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Chng 5
Hy cn thn khi kim nh qu nhiu gi thit; cng un nn s liu th chng cng d cho kt qu,
nhng kt qu thu c bng cch p buc l iu khng th chp nhn trong khoa hc.1
Nh cp trong Chng 4, c lng v kim nh gi thit l hai chuyn ngnh ln
ca thng k c in. L thuyt c lng bao gm hai phn: c lng im v c lng
khong. Chng ta tho lun v c lng im mt cch k lng trong hai chng trc, khi
trnh by cc phng php OLS v ML ca c lng im. Trong chng ny, trc ht chng ta
xem xt c lng khong v sau chuyn sang ni dung kim nh gi thit, mt ch lin
quan mt thit ti c lng khong.
1
Stephen M. Stigler, Testing Hypothesis or Fitting Models? Another Look at Mass Extinctions (Kim nh gi thit
hay cc m hnh thch hp: mt cch nhn na v s tuyt chng), trong Neutral Models in Biology (Cc m hnh trung
lp trong sinh hc), Matthew H. Nitecki & Antoni Hoffman hiu nh, Oxford University Press, Oxford, 1987, trang
148.
Pr( 2 2 2 + ) = 1 (5.2.1)
Khong ny, nu tn ti, c gi l khong tin cy; 1 c gi l h s tin cy; v (0 < <
1) c gi l mc ngha.2 Cc im u v cui ca khong tin cy c gi l cc gii hn tin
cy (cng c gi l gi tr ti hn - critical value), 2 c gi l gii hn tin cy di v
+ l gii hn tin cy trn. Lu rng v 1 thng c biu din di dng phn trm,
2
100 v 100(1 ) phn trm.
Phng trnh (5.2.1) cho thy mt c lng khong, tri vi c lng im, l mt
khong c thit lp n c xc sut cha gi tr ng ca tham s trong khong gii hn ca n
l 1 . V d, nu = 0,05, hay 5%, (5.2.1) s c pht biu l: Xc sut m khong (ngu
nhin) ch ra trn cha gi tr ng ca 2 l 0,95 hay 95%. Nh vy, c lng khong cho bit
mt khong cc gi tr m trong c th c gi tr ng ca 2.
Ngi c cn phi bit cc kha cnh sau y v c lng khong:
1. Phng trnh (5.2.1) khng ni rng xc sut m 2 nm gia cc gii hn l 1 . Do 2, mc
d cha bit, c gi thit l mt s c nh, n c th nm trong hay ngoi khong. iu
m (5.2.1) din t l bng cch s dng phng php trnh by trong chng ny, xc sut ca
vic xy dng mt khong cha 2 l 1 .
2. Khong (5.2.1) l mt khong ngu nhin, tc l n thay i theo cch chn mu do n c
da vo 2 , vn l mt gi tr ngu nhin. (Ti sao?).
3. Do khong tin cy mang tnh ngu nhin, cc pht biu v xc sut gn vi n phi c hiu
theo ngha di hn, tc l vic ly mu lp li. C th hn, (5.2.1) mang ngha l: nu trong
vic ly mu lp li, cc khong tin cy ging nh n c thit lp v s ln trn c s xc
sut 1 , th trong thi gian di hn, tnh trung bnh, c 1 ln trong tng s cc trng hp
nhng khong ny s cha gi tr ng ca tham s.
4. Nh nu th 2, khong (5.2.1) l ngu nhin khi 2 khng bit. Nhng khi ta c mt
mu c th v khi ta tm c gi tr s hc c th ca th khong (5.2.1) khng cn ngu
2
nhin na; n c c nh. Trong trng hp ny, ta khng th a ra pht biu thng k
(5.2.1); tc l ta khng th ni rng xc sut m mt khong c nh c th cha gi tr ng
ca 2 l 1 . Trong trng hp ny, 2 hoc nm trong khong c nh hay nm ngoi n.
Do vy, xc sut l 1 hoc 0. Nh th, trong v d gi thit v tiu dng - thu nhp, nu khong
tin cy 95% tnh c l (0,4268 2 0,5941), [c gii mt cch ngn gn trong (5.3.9)}, ta
khng th ni rng xc sut m khong ny cha gi tr ng ca 2 l 95%. Xc sut l 1
hoc 0.
Cc khong tin cy c xy dng nh th no? T tho lun trn ta c th on rng nu
vic ly mu hay phn phi xc sut ca cc c lng c bit trc, ta c th a ra cc pht
biu v khong tin cy nh (5.2.1). Trong Chng 4 ta thy vi gi thit phn phi chun ca
yu t nhiu (hay ngu nhin) ui, bn thn cc c lng OLS ca 1 v 2 c phn phi chun v
c lng OLS ca 2 c lin quan phn phi 2 (phn phi Chi-bnh phng). T cho thy
cng vic thit lp cc khong tin cy c v l mt cng vic n gin. V s tht l n n gin!
2
Cng c gi l xc sut mc sai lm Loi I. Sai lm Loi I l bc b gi thit ng, tri li sai lm Loi II l chp
nhn gi thit sai. (Ni dung ny c tho lun ton din hn trong Ph lc A). K hiu c gi l kch thc
ca kim nh (thng k).
( 2 2 ) x2
i
(5.3.1)
nh trnh by trong (4.3.5) l mt bin chun c chun ha. Do vy, c v nh ta c th s
dng phn phi chun thc hin pht biu xc sut v 2 vi iu kin l bit phng sai tng
th 2. Nu 2 c bit trc, mt tnh cht quan trng ca bin c phn phi chun vi gi tr
trung bnh v phng sai 2 l din tch di ng cong chun trong khong bng gn
ng 68%, trong khong 2 bng gn ng 95%, v trong khong 3 bng gn ng
99,7%.
Nhng 2 t khi c bit trc, v trong thc t n c xc nh bi c lng khng
thin lch 2 . Nu ta thay th bng , (5.3.1) c th c vit di dng sau:
2 2 c lng tham so
t
se( 2 ) sai so chuan cua c lng tnh c
( 2 2 ) x 2
i
(5.3.2)
vi se( 2 ) by gi biu th sai s chun c lng c. C th ch ra rng (xem Ph lc 5A, Mc
5A.1) bin t nh ngha trn tun theo phn phi t vi n 2 bc t do. [Lu s khc nhau gia
(5.3.1) v 5.3.2)]. Do vy, thay v s dng phn phi chun, ta c th s dng phn phi t thit
lp mt khong tin cy cho 2 nh sau:
Pr(t/2 t t/2) = 1 (5.3.3)
vi gi tr t nm gia bt ng thc kp ny l gi tr t tnh c t (5.3.2) v vi t/2 l gi tr ca
bin t thu c t phn phi t vi mc ngha /2 v n 2 bc t do; n thng c gi l gi tr
ti hn ca t ti mc ngha /2. Thay (5.3.2) vo (5.3.3) ta c:
2
Pr t / 2 2 t / 2 1 (5.3.4)
se( 2 )
Sp xp li (5.3.4) ta c:
Pr[ 2 t/2 se( 2 ) 2 2 + t/2 se( 2 )] = 1 (5.3.5)3
3
Mt s tc gi thch vit (5.3.5) vi s bc t do c ch r nh sau:
Phng trnh (5.3.5) cho bit khong tin cy 100(1 )% ca 2. Ta c th vit ngn gn
nh sau:
Khong tin cy 100(1 )% ca 2:
2 t/2 se( 2 ) (5.3.6)
Lp lun mt cch tng t v s dng (4.3.1) v (4.3.2), ta c th vit:
Pr[ 1 t/2 se( 1 ) 1 1 + t/2 se( 1 )] = 1 (5.3.7)
hay mt cch ngn gn hn,
Khong tin cy 100(1 )% ca 1:
1 t/2 se( 1 ) (5.3.8)
Lu mt c im quan trng ca cc khong tin cy trnh by trong (5.3.6) v (5.3.8):
Trong c hai trng hp chiu rng ca khong tin cy t l thun vi sai s chun ca c lng.
Tc l, sai s chun cng ln, th chiu rng ca khong tin cy cng ln. Ni mt cch khc, sai s
chun ca c lng cng ln th s khng chc chn trong c lng gi tr ng ca tham s
cha bit cng ln. V vy, sai s chun ca mt c lng thng c m t l i lng o s
chnh xc ca c lng, ngha l mc chnh xc m c lng tnh gi tr ng ca tng th.
Tr li v d tiu dng - thu nhp trong Chng 3 (Mc 3.6), ta tm ra 2 = 0,509, se( 2
) = 0,0357, v s bc t do = 8. Nu chng ta gi thit = 5%, tc l h s tin cy l 95%, bng t
cho bit vi s bc t do l 8, gi tr ti hn t/2 = t0,025 = 2,306. Thay nhng gi tr ny vo (5.3.5),
ngi c phi tnh c khong tin cy 95% ca 2 l:
0,4268 2 0,5914 (5.3.9)
Hay, s dng (5.3.6), khong tin cy l:
0,5091 2,306(0,0357)
tc l:
0,5091 0,0823 (5.3.10)
S gii thch v khong tin cy ny l: vi h s tin cy l 95%, trong thi gian di hn,
95 trong s 100 trng hp cc khong nh (0,4268, 0,5914) s cha gi tr ng ca 2. Nhng,
nh cnh gic phn trn, phi ch rng ta khng th ni rng xc sut khong c th (0,4268,
0,5914) cha gi tr ng ca 2 l 95% do khong ny c c nh v khng cn ngu nhin
na; do vy, 2 hoc nm trong khong hoc khng: do vy, xc sut m khong tin cy c th cha
gi tr ng ca 2 l 1 hoc 0.
Khong tin cy i vi 1
Tng t nh (5.3.7), ngi c c th d dng chng minh c rng khong tin cy 95% ca 1
trong v d tiu dng - thu nhp ca chng ta l
4
Xem John Neter, William Wasserman, v Michael H. Kutner, Applied Linear Regression Models (Cc m hnh hi
quy tuyn tnh ng dng), Richard D. Irwin, Homewood, Ill., 1983, Chng 5.
5
V phn
F(2) chng minh, xem Robert V. Hogg & Allen T. Craig, Introduction to Mathematical Statistics (Gii thiu
thng k ton), xut bn ln th 2, Macmillan, New York, 1965, trang 144.
2,1797 17,5346
2
0,975 02,025
HNH 5.1
Khong tin cy 95% i vi 2 (8 bc t do)
Thay th s liu trong v d ca chng ta vo (5.4.3), ngi c phi tnh c khong tin cy 95%
ca 2 nh sau:
19,2347 2 154,7336
S gii thch v khong ny l: Nu ta thit lp cc gii hn tin cy 95% i vi 2 v nu ta duy
tr mt s tin nghim rng cc gii hn ny s cha gi tr ng ca 2, ta s ng 95% trong s
cc trng hp trong thi gian di hn.
6
Mt gi thit thng k c gi l gi thit n gin nu n c th ha (cc) gi tr chnh xc ca (cc) tham s ca
mt hm mt xc sut; nu ngc li, gi thit c gi l gi thit phc hp. V d, trong phn phi chun pdf
1
(1 / 2 )mu ( X ) / 2 , nu ta khng nh rng H1: = 15 v = 2, n l mt gi thit n gin; nhng
2
nu H1: = 15 v > 15, n l mt gi thit phc hp, do lch chun khng c gi tr c th.
7
Lun lun lu rng c 100 phn trm c hi m khong tin cy khng cha 2 theo H0 mc d gi thit ng. Mt
cch ngn gn, c 100 phn trm c hi mc sai lm Loi I. Nh vy, nu = 0,05, c 5% c hi ta c th bc b
gi thit khng mc d n ng.
Cc gi tr ca 2 nm trong
khong ny l hp l theo H0
vi tin cy 100(1 )%.
Do vy, khng bc b H0 nu
2 nm trong min ny.
2 t / 2se( 2 ) 2 t / 2se( 2 )
HNH 5.2
Khong tin cy 100(1 )% ca 2
Quy tc quyt nh: Thit lp mt khong tin cy 100(1 ) cho 2. Nu 2 theo H0 nm trong
khong tin cy ny, khng bc b gi thit H0, nhng nu 2 nm ngoi khong ny, bc b H0.
Theo quy tc ny, trong v d gi thit ca chng ta, Ho: 2 = 0,3 r rng nm ngoi khong
tin cy 95% cho trong (5.3.9). Do vy, ta c th bc b gi thit rng gi tr ng ca MPC l 0,3,
vi tin cy 95%. Nu gi thit H0 ng, xc sut m ta c c bng cch tnh c mt gi tr ca
MPC nh l 0,5091 ln nht l 5%, mt xc sut nh.
Trong thng k, khi ta bc b gi thit khng, ta ni rng kt qu ca chng ta c ngha
thng k. Mc khc, khi ta khng bc b gi thit khng, ta ni rng kt qu ca chng ta khng
c ngha thng k.
Mt s tc gi dng cm t nh rt c ngha thng k. Cm t ny thng c ngha l
khi bc b gi thit khng, xc sut phm sai lm Loi I (ngha l ) l mt s nh, thng l 1%.
Nhng nh tho lun v gi tr p trong Mc 5.8 s cho thy, tt hn l cho nh nghin cu quyt
nh kt qu thng k l c ngha, kh c ngha hay rt c ngha.
dng t (5.3.5), cch lm thc t c th c gii thch mt cch tt hn theo phng php kim
nh ngha tho lun phn k tip8
( 2 2 ) x
2
i
(5.3.2)
tun theo phn phi t vi n 2 bc t do. Nu gi tr ng ca 2 c c th ha theo gi thit
khng, gi tr t trong (5.3.2) c th hon ton c tnh t mu sn c, v v th m n c th ng
vai tr l mt thng k kim nh. Do thng k kim nh ny tun theo phn phi t, ta c th a ra
cc pht biu v khong tin cy nh sau:
2*
Pr t / 2 2 t / 2 1 (5.7.1)
se( 2 )
vi 2 l gi tr ca 2 theo H0 v vi -t/2 v t/2 l cc gi tr ca t (cc gi tr ti hn ca t) tnh
c t bng t ti mc ngha l (/2) v n 2 bc t do [suy t (5.3.4)]. Bng t c trnh by
trong Ph lc D.
Sp xp li (5.7.1), ta c
Pr[ 2 t/2se( 2 ) 2 2 + t/2se( 2 )] = 1 (5.7.2)
8
Nu bn mun s dng phng php khong tin cy, thit lp mt khong tin cy mt pha (100 )% cho 2. Ti
sao?
9
Cc chi tit c th tm trong E. L. Lehman, Testing Statistical Hypotheses (Kim nh cc gi thit thng k), John
Wiley & Sons, New York, 1959.
H0) hay (cc) min ti hn. Nh lu trc y, cc gii hn tin cy, cc im u v cui ca
khong tin cy, cng c gi l cc gi tr ti hn.
Mi lin kt bn cht gia phng php khong tin cy v kim nh ngha trong kim
nh gi thit c th c nhn nhn bng cch so snh (5.3.5) vi (5.7.2). Trong phng php
khong tin cy, ta thit lp mt di hay mt khong cha gi tr ng nhng cha bit ca 2 vi
mt xc sut nht nh, tri li trong phng php kim nh ngha, ta t gi thit mt gi tr no
ca 2 v xem gi tr tnh c 2 c nm trong cc gii hn (tin cy) hp l xung quanh gi tr
gi thit hay khng.
Mt ln na hy tr li v d v tiu dng -thu nhp. Ta bit rng 2 = 0,5091, se( 2 ) =
0,0357, v s bc t do = 8. Nu ta gi s rng = 5%, th t/2 = 2,306. Nu ta mc nh H0: 2 =
2 = 0,3 v H1: 2 0,3, (5.7.2) tr thnh
f( 2 )
2 = 0,5091
nm trong
Min ti hn min ti hn
2,5% 2,5% ny
2
0,2177 0,3 0,3823
HNH 5.3
Khong tin cy 95% i vi 2 theo gi thit l 2 = 0,3
Trn thc t, khng cn phi c lng (5.7.2) mt cch r rng. Ta c th tnh gi tr t nm gia
bt ng thc kp (5.7.1) v xem n c nm gia cc gi tr ti hn ca t hay nm ngoi chng.
Trong v d ca chng ta:
0,5091 0,3
t 5,86 (5.7.4)
0,0357
Gi tr ny r rng nm trong min ti hn ca Hnh 5.4. Kt lun vn nh trc, tc l ta bc b
H0.
10
Mc 5.2, im 4 pht biu rng ta khng th ni rng xc sut m khong c nh (0,4268, 0,5914) cha gi tr
ng ca 2 l 95%. Nhng ta c th a ra pht biu thng k trnh by trong (5.7.3) do 2 , vi t cch l mt c
lng, l mt bin ngu nhin.
f(t)
Min ti hn t = 5,86 nm
2,5% trong min ti
hn 2,5% ny
t
-2,306 0 +2,306
HNH 5.4
Khong tin cy 95% i vi t (8 bc t do )
f( 2 )
2
0 0,3664
*
2 1,860se( 2 )
t
0 1,860
t0,05 (8 bc t do)
HNH 5.5
Kim nh ngha mt pha
BNG 5.1
Kim nh ngha t: cc quy tc quyt nh
Loi H0: Gi thit H1: Gi thit Quy tc quyt nh:
gi thit khng thay th Bc b H0 nu
Hai pha 2 = 2 2 2 t > t/2, df
Pha phi 2 2 2 > 2 t > t/2, df
Pha tri 2 2 2 <
2
t < t/2, df
2 2
<
2 2
df ( 2 )
0 0
(21 ), df
02
2 02 2 02 df ( 2 )
2 / 2, df
2
0
2
t t / 2 (5.8.1)
se( 2 )
vi s bc t do ph hp.
11
Jan Kmenta, Elements of Econometrics (Cn bn v Kinh t Lng), Macmillan, New York, 1971, trang 114.
2
t t (5.8.2)
se( 2 )
12
V mt tho lun th v v lp gi thit, xem J. Bradford De Long & Kevin Lang, Are All Economic Hypotheses
False?, Journal of Political Economy, (C ng l tt c cc gi thit kinh t u sai?, Tp ch Kinh t Chnh tr), tp
100, s 6, 1992, trang 1257-1272.
La chn mc ngha
Chng ta phi hiu r t nhng tho lun t u ti y l vic ta c bc b hay khng bc b gi
thit khng ph thuc nhiu vo , mc ngha hay xc sut phm sai lm Loi I xc sut bc
b gi thit ng. Trong ph lc A, ta tho lun ton din bn cht ca sai lm Loi I, quan h ca
n vi sai lm Loi II (xc sut chp nhn gi thit sai) v ti sao thng k c in thng tp trung
vo sai lm Loi I. Nhng ngay c nh th, ti sao li hay c c nh mc 1%, 5%, hay nhiu
nht l 10%? Thc t l cc gi thit ny khng c g l bt kh xm phm; mi gi tr khc cng c
th c la chn.
Trong mt cun sch gii thiu nh th ny, khng th tho lun chi tit v l do ti sao li
chn mc ngha 1, 5, hay 10%, bi v n s a chng ta ti lnh vc ra quyt nh thng k, mt
lnh vc n t t bn thn n. Tuy nhin, ta c th a ra mt tm tt ngn gn. Nh s tho lun
trong Ph lc A, vi mt c mu cho trc, nu ta gim sai lm Loi I, sai lm Loi II tng ln v
ngc li. Tc l, vi c mu cho trc, nu ta gim xc sut bc b gi thit ng, th ng thi ta
li tng xc sut chp nhn gi thit sai. Nh vy, c mt mi quan h c-mt trong hai loi sai
lm ny. By gi, cch duy nht m chng ta c th quyt nh v quan h c-mt ny l tm chi
ph tng i ca hai loi sai lm. Sau ,
Nu sai lm bc b gi thit khng m gi thit li ng trn thc t (Sai lm Loi I) c chi ph
cao hn so vi sai lm khng bc b gi thit khng khi n sai trn thc t (Sai lm Loi II), vic to
xc sut loi sai lm th nht thp l iu hp l. Mt khc, nu chi ph ca vic phm Sai lm Loi
I thp hn so vi chi ph phm Sai lm Loi II, s hp l nu to xc sut loi sai lm th nht cao
(tc l lm cho xc sut loi sai lm th hai thp).13
Tt nhin, kh khn l ch ta t khi bit c chi ph ca vic phm hai loi sai lm. V vy,
nhng nh kinh t lng ng dng thng tun theo cch lm l t gi tr ca mc 1, hay 5
hay cao nht l 10% v la chn mt thng k kim nh m s lm cho xc sut phm sai lm Loi
II nh nht. Bi v 1 tr xc sut phm sai lm Loi II c gi l nng lc ca kim nh, cch
lm ny l cc i ha sc mnh ca kim nh. (Xem Ph lc A v phn tho lun sc mnh
ca kim nh).
Nhng tt c vn kh khn v la chn gi tr thch hp ca c th c trnh khi nu
ta s dng ci gi l gi tr p ca thng k kim nh. Gi tr p c tho lun mc k tip.
13
Jan Kmenta, Elements of Econometrics (Cn bn v Kinh t Lng), Macmillan, New York, 1971, trang 126-127.
t nh th phi nh hn 0,0001 (mt pha) hay 0,0002 (hai pha). Bng cch s dng my tnh, c th
ch ra rng xc sut t c gi tr t bng 5,86 hay ln hn (i vi 8 bc t do) vo khong
0,000189.14 l gi tr p ca thng k t. Mc ngha quan st c, hay chnh xc ca thng k t
nh hn nhiu so vi mc ngha c nh mt cch quy c hay ty , nh 1, 5 hay 10%. Trn
thc t, nu ta s dng gi tr p va tnh c v bc b gi thit khng cho rng gi tr ng ca
MPC l 0,3, xc sut m ta phm sai lm Loi I ch l 0,02%, tc l khong 2 trong s 10.000!
Nh lu trc y, nu s liu khng h tr gi thit khng, t tnh c theo gi thit
khng s ln v do vy gi tr p t c t nh vy s nh. Ni mt cch khc, vi c mu
cho trc, khi t tng ln, gi tr p gim i, v do vy, ta c th bc b gi thit khng vi mc tin
cy cng tng cao.
u l mi quan h gia gi tr p v mc ngha ? Nu ta to thi quen c nh bng gi
tr p ca mt thng k kim nh (v d, thng k t), th khng h c mu thun gia hai gi tr. Ni
cch khc, tt hn l t b cch c nh mt cch ty v n gin l chn gi tr p ca
thng k kim nh. Tt hn l ngi c t quyt nh c bc b gi thit khng ti gi tr p
tnh c hay khng. Nu trong mt ng dng, gi tr p ca mt thng k kim nh bng 0,145 hay
14,5%, v nu ngi c mun bc b gi thit khng ti mc ngha (chnh xc) ny th c vic
lm. Khng c g sai nu chp nhn xc sut l s sai lm 14,5% nu bc b gi thit khng trong
khi gi thit ng. Tng t, nh trong v d tiu dng - thu nhp ca chng ta, khng c g sai
nu nh nghin cu mun chn gi tr p vo khong 0,02% v khng mun chp nhn xc sut l
phm sai lm nhiu hn 2 trong s 10.000 ln. Ni cho cng, mt s ngi iu tra c tm l thch
ri ro cn s khc li ght ri ro.
Trong phn cn li ca cun sch ny, ni chung ta s tnh gi tr p ca mt thng k kim
nh cho trc. Mt s ngi c c th mun c nh ti mt mc no v bc b gi thit
khng nu gi tr p nh hn . l s la chn ca h.
14
Ta c th tnh gi tr p vi vi s thp phn bng cch dng cc bng thng k in t. Tuy vy, cc bng thng k
quy c, do thiu ch, khng th chnh xc mc c. Micro TSP, SHAZAM, ET, v mt vi phn mm thng k
khc c th t ng cho bit cc gi tr p.
S la chn gia phng php khong tin cy v kim nh ngha trong kim nh
gi thit thng k
Trong phn ln cc phn tch kinh t ng dng, gi thit khng c thit lp nh l mt hnh nm
v mc ch ca nghin cu thc nghim l bc b n, tc l bc b gi thit khng. Nh vy, trong
v d tiu dng/thu nhp ca chng ta, gi thit khng cho rng MPC, 2 = 0 hin nhin l ng
ngn, nhng ta thng s dng n kch tnh ha cc kt qu thc nghim. R rng l nhng
ngi bin tp cc tp ch c danh ting khng ly g lm hng th khi xut bn mt nghin cu
thc nghim m li khng bc b gi thit khng. Tuy nhin, kt qu rt ra l MPC khc 0 v mt
thng k th li ng ng tin hn l tm ra rng n bng, v d nh, 0,7!
Do vy, J. Bradford Delong v Kevin Lang lp lun rng tt hn l cc nh kinh t nn
tp trung vo tr s ca cc h s v bo co v cc mc tin cy ch khng phi cc kim nh
ngha. Nu tt c hay gn nh tt c cc gi thit khng l sai, hon ton c t gi tr khi ta tp trung
vo phn tch xem theo gi thit khng th mt c lng c th phn bit hay khng phn bit vi gi
tr d on ca n. Thay vo , ta mun lm sng t nhng m hnh no l cc php tnh gn ng
tt. iu ny yu cu ta phi bit cc khong gi tr ca thng s m b loi tr bi cc c lng
thc nghim.16
Ni tm li, cc tc gi ny thch s dng phng php khong tin cy hn so vi phng php
kim nh ngha. Ngi c c th mun ghi nh li khuyn ny.
15
Arthur S. Goldberger, A Course in Econometrics (Kha hc v Kinh t lng), Harvard University Press, Cambridge,
Massachusetts, 1991, trang 240. Ch bj l c lng OLS ca j v ^ bj l sai s chun ca n. V quan im
chng thc cho vn ny, xem D. N. McCloskey, The Loss Function Has Been Mislaid: The Rhetoric of
Significance Tests (Hm s mt b tht lc: S hng bin ca cc kim nh ngha), American Economic Review
(Tp ch Kinh t Hoa K), Vol. 75, 1985, trang 201-205.
16
Xem bi vit ca h trch dn trong ch thch 12, trang 1271.
y 2
i yi2 ui2 22 xi2 ui2 (3.5.2)
tc l, TSS = ESS + RSS. ng thc ny chia tng bnh phng ton phn thnh hai phn: tng
bnh phng gii thch c (ESS) v tng bnh phng phn d (RSS). Nghin cu cc thnh
phn ny ca TSS c gi l phn tch phng sai (ANOVA) t quan im hi quy.
Lin quan ti mi tng bnh phng l bc t do ca n, tc l s quan st c lp m n
c da vo. TSS c n 1 bc t do do ta mt 1 bc t do khi tnh gi tr trung bnh mu Y . RSS
c n 2 bc t do. (Ti sao?) (Lu : iu ny ch ng vi m hnh hi quy hai bin vi s c mt
ca tung gc 1). ESS c 1 bc d do (ch ng cho trng hp 2 bin). l do ESS =
22 xi2 l hm s ca 2 ch khi bit c xi2 .
Hy sp xp cc tng bnh phng khc nhau v bc t do lin quan ca chng trong Bng
5.3. y l mu chun ca bng AOV, i khi c gi l bng ANOVA. Vi nhng cng thc
trong Bng 5.3, by gi ta xem xt bin s sau:
MSS cua ESS
F
MSS cua RSS
22 xi2
=
u /( n 2)
2
i
x
2
2
2
i
= (5.9.1)
2
Nu gi s rng yu t nhiu ui c phn phi chun v H0: 2 = 0, ta c th ch ra rng F trong
(5.9.1) tha mn cc iu kin ca nh l 4.6 (Mc 4.5) v do vy tun theo phn phi F vi 1 v
n 2 bc t do. (Xem Ph lc 5A, Mc 5A.2).
T s F trn c dng lm g? Ta c th ch ra rng17
E( 22 xi2 ) = 2 + 22 xi2 (5.9.2)
v
E
u 2
i
E ( 2 ) 2 (5.9.3)
n2
(Lu rng 2 v 2 xut hin v phi ca nhng phng trnh ny l cc tham s ng). Do vy,
nu 2 bng 0 trn thc t, cc phng trnh (5.9.2) v (5.9.3) cho ta cc c lng ng nht ca
gi tr ng ca 2. Trong tnh hung ny, bin gi thch X khng c tc ng tuyn tnh i vi Y
v ton b bin thin ca Y c gi thch bi yu t nhiu ngu nhin ui. Mt khc, nu 2 khc 0,
(5.9.2) v (5.9.3) s khc nhau v mt phn bin thin ca Y s c quy cho X. Do vy, t s F
trong (5.9.1) cho ta mt kim nh v gi thit khng H0: 2 = 0. Do tt c cc s a vo phng
trnh ny c th tnh c t mu sn c, t s F cung cp mt thng k kim nh kim nh gi
thit khng cho rng gi tr ng ca 2 bng 0. Tt c nhng iu cn phi lm l tnh t s F v so
17
V phn chng minh, xem K. A. Brownlee, Statistical Theory and Methodology in Science and Engineering (L
thuyt thng k v phng php lun trong khoa hc v k thut), John Wiley & Sons, New York, 1960, trang 278-280.
*
SS l tng bnh phng
Tng trung bnh cc bnh phng, tnh c bng cch chia SS cho s bc t do ca n.
minh ha, hy tip tc vi v d v tiu dng - thu nhp. Bng ANOVA trong v d ny
c trnh by trong Bng 5.4. Gi tr F tnh c l 202,87. Gi tr p ca thng k F tng ng vi
1 v 8 bc t do khng th tnh c t bng F trong Ph lc D, nhng bng cch s dng cc bng
thng k in t, ta c th ch ra rng gi tr p l 0,0000001, mt xc sut v cng nh. Nu quyt
nh chn phng php mc ngha kim nh gi thit v c nh mc 0,01, hay mc 1%,
bn c th thy rng gi tr F tnh c l 202,87 r rng c ngha mc ny. Do vy, nu ta bc
b gi thit khng cho rng 2 = 0, xc sut phm sai lm Loi I rt nh. i vi tt c cc mc
ch thc t, mu ca chng ta khng th c chn t mt tng th c gi tr 2 bng 0 v ta c th
kt lun vi mc tin cy cao rng X, thu nhp, tht s c tc ng ti Y, chi tiu cho tiu dng.
Theo nh l 4.7 trong Mc 4.5, bnh phng gi tr t vi k bc t do l gi tr F vi 1 bc
t do t s v k bc t do mu s. Trong v d tiu dng -thu nhp, nu gi s H0: 2 = 0, th t
(5.3.2) ta c th d dng chng minh rng gi tr c lng t l 14,24. Gi tr t ny c 8 bc t do.
Vi cng gi thit khng, gi tr F l 202,87 vi 1 v 8 bc t do. Nh vy, (14,24)2 = gi tr F, loi
b cc sai s do lm trn.
Vy, cc kim nh t v F cho ta hai cch thay th nhng b sung cho nhau kim nh gi
thit khng l 2 = 0. Nu nh vy th ti sao li khng ch da vo kim nh t v b qua kim nh
F cng vi phn tch phng sai i cng vi n? i vi m hnh hai bin th tht s khng cn ti
kim nh F. Nhng khi xem xt ch hi quy bi, ta s thy rng kim nh F c mt s ng
dng th v lm cho n tr thnh mt phng php rt hu ch v mnh kim nh cc gi thit
thng k.
BNG 5.4
Bng ANOVA cho v d tiu dng - thu nhp
Ngun bin thin SS Bc t do MSS
Do hi quy (ESS) 8552,73 1 8552,73 8552,73
F
42,159
Do phn d (RSS) 337,27 8 42,159 = 202,87
TSS 8890,00 9
D on gi tr trung bnh18
c th ha, gi s X0 = 100 v ta mun d on E(Y X0 = 100). By gi ta c th ch ra rng
hi quy lch s (3.6.2) cung cp c lng im ca d on gi tr trung bnh ny nh sau:
Y0 1 2 X 0
= 24,4545 + 0,5091(100)
= 75,3645 (5.10.1)
vi Y0 = c lng ca E(Y X0). Ta c th chng minh rng gi tr d on im ny l c lng
tuyn tnh khng thin lch tt nht (BLUE).
Do Y0 l mt c lng, n c nhiu kh nng khc vi gi tr ng ca n. S khc nhau
gia hai gi tr s cho ta mt s tng v sai s d on hay d bo. nh gi sai s ny, ta
cn tm phn phi mu ca Y0 . Theo Ph lc 5A, Mc 5A.3, Y0 trong phng trnh (5.10.1) c
phn phi chun vi gi tr trung bnh (1 + 2X0) v phng sai tnh theo cng thc sau:
1 ( X X )2
var(Y0 ) 2 0 2 (5.10.2)
n xi
Bng cch thay th 2 cha bit bng c lng khng thin lch 2 , ta c
Y0 ( 1 2 X 0 )
t (5.10.3)
se(Y0 )
tun theo phn phi t vi n 2 bc t do. Do , phn phi t c th c s dng tnh cc
khong tin cy cho gi tr ng ca E(Y0 X0) v kim nh gi thit v n theo cch thng thng.
C th,
Pr[ 1 + 2 X0 t/2se( Y0 ) 1 + 2X0 1 + 2 X0 + t/2se( Y0 )] = 1
(5.10.4)
vi se( Y0 ) c tnh t (5.2.10).
18
V phn chng minh cc pht biu ny, xem Ph lc 5A, mc 5A.3.
1 (100 170)2
var( Y0 ) = 42,159
10 33.000
= 10,4759
v
se( Y0 ) = 3,2366
Do , khong tin cy 95% ca gi tr ng ca E(Y X0) = 1 + 2X0 c tnh bi
75,3645 2,306(3,2366) E(Y X0 = 100) 75,3645 + 2,306(3,2366)
tc l,
67,9010 E(Y X0 = 100) 82,8381 (5.10.5)
Nh vy, vi X0 = 100, trong mu lp li, 95 trong 100 khong ging nh (5.10.5) s cha gi tr
trung bnh ng, c lng n tt nht ca gi tr trung bnh ng tt nhin l c lng im
75,3645.
Nu ta tnh c cc khong tin cy 95% nh (5.10.5) cho mi gi tr X trong Bng 3.2, ta
c ci gi l khong tin cy, hay di tin cy, cho hm hi quy tng th. Hm ny c v trong
Hnh 5.6.
D on gi tr c bit
Nu s quan tm ca chng ta l d on gi tr ring l ca Y, Y0, tng ng vi mt gi tr cho
trc ca X, v d X0, th nh trong Ph lc 5, Mc 5A.3, c lng tuyn tch khng thin lch tt
nht ca Y0 cng theo phng trnh (5.10.1), nhng phng sai ca n c gi tr nh sau:
1 ( X X )2
var(Y0 Y0 ) E[Y0 Y0 ]2 2 1 0 2 0 (5.10.6)
n xi
Hn na, Y0 cng tun theo phn phi chun vi gi tr trung bnh v phng sai tnh tng ng
theo (5.10.1) v (5.10.6). Thay 2 cho gi tr cha bit 2, suy ra
Y0 Y0
t
se(Y0 Y )
cng tun theo phn phi t. Do vy, phn phi t c th c dng suy lun v gi tr ng ca
Y0. Tip tc v d tiu dng - thu nhp, ta thy rng d on im ca Y0 l 75,3645, ging nh Y0 ,
v phng sai ca n l 52,6349 (ngi c phi chng minh c php tnh ny). Do , khong
tin cy 95% ca Y0 tng ng vi X0 = 100 l
(58,6345 Y0 X0 = 100 92,0945) (5.10.7)
So snh khong ny vi (5.10.5), ta thy khong tin cy ca gi tr ring l Y0 rng hn
khong tin cy ca gi tr trung bnh Y0. (Ti sao?) Tnh cc khong tin cy ny ging nh (5.10.7)
vi cc gi tr X trong Bng 3.2, ta c di tin cy 95% cho cc gi tr ring l ca Y tng ng vi
Khong tin cy ca
gi tr trung bnh Y
Khong tin cy ca
gi tr c bit Y
X
HNH 5.6
Cc khong (di) tin cy ca gi tr trung bnh ca Y v gi tr ring l ca Y.
Lu : Oi = ui , vi ui l cc phn d OLS.
Dng phn d quan st cho bit phn phi tn sut ca cc phn d i vi cc lch chun c
th ln hn v nh hn khng. Trong v d ca chng ta, khng c phn d nm ngoi 2 lch
chun nh hn khng, 2 phn d gia 1 v 2 lch chun nh hn 0, 3 phn d gia 0 v 1
lch chun nh hn khng, 4 phn d gia 0 v 1 lch chun ln hn 0, 1 phn d gia 1 v 2
lch chun ln hn 0 v khng c phn d nm ngoi 2 lch chun ln hn 0.
Cc s trong dng phn d k vng cho bit phn phi tn sut ca cc phn d trn c s
ca phn phi xc sut gi thit, trong trng hp ny c dng chun. 20 Trong hng th ba, ta tnh
hiu s gia cc tn sut quan st v k vng, bnh phng cc hiu s ny ri chia cho cc tn sut
k vng v cng chng li. V mt i s, ta c:
k
(Oi Ei ) 2
X2 (5.12.1)
i 1 Ei
vi Oi = tn sut quan st trong lp hay khong i v Ei = tn sut k vng trong lp i trn c s ca
phn phi xc sut gi thit c dng chun. By gi, nu hiu s gia cc tn sut quan st v k
vng nh, n cho thy yu t nhiu ui c th c phn phi xc sut theo gi thit. Mt khc, nu
hiu s gia cc tn sut quan st v k vng ln, ta c th bc b gi thit khng l cc yu t
nhiu c phn phi xc sut theo gi thit. V l do ny m thng k trong (5.12.1) c gi l i
lng o ph hp bi v n cho bit mc m phn phi xc sut c gi thit ph hp vi s
liu thc t (ngha l s ph hp c tt khng?)
Gi tr X2 trong (5.12.1) phi c mc ln hay nh nh th no trc khi ta quyt nh
bc b hay khng bc b gi thit khng? Ta c th ch ra rng nu c mu tng i ln, thng k
X2 trong (5.12.1) tun theo gn ng phn phi Chi-bnh phng (2) vi (N 1) bc t do, vi N
l s lp hay nhm.21 Mt bc t do b mt do iu kin gii hn l tng s cc tn sut quan st v
k vng phi bng nhau.
19
Tho lun sau y c da vo Kenneth J. White & Linda T. M. Bui, Basic Economectrics: A Computer Handbook
Using SHAMZAM (Kinh t lng c bn: S tay my tnh s dng SHAMZAM) s dng vi Gujarati, Basic
Econometrics (Kinh t lng c bn), McGraw-Hill, New York, 1988, trang 34. Phn mm my tnh TSP cng tun
theo nhng th tc tng t.
20
SHAZAM, TSP, ET TM, v mt vi phn mm thng k c th a ra mt phn phi chun ph hp vi mt tp hp
s liu. Cc phn mm ny cng cung cp kim nh Chi-bnh phng ang c tho lun mt cch ngn gn.
21
Quy tc chung tm cc bc t do nh sau: s bc t do = (N 1 k), vi N l s nhm v k l s tham s c
lng. Trong trng hp ny, ta ang lm vic vi cc phn d ui . Nhng c nhng phn d ny, u tin ta phi
c lng hai i lng cha bit, 1 v 2. V vy, ta mt 2 bc t do. By gi lm ui ph hp vi phn phi chun,
HNH 5.7
Phn phi cc phn d t v d tiu dng - thu nhp, s cc lch chun () nh v ln hn 0.
Mt cch ngu nhin, trc khi p dng kim nh Chi-bnh phng va m t, ta c th n gin
v cc phn d quan st trong bng trn di dng th ct nh trong Hnh 5.7. Nh hnh cho
thy, cc phn d quan st (tnh theo n v lch chun khi 0) c v gn ng vi phn phi
chun. Thng th mt bc tranh minh ha nh th l mt cch tt tm hiu khng chnh thc v
hnh dng ca phn phi xc sut ca mt bin ngu nhin.
ta phi c lng cc tham s ca phn phi chun, tc l gi tr trung bnh v phng sai. Nhng do gi tr trung bnh
ca ui bng 0 (ti sao?), ta ch phi tnh phng sai. Do vy, ta mt 1 bc t do. T , ta mt k = 3 bc t do. Vi N =
6, s bc t do l (6 1 3) = 2. V cch s dng kim nh Chi-bnh phng tnh ph hp, xem mi cun sch
gii thiu v thng k.
22
Xem C. M. Jarque & A. K. Bera, A Test for Normality of Obserations and Regression Residuals (Mt kim nh
quy lut chun ca cc quan st v phn d hi quy), International Statistical Review (Tp ch Thng k Quc t), s
55, 1987, trang 163-172.
5.13 TM TT V KT LUN
1. c lng v kim nh gi thit l hai nhnh quan trng ca thng k c in. Sau khi tho
lun vn trong Chng 3 v 4, ta phn tch vn kim nh gi thit trong chng ny.
2. Kim nh gi thit tr li cu hi sau: kt qu tm c c tng thch vi mt gi thit
c pht biu hay khng?
3. C hai phng php b sung cho nhau tr li cu hi trn: khong tin cy v kim nh
ngha.
4. ng sau phng php khong tin cy l khi nim c lng khong. Mt c lng khong
l mt khong hay mt di c thit lp lm sao c mt xc sut c th cha trong gii hn
ca n gi tr ng ca mt tham s cha bit. Khong ny c gi l khong tin cy, thng
c pht biu di dng phn trm, nh 90 hay 95%. Khong tin cy cung cp mt tp hp
cc gi thit hp l v gi tr ca tham s cha bit. Nu gi tr theo gi thit khng nm trong
khong tin cy, gi thit khng s khng b bc b, tri li nu n nm ngoi khong ny, gi
thit khng c th b bc b.
5. Trong th tc kim nh ngha, ngi ta xy dng mt thng k kim nh v xem xt phn
phi mu ca n theo gi thit khng. Kim nh thng k thng tun theo mt phn phi xc
sut xc nh nh phn phi chun, t, F, hay Chi-bnh phng. Khi mt thng k kim nh (v
d thng k t) c tnh t s liu c, gi tr p ca n c th c tnh mt cch d dng.
Gi tr p cho ta xc sut chnh xc t c mt kim nh thng k c lng theo gi thit
khng. Nu gi tr p ny nh, ta c th bc b gi thit khng, nhng nu gi tr p ln ta c th
khng bc b n. Trong vic la chn gi tr p nh iu tra phi lu ti xc sut phm sai lm
Loi I v Loi II.
6. Trn thc t, ta phi cn thn khi c nh , xc sut phm sai lm Loi I, nhng gi tr ty
nh 1, 5, hay 10%. Tt hn l a ra gi tr p ca thng k kim nh. ng thi, ngha thng
k ca mt c lng khng th c nhm ln vi ngha thc tin ca n.
7. Tt nhin, kim nh gi thit mc nh rng m hnh la chn cho nghin cu thc nghim l
ph hp trn kha cnh l n khng vi phm mt hay nhiu gi thit ca m hnh c in v hi
quy tuyn tnh chun. Chng ny gii thiu mt trong cc kim nh , kim nh quy lut
chun, tm xem i lng sai s c tun theo phn phi chun hay khng. Do trong cc mu
nh, hay mu gii hn, cc kim nh t, F, v Chi-bnh phng yu cu gi thit v quy lut
chun, vic kim nh gi thit ny mt cch chnh thc l iu quan trng.
8. Nu m hnh ph hp trn thc t, n c th c s dng cho cc mc ch d bo. Nhng
trong khi d bo cc gi tr tng lai ca bin c hi quy, ta khng c i qu xa khi phm
vi mu ca cc gi tr dng lm hi quy. Nu khng, cc sai s d bo c th tng ln kh mnh.
BI TP
Cu hi
5.1. Cho bit v gii thch l do cc pht biu sau l ng, sai, hay khng chc chn. Hy pht biu chch
xc.
(a) Kim nh ngha t tho lun trong chng ny yu cu rng phn phi cc c lng 1 v 2
ca mu tun theo phn phi chun.
(b) Mc d yu t nhiu trong m hnh c in v hi quy tuyn tnh chun (CNRM) khng c phn
phi chun, cc c lng OLS vn khng thin lch.
(c) Nu m hnh hi quy khng c tung gc, cc ui c lng (= ui ) s khng c tng bng khng.
(d) Gi tr p v ln ca thng k kim nh c ngha nh nhau.
(e) Trong mt m hnh hi quy c tung gc, tng cc phn d lun lun bng khng.
(f) Nu mt gi thit khng khng b bc b th n ng.
(g) Gi tr 2 cng cao th phng sai 2 trong (3.3.1) cng ln.
(h) Trung bnh c iu kin v khng c iu kin ca mt bin ngu nhin c ngha nh nhau.
(i) Trong hm hi quy tng th hai bin PRF, nu h s gc 2 bng khng, tung gc c c
lng bng gi tr trung bnh mu Y
(j) Phng sai c iu kin, var(Yi Xi) = 2, v phng sai khng iu kin ca Y, var(Y) = Y2 , s
nh nhau nu X khng c tc ng ti Y.
5.2. Thit lp bng ANOVA theo cch trong Bng 5.4 cho m hnh hi quy trong (3.7.2) v kim nh gi
thit cho rng chi tiu tiu dng c nhn v tng sn phm quc dn ca nn kinh t Hoa K trong giai
on 1980-1991 khng c lin quan.
5.3. Xem xt cc kt qu hi quy sau i vi nn kinh t Hoa K trong giai on 1968-1987 ( Y = chi tiu
ca Hoa K i vi hng ha nhp khu v X = thu nhp kh dng c nhn, c hai u tnh bng t
la, gi c nh 1982):
Yt = 261,09 + 0,2453Xt
se = (31,327) ( ) r2 = 0,9388
t = ( ) (16,616) n = 20
(a) in s vo cc trng trong ngoc.
(b) Bn gii thch h s 0,2453 nh th no? V h s 261,09?
(c) C bc b gi thit cho rng gi tr ng ca h s gc bng 0 hay khng? S dng kim nh no?
Ti sao? Gi tr p ca thng k kim nh ca bn bng bao nhiu?
(d) Thit lp bng ANOVA cho v d ny v kim nh gi thit cho rng gi tr ng ca h s gc
bng 0. Bn s dng kim nh no v ti sao?
(e) Cc cu tr li trong (a) v (b) c mu thun vi nhau khng? Nu khng, iu g gii thch s
iu ha gia hai cu tr li?
(f) Gi s trong hi quy va nu, gi tr r2 khng c cho bit. Bn c th tnh c n t cc kt
qu khc trong hi quy khng?
5.4. Gi 2 l gi tr ng ca h s tng quan tng th. Gi s bn mun kim nh gi thit l = 0.
Gii thch bng li ni lm th no bn kim nh gi thit ny. Gi : S dng phng trnh (3.5.11).
Xem ng thi bi tp 5.7.
5.5. Ci c gi l ng c tnh ca phn tch u t hin i ch n gin l ng hi quy thit lp t
m hnh sau:
rit = i + irmt + ut
vi rit = sut sinh li ca chng khon th i vo thi gian t
rmt = sut sinh li trung bnh ca cc chng khon trn th trng vo thi gian t
ut = yu t nhiu ngu nhin
Trong m hnh ny i c gi l h s b ta ca chng khon th i, mt i lng o ri ro th
trng (hay h thng) ca mt chng khon.*
Da vo 240 sut sinh li hng thng trong thi k 1956-1976, Fogler & Ganapathy tnh ng
c tnh sau cho c phiu IBM trong quan h vi ch s chng khon th trng do i hc Chicago
xy dng:
rit = 0,7264 + 1,0598rmt r2 = 0,4710
se = (0,3001) (0,0728) s bc t do = 238
F1,238 = 211,896
(a) Mt chng khon c h s b ta ln hn 1 c gi l chng khon d bin ng hay nng ng.
IBM c phi l chng khon d bin ng khng trong khong thi gian ta nghin cu?
(b) H s tung gc c khc 0 v ngha hay khng? Nu c, ngha thc t ca n l g?
5.6. Phng trnh (5.3.5) cng c th vit di dng
Pr[ 2 t/2se( 2 ) < 2 < 2 + t/2se( 2 )] = 1
Tc l, bt ng thc yu () c thay th bng bt ng thc mnh (<). Ti sao?
5.7. R. A. Fisher tnh phn phi mu ca h s tng quan nh ngha trong (3.5.13). Nu gi s rng
cc bin X v Y ng thi phn phi xc sut theo quy lut chun, tc l nu chng thuc phn phi
chun ca hai i ng ngu nhin (xem Ph lc 4A, bi tp 4.1), th theo gi thit l h s tng
quan tng th bng 0, c th chng minh rng t r n 2 / 1 r 2 tun theo phn phi t ca
Student vi n 2 bc t do.** Chng minh rng gi tr t ng nht vi gi tr t trong (5.3.2) trong gi
thit khng cho rng 2 = 0. Sau , chng t rng vi cng gi thit khng F = t2. (Xem Mc 5.9).
*
Xem Haim Levy & Marshall Sarnat, Portfolio and Investment Selection: Theory and Pratice (C cu chng khon v
la chn u t: l thuyt v thc tin), Prentice-Hall International, Englewood Cliffs, N.J., 1984, Chng 12.
H. Russell Fogler & Sundaram Ganapathy, Financial Econometrics (Kinh t lng ti chnh), Prentice-Hall,
Englewood Cliffs, N.J., 1982, trang 13.
**
Nu tht s bng 0, Fisher chng minh rng r tun theo cng mt phn phi t vi iu kin mt trong hai bin X
hay Y c phn phi chun. Nhng nu khc 0, c hai bin phi c phn phi chun. Xem R. L. Anderson & T. A.
Bi tp
5.8. Tham kho hm cu i vi c ph trong phng trnh (3.7.1).
(a) Thit lp cc khong tin cy 95% ring l cho 1, 2 v 2.
(b) S dng phng php khong tin cy kim nh gi thit cho rng gi c ph khng c tc ng
g ti mc tiu dng c ph.
(c) Lm li cu (b), s dng phng php kim nh ngha. Bn s dng kim nh no v ti sao?
Ly = 5%.
(d) Gi tr p ca thng k kim nh tnh trong cu (c) bng bao nhiu? Nu gi tr p ny nh hn ,
bn c kt lun g?
(e) Thit lp bng ANOVA cho bi tp ny v kim nh gi thit 2 = 0. C mu thun gia cu tr
li ny vi cu (b) khng?
(f) Thay cho vic kim nh gi thit khng 2 = 0, bn c th kim nh gi thit cho rng gi tr
ng ca h s tt nh (coefficient of determination) bng 0 c khng?
(g) Gi s bn bc b gi thit khng l 2 = 0. Bn cng c th bc b gi thit l 2 = 1 c
khng? Bn s dng kim nh no cho gi thit th hai?
(h) Bn c th kim nh gi thit l 2 = 1 s dng kim nh F ca ANOVA c khng? Ti sao
hay ti sao khng?
5.9. T bi tp 3.19
(a) c lng hai hi quy a ra , tnh cc kt qu thng thng nh cc sai s chun, v.v
(b) Kim nh gi thit l cc yu t nhiu trong hai m hnh hi quy c phn phi chun.
(c) Trong hi quy gi vng, kim nh gi thit l 2 = 1, tc l c mi quan h mt - mt gia gi vng v
ch s gi tiu dng - CPI (ngha l vng c bo m hon ho v gi tr). Gi tr p ca thng k
kim nh c lng bng bao nhiu?
(d) Lp li bc (c) cho hi quy ch s NYSE (Th trng Chng khon New York). u t vo th trng
c phiu c c bo m hon ho chng li lm pht hay khng? Bn ang kim nh gi thit
khng no? Gi tr p bng bao nhiu?
(e) Gia vng v c phiu, bn la chn loi u t no? u l c s cho quyt nh ca bn?
5.10. Tham kho Bi tp 3.20. Lp bng ANOVA kim nh gi thit l thay i mc cung tin khng
c tc ng ti gi tiu dng ti Nht Bn trong khong thi gian nghin cu.
5.11. Tham kho Bi tp 3.21.
(a) Gia s hu in thoi v GDP bnh qun u ngi Singapore trong thi k 1960-1981 c quan
h khng? Lm sao bit c?
(b) Gi s GDP thc bnh qun u ngi trong nm 1982 l 5.752 USD. Gi tr trung bnh c
lng ca Y, s lng in thoi trong 1.000 dn, bng bao nhiu trong nm ? Thit lp mt
khong tin cy 95% cho c lng ny.
5.12. Tham kho Bi tp 1.1. i vi mi quc gia, c lng m hnh sau:
Yt = 1 + 2Xt + ut
vi Yt = t s lm pht trong thi gian t
Xt = thi gian, ly gi tr 1, 2,, 21
ut = s hng nhiu ngu nhin
Bancroft, Statistical Theory in Research (L thuyt thng k trong nghin cu), McGraw-Hill, New York, 1952, trang
87-88.
(b) i vi hi quy ca tng quc gia, kim nh gi thit cho rng 2, h s xu hng, ln hn 0.
(S dng mc ngha 5%)
5.13. Tip tc vi s liu trong Bi tp 1.1 v c lng hi quy sau:
Yit = 1 + 2Xt + ut
vi Yit = t s lm pht ti quc gia i, i l Anh Quc, Nht Bn, c, hay Php.
Xt = t s lm pht ti Hoa K.
(a) i vi tng hi quy, gia t s lm pht ca tng quc gia ny vi t s lm pht ca Hoa K c
mi quan h khng?
(b) Bn tin hnh kim nh mi quan h mt cch chnh thc nh th no?
(c) Bn c th s dng d bo t s lm pht ca 4 quc gia sau nm 1980 c khng? Ti sao
hay ti sao khng?
5.14. Bng sau cung cp s liu GNP v bn nh ngha v lng cung tin i vi Hoa K trong thi k
1970-1983.
GNP v bn i lng o lng cung tin
GNP, Thc o lng cung tin, t USD
Nm t USD M1 M2 M3 L
1970 992,7 216,6 628,2 677,5 816,3
1971 1.077,6 230,8 712,8 776,2 903,1
1972 1.185,9 252,0 805,2 886,0 1.023,0
1973 1.326,4 265,9 861,0 985,0 1.141,7
1974 1.434,2 277,6 908,5 1.070,5 1.247,3
1975 1.549,2 291,2 1.023,3 1.174,2 1.367,9
1976 1.718,0 310,4 1.163,6 1.311,9 1.516,6
1977 1.918,3 335,4 1.286,7 1.472,9 1.704,7
1978 2.163,9 363,1 1.389,1 1.647,1 1.910,6
1979 2.417,8 389,1 1.498,5 1.804,8 2.117,1
1980 2.631,7 414,9 1.632,6 1.990,0 2.326,2
1981 2.957,8 441,9 1.796,6 2.238,2 2.599,8
1982 3.069,3 480,5 1.965,4 2.462,5 2.870,8
1983 3.304,8 525,4 2.196,3 2.710,4 3.183,1
nh ngha:
M1 = tin mt + tin gi khng k hn + sc du lch v cc loi tin gi c rt sc khc (OCDs)
M2 = M1 + Hp ng mua li chng khon (RP) 1 ngy m v Eurodollar + s d ca MMMF (qu
h tng trn th trng tin t) + MMDAs (cc ti khon tin gi trn th trng tin t) + tit
kim v tin gi nh
M3 = M2 + tin gi c k hn ln + Hp ng mua li chng khon c k hn + MMMF nh ch
L = M3 + cc ti sn thanh khon khc
Ngun: Economic Report of the PresidentI (Bo co Kinh t ca Tng thng), 1985, s liu GNP ly t Bng B-1, trang 232;
s liu lng cung tin ly t Bng B-61, trang 303.
Thc hin hi quy GNP theo cc nh ngha v lng cung tin khc nhau, ta c cc kt qu trong
bng sau:
Cc nh kinh t hc tin t hay cc nh ng h l thuyt nh lng cho rng thu nhp danh ngha
(ngha l GNP danh ngha) c xc nh phn nhiu bi thay i lng cung tin, mc d khng c
s nht tr trong nh ngha ng v tin t. Vi cc kt qu bng trn, tr li cc cu hi sau:
(a) nh ngha no v tin t c v c quan h mt thit vi GNP danh ngha?
(b) Do i lng r2 c gi tr cao mt cch ng nht, c phi n c ngha l s la chn nh ngha
tin t ca chng ta khng lm thay i g c?
(c) Nu H thng D tr Lin bang (Fed) mun kim sot lng cung tin, i lng o tin t no l
i tng tt nht cho mc tiu ny? Bn c th suy ra t cc kt qu hi quy c khng?
5.15. Gi s phng trnh ca mt ng ng dng gia hai hng ha l
XiYi = 1 + 2Xi
Bn lm th no c lng cc thng s ca m hnh ny? p dng m hnh trn cho cc s liu
sau v bnh lun cc kt qu ca bn:
*
Xem William F. Sharpe, Portfolio Theory and Capital Markets (L thuyt u t chng khon v th trng vn),
McGraw-Hill, New York, 1970, trang 83.
Ngun: William F. Sharpe, Mutual Fund Performance, Journal of Business (Kt qu hot ng
ca cc qu h tng, Tp ch Kinh doanh), thng 1 nm 1966, ph trng, trang 125.
5.18. T nm 1986, Tp ch the Economist (Nh kinh t) xut bn Ch s Big Mac nh l mt i lng o
th v vui nhn xem cc ng tin quc t c vo t gi hi oi ng ca chng khng, nh
theo l thuyt cn bng sc mua (PPP). L thuyt PPP cho rng mt n v tin t phi c kh nng
mua cng mt nhm hng ha tt c cc nc. Nhng ngi xut PPP lp lun rng, trong thi
gian di hn, cc ng tin c xu hng dch chuyn v gi tr PPP ca chng. Tp ch the Economist
s dng ch s Big Mac ca McDonald nh l mt nhm i din v a ra thng tin sau.
PH LC 5A
Z1
2 2
( 2 2 ) x 2
i
(1)
se( 2 )
2
v Z 2 ( n 2) 2 (2)
Vi bit, Z1 tun theo phn phi chun ha; tc l Z1 ~ N(0, 1). (Ti sao?) Z2 tun theo
phn phi 2 vi (n 2) bc t do. ( chng minh xem ch thch 5). Hn na, ta c th ch ra
rng Z2 c phn phi c lp vi Z1.* Do vy, theo nh l 4.5, bin s
Z1 n 2
t (3)
Z2
tun theo phn phi t vi n 2 bc t do. Thay th (1) v (2) vo (3), ta c phng trnh 5.3.2).
2
1
*
chng minh, Xem J. Johnston, Econometric Methods (Cc phng php Kinh t lng), MacGraw-Hill, in ln th
3, NewYork, 1984, trang 181-182 (Cn c kin thc i s ma trn theo di chng minh ny)
2 u i
2
Z 2 (n 2) 2
2
cng tun theo phn phi 2 vi n 2 bc t do. Hn na, nh lu trong Mc 4.3., Z2 c phn
phi c lp vi Z1. Do vy, p dng nh l 4.6, ta c
Z 12 / 1 ( 2 2 ) 2 ( xi2 )
F
Z 2 /( n 2) u i2 /( n 2)
tun theo phn phi F tng ng vi 1 v n 2 bc t do. Theo gi thit khng H0: 2 = 0, t l F
trn rt gn thnh phng trnh (5.9.1).
By gi, s dng cc cng thc v phng sai v ng phng sai (tch sai) ca 1 v 2
trong (3.3.1), (3.3.3) v (3.3.9) v bin i cc s hng, ta c
2 1 (X 0 X )2
var(Y0 ) = (5.10.2)
n xi2
Sai s d bo, Y0 Y0 , l
Y0 Y0 = 1 + 2X0 + u0 ( 1 + 2 X0)
= (1 1 ) + (2 2 )X0 + u0 (7)
Do vy,
E(Y0 Y0 ) = E(1 1 ) + E(2 2 )X0 E(u0)
=0
do 1 , 2 khng thin lch, X0 l s c nh, v E(u0) bng 0 theo gi thit.