Chng 2

M hnh hi qui hai bin

c lng v kim nh gi thit
1. Phng php bnh phng b nht
Gi s : Yi = 1 + 2Xi + Ui (PRF)
v c mt mu n quan st (Yi, Xi). Cn
c lng (PRF).

Ta c :

i ei
Yi Y

vi

i 1 2Xi
Y

(SRF)

Theo phng php OLS,

i cng gn vi Yi th 1, 2 cn tha mn :
Y
n

e ( Yi 1 2Xi) min
i1

2
i

i1

1,
2 cn tha mn :
Suy ra

e
i
i1

2( Y
i1

X )(1) 0

1
2 i

e2
i

i1

2( Y
i1

X )( X ) 0

1
2 i
i

gii h, ta c :
n

X Y nX Y
i i

i1
n

2
i

i1

1 Y 2X

n( X)

C th chng minh c :
n

x y X Y nX Y
i 1
n

i i

i1

x X
i1

2
i

i1

xi Xi X

i i

2
i

n( X)

vi

yi Yi Y

Nn c th biu din :

xy

i i
2
i

V d 1: Gi s cn nghin cu chi tiu

tiu dng ca h gia nh ph thuc th
no vo thu nhp ca h, ngi ta tin
hnh iu tra, thu c mt mu gm
10 h gia nh vi s liu nh sau :

70

65

90

95

110 115 120 140 155 150

80

100 120 140 160 180 200 220 240 260

Trong : Y chi tiu h gia nh

(USD/tun)
X thu nhp h gia nh
(USD/tun)
Gi s Y v X c quan h tuyn tnh. Hy
c lng m hnh hI qui ca Y theo X.

2. Cc gi thit c in ca m hnh
hi qui tuyn tnh
Gi thit 1 : Bin c lp Xi l phi
ngu nhin, cc gi tr ca chng phi
c xc nh trc.
Gi thit 2 : K vng c iu kin ca
sai s ngu nhin bng 0 :
E (Ui / Xi) = 0 i

 Gi thit 3 : (Phng sai thun nht )

Cc sai s ngu nhin c phng sai
bng nhau :
Var (Ui / Xi) = 2 i
Gi thit 4 : Khng c hin tng tng
quan gia cc sai s ngu nhin :
Cov (Ui , Uj ) = 0 i j
Gi thit 5 : Khng c hin tng tng
quan gia bin c lp Xi v sai s ngu
nhin Ui : Cov (Xi , Ui ) = 0 i

 nh l Gauss Markov : Vi cc gi
thit t 1 n 5 ca m hnh hi qui
tuyn tnh c in, cc c lng OLS
l cc c lng tuyn tnh, khng
chch v c phng sai b nht trong
lp cc c lng tuyn tnh, khng
chch.

3. Phng sai v sai s chun ca cc

c lng
Phng sai
Var( 1) 2
1

Var( 2) 2
2

2
X
i

n xi2

1 2

2
xi

Sai s chun
se( 1) 2
1

se( 2) 2
2

Trong : 2 = var (Ui). Do 2 cha bit

2
nn dng c lng ca n l
ei

2

n 2

4. H s xc nh v h s tng quan
a. H s xc nh : Dng o mc ph
hp ca hm hi qui.
ESS
RSS
R
1
TSS
TSS
2

dn

Trong : TSS
= ESS + RSS
n
n
TSS

( Y Y)

i1

ESS

y
i1

2
i

(
Y

Y
)
i
i1

RSS

(
Y

Y
)
i i
i1

2
e
i
i1

Min xc nh ca R2 :
0 R2 1
R2 1 : hm hi qui cng ph hp.
R2 0 : hm hi qui cng t ph hp
V d :

b. H s tng quan : L s o mc
cht ch ca quan h tuyn tnh gia
X v Y.
r

(X X)( Y Y)
(X X) ( Y Y)
i

x y
x y
i

2
i

2
i

Chng minh c : r R
V du ca r trng vi du ca h s ca
X trong hm hi qui ( 2).
2

Tnh cht ca h s tng quan :

1. Min gi tr ca r

: -1 r 1

| r| 1 : quan h tuyn tnh gia X v

Y cng cht ch.
2. r c tnh i xng :

rXY = rYX

3. Nu X, Y c lp th r = 0. iu
ngc li khng ng.

5. Phn phi xc sut ca cc c lng

Gi thit 6 : Ui c phn phi N (0, 2),
Vi gi thit 6, cc c lng c thm
cc tnh cht sau :
1. Khi s quan st ln th cc c
lng xp x vi gi tr thc ca phn
phi :
n
n

1 1, 2 2

2
1 1

2. 1 ~ N( 1, ) Z
~ N(0,1)
1

1

2 ~ N( 2 , )
2
2

2 2
Z
~ N(0,1)

2

3.

(n 2)
2
~ (n 2)
2

4.

Yi ~ N ( 1+ 2Xi, 2)

6. Khong tin cy ca cc h s hi qui

S dng phn phi ca thng k t :
j j
t
~ t(n 2)
se( j )

j 1,2

Ta c khong tin cy ca 1 :
1 se( 1).t / 2(n 2) 1 1 se( 1).t / 2(n 2)
Ta c khong tin cy ca 2 :

2 se( 2 ).t / 2(n 2) 2 2 se( 2).t / 2(n 2)

7. Kim nh gi thit v cc h s hi qui

Gi s H0 : 2 = a ( a = const)
H1 : 2 a
C 2 cch kim nh :
1. Dng khong tin cy :
Khong tin cy ca 2 l [, ]
- Nu a [, ] bc b H0
- Nu a [, ] chp nhn H0
2. Dng kim nh t :
Thng k s dng :

2 2
t
~ t(n 2)
se( 2 )

C hai cch c kt qu kim nh t :

Cch 1 : dng gi tr ti hn.
2 a
- Tnh
t
se( 2 )

- Tra bng t tm t/2(n-2)

- Nu | t| > t/2(n-2) bc b H0.
- Nu | t| t/2(n-2) chp nhn H0.

Cch 2 : Dng p-value (mc ngha

chnh xc)
p = P(| T| > ta)
2 a
vi ta = t
se( 2 )

- Nu p bc b H0.
- Nu p > chp nhn H0.

8. Kim nh s ph hp ca hm hi
qui. Phn tch hi qui v phn tch
phng sai
Gi thit H0 : 2 = 0 ( hm hi qui
khng ph hp)
H1 : 2 0 (hm hi qui ph hp)
S dng phn phi ca thng k F :

2
2

( 2 2 ) xi / 1

2
i

/(n 2)

~ F(1, n 2)

Khi 2 = 0 , F c th vit :
2
2

2 xi

ESS/ 1
R2 / 1
F

(*)
2
2
ei /(n 2) RSS/(n 2) (1 R ) /(n 2)

Nn c th dng qui tc kim nh sau :

- Tnh
2
R /1
F
2
(1 R ) /(n 2)
- Nu F > F(1, n-2) bc b H0
hm hi qui ph hp.

Mt khc, cng t (*) cho thy :

Phn tch phng sai cho php a ra
cc phn on thng k v thch
hp ca hi qui ( xem bng phn tch
phng sai).
* Mt s ch khi kim nh gi thit :
- Khi ni chp nhn gi thit H0,
khng c ngha H0 ng.
- La chn mc ngha : c th
ty chn, thng ngi ta chn mc
1%, 5%, nhiu nht l 10%.

9. D bo
a. D bo gi tr trung bnh :
Cho X =X0 , tm E(Y/X0).
- D bo im ca E(Y/X0) l :
0 1 2X0
Y

- D bo khong ca E(Y/X0) l :
Y0 se( Y
0 ).t(n/22) E( Y / X0 ) Y
0 se( Y
0 ).t(n/22)

Trong :

1 ( X0 X)2
2

var(Y0 )

2
n
xi

b. D bo gi tr c bit :
Cho X =X0 , tm Y0.
Y0 se( Y0 Y
0 ).t(n/22) Y0 Y
0 se( Y0 Y
0 ).t(n/22)

Trong :
0 ) var(Y
0 ) 2
var(Y0 Y
nn

0 ) var(Y
0 ) 2
var(Y0 Y

di tin cy ca
gi tr c bit

di tin cy ca
gi tr trung
bnh

* c im ca d bo khong

10. Trnh by kt qu hi qui

X
i
R2 =
Y
1
2
i
se = s ( ) s ( )1
n =2
t = t1
t2
F =
p = p(>t1) p(>t2) p(> F) =
Trong :
1 0
2 0
t1
t2
se( 1)
se( 2)
= 24,4545

Yi
se =
t =
p =

+ 0,5091 Xi
R2 = 0,9621
(6,4138)
(0,0357) n = 10
(3,813)
(14,243) F = 202,87
(0,005)
(0,000) p = (0,000)

11. nh gi kt qu ca phn tch hi

qui
Du ca cc h s hi qui c lng
c ph hp vi l thuyt hay tin
nghim khng.
Cc h s hi qui c lng c c
ngha v mt thng k hay khng.
Mc ph hp ca m hnh (R2).
Kim tra xem m hnh c tha mn cc
gi thit ca m hnh hi qui tuyn tnh
c in hay khng.