KINH T LNG GIO TRNH

KHOA HC V CNG NGH

Khong tin cy v kim nh gi thit v cc h s hi quy

Tc gi: Phm Tr Cao

Thch 3 Chia s 3 Tw eet 0 0 0

Khong tin cy cho cc h s hi quy

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

Sai s chun ca h s hi quy cho dc

vi

ta c

(3.14)

T tnh cht ca phng sai mu ta c

(3.15)

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

(3.16)

Bin i v tri chng ta c

Thay vo (3.16) ta c

(3.17)

Chng minh tng t ta c

(3.18)

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

(3.19)

(3.20)

Kim nh gi thit v h s hi quy

Chng ta quan tm nhiu n ngha thng k dc ( 2) ca phng trnh hi quy hn l tung gc ( 1).
Cho nn t y n cui chng ch yu chng ta kim nh gi thit thng k v dc.
Gi thit
Pht biu mnh xc sut

Quy tc quyt nh
Nu

hoc

th bc b H0 .

Nu

th ta khng th bc b H0 .

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

Trong thc t chng ta thng xt xem bin c lp X c tc ng ln bin ph thuc Y hay khng. Vy khi
2
thc hin hi quy chng ta k vng 0. Mc ngha hay c dng trong phn tch hi quy l =5%.

Gi thit

Tr thng k tr thnh

Quy tc quyt nh
Nu

th bc b H0.
Nu
th khng th bc b H0.
Tra bng phn phi Student chng ta thy khi bc t do n trn 20 th tr thng k t97,5% th xp x 2.
Quy tc thc hnh
Nu /t-stat/ > 2 th bc b gi thit 2 = 0.
Nu /t-stat/ 2 th ta khng th bc b gi thit 2=0.
Trong cc phn mm bng tnh c tnh ton hi quy, ngi ta mc nh mc ngha =5% v gi thit H0: i=0.
Th tc tnh ton hi quy ca Excel cung cp cho ta cc h s hi quy, tr thng k t, c lng khong ca h
s hi quy v gi tr p
chng 2 chng ta bit c kim nh trn c lng khong, tr thng k v gi tr p l tng ng nhau.
.Sau y l kt qu hi quy c tnh ton bng th tc hi quy ca mt vi phn mm thng dng.

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

Intercept: Tung gc
Coefficients : H s hi quy
Standard Error : Sai s chun ca c lng h s
t Stat : Tr thng k t(n-2)
P-value : Gi tr p
Lower95%: Gi tr ti hn di ca khong c lng vi tin cy 95%.
Upper95% : Gi tr ti hn trn ca khong c lng vi tin cy 95%.
Bc b H0 khi /t-stat/ > 2 hoc p-value < 0,05 hoc khong (Lower;Upper) khng cha 0.
Nh trnh by chng 2, y thc ra l 3 cch din t t mt mnh xc sut nn kt lun t 3 tr thng k t, p
v c lng khong l tng ng nhau.

Eviews
Th tc Make Equation cho kt qu nh sau(ch trch phn h s hi quy):
C : Tung gc
Coefficient : H s hi quy
Std. Error : Sai s chun ca c lng h s
t Statistic : Tr thng k t(n-2)
Prob: Gi tr p.Bc b H0 khi /t-Statistic/ > 2 hoc Prob < 0,05.
SPSS
Th tc Regression->Linear. (Ch trch phn h s hi quy).

Constant: Tung gc
Unstandardized Coefficients: Cc h s hi quy
Standardized Coefficients: Cc h s hi quy chun ho
Khi nim ny nm ngoi khun kh ca gio trnh.
.

t: t-StatSig: Gi tr p.
Bc b H0 khi /t/ >2 hoc Sig < 0,05
nh l Gauss-Markov
Vi cc gi nh ca m hnh hi quy tuyn tnh c in, hm hi quy tuyn tnh theo phng php bnh
phng ti thiu l c lng tuyn tnh khng thin lch tt nht.
Chng ta s khng chng minh inh l ny.
Phn chng minh cc tnh cht phn ny c Gujarati, Basic Econometrics-3rd Edition, trang 97-98.

thch hp ca hm hi quy R 2
Lm th no chng ta o lng mc ph hp ca hm hi quy tm c cho d liu mu. Thc o ph
hp ca m hnh i vi d liu l R2. c ci nhn trc quan v R2, chng ta xem xt th sau

Hnh 3.5. Phn tch thch hp ca hi quy

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

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

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

Vy

(3.21)
S hng cui cng ca (3.21) bng 0.
Vy

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

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

Mt khc ta c

Vy

(3.22)

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

2
Tnh cht ca R2
0 R2 1. Vi R2=0 th hin X v Y c lp thng k. R2 =1 th hin X v Y ph thuc tuyn tnh hon ho.
R2 khng xt n quan h nhn qu.
D bo bng m hnh hi quy hai bin
Da trn X0 xc nh chng ta d bo Y0.
c lng im cho Y0 l :

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

D bo gi tr trung bnh

Suy ra

(3.23)

Thay biu thc ca

mc 3.3.4 vo (3.23) v rt gn

D bo gi tr c th ca Y0
T

Ta c

(3.25)
S hng cui cng

. Vy

(3.26)

Sai s chun ca d bo
Cho gi tr ca Y0

Khong tin cy cho d bo

Y o t (
n 2, 1

/ 2
)
se
( )
Y o

Nhn xt: X 0 cng lch ra khi gi tr trung bnh th d sai s ca d bo cng ln. Chng ta s thy r iu
ny qua th sau.
c lng khong cho Y0 trung bnhY trung bnhc lng khong cho Y0X trung bnh
 Hnh 3.6. c lng khong cho Y0.

Thch 3 Chia s 3 Tw eet 0 0 0

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