GII THIU NGHA CA CC THAM S TRONG CC M HNH HI QUI

L Dn
Tin s, Khoa Thng k, tin hc, Trng i hc Kinh t Nng

Cc m hnh hi quy hin ang c ng dng nhiu trong thc t. Mt trong

nhng vn c nhiu c gi quan tm l ngha ca cc tham s. Bi vit gii
thiu ngha cc tham s ca mt s m hnh hi quy thng gp
1. ngha ca h s hi qui tuyn tnh dng tng qut
Theo dng ngu nhin
Yi = 1+2X2i++kXki + ui i 1, n (1)
Hay theo dng k vng
E(Yi) = 1+2X2i++kXki i 1, n (2)
Trong :
Y l bin ph thuc v Xj l bin gii thch hay bin c lp.
1 gi l h s chn v j ( j 2, k ) l cc h s gc hay cn gi cc h s hi
qui ring.
ui l cc sai s ngu nhin c k vng bng 0 phng sai hu hn.
Xt m hnh (2), chng ta nhn thy E(Yi)= 1 khi Xji=0 v:
E (Y i )
j
X ji

Trong kinh t, chng ta c th tnh xp x nh sau:

E (Y i ) E (Yi )
j
X ji X ji

Vi th hin mc tng ca tng ch tiu. Khi Xji=1, th E (Y )

j i

Vi biu thc ny c th gii thch ngha ca j ( j 2, k ) nh sau: trong

iu kin cc nhn t khc khng i, khi X j tng ln mt n v (theo n v ca
Xj) th E(Y) s tng bnh qun j n v (theo n v ca Y).
2. ngha ca h s hi qui Log-Log tng qut
Theo dng ngu nhin
LnYi = 1+2LnX2i++kLnXki + u i 1, n (3)
Hay theo dng k vng
LnE(Yi) = 1+2LnX2i++kLnXki i 1, n (4)
Vi Ln k hiu ca logarit theo c s t nhin.
 Dng (3) v (4) chnh l dng hm sn xut Cobb-Douglas c tuyn tnh
ho.
ngha kinh t ca cc h s trong hm hi qui (3) v (4) c khc trong hm hi
qui (1) v (2) khng?
i vi m hnh (4), chng ta c th thc hin o hm ring nh sau:
E (Y i )
LnE (Y i ) Yi
j
LnX ji X i
Xi
Trong kinh t, chng ta c th tnh xp x nh sau:
E (Y i ) E (Y i )
Yi Yi
j
X i X i
Xi Xi

E (Y i ) X i X i
Vi v th hin tc tng ca tng ch tiu. Khi 1, th
Yi Xi Xi
E (Y i )
j
Yi

Nh vy, c th ni j chnh l h s co gin ca E(Yi) theo Xj.

Vi biu thc ny c th gii thch ngha ca j ( j 2, k ) nh sau: trong
iu kin cc nhn t khc khng i, khi X j tng ln 1% th E(Y) s tng bnh qun
j%.
3. ngha ca h s hi qui Tuyn tnh -Log tng qut
Theo dng ngu nhin
Yi = 1+2LnX2i++kLnXki + ui i 1, n (5)
Hay theo dng k vng
E(Yi) = 1+2LnX2i++kLnXki i 1, n (6)
ngha ca cc h s trong hm ny c gii thch nh th no?
Thc hin o hm ring trong m hnh (6) nh sau:
E (Y i ) E (Y i )
j
LnX ji X i
Xi

Trong kinh t, chng ta c th tnh xp x nh sau:

 E (Y i ) E (Y i )
j
X i X i
Xi Xi
X ji
Vi E (Y i ) th hin mc tng ca E(Y i) v th hin tc tng ca X j.
X ji
X ji
Khi 1, th j E (Y i )
X ji

Vi biu thc ny c th gii thch ngha ca j ( j 2, k ) nh sau: trong

iu kin cc nhn t khc khng i, khi X j tng ln 1% th E(Y) s tng bnh qun
j n v (theo n v tnh ca Y).
4. ngha ca h s hi qui Log-Tuyn tnh tng qut
Theo dng ngu nhin
LnYi = 1+2X2i++kXki + ui i 1, n (7)
Hay theo dng k vng
E(LnYi) = 1+2X2i++kXki i 1, n (8)
ngha ca cc h s trong hm ny c gii thch nh th no?
Thc hin o hm ring theo bin Xj trong m hnh (8) nh sau:
E (Y i )
LnE (Y i ) Yi
j
X ji X ji

Trong kinh t, chng ta c th tnh xp x nh sau:

E (Y i )
LnE(Y i ) Yi
j
X i X i
Y i
Vi ( X ji ) th hin mc tng ca Xj v th hin tc tng ca Y. Khi
Yi
E (Y i )
X ji 1, th j
Yi

Vi biu thc ny c th gii thch ngha ca j ( j 2, k ) nh sau: trong

iu kin cc nhn t khc khng i, khi X j tng ln 1 n v (theo n v tnh ca
Xj) th E(Y) s tng bnh qun j%.
5. ngha ca h s hi qui tng ng vi bin gi trong m hnh Log-Tuyn
tnh tng qut
Xt m hnh hi qui log tuyn tnh nh sau:
 k

Ln(Y i ) j X ji Di ui (9)
j 1

Vi Xj l cc bin lin tc c h s hi qui l j v D l bin gi c h s hi qui

l , ui l cc sai s ngu nhin c k vng bng 0 phng sai hu hn.
Theo Halvorsen v Palmquist (1980) v Kennedy (1981), xc nh phn bin
ng ca Y khi Di=1(g) c tnh l YD=1=(1+g)YD=0
Ly logaric hai v, chng ta c:
Ln(YD=1) = Ln((1+g)YD=0).
Nh vy, khi bin i thm s c:
Ln(YD=1) - Ln(YD=0)=Ln(1+g) (10)
Hn na, t m hnh (9), chng ta c:
Ln(YD=1) - Ln(YD=0)= (11)
Kt hp (10) v (11), chng ta c g=Exp()-1.
Nh vy, xc nh nh hng ca bin gi n bin ng ca bin ph thuc
trong hm log tuyn tnh, cn tnh antilog ca h s hi qui ca bin gi c
c lng v tr cho 1.
V d: c ti liu gi nh v tin lng, tui ngh v gii tnh nh trn bng sau:
Tui ngh, gii tnh v tin lng ca cng nhn
(s liu gi nh)
Tin lng Tui ngh Gii tnh
(Y) (TN) (D)
25 1 1
21.5 1 0
26 2 1
23 2 1
27 3 0
24 3 0
28.5 3 0
25.1 4 1
27 5 1
30 5 1
28 6 0
29.5 6 1
33.5 7 1
31 7 0
 Thc hin hi qui theo m hnh sau:

Kt qu hi qui bng cng c Regression trong Data Analysis ca chng

trnh Microsoft Excel nh sau
Regression Statistics
Multiple R 0.845212
R Square 0.714384
Adjusted R Square 0.662454
Standard Error 0.07074
Observations 14

ANOVA
Significance
Df SS MS F F
Regression 2 0.13768 0.06884 13.75663 0.001016
Residual 11 0.055045 0.005004
Total 13 0.192725

Coefficient
s Std Error t Stat P-value
Intercept 3.089413 0.046129 66.97383 1.02E-15
TN 0.048764 0.009383 5.19677 0.000296
D 0.019071 0.038236 0.498769 0.627765

Vi kt qu ny, chng ta gii thch ngha ca cc h s hi qui l:

- Trong iu kin cc nhn t khc khng i, tui ngh tng 1 nm th tin
lng tng 4,8%.
- gii thch h s ca bin gi trc tin cn tnh e 0.019071=1.019 nh vy,
trong iu kin cc nhn t khc khng i, th tin lng ca nam ln hn ca
n 1,9%.
Hin nay, trong phn tch kinh t, cc nh kinh t s dng rt nhiu m hnh
khc nhau. Tnh a dng ca cc m hnh to nn ni dung phn tch phong ph
nhng cng lm cho vic gii thch ngha ca cc m hnh tr nn kh khn
hn. Bi vit ny cng ch trnh by cch tip cn ton hc trong vic gii thch
ngha ca cc tham s trong mt s m hnh. Hy vng vi cch tip cn ny s l
tng cho vic gii thch ngha cc m hnh hi qui khc.
Ti liu tham kho:
1. S.Charles Maurice, Charles W.Smithson (1990), Kinh t qun l, Trung
tm ti liu Thng tin HKT Quc dn, H Ni.
2. Jan Kmenta (1986), Elements of Econometrics, Second Edition, Macmillan,
NewYork.
3. Guijarati (1988), Basic Econometrics, Mc Graw Hill Publishing, NewYork.
4. Maddala (1992), Introduction to Econometrics, Macmillan Publishing
Company.
 5. William H.Greene (1991), Econometric Analysis, Macmillan publishing
company, NewYork.
6. Paul Newbold (1995), Statistics for Business& Economics, Fourth Edition,
Prentice-Hall International, Inc.