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Kinh tế lượng
Kinh tế lượng
KINH T LNG
(Dng cho sinh vin h o to i hc t xa)
Lu hnh ni b
H NI - 2006
HC VIN CNG NGH BU CHNH VIN THNG
KINH T LNG
Tc gi
TS. Trn Ngc Minh
2
M u
M U
3
M u
Nu ra gi thit
Thit lp m hnh
c lng tham s
Phn tch kt qu
D bo
Ra quyt nh
4
M u
Qu trnh xy dng v p dng m hnh kinh t lng i hi trc ht phi c s hiu bit
v l thuyt kinh t hc, sau l nhng kin thc v l thuyt xc sut v thng k ton, cui
cng l cc phn mm ca kinh t lng. Cc kt qu rt ra t vic phn tch cc m hnh kinh t
lng cng i hi phi c suy xt t nhiu pha. Chng hn cc c lng cho thy mi quan
h nhn qu gia hai ch tiu kinh t, nhng iu khng chng minh hay khng nh l trong
thc t c mi quan h nhn qu nh vy. iu khng nh phi do ngi nghin cu kinh t
lng suy xt.
T khi ra i n nay kinh t lng cung cp cho cc nh kinh t mt cng c sc bn
o lng mi quan h ca cc bin kinh t.
Ngy nay phm vi ng dng ca kinh t lng vt qu phm vi kinh t, lan sang cc
lnh vc khc nh x hi hc, v tr hc,...
Vi s i hi phi phn tch nh lng cc hin tng kinh t, kim nh s ph hp cc
gi thit trong qu trnh hoch nh cc chnh sch, cng nh ra cc quyt nh tc nghip, vic d
bo c tin cy cao,.... tt c lm cho kinh t lng c mt vai tr ngy cng quan trng,
khng ngng hon thin v pht trin.
S pht trin ca my tnh v tin hc l tng thm sc mnh cho kinh t lng, gip cho
cc nh kinh t kim chng c cc l thuyt kinh t c ph hp hay khng c nhng quyt
nh ng n trong hot ng kinh doanh ca doanh nghip v hoch nh cc chnh sch, cc
chin lc kinh t-x hi.
5
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
GII THIU
Hi quy l mt cng c c bn ca o lng kinh t. Phn tch hi quy gii quyt nhng vn
c th g? phn tch hi khc vi cc phn tch khc nh th no? c s thng tin phn tch hi
quy l g? v sao phi xy dng m hnh hi quy?... Cc vn trn v bn cht ca chng s c
cp vn tt trong chng ny. Trong chng ny s trnh mt s vn c bn sau:
- Bn cht ca phn tch hi qui.
- Cch x l s liu u vo.
- Hm hi quy tng th (PRF) v hm hi quy mu(SRF) trong m hnh hi quy tuyn tnh
hai bin.
c th nm bt c cc vn trn yu cu ngi hc cn c kin thc v ton cao
cp, thng k ton, xc sut v kinh t hc.
NI DUNG
1.1 PHN TCH HI QUI
1. nh ngha: Phn tch hi quy l nghin cu s ph thuc ca mt bin (bin ph thuc), vo
mt hay nhiu bin khc (cc bin gii thch), vi tng l c lng (hay d on) gi tr trung
bnh ca bin ph thuc trn c s cc gi tr bit trc ca cc bin gii thch.
V d: 1- Xt th phn tn hnh 1.1, trong m t phn phi v chiu cao ca hc
sinh nam tnh theo tui c nh t 9-15.
140
130
Chiu cao (cm)
120
110
9 10 11 12 13 14 15 Tui(nm)
Hnh 1.1: Phn phi gi thit v chiu cao theo tui.
6
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
R rng khng phi tt c hc sinh nam mt tui nht nh c xu hng c cng chiu
cao. Nhng chiu cao trung bnh tng ln theo tui (tt nhin ti tui nht nh). Nh vy,
nu bit c tui, ta c th d on c chiu cao trung bnh tng ng vi tui ca hc
sinh nam.
2- Mt nh kinh t c th nghin cu s ph thuc ca chi tu cho tiu dng c nhn vo
thu nhp c nhn thc t. Mt phn tch nh vy c th c ch trong vic c lng xu th tiu
dng bin t (MPC), tc l, mc thay i trung bnh v chi tiu cho tiu dng khi thu nhp thc t
thay i mt n v gi tr.
3- Mt nh kinh t lao ng c th mun nghin cu t l thay i tin lng trong mi
quan h vi t l tht nghip. Cc s liu trong qu kh c biu din trn th phn tn nh
trong hnh 1.2 l mt th d v ng cong phillips. ng cong ny lin quan n s thay i v
tin lng i vi t l tht nghip. Cn c vo ng cong ny c th cho php nh kinh t lao
ng d on c mc thay i trung bnh v tin lng ti mt t l tht nghip cho trc.
140
T l thay i tin lng
130
120
2 4 6 8 10 12 T l tht nghip
7
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
8
T l th nhp di dng tin (k)
6
4
2
0
1 2 3 4 5 6 7 8 T l lm pht ()
8
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
9
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
10
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
Cc mu s liu trong cc cuc iu tra thng khng ging nhau v kch thc nn rt
kh so snh kt qu gia cc t iu tra.
Cc s liu v kinh t thng mc tng hp cao, khng cho php i su vo cc n v nh.
Ngoi ra mt s s liu quan trng, cn thit cho qu trnh phn tch, nh gi li thuc v
b mt quc gia, khng th tip cn v thu thp c.
1.3 M HNH HI QUI TNG TH
Ta xt v d gi nh sau:
V d 1: Gi s mt a phng c 60 h gia nh v chng ta quan tm n vic nghin
cu mi quan h gia Y- chi tiu tiu dng hng tun ca cc gia nh v X thu nhp kh dng
hng tun ca cc gia nh. Ni mt cch khc l chng ta mun d on mc trung bnh ca chi
tiu tiu dng hng tun khi bit thu nhp hng tun ca h gia nh. thc hin iu ny, gi s
ta chia 60 h thnh 10 nhm c thu nhp tng i nh nhau, chnh lch thu nhp gia cc nhm
l nh nhau v bng 20USD. Cc s liu v mc chi tiu tng ng vi mc thu nhp ca cc h
gia nh c ghi trong bng 1.2
Bng 1.2
80 100 120 140 160 180 200 220 240 260
55 65 79 80 102 110 120 135 137 150
60 70 84 93 107 115 136 137 145 152
65 74 90 95 110 120 140 140 155 175
70 80 94 103 116 130 144 152 165 178
75 85 98 108 118 135 145 157 175 180
88 113 125 140 160 189 185
115 162 191
325 462 445 707 678 750 685 1043 966 1211
kin l X = Xi)
11
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
1 1 1 1 1 1
Chng hn: E(Y/100) = 65 + 70 + 74 + 80 + 85 + 88 = 77
6 6 6 6 6 6
Bng 1.3
80 100 120 140 160 180 200 220 240 260
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/6 1/7 1/6 1/6 1/7 1/6 1/7
1/7 1/7 1/7
65 77 89 101 113 125 137 149 161 173
k
E(Y/xi ) = Y P(Y = Y
i =1
j / X = Xi )
200
180
160
140
Chi tiu
120
100
80
60
40
0
100 200 300 Thu nhp
Hnh 1.5.
Trn hnh 1.5 ta thy trung bnh c iu kin ca mc chi tiu trong tun nm trn ng
thng c h s gc dng. Khi thu nhp tng th mc chi tiu cng tng. Mt cch tng qut,
E(Y/Xi) l mt hm ca Xi.
E(Y/ Xi) = f(Xi) (1.1)
12
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
E(Y/ Xi) = 1 +2 Xi
X
Hnh 1.6
13
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
Nu 2 > 0 th E(Y/ X i' ) > E(Y/ Xi) khi gi tr trung bnh ca Y s tng.
Nu 2 < 0 th E(Y/ X i' ) < E(Y/ Xi) khi gi tr trung bnh ca Y s gim.
E(Y/ Xi) l trung bnh ca Y vi iu kin X nhn gi tr Xi.
Thut ng tuyn tnh y c hiu theo hai ngha: tuyn tnh i vi tham s v tuyn
tnh i vi cc bin.
V d: E(Y/ Xi) = 1 +2 X i2 l hm tuyn tnh i vi tham s. Nhng khng tuyn tnh i
vi bin.
E(Y/ Xi) = 1 + 2 Xi l hm tuyn tnh i vi bin nhng phi tuyn i vi tham s.
Hm hi qui tuyn tnh lun c hiu l tuyn tnh i vi cc tham s, n c th khng
tuyn tnh i vi bin.
Gi tr quan st th i ca bin ph thuc Y c k hiu l Yi
K hiu Ui l chnh lch gia Yi v E(Y/ Xi):
Ui = Yi - E(Y/ Xi)
Hay: Yi = E(Y/ Xi) + Ui (1.3)
1.4 SAI S NGU NHIN V BN CHT.
1. Sai s ngu nhin
Nh trnh by trn Ui l chnh lch gia gi tr quan st Yi vi gi tr trung bnh
ca n tnh theo hm hi qui. Ui l i lng ngu nhin, Ui c th nhn gi tr m hoc dng,
ngi ta gi Ui l sai s ngu nhin (hoc nhiu) v (1.3) c gi l hm hi qui tng th ngu
nhin.
2. Bn cht ca sai s ngu nhin
S tn ti ca Ui bi mt s l do sau y:
Ngoi Xi c a vo m hnh , rt c th cn c cc bin khc cha xem xt ti
cng c nh hng ti Yi, nn Ui i din cho cc bin .
Thiu s liu ca cc bin a vo m hnh.
n gin ho qu trnh tnh ton.
Tm li Ui gi vai tr quan trng trong phn tch hi qui, chng phi tho mn nhng iu
kin nht nh th vic phn tch m hnh hi qui mi thc s c ngha.
14
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
Yi = 1 + 2 X i (1.5)
TM TT NI DUNG CHNG 1
Bn cht ca hi quy l nghin cu s ph thuc ca mt bin (bin ph thuc), vo mt
hay nhiu bin khc (bin gii thch), vi tng l c lng (hay d on) gi tr trung bnh
ca bin ph thuc trn c s cc gi tr bit trc ca cc bin gii thch.
Nhim v ca phn tch hi quy l c lng gi tr trung bnh ca bin ph thuc vi gi
tr cho ca bin c lp; Kim nh gi thit v bn cht ca s ph thuc; D bo gi tr ca
bin ph thuc khi bit gi tr ca cc bin c lp v kt hp cc vn trn.
Phn tch hi quy ch nghin cu ch nghin cu quan h thng k gia cc bin.
c kt qu st vi thc t cn phn bit cc loi s liu v u nhc im v cch x l
ngun s liu.
15
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
CU HI V BI TP N CHNG I
I. Cu hi l thuyt:
1. Hy a ra mt v d v mi lin h thng k gia bin ph thuc vi mt hay mt s bin
c lp trong thc t kinh doanh ca ngnh BC-VT?
2. Phn bit s khc nhau gia hm hi qui tng th v hm hi qui mu? S dng hm hi qui
mu c lng gi tr trung bnh ca bin ph thuc c nhng u nhc im g?
II. Bi tp:
1. D liu ca Y (chi tiu tiu dng c nhn) v X (tng sn phm quc ni GDP), t 1980
1991, tt c tnh bng t la nm 1987 nh sau:
Nm Y X Nm Y X
1980 2447,1 3776,3 1986 2969,1 4404,5
1981 2476,9 3843,1 1987 3052,2 4539,9
1982 2503,7 3760,3 1988 3162,4 4718,6
1983 2619,4 3906,6 1989 3223,3 4838,0
1984 2746,1 4148,5 1990 3260,4 4877,5
1985 2865,8 4279,8 1991 3240,8 4821,0
16
Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin
1 + 2 X i + U i
a)Yi = 1 + 2 X i + U i
b) Yi = e 1
1+ e
1 1
c) LnYi = 1 + 2 + Ui d) Y =
X 1 + 2 X
X 1
e) Y = f) Y =
1 + 2 X 1 + exp ( 1 2 X )
17
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
GII THIU
Trong chng ny s trnh by vn c lng hm hi qui tng th (PRF) trn c s s
liu ca mt mu. Thc cht l xc nh cc tham s trong hm hi qui mu, trn c s cc gi
thit tin hnh c lng v kim nh cc gi thit, t xy dng hm hi qui tng th. C
nhiu phng php c lng hm hi hi qui tng th. Trong thc t thng s dng phng
php bnh phng nh nht hoc phng php OLS (Ordinarry Least Square). Cc ni dung
chnh ca chng:
- Cch c lng cc tham s ca hm hi qui bng phng php OLS.
- Cc gi thit ca phng php OLS.
- Cch tnh phng sai v sai s chun ca cc c lng.
- Cch xc nh h s tng quan v h s xc nh, tnh cht v ngha ca cc h s .
- Cch xc nh khng tin cy ca cc tham s trong hm hi qui tng th v phng sai
ca n.
- Phng php kim nh gi thit v cc h s hi qui.
- Phng php kim nh s ph hp ca hm hi qui. Phn tch hi qui v phn tch
phng sai.
- ng dng phn tch hi qui, trnh by kt qa v nh gi kt qu ca phn tch hi qui.
Yu cu ngi hc cn c cc kin thc v xc sut thng k ton, ton cao cp, l thuyt
kinh t hc.
NI DUNG
2.1 PHNG PHP BNH PHNG NH NHT.
tm hm Yi = 1 + 2 X i ta dng phng php OLS do nh ton hc c l Carl
Friedrich Gauss a ra. Ni dung ca phng php nh sau:
Gi s chng ta c mt mu gm n cp quan st (Yi,Xi), i = 1 n. Theo phng php bnh
phng nh nht, ta phi tm Y sao cho n cng gn vi gi tr thc (Yi) cng tt, tc phn d:
i
18
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
Y1
SRF
ei
e3
e1
Yi
Hnh 2.1
Do ei ( i = l , n ) c th dng, c th m, nn ta cn tm SRF sao cho tng bnh phng
ca cc phn d t cc tiu. Tc 1 , 2 phi tho mn iu kin:
n n
e
2
i
= ( Y X ) i 1 2 2
2
min (*)
i=1 i=1
iu kin (*) c ngha l tng bnh phng cc sai lch gia gi tr thc t quan st c
(Yi ) v gi tr tnh theo hm hi quy mu ( Y i ) l nh nht. V mt hnh hc, biu thc (*) phn
nh tng bnh phng cc khong cch t cc im quan st ti ng hi qui mu l nh nht,
tc ng hi quy mu vi 1 , 2 tho mn iu kin (*) s l ng thng gn nht vi tp
hp cc im quan st, do vy n c coi l ng thng tt nht , ph hp nht trong lp
cc ng hi qui mu c th dng c lng hm (2.1)
n
Do Y , X (i =
i i l , n ) bit, nn (Y i 1 2 X i ) 2 l hm s ca 1 , 2 .
i =1
i =1
2
19
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
Hay:
n n
n + X = Y
1 2
i=1
i
i=1
i
(2.1)
n n n
1 X + 2 X = X Y
2
i i i i
i=1 i=1 i=1
2 = i=1
n
.
X
2
i
n (x ) 2
i=1
= Y X
1 2
(2.3)
=
xy
2
i i
(2.4)
x
2
i
Trong : x i = X i X ; y i = Yi Y
Th d 1: Bng sau y cho s liu v mc chi tiu tiu dng (Y-la/tun) v thu nhp
hng tun (X-la/tun) ca mt mu gm 10 gia nh. Gi s Y v X c mi quan h tng quan
tuyn tnh. Hy c lng hm hi quy ca Y theo X.
=2
i =1
n
=
16800
= 0,5091
33000
x
2
i =1
i
(2.6)
1 = 1 1 1 0, 5 0 9 0 9 1(1 7 0 ) = 2 4, 4 5 4 5
20
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
Vy hm hi qui tuyn tnh mu ca chi tiu cho tiu dng theo thu nhp l:
Yi = 24,4545 + 0,5091X i
Gi tr = 24,4545 l tung gc ca ng hi qui mu, ch mc chi tiu tiu dng
1
trung bnh hng tun khi m thu nhp hng tun bng 0. Tuy nhin y l s gii thch my mc
s hng tung gc. Trong phn tch hi qui, cch gii thch theo ngha n ca s hng tung
gc nh th ny khng phi lc no cng c ngha, mc d trong v d chng ta ang xt, n c
th c lp lun rng mt h gia nh khng c bt c thu nhp no (do tht nghip, b sa thi,...)
c th duy tr mc chi tiu tiu dng ti thiu (hoc t vay mn, hoc t tit kim,...). Nhng ni
chung ngi ta phi s dng nhy cm trong vic gii thch s hng tung gc i vi X
nhn cc gi tr trong mt khong no khi quan st., Vi v d m ta ang xt th khng th coi
s 0 l mt trong cc gi tr quan st ca X.
Gi tr = 0,5091 ch ra rng, xt cc gi tr ca X nm trong khong (80; 260), khi thu
2
nhp tng 1 USD/tun th chi tiu tiu dng ca h gia nh tng trung bnh khong 0,51
USD/tun.
2.2 CC GI THIT C BN CA PHNG PHP BNH PHNG NH NHT.
Trong phn tch hi qui, mc ch ca chng ta l c lng, d bo v tng th, tc l c
lng E(Y/Xi), , tm c bng phng php OLS l cc c lng im ca 1, 2.
1 2
Chng ta cha bit cht lng ca cc c lng ny nh th no.
Cht lng ca cc c lng ph thuc vo:
Dng hm ca m hnh c la chn.
Ph thuc vo cc Xi v Ui.
Ph thuc vo kch thc mu.
V dng ca m hnh chng ta s cp phn sau. y chng ta s ni v cc gi thit
i vi Xi v Ui. Theo cc gi thit ny th cc c lng tm c bng phng php OLS l
tuyn tnh, khng chch v c phng sai nh nht.
Gi thit 1 Cc bin c lp Xi l phi ngu nhin, tc l gi tr ca chng c xc nh
trc. Gi thit ny l ng nhin, v phn tch hi qui c cp l phn tch hi qui c iu
kin, ph thuc vo cc gi tr Xi cho.
Gi thit 2 K vng ca yu t ngu nhin Ui bng 0.,. tc l E(Ui/Xi) = 0. Gi thit ny c
ngha l cc yu t khng c trong m hnh, Ui i din cho chng v khng c nh hng mt
cch c h thng n gi tr trung bnh ca Y . C th ni cc gi tr Ui dng trit tiu vi cc gi
i
21
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
s e ( 1 ) = V a r ( 1 ) (2.11) s e ( 2 ) = V a r ( 2 ) (2.13)
Trong cc cng thc trn, nu 2 cha bit th 2 c c lng bng c lng khng
chch ca n l 2
n
e i2
2 = i =1
(2.14) = 2 l sai s tiu chun. (2.15)
n 2
( ) ()
n n
TSS = Yi Y = Y 2 n Y
2 2
Ta k hiu: (2.16)
i =1 i =1
TSS (Total Sum of Squares) l tng bnh phng ca tt c cc sai lch gia cc gi tr
quan st Yi vi gi tr trung bnh ca chng.
22
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
( )
n n
= ( 2 ) 2 xi2
2
ESS = Yi Y (2.17)
i =1 i =1
ESS (Explained Sum of Squares) l tng bnh phng ca tt c cc sai lch gia gi tr ca
bin Y tnh theo hm hi qui mu vi gi tr trung bnh. Phn ny o chnh xc ca hm hi
qui.
(Y )
n n
ei2 =
2
RSS = i Yi (2.18)
i =1 i =1
RSS (Residual Sum of Squares) l tng bnh phng ca tt c cc sai lch gia cc gi tr
quan st ca bin Y v cc gi tr nhn c t hm hi qui mu.
Ngi ta chng minh c rng: TSS = ESS + RSS (2.19)
Nu hm hi qui mu ph hp tt vi cc s liu quan st th ESS s cng ln hn RSS.
Nu tt c cc gi tr quan st ca Y u nm trn SRF th ESS s bng TSS v do RSS = 0.
Ngc li, nu hm hi qui mu km ph hp vi cc gi tr quan st th RSS s xcng ln hn
ESS.
V mt hnh hc ta c th minh ho iu nhn xt trn bng hnh (2.2)
M
Y
SRF
Yi - Yi
N Yi - Y
Yi
Yi - Y
K
Y
Xi X
(Y )
n n
x
2
i Y i
2
ESS
Ta nh ngha: r 2 = = i =1
hoc r 2 = 22 i =1
(2.20)
(Y )
n n
TSS
2
i Y y i
2
i =1 i =1
( ) y = (Y Y ).
n n n n
Trong : xi2 = X i X ;
i =1 i =1 i =1
2
i
i =1
i
Ta c: 0 r2 1 (2.21)
23
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
(X )(Y )
n
X Y
i=1
i i
(2.22)
r =
(X ) (Y )
n n
2 2
i X i Y
i=1 i=1
Hay:
i=1
xi y i
(2.23)
r =
n n
i=1
x i2
i=1
y i
2
r = 0,0591 = 0,981
Cc tnh cht ca h s tng quan:
H s tng quan c th nhn cc gi tr t -1 n +1.
Nu r > 0: Xi v Yi c mi tng quan thun.
Nu r < 0: Xi v Yi c mi tng quan nghch.
2 = 0 th r = 0 v ngc li. Ngoi ra, tham s 2 v h s tng quan r lun ph hp
vi nhau v du. V vy c th cn c vo du ca 2 nhn bit tnh thun nghch ca mi
tng quan.
24
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
2 2
2 ~ N( 2, 2 ) t tnh cht ny suy ra: Z = ~ N(0,1).
2
12
(n 2) 2 ~ 2(n-2).
2
Hm hi qui mu Yi ph thuc vo , v 2 c phn phi chun v k vng ton
1 2
l ng hi qui l thuyt trong tng th chung, tc l Yi ~ N ( 1 + 2Xi, 2).
25
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
1 1
t1 = ~ T(n - 2)
Se( 1 )
V 2 2 (2.26)
t2 = ~ T(n - 2)
Se ( 2 )
Bc 3: Xc nh v nh gi khong tin cy:
Cc gi tr khc nhau ca t1, t2 l nhng i lng ngu nhin tun theo lut phn phi
chun, cn cc gi tr l thuyt tng ng ca chng c lit k trong bng T, c k hiu t/2(n-2),,
c hiu l: vi tin cy p hoc ngng xc sut = 1- p no , ta tra bng T ng vi gi tr
/2 v t do (n-2) s nhn c gi tr ti hn t /2(n-2) dng xc nh khong tin cy ca
, . V t/2(n-2) l gi tr ti hn nn p = 1 - chnh l xc sut cc gi tr t1, hoc t2 khng
1 2
vt qu gi tr ny. C ngha l: ti t/2(n-2) P(ti t/2(n-2)) = 1 - hay:
P(-T/2(n-2) ti t/2(n-2)) vi i = 1 2 (2.27)
i i
V ti = nn suy P(-t/2(n-2) i i t/2(n-2)) = 1
Se ( i )
Se ( i )
26
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
( t Se ( i ) i i + t / 2 Se ( i ) ) vi i = 1 2. (2.28)
i / 2(n 2) (n 2)
Trong : t/2 l gi tr ca i lng ngu nhin T phn phi theo qui lut Student vi bc
t do (n-2) sao cho P |T|> t/2 = .
C th tra t/2 bng hm TINV trong Exel. V d: Vi bc t do l n-2 = 8, = 5% th;
t(0,025,8) = TINV(0,05, 8) = 2,201.
V d: Vi s liu trong v d 2, phn trn ta tnh c: RSS = 8890 8552,73 = 337,27
Vy:
42,15875
Var(2 ) = = 0,0012775
33000
se ( 2 ) = Var ( 2 ) = 0,0012775 = 0,035742
322000
Var(1) = 42,15875= 41,13672
1033000
gi thit 6 ta c 2 =
(n 2 ) 2
y l i lng ngu nhin phn phi theo qui lut
2
2(n-2). Do khong tin cy ca 2 (vi h s tin cy 1 - ) c xc nh t biu thc:
27
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
2 ( n - 2 ) 2 2
P 1-/2 /2 = 1-
2
Hay:
(n 2 ) 2 (n 2 ) 2
P 2
=1-
/ 2 12 / 2
2
(2.30)
28
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
Bc b gi Cc gi tr ca 2 nm trong Bc b gi
thit H0 nu khong ny l hp l theo thit H0 nu
2 nm trong H0 vi tin cy 1 . Do 2 nm trong
min ny vy khng bc b H0 nu 2 min ny
nm trong min ny
2 t /2 Se ( 2 ) 2 + t /2 Se ( 2 )
2 2
ti =
Se(2 )
29
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
30
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
Hai pha 2 = 2 2
2 t >t/2
Hai pha 1 = 1 1
1
|t|> t/2
Pha phi 2 02 2 02 2 2
Pha tri 2 02 2 02 2 12
V d: Vi s liu v d 2, ta hy kim nh gi thit H0: 2 = 85 vi H1: 2 85 vi
mc ngha 5%.
31
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
2 =
(10 - 2)42,15875= 3,968
85
Dng bng Excel, ta tm c:
2 / 2 = 0,025(8)
2
= CHINV(0,02 5;8) = 17,5345
12- /2 = 0,975(8)
2
= CHINV(0,97 5; 8) = 2,1797
32
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
+ La chn mc ngha
Khi tin hnh kim nh gi thit, vic ta bc b hay khng bc b gi thit khng ph
thuc nhiu vo , mc ngha hay xc sut phm phi sai lm loi I (xc sut bc b gi thit
ng). Ti sao hay c c nh mc 1%, 5% hay nhiu nht l 10%. Trong thc t, vic n
nh mc ngha khng phi l bt kh xm phm; mi gi tr khc cng c th c la chn.
Nhng vic la chn gi tr thch hp ca s khng cn thit nu ta s dng gi tr p ca thng
k kim nh. Gi tr p s c cp mc tip theo.
+ Mc ngha chnh xc: Gi tr p
T s liu ca mt mu, ta tnh c gi tr ca tiu chun kim nh (v d tng k t).
Trong v d tiu dng-thu nhp nu trn, khi kim nh gi thit H0: 2 = 0 vi H1: 2 0, ta
tnh c t = 14,243. Khi ta c th tnh c: P(|t|> 14,243). Xc sut ny c gi l gi tr p
(gi tr xc sut). N cng c gi l mc ngha quan st hay mc ngha chnh xc m gi
thit khng c th b bc b. Cc phn mm kinh t lng u cho gi tr p trong bng kt qu.
trn chng ta bit, nu s liu khng h tr gi thit khng, th |t| tnh c theo gi
thit khng s ln v nh vy gi tr p ng vi t s nh. Ni 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
cao.
Mi quan h gia gi tr p v mc ngha .
Nu ta to thi quen c nh bng gi tr p ca thng k kim nh (v d thng k t), th
khng h c mu thun gia hai gi tr. Ni cch khc, ta nn t b cch c nh mt cch tu
v n gin l chn gi tr p ca thng k kim nh. Ngi nghin cu 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 thng k
kim nh l 0,145 v nu ngi nghin cu mun bc b gi thit khng ti mc ngha (chnh
xc) ny th c vic thc hin. Khng c g sai nu chp nhn xc sut sai lm nu bc b gi thit
khng khi gi thit ung 14,5%. Tng t, nu trong v d tiu dng- thu nhp, nu ta kim
nh gi thit H0: 1 = 0 vi H1; 1 0 v s dng phn mm Stata, th gi tr p tng ng s l
0,005. khng c g sai nu nh nghin cu mun chn mc ngha l 5%, tc khng mun xc
sut phm phi sai lm nhiu hn 5 trong 1000 ln.
2.7 KIM NH S PH HP CA HM HI QUI. PHN TCH HI QUI V
PHNG SAI.
Phn ny s trnh by vic phn tch hi qui theo quan im ca phn tch phng sai, n
cung cp cho chng ta mt cch khc, hu ch trong vic gii quyt vn phn on thng k.
ESS
phn trn , ta bit: TSS = ESS + RSS v r 2 = , nn:
TSS
ESS = r2* TSS v RSS = (1 r2)TSS.
2 2 2
Do 2 c phn phi N( 2, ) nn x 2
~ N(0,1)
x
2 i
i
( 22 2 ) 2 (n 2) 2 e 2
i
V S1 =
2 x 2
i ~ 2(1); S 2 =
2
= i =1
2
~ 2(n-2)
33
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
S1 / 1
( 2 2 ) x (
2 n 2
i 2 2 ) x
2 n 2
i
Nn F = = i =1
= i =1
~F(1,n-2)
S 2 /(n 2) 2
n
e
i =1
2
i /(n 2)
n
T cc yu t ngu
e
n
2
n-2 e 2
i
= 2
i i =1
nhin i =1
n2
n
TSS y
i =1
2
i n-1
34
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
Y0 = 1 + 2 X 0 ; se(Y 0 - Y 0 ) = var(Y 0 - Y 0 )
var( Y 0
1
- Y 0 ) = 2 1 + +
X0 X ( )
2
(2.35)
n
n
i =1
x i2
1 (100 170)2
Var( Y0 ) = 42,15875 + = 10,4758
10 33000
se( Y0 ) = 3,2366; Vi h s tin cy 95% v bc t do l 8 th t/2 = t0,025 = 2,201. Vy d
bo khong ca chi tiu cho tiu dng khi thu nhp mc 100USD/tun vi h s tin cy 95% l:
75 ,3636 2,201 * 3,2366 .Hay : ( 68 , 24 E(Y/X 0 = 100 82,487)
d bo gi tr ring bit, trc ht ta tnh:
35
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
1 (100 170 )
2
var(Y0 - Y0 ) = 42,158751 + + = 52,63457
10 33000
se(Y0 - Y0 ) = 7,25497. Vy d bo khong chi tiu tiu dng khi thu nhp mc
100USD/tun vi h s tin cy 95% l:
75 ,3636 2,201 * 7,25497 ; Hay ( 60 , 781 Y 0 91 ,332 )
So snh kt qu ny vi kt qu v d bo khong ca gi tr trung bnh ta thy khong tin
cy ca gi tr ring bit (Y0) rng hn khong tin cy ca E(y/X0).
2.9 TRNH BY KT QU PHN TCH HI QUI:
C nhiu cch khc nhau trnh by cc kt qu ca phn tch hi qui, y ta s s dng
cch trnh by nh sau (vn dng v d tiu dung - thu nhp):
Yi = 24,4545 + 0,5091 X i r 2 = 0,9621
se = (6,4138 ) (0,0357 ) df = 8 (2.36)
t = (3,813 ) (14,243 ) F(1,8) = 202,87
p= (0,005 ) (0,000 ) p = (0,0000)
Cn lu :
- Cc gi tr ghi dng 3 ca (2.36) c tnh theo cng thc:
j
tj =
( ) (j = 1,2)
se j
- Gi tr p ghi dng th 4 ca (2.36) c ngha l: vi bc t do l 8 th: P(|T| > 3,813) =
0,005.
P(|T| > 14,2405) = 0,0005; V gi tr 0,0005 rt nh nn c th lm trn l 0,000. Nh
vy khi my bo kt qu gi tr p bng 0,000 th ta cn hiu gi tr ny l mt con s rt nh (nh
hn 0,0005) v c lm trn l 0,000. Tng t: P(F > 202,87) < 0,00005 v xc sut ny
c lm trn l 0,0000.
- Nhn vo gi tr p ta c th kt lun chp nhn hay bc b gi thit H0: j = 0;H1: j 0(j
=1,2). Theo kt qu trn, vi mc ngha kh nh (chng hn 1%) th ta bc b gi thit:
H0: 1 = 0;H1: 1 0 v H 0* : 2 = 0; H 1* : 2 0
(v gi tr p u nh hn 0,01, tc gi tr ca thng k kim nh u nm min bc b).
- Sau khi c lng c m hnh hi qui tng th v tnh c cc thng s hi qui, ta
cn nh gi v s thch hp ca m hnh. M hnh ph hp ti u? tr li cu hi ny, ta cn
mt s tiu ch:
Th nht: Du ca cc h s hi qui c lng c ph hp vi l thuyt hay tin nghim
khng? Mt s tin nghim l 2, xu hng tiu dng bin (MPC) trong hm tiu dng phi
dng. Trong v d 2, = 0,5091 (l mt c lng im ca 2 ) l s dng.
2
Th hai: Theo l thuyt kinh t th mi quan h gia chi tiu v thu nhp khng nhng ch
ng bin m cn phi c ngha thng k th trong v d ang xt c tho mn khng? Nh trn
36
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
TM TT NI DUNG CHNG 2
M hnh hi qui hai bin l m hnh n gin nht trong lp m hnh hi qui tuyn tnh,
trong m hnh ch c mt bin ph thuc v mt bin c lp, gi tr ca bin c lp cho trc.
xc nh gi tr trung bnh ca bin ph thuc; Trc ht ta cn c vo mt mu c sn, s
dng phng php OLS c lng cc tham s ca mu; Xc nh hm hi qui mu, kim tra
tnh hp l ca cc tham s (cc h s trong hm SRF). Nu ph hp ta tin hnh xc nh
phng sai v sai s chun i vi cc c lng trn, t xc nh h s tng quan v h s
xc nh kim tra mc cht ch ca quan h gia hai bin v mc ph hp ca hm SRF.
Trn c s hm hi qui mu, cc gi thit ca phng php OLS v gi thit v phn phi
xc sut ca cc c lng, tin hnh xc nh khong tin cy ca cc tham s trong hm PRF;
Kim nh gi thit v cc h s hi qui; Kim nh s ph hp ca hm hi qui. Phn tch hi qui
v phn tch phng sai. Sau khi c kt lun v mc tin cy ca hm hi qui, ta tin hnh
d bo gi tr ca bin ph thuc khi bit gi tr ca bin c lp trong tng lai (k hoch). Cui
cng ta trnh by kt qu v nh gi cc kt qu ca phn tch hi qui.
CU HI V BI TP N CHNG 2
I- Cu hi
1. Trnh by ni dung ca phng php bnh phng nh nht? Trong m hnh hi qui hai
bin cc h s hi qui c ngha nh th nao?
2. Ti sao cn phi a ra cc gi thit i vi phng php bnh phng nh nht? Nu
cc gi thit v ngh ca tng gi thit?
3. Cch xc nh phng sai v sai s chun i vi cc c lng ca hm hi qui mu?
4. ngh ca h s xc nh v h s tng quan?
5. Cch xc nh khong tin cy ca 1, 2 v 2?
6. Phng php kim nh gi thit v cc h s hi qui v phng sai ca hm hi qui tng
th?
7. Nu ngha ca gi tr p trong kim nh gi thit v cc h s hi qui?
8. Trnh by phng php kim nh s ph hp ca hm hi qui. Phn tch hi qui v phn
tch phng sai?
9. Cc loi d bo bin ph thuc khi bit dng hm hi qui mu v gi tr ca bin c lp?
10. Cch trnh by kt qu phn tch hi qui? Cc ch tiu cn nh gi i vi kt qu ca
phn tch hi qui?
37
Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin
II- Bi tp:
1. Bng di y cho cc cp bin ph thuc v c lp. Trong mi trng hp hy cho bit
quan h gia hai bin l: cng chiu, ngc chiu hay khng xc nh? Hy gi thch?
Bin ph thuc Bin c lp
a- Vn u t Li sut
b- Tit kim c nhn Li sut
c- Cu v tin GDP
d- Sn lng Vn c bn (hoc lao ng)
e- Lng cu v xe my Gi xng
f- Lng in tiu th ca h gia nh Gi ga
2. Quan st v thu nhp (X-USD/tun) v chi tiu (Y-USD/tun) ca 10 ngi, ta thu c
s liu sau:
Xi 31 50 47 45 39 50 35 40 45 50
Yi 29 42 38 30 29 41 23 36 42 48
a- c lng hm hi qui tuyn tnh: Yi = 1 + 2Xi + Ui.
b- Nu ngha kinh t ca cc h s hi qui c lng c. Cc gi tr c ph hp vi
l thuyt kinh t hay khng?
c- Tm khong tin cy ca 1, 2 vi tin cy 95%?
d- Kim nh gi thit H0: 2 = 0; H1: 2 0 vi mc ngha 5%?
e- Tnh r2 v nh gi mc ph hp ca m hnh?
f- D bo chi tiu ca mt ngi c mc thu nhp 40USD/tun?
38
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
GII THIU
M hnh hi quy hai bin m chng ta nghin cu chng 2 trn thc t thng l khng
tho ng, chng hn nh: trong th d v thu nhp chi tiu tiu dng chng ta ngm gi nh
rng ch c thu nhp X nh hng n chi tiu tiu dng Y. Nhng l thuyt kinh t t khi c
n gin nh vy, bi v ngoi thu nhp, cn c mt s bin khc cng c th nh hng n chi
tiu tiu dng. Th d nh: S giu c, a v x hi, ni ca ngi tiu dng,... Mt th d khc,
nhu cu v mt mt hng thng khng ch ph thuc vo gi c ca n m cn ph thuc vo thu
nhp ca ngi tiu dng, ph thuc vo gi c ca cc hng ho thay th hoc b sung khc,v.v..
V vy chng ta cn xem xt cc m hnh hi quy c nhiu hn hai bin. l m hnh hi quy
bi.
Chng ny s trnh by di dng tng qut. Bn c cn nh rng m hnh hi quy
tuyn tnh c hiu l tuyn tnh i vi cc tham s, n c th khng phi l tuyn tnh i vi
cc bin.
hiu c chng ny i hi ngi hc cn c cc kin thc v l thuyt ma trn ,
ma trn nghch o, cch nhn ma trn vi ma trn, nhn ma trn vi mt vc t,...
NI DUNG
3.1 M HNH HI QUI TUYN TNH K BIN.
Hm hi qui tng th c dng:
Hm hi qui tng th trong trng hp k bin c dng:
Yi = 1 + 2 X 2i + 3 X 3i + ...... + k X ki + U i
Trong : 1 l h s t do; j (j = 1,2,3,,k) l cc h s hi qui ring.
Gi s ta c n quan st, mi quan st gm k gi tr (Yi, X2i, ., Xki) vi i=1 n. Khi :
Y1 = 1 + 2 X 21 + 3 X 31 + ...... + k X k1 + U 1
Y2 = 1 + 2 X 22 + 3 X 32 + ...... + k X k 2 + U 2
(3.1)
.......................................................................
Yn = 1 + 2 X 2 n + 3 X 3n + ...... + k X kn + U n
39
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
Y1 1 U 1
Y2 2 U 2
. . .
K hiu: Y = ; = ; U =
. . .
. . .
Y U
n k n
1 X 21 X 31 . . . ..... .. .X k1
1 X
22 X 32 ............. X k 2
........................................
X =
........................................
.........................................
1 X 2 n X 3n .............. X kn
Khi ta c: (3.1) c th vit di dng ma trn nh sau:
Y = X + U.
3.2 CC GI THIT:
Phn ny s nhc li cc gi thit m hnh hi qui tuyn tnh c in c trnh by bng
cch pht biu bnh thng v bng ngn ng ma trn.
40
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
1 0...........0
2 0 1...........0
E (UU ) =
T
= 2 I Vi I l ma trn n v cp n. (3.2)
............1...0
0...............1
Ma trn (3.2) gi l ma trn hip phng sai ca Ui. Cc phn t trn ng cho chnh
l phng sai ca Ui, cc phn t ngoi ng cho chnh l hip phng sai.
Gi thit 4 ni rng hng ca ma trn X bng s ct ca ma trn ny, ngha l cc ct ca
ma trn X l c lp tuyn tnh. Hay ni cch khc i khng c hin tng cng tuyn gia cc
bin c lp, v mt ton hc c ngha khng tn ti cc s 2,.., k trong c t nht mt i
0 : 2X2i + 3X3i + ..+ kXki = 0 i = 1, n
Hay: Y = X + e
41
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
e1
e
Trong : e = . = Y - X
2
.
..
en
Cc c lng OLS c tm bng cch:
( )
n n
e = Yi 1 2 X 2i ........ k X ki
2
2
i Min
i =1 i =1
e
i =1
2
i l tng bnh phng cc phn d (RSS).
1............1.............................................1 Y1
X 21 X 22 X 2n Y2 T
X = .
T
Y = (Y1, Y2,..,Yn).
..................................................................
X k1 X k2 ..........................................X kn Yn
(V TXTY=YTX )
H phng trnh chun c dng:
( )
eT e
= 0 2 X T Y + 2X T X X T Y = X T X Vy = (X T X ) X T Y
1
Trong ma trn (XTX) c dng nh sau:
n
X 2i X 3i . . . ..... .. ........ X ki
X 2i X 2i X 2i X 3i ............... X 2i X ki
2
..............................................................................
X X =
T
.............................................................................
.............................................................................
X ki X ki X 2i X ki X 3i ................ X ki
2
42
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
Tm hm hi quy: Y = 1 + 2 X 2i + 3 X 3i
Gii: T bng s liu cho, ta tnh c cc tng:
Yi = 165; X2i = 60; X3i = 52; Y = 2781; X
i
2 2
2i = 388 ; X 2
3i = 308 ;
X 2i X 3i = 282; Y X i 2i
= 1029; Y X = 813; i 23
Ma trn nghch o:
1
10 60 52 39980 - 3816 - 3256
(X T
X )
1
= 60 388 282 =
1
1528
- 3816 376 300
52 282 308 - 3256 300 280
39980 - 3816 - 3256 165 22908 / 1528
1 1164 / 1528
= - 3816 376 300 1029 =
1528
- 3256 300 280 813 900 / 1528
14,99215
Hay = 0,76178
- 0,58901
Vy hm hi qui cn tm l:
= 14,99215 + 0,76178 X 2i 0,58901X 3i
= 2 (XTX)-1
Trong cng thc trn (XTX)-1 l ma trn nghch o ca ma trn (XTX), 2 l Var(Ui),
nhng cha bit nn ta phi dng c lng khng chch ca 2 l:
43
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
e 2
i
2 = i =1
trong k l s bin ca m hnh.
(n - k )
Th d: Vi s liu cho th d 3.1 hy tm ma trn hip phng sai ca
ESS = T (X Y ) - n (Y ) =
T 2
165
= (14,992150,76178 0,58901) 1029 10(16,5) = 56,211
2
813
RSS = 58,5 56,211 = 2,289
RSS 2 , 289
2 = = = 0 ,327
(n - k ) 10 3
39980 - 3816 - 3256 8,55593 - 0,81664 - 0,6968
0,327
Cov ( ) = - 3816 376 300 = - 0,81664 0,080466 0,0642
1528
- 3256 300
280 - 0,6968 0,0642 0,05992
44
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
e 2
i
lng ca 2 t ML: 2 = i =1
l c lng chch.
n-k
3.7 H S XC NH BI V H S XC NH BI D IU CHNH:
Trong m hnh hi quy hai bin, r2 o thch hp ca hm hi quy. N chnh l t l ca
ton b s bin o ca bin ph thuc Y do bin gii thch X gy ra. Trong m hnh hi quy bi
t l ca ton b s khc bit ca birns Y do tt c cc bin gii thch X2, X3,..,Xk gy ra c
gi l h s xc nh bi, k hiu R2.
H s xc nh bi R2 c th tnh bng mt trong hai cng thc sau:
n
2 2
0 R 1. Nu R = 1, c ngha l ng hi quy gii thch 100% s thay i ca Y. Nu
2
R = 0, c ngha l m hnh khng gii thch s thay i no ca Y.
R2 l hm khng gim ca bin s gii thch c trong m hnh. D dng thy rng
( )
n n n
yi2 = Yi Y e
2 2
khng ph thuc vo s bin gii thch c trong m hnh, nhng i l
i =1 i =1 i =1
hm gim ca s ny. Do , nu tng s bin gii thch trong m hnh th R2 cng tng. Vn
t ra l khi no th a thm bin gii thch vo m hnh?
Khng th dng R2 lm tiu chun xem xtvic a thm hay khng a thm mt bin
(Y )
n 2
gii thch mi vo m hnh. Bi v R2 cn ph thuc vo s bc t do ca i Yi v
i =1
(Y )
n
2
i Y tng ng l (n-k) v (n-1). Trong k l s cc tham s (k c h s chn) ca m
i =1
hnh.
45
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
e / (n k )
2
i
R2 = 1 i =1
n
(
= 1 1 R2 ) nn 1k
y / (n 1)
i =1
2
i
yi2 x 2ji
i =1 i =1
xti2 x 2ji
i =1 i =1
46
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
47
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
e i2
2 = i =1
n k
i i
Khi t =
( )
se i
c phn b t(n-k). Vi tiu chun ny c th tm khong tin cy, kim
i i
Tiu chun dng kim nh: t =
se i( )~ t(n-k)
48
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
R 2 / (k 1)
Tnh F theo cng thc: F =
( )
1 R 2 / (n k )
Vi mc ngha , tra bng phn phi Fisher-Snedecor vi bc t do n1 = (k-1) v n2 =
(n-k) tm gi tr F(k-1; n-k). Trong n l s quan st, k l s bin trong m hnh hi quy (k
c bin ph thuc). F(k-1; n-k) l gi tr tho mn iu kin:
P[F > F (k 1, n k )] =
Nu F > F(k-1; n-k) th ta bc b gi thit H0, tc l cc h s hi quy khng ng thi
bng 0 (hay R2 0 c ngha). Ngc li, nu F < F(k-1; n-k) th ta khng bc b gi thit H0,
tc l cc h s hi quy ng thi bng 0 (hay R2 = 0 c ngha).
3.11 HI QUY C IU KIN RNG BUC - KIM NH F:
Gi s chng ta c hm hi quy:
Yi = 1 + 2 X 2i + 3 X 3i + ...... + k X ki + U i (*)
By gi ta kim nh gi thit:
H0: k-m+1 = k-m+2 =.= k = 0
Vi gi thit ny hm hi quy c dng:
Yi = 1 + 2 X 2i + 3 X 3i + ...... + k m X k m + U i
(c gi l hm hi quy thu hp hay hm hhi quy c iu kin rng buc).
K hiu: eR: Vc t phn d t hm hi quy c u kin rng buc.
eUR: Vc t phn d t hm hi quy ban u (khng iu kin rng buc).
m: S b loi khi m hnh ban u(S iu kin rng buc).
n: S quan st.
Khi tiu chun kim nh gi thit H0:
(e T
Re R eUR
T
)
eUR / m
~ F(m, (n-k))
T
eUR eUR / (n k )
Nu F > F(m, (n-k)) th gi thit H0 b bc b.
3.12 D BO:
Chng ta c th s dng m hnh hi quy vo d bo: d bo gi tr trung bnh v d bo
gi tr c bit.
1
0
X 2
X 0
0
3
Cho X = .
.
.
0
X k
49
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
( )
Vi X = X0 ta c Y0 / X 0 = X0T var Y0 / X 0 = X 0T var X 0 ( ) ()
( )
var Y0 / X i0 = 2 X 0T X T X ( )
1
X 0 v var( )=2(XTX)-1
( )
Var Y / X 0 = 2 X 0T X T X ( )
1
X0
(
Se Y0 / X 0 )= 1
2 X 0T X T X X 0 ( )
( ) (
Y0 t / 2 (n k )se Y0 / X 0 E Y / X 0 Y0 + t / 2 (n k )se Y0 / X 0 ) ( )
D bo gi tr c bit:
(
Yi = X T + ei Var Y0 / X 0 = Var X 0T + 2 ) ( )
( )
Var Y0 / X 0 = 2 1 + X 0T X T X [ ( ) X ] 1 0
( ) [1 + X (X X ) X ] 1
Se Y0 / X 0 = 2 0T T 0
Y0 t / 2 (n k )Se Y0 / X 0 ( ) (Y / X ) Y
0
0
0 (
+ t / 2 (n k )Se Y0 / X 0 )
Vi vic trnh by m hnh hi quy bng ngn ng ma trn cung cp cho chung ta mt
cng ngh m nh c th s dng k thut tnh ton, t ng ho ton b qu trnh tnh ton,
phn tch v d bo. M hnh hi quy nhiu bin c gii mt cch nhanh chng nh phn mm
MFIT3 v MFIT4 hoc phn mm Stata.
3.13 Mt s dng ca hm hi quy.
Dng ca hm hi quy l mt vn quan trng, mt trong nhng nhn t c tnh cht
quyt nh i vi kt qu nghin cu. Tuy vy, vn dng ca hm hi quy li khng c mt
c s l thuyt mnh c th khng nh dng ca hm hi quy l dng ny m khng phi l
dng khc. Dng ca m hnh hi quy l mt vn thc nghim.
Mt trong nhng phng php thng c dng l biu din cc s liu ln h to .
Nu nh th ch ra quan h gia hai bin l tuyn tnh th dng hm ca m hnh l tuyn tnh,
nu quan h c ch ra l hm bc 2,3 (phi tuyn),v.v... th dng hm ca m hnh c chn
mt cch tng ng. Phng php ny c s dng trong m hnh hi quy gin n. N s
khng hu ch nu chng ta c m hnh hi quy bi.
y s trnh by mt s dng hm n gin hay gp trong ng dng thc tin.
3.13.1 Hm c h s co gin khng i- hm Cobb-Douglas
Hm cobb-Douglas c dng: Y = 1 X 2
Hm ny l hm phi tuyn i vi X v phi tuyn i vi tham s 2. Tuy nhin c th bin
i v dng tuyn tnh i vi tham s. Ly ln hai v, ta c:
LnY = ln 1 + 2lnX
t 1' = ln1; Y ' = lnY; X ' = lnX
50
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
Y lnY
Y=1X2
51
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
2
3.13.3 Hm dng Hypecbol: Y = Y = 1 +
X Y
Hm ny l phi tuyn i vi X, nhng tuyn tnh
i vi cc tham s. Sau y l mt s trng hp quan
trng ca hm ny:
a) 1, 2> 0, khi th c dng hnh 3.3:
Trong trng hp ny c mc tim cn di, d Hnh 3.3 X
c tng n u. Y khng th nh hn 1.
Y
Hm ny thng c dng khi phn tch chi ph
trung bnh sn xut ra mt n v sn phm.
b) 1> 0; = 2 < 0
Trong trng hp ny c mc tim cn trn. y Hnh 3.4 X
gi l ng cong Engel, nghin cu mc chi tiu ph
thuc vo thu nhp. Y
c) 1 < 0; 2 > 0
y l ng cong Phillips
X
Y TC
Y MC
AC
Hnh 3.6 X X
Hnh 3.7
TC: Tng chi ph; MC: Chi ph bin; AC: Chi ph trung bnh.
52
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
TM TT NI DUNG CHNG 3
M hnh hi quy bi xt nh hng ca nhiu bin c lp n mt bin ph thuc, trn c
s cc gi thit ging nh gi thit trong phn hi quy hai bin, ch thm gi thit l cc bin c
lp khng c quan h tuyn tnh (khng c hin tng a cng tuyn). c lng cc tham s
ca m hnh ta dng phng php OLS thng thng. Sau khi xc nh c cc tham s ta tin
hnh tm ma trn hip phng sai, h s xc nh bi, ma trn tng quan, h s tng quan ring
phn v kim tra gi thit cng nh tm khong tin cy ca cc h s hi quy ring-Kim nh T.
Kim nh gi thit v s ph hp ca hm hi quy, phn tch phng sai v cui cng nu hm
hi quy l ph th tin hnh d bo gi tr trung bnh v c bit. Chng ny cng a ra mt s
dng hm hay gp trong thc t.
CU HI V BI TP N CHNG 3
I. Cu hi l thuyt:
1. Vit m hnh hhi quy tuyn tnh k bin di dng ma trn? Gii thch cc thnh phn
trong m hnh?
2. Nu cc gi thit i vi m hnh hi quy tuyn tnh k bin? Phng php c lng cc
tham s ca m hnh?
3.Trnh by cng thc xc nh h s hi quy ring v h s hi quy bi? Ma trn tng quan,
h s tng quan ring phn v ma trn hip phng sai? ngha ca tng ch tiu trn?
4. Phng php tm khong tin cy ca cc h s hi quy v cch kim nh cc gi thit i
vi m hnh hi quy tuyn tnh k bin?
5. Phng php d bo gi tr trung bnh v gi tr c bit i vi m hnh hi quy tuyn tnh k
bin?
6. Nu cc dng hm ph bin v gii thch ngha kinh t ca cc tham s trong m hnh c
dng hm Cobb-Douglas, hm c dng a thc?
II. Bi tp:
1. Bng sau y cho s liu v doanh thu (Y), chi ph cho hng (X2), chi ph qung co (X3)
trong nm 2002 ca 12 khu vc bn hng ca mt cng ty (n v: triu ng). Hy c lng
hm hi quy tuyn tnh ca Y ph thuc vo X2, X3 v tr li cc cu hi sau:
STT 1 2 3 4 5 6 7 8 9 10 11 12
Y 1270 1490 1060 1626 1020 1800 1610 1280 1390 1440 1590 1380 16956
X2i 100 106 60 160 70 170 140 120 116 120 140 150 1452
X3i 180 248 190 240 150 260 250 160 170 230 220 150 2448
a) Tm c lng phng sai ca yu t ngu nhin?
53
Chng 3: M hnh hi qui nhiu bin (hi qui bi)
54
Chng 4: Hi qui vi bin c lp l bin gi
GII THIU
Trong cc m hnh hi quy tuyn tnh m chng ta xem xt t cc chng trc cho n
nay th cc bin gii thch u l cc bin s lng. Cc bin c th nhn gi tr bng s.
Chng hn tin lng ca cn b, doanh s bn ra ca mt ca hng, chi tiu cho qung co, cung
tin,...l nhng bin s lng. Nh nhng trong thc t c nhiu trng hp cc bin gii thch
(hoc thm ch c bin ph thuc) l bin cht lng (bin nh tnh). Trong chng ny ta s
nghin cu hi quy khi bin gii thch l bin cht lng.
thc hnh c i vi dng m hnh hi quy bin gi i hi ngi hc cn nm
vng phng php OLS, cch chn s bin,..
NI DUNG
4.1. BN CHT CA BIN GI - M HNH TRONG BIN GII THCH L
BIN GI
Bin cht lng nh ni trn thng ch ra c hoc khng c mt thuc tnh no ,
chng hn nh nam hay n; khu vc t nhn hay nh nc,...vn t ra l lm th no lng
ha c nhng thuc tnh nh vy. Trong phn tch hi quy ngi ta s dng k thut gi l k
thut bin gi. K thut ny cho php ta lng ha c nhng thuc tnh nh vy. Chng hn
gii thch cho vic mt s thanh nin vo trng i hc, mt s khc th khng, chng ta to ra
bin gi m nhn gi tr l 1 nu thanh nin vo i hc v nhn gi tr l khng nu thanh nin
khng vo i hc. Chng ta cng s ch ra bin gi c th c s dng nh th no trong phm
vi hi quy gii thch cho s kin l c nhng quan st trong phm tr (thuc tnh) cho gn
vi mt tp cc tham s hi quy cn cc quan st khc trong phm tr th 2 (hoc th 3) li gn
vi nhng tham s hi quy khc. Bin gi c s dng trong m hnh hi quy ging nh bin s
lng thng thng.
Gi s mt cng ty s dng hai qu trnh sn xut (k hiu qu trnh sn xut A v qu trnh
sn xut B) sn xut ra mt loi sn phm. Gi s sn phm thu c t mi mt qu trnh sn
xut l i lng ngu nhin c phn phi chun v c k vng khc nhau nhng phng sai nh
nhau. Chng ta c th biu th qu trnh sn xut nh mt phng trnh hi quy
Yi = 1 +2Di + Ui (4.1)
Trong Yi l sn lng sn phm gn vi qu trnh th i
Di l bin gi nhn 1 trong 2 gi tr:
1 nu sn lng sn phm thu c t qu trnh sn xut A
Di =
0 nu sn lng sn phm thu c t qu trnh sn xut B
M hnh hi quy trn y ging nh m hnh hi quy 2 bin m chng ta gp trc y
ch khc l bin s lng X c thay bng bin gi D. Cn c vo m hnh ny chng ta c th
55
Chng 4: Hi qui vi bin c lp l bin gi
bit c sn lng trung bnh do qu trnh sn xut A c khc vi sn lng trung bnh do qu
trnh sn xut B to ra hay khng?
H s chn 1 ca hi quy tuyn tnh o sn lng trung bnh gn vi qu trnh sn xut B,
trong khi dc 2 ca ng hi quy o s khc nhau v sn lng sinh ra do vic thay i
t qu trnh sn xut B n qu trnh sn xut A.
iu ny c th thy bng 2 cch ly gi tr k vng c 2 v ca phng trnh (4.1) ng vi
Di = 0 v Di = 1:
E(Yi| Di = 0) = 1
E(Yi| Di = 1) = 1 + 2
Kim nh gi thit H0: 2 = 0 cung cp kim nh v gi thit l khng c s khc nhau v
sn lng do qu trnh sn xut A v B to ra. iu ny d lm c nh ch ra trc y.
Th tc bin gi c th d dng m rng cho trng hp c nhiu hn 2 phm tr. Chng
hn trong th d trn ta gi thit c 3 qu trnh sn xut khc nhau c th s dng sn xut ra
sn phm v ngi ta hi vng gii thch cho vn l sn lng c sn xut ra cho mi qu
trnh c th khng nh nhau. Trong trng hp ny ta s a vo 2 bin gi l D1 v D2. Chng ta
s xt m hnh:
Yi = 1 +2D1i + 3D12i + Ui (4.2)
Trong :
1 nu sn lng sn phm thu c t qu trnh sn xut A
D1 = 0 nu sn lng sn phm thu c t qu trnh khc
Qu trnh sn xut D1 D2
A 1 0
B 0 1
C 0 0
56
Chng 4: Hi qui vi bin c lp l bin gi
Bng 4.1
Qu trnh sn xut A l 1, Sn lng trong 1 ca
qu trnh sn xut B l 0 hot ng
1 22,0
0 19,0
0 18,0
1 21,0
0 18,5
1 21,0
1 20,5
0 17,0
0 17,5
1 21,2
Kt qu hi quy nh sau:
Y1 = 18 + 3.2 Di
Bin
H s Sai lch tiu chun t
57
Chng 4: Hi qui vi bin c lp l bin gi
1 + 2 Qu trnh
SX A
Qu trnh
SX A
1
Hnh 4.1
Trc khi chuyn sang mc sau ta cn mt s ch :
1. phn bit 2 phm tr nam hoc n hay qu trnh sn xut A hoc B ngi ta dng mt
bin gi. phn bit 3 phm tr ngi ta dng 2 bin gi. Mt cch tng qut phn bit N
phm tr ngi ta dng N-1 bin gi. S bin gi thp hn s phm tr l 1 trnh tnh a cng
tuyn hon ho. phn bit 3 qu trnh sn xut A, B v C ta ch s dng 2 bin gi D1 v D2 ,
nu ta a thm mt bin gi D3 na chng hn.
58
Chng 4: Hi qui vi bin c lp l bin gi
1
X
Hnh 4.2
Hnh 4.2 ch cho chng ta thy rng tin lng ca cng nhn c kh lm vic trong khu vc
t nhn v nh nc tnh theo bc th c cng dc 3 nhng li khc nhau v h s chn. Ni
mt cch khc m hnh ny gi thit rng mc lng trung bnh ca ngi cng nhn ngnh c
kh lm vic khu v t nhn khc vi mc tin lng trung bnh ca cng nhn c kh lm vic
khu vc nh nc nhng tc tng lng trung bnh theo bc th nh nhau.
Nu gi thit v tc nu trn l c gi tr th kim nh gi thit rng 2 hi quy (4.3.1)
v (4.3.2) c cng h s chn c th tin hnh d dng bng cch c lng hi quy (4.3) v ch
rng ngha v mt thng k ca 2 c c lng trn c s kim nh t. Nu t ch ra rng
59
Chng 4: Hi qui vi bin c lp l bin gi
60
Chng 4: Hi qui vi bin c lp l bin gi
Bng 4.2
Tnh Vng G R Tnh Vng G R
H.Giang N 53099 15433 C
Q.Ngi 921501 51778
T.Q N 1026246 32534 C
B.nh 974381 71581
C.Bng N 939592 25915 C
P.Yn 1162995 69315
L.Sn N 1105916 79225 C
K.Ha 2195192 204879
L.Chu N 1173320 27660 C
N.Thun 506939 44556
L.Cai N 819802 35570 C
B.Thun 1825380 105927
Y.Bi N 1506025 46010 C
K.Tum 1181003 65642
B.Thi N 1565816 48172 C
G.Lai 1024570 69518
S.La N 643444 29338 C
.Lc 1725293 83590
Q.Ninh N 2195642 311755 C
L.ng 1493055 107289
H.Bnh N 2040215 72980 S
HCM 4997041 962414
V.Ph N 1229249 74594 S
.Nai 2370994 239017
H.Bc N 1021338 47667 S
VT-BR 1991269 907834
H.Ni N 3631625 1062935 S
S.B 1491414 192057
H.Phng N 2070000 160291 S
T.Ninh 1553681 204342
H.Ty N 1142000 45778 S
L.An 1762790 147537
H.Hng N 1303451 105546 S
T.Giang 1057203 109833
T.Bnh N 1162747 51436 S
A.Giang 1760437 142684
N.H N 1181747 53902 S
.Thp 1370071 100655
N.Bnh N 1062831 42545 S
B.Tre 1532974 82319
T.Ha C 1200650 102550 S
V.Long 2021798 116666
Ng.An C 930844 59498 S
T.Vinh 2024467 66530
H.Tnh C 910650 30163 S
S.Trng 1571656 84334
Q.Bnh C 992594 41673 S
Cn Th 1760304 121340
Q.Tr C 943805 70579 S
K.Giang 2329861 154636
T.T.Hu C 1009223 90856 S
M.Hi 1736902 142079
QN-N C 1367673 198297
M hnh hi quy l:
Log Ri = 1 +2D1 i + 3 D2 i + 4log Gi + Ui
Trong :
Log R: In (thu nhp/ngi)
Log G: IN (thu nhp quc dn/ngi)
61
Chng 4: Hi qui vi bin c lp l bin gi
62
Chng 4: Hi qui vi bin c lp l bin gi
E(Yi| Di = 0; D2 = 0, D3 = 0, Xi ) = 1 + 5Xi
Thu nhp trung bnh ca 1 ging vin nam mt trng i hc min Trung
E(Yi| Di = 0; D2 = 0, D3 = 1, Xi ) = (1 + 4 ) + 5Xi
Thu nhp trung bnh ca 1 ging vin n mt trng i hc min Bc
E(Yi| Di = 1; D2 = 0, D3 = 0, Xi ) = (3 + 2 ) + 5Xi
Thu nhp trung bnh ca 1 ging vin nam mt trng i hc min Bc
E(Yi| Di = 1; D2 = 0, D3 = 1, Xi ) = (1 + 2 + 4 ) + 5Xi
Thu nhp trung bnh ca 1 ging vin n mt trng i hc min Nam
E(Yi| Di = 0; D2 = 1, D3 = 0, Xi ) = (1 + 3 ) + 5Xi
Thu nhp trung bnh ca 1 ging vin nam mt trng i hc min Nam
E(Yi| Di = 0; D2 = 1, D3 = 1, Xi ) = (1 + 3 + 4 ) + 5Xi
4.4 SO SNH HAI HI QUY
4.4.1. T tng c bn
Tt c cc m hnh hi quy xem xt n nay chng ta u gi thit rng bin lng nh
hng n h s chn nhng khng nh hng n h s gc cc hi quy ca cc nhm con khc
nhau. Nhng nu h s gc khc nhau th vic kim nh v tnh khc nhau ca h s chn s t c
ngha. Mt kha cnh khc na l cc tp s liu m chng ta s dng l cc tp s liu n
nhng liu mt m hnh cho c th p dng cho hai tp s hay khng? Chng hn khi nghin
cu mi quan h gia tit kim v thu nhp trc v sau khi chuyn i kinh t ca nc ta. V
th chng ta cn pht trin phng php chung tm xem liu 2 hi quy c khc nhau hay
khng? S khc nhau nu c th h s chn, h s gc hay c hai.
Th d: ta c hi quy:
Thi k trc ci t:
Yi = 1 + 2 Xi + U1i (4.5a)
Vi i = 1, n1
Thi k sau ci t:
Yj = 1 + 2 Xj + U2i (4.5b)
Vi j = 1, n2
C 4 kh nng xy ra i vi 2 hi quy ny:
1. 1 = 1 v 2 = 2, ngha l 2 hi quy ng nht, trn th chng chng kht ln nhau,
iu ny ch ra hnh 4.4a
2. 1 1 v 2 = 2, ngha l 2 hi quy c cng h s gc, iu ny ch ra hnh 4.4b
3. 1 = 1 v 2 2, ngha l 2 hi quy c cng h s chn nhng khc nhau v h s gc,
iu ny ch ra hnh 4.4c
4. 1 1 v 2 2, ngha l 2 hi quy hon ton khc nhau, iu ny ch ra hnh 4.4d
63
Chng 4: Hi qui vi bin c lp l bin gi
Y Y
X X
Y Y
X X
64
Chng 4: Hi qui vi bin c lp l bin gi
( RSS RSS ) / k
F= (4.7)
RSS /( n 1 + n 2 - 2k)
Vi bc t do k, n1 + n2 - 2k. Nu gi tr F tnh c vt gi tr F ti hn th ta t b gi
thit rng 2 hi quy l nh nhau. iu ny c ngha l hai tp s liu khng gp c.
4.4.3. So snh hai hi quy - th tc bin gi
Bng kim nh Chow cho php ta so snh 2 hi quy. Sau y ta s trnh by th tc bin
gi m cng s cho ta gp tt c n1 v n2 quan st li vi nhau v c lng hi quy sau:
Yi = 1 +2Di + 3Xi + 4(DiXi )+ Ui (4.8)
Gi s Yi v Xi l tit kim v thu nhp trc v sau khi chuyn i kinh t.
D1 = 1 i vi quan st ri vo trc thi k chuyn i
0 i vi quan st ri vo t chuyn i tr v sau
thy c ng dng ca m hnh (4.8) ta ly k vng c iu kin c 2 v ca
phng trnh ny vi gi thit E(Ui) = 0 chng ta thu c:
E(Yi| Di = 0, Xi ) = 1 + 3Xi (4.8a)
E(Yi| Di = 1, Xi ) = (1 + 2 ) + (3 + 4 ) Xi (4.8b)
Vi ngha cc k hiu cho trn ta c th giI thch nh sau:
(4.8a) l hm tit kim trung bnh cho thi k trc chuyn i kinh t din ra. (4.8b) l
hm tit kim trung bnh t khi chuyn i kinh t v sau. Hai hm ny hon ton ging nh hai
hm cho (4.5a) v (4.5b) cho nn c lng (4.8) cng tng ng vi vic c lng hm
(4.5a) v (4.5b)
Trong (4.8) th 2 chnh l h s chn biu th s khc nhau ca tit kim gia hai thi k
cn 4 chnh l h s dc khc nhau ch ra rng h s gc ca hm tit kim trc khi chuyn
i khc vi h s gc ca thi k t khi chuyn i kinh t l bao nhiu.
4.5 NH HNG CA TNG TC GIA CC BIN GI.
Chng ta xt m hnh sau:
Yi = 1 + 2D2i + 3D3 i + 4Xi + Ui (4.9)
Trong :
Yi: l ch tiu hng nm v qun o
Xi: l thu nhp
1 nu l n
D2 =
0 nu l nam
D3 = 1 nu l sinh vin
0 nu l cng nhn vin
Ng ca m hnh trn y l nh hng chnh lch ca bin gi gii tnh D2 l hng s
qua 2 tng lp sinh vin v cng nhn vin v nh hng chnh lch D3 cng l hng s qua 2
gii. iu ny c ngha l nu chi tiu trung bnh v qun o ca n cao hn ca nam th iu ny
cng ng vi c hai tng lp. Tng t cng c th ni rng chi tiu trung bnh v qun o ca
sinh vin nhiu hn ca cng nhn vin th iu cng ng d n l nam hay n.
65
Chng 4: Hi qui vi bin c lp l bin gi
D2 = 1 nu quan st nm qu 2
0 nu quan st nm qu khc
1 nu quan st nm qu 2
D3 =
0 nu quan st nm qu khc
66
Chng 4: Hi qui vi bin c lp l bin gi
1 nu quan st nm qu 2
D4 =
0 nu quan st nm qu khc
Trong m hnh trn ta gi thit bin c 4 phm tr, nn ta dng 3 bin gi, phm tr c bn
l qu I. Nh vy nu c nh hng theo maca tng qu khc nhau th h s chn 2, 3 v 4
khc nhau c ngha v mt thng k. Mi mt h s chn cho ta bit chi tiu trung bnh mi
qu khc vi qu I nh th no. Vi gi thit E(Ui) = 0 ta c:
Chi tiu trung bnh v cc khon k trn trong qu I l:
E(Y| D2 = 0, D3 = 0, D4 = 0, Xi ) = 1 + 5Xi
Chi tiu trung bnh v cc khon k trn trong qu II l:
E(Y| D2 = 1, D3 = 0, D4 = 0, Xi ) = (1 + 2) + 5Xi
Chi tiu trung bnh v cc khon k trn trong qu III l:
E(Y| D2 = 0, D3 = 1, D4 = 0, Xi ) = (1 + 3) + 5Xi
Chi tiu trung bnh v cc khon k trn trong qu IV l:
E(Y| D2 = 0, D3 = 0, D4 = 1, Xi ) = (1 + 4) + 5Xi
By gi ta gi s rng c s nh hng tng tc gia ma v thu nhp ln chi tiu, ni
cch khc l c s nh hng ln c h s gc ca hi qui. S dng phng php tng t nh ta
trnh by trn ta i n m hnh:
Yi = 1 +2D2i + 3D3 i + 4 D4i+ 5Xi + 6 (D2i Xi )+ 7 (D3i Xi ) + 8 (D4i Xi )+ Ui (4.12)
Nh vy vic phn tch thi v c th s dng 2 m hnh (4.11) v (4.12). Tuy nhin m
hnh (4.12) tng qut hn, trnh s khng thch hp ta nn s dng m hnh (4.12). Qua vic
c lng hi quy (4.12) chng ta c th bit c h s gc no c ngha, h s gc no khng
c ngha.
TM TT NI DUNG CHNG 4
biu th c hay khng mt tnh cht no hoc biu th mc khc nhau ca mt
tiu thc thuc tnh no ca bin nh tnh, ngi ta s dng bin gi. K thut s dng bin
gi trong phn tch hi quy l gn cho cc bin nh tnh gi tr 0 hoc 1 biu th mc khc
nhau ca tiu thc nghin cu. phn bit 2 mc (2 phm tr) ngi ta dng mt bin gi,
phn bit 3 mc ngi ta dng hai bin gi. Mt cch tng qut, phn bit m mc ngi
ta dng m-1 bin gi. Vi quy nh: phm tr c gn gi tr 0 c coi l phm tr c s. Mi
phm tr khc c so snh vi phm tr c s.
Hi quy bin gi c th xy ra cc trng hp sau:
Hi quy vi mt bin nh lng v mt bin nh tnh:
- Bin nh tnh c hai phm tr
- Bin nh tnh c nhiu hn hai phm tr.
Hi quy vi mt bin nh lng v hai bin nh tnh
Vic c lng cc tham s trong m hnh hi quy c thc hin bng phng php OLS
thng thng.
67
Chng 4: Hi qui vi bin c lp l bin gi
CU HI V BI TP N CHNG 4
I. Cu hi l thuyt:
1. Cc bin sau y l bin nh lng hay nh tnh:
a) GDP
b) Khng hong du m nm 1973?
c) Xut khu ca Vit nam sang cc nc ASIAN?
d) S sinh vin din chnh sch trong t thi tuyn vo trng?
e) Lng bnh qun ca cc nh qun tr Marketing trong cc doanh nghip cung cp
dch v BC-VT?
2. Trnh by gi thit v th tc kim nh Chow khi so snh hai hi quy?
3. Nu phng php so snh hai hi quy - th tc bin gi?
4 . Cch s dng bin gi trong phn tch ma?
II. Bi tp
1. nghin cu nhu cu ca mt loi hng ngi ta tin hnh kho st gi c v lng
hng bn c 20 khu vc bn hng v thu c cc s liu cho trong bng di y:
Yi Xi Zi Yi Xi Zi
20 2 1 14 5 0
19 3 0 14 6 1
18 3 1 13 6 0
18 4 0 12 7 1
17 4 1 12 7 0
17 3 1 15 5 1
16 4 0 16 4 0
16 4 1 12 7 1
15 5 1 10 8 0
15 5 1 11 8 1
a) Tm cc hm hi quy: Yi = A0 + A1 X i (1)
(2)
Yi = B0 + B1 X i + B2 Z i
69
Chng 4: Hi qui vi bin c lp l bin gi
3. C s liu v tit kim v thu nhp c nhn mt quc gia t nm 1986 n nm 2004
(Triu USD) c chia lm hai thi k nh bng sau:
Thi k I Tip kim Thu nhp Thi k II Tip kim Thu nhp
1986 0,36 8,8 1995 0,59 15,5
1987 0,21 9,4 1996 0,90 16,7
1988 0,08 10, 1997 0,95 17,7
1989 0,20 10,6 1998 0,82 18,6
1990 0,10 11,0 1999 1,04 19,7
1991 0,12 11,9 2000 1,53 21,1
1992 0,41 12,7 2001 1,94 22,8
1993 0,50 13,5 2002 1,75 23,9
1994 0,43 14,3 2003 1,99 25,2
Hy s dng kim nh Chow kim nh xem hm tit kim c b thay i cu trc gia
hai thi k hay khng?
70
Chng 5: a cng tuyn
GII THIU
Trong m hnh phn tch hi quy bi, chng ta gi thit gia cc bin gii thch ca m
hnh khng c hin tng a cng tuyn. Nhng nu gi thit b vi phm th hu qu s nh th
no v l th no d pht hin ra rng gi thit ny b vi phm v bin php khc phc. l
ni dung ca chng ny. tm hiu chng ny gip cho sinh hiu c bn cht v nguyn nhn
ca a cng tuyn, t c th pht hin v loi b cc mi quan h tuyn tnh hon ho hoc
chnh xc gia cc bin gii thch. m bo cho vic la chn cc bin gii thch l hon ton
c lp.
NI DUNG
5.1 BN CHT CA A CNG TUYN:
Trong m hnh hi quy bi, chng ta gi thit gia cc bin gii thch khng c hin
tng cng tuyn. Thut ng a cng tuyn c ngha l s tn ti mi quan h tuyn tnh hon
ho hoc chnh xc gia mt s hoc tt c cc bin gii thch trong m hnh hi quy. Nghim
khc m ni th a cng tuyn cp n s tn ti ca nhiu hn mt mi quan h tuyn tnh
chnh xc v cng tuyn l ni n s tn ti duy nht mt mi quan h tuyn tnh. Nhng trong
thc t, a cng tuyn thng c dng cho c hai trng hp.
Trng hp l tng l bin Xi trong mi trng hi quy khng c tng quan vi nhau;
mi mt bin Xi cha mt thng tin ring v Y, thng tin ny khng cha trong bt k bin Xi no
khc. Trong thc hnh, khi iu ny xy ra ta khng gp hin tng a cng tuyn.
Trng hp ngc li, chng ta gp a cng tuyn hon ho. gi s ta phi c lng
hm hi quy Y gm k bin gii thch X1, X2,......,Xk,
Yi = 1X1i + 2X2i +..........+ kXki +Ui
a cng tuyn hon ho xy ra khi mt bin gii thch c biu dien di dng t hp
tuyn tnh ca cc bin gii thch cn li i vi mi im ca tp hp s liu. Hoc c th pht
biu: a cng tuyn hon ho gia cc bin gii thch X1, X2,......,Xk xy ra nu iu kin sau y
c tho mn:
1X1 + 2X2 +............+ kXk = 0 (5.1)
trong : 1, 2,..........., k l cc hng s khng ng thi bng khng.
Nu 2X2i + 3X3i +............+ kXki + Vi = 0 (5.2)
vi Vi l sai s ngu nhin th ta c hin tng a cng tuyn khng hon ho gia cc bin
gii thch. Ni cch khc, l mt bin gii thch no c tng quan cht ch vi mt s bin
gii thch khc.
Th d ta c d liu nh sau:
71
Chng 5: a cng tuyn
X2 10 15 18 24 30
X3 50 75 90 120 150
X3* 52 75 97 129 152
C th thy r rng l X3i = 5X2i, v vy c cng tuyn hon ho gia X2 v X3 v r23 = 1,
nhng gia X2 v X3* khng c cng tuyn hon ho, hai bin ny c tng quan cht (cng
tuyn khng hon ho), h s tng quan gia chng l 0.9959.
5.2 C LNGKHI C A CNG TUYN HON HO:
Trng hp a cng tuyn hon ho, cc h s hi quy khng xc nh v cc sai s chun
ca chng l v hn. Hin tng ny c th gii thch di dng m hnh hi quy ba bin. S
dng dng lch, trong tt c cc bin c th din t bng lch ca chng so vi gi tr
trung bnh. M hnh hi quy ba bin c th vit di dng sau:
yi = 2 x 2i + 3 x3i + ei (5.3)
1 n 1 n 1 n
Y= Yi ;
n i =1
X2 = 2i
n i =1
X ; X 3 = X 3i
n i =1
(5.5)
( x )( x ) ( x x )
2
2i
2
3i 2i 3i
2
( y x )( x ) ( y x )( x 2
x 3i )
3
i 3i 2i i 2i 2i
= (5.7)
( x )( x ) ( x x )
2
2i
2
3i 2i 3i
2
2 = i 2i 2i
=
i 2i 2i
(5.8)
( x )( x ) ( x )
2
2i
2 0
2
2i
2 2 2
2i
Trong : = 2 + 3
p dng cng thc tnh c lng bng phng php OLS thng thng ta c:
72
Chng 5: a cng tuyn
= 2 + 3 =
x y 2i i
x 2
2i
2 = i 2i 2i i i 2i i i 2i
(5.9)
( x )( x + V ) ( x )
2
2i
2 2
2i i
2 2 2 2
2i
2
Var ( 2 ) = ;
x (1 r )
2 2 (5.11)
2i 23
2
Var ( 3 ) = (5.12)
x (1 r )
2
3i
2
23
r23 2
V Cov ( 2 , 3 ) = (5.13)
(1 r ) x x
2
23
2
2i
2
3i
73
Chng 5: a cng tuyn
T (5.11) v (5.12) ta thy khi r23 tin n 1 (ngha l s cng tuyn gia tng) th
phng sai ca 2 , 3 s tng dn n v hn. T (5.13) ta thy khi r23 tng dn 1 th
Cov ( 2 , 3 ) cng s tng v gi tr tuyt i.
74
Chng 5: a cng tuyn
5.4.7 Thm vo hay bt i cc bin cng tuyn vi cc bin khc, m hnh s thay i v
ln ca cc c lng hoch du ca chng:
Tm li: du hiu ch yu ca a cng tuyn m ta ni trn l lm tng sai s chun.
Sai s chun ln hn phn nh s bin thin ca h s hi quy t mu ny n mu khc cao
hn, do mt s thay i nh trong s liu hay trong m hnh hi quy (nh thm vo hay bt i
mt bin) s gy nn s thay i ln cho cc h s.
Nh vy chng ta bit mt s hu qu ca a cng tuyn. Nhng iu quan trng l lm
th no pht hin c s tn ti ca a cng tuyn c bin php khc phc.
5.5 CCH PHT HIN S TN TI CA A CNG TUYN:
pht hin s tn ti ca a cng tuyn, chng ta cn c vo cc du hiu sau y:
5.5.1 H s R2 ln nhng t s t nh.
Trong trng hp R2 cao (thng R2 > 0,8) m t s t thp nh trn ch chnh l
du hiu ca a cng tuyn.
5.5.2 Tng quan cp gia cc bin gii thch cao:
Nu h s tng quan cp gia cc bin gii thch cao (vt 0,8) th c kh nng tn ti a
cng tuyn.
H s tng quan ny c tnh bng cng thc sau:
R xz =
(X X )(Z Z )
i i
(X X ) (Z Z )
2 2
i i
Ri2 / (k 2)
Fi = (5.14)
(1 Ri2 )(k 1)
Fi tun theo lut phn phi F vi (k-2) v (n-k+1) bc t do. Trong n c mu, k l s bin
gii thch k c h s chn trong m hnh. Ri2 l h s xc nh trong hi quy ca bin Xi theo cc
bin X khc. Nu Fi tnh c vt im ti hn F(k-2, n-k+1) mc ngha cho th c ngha
75
Chng 5: a cng tuyn
VIF cho thy phng sai ca hm c lng tng nhanh nh th no khi c a cng tuyn.
Khi r23 =1 th VIF tin n v hn. Nu khng c a cng tuyn gi X2 v X3 th VIF = 1.
T nh ngha ny ta c th din t (5.11) v (5.12) nh sau;
2
Var ( 2 ) = VIF ; (5.16)
x22i
2
Var ( 3 ) = VIF (5.17)
x32i
c khi nim v phng sai v hip phng sai tng nh th no khi r23 tng, ta hy xem bng
(5.1) sau y:
Gi tr ca r23 VIF Var( 2 ) Cov( 2 , 3 )
0,00 1,00 1A 0
0,5 1,33 1,33A 0,67B
0,70 1,96 1,96A 1,37B
0,80 2,78 2,78A 2,22B
0,90 5,76 5,76A 4,73B
0,95 10,26 10,26A 9,74B
0,97 16,92 16,92A 16,41B
0,99 50,25 50,25A 49,75B
0,995 100,00 100A 99,5B
0,999 500,00 500A 499,5B
Ghi ch:
2 2
A= ; B=
x 2
2i x x
2
2i
2
3i
T kt qu tnh ton trn, ta thy gia tng r23 nh hng nghim trng n phng sai v
hip phng sai ]c lng ca cc hm c lng OLS. Khi r23 = 0,5, var( ) = 1,33 ln khi r23 =
2
76
Chng 5: a cng tuyn
0,00, nhng khi r23 = 0,95 th var( 2 ) ln gp 10 ln khi khng c a cng tuyn. V khi r23 tng
t 0,95 n 0,995 lm phng sai c lng tng 100 ln so vi khng c cng tuyn. nh
hng nghim trng ny cng thy Cov( , ).
2 3
100
50
10
1
0 0,9 1 r23
Hnh 5.1
Trn th ta nhn thy, khi r23 tng t 0,9 n 1 th VIF tng rt nhanh. Khi r23 = 1 th VIF
l v hn.
C nhiu chng trnh my tnh cho bit gi tr ca VIF i vi cc bin c lp ca m
hnh hi quy.
5.6 BIN PHP KHC PHC:
5.6.1 S dng thng tin tin nghim:
Mt trong cc cch tip cn gii quyt vn a cng tuyn l phi s dng thng tin
tin nghim hoc thng tin t ngun khc c lng cc h s ring.
V d: Ta mun c lng hm sn xut ca mt qu trnh sn xut no c dng:
Qt = ALt K t eU i (5.18)
Trong Qt l lng sn phm c sn xut thi k t; Lt l s lao ng s dng k t;
Kt l vn thi k t; Ui l sai s ngu nhin; A, , l cc tham s m chng ta cn c lng. Ly
ln hai v (5.18) ta c:
lnQt = lnA + lnLt + lnKt +Ui
t: lnQt = Qt* ; lnA = A* ; lnLt = Lt*; lnKt = Kt* ta c:
Qt* = A* + Lt* + Kt* +Ui (5.19)
Gi s K v L c tng quan rt cao, d nhin iu ny dn n phng sai ca cc c
lng ca cc h s co gin ca hm sn xut ln. Gi s t mt ngun thng tin no m ta
bit c rng ngnh cng nghip ny thuc ngnh c li tc khng i theo quy m, ngha l
77
Chng 5: a cng tuyn
sai ca 2 s gim, ko theo sai s chun gim, iu ny gip cho ta c lng 2 chnh xc hn.
78
Chng 5: a cng tuyn
M hnh hi quy dng (5.26) thng l gim tnh nghim trng ca a cng tuyn v d
X2 v X3 c th tng quan cao nhng khng c l do tin nghim no chc chn rng sai phn
ca chng cng tng quan cao.
Tuy nhin bin i sai phn bc nht sinh ra mt s vn . Chng hn nh s hng sai s
Vt trong (5.26) c th khng tho mn gi thit ca m hnh hi quy tuyn tnh c in l cc sai
s ngu nhin khng tng quan.
5.6.5 Gim tng quan trong cc hm hi quy a thc:
Nt c bit ca hi quy a thc l cc bin gii thch xut hin vi lu tha khc nhau
trong m hnh hi quy. Trong thc hnh, gim tng quan trong hi quy a thc, ngi ta
thng s dng dng lch (lch so vi gi tr trung bnh). Nu vic s dng dng lch m
vn khng gim a cng tuyn th ngi ta c th phi xem xt n k thut a thc trc giao.
5.6.6 Mt s bin php khc:
Ngoi cc bin php k trn, ngi ta cn s dng mt s bin php khc na gii
quyt vn a cng tuyn. Nh:
- Hi quyu thnh phn chnh.
- S dng cc c lng t bn ngoi.
- Hi quy ngn sng.
Nhng tt c cc bin php trnh by trn c th l gii php cho vn a cng
tuyn nh th no cn ph thuc vo bn cht ca tp s liu v tnh nghim trng ca vn a
cng tuyn.
TM TT NI DUNG CHNG 5
a cng tuyn l s tn ti t nht mt mi quan h tuyn tnh gia mt bin gii thch no
vi tt c hay vi mt bin khc c mt trong m hnh. Khi c a cng tuyn hon ho, khng
th c li gii duy nht cho cc h s hi quy ring. Ta ch c th c c li gii duy nht cho t
hp tuyn tnh ca cc h s ny. Trng hp a cng tuyn khng hon ho thng hay gp
trong thc hnh. a cng tuyn gy ra nhiu hu qu nh l tng sai s chun, du ca cc c
lng v h s hi quy c th sai,...V vy cn c cc bin php pht hin v khc phc hin
tng a cng tuyn, phn ny gii thiu 4 cch pht hin a cng tuyn, tu tng trng hp
c th c th vn mt trong bn cch . C 5 bin php c bn khc phc hin tng a cng
tuyn.
CU HI V BI TP N CHNG 5
I. Cu hi:
1. Gii thch hin tng a cng tuyn? Trong hi quy bi c nhng loi a cng
tuyn no?
2. Trng hp a cng tuyn hon ho v khng hon ho th cc c lng v h
s hi quy c g khc nhau?
3. Trnh by hu qu ca a cng tuyn?
79
Chng 5: a cng tuyn
4. pht hin a cng tuyn thng dng nhng phng php no?
5. Trnh by cc bin php khc phc a cng tuyn?
II.Bi tp:
1. Xt mt tp hp s liu l thuyt cho bng di y:
Y -10 -8 -6 -4 -2 0 2 4 6 8 10
X2 1 2 3 4 5 6 7 8 9 10 11
X3 1 3 5 7 9 11 13 15 17 19 21
80
Chng 6: Phng sai ca sai s thay i
GII THIU
Mt trong nhng gi thit quan trng ca m hnh hi quy tuyn tnh c in l cc nhiu
ngu nhin Ui trong hm hi quy tng th l c phng sai khng i v bng i2 ? Nhng trong
thc t, nu gi thit ny b vi phm, tc l phng sai ca Ui l i2 (ph thuc vo tng quan st),
th iu g s xy ra? Lm th no bit c rng gi thit ny b vi phm? Cch khc phc nh
th no? l mt lot cc cu hi m chng ta s cho cc cu tr li trong chng ny.
NI DUNG
6.1. NGUYN NHN CA PHNG SAI CA SAI S THAY I
6.1.1. Phng sai ca sai s thay i l g?
Khi nghin cu m hnh hi quy tuyn tnh c in, chng ta a ra gi thit rng:
phng sai ca mi mt nhiu ngu nhin Ui trong iu kin gi tr cho ca bin gii thch Xi
l khng i, ngha l
Var(UiXi) = E[Ui - E(Ui)]2 = E(Ui)2 = 2 (6.1)
i = 1, 2, ...n
V mt th th m hnh hi quy 2 bin c phng sai khng i c minh ho hnh 6.1.
Ngc vi trng hp trn l trng hp: phng sai c iu kin ca Yi thay i khi Xi
thay i, ngha l: E(Ui)2 = i2 (trong cc i2 khc nhau). Th d khi nghin cu mi quan h
gia li mc phi do nh my trong mt thi k cho vi s gi thc hnh, th ngi ta nhn
thy s gi thc hnh nh my cng tng th li sai trung bnh mc phi cng gim. iu ny m
t bng hnh th 6.2. Y
Mt
81
Chng 6: Phng sai ca sai s thay i
82
Chng 6: Phng sai ca sai s thay i
n n n n
( X i X )(Yi Y ) n X iYi X i Yi
2 = i =1
n
= i =1
n
i =1
n
i =1
(6.3)
(X
i =1
i X) 2
n X ( X i )
i =1
i
2
i =1
2
Cn phng sai l
Var (2) = E ( 2 - 2)2
n
= E( i = lkiU i ) 2
i =1
(X
i =1
i X )2 x
i =1
i
2
83
Chng 6: Phng sai ca sai s thay i
Yi = 1 +2Xi + Ui
Nh ta bit phng php bnh phng nh nht khng c trng s: cc tiu tng bnh
phng cc phn d:
n n
e
i =1
i
2
= (Yi 1 2 X i ) 2
i =1
(6.6)
thu c cc c lng.
Cn phng php bnh phng nh nht c trng s cc tiu tng bnh phng cc phn
d c trng s:
n n
W e
i =1
i i
2
= Wi (Yi 1 2 X i ) 2
i =1
* *
(6.7)
WiYi = 1* Wi + 2* Wi X i
i =1 i =1 i =1
(6.9)
n n n
W X Y
i =1
i i i = 1* Wi X i + 2* Wi X i
i =1 i =1
2
gii h ny ta c:
* *
1* = Y 2* X (6.10)
n n n n
(Wi )( Wi X iYi ) ( Wi X i )( WiYi )
v 2* = i =1
n
i =1
n
i =1
n
i =1
(6.11)
( Wi )(Wi X i ) ( Wi X i )
2 2
i =1 i =1 i =1
n n n n
Trong Y = WiYi Wi v X = Wi X i W
* *
i
i =1 i =1 i =1 i =1
R rng rng khi Wi = w (i) th trung bnh c trng s bng trung bnh thng thng
84
Chng 6: Phng sai ca sai s thay i
i i
Vy Ui* c phng sai khng i.
V chng ta vn gi li tt c cc gi thit khc ca m hnh hi quy tuyn tnh c in.
Thm vo Ui* tho mn c gi thit phng sai khng i. nn nu chng ta tip tc phng
php bnh phng nh nht cho m hnh bin i (6.14) th cc c lng sinh ra t s l cc
c lng tuyn tnh khng chch tt nht.
Th tc bin i cc bin gc theo cch trnh by trn trong cc bin c bin
i tho mn cc gi thit ca m hnh c in v sau p dng phng php bnh phng nh
nht vo chng, c gi l phng php bnh phng nh nht tng qut.
Th tc c lng 12 v 2* l nh sau:
Trc ht ta vit hm hi quy mu ca (6.14) di dng:
Yi * X * X e
= 1 0i + 2 i + i
i i i i
85
Chng 6: Phng sai ca sai s thay i
( )
n n
ei*2 = Yi 1 X 0i 2 X i
* * * * * 2
i =1 i =1
Hay:
2
n
ei2 Yi * X 0i * X i
n n
1
(Yi 1 2 X i ) 2
* *
= =
i =1 i i =1 i i i i=1 i
2 1 2 2
1
t Wi = ta quay v dng (6.7), cho nn ta c th vit ngay c cc c lng:
i2
1* = Y * 2* X * (6.16)
n n n n
W i W i X iYi W i X i W iYi
(6.17)
2* = i =1 i =1 i =1 i =1
2
n n n
W i W i X i2 W i X i
i =1 i =1 i =1
n
W i
(6.18)
Var ( 2* ) = i =1
2
n
n
n
W i W i X i2 W i X i
i =1 i =1 i =1
Xi
2
i =1
i =1
X i2 i =1
86
Chng 6: Phng sai ca sai s thay i
X iYi X i ( 2 X i + U i ) XU i i
2 = i =1
n
= i =1
n
= 2 + i =1
n
Xi
i =1
2
X
i =1
i
2
X
i =1
i
2
X i i2
2
Var( 2 *) = i =1
2
(6.20)
n 2
Xi
i=1
(cch lm tng t nh ni trn).
1
By gi chng ta thc hin nh trng s cho quan st th i l trong Zi tho mn
Zi
iu kin Zi2 = i2/2 (2 l hng s). (Lu rng php bin i y tng qut hn trn mt
cht v ch cn t 2 = 1 ta c ngay Zi = 1/Wi). Ta s dng * ch c lng tham s ca
m hnh bin i. Lc (6.19) c th vit li l:
Yi X U
= 2 i + i
Zi Zi Zi
Ui
t Vi = , khi
Zi
U
E(Vi) = E i =
2 E Ui
2
;
2
( ) E(Vi)2 =
i2
=2
2 2
Zi Zi Zi
Hi quy mu ca (6.19) c dng:
Yi X
= 2* i + Vi
Zi Zi
c lng bnh phng nh nht ca (6.19) nh bit l c lng bnh phng nh
nht c trng s v ta k hiu l * th: 2
n n
(Yi / Zi )( X i / Zi ) (X i / Z i )Vi
2* = i =1
n
= 2 + i =1
n
(6.21)
(X
i =1
i / Zi ) 2
(X
i =1
i / Zi ) 2
Ly k vng 2 v ca (6.19) ta c E( 2* ) = 2
87
Chng 6: Phng sai ca sai s thay i
Chng ta c
2
Var( 2* ) = n
(X
i =1
i / Zi )2
2 2
Thay i = Zi vo (6.18) ta c:
n
Var( 2* ) =
2 2 2
X i Zi
i =1
2
n
X
2
i
i =1
Lp t s
n
( X i ) 2
2
Var ( 2* )
= i =1
Var ( 2 )
n n
( X i / Z i ) X i Z i
2 2 2 2
i =1 i =1
t ai = XiZi; bi = Xi/Zi lc :
n
( ai bi ) 2
Var ( 2* )
= i =1
Var ( 2 )
n n
a b
2 2
i i
i =1 i =1
i =1
b ai bi ;
2
i=1
v du bng xy ra khi v ch khi
a1 a2 a
= = ... = n .
b1 b2 bn
p dng vo (6.20) ta c
Var ( 2* )
1
Var ( 2 )
X
i =1
i
2
RSS l tng bnh phng cc phn d thu c t m hnh c lng bnh phng nh nht. Ta
tnh k vng ca RSS:
88
Chng 6: Phng sai ca sai s thay i
E(RSS) = E [ (Y X ) ]
i 2 i
2
n n n n
X i2 X X i2
2 2 2 2
n i i i i
= i
2
i =1
n
= i =1 i =1
n
i =1
(6.22)
i =1
X i =1
i
2
X i =1
i
2
.
( X ) i
2 2
X i i2 >
i =1
2
i
n i=1
X
2
i =1
i2
89
Chng 6: Phng sai ca sai s thay i
90
Chng 6: Phng sai ca sai s thay i
Bng 6.2 Phn d i vi hm tiu dng c c lng t tp s liu cho bng 6.1
Gi tr ca Gi tr
Quan st Phn d Quan st Phn d
X ca X
6 6,2 -0,32 8 26,1 1,18
11 8,1 -0,13 18 28,3 -1,30
9 10,3 0,19 17 30,1 1,38
4 12,1 0,37 2 32,2 1,30
14 14,1 -0,43 12 34,5 1,23
15 1,4 -0,80 3 36,6 -1,96
19 18,2 0,69 13 38,0 1,52
20 20,1 0,88 10 40,2 1,80
1 22,3 -1,00 5 42,3 1,81
16 24,1 -0,92 7 44,7 -2,45
+2
+1
0
20 30 40 50
-1
10
-2
-3
Hnh 6.3
Biu phn d i vi X cho chng ta thy rng rng ca biu ri tng ln khi X
tng, cho nn c chng c cho rng phng sai ca sai s thay i khi X tng. Ch rng i
khi ngi ta v th ca phn d bnh phng i vi X.
Nhng c mt vn thc hnh m ta cn bn ti l nu chng ta xem xt hi quy bi c
nhiu hn mt bin gii thch th chng ta phi lm th no? Liu c th dng th na khng?
91
Chng 6: Phng sai ca sai s thay i
92
Chng 6: Phng sai ca sai s thay i
ei= 1 + 2
1 +v (6.26)
i
Xi
ei= 1 + 2
1 +v (6.27)
i
Xi
ei= 1 + 2 X i + vi (6.28)
ei= 1 + 2 X i 2 + vi (6.28')
Trong vi l sai s.
Gi thit H0 trong mi trng hp nu trn l khng c phng sai ca sai s thay i,
ngha l H0: 2 = 0. Nu gi thit ny b bc b th c th hin tng phng sai ca sai s thay
i. Cn lu rng kim nh Glejser cng c vn nh kim nh Park. Glejser v Quandt
ch ra rng sai s vi trong hi quy ca Glejser c mt s vn , nh gi tr k vng ca n khc
khong, n c tng quan chui. Tuy nhin Glejser cho rng trong mu ln th 4 m hnh u
cho ta kt qu tt trong vic vch ra hin tng phng sai ca sai s thay i (2 m hnh cui
cng cn c vn v l phi tuyn theo tham s, do , khng th c lng c bng th tc
bnh phng nh nht thng thng).
Do vy m kim nh Glejser c s dng nh l mt cng c chn on trong mu
ln.
Th d: S dng s liu cho v chi tiu ca tiu dng ph thuc vo thu nhp bng
(6.1) v phn d tch c bng (6.2) chng ta tin hnh kim nh Glejser kt qu nh sau:
- i vi dng (6.24) ta thu c kt qu sau
ei = 0.2093825 + 0.0511835X i
93
Chng 6: Phng sai ca sai s thay i
Bng 6.4
Bin H s Sai lch chun t p
X 0,511835 0,0033863 15,115 0,000
cons -0,209383 0,0941067 -2,225 0,039
- i vi dng (6.25) ta c
ei = 1.232191 + 0.4782725 X i
Bng 6.5
Bin H s Sai lch chun t p
- i vi dng (6.26) ta c
1
ei = 1.826248 13.77976
Xi
Kt qu chi tit cho bng sau:
Bng 6.6
Bin H s Sai lch chun t p
1/X 13,77976 2,387942 -5,771 0,000
cons 1,826248 0,1549618 11,785 0,000
- i vi dng (6.27) ta c:
1
ei = 2.825054 7.849832
Xi
Bng 6.7
Bin H s Sai lch s t p
1
-7,848932 1,049445 -7,479 0,000
Xi
94
Chng 6: Phng sai ca sai s thay i
Hng: gia k 1 3 7 10 9 5 4 8 2 6
Hng: cui k 3 2 8 7 9 6 5 10 1 4
H s tng quan hng c th dng pht hin ra phng sai ca sai s thay i.
Chng ta xt m hnh
Yi = i + 2 Xi + Ui .
Th tc kim nh nh sau:
Bc 1: c lng hi quy trn tp s liu i vi Y v X thu c phn d ei .
Bc 2: Xp hng ei v Xi theo th t gim hoc tng, tnh d = hng ei- Hng Xi , sau
tnh h s tng quan hng Spearman.
Bc 3: Gi s h s tng quan hng ca tng th l i bng 0 v n > 8 th ngha ca h
s tng quan hng mu rs c th kim nh bng tiu chun t sau:
rs n 2
t= (6.30)
2
1 rs
vi bc t do df = n - 2
Nu gi tr t tnh c m vt im ti hn t, chng ta c th chp nhn gi thit phng
sai ca sai s thay i; ngc li chng ta t b gi thit v phng sai sai s thay i. Nu m
hnh hi quy c bin gii thch th h s tng quan hng c th tnh gia ei vi mi mt bin X
ring v c th kim nh ngha thng k bng tiu chun trn.
6.6. BIN PHP KHC PHC
Nh chng ta bit phng sai ca sai s thay i chng nhng ph hu cn lm cho
cc c lng khng cn l c lng hiu qu na. V th bin php khc phc l ht sc cn
thit. Vic cha chy cn bnh ny ph thuc ch yu vo liu 2i c bit hay cha. Ta phn
bit 2 trng hp.
95
Chng 6: Phng sai ca sai s thay i
6.6.1. 2i bit
Khi 2i bit, chng ta c th d dng khc phc cn bnh bng cch s dng phng
php bnh phng nh nht c trng s trnh by trn.
6.6.2. 2i cha bit
Trong nghin cu kinh t vic bit trc 2i ni chung l him. V vy nu chng ta mun
s dng phng php bnh phng nh nht c trng s th chng ta cn c nhng gi thit nht
nh v 2i v bin i m hnh hi quy gc sao cho m hnh c bin i ny tho mn gi
thit phng sai ca sai s khng i. Phng php bnh nh nht s c p dng cho m hnh
c bin i nh ch ra trc y, phng php bnh phng nh nht p dng cho tp s
liu c bin i.
Chng ta s minh ho cho cc php bin i ny qua vic s dng m hnh hi quy 2 bin
m ta gi l m hnh gc:
Yi=1 + 2Xi + Ui
Gi s m hnh ny tho mn cc gi thit ca m hnh hi quy tuyn tnh c in tr gi
thit phng sai ca sai s khng i. Chng ta xt 1 s gi thit sau v phng sai ca sai s.
Nhng dng ny tuy cha bao qut c tt c nhng ph bin.
Gi thit 1: Phng sai ca sai s t l vi bnh phng ca bin gii thch:
E(U2i) = 2X2i (6.31)
Nu bng phng php th hoc cch tip cn Park hoc Glejser... ch cho chng ta rng
c th phng sai Ui t l vi bnh phng ca bin gii thch X th chng ta c th bin i m
hnh gc theo cch sau:
Chia 2 v ca m hnh gc cho Xi(Xi0)
Yi U 1
= 1 + 2 + i = 1 + 2 + Vi ; (6.32)
Xi Xi Xi Xi
Ui
Trong Vi = l s hng nhiu c bin i, v r rng rng E(Vi)2 = 2, thc vy:
Xi
2
U 1 2 X i2
E (Vi ) = E i = 2 E (U i ) 2 =
2
2
= 2
Xi Xi Xi
Nh vy tt cae cc gi thit ca m hnh hi quy tuyn tnh c in c tho mn i vi
(6.38) vy ta c th p dng phng php bnh phng nh nht cho phng trnh c bin
Y 1
i (6.38). Hi quy i theo . Ch rng trong hi quy c bin i th s hng chn 2
Xi Xi
l h s gc trong phng trnh hi quy gc v h s gc 1 l s hng chn trong m hnh hi
gc. Do tr li m hnh gc chng ta phi nhn c hai v ca (6.38) c lng vi Xi.
Gi thit 2: Phng sai ca sai s t l vi bin gii thch X
E(Ui)2 = 2Xi
Nu sau khi c lng hi quy bng phng php bnh phng nh nht thng thng,
chng ta v th ca phn d ny i vi bin gii thch X v quan st thy hin tng ch ra
96
Chng 6: Phng sai ca sai s thay i
phng sai ca sai s lin h tuyn tnh vi bin gii thch hoc bng cch no c th tin tng
nh vy th m hnh gc s c bin i nh sau:
Vi mi i chia c 2 v ca m hnh gc cho X i (Vi Xi>0)
Yi U 1
= 1 + 2 X i + i = 1 + X i + Vi (6.33)
Xi Xi Xi Xi
Ui
Trong vi = v c th thy ngay rng E(vi) = 2.
Xi
Ch : M hnh (7.42) l m hnh khng c h s chn cho nn ta s s dng m hnh hi
quy qua gc c lng 1 v 2, sau khi c lng (6.42) chng ta s tr li m hnh gc bng
cch nhn c hai v (6.42) vi Xi .
Gi thit 3: Phng sai ca sai s t l vi bnh phng ca gi tr k vng ca Y, ngha l
E(U i) = 2 (E(Yi)2.
2
Yi 1 X
= 1 + i i + Vi (6.35)
Yi
Yi
Yi
Ui
Trong Vi =
Yi
97
Chng 6: Phng sai ca sai s thay i
i khi thay cho vic d on v 2i ngi ta nh dng li m hnh. Chng hn thay cho
vic c lng hi quy gc c th chng ta s c lng hi quy:
lnYi=1+2lnXi+Ui (6.36)
Vic c lng hi quy (7.46) c th lm gim phng sai ca sai s thay i do tc ng
ca php bin i loga. Mt trong u th ca php bin i loga l h s gc 2 l h s co dn
ca Y i vi X
Th d: Vi s liu cho bng 7.1 chi tiu cho tiu dng Y v thu nhp X. Nh ta bit
c lng bnh phng nh nht thng thng ca hm hi quy:
Yi = 1 + 2Xi + Ui
Kt qu hi quy ca logXi cn c vo s liu bng (6.10) ta c:
*logYi = 0,0757 + 0,95621logXi
Bng 6.10. Phn d t phng trnh log
Quan st logX Phn d Quan st logX Phn d
6 1,82 -0,12 8 3,26 0,44
11 2,09 0,04 18 3,34 -0,53
9 2,33 0,27 17 3,40 0,47
4 2,49 0,34 2 3,48 0,42
14 2,65 -0,33 12 3,54 0,38
15 2,70 -0,56 3 3,60 -0,59
19 2,90 0,35 13 3,64 -0,42
20 3,00 0,41 10 3,69 0,51
1 3,10 -0,54 5 3,74 0,50
16 3,18 -0,46 7 3,80 -0,56
T bng ny ta c th nhn thy rng khng xy ra tnh trng khi X tng phn d tng.
Khng xut hi hin tng phng sai ca sai s thay i y. D nhin ta c th s dng bt k
kim nh no trnh by trn.
Trc khi kt thc chng trnh ny chng ti xin lu bn c mt s vn sau:
Hin tng m chng ta ang bn n l tng i ph bin, cho nn bin php khc phc
n rt l quan trng. Nhng bin php khc phc thc cht l toa thuc cho con bnh, bnh c
cha c khng, khng ch l toa thuc c hay hay khng, m trc ht l chn on ng bnh.
V vy, c hai vn chn on v cha u quan trng.
V th cn phi lu mt s vn :
Khi nghin cu m hnh c nhiu bin gii thch th vic chn bin no bin i cn
phi xem xt cn thn.
Php bin i log khng dng c khi cc gi tr X hoc Y l m
98
Chng 6: Phng sai ca sai s thay i
TM TT NI DUNG CHNG 6
Trong m hnh hi quy tuyn tnh c in, mt trong nhng gi thit quan trng l cc sai
s ngu nhin Ui trong hm hi quy tng th c phng sai khng i. Nhng trong thc t do
mt s nguyn nhn khch quan v ch quan c th lm cho gi thit ny b vi phm. Nu gi
thit ny b vi phm s dn n cc h s c lng vn l c lng tuyn tnh khng chch
nhng khng cn l c lng hiu qu na (c lng c phng sai nh nht) v c lng
ca cc phng sai s b chch, do cc kim nh mc ngha, khong tin cy da theo phn
phi t v F khng cn ng tin cy na. pht hin ra phng sai ca sai s thay i c th s
dng mt trong cc bin php sau:
- Xem xt th ca phn d ei hoc e2i.
- Kim nh Park.
- Kim nh Glejser.
- Kim nh tng quan hng ca Spearman.
Sau khi kim nh nu pht hin c hin tng phng sai ca sai s thay i th tin hnh
khc phc theo hai trng hp sau:
- Trng hp bit i2 ta p dng phng php bnh phng nh nht c trng s .
- Trng hp i2 cha bit, ta cng khc phc bng phng php bnh phng
nh nht c trng s nhng cn c nhng gi thit nht nh v i2 v bin i m hnh
gc sao cho m hnh c bin i tho mn gi thit phng sai khng i.
CU HI V BI TP N CHNG 6
I. Cu hi l thuyt:
1. Gii thch cc khi nim sau:
a) Th no l hin tng phng sai khng ng u? Nguyn nhn.
b) Tnh cht ca cc c lng khi phng sai ca sai s thay i?
2. Phng php bnh phng nh nht c trng s (WLS) v phng php bnh phng
nh nht tng qut?
3. Phng php pht hin phng sai thay i?
99
Chng 6: Phng sai ca sai s thay i
100
Chng 7: T tng quan
GII THIU
Mt trong cc gi thit ca m hnh hi quy tuyn tnh c in l khng c t tng quan
gia cc sai s ngu nhin Ui trong hm hi quy tng th. Nh ng trong thc t liu hin tng
c th xy ra hay khng? Nguyn nhn ca hin tng l g? Nu c hin tng t tng quan
th liu c cn p dng phng php OLS na hay khng? Lm th no bit rng hin tng t
tng quan xy ra? Cch khc phc nh th no?... l mt lot vn m chng ta cn gii
quyt trong chng ny.
Trong chng ny gii thiu cho ngi hc hiu v hin tng t tng quan trong m
hnh hi quy tuyn tnh. Khi xy ra hin tng t tng quan th hu qu ca n s nh th no?
Cch pht hin v bin php khc phc. V vy yu cu ngi hc cn nm vng phng php
OLS v cc gi thit ca n khi hi quy tuyn tnh. Vi mt m hnh c th cn phi nhn bit
c c hin tng t tng quan hay khng? v c cch x l ph hp.
NI DUNG
7.1 BN CHT V NGUYN NHN CA HIN TNG T TNG QUAN.
7.1.1 T tng quan l g?
Thut ng t tng quan c th hiu l s tng quan gia cc thnh phn ca chui quan
st c sp xp theo th t thi gian (trong cc s liu chui thi gian) hoc khng gian (trong
s liu cho).
Trong m hnh hi quy tuyn tnh c in, ta gi thit rng khng c tng quan gia cc
nhiu Ui, ngha l:
Cov(Ui, Uj) = 0 (i j) (7.1)
Ni mt cch khc, m hnh c in gi thit rng sai s ng vi quan st no khng b
nh hng bi sai s ng vi mt quan st khc.
Tuy nhin, trong thc t c th xy ra hin tng m sai s ca cc quan st li ph thuc
nhau. Ngha l:
Cov(Ui, Uj) 0 (i j) (7.2)
Hy xt cc th di y vi trc tung l Ui (hoc ei), trc honh l thi gian. Trong
Ui ch nhiu ca tng th cn ei ch l phn d.
101
Chng 7: T tng quan
U,e
U,e
t t
Hnh 7.2
Hnh 7.1
U,e U,e
t t
Hnh 7.3 Hnh 7.4
U,e
Hnh 7.5
T hnh (8.1) n (8.4) cho thy rng c mt dng ph thuc gia cc Ui(hoc ei). Hnh 7.1
cho thy dng chu k; Hnh (7.2) v (7.3) cho thy cc xu hng tuyn tnh i ln hay i xung
ca cc sai s; Hnh (7.4) cho thy cc sai s c hai dng: xu hng tuyn tnh v bnh phng.
Ch c hnh (7.5) l cho thy dng khng c h thng, ng h cho gi thit khng c t tng
quan trong m hnh hi quy tuyn tnh c in.
7.1.2 Nguyn nhn ca t tng quan.
a. Nguyn nhn khch quan:
Qun tnh: Nt ni bt ca hu ht cc chui thi gian trong kinh t l qun tnh. Chung
ta u bit cc chui thi gian nh: Tng sn phm, ch s gi, tht nghip,... mang tnh chu k.
Chng hn giai on u ca thi k khi phc kinh t, tng sn phm c xu hng i ln, do
gi tr ca chui im sau thng cao hn im trc v khi hi quy chui thi gian, cc
quan st k tip c nhiu kh nng ph thuc vo nhau.
102
Chng 7: T tng quan
Hin tng mng nhn: Ngi ta thy rng vic cung nhiu mt hng nng sn biu
hin hin tng mng nhn, trong lng cung phn ng li vi gi c tr mt khong thi
gian, v cc quyt nh cung cn phi mt mt khong thi gian thc hin, ngi ta gi l
thi k thai nghn.
Cc tr: Trong phn tch chui thi gian, chng ta c th gp hin tng bin ph
thuc thi k t ph thuc vo chnh bin thi k t-1 v cc bin khc. Chng hn khi nhin
cu mi quan h gia tiu dng v thu nhp, chng ta thy rng tiu dng thi k hin ti chng
nhng ph thuc vo thu nhp m cn ph thuc vo tiu dng thi k trc , ngha l:
Yt = 1 + 2Xt + 3Yt-1 + Ut (7.3)
trong : Yt: tiu dng thi k t.
Xt: Thu nhp thi k t.
Yt-1: Tiu dng thi k t-1.
i: (i=1,2,3) cc h s.
Ui: Sai s ngu nhin.
Chng ta c th l gii m hnh (7.3) nh sau: Ngi tiu dng thng khng thay i thi
quen tiu dng,.... nh vy nu chng ta b qua s hng tr trong (7.3) th sai s s mang tnh h
thng do nh hng ca tiu dng thi k trc ln tiu dng thi k hin ti.
B. Nguyn nhn ch quan:
X l s liu: Trong phn tch thc nhim, s liu th thng c x l. Chng hn
trong hi quy chui thi gian gn vi cc s liu qu, cc s liu ny thng c suy ra t s
liu thng bng cch cng 3 quan st theo thng ri chia cho 3. Vic ly trung bnh lm trn cc
s liu v lm gim s dao ng trong s liu thng. Do vy th s liu qu trn tru hn nhiu
so vi s liu thng.
Chnh s lm trn ny c th dn ti sai s h thng trong cc sai s ngu nhin v gy ra
s tng quan.
Mt kiu x l khc l php ni suy v ngoi suy s liu. Chng hn tng iu tra dn s
c tin hnh 10 nm 1 ln, ln cui cng vo nm 1997. Nu cn s liu cho 1 nm, nm gia 2
cuc iu tra, cch ph bin l ni suy, k thut c th gy ra sai s h thng m khng c s liu
gc.
Sai lch do lp m hnh: y l nguyn nhn thuc v lp m hnh. C hai loi sai lm
c th gy ra hin tng t tng quan.
Mt l: Khng a cc bin nh hng c bn vo m hnh.
Th d: xt m hnh:
Yt = 1 + 2X2t + 3X3t + 4X4t + Ut (7.4)
trong : Y l cu v mt hng A
X2: Gi mt hng A.
X3: Thu nhp ca ngi tiu dng.
X4: Gi mt hng B c lin quan.
t: l thi gian.
103
Chng 7: T tng quan
I K
Hnh 7.6 Q
Nhn vo hnh v ta thy cc im nm trn on IK ca ng hi quy (7.7) cho c lng
qu cao chi ph bin ng., cn cc im nm ngoi on ny cho c lng thp hn. Khi cc
s hng nhiu Vi c xc nh nh sau:
Vi = 3Q2i + Ui (7.8)
V do n b nh hng c tnh h thng ca sn lng i vi chi ph bin. Vy Vi c t
tng quan do s dng hm khng chnh xc.
7.2 C LNG BNH PHNG NH NHT KHI C T TNG QUAN.
Gi s tt c cc gi thit i vi m hnh hi quy tuyn tnh c in u tho mn tr gi
thiyt khng tng quan gia cc nhiu Ui. Trong trng hp ny iu g s xy ra i vi cc
c lng OLS v phng sai ca chng?
n gin ta xt m hnh:
Yt = 1 + 2Xt + Ut (7.9)
trong : t l k hiu quan st thi im t (gi thit ta ang nghin cu s liu chui thi
gian).
Ta gi thit cc nhiu c to ra nh sau:
Ut = Ut-1 + t (-1<<1) (7.10)
104
Chng 7: T tng quan
2 =
x y t t
(7.12)
x 2
t
n 1 n2
x x
2 2 t =1 t t +1
x x xx
( )
t +2
2 t
Var 2 AR (1)
= n + n n + 2 t =1
n
+ ..... + n 1 n1 n (7.13)
xt2 xt2 xt2 x 2
t xt2
t =1 t =1 t =1 t =1 t =1
Nu khng c t tng quan th:
2
Var ( 2 ) = n (7.14)
xt2 t =1
(x t xt 1 )( yt y t 1 )
OLS
2 = t =2
n
+C (7.15)
(x
t =2
t xt 1 ) 2
105
Chng 7: T tng quan
quan vo cng thc c lng. chnh l l do v sao c lng bnh phng nh nht tng
qut l c lng tuyn tnh khng chch tt nht. Cn c lng bnh phng nh nht thng
thng th khng. c lng bnh phng nh nht tng qut tn dng c nhiu nht thng tin
c c. Khi = 0, khng c thng tin b sung cn c xem xt v v vy c hai hm c lng
tng qut v thng thng l nh nhau.
7.4 HU QU CA VIC S DNG PHNG PHNG PHP BNH PHNG
NH NHT THNG THNG KHI C T TNG QUAN.
Khi c hin tng t tng quan, nu chng ta c s dng phng php OLS th s nh
th no? Cng nh chng 6, ta c mt s nhn xt sau:
Cc c lng OLS vn l cc ca lng tuyn tnh, khng chch, nhng chng khng
phi l c lng hiu qu na. Ni cch khc, c lng OLS khng phi l c lng tuyn
tnh khng chch tt nht na.
Phng sai c lng c ca cc c lng OLS thng l chch. Khi tnh phng
sai v sai s tiu chun ca cc c lng OLS thng cho nhng gi tr thp hn cc gi tr thc
v do lm cho gi tr ca t ln, dn n kt lun sai khi kim nh. Do kim nh t v F
khng cn tin cy na.
RSS
2 = l c lng chch ca 2 v trong mt s trng hp l chch v pha di.
df
Gi tr c lng R2 c th khng tin cy khi dng thay th cho gi tr thc ca R2.
Phng sai vad sai s chun ca cc gi tr d bo khng c tin cy (khng hiu qu).
Nh vy, hu qu ca hin tng t tng quan cng tng t nh hu qu ca hin tng
phng sai thay i l vn nghim trng trong thc hnh. V vy, nu trong s liu quan st c
hin tng t tng quan th phi tm cch pht hin v khc phc n.
7.5 PHT HIN C T TNG QUAN.
7.5.1 Phng php th:
Gi thit khng c t tng quan trong m hnh hi quy tuyn tnh c in gn vi cc
nhiu Ut, nhng Ut khng quan st c, ta ch c th quan st c cc phn d et. Mc d et
khng hon ton ging Ut nhng quan st cc phn d et c th gi cho ta nhng nhn xt v Ut.
C nhiu cch khc nhau xem xt cc phn d. Chng hn chng ta c th n thun v
th ca et theo thi gian nh hnh 7.7:
106
Chng 7: T tng quan
et
Hnh 7.7
Nhn vo th, ta thy phn d khng biu th mt kiu mu no khi thi gian tng ln,
n phn b mt cch ngu nhin xung quanh trung bnh ca chng.
Mt cch khc l v th ca phn d chun ho theo thi gian. Lu rng, theo gi
U
thit ca m hnh hi quy tuyn tnh c in th Ut ~ N(0, ) , suy ra: t ~ N(0,1). V vy, nu
2
et
chia et cho t ta c cc phn d chun ho. Vi mu c kch thc kh ln th c phn phi
t
107
Chng 7: T tng quan
- + + - - - - + + - + +
+ + - - + + + + + + + -
...............................
Mt on mch l mt dy cc phn t ging nhau m st trc v st sau l cc phn t
khc chng hoc khng c phn t no. Chiu di ca mt on mch l s phn t ca n.
t: n l tng s quan st.
n1 l s k hiu + (s phn d dng)
n2 l s k hiu m (s phn d m)
N l s on mch.
Gi thit kim nh: H0: cc phn d l c lp.
H1: cc phn d khng c lp.
Vi gi thit n1 10 v n2 10 th N c phn phi chun vi k vng E(N) v phng sai
c tnh nh sau:
2
N
2 n1 n 2
E(N ) = +1 (7.17)
n1 + n 2
2 n1 n 2 (2 n1 n 2 n1 n 2 )
N2 = (7.18)
(n1 + n 2 )2 (n1 + n 2 1)
lch chun:
2 n 1 n 2 (2 n 1 n 2 n 1 n 2 )
= (7.19)
(n 1 + n 2 ) (n 1 + n 2 1 )
2
108
Chng 7: T tng quan
ij
2
= (7.20)
i =1 i =1 E ij
Nu gi thit H0 ng, tc cc phn d c phn b c lp th thng k 2 ni trn s
c phn phi theo quy lut khi bnh phng vi bc t do l: df = (2-1)(2-1) = 1.
Quy tc ra quyt nh l nu gi tr ca thng k 2 tnh c vt qu gi tr 2 ti hn
vi 1 bvc t do mc ngha cho trc (chng hn = 5%) th ta c th bc b gi thit H0 v
tnh c lp ca cc phn d, ng]c li ta s tha nhn n.
Cch tnh thng k 2;
Nu gi thit H0 ng th cc hng v ct c lp vi nhau v khi : Eij = nPij, trong Pij
l xc sut phn d thuc cha Aij bng trn.
R1 C 1 R C R C R C
P11 = ; P12 = 1 2 ; P21 = 2 1 ; P22 = 2 2
n n n n n n n n
Trong :
109
Chng 7: T tng quan
Vy ta c:
R iC j
E ij = (i,j = 1,2) (7.21)
n
7.5.4 Kim nh d ca Durbin-Watson:
Phng php kim nh c ngha nht pht hin ra t tng quan l kim nh d ca
Durbin-Watson.
Thng k d ca Durbin-Watson c nh ngha nh sau:
n
(e i e i 1 )2
d = t=2 (7.22)
n
i =1
e i
2
l t s gia tng bnh phng sai lch ca cc phn d k tip nhau vi RSS. Lu trn t
s ca thng k d s quan st l n-1 v mt quan st b mt i khi ly k hiu cc quan st k tip.
Ngi ta chng minh khi n ln th:
d 2(1- ) (7.23)
Trong :
n
e t e t 1
= t =1 (7.24)
n
t =1
e t
2
110
Chng 7: T tng quan
Gi thit H0 Quyt nh Nu
Khng c t tng quan dng Bc b 0 < d < dL
Khng c t tng quan dng Khng quyt nh dL d dU
Khng c t tng quan m Bc b 4-dL < d < 4
Khng c t tng quan m Khng quyt nh 4-dU d 4- dL
Khng c t tng quan dng hoc m Khng bc b dU < d < 4-dU
Cc quy tc ra quyt nh c th minh ho hnh 7.8:
Bc b gi Min
thit H0 khng c Min Bc b gi
ngha l c kt lun khng c thit H0 ngha
tng quan kt lun l c tng
Chp nhn gi thit, quan ngc
thun chiu
khng c tng quan chiu (m)
(dng)
chui bc nht dng
hoc m
0 dL dU 2 4-dU 4-dL 4
Hnh 7.8
c lng hi quy bng phng php OLS thng thng v thu c phn d et.
Tnh gi tr ca thng k d theo cng thc (7.22).
Vi c mu cho n v s bin gii thch, tm cc gi tr ti hn dU v dL c cho trong
bng gi tr d (ph lc).
Theo cc quy tc ra quyt nh cho trong bng (7.2)
Nu gi tr ca d thuc mim khng c quyt nh, tc ta khng th kt lun c tng
quan hay khng. Khi ta kt kun nh th no? gii quyt vn ny c mt s ci bin
kim nh d. Di y l quy tc kim nh ci bin thng c p dng kim t tng quan
bc nht.
1. H0: = 0; H1: > 0. Nu d < dU th bc b H0 v chp nhn H1 (vi mc
ngha ), ngha l c t tng quan dng.
2. H0: = 0; H1: < 0. Nu (4-d) < dU th bc b gi thit H0, ngha l c t
tng quan m.
3. H0: = 0; H1: 0. Nu d < dU hoc (4-d) < dU th bc b gi thit H0 chp
nhn H1 (vi mc ngha 2), tc l c t tng quan (dng hoc m).
Cc phn mm kinh t lng t ng tnh gi tr d. Chng hn, vi s liu cho th d
2.1 th d = 2,49331. Tra bng d ta c dL = 0,812; dU = 1,58. Ta thy 4-dU < d < 4-dL nn theo
111
Chng 7: T tng quan
Yt * = Yt - Yt-1; X t* = Xt - Xt-1
Khi (7.29)c th vit di dng:
Yt * = 1* + 2* X t* + Vt (7.30)
V Vt tho mn cc gi thit ca phng php OLS i vi cc bin Y* v X* nn cc c
lng tm c s l cc ca lng tuyn tnh khng chch tt nht.
Phng trnh hi quy (7.29) c gi l phng trnh sai phn tng qut.
Vic c lng hi quy Y* i vi X* c hay khng c h s chn ph thuc vo hi quy
gc c h s chn hay khng. Trong quy trnh ly sai phn chng ta b mt mt quan st v quan
st u tin khng c quan st ng trc n. trnh mt mt mt quan st ny th quan st u
ca Y v X c bin i nh sau:
Y1* = Y1 1 2 ; X 1* = X 1 1 2
112
Chng 7: T tng quan
113
Chng 7: T tng quan
d
hoc: = 1 (7.36)
2
Cng thc ny gi cho ta cch thc n gin thu c c lng ca t thng k d.
T (7.35) ch ra rng gi thit sai phn cp 1 vi = +1 ch ng khi d = 0 hoc xp x bng 0.
Cng vy khi d = 2 th = 0 v khi d = 4 th = -1. Do thng k d cung cp cho ta phng
php thu c gi tr ca .
Chng ta cn lu rng quan h (7.36) ch l quan h xp x v c th khng ng vi
mu nh. i vi cc mu nh c th s dng thng k d ci bin ca Theil-Nagar.
Theil-Nagar xut rng trong cc mu nh, thay cho vic c lng nh l
(1-d/2), c th c lng nh l:
d
1 + k
2 2
n
2
=
n 2 k 2
trong n l tng s quan st; d l Durbin- Watson, d v k l s cc h s (bao gm c tung
gc) cn phi c lng. Khi n ln, c lng ny l bng vi c lng thu c bi
cng thc n gin (1-d/2)
Khi c c lng th c th bin i tp s liu nh ch ra (7.30) v tin hnh
c lng theo phng php OLS thng thng. Nhng vn t ra l cc c lng thu c
c phi l cc c lng tuyn tnh khng chch v c phng sai nh nht? Ch rng trong
phng trnh sai phn tng qut cha ch khng phi l , nhng khi tin hnh hi quy theo
phng php OLS ta s dng . y ta c th p dng mt quy tc thc hnh l: Khi ta s
dng mt c lng thay cho gi tr ng th cc h s thu c t phng php OLS c thuc
tnh ti u thng thng ch tim cn c ngha l chng ch c thuc tnh i vi mu c kch
thc ln. Cc kt lun khi tin hnh cc kim nh cng ch ng mt cch tim cn. V vy i
vi cc mu nh chng ta cn cn thn khi gii thch cc kt qu c lng.
b. Th tc lp Cochrance- Orcutt c lng :
Mt cch khc c lng t thng k d- Durbin- Watson l phng php Cochrance-
Orcutt. Phng php ny s dng cc phn d et c c lng thu c thong tin v
cha bit.
Ta xt m hnh hai bin sau:
Yt = 1 + 2Xt + Ut (7.37)
Gi s Ut c sinh ra t lc AR(1):
Ut = Ut-1 + t (7.38)
Cc bc c lng c tin hnh nh sau:
Bc 1: c lng m hnh (7.37) bng phng php OLS v thu c cc phn d et.
Bc 2: S dng cc phn d c lng hi quy:
et = et-1 + Vt (7.39)
114
Chng 7: T tng quan
Bc 3: S dng thu c t (7.39) c lng phng trnh sai phn tng qut (7.29).
Tc phng trnh:
Yt - Yt-1 = 1(1- ) + 2(Xt - Xt-1) + (Ut - Ut-1)
Bc4: Chng ta cha bit trc rng thu c t (7.39) c phi l c lng tt nht ca
hay khng. Ta th gi tr ca c lng 1* v 2* thu c t (7.40) vo hi quy gc (7.37) v
thu c cc phn d mi et* :
(
et* = Yt 1* + 2* X t ) (7.41)
c lng phng trnh hi quy tng t vi (7.39):
et* = * et*1 + Wt (7.42)
115
Chng 7: T tng quan
r2 = 0,955; d = 0,9021
T phng trnh hi quy c lng c v gi tr ca thng k d, ta xt xem liu c
tng quan chui hay khng?
Vi n= 24; k = 1 v = 0,05 ta tnh c dU = 1,45; dL = 1,27. Vy gi tr cu thng k d
b hn dL cho nn ta kt lun: C tng quan thunchiu. Nh vy ta khng th tin vo cc sai s
chun c c lng v cc t s t, cho nn cn phi c bin php khc phc. Vic khc phc
li ph thuc vo v c c lngbng mt s phng php nu trn. Kt qu nh sau:
Phng php s dng Gi tr
d- Durbin- Watson 0,5490
d- Theil - Nagra 0,5598
Cochrance- Orcutt
Bc lp 1 0,54571
Bc lp 2 0,57233
Bc lp 3 0,57836
Bc lp 4 0,57999
Durbin 2 bc 0,79520
Lu th tc lp Cochrance- Orcutt dng bc 4 v gia bc 3 v 4 khng khc nhau
nhiu.
Theo kt qu trn cc th tc u cho kt qu gn ging nhau, ring th tc Durbin 2 bc
cho kt qu hon ton khc. Vy trng thc t chn phng php no c lng ?
Thc t ta thy rng nu chng ta c mu ln (chng hn trn 60 quan st) th chn
phng php no cng khng gy ra s khc bit nhiu lm v chng u mang li kt qu tng
116
Chng 7: T tng quan
TM TT NI DUNG CHNG 7
Trong hi quy tng quan c in chng ta gi thit gia cc sai s ngu nhin khng c s
tng quan vi nhau. Nhng trong thc t c th xy ra hin tng m sai s quan st ny li c
th ph thuc vo sai s quan st khc. Nguyn nhn l c th do qun tnh, do hin tng mng
nhn, do cc tr, do x l s liu v do lp m hnh cha chnh xc. T gy nn nhiu hu
qu, nh: Cc c lng OLS khng cn l cc c lng tuyn tnh khng chch tt nht na;
Phng sai ca cc c lng thng l chch v do lm cho gi tr ca kim nh t ln, dn
n kt lun sai khi kim nh; Phng sai mu s l c lng chch ca phng sai chung;... V
Vy khi tin hnh hi quy cn pht hin xem c hin tng t tng quan hay khng vi mt mu
cho trc. Bng cch s dng phng php th; phng php kim nh on mch, phng
php kim nh 2 v kim nh d- Durbin- Watson. Nu c, cn s dng cc bin php thch hp
khc phc, l phng php i bin nu bit trc cu trc ca t tng quan; hoc trong
trng hp cha bit th dng phng php sai phn cp 1, bao gm s dng thng k d-
Durbin- Watson, phng php d-Theil-Nagra, phng php Cochrance- Orcutt. Trong cc
phng php dng x l hin tng t tng quan th phng php th tc lp Cochrance-
Orcutt thng hay c s dng nhiu nht.
CU HI V BI TP N TP CHNG 7
I. Cu hi l thuyt:
1. Nu bn cht ca hin tng t tng qua: nh ngha, nguyn nhn.
2. Tnh cht ca cc c lng khi c hin tng t tng quan. Cc kim nh t, 2, F c
em li thng tin chnh xc khng?
3. Trnh by ngn gn cc phng php pht hin v khc phc hin tng t tng quan.
II. Bi tp:
1. Gi s c cc phn d hi quy v nng sut v tin lng theo cc thng cho bng, hy
s dng tiu chun 2 kim nh tnh c lp ca cc phn d:
117
Chng 7: T tng quan
0 5 -0,8954 -1,1368
6 -0,1489 -0,8954
3 7 -0,2873 -0,1489
8 0,2270 -0,2873
9 0,9983 0,2270
10 2,2334 0,9983
11 2,7557 2,2334
12 2,1971 2,7557
1 2,5384 2,1971
2 2,1576 2,5384
2
3 2,6559 2,1576
4 1,4226 2,6559
0
5 1,4465 1,4226
0 6 0,5656 1,4465
7 0,9530 0,5656
4 8 0,2954 0,9530
9 -0,2459 0,2954
10 -4,5021 -0,2459
11 -2,8772 -4,5021
12 -4,0882 -2,8772
118
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
GII THIU
Trong cc chng trc chng ta xt mt s m hnh hi quy tuyn tnh mt phng
trnh, chng hn nh hm tiu dng, hm sn xut, hm doanh thu thu...Trong khi xem xt cc
m hnh , ta ngm gi nh rng m hnh chn l m hnh ng, ngha l m hnh phn nh
ng hin tng ang nghin cu. Ni mt cch khc chng ta ngm gi nh rng khng c
sai lm trong vic chn m hnh, khng c vic thiu bin thch hp hoc khng c cc bin
khng cn thit trong m hnh. Vn m chng ta quan tm n l vn c lng m hnh
khi m hnh c ch nh, v tm cc phng php c lng em li c lng vng v
hiu qu ca cc tham s.
Nhng nu c sai lm trong vic ch nh m hnh, c ngha l thay cho vic c lng mt
m hnh ng ta li c lng mt m hnh khng ng. Nu iu ny xy ra th hu qu s nh
th no? Chng ta c th gp nhng loi sai lm ch nh no? Lm th no pht hin c sai
lm ch nh? l nhng ni dung m chng ta s cp n trong chng ny, tuy nhin do
khun kh ca cun sch m chng ti ch trnh by nhng vn c bn nht v khng qu phc
tp.
Trc khi tr li nhng cu hi trn y, chng ta cn c tiu chun no gii p cho
cu hi:Th no l mt m hnh ng. Mc du trong thc t vic tm kim mt m hnh ng
l mt iu cc k kh khn.
- Nm vng l thuyt ca cc chng trc, c bit l cc gi thit ca phng php OLS
cc sai lm khi hi quy thng mc phi.
- Nm c cch khc phc cc sai lm khi chn m m hnh sai.
NI DUNG
8.1. CC THUC TNH CA MT M HNH TT
nh gi, xem xt mt m hnh c th cn c vo cc tiu chun sau ca A.C Harvy:
1. Tnh kim
Mt m hnh khng bao gi c th thu tm ton b thc ti, vic tru tng ha v n
gin ha l cn thit bi v m hnh l s biu din n gin nhng hon chnh ca hin thc.
Nguyn tc kim cho rng hy gi cho m hnh cng n gin cng tt.
2. Tnh ng nht
Nghi l vi mt tp d liu cho, cc tham s c lng phi c gi tr thng nht
3. Tnh thch hp.
V mc ch ca phn tch hi quy l gi thch s bin ng ca bin ph thuc bng bin
gii thch ca m hnh cng nhiu cng tt, nn mt m hnh s c coi l m hnh tt nu c R2
hoc R 2 cng gn 1 th c coi l cng thch hp.
119
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
E( 1 ) = 1 + 3 ( X 3 - 32 X 2 ) (8.4)
Nu 3 v 32 dng th 2 s chch ln, v trung bnh n s c lng cao 2
Nu 3 > 0 , 32 < 0 hoc ngc li th 2 s chch xung, v trung bnh n s c
lng thp hn 2
Tng t 1 s chch ln nu 3 ( X 3 - 32 X 2 )> 0 v chch xung nu 3 ( X 3 -
32 X 2 ) < 0.
2. 1 v 2 khng phi l c lng vng.
120
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
121
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
Gi s m hnh ng biu th quan h gia chi tiu cho nhp khu v thu nhp s dng
v bin xu th l nh sau:
Yt = 1 + 2X2t + 3X3t + Ut (8.6)
Trong : Y: chi tiu cho thu nhp
X2: thu nhp c th s dng c
X3: Bin xu th (biu th thi gian hay xu th), n ly
gi tr t 1,2....,20
Phng trnh (8.6) cho ta bit rng c mt bin khc X3 cng nh hng n chi tiu
nhp khu ngoi thu nhp c th s dng c. N c th l mt bin nh dn s, th hiu, cng
ngh.....m ta biu th bng mt bin thi gian hoc xu th.
Nhng thay cho vic c lng m hnh ng (8.6) ta li c lng m hnh sau y:
Yt = 1 + 2X2t + Vt (8.7)
Kt qu hi quy (8.7) nh sau:
Yt = 261,0914 + 0,2452312 X 2t (8.8)
Nu c lng m hnh (8.6) ta c kt qu:
Yt = 859,9217 + 0,649962 X 2t 23,19518 X 3t
(8.9)
i vi m hnh (8.8), tc l m hnh c chn sai, ta c:
dYt
= 0,2452312
dX 2t
Cn m hnh (8.9), l m hnh ng, th:
dYt
= 0,6499
dX 2t
Ngha l khuynh hng bin ca chi tiu cho nhp khu l 0,2452312 (i vi m hnh
8.6). Nh vy m hnh ny cho bit khi thu nhp tng 1 n v th chi tiu cho nhp khu tng
0,2452312 n v. Trong khi m hnh ng (8.9) li cho bit rng khi thu nhp tng 1 n v
th chi tiu cho nhp khu tng 0,6499 n v. Nh vy, m hnh chn sai c lng thp khuynh
hng bin ca tiu dng v n b chch xung.
Nh vy vic b st bin X3 chng nhng b qua nh hng ca X3 i vi Y m c
nh hng ca X3 i vi X2.
Ngoi ra h s chn, phng sai v sai s chun ca hai m hnh (8.8) v (8.9) cng sai
khc nhau rt nhiu. Nh vy hu qu ca vic b st bin l rt tai hi.
8.2.2. a vo nhng bin khng thch hp
Trong mc ny chng ta xt trng hp khi a vo m hnh nhng bin khng thch
hp th hu qu s nh th no?
lm sng t vn ny ta hy xt trn 2 m hnh n gin sau:
Gi s rng:
122
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
Yi = 1 + 2X2i + Ui (8.10)
l m hnh ch nh ng, nhng ngi ta a thm vo mt bin tha X3 v c lng
m hnh sau:
Yi = 1 + 2X2t + 3X3t + Vi (8.11)
Trong trng hp ny, sai lm ch nh l g ? Hu qu ca vic c lng m hnh
(8.11) thay cho c lng m hnh (8.10) l nh sau:
a. Cc c lng OLS ca m hnh (8.10) vn l cc c lng khng chch v vng, ngha l
ta vn c:
E( 1 ) = 1 , E( 2 ) = 2 v E( 3 ) = 0
2
v var ( 2 ) =
x 2
2 (1 r232 )
Do :
var ( 2 ) 1
=
var ( 2 ) 1 r232
123
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
124
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
F =
(R R )/ m
2
new
2
old
(1 R )/ (n k )
2
new
2
Trong : Rold l h s xc nh ca m hnh c.
2
Rnew l h s xc nh ca m hnh mi.
m l s bin c lp mi c a thm vo m hnh.
k l s h s ca m hnh mi.
Nu n kh ln F c phn phi F(m,n-k).
Bc 4: Nu F c ngha ti mc 5% ta c th chp nhn gi thit cho rng m hnh (8.15)
c xc nh khng ng.
2. Kim nh d. Durbin- Watson:
Th tc kim nh ny gm cc bc:
Bc 1: c lng m hnh ban u, Chng hn:
Yi = 0 + 1Xi + Ui
T kt qu c lng ny, ta thu c cc phn d ei.
125
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
(e e )
2
i i 1
d= i =1
n
e
i =1
2
i
Bc 4: Kim nh:
H0: Dng hm ng (khng c t tng quan).
H1: Dng hm sai (c t tng quan)
Da vo bng Durbin-Watson vi mc ngha kt lun v H0.
Th d: cc bin s: Y, X2 v X3, n = 20
Ta c lng c cc m hnh sau:
Yt = 9,7702 + 0,52372 X2 + 0,69302 X3, R2 = 0,7815
tnh c cc Yt v et
Kim nh Ramsey s Reset: trc ht c lng m hnh:
Yt = 0 + 2X2t + 3X3t + 2 Yt 2 + vt
Ta thu c:
Yt = 7,7604 + 0,995 X2 + 1,318 X3 - 0,083405 Yt , R2 = 0,78296
2
( Rnew Rold
2
)/m (0,78296 0,7875) / 1
F= = = 0,133872
(1 Rnew ) /(n k ) (1 0,78296) /(20 4)
2
126
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
n n
(X i X ) / n (X i X ) / n
3 4
S = i =1 ,K= i =1
SX3 SX4
T tnh c:
S e2 = 1,352/20 = - 0,0676; Se = 0,26; S e3 = 0,017576 ; S e4 = 0,0045697
TM TT NI DUNG CHNG 8
Trong khi xem xt cc m hnh hi quy tuyn tnh, ta ngm gi nh rng m hnh chn
l m hnh ng - M hnh phn nh ng hin tng ang nghin cu. Ni cch khc l khng
c sai lm trong vic chn m hnh, khng thiu cc bin cn thit hoc khng tha cc bin
khng cn thit trong m hnh.y l m hnh ch nh. Nhng nu c sai lm trong vic ch nh
m hnh th cn c bin php pht hin sai lm. Trc ht cn hiu th no l mt m hnh tt,
l m hnh tho mn 5 tiu chun ca A.C. Harvy. Cc loi sai lm ch nh bao gm: B st
bin thch hp ; a vo m hnh nhng bin khng thch hp; Dng hm khng ng.
pht hin s c mt ca cc bin khng cn thit c th s dng thng k kim nh t
v F.
pht hin cc bin b b st c th s dng kim nh RESET ca RAMSEY, kim
nh Durbin-Watson hoc kim nh v tnh phn b chun ca U.
CU HI V BI TP N CHNG 8
I. Cu hi l thuyt:
1. Gii thch 5 thuc tnh ca mt m hnh hi quy tuyn tnh tt?
2. Trnh by cc loi sai lm thng gp phi khi chn m hnh?
3. Cch phat hin cc sai lm v kim nh/
4. Trnh by kim nh gi thit phn phi chun ca U?
127
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
II. Bi tp:
1. Xt mi quan h gia chi ph qung co tip th vi mc cu i vi sn phm dch
v ca cng ty trong thi k 20 nm, ngi ta c s liu sau:
n v: Triu ng
Nm Chi tiu cho Cu v sn phm Nm Chi tiu cho Cu v sn phm
qung co,TT dch v qung co,TT dch v
X 1 2 3 4 5 6 7 8 9 10
Y 193 226 240 244 257 260 274 297 350 420
128
Chng 8: Chn m hnh v kim nh vic ch nh m hnh
129
Mc lc
MC LC
LI NI U .................................................................................................................................1
M U ..........................................................................................................................................3
1. Khi qut v kinh t lng ............................................................................................................................3
2. Xy dng v p dng m hnh kinh t lng: ................................................................................................3
CHNG 1: CC KHI NIM C BN CA M HNH HI QUI HAI BIN.................6
GII THIU ......................................................................................................................................................6
NI DUNG ........................................................................................................................................................6
1.1 PHN TCH HI QUI..........................................................................................................................6
1.2. BN CHT V NGUN S LIU CHO PHN TCH HI QUI. ....................................................9
1.3 M HNH HI QUI TNG TH........................................................................................................11
1.4 SAI S NGU NHIN V BN CHT............................................................................................14
1.5 HM HI QUI MU: .........................................................................................................................15
TM TT NI DUNG CHNG 1 ..............................................................................................................15
CU HI V BI TP N CHNG I.......................................................................................................16
I. Cu hi l thuyt: ....................................................................................................................................16
II. Bi tp:...................................................................................................................................................16
CHNG 2: C LNG V KIM NH GI THIT TRONG M HNH HI QUI
HAI BIN.......................................................................................................................................18
GII THIU ....................................................................................................................................................18
NI DUNG ......................................................................................................................................................18
2.1 PHNG PHP BNH PHNG NH NHT. ...............................................................................18
2.2 CC GI THIT C BN CA PHNG PHP BNH PHNG NH NHT. ........................21
2.3 CHNH XC CA CC C LNG BNH PHNG NH NHT. ...................................22
2.4 H S r2 O PH HP CA HM HI QUI MU. .................................................................22
2.5 PHN B XC SUT CA YU T NGU NGHIN: .................................................................25
2.6 KHONG TIN CY V KIM TRA GI THIT V CC H S HI QUI.................................25
2.7 KIM NH S PH HP CA HM HI QUI. PHN TCH HI QUI V PHNG SAI. .....33
2.8. NG DNG PHN TCH HI QUY: VN D BO:..............................................................34
2.9 TRNH BY KT QU PHN TCH HI QUI:...............................................................................36
TM TT NI DUNG CHNG 2 ..............................................................................................................37
CU HI V BI TP N CHNG 2 ......................................................................................................37
I- Cu hi....................................................................................................................................................37
II- Bi tp: ..................................................................................................................................................38
CHNG 3: M HNH HI QUI NHIU BIN (HI QUI BI) ........................................39
GII THIU ....................................................................................................................................................39
NI DUNG ......................................................................................................................................................39
3.1 M HNH HI QUI TUYN TNH K BIN......................................................................................39
3.2 CC GI THIT: ................................................................................................................................40
3.3 C LNG CC THAM S - OLS................................................................................................41
3.4. MA TRN HIP PHNG SAI CA CC C LNG:............................................................43
3.5 CC TNH CHT CA CC C LNG BNH PHNG NH NHT: ................................44
3.6 C LNG HP L TI A (ML): ..............................................................................................45
3.7 H S XC NH BI V H S XC NH BI D IU CHNH: .......................................45
130
Mc lc
131
Mc lc
CU HI V BI TP N CHNG 6 ......................................................................................................99
I. Cu hi l thuyt: ....................................................................................................................................99
II. Bi tp:.................................................................................................................................................100
CHNG 7: T TNG QUAN.............................................................................................101
GII THIU ..................................................................................................................................................101
NI DUNG ....................................................................................................................................................101
7.1 BN CHT V NGUYN NHN CA HIN TNG T TNG QUAN..............................101
7.2 C LNG BNH PHNG NH NHT KHI C T TNG QUAN..................................104
7.3 C LNG TUYN TNH KHNG CHCH TT NHT KHI C T TNG QUAN. .......105
7.4 HU QU CA VIC S DNG PHNG PHNG PHP BNH PHNG NH NHT
THNG THNG KHI C T TNG QUAN. ................................................................................106
7.5 PHT HIN C T TNG QUAN...............................................................................................106
7.6 CC BIN PHP KHC PHC.......................................................................................................112
TM TT NI DUNG CHNG 7 ............................................................................................................117
CU HI V BI TP N TP CHNG 7............................................................................................117
I. Cu hi l thuyt: ..................................................................................................................................117
II. Bi tp:.................................................................................................................................................117
CHNG 8: CHN M HNH V KIM NH VIC CH NH M HNH ...............119
GII THIU ..................................................................................................................................................119
NI DUNG ....................................................................................................................................................119
8.1. CC THUC TNH CA MT M HNH TT ...........................................................................119
8.2. CC LOI SAI LM CH NH. ...................................................................................................120
8.3. PHT HIN NHNG SAI LM CH NH - CC KIM NH V SAI LM CH NH.......124
TM TT NI DUNG CHNG 8 ............................................................................................................127
CU HI V BI TP N CHNG 8 ....................................................................................................127
I. Cu hi l thuyt: ..................................................................................................................................127
II. Bi tp:.................................................................................................................................................128
MC LC....................................................................................................................................130
132
KINH T LNG
M s: 497KTL370