CHNG 6

CC DNG
M HNH HI QUY

1 v d:
Xem xt chi tiu cho vic hc ca con 1 h gia nh
nh hng n kt qu hc tp, ngi ta diu tra:
Tp HCM, thu nhp 15 triu, chi tiu 3 triu
nng thn, thu nhp 3tr, chi tiu 1,5 triu
M hnh xut Y= 1 + X 2 +u c ph hp?

N LI HM LOGARIT V HM M

m:
X
Y= a (a > 0),
a gi l c s,
trong ton hc,
thng gp
nht l c s e
Hm m
dng chun
Y= e X
Hm

 Hm

logarit:

Y= logaX
Y= logeX =ln X
Mt

s tnh cht

ca hm logarit
ln (X.Y) = lnX + lnY
ln (X/Y) = lnX lnY
ln (a X) = X ln a

 CO GIN
d: xt Cu v Gi trong kinh t hc
Ta c: Qd = a b.P
co gin ca cu theo gi:
%Q Q P
dQ P
E

.
hay E
.
%P P Q
dP Q
co gin ca cu theo gi l i lng c
trng cho phn ng ca lng cu khi gi thay
i

nh ngha:
co gin ca Y i vi X l

Y / Y
phan tram thay oi cua Y Y X

.
X / X phan tram thay oi cua X X Y
dY X
hay
.
dX Y
trong ,

dY
s thay oi cua Y gi l tc ng cn bin

dX
s thay oi cua X

 co gin v ngha h s hi quy

Xt hm hi quy tuyn tnh n bin:

Y 1 2 X u

Xt tc ng cn bin:

dY d 1 2 X u 2 dX

2
dX
dX
dX

dY 2 dX
ngha l: (S thay i ca Y) = 2.(S thay i ca X)
Khi X thay i 1 n v th Y thay i 2 n v

CC DNG M HNH HI QUY

Hi quy qua gc ta
Hm hi quy c dng:
1.

Yi 2 X i

Yi 2 X 2i ... k X ki
c gi l hm hi quy qua gc ta hay hm
hi quy c tung gc bng 0
V d: trang 58

 2.

M hnh tuyn tnh Logarit ( Log Log )

Xt m hnh hi quy m:

Y 1. X

2 u

.e

Ta c th a phng trnh trn v dng tuyn tnh

bng cch ly ln 2 v:

ln Y ln 1 2 .ln X u
t ln(1)= , ta c
ln Y 2 .ln X u
y l m hnh tuyn tnh theo tham s v 2 , tuyn
tnh theo lnY v lnX. M hnh ny c gi l m hnh
tuyn tnh log ( hay log-log)

Xt tc ng cn bin:

d ln Y d 2 .ln X u
1 dX

2
dX
dX
X dX
dX
dY
dX
d ln Y 2

2
X
Y
X

ngha l: (% S thay i ca Y)= 2.(% S thay i ca X)

Khi X thay i 1% th Y thay i 2 %

ng dng : Hm sn xut Cobb Douglas

Y 1. X 2

X3

.e

Trong :
Y : sn lng, X2: lng lao ng, X3: lng vn
Ta c th a phng trnh trn v dng tuyn tnh
bng cch ly ln 2 v:

ln Y ln 1 2 .ln X 2 3.ln X 3 U
ngha h s hi quy 2, 3
ngha 2 : Khi X2i thay i (tng hoc gim) 1% ,
v X3i khng i, th Y thay i 2 %
ngha 3 :Tng t

 ngha h s hi quy 2+ 3
Khi X2i v X3i tng ln k ln (tng quy m sn
xut) th ta c hm sn xut:

Y * 1. kX 2
k

2 3

2 3

kX 3 .e

1. X 2 X 3
2

.eU

.Y

Nu 2+ 3 1 th Y khng tng hoc gim tng

quy m khng hiu qu
Nu 2+ 3 >1 th Y tng vic tng quy m hiu
qu

M hnh tuyn tnh logarit ( log log ) dng

tng qut

ln Yi ln 1 2 .ln X 2i 3 .ln X 3i
... k .ln X ki U i

V d:
Y: tng sn lng nng nghip (triu $)
X2: ngy lao ng (triu ngy), X3:lng vn (triu $)

ln Yi 3,3386 1, 4988.ln X 2i 0, 4899.ln X 3i

ngha h s hi quy:
2: Nu gi lng vn khng i, khi tng ngy
lao ng 1% th sn lng trung bnh tng
khong 1,5%
3: Nu gi lng lao ng khng i, khi tng
lng vn 1% th sn lng trung bnh tng
khong 0,5%
(2+ 3)>1: Tng quy m c hiu qu

 3.

M hnh bn Logarit.
3.1. M hnh log lin.
t
Xt cng thc tnh li gp: Yt Y0 1 r
Ta c th a phng trnh trn v dng tuyn
tnh bng cch ly ln 2 v:

ln Yt ln Y0 t.ln 1 r
t 1 =ln(Y0) , 2 =ln(1+r) ta c
ln Yt 1 2t
Thm vo yu t ngu nhin:

ln Yt 1 2t ui

M hnh trn gi l m hnh log lin

Xt tc ng cn bin:

d ln Y d 2t u
dt

2
dt
dt
dt
dY
d ln Y 2 dt
2 dt
Y

ngha l: (% s thay i ca Y)= 2.(S thay i ca t)

Khi t thay i 1 nm th Y thay i 2 .100%

V d: Hi quy tin lng v s nm hc tp

Dependent Variable: LOG(WAGE)
Included observations: 49
Variable Coefficient Std. Error t-Statistic Prob.
C
7.156538 0.119077 60.10004 0.0000
EDUC
0.047942 0.017898 2.678665 0.0102
=========================================
R-squared
0.132445
Adjusted R-squared
0.113986

Nhn xt ngha h s hi quy?

3.2. M hnh lin log .

Y 1 2 .ln X U
Xt tc ng cn bin:

dY d 1 2 .ln X U
1 dX

2
dX
dX
X dX
dX
dY 2
X

ngha l: ( s thay i ca Y)= 2.(%S thay i ca X)

Khi X thay i 1 % th Y thay i 2 /100 n v

4. M hnh nghch o .
1
Y 1 2 .
X

c im:
Khi X tng ln v hn th 2(1/X) tin ti 0. Vy Y tin ti
gi tr gii hn 1
ngha h s hi quy:
Khi X tng ln v hn th Y tin ti gi tr gii hn 1

V d: trang 69

 5.

Cc m hnh hi quy a thc

Hi quy a thc bc 2:Yi 0 1. X i 2 . X i Ui

2

Hi quy a thc bc k:

Yi 0 1. X i 2 . X i ... k . X i Ui
2

 Hm

hi quy a thc bc 2 t cc i/ cc tiu khi no?

1 2 2 . X i 0
X i 1 / 2 2
d: hm chi ph
Chiph = 1 + 2.SnLng + 3 SnLng2 + 4 SnLng3
ChiphBin = 2 + 23 SnLng + 34 SnLng2
4 >0
Xc nh sn lng cn sn xut chi ph nh nht?
ChiphTB = 10,52 0,175.SnLng + 0,0089SnLng2
V d: hm li nhun
LiNhun = 1 + 2.QungCo + 3 QungCo2
3 <0
V

 Bng tm tt
M hnh Bin
ph
thuc
Tuyn
Y
tnh
thng
Lin log Y

Bin
dY/dX
c lp

Din gii ngha

ca 2

dY/dX

Ln (X)

dY/
d(lnX)

Log lin Ln (Y)

d(lnY)/
dX

Log log Ln (Y)

Ln (X)

d(lnY)/
d(lnX)

X thay i 1 n
v th Y thay i 2
n v
X thay i 1% th
Y thay i (2
/100) n v
X thay i 1 n
v th Y thay i
(2 .100)%
X thay i 1% th
Y thay i 2 %

5. T L V N V O

Y 1 2 X U

Nu n v o ca Y v X thay i Y * k1Y ; X * k2 X

Y * 1 * 2 * X * U *
1* k11

k1
; 2 * 2
k2

V d: Hm hi quy tuyn tnh ca doanh s bn hng

(triu ng/nm) theo chi ph cho hng (trng/nm)

Yi 667,02048 6,16512. X i
Nu X, Y tnh theo n v ngn ng/thng th hm hi
quy thay i nh th no ?
1 tr/nm = 1000/12 ngn ng/thng k1,k2=1000/12

V d: Hm hi quy tuyn tnh ca lng cam (tn/thng)

theo gi cam (ngnng/kg)

Yi 15, 245 1,345. X i

Nu lng cam tnh theo n v kg/tun th hm hi quy
thay i nh th no ?
1 tn/thng= 250 kg/tun k1= 250

Nu gi cam tnh theo n v triung/tn th hm hi

quy thay i nh th no ?
1 ngnng/kg=1 trng/tn k2=1

Nu lng cam tnh theo n v tn/nm v gi cam tnh

theo n v triung/tn th hm hi quy thay i nh
th no ? 1 tn/thng=12 tn/ nm k1=12
1 ngnng/kg=1 trng/tn k2=1

BI TP TNG HP
1. Chng minh cc h s hi quy c lng c l bin
ngu nhin c phn phi chun?
2
~ N ( ,
)
S XX
2. Nu gi thit A1 tr thnh : E(Ui)=a, ta c chng minh
c E(2^)= 2? Gii thch?
3. Xt 2 m hnh sau:

Yi X X ... X ui (1)
1
2 2i
3 3i
k ki
Yi X X ...
X
ui (2)
1
2 2i
3 3i
k m (k m)i
0 : k k 1 ... k m1 0

H1 : i 0

Xt kim nh Wald: H

Chng minh rng gi tri kim nh F trong kim nh Wald lun nhn
gi tr dng?

4. tm hm hi quy chi tiu theo thu nhp trung bnh

ca ngi dn, gi s ta c 2 b d liu: 1 b d liu thu
c t dn c Qun 5 v 1 b d liu t sinh vin k
tc x HQG. Khi tm hm hi quy, chnh xc ca h
s c lng bng b d liu no cao hn?
5. Chng minh 2^ l c lng khng chch cho 2 ?

2. Xt mi quan h gia tin lng ($/thng), s

nm hc tp, tui, ta c hm hi quy sau
Dependent Variable: WAGE
Included observations: 49
Variable
Coefficient Std. Error
t-Statistic
Prob.
C
669.7863
540.5972

0.2216
LOG(EDUC)
209.4792
2.516452
0.0154
AGE
5.387896

0.622543
0.5367
===============================================
R-squared
0.124803
Adjusted R-squared

1. Nhn xt ngha cc h s hi quy

2. Tnh h s xc nh hiu chnh?
3. c lng khong tin cy cho h s hi quy ng vi
bin age?
4. mc ngha 5%, bin log(EDU) c nh hng n
tin lng khng?
5. C th cho rng khi c s nm hc tp nh nhau, mt
ngi ln hn 1 tui s c tin lng tng hn 6$/thng?
6. Kim nh s ph hp ca hm hi quy?

Ngi ta hi quy c m hnh sau, kim nh xem

c nn thm bin vo m hnh? Mc ngha 5%

7.

Dependent Variable: WAGE

Included observations: 49
Variable
Coefficient Std. Error
t-Statistic
Prob.
C
-275.3972
1580.812
-0.174212
0.8625
LOG(EDUC) 649.0216
204.2887
3.176982
0.0027
AGE
33.33871
73.71591
0.452259
0.6533
AGE^2
-0.423983
0.827987
-0.512065
0.6112
EXPER
39.98221
15.22915
2.625373
0.0119
==========================================
R-squared
0.250932
Adjusted R-squared 0.182835

8. Khi s nm kinh nghim v s nm hc nh nhau. Xc

nh tui ca ngi c thu nhp cao nht?