On Tap Kinh Te Luong

TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.
ORG
1-Mr.Isaac Nguyn
ON TAP MON KINH TE LNG

1. Ham hoi quy tuyen tnh (phng phap bnh phng be nhat OLS: Ordinary
Least Squares)
PRF: Y
i
= o +|X
i
+ u
i
.
SRF: Y
= o + |
X
i
(c lng)
Tnh gia tr trung bnh mau (average value):
n
Xi
X

= va
n
Yi
Y

=
Tnh he so hoi quy (Coefficient):
=
2 2
) (
. .
X n Xi
Y X n XiYi
| va X Y | o

=
Tnh phng sai (Variance):
1
) (
2
2
=

n
Y Yi
Y o va
1
) (
2
2
=

n
X Xi
X o
Tnh o lech chuan (Standard Deviation):
SD
Y
= Y
2
o va SD
X
= X
2
o
Tnh ong phng sai hay hiep phng sai (Covariance):
S
XY
= cov(X,Y) =
n
i
Y Yi X Xi
n
1
) )( ( *
1
1

2. Tnh tong bnh phng o lech:
TSS =
2
yi =

2
) ( Y Yi =

2 2
) (Y n Yi
ESS =
2
i y =

2
)
( Y i Y =
2 2
xi |
RSS =
2
i u =

2
)
( i Y Yi
TSS = ESS + RSS
Vi X Xi xi = va Y Yi yi =
3. Tnh he so xac nh R
2
:

= = =
2
2 2
2
1
yi
xi
TSS
ESS
TSS
RSS
R
|

Vi 0<R
2
<1
R
2
=1 ng hoi quy thch hp (mc o hoan hao cua mo hnh) khi o
phan d RSS=0
TAI LIEU KINH TE LUONG WWW.KHOAKINHTE.ORG
2-Mr.Isaac Nguyn
=> i Yi i Y = ,

R
2
=0 => SRF(mo hnh hoi quy mau) khong thch hp RSS=TSS =>
i i Y i Y = ,

4. He so tng quan: r (coefficient of Correlation)

=
2 2 2 2
) ( * ) ( Y n Yi X n Xi
Y X n XiYi
r
Vi X Xi xi = va Y Yi yi =
Ta co the viet:
2
2 2
.
R
yi xi
yi xi
r = =

r cung dau vi |

5. Tnh khoang tin cay he so:
Bc 1: Xac nh khoang tin cay 95% (hoac 90%) e tm mc y
ngha o=5% (hoac 10%). Tnh o/2 = 0.025. Tnh gia tr t tra bang t-student
vi phan v o/2 va bac t do df=n-k-1
Bc 2: Xac nh phng sai PRF
1
2

=
k n
RSS
o
Bc 3: Xac nh sai so chuan (standard error) cua tng he so.
=
2
2 2
*
*
) (
xi n
Xi
e s
o
o Vi X Xi xi =
=
2
2
(
xi
e s
o
|
Bc 4: So sanh va tnh khoang tin cay.
) ( *
) 1 (
2 /
o o
o
e s t
k n
hoac ) ( * ) ( *
) 1 (
2 /
) 1 (
2 /
o o o o o
o o
e s t e s t
k n k n
+ < <
)
( *
1
2 /
| |
o
e s t
k n
hoac )
( *

)
( *
1
2 /
1
2 /
| | | | |
o o
e s t e s t
k n k n
+ < <
6. Khoang tin cay cua phng sai:
Bc 1: Xac nh khoang tin cay 95% (hoac 90%) e tm mc y ngha
o=5% (hoac 10%). Tnh phan v o/2 = 0.025 va 1-o/2=0.975. Tra bang phan
phoi Chi-square vi 2 phan v o/2 va 1-o/2 ng vi bac t do df=n-k-1
) (
2
2 /
df X
o
va ) (
2
2 / 1
df X
o

3-Mr.Isaac Nguyn
Bc 2: nh khoang tin cay phng sai
(
) (
) 1 (
;
) (
) 1 (
2
2 / 1
2
2
2 /
2
2
df X
k n
df X
k n
o o
o o
o
7. Kiem nh he so hoi quy:
Bc 1: at gia thiet Ho: |=0 va H
1
: |#0 vi mc y ngha o=5%
(thong thng)
Bc 2: Ap dung 1 trong cac cach sau:
Cach 1: Phng phap khoang tin cay
Kiem nh 2 pha: )]
( *
);
( *
[
) 2 (
2 /
) 2 (
2 /
u u u u
o o
e s t e s t
n n
+
Neu u
o
khong ri vao khoang nay th bac bo gia thiet Ho.
Kiem nh pha phai: ] );
( *
[
) 2 (
2 /
+

u u
o
e s t
n

Neu u
o
Kiem nh pha trai: )]
( *
; [
) 2 (
2 /
u u
o
e s t
n
+
Neu u
o

Cach 2: Phng phap gia tr ti han
Bc 1: Tnh
)
0
0
|
| |
e s
t

=
Bc 2: Tra bang vi mc y ngha o/2 va o (o/2 oi vi
kiem nh 2 pha va o oi vi kiem nh 1 pha). Tra bang t-student:
2
2 /
n
t
o
va
2 n
t
o

Bc 3: So sanh t
0
vi gia tr ti han.
Kiem nh 2 pha: |t
o
|>
2
2 /
n
t
o
: bac bo gia thiet Ho.
Kiem nh pha phai: |t
o
|>
2 n
t
o
Kiem nh pha trai: |t
o
|< -
2 n
t
o
Cach 3: Phng phap gia tr p-value
Bc 1: Tnh gia tr
)
0
0
|
| |
e s
t

=
Bc 2: Tnh p-value = P(|t|> t
o
)
Bc 3: So sanh vi mc y ngha o=5%
Kiem nh 2 pha: p-value <o: bac bo gia thiet Ho.
4-Mr.Isaac Nguyn
Kiem nh 1 pha: p-value/2 <o: bac bo gia thiet Ho.
8. Kiem nh s phu hp cua mo hnh (F
0
):
- R
2
cang gan 1, mo hnh hoi quy cang co y ngha. Do o, anh gia xem gia tr
R
2
>0 co y ngha thong ke hay khong.
- oi vi mo hnh hoi quy 2 bien, gia thiet Ho con co y ngha bien oc lap
khong anh hng en bien phu thuoc Y.
- Kiem nh bang phng phap gia tr ti han.
Bc 1: at gia thiet Ho: R
2
=0 ~~|=0 va H
1
: R
2
>0
Bc 2: tnh Fo =
2
2
1
) 2 (
R
n R

=
) 2 /(
1 /
n RSS
ESS

Bc 3: So sanh ket qua vi o=5%. Tra bang F vi mc y ngha o va 2
bac t do (1,n-2) ta tnh c gia tr ti han F
o
(1,n-2).
So sanh Fo va F
o
(1,n-2)
Neu Fo> F
o
(1,n-2) : bac bo gia thiet Ho
Neu Fo< F
o
(1,n-2): chap nhan gia thiet Ho.

9. oc hieu bang ket qua hoi quy tren phan mem Excel:
Regression
Statistics

Multiple R he so R co the nhan oi
R-Square (R
2
) he so xac nh R
2

TSS
ESS
R =
2

Ajusted R Square (r ) he so tng quan r r=1-[1-R
2
]*(n-1/n-k-1)
Standard Error (o) Sai so chuan cua PRF
df k n
RSS

=
2
o
Observation so quan sat
ANOVA
df(bac t do) SS (ESS) MS(EMS) F
Regression(ESS) ESS
ESS/df
(trungbnh phan
g.thch)
=
df RSS
df ESS
/
/

Residual (RSS) RSS
RSS/df
(t.bnh phan khg
g.thch)

Total (TSS)

TSS=ESS+RSS
TSS TMS=EMS+RMS
Coefficient
standard
error
t-stat p-value lower 95% upper 95%
5-Mr.Isaac Nguyn

He so hoi
quy
sai so
chuan
(hoi quy)
t- thong ke gia tr P
o tin cay
(di)
o tin
cay
(tren)
Intercept o ) (o se
Variable 1 (bien 1)
2
| )
(
2
| se

)
2
0 2
|
| |
se
t

=
Variable 1 (bien 2)
3
| )
(
3
| se
)
3
0 3
|
| |
se
t

=

10. oc hieu bang ket qua hoi quy tren phan mem Eviews:
Dependent Variable: CM
Method: Least Squares
Date: 08/18/07 Time: 21:46
Sample: 1 64
Included observations: 64 S quan st

Variable Coefficient Std. Error t-Statistic Prob.
Bin trong m hnh H s HQ Sai s chun Thng k t Gi tr P
C
o =263.6416
) (o se =11.59318
PGNP
2
| =-0.005647 )
(
2
| se =0.002003 )
2
0 2
|
| |
se
t

=

R-squared (R
2
)h s xc nh 0.707665 Mean dependent var ) (Y 141.5
Adjusted R-squared
(R
adj
)or
2
R
0.698081
S.D. dependent var
1
) (
2
n
Y Yi

75.97807
S.E. of regression ( ) o PRF) 41.7478 Akaike info criterion (AIC) 10.34691
Sum squared resid (RSS) 106315.6 Schwarz criterion (SC) 10.44811
Log likelihood (L) -328.1012 F-statistic Gi tr thng k F 73.83254
Durbin-Watson stat (DW) 2.186159 Prob(F-statistic) =P(phn phi F>Fo) 0.000000

11. Viet phng trnh hoi quy.
Can c vao ket qua hoi quy co trong bang, ta co the viet lai phng trnh
hoi quy mau nh sau:
SRF: Y
= o +
2
| X
i
(c lng)
12. Trnh bay ket qua hoi quy:
6-Mr.Isaac Nguyn
Y
= o +
2
| X
i
n= ? (so quan sat)
) (o se =? )
(
2
| se =? R
2
=?
) (
0
o
o o
se
t

=
)
2
0 2
|
| |
se
t

= Fo=?
p-value(SRF) =? P-value (PRF)
TSS=? ESS=? RSS=?
2
o (PRF)=?

13. Y ngha he so hoi quy:
oi vi dang ham: Y
= o +
2
| X
i
(he so hoi quy o,| co y ngha la he
so o doc)
oi vi dang ham logY
= o +
2
| logX
i
(he so hoi quy o,| co y ngha la
he so co gian)
oi vi dang ham co bien gia: he so hoi quy | theo bien gia co y
ngha la he so cat.

14. Y ngha R
2
, F, DW.
R
2
:
= = =
2
2 2
2
1
yi
xi
TSS
ESS
TSS
RSS
R
|
(Vi 0<R
2
<1)
R
2
=1 ng hoi quy thch hp (mc o hoan hao cua mo hnh)
khi o phan d RSS=0 => i Yi i Y = ,

R
2
=0 => SRF(mo hnh hoi quy mau) khong thch hp RSS=TSS =>
i i Y i Y = ,

F: Gia tr thong ke F-stat = EMS/RMS (cang ln cang tot, chng to phan
d RSS nho, mo hnh phu hp).
Durbin Waston stat (phng phap OLS):
Sau khi xuat ket qua hoi quy, tm phan d e
i
va tao bien tre phan d e
i-k
:
oc lap.
=
2
2
) (
i
k i i
e
e e
DW vi k=1
(Dung e kiem nh mo hnh co hay khong co tng quan gia cac
bien)
AIC: cang nho cang tot.
Quan he gia R
2
va R
2
adj
:
R
2
=1 => R
2
adj
=1
7-Mr.Isaac Nguyn
R
2
=0 => R
2
adj
<0 (R ieu chnh co the am)

15. Quan he gia R
2
va F, R
2
va ESS, RSS.
Fo =
2
2
1
) 2 (
R
n R

=
) 2 /(
1 /
n RSS
ESS

Quan he gia F va R
2
nh sau:
1 / ) 1 (
/
1 /
/
2
2

=

=
k n R
k R
k n RSS
k ESS
F R
2
cang
cao, F cang cao.

= = =
2
2 2
2
1
yi
xi
TSS
ESS
TSS
RSS
R
|
(o lngmc o phu hp cua mo hnh,
da tren 2 bien chon va mo hnh tuyen tnh)
R
2
adj
=
) 1 /(
) /(
1
n TSS
k n RSS
=
) 1 /(
) /( ) (
1
n TSS
k n ESS TSS
=
k n
n
R

1
* ) 1 ( 1
2
dung cho cac
mo hnh hoi quy co cac bien giai thch khac nhau (xem mc o thch hp
cua bien)

16. Kiem nh gia thiet ong thi (kiem nh s phu hp cua mo hnh hoi
quy a bien):
Bc 1: at gia thiet: Ho: R
2
=0 ~ Ho: |
1
=|
2
=0 (y ngha: cac bien oc
lap ong thi khong anh hng en bien phu thuoc hay noi cach
khac: ham hoi quy mau khong phu hp)
H
1
: R
2
>0 ~ H
1
: co t nhat mot |#0.
Bc 2: Tnh gia tr F
) , 1 ( ~
) 1 )( 1 (
) (
) /(
) 1 /(
2
2
k n k F
k R
k n R
k n RSS
k ESS
F

=
=
Bc 3: Tra bang F vi mc y ngha o=5% (thong thng) va phan
v F(k-1,n-k).
Bc 4: So sanh ket qua gia tr F trong bang ket qua hoi quy
(F-statistic) vi F tra bang.
Kiem nh bang phng phap gia tr ti han: F
o
> F
o
(k-1,n-k) : bac bo
gia thiet Ho
Kiem nh bang mc y ngha o: p-value =P(F>F
o
)< o: bac bo gia
thiet Ho
Note: Fo cang cao th kha nang bac bo gia thiet Ho cang ln.

17. Kiem nh Wald Test.
Y ngha: xem xet co nen a them bien mi vao mo hnh hay khong?
Xet 2 mo hnh:
Mo hnh rang buoc (UR-unrestricted model):
8-Mr.Isaac Nguyn
Y=|
0
+|
1
X
1
++|
m-1
X
m-1
++|
k-1
X
k-1
+u
i
.
Mo hnh rang buoc (R restricted model) : Y=|
0
+|
1
X
1
++|
m-1
X
m-1
+u
i
.
Kiem nh bang thong ke F:
Bc 1: c lng mo hnh UR vi k tham so, lu ket qua cua
RSS
UR
co df=n-k
c lng mo hnh R vi m tham so, lu ket qua cua
RSS
R
co df=n-m.
Trong o: m la so rang buoc =k
1
-k
2

k
2
la so bien giai thch trong mo hnh R
k
1
la so bien giai thch trong mo hnh UR
Bc 2: Tra bang F vi mc y ngha o=5% (thong thng) va
F
o
(k-m,n-k).
Tnh
) /( ) 1 (
) /( ) (
) /(
) /( ) (
2
2 2
k n R
m k R R
k n RSS
m k RSS RSS
F
UR
R UR
UR
UR R
tt

=

=
Bc 3: So sanh F tnh toan vi F tra bang.
F
tt
> F
o
(k-m,n-k) : bac bo gia thiet Ho (nen a bien vao mo hnh)
F
tt
< F
o
(k-m,n-k) : chap nhan gia thiet Ho (khong nen a bien
vao mo hnh)

18. Kiem nh Chow Test:
Y ngha: Xem trong chuoi d lieu co khac nhau g ve cau truc khong?
Neu khac tach thanh cac mo hnh khac nhau.
Neu giong ch dung mot mo hnh.
Y tng: co nen tach rieng hay e chung mo hnh.
Thc hien:
Bc 1: c lng 3 mo hnh
(1) Y=o
1
+o
2
X+v
1
. trong giai oan au co n
1
quan sat (VD: 1997~1990)
Tnh RSS
1
vi df=n
1
-k
(2) Y=|
1
+|
2
X+v
2
. trong giai oan sau co n
2
quan sat (VD: 1991~1998)
Tnh RSS
2
vi df=n
2
-k (k la tham so cua mo hnh hoi quy)
at RSS
U
=RSS
1
+RSS
2
vi bac t do df=n
1
+n
2
-2k
(1) c lng mo hnh chung Y=
1
+
2
X+u vi so quan sat n=n
1
+n
2

Tnh RSS
R
vi df=n-k
Bc 2: Tnh gia tr cua F-statistic
) 2 /(
/ ) (
k n RSS
k RSS RSS
F
UR
UR R
tt
=
Bc 3: Kiem nh
Gia thiet: Ho: hai hoi quy cua 2 thi ky nh nhau
Gia thiet H
1
: hai hoi quy khac nhau.
F
tt
> F
o
(k,n-2k) : bac bo gia thiet Ho
F
tt
< F
o
(k,n-2k) : chap nhan gia thiet Ho
9-Mr.Isaac Nguyn

19. Xac nh bien gia;
Cach tao bien gia:
oi vi d lieu cheo, bien gia co the theo giai oan
D=0 : giai oan 1
D=1: giai oan 2
Bang Eviews:
Cach 1: nhap gia tr 0,1 vao cac quan sat tng ng.
Cach 2: * tao bien xu the Eviews/genr/tt=@trend(moc cuoi giai oan1)
* tao bien gia da tren bien xu the, Eviews/genr/DUM=tt>so
quan sat.
oi vi 2 thuoc tnh: D=1 (thuoc tnh troi), phan con lai D=0 (bien
khong co trong mo hnh)
oi vi nhieu thuoc tnh, so bien gia = so thuoc tnh -1. So sanh
cac thuoc tnh khac vi thuoc tnh c s.
Tnh % khac biet cua bien gia bang cach lay 1-antilog
Kiem nh:
Phng phap khoang tin cay (lien he phan tnh khoang tnh cay)
Phng phap mc y ngha: (lien he kiem nh bang gia tr p-value
vi mc y ngha)
Phng phap nen hay khong a bien vao mo hnh (kiem nh bang
thong ke F)
Note: Ta can chu y en mo hnh hoi quy trc vao sau khi co bien
gia e anh gia. Khi a bien gia vao mo hnh, cac he so hoi quy
co y ngha (R
2
,t-stat va p-value) se cho ta nhan nh ung hn ve mo
hnh. Khi o mi ket luan mo hnh phu hp hay khong.

20. Phat hien phng sai thay oi
Phat hien:
e phat hien phng sai cua nhieu co thay oi hay khong, ngi ta
thng dung cong cu chan oan phan d Ui (co the co ket qua
ang tin cay).
Trong d lieu cheo do lay mau rat rong, de xay ra phng sai thay
oi.
Phan tch phan d Ui, va ve o th phan d theo bien oc lap bat
ky, ta co dang hnh phan tan eu va ong nhat.
Kiem nh Park test
Bc 1: Hoi quy mo hnh, lu so lieu phan d (resid trong bang bien
tai phan mem Eviews).
Mo hnh (1): Y
i
=|
1
+|
2
X
i
+U
i

10-Mr.Isaac Nguyn
Bc 2: c lng mo hnh phan d theo bien oc lap.
Mo hnh (2): lnU^
i
= o
1
+o
2
X
i
+V
i
.
Bc 3: at gia thiet: Ho: o
2
=0 (phng sai khong oi)
H
1
: o
2
#0 (phng sai thay oi)
Kiem nh bang t-stat.
Kiem nh Glejsei test
Mo hnh (1): Y
i
=|
1
+|
2
X
i
+U
i

Bc 2: c lng mo hnh phan d theo bien oc lap.
Mo hnh (2) co 1 trong cac dang sau :
Vi Xi i U + + =
2 1
o o hoac Vi
Xi
i U + + =
1
2 1
o o
Vi
Xi
i U + + =
1
2 1
o o hoac Vi Xi i U + + =
2 1
o o
2
=0 (phng sai khong oi)
H
1
: o
2
Kiem nh bang t-stat.

Kiem nh White test:
Mo hnh (1): Y
i
=|
0
+|
1
X
1i
+|
2
X
2i
+U
i

Bc 2: c lng mo hnh phu bang thao tac Eviews (View/Residual
Tests/White Heteroscedasticity) thu c R
2
. Sau o ta tnh X
tt
=n* R
2
(trong
o n la so quan sat)
1
=o
2
=o
3
= o
4
= 0 (phng sai khong oi)
H
1
: o
1
=o
2
=o
3
= o
4
Bc 4: Kiem nh va so sanh,
Tra bang Chi-square ) (
2
df X
o
vi mc y ngha o
Neu X
tt
=n* R
2
> X
tt
=n* R
2
: bac bo gia thiet.

21. Phat hien t tng quan bang kiem nh Durbin Waston
Phat hien: can c vao o th Scatter cua phan d U
i
vi bien tre U
i-1
.
-o th co dang ngau nhien th khong co s tng quan.
- o th co dang he thong th nhan nh co s tng quan xay ra.

Thc hien kiem nh bang Durbin Waston
11-Mr.Isaac Nguyn
Bc 1: c lng mo hnh hoi quy goc. Lu gia tr phan d U
i
va
tao bien tre U
i-1
.
Bc 2: Tnh gia tr
=
=

=
n
i
t
n
i
t t
U
U U
1
2
2
1

vi 1 1 s s
Hoac tnh gia tr ) 1 ( 2
)

(
1
2
2
2
1
~
=
=

n
t
t
n
t
t t
U
U U
d vi 4 0 s s d
Bc 3: Kiem nh va so sanh
Tra bang thong ke Durbin Waston cho ta cac gia tr ti han d
U
va d
L

vi mc y ngha o, so quan sat n, va so bien oc lap k.
So sanh:
* de (0,d
L
): t tng quan dng
* de (d
L
,d
U
): khong quyet nh c
* de (d
U
,2): khong co tng quan bac nhat.
* de (2,4-d
U
): khong co tng quan bac nhat.
* de (4-d
U,
4-d
L
): khong quyet nh c
* de (4-d
L,
4): t tng quan am

22. Phat hien a cong tuyen
Phat hien: R
2
cao nh t-stat thap (khong co y ngha p-value co gia tr cao)
He so tng quan cap gia cac bien giai thch cao, khoang 0.8

Thc hien kiem nh va xac nh a cong tuyen:
Bc 1: Xet he so tng quan gia 2 bien (co a cong tuyen)
Neu he so tng quan gan bang 1 (a cong tuyen gan nh hoan
hao),
Neu he so tng quan < 0.8 (a cong tuyen khong hoan hao).
Bc 2: Hoi quy Y theo tng bien oc lap X
1
, X
2
.
Ta co 2 mo hnh
(1): Y^
1
=o + o
1
X
1
lu ket qua R
2
, p-value (xem co hay khong y ngha
thong ke)
(2): Y^
2
=|+|
2
X
2
lu ket qua R
2
thong ke)
Bc 3: Hoi quy mo hnh phu 2 bien co a cong tuyen
(3) X^
2
=+
1
X
1
lu ket qua R
2
thong ke)
Bc 4: at gia thiet: Ho: khong co a cong tuyen
12-Mr.Isaac Nguyn
H
1
: co a cong tuyen
Kiem nh bang thong ke F:

) 1 /( ) 1 (
) 2 /(
2
2
2
2
2
+

=
k n R
k R
F
Tnh F tra bang vi mc y ngha o, F
o
(k-2,n-k+1)
So sanh: F
2
> F
o
(k-2,n-k+1): bac bo gia thiet.
F
2
< F
o
(k-2,n-k+1): chap nhan gia thiet.

Thc hien kiem nh va bo bt bien.
Bc 1: Xet he so tng quan gia 2 bien (co a cong tuyen)
Neu he so tng quan gan bang 1 (a cong tuyen gan nh hoan
hao),
Neu he so tng quan < 0.8 (a cong tuyen khong hoan hao).
Bc 2: Hoi quy Y theo tng bien oc lap X
1
, X
2
.
Ta co 2 mo hnh
(1): Y^
1
=o + o
1
X
1
lu ket qua R
2
thong ke)
(2): Y^
2
=|+|
2
X
2
lu ket qua R
2
thong ke)
Bc 3: Kiem nh
Xet p-value cua X
1
va p-value cua X
2
trong ket qua hoi quy.
p-value (X
1
) > p-value (X
2
): mo hnh hoi quy Y theo X
1
co mc o
phu hp cao hn mo hnh hoi quy Y theo X
2
. Do o loai bo bien X
2
.

23. Cach khac phuc cac loai benh (phng sai thay oi, t tng quan, a
cong tuyen)
Cach khac phuc a cong tuyen:
Bo bien ra khoi mo hnh, sau o hoi quy lai mo hnh khong bao
gom bien can loai bo. anh gia gia tr R
2
, t-stat va p-value xem
co y ngha thong ke khong.
Can c vao ket qua earnings (he so ang tin cay cho trc).
Sau o xac nh mo hnh hoi quy phu theo he so cho trc.
anh gia gia tr R
2
, t-stat va p-value cua mo hnh hoi quy phu xem
co y ngha thong ke khong.
Them d lieu cho mo hnh, tuy nhien cach thc nay ton kem chi
ph nen t c thc hien.
Cach khac phuc phng sai thay oi:
Biet phng sai o
2

Khong biet phng sai o
2
:
Bc 1: c lng phng trnh (1): Y
i
=b
1
+b
2
Xi+u
i

13-Mr.Isaac Nguyn
Bc 2: Ve o th phan d u
i
theo X
i
. anh gia xem phng sai nhieu
co hay khong ty le thuan vi bien giai thch .
Bc 3: Chia 2 ve cua phng trnh hoi quy (1) cho can bac 2 cua bien
giai thch.
(2)
Xi
ui
Xi
Xi
b
Xi
b
i X
Yi
+ + =
2
1
<=> vi Xi b
Xi
b
i X
Yi
+ + =
2
1

chuyen thanh dang phng trnh khong co he so cat.
Bc 4: So sanh mo hnh (1) va (2) qua so lieu hoi quy R
2
, t-stat va
p-value va anh gia mo hnh.
Cach khac phuc t tng quan:
Trng hp biet cau truc cua tng quan
Trng hp cha biet cau truc cua tng quan
Cach 1: c lng bang thong ke d
Cach 2: Phng phap Durbin Waston 2 bc (sach KTL-trang 171)

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