M HNH

HI QUY A BIN

ThS Nguyn Th Kim Dung

V d:
Thu nhp nh hng n chi tiu. (+)
a im sinh sng nh hng n chi tiu.
S thnh vin gia nh nh hng n chi tiu. (+)

Vy:
Chi tiu Thu nhp, a im, S thnh vin
Chi tiu = f (Thu nhp, a im, S thnh vin)

1. M HNH HI QUY
1.1 M HNH HI QUY TNG TH

Yi X X ... X ui
1 2 2i
3 3i
k ki

(1.1)

1 : he so t do

Vi: 2 , 3 ,..., k : cac he so hoi quy rieng

ui (i 2,..., k ) : sai so ngau nhien

1

'
at: Xi 1, X2i , X3i ,..., Xki ; ...

'
k
Yi X i ui

1. M HNH HI QUY
1.1 M HNH HI QUY TNG TH

Neu ta co n quan sat, moi quan sat

gom k gia tr (Yi , X2i , X3i ,..., Xki ),
(i 1,...n) , th ta co he n phng trnh:

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
(1.2)

...
Yn 1 2 X 2 n 3 X 3n ... k X kn un

1. M HNH HI QUY
1.1 M HNH HI QUY TNG TH
1
Y1

Y2
2

at Y
,
,
...
...

Yn
k
1

X
...

X21 X31 ... X k1

u1

X22 X32 ... X k 2
u2

, u
...
...
... ... ...

X2 n X3n ... X kn
un
Dang ma tran cua phng trnh (1.2):

Y X u

1. M HNH HI QUY
1.2 M HNH HI QUY MU

Yi 1 2 X 2i 3 X 3i ... k X ki
Y X X ... X e
i

ei Yi Yi

2i

3i

goi la phan d

ki

1. M HNH HI QUY
1.2 M HNH HI QUY MU
Neu ta co n quan sat, moi quan sat gom

k gia tr (Yi , X2i , X3i ,..., Xki ),(i 1,...n). Ta at:

1
Y1

Y 2 , 2 , X
...
...


Y

n
k

1 X 21 X 31

1
X
X
22
32

... ... ...

1 X 2 n X 3n

X
Y X e

Dng ma trn ca phng trnh: Y

Dng ma trn ca m hnh:

... X k1
e1

... X k 2
e
2

,e
...
... ...

... X kn
en

2. PHNG PHP BNH PHNG

NH NHT ( OLS )
2.1. Ni dung phng php bnh
phng nh nht
Ta c m hnh hi quy mu l

Y X e
Ta cn tm Yi sao cho n gn vi gi tr

thc Yi nht, tc l phn d ei Yi Yi

cng nh cng tt

Tm Yi sao cho
n

Yi Yi
i 1

2
e
i min
i 1

Yi 1 2 X 2i ... k X ki
i 1

j min

min

1 , 2 ,..., k l nghim ca h sau:

0
j

j 1, 2,..., k

min

j 1,..., k

Ngha l cn tm 1 , 2 ,..., k sao cho

'

Theo dng ma trn, ta c:

e Y Y Y X

e1

n
e2
2

ei e1 e2 ... en .
...
i 1

en
eT e

Y X

Y X
T

10

Nh li tnh cht ma trn:

A B A B
T
T T
A.B B A
T

Y X
T T
T

Y X Y X

Y X

Y Y Y X X Y X T X
T

11

Nhn xt:

1n X nk k1

YT X YT

11

X Y
XT
Y n1

kn

1k
11
T

M: Y X
T

X TY
T

Y X X TY
T

Y Y 2 X Y X T X
T

12

 min
' 0
2 X Y 2 X X 0
T

X Y X X
T

X X
T

X Y
1

V Y=AX X=A-1 Y

13

2.2. Cc tnh cht ca hm hi quy mu

(SRF) tm c bng phng php OLS
Cc c lng ca hi quy a bin c y
cc tnh cht ca c lng hi quy
n bin

14

3. O LNG MC PH HP CA
C LNG THEO OLS
3.1. H s xc nh

Yi Yi ei
Yi Y Yi Y ei
n

Yi Y
i 1

Tng dao
ng ca Y
so vi gi tr
trung bnh

Yi Y
i 1

Dao ng
c gii
thch bi m
hnh

ei 2
i 1

Dao ng
cha c
gii thch bi
m hnh
sai s

TSS ESS RSS

TSS= Total sum of square

ESS Yi Y

X
2

1i

X 2i ... X ki X

= Explained sum of square

n

RSS ei = Residual sum of square

2

i 1

ESS
RSS
1
t R
TSS
TSS
2

0 R 1
2

Nhn xt:

ESS
RSS
R
1
TSS
TSS
2

Khi thm bin vo m hnh th k tng.

TSS khng ph thuc k nn khng i,
ESS ph thuc k nn tng RSS gim R2 tng
Vy c thm bin vo m hnh th R2 tng, do
khng th dng R2 xem xt vic c nn a thm
bin vo m hnh khng.

3.2. H s xc nh hiu chnh

RSS / n k
n 1
2
t R 1
1
1 R

TSS / n 1
nk
2

Nhn xt:

Khi thm bin gii thch vo m hnh th k tng

TSS v (n 1) khng b nh hng bi k
(n k) gim
Khi thm bin c ngha vo m hnh th RSS (sai s)
gim
Khi thm bin khng c ngha vo m hnh th RSS
(sai s) khng gim hoc gim t

 Vy khi thm bin vo m hnh, nu bin ny c

ngha th R 2 tng, ngc li, R 2 khng tng. Do ta
2

ch thm bin vo m hnh khi no R cn tng

R 2 R2 , R 2 tang cham hn R2

Nu

R2

nh, R c th mang gi tr m

 ngha thc hnh ca h s xc nh hiu chnh

Khi ta thm cng nhiu bin vo m hnh th R2 tng
ta s a qu nhiu bin vo m hnh ( k c cc bin
khng cn thit ).

trnh hin tng ny, ta dng h s xc nh hiu

2
chnh, v khi thm bin vo m hnh, R c th tng hoc
khng tng.
2

Vy R c dng xc nh xem c nn thm 1

bin mi vo m hnh hay khng.
( Vi cng 1 b s liu, khi thm 1 bin mi vo m
2
hnh th m hnh no c h s R ln hn c xem l
tt hn )

4. BN CHT THNG K CA M HNH

HI QUY A BIN
Tng

t hi quy n bin, ta c:
n

k k CkiU i
i 1

k ph thuc vo yu t ngu nhin Ui , nn

k cng l 1 yu t ngu nhin

4.1. GI NH CA CC YU T NGU NHIN

nh l Gauss-Markov
Vi cc gi thit sau y th cc
c lng tm c bng PP
OLS s l cc c lng tuyn
tnh, khng chch, c phng
sai nh nht.

Gi thit A1: E Ui 0 i
Gi thit A2: Var Ui

N 0,

Gi thit A3: Ui

iid

Gi thit A4: E( Yi/ Xi )= Xi i

Gi thit A5: ( X2 , X3 ,..., Xk ) c lp
tuyn tnh

4.2 C TRNG THNG K CA C

LNG OLS

E k k
n

Ta c : k k CkiU i

E k

i 1
n

E k CkiU i E k E CkiU i
i 1

i 1

k Cki E U i k
i 1

0(A1)

Var k
Skk

Var k Var k E k Var k k

2
Var CkiU i Cki Var U i
i 1
i 1
n

Cki A

i 1

S kk

A3

N k ,

Skk

5. C LNG V KIM NH GI THIT CC

H S HI QUY

5.1. KHONG TIN CY

Ta c: i

i i

Se i

N i , Var i i 1,..., k

T n k
/2

1 -

- t(n-k) /2

/2

t(n-k)/2

 ( nk )

( nk )

i
i
1
P t

t
/2
/2
Se i

( nk )
( nk )

P i t
Se i i i t
Se i 1
/2
/2

/2

1 -

- t(n-k) /2

/2

t(n-k)/2

vay :

( nk )

i i t
Se i vi do tin cay 1
/2

/2

1 -

- t(n-k) /2

/2

t(n-k)/2

5.2. KIM NH GI THUYT

*

i i
t
se

tn k

( nk )
( nk )

P t
t t
1

/2
/2

/2

1 -

- t(n-k) /2

: mc ngha

/2

t(n-k)/2

Kim nh hai
bn

Kim nh bn
tri

H 0 : i i*

*
H1 : i i

H 0 : i i*

*
H1 : i i

Kim nh bn
phi
H 0 : i i*

*
H1 : i i

i i
t
se

/2

1 -

- t/2(n-k)

1 -

/2
t/2(n-k)

- t(n-k)

1 -

t(n-k)31

Kim nh hai
bn

Kim nh bn
tri

H 0 : i i*

*
H1 : i i

H 0 : i i*

*
H1 : i i

Kim nh bn
phi
H 0 : i i*

*
H1 : i i

i i
t
se

Bc b Ho khi:
|t0|>t/2(n-k)

Bc b Ho khi:
t0 < -t(n-k)

Bc b Ho khi:
t0 > t(n-k)
32

P-VALUE

P-value = P(| t(n-k) | |t|)

P-value

t0

t (n-k)

33

P-VALUE

P-value = P(| t(n-k) | |t|)

P-value/2

P-value/2

/2

/2
- t/2

-t

t/2
34

Quy lut dng P-value:

P-value < Bc b Ho
P-value Chp nhn Ho

5.3. KIM NH S PH HP CA HM HI QUY

ESS/ k 1
F
RSS / n k

F (k 1, n k )

H 0 :R 2 0
Kim nh gi thit
2
H1:R 0
2
R n k
B1: Tnh F
2
1 R k 1
Tra bang tm F k 1, n k (phu luc 4)

B2: Kt lun: Bc b H0 nu F F k 1, n k

5.4. KIM NH HI QUY C IU KIN

( KIM NH GI THIT NG THI)
Yi X X ... X ui (U )
1
2 2i
3 3i
k ki
Nu b i m bin th m hnh (U) tr thnh:

Yi X X ...
X
ui ( R)
1
2 2i
3 3i
k m (k m)i
Vy m hnh (R) chnh l m hnh (U) vi iu kin

k k 1 ... k m1 0

Vic la chn m hnh no, (U) hay (R), chnh l thc

hin kim nh

H 0 : k k 1 ... k m1 0

H1 : i 0

Nu Ho sai, ngha l m bin gii thch ny tht s c

nh hng n Y th RSSU < RSSR
Vy nu ( RSSR RSSU ) ln th ta s bc b Ho
Phng php kim nh:

RSSR RSSU / m

F
F (m, n k )
RSSU / n k
F

2
U

/ m

1 R / n k
2
U

F (m, n k )

Nu F > F(m,n-k) th bc b Ho