Phng sai thay i

(Heteroscedasticity)
inh Cng Khi
Thng 04/2016

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Ni dung

1.

Phng sai thay i l g?

2.

Hu qu ca phng sai thay i?

3.

Lm sao pht hin?

4.

Cc bin php khc phc?

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng sai thay i l g?

Yi = 0 + 1 X1i + 2 X2i ++ k Xki + ui
Gi thit phng sai bng nhau ca m hnh CLRM

Var(YiXi) = Var(uiXi)= E(u2i) = 2

(i=1-n)

Phng sai thay i

Var(YiXi) = Var(uiXi)= E(u2i) = 2i

GV. inh Cng Khi - FETP- Kinh t lng ng dng

(i=1-n)

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng sai thay i l g (tt)

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng sai bng nhau

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng sai thay i

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Nguyn nhn ca phng sai thay i l g?

M hnh hc tp sai lm.
K thut thu thp s liu.
Do cc yu t tch bit (outliers).
Mt s bin X quan trng b loi b trong m hnh.

Phng sai thay i thng xut hin trong cc s liu cho.

GV. inh Cng Khi - FETP- Kinh t lng ng dng

c lng ca OLS khi c phng sai thay i

Yi = 1 + 2 Xi + ui
2 c phi l c lng tuyn tnh khng thin lch tt nht?

2 l c lng tuyn tnh khng chch nhng n khng phi tt

nht (ngha l phng sai ca n khng phi l nh nht).

GV. inh Cng Khi - FETP- Kinh t lng ng dng

c lng ca OLS khi c phng sai thay i

Trong trng hp phng sai bng nhau

var( 2 )

2
xi2

Trong trng hp phng sai thay i

2 2

x
i i

var( 2 )
(xi2 ) 2

10

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Hu qu s dng OLS khi c phng sai thay i

Khi c phng sai thay i nu vn s dng OLS th nhng

kt lun hay s suy din t qu trnh kim nh thng

thng c th dn n s sai lm.
Do
t OLS

11

OLS
GLS *
var(2 ) var(2
)
GLS *

2OLS

GLS
2

se( 2OLS )
se( 2GLS * )
2

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng php GLS (Generalized Least Square)

Gi s chng ta c PRF
Yi = 1 + 2Xi + ui
Yi = 1X0i + 2Xi + ui
X 0i
X i ui
Yi
1 2
i
i
i i

Yi * 1* X 0*i 2* X i* ui*

12

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng php GLS

13

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Phng php GLS

Yi = 1 + 2Xi + ui

Cho 1 = 1, 2 = 1, v ui ~ N(0, Xi) tnh Yi (PP Monte Carlo)

14

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Lm th no pht hin phng sai thay i?

Phng php th
Xem mi quan h gia 2i v Yi
Do khng quan st c 2i nn chng ta c th nghin cu

ui2
2

u
i c tnh t vic hi quy m hnh c lng vi gi thit

khng c phng sai thay i v quan st xem chng c mu

hnh h thng khng?

15

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Cc mu hnh gi thit ca phn d bnh phng c lng

16

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Cc mu hnh gi thit ca phn d bnh phng c lng

17

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Kim nh phng sai thay i

Phng php chnh thc
1) Kim nh Breusch-Pagan-Godfrey

Gi thit
Yi 1 2 X 2i ... k X ki ui

i2 1 2 Z 2i ... m Z mi vi
H0: 2= 3 == m=0 2i= 1 (phng sai bng

nhau)
18

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Kim nh phng sai thay i (tt)

2) Kim nh Glejser

19

Gi thit:
i 1
u
i 1
u

2 X i vi
2

X i vi
1
vi
Xi

i
u

i
u

i
u

2 X i vi

i
u

2 X i2 vi

1
Xi

vi

H0: 2= 0 2i= 1 (phng sai bng nhau)

GV. inh Cng Khi - FETP- Kinh t lng ng dng

3) Kim nh Harvey-Godfrey
Gi thit

Yi 1 2 X 2i 3 X 3i ui
ln( i2 ) 1 2 Z 2i .... m Z mi vi
H0: 2= 3 == m=0 ln(2i) = 1 (phng sai bng nhau)

20

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Kim nh phng sai thay i

4) Kim nh Park

Gi thit:

Xi e
2
i

vi

ln ln ln X i vi
2
i

ln ui2 0 1 ln X i vi

21

GV. inh Cng Khi - FETP- Kinh t lng ng dng

 Cc bc kim nh

i) c lng bng OLS, tnh

ii) Thc hin hi quy ph

ui2 1 2 Z 2 i ..... m Z mi vi
| ui | 1 2 Z 2 i ..... m Z mi vi
ln(ui2 ) 1 2 Z 2 i ..... m Z mi vi
iii) Vi H0: khng c phng sai thay i

LM nRhqp ~ asy 2df vi bc t do bng vi s bin c lp

2

Nu nR2 vt gi tr Chi-bnh phng ti hn vi mc ngha

chn (vd l 5%) hay p-value < 5%, ta bc b H0
22

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Lm th no pht hin phng sai thay i (tt)

5) Kim nh Goldfeld-Quandt

Gi thit: H0: Khng c phng sai thay i

Yi 1 2 X i ui

i2 2 X i2

Cc bc kim nh

i.

Sp th t t thp n cao cc quan st theo cc gi tr Xi

ii.

Loi b c quan st gia, v chia (n-c) quan st cn li thnh

2 nhm bng nhau

23

GV. inh Cng Khi - FETP- Kinh t lng ng dng

iii) Thit lp hi quy OLS cho 2 nhm, tnh RSS1 v RSS2

tng ng vi bc t do
[(n-c)/2] k

hoc

(n-c-2k)/2

iv) Tnh t l

RSS 2 / df

RSS1 / df
Nu ui c phn phi chun v phng sai bng nhau th tun
theo phn phi F vi bc t do t s v mu s [(n-c)/2] k hay
(n-c-2k)/2
24

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Nu >Fti hn ti mc ngha chn trc th bc b gi

thit phng sai khng thay i (tc l, tn ti kh nng c

phng sai thay i)
Ch : Nng lc kim nh ty thuc vo vic chn c.

C mu n=30 c=8 (4 theo Judge et al)

C mu n=60 c=16 (10 theo Judge et al)

25

GV. inh Cng Khi - FETP- Kinh t lng ng dng

6) Kim nh White
Gi thit (cc bin c lp ng thi gy ra phng sai thay i)

Yi 1 2 X 2i 3 X 3i ui

i2 1 2 X 2i 3 X 3i 4 X 22i 5 X 32i 6 X 2i X 3i vi
H0: 2= 3 == m=0 2i= 1 (phng sai bng nhau)

Cc bc kim nh
i.

26

c lng bng OLS, tnh

GV. inh Cng Khi - FETP- Kinh t lng ng dng

ii) Thc hin hi quy ph

ui2 1 2 X 2i 3 X 3i 4 X 22i 5 X 32i 6 X 2i X 31 vi

iii) Vi H0 ta c

nRhqp ~ asy 2df

2

vi bc t do bng vi s bin c lp (vd: df=5)

Nu nR2 vt gi tr Chi-bnh phng ti hn vi mc ngha

chn hoc p-value < 5%, ta bc b H0 v kt lun rng c
phng sai thay i.

27

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Cc bin php khc phc

1)

Nu 2i bit trc:
M hnh ban u

Yi 1 2 X i ui
Dng PP bnh phng ti thiu c trng s (WLS)

Yi
Xi
ui
1
1 ( ) 2 ( ) ( )
i
i
i
i
E(
28

ui

)
2

E (u )
2
i

i 1
2

GV. inh Cng Khi - FETP- Kinh t lng ng dng

2) Nu 2i cha bit
Gi thit 1: E (ui2 ) 2 X i2

29

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Bin i m hnh gc

Yi
ui
1

2
Xi
Xi
Xi
ui 2
1
2
2
E( )
E
(
u
)

i
2
Xi
Xi
Mun tr li m hnh ban u phi nhn phng trnh u
cho Xi

30

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Gi thit 2:

31

E (ui2 ) 2 X i

GV. inh Cng Khi - FETP- Kinh t lng ng dng

Bin i m hnh gc

Yi
1
ui

2 X i
Xi
Xi
Xi
ui 2
1
E(
)
E (ui2 ) 2
Xi
Xi
Mun tr li m hnh ban u phi nhn phng trnh u cho
(Xi)1/2

32

GV. inh Cng Khi - FETP- Kinh t lng ng dng

 Gi thit 3:

E (ui2 ) 2 [ E (Yi )]2

Bin i m hnh gc

Yi
Xi
ui
1

E (Yi ) E (Yi )
E (Yi ) E (Yi )
E (Yi ) Yi 1 2 X i
ui 2
1
2
2
E(
)
E
(
u
)

i
E (Yi )
E (Yi ) 2
Mun tr li m hnh ban u phi nhn phng trnh u cho
E(Yi)
33

GV. inh Cng Khi - FETP- Kinh t lng ng dng

 Gi thit 4:
S dng

ln Yi 1 2 ln X i ui
thay v
Yi 1 2 ln X i ui
Cc bin php khc phc HET theo cc kim nh trn

(xem Ramanathan, Chng 8, trang 360-362).

34

GV. inh Cng Khi - FETP- Kinh t lng ng dng