Chuong 7 MO HINH VI PHAM CAC GIA THIET. Trong nhiig chuong truéc, khi nghién ctru m6 hinh hoi quy tuyén tinh c6 dién, ta lun gia dinh rang cac mo hinh nay thoa man 5 gia thiét cd dién. Vay cau hoi ty nhién duge dit ra la khi nhing gid thiét nay khéng duge thoa man thi s® anh nhur thé nao dén két qua hdi quy? Ni dung chuong nay sé tinh bay ban chat, nguyén nhan, ha qua, eich phit hign cling nhw bign phap khiic phyc cae gia thiét bj vi pham. Tuy nhién, cin lu ¥ ring Khong ¢6 céch tng quit dé khic phye sy vi pham déng théi cée gid thigt ma chi cé 1 gidi quyét tig vi pham mdt. Trong mot sé trong hop, khi khac phue vi pham nay thi pham khac lai phat sinh. Do vay ta phai can nhac mite 46 nghiém trong ciia cdc gid thiét vi pham ma chon huéng khac phyc cho phi hop. 7.1 Da cong tuyén 7.1.1 Ban chit cia da cong tuyén Xét mé hinh héi quy: Y= B+ BX, 40-4 BX, 4+U (7.1.1.1) Nhu da biét, khi cdc bid anh huéng rigng Ién bién phy thuge Y, ta néi m6 hinh khéng c6 hign tugng da cng tuyén, Ty theo mite dd twong quan gitta céc bién doc Ip X, ma xay ra da eng tuyén X,, duoc gia dinh 1a khéng tong quan nhau (déc lap nhau), hoan ho hay da cng tuyén khong hoan hio. Che bién X,,....X, duge goi la da céng tuyén khéng hodn hao néu tn tai cae s6 thye Asuna, Khong ding théi bing 0 sao cho 4.X,+:-+A,X,+V =0, voi V 1a nhigu ngdu nhign, Diéu nay c6 nghia ki X, 3 ~4x, “ar (gia str A, #0). 2 Vay hign tong da cng tuyén khdng hon hio xay ra khi c6 mot bién biéu dién tuyén tinh qua cdc bién con lai va mot nhiéu ngdu nhién. 7.1.2 Nguyén nhin gay ra hign twgng da cng tuyén C6 mét s6 nguyén nhan chu yéu nhu sau: a/ Cac bién ddc lap c6 quan hé tung quan cao vi cing phu thude vao mét digu kign kh va mite d6 gidu c6 sé gay ra hign twgng da cong tuyén hoan hao vi mt cd nhin c6 thu nhfp cang cao déng nghia véi cing giau c6 va nguge Iai 80b/ Khi kich thude mau qué bé: Vi dy nhur s6 quan sat nh6 hon sé bién dc Kip. c/ Mau thu thip duge khéng cé tinh dai dién cao cho tong thé: Chang han nhu khao sat thu nhap cua cOng nhan thuge mot xi nghigp 1én co nhigu chi nhanh, méi chi nhénh co nhiéu phan xuéng nhung ta chi thu thap s6 ligu tai m6t vai phan xuong. W Chon cae bién X, cé 46 bién dong nho. 7.1.3 Hau qua cia da cong tuyén a/ Phuong sai va higp phurong sai cua cae ude long bang phuong php OLS cé gid tri lén, c6 nghia li cde gid tri wee Iwgng etia hé s6 hdi quy bién dong manh qua cée miu khac nhau, Diéu nay khién cho cae uée lreng bang OLS van cé tinh chat BLUE nhung kh6ng higu qua. That vay, xét mé hinh hdi quy véi hai bién déc lip dang: Y=B+hy Xt AXy tU, Khi do, Tir cée cng thitc trén, nhan thay ring khi 7:, cing dan vé 1 thi hign tuong da cng tuyén cang ting manh din va phuong sai s& cang tng theo. Khi 75, =1, xay ra hign tugng da cOng tuyén hoan hao. Téc a9 gia ting ctia phurong sai va hiép phuong sai khi c6 hign tugng da cOng tuyén duge ‘m6 ta qua thira s6 phéng dai phuong sai VIF (Variance-inflating factor), duge xae dinh bai VIF = 1-7, N&u 145-9 1thi VIF =—L, - wo = Cong tuyén cao. 81Néu_r, Othi VIF > 0 => Khong c6 da cng tuyén. Inns ‘Téng quit, véi mé hinh héi quy véi k-1 bién gidi thich dang: Y=B+BXy +--+ BX, 4U Tacd VIF = trong d6 R? Li hé sé tuong quan trong m6 hinh cua X theo k-2 bién gidi thich edn lai. Trong nghién etru the nghiém, khi VIF > 10 <> R? > 0.9 duge xem la céng tuyén cao. b/ Gia ting d6 rong khong tin cay cua céc hé s6 hdi quy: Khi hign trgng da e6ng tuyén gia tang lam cho phuong sai bj phong dai va sai sé chuan ciia cdc tham sé hdi quy cing ting theo, din dén 6 réng khoang tin cay ciia céc hé s6 hi quy gia ting, két qua la dy bao khong con chinh xac ntta. / Gia tr] théng ké trong kiém dinh T co khuynh huéng nho di do Se(B, rang len. Hau qua la dé chap nhén gia thuyét H,. d/ Hé sé R*c6 thé rat cao. e/ Gid tri wdc lugng ciia cde B, va Se( B ) rt nhay déi véi viée ting thém hay bot di mot quan sat hay loai bé bién co mie y nghia thap. 7.1.4 Cach phat hign da cOng tuyén a/ H6 sé xc dinh R? cao nhung gid tri kiém dinh cia T thip: Théng thudng, trong nghién ciru thy nghigm néu_R? > 0.8thi ngudi ta bac b6 gid thuyét ring céc hé sé hoi quy dng thai bing 0 trong kiém dinh F. Trong khi d6 gi trj |dcaa kiém dinh T thuong rit bé trong trudng hop da cOng tuyén xéy ra, va xu hung 1a chép nhjn gia thuyét vé cde hé s6 hdi quy déu bing 0. Nhu vay cdc két qua thu duge tir kiém dinh T va F la mau thuan nhau. 82Vi dy 7.1.4.1: Khao st m6t cong ty kinh doanh may vi tinh t 10 cira hang 8 nghién ciru anh huéng ciia doanh s6 ban hang va tién thuéng cho b6 phan kinh doanh én loi nhudin sau thud cé nhu sau: Quan sat | Tien thuéngX, | Doenh so X, | Loi nhudn sau thué Y (trigu dong) | (trigu dong) (trigu dong) 1 15 200 22 2 2.6 340 35 3 19 245 28 4 14 180 20 5 21 275 31 6 37 459 49 7 Ll 146 16 8 25 320 36 9 43 550) 63, 10 3 490 51 Két qua héi quy bing phan mém EVIEWS nhu sau: Dependent Variable: ¥ Method: Least Squares Date: Time: 23:42 Sample: 1 10 Included observations: 10 Variable tatstic Prob x2 3.580084 2.093329 1.710238 0.1310 x3 0.082479 0.015532 5.310149 0.0011 c 0.037509 1.317284 0.028475 0.9781 R-squared 0.991695 Mean dependent var 35.10000 Adjusted R-squared 0.989322 S.D. dependent var 15.11769 S.E. of regression 1.562194 Akaike info criterion 3.973385 ‘Sum squared resid 17.08315 Schwarz criterion 4.064160 Log lkelinood -16:86692 Hannan-Quinn eriter. 3.873804 F-staistic 417.9181 DurbinWatson stat 2.347840 Prob(F-statistic) 0.000000 Ham hdi quy Igi nhuan sau thué theo doanh s6 ban hang va tién thung nhu sau: ‘, 037509 +3.580084* X,, +0.082479*.X,, R? = 0.991695 1 p-value 0.028475 0.9781 1.710235 0.1310 5.310149 0.0011 83Nhan thay R? = 0.991695 la rat lon, trong khi gia tri ¢ =1.710235 di voi B, la rat bé va p-value =0.9781> 0.05 nén f, khong c6 ¥ nghia théng ké, bin tién luong X, khong 6 anh huéng Ién Igi nhudn. Vay ¢6 kha ning hai bién tién thuéng X, va doanh sé ¥, xay ra cOng tuyén cao. That vay, tiép tue hoi quy bang phan mém EVIEWS cho X, va X, ta duge két qua la: Dependent Variable: x2 Method: Least Squares Date: Time: 00:00 Sample: 1 10 Included observations: 10 Variable Coefficient Sid. Error t-Statistic Prob. x3, 0.007200 0.000634 11.36521 0.0000 ici 0.102308 0.219523 0.466049 0.6536 Resquared 0.941677 Mean dependent var 2.410000 Adjusted R-squared 0.934387 SD. dependent var__—_1.030049 S.E. of regression 0.263847 Akaike info criterion 0.349963 ‘Sum squared resid 0.556923 Schwarzcriterion 0.410480 1109 likelihood 0.250183 — Hannan-Quinn eriter 0.289576 F-statistic 129.1680 Durbin-Watson stat 1.798079 Prob(F-statistic) 0.000003 Nhin vao bang nay ta cé tl lun ring tién thudng lu6n bang khoding 0.7% trén doanh sé ban hang. by Hé sé tuong quan gitta cc bién doc lap cao: Ciing voi vi dy trén, ma tran twong quan (Correlation matrix) 1a: x2 xs. Y X2 1 0.97040061957 19436 | 0.978896825097011% X3_| 0,9704008195710436 1 (0,994094763546283 'Y | 0.9788968259970111 | _0.084004763546283 1 Nhan thay 1,, =0.9704006195719436 = Ichimg t6 c6 hign tung da eng tuyén cao da xay ra. ¢/ Sit dyng hdi quy phy: Dé xem xét mite d6 céng tuyén gitta cdc bién dc lp voi nhau, ta cé thé sir dung phuong phap hdi quy phy nhu sau: M6 hinh hi quy k bién: Y= B+ P,X,+-+BX,+UM6 hinh hdi quy phu cia bién.X, X= A+, Xz tt AX gto tA X yt AX, tVe Tinh hé s6 xde dinh R? , sau d6 kiém dinh gid thuyét: H,:R? =0 (khang 04 da cng tn bang cach sir dung théng ké F: _ Rik-2) 1 (IE R)n=k +1) Néu F, > F,(k-2,n—k+D) thi bac bo gia thuyét Hy. Tro lai vi du trén, xét bing két qua hdi quy cia X,d6i voiX,, ta co R} =0.941677, F, =125 > Fags(1,8)=5.318 voi p-value = 0.000003 < 0.05. Digu nay cho két luén ring: bac bo gia thuyét H,, nghk a cO xay ra cOng tuyén gitta hai bién tién Iuong va doanh sé ban hang, d/ Sit dyng thira s6 phéng dai phuong sai VIF: Theo nhu luu y & phan trén, VIF >10 <> R? > 0.9xay ra hign tugng da cong tuyén cao. Tuy nhién, vige dinh gia mite 6 cong tuyén qua VIF cé nhiing han ché nhit dinh. That vay, ta biét var(B,) 2 = iF (Faye Ls Nhin vao céng thie trén, nhfin thay ring khi VIF cao nhung néu_ 0? qua bé v: thi c6 thé Lim cho gid tri cua VIF bi nhé lai, Do d6 gia tri 1én cia VIF chua han kim cho phwong sai cita cc tham sé hdi quy ting cao. 7.1.5 Cach khac phuc da cng tuyén a/ Sit dung théng tin cé truée (thdng tin tién nghiém): Cac théng tin nay c6 durge tir nhimg cude diéu tra théng ké thyc hign trude do hoge tir ly thuyet kinh té c6 lién quan dén Tinh vue nghién ctru ring hign tung cOng tuyén c6 anh hudng it nghiém trong néu ching xay ra. Chang han, khi hdi quy ham san xuat Cobb-Douglas: 85InQ.=A,+f,InK, + Bln, +U, hign twong da cng tuyén do K vi L cing ting theo quy mé san xudt. Tuy nhién, néu biét higu sudt khéng déi theo quy m6 thi ta c6 thém théng tin: 6, +2, Khi dé m6 hinh ban dau tré thanh: 2 K, In) & |= 6+ Bin] = ( L, ee 4 b/ Thu thap thém sé ligu hod lay mau méi: Khi tién hanh trén mu sé liu méi, ¢6 thé 1am cho hién tong da cong tuyén tro nén it nghiém trong hon so véi mau ban dau. Ngoai 1a, vige tang kich thurée mau ciing c6 thé Lim gidm ding ké tinh nghiém trong da eGng tuyén trong mé hinh, Ching han, xét m6 hinh hdi quy véi hai bién adc lap dang: Y= B+ BX, + BAY +U, Khi do Nén khang di, thin Ts S x3, T= Var(AL) L. Két qua li vige kiém dinh fing nhur use lugng lién quan ti f,sé chinh xc hon. Ciing cn luu y thém ring vigc bé sung sé ligu nhim gidm tinh nghiém trong cia da cOng tuyén ddi khi gap khé khan vi chi phi cao hod inh té cla ce quan sat méi thé khde so véi quan sat rude a6. c/ Két hop s6 ligu chéo va sé ligu chudi thei gian; Béi voi s6 ligu chudi thdi gian, hign tugng da cOng tuyén thudng xay ra gidta cdc bién. Trong khi tai cing mdt thoi diém, gid trj cdc bién thurong khOng thay d6i nhigu déi véi sé ligu chéo. Do dé vige két hyp hai dang sé ligu trén c6 thé gitp khic phye mt phan vé tinh chit nghiém trong cia hign tirong da cng tnyén Logi bd bién de lp oda cng tuyén: Sau khi bé di bién gidi thich ¢6 bie tugng da a can pha 6 trong mé hinh hdi quy thi ching ta sé gap phai van dé kho khan khae nhu wéc lugng sé chéch d6i vai cae hé s6 c6n lai. 866i véi sé liu chudi thoi e/ Chuyén dang dir gian, cdc bién giai thich thudng dé c6 xu huéng twong quan véi nhau do cing ting ting hode cing gidm theo thdi gian, gy ra hién twyng da cong tuyén. Xét mo hinh hdi quy su chudi thoi gian nhur sai Y= B+ BX, + BX, +U, X,,va X,,. Dé giim tuyén nay, 06 thé sir dung ky thudt hdi quy trén mé hinh sai phn bac nhét nhur sau: it xay ra hign twong cong tuyén iéu hign tong cong Y—Von =A May — Xayey) #A( Me — Mower) + (0, —Ma) Tuy nhién, nhiéu (U,-U,,,) trong mé hinh méi c6 thé xay ra hign trong te trong quan, kh6ng tuan theo mét cdc gid dinh ctia m6 hinh hdi quy tuyén tinh e6 dién, Néu hign tuong tur tong quan 1a nghiém trong thi m6 hinh nay con kém higu qua hon mé hinh ban dau trong du bio. Vi dy 7.1.5.1: Khao sit chi tiéu ciia ngudi tigu ding, thu nhap va sy gidu c6 véi sé ligu nu sau: Quan sit ] Chi tigu cho tiéu ding] Thunh§p | Sw gidu cé Y ($) X, (8) X; (8) 1 70 80 810 2 65 100 1009 3 90 120 1273 4 95 140 1425 5 110 160 1633 6 115 180 1876 7 120 200 2052 8 140 220 2201 9 155 240 2435 10 150 260 2686 Theo ly thuyét kinh té, chi tieu cho tieu dung co xu huong tang theo thu nhap va sy giau 6 nén dau cua cdc hé sé hdi quy la duong. Két qua hdi quy bing EVIEWS nhuw sau: Dependent Variable: ¥ Method: Least Squares 87Date: 10/18/17 Time: 07:41 ‘Sample: 1 10 Included observations: 10 Variable Coefficient Std. Error t-Statistle. Prob. x2 0.941537 0.822898 1.144172 0.2902 x3, 0.042435 0.080664 -0.526062 0.6151 c 24.7473 6.752500 3.668972 0.0080 Resquared 0.963504 Mean dependent var 111.0000 ‘Adjusted R-squared 0.953077 S.D. dependent var_ 3.42893 S.E. of regression 6.808041 Akaike info criterion «6.917411 ‘Sum squared resid 324.4459 Schwarz criterion 7.008186 Log likelinood -31.58705 Hannan-Quinn criter. 6.817830 F-slatistic 2.40196 Durbin-Watson stat «2.890614. Prob(F-statistic) 0.000009 Y¥ x2 xs, Y 1 (0.9808473685985793 | 0.9780997080416731 ‘X2__|- 0,9808473685985793 1 (0.9989623917139848 X3__ | 0.9780997080416731_| 0.9969623917139845, 1 Dya vao két qua hdi quy, nbn thay , = -0.042435 < Okh6ng phi hgp véi ly thuyét kinh té (chi tiéu tang theo sy giau cd). Ngoai ra, p-value = 0.2902 >0.05ddi vai f,va p-value = 0.6151 > 0,05 di voi B, nén f, 4 B, khéng cé ¥ nghia théng ké (bang 0). Tuy nhién R? = 0.963504 rat lén. Didu nay khién ta du doan hién twong c6ng tinh c6 thé xay ra gitta X,va X, Dé kiém tra diéu nay, ta ap dung cdc phyong phap phat hién khde nhau nhu sau: © 15, =0.9989623917139848 rat gan 1: © Hi quy cia Y theo timg bién giai thich: Dependent Variable: Y Method: Least Squares Date: Time: 08:03 Sample: 1.10 Included observations: 10 n trang cng tuyén hoan hao. Variable Coefficient Std. Error t-Statistic Prob. x2 0.09091 0.036743 14.24317 0.0000 c 2445455 6.413817 3.812791 0.0051 Resquared 0.962062 Mean dependent var 111.0000 Adjusted R-squared (0.957319 _S.D. dependent var 31.42893 88S.E. of regression 6.493003 Akaike info criterion _—6.756184 ‘Sum squared resid 337.2727 Schwarz criterion 6.816701 Log likelihood -31.78092 Hannan-Quinn criter. 6.689797 F-statistic 202.8679 Durbin-Watson stat 2.680127 Prob(F-statistic) v.00007 Dependent Variable: ¥ Method: Least Squares Date: Time: 08:04 ‘Sample: 1 10 Included observations: 10 Varlable Coefficient Sid. Error t-Statistle Prob. x3 0.049764 0.003744 13,29166 0.0000 c 24.41104 6.874097 3.551164 0.0075 Resquared 0.956679 Mean dependent var 111.0000 Adjusted R-squared 0.951264 S.D. dependent var_ 31.4893. S.E. of regression 6.938330 Akaike info criterion ‘6.888856 ‘Sum squared resid 385.1233 Schwarz criterion 6.949373 Log likelihood -32.44428 Hannan-Quinn criter. 6.822469 F-statistic 176.6681 Durbin-Watson stat 2.417419 Prob(F-statistic) 0.000001 Nhin thdy X,va X,déu 06 ¥ nghia théng ké cao, hon nita diu cia X; duong cing phi hyp véi ly thuyét kinh t8. © Héi quy phy cua Y, theo ¥, Dependent Variable: x3 Method: Least Squares Date: Time: 08:11 ‘Sample: 1 10 Included observations: 10 Variable Coefficient Std. Error t-Statistic Prob. x2 10.19091 0.164262 62.04047 0.0000 c 7.545455 2947581 0.255988 0.8044 R-squared 0.997926 Mean dependent var 740.000 Adjusted R-squiarad —« MGQ7AA? SN dependent var «AT 7347 S.E. of regression 29,83972 Akaike info criterion 9.806415 ‘Sum squared resid 723.273 Schwarz criterion 9.866932 Log likelihood -47.03207 Hannan-Quinn criter. 9.740028 F-statistic 3849,020 Durbin-Watson stat 2.077534 Prob(F-statistic) 0.000000 89© Kiém dinh Hy: kh6ng c6 cong tuyén, H,: c6 opag tuyén Ri Mk 2) (1-2) )An=k +1), ___0.997926/(3-2) (1-0.997926) (10-3 +1) Do dé bic bo H,. = 3849.2806 > Fyos(k- 2,0 —k +1) = 5.318 1 1=0.997926 tuyén rat cao gitta X,va X;. = Ta cé VIF(X,)— — 482.1601 rat Ion. Vay khang dinh cé da cong Khde phuc hau qua cia da cng tuyén cao trong mé hinh: © Loai bé bét bién: Nhin vao cac bang trén , ta thiy p-value(X,)=0.6151 > p—value( X,) = 0.2902 > 0.05 va R-squared cua Y theo X’,16n hon R-squared cia Y theo X, , nghfa la m6 hinh hdi quy Y theo X,,c6 mite 46 phit hyp cao hon la mé hinh hdi quy Y theo X,. Vay ta c6 thé loai bo bién X, ra khdi mé hinh, © Str dung sai phan bac nhit: Dependent Variable: DY Method: Least Squares Date: Time: 00:50 ‘Sample (adjusted): 2 10 Included observations: 9 after adjustments. Variable Coefficient Std. Error Statistic Prob. x3 0.009547 0.093171 0.102467 0.9213, Dx2 0.344944 0.989017 0.348775 R-squared 0.001498 Mean dependent var 8.888889. Adjusted R-squared —-0.141146 _S.D. dependent var 10.54093 'S.E. of regression 11,2028 Akalke Info criterion ‘7.873570 ‘Sum squared resid 87.5576 Schwarz criterion 7.917398 Log likelihood -33.43107 Hannan-Quinn criter. 7.778990 Durbin-Watson stat_ 2.356369 Nhan thdy R-squared trong mé hinh nay rat thép, chi bling 0.001498, hon nia 90p~value( DX) = 0.7375 va p - value( DX) = 0.9213 rat lén so véi 0.05 nén cach Khac phuc bang phuong phap sai phan la khéng thich hgp. Do vay cach loai bot bién X, ra khéi mé hinh 1a hgp ly nhit. 7.2 Ty twong quan cita nhiéu 7.2.1 Ban chat ja fir fireng quan Tye twong quan (Autocorrelation) duge hiéu la sw tong quan gitta cée thanh phén cia day quan séit theo théi gian (di véi sé liéu chudi thoi gian) hogic khong gian (d6i voi sé liéu chéo). Mi quan hé tong quan gitta cac nhiéu trong mé hinh héi quy tuyén tinh c6 dién duge biéu dién bang hé s6 higp phuong sai Cov(U,,U,). Néu Cov(U,,U,) 0,14 jthi ta noi xay ra hién tugng ty twong quan déi véi nhigu U, va U,. Nguge lai, néu Cov(U,,U,)=0.Wi x j thi ta néi khéng c6 tr tong quan gitta cée nhigu. Vi dy 7.2.1.1; (Déi vei sé ligu chudi thai gian) Khi khao sat san lugng cla quy theo vén va lao dong, néu xay ra hién tugng dinh cong trong m@t quy nao dé thi cé thé din dén mt trong hai tinh hudng sau day: Hode viée dinh céng chi anh hung dén san hrgng cia quy nay va khéng ©6 co sé dé noi nd anh huéng dén cdc quy sau thi ta xem nhu khéng cé ty tuong quan xay ra, hodc viée dinh cOng xay ra 6 quy nay va c6 thé tiép tue tae dng cho cae quy sau thi ta ndi co ty trong quan xay ra, Vi dy 7. chéo) Khi xem xét méi quan hé gitia chi tiéu cho tiéu ding va thu nhp cita céc hd gia dinh & cing khu vue, cé thé ta bat gp tinh huéng sau day: Vige chi tiéu cho tiéu dig tang lén ciia m@t h gia dinh nao d6 dan dén vige ting chi tiéu tiéu ding ciia nhimg h6 gia dinh khac. Nguyén nhan ¢é thé do tam ly cae h6 gia dinh khéng muén thua kém nhau. Khi 46 ta ndi cé tur tuong quan xay ra. 91ye @ Cae hinh (a), (b) va (c) thé hign ty tuong quan cua nhigu, hinh (d) khéng c6 sy tuong quan gitta ede nl 7.2.2 Nguyén nhn cia ty tuong quan a/ Tinh chat quan tinh (inertia): Hau hét ede chudi dit Higu thoi gian trong kinh +8 ¢6 tinh quan tinh, Ching han nh GDP, chi s6 gid, ty 1g that nghigp thudng cé tinh chu ky. Khi nén kinh té thoat khoi suy thodi thi cdc chi sé nay cé khuynh huéng gia ting va sé tiép dign cho dén khi cé m@t nhin 16 ndo dé xay ra tic dng dén nén kinh té, lam chim hoge thay ddi khuynh huéng bién thién cia chudi dit ligu. Vi vay trong hdi quy chudi thoi gian, céc quan sat ké tiép nhau cé nhiéu kha nang twong quan voi nhau. by Hign tuong tr (lags): Hign twong tré xdy ra khi bién phy thuge tai thoi diém ¢ phy thuge vio chinh né & thoi dig 1—I. Ching han mé hinh héi quy ciia chi tigu cho tiéu diing phy thugc vio thu nhap theo théi gian tuan theo m6 hinh 6 tré: Chi tiéu tiéu ding, = f+ A,.Thu nhap, + f,.Chi tiéu tiéu ding,, +U, c/ Hign tugng mang nhgn (cobweb phenomenon): Théng thudng, lurgng cung cita mot sé mit hang phan (mg lai su thay déi etia gid chm tré hon mét khoang thi gian, do quyét dinh cung doi hoi phai c6 thi gian dé thyc hign: 92Lugng cung, = §, + ,.Gid,, +U, d/ Xir ly sé ligu: Trong nghién ciru thye nghiém, cdc sé ligu so cdp thong duge xir ly truée khi phan tich hdi quy. Chang han, phyong phap binh quan trugt kim tron s6 ligu chudi théi gian c6 thé dan dén sai sé hé théng trong cdc nhiéu va gay ra ty tong quan, e/ Phép n6i suy (interpolation) vi ngoai suy (extrapolation). f Sai s6 do thiét lp m6 hinh: Do bo sét bién quan trong hod chi dinh dang ham khong phi hop. 7.2.3 gu qua eda ty twong quan af Cac hé sé héi quy uée Ivong khéng cén tinh chit BLUE: ‘Xét mé hinh héi quy hai bién véi sé ligu chudi théi gian ¥,=B+BX,+U, (7.2.3.1) Gia sit c6 hign tugng ty tong quan (bac nhat) xay ra, tie 1a U,=pU,, +6, (7.2.3.2) voip €[-1,1] goi ki hé s6 ty trong quan bac nhat va ¢, thoa man cae didu kign: E(e,)=0 Cov(¢,.6,) Var(6,)=0° wt Ovtss Mé hinh (7.2.3.2) duge goi 1a m6 hinh tw tuong quan bae nhat (ty hoi quy bac nhat) Markov, ky higu AR(1). Khi d6 cae hé s6 ude lugng vin nhu trude, nhung phuong sai ding ctia ching sé la: | E(x -Rlau He” Fe-3) var, P= Ta khong 6 co si nao dé xc dinh phuong sai nay 1a nhé do dé vi pham tinh chat phuong sai bé nhat trong BLUE. Chai ¥: Néu nhigu U, thoa man: 93U,= PU + PU att PU rp +6, (7.2.3.3) voi p, €[-1,1],V. thi ta ndi U, cé ty tuong quan bac p Markov, ky higu AR(P). b/ Use lugng ca phurong sai bj chénh, lam mét higu Iue khi thye hign cée kiém dinh T va F: Thong thurong ta sit dung o° 1a uée lung cla o? véi #(0*)= o°. Tuy nhién khi c6 ty tong quan bac nhat xay ra thi voi Khi pyr > Othi c/ Co kha ning R? duge uée lugng qua Ion: RO rang ring khi & lawse lugng thép cla RSS o thi RSS= yw li uée long thap cita TSS, din dén R? = duge ude long qui lén. di Sai sé cdc gid tr) dy bao khéng cén higu qua: Bat ngudn tir c6ng thite Var(¥,)=Var(B.)+Var(A,) x2 +2Cor(B..B,)X, voi Cov(B.. -XVar( B). 947.2.4 Céich phat hign ty trong quan a/ Phuong php dé thi: Ta cé thé thye hign theo cae bude sau day dé gidp phat hign ur tong quan © Bude 1: Khao sat 6 thi phan du U, bode U; theo t. = Bude 2: Khao sit J, theo T s pear enDy : tate © Bude 3: Khao sat 46 thi 2£ theo t (d6 thi chuan héa). a * Bude 4: Néu dé thi cé dang ngdu nhién thi khéng cé tw tong quan. Nguge lai, néu dé thi khéng cé dang ngiu nhién, sy bién thién cé tinh chat hé thong thi két luan cé ty twong quan xay ra. (luge db AR(1)). b/ Kiém dinh Durbin Watson: Gia sir xét m6 hinh héi quy dang Y,=B+B,X,4U, trong d6 thanh phan nhiéu cé ty trong quan bac p U, = pu, +6, ;, thoa man cdc gid thiét ciia OLS. Sur dung théng ké d duge xac dinh boi $0.-0..) CE 2/ -p) (72.4.1) ye voi (7.2.4.2) 1a ude lugng eda p trong mé hinh AR/J). Dé thay ring 0 p =-1 thi xay ra tyr tong quan hoan hao. Néu d=2.¢ 9 =0 thi ty tong quan khong xay ra, ud 4 thi kha nang ty twong quan am. su d 0 thi kha nang ty tong quan dong. Dutdi day la bang théng ké Durbin-Watson: Ty tong Khong quyét Khéng c6 te Khéng quyét Te teong quan dwong | — dink doe wong quan dinh duege quan dim baie what 0 d, dy 2 4-d, 4-d, 4 Han ché cita kiém dinh Durbin Watson la tn tai hai mién khong thé ra quyét dinh durge. Dé khdc phuc han ché nay, ta 4p dung quy tic kiém dinh Durbin Watson cai bién: © Gia thuyét bén phai véi mite ¥ nghia @: Hy: =0,H,:>0. Ty tong quan dwong _| Khong co tw tong quan diwong: 0 dy 4 © Gia thuyét bén trai v6i mite ¥ nghia a: Hy: =0,H,:p <0. Khong 06 te tcong quan dm | Tye tong quan am 0 dy 4 © Gia thuyét hai phia voi mite ¥ nghia 2¢: Hy: =0,H,:p #0. Khéng cé te Tu twong quan dion; tuong quan _| Ty tong quan am 0 d. 4d, 4 Ngoai ra vin con mot sé khuyét diém khac ciia kiém djnh Durbin Watson nhu: * Co miu lén thi khong cé gia trj trong bang tra. + C6 mét s6 mau thudn Khi tra bang dé tim dy, of, Trong nghiém ciru thye nghiém, ngudi ta con sir dung kiém dinh Durbin Watson theo kinh nghiém: 96Khéng c6 ne Tec tweong quan dicon, tong quan _| Tw teong quan dm 0 1 3 4 Bé sir dung durge kiém dinh Durbin Watson, can c6 cde kign sau day © M6 hinh héi quy phai c6 hé s6 chan, néu khong c6 hé s6 chan thi trude tién phai ude lgng mé hinh 6 hé sé chan dé c6 RSS =U; , sau d6 thye hign phurong, phap kiém dinh nhu théng thudng. * Cac bign d6c lap la khong ngdu nhién, © Nhiéu ngdu nhién 6 ty twong quan bac nhat. © M6 hinh khéng chtta bién ¥ nhu la bien dc lap (hign tuong tr8). © Khong cé quan sat bi mat trong dit ligu. ¢/ Kiém dinh BG (Breusch-Godfrey): Gia sir xét mé hinh héi quy dang ¥=AR+hX,4U, (7.2.4.3) trong d6 thanh phan nhiéu c6 ty trong quan bac p = PU at Ppa PU rg +B, (1.2.44) voi ¢, théa min cdc gia thiét cla OLS. Xét gia thuyét géc: Hy: p, =p, =""=p,=0. Ta tién hanh tha tye kiém dinh theo céc bude sau: * Bude 1: Uée rong mé hinh (7.2.4.3) bing OLS va tinh duge phan du U, . * Buse 2: Use hrong mé hinh U at BX, +7 City Uiatty,tirn+V, (7.2.4.5) va tinh RY * Bude 3: Néu (n= p)Ri 345) > 72(p) thi ta bac bo Hy, thira nhén c6 tyr twong quan bac p. 97Dac diém ca kiém dinh BG: + Ap dung cho bai toan c6 6 mau lan. © C6 thé ap dung cho mé hinh co tré. ¢ Ap dung kiém dinh ty tuong quan véi bac bat ky. © Kiém dinh BG doi hoi phai xae dinh trude bac ca ty twong quan p. Thudng thi phai thir kiém dinh véi nhiéu gis tri p khéc nau. * Kiém dinh BG cé thé duge ap dung cho mé hinh MA(q) (Moving Average). / Kiém dinh chudi dau: Dua vao déu higu néu déu cia nhiéu thay di ngdu nhién thi e6 thé nh§n dinh khéng ¢6 ty twong quan. Xét mé hinh hdi quy dang ¥,=B+BX,+U, (7.2.4.6) © Bude 1: Uée rong mé hinh (7.2.4.6) bing OLS va tinh duge phan du 0, . © Bude 2: Xéc dinh déu cia phan du O. * Bude 3: Xae dinh ede thong s6 n,: Tong sé dau (+) trong day dau, ny: Tong s6 dau (-) trong day dau. N=n,+n,: Tong s6 quan sat. k’: $6 chudi dau trong day. © Bude 4: Lap gid thuyét Hy: Khong e6 sy tong quan gitta cée phin du, gi d ym, >10 van, >10 thi sé chudi dau la dai lugny ngau nbién, c6 phan phéi gin chuan voi E(K) = 20 nn, Var’) 2624, =") (+m) (a, +2, -1) + Khodng tin cy ctta k* voi d§ tin cy 1 (B0°)-u, ,, Set), BU) +u,,,Sek’)) Néu &” nim trong khoang tin cy thi chdp nhan H,, nguge lai bac bo Hy 987.2.5 Céch khic phuc ty trong quan a/ Trudng hgp biét cau tric ciia ty trong quan: Dua vé phuong trinh sai phan cap mot. Giai sir xét m6 hinh hdi quy dang ¥,=8+BX,+U, (7.2.5.1) trong d6 thanh phan nhiéu c6 ty trong quan bac nhat U,= PU. + (7.2.5.2) Ta c6 phuong trinh sai phan cap mot: Y= p¥, = B(1-p)+B,(X,~pX1)+(U,- Pa) (7.2.5.3) Vi ¢,=(U,—pU,.,) thoa min cde gid thiét eda mé hinh hdi quy tuyén tinh 6 dién nén cdc ude Irgng ctla (7.2.5.3) ¢6 tinh chat BLUE. b/ Trudng hop chua biét cdu trac cita ty tong quan: + Use luong p bing théng ké d: Tacé d=2A1-p)=p nia ‘Trong truémg hop c& mau nh, ta co thé ap dung théng ké d cai bién dé tinh 22 2 voi k la s6 hé s6 hdi quy. Khi c6 wée hong 7, ta thy hién d=2(I-p)>p quy phuong trinh sai phan téng quat v6i duoc thay thé bing 9 + Phuong phip Durbin Watson hai bude: Phuong trinh sai phan durge viét lai nhur sau ¥=B(!-p)+BX,-B,pX,.+ PY. +6, (7.2.5.4) 99© Bude 1: Hdi quy (7.2.5.4) theo OLS duge p 1a uée lurgng chénh, ving cua p ¥,~p¥. = B(1-P)+2,(X,- PX.) +(U,- PU.) + Thii tap lip Cochrane-Oreutt (CORC) hai buse: Gia sir xét m6 hinh hoi quy dang ¥,=R+BX,+U, (7.2.5.5) anh phan ubiéu eo ty tuony quan bac U,= DU, +6, (7.2.5.6) Cae bude thye hign: © Bude 1: Uée lvong mé hinh (7.2.5.5) bing phuong phép OLS duge phin du O,. © Bude 2: Sit dung cac phan du G, dé vée lugng (7.2.5.6) thu duge p. © Bude 3: Thay p vao phuong trinh sai phan cép mét. Vi khong cé co sé nao dé biét chic chin ring p 1a uéc lrong tét nhat cia p nén ngudi ta tién hanh thu tuc Cochrane-Orcutt nhiéu bude nhu sau: * Buse 1: Use lrong m6 hinh (7.2.5.5) bing phuong phip OLS duge phan du , . © Bude 2: Sit dung cdc phan du U, dé ude luong (7.2.5.5) thu duge p (ude long yong lap thir nhat cia p). © Bude 3: Sirdung p dé ude long phvong trinh sai phan edp mot % pha Bll p)1 A(X, PXa)i(U, 1) thu duge cic ude long f, va Z, cia A, va f, tuong ing. + Bude 1: Thay A vi A vio (7.2.5.5) duge phin dir méi Y-B-B, (7.2.5.7) © Bude 5: Uée lugng (7.2.5.7) thu duge p (ue lugng vong Lip thér hai cia p).© Bude 6: Sirdyng p dé ude hong phvong trinh sai phan cdp mot 1 t..=B(1-2}+A %.-0%..)+(U, PV.) thu duge ede uée uong f, va B, cia B va fy wong ig. © Bude 7: Tiép tue thay #, va #, vao (7.2.5.5) dé thu duoc phan du moi va thye hign lai vong lap cho t6i khi cdc ude Iugng ké tiép theo cia p khic nhau mot Iugng rit nh6 (bé hon 0.01 hoge 0.005). Thong thudmg thi tye Cochrane-Oreutt két thie sau 3 hoe 4 bude lip. + Kiém dinh Berenblutt-Webb: Hy:p=l. Néu H, diing, ta c6 phurong rinh sai phan YN = BUM, Mi) +(G, Up) = B(X, HX) 8, © Bude 1: Héi quy (7.2.5.5), duge U;. di quy phuong trinh sai phan cai + Bude 2: mét 6 trén, duge 6, . © Bude 3: Tinh théng ké © Bude 4: Sir dung théng ké Durbin Watson dé quyét dinh bac bé hay thira nhan gid thuyét 1, Vi dy 7.2.5.1: Cho s6 ligu chudi thoi gian vé méi quan hé gitta tién Iuong thye té va ning suat lao dng 6 khu vyc kinh doanh tai Mj tir nim 1959-2002 vei s6 ligu nhur sau: Nam_| Tignlwong | NSLD | Nam | Tién lvong | NSLD 1959 59.2 48.6 | 1981 89.0 81.9 1960 60.7 49.5 | 1982 | 90.5 81.6 1961 62.5 S13 1983 90.4 84.5 1962 64.6 53.6_| 1984 | 90.7 86.8 1963 66.1 55.7 | 1985 | 92.1 88.5 1011964 67.7, 57.6 1986 95.2 as 1965 69.1 59.7 1987, 95.6 91.6 1966. 77 62.1 1988 97.0 93.0 1967, 73.6 63.5 1989 55 28 1968 76.0 65.5 1990. 96.3 ay 1969 772 65.8 | 1991 974 96.4 1970. 78.6 67.1 1992 100 100 1971 80.1 70.0 1993 99.9 100.5 1972 82.3 72.2 1994 99.7 101.7 1973 84.1 74.5 | 1995 99.4 102.3 1974 83.1 2 1996 99.8 105.1 1975 83.9 75.8 | 1997 100.7 | 107.4 1976 86.2 78.4 | 1998 104.8 | 110.2 1977 87.4 79.7 1999 107.2 113.0 1978 88.9 80.6 | 2000 111.0 116.5 1979 89.1 80.5 | 2001 112.1 1980 88.9 80.3 | 2002 113.5 + Phat hign wy twong quan: Ké& qua héi quy gitta tién Iuong va nang sudt lao dong: Dependent Variable: Y Method: Least Squares Date: 10/22/17 Time: 14:12 ‘Sample: 1959 2002 Included observations: 44 Variable R-squared x c Adjusted R-squared SE. of regression ‘Sum squared resid Log likelihood F-statistic Prou(r-stauistic) Coefficient 0.700588 29.57497 0.975529 0.974946 2.251719 212.9500 -97.12439 1674.298 2.000000 Std. Error 0.017122 1.460515 40.91818 20.24968 ‘Mean dependent var S.D. dependent var Akaike info criterion ‘Schwarz criterion’ Hannan-Quinn criter. Durbin-Watson stat Prob. 0.0000 0.9000 87.7000 14,22879 4.505654 4.586754 4.535730 0.213684 Nhin vio cét Prob. cita két qua trén, thay ring cae hé s6 hdi quy déu c6 y nghia thing ké. 0.975529 = Ichimg t9 mé hinh kh4 phi hop. Tuy nhign, vi day 14 Hé sé tong quan R* 102chudi sé ligu thoi gian nén rét d8 xay ra hign tong tyr tong quan. Dé kiém tra tinh chat nay ta c6 thé sir dung cde phurong php sau day: Diya vao d6 thi: 4 3 2 PHANDU(-1) 1985 1970 497519801985. 1990" 1995 2000 PHANDU, PHANDU, hin vau d8 hj dy dud co higu Wagug «gr Wrong quan duomg xy 1, Kiém dinh Durbin Watson: Wy: H,:p>0 103Voi n= 45 ~44,k' =1,a =5%, tra bang théng ké DW cé d, = 1.475,d, = 1.566. Hon nita két qua héi quy cho thay d = 0.213684 Ing? =Ina’ +a, In X, +V, © Vicchua biét o? nén ta sit dung ude long O, dé thay thé va tién hinh theo ede bute sau day: Bude 1: Héi quy mé hinh gée ¥; = , + A,X, +U, dé uée luong Ui va Bude 2: Héi quy mé hinh In +a,InX,+V, Buc 3: Kiém dinh gia thuyét H,:a, =0 Hy:a, #0 Chi y: Han ché ciia kiém dinh Park la vige gia sit cfc nhigu ¥; thoa man cae gid thiét co dién, Néu V, vi pham gia thiet nay thi két qua kiém djnh 6 bude 3 khong con dang tin cay nita. + Kiém dinh Glejser: Thue hign trong ty nhu kiém dinh Park nhung sit dung cdc dang ham sau: © V, c6 thé khéng théa man cdc gid thiét cé dién. 108+ M6 hiinh [0 |= VarFaaX, +7, va [Oil Jay renX7 +7; khong 6 dang tuyén tinh, do dé khéng thé ap dung phurong php OLS. ,+a,X, +7, cde mé hinh con lai durge di hoi didu ki © Ngoai trit mé hinh 2 vé bign dc lip X, dé biéu thite duge xée dinh (biéu thite déi mau khée 0 hodc biéu thiic trong cin bic hai phai khong am). + Kiém dinh Goldfeld-Quandt: Kiém dinh nay gid thiét ring phuong sai cia c? tong ering o? =0°x? (o? quan thudn v6i Bude 1: Sip xép miu theo thir tr ting din cia bién x. Bude mi nhém chita (n-c)/2 quan sit. Loai bé ¢ quan sat & gitta, me quan sit con Iai duge chia Lim hai nhém, Buée 3: Thye hign hdi quy OLS cho ¥ = 8, +f,X,+U, voi (n-c)/2 quan sat thu fic tu do 1a df= (n-c-2k)/2, k: tham sé trong duge phuong sai RSS,. Mdi RSS, co m6 hinh. Bude 4: Thue hign kiém dinh F cho gia thuyét 1, : Phuong sai khong doi. Xét théng ké po RSS Ia RSS, (df Néu F > F,(df.df) thi bac bo H, Han ché cia kiém dinh Goldfeld-Quandt: * Khong c6 nguyén tac chung dé xde dinh so quan sat bj loai bo, do tin cay phy thuge vio s6 quan sat bj loai bé nay. Theo kinh nghigm, véi co miu khoang 30 thi chon ¢ = 4 hode ¢ = 8; véi cé mau khoang 60 thi chon ¢ = 10 hode ¢ = 16. * Kiém dinh Goldfeld-Quandt thich hop cho nhing mau cd nhé. + Kiém dinh White: Kiém djnh nay khao sét phn dur 0; theo bién dge lap. Xét mé hinh hdi quy gée: Y= B+ BX + BXy+U,Buse 1: Héi quy mé hinh géc trén, thu duge 0. Bude 2: Héi quy mé hinh phy Gi =, $a Xy, +X y + O,X2 +0,X2 +a,Xy,Xy, +U;, 6 duge hé sé xée dinh 2°... Buse 3: Thue hign kiém dinh z* cho gia thuyét H,: Phuong sai khong doi. Hy i= Ta cé nR?,, ~ x2(df). Néu nR2,, > x3 (df) thi bac bd H,, 7.3.4 Bign phap khie phuc + Truéng hop da biét phuong sai ca théng thé: Khi cé thong tin vé phong sai thay d6i, ta cé thé sir dung phuong phap GLS (thye chat 1a phuong phdp OLS 4p dung cho cic bién da duge bién déi tir mét mé hinh vi pham gid thiét cd dién thanh m6 hinh méi thoa man cdc gia thiét nay) dé thye hign hdi quy. Cae tham sé ude lugng duge tir mé hinh méi cé tinh chat BLUE. Xét mé hinh [U=B ABN, +U,= BX, + BX, +U, 1x, oy = LE v6i Var(U,)=0; Suy ra voi Var(Us) tye. + Trudng hgp chua biét phuong sai cua tng thé: ing sir dyng phuong phap GLS nhung can di hai thém mét sé gia thiét vé phuemg sai cua tong thé nhu sau: 110© Gia thiét 1: Phuong sai cia tong thé ty 1é voi binh phuong ctia bién déc lap: Var(U,)=0°X? © Gia thiét 2. Phuong sai cia tug thé ty 18 vii biéu doe lap. Var(U,)=0°X, © Gia thiét 3: Co thé sir dung phép bién déi logarit Iny, B+ BInX, +, 13.5 Che vi dy Vi du 7.3.5.1: Khao sat sé ligu vé chi phi cho vige nghién ciru va phat trién cua 18 nginh cOng nghiép & My trong nim 1988 nhu sau: Nhém nganh | Doanh thu | Bau tir cho nghién ctu | Loi nhudn cong nghigp | (X2) va phat trign (Y) 1 6375.3 02.5 185.1 2 11626.4 92.9 1569.5 3 14655.1 178.3 2768 4 21869.2 258.4 2828.1 3 26408.3, 494.7 2225.9 6 32405.6 1083, 3751.9 7 35107.7 1620.6 2884.1 8 40295.4 421.7 4645.7 9 70761.6 509.2 5036.4 10 8052.8 6620.1 13869.9 u 9524.0 3918.6 4487.8 12 101314.1 1595.3 10278.9 1B 1161413 6107.5 8787.3 4 122315.7 4454.1 16438.8 15 141649.9 3163.8 9761.4 16 175025.8 13210.7 1974.5 17 241434.8 1703.8 23168.5 18 293543.0 9528.2 18415.4 pé xem xet tac dong cua doanh thu lén dau tw cho nghién cwu va phat trién, ta ude Iuong mé hinh: Y¥=B+B,X,+U rn+4,000 12.000 10.000 8,000 6,000 4,000 2,000 ° yoolo 200/000 —~300,000 2 Nhin vao biéu dé phan tin cua bién doanh thu va bién khodn dau tu cho nghién ciru va phat trién, nhan thay hai bién nay c6 quan hé cling chigu phi hop véi eo sé kinh t8 hoc, ky vong ring khi doanh thu tang thi khoan dau tu cho nghién ctru va phat trién cing sé tang vi viée nghién ciru va phat trién téc dong tich cue toi cdc nhém nganh céng nghiép, Jam tang loi nhudn. Ngoai ra khi bién ¥, c6 gia tri cdng 1én thi cae diém phan tan can rong. Diéu nay cho thay 6 dau higu phuong sai thay déi. Dé c6 nhin nhan chinh xac hon vé hién tong nay, ta khao sat biéu do phan du: Dependent Variable: Y Method: Least Squares Date: Time: ‘Sample: 1 18 Included observations: 18 Variable Coefficient Std. Error t-Stalistic Prob. x2 0.030878 0.008346 3.699582 0.0019. c 266.1917 102.961 0.265406 0.7941 R-squared 0.461042 Mean dependent var 056.856, Adiustod R-squared ‘0.427367 S.D. dependent var_ 375.973 S.E. of regression 2804.428 Akaike info criterion 18.82023 ‘Sum squared resid 1.2608 Schwarz criterion 18.91916 Log likelinood -167.3820 Hannan-Quinn crite. 18.83387 F-statistic 13,68690 Durbin-Watson stat 3.020747 Prob(F-statistic) 0.0019448,000 6,000 4,000 = 2,000 " PHANDU -2,000 ee 4,000 -6,000 Fi -8,000 0 100,009 200,000 300,000 60,000,000 0,000,000 40,000,000 30,000,000 20,000,000 PHANDUBINHPHLONG 10,000,000 0 100,000 200,000, 300,000 x2 Nhin vao hai dé thi trén vé phin du, ta nhén thay c6 hién tugng phuong sai ddi vé mau sé ligu quan sat. sé thay Sir dung phuong phap dinh lung dé kiém ching hign tong trén: 13Kiém dinh Park: Dependent Variable: LOG(PHANDUINHPHUONG) Method: Least Squares Date: Time: ‘Sample: 1 18 Included observations: 18 Variable Coefficient Std. Error Statistic Prob. LoG(x2) 0.937739 0.452026 2.074524 0.0545 c 3.411791 4.972480 0.686135 0.5025 Resquared 0.211964 Mean dependent var 13.67970 Adjusted Resquared 0.162712 SD. dependent var. 2.212710 SE. of regression 2.024705 Akaike info criterion 4.353165 Sum squared resid 5.59091 Schwarz criterion 4.452095, Log likelihood -87.17848 Hannan-Quinn criter. 4.366806 F-statistic 4.303850 DurbinWatson stat 1.661072 Prob(F-statisic) 0.054525 Nhan thay p-value cho bién LOG(X2) bing 0.0545 > 0.05 nén chap nhan gia thuyét ring phwrong sai khang déi tmg véi mite ¥ nghia 5% © Kiém dinh Glejser: Sir dung mét sé dang ham hdi quy ma Glejser dé xudt Dependent Variable: ABS(PHANDU) Method: Least Squares. Date: Time Sample: 1 18 Included observations: 18 Variable Coefficient Std. Error Statistic Prob. x2 0.012405 0.005606 2.212694 0.0418 c 573.4053 673.6986 0.851130 0.4073 R-squared 0.234304 Mean dependent var 1694.40 Adjusted Resquared 0.186448. S.D. dependent var 208.493 S.E. of regression 883.761 Akaike info criterion ——18,02437 ‘Sum squared resid 56776901. Schwarz criterion 18.12330 Log likelihood ~160.2193 Hannan-Quinn criter. _18.03801 F-statistic 4.896013 Durbin-Watson stat 1.764230 Prob(F-statisic) 0.041804 Thu duge [0] =573.4053+0.012405x, R= 0.234304. 4