Kinh T Lng

Bin tp bi:
Phm Tr Cao
Kinh T Lng

Bin tp bi:
Phm Tr Cao

Cc tc gi:
Phm Tr Cao

Phin bn trc tuyn:

http://voer.edu.vn/c/2d2e6a46
MC LC

1. Gii Thiu_kinh t lng

2. Xc Sut
3. Thng k m t
4. Thng k suy din
5. Thng k suy din 2
6. Khi nim v hi quy
7. Hm hi quy tng th v hi quy mu
8. c lng cc h s ca m hnh hi quy theo phng php bnh phng ti thiu
9. Khong tin cy v kim nh gi thit v cc h s hi quy
10. ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng
11. Xy dng m hnh hi quy tuyn tnh bi
12. Bin phn loi
13. Gii thiu mt s vn lin quan n m hnh hi quy
14. D bo vi m hnh hi quy
15. Cc thnh phn ca d liu chui thi gian
16. D bo theo ng xu hng di hn
17. Mt s tiu chun k thut d bo n gin
18. Gii thiu m hnh ARIMA
19. Ti liu tham kho
20. Bi tp kinh t lng
21. Kinh t lng m hinh hi quy tuyn tnh bi
Tham gia ng gp

1/151
Gii Thiu_kinh t lng
GII THIU

Kinh t lng l g?

Thut ng ting Anh Econometrics c ngha l o lng kinh t

1. A.Koutsoyiannis, Theory of Econometrics-Second Edition, ELBS with

Macmillan-1996, trang 3

. Tht ra phm vi ca kinh t lng rng hn o lng kinh t. Chng ta s thy iu

qua mt nh ngha v kinh t lng nh sau:

Khng ging nh thng k kinh t c ni dung chnh l s liu thng k, kinh t lng
l mt mn c lp vi s kt hp ca l thuyt kinh t, cng c ton hc v phng
php lun thng k. Ni rng hn, kinh t lng lin quan n: (1) c lng cc quan
h kinh t, (2) Kim chng l thuyt kinh t bng d liu thc t v kim nh gi thit
ca kinh t hc v hnh vi, v (3) D bo hnh vi ca bin s kinh t.

1. Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt

College Publishers-2002, trang 2.

Sau y l mt s v d v ng dng kinh t lng.

c lng quan h kinh t

o lng mc tc ng ca vic h li sut ln tng trng kinh t.

c lng nhu cu ca mt mt hng c th, v d nhu cu xe hi ti th trng Vit

Nam.

Phn tch tc ng ca qung co v khuyn mi ln doanh s ca mt cng ty.

Kim nh gi thit

Kim nh gi thit v tc ng ca chng trnh khuyn nng lm tng nng sut la.

Kim chng nhn nh co dn theo gi ca cu v c basa dng fillet th trng ni

a.

C s phn bit i x v mc lng gia nam v n hay khng?

2/151
D bo

Doanh nghip d bo doanh thu, chi ph sn xut, li nhun, nhu cu tn kho

Chnh ph d bo mc thm ht ngn sch, thm ht thng mi, lm pht

D bo ch s VN Index hoc gi mt loi c phiu c th nh REE.

Phng php lun ca kinh t lng

Theo phng php lun truyn thng, cn gi l phng php lun c in, mt nghin
cu s dng kinh t lng bao gm cc bc nh sau

Theo Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt

College Publishers-2002
:

Pht biu l thuyt hoc gi thit.

Xc nh c trng ca m hnh ton kinh t cho l thuyt hoc gi thit.

Xc nh c trng ca m hnh kinh t lng cho l thuyt hoc gi thit.

Thu thp d liu.

c lng tham s ca m hnh kinh t lng.

Kim nh gi thit.

Din gii kt qu

D bo v s dng m hnh quyt nh chnh sch

3/151
Hnh 1.1 Phng php lun ca kinh t lng

V d 1: Cc bc tin hnh nghin cu mt vn kinh t s dng kinh t lng vi

ti nghin cu xu hng tiu dng bin ca nn kinh t Vit Nam.

Pht biu l thuyt hoc gi thit

Keynes cho rng:

Qui lut tm l c s ... l n ng (n b) mun, nh mt qui tc v v trung bnh,

tng tiu dng ca h khi thu nhp ca h tng ln, nhng khng nhiu nh l gia tng
trong thu nhp ca h.

John Maynard Keynes, 1936, theo D.N.Gujarati, Basic Economics, 3rd , 1995, trang 3.

Vy Keynes cho rng xu hng tiu dng bin(marginal propensity to consume-MPC),

tc tiu dng tng ln khi thu nhp tng 1 n v tin t ln hn 0 nhng nh hn 1.

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Xy dng m hnh ton cho l thuyt hoc gi thit

Dng hm n gin nht th hin tng ca Keynes l dng hm tuyn tnh.

Trong : 0 < 2 < 1.

Biu din di dng th ca dng hm ny nh sau:

1 : Tung gc

2: dc

TD : Bin ph thuc hay bin c gii thch

GNP: Bin c lp hay bin gii thch

Hnh 1. 2. Hm tiu dng theo thu nhp.

Xy dng m hnh kinh t lng

M hnh ton vi dng hm (1.1) th hin mi quan h tt nh(deterministic

relationship) gia tiu dng v thu nhp trong khi quan h ca cc bin s kinh t thng
mang tnh khng chnh xc. biu din mi quan h khng chnh xc gia tiu dng
v thu nhp chng ta a vo thnh phn sai s:

5/151
Trong l sai s, l mt bin ngu nhin i din cho cc nhn t khc cng tc
ng ln tiu dng m cha c a vo m hnh.

Phng trnh (1.2) l mt m hnh kinh t lng. M hnh trn c gi l m hnh hi

quy tuyn tnh. Hi quy tuyn tnh l ni dung chnh ca hc phn ny.

Thu thp s liu

S liu v tiu dng v thu nhp ca nn kinh t Vit Nam t 1986 n 1998 tnh theo
n v tin t hin hnh nh sau:

Bng 1.1. S liu v tng tiu dng v GNP ca Vit Nam

Ngun : World Development Indicator CD-ROM 2000, WorldBank.

6/151
TD: Tng tiu dng ca nn kinh t Vit Nam, ng hin hnh.

GNP: Thu nhp quc ni ca Vit Nam, ng hin hnh.

Do trong thi k kho st c lm pht rt cao nn chng ta cn chuyn dng s liu v

tiu dng v thu nhp thc vi nm gc l 1989.

Bng 1.2. Tiu dng v thu nhp ca Vit Nam, gi c nh 1989

c lng m hnh (c lng cc h s ca m hnh)

S dng phng php tng bnh phng ti thiu thng thng (Ordinary Least
Squares)

7/151
S c gii thiu trong chng 2.
chng ta thu c kt qu hi quy nh sau:

TD = 6.375.007.667 + 0,680GNP

t [4,77][19,23]

R2 = 0,97

c lng cho h s 1 l ^1=6.375.007.667

c lng cho h s 2 l ^2=0,68

Xu hng tiu dng bin ca nn kinh t Vit Nam l MPC = 0,68.

Kim nh gi thit thng k

Tr s xu hng tiu dng bin c tnh ton l MPC = 0,68 ng theo pht biu ca
Keynes. Tuy nhin chng ta cn xc nh MPC tnh ton nh trn c ln hn 0 v nh
hn 1 vi ngha thng k hay khng. Php kim nh ny cng c trnh by trong
chng 2.

Din gii kt qu

Da theo ngha kinh t ca MPC chng ta din gii kt qu hi quy nh sau:

Tiu dng tng 0,68 ngn t ng nu GNP tng 1 ngn t ng.

S dng kt qu hi quy

Da vo kt qu hi quy chng ta c th d bo hoc phn tch tc ng ca chnh sch.

V d nu d bo c GNP ca Vit Nam nm 2004 th chng ta c th d bo tiu
dng ca Vit Nam trong nm 2004. Ngoi ra khi bit MPC chng ta c th c lng
s nhn ca nn kinh t theo l thuyt kinh t v m nh sau:

M = 1/(1-MPC) = 1/(1-0,68) = 3,125

Vy kt qu hi quy ny hu ch cho phn tch chnh sch u t, chnh sch kch cu

Nhng cu hi t ra cho mt nh kinh t lng

M hnh c ngha kinh t khng?

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D liu c ng tin cy khng?

Phng php c lng c ph hp khng?

Kt qu thu c so vi kt qu t m hnh khc hay phng php khc nh th no?

D liu cho nghin cu kinh t lng

C ba dng d liu kinh t c bn: d liu cho, d liu chui thi gian v d liu bng.

D liu cho bao gm quan st cho nhiu n v kinh t mt thi im cho trc. Cc
n v kinh t bao gm cc cc nhn, cc h gia nh, cc cng ty, cc tnh thnh, cc
quc gia

D liu chui thi gian bao gm cc quan st trn mt n v kinh t cho trc ti nhiu
thi im. V d ta quan st doanh thu, chi ph qung co, mc lng nhn vin, tc
i mi cng ngh mt cng ty trong khong thi gian 1990 n 2002.

D liu bng l s kt hp gia d liu cho v d liu chui thi gian. V d vi cng
b bin s v cng ty nh v d trn, chng ta thu thp s liu ca nhiu cng ty trong
cng mt khong thi gian.

Bin ri rc hay lin tc

Bin ri rc l mt bin c tp hp cc kt qu c th m c.V d bin Quy m h

gia nh v d mc 1.2 l mt bin ri rc.

Bin lin tc l bin nhn kt qu mt s v hn cc kt qu. V d lng lng ma

trong mt nm mt a im.

D liu c th thu thp t mt th nghim c kim sot, ni cch khc chng ta c th

thay i mt bin s trong iu kin cc bin s khc gi khng i. y chnh l cch
b tr th nghim trong nng hc, y khoa v mt s ngnh khoa hc t nhin.

i vi kinh t hc ni ring v khoa hc x hi ni chung, chng ta rt kh b tr th

nghim c kim sot, v s thc dng nh tt c mi th u thay i nn chng ta ch
c th quan st hay iu tra thu thp d liu.

Vai tr ca my vi tnh v phm mm chuyn dng

V kinh t lng lin quan n vic x l mt khi lng s liu rt ln nn chng ta

cn dn s tr gip ca my vi tnh v mt chng trnh h tr tnh ton kinh t lng.
Hin nay c rt nhiu phn mm chuyn dng cho kinh t lng hoc h tr x l kinh
t lng.

9/151
Excel

Ni chung cc phn mm bng tnh(spreadsheet) u c mt s chc nng tnh ton kinh

t lng. Phn mm bng tnh thng dng nht hin nay l Excel nm trong b Office
ca hng Microsoft. Do tnh thng dng ca Excel nn mc d c mt s hn ch trong
vic ng dng tnh ton kinh t lng, gio trnh ny c s dng Excel trong tnh ton
v d minh ho v hng dn gii bi tp.

Phn mm chuyn dng cho kinh t lng

Hng n vic ng dng cc m hnh kinh t lng v cc kim nh gi thit mt cch

nhanh chng v hiu qu chng ta phi quen thuc vi t nht mt phn mm chuyn
dng cho kinh t lng. Hin nay c rt nhiu phn mm kinh t lng nh:

Phn mmCng ty pht trin

AREMOS/PC Wharton Econometric Forcasting Associate

BASSTALBASS Institute Inc

BMDP/PCBMDP Statistics Software Inc

DATA-FITOxford Electronic Publishing

ECONOMIST WORKSTATIONData Resources, MC Graw-Hill

ESPEconomic Software Package

ETNew York University

EVIEWSQuantitative Micro Software

GAUSSAptech System Inc

LIMDEPNew York University

MATLABMathWorks Inc

PC-TSPTSP International

P-STATP-Stat Inc

SAS/STATVAR Econometrics

10/151
SCA SYSTEMSAS Institute Inc

SHAZAMUniversity of British Columbia

SORITECThe Soritec Group Inc

SPSSSPSS Inc

STATPROPenton Sofware Inc

Trong s ny c hai phn mm c s dng tng i ph bin cc trng i hc

v vin nghin cu Vit Nam l SPSS v EVIEWS. SPSS rt ph hp cho nghin cu
thng k v cng tng i thun tin cho tnh ton kinh t lng trong khi EVIEWS
c thit k chuyn cho phn tch kinh t lng.

11/151
Xc Sut
Xc sut bin ngu nhin nhn c mt gi tr c th

Chng ta thng quan tm n xc sut bin ngu nhin nhn c mt gi tr xc nh.

V d khi ta sp tung mt sc sc v ta mun bit xc sut xut hin Xi = 4 l bao nhiu.

Do con sc sc c 6 mt v nu khng c gian ln th kh nng xut hin ca mi mt

u nh nhau nn chng ta c th suy ra ngay xc sut X= 4 l: P(X=4) = 1/6.

Nguyn tc l do khng y (the principle of insufficient reason): Nu c K kt qu

c kh nng xy ra nh nhau th xc sut xy ra mt kt qu l 1/K.

Khng gian mu: Mt khng gian mu l mt tp hp tt c cc kh nng xy ra ca

mt php th, k hiu cho khng gian mu l S. Mi kh nng xy ra l mt im mu.

Bin c : Bin c l mt tp con ca khng gian mu.

V d 2.3. Gi Z l tng s im php th tung hai con sc sc.

Khng gian mu l S = {2;3;4;5;6;7;8;9;10;11;12}

A = {7;11}Tng s im l 7 hoc 11

B = {2;3;12}Tng s im l 2 hoc 3 hoc 12

C = {4;5;6;8;9;10}

D = {4;5;6;7}

L cc bin c.

Hp ca cc bin c

E = A hoc B = A B = {2;3;7;11;12}

Giao ca cc bin c:

F = C v D = C D = {4;5;6}

Cc tnh cht ca xc sut

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P(S) =1

Tn sut

Kho st bin X l s im khi tung sc sc. Gi s chng ta tung n ln th s ln xut

hin gi tr xi l ni. Tn sut xut hin kt qu xi l

Nu s php th ln th tn sut xut hin xi tin n xc sut xut hin xi.

nh ngha xc sut

Xc sut bin X nhn gi tr xi l

Hm mt xc sut (phn phi xc sut)

Hm mt xc sut-Bin ngu nhin ri rc

X nhn cc gi tr xi ring r x1, x2,, xn. Hm s

f(x) = P(X=xi) , vi i = 1;2;..;n

= 0 , vi x xi

c gi l hm mt xc sut ri rc ca X. P(X=xi) l xc sut bin X nhn gi tr

xi.

Xt bin ngu nhin X l s im ca php th tung mt con sc sc. Hm mt xc

sut c biu din dng bng nh sau.

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Bng 2.1. Mt xc sut ca bin ngu nhin ri rc X

Xt bin Z l tng s im ca php th tung 2 con sc sc. Hm mt xc sut c

biu din di dng bng nh sau.

Bng 2.2. Mt xc sut ca bin ngu nhin ri rc Z

Hnh 2.1. Biu tn sut ca bin ngu nhin Z.

Hm mt xc sut(pdf)-Bin ngu nhin lin tc.

V d 2.4. Chng ta xt bin R l con s xut hin khi bm nt Rand trn my tnh cm
tay dng tiu biu nh Casio fx-500. R l mt bin ngu nhin lin tc nhn gi tr bt
k t 0 n 1. Cc nh sn xut my tnh cam kt rng kh nng xy ra mt gi tr c th
l nh nhau. Chng ta c mt dng phn phi xc sut c mt xc sut u.

Hm mt xc sut u c nh ngha nh sau:f(r) =

Vi L : Gi tr thp nht ca phn phi

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U: Gi tr cao nht ca phn phi

Hnh 2.2. Hm mt xc sut u R.

Xc sut R ri vo khong (a; b) l P(a <r<b) =

C th xc sut R nhn gi tr trong khong (0,2; 0,4) l:

P(0,2 < r < 0,4) =

, y chnh l din tch c gch cho trn hnh 2.1.

Tng qut, hm mt xc sut ca mt bin ngu nhin lin tc c tnh cht nh sau:

f(x) 0

P(a<X<b) = Din tch nm di ng pdf

P(a<X<b) =

15/151
Hm ng mt xc sut -Bin ngu nhin ri rc

V d 2.5. Xt hai bin ngu nhin ri rc X v Y c xc sut ng xy ra X = xi v Y =

yi nh sau.

Bng 2.3. Phn phi ng mt xc xut ca X v Y.

nh ngha :Gi X v Y l hai bin ngu nhin ri rc. Hm s

f(x,y) = P(X=x v Y=y)

= 0 khi X x v Y y

c gi l hm ng mt xc sut, n cho ta xc xut ng thi xy ra X=x v Y=y.

Hm mt xc sut bin

f(x) = y f(x,y) hm mt xc sut bin ca X

f(y) = x f(x,y) hm mt xc sut bin ca Y

V d 2.6. Ta tnh hm mt xc sut bin i vi s liu cho v d 2.5.

f(x=2) = y f(x = 2,y)=0,3 + 0,3 = 0,5

f(x=3) = y f(x = 3,y)=0,1 + 0,4 = 0,5

16/151
f(y=1) = x f(x,y = 1)=0,2 + 0,4 = 0,6

f(y=2) = x f(x,y = 2)=0,3 +0,1 = 0,4

Xc sut c iu kin

Hm s

f(x | y) = P(X=x | Y=y) , xc sut X nhn gi tr x vi iu kin Y nhn gi tr y,

c gi l xc sut c iu kin ca X.

Hm s

f(y | x) = P(Y=y | X=x) , xc sut Y nhn gi tr y vi iu kin X nhn gi tr x,

c gi l xc sut c iu kin ca Y.

Xc sut c iu kin c tnh nh sau

, hm mt xc sut c iu kin ca X

, hm mt xc sut c iu kin ca Y

Nh vy hm mt xc sut c iu kin ca mt bin c th tnh c t hm ng

mt xc sut v hm mt xc sut bin ca bin kia.

V d 2.7. Tip tc v d 2.5 v v d 2.6.

c lp v thng k

Hai bin ngu nhin X v Y c lp v thng k khi v ch khi

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f(x,y)=f(x)f(y)

tc l hm ng mt xc sut bng tch ca cc hm mt xc sut bin.

Hm ng mt xc sut cho bin ngu nhin lin tc

Hm ng mt xc sut ca bin ngu nhin lin tc X v Y l f(x,y) tha mn

f(x,y) 0

Hm mt xc sut bin c tnh nh sau

, hm mt xc sut bin ca X

, hm mt xc sut bin ca Y

Mt s c trng ca phn phi xc sut

Gi tr k vng hay gi tr trung bnh

Gi tr k vng ca mt bin ngu nhin ri rc

Gi tr k vng ca mt bin ngu nhin lin tc

V d 2.8. Tnh gi tr k vng bin X l s im ca php th tung 1 con sc sc

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Mt s tnh cht ca gi tr k vng

E(a) = avi a l hng s

E(a+bX) = a + bE(X)vi a v b l hng s

Nu X v Y l c lp thng k th E(XY) = E(X)E(Y)

Nu X l mt bin ngu nhin c hm mt xc sut f(x) th

, nu X ri rc

, nu X lin tc

Ngi ta thng k hiu k vng l : = E(X)

Phng sai

X l mt bin ngu nhin v = E(X). phn tn ca d liu xung quanh gi tr trung

bnh c th hin bng phng sai theo nh ngha nh sau:

var(X) = 2X = E(X )2

lch chun ca X l cn bc hai dng ca 2X, k hiu l X.

Ta c th tnh phng sai theo nh ngha nh sau

, nu X l bin ngu nhin ri rc

, nu X l bin ngu nhin lin tc

19/151
Trong tnh ton chng ta s dng cng thc sau

var(X)=E(X2)-[E(X)]2

V d 2.9. Tip tc v d 2.8. Tnh var(X)

Ta c E(X) = 3,5

Tnh E(X2) bng cch p dng tnh cht (4).

E(X2) =

15,17

var(X)=E(X2)-[E(X)]2 = 15,17 3,52 = 2,92

Cc tnh cht ca phng sai

E(X- )2 =E(X2 )2 - 2

var(a) = 0 vi a l hng s

var(a+bX) = b2var(X)vi a v b l hng s

Nu X v Y l cc bin ngu nhin c lp th

var(X+Y) = var(X) + var(Y)

var(X-Y) = var(X) + var(Y)

Nu X v Y l cc bin c lp, a v b l hng s th

var(aX+bY) = a2var(X) + b2var(Y)

Hip phng sai

X v Y l hai bin ngu nhin vi k vng tng ng l x v y. Hip phng sai ca

hai bin l

cov(X,Y) = E[(X- x)(Y- y)] = E(XY) - xy

20/151
Chng ta c th tnh ton trc tip hip phng sai nh sau

i vi bin ngu nhin ri rc

cov(X,Y)

i vi bin ngu nhin lin tc

Tnh cht ca hip phng sai

Nu X v Y c lp thng k th hip phng sai ca chng bng 0.

cov(X,Y) = E(XY) xy

= xy xy

=0

cov(a+bX,c+dY)=bdcov(X,Y)vi a,b,c,d l cc hng s

Nhc im ca hip phng sai l n ph thuc n v o lng.

H s tng quan

khc phc nhc im ca hip phng sai l ph thuc vo n v o lng, ngi

ta s dng h s tng quan c nh ngha nh sau:

H s tng quan o lng mi quan h tuyn tnh gia hai bin. s nhn gi tr nm
gia -1 v 1. Nu =-1 th mi quan h l nghch bin hon ho, nu =1 th mi quan
h l ng bin hon ho.

21/151
T nh ngha ta c

cov(X,Y) = xy

Tnh cht ca bin tng quan

Gi X v Y l hai bin c tng quan

M men ca phn phi xc sut

Phng sai ca bin ngu nhin X l m men bc 2 ca phn phi xc sut ca X.

Tng qut m men bc k ca phn phi xc sut ca X l

E(X- )k

M men bc 3 v bc 4 ca phn phi c s dng trong hai s o hnh dng ca phn

phi xc sut l skewness( bt cn xng) v kurtosis( nhn) m chng ta s xem
xt phn sau.

Mt s phn phi xc sut quan trng

Phn phi chun

Bin ngu nhin X c k vng l , phng sai l 2. Nu X c phn phi chun th n

c k hiu nh sau

X~N(,2)

Dng hm mt xc xut ca phn phi chun nh sau

- Xp x 68%Xp x 95%

22/151
Hnh 2.3. Hm mt xc sut phn phi chun

Tnh cht ca phn phi chun

Hm mt xc sut ca i xng quanh gi tr trung bnh.

Xp x 68% din tch di ng pdf nm trong khong xp x 95% din tch nm

di ng pdf nm trong khong 2v xp x 99,7% din tch nm di ng pdf
nm trong khong 3

Nu t Z =

th ta c Z~N(0,1). Z gi l bin chun ho v N(0,1) c gi l phn phi chun ho.

23/151
nh l gi hn trung tm 1: Mt kt hp tuyn tnh cc bin c phn phi chun,, trong
mt s iu kin xc nh cng l mt phn phi chun. V d X1~N(1,21) v X2~N(2,22)
th Y =aX1+bX2 vi a v b l hng s c phn phi Y~N[(a 1+b 2),( a221 + b222)].

nh l gii hn trung tm 2: Di mt s iu kin xc nh, gi tr trung bnh mu ca

cc mt bin ngu nhin s gn nh tun theo phn phi chun.

M men ca phn phi chun

M men bc ba: E[(X- )3]=0

M men bc bn : E[(X- )4]=3 4

i vi mt phn phi chun

tri (skewness):

nhn(kurtosis):

Da vo kt qu mc (6), ngi c th kim nh xem mt bin ngu nhin c tun

theo phn phi chun hay khng bng cch kim nh xem S c gn 0 v K c gn 3 hay
khng. y l nguyn tc xy dng kim nh quy lut chun Jarque-Bera.

JB tun theo phn phi x2vi hai bc t do(df =2).

Phn phi x2

nh l : Nu X1, X2,, Xk l cc bin ngu nhin c lp c phn phi chun ho th

2k = ki = 1 X2i tun theo phn phi Chi-bnh phng vi k bc t do.

24/151
Tnh cht ca x2

Phn phi x2 l phn phi lch v bn tri, khi bc t do tng dn th phn phi x2 tin
gn n phn phi chun.

= k v 2 = 2k

2k1 + 2k2 = 2k1 + k2, hay tng ca hai bin c phn phi x2cng c phn phi x2 vi s bc
t do bng tng cc bc t do.

Phn phi Student t

nh l: Nu Z~N(0,1) v 2k l c lp thng k th

tun theo phn phi Student hay ni gn l phn phi t vi k bc t do.

Tnh cht ca phn phi t

Phn phi t cng i xng quanh 0 nh phn phi chun ho nhng thp hn. Khi bc
t do cng ln th phn phi t tim cn n phn phi chun ho. Trong thc hnh. Khi
bc t do ln hn 30 ngi ta thay phn phi t bng phn phi chun ho.

= 0 v = k/(k-2)

Phn phi F

nh l : Nu 2k1 v 2k2 l c lp thng k th

tun theo phn phi F vi (k1,k2) bc t do.

Tnh cht ca phn phi F

Phn phi F lch v bn tri, khi bc t do k1 v k2 ln, phn phi F tin n phn
phi chun.

= k2/(k2-2) vi iu kin k2>2 v

25/151
vi iu kin k2>4.

Bnh phng ca mt phn phi t vi k bc t do l mt phn phi F vi 1 v k bc t

do t2k = F(1,k)

Nu bc t do mu k2 kh ln th

Lu : Khi bc t do ln th cc phn phi x2, phn phi t v phn phi F tin n

phn phi chun. Cc phn phi ny c gi l phn phi c lin quan n phn phi
chun

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Thng k m t
M t d liu thng k(Descriptive Statistic)

C bn tnh cht m t phn phi xc sut ca mt bin ngu nhin nh sau:

Xu hng trung tm hay im gia ca phn phi.

Mc phn tn ca d liu quanh v tr im gia.

tri(skewness) ca phn phi.

nhn(kurtosis) ca phn phi.

Mi quan h thng k gia hai bin s c m t bng h s tng quan.

Xu hng trung tm ca d liu

Trung bnh tng th (gi tr k vng) x = E[X]

Trung bnh mu

Trung v ca tng th : X l mt bin ngu nhin lin tc, Md l trung v ca tng th

khi P(X<Md) = 0,5.

Trung v mu : Nu s phn t ca mu l l th trung v l s gia ca mu sp theo

th t tng dn hoc gim dn.

Nu s phn t ca mu chn th trung v l trung bnh cng ca hai s gia.

Trong kinh t lng hu nh chng ta ch quan tm n trung bnh m khng tnh ton
trn trung v.

phn tn ca d liu

Phng sai

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Phng sai ca tng th :

Phng sai mu:

hoc

lch chun

lch chun tng th :

lch chun mu :

hoc :

tri S

tri tng th :

tri mu :

28/151
i vi phn phi chun tri bng 0.

nhn K

nhn ca tng th

nhn mu

i vi phn phi chun nhn bng 3. Mt phn phi c K ln hn 3 l l nhn, nh

hn 3 l phng.

Quan h gia hai bin-H s tng quan

H s tng quan tng th

H s tng quan mu

vi

29/151
Thng k suy din
Thng k suy din - vn c lng

c lng

Chng ta tm hiu bn cht, c trng v yu cu ca c lng thng k thng qua mt

v d n gin l c lng gi tr trung bnh ca tng th.

V d 11. Gi s chng ta mun kho st chi ph cho hc tp ca hc sinh tiu hc ti

trng tiu hc Y. Chng ta mun bit trung bnh chi ph cho hc tp ca mt hc sinh
tiu hc l bao nhiu. Gi X l bin ngu nhin ng vi chi ph cho hc tp ca mt hc
sinh tiu hc (X tnh bng ngn ng/hc sinh/thng). Gi s chng ta bit phng sai
ca X l 2x =100. Trung bnh thc ca X l l mt s cha bit. Chng ta tm cch c
lng da trn mt mu gm n=100 hc sinh c la chn mt cch ngu nhin.

Hm c lng cho
__
Chng ta dng gi tr trung bnh mu X c lng cho gi tr trung bnh ca tng th
. Hm c lng nh sau

X l mt bin ngu nhin. ng vi mt mu c th th X nhn mt gi tr xc nh.

c lng im

ng vi mt mu c th, gi s chng ta tnh c X = 105 (ngn ng/hc sinh). y
l mt c lng im.

Xc sut mt c lng im nh trn ng bng trung bnh thc l bao nhiu? Rt

thp hay c th ni hu nh bng 0.

c lng khong

c lng khong cung cp mt khong gi tr c th cha gi tr chi ph trung bnh

cho hc tp ca mt hc sinh tiu hc. V d chng ta tm c X = 105. Chng ta c

th ni c th nm trong khong X 10 hay 95 115.

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Khong c lng cng rng th cng c kh nng cha gi tr trung bnh thc nhng

mt khong c lng qu rng nh khong X 100 hay 5 205 th hu nh khng
gip ch c g cho chng ta trong vic xc nh . Nh vy c mt s nh i trong
c lng khong vi cng mt phng php c lng nht nh: khong cng hp th
mc tin cy cng nh.

Phn phi ca X

Theo nh l gii hn trung tm 1 th X l mt bin ngu nhin c phn phi chun.

V X c phn phi chun nn chng ta ch cn tm hai c trng ca n l k vng v
phng sai.

K vng ca X

E X ( )

Phng sai ca X

Vy lch chun ca X l

T thng tin ny, p dng quy tc 2 th xc sut khong X 2 nx cha s xp x 95%.
c lng khong vi tin cy 95% cho l

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Lu : Mc d v mt k thut ta ni khong

cha vi xc sut 95% nhng khng th ni mt khong c th nh (103; 107) c

xc sut cha l 95%. Khong (103;107) ch c th hoc cha hoc khng cha .

ngha chnh xc ca tin cy 95% cho c lng khong cho nh sau: Vi quy
tc xy dng khong l

v chng ta tin hnh ly mt mu vi c mu n v tnh c mt khong c lng.

Chng ta c lp i lp li qu trnh ly mu v c lng khong nh trn th khong
95% khong c lng chng ta tm c s cha .

Tng qut hn, nu tr thng k cn c lng l

v ta tnh c hai c lng 1 v 2 sao cho

P( 1 1) = 1 vi 0 < < 1

hay xc sut khong t 1 n 2 cha gi tr tht l 1- th 1- c gi l tin
cy ca c lng, c gi l mc ngha ca c lng v cng l xc sut mc
sai lm loi I.

Nu = 5% th 1- l 95%. Mc ngha 5% hay tin cy 95% thng c s dng

trong thng k v trong kinh t lng.

Cc tnh cht ng mong i ca mt c lng c chia thnh hai nhm, nhm tnh
cht ca c lng trn c mu nh v nhm tnh cht c lng trn c mu ln.

Cc tnh cht ng vi mu nh

Khng thin lch(khng chch)

Mt c lng l khng thin lch nu k vng ca ng bng .

E( ) =

32/151

Nh chng minh phn trn, X l c lng khng thin lch ca .

Hnh 2.4. Tnh khng thin lch ca c lng.

1 l c lng khng thin lch ca trong khi 2 l c lng thin lch ca .

Phng sai nh nht

Hm c lng 1 c phng sai nh nht khi vi bt c hm c lng 2 no ta cng

c var( 1) var( 2).

Khng thin lch tt nht hay hiu qu

Mt c lng l hiu qu nu n l c lng khng thin lch v c phng sai nh

nht.

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Hnh 2.5. c lng hiu qu. Hm c lng 2 hiu qu hn 1.

Tuyn tnh

Mt c lng ca c gi l c lng tuyn tnh nu n l mt hm s tuyn
tnh ca cc quan st mu.

Ta c

Vy X l c lng tuyn tnh cho .

c lng khng thin lch tuyn tnh tt nht (Best Linear Unbiased Estimator-BLUE)

Mt c lng c gi l BLUE nu n l c lng tuyn tnh, khng thin lch
v c phng sai nh nht trong lp cc c lng tuyn tnh khng thin lch ca .

C th chng minh c X l BLUE.

Sai s bnh phng trung bnh nh nht

Sai s bnh phng trung bnh: MSE( )=E( - )2

Sau khi bin i chng ta nhn c: MSE( )=var( )+E[E( )- ]2

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MSE( )=var( )+bias( )

Sai s bnh phng trung bnh bng phng sai ca c lng cng vi thin lch ca
c lng. Chng ta mun c lng t thin lch ng thi c phng sai nh. Ngi
ta s dng tnh cht sai s bnh phng trung bnh nh khi khng th chn c lng
khng thin lch tt nht.

Tnh cht ca mu ln

Mt s c lng khng tho mn cc tnh cht thng k mong mun khi c mu nh

nhng khi c mu ln n v hn th li c mt s tnh cht thng k mong mun. Cc
tnh cht thng k ny c gi l tnh cht ca mu ln hay tnh tim cn.

Tnh khng thin lch tim cn

c lng c gi l khng thin lch tim cn ca nu lim E( n) =
n

V d 2.12. Xt phng sai mu ca bin ngu nhin X:

C th chng minh c

2
Vy s2x l c lng khng thin lch ca 2x , trong khi x l c lng khng thin lch
tim cn ca 2x .

Nht qun

Mt c lng

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c gi l nht qun nu xc sut nu n tin n gi tr ng ca

khi c mu ngy cng ln.

l nht qun th

vi 1 l mt s dng nh tu .

Hnh 2.6. c lng nht qun

Quy lut chun tim cn

Mt c lng

c gi l phn phi chun tim cn khi phn phi mu ca n tin n phn phi
chun khi c mu n tin n v cng.

Trong phn trn chng ta thy bin X c phn phi chun vi trung bnh v phng

sai 2 th X c phn phi chun vi trung bnh v phng sai 2/n vi c c mu nh
v ln.

Nu X l bin ngu nhin c trung bnh v phng sai 2 nhng khng theo phn phn
phi chun th

36/151
cng s c phn phi chun vi trung bnh v phng sai 2/n khi n tin n v cng.
y chnh l nh l gii hn trung tm 2.

37/151
Thng k suy din 2
Thng k suy din - Kim nh gi thit thng k

Gi thit

Gi thit khng l mt pht biu v gi tr ca tham s hoc v gi tr ca mt tp hp

cc tham s. Gi thit ngc pht biu v gi tr ca tham s hoc mt tp hp tham s
khi gi thit khng sai. Gi thit khng thng c k hiu l H0 v gi thit ngc
thng c k hiu l H1.

Kim nh hai ui

V d 13. Quay li v d 11 v bin X l chi ph cho hc tp ca hc sinh tiu hc. Chng

ta bit phng sai ca X l 2x =100. Vi mt mu vi c mu n=100 chng ta tnh
__
c X1=105 ngn ng/hc sinh/thng. Chng ta xem xt kh nng bc b pht biu
cho rng chi ph cho hc tp trung bnh ca hc sinh tiu hc l 106 ngn ng/thng.

Gi thit

H0: = 106 = 0

H1: 106 = 0
__
Chng ta bit X~N( , 2x /n), vi tin cy 95% hay mc ngha a = 5% chng ta
xy dng c c lng khong ca l

Nu khong ny khng cha th ta bc b gi thit khng vi tin cy 95%, ngc

li ta khng c s bc b gi thit H0.

phn trn chng ta tnh c c lng khong ca da theo X 1 l (103;107).
Khong ny cha 0 = 106. Vy ta khng th bc b c gi thit H0.

Khong tin cy m ta thit lp c c gi l min chp nhn, min gi tr nm ngoi

min chp nhn c gi l min bc b.

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Hnh 2.7. Min bc b v min chp nhn H0.

Tng qut hn ta c

Z=

~N(0,1) hay Z tun theo phn phi chun ho.

/2/2

39/151
Hnh 2.8. Min chp nhn v min bc b theo ca tr thng k Z

Ta c tt c hai min bc b v do tnh cht i xng ca phn phi chun, nu mc

ngha l th xc sut Z nm min bc b bn tri l /2 v xc sut Z nm
min bc b bn tri cng l /2. Chng ta t gi tr ti hn bn tri l Z /2 v gi tr
ti hn bn phi l Z1-/2. Do tnh i xng ta li c

Xc sut Z nm trong hai khong ti hn l

hay

Thay

v bin i mt cht chng ta nhn c

40/151
Cc mnh (2.1) v (2.2) l nhng mnh xc sut.

Kim nh gi thit thng k theo phng php truyn thng

Pht biu mnh xc sut

Nguyn tc ra quyt nh

Nu

hoc

th ta bc b H0 vi tin cy 1- hay xc sut mc sai lm l .

Nu

th ta khng th bc b H0.

Vi mc ngha

Ta c

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Vy ta khng th bc b gi thit Ho.

Kim nh gi thit thng k theo tr thng k Z

Pht biu mnh xc sut

Quy tc quyt nh

Nu

hoc

th ta bc b H0 vi tin cy 1- hay xc sut mc sai lm l .

Nu Z /2 Ztt Z1-/2 th ta khng th bc b H0.

Vi mc ngha =5% ta c

Z1-/2 = Z97,5% = 1,96 2

v Z /2 = Z2,5% = -1,96 -2

Vy ta khng th bc b Ho.

Kim nh gi thit thng k theo gi tr p

42/151
i vi kim nh hai ui gi tr p c tnh nh sau:

Vi Ztt = -1 ta c P(1<Z) = 0,16, vy gi tr p = 0,32.

Quy tc quyt nh

Nu p : Bc b Ho.

Nu p : Khng th bc b Ho.

Trong v d trn p = 0,32 > = 5%. Vy ta khng th bc b Ho.

Ba cch tip cn trn cho cng mt kt qu v thc ra ch t nhng bin i ca cng

mt mnh xc sut. Trong kinh t lng ngi ta cng thng hay s dng gi tr p.

Kim nh mt ui

Kim nh ui tri

V d 14. Tip tc v d 13. Kim nh pht biu : Chi cho hc tp trung bnh ca hc
sinh tiu hc ln hn 108 ngn ng/hc sinh/thng.

Gi thit

H0: > 108 = 0

H1: 108 = 0

Pht biu mnh xc sut

P(Z <Z) =1-

Quy tc quyt nh

Nu Ztt < Z : Bc b Ho.

Nu Ztt Z : Khng th bc b Ho.

Vi = 5% ta c Z5% = -1,644

Ta c

43/151
vy ta bc b Ho.

Kim nh ui phi

V d 15. Tip tc v d 13. Kim nh pht biu : Chi tiu cho hc tp trung bnh ca
hc sinh tiu hc nh hn 108 ngn ng/hc sinh/thng.

Gi thit

H0: < 107 = 0

H1: 107 = 0

Pht biu mnh xc sut

P(Z<Z1-) =1-

Quy tc quyt nh

Nu Ztt > Z : Bc b Ho.

Nu Ztt Z : Khng th bc b Ho.

Ta c

vy ta khng th bc b Ho.

Mt s trng hp c bit cho c lng gi tr trung bnh ca tng th

Tng th c phn phi chun, c mu ln, phng sai cha bit. Chin lc kim nh
ging nh trn nhng thay phng sai tng th bng phng sai mu.

Tng th c phn phi chun, phng sai cha bit, c mu nh:

44/151
Kim nh trn tr thng k t cng tng t nh i vi tr thng k Z, ta ch vic tra t
thay cho Z. Khi c mu ln tr thng k t tng t tr thng k Z.

Tng th khng tun theo phn phi chun, p dng nh l gii hn trung tm. Khi c
mu ln th tr thng k t tnh ton nh phn trn c phn phi gn vi phn phi Z.

Ngoi ra chng ta cn c th kim nh cc gi thit v phng sai, kim nh s bng

nhau gia cc phng sai ca hai tng th v kim nh s bng nhau gia cc trung
bnh tng th. Chng ta xt kim nh gi thit v phng sai v gi nh v phng sai
khng i l mt gi nh quan trng trong phn tch hi quy.

Kim nh gi thit v phong sai

Xt gi thit

Ho : 2 = 20

H1 : 2 20

C th chng minh c

Mnh xc sut

Quy tc quyt nh

Nu

hoc

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, th bc b H0.

Nu

, th khng bc b H0.

Kim nh s bng nhau ca phng sai hai tng th

Chng ta c mu c n1 t tng th 1 v mu c n2 t tng th 2.

Xt gi thit

H0 : 21 = 22 = 2

H1 : 2122

Chng ta c

Vy

Hay

Pht biu mnh xc sut

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Quy tc quyt nh

Nu

th ta bc b H0.

Nu

th khng bc b H0.

2.4.5. Sai lm loi I v sai lm loi II

Khi ta da vo mt mu bc b mt gi thit, ta c th mc phi mt trong hai sai

lm nh sau:

Sai lm loi I: Bc b Ho khi thc t Ho ng.

Sai lm loi II : Khng bc b Ho khi thc t n sai.

Tnh cht
Quyt nh H0 ng H0 sai
Bc b Sai lm loi I Khng mc sai lm
Khng bc b Khng mc sai lm Sai lm loi II

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Hnh 2.7. Sai lm loi I-Bc b H0: =108 trong khi thc t H0 ng.
H0

Xc sut mc sai lm loi I

V d 16. Tip tc v d 13. Kim nh pht biu : Chi cho hc tp trung bnh ca hc
sinh tiu hc l 108 ngn ng/hc sinh/thng. Trung bnh thc = 0=108.

Gi thit

H0: = 108 = 0

H1: 108 = 0

Gi s gi tr thc l =108. Vi c lng khong cho l (103;107) vi tin cy

95% chng ta bc b H0 trong khi thc s H0 l ng. Xc sut chng ta mc sai lm
loi ny l = 5%.

Xc sut mc sai lm loi II

V d 17. Tip tc v d 13. Kim nh pht biu : Chi tiu cho hc tp trung bnh ca
hc sinh tiu hc l 108 ngn ng/hc sinh/thng. Trung bnh thc = 0=104.

Gi thit

H0: = 108 = 0

H1: 108 = 0

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Gi s gi tr thc l =104. Vi c lng khong cho l (103;107) vi tin cy
95% chng ta khng bc b H0 trong khi H0 sai. Xc sut chng ta mc sai lm loi II
ny l

L tng nht l chng ta ti thiu ho c hai loi sai lm. Nhng nu chng ta mun
hn ch sai lm loi I, tc l chn mc ngha nh th khong c lng cng ln v
xc sut mc phi sai lm loi II cng ln. Nghin cu ca Newman v Pearson

Damodar N. Gujarati, Basic Econometrics-Third Edition, McGraw-Hill Inc -1995, p

787.
cho rng sai lm loi I l nghim trng hn sai lm loi II. Do , trong thng k suy
din c in cng nh trong kinh t lng c in, ngi ta chn mc ngha hay
xc sut mc sai lm loi I nh, thng thng nht l 5% m khng quan tm nhiu
n .

Tm tt cc bc ca kim nh gi thit thng k

Bc 1.Pht biu gi thit H0 v gi thit ngc H1.

Bc 2. La chn tr thng k kim nh

Bc 3. Xc nh phn phi thng k ca kim nh

Bc 4. La chn mc ngha hay xc sut mc sai lm loi I.

Bc 5. S dng phn phi xc sut ca thng k kim nh, thit lp mt khong tin
cy 1- , khong ny cn c gi l min chp nhn. Nu tr thng k ng vi H0 nm
trong min chp nhn th ta khng bc b H0, nu tr thng k ng vi H0 nm ngoi
min chp nhn th ta bc b H0. Lu l khi bc b H0 chng ta chp nhn mc sai
lm l .

49/151
Khi nim v hi quy
Khi nim

Phn tch hi quy l tm quan h ph thuc ca mt bin, c gi l bin ph thuc vo

mt hoc nhiu bin khc, c gi l bin c lp nhm mc ch c lng hoc tin
on gi tr k vng ca bin ph thuc khi bit trc gi tr ca bin c lp

Mt s tn gi khc ca bin ph thuc v bin c lp nh sau:

Bin ph thuc: bin c gii thch, bin c d bo, bin c hi quy, bin phn
ng, bin ni sinh.

Bin c lp: bin gii thch, bin d bo, bin hi quy, bin tc nhn hay bin kim
sot, bin ngoi sinh.

Sau y l mt v v d v phn tch hi quy

Ngn hng XYZ mun tng lng tin huy ng. Ngn hng ny mun bit mi quan
h gia lng tin gi v li sut tin gi, c th hn h mun bit khi tng li sut thm
0,1% th lng tin gi s tng trung bnh l bao nhiu.

Mt nh nghin cu nng nghip mun bit nng sut tm s nui trong h thng thm
canh ph thuc th no vo din tch ao nui, mt th tm ging, chi ph ho cht x
l mi trng, trnh nhn cng. T phn tch hi quy ny ng ta ra cc ch tiu k
thut ph hp cho loi hnh ny.

S khc nhau gia cc dng quan h

Quan h tt nh v quan h thng k

Quan h tt nh l loi quan h c th biu din bng mt hm s ton hc. Mt s quan

h trong vt l, ho hc v mt s ngnh khoa hc t nhin khc l quan h tt nh.

V d nh lut Ohm trong vt l : gi U l in p, R l in tr ca mch in th dng

in I s l I = UR , ni cch khc khi in p v in tr c c nh trc th chng ta
ch nhn c mt v ch mt gi tr dng in.

a s cc bin s kinh t khng c quan h tt nh. Th d ta khng th ni vi din

tch nui tm cho trc v k thut nui c chn th nng sut s l bao nhiu. L do
l c rt nhiu bin s c k n trong m hnh cng tc ng ln nng sut, ngoi

50/151
ra trong s cc bin s vng mt ny c nhng bin khng th kim sot c nh thi
tit, dch bnh Nh nghin cu nng nghip k trn ch c th tin on mt gi tr
trung bnh ca nng sut ng vi k thut nui chn. Quan h gia cc bin s kinh
t c tnh cht quan h thng k.

Hi quy v quan h nhn qu

Mc d phn tch hi quy da trn tng s ph thuc ca mt bin s kinh t vo

bin s kinh t khc nhng bn thn k thut phn tch hi quy khng bao hm quan h
nhn qu. Mt v d in hnh ca s nhm ln hai khi nim ny tin hnh hi quy s
v trm mt thnh ph vi s nhn vin cnh st ca thnh ph. Gi Y l s v trm
trong mt nm v X l s nhn vin cnh st. Khi chng ta hi quy Y theo X, nu chng
ta tm c mi quan h ng bin ca Y v X c ngha thng k th phn tch hi
quy ny cho kt lun: Tng s lng nhn vin cnh st s lm tng s v trm. R
rng phn tch ny sai lm trong vic nhn nh mi quan h nhn qu. S cnh st tng
ln l do s tng cng ca lc lng cnh st trong bi cnh s v trm tng ln. Vy
ng ra chng ta phi hi quy s cnh st theo s v trm hay X theo Y.Vy trc khi
phn tch hi quy chng ta phi nhn nh chnh xc mi quan h nhn qu.

Mt sai lm ph bin na trong phn tch kinh t lng l quy kt mi quan h nhn qu
gia hai bin s trong khi trong thc t chng u l h qu ca mt nguyn nhn khc.
V d chng ta phn tch hi quy gia s gio vin v s phng hc trong ton ngnh
gio dc. S thc l c s gio vin v s phng hc u ph thuc vo s hc sinh.
Nh vy phn tch mi quan h nhn qu da vo kin thc v phng php lun ca
mn khc ch khng t phn tch hi quy.

Hi quy v tng quan

Phn tch tng quan ch cho thy mnh yu ca mi quan h tuyn tnh gia hai
bin s. Phn tch tng quan cng khng th hin mi quan h nhn qu.V d chng
ta xt quan h gia hai bin s X l s bnh nhn b x gan v Y l s lt ru c tiu
th ca mt nc. Chng ta c th nhn c h s tng quan cao gia X v Y. H s
tng quan c xc nh nh sau:

Qua ng thc ny chng ta cng thy trong phn tch tng quan vai tr ca hai bin
l nh nhau v hai bin u l ngu nhin.

Phn tch hi quy ca X theo Y cho ta bit trung bnh s bnh nhn b x gan l bao
nhiu ng vi lng tiu dng ru cho trc. Chng ta khng th o ngc hi quy
thnh Y theo X. Phn tch hi quy da trn gi nh bin c lp l xc nh trong khi

51/151
bin ph thuc l ngu nhin. Chng ta tm gi tr k vng ca bin ph thuc da vo
gi tr cho trc ca ca bin c lp.

52/151
Hm hi quy tng th v hi quy mu
Hm hi quy tng th

Hm hi quy tng th (PRF)

V d 3.1. Hi quy tiu dng Y theo thu nhpX.

Theo Keynes th hm tiu dng nh sau

Damodar N Gujarati, Basic Economics-3rd Edidtion,p4.

:

Y = 1 + 2X , vi 2 l xu hng tiu dng bin, 0< 2<1.(3.1)

Chng ta kim chng gi thit trn vi s liu t mt nc gi nh Z c dn s 30 ngi

vi s liu tiu dng v thu nhpca tng ngi nh th phn tn sau.

S liu ph lc 3.1.PL cui chng 3.

Thu nhp X (XD)

53/151
Hnh 3.1. th phn tn quan h gia tiu dng v thu nhp kh dng.

th 3.1. cho thy c mi quan h ng bin gia tiu dng v thu nhp kh dng, hay
l thu nhptng s lm tiu dng tng. Tuy quan h gia Y v X khng chnh xc nh
hm bc nht (3.1).

Trong phn tch hi quy chng ta xem bin c lp X c gi tr xc nh trong khi bin
ph thuc Y l bin ngu nhin. iu ny tng nh bt hp l. Khi chng ta chn ngu
nhin ngi th i th chng ta thu c ng thi hai gi tr: Xi l thu nhpv Yi l tiu
dng ca ngi . Vy ti sao li xem Yi l ngu nhin? Cu tr nh sau : Xt mt
mc thu nhpXi xc nh, cch ly mu ca chng ta l chn ngu nhin trong s nhng
ngi c thu nhpl Xi. Thu nhpgp phn chnh yu quyt nh tiu dng nh th hin
hm s (1.3), tuy nhin cn nhiu yu t khc cng tc ng ln tiu dng nn ng vi
mt cch ly mu th vi nhiu ln ly mu vi tiu ch X = Xi ta nhn c cc gi tr
Yi khc nhau. Vy chnh xc hn bin ph thuc Y l mt bin ngu nhin c iu kin
theo bin c lp X. c lng tt nht cho Y trong trng hp ny l gi tr k vng
ca Y ng vi iu kin X nhn gi tr Xi xc nh.

Hm hi quy tng th (PRF):

E(Y/X=Xi) = 1 + 2X (3.2)

i vi mt quan st c th th gi tr bin ph thuc lch khi k vng ton, vy:

Yi = 1 + 2Xi + i(3.3)

1 v 2 : cc tham s ca m hnh

1 : tung gc

2: dc

Gi tr c lng ca Yi

Y i = 1 + 2Xi

i : Sai s ca hi quy hay cn c gi l nhiu ngu nhin

Nhiu ngu nhin hnh thnh t nhiu nguyn nhn:

B st bin gii thch.

Sai s khi o lng bin ph thuc.

54/151
Cc tc ng khng tin on c.

Dng hm hi quy khng ph hp.

Dng hm hi quy (3.2) c gi l hi quy tng th tuyn tnh. Chng ta s tho lun
chi tit v thut ng hi quy tuyn tnh cui chng. Hnh 3.2 cho ta ci nhn trc
quan v hi quy tng th tuyn tnh v sai s ca hi quy.

Thu nhp X (XD)

Hnh 3.2. Hm hi quy tng th tuyn tnh

Hm hi quy mu (SRF)

Trong thc t him khi chng c s liu ca tng th m ch c s liu mu. Chng ta
phi s dng d liu mu c lng hm hi quy tng th.

Hm hi quy mu:

Y i = 1 + 2Xi(3.4)

Trong

1: c lng cho 1.

55/151

2: c lng cho 2.

i vi quan st th i :

Yi = 1 + 2Xi + ei(3.5)

Hnh 3.3 cho thy s xp x ca hm hi quy mu (SRF) v hm hi quy tng th (PRF).

Thu nhp X (XD)

Hnh 3.3. Hi quy mu v hi quy tng th

56/151
c lng cc h s ca m hnh hi quy
theo phng php bnh phng ti thiu
Cc gi nh ca m hnh hi quy tuyn tnh c in

Cc gi nh v sai s hi quy nh sau m bo cho cc c lng h s hm hi quy

tng th da trn mu theo phng php bnh phng ti thiu l c lng tuyn tnh
khng chch tt nht(BLUE).

Gi tr k vng bng 0:

Phng sai khng i:

Khng t tng quan:

Khng tng quan vi X:

C phn phi chun:

chng 5 chng ta s kho st hu qu khi cc gi thit trn b vi phm.

Phng php bnh phng ti thiu:

tng ca phng php bnh phng ti thiu l tm 1 v 2 sao cho tng bnh
phng phn d c gi tr nh nht.

T hm hi quy (3.5)

57/151
Vy

(3.6)

iu kin (3.6) t cc tr l:

T (3.7) v (3.8) chng ta rt ra

Cc phng trnh (3.9) v (3.10) c gi l cc phng trnh chun. Gii h phng

trnh chun ta c

Thay (3.9) vo (3.8) v bin i i s chng ta c

t xi = Xi X v yi = Yi Y ta nhn c

58/151
Tnh cht ca hm hi quy mu theo OLS

Tnh cht ca tham s c lng

1 v 2 l duy nht ng vi mt mu xc nh gm n quan st (Xi,Yi).

1 v 2 l cc c lng im ca 1 v 2 . Gi tr ca 1 v 2 thay i theo mu
dng c lng.

Tnh cht ca hm hi quy mu

Phn chng minh cc tnh cht phn ny c th tm c Gujarati, Basic

Econometrics,3rd Edition, p56-59.

Hm hi quy mu i qua gi tr trung bnh ca d liu

Tht vy, t (3.11) ta c Y = 1 2 X

59/151
Thu nhp X (XD)

Hnh 3.4. ng hi quy mu i qua gi tr trung bnh ca d liu

Gi tr trung bnh ca c lng bng gi tr trung bnh ca quan st i vi bin ph

()
thuc: E Y = Y .

Gi tr trung bnh ca phn d bng 0: E(ei) = 0

Cc phn d ei v Yi khng tng quan vi nhau:

Cc phn d ei v Xi khng tng quan vi nhau:

Phn phi ca 1 v 2

60/151
C th tnh ton chng minh cc biu thc ny da vo cc nh ngha v nh l v k
vng v phng sai. Tham khoV Thiu v ng s, Kinh t lng, PL chng 2,
trang 61.

c lng 1 2

( ) ( )
K vng E 1 = 1E 2 = 2

Phng sai

Sai s chun

Phn phi

Hip phng sai ca hai h s c lng

Trong cc biu thc trn 2 = var(i) vi gi nh i~N(0,2)

61/151
Khong tin cy v kim nh gi thit v cc
h s hi quy
Khong tin cy cho cc h s hi quy

Thc s chng ta khng bit 2 nn ta dng c lng khng chch ca n l

Sai s chun ca h s hi quy cho dc

vi

ta c

(3.14)

T tnh cht ca phng sai mu ta c

(3.15)

62/151
T (3.14) v (3.15) Ta xy dng tr thng k

(3.16)

Bin i v tri chng ta c

Thay vo (3.16) ta c

(3.17)

Chng minh tng t ta c

(3.18)

c lng khong cho h s hi quy vi mc ngha nh sau

(3.19)

(3.20)

63/151
Kim nh gi thit v h s hi quy

Chng ta quan tm nhiu n ngha thng k dc ( 2) ca phng trnh hi quy

hn l tung gc ( 1). Cho nn t y n cui chng ch yu chng ta kim nh
gi thit thng k v dc.

Gi thit

Pht biu mnh xc sut

Quy tc quyt nh

Nu

hoc

th bc b H0.

Nu

th ta khng th bc b H0.

Quy tc thc hnh-Tr thng k t trong cc phn mm kinh t lng

Trong thc t chng ta thng xt xem bin c lp X c tc ng ln bin ph thuc Y

hay khng. Vy khi thc hin hi quy chng ta k vng 2 0. Mc ngha hay c
dng trong phn tch hi quy l =5%.

64/151
Gi thit

Tr thng k tr thnh

Quy tc quyt nh

Nu

th bc b H0.

Nu

th khng th bc b H0.

Tra bng phn phi Student chng ta thy khi bc t do n trn 20 th tr thng k t97,5%
th xp x 2.

Quy tc thc hnh

Nu /t-stat/ > 2 th bc b gi thit 2 = 0.

Nu /t-stat/ 2 th ta khng th bc b gi thit 2=0.

Trong cc phn mm bng tnh c tnh ton hi quy, ngi ta mc nh mc ngha

=5% v gi thit H0: i=0. Th tc tnh ton hi quy ca Excel cung cp cho ta cc h
s hi quy, tr thng k t, c lng khong ca h s hi quy v gi tr p

chng 2 chng ta bit c kim nh trn c lng khong, tr thng k v gi

tr p l tng ng nhau.
.Sau y l kt qu hi quy c tnh ton bng th tc hi quy ca mt vi phn mm
thng dng.

65/151
Excel

Kt qu Regresstion cho d liu ca v d 3.1. (Ch trch phn h s hi quy)

Intercept: Tung gc

Coefficients : H s hi quy

Standard Error : Sai s chun ca c lng h s

t Stat : Tr thng k t(n-2)

P-value : Gi tr p

Lower95%: Gi tr ti hn di ca khong c lng vi tin cy 95%.

Upper95% : Gi tr ti hn trn ca khong c lng vi tin cy 95%.

Bc b H0 khi /t-stat/ > 2 hoc p-value < 0,05 hoc khong (Lower;Upper) khng cha
0.

Nh trnh by chng 2, y thc ra l 3 cch din t t mt mnh xc sut

nn kt lun t 3 tr thng k t, p v c lng khong l tng ng nhau.

Eviews

Th tc Make Equation cho kt qu nh sau(ch trch phn h s hi quy):

66/151
C : Tung gc

Coefficient : H s hi quy

Std. Error : Sai s chun ca c lng h s

t Statistic : Tr thng k t(n-2)

Prob: Gi tr p.Bc b H0 khi /t-Statistic/ > 2 hoc Prob < 0,05.

SPSS

Th tc Regression->Linear. (Ch trch phn h s hi quy).

Constant: Tung gc

Unstandardized Coefficients: Cc h s hi quy

Standardized Coefficients: Cc h s hi quy chun ho

Khi nim ny nm ngoi khun kh ca gio trnh.

.

t: t-StatSig: Gi tr p.

Bc b H0 khi /t/ >2 hoc Sig < 0,05

nh l Gauss-Markov

Vi cc gi nh ca m hnh hi quy tuyn tnh c in, hm hi quy tuyn tnh theo

phng php bnh phng ti thiu l c lng tuyn tnh khng thin lch tt nht.

Chng ta s khng chng minh inh l ny.

67/151
Phn chng minh cc tnh cht phn ny c Gujarati, Basic Econometrics-3rd
Edition, trang 97-98.

thch hp ca hm hi quy R 2

Lm th no chng ta o lng mc ph hp ca hm hi quy tm c cho d liu

mu. Thc o ph hp ca m hnh i vi d liu l R2. c ci nhn trc quan
v R2, chng ta xem xt th sau

Hnh 3.5. Phn tch thch hp ca hi quy

Yi Y : bin thin ca bin ph thuc Y, o lng lch ca gi tr Yi so vi gi tr

trung bnh Y .

Y i Y : bin thin ca Y c gii thch bi hm hi quy

ei = Yi Y i: bin thin ca Y khng gii thch c bi hm hi quy hay sai s hi quy.

Trn mi Xi chng ta k vng ei nh nht, hay phn ln bin thin ca bin ph thuc
c gii thch bi bin c lp. Nhng mt hm hi quy tt phi c tnh cht mang
tnh tng qut hn. Trong hi quy tuyn tnh c in, ngi ta chn tnh cht tng bnh
phng bin thin khng gii thch c l nh nht.

68/151
Ta c

Vi yi = Y Y v y i = Y Y
i

Vy

(3.21)

S hng cui cng ca (3.21) bng 0.

Vy

TSS(Total Sum of Squares): Tng bnh phng bin thin ca Y.

ESS(Explained Sum of Squares): Tng bnh phng phn bin thin gii thch c
bng hm hi quy ca Y.

RSS(Residual Sum of Squares) : Tng bnh phng phn bin thin khng gii thch
c bng hm hi quy ca Y hay tng bnh phng phn d.Ta c:

TSS = ESS + RSS

69/151
Mt khc ta c

Vy

(3.22)

Vy i vi hi quy hai bin R2 l bnh phng ca h s tng quan.

Tnh cht ca R2

0 R2 1. Vi R2=0 th hin X v Y c lp thng k. R2 =1 th hin X v Y ph thuc

tuyn tnh hon ho.

R2 khng xt n quan h nhn qu.

D bo bng m hnh hi quy hai bin

Da trn X0 xc nh chng ta d bo Y0.

c lng im cho Y0 l :

70/151

c lng khong chng ta phi tm phn phi xc sut ca Y i.

D bo gi tr trung bnh

Suy ra

(3.23)

Thay biu thc ca

mc 3.3.4 vo (3.23) v rt gn

D bo gi tr c th ca Y0

Ta c

71/151
(3.25)

S hng cui cng

. Vy

(3.26)

Sai s chun ca d bo

Cho gi tr ca Y0

Khong tin cy cho d bo

Yo t se( Y o)
(n 2,1 / 2)

Nhn xt: X 0 cng lch ra khi gi tr trung bnh th d sai s ca d bo cng ln.
Chng ta s thy r iu ny qua th sau.

c lng khong cho Y0 trung bnhY trung bnhc lng khong cho Y0X trung
bnh

72/151
Hnh 3.6. c lng khong cho Y0.

73/151
 ngha ca hi quy tuyn tnh v mt s
dng hm thng c s dng
ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng

Tuyn tnh trong tham s

Trong mc 3.2.1 chng ta t yu cu l c lng theo phng php bnh phng

ti thiu th m hnh hi quy phi tuyn tnh. S dng tnh cht hm tuyn tnh ca cc
phn phi chun cng l phn phi chun, da vo cc gi nh cht ch v phng
php bnh phng ti thiu, ngi ta rt ra cc hm c lng tham s hiu qu v cc
tr thng k kim nh.

Hi quy tuyn tnh ch yu cu tuyn tnh trong cc tham s, khng yu cu tuyn tnh
trong bin s.

M hnh

(3.27)

l m hnh tuyn tnh trong cc tham s nhng phi tuyn theo bin s.

M hnh

(3.28)

l m hnh phi tuyn trong cc tham s nhng tuyn tnh trong bin s.

Hi quy tuyn tnh theo OLS chp nhn dng m hnh tuyn tnh trong tham s nh
(3.27) m khng chp nhn dng m hnh phi tuyn trong tham s nh (3.28).

Mt s m hnh thng dng

M hnh Logarit kp

M hnh logarit kp ph hp vi d liu nhiu lnh vc khc nhau. V d ng cu

vi co dn khng i hoc hm sn xut Cobb-Douglas.

74/151
M hnh ng cu :

(3.29)

Khng th c lng m hnh (3.29) theo OLS v n phi tuyn trong tham s. Tuy nhin
nu chng ta ly logarit hai v th ta c m hnh

(3.30)

ta c m hnh

(3.31)

M hnh ny tuyn tnh theo tham s nn c th c lng theo OLS.

Chng ta s chng minh c tnh ng lu ca m hnh ny l co dn cu theo gi

khng i. nh ngha co dn:

Ly vi phn hai v ca (3.30) ta c

Vy co dn ca cu theo gi khng i.

75/151
Hnh 3.8. Chuyn dng Log-log

Tng qut, i vi m hnh logarit kp, h s ng vi ln ca mt bin s c lp l

co dn ca bin ph thuc vo bin c lp .

M hnh Logarit-tuyn tnh hay m hnh tng trng

Gi g l tc tng trng, t ch thi k. M hnh tng trng nh sau

(3.32)

Ly logarit hai v ca (3.32)

(3.33)

ta c m hnh hi quy

M hnh tuyn tnh-Logarit (Lin-log)

76/151
M hnh ny ph hp vi quan h thu nhp v tiu dng ca mt hng ho thng thng
vi Y l chi tiu cho hng ho v X l thu nhp. Quan h ny cho thy Y tng theo X
nhng tc tng chm dn.

Hnh 3.9. Chuyn dng Lin-log

M hnh nghch o hay m hnh Hyperbol

(3.36)

M hnh ny ph hp cho nghin cu ng chi ph n v, ng tiu dng theo thu

nhp Engel hoc ng cong Philip.

Hnh 3.10. Dng hm nghch o

Ph lc 3.1.PL S liu v thu nhp v tiu dng, XD.

77/151
78/151
Xy dng m hnh hi quy tuyn tnh bi
Xy dng m hnh

Gii thiu

M hnh hi quy hai bin m chng ta nghin cu chng 3 thng khng kh

nng gii thch hnh vi ca bin ph thuc. chng 3 chng ta ni tiu dng ph thuc
vo thu nhp kh dng, tuy nhin c nhiu yu t khc cng tc ng ln tiu dng, v
d tui, mc lc quan vo nn kinh t, ngh nghip V th chng ta cn b sung
thm bin gii thch(bin c lp) vo m hnh hi quy. M hnh vi mt bin ph thuc
vi hai hoc nhiu bin c lp c gi l hi quy bi.

Chng ta ch xem xt hi quy tuyn tnh bi vi m hnh tuyn tnh vi trong tham s,
khng nht thit tuyn tnh trong bin s.

M hnh hi quy bi cho tng th

(4.1)

Vi X2,i, X3,i,,Xk,i l gi tr cc bin c lp ng vi quan st i

1? 2? 3?? kl cc tham s ca hi quy

il sai s ca hi quy

Vi mt quan st i, chng ta xc nh gi tr k vng ca Yi

(4.2)

ngha ca tham s

Cc h s c gi l cc h s hi quy ring

(4.3)

79/151
k o lng tc ng ring phn ca bin Xm ln Y vi iu kin cc bin s khc trong
m hnh khng i. C th hn nu cc bin khc trong m hnh khng i, gi tr k
vng ca Y s tng m n v nu Xm tng 1 n v.

Gi nh ca m hnh

S dng cc gi nh ca m hnh hi quy hai bin, chng ta b sung thm gi nh sau:

Cc bin c lp ca m hnh khng c s ph thuc tuyn tnh hon ho, ngha l

khng th tm c b s thc ( ? 2?...? k) sao cho

vi mi i.

Gi nh ny cn c c pht biu l khng c s a cng tuyn hon ho trong

m hnh.

S quan st n phi ln hn s tham s cn c lng k.

Bin c lp Xi phi c s bin thin t quan st ny qua quan st khc hay Var(Xi)>0.

c lng tham s ca m hnh hi quy bi

Hm hi quy mu v c lng tham s theo phng php bnh phng ti thiu

Trong thc t chng ta thng ch c d liu t mu. T s liu mu chng ta c lng

hi quy tng th.

Hm hi quy mu

Vi cc m l c lng ca tham s m. Chng ta trng i m l c lng khng
chch ca m, hn na phi l mt c lng hiu qu. Vi mt s gi nh cht ch
nh mc 3.3.1 chng 3 v phn b sung 4.1, th phng php ti thiu tng bnh
phng phn d cho kt qu c lng hiu qu m.

Phng php bnh phng ti thiu

Chn 1? 2? ? k sao cho

80/151
(4.5)

t cc tiu.

iu kin cc tr ca (4.5)

H phng trnh (4.6) c gi l h phng trnh chun ca hi quy mu (4.4).

Cch gii h phng trnh (4.4) gn gng nht l dng ma trn. Do gii hn ca chng
trnh, bi ging ny khng trnh by thut ton ma trn m ch trnh by kt qu tnh ton
cho hi quy bi n gin nht l hi quy ba bin vi hai bin c lp. Mt s tnh cht
ca hi quy ta thy c hi quy hai bin c lp c th p dng cho hi quy bi tng
qut.

c lng tham s cho m hnh hi quy ba bin

Hm hi quy tng th

(4.7)

Hm hi quy mu

(4.8)

Nhc li cc gi nh

81/151
K vng ca sai s hi quy bng 0:

Khng t tng quan:

, ij

Phng sai ng nht:

Khng c tng quan gia sai s v tng Xm:

Khng c s a cng tuyn hon ho gia X2 v X3.

Dng hm ca m hnh c xc nh mt cch ng n.

Vi cc gi nh ny, dng phng php bnh phng ti thiu ta nhn c c lng

cc h s nh sau.

Phn phi ca c lng tham s

Trong phn ny chng ta ch quan tm n phn phi ca cc h s c lng

82/151
v

. Hn na v s tng t trong cng thc xc nh cc h s c lng nn chng ta

ch kho st

. y ch trnh by kt qu
Cc thao tc chng minh kh phc tp, t chng minh c gi hy nh li cc nh
ngha v tnh cht ca gi tr k vng, phng sai v hip phng sai ca bin ngu
nhin.
.

l mt c lng khng chch :

(4.13)

(4.14)

Nhc li h s tng quan gia X2 v X3 :

t rX2X3= r23 bin i i s (4.14) ta c

(4.15)

T cc biu thc (4.13) v (4.15) chng ta c th rt ra mt s kt lun nh sau:

83/151
Nu X2 v X3 c tng quan tuyn tnh hon ho th

=1. H qu l

v cng ln hay ta khng th xc nh c h s ca m hnh hi quy.

Nu X2 v X3 khng tng quan tuyn tnh hon ho nhng c tng quan tuyn tnh
cao th c lng

vn khng chch nhng khng hiu qu.

Nhng nhn nh trn ng cho c hi quy nhiu hn ba bin.

R2 v

hiu chnh

Nhc li khi nim v

Mt m hnh c

ln th tng bnh phng sai s d bo nh hay ni cch khc ph hp ca m hnh

i vi d liu cng ln. Tuy nhin mt tnh cht c trng quan trng ca l n c xu
hng tng khi s bin gii thch trong m hnh tng ln. Nu ch n thun chn tiu
ch l chn m hnh c

cao, ngi ta c xu hng a rt nhiu bin c lp vo m hnh trong khi tc ng

ring phn ca cc bin a vo i vi bin ph thuc khng c ngha thng k.

hiu chnh pht vic a thm bin vo m hnh, ngi ra a ra tr thng k

84/151
hiu chnh(Adjusted R2 )
Cng thc ca Theil, c s dng a s cc phn mm kinh t lng. Mt cng
thc khc do Goldberger xut l Modified

. (Theo Gujarati, Basic Econometrics-3rd, trang 208).

(4.16)

Vi n l s quan st v k l s h s cn c lng trong m hnh.

Qua thao tc hiu chnh ny th ch nhng bin thc s lm tng kh nng gii thch ca
m hnh mi xng ng c a vo m hnh.

Kim nh mc ngha chung ca m hnh

Trong hi quy bi, m hnh c cho l khng c sc mnh gii thch khi ton b cc
h s hi quy ring phn u bng khng.

Gi thit

H0: 2 = 3 = = k = 0

H1: Khng phi tt c cc h s ng thi bng khng.

Tr thng k kim nh H0:

Quy tc quyt nh

Nu Ftt > F(k-1,n-k,) th bc b H0.

Nu Ftt F(k-1,n-k,) th khng th bc b H0.

85/151
Quan h gia R2 v F

c lng khong v kim nh gi thit thng k cho h s hi quy

c lng phng sai ca sai s

(4.17)

Ngi ta chng minh c

l c lng khng chch ca 2, hay

Nu cc sai s tun theo phn phi chun th

K hiu

. Ta c tr thng k

c lng khong cho m vi mc ngha l

86/151
(4.18)

Thng thng chng ta mun kim nh gi thit H0 l bin Xm khng c tc ng ring

phn ln Y.

H0 : m = 0

H1 : m 0

Quy tc quyt nh

Nu /t-stat/ > t(n-k,/2) th ta bc b H0.

Nu /t-stat/ t(n-k,/2) th ta khng th bc b H0.

87/151
Bin phn loi
Bin phn loi (Bin gi-Dummy variable)

Trong cc m hnh hi quy m chng ta kho st t u chng 3 n y u da

trn bin c lp v bin ph thuc u l bin nh lng. Thc ra m hnh hi quy
cho php s dng bin c lp v c bin ph thuc l bin nh tnh. Trong gii hn
chng trnh chng ta ch xt bin ph thuc l bin nh lng. Trong phn ny chng
ta kho st m hnh hi quy c bin nh tnh.

i vi bin nh tnh ch c th phn lp, mt quan st ch c th ri vo mt lp. Mt

s bin nh tnh c hai lp nh:

Bng 4.1. Bin nh phn

Ngi ta thng gn gi tr 1 cho mt lp v gi tr 0 cho lp cn li. V d ta k hiu S

l gii tnh vi S =1 nu l n v S = 0 nu l nam.

Cc bin nh tnh c gn gi tr 0 v 1 nh trn c gi l bin gi(dummy

variable), bin nh phn, bin phn loi hay bin nh tnh.

Hi quy vi mt bin nh lng v mt bin phn loi

V d 4.1. v d ny chng ta hi quy tiu dng cho go theo quy m h c xem xt

h thnh th hay nng thn.

M hnh kinh t lng nh sau:

Yi = 1 + 2X i+ 3Di + i(4.19)Y: Chi tiu cho go, ngn ng/nm

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X : Quy m h gia nh, ngi

D: Bin phn loi, D = 1 nu h thnh th, bng D = 0 nu h nng thn.

Chng ta mun xem xt xem c s khc bit trong tiu dng go gia thnh th v nng
thn hay khng ng vi mt quy m h gia nh Xi xc nh.

i vi h nng thn

(4.20)

i vi h thnh th

(4.21)

Vy s chnh lch trong tiu dng go gia thnh th v nng thn nh sau

(4.22)

S khc bit trong tiu dng go gia thnh th v nng thn ch c ngha thng k khi
3 khc khng c ngha thng k.

Chng ta c phng trnh hi quy nh sau

Y = 187 + 508*X - 557*D (4.23)

t-stat [0,5] [6,4] [-2,2]

R2 hiu chnh = 0,61

H s hi quy

khc khng vi tin cy 95%. Vy chng ta khng th bc b c s khc bit

trong tiu dng go gia thnh th v nng thn.

Chng ta s thy tc ng ca lm cho tung gc ca phung trnh hi quy ca thnh

th v nng thn sai bit nhau mt khong 3 = -557 ngn ng/nm. C th ng vi

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mt quy m h gia nh th h thnh th tiu dng go t hn h nng thn 557 ngn
ng/nm.Chng ta s thy iu ny mt cch trc quan qua th sau:

Hnh 4.1. Hi quy vi mt bin nh lng v mt bin phn loi.

Hi quy vi mt bin nh lng v mt bin phn loi c nhiu hn hai phn lp

V d 4.2. Gi s chng ta mun c lng tin lng c quyt nh bi s nm kinh

nghim cng tc v trnh hc vn nh th no.

Gi Y : Tin lng

X : S nm kinh nghim

D: Hc vn. Gi s chng ta phn loi hc vn nh sau : cha tt nghip i hc, i

hc v sau i hc.

Phung n 1:

Di = 0 nu cha tt nghip i hc

Di = 1 nu tt nghip i hc

Di =2 nu c trnh sau i hc

Cch t bin ny a ra gi nh qu mnh l phn ng gp ca hc vn vo tin

lng ca ngi c trnh sau i hc ln gp hai ln ng gp ca hc vn i vi

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ngi c trnh i hc. Mc tiu ca chng ta khi a ra bin D ch l phn loi nn
ta khng chn phng n ny.

Phng n 2: t b bin gi

D1iD2iHc vn

00Cha i hc

10i hc

01Sau i hc

M hnh hi quy

Yi = 1 + 2X + 3D1i + 4D2i + i(4.24)

Khai trin ca m hnh (4.24) nh sau

i vi ngi cha tt nghip i hc

E(Yi )= 1 + 2X (4.25)

i vi ngi c trnh i hc

E(Yi )= ( 1 + 3)+ 2X3(4.26)

i vi ngi c trnh sau i hc

E(Yi )= ( 1 + 3+ 4 )+ 2X (4.27)

Ci by ca bin gi

S lp ca bin phn loiS bin gi

Trong v d 4.1. 21

Trong v d 4.232

iu g xy ra nu chng ta xy dng s bin gi ng bng s phn lp?

V d 4.3. Xt li v d 4.1.

Gi s chng ta t bin gi nh sau

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D1iD2iVng

10Thnh th

01Nng thn

M hnh hi quy l

Yi = 1 + 2X i+ 3D1i + 4D2i + i(4.28)

Chng ta hy xem kt qu hi quy bng Excel

Kt qu hi quy rt bt thng v hon ton khng c ngha kinh t.

L do l c s a cng tuyn hon ho gia D1, D2 v mt bin hng X2 =-1.

D1i + D2i + X2 = 0 i.

Hin tng a cng tuyn hon ho ny lm cho h phng trnh chun khng c li
gii. Thc t sai s chun tin n v cng ch khng phi tin n 0 nh kt qu tnh
ton ca Excel. Hin tng ny c gi l ci by ca bin gi.

Quy tc: Nu mt bin phn loi c k lp th ch s dng (k-1) bin gi.

Hi quy vi nhiu bin phn loi

V d 4.4. Tip tc v d 4.2. Chng ta mun kho st thm c s phn bit i x trong
mc lng gia nam v n hay khng.

t thm bin v t li tn bin

GTi: Gii tnh, 0 cho n v 1 cho nam.

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TL : Tin lng

KN: S nm kinh nghim lm vic

H: Bng 1 nu tt nghip i hc v 0 cho cha tt nghip i hc

SH: Bng 1 nu c trnh sau i hc v 0 cho cha.

M hnh hi quy TLi = 1 + 2KNi + 3Hi + 4SHi + 5GTi+ i(4.29)

Chng ta xt tin lng ca n c trnh sau i hc

E(TLi /SH=1GT=0)= ( 1 + 4)+v2KNi

Bin tng tc

Xt li v d 4.1. Xt quan h gia tiu dng go v quy m h gia nh. cho n gin
trong trnh by chng ta s dng hm ton nh sau.

Nng thn: Y = 1 + 1X

Thnh th: Y = 2 + 2X

D : Bin phn loi, bng 1 nu h thnh th v bng 0 nu h nng thn.

C bn trng hp c th xy ra nh sau

1= 2 v 1= 2, hay khng c s khc bit trong tiu dng go gia thnh th v nng
thn.

M hnh : Y = a + b X

Trong 1= 2 = a v 1= 2 = b.

1 2 v 1= 2, hay c s khc bit v tung gc

M hnh: Y = a + bX + cD

Trong 1 = a, 2 = a + c v 1 = 2 = b.

1= 2 v 1 2, hay c s khc bit v dc

M hnh: Y = a + bX + c(DX)

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Trong DX = X nu nu D =1 v DX = 0 nu D = 0

1 = 2 = a , 1 = b v 2 = b + c.

1 2 v 1 2, hay c s khc bit hon ton v c tung gc v dc.

M hnh: Y = a + bX + cD + d(DX)

1 = a , 2 = a + c, 1 = b v 2 = b + d.

Hnh 4.2. Cc m hnh hi quy

Bin DX c xy dng nh trn c gi l bin tng tc. Tng qut nu Xp l mt

bin nh lng v Dq l mt bin gi th XpDq l mt bin tng tc. Mt m hnh hi
quy tuyn tng qut c th c nhiu bin nh lng, nhiu bin nh tnh v mt s bin
tng tc.

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Gii thiu mt s vn lin quan n m
hnh hi quy
Gii thiu

a cng tuyn

Bn cht ca a cng tuyn

a cng tuyn hon ho: Cc bin X1, X2,,Xk c gi l a cng tuyn hon ho
nu tn ti 1, 2, , k khng ng thi bng khng sao cho

X1 + 2X2 + + kXk =0(5.1)

Hin tng a cng tuyn hon ho thng xy do nhm ln ca nh kinh t lng nh

trng hp ci by ca bin gi m chng ta xem xt mc 4.7.3 chng 4.

Hin tng a cng tuyn m chng ta xt trong kinh t lng c hiu vi ngha rng
hn a cng tuyn hon ho nh iu kin (5.1). Cc bin X1, X2,,Xk c gi l a
cng tuyn khng hon ho nu tn ti 1, 2, , k sao cho

X1 + 2X2 + + kXk + =0(5.2)

vi l sai s ngu nhin.

Chng ta c th biu din bin Xi theo cc bin cn li nh sau

vi i 0.(5.3)

Vy hin tng a cng tuyn xy ra khi mt bin l s kt hp tuyn tnh ca cc bin

cn li v mt nhiu ngu nhin.

Mt s nguyn nhn gy ra hin tng a cng tuyn

Khi chn cc bin c lp mi quan c quan h nhn qu hay c tng quan cao v ng
ph thuc vo mt iu kin khc. V d s ging bnh v s bc s nu ng thi l
bin c lp ca mt hi quy th s gy ra hin tng a cng tuyn gn hon ho.

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Khi s quan st nh hn s bin c lp. Mt v d in hnh l mt nghin cu y khoa
trn mt s lng nh bnh nhn nhng li kho st qu nhiu nhn t tc ng ln hiu
qu iu tr.

Cch thu thp mu. V d ch thu thp mu trn mt s lp gii hn ca tng th.

Chn bin Xi c bin thin nh.

H qu ca a cng tuyn

V d 5.1

V d ny ly t William E.Griffiths et al, Learning and Practicing Econometrics, John

Wiley&Sons Inc, 1998, trang 433.
. Nghin cu ca Klein v Golberger(1995) v quan h gia tiu dng ni a C, thu
nhp t lng W, thu nhp khc phi nng nghip P v thu nhp t nng nghip A ca
nn kinh t Hoa K t nm 1928 n 1950, vi s liu ca cc nm 1942 n 1944 b
loi ra khi d liu. Klein v Golberger thc hin hi quy tiu dng ni a theo ba loi
thu nhp nh sau

Ct = 1 + 2Wt + 3Pt + 4A + t(5.4)

Hi quy ny c th gp phi hin tng a cng tuyn v cc loi thu nhp c xu hng
cng tng theo s pht trin ca nn kinh t.

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Bng 5.1. S liu thu nhp v tiu dng ca nn kinh t Hoa K

Kt qu hi quy nh sau

C =8,133 +1,059W +0,452P +0,121A(5.5)

t-Stat(0,91)(6,10)(0,69)(0,11)

Khong 95%(-10,78;27,04)(0,69;1,73)(-0,94;1,84)(-2,18;2,43)

R2 = 0,95F = 107,07 > F(3,16,99%) = 5,29.

M hnh ny c tnh gii thch cao th hin qua R2 rt cao v thng k F cao. Tuy nhin
mt s h s li khng khc khng vi ngha thng k th hin qua t-stat thp, ngha

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l c lng khong cho cc h s cha 0. W vi h s c t-stat ln th ngha kinh t
li rt l: nu thu nhp t lng tng 1 USD th tiu dng tng 1,059 USD. tm hiu
l do gy ra hin tng trn chng ta phi dng l thuyt ca i s ma trn, y ch
minh ho bng m hnh hi quy ba bin. Phng sai ca c lng h s 2 l

Khi X2 v X3 c hin tng cng tuyn th

cao lm cho phng sai ca c lng 2 cao. c lng b2 theo phng php bnh
phng ti thiu tr nn khng hiu qu.

H qu ca a cng tuyn

c lng cc h s khng hiu qu do phng sai ca c lng ln. M hnh c a

cng tuyn c t-stat nh v mt s h s ca th c du tri vi l thuyt hay c gi tr
khng ph hp. R2 th hin ph hp ca d liu v F th hin ngha chung ca cc
h s c th rt cao.

Gi tr c lng ca cc h s rt nhy cm i vi vic tng hoc bt mt hoc quan

st hoc loi b bin c mc ngha thp.

Mc d vic phn tch tc ng ring phn ca mt bin kh khn nhng tnh chnh xc
ca d bo c th vn cao khi bn cht ca a cng tuyn vn khng i i vi quan
st mi.

Bin php khc phc

Nu mc tiu ca phn tch hi quy l d bo th trong mt s trng hp chng ta

khng cn khc phc hin tng a cng tuyn.

Nu mc tiu ca phn tch l xt tc ng ring phn ca tng bin s ln bin ph

thuc quyt nh chnh sch th a cng tuyn tr thnh mt vn nghim trng.
Sau y l mt s bin php khc phc.

Dng thng tin tin nghim. V d khi hi quy hm sn xut Cobb-Douglas

Ln(Yi)= 1 + 2ln(Ki)+ 3ln(Li) + i (5.6)

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Chng ta c th gp hin tng a cng tuyn do K v L cng tng theo quy m sn
xut. Nu ta bit l hiu sut khng i theo quy m th ta c thm thng tin 2+ 3=1.
Vi thng tin tin nghim ny chng ta chuyn m hnh hi quy (5.6) thnh

Ln(Yi)= 1 + 2ln(Ki)+ (1- 2)ln(Li) + i (5.7)

B i mt bin c a cng tuyn. y l cch lm n gin nht. V d trong m hnh

c bin gii thch l s bc s v s ging bnh th ta c th b i bin s ging bnh.
Nu bin b b i thc s cn phi c trong m hnh th chng ta li gp phi mt vn
khc, l c lng chch i vi cc h s cn li. Vn ny chng ta s tip tc
xem xt cui chng.

Chuyn dng d liu

Gi s chng ta hi quy trn d liu chui thi gian

Yt = 1 + 2X2t + 3X3t + t(5.8)

V chng ta gp phi hin tng a cng tuyn do X1t v X3t c th cng tng hoc
gim theo tng nm. Ta c th ti thiu tc ng a cng tuyn ny bng k thut hi
quy trn sai phn bc nht nh sau:

Ta c

Yt-1 = 1 + 2X2,t-1 + 3X3,t-1 + t-1(5.9)

T (5.8) v (5.9) ta xy dng m hnh hi quy

(Yt -Yt-1 )= 2(X2t-X2,t-1) + 3(X3t- 3X3,t-1 )+ t(5.10)

Vi t= t- t-1.

Mt vn mi ny sinh l t c th c tnh tng quan chui, v nh th khng tun

theo gi nh ca m hnh hi quy tuyn tnh c in. Nu hin tng tng quan chui
l nghim trng th m hnh (5.10) cn km hn c m hnh (5.8).

Tng thm quan st. Gii php ny thch hp cho hin tng a cng tuyn do c mu
nh. i khi ch cn tng thm mt s quan st l ta khc phc c hin tng a cng
tuyn. Mt ln na chng ta li c s nh i. Tng d liu i khi ng ngha vi vic
tng chi ph, nht l i vi d liu s cp. Mt khc nu l d liu khng c kim sot,
chng ta phi bit chc rng cc iu kin khc tng t vi khi ta thu thp d liu gc.

Khc phc hin tng a cng tuyn i hi cc k thut phc tp v i khi cng khng
mang li hiu qu nh ta mong mun. Mt khc, hu ht cc m hnh hi quy bi u

99/151
c tnh cng tuyn nht nh nn chng ta phi cn thn trong vic xy dng m hnh v
gii thch kt qu. Chng ta s nghin cu nguyn tc xy dng m hnh cui chng.

Phng sai ca sai s thay i - HETEROSKEDASTICITY

Bn cht ca phng sai ca sai s thay i

Gi nh ca m hnh hi quy tuyn tnh c in l phng sai ca sai s hi quy khng

i qua cc quan st. Trong thc t sai s hi quy c th tng ln hoc gim i khi gi
tr bin c lp X tng ln. Tng qut, thay cho gi nh

chng ta gi nh

(5.11)

Thng gp phng sai khng ng nht d liu cho v d liu bng. Nguyn nhn
phng sai khng ng nht rt a dng, sau y l mt s trng hp in hnh:

Gi Y l s ph phm trong 100 sn phm ca mt th hc vic, X l s gi thc hnh.

Khi s gi thc hnh cng ln th s ph phm cng nh v cng t bin ng. Chng ta
c trng hp phng sai gim dn khi X tng dn.

Khi thu nhp(X) tng th chi tiu cho cc mt hng xa x tng v mc bin ng cng
ln. Chng ta c trng hp phng sai tng dn khi X tng dn.

Khi ci thin phng php thu thp s liu th phng sai gim.

Phng sai ca sai s tng do s xut hin ca im nm ngoi, l cc trng hp

bt thng vi d liu rt khc bit(rt ln hoc rt nh so vi cc quan st khc).

Phng sai thay i khi khng xc ng dng m hnh, nu mt bin quan trng b b
st th phng sai ca sai s ln v thay i. Tnh trng ny gim hn khi a bin b b
st vo m hnh.

H qu ca phng sai thay i khi s dng c lng OLS

Xt hi quy

Yi = 1 + 2X i+ i(5.12)

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vi

S dng phng php bnh phng ti thiu thng thng (OLS) chng ta c

vy c lng theo OLS khng chch.

Chng ta khng cha r l OLS c cho c lng hiu qu hay khng.

c lng bnh phng ti thiu c trng s (WLS)

, chia hai v ca (5,12) cho wi chng ta c m hnh hi quy

Ta vit li m hnh (5.13) nh sau

M hnh (5.14) khng c tung gc v phng sai ng nht.

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Vy c lng h s ca (5.15) theo OLS l c lng hiu qu(BLUE).

Kt qu c lng 2 ca (5.15) theo OLS nh sau

(5.16)

c lng (5.16) hon ton khc vi (5.13). Chng ta bit c lng theo WLS (5.16)
l c lng hiu qu vy c lng theo OLS (5.13) l khng hiu qu.

Phng sai ng ca h s c lng 2 l

nhng cc phn mm my tnh bo co phng sai l

T phng sai ca sai s b tnh sai ny cc tr thng k t-stat v sai s chun ca h s

c lng phn mm cung cp l v dng.

Tm li, vi s hin din ca phng sai ca sai s thay i mc d c lng cc h

s theo OLS vn khng chch nhng c lng khng hiu qu v cc tr thng k nh
t-stat khng chnh xc.

Pht hin v khc phc

Pht hin phng sai ca sai s thay i.

Phng php th. Xt th ca phn d theo gi tr Y v X.

102/151

Hnh 5.1. th phn tn phn d ei theo Y i.

Hnh 5.2. th phn tn phn d ei theo Xi

Theo cc th trn th khi gi tr d bo Y tng (hoc khi X tng) th phn d c xu

hng tng, hay m hnh c phng sai ca sai s thay i.

Cc php th chnh thc

Xt hi quy bi

103/151
(5.17)

Trong (k-1) bin c lp trn ta trch ra (p-1) bin lm bin c lp cho mt hi quy ph.
Trong hi quy ph ny phn d t hi quy m hnh(5.17) lm hi quy bin ph thuc.

Cc dng hi quy ph thng s dng l

Kim nh Breusch-Pagan cn c vo hi quy ph (5.18), kim nh Glejser cn c vo

(5.19) v kim nh Harvey-Godfrey cn c vo (5.20).

Gi thit khng l khng c phng sai khng ng nht

H0 : 2 = 3 = = p = 0

H1 : Khng phi tt c cc h s trn u bng 0.

R2 xc nh t hi quy ph, n l c mu dng xy dng hi quy ph, vi c mu ln

th nR2 tun theo phn phi Chi bnh phng vi (p-1) bc t do.

Quy tc quyt nh

Nu 2(p 1,1 ) nR2 th bc b H0.

Nu bc b c H0 th chng ta chp nhn m hnh c phng sai ca sai s thay i

v thc hin k thut c lng m hnh nh sau:

i vi kim nh Breusch-Pagan

i vi kim nh Glejser

i vi kim nh Harvey-Godfrey

104/151


2
Ta c w i = w i . n y chng ta c th chuyn dng hi quy theo OLS thng thng
sang hi quy theo bnh phng ti thiu c trng s WLS.

T tng quan (tng quan chui)

Trong m hnh hi quy tuyn tnh c in chng ta gi nh khng c tng quan gia
cc phn d hay E( ij) = 0 vi mi i, j.

Trong thc t i vi d liu chui thi gian, gi nh ny hay b vi phm. Mt l do

nm na l bin s kinh t c mt qun tnh(sc ) nht nh. V d s tng cu mt loi
hng ha ca nm nay s lm tng lng cung ni a ca hng ho vo nm sau, y
l tc ng tr ca bin c lp hay bin ph thuc thi k t chu tc ng ca bin c
lp thi k t-1.

i khi nn kinh t li phn ng qu nhy vi s thay i. V d gi ma cao nm nay

s lm cho nng dn x trng ma, sn lng ma nm sau tng vt lm gim gi ma
nm sau, y l tc ng tr ca bin ph thuc hay gi tr bin ph thuc thi k t
chu nh hng ca gi tr bin ph thuc thi k t-1.

Hin tng t tng quan lm cho E( ij) 0 v gy ra cc hu qu sau

c lng theo OLS khng chch nhng khng hiu qu

Cc tr thng k tnh theo OLS khng hu ch trong vic nhn nh m hnh.

Chng ta c th pht hin hin tng t tng quan bng cch quan st th phn d
ca m hnh trn d liu chui thi gian.

105/151
Hnh 5.3. Tng quan chui nghch

Hnh 5.4. Tng quan chui thun

Chng ta s tip tc lm vic vi d liu chui v x l hin tng t tng quan phn
sau ca gio trnh lin quan n cc m hnh d bo.

La chn m hnh

Mt yu t quan trng u tin chn ng m hnh hi quy l chn ng dng hm.

chn ng dng hm chng ta phi hiu ngha v mi quan h kinh t ca cc bin

106/151
s. ngha ca mt s loi hm thng dng c trnh by mc 3.8.2 chng 3.
phn ny chng ta xt hu qu ca mt s dng xy dng m hnh sai v chin lc xy
dng m hnh kinh t lng. Chng ta cng khng i su vo chng minh cc kt qu.

Thiu bin c lin quan v cha bin khng lin quan.

Xt hai hi quy sau

(5.21)

(5.22)

M hnh (5.21) c cc tr thng k tng ng c k hiu R v m hnh (5.22) c cc tr

thng k tng ng c k hiu U.

C hai trng hp xy ra:

Trng hp 1: Nu m hnh (5.22) l ng nhng chng ta chn m hnh (5.21) ngha

l chng ta b st L bin quan trng (XK+1,..XK+L). Hu qu l c lng cc h s cho
K-1 bin c lp cn li b chch, m hnh km tnh gii thch cho c mc tiu d bo
vo phn tch chnh sch.

Trng hp 2: Nu m hnh (5.21) l ng nhng chng ta chn m hnh (5.22), ngha

l chng ta a vo m hnh cc bin khng lin quan. Hu qu l c lng h s cho
cc bin quan trng vn khng chch nhng khng hiu qu.

Kim nh so snh m hnh (5.21) v (5.22) - Kim nh Wald

Chng ta mun kim nh xem L bin (XK+1,..XK+L) c ng c a vo m hnh

hay khng.

H0:

Tr thng k

107/151
Quy tc quyt dnh: Nu

th ta bc b H0 hay chp nhn L bin (XK+1,..XK+L) xng ng c a vo m

hnh.

Hai chin lc xy dng m hnh

C hai chin lc xy dng m hnh kinh t lng l:

Xy dng m hnh t n gin n tng qut: cha tt c cc bin c lin quan trong m
hnh v loi b dn nhng bin t ngha thng k nht cho n khi nhn c m hnh
tt nht.

Xy dng m hnh tng qut n n gin : Xut pht t bin c lp c quan h kinh t
trc tip nht vi bin ph thuc, tip tc b sung bin mi cho n khi nhn c m
hnh tt nht.

Mi cch lm u c nhng u v nhc im. Hin nay vi cng c my vi tnh, ngi

ta khng cn ngi tnh ton trn m hnh ln v nhiu nh kinh t lng cho rng xy
dng m hnh t tng qut n n gin th hiu qu hn t n gin n tng qut. Nt
chung ca c hai chin lc ny l tng bc u phi thc hin kim nh Wald.

108/151
D bo vi m hnh hi quy
D BO VI M HNH HI QUY (c thm)PHN LOI CC
PHNG PHP D BO

C hai nhm phng php d bo chnh l nhm nh tnh v nhm nh lng. Trong
gio trnh ny chng ta ch yu s dng phng php nh lng c kt hp vi cc
phn on nh tnh d bo.

Cc phng php d bo nh tnh

Cc phng php d bo nh tnh da vo phn on ch quan v trc gic a ra

d bo thay cho v da vo cc s liu qu kh. Phng php d bo nh tnh hu ch
cho vic d bo ton cc v mt s trng hp m s liu qu kh khng hu ch cho
d bo.

Cc phng php d bo nh lng

Cc k thut d bo nh lng da vo vic phn tch s liu qu kh a ra d bo.

Gi nh ca phng php ny l cc nhn t tng tc ng ln bin c d bo trong
qu kh vn tip tc nh hng n bin ny trong tng lai. Vy da vo din bin d
liu trong qu kh ta c th d bo cho tng lai. Cc phng php d bo nh lng
li c chia thnh hai nhm chnh: d bo nh lng mang tnh nhn qu v d bo
nh lng mang tnh thng k.

Cc phng php d bo nh lng mang tnh nhn qu

i din ca nhm phng php ny l phn tch hi quy. M hnh d bo c hai nhm
bin s: cc bin s c d bo c gi l bin c lp, cc bin s dng d bo
c gi l bin ph thuc. Chng ta nghin cu m hnh hi quy phn 1, nay
chng ta tip tc nghin cu vic p dng m hnh hi quy cho d bo v mt s k
thut phn tch hi quy vi d liu chui thi gian.

Cc phng php d bo nh lng mang tnh thng k

Nhm cc phng php d bo mang tnh thng k ch quan tm n quy lut bin thin
ca bin cn d bo trong qu kh da ra d bo. Bin thin ca mt bin s kinh t
c chia thnh cc thnh phn: xu hng, chu k, thi v v ngu nhin.

Nhm cc phng php d bo mang tnh thng k li chia thnh hai nhm chnh.

109/151
Nhm th nht phn tch mt thnh phn hoc kt hp mt s thnh phn ring bit nu
trn nh: ng xu hng, san bng s m, trung bnh ng.

Nhm th hai s dng cc khi nim thng k v d liu chui thi gian m khng chia
bin ng ca d liu thnh cc thnh phn ring bit nh phng php lun Box-
Jenkins.

D bo vi m hnh hi quy thng thng

M hnh hi quy

(6.1)

Ch s t ch thi k th t.

Gi s m hnh ny tho mn cc iu kin ca phng php c lng theo bnh

phng ti thiu. Cc tham s c lng t m hnh tng ng l

c on tt nht cho Yt+1 khi bit cc Xi,t+1 l:

(6.2)

lch chun ca c lng l

i vi hi quy hai bin

(6.3)

i vi hi quy bi: cng thc rt phc tp v nm ngoi phm vi gio trnh ny.

110/151
Tnh cht tr ca d liu chui thi gian v h qu ca n n m hnh

Khi chng ta s dng m hnh (6.1) chng ta gi nh rng cc bin c lp tc ng

tc th ln bin ph thuc v bin ph thuc ch chu tc ng ca bin c lp. i vi
cc bin s kinh t cc gi nh ny thng khng ng. Tc ng ca bin c lp c
thnh phn tc ng tc thi v c thnh phn tc ng tr. Mt khc, i khi bn thn
bin ph thuc cng c qun tnh hay sc ca n. C ba nguyn nhn gy ra
tr hay sc trong kinh t l

Nguyn nhn tm l

Khi thu nhp ca mt ngi gim tiu dng ca ngi c th khng gim ngay lp
tc do thi quen duy tr mc sng cao. Nu tnh hnh thu nhp vn khng phc hi trong
thi gian di, anh ta phi hc cch chi tiu tit kim hn.

Nguyn nhn k thut

Gi s cu ni a i vi mt mt hng tng ln lm gi mt mt hng ny tng. Sn

lng ni a c th khng tng tc thi v tng sn lng cn phi c thi gian xy
dng nh my, u t my mc thit b v o to cng nhn. Doanh nghip cn phi
phn tch xem s tng cu ni a ny c mang tnh cht lu di hay ch l tc thi.

Nguyn nhn nh ch

Cc rng buc php l l nguyn nhn ca mt s hin tng tc ng tr. V d nu

hp ng ti tr Gii bng chuyn nghip Vit Nam c k kt c hiu lc 2
nm th Lin on Bng Vit Nam khng th hu hp ng k li vi mt i tc
khc c s tin ti tr cao hn. Gi s s tin ti tr ph thuc tm nh hng ca gii
u ln cng chng th hin qua s lt khn gi n sn v s lt khn gi theo di
qua truyn hnh. S khn gi n sn tng ln ch c th tc ng lm tng s tin ti tr
ca ln k kt 2 nm sau.

Khi c tnh cht tr nu trn ca d liu chui thi gian, m hnh (6.1) c sai s hi
quy khng tha mn cc iu kin ca m hnh hi quy tuyn tnh c in.(Ti sao?).
T d bo theo (6.2) s khng chnh xc.

M hnh t hi quy

(6.4)

M hnh (6.4) cn c gi l m hnh ng v n th hin mi lin h gia gi tr ca

bin ph thuc vi gi tr qu kh ca n.

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M hnh c tr phn phi

(6.5)

Trong m hnh ny k c gi l tr. Chng ta phi xc nh tr k.

Cch tip cn ca Alt v Tinberger1F.F.Alt, Distribution Lags, Economitrica,

quyn 10,1942, trang 113-128. (Theo D.N.Gujarati, Basis Econometrics 3rd Edition,
1995, trang 591).:

V Xt l xc nh v khng tng quan vi t nn Xt-1,Xt-2, , Xt-k u xc nh v

khng tng quan vi t. Do chng ta c th p dng OLS c lng tham s cho
m hnh (6.5). Chng ta s xc nh k bng cch tng dn tr nh sau:

Hi quy Yt theo Xt

Hi quy Yt theo Xt v Xt-1

(k) Hi quy Yt theo Xt, Xt-1, , Xt-k

(k+1) Hi quy Yt theo Xt, Xt-1, , Xt-(k+1)

Qu trnh ny dng tr (k+1) hoc (k+2) khi chng ta nhn thy cc h s ng vi

cc bin tr khng c ngha thng k hoc i du.

Qu trnh trn vng phi bn nhc im nh sau:

Khng c tin liu trc l tr s l bao nhiu.

M hnh c thm mt tr th mt i mt bc t do, nu d liu chui thi gian khng

di th ngha thng k ca m hnh ngy cng km.

Cc bin gii thch thc cht l gi tr ca mt bin X theo thi gian, iu ny gy ra s

tng quan gia cc bin gii thch trong m hnh, tc l c hin tng a cng tuyn.
c lng cc tham s ca m hnh trong trng hp c a cng tuyn s cho kt qu
km chnh xc.

Vic xc nh tr k ca m hnh (6.5) theo cch thc trn l mt dng ca o m

d liu.

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M hnh Koyck

Gi nh:

Tt c cc h s ng vi bin tr c cng du

Cc h s tun theo cp s nhn gim dn:

vi 0 < < 1.

Chng ta vit li m hnh (6.5) nh sau

(6.6)

Tng t

(6.7)

Nhn (6.7) vi

(6.8)

Ly (6.6) tr (6.7)

(6.9)

Kt qu cui cng

(6.10)

Vi

, t cn c gi l trung bnh trt ca t v t-1.

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M hnh (6.10) c gi l m hnh chuyn dng Koyck. Chng ta chuyn m hnh
tr phn phi thnh m hnh t hi quy.

M hnh k vng thch nghi

Gi s m hnh xc nh cu tin c dng nh sau

P.Cagan, The Monetary Dynamics of Hyperinflations, in M.Friedman (ed.), Studies

in the Quantity Theory of Money, University of Chicago Press, 1956.

(6.11)

Y : Cu tin

X*: Gi tr k vng

Gi tr k vng y mang ngha gi tr c mong i, khng mang ngha gi tr

trung bnh thc.
ca li sut danh ngha

: Sai s hi quy

Li sut k vng ca nm nay(nm t) khng th quan st c mt cch trc tip m

c xc nh nh sau

vi 0 < 1.

Biu thc ny hm k vng ca ngi ta thay i(thch hp) theo li sut thc t, hay
ni cch khc ngi ta hc hi t sai lm.

(6.12)

Thay (6.12) vo (6.11)

Qua mt s php bin i tng t nh m hnh Koyck ta c

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(6.13)

Vi

M hnh hiu chnh tng phn

M hnh hiu chnh tng phn ph hp vi phn tch hi quy c tr do l do k thut

v nh ch.

Gi s mc u t t bn ti u ng vi mt mc sn lng X cho trc l Y*. M hnh

hi quy n gin Y* theo X nh sau:

(6.14)

Thc t chng ta khng trc tip quan st c Yt.

Gi nh Yt c xc nh nh sau:

vi 0 < 1. (6.15)

Trong

: Thay i lng t bn thc t, cng chnh l u t trong k

: Thay i lng t bn mong mun

T (6.14) v(6.15) sau mt vi php bin i chng ta nhn c

(6.17)

Mt ln na chng ta li nhn c m hnh t hi quy.

115/151
c lng m hnh t hi quy

Trong c ba m hnh va xt, chng ta u nhn c m hnh cui cng c dng t hi

quy.

Koyck:

(6.18)

K vng thch nghi

(6.19)

Hiu chnh tng phn

(6.20)

Dng chung ca ba m hnh ny l

(6.21)

C hai vn cn lu tm i vi m hnh (6.21):

Th nht, c s hin din ca bin ngu nhin trong cc bin c lp, l Yt-1. iu
ny vi phm iu kin ca m hnh hi quy tuyn tnh c in.

Th hai, c kh nng xy ra hin tng tng quan chui.

trnh cc h qu bt li do Yt-1 gy ra ngi ta s dng mt bin thay th cho Yt-1

vi c tnh bin ny tng quan mnh vi Yt-1 nhng khng tng quan vi Xt. Bin
c lp c c tnh va k c gi l bin cng c

N.Levitan c xut dng Xt-1 lm bin cng c cho Yt-1 v d xut mt h phng
trnh chun c bit cho c lng h s, nhng vn a cng tuyn ca m hnh
cng khng c khc phc trit . (Theo Gujarati, Basic Econometrics, 3rd
Edition,Mc Graw-Hill Inc,1995, trang 604-605).
.

116/151
6.6. Pht hin t tng quan trong m hnh t hi quy

Tr thng k h

(6.22)

( )
Trong : n = c mu; var 2 = phng sai h s c lng ca Yt-1.

l h s t tng quan mu bc nht c xc nh t cng thc

(6.23)

h c phn phi chun ho tim cn. T phn phi chun ho chng ta c

P(-1,96 < h < 1,96) = 0,95

Quy tc quyt nh:

Nu h < -1,96, chng ta bc b H0 cho rng m hnh khng c t tng quan bc 1

nghch.

Nu h > 1,96, chng ta bc b H0 cho rng m hnh khng c t tng quan bc 1 thun.

Nu -1,96 < h < 1,96: chng ta khng th bc b H0 cho rng khng c t tng quan
bc nht.

117/151
Cc thnh phn ca d liu chui thi gian
Cc thnh phn

Cc thnh phn chnh ca d liu chui thi gian l

Xu hng

Chu k

Thi v

Ngu nhin

Xu hng di hn

Xu hng di hn th hin s tng trng hoc gim st ca mt bin s theo thi gian
vi khong thi gian di. Mt s bin s kinh t c xu hng tng gim di hn nh

Tc tng dn s ca Vit Nam c xu hng gim.

T trng nng nghip trong GDP ca Vit Nam c xu hng gim.

Mc gi c xu hng tng.

Chu k

Cc s liu kinh t v m thng c s tng gim c quy lut theo chu k kinh t. Sau
mt thi k suy thoi kinh t s l thi k phc hi v bng n kinh t, k tip tng
trng kinh t s chng li v khi u cho mt cuc suy thoi mi. Tu theo nn kinh
t m chu k kinh t c thi hn l 5 nm, 7 nm hay 10 nm.

Thi v

Bin ng thi v ca bin s kinh t l s thay i lp i lp li t nm ny sang

nm khc theo ma v. Bin ng thi v xy ra do kh hu, ngy l, phong tc tp
qunBin ng thi v c tnh ngn hn vi chu k lp li thng l 1 nm.

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Ngu nhin

Nhng dao ng khng thuc ba loi trn c xp vo dao ng ngu nhin. Cc

nguyn nhn gy ra bin ng ngu nhin c th l thi tit bt thng, chin tranh,
khng hong nng lng, bin ng chnh tr

Xu hng di hnTnh thi v

Hnh 7.1. Xu hng v thi v

Ngun: Problem set 7, Analytic method for Policy Making, Chng trnh Ging dy
Kinh t Fulbright Vit Nam 2000.

Bt thng(Ngu nhin)Chu k 10 nm

119/151
Hnh 7.2. Chu k v ngu nhin-Tng trng kinh t ca Hoa K giai on 1961-1999.

Ngun : World Development Indicator CD-Rom 2000, World Bank.

120/151
D bo theo ng xu hng di hn
M hnh xu hng tuyn tnh

Chng ta s dng m hnh xu hng tuyn tnh nu tin rng bin Y tng mt lng
khng i trong mt n v thi gian.

(7.1)

hoc dng

(7.2)

ng vi d liu hnh 7.2, phng trnh ng xu hng l

gt = 3,6544- 0,029t

Vi gt = tc tng trng GDP ca Hoa K, tnh bng %.

t = nm ang xt- 1991.

D bo tc tng trng kinh t cho nm 2000 l

g2000 = 3,6544 0,029*(2000 1961) = 2,52 %

M hnh xu hng dng m

Chng ta s dng hm m khi cho rng c t l tng trng c nh trong mt n v

thi gian.

(7.3)

chuyn dng

(7.4)

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M hnh xu hng dng m dng d bo dn s, sn lng, nhu cu nng
lngHnh 7.3 cho thy dn s ca Vit Nam c dng hm m vi phng trnh c
lng nh sau:

Yt = 33,933e0,0214n

T dng hm (7.3), kt qu (7.4) cho thy tc tng dn s ca Vit Nam trong thi
k 1960-1999 khong 2,14 %.

Hnh 7.3. Dn s Vit Nam giai on 1960-1999

Ngun : World Development Indicator CD-Rom 2000, World Bank.

M hnh xu hng dng bc hai

(7.5)

Du ca cc tham s quyt nh dng ng xu hng nh sau:

Nu 2 v 3 u dng: Y tng nhanh dn theo thi gian.

Nu 2 m v 3 dng: Y gim sau tng

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Nu 2 dng v 3 m: Y tng nhng tc tng gim dn sau t cc tr v bt
u gim.

123/151
Mt s tiu chun k thut d bo n gin
Mt s k thut d bo n gin

Trung bnh trt (Moving Average)

Gi tr d bo bng trung bnh ca m gi tr trc

(7.6)

Mt lu l khi lm trn chui d liu bng k thut trung bnh trt nh trn m hnh
gim (m-1) bc t do. Chng ta tm gc li vic tho lun v s s hng m ca m hnh
trung bnh trt (7.6).

San bng s m (Exponential Smoothing Method)1Phng php d bo ny cn

c gi l phng php Holt.

tng ca m hnh san bng s m tng t m hnh k vng thch nghi m chng ta
xt chng 6. Gi tr d bo mi khng ch ph thuc vo gi tr giai on trc
m cn ph thuc gi tr d bo ca giai on trc.

(7.7.a)

hoc

(7.7.b)

cng gn 1 th d bo mi cng gn vi gi tr gn nht, nu cng gn 0 th d bo

mi cng gn vi d bo gn nht. Trong thc t ngi ta s th vi cc gi tr khc
nhau, gi tr c chn l gi tr lm cho sai s d bo bnh phng trung bnh(MSE)
ca m hnh nh nht.

C th dng trung bnh ca 5 n 6 s u tin lm gi tr d bo u tin

Theo Loan L, H thng d bo iu khin k hoch ra quyt nh, NXB Thng

K-2001, trang 307-308.

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.

T hi quy (Autoregression)

Gi tr d bo c xc nh t m hnh t hi quy vi m tr.

(7.8)

Trong m hnh (7.7) c th c s 0 hoc khng c 0. Trng hp c 0 ng vi d liu

c xu hng di hn tng hoc gim, trng hp khng c 0 ng vi d liu c tnh
dng

Chng ta s tho lun v tnh dng khi nghin cu m hnh ARIMA.

.

Tiu chun nh gi m hnh d bo

Gi

l gi tr d bo cho Yt. Sai s ca d bo l t = Yt -

Hai tiu chun thng c s dng nh gi v so snh cc m hnh d bo l

Sai s d bo tuyt i trung bnh(Mean absolute deviation-MAD)

(7.9)

Sai s d bo bnh phng trung bnh(Mean squared error-MSE)

2

MSE =
n
t=1 (Yt Y t) (7.10)
n

M hnh tt l m hnh c MAD v MSE nh.

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Mt v d bng s

S dng s liu gi bp ci n thng 12/1992(hnh7.1), chng ta lp m hnh d bo

gi bp ci v d bo cho cc thng ca nm 1993.

M hnh 1: Lin

Xu hng tuyn tnh:

vi k l s th t ca thi k t.

M hnh 2: MA

Trung bnh trt:

M hnh 3: Holt

Phung php Holt:

vi = 0,6.

M hnh 4: AR

T hi quy:

Sau khi c lng cc h s ca m hnh 1 v 4 da trn s liu n ht 1992(trong

mu), chng ta c lng cho c giai on trc 1993(trong mu) v 1993(ngoi mu).
Chng ta v th cc dy s liu d bo v s liu gc nh hnh 7.5.

Kt qu tnh ton sai s ca cc m hnh nh sau:

Trong mu:

126/151
Ngoi mu

Trong trng hp c th ca v d ny m trung bnh trt(MA) cho MSE trong mu

nh nht nhng phng php Holt li cho MSE nh nht ngoi mu.

Hnh 7.4. Cc phng php d bo n gin

127/151
Gii thiu m hnh ARIMA
Tnh dng ca d liu

Qu trnh ngu nhin(Stochastic process)

Bt c d liu chui thi gian no cng c to ra bng mt qu trnh ngu nhin. Mt

dy s liu thc t c th nh gi bp ci tng thng hnh 7.1 l kt qu ca mt qu
trnh ngu nhin. i vi d liu chui thi gian, chng ta c nhng khi nim v tng
th v mu nh sau:

Qu trnh ngu nhin l mt tng th.

S liu thc t sinh ra t qu trnh ngu nhin l mu.

Tnh dng(Stationary)

Mt qu trnh ngu nhin c gi l c tnh dng khi n c cc tnh cht sau:

K vng khng i theo thi gian, E(Yt) = .

Phng sai khng i theo thi gian, Var(Yt) = E(Yt- ) = 2.

ng phng sai ch ph thuc khong cch ca tr m khng ph thuc thi im

tnh ng phng sai , vk = E[(Yt- )(Yt-k- )] khng ph thuc t.

Lu : Chng ta c th bin d liu chui thi gian t khng c tnh dng thnh c tnh
dng bng cch ly sai phn ca n.

wt = Yt-Yt-1: Sai phn bc nht

w2t = wt wt 1: Sai phn bc hai

Hm t tng quan v hm t tng quan mu

Hm t tng quan(ACF) tr k c k hiu l k c nh ngha nh sau:

(7.11)

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Tnh cht ca ACF

k khng c th nguyn.

Gi tr ca k nm gia -1 v 1.

Trong thc t chng ta ch c th c s liu thc t l kt qu ca qu trnh ngu nhin,

do chng ch c th tnh ton c hm t tng quan mu(SAC), k hiu l rk.

vi

lch chun h s t tng quan mu

s(rj) =

(7.12)

Tr thng k t

Vi c mu ln th tk ~ Z nn vi t > 1,96 th rk khc khng c ngha thng k, khi

ngi ta gi rk l 1 nh.

Cc phn mm kinh t lng s tnh ton cho chng ta kt qu ca SAC v cc gi tr

n hn(hoc tr thng k t) ca n ng vi mc ngha = 5%.

Thng k Ljung-Box

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(7.14)

n l c mu

m l chiu di ca tr

H0: Tt c cc rk u bng 0.

H1: Khng phi tt c cc rk u bng 0.

Nu LB > 2m,1 th ta bc b H0.

Mt s phn mm kinh t lng c tnh ton tr thng k LB.

Hm t tng quan ring phn (PACF)

H s t tng quan ring phn vi tr k o lng tng quan ca Yt-k vi Yt sau

khi loi tr tc ng tng quan ca tt cc cc tr trung gian. Cng thc tnh PACF
nh sau

(7.15)

lch chun ca rkk

Cng thc tnh lch chun ca rkk ph thuc vo bc ca sai phn. Cng thc trnh
by trn l cng thc gn ng vi s quan st ln.

Tr thng k t

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Vi c mu ln th tkk~ Z nn vi tkk> 1,96 th rkk khc khng c ngha thng k, khi
ngi ta gi rkk l 1 nh.

Cc chng trnh kinh t lng c th tnh ton cho chng ta cc gi tr PACF, cc gi

tr ti hn hay tr thng k t.

M hnh AR, MA v ARMA

Xt qu trnh ngu nhin c tnh dng vi d liu chui thi gian Yt c E(Yt) = v sai
s ngu nhin t c trung bnh bng 0 v phng sai 2(nhiu trng).

M hnh t hi quy (AR-Autoregressive Model)

M hnh t hi quy bc p c k hiu l AR(p) c dng

Nhn dng m hnh AR(p): PACF c nh n tr p v SAC suy gim nhanh ngay
sau tr th nht th m hnh d bo c dng t hi quy bc p.

M hnh trung bnh trt(MA-Moving average Model)

M hnh trung bnh trt bc q c k hiu l MA(q) c dng

(7.18)

vi l hng s, t l nhiu trng.

Nhn dng m hnh MA(q): SAC c nh n tr q v SPAC suy gim nhanh ngay
sau tr th nht.

M hnh kt hp t hi quy kt hp trung bnh trt(ARMA)

M hnh c t hi quy bc p v trung bnh trt bc q c k hiu l ARMA(p,q) c

dng

(7.19)

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Nhn dng m hnh ARMA(p,q): c SAC v SPAC u c gi tr gim dn theo hm
m. Nhn dng ng p v q i hi phi c nhiu kinh nghim. Trong thc hnh ngi
ta chn mt vi m hnh ARMA v la chn m hnh tt nht.

M hnh ARIMA v SARIMA

ARIMA

a s d liu kinh t theo chui thi gian khng c tnh dng(stationary) m c tnh kt
hp(integrated). nhn c d liu c tnh dng, chng ta phi s dng sai phn ca
d liu.

Cc bc sai phn

Sai phn bc 0 l I(0): chnh l d liu gc Yt.

Sai phn bc 1 l I(1): wt = Yt Yt-1.

Sai phn bc 2 l I(2): w2t = wt wt-1

Sai phn bc d k hiu I(d).

M hnh ARMA(p,q) p dng cho I(d) c gi l m hnh ARIMA(p,d,q).

SARIMA

Trong m hnh ARIMA nu chng ta tnh ton sai phn bc nht vi tr ln hn 1

kh tnh ma v nh sau wt = Yt Yt-s, vi s l s k gia cc ma th m hnh c
gi l SARIMA hay ARIMA c tnh ma v.

Phng php lun Box-Jenkins

Phng php lun Box-Jenkins cho m hnh ARIMA c bn bc nh sau:

Bc 1: Xc lp m hnh ARIMA(p,d,q)

Dng cc th xc nh bc sai phn cn thit th c tnh dng. Gi s d liu

dng I(d). Dng th SAC v SPAC ca I(d) xc nh p v q.

Trin khai dng ca m hnh.

Bc 2: Tnh ton cc tham s ca m hnh.

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Trong mt s dng ARIMA n gin chng ta c th dng phng php bnh phng
ti thiu. Mt s dng ARIMA phc tp i hi phi s dng cc c lng phi tuyn.
Chng ta khng phi lo lng v vic c lng tham s v cc phn mm kinh t lng
s tnh gip chng ta. Quay li bc 1 xy dng m hnh vi cp (p,q) khc dng nh
cng ph hp. Gi s chng ta c lng c m m hnh ARIMA.

Bc 3: Kim tra chn on

So snh cc m hnh ARIMA c lng vi cc m hnh truyn thng(tuyn tnh,

ng xu hng, san bng s m,) v gia cc m hnh ARIMA vi nhau chn
m hnh tt nht.

Bc 4: D bo

Trong a s trng hp m hnh ARIMA cho kt qu d bo ngn hn ng tin cy nht

trong cc phng php d bo. Tuy nhin gii hn ca ca ARIMA l:

S quan st cn cho d bo phi ln.

Ch dng d bo ngn hn

Khng th a cc yu t thay i c nh hng n bin s cn d bo ca thi k cn

d bo vo m hnh.

Xy dng m hnh ARIMA theo phng php lun Box-Jenkins c tnh cht ngh thut
hn l khoa hc, hn na k thut v khi lng tnh ton kh ln nn i hi phi c
phn mm kinh t lng chuyn dng.

MT S GI TR Z THNG C S DNG

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Ngun: hm Normsinv ca Excel.

MT S GI TR t THNG C S DNG

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Ngun: hm Tinv ca Excel.

MT S GI TR F TI HN TRN THNG C S DNG

Mc ngha = 5%

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136/151
Ngun: hm Finv ca Excel.

MT S GI TR TI HN TRN THNG C S DNG

Mc ngha = 5%

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138/151
Ngun: Hm Chiinv ca Excel

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Ti liu tham kho
Ti liu

PGS.TS. V Thiu, TS. Nguyn Quang Dong, TS. Nguyn Khc Minh

Kinh t lng

NXB Khoa hc v K thut H ni-1996

TS. Bi Phc Trung

Gio trnh Kinh t lng

Trng i hc Kinh t TP H Ch Minh-2001

TS. Nguyn Thng

Kinh t lng ng dng

NXB i hc Quc gia TP H Ch Minh-2000

TS. Nguyn Quang Dong

Bi tp Kinh t lng vi s tr gip ca phn mm Eviews

NXB Khoa hc v k thut-2002

TS. Nguyn Quang Dong

Kinh t lng nng cao

NXB Khoa hc v k thut-2002

Loan L

H thng d bo iu khin k hoch ra quyt nh

NXB Thng K-2001

L Thanh Phong

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Hng dn s dng SPSS for Windows V.10

i hc Cn Th-2001

PGS. ng Hn

Xc sut thng k

NXB Thng k-1996

PGS. ng Hn

Bi tp xc sut thng k

NXB Thng k-1996

Nguyn nh Tr, T Vn Dnh v Nguyn H Qunh

Ton hc cao cp

NXB Gio Dc-1998

Cng Khanh

Gii tch mt bin

T sch i hc i cng TP H Ch Minh-1997

Cng Khanh

Gii tch nhiu bin

T sch i hc i cng TP H Ch Minh-1997

Bi Vn Ma

Logic hc

i hc Kinh t TP H Ch Minh-1998

Cao Ho Thi, L Nguyn Hu, T Tr Nhn, V Vn Huy v Nguyn Qunh Mai

Crystal Ball- D bo v phn tch ri ro cho nhng ngi s dng bng tnh

141/151
Chng trnh ging dy kinh t Fulbright Vit nam-1995

on Vn X

Kinh t lng

i hc Cn th 1993

Ban bin dch First News

EXCEL ton tp

Nh Xut Bn Tr-2001

TS.Phan Hiu Hin

Phng php b tr th nghim v x l s liu(Thng k thc nghim)

NXB Nng Nghip 2001.

Chris Brooks

Introductory Econometrics for Finance

Cambridge University Press-2002

A.Koutsoyiannis

Theory of Econometrics-Second Edition

ELBS with Macmillan-1996

Damodar N. Gujarati

Basic Econometrics-Second Edition

McGraw-Hill Inc -1988

Damodar N. Gujarati

Basic Econometrics-Third Edition

McGraw-Hill Inc -1995

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Damodar N. Gujarati

Basic Econometrics-Student solutions manual to accompany

McGraw-Hill Inc-1988

Ernst R. Berndt

The Practice of Econometrics: Classic and Contemporary

MIT-1991

William E. Griffiths, R. Carter Hill, George G.Judge

Learning and Practicing Econometrics

John Wiley & Sons-1993

Daniel Westbrook

Applied Econometrics with Eviews

Fulbright Economics Teaching Program-2002

Ramu Ramanathan

Introductory Econometrics with Applications

Harcourt College Publishers-2002

Robert S.Pindyck and Daniel L.Rubinfeld

Econometric Models and Economics Forcasts-Third Edition

McGraw-Hill Inc-1991

Kwangchai A.Gomez and Arturo A.Gomez

Statistical Procedures for Agricultural Research

John Wiley & Sons-1983

Chandan Mukherjee, Howard White and Marc Wuyts

143/151
Data Analysis in Development Economics

Draft -1995

Aswath Damodaran

Corporate Finance-Theory and Practice

John Willey & Sons, Inc - 1997

144/151
Bi tp kinh t lng
Bi tp

1. Kt qu c lng c c ph hp vi l thuyt kinh t hay khng?

Khi thu nhp tng th nhu cu tng. M hnh ph hp vi l thuyt kinh t.

2. Cho bit ngha ca 0

1 v 1 2

3. Khi thu nhp tng 10.000 ng (10 n v) th nhu cu (trung bnh) tng t nht bao

nhiu.

- Theo yu cu ca bi ton ta phi tm khong tin cy ti thiu vi tin cy (1 - ) =

0,95 cho tham s 1. Khong tin cy l:

1 1 - tn kSe( 1 )

Khi thu nhp tng 10.000 ng/thng th nhu cu (trung bnh) tng t nht 0,4635

lt/thng.

4. Hy c lng mc tng nhu cu v bia bng khong tin cy 95% khi thu nhp tng

100.000 ng (10 n v).

Xem chi tit ti y

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Kinh t lng m hinh hi quy tuyn tnh
bi
M hnh hi qui bi

Th no l m hnh hi qui bi?

M hnh hi qui bi l m hnh trong bin ph thuc ph thuc vo t nht hai bin
gii thch.

M hnh hi quy tuyn tnh bi

M hnh hi qui tng th theo dng thng thng

Cc gi thit cho m hnh hi qui tuyn tnh c in

Xem chi tit ti y

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Tham gia ng gp
Ti liu: Kinh T Lng
Bin tp bi: Phm Tr Cao
URL: http://voer.edu.vn/c/2d2e6a46
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Gii Thiu_kinh t lng

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/4476b23a
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Xc Sut
Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/13478705
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Thng k m t
Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/9d751f46
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Thng k suy din

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/ed9ca210
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Thng k suy din 2

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/146fe276
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Khi nim v hi quy

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/53679818

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Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Hm hi quy tng th v hi quy mu

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/47327531
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: c lng cc h s ca m hnh hi quy theo phng php bnh phng ti

thiu
Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/54bb21d8
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Khong tin cy v kim nh gi thit v cc h s hi quy

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/501bb053
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/e0a1b79e
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Xy dng m hnh hi quy tuyn tnh bi

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/5c899605
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Bin phn loi

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/df65058a
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Gii thiu mt s vn lin quan n m hnh hi quy

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/a4d7c5b7
Giy php: http://creativecommons.org/licenses/by/3.0/

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Module: D bo vi m hnh hi quy
Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/94c706b8
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Cc thnh phn ca d liu chui thi gian

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/0232edd1
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: D bo theo ng xu hng di hn

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/20fe8966
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Mt s tiu chun k thut d bo n gin

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/ce680247
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Gii thiu m hnh ARIMA

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/a9eeacbb
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Ti liu tham kho

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/ba1eab7f
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Bi tp kinh t lng

Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/a675e456
Giy php: http://creativecommons.org/licenses/by/3.0/

Module: Kinh t lng m hinh hi quy tuyn tnh bi

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Cc tc gi: Phm Tr Cao
URL: http://www.voer.edu.vn/m/73fb94d2
Giy php: http://creativecommons.org/licenses/by/3.0/

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Chng trnh Th vin Hc liu M Vit Nam

Chng trnh Th vin Hc liu M Vit Nam (Vietnam Open Educational Resources
VOER) c h tr bi Qu Vit Nam. Mc tiu ca chng trnh l xy dng kho
Ti nguyn gio dc M min ph ca ngi Vit v cho ngi Vit, c ni dung phong
ph. Cc ni dung u tun th Giy php Creative Commons Attribution (CC-by) 4.0
do cc ni dung u c th c s dng, ti s dng v truy nhp min ph trc
ht trong trong mi trng ging dy, hc tp v nghin cu sau cho ton x hi.

Vi s h tr ca Qu Vit Nam, Th vin Hc liu M Vit Nam (VOER) tr thnh

mt cng thng tin chnh cho cc sinh vin v ging vin trong v ngoi Vit Nam. Mi
ngy c hng chc nghn lt truy cp VOER (www.voer.edu.vn) nghin cu, hc
tp v ti ti liu ging dy v. Vi hng chc nghn module kin thc t hng nghn
tc gi khc nhau ng gp, Th Vin Hc liu M Vit Nam l mt kho tng ti liu
khng l, ni dung phong ph phc v cho tt c cc nhu cu hc tp, nghin cu ca
c gi.

Ngun ti liu m phong ph c trn VOER c c l do s chia s t nguyn ca cc

tc gi trong v ngoi nc. Qu trnh chia s ti liu trn VOER tr ln d dng nh
m 1, 2, 3 nh vo sc mnh ca nn tng Hanoi Spring.

Hanoi Spring l mt nn tng cng ngh tin tin c thit k cho php cng chng d
dng chia s ti liu ging dy, hc tp cng nh ch ng pht trin chng trnh ging
dy da trn khi nim v hc liu m (OCW) v ti nguyn gio dc m (OER) . Khi
nim chia s tri thc c tnh cch mng c khi xng v pht trin tin phong
bi i hc MIT v i hc Rice Hoa K trong vng mt thp k qua. K t , phong
tro Ti nguyn Gio dc M pht trin nhanh chng, c UNESCO h tr v c
chp nhn nh mt chng trnh chnh thc nhiu nc trn th gii.

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