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N TP MN KINH T LNG

1. Hm hi quy tuyn tnh (phng php bnh phng b nht OLS: Ordinary Least Squares)
PRF: Yi = +Xi + ui.
SRF: = + Xi (c lng)
Tnh gi tr trung bnh mu (average value):

v
Tnh h s hi quy (Coefficient):

v
Tnh phng sai (Variance):

v
Tnh lch chun (Standard Deviation):

SDY = v SDX =
Tnh ng phng sai hay hip phng sai (Covariance):

SXY = cov(X,Y) =

2. Tnh tng bnh phng lch:

TSS = = =

ESS = = =

RSS = =
TSS = ESS + RSS
Vi v
2
3. Tnh h s xc nh R : ( Coefficient of determination )

Vi 0<R2<1
R2=1 ng hi quy thch hp (mc han ho ca m hnh) khi phn d RSS=0
=>
R2=0 => SRF(m hnh hi quy mu) khng thch hp RSS=TSS =>
4. H s tng quan: r (coefficient of Correlation)

Vi v

Ta c th vit:

1-Mr.Isaac Nguyn
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r cng du vi
5. Tnh khang tin cy h s:
Bc 1: Xc nh khang tin cy 95% (hoc 90%) tm mc ngha =5% (hoc
10%). Tnh /2 = 0.025. Tnh gi tr t tra bng t-student vi phn v /2 v bc t do
df=n-k-1
Bc 2: Xc nh phng sai PRF

Bc 3: Xc nh sai s chun (standard error) ca tng h s.

Vi

Bc 4: So snh v tnh khang tin cy.

hoc
hoc
6. Khang tin cy ca phng sai:
Bc 1: Xc nh khang tin cy 95% (hoc 90%) tm mc ngha =5% (hoc 10%).
Tnh phn v /2 = 0.025 v 1-/2=0.975. Tra bng phn phi Chi-square vi 2 phn v /2
v 1-/2 ng vi bc t do df=n-k-1
v

Bc 2: nh khang tin cy phng sai

7. Kim nh h s hi quy:
Bc 1: t gi thit Ho: =0 v H1: #0 vi mc ngha =5% (thng thng)
Bc 2: p dng 1 trong cc cch sau:
Cch 1: Phng php khang tin cy

Kim nh 2 pha:
Nu o khng ri vo khang ny th bc b gi thit Ho.
Kim nh pha phi:
Nu o khng ri vo khang ny th bc b gi thit Ho.
Kim nh pha tri:
Nu o khng ri vo khang ny th bc b gi thit Ho.

Cch 2: Phng php gi tr ti hn

Bc 1: Tnh
Bc 2: Tra bng vi mc ngha /2 v (/2 i vi kim nh 2
pha v i vi kim nh 1 pha). Tra bng t-student: v
Bc 3: So snh t0 vi gi tr ti hn.

2-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG

Kim nh 2 pha: to > : bc b gi thit Ho.

Kim nh pha phi: to > : bc b gi thit Ho.
Kim nh pha tri: to < - : bc b gi thit Ho.
Cch 3: Phng php gi tr p-value

Bc 1: Tnh gi tr
Bc 2: Tnh p-value = P( t > to)
Bc 3: So snh vi mc ngha =5%
Kim nh 2 pha: p-value <: bc b gi thit Ho.
Kim nh 1 pha: p-value/2 <: bc b gi thit Ho.
8. Kim nh s ph hp ca m hnh (F0):
- R2 cng gn 1, m hnh hi quy cng c ngha. Do , nh gi xem gi tr R2>0 c ngha thng
k hay khng.
- i vi m hnh hi quy 2 bin, gi thit Ho cn c ngha bin c lp khng nh hng n bin
ph thuc Y.
- Kim nh bng phng php gi tr ti hn.
Bc 1: t gi thit Ho: R2=0 ~~=0 v H1: R2>0

Bc 2: tnh Fo = =
Bc 3: So snh kt qu vi =5%. Tra bng F vi mc ngha v 2 bc t do (1,n-2) ta
tnh c gi tr ti hn F(1,n-2).
So snh Fo v F(1,n-2)
Nu Fo> F(1,n-2) : bc b gi thit Ho
Nu Fo< F(1,n-2): chp nhn gi thit Ho.

9. c hiu bng kt qu hi quy trn phn mm Excel:

Regression Statistics
Multiple R h s R c th nhn i

R-Square (R2) h s xc nh R2

Ajusted R Square (r ) h s tng quan r r=1-[1-R2]*(n-1/n-k-1)

Standard Error () Sai s chun ca PRF

Observation s quan st
ANOVA
df(bc t do) SS (ESS) MS(EMS) F

ESS/df
Regression(ESS) ESS
(trungbnh phn g.thch)
=
RSS/df
Residual (RSS) RSS
(t.bnh phn khg g.thch)
Total (TSS) TSS=ESS+RSS TSS TMS=EMS+RMS
standard
Coefficient t-stat p-value lower 95% upper 95%
error
sai s chun tin cy tin cy
H s hi quy t- thng k gi tr P
(hi quy) (di) (trn)

3-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG
Intercept

Variable 1 (bin 1)

Variable 1 (bin 2)

10. c hiu bng kt qu hi quy trn phn mm Eviews:

Dependent Variable: CM
Method: Least Squares
Date: 08/18/07 Time: 21:46
Sample: 1 64
Included observations: 64 S quan st

Variable Coefficient Std. Error t-Statistic Prob.
Bin trong m hnh H s HQ Sai s chun Thng k t Gi tr P
C =263.6416 =11.59318

PGNP =-0.005647 =0.002003

R-squared (R2)h s xc nh 0.707665 Mean dependent var 141.5

Adjusted R-squared (Radj)or

0.698081 S.D. dependent var 75.97807

S.E. of regression ( PRF) 41.7478 Akaike info criterion (AIC) 10.34691

Sum squared resid (RSS) 106315.6 Schwarz criterion (SC) 10.44811
Log likelihood (L) -328.1012 F-statistic Gi tr thng k F 73.83254
Durbin-Watson stat (DW) 2.186159 Prob(F-statistic) =P(phn phi F>Fo) 0.000000

11. Vit phng trnh hi quy.

Cn c vo kt qu hi quy c trong bng, ta c th vit li phng trnh hi quy mu nh sau:
SRF: = + Xi (c lng)
12. Trnh by kt qu hi quy:
= + Xi n= ? (s quan st)
=? =? R2=?

Fo=?
p-value(SRF) =? P-value (PRF)
TSS=? ESS=? RSS=? (PRF)=?

13. ngha h s hi quy:

i vi dng hm: = + Xi (h s hi quy , c ngha l h s dc)
i vi dng hm log = + logXi (h s hi quy , c ngha l h s co gin)
i vi dng hm c bin gi: h s hi quy theo bin gi c ngha l h s ct.

4-Mr.Isaac Nguyn
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2
14. ngha R , F, DW.

R2: (Vi 0<R2<1)

2
R =1 ng hi quy thch hp (mc han ho ca m hnh) khi phn d
RSS=0 =>
R2=0 => SRF(m hnh hi quy mu) khng thch hp RSS=TSS =>
F: Gi tr thng k F-stat = EMS/RMS (cng ln cng tt, chng t phn d RSS nh, m
hnh ph hp).
Durbin Waston stat (phng php OLS):
Sau khi xut kt qu hi quy, tm phn d ei v to bin tr phn d ei-k: c lp.

vi k=1
(Dng kim nh m hnh c hay khng c tng quan gia cc bin)
AIC: cng nh cng tt.
Quan h gia R2 v R2adj:
R2 =1 => R2adj =1
R2 =0 => R2adj <0 (R iu chnh c th m)

15. Quan h gia R2 v F, R2 v ESS, RSS.

Fo = =

Quan h gia F v R2 nh sau: R2 cng cao, F cng

cao.

(o lngmc ph hp ca m hnh, da trn 2 bin

chn v m hnh tuyn tnh)

R2adj = = = dng cho cc m hnh

hi quy c cc bin gii thch khc nhau (xem mc thch hp ca bin)

16. Kim nh gi thit ng thi (kim nh s ph hp ca m hnh hi quy a bin):

Bc 1: t gi thit: Ho: R2=0 ~ Ho: 1=2=0 ( ngha: cc bin c lp ng thi
khng nh hng n bin ph thuc hay ni cch khc: hm hi quy mu khng ph
hp)
H1: R2>0 ~ H1: c t nht mt #0.
Bc 2: Tnh gi tr F

Bc 3: Tra bng F vi mc ngha =5% (thng thng) v phn v F(k-1,n-k).

Bc 4: So snh kt qu gi tr F trong bng kt qu hi quy (F-statistic) vi F tra bng.
Kim nh bng phng php gi tr ti hn: Fo> F(k-1,n-k) : bc b gi thit Ho
Kim nh bng mc ngha : p-value =P(F>Fo)< : bc b gi thit Ho
Note: Fo cng cao th kh nng bc b gi thit Ho cng ln.
5-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG

17. Kim nh Wald Test.

ngha: xem xt c nn a thm bin mi vo m hnh hay khng?
Xt 2 m hnh:
M hnh rng buc (UR-unrestricted model): Y=0+1X1++m-1Xm-1++k-1Xk-1+ui.
M hnh rng buc (R restricted model) : Y=0+1X1++m-1Xm-1+ui.
Kim nh bng thng k F:
Bc 1: c lng m hnh UR vi k tham s, lu kt qu ca RSSUR c df=n-k
c lng m hnh R vi m tham s, lu kt qu ca RSSR c df=n-m.
Trong : m l s rng bc =k1-k2
k2 l s bin gii thch trong m hnh R
k1 l s bin gii thch trong m hnh UR
Bc 2: Tra bng F vi mc ngha =5% (thng thng) v F(k-m,n-k).

Tnh
Bc 3: So snh F tnh tan vi F tra bng.
Ftt > F(k-m,n-k) : bc b gi thit Ho (nn a bin vo m hnh)
Ftt < F(k-m,n-k) : chp nhn gi thit Ho (khng nn a bin vo m hnh)

18. Kim nh Chow Test:

ngha: Xem trong chui d liu c khc nhau g v cu trc khng?
Nu khc tch thnh cc m hnh khc nhau.
Nu ging ch dng mt m hnh.
tng: c nn tch ring hay chung m hnh.
Thc hin:
Bc 1: c lng 3 m hnh
(1) Y=1+2X+v1. trong giai an u c n1 quan st (VD:
1997~1990)
Tnh RSS1 vi df=n1-k
(2) Y=1+2X+v2. trong giai an sau c n2 quan st (VD:
1991~1998)
Tnh RSS2 vi df=n2-k (k l tham s ca m hnh hi quy)
t RSSU=RSS1+RSS2 vi bc t do df=n1+n2-2k
(1) c lng m hnh chung Y=1+2X+u vi s quan st n=n1+n2
Tnh RSSR vi df=n-k

Bc 2: Tnh gi tr ca F-statistic
Bc 3: Kim nh
Gi thit: Ho: hai hi quy ca 2 thi k nh nhau
Gi thit H1: hai hi quy khc nhau.
Ftt > F(k,n-2k) : bc b gi thit Ho
Ftt < F(k,n-2k) : chp nhn gi thit Ho

19. Xc nh bin gi;

Cch to bin gi:
i vi d liu cho, bin gi c th theo giai an
D=0 : giai an 1
D=1: giai an 2
Bng Eviews:
6-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG
Cch 1: nhp gi tr 0,1 vo cc quan st tng ng.
Cch 2: * to bin xu th Eviews/genr/tt=@trend(mc cui giai an1)
* to bin gi da trn bin xu th, Eviews/genr/DUM=tt>s quan st.
i vi 2 thc tnh: D=1 (thuc tnh tri), phn cn li D=0 (bin khng c trong m
hnh)
i vi nhiu thuc tnh, s bin gi = s thc tnh -1. So snh cc thuc tnh khc vi
thuc tnh c s.
Tnh % khc bit ca bin gi bng cch ly 1-antilog
Kim nh:
Phng php khang tin cy (lin h phn tnh khang tnh cy)
Phng php mc ngha: (lin h kim nh bng gi tr p-value vi mc ngha)
Phng php nn hay khng a bin vo m hnh (kim nh bng thng k F)
Note: Ta cn ch n m hnh hi quy trc vo sau khi c bin gi nh gi. Khi
a bin gi vo m hnh, cc h s hi quy c ngha (R2,t-stat v p-value) s cho ta
nhn nh ng hn v m hnh. Khi mi kt lun m hnh ph hp hay khng.

20. Pht hin phng sai thay i

Pht hin:
pht hin phng sai ca nhiu c thay i hay khng, ngi ta thng dng cng
c chn an phn d Ui (c th c kt qu ng tin cy).
Trong d liu cho do ly mu rt rng, d xy ra phng sai thay i.
Phn tch phn d Ui, v v th phn d theo bin c lp bt k, ta c dng hnh
phn tn u v ng nht.
Kim nh Park test
Bc 1: Hi quy m hnh, lu s liu phn d (resid trong bng bin ti phn mm
Eviews).
M hnh (1): Yi=1+2Xi+Ui
Bc 2: c lng m hnh phn d theo bin c lp.
M hnh (2): lnU^i= 1+2Xi+Vi.
Bc 3: t gi thit: Ho: 2=0 (phng sai khng i)
H1: 2 #0 (phng sai thay i)
Kim nh bng t-stat.
Kim nh Glejsei test
Bc 1: Hi quy m hnh, lu s liu phn d (resid trong bng bin ti phn mm
Eviews).
M hnh (1): Yi=1+2Xi+Ui
Bc 2: c lng m hnh phn d theo bin c lp.
M hnh (2) c 1 trong cc dng sau :

hoc

hoc
Bc 3: t gi thit: Ho: 2=0 (phng sai khng i)
H1: 2 #0 (phng sai thay i)
Kim nh bng t-stat.

Kim nh White test:

Bc 1: Hi quy m hnh, lu s liu phn d (resid trong bng bin ti phn mm
Eviews).
7-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG
M hnh (1): Yi=0+1X1i+2X2i +Ui
Bc 2: c lng m hnh ph bng thao tc Eviews (View/Residual Tests/White
Heteroscedasticity) thu c R2. Sau ta tnh Xtt=n* R2 (trong n l s quan st)
Bc 3: t gi thit: Ho: 1=2=3 = 4 = 0 (phng sai khng i)
H1: 1=2=3 = 4 #0 (phng sai thay i)
Bc 4: Kim nh v so snh,
Tra bng Chi-square vi mc ngha
2 2
Nu Xtt=n* R > Xtt=n* R : bc b gi thit.

21. Pht hin t tng quan bng kim nh Durbin Waston

Pht hin: cn c vo th Scatter ca phn d Ui vi bin tr Ui-1.
- th c dng ngu nhin th khng c s tng quan.
- th c dng h thng th nhn nh c s tng quan xy ra.

Thc hin kim nh bng Durbin Waston

Bc 1: c lng m hnh hi quy gc. Lu gi tr phn d Ui v to bin tr Ui-1.

Bc 2: Tnh gi tr vi

Hoc tnh gi tr vi
Bc 3: Kim nh v so snh
Tra bng thng k Durbin Waston cho ta cc gi tr ti hn dU v dL vi mc ngha ,
s quan st n, v s bin c lp k.
So snh:
* d (0,dL): t tng quan dng
* d (dL,dU): khng quyt nh c
* d (dU,2): khng c tng quan bc nht.
* d (2,4-dU): khng c tng quan bc nht.
* d (4-dU, 4-dL): khng quyt nh c
* d (4-dL, 4): t tng quan m

22. Pht hin a cng tuyn

Pht hin: R2 cao nh t-stat thp (khng c ngha p-value c gi tr cao)
H s tng quan cp gia cc bin gii thch cao, khang 0.8

Thc hin kim nh v xc nh a cng tuyn:

Bc 1: Xt h s tng quan gia 2 bin (c a cng tuyn)
Nu h s tng quan gn bng 1 (a cng tuyn gn nh han ho),
Nu h s tng quan < 0.8 (a cng tuyn khng han ho).
Bc 2: Hi quy Y theo tng bin c lp X1, X2.
Ta c 2 m hnh
(1): Y^1= + 1X1 lu kt qu R2, p-value (xem c hay khng ngha thng k)

8-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG
2
(2): Y^2=+2X2 lu kt qu R , p-value (xem c hay khng ngha thng k)
Bc 3: Hi quy m hnh ph 2 bin c a cng tuyn
(3) X^2=+1X1 lu kt qu R2, p-value (xem c hay khng ngha thng k)
Bc 4: t gi thit: Ho: khng c a cng tuyn
H1: c a cng tuyn
Kim nh bng thng k F:

Tnh F tra bng vi mc ngha , F(k-2,n-k+1)

So snh: F2 > F(k-2,n-k+1): bc b gi thit.
F2 < F(k-2,n-k+1): chp nhn gi thit.

Thc hin kim nh v b bt bin.

Bc 1: Xt h s tng quan gia 2 bin (c a cng tuyn)
Nu h s tng quan gn bng 1 (a cng tuyn gn nh han ho),
Nu h s tng quan < 0.8 (a cng tuyn khng han ho).
Bc 2: Hi quy Y theo tng bin c lp X1, X2.
Ta c 2 m hnh
(1): Y^1= + 1X1 lu kt qu R2, p-value (xem c hay khng ngha thng k)
(2): Y^2=+2X2 lu kt qu R2, p-value (xem c hay khng ngha thng k)
Bc 3: Kim nh
Xt p-value ca X1 v p-value ca X2 trong kt qu hi quy.
p-value (X1) > p-value (X2): m hnh hi quy Y theo X1 c mc ph hp cao
hn m hnh hi quy Y theo X2. Do lai b bin X2.

23. Cch khc phc cc lai bnh (phng sai thay i, t tng quan, a cng tuyn)
Cch khc phc a cng tuyn:
B bin ra khi m hnh, sau hi quy li m hnh khng bao gm bin cn lai
b. nh gi gi tr R2, t-stat v p-value xem c ngha thng k khng.
Cn c vo kt qu earnings (h s ng tin cy cho trc). Sau xc nh m
hnh hi quy ph theo h s cho trc. nh gi gi tr R2, t-stat v p-value ca m
hnh hi quy ph xem c ngha thng k khng.
Thm d liu cho m hnh, tuy nhin cch thc ny tn km chi ph nn t c
thc hin.
Cch khc phc phng sai thay i:
Bit phng sai 2
Khng bit phng sai 2:
Bc 1: c lng phng trnh (1): Yi=b1+b2Xi+ui
Bc 2: V th phn d ui theo Xi. nh gi xem phng sai nhiu c hay khng t
l thun vi bin gii thch .
Bc 3: Chia 2 v ca phng trnh hi quy (1) cho cn bc 2 ca bin gii thch.

(2) <=>
chuyn thnh dng phng trnh khng c h s ct.
Bc 4: So snh m hnh (1) v (2) qua s liu hi quy R2, t-stat v p-value v nh gi
m hnh.
Cch khc phc t tng quan:
Trng hp bit cu trc ca tng quan
Trng hp cha bit cu trc ca tng quan
9-Mr.Isaac Nguyn
 TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG
Cch 1: c lng bng thng k d
Cch 2: Phng php Durbin Waston 2 bc (sch KTL-trang 171)

10-Mr.Isaac Nguyn