hnh hi quy c s dng c khc g vi cc bin nh lng thng
thng khng?
8. Nu trong m hnh c c bin lng v bin cht th nn xy dng m hnh nh th no?
BI TP TRC NGHIM
1. Cc loi khuyt tt sau y c gi l cc sai lm nh dng ca m hnh:
A. M hnh thiu bin cn thit.
B. M hnh tha bin.
C. M hnh b sai dng hm.
D. Tt c cc loi trn.
2. Trong phng php bin gi, bin gi c th nhn bt c gi tr bng s no:
A. ng.
B. Sai.
3. Nu bin c lp gm c 2 bin nh tnh, mi bin nh tnh gm 3 thuc tnh, nu s dng
phng php bin gi, s bin gi c thit lp trong m hnh l:
A. 3
B. 4
C. 5
D. 6
4. Trong phn tch hi quy, ch c bin c lp mi c th l bin nh tnh:
A. ng.
B. Sai.
5. Nu m hnh c bin gi, ta khng th s dng phng php OLS c lng m hnh.
A. ng.
B. Sai.
6. Nu mt m hnh c bin c lp bao gm 1 bin nh lng v 2 bin nh tnh, mi bin c
2 thuc tnh, khi m hnh c bao nhiu bin c lp nu ta gi thit cc thuc tnh khc
nhau c h s chn v h s gc, ng thi c tng tc gia 2 bin nh tnh:
A. 3
B. 4
C. 5
D. 6.
7. Khi t bin gi trong m hnh, ta c th cho bt c thuc tnh no nhn gi tr bng 0 hoc
bng 1.
A. ng.
B. Sai.
116
Bi 8: T tng quan
BI 8. T TNG QUAN
Mc tiu

c nhng vn sau y:
Hin tng T Tng Quan (TTQ) xy
ra khi no?
Nguyn nhn v hu qu ca TTQ.
Lm th no pht hin TTQ.
Cc bin php khc phc TTQ.
Ni dung
Hng dn hc
TTQ l g?
Cn nm c bn cht ca hin
tng l khi mt gi thit ca
phng php OLS khng tha mn.
Nguyn nhn v hu qu ca TTQ.

Pht hin hin tng TTQ trong m hnh.
Khc phc TTQ.
Thi lng
8 tit
Tp trung vo hu qu chnh ca hin

tng ny l lm cho cc c
lng OLS s l cc c lng khng
hiu qu.
pht hin ra hin tng.
khc phc hin tng.
117
Bi 8: T tng quan
TNH HUNG DN NHP

Tnh hung
Khi nghin cu mt vn no bng phng php kinh t lng,
ta u s dng mt m hnh hi quy v c lng m hnh hi quy,
ta thng dng phng php OLS (bi hc s 3). Tuy nhin, thc
hin c phng php OLS th v mt k thut, mt gi thit trong
m hnh cn tha mn. l gi thit v s khng c s tng quan
gia cc nhiu ngu nhin (khng c t tng quan). V bn cht th
gi thit ny mun ng rng quan st ca bin ph thuc thi im
ny s khng c quan h vi quan st ca bin ph thuc thi im khc.
Ta ly v d c th, Vit Nam khi nghin cu v GDP ph thuc vo vn u t theo cc nm.
V GDP ca Vit Nam ni ring v cc quc gia trn th gii ni chung thay i thng c
tnh chu k nn cc quan st thi im khc nhau thng c quan h no vi nhau.
Cu hi
Vn l hu qu ca vic gi thit trong m hnh kinh t lng khng tha mn l g?
118
Bi 8: T tng quan
M hnh hi quy tuyn tnh c in da vo mt gi thit ht sc quan trng l gia cc sai s
ngu nhin u i khng c s tng quan, tc l E ( u i u j ) = 0 , i j . Tuy nhin trong thc t, i
vi s liu dng chun thi gian, gi thit ny thng hay b vi phm. Do vy cc cu hi t ra

l trong trng hp ny ta cn c th p dng phng php OLS hay khng, s vi phm gi thit
ny s dn ti hu qu g v bin php khc phc hin tng bng bin php no. Bi ny s
gii quyt cc vn nu trn.
8.1.
Bn cht ca hin tng t tng quan.
M hnh hi quy c gi l c hin tng t tng

quan nu cc sai s ngu nhin u i khng c lp vi
nhau, tc l Cov ( u i , u j ) 0, i j . Bn cht ca vn
l do u. Trong cc bi u ch ra nguyn nhn
s c mt trong m hnh ca yu t ngu nhin u i ,
c gi l sai s ngu nhin, l:
C nhng bin no b loi khi m hnh;
Bn cht phi tuyn ca m hnh b b qua;
C cc yu t ngu nhin v cc tc ng khng d on c.
Cc nhn t trn y c th dn n hin tng cc sai s tng quan vi nhau.
Gi s trong m hnh c hin tng t tng quan, tc l
Cov ( u t , u s ) 0, t s
Khi sai s giai on t l tng quan vi sai s giai on s. Ta c biu din hin
tng t tng quan qua s ph thuc gia cc sai s theo phng trnh nh sau:
BI TON
Gi thit 1: Trong m hnh
Yt = 1 + 2 X t + u t
(8.1)
Sai s u t ph thuc vo sai s u t 1 giai on t 1 theo phng trnh
u t = u t 1 + t
(8.2)
vi 1 < < 1 .
Gi thit 2: Cc sai s t trong (8.2) l c lp vi nhau v
E ( t ) = 0;E ( 2t ) = 2 <
8.2.
c lng bnh phng nh nht khi c t tng quan
Xt m hnh hi quy c hin tng t tng quan

Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + u t
(8.3)
u t = u t 1 + t , 1 < < 1
119
Bi 8: T tng quan
Ta s p dng phng php OLS c lng phng

trnh hi quy (8.3). Do cc gi thit ca OLS b ph v
nn ta cn phi bin i (8.3) a v dng thch hp.
Cochrane v Orcutt a ra phng php bin i nh
sau. T (8.3) ta c
Y( t 1) = 1 + 2 X 2( t 1) + 3 X 3( t 1) + ... + k X k ( t 1) + u t 1
(8.4)
Ta ly (8.3) tr i (8.4) nhn vi , ta c :
Yt Y( t 1) = 1 (1 ) + 2 X 2t X 2( t 1)
)
)
+ 3 X 3t X 3( t 1) + ... + k X kt X k ( t 1) + u t u t 1 .
t:
(8.4)
Yt* = Yt Y( t 1) ;
X*it = X it X i( t 1) ,i = 2,3,..., k ;
1* = 1 (1 ) .
T dn n
Yt* = 1* + 2 X*2t + 3X*3t + ... + k X*kt + t .
(8.5)
M hnh ny tr thnh m hnh hi quy tuyn tnh thng thng vi cc gi thit cn

thit c m bo.Vy p dng OLS cho (8.5) ta c lng c cc h s hi quy.
8.3.
Pht hin hin tng t tng quan.
Trong mc ny chng ta xem xt mt s phng

php xc nh hin tng t tng quan ca m hnh
hi quy.
Kim nh Durlin Watson
Kim nh Durlin Watson l mt trong nhng
php kim nh c dng u tin v kh hiu qu
pht hin hin tng t tng quan trong m
hnh hi quy. Xt m hnh hi quy
Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + u t
(8.6)
R rng nu gia cc sai s c hin tng t tng quan bc 1 th mi quan h

gia chng c th biu din di dng phng trnh hi quy
u t = u t 1 + t , 1 < < 1 .
Khi y vic kim nh tnh t tng quan bc 1 ca sai s trong m hnh (8.6) c
th tin hnh thng qua thng k Durbin Watson
120
Bi 8: T tng quan
n
d=
( u
t =2
u t 1 )
(8.7)
u
t =1
2
t
Ta c th bin i (8.7) thu c cng thc sau:

d = 2(1
u u
u
t
t 1
2
t
) 2(1 ) ,
vi l c lng ca . Do | | 1 nn 0 d 4 . Khi d 2 th = 0 , do
nu gi tr thng k d 2 th c th kt lun trong m hnh khng c t tng
quan bc mt gia cc sai s. Ta c th thit lp gi thuyt H 0 : = 0 vi i
thuyt H1 : > 0 hoc H1 : < 0 . Da trn l lun , c th tin hnh cc bc
kim nh nh sau:
o
Bc 1 : c lng m hnh OLS v tnh phn d u t .
Bc 2: Tnh gi tr thng k Durbin Watson (8.7) v tra bng gi tr ti hn
ca thng k Durbin Watson c cc gi tr ti hn trn d U v gi tr ti

hn di d L ca thng k .
o
Bc 3a: Xt bi ton kim nh (tng quan chui dng)

H 0 : = 0
H1 : > 0
Khi ,
Nu d d L th bc b gi thuyt H 0 ;
Nu d d U chp nhn gi thuyt H 0 ;
Nu d L < d < d U th cha kt lun c g.
o Bc 3b: Xt bi ton kim nh (tng quan
chui m)
H 0 : = 0
H1 : < 0
Nu d < 4 d U th chp nhn H 0 ;

Nu 4 d U d 4 d L th cha c kt lun ;
Nu 4 d L < d < 4 th bc b H 0 ;
Kt hp hai trng hp trn, ta c quy tc kim nh Durbin Waston nh
trong s sau:
121
Bi 8: T tng quan
H1 : < 0
H1 : > 0
Bc b
=0
Cha kt lun
dL
Chp nhn
dU
=0
Cha kt lun
4 dU
Bc b
4 dL
=0
Phng php kim nh Breusch-Godfrey

Phng php kim nh Durbin Watson trn y ch cho php pht hin t tng
quan bc mt, tc l ch cho bit quan st ti mi thi im c ph thuc vo quan
st thi im lin k hay khng. Phng php khng pht hin c t tng
quan bc cao hn 1, tc l khng cho bit liu c mi quan h gia cc quan st
cch xa nhau hn 1 hay khng. Khi c mu ln, tc l khi s liu c quan st
khong thi gian di, ta c th s dng phng php Breusch-Godfrey pht
hin quan h t tng quan bc cao. Xt m hnh
Yt = 1 + 2 X 2t + ... + k X kt + u t .
(8.8)
Gi s mi quan h gia cc thnh phn nhiu u t c th c biu din thnh

phng trnh t hi quy
u t = 1u t 1 + 2 u t 2 + ... + p u t p + t ,
(8.9)
trong t l thnh phn nhiu ngu nhin thun ty c k vng bng 0 v

phng sai khng i. Ta c bi ton kim nh gi thuyt
H 0 : 1 = 2 = ... = p = 0
H1 : i 0,i = 1, 2,..., p
Khi gi thuyt H 0 c chp nhn th ta c th khng nh trong m hnh hi quy

(8.8) khng c hin tng t tng quan bc nh hn hoc bng p, tc l c s
c lp gia cc quan st khng cch xa nhau qu p bc trong chui thi gian.
M hnh (8.9) c hiu nh m hnh hi quy bi vi p bin c lp, do ta c
th dng phng php 2 kim nh gi thuyt H 0 (do vy phng php ny
cn c gi l phng php kim nh 2 ). Cc bc kim nh c tin hnh
nh sau:
Bc 1: c lng m hnh hi quy gc (8.8) tnh cc phn d u t .
Bc 2: Vi cc phn thu c, lp b s liu mi gm n - p quan st tin hnh
c lng m hnh (8.9) v thu c h s xc nh R 2 ca m hnh ny. Khi
thng k 2 = ( n p ) R 2 c phn phi khi-bnh phng vi p bc t do.
Bc 3: Vi mc ngha nh, tm gi tr ti hn 2 (p) so snh vi gi
tr ca thng k tnh c bc trn, ri a ra quyt nh bc b gi thuyt H 0

nu 2 > 2 (p) , ngc li th ta chp nhn H 0 v kt lun c tnh c lp gia cc
quan st trong m hnh (8.8).
122
Bi 8: T tng quan
V d 1: Nghin cu v tnh hnh pht trin sn xut trong khu vc cng nghip ca
Vit Nam theo di trong cc nm t nm 1976 n nm 1995, ta c bng s liu vi
cc con s hng nm v tng sn lng Y, tng lc lng lao ng X 2 v tng s vn
u X 3 ca ton ngnh nh sau:

Nm
X2
X3
1976
2.000000
2.000000
46266.00
1977
5.657601
2.000000
58865.00
1978
2.000000
3.998823
37392.00
1979
5.657601
3.998823
107915.0
1980
2.000000
6.001443
133026.0
1981
10.38124
2.000000
127848.0
1982
5.657601
6.001443
154107.0
1983
10.38124
3.998823
226500.0
1984
10.38124
6.001443
146649.0
1985
2.000000
2.000000
31448.00
1986
2.000000
3.998823
70778.00
1987
5.657601
2.000000
70658.00
1988
5.657601
3.998823
118409.0
1989
2.000000
6.001443
90536.00
1990
10.38124
2.000000
73843.00
1991
5.657601
6.001443
159804.0
1992
10.38124
3.998823
225100.0
1993
10.38124
6.001443
167678.0
1994
5.657601
3.998823
88699.00
1995
2.000000
2.000000
53852.00
Ta cn bit trong m hnh hi quy ca Y theo hai bin c lp X 2 , X 3 c s tng

quan ca cc sai s hay khng. S dng phn mm Eviews tin hnh php kim
nh Durbin Waston, ta c kt qu sau:
Dependent Variable: Y
Method: Least Squares
Date: 11/11/09 Time: 18:12
Sample: 1 20
Included observations: 20
Variable
Coefficient
Std. Error
t-Statistic
Prob.
-21717.59
22180.83
-0.979116
0.3413
X2
10751.92
2165.515
4.965061
0.0001
X3
17662.45
4533.201
3.896242
0.0012
R-squared
0.715471
Mean dependent var
109468.7
Adjusted R-squared
0.681997
S.D. dependent var
57734.42
S.E. of regression
32557.46
Akaike info criterion
23.75688
Sum squared resid
1.80E+10
Schwarz criterion
23.90624
Log likelihood
-234.5688
F-statistic
21.37391
Prob(F-statistic)
0.000023
Durbin-Watson stat
2.289076
123
Bi 8: T tng quan
Trong bng trn ta thy gi tr thng k Durbin Waston l d = 2.289076. Tra bng gi
tr ti hn Durbin Waston vi k = 3 (k= 2), n = 20, ta c dU = 1.54 , 4 dU = 2.46 ,
dL = 1.1. R rng dU < d < 4 dU. Nh vy ta c th chp nhn H 0 , kt lun trong m
hnh khng c tng quan chui bc 1 dng hay m.
V d 2: Ta c th p dng tiu chun 2 gii quyt bi ton ca v d 1. C th,
vi phn mm Eviews sau khi c kt qu ca hi quy gc, ta vo mc View
(Residualtest/Serial Corelation LM test) ri nhn Enter vo Lay Specification, g s
1 cui cng thu c kt qu trong bng sau:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
0.656872
Probability
0.429557
Obs*R-squared
0.788709
Probability
0.374491
Test Equation:
Dependent Variable: RESID
Date: 11/11/09 Time: 18:39
Presample missing value lagged residuals set to zero.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
-11367.66
26435.77
-0.430011
0.6729
X2
1162.180
2615.772
0.444297
0.6628
X3
1127.969
4786.457
0.235659
0.8167
RESID(-1)
-0.250009
0.308472
-0.810476
0.4296
R-squared
0.039435
Mean dependent var
-2.56E-11
-0.140670
S.D. dependent var
30796.28
S.E. of regression
32891.09
23.81665
Sum squared resid
1.73E+10
Schwarz criterion
24.01579
Log likelihood
-234.1665
F-statistic
0.218957
Prob(F-statistic)
0.881803
Adjusted R-squared
Durbin-Watson stat
2.191546
Trong bo co bin RESID(-1) chnh l sai s u t 1 giai on t-1. Ta cn c

Obs*R _ Squared chnh l gi tr ( n 1) R 2 . Nh vy
2 = (n 1)R 2 = 0.788709 .
2
Tra bng phn phi khi-bnh phng vi 1 bc t do, ta c gi tr: 0.05
(1) = 3.841 .
So snh gi tr ca thng k vi gi tr ti hn, ta thy

2
2 = 0.788709 < 0.05
(1) = 3.841 . T , ta chp nhn gi thuyt H 0 v kt lun trong
m hnh khng c s t tng quan bc 1 gia cc sai s.

Ch : Ta c th dng gi tr xc sut ngha ca thng k tin hnh kim nh.
C th, ng vi 2 = 0.788709 l xc sut ngha bng 0.374491. So snh xc sut
vi mc ngha = 0.05, ta thy 0.374491 > 0.05, do c th chp nhn gi
thuyt H0 v kt lun ging nh trn.
124
Bi 8: T tng quan
8.4.
Hu qu ca hin tng t tng quan
Trong bi 3 v 4 ta ch ra rng vi gi thit khng tng quan th cc c lng

ca m hnh hi quy tuyn tnh thu c bng phng php OLS s c tnh cht
khng chch v hiu qu. Gi thit ny b vi phm, tc l khi trong m hnh c hin
tng t tng quan, th s dn n cc hu qu nh:
Lm cho cc thng k t ng vi cc h s hi quy c th nhn gi tr ln bt
thng, tc l lm tng ngha cc h s hi quy mt cch hnh thc, trong khi
thc t li khng phi nh vy. ng thi, cc phng sai ca cc c lng s c
tnh chch v do cc php kim nh t v F khng cn hiu lc;
Cc d bo khng hiu qu.
8.5.
Bin php khc phc hin tng t tng quan
Chng ta thy hin tng t tng quan trong m hnh hi quy gy ra nhng hu
qu nghim trng. Vy cn thit phi c bin php khc phc hin tng . C th
xem xt mt s bin php sau y:
Nu cu trc ca t tng quan bit di dng:
u t = u t 1 + t , < 1
t tha mn gi thit ca OLS, bit. Khi s
dng phng php c lng Cochrane Orcutt ta a
m hnh v dng m hnh khng c t tng quan.
Nu cha bit khi ta c hai cch khc phc l
o
o
Dng phng php sai phn.

Trc tin ta s c lng theo cch lm
nh khi xc nh gi tr thng k Durbin Waston
thc hin pha trn. Sau c th ly gi tr c lng s dng
phng php c lng Cochrane Orcutt a m hnh v dng m hnh
khng c t tng quan.
125
Bi 8: T tng quan
TM LC CUI BI
Hin tng TTQ xy ra khi no?

o
o
o
o
M hnh Yi = 1 + 2 X 2i + 3 X 3i + u i .
Trong phng php OLS c gi thit: cov(ui; uj) = 0 vi i j.
Nu gi thit ny khng tha mn cov(ui; uj) 0 vi i j, trong m hnh c hin tng TTQ.
Cc dng ca t tng quan:
u t = u t 1 + t . Suy ra, t tng quan bc nht: AR(1).
u t = 1u t 1 + ... + p u t p + t Suy ra TTQ bc p: AR(p),
t l sai s ngu nhin, tha mn cc gi thit ca OLS.
Nguyn nhn ca TTQ

o
o
o
o
Hin tng qun tnh ca cc chui thi gian.

Hin tng mng nhn trong kinh t.
Qu trnh x l, ni ngoi suy s liu.
M hnh thiu bin hoc dng hm sai.
Hu qu khi c t tng quan:

o
Cc c lng l khng chch nhng khng tt nht (khng tho mn tnh cht c lng
hiu qu trong phng php OLS).
Kim nh T, F mt hiu lc (kt qu khng ng tin cy).
Cc bin php khc phc TTQ:
Dng phng php sai phn cp 1.

Gi s TTQ c dng AR(1): u t = u t 1 + t .
c lng h s t tng quan (bng thng k d-DW, ri sau dng phng php bnh
phng ti thiu tng qut (GLS) da trn h s c lng ny, nh sau:
t Y = Y Y ( 1) ; X = X X ( 1) .
Thc hin OLS hm hi quy theo bin mi: Y* = 1+ 2X* + v.
126
Bi 8: T tng quan
CU HI THNG GP
1. Hin tng t tng quan thng xy ra vi loi s liu no v v sao?
2. Cu trc ca TTQ c th l bc 1 hoc bc cao. Vy lm th no xc nh ng cu trc ny?
3. Khi TTQ xy ra, hu qu ca n cho m hnh l nh th no?
4. Trong cc phng php pht hin TTQ, tng ch o l g?
5. Phng php kim nh Durbin-Watson da trn gi thit g, c s dng pht hin TTQ
bc cao hay khng?
6. Trong kim nh Durbin-Watson, c khong gi tr ca thng k d m ta khng th kt lun
c TTQ hay khng, khi cn lm th no?
7. Phng php chung ca khc phc TTQ c tng nh th no?
8. Phng php Cochrance Orcutt dng lm g trong vic khc phc hin tng TTQ?
BI TP TRC NGHIM
1. Khi cc nhiu ngu nhin tng quan vi nhau, hin tng ny gi l:

C. a cng tuyn.
D. T tng quan.
2. Nu trong m hnh c t tng quan, n lm cho:
A. Phng sai ca cc c lng OLS khng phi l nh nht.

B. Cc c lng OLS khng phi l tuyn tnh.
C. Khng nh hng g n cc c lng OLS.
D. Khng c lng c cc tham s bng phng php OLS.
3. T tng quan thng xy ra vi cc s liu theo chui thi gian
A. ng.
B. Sai.
4. Nu thng k Durbin Watson c gi tr gn 0, hin tng no xy ra:

B. Nhiu ngu nhin khng c phn phi chun.
C. a cng tuyn.
D. T tng quan.
5. Gi tr ca thng k Durbin-Watson nm trong khong:
A. 4 d 4
B. 2 d 2
C. 0 d 4
D. 0 d 2 .
127
Bi 8: T tng quan
6. Dng kim inh Durbin-Watson c th pht hin ra t tng quan vi cu trc t hi quy
bc cao.
A. ng.
B. Sai.
7. Kt qu hi quy cho thng k Durbin-Watson l 0.370186. iu chng t rng:
A. C t tng quan m v thng k DW nh.

B. C t tng quan dng v thng k DW nh.
C. Khng c t tng quan m hay dng v thng k DW nh.
8. Kt qu hi quy cho thng k Durbin-Watson l 2.00006. iu chng t rng:
A. C t tng quan m v thng k DW gn 2.

B. C t tng quan dng v thng k DW gn 2.
C. Khng c t tng quan m hay dng v thng k DW gn 2.
9. Nu d L d d U , ta khng c kt lun v t tng quan bc 1 trong m hnh hi quy:
A. ng.
B. Sai.
10. Gi s ta kim nh t tng quan bc 3 bng kim nh Breusch-Godfrey Serial Correlation

LM Test (dng Eviews) c thng k khi bnh phng l 6.357 vi p-value tng ng l
0.09545. Vi mc ngha 0.05, kt lun l:
A. Khng c t tng quan bc 3.

B. C t tng quan bc 3.
C. Khng c kt lun v t tng quan bc 3.
128
p n Kinh t lng
P N
Bi 1: KINH T LNG L G?
CU HI THNG GP
1. Ti sao ta nn s dng phng php kinh t lng trong nghin cu kinh t?

t lu th vic nghin cu cc vn kinh t v x hi ni chung ngoi cc phng php
nh tnh truyn thng c xu hng s dng cc phng php nh lng. Vic s dng
phng php kinh t lng vi cng c chnh l phn tch hi quy cho php nh gi c
nh hng c o lng bng cc gi tr bng s c th cho cc mi quan h kinh t gia
cc bin, t n s tr thnh mt knh b xung quan trng trong qu trnh d bo cng nh
ra cc quyt nh v mt chnh sch.
2. Kinh t lng c th thay th c cc phng php nghin cu kinh t khc hay khng?
Ta cn khng nh y l mt trong nhng phng php c s dng trong nghin cu. N
khng thay th hon ton c cc phng php nghin cu khc bi v nhng iu kin
thc hin n c v mt k thut cng nh l ngun lc khng phi lc no cng p ng
c hon ton.
3. Mc tiu chnh ca kinh t lng trong nghin cu kinh t x hi l g?
l vic tin hnh cc d bo v tip theo l ng dng ca d bo trong vic ra cc
quyt sch kinh t, c phm vi vi m ln v m.
4. Kinh t lng khc vi kinh t hc thng thng nh th no?
Kinh t hc th t lu c bit ti nh mt mn hc nghin cu v cc mi quan h gia
cc bin s trong kinh t. Cc hnh vi kinh t trong kinh t hc c th hin di dng cc
m hnh ton hc. Cn kinh t lng s s dng cc m hnh kinh t ny cng vi cc s liu
lin quan n cc bin kim chng li m hnh v cc gi thit bng thc nghim, t
a ra cc d bo v quyt sch.
5. Kinh t lng s dng thng k kinh t nh th no?
Thng k kinh t ch yu s lin quan ti vic thu thp v x l cc s liu kinh t bng cc
cng c m t thng k cng nh cc phng php suy lun thng k c bn. Kinh t lng
(KTL) s phi s dng cc s liu thu thp c trong thng k kinh t kim chng li
m hnh v cc gi thuyt kinh t. ng thi KTL cng s dng cc phng php ton thng
k thc hin cc suy din thng k mt mc cao hn trong cc mi quan h kinh t
phc tp.
6. Ti sao trong m hnh kinh t lng cn phi a vo yu t ngu nhin?
V trong m hnh kinh t lng, hnh vi kinh t ca cc bin khng th hin di dng mt
m hnh ton hc tt nh. Ngoi cc bin c th xem xt trong m hnh, ta cn c nh hng
ca cc yu t khc. th hin nhng nh hng ny, ta dng yu t ngu nhin lm c
trng cho chng.
7. Khi nghin cu mt vn bng phng php kinh t lng, c thc s cn thit phi
theo ng cc bc nh trong phng php lun nu hay khng?
Ta cn theo ng nh phng php lun v mc ch chnh trong nghin cu ca ta l tr li
cho cu hi t ra t u. Cu hi ny li lin quan n nhiu cc gi thit v hnh vi ca cc
129
p n Kinh t lng
bin kinh t. Hn na, mc ch ca chng ta l tm hiu v mi quan h thc s trong tng

th, nn ta cng cn c nhng k thut suy din thng k. Tm li, i theo mt qu trnh nh
nu cho php ta thc hin nghin cu bng phng php kinh t lng mt cch khoa hc
v cht ch nht.
8. Ta c nn tin tng hon ton vo cc kt qu a ra bng phng php kinh t
lng hay khng?
Phng php nghin cu no trong kinh t x hi u c nhng sai s. Vic cn c vo cc
kt qu d bo ca kinh t lng cng ch c tnh tng i. Ta cn c nhng i chiu v
la chn nhng phng php thch hp cho tng loi nghin cu c th t c kt qu
ph hp nht.
BI TP TRC NGHIM
1. A
2. D
3. A
4. D
5. C
6. B
7. A
Bi 2: PHN TCH HI QUY V MT S TNG C BN

TNH HUNG DN NHP
Vi kt qu ny, ta c th suy ra rng im thi u vo l c nh hng n im ttrung bnh

nm th nht. C th, khi im thi u vo tng ln mt im th im trung bnh chung nm th
nht ca sinh vin s tng trung bnh l 0,75 im.
CU HI THNG GP
1. Mc ch chnh ca k thut phn tch hi quy l g?

Trong phn tch hi quy, ta mun nh gi nh hng ca mt hoc nhiu bin ln 1 bin
khc, nn mc ch chnh ca phn tch hi quy chnh l vic xem xt khi mt hoc mt s
cc bin kinh t thay i mt lng c th th bin m ta quan tm s b nh hng nh th
no. T vic nh gi ny, ta c th tin hnh d bo cho gi tr ca bin ta quan tm vi cc
gi tr cho ca cc bin khc.
2. Thut ng hi quy tuyn tnh c th c hiu nh th no trong phn tch hi quy?
y c th hiu tuyn tnh l tuyn tnh theo cc tham s trong m hnh hoc l tuyn tnh
theo cc bin c lp. Trong phn tch hi quy, ta mun s dung tuyn tnh theo cc tham s
bi v cc tham s s th hin nh hng ca bin c lp ln bin ph thuc. Nu khng
phi tuyn tnh theo cc bin, ta c th s dng cc bin i bin s a v tuyn tnh theo
cc bin mt cch d dng.
3. Trong cc m hnh hi quy tuyn tnh, c th khng s dung h s chn hay khng?
Vic s dng h s chn trong m hnh cho php nh gi gi tr trung bnh ca bin ph
thuc khi cc bin c lp bng 0. ng thi, gii thiu h s chn cho php ta xy dng h
thng l thuyt mt cch nht qun. Tt nhin, nu ta c nhng chng c xc thc rng nu
bin c lp bng 0 th bin ph thuc cng bng 0 th c th dng m hnh tuyn tnh khng
c h s chn (v d nh khi thu nhp bng 0 th thu thu nhp bng 0).
4. Vic s dng hi quy n v hi quy bi nh th no trong thc t?
Thng thng, hi quy n ch c s dng cho nhng phn tch n gin. Trong thc t
th cc mi quan h kinh t l phc tp, cc bin s b nh hng bi nhiu yu t khc nhau
nn vic s dng m hnh hi quy bi nghin cu s ph bin.
130
p n Kinh t lng
5. Ti sao li cn a ra khi nim hm hi quy tng th?

Mc ch chnh ca chng ta trong phn tch hi quy l bit c bn cht ca cc mi quan
h kinh t cho c mt qu trnh hay c mt tng th. V th, ta cn c mt m hnh kinh t
lng th hin quan h ny, trong cc tham s c hiu nh l th hin quan h chnh
xc v ng n gia bin c lp v bin ph thuc.
6. Hm hi quy mu s cho bit iu g?
Thng thng th trong cc nghin cu kinh t x hi ta khng bit c ton b, ta ch
c th bit c mt phn ca n. T phn bit c ny, ta c th xy dng m hnh
hnh vi ca cc bin da trn m hnh hi quy tng th c (hm hi quy mu). T ,
ta s dng thng tin ca mu suy lun v cho tng th cha bit. Nh vy hm hi quy
mu c th c coi l mt c lng ca hm hi quy tng th.
C nhng cch th hin no cho hm hi quy mu v hm hi quy tng th?

Vi dng hm tuyn tnh ta u c th dng dng hm cho gi tr trung bnh hoc gi tr
c bit ca bin ph thuc th hin hm tng th v mu :
E(Y | X i ) = 1 + 2 X i (1)
Yi = 1 + 2 X i + u i (2)
= + X
Y
1
1
2 i
Yi = 1 + 2 X i + u i (4)
(3)
(1) v (2) l dng tng th, (3) v (4) l dng mu.

7. Khi nim v sai s ngu nhin v phn d c th c hiu th no?
Sai s ngu nhin l th hin nh hng nhng yu t ngoi m hnh ln bin ph thuc. Sai
s ngu nhin thng gn vi tng th, khi ta khng bit tng th ta cng khng bit sai s
ngu nhin. T mt mu ly ra trong tng th, ta c th c lng c cc sai s ngu nhin
v gi chng l phn d. Nh vy, phn d l th hin ca sai s ngu nhin thng qua mu.
BI TP TRC NGHIM
1.B
2.B
3.B
4.C
5.B
6.C
7.B
8. D
9. B
10.A
Bi 3: M HNH HI QUY TUYN TNH N

TNH HUNG DN NHP
Theo kt qu ca m hnh, khi gi gim 1 n v, lng hng bn ra thay i th no?

Gi : Tm khong tin cy cho h s 2.
Liu khi gi gim i 1000 ng 1 lt th lng hng bn thm ln hn c 50000 sn phm
nh cc nh nghin cu mun kim tra khng?
Gi : Kim nh cp gi thit H0: 2 = 50
H1: 2 < 50.
Kt lun: khng bc b H0.
Gi bn quyt nh bao nhiu % trong s thay i ca lng bn?
Gi : Tm c R2 = 0.762, tc l 76.2% s thay i trong lng bn c gii thch
bi gi bn.
Nu gi bn l 150000 ng 1 bnh th lng bn d bo l bao nhiu?
Gi : Thay vo tnh c Q ti P = 150 l: 1662.5 (nghn sn phm).
131
p n Kinh t lng
CU HI THNG GP
1. Ngoi phng php OLS th c phng php no khc c lng m hnh hi quy
mu khng?
Trong thng k ton v kinh t lng cn cc phng php khc c lng tham s trong
m hnh nh phng php c lng hp l ti a, phng php moment. Tuy nhin trong
bi hc ny, v ta ch yu s s dng m hnh tuyn tnh vi tnh n gin ca phng php
nn OLS c gii thiu.
2. Trong phng php OLS, trong mi trng hp, ta u phi gii h phng trnh
tm cc c lng ng khng?
ng. V bn cht ca phng php ny l i tm gi tr b nht cho tng bnh phng cc
phn d, nn ta phi s dng cng thc gii thch ton hc thc hin iu ny.
3. Nu mt m hnh hi quy bi vi nhiu bin th vic dng phng php OLS c thun
tin khng?
Vic tnh ton bng tay cho m hnh hi quy bi s khng thun tin. Tuy nhin, cc phn
mm kinh t lng v thng k u c th c lng c cc h s bng OLS hay bng cc
phng php khc rt d dng.
4. Khi c lng cc h s bng OLS, lm th no nh gi c cht lng ca chng?
Ta c th thng qua cc sai s tiu chun ca cc h s. V chng l cc c lng im ca
cc tham s nn mt cch khc nh gi cht lng ca chng l thng qua cc tiu chun
ca mt c lng im nh c lng tuyn tnh, khng chch, vng v hiu qu.
5. Ti sao phi xem xt cc gi thit ca phng php OLS?
Phng php OLS c thc hin v cho cc gi tr c lng ca cc tham s da trn mt
h thng cc gi thit. Nu cc gi thit ny khng tha mn th mt s bc m ta c trong
phng php lun ca mn hc s khng c thc hin mt cch hon ton hoc cho kt
qu ng tin cy. Chnh v th, trong p dng phng php OLS, ta lun cn kim tra cc gi
thit t ra cho phng php ny.
6. nh gi ph hp ca m hnh hi quy vi cc s liu ca mu, ta dng tiu ch no?
Ta dng h s xc nh R2. Thng thng R2 cng ln th th hin rng bin c lp gii
thch cng nhiu cho s bin thin ca bin ph thuc.
7. C nht thit phi xy dng c m hnh hi quy mu vi R2 phi ln? Khng hon
ton v trong nhiu nghin cu, mc ch chnh ca ta l tin hnh xem xt nh hng ca X
ln Y ng thi d bo, nn R2 nh khng nht thit l kt qu hi quy khng tt. Nu c R2
ln th rt tt, nhng nu n khng thc s ln th vn khng phi l nghim trng min sao
bin c lp c ngha trong m hnh.
8. Trong kim nh gi thit, vic dng phng php xc sut (p-value) c th thay cho
phng php kim nh thng thng hay khng?
Ngy nay, vi s h tr ca cc phm mm, vic tnh ton gi tr p-value cho cc gi tr ca
thng k kim nh l rt d dng. V th ta c th s dng lun p-value tin hnh cc
kim nh gi thit theo nguyn tc:
Vit cp gi thit
Nu p-value < : bc b H0.
Nu p-value : khng bc b H0.
132
p n Kinh t lng
BI TP TRC NGHIM
1. C
2. B
3. C
4. D
5. A
Bi 4: M HNH HI QUY BI
TNH HUNG DN NHP
Chy m hnh ta c kt qu sau:

Dependent Variable: LOG(SL)
Sample: 1 30

Variable
Coefficient Std. Error
t-Statistic
Prob.
C
0.424816
0.137808
3.082671
0.0047
LOG(V)
0.735804
0.065794
11.18348
0.0000
LOG(L)
0.948994
0.062905
15.08606
0.0000
----------------------------------------------------------------------------------------R-squared
0.918339 Mean dependent var
-1.532700
Adjusted R-squared 0.912290 S.D. dependent var
1.453766
S.E. of regression 0.430545 Akaike info criterion
1.247110
Sum squared resid 5.00496
Schwarz criterion
1.387229
Log likelihood
-15.70664 F-statistic
151.8180
Durbin-Watson stat 2.192857 Prob(F-statistic)
0.000000
-----------------------------------------------------------------------------------------
Vi kt qu nh trn, tng 2 h s c lng ca bin log(V) v log(L) l

0,7358 + 0,949 = 1,6848 > 1, v th cng ty cn tng quy m sn xut tn dng li sut
tng theo quy m.
Ta kim nh cp gi thit: H0: 2 = 3 = 0
H1: t nht 1 h s khc 0.
Dng tiu chun kim nh F: T Eviews, ta c Fqs=151,818 vi p-value = 0.0000< = 0.05:
v th ta bc b gi thit H0. Tc l c t nht mt trong hai yu t vn v lao ng c nh
hng n sn lng.
Thay vo m hnh hi quy mu tm mt c lng im cho sn lng ti V=10 v L = 3000
log(SL i ) = 0.424816 + 0.7358log(10) + 0.9489 log(3000) = 4.46
Vy sn lng d bo l: e4.46 = 86.49 (triu sp).

CU HI THNG GP
1. Trong m hnh hi quy bi, cc gi thit ca phng php OLS c khc g so vi m

hnh hi quy n?
V trong m hnh hi quy bi, ta c t nht hai bin c lp nn ngoi cc gi thit nu
trong m hnh hi quy n, cn c thm mt gi thit v quan h gia cc bin c lp. l
gia chng khng c quan h cng tuyn mc cao vi nhau. Gi thit ny nhm m
bo rng ta c th tch bch c nh hng ca ring tng bin c lp ln bin ph thuc.
2. Vai tr ca cc h s hi quy trong m hnh hi quy bi khc th no so vi m hnh hi
quy n?
133
p n Kinh t lng
Trong m hnh bi, h s chn cng ng vai tr l trung bnh ca Y khi tt c cc bin c
lp bng 0. Tuy nhin h s gc trong m hnh hi quy bi th hin nh hng ca ring tng
bin c lp ln bin ph thuc Y khi cc bin c lp khc c gi khng i.
3. H s xc nh bi trong m hnh hi quy bi cho bit iu g?
H s ny cho bit ph hp ca c m hnh hi quy, tc l bao nhiu phn trm s bin
thin trong bin ph phuc l c gii thch bi m hnh hi quy. Nu h s xc nh trong
m hnh hi quy bi bng khng tc l ton b cc bin c lp trong m hnh khng gii
thch cho s thay i ca bin ph thuc.
4. Ti sao li cn a ra khi nim h s xc nh bi iu chnh trong hm hi quy bi?
V khi ta a thm bin c lp vo m hnh hi quy th h s R2 lun tng ln (do nh
hng ca cc bin c lp tng ln), nn quyt nh vic a bin c lp mi vo trong
m hnh, ngi ta dng h s xc nh bi iu chnh v gi tr ca n khi a thm bin
mi c th tng, gim hoc khng i.
5. Khi no thi nn a thm bin c lp mi vo m hnh nu s dng h s xc nh bi
iu chnh?
Ta s quyt nh a thm bin mi vo m hnh nu nh thy h s xc nh bi iu
chnh tng thm. ng thi s c mt ca bin mi trong m hnh l c ngha (s dng
kim nh t).
6. Khi no thi ta cn xy dng khong tin cy cho cc h s hi quy?
Nu ta mun bit mt bin c lp no thay i mt n v v dn ti thay i trong trung
bnh ca bin ph thuc l nh th no th ta tm khong tin cy cho h s tng ng ca bin
ph thuc.
7. Khi no th dng khong tin cy i xng, bn phi hoc bn tri?
Khi ta mun bit trung bnh bin Y thay i trong khong no nu mt bin c lp thay i
mt n v, ta dng khong tin cy i xng. Nu ta mun bit trung bnh bin Y thay i ti
a bao nhiu, ta dng KTC bn tri, ngc li dng KTC bn phi (cn ch nu quan h
gia bin ph thuc v c lp m ngc chiu th khong tin cy bn phi dng c
lng gi tr ti a v ngc li).
8. Kim nh g thit v mt h s hi quy bng 0 c ngha g, kim nh h s hi quy
bng 1 gi tr c th c ngha g?
Khi kim nh mt h s j gn vi bin Xj bng 0, ta mun kim nh v ngha s c mt
ca ring bin Xj trong m hnh, ni cch khc l kim tra xem Xj c nh hng g n Y
trong m hnh hi quy hay khng. Cn kim nh j bng mt gi tr c th l i kim tra v
tc thay i ca trung bnh ca Y khi bin X tng ng hay i mt n v.
9. Kim nh F v s ph hp ca m hnh hi quy c ngha g?
Kim nh F cho bit m hnh hi quy c ph hp hay khng bng cch so snh phn bin
thin gy ra bi hm hi quy mu v phn bin thin gy ra bi phn d. Kim nh ny
chnh l kt qu ca phn tch phng sai. Nu ta bc b H0 tc l c t nht 1 bin c lp s
c nh hng n bin ph thuc.
BI TP TRC NGHIM
1. D
134
2. C
3. C
4. C
5. D
6. C
7. B
8. C
9. B
10. C
p n Kinh t lng
Bi 5: A CNG TUYN
TNH HUNG DN NHP
Gi : Thng thng trnh hin tng a cng tuyn trong m hnh hi quy bi, ngi ta c
th da vo nhng bin php sau:
1. Khi c thng tin v cc bin c lp, nn chn cc bin m t c quan h cng tuyn vi nhau.
2. Nu cc bin c lp c th c cc quan h th nn ly mu vi kch thc ln.
3. S dng vic bin i bin s trong m hnh.
Nu mt bin c lp c quan h vi cc bin c lp cn li, c th tin hnh b bin.
CU HI THNG GP
1. Trong m hnh hi quy n c xy ra hin tng a cng tuyn hay khng ?

Khng v a cng tuyn ch xy ra khi gia cc bin c lp c quan h tuyn tnh vi nhau.
V vy, ta ch ni ti a cng tuyn khi xem xt mt m hnh hi quy bi.
2. Trong hai loi a cng tuyn hon ho v khng hon ho, loi no thng gp hn
trong thc t v v sao?
a cng tuyn hon ho xy ra khi gia cc bin c lp c mt quan h tuyn tnh hon
ton. Tc l mi quan h ny ng cho mi quan st. Cn a cng tuyn khng hon ho tc
l khi cc quan h gia cc bin c lp khng hon ton cht ch v mt tuyn tnh. R rng
l trng hp hon ho l rt him gp trong thc t. Ta s ch thy cc quan h y l
khng hoc gn hon ho.
3. C phi khi no ta cng c a cng tuyn trong m hnh hi quy bi v gia cc bin
kinh t thng tn ti mt quan h no ?
iu ny khng nht thit ng v 2 l do:
Th nht, cc bin kinh t c th c mt quan h cng tuyn no nhng nu quan h ny
khng thc s khng kht th c th khng c a cng tuyn.
Th hai, gia cc bin c lp c th c quan h nhng l cc quan h phi tuyn, khi cng
c th khng c a cng tuyn.
Tuy nhin, a cng tuyn l kh ph bin trong m hnh hi quy bi, cho nn khi xem xt
hin tng ny, ta ch yu quan tm n mc ca n. Nu n tn ti nhng khng mc
thc s ln th c th chp nhn c trong m hnh.
4. Cc hu qu ca a cng tuyn gn hon ho c th hin th no?
V quan h tuyn tnh gia cc bin c lp l khng kht nn h s tng quan gia chng
cao. T dn n sai s tiu chun ca cc h s hi quy ln. Tip tc dn n hu qu l
cc khong tin cy cho cc h s hi quy rng, cc kim nh t v ngha ca bin c lp
trong m hnh thng khng c ngha, tc l ta thng phi chp nhn cc gi thit l cc
tham s bng 0, mc d h s xc nh bi vn ln.
5. a cng tuyn xy ra c nh hng g n tnh cht ca cc c lng ca cc h
s hi quy?
V c bn l khng c nh hng g, tc l cc h s nhn c bng phng php OLS vn
tha mn tnh cht BLUE.
135
p n Kinh t lng
6. C th nhn bit c a cng tuyn xy ra m khng cn thc hin cc kim nh?

C, ta c th cn c vo nhng du hiu ca a cng tuyn trong kt qu c lng ca m
hnh. Cc t s t thp (t bin c lp c ngha) mc d h s xc nh bi vn cao. Bn
cnh , du hiu k vng ca cc h s c th sai. l cc du hiu c trng cho bit c
a cng tuyn xy ra.
7. Khi thc hin hi quy ph pht hin ra a cng tuyn, c nht thit phi thnh lp
tt c cc hm hi quy ph c th khng?
V mt nguyn tc l ta s thnh lp tt c cc hm hi quy ph ri kim tra v s ph hp ca
cc hm hi quy ph ny. Tuy nhin, nu nh mt hm hi quy ph c s dng v cho
kt lun v a cng tuyn tn ti th khng cn thit thnh lp thm hm hi quy ph na.
8. Trong cc bin php khc phc a cng tuyn th bin php no ph bin?
Thc cht th ty vo tnh hnh thc t ca nghin cu v iu kin c th a ra cc bin
php khc phc thch hp. V d, nu ta c th ly thm cc quan st th y l bin php nn
s dng trc tin. Vic bin i m hnh hoc s dng thng tin tin nghim cng c th
c p dng rng ri. Bin php b bin cn xem xt k hn v vic thu thp s liu v bin
c th mt nhiu cng sc.
BI TP TRC NGHIM
1. C
2. D
3. D
4. D
5. C
Bi 6: PHNG SAI SAI S THAY I

TNH HUNG DN NHP
Gi : Trong bi hc s 6 ny, ban c s tm hiu v mt khuyt tt ca m hnh gi l phng

sai ca sai s thay i. Bn c s bit lm th no pht hin s tn ti ca n trong m hnh
v lm th no khc phc n khi n tn ti. ng thi bn c c th gii quyt vn t ra
ca Ngn hng u t v Pht trin Vit Nam.
Nhn chung, trong phm vi mn hc ca chng ta, c th da vo cc cng c sn c ca phn
mm kinh t lng thc hin nhng vic trn y:
1. Trong phn mm Eviews, c th xem xt th phn d theo c lng ca bin ph thuc hoc
theo bin c lp c gi v hin tng ny tn ti trong m hnh.
2. Trong phn mm Eviews, c th dng kim nh White (dng p-value) pht hin.
3. Nu c hin tng nay trong m hnh, c th khc phc n bng cch chuyn cc bin v
dng lgarit hoc bin i bin s ca m hnh.
CU HI THNG GP
1. Phng sai ca sai s thay i c thc s l mt khuyt tt nghim trng trong phn
tch hi quy?
y l mt khuyt tt cn pht hin v khc phc (nu c) trong phn tch hi quy v n s nh
hng ti cc kt qu phn tch trong vic suy lun t hm hi quy mu v hm hi quy tng th.
2. Hu qu ca PSSS thay i khc th no so vi hu qu ca a cng tuyn?
Trong khi a cng tuyn khng lm mt tnh cht BLUE ca cc c lng OLS th PSSS
thay i nu xy ra s lm cho cc c lng nhn c bng phng php OLS khng cn
136
p n Kinh t lng
l cc c lng hiu qu. V th cc kim nh t v kim nh F s cho cc kt qu khng

ng tin cy.
3. Nu nh khng bit c cc nhiu ngu nhin th lm th no c th nhn nh v
hin tng PSSS thay i trong m hnh?
Mc d khng bit nhiu ngu nhin nhng ta c th cn c vo c lng ca chng l cc
phn d xem xt liu c PSSS thay i xy ra hay khng. Cc phng php ph bin
thng dng l dng th cc phn d hoc dng cc kim nh pht hin da trn gi thit
v s thay i ca cc phn d theo mt bin no .
4. tng ca phng php dng th phn d pht hin PSSS thay i trong m
hnh l g?
Ta bit PSSS thay i xy ra khi cc nhiu ngu nhin c phng sai khc nhau vi cc gi
tr khc nhau ca bin ph thuc hoc bin c lp. Ta s dng c lng ca cc nhiu ngu
nhin l cc phn d v th thay i ca chng theo bin ph thuc hoc bin c lp.
Nu th th hin xu th thay i ca cc phn d ny khi cc bin tng ng tng ln hoc
gim i th c th cho rng c PSSS thay i trong m hnh.
5. tng ca cc phng php dng kim nh pht hin ra PSSS thay i l g?
Mi phng php dng kim nh pht hin PSSS thay i, u da trn mt gi thit v
s thay i ca phng sai ca cc nhiu ngu nhin theo mt bin no . Cn c vo gi
thit ny, ta i c lng cc m hnh hi quy ph tng ng v kim nh v s ph hp
ca chng. Nu chng ph hp tc l hm hi quy ban u c PSSS thay i v ngc li.
Trong cc hm hi quy ph ny, cc phng sai ca nhiu ngu nhin cha bit nn ta
thng dng cc phn d tin hnh c lng m hnh.
6. C nn p dng tt c cc phng php kim nh pht hin PSSS thay i hay khng?
y cng ging nh khm pht hin ra bnh trong m hnh, nu bng phng php ny
cha pht hin ra th ta c th p dng phng php khc. Tt nhin nu dng mt phng
php no v khng nh c khuyt tt th cng l . Tuy nhin vic dng nhiu phng
php mt lc cng c tc dng trong vic tm nguyn nhn v t a ra bin php khc phc
tng ng.
7. Trong cc phn mm c sn cc kim nh pht hin PSSS thay i hay khng?
Mi phn mm kinh t lng (EVIEWS, MFIT,...) th ngi vit thng a sn vo t nht
mt th tc kim nh pht hin PSSS thay i. Trong cc th tc th cc thng k
dng lm tiu chun kim nh c tnh ton sn cng vi cc p-value tng ng. Vic s
dng cc th tc ny rt thun tin cho ngi hc v ch cn c bng kt qu v dng
phng php p-value kim nh.
8. tng ca cc phng php khc phc PSSS thay i l g?
l cn c vo gi thit nu ra v s thay i ca phng sai ca sai s ngu nhin theo
mt bin no . T tm cch bin i m hnh hi quy v dng v nhiu ngu nhin
mi s c phng sai ng u. y chnh l ni dung ca phng php bnh phng ti
thiu tng qut.
BI TP TRC NGHIM
1. A
2. B
3. B
4. D
5. C
6. B
7. B
8. A
9. D
137
p n Kinh t lng
Bi 7: LA CHN M HNH HI QUY

TNH HUNG DN NHP
Gi : Vi tnh hung trn y, ta d dng nhn ra thu nhp ca nam l 1 + 2 cn thu nhp ca
n l 1. V th kim tra xem c chnh lch trong thu nhp gia nam v n hay khng, ta s
kim nh gi thit H0: 2 = 0 bng kim nh t cho m hnh hi quy trn. Nu 2 = 0, tc l gii
tnh khng nh hng n thu nhp v ngc li.
Bn hc c th xem thm cc dng khc nhau ca m hnh vi bin gi hiu thm v ng
dng ca phng php ny trong gio trnh v slides bi ging.
CU HI THNG GP
1. Ti sao phi nh gi v la chn m hnh trong phn tch hi quy?

Khi t ra mt vn nghin cu bng phng php kinh t lng, cn c vo l thuyt v
cc gi nh kinh t, ta cn thit lp m hnh kinh t v m hnh kinh t lng tng ng.
Vn l chn m hnh nh th no cho n ph hp nht c th c vi cc s liu quan
st. C cc tiu chun nh gi mt m hnh. Mt m hnh t c cc tiu chun t ra
v khng c nhng sai lm v mt nh dng s rt hu hiu trong vic dng n cho cc ng
dng nh d bo hoc suy lun thng k v tng th.
2. Nu nhiu ngu nhin ca m hnh khng c phn phi chun nh gi thit, hu qu s
nh th no?
Cng ging nh khuyt tt PSSS thay i, nu nhiu ngu nhin khng c phn phi chun,
ta s khng tin hnh c cc suy din thng k v cc h s hi quy v gi thit cn bn l
da trn phn phi chun ca ca cc h s ny.
3. Hu qu ca vic m hnh b nh dng sai l g?
M hnh b nh dng sai c th phn loi thnh cc dng nh m hnh b thiu bin, m hnh
tha bin hay m hnh b sai dng hm hi quy. Nu m hnh b thiu bin hoc nh dng
hm sai, ta cng s b hu qu l cac h s c lng c s khng phi l cc c lng
tt nht. V vy lm cho cc kim nh t, F cho cc kt qu khng ng tin cy. Nu m hnh
b tha bin, ta cng c nhng hu qu tng t nh trn.
4. Lm th no pht hin ra cc loi sai lm nh dng nu trn?
i vi vic pht hin m hnh c tha bin hay khng, ta s dng kim nh F xem c th
b bt bin ra khi m hnh hi quy khng. i vi loi sai lm nh dng l thiu bin hoc
m hnh sai dng hm, ta c th s dng kim nh RAMSAY pht hin. i vi gi thit
v tnh chun ca nhiu ngu nhin, ta c th s dng kim nh Jacque-Bera pht hin.
Cc kim nh ny u c sn trong cc phn mm v kinh t lng, ngi hc c th s
dng phng php p-value tin hnh kim nh pht hin.
5. Ti sao ta ch xem xt phng php bin gi khi mun nghin cu nh hng ca bin
nh tnh ln bin ph thuc?
Nu bin ph thuc cng l bin nh tnh th sao ? Trong trng hp n gin ta ang xem
xt, ta ch gii hn bin nh tnh l cc bin c lp, khi phng php bin gi s c s
dng. Cn nu bin ph thuc cng l bin nh tnh th ta s phi s dng cc m hnh dng
khc m s khng s dng bin gi cho bin ph thuc. Cc m hnh dng ny s nghin cu
nh hng ca xc sut bin ph thuc nhn cc thuc tnh khc nhau vo cc bin c lp.
138
p n Kinh t lng
6. Ti sao s bin gi c thit lp cho mt bin nh tnh phi t hn s thuc tnh ca

bin l 1?
Nu ta t s bin gi bng vi s thuc tnh ca bin nh tnh th tng ca cc bin gi lun
bng 1, v th s vi phm mt gi thit trong m hnh hi quy bi l khng c a cng tuyn.
7. Cc bin gi trong m hnh hi quy c s dng c khc g vi cc bin nh lng
thng thng khng?
Cc bin gi c s dng ging nh cc bin nh lng, cc c lng, kim nh v cc
suy lun khc cho h s ca bin gi vn c s dng cc k thut trnh by. Tuy nhin,
ngi hc cn lu khi gii thch ngha h s ca bin gii thch trong m hnh v chng by
gi th hin nh chnh lch gia cc phm tr khc nhau ca mt hoc nhiu bin nh tnh.
8. Nu trong m hnh c c bin lng v bin cht th nn xy dng m hnh nh th no?
Mt cch y nht, ta nn xy dng m hnh trong th hin c s khc nhau trong h s
chn ln h s gc. Khi , ta c th dng cc kim nh thch hp kim tra xem l cc m
hnh ca cc thuc tnh s khc nhau v h s chn, h s gc hay c hai h s.
BI TP TRC NGHIM
1. D
2. B
3. B
4. B
5. B
6. D
7. A
BI 8 : T TNG QUAN
TNH HUNG DN NHP
Gi : Cng ging nh phng sai sai s thay i, ta cn khng nh ngay l nu gi thit nay
khng tha mn vic s dng m hnh kinh t lng trong phn tch s cho cc kt qu khng
ng tin cy v tnh cht ca cc c lng OLS khng m bo.
Trong bi hc s 8 ny, bn c s tm hiu v mt khuyt tt ny ca m hnh. Bn c s bit lm
th no pht hin s tn ti ca n trong m hnh v lm th no khc phc n khi n tn ti.
Nhn chung, trong phm vi mn hc ca chng ta, c th da vo cc cng c sn c ca phn
mm kinh t lng thc hin nhng vic trn y:
1. Trong phn mm Eviews, c th xem xt th phn d theo cc phn d tr ca n kim
tra xem hin tng ny tn ti trong m hnh.
2. Trong phn mm Eviews, c th dng kim nh bng nhn t Lagrange (dng p-value)
pht hin.
Nu c hin tng ny trong m hnh, c th khc phc n bng cch chuyn cc bin v dng
sai phn cp 1, 2,... ty thuc vo cu trc ca n trong m hnh.
CU HI THNG GP
1. Hin tng t tng quan thng xy ra vi loi s liu no v v sao?

Hin tng TTQ hay cn gi l tng quan chui thng xy ra vi s liu theo chui thi
gian v cc s liu kinh t x hi thng c tnh qun tnh cao. Do gi tr ca bin quan st
cc thi k khc khc nhau thng c quan h no vi nhau v dn ti hin tng TTQ.
139
p n Kinh t lng
2. Cu trc ca TTQ c th l bc 1 hoc bc cao. Vy lm th no xc nh ng cu

trc ny?
Ta c th dng cc m t thng k, c th l dng c th phn d nhn nh v cu trc
ca TTQ. Ta c th v th phn d th t vi phn d th t-1, hay t-2, ...T bit c s
c nhng quan h bc 1, bc 2 ,... tn ti hay khng.
3. Khi TTQ xy ra, hu qu ca n cho m hnh l nh th no?
Cng ging nh cc khuyt tt PSSS thay i hay nh dng m hnh hi quy sai, TTQ xy ra
trong m hnh s dn ti cc c lng nhn c bng phng php OLS s khng tha
mn tnh cht tt nht.V th cc suy din thng k nh xy dng khong tin cy hoc cc
kim nh t v F s cho cc kt qu khng ng tin cy.
4. Trong cc phng php pht hin TTQ, tng ch o l g?
l t ra cc gi thit v cu trc ca TTQ, sau i c lng cc m hnh hi quy ph
tm ra cu trc l ng hay sai.
5. Phng php kim nh Durbin-Watson da trn gi thit g, c s dng pht hin
TTQ bc cao hay khng?
Kim nh Durbin-Watson dng pht hin TTQ bc 1, AR(1) trong m hnh hi quy. C
mt s gi thit i vi kim nh ny: M hnh khng c bin tr ca bin ph thuc, khng
b mt quan st.
6. Trong kim nh Durbin-Watson, c khong gi tr ca thng k d m ta khng th kt
lun c TTQ hay khng, khi cn lm th no?
Kim nh DW l kim nh d dng thc hin v vic tnh ton thng k DW c cho sn
trong tt c cc phn mm thng k. Tuy nhin trong kim nh ny, c 2 khong gi tr ca
DW m ta khng c quyt nh v TTQ trong m hnh. Nu vy ta s tip tc s dng cc
kim nh khc thay th m cc iu kin thc hin c ni lng hn nh kim nh bng
nhn t Lagrange.
7. Phng php chung ca khc phc TTQ c tng nh th no?
l vic dng cc phng trnh sai phn (cp 1 hoc cp cao hn). Khi ta bit c cu
trc ca TTQ, ta c th bin i m hnh v dng mi trong cc bin ph thuc v c lp
l chnh lch gia quan st th t v quan st tr sau khi nhn vi cu trc ca TTQ tng
ng. Vi vic s dng php bin i nh th ny, nhiu ngu nhin ca m hnh mi s tha
mn cc tnh cht ca OLS, v s khng c TTQ.
8. Phng php Cochrance Orcutt dng lm g trong vic khc phc hin tng TTQ?
y l mt th tc lp dng c lng cu trc ca TTQ khi ta cha bit cu trc ny. Sau
khi c lng c cu trc ny, ta thay vo phng trnh sai phn khc phc TTQ.
BI TP TRC NGHIM
1. D
140
2. A
3. A
4. D
5. C
6. B
7. B
8. C
9. A
10.A
Ph lc Kinh t lng
PH LC
HNG DN S DNG PHN MM EVIEWS
Trong ti liu ny, hc vin s c hng dn cc thao tc c bn thc hin cc th tc c

cp trong bi ging mn Kinh T Lng.
1. Ti v khi ng Eviews:
Trong ti liu ny, chng ta s dng Eviews4 (version 4). Trong bn ny, bn hc khng cn
phi ci t m chy thng file .exe t folder Eviews4.
Bn hc hy ti v ton b th mc Eviews4, sau m th mc ny ra, nhy p chut vo
file eviews4.exe.
Eviews4.exe
Nu khng c sai st g, ban hc s nhn c mn hnh u tin ca eviews, c dng:
Dng task bar trn cng c cc la chn khc nhau nh File, Edit... ging nh mt s ng
dng ca Microsoft Windows. Di dng Task bar l 1 mu trng gi l ca s lnh. Cc
file s liu trong eviews gi l cc workfile c phn m rng dng .wf1
2. M file s liu trong eviews
M tp s liu sn c trong eviews.
Cc file s liu ca eviews trong ti liu hng dn ny c lu trong th mc DATA.
m 1 file s liu sn c, v d, mun m file s liu c tn l CH2BT3, trn dng task bar,
chn File/Open/Workfile..., sau tm v th mc DATA trong th mc Eviews4, ri
chn file CH2BT3.
141
Ph lc Kinh t lng
Mt ca s mi c to ra trong c cha danh sch cc bin bao gm 2 bin l M1

(lng cung tin) v CPI (ch s gi). 2 bin c k hiu l c (vector h s) v Resid
(cc phn d, s c cp nht sau khi ta c lng m hnh hi quy) l 2 bin mc nh
ca 1 file s liu ca eviews.
Mun xem gi tr ca cc bin, ta ch vic nhy p chut vo bin cn xem, hoc chn
nhiu bin cng 1 lc ri nhy chut phi, sau chn Open/as group. Mun sa s liu
th m bin cn sa, ti ca s s liu, chn edit +/- trn thanh thc n ri sa s liu
nh mun.
Nhp s liu t ngoi vo Eviews
Gi s ta c b s liu trong bi ging v im hc tp ca hc sinh v mc thu nhp
hng nm ca b m ta c bng s liu sau:
Thu nhp (x) (triu/nm)
45
60
30
90
75
45
105
60
im trung bnh (y)
8.75
7.5
6.25
8.75
7.5
5.0
9.5
6.5
Ta s tin hnh nhp s liu ny thnh 1 file ca eviews ri save vo th mc DATA.

T ca s ban u ca eviews, chon File/New/Workfile. Mt ca s mi xut hin tn l
workfile range nhm nh ngha dng ca s liu m bn mun a vo. Nu s liu ca
bn c dng chui thi gian (Annual nm, semi-annual na nm, Quarterly Qu,
Monthly thng,...) bn s phi nh ngha thi im bt u (start date) v thi im kt
thc (end date) ca dy s liu. V d, s liu t qu 2 nm 1990 n Qu 4 nm 2006,
bn phi in vo 1990Q2 v 2006Q4 cho start date v end date.
Trong v d ca chng ta, s liu l s liu cho nn ta s chn undated or irregular ri
nhp vo quan st u tin (l 1) v quan st cui cng (l 8), ri chn OK. Mn hnh
cha 2 bin mc nh c v resid xut hin. to 2 bin X v Y, t ca s chnh ca
eviews, chn Quick/Empty group (Edit series). Mt mn hnh mi xut hin cho php
bn bt u nhp s liu cho bin th nht. Sau bn nhn vo Ser01 i tn bin
thnh X (chn Yes). Tng t, ban nhp gi tr ca bin Y ti ct bn cnh X. Sau khi i
tn cho Y, bn c th ng mn hnh s liu li, bn thy tn 2 bin X v Y xut hin
trong mn hnh cha tn bin. Cui cng, bn hy save file s liu vo th mc DATA
bng cch chn File/save as, chn tn file l vidu1.
3. Thc hin cc thng k m t trong Eviews.
Ta c th xem cc gi tr trung bnh, phng sai cng cc thng k c trng khc cho cc
bin trong eviews. Chn Quick/Group statistics/Descritive statistics/common group, sau
nh tn cc bin (cch nhau bi 1 khong trng) vo cho sn ri nhn OK.
4. To ra cc bin mi t cc bin sn c trong Eviews
Ta c th thc hin cc php ton trong eviews to ra bin mi t cc bin c, v d
nh bnh phng ca X, lgarit ca Y,...
thc hin iu , chn Quick/generate series ri a phng trnh vo cho sn.
V d:
X2 = X^2 (to ra bin mi X2 l bnh phng ca X).
LY = log(Y) (to ra bin mi LY l lgarit ca bin Y).
Bn hc c th tham kho thm phn Help ca eviews bit thm cc lnh to bin khc.
142
Ph lc Kinh t lng
5. c lng m hnh hi quy tuyn tnh bng OLS

c lng m hnh hi quy mu trong Eviews, gi s bn hc s dng b s liu
vidu1.wf1 m bn va nhp s liu v save li trong folder DATA. (bn hc c th m 1 file
s liu khc).
Trc ht, bn cn m file s liu ny: chn File/Open/workfile, sau , trong phn look in
tm v th mc DATA, ri nhy p chut vo file s liu vidu1. Ta thy c 2 bin X v Y
(cng vi 2 bin mc nh c v Resid).
T menu ca ca s chnh eviews, chn Quick/Estimate equation, trong c tiu
Equation Specification, g vo tn cc bin theo th t: Y c X
Trong Y l bin ph thuc, c l k hiu ca h s chn, X l bin c lp (nu c nhiu
bin c lp th tip tc cho vo bn phi ca bin ph thuc, v d: Y c X1 X2 X3 , nh l
cc bin cch nhau 1 khong trng).
Ta c kt qu sau:
Date: 11/25/09 Time: 04:28
Sample: 1 8
Variable
Coefficient
Std. Error
t-Statistic
Prob.
5.330128
1.387785
3.840746
0.0086
0.033547
0.020434
1.641723
0.1518
R-squared
0.309968
Mean dependent var
7.468750
Adjusted R-squared
0.194963
S.D. dependent var
1.508532
S.E. of regression
1.353513
3.655602
Sum squared resid
10.99199
Schwarz criterion
3.675462
Log likelihood
-12.62241
F-statistic
2.695254
Durbin-Watson stat
1.735421
Prob(F-statistic)
0.151756
143
Ph lc Kinh t lng
Mn hnh ny trong eviews ta tm gi l mn hnh kt qu

= 5.33 + 0.033547*X
T kt qu nay ta c phng trnh hi quy mu: Y
Se( 1 ) = 1.387; Se( 2 ) = 0.0204.
Gi tr tqs trong kim nh 2 h s 1 v 2 bng 0 ln lt l 3.840746 v 1.641723 vi pvalue tng ng l 0.0086 v 0.1518. V so snh p-value vi = 0.05 nn h s 1 khc 0,
nhng 2 = 0.
H s xc nh R2 = 0.309968, h s xc nh bi bng 0.194963
RSS = Sum squared resid = 10.99199
Gi tr Fqs trong kim nh v s ph hp ca hm hi quy = 2.695254 vi p-value = 0.151756
F-statistic
2.695254
Prob(F-statistic)
0.151756
so snh vi = 0.05 th hm hi quy khng ph hp.

Thng k Durbin-Watson kim nh v t tng quan l:
Durbin-Watson stat
1.735421
Bn hc c th copy v paste kt qu ny vo work document.

6. Kim nh cc khuyt tt ca m hnh bng Eviews
Kim nh PSSS thay i dng kim nh White:
Trong mn hnh kt qu, ta chn View/residual tets/White Heteroskedasticity (no cross
term) hoc (cross term), ta c kt qu:
F-statistic
1.961279
Probability
0.235072
Obs*R-squared
3.516981
Probability
0.172305
Test Equation:
Dependent Variable: RESID^2
Date: 11/25/09 Time: 04:52
Sample: 1 8
Variable
Coefficient
Std. Error
t-Statistic
Prob.
4.193921
3.623506
1.157421
0.2994
-0.052561
0.115151
-0.456457
0.6672
X^2
0.000115
0.000835
0.137909
0.8957
R-squared
0.439623
Mean dependent var
1.373998
Adjusted R-squared
0.215472
S.D. dependent var
1.396358
S.E. of regression
1.236804
3.542935
Sum squared resid
7.648424
Schwarz criterion
3.572726
F-statistic
1.961279
Prob(F-statistic)
0.235072
Log likelihood
Durbin-Watson stat
144
-11.17174
2.206412
Ph lc Kinh t lng
Cp gi thuyt: H0: Khng c PSSS thay i; v i thuyt H1: C PSSS thay i.

Cn c vo gi tr X2 = 3.516981 c p-value = 0.172305 nn khng bc b H0 m hnh
khng c PSSS thay i.
Obs*R-squared
3.516981
robability
0.172305
Kim nh dng hm hi quy hoc m hnh thiu bin dng kim nh Ramsay:
H0: M hnh c dng hm ng hoc khng thiu bin.

H1: M hnh c dnh hm sai hoc thiu bin.
dng eviews, ta cng chn View/Stability tets/Ramsey RESET test, trong number
of fitted items, chn 2, hoc 3...Ok, ta c kt qu:
Ramsey RESET Test:
F-statistic
0.950170
Probability
0.459585
Log likelihood ratio
3.109725
Probability
0.211218
Test Equation:
Date: 11/25/09 Time: 05:03
Sample: 1 8
Variable
Coefficient
Std. Error
t-Statistic
Prob.
-263.3418
580.8189
-0.453397
0.6738
-3.385198
6.866405
-0.493009
0.6478
FITTED^2
12.45277
27.18626
0.458054
0.6707
FITTED^3
-0.500921
1.196349
-0.418708
0.6969
R-squared
0.532209
Mean dependent var
7.468750
Adjusted R-squared
0.181366
S.D. dependent var
1.508532
S.E. of regression
1.364896
3.766886
Sum squared resid
7.451765
Schwarz criterion
3.806607
F-statistic
1.516942
Prob(F-statistic)
0.339302
Log likelihood
-11.06755
Durbin-Watson stat
1.459391
Dng F quan st v p-value trong kt qu th ta cha bc b H0 m hnh c dng hm

ng hoc khng thiu bin.
F-statistic
0.950170
Probability
0.459585
Kim nh t tng quan bng kim nh Breusch Godfrey LM test
Ngoi vic s dng Durbin-Watson kim tra TTQ bc 1, ta c th dng kim nh trn.
Cp gi thuyt: H0: m hnh c t tng quan; i thyt H1: m hnh khng c t tng quan
T mn hnh kt qu, ta cng chn View/ residual tests/ Serial corelation LM test, sau
trong lags to include, chn 1, 2, 3,... ty thuc vo bn gi thit v bc ca cu trc
ca t tng quan l my. Ta c kt qu (gi s chn 2)
145
Ph lc Kinh t lng
F-statistic
0.034026
Probability
0.966823
Obs*R-squared
0.133828
Probability
0.935276
Test Equation:
Date: 11/25/09 Time: 05:11
Variable
Coefficient
Std. Error
t-Statistic
Prob.
0.475224
2.662521
0.178486
0.8670
-0.007116
0.039676
-0.179359
0.8664
RESID(-1)
-0.187723
0.823207
-0.228038
0.8308
RESID(-2)
-0.072888
0.524429
-0.138986
0.8962
R-squared
0.016728
Mean dependent var
3.33E-16
-0.720725
S.D. dependent var
1.253110
S.E. of regression
1.643784
4.138732
Sum squared resid
10.80811
Schwarz criterion
4.178453
F-statistic
0.022684
Prob(F-statistic)
0.994645
Adjusted R-squared
Log likelihood
-12.55493
Durbin-Watson stat
1.689670
Cn c vo khi bnh phng hoc F trong kt qu (dng p-value):

F-statistic
0.034026
Probability
0.966823
Obs*R-squared
0.133828
Probability
0.935276
ta c kt lun m hnh khng c t tng quan bc 2.
BI TP LN
BI TP TNG HP BI 3
Cho kt qu hi quy sau y v t l lm pht (UNEM %) ph thuc vo tin lng (W, t ng)
c c lng bng phn mm Eviews.
Dependent Variable: UNEM
Date: 11/16/09 Time: 06:08
Sample: 1 17
146
Variable
Coefficient
Std. Error
t-Statistic
Prob.
1.862509
0.163742
11.37463
0.0000
Ph lc Kinh t lng
W
0.084308
0.031655
2.663304
0.0177
R-squared
0.321058
Mean dependent var
1.458824
Adjusted R-squared
0.275795
S.D. dependent var
0.300123
S.E. of regression
0.255405
0.218199
Sum squared resid
0.978476
Schwarz criterion
0.316224
Log likelihood
0.145312
F-statistic
7.093186
Durbin-Watson stat
1.357767
Prob(F-statistic)
0.017714
Tr li cc cu hi sau, dng mc ngha = 0.05.

1. Vit m hnh hi quy tng th v hi quy mu ng vi bo co trn.
2. C bao nhiu quan st c s dng c lng m hnh ny?
3. Gii thch ngha ca cc h s c lng c.
4. H s ca bin W l m th c ph hp vi l thuyt kinh t hay khng?
5. H s xc nh bng bao nhiu v cho bit ngha ca n.
6. c lng ca sai s tiu chun ca sai s bng bao nhiu?
7. Tng bnh phng cc phn d l bao nhiu?
8. lch chun ca bin ph thuc bng bao nhiu?
9. T cu 7 v v 8, tnh ESS.
10. Tm khong tin cy i xng cho h s ca bin W (2) v cho bit ngha ca n.
11. Hy dng kim nh t kim nh xem bin W c nh hng n bin UNEM hay khng
(dng t quan st v p-value trong bo co trn)?
12. Hy dng kim nh F kim tra v s ph hp ca hm hi quy trn (dng F quan st v pvalue c cho trong bo co trn).
13. Tm c lng im (d bo) cho UNEM khi W = 1.2 (t ng).
14. D bo trung bnh ca UNEM khi W = 1.2 (t ng).
BI TP TNG HP BI 4
Ta cng xem xt tnh hung sau y:

Cc nh qun l ca cng ty may c Giang ang mun xem xt nh hng ca 2 yu t u vo
ca sn xut l Vn (V, t ng) v Lao ng (L, ngi) ln sn lng (SL, triu sn phm) ca
cng ty. C th, h mun a ra quyt nh v vic c nn tip tc m rng sn xut, thu hp li
hay gi nguyn nh hin ti. tin hnh nghin cu ny, phng k hoch ca cng ty thu thp
s liu v vn u t, lao ng s dng v sn lng sn xut ra trong 30 thng qua ti cng ty
(c n = 30 quan st). M hnh dng nghin cu c dng:
log(SLi = 1 + 2log(Vi) + 3log(Li) + ui.
Dng s liu ca mu, c lng c hm hi quy mu c dng:
m i ) = 0.424816 + 0.7358log(V ) + 0.9489 log(L ) .
log(SL
i
i
7. Gii thch ngha ca cc h s hi quy.

8. Tng bin vn hoc lao ng c nh hng n sn lng hay khng?
147
Ph lc Kinh t lng
9. Nu vn hoc lao ng thay i 1% th sn lng s thay i nh th no?

10. ngha ca tng 2 h s ca 2 bin vn v lao ng.
11. Vi kt qu hi quy nh trn, cng ty nn tng, gim hay gi nguyn quy m sn xut?
12. Liu c 2 bin vn v lao ng cng khng c nh hng n sn lng c ng khng?
13. Gi s trong thng ti, cng ty quyt nh s dng lng vn l 10 t ng v lao ng l
3000 th sn lng d bo l bao nhiu?
Ch , dng mc ngha = 0.05 trong cc c lng v kim nh
-----------------------------------------------------------------------------------------------Dependent Variable: LOG(SL)
Sample: 1 30
Variable
Coefficient
Std. Error t-Statistic Prob.
0.424816
0.137808 3.082671 0.0047
LOG(V)
0.735804
0.065794 11.18348 0.0000
LOG(L)
0.948994
0.062905 15.08606 0.0000
-----------------------------------------------------------------------------------------------R-squared
0.918339
Mean dependent var -1.532700
Adjusted R-squared
0.912290
S.D. dependent var
S.E. of regression
0.430545
Akaike info criterion 1.247110
Sum squared resid
5.00496
Schwarz criterion
Log likelihood
-15.70664
Durbin-Watson stat
1.453766
1.387229
F-statistic
2.192857
151.8180
Prob(F-statistic)
0.000000
------------------------------------------------------------------------------------------------
BI TP TNG HP CA BI 5, 6, 7, 8
Cho kt qu sau y c c lng bng phn mm Eviews. BE l bin tiu dng bia (USD), Y
l bin thu nhp ngi tiu dng (USD), AGE l bin tui ca ngi tiu dng, SEX l bin gi
th hin gii tnh ca ngi tiu dng, SEX = 1 nu l n v SEX = 0 nu l nam.
Dependent Variable: BE
Date: 11/16/09 Time: 06:39
Sample: 1 40
148
Variable
Coefficient
Std. Error
t-Statistic
Prob.
459.2178
58.61657
7.834266
0.0000
0.002313
0.000455
5.083170
0.0000
AGE
8.424591
1.753024
4.805747
0.0000
SEX
169.8733
31.45804
5.399998
0.0000
R-squared
0.629420
Mean dependent var
191.5500
Adjusted R-squared
0.598539
S.D. dependent var
155.8806
Ph lc Kinh t lng
S.E. of regression
98.76749
12.11805
Sum squared resid
351180.6
Schwarz criterion
12.28694
F-statistic
20.38169
Prob(F-statistic)
0.000000
Log likelihood
Durbin-Watson stat
238.3611
1.776520
Tr li cc cu hi sau, dng mc ngha = 0.05.

1. Vit hm hi quy tng th v hm hi quy mu cho m hnh trn y.
2. Vit hm hi quy cho bit tiu dng v bia ca nam v n, t cho bit ngha ca h s
ca bin SEX trong m hnh.
3. Cho bit gi tr h s xc nh bi v gii thch ngha.
4. Gii thch ngha ca tng h s hi quy c lng c trong m hnh trn.
5. Tng bin thu nhp, tui v gii tnh c nh hng n tiu dng bia khng?
6. Hm hi quy c ph hp khng? (t nht 1 bin c lp c ngha trong m hnh hay khng?)
7. Nu hi quy thu nhp vo tui, c kt qu:
Date: 11/16/09 Time: 06:52
Sample: 1 40
Variable
Coefficient
Std. Error
t-Statistic
Prob.
17276.68
19240.00
0.897957
0.3749
1798.407
550.1467
3.268960
0.0023
AGE
Liu c a cng tuyn trong m hnh hay khng?

8. Dng kim nh White trong Eviews kim tra khuyt tt phng sai ca sai s thay i,
thu c bo co sau:
White Heteroskedasticity Test:
F-statistic
0.843745
Probability
0.528358
Obs*R-squared
4.415347
Probability
0.491289
Test Equation:
Dependent Variable: RESID^2
Date: 11/16/09 Time: 06:57
Sample: 1 40
Variable
Coefficient
Std. Error
t-Statistic
Prob.
1413.688
32147.96
0.043974
0.9652
149
Ph lc Kinh t lng
Y
0.331923
0.231368
1.434612
0.1605
Y^2
1.32E-06
1.04E-06
1.270904
0.2124
AGE
509.1032
2025.835
0.251305
0.8031
AGE^2
11.89196
27.77169
0.428204
0.6712
SEX
4279.856
5614.299
0.762314
0.4511
R-squared
0.110384
Mean dependent var
8779.515
0.020442
S.D. dependent var
16388.70
S.E. of regression
16555.36
22.40429
Sum squared resid
9.32E+09
Schwarz criterion
22.65762
F-statistic
0.843745
Prob(F-statistic)
0.528358
Adjusted R-squared
Log likelihood
Durbin-Watson stat
442.0858
2.233309
Hy cho bit trong m hnh ban u c khuyt tt PSSS thay i khng?

9. Dng kim nh RAMSAY c kt qu sau:
Ramsey RESET Test:
F-statistic
5.043609
Probability
0.031132
Log likelihood ratio
5.384841
Probability
0.020312
Test Equation:
Date: 11/16/09 Time: 07:03
Sample: 1 40
Variable
Coefficient
Std. Error
t-Statistic
Prob.
58.92107
186.7066
0.315581
0.7542
0.000742
0.001427
0.519792
0.6065
AGE
0.619737
4.356753
0.142247
0.8877
SEX
5.114534
83.43187
0.061302
0.9515
FITTED^2
0.002736
0.001218
2.245798
0.0311
R-squared
0.676096
Mean dependent var
191.5500
Adjusted R-squared
0.639078
S.D. dependent var
155.8806
S.E. of regression
93.64803
12.03343
Sum squared resid
306948.4
Schwarz criterion
12.24454
F-statistic
18.26416
Prob(F-statistic)
0.000000
Log likelihood
Durbin-Watson stat
235.6687
1.771546
Cho bit trong m hnh c thiu bin hoc sai dng hm hi quy khng?
10. Theo m hnh ny th c s khc nhau gia tiu dng v bia gia nam v n khng?
150
Ph lc Kinh t lng
11. Dng kim nh b bin khi m hnh cho bit c th b hai bin tui v thu nhp khng,
bit rng hi quy ch c BE vo SEX th thu c kt qu:
Date: 11/16/09 Time: 07:16
Sample: 1 40
Variable
Coefficient
Std. Error
t-Statistic
Prob.
273.7000
29.86168
9.165594
0.0000
164.3000
42.23079
3.890526
0.0004
SEX
R-squared
0.284857
Mean dependent var
191.5500
Adjusted R-squared
0.266037
S.D. dependent var
155.8806
S.E. of regression
133.5455
12.67547
Sum squared resid
677707.0
Schwarz criterion
12.75991
F-statistic
15.13620
Prob(F-statistic)
0.000390
Log likelihood
251.5094
Durbin-Watson stat
2.359214
12. Hy dng kt qu ca thng k d-Durbin Watson trong m hnh u tin kim tra v
khuyt tt t tng quan bc 1 trong m hnh ny.
Cho kt qu sau y kim tra t tng quan bc 2 trong m hnh ban u bng kim nh
bng nhn t Lagrange (Breusch-Godfrey Serial Correlation LM Test):
F-statistic
0.225003
Probability
0.799693
Obs*R-squared
0.522503
Probability
0.770087
Test Equation:
Date: 11/16/09 Time: 07:11
Variable
Coefficient
Std. Error
t-Statistic
Prob.
0.058996
61.48357
0.000960
0.9992
4.76E-05
0.000471
0.101068
0.9201
151
Ph lc Kinh t lng
AGE
0.050913
1.831153
0.027804
0.9780
SEX
0.697468
32.23196
0.021639
0.9829
RESID(-1)
0.112534
0.174363
0.645398
0.5230
RESID(-2)
0.017507
0.176371
0.099264
0.9215
R-squared
Adjusted R-squared
0.013063
Mean dependent var
-0.132075
S.D. dependent var
94.89274
S.E. of regression
100.9649
12.20490
Sum squared resid
346593.3
Schwarz criterion
12.45824
F-statistic
0.090001
Prob(F-statistic)
0.993301
Log likelihood
Durbin-Watson stat
238.0981
1.994863
Hy cho bit trong m hnh ban u c t tng quan bc 2 khng?
152
2.67E-14
Thut ng
THUT NG
B:
Bin c lp
Bin c lp (hay bin gii thch) l bin

(cc bin) m ta dng chng gii thch
cho s bin thin ca bin ph thuc. Bin
c lp c t bn phi ca mt m hnh
kinh t lng.
Bin i Lgarit
Cng l mt cch khc phc PSSS thay

i trong m hnh c c lng vi cc
bin c cho i dang lgarit nhm mc
ch gim i s bin thin trong cc quan st.
Bin gi trong phn tch ma v
l vic s dng phng php bin gi

so snh gi tr ca bin ph thuc ti cc thi
im khc nhau. V d ta mun so snh
doanh thu bn hng ca mt cng ty ti 4 qu
trong nm, khi ta s dng 3 bin gi trong
m hnh hi quy.
Bin ph thuc
Bin ph thuc (hay bin c gii thch) l

bin trong m hnh hi quy m ta mun dng
mt hay nhiu bin khc gii thch cho s
bin thin ca n. Bin ph thuc c t
bn tri ca mt m hnh kinh t lng.
B bin
l mt bin php khc phc a cng

tuyn. Nu nh c mt bin c lp no
c tng quan cao vi cc bin c lp cn
li (c a cng tuyn cao) th ta c th b
bin c lp ny khi m hnh khc phc
hin tng a cng tuyn.
C:
Cc gi thit trong phng php OLS
thc hin c phng php OLS, n i

hi mt s cc gi thit phi tha mn, quan
trng nht l cc gi thit v cc nhiu ngu
nhin ui. Nu cc gi thit ny khng tha
mn th s dn ti mt s khuyt tt trong m
hnh hi quy m hu qu c th l cc tnh
cht ton hc ca cc c lng nhn c
t phng php OLS khng tha mn.
Cc sai lm v nh dng ca m hnh
l vic nh sng sai mt m hnh kinh t

lng di cc loi sai lm nh: m hnh b
thiu bin, m hnh b tha bin hay m hnh
b sai dng hm.
Cc thuc tnh ca mt bin nh tnh
l tt c cc gi tr nh tnh ca mt bin
cht lng. lng ha chng bng
phng php bin gi, nu bin nh tnh c
m thuc tnh th ta s thit lp m 1 bin gi
trong m hnh.
D:
D bo kinh t
l mt trong nhng mc ch c bn ca
kinh t lng. Da vo cc s liu lch s
hoc cc s liu quan st trong thc t m
phng php kinh t lng a ra cc d bo
cho gi tr tng lai ca 1 bin kinh t no
vi cc gi tr cho hoc gi nh ca cc
bin kinh t lin quan.
153
Thut ng
D bo trong phn tch hi quy
Vi gi tr cho trc ca bin c lp, ta

c th tnh c gi tr c lng ca bin
ph thuc da trn hm hi quy mu. l
mt c lng im. Bn cnh , ta cng
c th xy dng khong tin cy cho gi tr
trung bnh hoc gi tr c bit ca bin ph
thuc, l cc khong d bo trung bnh
v c bit.
Doanh nghip khng c kh nng thanh
ton c cc khon n n hn khi ch n
c yu cu.
tnh cht BLUE. Nu cc c lng c tnh

cht BLUE, cc suy din thng k v cc
tham s ca m hnh hi quy tng th mi
cho ta cc kt lun ng tin cy.
G:
Gi tr ti hn Durbin-Watson
l cc gi tr cn di dL v cn trn dU
c tnh trong kim nh pht hin TTQ bc
mt vi kch thc mu n, s bin trong m
hnh k v mc ngha 0.05. Thng k dDurbin-Watson s c so snh vi cc gi
tr ny kt lun v TTQ trong m hnh.
Gi thit ca m hnh
a cng tuyn
l hin tng xy ra trong m hnh hi

quy bi khi cc bin c lp c quan h cng
tuyn cao vi nhau. V d khi hi quy nhp
khu vo GDP v GNP th hai bin c lp
s c quan h tuyn tnh tng i cht ch
v s dn n hin tng a cng tuyn.
a cng tuyn hon ho
L hin tng a cng tuyn khi cc bin c

lp trong m hnh c quan h tuyn tnh hon
ton cht ch (mt bin c lp c th biu
din tuyn tnh mt cch hon ho qua cc
bin c lp cn li).
Trong cc mi quan h kinh t thng c cc

gi thit t ra do s hn ch v ngun lc
cng nh rng buc gia cc bin. V vy khi
thit lp m hnh kinh t lng, ta thng c
cc gi thit lin quan n cc tham s trong
m hnh m sau ny chng ta phi kim tra li
cc gi thit ny trc khi s dng cc kt qu.
H:
Hu qu ca a cng tuyn
l cc nh hng ca a cng tuyn n

vic c lng cc h s trong m hnh cng
nh l vic dng cc thng tin mu suy
din v cc tham s ca m hnh hi quy.
a cng tuyn khng hon ho
L hin tng a cng tuyn xy ra khi cc

bin c lp c quan h tuyn tnh nhng
khng phi l hon ton cht ch.
nh l Gauss-Markov
L nh l ni v tnh cht ca cc c lng

nhn c t phng php OLS: tuyn tnh,
khng chch v c phng sai nh nht
154
Hu qu ca t tng quan
Ging nh PSSS thay i, nu c TTQ, cc

c lng bng OLS s vn tuyn tnh v
khng chch nhng khng tt nht, v th cc
kim nh t, F v cc khong tin cy cho cc
tham s trong m hnh s cho kt qu khng
ng tin cy.
Thut ng
H s chn (intercept)
L h s trong m hnh hi quy l khng ph

thuc vo bin c lp. Ni chung, c th coi
h s chn th hin trung bnh ca bin ph
thuc khi bin c lp bng 0.
H s gc hay dc (slope)
l h s gn vi bin c lp. N cho bit

nh hng ca bin c lp ln bin ph
thuc nh th no. Du ca h s gc cho
bit quan h gia 2 bin l cng chiu (+)
hay ngc chiu (-).
H s hi quy ring trong m hnh hi
quy bi
L cc h s th hin nh hng ca ring

tng bin c lp ln bin ph thuc khi cc
bin c lp khc c gi khng i.
H s t hi quy
l cc h s trong cc m hnh t hi quy

th hin quan h gia cc nhiu ngu nhin.
H s xc nh bi iu chnh
Trong m hnh hi quy bi, cn xem xt

thm khi nim ny v n cho php nh gi
vic a thm bin mi vo m hnh hi quy
hay khng. N l h s c iu chnh t R2
thng qua s bin v s quan st trong m
hnh. Gi tr ca h s nay c th tng ln,
gim i hay khng i khi a thm bin c
lp mi vo m hnh hi quy. Nhn chung,
nu a thm bin mi vo m h s ny
tng ln, ng thi bin mi c ngha trong
m hnh th ta nn a thm bin.
H s xc nh R2
L mt thc o dng nh gi ph
hp ca hm hi quy mu. N c tnh
bng t s gia tng bnh phng cc bin

thin gy ra bi cc bin c lp v tng
bnh phng cc bin thin ca bin ph
thuc quanh gi tr trung bnh ca n. Gi
tr ca R2 cho bit bao nhiu phn trm s
bin thin ca bin ph thuc c gii
thch bi cc bin c lp hoc bi hm hi
quy mu 0 R2 1.
Hi quy ph (pht hin a cng tuyn)
l hm hi quy trong bin ph thuc l

mt bin c lp trong m hnh hi quy ban
u, cn cc bin c lp trong hm hi quy
ph l cc bin c lp cn li ca hm hi
quy ban u.
K:
Khc phc PSSS thay i
L vic s dng phng php bnh phng

ti thiu tng qut da trn cc gi thit v s
thay i ca phng sai ca cc nhiu ngu
nhin. Nu ta bit phng sai ca cc
nhiu ngu nhin, ta bin i m hnh bng
cc chia hai v cho sai s tiu chun ca
nhiu ngu nhin. Cn nu cha bit gi tr
ny nhng c gi thit n t l vi bin no
trong m hnh hoc t l vi gi tr c
lng ca bin ph thuc th s chia hai v
m hnh cho cn bc hai ca bin tng ng.
Khong tin cy cho cc tham s ca
m hnh
l cc khong bin thin ca cc tham s

trong m hnh hi quy khi ta dng suy din
thng k suy lun cho cc gi tr ca cc
tham s trong hm hi quy tng th.
155
Thut ng
Khong tin cy cho cc tham s trong

m hnh hi quy bi
l cc khong bin thin ca gi tr trung

bnh ca bin ph thuc Y khi mt bin c
lp tng hay gim mt n v trong khi cc
bin c lp khc c gi khng i.
Kim nh bng nhn t Lagrange (s
dng thng k khi bnh phng)
Kim nh ny c dng kim tra t

tng quan bc cao trong m hnh hi
quy ph l s ph thuc ca nhiu ngu
nhin th t vo cc bin c lp trong m
hnh v cc nhiu ngu nhin th t 1, t 2
cho n t p. Thng k khi bnh phng
c tnh v so snh vi gi tr ti hn ca
n. Kim nh ny c thc hin trong phn
mm Eviews v ta c th kim nh bng
phng php p-value.
Ch l c trng hp ta khng xc nh
c c TTQ hay khng khi s dng kim
nh ny.
Kim nh gi thit pht hin PSSS
thay i
tng c bn ca cc phng php kim

nh pht hin PSSS thay i l da trn gi
thit v s thay i ca phng sai ca cc
nhiu ngu nhin, t tin hnh kim tra
cc gi thit ny ri kt lun v PSSS thay
i trong m hnh ban u.
Kim nh Glejser
l kim nh pht hin PSSS thay i da

trn gi thit l gi tr tuyt i ca cc nhiu
ngu nhin ph thuc vo bin c lp X
theo mt dng no . Trong kim nh ny,
cc nhiu ngu nhin trong m hnh c
thay bi cc phn d c lng m hnh
hi quy ph.
Kim nh bng phng php s dng

p-value
i vi mi gi tr quan st c tnh cho

tiu chun kim nh c s dng trong
kim nh gi thit thng k, ta tnh c cc
p-value tng ng. l mc ngha nh
nht m ta bt u bc b gi thit H0. Khi
, ta ch cn so snh p-value v quyt
nh bc b H0 hay khng theo nguyn tc
sau: p-value < : bc b H0; p-value :
khng bc b H0.
Kim nh Durbin-Watson
L kim nh v t tng quan bc nht

trong thng k d-DW c s dng
xc nh trong m hnh c TTQ dng hay
m, hoc khng c TTQ. Trong kim nh
ny, gi tr thng k d c gii hn t 0 n 4.
Ta tin hnh so snh d vi cc gi tr dL v dU
a ra kt lun v TTQ trong m hnh.
156
Kim nh v ph hp ca hm
hi quy
l kim nh cho php nh gi l hm

hi quy c gii thch g c s bin thin ca
bin ph thuc hay khng, hay cho bit liu
c t nht mt bin c lp l c ngha
trong m hnh hay khng. Ta c th vit cp
gi thit di hai dng khc nhau:
H 0 : R 2 = 0
2
H1 : R 0
H 0 : 2 = ... = k = 0
H1 : j 0 : ( j 1)
H0: Hm hi quy khng ph hp (cc bin
gii thch khng tc ng ti bin ph thuc).
H1: Hm hi quy ph hp (cc bin c lp
c gii thch cho bin ph thuc).
Thut ng
Kim nh White
L kim nh pht hin PSSS thay i vi gi

thit l phng sai ca nhiu ngu nhin
ngoi ph thuc vo cc bin c trong m
hnh cn ph thuc vo cc gi tr bc 2 ca
cc bin ny cng nh l tch cho gia cc
bin. c lng hm hi quy ph, ta dng
bnh phng ca phn d thay cho phng
sai ca nhiu ngu nhin. Sau tin hnh
kim tra s ph hp ca hm hi quy ph
bng kim nh khi bnh phng hoc F
kt lun v PSSS thay i trong hm hi quy
ban u. Kim nh White c thc hin
trong Eviews.
Kinh t lng (Econometrics -o lng
kinh t)
l mt mn khoa hc x hi nhm nghin

cu nh lng ha cc mi quan h kinh
t bng cc cng c nh ton hc, kinh t
hc, thng k ton hay thng k kinh t. V
d, khi thu nhp tng ln 100000 ng mt
thng th tiu dng h gia nh s tng ln l
bao nhiu?
M:
M hnh kinh t
l mt m hnh ton hc trong quan h

gia cc bin kinh t c m t bi mt
phng trnh tt nh (mt quan h chnh xc
v mt hm s).
M hnh kinh t lng
Ngoi thnh phn l mt m hnh ton hc

ging nh trong m hnh kinh t, m hnh
kinh t lng cn bao gm thnh phn l cc
yu t ngu nhin. Nh vy, mt m hnh
kinh t lng s din t mi quan h kinh t
gia cc bin kinh t thng qua hai thnh

phn l thnh phn h thng (cc bin c
a vo trong m hnh) v thnh phn ngu
nhin (i din cho cc bin khng c mt
trong m hnh).
M hnh hi quy bi
L m hnh c mt bin ph thuc Y v t

nht hai bin c lp.
M hnh hi quy bi k bin
L m hnh hi quy c mt bin ph thuc v

k 1 bin c lp.
M hnh hi quy n
L m hnh bao gm mt bin ph thuc Y

v mt bin c lp X.
M hnh hi quy mu (sample
regression function - SRF)
L m hnh c lng ca m hnh hi quy

tng th da trn mt mu ngu nhin cc
quan st c ly ra t tng th
= + X
Y
i
1
2 i
(3)
= u Y = + X + u , (4)
hoc: Yi Y
i
i
i
1
2 i
i
tc l m hnh (3) l c lng ca (1) hay

cc h s hi quy trong m hnh (3) l c
lng ca cc tham s trong m hnh (1).
M hnh hi quy tng th (population
regression function - PRF)
L m hnh kinh t lng m t quan h gia

cc bin kinh t th hin s ph thuc ca
trung bnh c iu kin ca Y vo X. Trong
PRF, gi tr ng ca cc tham s ch c
xc nh nu ta bit ton b tng th
E(Y/Xi)= 1 + 2Xi
(1)
hay Yi = E(Y/Xi) + ui = 1 + 2Xi + ui
(2)
157
Thut ng
M hnh hi quy tuyn tnh (Linear

regression models)
L m hnh trong trung bnh c iu kin

ca bin ph thuc c th hin di dng
tuyn tnh (ng thng) theo cc tham s
trong m hnh hi quy. Ch l trong phn
tch hi quy, quan nim tuyn tnh c hiu
l tuyn tnh theo cc tham s.
M hnh t hi quy bc 1 (AR(1))
l gi thit v cu trc ca t tng quan

trong m hnh trong ut v ut-1 c quan h
vi nhau di dng
u t = u t 1 + t .
M hnh t hi quy bc p (AR(p))
l gi thit v cu trc ca t tng quan

trong m hnh trong ut, ut-1, ut-2, ... ,ut-p c
quan h vi nhau di dng:
u t = 1u t 1 + 2 u t 2 + ... + p u t p + t .
N:
Phn d
Chnh l c lng ca cc nhiu ngu

nhin. Chng l chnh lch gia cc gi tr
quan st ca bin ph thuc Yi v cc gi tr
c lng nhn c t hm hi quy mu
: u = Y Y
.
Y
i
Phn tch hi quy (Regression Analysis)
L nghin cu s ph thuc ca mt bin

(thng c gi l bin ph thuc hay bin
c gii thch) vo mt hay nhiu bin khc
(thng c gi l bin c lp hay bin
gii thch).
Phng php bnh phng ti thiu
thng thng (Ordinary Least Square
OLS)
L mt phng php dng c lng cc

tham s trong m hnh hi quy vi tng
ch o l ti thiu ha tng bnh phng
cc phn d nhm tm ra mt ng hi quy
phn nh ng nht s bin thin trong cc
quan st ca bin ph thuc
n
Nguyn nhn PSSS thay i
Nguyn nhn chung l do phng sai ca cc

quan st trong bin ph thuc khng thun
nht do quan st cho nhiu i tng hoc
phm vi khc nhau, hay do phng php thu
thp s liu c ci tin.
P:
Phm tr c s
L phm tr ch nhn cc gi tr bng 0 ca

cc bin gi. Thng thng, phm tr c s
s c so snh vi cc phm tr khc bng
cc kim nh thch hp.
158
RSS = u i2 min .
i =1
Phng php bnh phng ti thiu

tng qut (GLS)
l phng php bin i m hnh ban u

v dng mi da trn gi thit v thay i
ca phng sai ca nhiu ngu nhin. Sau
p dng phng php OLS cho m hnh sau
khi bin i c lng cc tham s.
Phng php bin gi
l phng php s dng bin gi vi hai

gi tr l 0 v 1 lng ha cc bin c lp
l bin nh tnh trong m hnh hi quy.
Thut ng
nhau ca cc bin ph thuc v c lp

tng ng
Phng php Cochrane Orcutt
L phng php lp c lng h s t hi

quy dng thc hin phng php sai phn
nhm khc phc t tng quan.
Yt = 2 X 2t + 3 X 3t + u t .
S:
Phng php lun ca kinh t lng
l tp hp cc bc c tin hnh
nghin cu mt vn bng phng php
ca mn hc kinh t lng. Phng php
lun bt u t vic t vn nghin cu
cho n vic dng cc kt qu nghin cu
cho vic ra quyt nh v d bo.
Phng php sai phn cp 1
L phng php dng khc phc TTQ cp

mt trong m hnh hi quy c c
lng vi cc bin ph thuc v c lp l
sai lch gia quan st th t v quan st th
t 1 nhn vi h s t hi quy.
Phng sai ca sai s thay i (phng
sai khng thun nht)
l hin tng xy ra trong m hnh hi

quy khi gi thit v phng sai bng nhau
ca cc nhiu ngu nhin trong phng
php OLS b vi phm. Phng php OLS c
gi thit:
var(ui)= 2.
Sai s tiu chun ca cc h s hi quy
o chnh xc ca cc c lng ca
cc h s hi quy, ngi ta dng cc sai s
tiu chun ca chng. Chng cho bit cc h
s hi quy ny bin thin nh th no. ng
thi, cc sai s ny cn c dng tin
hnh cc suy din thng k v cc tham s
trong m hnh nh l c lng hoc kim
nh gi thit.
S liu
c th c lng c cc tham s trong

m hnh kinh t lng, ta cn c cc s liu
v cc bin kinh t lin quan. S liu c th
l s liu thc nghim (experimental) hoc
cc s liu quan st (observational).
S liu cho (cross sectional data)
L s liu c thu thp mt mc thi gian

nhng ti nhiu a im hoc nhiu khng
gian khc nhau.
S liu hn hp (pooled data hay panel
data)
Nu mi ui c mt phng sai khc nhau i

th xy ra phng sai ca sai s thay i
trong m hnh.
L kt hp ca hai loi s liu theo chui

thi gian v s liu cho.
Phng trnh sai phn cp 1
S liu theo chui thi gian (Time
l phng php bin i c s dng

khc phc a cng tuyn. Trong phng
php ny cc bin ph thuc v c lp c
s dng l cc sai lch gia hai quan st lin
series data)
L s liu thu thp trong mt khng gian hay

a im nhng ti cc thi im khc nhau.
159
Thut ng
Tiu chun kim nh F
T:
Tng quan st hay tng kch thc mu
L mt bin php khc phc a cng

tuyn trong cc quan st c ly thm
vo mu vi mc ch lm cho quan h tuyn
tnh gia cc bin c lp yu i.
Thng tin tin nghim
l cc thng tin thu thp c trc khi

tin hnh chn cc bin c lp vo trong m
hnh hi quy. Ta c th dng thng tin tin
nghim khng chn nhng bin c tng
quan sao vo m hnh.
Tiu chun AIC (Akaike info criterion)
AIC = (
RSS 2k / n
).e
n
trong k l s tham s trong m hnh hi

quy. Gi tr AIC ny cng nh th m hnh
cng ph hp vi s liu.
160
l tiu chun kim nh c s dng

kim nh gi thit v s ph hp ca hm
hi quy. Gi tr ca tiu chun kim nh F
c tnh bng cng thc thng qua R2 nh
R2
sau: F =
( k 1)
(1 R )
2
. Khi ta so snh
(n k)
gi tr F ny vi gi tr ti hn F (k 1, n k)
quyt nh vic bc b gi thit hay khng.
Tiu chun kim nh t
l thng k student dng kim nh gi

thit v mt tham s hi quy ring trong m
hnh hi quy bi. Gi tr ca tiu chun kim
i *i
.
nh t c tnh bng cng thc: t i =
Se i
( )

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Kinh t lung

TNH HUNG DN NHP ........................................................................................................ 3

1.1. Kinh t lng l g?........................................................................................................ 3

PHN TCH HI QUY V MT S TNG C BN

TNH HUNG DN NHP ........................................................................................................12

2.1. Khi nim phn tch hi quy ..........................................................................................13

M HNH HI QUY TUYN TNH N

TNH HUNG DN NHP .......................................................................................................24

TNH HUNG DN NHP ...................................................................................................... 48

4.1. M hnh hi quy vi hai bin gii thch .......................................................................... 49

TNH HUNG DN NHP ...................................................................................................... 66

5.1. Khi nim a cng tuyn ............................................................................................. 67

PHNG SAI SAI S THAY I

TNH HUNG DN NHP ...................................................................................................... 80

LA CHN M HNH HI QUY

TNH HUNG DN NHP .......................................................................................................94

7.1. Cc thuc tnh ca mt m hnh tt ..............................................................................95

TNH HUNG DN NHP .....................................................................................................118

8.1. Bn cht ca hin tng t tng quan ......................................................................119

Bi 2: Phn tch hi quy v mt s tng c bn

BI 2. PHN TCH HI QUY V MT S TNG C BN

Sau khi kt thc bi, hc vin s hiu

Khi nim phn tch hi quy.

S liu trong phn tch hi quy.

Ly cc v d minh ha cho khi

Bi 2: Phn tch hi quy v mt s tng c bn

TNH HUNG DN NHP

Vi kt qu ny, cc nh nghin cu s kt lun g v s nh hng ca im

Vi kt qu ny, ta c th suy ra rng im thi u vo l c nh hng n im trung bnh

Bi 2: Phn tch hi quy v mt s tng c bn

Khi nim phn tch hi quy

Trong cng thc (2.1) D l gi tr ng Vit Nam (VND), E l gi tr ca la M

V d v giao dch tin t m t mt quan h hon ho, bi v vi mi la M c

trong , ch s di i c dng ch trng hp th i. Nh vy, khi c mt quan

Tng ca tt c cc phn d a ra mt du hiu ca vic gii thch hiu lc tc ng

Bi 2: Phn tch hi quy v mt s tng c bn

Quan h tuyn tnh mnh

Quan h tuyn tnh yu

Hnh 2.1 Mc quan h tuyn tnh gia hai bin.

Phn tch hi quy l mt trong nhng cng c c bn

Bi 2: Phn tch hi quy v mt s tng c bn

c lng gi tr trung bnh ca bin ph thuc vi gi tr cho ca bin c lp.

Bi 2: Phn tch hi quy v mt s tng c bn

Trong hnh 2.2, i lng Y khng nhn gi tr tt nh, cc gi tr ca Y c xc

Cho hai bin X v Y, ta bit k vng c iu kin ca Y vi iu kin X, k hiu l

trong f (X) l hm ca bin gii thch X, cn c gi l hm hi quy tng th,

trong 1 v 2 l cc tham s cha bit v gi l cc h s hi quy,

E(Y | X) = 1 + 2 X 2 khng tuyn tnh vi bin.

tham s v bin, cn phng trnh E(Y | X) = 1 + 2 X 2 l phng trnh tuyn tnh

Bi 2: Phn tch hi quy v mt s tng c bn

Trong thc t khng th nghin cu c ton b tng th, do ch c th a

Khi X nhn gi tr Xi th gi tr ca E(Y | X) bng E(Y | X i ) , nhng do Y cha xc

vo phng trnh hi quy tng th (PRF) ta thu c phng trnh:

trong 1 l c lng ca 1 , 2 l c lng ca 2 , phng trnh (2.7) c gi

Sai s ngu nhin trong m hnh hi quy

Gi s ta c hm hi quy tng th:

Khi X nhn gi tr Xi th Y nhn gi tr Yi , v vy ta c

u i l sai lch gia quan st th i v gi tr E(Y | X i ) , c gi l sai s ngu nhin

T phng trnh (2.9) ta ly k vng c iu kin theo 2 v ta thu c

Bi 2: Phn tch hi quy v mt s tng c bn

trong u i l c lng ca u i . T phng trnh (2.7) v (2.11) ta c

Trn th ta c th biu din phng trnh hi quy mu (SRF) v hi quy tng th

Bi 2: Phn tch hi quy v mt s tng c bn

Bi ton t ra l cn tm mt phng php v a ra cc iu kin da vo thng