Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging

2006-2007

Multicollinearity

Bi ging 10

1.Gii thiu
a cng tuyn trong
kinh t lng

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Nh li gi nh ban u

Gi nh CLRM (m hnh hi qui tuyn

tnh c in): Cc bin c lp khng
c mi quan h tuyn tnh chnh xc
(exact linear relationship)
Nu iu ny xy ra th s c hin tng
a cng tuyn, l hin tng cc bin
c lp trong m hnh ph thuc ln nhau
v th hin c di dng hm s.

V d
a cng tuyn hon ho:
X2 X3 X4
10 50 52
15 75 75
18 90 97
24 120 129
X2 v X3 c mi quan h tuyn tnh chnh
xc - X3 = 5X2

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

V d (tt)

Gi s chng ta c lng hm tiu

dng. Y = tiu dng, X2 = thu nhp v
X3 = ca ci
Y = 1 + 2X2 + 3X3
X3 = 5X2
Y = 1 + 2X2 + 35X2
Y = 1 + (2 + 53)X3

V d (tt)

Chng ta c th c lng (2 + 53)

nhng khng c lng ring tng h s
hi qui
Khng th c nghim duy nht cho tng h s
hi qui (xem li cch tnh cc h s hi qui).
Nh vy cc h s hi qui s khng xc nh
c.
Sai s chun ca cc h s hi qui l mt v cng ln.

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Multicollinearity
a cng tuyn hon ho thng rt t khi xy
ra trong thc t
Tr trng hp chng ta ri vo by bin gi
(dummy trap chng ta s gii thiu sau)
a cng tuyn khng hon ho thng hay
xy ra trong thc t (Near collinearity) (khi cc
bin c lp tng quan kh cao):
Trng hp th hai chng ta c th c lng cc
h s hi qui
Tuy nhin sai s chun rt ln v v vy h s hi qui c
lng khng chnh xc, kim nh t c ngha thng k
v d dng bc b gi thuyt khng

Multicollinearity

Nghin cu tnh hung

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

2. Ngun gc ca
Multicollinearity

Ngun gc a cng tuyn

Do phng php thu thp d liu

cc gi tr ca cc bin c lp ph thuc ln
nhau trong mu, nhng khng ph thuc ln nhau
trong tng th

V d: ngi c thu nhp cao hn khuynh hng

s c nhiu ca ci hn. iu ny c th ng vi
mu m khng ng vi tng th
Trong tng th s c cc quan st v cc c nhn c thu
nhp cao nhng khng c nhiu ca ci v ngc li.

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Ngun gc Multicollinearity
Dng hm m hnh:
V d: hi qui dng cc bin c lp c bnh
phng (dng hm) s xy ra a cng tuyn v
c bit khi phm vi gi tr ban u ca bin c
lp l nh.
Cc bin c lp v m c quan st theo
d liu chui thi gian
V d: Nhp khu quc gia ph thuc vo GDP v
CPI (cc ch s ny c thu thp t d liu chui
thi gian). Gii thch a cng tuyn theo ngha v
m?

3. H qu ca
Multicollinearity

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

H qu
a cng tuyn hon ho
Chng ta khng th c lng c m hnh
Cc phn mm my tnh s bo cc tn hiu
sau
Matrix singular: ma trn khc thng m my
tnh khng th thc hin c khi c lng cc
h s hi qui
Exact collinearity encounted: trng hp a
cng tuyn hon ho (chnh xc)

H qu

H qu khi c a cng tuyn khng

hon ho
(1) c lng OLS vn BLUE
c lng khng chch: trung bnh cc c
lng t mu lp li s hi t n gi tr c
lng ca tng th.
Phng sai ca h s c lng vn t
minimum nhng khng c ngha nht thit l
nh so vi gi tr ca c lng

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

H qu thc tin

(2) Sai s chun ca cc h s s ln.

Khong tin cy ln v thng k t t ngha.
Cc c lng khng tht chnh xc.
Do chng ta d i n khng c c s bc
b gi thit khng v iu ny c th khng
ng.

H qu thc tin

(3) R2 rt cao cho d thng k t t ngha

Ti sao h s xc nh li cao?
Khng c nhiu nhng bin i khc bit gia cc
bin s c lp v chng thc s c mi quan h
vi nhau
D dng bc b gi thuyt khngca thng
k F v cho rng m hnh c lng c ga tr

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

H qu thc tin
(4) Cc c lng v sai s chun
ca c lng rt nhy cm vi s
thay i ca d liu
Ch cn mt s thay i nh trong mu
d liu s ko theo s thay i ln cc
h s c lng.
Bi v cc h s c lng cha ng
nhng mi quan h mnh gia cc
bin c lp

V d

Xem kt qu c lng hm tiu dng:

Y = 24.77 + 0.94X2 - 0.04X3
t (3.67) (1.14) (-0.53)
R2=0.96, F = 92.40
X2 : thu nhp
X3 : ca ci
R2 rt cao gii thch 96% bin i ca hm tiu
dng

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

V d

Khng c bin c lp no c ngha

(thng k t qu thp).
C mt bin sai du.
Gi tr thng k F rt cao dn n bc b
gi thuyt khng v cho rng m hnh
c lng c ngha.
Bin thu nhp v ca ci tng quan rt mnh
vi nhau do khng th no c lng c
tc ng bin chnh xc cho thu nhp hoc
ca ci ln tiu dng.

V d

Thc hin hi qui X3 theo X2

X3 = 7.54 + 10.19X2
(0.26) ( 62.04) R2 = .99
Hu nh chng ta c a cng tuyn hon
ho gia X2 v X3
Hi qui tiu dng theo thu nhp:
Y = 24.45 + 0.51X2
(3.81) (14.24) R2= 0.96

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

V d

Bin thu nhp tr nn c ngha thng k, nhng

trc lc trong m hnh u th khng c
ngha.
Tng t hi qui thu nhp Y theo ca ci:
Y = 24.41 + 0.05X3
t (3.55) (13.29) R2 = 0.96
Bin ca ci tr nn c ngha thng k, nhng
trc lc trong m hnh u th khng c
ngha.

4. Nhn dng
Multicollinearity

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Cc phng php nhn bit

(1) R2 cao v thng k t thp.

(2) Tng quan tuyn tnh mnh gia cc
bin c lp
Xy dng ma trn h s tng quan cp v
quan st nhn din mnh ca cc tng
quan tng cp bin s c lp
Xt v ngha kinh t cc bin c kh nng
tng quan cao

Cc phng php nhn bit

(3) Thc hin hi qui ph
Hi qui gia mt bin c lp vi tt c cc
bin c lp vi nhau v quan st h s R2
ca cc hi qui ph
Thc hin tnh thng k F
F = [R2/(k-1)] /[(1-R2)/(n-k)]
k s bin c lp trong hi qui ph
Nu F > F* th chng ta c th kt lun rng R2
khc khng theo ngha thng k v iu ny c
ngha l c a cng tuyn trong m hnh.

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Cc phng php nhn bit

(4) Tha s tng phng sai (Variance
inflation factor-VIF)
VIF = 1/(1-rij2)
rij2 l h s tng quan gia hai bin c
lp trong m hnh.
Khi rij tng lm VIF tng v lm tng mc
a cng tuyn
Rule of thumb >= 10 c hin tng a cng
tuyn gia hai bin c lp trong m hnh

5. Cc gii php khc

phc a cng tuyn

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Rules of Thumb: b qua a

cng tuyn
B qua a cng tuyn nu t > 2
B qua a cng tuyn nu R2 ca m
hnh cao hn R2 ca m hnh hi qui
ph.
B qua a cng tuyn nu mc tiu xy
dng m hnh s dng d bo ch
khng phi kim nh.

Cc gii php nu xt nghim

ngt a cng tuyn
B bt bin c lp.
V d: b bin ca ci ra khi m hnh hm
tiu dng.
iu ny xy ra vi gi nh rng khng c
mi quan h gia bin ph thuc v bin c
lp loi b m hnh.
Nu l thuyt khng nh c mi quan h vi bin
d nh loi b th vic loi b ny s dn n loi
b bin quan trng v chng ta mc sai lm v
nhn dng m hnh (specification error)

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Cc gii php

B sung d liu hoc tm d liu mi

Tm mu d liu khc hoc gia tng c mu
Nu mu ln hn m vn cn multicollinearity th
vn c gi tr v mu ln hn s lm cho phng
sai nh hn v h s c lng chnh xc hn so
vi mu nh.

Cc gii php

Thay i dng m hnh

M hnh kinh t lng c nhiu dng hm khc nhau.
Thay i dng m hnh cng c ngha l ti cu trc
m hnh
S dng thng tin hu nghim priori
information
S dng kt qu ca cc m hnh kinh t lng trc
t c a cng tuyn
V d: chng ta c th bit tc ng bin ca ca ci
ln tiu dng ch bng 1/10 so vi tc ng bin ca
thu nhpi ln tiu dng.

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Gii php

V d: 3 = 0.10 2
Chy m hnh vi iu kin tin nghim.
Y = 1 + 2X2 + 0.10 2X3 + e
Y= 1 + 2X trong X = X2 + 0.1X3
Khi c lng c 2 th suy ra 3 t mi quan h
tin nghim trn.

Gii php

S dng sai phn cho cc bin ca m hnh

Sai phn lm cho vn a cng tuyn c th
nh i
Quay tr li v d hm tiu dng.
Thu nhp v ca ci c mi quan h kh cht ch v
do khng trnh khi a cng tuyn

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Gii php
Chng ta mun c lng
Yt = 1 + 2X2t + 3X3t+ et
ng vi t-1
Yt-1 = 1 + 2X2t-1 + 3X3t-1+ et-1
Ly sai phn cc bin theo thi gian
Yt-Yt-1= 2(X2t-X2t-1)+ 3(X3t-X3t-1)+vt

Gii php
iu ny c th gii quyt vn a cng
tuyn v a cng tuyn xy ra t bn thn
cc bin c lp ch khng xy ra t sai
phn cc bin ny.
Tuy nhin c th vi phm gi nh chun v
sai s ngu nhin.

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Chng trnh Ging dy Kinh t Fulbright Cc phng php phn tch Bi ging
2006-2007

Gii php

Kt hp d liu cho v d liu chui thi

gian
V: Nghin cu cu xe hi v ch c d liu
chui thi gian.
lnY = 1+ 2lnPrice+ 3lnIncome +e
Y s xe hi bn ra.
Thng thng gi v thu nhp tng quan mnh
vi nhau theo thi gian nn chc chn m hnh c
a cng tuyn khi s dng chui thi gian

Gii php
Gi s chng ta c d liu cho
Chng ta c th c lng co dn theo thu nhp khi s
dng d liu cho. Cn co dn theo gi chng ta phi tm
t chui d liu theo thi gian
c lng hm hi qui theo thi gian
Y = 1 + 2lnP + e
Khi Y = lnY - 3lnIncome
Y i din cho s xe hi bn ra sau khi loi tr tc ng ca
thu nhp
Cn c vo 3 cho trc chng ta c lng c co dn
cu xe hi theo gi nhng khng c hin tng a cng
tuyn
Tuy nhin chng ta phi gi nh rng, co dn t chui
thi gian v t d liu cho l ng nht.

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