Chng Trnh Ging Dy Kinh T Fulbright Nin Kha 2007 - 2008

Cc phng php phn tch

Cc bin ph thuc b gii hn

Cc bin ph thuc b gii hn

Chng ta c th tip xc vi cc d liu lin quan n cc trng hp nh: ti sao c nhng ngi nm trong lc lng lao ng v mt s ngi khc th khng, ti sao c nhng ngi nm di mc ngho i v c nhng ngi li nm trn mc , ti sao c nhng ngi s hu mt cn nh v nhng ngi khc th khng, ti sao mt loi thuc mi khi lm sng th nghim th c tc dng vi mt s ngi nhng li khng c tc dng vi ngi khc, ti sao c sinh vin theo hc i hc im ca h li c ci thin cn cc sinh vin khc th khng. Nh vy c rt nhiu trng hp m chng ta s nghin cu ging nh nhng trng hp nu trn. gii thch ti sao li xy ra nhng trng hp nh vy, hay ni khc i l chng ta mun tm ra nhng nhn t nh hng n cc trng hp "c" hoc "khng" th cn thit phi p dng cng c kinh t lng quen thuc. Trong nhng trng hp nh vy th bin ph thuc ca chng ta c hai tnh cht (n l mt bin gi, bin nh thc, bin nh tnh . . .). Cc bin gi c b sung d dng vo m hnh hi qui bi di dng bin gii thch, nhng trong vic s dng chng di dng bin ph thuc li i hi cc k thut c bit. M hnh p dng cho trng hp ny l m hnh xc xut. C ba m hnh xc xut khc nhau: 1) LPM (Linear probability model) dng phng php c lng OLS 2) Logit dng phng php c lng CDF (cummulative distribution function) 3) Probit dng phng php c lng CDF (cummulative distribution function) LPM M hnh xc sut tuyn tnh. Bng m hnh xc sut tuyn tnh chng ta c th hiu c im mu cht ca php hi qui m bin ph thuc c hai tnh cht. Hm hi qui tng th c dng:

Y = + 2X2i +3X3i +L KXKi +i + i 1

[i s [ E Y| X'] =1 + 2Xi +3Xi +L+ KX + E i 2 3 Ki

[i EY] = 1 + 2X2i + 3X3i + L+ XKi

Nu chng ta vit E[Y| X] th c ngha l gi tr k vng ca bin ph thuc hai tnh cht c iu kin ca bin hi qui X. Ni cch khc, xc sut bin ph thuc ny bng mt l mt hm tuyn tnh ca cc bin hi qui X. Chng ta c th chng minh iu ny nh sau: Bin ngu nhin Yi ny c phn phi xc sut ri rc nh sau: Yi 1 0 Pr(Y = Yi) p 1-p

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Phn phi ny l phn phi nh thc Bernoulli Gi tr k vng ca bin ngu nhin ny l :

E[Yi ] = 1 p + 0 (1 - p) = p C ngha l Pr (Y = 1Xi) = Pi V chng ta cng c iu kin cho mt xc xut 0<= E (YiXi) <=1
Nhc im kh nghim trng ca m hnh LPM khi c lng bng OLS. 1) Sai s khng tun theo phn phi chun Chng ta c th c lng gi tr ca cc h s hi qui bng OLS nhng chng ta phi cn thn vi cc sai s chun ca n. Ti sao vy ?

Yi = E[Yi ] + i
c bin i thnh

i = Yi - E[Yi ] = Yi - p
V Y ch nhn 2 gi tr cho nn d dng xc nh c phn phi xc sut ca i Yi 1 0 Pr(Y) p 1-p
i 1-p -p

Pr( = i ) p 1p

Nh vy sai s tun theo phn phi nh thc ch khng tun theo phn phi chun. iu ny nh hng n cc thng k suy lun nh c lng khong tin cy v kim nh gi thit. Mt s cc h qu t phng php OLS vn tho l: c lng ca h s vn khng chch. Khi mu ln th h s c lng vn tun theo phn phi chun.
2) Phng sai ca sai s thay i

V V v

E[ i ] = (1 - p) p - p (1 - p) = 0

VAR [ i ] = E[

E(

)] = E[ 2 ] = i

(1 - p) 2 p - p 2 (1 - p) = (1 - p) p

T biu thc trn, chng ta bit rng p l mt hm ca nhng bin hi qui ny, nn chng ta thy r l thnh phn nhiu ngu nhin c phng sai thay i. Chng ta c th kh hin tng phng sai thay i bng phng php OLS c trng s. Mt l, chng ta c th s dng OLS c trng s (WLS) vi cc bc sau y

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

thc hin WLS chng ta thc hin 3 bc sau y:

1) OLS: p i = 1 + 2 X 2i + 3 X 3i + L + K X Ki bc ny chng ta loi b cc quan st c xc xut m hoc ln hn 1 1 1/ 2 trong i = (p i (1 - p i )) 2) Cc trng s : w i = i 3) Xy dng WLS chng ta c m hnh m phng sai ca sai s tho iu kin l homocedasticity.

Cc bc ny c th thc hin bng cch chn phng php c lng trong Eviews 3) Khng tho mn iu kin c bn ca xc xut 0<= E (YiXi) <=1 C ngha l c gi tr ln hn mt v c gi tr nh hn khng ca mt s c lng bin ph thuc
4) H s bin hi qui khng i (tc ng bin khng i) l khng c l.

Nu bin gii thch ny c gi tr rt thp v chng ta tng thm 1 n v. Khng th no iu ny s lm tng xc sut ln nhiu v nh vy s ri vo trng hp hoc chng ta c xc sut m hoc chng ta c xc sut ln hn 1. Nhng khi bin gii thch nhn cc gi tr gn vi vi gi tr ngng no , th vic gia tng 1 n v c th gy ra tc ng bin ln. Cng lp lun nh vy , sau khi bin gii thch ny vt c nhng gi tr rt ln, th tc ng bin ca s thay i gia tng tip theo c th rt nh.
5) H s xc nh khng cn l thc o thch hp tt ca m hnh

Mt iu khng th p dng trc tip l h s xc nh R2. Bng hi qui tuyn tnh c in, nu rng tt c mi d liu u nm trn ng hi qui v R2 = 1 cung cp mt chun mc c ngha. Nhng vi cc bin ph thuc c hai tnh cht, khi nim ny khng cung cp mt chun mc no c khi xc nh thc o chnh xc hi qui. Gii thch bng minh ho th: trng hp mua nh khi thu nhp tin n mt ngng no , hai trng hp mua v khng mua s nm trn ng hi qui tuyn tnh nn c kh nng R2 nhng nhng trng hp khc li c R2 nh.
y chnh l l do chng ta nn chn mt dng hm khc ph hp vi qui lut ca xc xut la chn nh. Dng hm ny l hm CDF ng dng cho hai m hnh Probit v Logit

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Mt m hnh xc sut hp l hn m hnh LPM c th c m t nh sau:

Xc sut

V d v m hnh LPM:

GRIMP

= = = =

Bin hai tnh cht 0 nu im ca sinh vin khng ci thin 1 nu im ca sinh vin ci thin im trung bnh trc khi vo trng

GPA

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Dng nh c mi quan h thun gia im trung bnh trc khi vo trng ca sinh vin v kh nng ci thin im ca mnh (GRIMP), iu ny c th hin bng ng thng trong biu phn tn trn. Hai bin gii thch khc cng c sn: PreTest o kin thc c trc v ni dung kho hc (tri li GPA ch o lng im trung bnh khi hc tp chung); v PSI l bin m t liu mt sinh vin tham gia mt k thut ging dy c bit khng (PSI = 1 nu sinh vin tham gia k thut c bit ny, v nu khng tri qua th PSI = 0). ng thi hy kho st cc biu phn tn gia GRIMP vi nhng bin hi qui nu trn:

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Mi biu phn tn ny khng ging vi nhng biu phn tn v cc ng hi qui m chng ta nghin cu trc y. D liu dng nh khng nm dc theo ng hi qui. Vi bn cht ca d liu c, tht kh tm ra hin tng "chnh xc hon ho" dc theo ng hi qui khi m chng ta xy dng cc " gi tr c lng".

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Vic gii thch y tht n gin : Mt sinh vin c GPA cao hn 1 im c xc sut ci thin im cao hn 0,46; sinh vin c tip cn vi phng php ging dy mi c kh nng tng xc sut ci thin im thm 0,38. By gi, xt mt sinh vin c GPA l 2 v c 20 im cho kim tra trc khi vo hc, v l ngi tham gia phng php ging dy ci tin. Vi mt sinh vin nh vy chng ta c th tnh c xc xut sau y

pi = - 1,50 + 0,46 2,0 + 0,01 20 + 0,38 = - 0,18

Khng th xy ra cc gi tr xc sut m do o kt qu xc xut ny kh chp nhn .

M hnh Logit
Logit tun theo dng CDF Logistic :

Pr(Yi = 1 | Xs , s) = p =
Pi/(1-Pi) = ezi Trong

exp ( 1 + 2 X 2 i + L + K X Ki ) 1 + exp ( 1 + 2 X 2 i + L + K X Ki

Z i = 1 + 2 X 2 i + 3 X 3 i + L + K X Ki

Ln [Pi/(1-Pi)] = Zi l hm Logit c lng cc h s ca m hnh Logit bng phng php ML thay v OLS (ti sao? gii thch khi xc xut bng 0 v bng 1)
Gii thch cc h s trong m hnh Logit

Tc ng bin i vi xc xut. Chng ta d dng chng minh c

Pr(Y = 1 | x) p = = p (1- p ) 2 x 2 x 2
Nh vy tc ng bin ca xc xut theo mt bin X no khng cn khng i m ph thuc vo gi tr ca X. Chng ta s s dng mt v d minh ho iu ny.
M hnh Probit

M hnh probit s dng hm CDF chun chun ho S dng v d thu nhp v xc xut s hu nh, vi quan im l khi mua nh th thu nhp phi vt qua mt ngng no

Ii = 1 + 2Xi
ng vi thu nhp di I* th xc xut mua nh bng 0 v khi Ii > I* th xc xut mua nh pi = Pr(Y=1 X) : Nguyn Trng Hoi
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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

pi = P (Y = 1 | X) = p(I i * I i ) = p(Zi 1 + 2 X i ) = F ( 1 + 2 X i ) Trong F k hiu cho hm mt tch ly chun chun ha (CDF)

F(I i ) =

Ii

e s

/2

dZ

Nh vy I i = F 1 (I i ) = F 1 (Pi ) = 1 + 2 X i y chnh l dng hm Probit

Xc sut =

F( 1 + 2 x)

1 + 2 x
2 cho chng ta bit thay i bin dc theo trc honh khi tng mt n v X. xem iu ny tc ng ln xc sut nh th no, chng ta dim t bng biu thc sau:

F( 1 + 2 x) F( 1 + 2 x) ( 1 + 2 x) Pr(Y = 1 | x) p = = = = F ' ( 1 + 2 x) 2 x x x ( 1 + 2 x) x
y chng ta gii thch tc ng bin ca xc xut khi thay i X, xc xut Y = 1 s bin i theo gi tr X c th c ngha l tc ng bin s thay i theo X v nhn vo th ca hm F chng ta c th bit tc ng bin ang tng dn hoc gim dn i vi xc xut ng vi cc gi tr X tng ng. Trong thnh phn sau cng ca biu thc, F ' l o hm ca CDF v n chnh l PDF. Chng ta s thy rng EViews s gip chng ta c lng cc h s ca hm Probit mt cch nhanh chng. Hi qui Probit theo nhiu bin hi qui :

P(Y = 1 | x 2 L x K ) = p = F ( 1 + 2 x 2 + 3 x 3 + L + K x K )

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Chng ta c th suy ra:

I i = F 1 (I i ) = F 1 (Pi ) = 1 + 2 X 2 i + 3 X 3i + ..... + k X ki
Khi chng ta bit gi tr ca nhng tham s v gi tr ca nhng bin hi qui ny , th chng ta c th tnh c nhng xc sut ph hp.
c lng cc h s trong m hnh Probit v Logit.

S vn dng ca nhng m hnh ny bng EViews gn ging nhau. EViews c tnh c hai loi m hnh bng phng php tng ng ti a (Maximum-Likelihood Method). Khi ng EViews Open / Workfile / gradespsi.wf1 (y l tn mt file bt k m y chng ta vn s dng file v tnh hung im ca sinh vin) Quick / Estimate Equation Estimation Settings / Method / Binary Options / Robust Standard Errors Logit Probit Equation Specification: Grimp C GPA Pretest PSI
nh gi v kim nh ngha thng k m hnh Logit v probit

1) nh gi thch hp tt ca m hnh Pseudo R2 = Mc Fadden R2 = 1 - (LLFUR / LLFR) 2) Kim tra ngha thng k cc h s S dng thng k z thay v thng k t Bng phn phi chun chun ho vi gi tr ti hn (critical value Z v mc ngha / 2 cho kim nh hai ui) Cng thc tnh thng k Z khng cn thit v Eviews tnh cho chng ta, chng ta cng khng cn tra bng phn phi chun chun ho v trong kt qu ca Eviews c ct P-Value. 3) Kim nh ngha chung ca ton b m hnh S dng thng k Khi bnh phng thay v thng k F LR= Likelihood ratio = 2(LLFUR - LLFR) so snh vi gi tr ti hn thng k khi bnh phng vi mc ngha cho trc v df = s bin c lp trong m hnh. Tt c cc yu cu tnh ton khi kim nh mc ngha ca m hnh u c th c Eviews cung cp.

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Cc phng php phn tch

Cc bin ph thuc b gii hn

V d v m hnh probit:

Nh vy bin hi qui Pretest khng c ngha thng k . Nhng d sao chng ta cng gi n li v mc ch minh ha. Gi s chng ta mun tch tc ng ca hai bin ln xc sut thnh cng: GPA v tip cn vi phng php ging dy mi (PSI = 1). lm nh vy, hy tnh hai dng khc nhau ca bin PSI, vi iu kin gi cho bin Pretest khng i ti gi tr trung bnh ca n. Gi tr trung bnh ca bin Pretest = 21,94 Khi PSI = 0 Genr Index0 = -7,45232 + 1,625810*GPA + 0,051729*21,94 + 1,426332*0

Khi PSI = 1 Genr Index1 = -7,45232 + 1,625810*GPA + 0,051729*21,94 + 1,426332*1

Nh rng c hai nguyn nhn gii thch ton b bin thin cho hai bin ny: cc gi tr khc bit ca PSI, v bin thin ca GPA nhn vi h s ca GPA. Nu c cc bin hi qui b sung, th chng ta gi chng khng i ging nh cch m chng ta lm vi vi bin pretest. Tip theo, hy tnh chui Pr(Grimp = 1) i vi tng chui ch s : Genr Prgrimp0 = @cnorm(index0)
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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Genr

Prgrimp1 = @cnorm(index1)

Cui cng, hy v cc biu phn tn ca nhng xc sut ny theo GPA: Bi en GPA, Prgrimp0, Prgrimp1 View / Graph / Simple Scatter

y chng ta c th thy tc ng ca GPA v tc ng ca PSI ln xc sut mt sinh vin c kh nng ci thin im ca mnh. Vic tnh cc tc ng bin cng n gin. Gi s rng Anh/Ch mun tnh tc ng bin ca GPA mi im trn th. lm vic ny, chng ta ch n gin tnh pdf ca phn phi chun cho mi gi tr i vi ch s ny, sau nhn n vi h s ca GPA. Trn EViews, hm pdf chun l @dnorm. Genr Genr MarGPA0 = @dnorm(index0)*1.625810 MarGPA1 = @dnorm(index1)*1.625810

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Chng Trnh Ging Dy Kinh T Fulbright

Cc phng php phn tch

Cc bin ph thuc b gii hn

Nhng ng ny ch ra tc ng bin cho xc sut ca s thay i v vic ci thin nh th no khi GPA thay i. Nn ghi nh l chng ta cn gii thch chng bng biu trc y. S thc l tc ng bin ca MARGPA1 thp khi GPA = 4 phn nh thc t l xc sut ci thin gn bng 1, v vy cc ci thin tip theo l rt nh.

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