Kinh tế lượng

HC VIN CNG NGH BU CHNH VIN THNG
KINH T LNG
(Dng cho sinh vin h o to i hc t xa)
Lu hnh ni b

H NI - 2006

HC VIN CNG NGH BU CHNH VIN THNG

KINH T LNG

Bin son : TS. TRN NGC MINH

LI NI U

Nu nh kinh t v m v vi m m t s vn ng ca nn kinh t th kinh t lng cung
cp cc phng php phn tch v mt lng mi quan h gia cc hin tng kinh t cng vi s
tc ng qua li gia chng trn c s cc s liu thu thp t thc t nhm cng c thm cc gi
thit, t a ra cc quyt nh ng n hn.
T nhiu nm nay, cng vi s pht trin ca tin hc v my vi tnh, kinh t lng c
p dng rng ri trong kinh t cng trong nhiu lnh vc khc. c nhiu tp ch, sch gi khoa
vit v kinh t lng. Trong s phi k n cc tc gi nh: H. Theil (i hc Chicago), J.
Johnston, Daniel, L.Rubinfeld (i hc Califonia), D.Gujarati (Vin hn lm qun s Hoa k.).
Vit nam cng c mt s gio trnh Kinh t lng do mt s tc gi vit nh Kinh t lng
ca tc gi: GS.TSKH. V Thiu; ca PGS.TS. Nguyn Quang ng, ca PGS.TS. Nguyn Khc
Minh v ca tc gi Hong Ngc Mhm,.... Nhng cun gio khoa kinh t lng c trnh
by bng cng c thng k ton v ngn ng ton hc cht ch v c tnh khi qut cao.
Ni dung ch yu ca mn hc ny l nhm gii thiu:
- Cch thit lp cc m hnh ton hc m t mi quan h kinh t, tc l nu ra cc gi
thit hay gi thit v cc mi quan h ny gia cc bin s kinh t (chng hn nh nhu cu
v s lng hng ho ph thuc tuyn tnh thun chiu vi thu nhp v ngc chiu vi
gi c).
- c lng cc tham s nhm nhn c s o v s nh hng ca cc bin c lp khc
nhau.
- Kim nh tnh vng chc ca cc gi thuyt .
- V cui cng, s dng cc m hnh a ra cc d bo hoc d on v m phng
cc hin tng kinh t.
Kinh t lng tr thnh mt b phn khng th thiu c trong chng trnh o to c
nhn Kinh t v Qun tr kinh doanh ca cc trng i hc. S i hi phi phn tch nh lng
cc hin tng kinh t trong qu trnh hoch nh chnh sch v m, vic d bo v d on c
tin cy cao,... tt c lm cho kinh t lng c mt vai tr ngy cng quan trng v bn thn n
cng khng ngng c hon thin v pht trin.
Vi ni dung nh nu trn Sch hng dn hc tp mn Kinh t lng (Dng cho
sinh vin h o to i hc t xa) c bin son. Ngoi phn m u, kt cu gm 8 chng:
Chng 1: Cc khi nim c bn ca m hnh hi quy hai bin.
Chng 2: c lng v kim nh gi thit trong m hnh hai bin.
Chng 3: M hnh hi quy nhiu bin.
Chng 4: Hi quy vi bin c lp l bin gi.
Chng 5: a cng tuyn.
Chng 6: Phng sai ca sai s thay i.
M u

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Chng 7; T tng quan.
Chng 8: Chn m hnh v kim nh vic ch nh m hnh.
Vi ni dung nh trn, v c bn cun sch thng nht vi chng trnh quy nh ca B
Gio dc v o to cho i tng l i hc Qun tr kinh doanh v mn hc kinh t lng.
Mi chng c kt cu lm 04 phn: Phn gii thiu chng nhm gii thiu khi qut
ni dung ca chng v yu cu i vi ngi hc khi nghin cu chng . Phn ni dung
chng, c bin son theo trnh t, kt cu ni dung ca mn hc mt cch c th, chi tit, n
gin gip cho ngi hc c th nm bt ni dung mt cch nhanh chng. Phn tm tt ni dung v
nhng vn cn ghi nh, nhm mc ch nhc li cc thut ng then cht, ni dung ct li ca
chng. Phn cu hi v bi tp nhm cng c l thuyt v luyn tp k nng ng dng kinh t
lng vo vic gii quyt mt bi ton thc t c th - y l phn luyn tp khi sinh vin hc
xong ni dung ca chng.
Hy vng ti liu ny gp phn to iu kin thun li cho sinh vin trong hc tp, gp phn
nng cao cht lng o to.
Mc d c nhiu c gng bin son, trnh by Sch hng dn hc tp mn Kinh t
lng (dng cho sinh vin h o to i hc t xa), nhng khng trnh khi nhng thit st.
Tc gi rt mong nhn c cc kin ng gp ca bn c v cc ng nghip. a ch lin h:
B mn kinh t bu in - Khoa QTKD1. Hc vin Cng ngh Bu chnh-Vin thng.

Xin trn trng cm n!

Tc gi
TS. Trn Ngc Minh

M u

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M U
1. Khi qut v kinh t lng
Kinh t lng c dch t ch Econometrics c ngha l o lng kinh t. Thut
ng ny do A.Kragnar Frch (Gio s kinh t hc ngi Na uy, t gii thng Nobel v kinh t
nm 1969) s dng ln u tin vo khong nm 1930.
Nm 1936, Tibergen, ngi H Lan trnh by trc Hi ng kinh t H Lan mt m hnh
kinh t lng u tin, m u cho mt phng php nghin cu mi v phn tch kinh t. Nm
1939, ng xy dng mt s m hnh tng t cho M.
Nm 1950, nh kinh t c gii thng Nobel l Lawrence Klein a ra mt s m
hnh mi cho nc M v t kinh t lng c pht trin trn phm vi ton th gii. Hin nay
Lawrence Klein cm u mt d n quc t (Link Project) vi m hnh kinh t th gii dng
d bo kinh t th gii hng nm cho Lin hip quc.
Kinh t lng l mt mn khoa hc v o lng cc mi quan h kinh t din ra trong thc
t. Kinh t lng ngy nay l s kt hp gia l thuyt kinh t hin i, thng k ton v my vi
tnh, nhm nh lng cc mi quan h kinh t, d bo kh nng pht trin hay din bin ca cc
hin tng kinh t v phn tch n, lm c s cho vic hoch nh cc chnh sch kinh t.
2. Xy dng v p dng m hnh kinh t lng:
Vic xy dng v p dng m hnh kinh t lng c tin hnh theo cc bc sau y:
Bc 1: Nu vn l thuyt cn phn tch v cc gi thit v mi quan h gia cc bin
kinh t. Chng hn: Khi nghin cu mi quan h gia mc tiu dng v thu nhp ca cc h gia
nh. Theo l thuyt ca kinh t hc vi m ta c th nu gi thit: mc tiu dng ca cc h gia
nh ph thuc theo quan h cng chiu vi thu nhp kh dng ca h (Thu nhp sau khi tr thu
v tit kim).
Bc 2: Thit lp cc m hnh ton hc m t quan h gia cc bin kinh t. L thuyt
kinh t hc cho bit quy lut v mo quan h gia cc ch tiu kinh t, nhng khng nu r dng
hm. Kinh t lng phi da vo cc hc thuyt kinh t nh dng cc m hnh cho cc trng
hp c th. Chng hn, khi nghin cu mi quan h gia lng cu v gi c ca mt loi hng, ta
c th dng hm tuyn tnh hoc hm phi tuyn din t mi quan h ny. Gi s ta chn ng
cu dng tuyn tnh th m hnh ny c dng:
D = a + bp
Trong : D l lng cu v p l gi c ca loi hng ; a, b l cc tham s ca m hnh. D
l bin ph thuc hay cn gi l bin cn c gii thch v p l bin c lp hay bin gii thch,.
Bc 3:Thu thp s liu.
Khc vi cc m hnh kinh t dng tng qut, cc m hnh kinh t lng c xy dng
xut pht t s liu thc t. Trong thng k ton v kinh t lng, ngi ta phn bit s liu ca
tng th v s liu ca mu. S liu ca tng th l s liu ca ton b cc i tng (phn t) m
ta cn nghin cu. S liu ca mu l s liu ca mt tp hp con c ly ra t tng th. Chng
M u

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hn nghin cu nhu cu v mt loi hng ho no , th s liu tng th l s liu v lng
hng c mua ca tt c cc h gia nh mi ni trong mt quc gia. Trong thc t ta khng c
iu kin thu thp tt c s liu ca tng th m ch thu thp c s liu mu.
Bc 4: c lng cc tham s ca m hnh. Cc c lng ny l cc gi tr thc nghim
ca cc tham s trong m hnh. Chng khng nhng cho cc gi tr bng s m cn phi tho mn
cc iu kin, cc tnh cht m m hnh i hi. Trong cc trng hp n gin, cc tham s
thng c c lng bng phng php bnh phng ti thiu. Trong cc trng hp phc tp
th phi dng cc phng php khc.
Bc 5: Phn tch kt qu: Da trn l thuyt kinh t phn tch v nh gi kt qa nhn
c xem c ph hp vi l thuyt kinh t hay khng. Kim nh cc gi thit thng k i vi
cc c lng nhn c (Do cc c lng c xc nh t s liu thng k thc t).
Bc 6: D bo: Nu nh m hnh ph hp vi l thuyt kinh t th c th s dng m
hnh d bo s pht trin ca bin ph thuc trong cc chu k tip theo vi s thay i ca
bin c lp.
Bc 7: S dng m hnh kim tra hoc ra cc chnh sch kinh t.
Cc bc trn y c nhim v khc nhau trong qu trnh phn tch mt vn kinh t v
chng dc thc hin theo mt trnh t nht nh.
Tm ra bn cht ca vn kinh t khng phi l mt vic n gin. V vy qu trnh trn
y phi c thc hin lp li nhiu ln cho n khi ta thu c mt m hnh ph hp.
C th minh ho qu trnh phn tch kinh t lng bng mt s nh sau:
S minh ho qa trnh phn tch kinh t lng.

Nu ra gi thit
Thit lp m hnh
Thu thp s liu
c lng tham s
Phn tch kt qu
D bo
Ra quyt nh
M u

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Qu trnh xy dng v p dng m hnh kinh t lng i hi trc ht phi c s hiu bit
v l thuyt kinh t hc, sau l nhng kin thc v l thuyt xc sut v thng k ton, cui
cng l cc phn mm ca kinh t lng. Cc kt qu rt ra t vic phn tch cc m hnh kinh t
lng cng i hi phi c suy xt t nhiu pha. Chng hn cc c lng cho thy mi quan
h nhn qu gia hai ch tiu kinh t, nhng iu khng chng minh hay khng nh l trong
thc t c mi quan h nhn qu nh vy. iu khng nh phi do ngi nghin cu kinh t
lng suy xt.
T khi ra i n nay kinh t lng cung cp cho cc nh kinh t mt cng c sc bn
o lng mi quan h ca cc bin kinh t.
Ngy nay phm vi ng dng ca kinh t lng vt qu phm vi kinh t, lan sang cc
lnh vc khc nh x hi hc, v tr hc,...
Vi s i hi phi phn tch nh lng cc hin tng kinh t, kim nh s ph hp cc
gi thit trong qu trnh hoch nh cc chnh sch, cng nh ra cc quyt nh tc nghip, vic d
bo c tin cy cao,.... tt c lm cho kinh t lng c mt vai tr ngy cng quan trng,
khng ngng hon thin v pht trin.
S pht trin ca my tnh v tin hc l tng thm sc mnh cho kinh t lng, gip cho
cc nh kinh t kim chng c cc l thuyt kinh t c ph hp hay khng c nhng quyt
nh ng n trong hot ng kinh doanh ca doanh nghip v hoch nh cc chnh sch, cc
chin lc kinh t-x hi.

Chng 1: Cc khi nim c bn ca m hnh hi qui hai bin

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CHNG 1: CC KHI NIM C BN CA
M HNH HI QUI HAI BIN
GII THIU
Hi quy l mt cng c c bn ca o lng kinh t. Phn tch hi quy gii quyt nhng vn
c th g? phn tch hi khc vi cc phn tch khc nh th no? c s thng tin phn tch hi
quy l g? v sao phi xy dng m hnh hi quy?... Cc vn trn v bn cht ca chng s c
cp vn tt trong chng ny. Trong chng ny s trnh mt s vn c bn sau:
- Bn cht ca phn tch hi qui.
- Cch x l s liu u vo.
- Hm hi quy tng th (PRF) v hm hi quy mu(SRF) trong m hnh hi quy tuyn tnh
hai bin.
c th nm bt c cc vn trn yu cu ngi hc cn c kin thc v ton cao
cp, thng k ton, xc sut v kinh t hc.
NI DUNG
1.1 PHN TCH HI QUI
1. nh ngha: Phn tch hi quy l nghin cu s ph thuc ca mt bin (bin ph thuc), vo
mt hay nhiu bin khc (cc bin gii thch), vi tng l c lng (hay d on) gi tr trung
bnh ca bin ph thuc trn c s cc gi tr bit trc ca cc bin gii thch.
V d: 1- Xt th phn tn hnh 1.1, trong m t phn phi v chiu cao ca hc
sinh nam tnh theo tui c nh t 9-15.

Hnh 1.1: Phn phi gi thit v chiu cao theo tui.

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R rng khng phi tt c hc sinh nam mt tui nht nh c xu hng c cng chiu
cao. Nhng chiu cao trung bnh tng ln theo tui (tt nhin ti tui nht nh). Nh vy,
nu bit c tui, ta c th d on c chiu cao trung bnh tng ng vi tui ca hc
sinh nam.
2- Mt nh kinh t c th nghin cu s ph thuc ca chi tu cho tiu dng c nhn vo
thu nhp c nhn thc t. Mt phn tch nh vy c th c ch trong vic c lng xu th tiu
dng bin t (MPC), tc l, mc thay i trung bnh v chi tiu cho tiu dng khi thu nhp thc t
thay i mt n v gi tr.
3- Mt nh kinh t lao ng c th mun nghin cu t l thay i tin lng trong mi
quan h vi t l tht nghip. Cc s liu trong qu kh c biu din trn th phn tn nh
trong hnh 1.2 l mt th d v ng cong phillips. ng cong ny lin quan n s thay i v
tin lng i vi t l tht nghip. Cn c vo ng cong ny c th cho php nh kinh t lao
ng d on c mc thay i trung bnh v tin lng ti mt t l tht nghip cho trc.

Mt kin thc nh th c th c ch trong vic phn tch qu trnh lm pht kinh t, bi v
s tng tin lng thng c phn nh trong gi c gia tng.
4- Mt nh kinh doanh c quyn c th nh gi c hay sn lng (nhng khng th c
hai), c th mun bit phn ng ca mc cu i vi sn phm khi gi c thay i. Mt th
nghim nh vy c th a ti s c lng co gin v gi c (ngh l tnh phn ng ca gi
c) i vi mc cu ca sn phm v c th tr gip cho vic xc nh mc gi to ra li nhun
cao nht.
5- Trong kinh t hc tin t, ngi ta bit rng, khi cc yu t khc khng i, mc lm
pht () cng cao th t l thu nhp m ngi dn mun gi di dng tin mt (k) cng thp.

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Hnh 1.2: ng cong Phillips gi thit


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iu ny c minh ho trong hnh 1.3. Phn tch nh lng v mi quan h ny s to iu kin
cho nh kinh t tin t d on c lng tin, tnh theo t l thu nhp, m ngi dn mun gi
di dng tin mt cc mc.

Hnh 1.3. Lng tin c gi trong quan h vi lm pht.

6- Gim c tip th ca mt cng ty mun bit mc cu i vi sn phm ca cng ty c
quan h nh th no vi chi ph qung co. Mt nghin cu nh th s c ch cho vic xc nh
co gin ca cu i vi chi ph qung co. Tc l, t l phn trm thay i v mc cu khi ngn
sch qung co thay i 1%. iu ny c th c ch khi xc nh ngn sch qung co ti u.
Trong thc t hot ng kinh doanh c v s cc v d v s ph thuc ca mt bin vo
mt hay nhiu bin khc m ngi hc c th a ra. Cc k thut phn tch hi quy trnh by
trong chng ny nhm nghin cu s ph thuc nh th gia cc bin s.
Ta k hiu: Y- bin ph thuc (hay bin c gii thch)
Xi- bin c lp (hay bin gii thich) th i.
Trong , bin ph thuc Y l i lng ngu nhin, c quy lut phn phi xc sut no .
Cc bin c lp Xi khng phi l bin ngu nhin, gi tr ca chng c cho trc.
2. Nhim v ca phn tch hi qui:
- c lng gi tr trung bnh ca bin ph thuc vi gi tr cho ca bin c lp.
- Kim nh gi thit v bn cht ca s ph thuc.
- on gi tr trung bnh ca bin ph thuc khi bit gi tr ca cc bin c lp.
- Kt hp cc vn trn.

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3- Mt s vn cn lu trong phn tch hi qui:
a) Phn bit quan h thng k v quan h hm s:
Vn mu cht trong phn tch hi qui l s ph thuc thng k ca bin ph thuc vo
mt hay nhiu bin gii thch. Bin ph thuc l i lng ngu nghin, c phn phi xc sut.
Cc bin gii thch th gi tr ca chng bit. Bin ph thuc l ngu nhin v c rt nhiu nhn
t tc ng n n m ta khng th a tt c cc yu t vo m hnh c. ng vi mi gi tr
bit ca bin c lp c th c nhiu gi tr khc nhau ca bin ph thuc. Trong quan h hm
s cc bin khng phi l ngu nhin; ng vi mi gi tr ca bin c lp c duy nht mt gi tr
ca bin ph thuc. Phn tch hi qui khng nghin cu cc quan h hm s.
V d: Doanh thu kinh doanh v mt sn phm, dch v no ph thuc vo gi c ca
chnh doanh nghip, gi ca cc doanh nghip cnh tranh khc, th phn ca chnh doanh nghip,
th hiu ca ngi tiu dng, ... l mt quan h thng k; Cc bin gi c dch v, th phn, th
hiu,... l cc bin c lp; doanh thu dch v l bin ph thuc, l i lng ngu nhin. Khgng
th d bo mt cch chnh xc doanh thu cho mt nm tng lai no v:
- C th c sai s trong dy s thng k.
- C rt nhiu nhn t khc cng nh hng n doanh thu ca dch v m ta khng th
lit k ht v nu c cng khng th tch c nh hng ring ca tng nhn t n
bin doanh thu cho d ta c a thm vo bao nhiu bin gii thch khc.
Trong hnh hc ta u bit chu vi ca hnh vung bng 4 ln chiu di ca mt cnh, tc Y
= 4X. Trong Y l chu vi ca hnh vung v X l chiu di ca mt cnh hnh vung . y
X v Y c mi quan h hm s. ng vi mi gi tr ca X ta ch c mt gi tr duy nht ca Y.
Phn tch hi qui khng xt cc quan h ny.
b) Hm hi qui v quan h nhn qu:
Phn tch hi qui nghin cu quan h gia mt bin ph thuc vi mt hoc nhiu bin c
lp khc. iu ny khng i hi gia bin ph thuc v cc bin c lp phi c mi quan h
nhn qu. Nu nh quan h nhn qu tn ti th n phi c xc lp da trn cc l thuyt kinh
t khc. V d, lut cu ni rng trong iu kin cc bin (yu t) khc khng thay i th nhu cu
mt mt loi hng ho t l nghch vi gi ca hng ho ny, hay trong v d trn ta c th d
on doanh thu da vo gi c, th phn, th hiu, nhng khng th d bo th hiu khch hng
da trn doanh thu c.
c) Hi qui v tng quan:
Hi qui v tng quan khc nhau v mc ch v k thut. Phn tch tng quan trc ht
l o mc kt hp tuyn tnh gia hai bin. V d, mc quan h gia nghin thuc l v ung
th phi, gia kt qu thi mn l v mn ton. Nhng phn tch hi qui li c lng hoc d bo
mt bin trn c s gi tr cho ca cc bin khc. V k thut, trong phn tch hi qui cc bin
khng c tnh cht i xng. Bin ph thuc l i lng ngu nhin. Cc bin gii thch th gi
tr ca chng c xc nh. Trong phn tch tng quan khng c s phn bit gia cc bin,
chng c tnh cht i xng.
1.2. BN CHT V NGUN S LIU CHO PHN TCH HI QUI.
Thnh cng ca bt k mt s phn tch kinh t no u ph thuc vo vic s dng cc s
liu thch hp v ph thuc vo phng php x l cc s liu , do vy phn ny s trnh by

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i nt v bn cht, ngun gc v nhng hn ch ca s liu m ta s gp phi trong phn tch
kinh t ni chung v phn tch hi qui ni ring.
1- Cc loi s liu
C 3 loi s liu: Cc s liu theo thi gian (chui thi gian), cc s liu cho v cc s liu
hn hp ca 2 loi trn.
Cc s liu theo thi gian l cc s liu c thu thp trong mt thi k nht nh. V d
nh cc s liu v GDP, GNP, s ngi tht nghip, lng cung tin,tng gi tr sn xut GO....c
s liu c thu thp hng tun, c s liu thu thp hng thng, qu, nm...Cc s liu ny c th
c o bng nhng con s nh gi c, thu nhp, nhng cng c nhng s liu khng o c
bng con s, chung thng l nhng ch tiu cht lng nh: nam, n, c gia nh hay cha c gia
nh, c vic lm hay cha c vic lm, tt xu,.... lng ho cc bin ny, ngi ta thng s
dng bin gi (dummy), chng cng quan trng nh cc bin s c lng ho khc.
Cc s liu cho l cc s liu v mt hoc nhiu bin c thu thp ti mt thi im
nhiu a phng, n v khc nhau. V d cc s liu v iu tra dn s vo 0 gi ngy 1/1/1992;
cc s liu iu tra v vn c bn ca cc x nghip dt ngy 1/10/1990 Vit nam,
Cc s liu hn hp theo thi gian v khng gian: V d s liu v gi vng hng ngy
cc thnh ph H Ni, Thnh ph HCM, Cn Th,...
2- Ngun cc s liu
Tp hp cc s liu c th c thu thp v cung cp bi:
Cc c quan Nh nc.
Cc t chc quc t.
Cc n v sn xut, kinh doanh.
Cc c nhn
Chng c th l cc s liu thc nghim hoc phi thc nghim. Cc s liu thc nghim thng
c thu thp trong lnh vc khoa hc t nhin. Mun thu thp s liu v nh hng ca mt nhn t
n i tng nghin cu th cn phi c nh cc nhn t khc c tc ng n i tng.
Trong khoa hc x hi, cc s liu thng l phi thc nghim. Cc s liu v GDP, GNP,
s ngi tht nghip, gi c phiu,... khng nm di s kim sot ca iu tra vin. iu ny
thng gy ra nhng vn c bit trong vic tm ra nhng nguyn nhn chnh xc nh hng
n mt ch tiu no . V d c phi lng cung v tin nh hng n GDP hay cn nguyn
nhn khc?
3- Nhc im ca s liu
Nh trn nu, yu cu v mt cht lng ca tp hp s liu thu thp l phi m bo
tnh chnh xc, kp thi, y . Trong thc t yu cu khng phi lc no cng c th thc
hin c, v nhng nguyn nhn sau y:
Hu ht cc s liu trong lnh vc khoa hc x hi u l s liu phi thc nghim, do vy
c th c sai s khi quan st hoc b st quan st hoc do c hai.
Ngay vi cc s liu thu thp bng thc nghim cng c sai s trong mi php o.
Trong cc cuc iu tra bng cu hi, thng gp tnh trng khng nhn c cu tr li
hoc c tr li nhng khng tr li ht cc cu hi.

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Cc mu s liu trong cc cuc iu tra thng khng ging nhau v kch thc nn rt
kh so snh kt qu gia cc t iu tra.
Cc s liu v kinh t thng mc tng hp cao, khng cho php i su vo cc n v nh.
Ngoi ra mt s s liu quan trng, cn thit cho qu trnh phn tch, nh gi li thuc v
b mt quc gia, khng th tip cn v thu thp c.
1.3 M HNH HI QUI TNG TH
Ta xt v d gi nh sau:
V d 1: Gi s mt a phng c 60 h gia nh v chng ta quan tm n vic nghin
cu mi quan h gia Y- chi tiu tiu dng hng tun ca cc gia nh v X thu nhp kh dng
hng tun ca cc gia nh. Ni mt cch khc l chng ta mun d on mc trung bnh ca chi
tiu tiu dng hng tun khi bit thu nhp hng tun ca h gia nh. thc hin iu ny, gi s
ta chia 60 h thnh 10 nhm c thu nhp tng i nh nhau, chnh lch thu nhp gia cc nhm
l nh nhau v bng 20USD. Cc s liu v mc chi tiu tng ng vi mc thu nhp ca cc h
gia nh c ghi trong bng 1.2
Bng 1.2
80 100 120 140 160 180 200 220 240 260
55 65 79 80 102 110 120 135 137 150
60 70 84 93 107 115 136 137 145 152
65 74 90 95 110 120 140 140 155 175
70 80 94 103 116 130 144 152 165 178
75 85 98 108 118 135 145 157 175 180
88 113 125 140 160 189 185
115 162 191
325 462 445 707 678 750 685 1043 966 1211

Bng s liu trn c gii thch nh sau:
Vi thu nhp trong mt tun, chng hn X = 100USD th c gia nh m chi tiu trong
tun ca cc h gia nh trong nhm ny ln lt l: 65; 70; 74; 80; 85 v 88. tng chi tiu trong
tun ca 6 h gia nh trong nhm ny l 462USD. Nh vy mi ct ca bng cho ta mt phn
phi ca chi tiu trong tun Y vi mc thu nhp cho X.
T s liu ca bng 1.2 ta d dng tnh c xc sut c iu kin:
Chng hn: P(Y = 85/X = 100) =1/6; P(Y = 90/X = 120) = 1/5;....
Bng tnh cc xc sut c iu kin cho trong bng 1.3
Trong : E(Y/X
i
) =
=
= =
k
i
i j
X X Y Y P Y
1
) / ( l k vng ton c iu kin ca Y (iu
kin l X = X
i
)

12
Chng hn: E(Y/100) = 77
6
1
88
6
1
85
6
1
80
6
1
74
6
1
70
6
1
65 = + + + + +
Bng 1.3
80 100 120 140 160 180 200 220 240 260
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/5 1/6 1/5 1/7 1/6 1/6 1/5 1/7 1/6 1/7
1/6 1/7 1/6 1/6 1/7 1/6 1/7
1/7 1/7 1/7
65 77 89 101 113 125 137 149 161 173
E(Y/x
i
) =
=
= =
k
i
i j
X X Y Y P Y
1
) / (
Biu din cc im (X
i
; Y
j
) v cc im M
i
(X
i
; E(Y/X
i
)) ta c th sau (Hnh 1.5):

Trn hnh 1.5 ta thy trung bnh c iu kin ca mc chi tiu trong tun nm trn ng
thng c h s gc dng. Khi thu nhp tng th mc chi tiu cng tng. Mt cch tng qut,
E(Y/X
i
) l mt hm ca X
i
.
E(Y/

X
i
) = f(X
i
) (1.1)

140

60
80

100
120

160
180
200
40

100

200

300
0
C
h
i

t
i
u

Hnh 1.5.
Thu nhp

13
Hm (1.1) c gi l hm hi qui tng th (PRF - population regression funcsion). Nu
PRF c mt bin c lp th c gi l hm hi qui n (hi qui 2 bin), nu c t 2 bin c lp
tr ln th gi l hm hi qui bi.
Hm hi qui tng th cho ta bit gi tr trung bnh ca bn Y s thay i nh th no khi
bin X nhn cc gi tr khc nhau.
xc nh dng ca hm hi qui tng th ngi ta thng da vo th biu din s
bin thin ca dy cc s liu quan st v X v Y kt hp vi vic phn tch bn cht ca vn
nghin cu.
Chng ta xt trng hp n gin nht l PRF c dng tuyn tnh.
E(Y/

X
i
) =
1
+
2
X
i
(1.2)
Trong :
1
,
2
l cc tham s cha bit nhng c nh, v c gi l cc h s hi qui.

1
l h s t do (h s tung gc).
1
cho bit gi tr trung bnh ca bin ph thuc Y l
bao nhiu khi bin c lp X nhn gi tr 0. iu ny ch ngv mt ton hc, trong cc trng
hp c th ta phi kt hp vi l thuyt kinh t v iu kin thc t ca vn nghin cu nu
ngha ca
1
cho ph hp. Trong thc t c nhiu trng hp
1
khng c ngha.
Chng hn, xt hm: E(Y/

X
i
) =
1
+
2
X
i

Trong Y l lng hng bn c ca mt loi hng; X l gi ca loi hng . Trng
hp ny
1
khng phi l lng hng bn c trung bnh khi X (gi bn) bng 0. V trong thc t
khng c mt hng no bn vi gi bng 0. Hm hi qui nu trn phn nh mi quan h ca lng
hng bn c v gi bn v hm ny ch c ngha khi X nhn gi tr trong mt khong (X
1
; X
2
)
no . Ngoi khong ny th hm trn khng c ngha. Khi ta cn hiu
1
ch l giao im
ca ng thng biu din hm hi qui nu trn vi trc tung. Ta c th minh ho bng hnh 1.6
di y.

E(Y/

X
i
) =
1
+
2
X
i

Y
0
Hnh 1.6
X

14
2
l h s gc (h s dc),
2
cho bit gi tr trung bnh ca bin ph thuc (Y) s thay
i (tng hoc gim) bao nhiu n v khi gi tr ca bin c lp (X) tng mt n v vi iu
kin cc yu t khc khng thay i.
Tht vy: gi s X tng 1 n v, khi gi tr ca X sau khi tng (
'
i
X ) s bng gi tr ca
X trc khi tng (X
i
) cng vi 1. Tc ta c
'
i
X = X
i
+ 1. Khi :
E(Y/
'
i
X )

=
1
+
2
'
i
X =
1
+
2
(X
i
+ 1) =
1
+
2
X
i
+
2
= E(Y/

X
i
) +
2

Nu
2
> 0 th E(Y/
'
i
X ) > E(Y/

X
i
) khi gi tr trung bnh ca Y s tng.
Nu
2
< 0 th E(Y/
'
i
X ) < E(Y/

X
i
) khi gi tr trung bnh ca Y s gim.
E(Y/

X
i
) l trung bnh ca Y vi iu kin X nhn gi tr X
i
.
Thut ng tuyn tnh y c hiu theo hai ngha: tuyn tnh i vi tham s v tuyn
tnh i vi cc bin.
V d: E(Y/

X
i
) =
1
+
2
2
i
X l hm tuyn tnh i vi tham s. Nhng khng tuyn tnh i
vi bin.
E(Y/

X
i
) =
1
+
2
X
i
l hm tuyn tnh i vi bin nhng phi tuyn i vi tham s.
Hm hi qui tuyn tnh lun c hiu l tuyn tnh i vi cc tham s, n c th khng
tuyn tnh i vi bin.
Gi tr quan st th i ca bin ph thuc Y c k hiu l Y
i
K hiu U
i
l chnh lch gia Y
i
v E(Y/

X
i
):
U
i
= Y
i
- E(Y/

X
i
)
Hay: Y
i
= E(Y/

X
i
) + U
i
(1.3)
1.4 SAI S NGU NHIN V BN CHT.
1. Sai s ngu nhin
Nh trnh by trn U
i
l chnh lch gia gi tr quan st Y
i
vi gi tr trung bnh
ca n tnh theo hm hi qui. U
i
l i lng ngu nhin, U
i
c th nhn gi tr m hoc dng,
ngi ta gi U
i
l sai s ngu nhin (hoc nhiu) v (1.3) c gi l hm hi qui tng th ngu
nhin.
2. Bn cht ca sai s ngu nhin
S tn ti ca U
i
bi mt s l do sau y:
Ngoi X
i
c a vo m hnh , rt c th cn c cc bin khc cha xem xt ti
cng c nh hng ti Y
i
, nn U
i
i din cho cc bin .
Thiu s liu ca cc bin a vo m hnh.
n gin ho qu trnh tnh ton.
Tm li U
i
gi vai tr quan trng trong phn tch hi qui, chng phi tho mn nhng iu
kin nht nh th vic phn tch m hnh hi qui mi thc s c ngha.

15
1.5 HM HI QUI MU:
Trong thc t, nhiu khi ta khng c iu kin iu tra ton b tng th. Khi ta ch c
th c lng gi tri bnh ca bin ph thuc t s liu ca mu. Hn na cng v l do trn m
vic xy dng hm hi qui tng th gy tn km v thi gian v kinh ph mt cch khng cn
thit. Trong thng k hc a ra phng php iu tra chn mu, cho php ly ra t tng th
chung mt s mu s liu nht nh nghin cu, phn tch v suy rng kt qu (c lng) cho
tng th chung vi mt xc sut tin cy cho trc. Vic xy dng hm hi qui mu (SRF - the
sample regression function) cng da trn nguyn tc , ngha l t s liu mu ta tin hnh xy
dng hm hi qui mu v dng n c lng cc tham s cho hm hi qui tng th. Tng th
bao gm cc s liu mu thng c gi l tng th mu.
Gi s t mt tng th chung c N phn t (n v tng th) ta ly ra tng mu n phn t.
Nh vy s c tt c
n
N
C cch ly mu, trong
n
N
C l t hp chp n ca N phn t c xc nh
theo cng thc:

)! ( !
!
n N n
N
C
n
N
= (1.4)
Nh vy, c bao nhiu ln chn mu, ta c by nhiu hm hi qui mu. Vn t ra l
ng hi qui mu no l thch hp vi PRF. Cu hi ny cha tr li c bi l PRF cha bit.
Cng ging nh c lng mt tham s, ta s c lng PRF bng SRF m SRF ny c tnh cht:
tuyn tnh, khng chch v c phng sai nh nht.
Nu hm hi qui tng th c dng tuyn tnh th hm hi qui mu c dng:

i i
X Y
2 1

+ = (1.5)
Trong : Y
: l c lng im ca E(Y/X
i
)

1
: l c lng im ca
1
.

2
: l c lng im ca
2
.
Dng ngu nhin ca (1.5):

i 2 1
e

+ + =
i i
X Y (1.6)
Trong : e
i
l c lng im ca U
i
v gi l phn d.
TM TT NI DUNG CHNG 1
Bn cht ca hi quy l nghin cu s ph thuc ca mt bin (bin ph thuc), vo mt
hay nhiu bin khc (bin gii thch), vi tng l c lng (hay d on) gi tr trung bnh
ca bin ph thuc trn c s cc gi tr bit trc ca cc bin gii thch.
Nhim v ca phn tch hi quy l c lng gi tr trung bnh ca bin ph thuc vi gi
tr cho ca bin c lp; Kim nh gi thit v bn cht ca s ph thuc; D bo gi tr ca
bin ph thuc khi bit gi tr ca cc bin c lp v kt hp cc vn trn.
Phn tch hi quy ch nghin cu ch nghin cu quan h thng k gia cc bin.
c kt qu st vi thc t cn phn bit cc loi s liu v u nhc im v cch x l
ngun s liu.

16
Hm hi qui tuyn lun c hiu l tuyn tnh i vi cc tham s, n c th khng tuyn
tnh i vi bin.
Hm hi quy tng th l hm c nghin cu trn ton b tng th. Hm hi quy mu l
hm c xy dng trn c s mt mu. S dng hm hi quy mu ta c lng c gi tr
trung bnh ca bin ph thuc t s liu ca mt mu.
Hm hi qui tng th ngu nhin: Y
i
= E(Y/X
i
) + U
I

Hm hi qui mu dng ngu nhin:
i i i
e X Y + + =
2 1

CU HI V BI TP N CHNG I
I. Cu hi l thuyt:
1. Hy a ra mt v d v mi lin h thng k gia bin ph thuc vi mt hay mt s bin
c lp trong thc t kinh doanh ca ngnh BC-VT?
2. Phn bit s khc nhau gia hm hi qui tng th v hm hi qui mu? S dng hm hi qui
mu c lng gi tr trung bnh ca bin ph thuc c nhng u nhc im g?
II. Bi tp:
1. D liu ca Y (chi tiu tiu dng c nhn) v X (tng sn phm quc ni GDP), t 1980
1991, tt c tnh bng t la nm 1987 nh sau:
Nm Y X
Nm Y
X
1980 2447,1 3776,3
1986 2969,1
4404,5
1981 2476,9 3843,1
1987 3052,2
4539,9
1982 2503,7 3760,3
1988 3162,4
4718,6
1983 2619,4 3906,6
1989 3223,3
4838,0
1984 2746,1 4148,5
1990 3260,4
4877,5
1985 2865,8 4279,8
1991 3240,8
4821,0

a/ Hy v th phn tn vi trc tung l Y v trc honh l X v cho nhn xt?
b/ Ngoi GDP cn c yu t no, hay cc bin no c th nh hng n chi tiu tiu dng
cc nhn?
2. Cc m hnh sau y c tuyn tnh theo cc tham s hay tuyn tnh theo cc bin? M hnh
no l m hnh hi qui tuyn tnh?

i 1 2 i i 1 2 i i
i
i 1 2 i i i 1 2 i i
3
i 1 2 i i 1 2 i i
i
1

a)Y U b) Y ln X U
X

c) LnY X U d) LnY ln ln X U
1
e) LnY U f) Y X U
X

= + + = + +

= + + = + +

= + = + +

3. Hy bin i cc m hnh sau y v m hnh hi qui tuyn tnh:

17

( )
1 2 i i
1 2 i i

X U
i i
X U
i 1 2 i
1 2
1 2 1 2
1
a)Y b) Y e
1 e
1 1

c) LnY U d) Y
X X
X 1
e) Y f) Y
X 1 exp X
+ +
+ +
= =
+
= + + =
+
= =
+ +

Chng 2: c lng v kim nh gi thit trong m hnh hi qui hai bin

18
CHNG 2: C LNG V KIM NH GI
THIT TRONG M HNH HI QUI HAI BIN
GII THIU
Trong chng ny s trnh by vn c lng hm hi qui tng th (PRF) trn c s s
liu ca mt mu. Thc cht l xc nh cc tham s trong hm hi qui mu, trn c s cc gi
thit tin hnh c lng v kim nh cc gi thit, t xy dng hm hi qui tng th. C
nhiu phng php c lng hm hi hi qui tng th. Trong thc t thng s dng phng
php bnh phng nh nht hoc phng php OLS (Ordinarry Least Square). Cc ni dung
chnh ca chng:
- Cch c lng cc tham s ca hm hi qui bng phng php OLS.
- Cc gi thit ca phng php OLS.
- Cch tnh phng sai v sai s chun ca cc c lng.
- Cch xc nh h s tng quan v h s xc nh, tnh cht v ngha ca cc h s .
- Cch xc nh khng tin cy ca cc tham s trong hm hi qui tng th v phng sai
ca n.
- Phng php kim nh gi thit v cc h s hi qui.
- Phng php kim nh s ph hp ca hm hi qui. Phn tch hi qui v phn tch
phng sai.
- ng dng phn tch hi qui, trnh by kt qa v nh gi kt qu ca phn tch hi qui.
Yu cu ngi hc cn c cc kin thc v xc sut thng k ton, ton cao cp, l thuyt
kinh t hc.
NI DUNG
2.1 PHNG PHP BNH PHNG NH NHT.
tm hm
i i
X Y
2 1

+ = ta dng phng php OLS do nh ton hc c l Carl
Friedrich Gauss a ra. Ni dung ca phng php nh sau:
Gi s chng ta c mt mu gm n cp quan st (Y
i
,X
i
), i = 1 n. Theo phng php bnh
phng nh nht, ta phi tm
i
Y
sao cho n cng gn vi gi tr thc (Y

i
) cng tt, tc phn d:
e
i
= Y
i
-
i
Y
= Y
i
-
i
X
2 1

cng nh cng tt.
Ta c th minh ho bng th sau:

19

Hnh 2.1
Do e
i
( n l i , = ) c th dng, c th m, nn ta cn tm SRF sao cho tng bnh phng
ca cc phn d t cc tiu. Tc
1
,
2
phi tho mn iu kin:

min
= =

2
2 2 1
2
)

(
1 1
X Y e
n
i
n
i
i i

(*)
iu kin (*) c ngha l tng bnh phng cc sai lch gia gi tr thc t quan st c
(Yi ) v gi tr tnh theo hm hi quy mu (
i
Y
) l nh nht. V mt hnh hc, biu thc (*) phn

nh tng bnh phng cc khong cch t cc im quan st ti ng hi qui mu l nh nht,
tc ng hi quy mu vi
1
,
2
tho mn iu kin (*) s l ng thng gn nht vi tp

hp cc im quan st, do vy n c coi l ng thng tt nht , ph hp nht trong lp
cc ng hi qui mu c th dng c lng hm (2.1)
Do ) ( , , n l i
i i
X Y = bit, nn
=

n
i
i i
X Y
1
2
2 1
)

( l hm s ca
2 1
.
V vy, ta cn tm
2 1
sao cho:

=
=

n
1 i
min
2 1
2
i 2 1 1
) X

Y ( )
( f

Tc
1
,
2
l nghim ca h phng trnh sau:

=
=

= =
= =
n
i
n
i
i i i
i i
X X Y
X Y
1
0 2
1
0 1 2
) )(

(
(
) )(

(
(
2 1
2
2 1
2 1
1
2 1

f
f

e
i
e
1
e
3
SRF

Y
1
i
Y


20
Hay:

= = =
= =
= +
= +
n
i
n
i
n
i
i
n
i
n
i
n
i i i
i i
Y X X X
Y X
1 1
2
1
1 1
2
1
2 1

(2.1)
H phng trnh (2.1) gi l h phng trnh chun. Gii h phng trnh ny ta c:

i i
2
2 2
i
n
i 1
n
i 1
X Y n X . Y
.
X n ( x )
=
=

=

1 2

Y X =
(2.3)
Ta cng c th tnh
2
theo cng thc sau y:

i i
2
2
i
x y

Trong : X X x
i i
= ; Y Y y
i i
=

Th d 1: Bng sau y cho s liu v mc chi tiu tiu dng (Y-la/tun) v thu nhp
hng tun (X-la/tun) ca mt mu gm 10 gia nh. Gi s Y v X c mi quan h tng quan
tuyn tnh. Hy c lng hm hi quy ca Y theo X.

Y
i
70 65 90 95 110 115 120 140 155 150
X
i
80 100 120 140 160 180 200 220 240 260

Gii: T cc s liu quan st ca X v Y cho bng trn ta tnh c:

= = = = 205500 ; 322000 ; 1700 ; 1110
2
i i i i i
Y X X X Y ;
; 111
10
1110
= = Y

170
10
1700
= = X

n
i i
i i
i 1
X Y 2 0 5 5 0 0 1 0 1 7 0 1 1 1 1 6 8 0 0
n
i 1
X Y n X.Y
=
= = =
=

33000 ) 170 .( 10 322000
1 1
2 2
2 2
) ( = =
= =

X n x x
n
i
n
i
i i

Vy:
i i
2
2
i
1 6 8 0 0
3 3 0 0 0
n
i 1
n
i 1
x y
x
= =
=
=
0 , 5 0 9 1

111 0, 509091(170) 24, 4545
1
= =

(2.6)
(2.4)
(2.2)

21
Vy hm hi qui tuyn tnh mu ca chi tiu cho tiu dng theo thu nhp l:

i i
X Y 5091 , 0 4545 , 24
+ =

Gi tr
1
= 24,4545 l tung gc ca ng hi qui mu, ch mc chi tiu tiu dng

trung bnh hng tun khi m thu nhp hng tun bng 0. Tuy nhin y l s gii thch my mc
s hng tung gc. Trong phn tch hi qui, cch gii thch theo ngha n ca s hng tung
gc nh th ny khng phi lc no cng c ngha, mc d trong v d chng ta ang xt, n c
th c lp lun rng mt h gia nh khng c bt c thu nhp no (do tht nghip, b sa thi,...)
c th duy tr mc chi tiu tiu dng ti thiu (hoc t vay mn, hoc t tit kim,...). Nhng ni
chung ngi ta phi s dng nhy cm trong vic gii thch s hng tung gc i vi X
nhn cc gi tr trong mt khong no khi quan st., Vi v d m ta ang xt th khng th coi
s 0 l mt trong cc gi tr quan st ca X.
Gi tr
2
= 0,5091 ch ra rng, xt cc gi tr ca X nm trong khong (80; 260), khi thu

nhp tng 1 USD/tun th chi tiu tiu dng ca h gia nh tng trung bnh khong 0,51
USD/tun.
2.2 CC GI THIT C BN CA PHNG PHP BNH PHNG NH NHT.
Trong phn tch hi qui, mc ch ca chng ta l c lng, d bo v tng th, tc l c
lng E(Y/Xi),
1
,
2
tm c bng phng php OLS l cc c lng im ca

1
,
2
.
Chng ta cha bit cht lng ca cc c lng ny nh th no.
Cht lng ca cc c lng ph thuc vo:
Dng hm ca m hnh c la chn.
Ph thuc vo cc X
i
v U
i
.
Ph thuc vo kch thc mu.
V dng ca m hnh chng ta s cp phn sau. y chng ta s ni v cc gi thit
i vi X
i
v U
i
. Theo cc gi thit ny th cc c lng tm c bng phng php OLS l
tuyn tnh, khng chch v c phng sai nh nht.
Gi thit 1 Cc bin c lp X
i
l phi ngu nhin, tc l gi tr ca chng c xc nh
trc. Gi thit ny l ng nhin, v phn tch hi qui c cp l phn tch hi qui c iu
kin, ph thuc vo cc gi tr X
i
cho.
Gi thit 2 K vng ca yu t ngu nhin U
i
bng 0.,. tc l E(U
i
/X
i
) = 0. Gi thit ny c
ngha l cc yu t khng c trong m hnh, U
i
i din cho chng v khng c nh hng mt
cch c h thng n gi tr trung bnh ca
i
Y
. C th ni cc gi tr U
i
dng trit tiu vi cc gi
tr U
i
m sao cho trung bnh ca chng nh hng ln
i
Y
bng 0.
Gi thit 3 Cc Ui ( n l i , = ) c phng sai bng nhau, tc l:
Var(U
i
/X
i
) = var(U
j
/X
j
) =
2
i j. (2.7)
Gi thit ny c ngha l phn phi c iu kin ca Y vi gi tr cho ca X c phng
sai bng nhau, cc gi tr c bit ca Y xoay quanh gi tr trung bnh vi mc chnh lch nh
nhau.

22
Gi thit 4 Khng c s tng quan gia cc U
i
:
Cov(U
i
,U
j
) = 0 i j. (2.8)
Gi thit ny c ngha U
i
l ngu nhin. Sai s quan st ny khng nh hng ti sai s
quan st khc.
Gi thit 5 U
i
v X
i
khng tng quan vi nhau:
Cov(U
i
, X
i
) = 0 (2.9)
Gi thit 5 l cn thit v nu U v X c tng quan vi nhau th ta khng th tch nh
hng ring bit ca chng n Y, trong khi U li i din cho cc yu t khng c mt trong
m hnh. Gi thit 5 s tho mn nu X l phi ngu nhin.
nh l Gauss- Markov: Vi cc gi thit t 1 5 ca phng php OLS, cc c lng
ca phng php bnh phng nh nht s l cc c lng tuyn tnh, khng chch v c
phng sai nh nht trong lp cc c lng tuyn tnh khng chch.
i vi hm hi qui 2 bin, theo nh l trn th
1
,
2
tng ng l cc c lng tuyn

tnh, khng chch v c phng sai nh nht ca
1
,
2
.
2.3 CHNH XC CA CC C LNG BNH PHNG NH NHT.
Theo phng php OLS, cc c lng
1
,
2
c xc nh theo cng thc (2.6). Cc

c lng ny l i lng ngu nhin, vi cc mu khc nhau ta c c lng khc nhau. V
phng sai hay lch chun c trng cho phn tn ca i lng ngu nhin, nn ta dng
chng o cht lng ca cc c lng.Vi cc gi thit ca phng php OLS, phng sai v
lch chun ca cc c lng c xc nh bi cc cng thc sau:
2
2 n
2
i
i=1
Var( ) =
n x
(2.12)
n
2
i
2 i =1
1 n
2
i
i =1
X
Var( ) =
n x
(2.10)
1
1

s e ( ) = V a r ( )
(2.11)
2
2

s e ( ) = V a r ( )
(2.13)
Trong : ) (
2
i
U Var = se: l sai s chun.
Trong cc cng thc trn, nu
2
cha bit th
2
c c lng bng c lng khng
chch ca n l
2
1
2
2
=

=
n
e
n
i
i
(2.14)
2

= l sai s tiu chun. (2.15)
2.4 H S r
2
O PH HP CA HM HI QUI MU.
1. Cng thc xc nh h s r
2
(H s xc nh):
Ta k hiu: ( ) ( )
2
1
2
1
2
Y n Y Y Y TSS
n
i
n
i
i
= =

= =
(2.16)
TSS (Total Sum of Squares) l tng bnh phng ca tt c cc sai lch gia cc gi tr
quan st Yi vi gi tr trung bnh ca chng.

23

( )

= =
= =
n
i
i
n
i
i
x Y Y ESS
1
2 2
2
1
2
)

(2.17)
ESS (Explained Sum of Squares) l tng bnh phng ca tt c cc sai lch gia gi tr ca
bin Y tnh theo hm hi qui mu vi gi tr trung bnh. Phn ny o chnh xc ca hm hi
qui.

( )

= =
= =
n
i
i i
n
i
i
Y Y e RSS
1
2
1
2
(2.18)
RSS (Residual Sum of Squares) l tng bnh phng ca tt c cc sai lch gia cc gi tr
quan st ca bin Y v cc gi tr nhn c t hm hi qui mu.
Ngi ta chng minh c rng: TSS = ESS + RSS (2.19)
Nu hm hi qui mu ph hp tt vi cc s liu quan st th ESS s cng ln hn RSS.
Nu tt c cc gi tr quan st ca Y u nm trn SRF th ESS s bng TSS v do RSS = 0.
Ngc li, nu hm hi qui mu km ph hp vi cc gi tr quan st th RSS s xcng ln hn
ESS.
V mt hnh hc ta c th minh ho iu nhn xt trn bng hnh (2.2)

Ta nh ngha:
( )
( )
=
=
= =
n
i
i
n
i
i
Y Y
Y Y
TSS
ESS
r
1
2
1
2
2
hoc
=
=
=
n
i
i
n
i
i
y
x
r
1
2
1
2
2
2
2
(2.20)
Trong : ( )

= =
=
n
i
i
n
i
i
X X x
1 1
2
; ( )

= =
=
n
i
i
n
i
i
Y Y y
1 1
2
.
Ta c: 0 r
2
1 (2.21)
Y
N

SRF

M
Y
i
Y

K

Y
i
-
i
Y

i
Y
- Y
Y
i
- Y
Y

X
i
X


24
c bit vi r
2
= 1 th ng hi qui mu ph hp hon ho, tt c cc sai lch ca Y (so
vi gi tr trung bnh) u gii thch c bi m hnh hi qui. Khi r
2
= 0 chng t X v Y khng
c quan h.
i lng r
2
gi l h s xc nh (coefficient of determination) v c s dng o mc
ph hp ca hm hi qui mu
T s liu cho v d 2 ta tnh c: 132100
1
2
=
=
n
i
i
Y
TSS = 132100 - 10. (111)
2
= 8890; ESS = (0,0591)
2
. 33000 = 8552,73.
Vy: 0,9621
8990
73 , 8552

2
= = r
Kt qu ny c ngha l trong hm hi qui mu, bin X (thu nhp) gii thch 96,21% s
thay i ca bin Y (chi tiu tiu dng). Do vy c th ni rng trong trng hp ny mc ph
hp ca SRF kh cao.
2- Cng thc xc nh h s tng quan(r):
Nu m hnh hi qui mu c dng
i i
X Y
2 1

+ = l hp l v ng tin cy, th kh nng
gia Xi v Yi trong tng th mu s tn ti mt mi lin h tng quan tuyn tnh. Tuy nhin,
mc tng quan th no l iu chng ta cn quan tm xem xt.
Thng thng, xt mc cht ch ca quan h tuyn tnh gia X v Y, ngi ta s
dng h s tng quan mu, k hiu l r v c xc nh bng cng thc:

( )( )
( ) ( )

= =
=

=
n
i
n
i
i i
n
i
i
Y Y X X
Y Y X
r
1 1
2 2
1
i
X

(2.22)
Hay:

= =
=
=
n
i
n
i
i i
n
i
i i
y x
y x
r
1 1
2 2
1

(2.23)
C th chng minh c:
2
r = r (2.24)
Trong trng hp ny du ca r trng vi du ca
2

Vi s liu cho v d 2, v
2
= 0,0591 > 0 nn:

0,981 0,0591 = = r
Cc tnh cht ca h s tng quan:
H s tng quan c th nhn cc gi tr t -1 n +1.
Nu r > 0: X
i
v Y
i
c mi tng quan thun.
Nu r < 0: X
i
v Y
i
c mi tng quan nghch.

2
= 0 th r = 0 v ngc li. Ngoi ra, tham s

2
v h s tng quan r lun ph hp

vi nhau v du. V vy c th cn c vo du ca
2
nhn bit tnh thun nghch ca mi

tng quan.

25
Gi tr tuyt i r cng gn 1, th mi lin h tng quan gia X
i
v Y
i
cng cht ch.
Trng hp r = 1 chng t gia hai i lng c quan h hm s.
Gi tr tuyt r cng gn 0, th mi quan h tng quan gia X
i
v Y
i
cng lng lo.
Trng hp r = 0 chng t gia hai i lng khng c quan h tng quan tuyn tnh, hoc
chng c lp vi nhau.
2.5 PHN B XC SUT CA YU T NGU NGHIN:
Mc ch ca phn tch hi qui khng phi l ch suy on v
1
,
2
hay PRF m cn phi
kim tra bn cht ca s ph thuc, cn phi thc hin cc d on khc. Nu tin hnh ly mu
nhiu ln, ta s nhn c tp hp nhiu gi tr khc nhau ca
1
,
2
to thnh mt i lng
ngu nhin. Ta cn phi tm hiu v nghin cu lut phn phi xc sut ca hai loi tham s ny.
Cc phn phi ny ph thuc vo phn phi ca U
i
. gii quyt vn ny, ta cn b sung thm
gi thit sau:
Gi thit 6: U
i
c phn phi chun vi k vng bng 0 v phng sai l
2
, tc l N(0,
2
).
Khi cc tham s mu
1
,
2
v
2
c cc tnh cht sau:
Chng l cc c lng khng chch.
C phng sai cc tiu.
Khi s quan st ln th cc c lng ny xp x gi tr thc ca phn phi.

1
~ N(
1
,
2
) t tnh cht ny suy ra:

1
1 1

= Z ~ N(0,1)

2
~ N(
2
,
2
) t tnh cht ny suy ra:

12
2 2

= Z ~ N(0,1).
i lng ngu nhin
( )
2
2
n
c lut phn phi
2
vi t do l (n-2), tc l
( )
2
2
n
~
2
(n-2).
Hm hi qui mu
i
Y
ph thuc vo
1
,
2
v
2
c phn phi chun v k vng ton

l ng hi qui l thuyt trong tng th chung, tc l
i
Y
~ N (
1
+
2
X
i
,
2
).
2.6 KHONG TIN CY V KIM TRA GI THIT V CC H S HI QUI.
1. Khong tin cy ca cc h s hi qui:
1
,
2
m chng ta tm c phn trn l c lng im ca

1
,
2
. c lng ny
c tin cy nh th no? Nh chng ta bit, mt c lng n c nhiu kh nng khc vi
gi tr ng. Trong thng k, tin cy ca mt c lng im c o bng sai s chun ca
n. Do vy, thay v ch da vo c lng im, ta c th xy dng mt khong xung quanh gi

26
tr c lng im, xc sut m gi tr ng ca tham s cn c lng nm trong khong ny
l 1- , tc l:
P(
1
-
1

1
+ ) = 1- . Hoc P(
2
-
2

2
+ ) =1- . (2.25)
V
1
l i lng ngu nhin nn khong (

i
- ;
i
+ ) (i = 1 2) l khong
ngu nhin; 1- c gi l h s tin cy (hay tin cy).
(0 0 ) c gi l mc ngha. c gi l chnh xc ca c lng. ( 0).

i
- c gi l gii hn tin cy di v
i
+ c gi l gii hn tin cy trn.

Biu thc (2.25) mang ngha l: nu ta tin hnh xy dng khong tin cy (
i
- ;
i
+ )
nhiu ln vi h s tin cy 1- th tnh trung bnh, c 100(1 - ) phn trm s ln cc khong ny
cha gi tr ng ca i vi (i = 1 2).
Qu trnh xc nh khong tin cy ca
i
vi (i = 1 2) c tin hnh nh sau:
Bc 1:
Xc nh cc tham s c trng ca tng th mu
1
,
2
theo cng thc (2.6), xc nh

phng sai v sai s chun ca cc tham s bng cng thc t (2.10) n (2.13).
Bc 2:
T gi thit 6 ta c
i
i i
Z
~ N(0,1) vi i = 1 2. To bin t
1
, t
2
l cc bin chun ho
i vi
1
,
2
a v dng phn phi chun ho N(0,1). Trong :

2) - T(n
)
( Se
t ~
1
1 1
1

=

V
2) - T(n
)
( Se
t ~
2
2 2
2

=
(2.26)
Bc 3: Xc nh v nh gi khong tin cy:
Cc gi tr khc nhau ca t
1
, t
2
l nhng i lng ngu nhin tun theo lut phn phi
chun, cn cc gi tr l thuyt tng ng ca chng c lit k trong bng T, c k hiu t
/2(n-2)
,,
c hiu l: vi tin cy p hoc ngng xc sut = 1- p no , ta tra bng T ng vi gi tr
/2 v t do (n-2) s nhn c gi tr ti hn t
/2(n-2)
dng xc nh khong tin cy ca
1
,
2
. V t
/2(n-2)
l gi tr ti hn nn p = 1 - chnh l xc sut cc gi tr t
1
, hoc t
2
khng
vt qu gi tr ny. C ngha l: t
i
t
/2(n-2)
P(t
i
t
/2(n-2)
) = 1 - hay:
P(-T
/2(n-2)
t
i
t
/2(n-2)
) vi i = 1 2 (2.27)

V nn suy P(-t
/2(n-2)
t
/2(n-2)
) = 1

)
i
i i
i
Se
t

=

)
( Se
i
i i


27
vi i = 1 2. Bin i biu thc trong ngoc ta nhn c;

(
)
) 2 (
2 /
i
) 2 (
2 /
i
n
i i
n
i
Se t Se t

+

) vi i = 1 2. (2.28)
y chnh l khong tin cy hay min chp nhn ca
i
(i = 1 2) vi xc sut tin cy 1 - .
Ta c th vit ngn gn nh sau:
Vi h s tin cy 1 , khong tin cy ca
i
(i=1 2) l:

)
( t
2) - /2(n i i
Se

vi (i=1 2) (2.29)
Trong : t
/2
l gi tr ca i lng ngu nhin T phn phi theo qui lut Student vi bc
t do (n-2) sao cho P |T|> t
/2
= .
C th tra t
/2
bng hm TINV trong Exel. V d: Vi bc t do l n-2 = 8, = 5% th;
t
(0,025,8)
= TINV(0,05, 8) = 2,201.
V d: Vi s liu trong v d 2, phn trn ta tnh c: RSS = 8890 8552,73 = 337,27
Vy:
0,0012775
33000
15875 , 42
)
(
2
= = Var

0,035742 0,0012775 )
( )
(
2
2
= = = Var se

Vi tin cy 95% th t
/2(n-2)
= t
0,025(8)
2,201
Vy khong tin cy ca
1
, l:
24,4545 2,201* 6,4138 hay 10,33773<
1
< 38,57127
Khong tin cy ca
2
l:
0,5091 2,201 * 0,035742 hay: 0,43043 <
2
< 0,58777.
Kt qu trn c ngha l: Vi iu kin cc yu t khc khng i, khi thu nhp tng 1
USD/tun th chi tiu tiu dng trung bnh ca mt h gia nh tng trong khong t 0,43043 n
0,58777 USD/tun.
2.Khong tin cy ca
2
:
gi thit 6 ta c
2
=
( )
2
2
n
y l i lng ngu nhin phn phi theo qui lut
2
(n-2). Do khong tin cy ca
2
(vi h s tin cy 1 - ) c xc nh t biu thc:

41,13672 42,15875
33000 10
322000
)
(
1
=
= Var
6,4138 41,13672 )
( )
(
1
1
= = = Var se

28

Hay:

Trong:
2
2 / 1
2
2 /
,

l cc gi tr ca i lng ngu nhin
2
phn phi theo lut khi
bnh phng vi bc t do l n-2 tho mn iu kin: P(
2

>
2
2 /
) = /2;
P(
2

>
2
2 / 1

) = 1- /2. tm cc gi tr ny ta tra bng (Phn ph lc) hoc dng hm
CHINV trong Exel. Gi tr cu phn phi ) (
2
k
c cho trong bng phn ph lc.

3. Kim nh gi thit v cc h s hi qui:
Kim nh gi thit thng k c pht biu n gin nh sau: Kt qu tm c da trn
s liu thu thp t thc t c ph hp vi mt gi thit nu ra hay khng? T ph hp c
dng y c hiu l st vi gi tr gi thit nu ra ta khng bc b gi thit nu.
Nh vy, nu cn c vo mt l thuyt hay kinh nghim t trc l ta tin rng h s gc (
2
) trong
v d 1 bng 0,8 th gi tr quan st (
2
) l 0,5091 c tnh t mu c ph hp vi gi thit pht

biu khng?
Nu ph hp ta khng bc b gi thit; nu khng ph hp th ta bc b gi thit nu trn.
Trong thng k ton, gi thit pht biu (gi thit cn kim nh) c gi l gi thit
khng v k hiu l H
0
. Mt mnh i lp vi H
0
c gi l gi thit i v c k hiu l H
1
.
Chng hn, gi thit khng l: H
0
:
2
= 0,8; khi gi thit i c th l H
1
:
2
0,8, hoc H
1
:
2

> 0,8, hoc H
1
:
2
< 0,8.
L thuyt kim nh xy dng cc qui tc hay th tc quyt nh bc b hay khng bc
b gi thit khng. C hai cch tip cn b sung ln nhau xy dng qui tc , gi l khong
tin cy v kim nh ngha. C hai phng php ny u da trn c s: xc nh c qui
lut phn phi xc sut ca i lng ngu nhin c dng l tiu chun kim nh (thng k
kim nh). Phn ln cc gi thit m ta tin hnh kim nh l a ra cc pht biu hay khng
nh lin quan n (cc) gi tr hay (cc) tham s c trng ca thng k kim nh.
a/ Kim nh gi thit bng phng php khong tin cy:
minh ho cho phng php ny, ta tr li vi v d tiu dng thu nhp xt phn
trn. Gi s ta cho rng gi tr ng ca
2
l 0,3 tc ta kim nh gi thit H
0
:
2
= 0,3; vi H
1
:
2
0,3.
Gi thit i nu trn l gi thit hai pha.
2
quan st c c ph hp vi gi thit H
0

hay khng? tr li cu hi ny, ta c th cn c vo khong tin cy ca
2
m ta tm c
phn trn:
(0,43043 <
2
< 0,58777)
( ) ( )
=

- 1
2 n

2 n
P
2
2 / 1
2
2
2
2 /
2

(2.30)
( )
2
2 2
1-/2 /2 2
n - 2
P = 1-


29
Nh vy: vi xc sut 1 , khong ngu nhin (
2
- ;
2
+ ) cha c
2
. V 1
kh ln, nn theo nguyn l xc sut ln, ta c th coi bin c (
2
- ;
2
+ ) hu nh chc
chn sy ra trong mt php th. Vi mu c th (c coi l mt php th) ta s tm c khong
(
2
- ;
2
+ ). Nu thy gi tr
2
nm trong khong ny th khng bc b H
0
; ngc li nu
2
nm ngoi khong ny th bc b H
0
. Ta c th minh ho qui tc trn bng hnh sau:

Qui tc quyt nh: Thit lp mt khong tin cy (vi h s tin cy 1 ) cho
2.
Nu
2

(theo H
0
) nm trong khong tin cy ny th khng bc b gi thit H
0
; Nu
2
nm ngoi khong
ny th ta bc b H
0
.
Theo qui tc ny, trong v d gi thit H
0
l:
2
= 0,3. V
2
nm ngoi khong (0,43043;
0,58777). Do vy ta bc b gi thit H
0
. (vi mc ngha 5%).

Kim nh mt pha hay mt ui:
i khi ta c mt tin nghim hay k vng l thuyt mnh rng gi thit i l mt pha hay
theo mt hng ch khng phi theo hai pha nh va xt trn. Chng hn, trong v d tiu
dng thu nhp, nu da vo l thuyt kinh t hay mt cng trnh nghin cu thc nghim trc
y cho thy xu th tiu dng bin ln hn 0,3, khi ta c th nu gi thit i nh sau: H
1
:
2
>
0,3. Th tc kim nh gi thit ny c th c suy ra mt cch d dng t (2.28), nhng trong
thc t, km nh gi thit ny, ta thng p dng phng php kim nh ngha.
b/ Kim nh gi thit bng phng php kim nh ngha:
Kim nh ngha l mt th tc m cc kt qu ca mu c s dng kim chng tnh
ng n hay sai lmca mt gi thit khng.
Chng hn cn kim nh gi thit H
0
:
2
=
; H
1
:
2

.
Quyt nh chp nhn hay bc b H
0
da vo gi tr ca thng k kim nh thu c t s
liu ca mu.
Trong gi thit 6, ta c i lng ngu nhin
)
2
2 2

Se
t
i

=

Bc b gi
thit H
0
nu
2
nm trong
min ny
Cc gi tr ca
2
nm trong
khong ny l hp l theo
H
0
vi tin cy 1 . Do
vy khng bc b H
0
nu
2

nm trong min ny

Bc b gi
thit H
0
nu
2
nm trong
min ny
)
( t
2 /2 2

Se
)
( t
2 /2 2

Se +


30
Tun theo phn phi t vi n-2 bc t do. Nu gi tr ca
2
ng nh gi thit khng nu
th gi tr ca t c th c tnh t mu cho, t ng vai tr l thng k kim nh.. T ta c
khong tin cy nh sau:
(-t
/2

)
2
*
2 2

Se

t
/2
) = 1 - (2.31)
Vi
*
2
l gi tr ca
2
theo H
0
.
(2.31) biu th khong cha t vi xc sut 1 nu nh
2
=
*
2
. Theo ngn ng kim

nh gi thit, khong (-t
/2
; t
/2
) thit lp (2.31) c gi l min chp nhn ca gi thit khng
(vi mc ngha ). Vng nm ngoi min chp nhn c gi l min bc b ca H
0
. t
/2
c
gi l gi tr ti hn; c gi l mc ngha ca kim nh ( chnh l xc sut mc phi sai
lm loi I, sai lm mc phi khi ta bc b gi thit khng khi n ng, Nguyn nhn mc sai lm
l do . Bn cnh c sai lm loi II, l sai lm khi gi thit H
0
sai nhng li c chp nhn.
Chng ta mun sao cho xc sut mc sai lm loi II l ti thiu. Nu gi l xc sut mc sai lm
loi II, khi xc sut bc b gi thit H
0
sai l 1- , ni cch khc, 1 l xc sut khng mc
phi sai lm loi II v 1 c gi l lc kim nh ).
Do ta s dng phn phi t, nn th tc kim nh ny thng c gi l kim nh t. Theo
phng php kim nh ngha, mt thng k c xem l c ngha v mt thng k nu gi tr
ca thng k kim nh nm min bc b, trong trng hp ny, gi thit khng b bc b.
Tng t, mt thng k c xem l khng c ngha v mt thng k nu gi tr ca thng k
kim nh nm min chp nhn. Trong tnh hung ny, gi thit khng khng b bc b.
Trong v ang xt, v c 10 quan st, nn s bc t do bng 8. Vi mc ngha , chng
hn l 5%, tra bng ta tm c gi tr ti hn t
/2
= 2,201. Vy min chp nhn gi thit H
0
:
2
=
0,3 (vi gi thit i H1:
2
0,3) l: (-2.201 < t < 2,201). Theo cc kt qu tnh c trong v
d 2, ta c:

*
2 2
2
- 0 ,5 0 9 1 - 0 ,3
t = = = 5 ,8 5
0 , 0 3 5 7 4 2
S e( )

V gi tr ca t nm min , v vy ta bc b gi thit H
0.

Cn ch l, th tc kim nh m t trn l kim nh hai pha hay hai ui (v min bc
b nm hai pha ca min chp nhn). Kim nh ny c p dng khi gi thit i c dng:
2

2
*. Nhng nu gi thit i c dng:
2
>
*
2
hoc
2
<
*
2
th ta s dng kim nh mt pha.

Nu H
1
:
2
>
*
2
th min bc b nm v pha bn phi min chp nhn.

Nu H
1
:
2
<
*
2
th min bc b nm v pha bn tri min chp nhn.

Ta c th tm tt quy tc quyt nh i vi kim nh gi thit v
2
nh sau:


31
Loi gi thit Gi thit H
0
Gi thit H
1
Min bc b
Hai pha
2
=

t > t
/2
Pha phi
2

*
2

2
>
*
2

t > t

Pha tri
2

*
2

2
<
*
2

t < - t

Tng t t c quy tc kim nh gi thit i vi
1

0
Gi thit H
1
Min bc b
Hai pha
1
=

1

1

| t | > t
/2
Pha phi

1
>

1

t > t

Pha tri
1

1

1
<

t < - t

Nu ta kim nh gi thit H
0
:
2
= 0 vi gi thit i H
1
:
2
0 th c ngha l ta kim
nh gi thit cho rng bin X khng nh hng n bin Y.
V d: Vi s liu v d 2, ta kim nh gi thit H
0
:
2
= 0 vi gi thit i H
1
:
2
0 vi
mc ngha 5%.
Phn trn ta tnh c:
2
= 0.5091 v Se(
2
) = 0,035742; Vy:

14,243
035742 , 0
0 - 0,5091
= = t

Vi mc ngha = 5% v bc t do n -2 = 8 th t
0,025
= 2,201. V |t| = 14,243 > t
0,025
nn ta
bc b gi thit H
0
. Tc bin thu nhp (X) thc s c nh hng ti bin ch yu (Y).
c/ Kim nh gi thit v
2

Gi s ta cn kim nh gi thit: H
0
:
2
0
2
=
; H
1

2
vi mc ngha .
Qui tc kim nh gi thit trn c th tm tt bng sau:

0
Gi thit H
1
Min bc b
Hai pha

2
/2
2

hoc
2
/2 1
2

Pha phi
2
0
2

2
0
2

2 2

Pha tri
2
0
2

2
0
2

2
1
2

V d: Vi s liu v d 2, ta hy kim nh gi thit H
0
:
2
= 85 vi H
1
:
2
85 vi
mc ngha 5%.
2
0
2
=
2
0
2


32
phn trn ta tnh c
2
= 42,15875; Vy:

( )
3,968
85
15875 , 42 2 - 10

2
= =
Dng bng Excel, ta tm c:

2,1797 8) 5; CHINV(0,97
17,5345 5;8) CHINV(0,02
2
0,975(8)
2
/2 - 1
2
0,025(8)
2
2 /
= = =
= = =

V
2
= 3,968 khng thuc min bc b, v vy khng bc b gi thit H
0
.
d/ Mt s ch khi kim nh gi thit
+ ngha ca vic chp nhn v bc b mt gi thit
Khi p dng phng php kim mh ngha, chng hn kim nh t, ta kt lun: chp nhn
gi thit khng khi gi tr t nm min chp nhn. iu khng c ngha gi thit khng l
ng. Ti sao? tr li cu hi ny ta tr li v d v tiu dng-thu nhp v gi s H
0
:
2
= 0,5.
Khi d dng tnh c t = 0.25. Vi = 5% ta chp nhn H
0
. Nhng by gi hy gi s H
0
:
2

= 0,48, p dng cng thc, ta s tnh c t = 0,82, v nh vy theo qui tc kim nh, ta cng kt
lun l chp nhn H
0
. Gi thit no ng trong hai gi thit khng ny? iu ta khng bit.
Do vy, khi ni chp nhn gi thit khng ta phi lun nhn thc rng, cn nhiu gi thit
khng na cng c th hon ton ph hp vi s liu. Trong thc hnh, tt hn l ta nn kt lun
rng c th chp nhn gi thit khng hoc l nicha c c s bc b gi thit khng ch
khng nn ni l chp nhn n.
+ Lp gi thit khng v gi thit i
Vi cc gi thit khng v gi thit i cho trc th vic kim nh chng l d dng.
Nhng lm sao c th thit lp c cc gi thit ny? Khng h c mt qui tc bt di bt dch
no. Thng th tnh hung trong nghin cu s gi v tnh cht ca gi thit khng v gi thit
i. V d, xt m hnh hi qui: E
i
=
1
+
2
i
, trong E
i
l sut sinh li k vng ca chng
khon i;
i
l lch chun ca sut sinh li. Do sut sinh li v ri ro c d on c quan h
ng bin, v vy, gi thit i t nhin cho gi thit khng (
2
= 0) s l
2
> 0. Tc l, ta s
khng xem xt cc gi tr
2
< 0.
Nhng khi xem xt trng hp mc cu tin t. Mt trong cc yu t nh hng ti mc
cu tin t l thu nhp. Cc nghin cu trc y v hm cu tin t ch ra rng co gin ca
mc cu tin t i vi thu nhp (t l thay i % v mc cu tin t khi thu nhp thay i 1%)
thng nm trong khong t 0,7 n 1,3. Do vy trong mt nghin cu mi v mc cu tin t,
nu ta lp gi thit khng l h s co gin ca mc cu tin t i vi thu nhp l bng 1 (tc l
H
0
:
2
= 1) th gi thit i c th l: H
1
:
2
1.
Nh vy, c th da vo cc k vng l thuyt hay nghin cu kinh nghim trc y hoc
c hai thit lp cc gi thit. Nhng mc d cc gi thit c lp nh th no i na th iu
v cng quan trng l nh nghin cu phi thit lp cc gi thit trc khi iu tra thc nghim.
Nu khng, nh nghin cu s phm phi vic lp lun vng quanh hay c c on cho ph hp
vi kt qu thc nghim. Tc l, nu thit lp cc gi thit sau khi xem xt cc kt qu thc
nghim, ta c th mun thit lp cc gi thit bin minh cho kt qu tm c. Phi trnh cch
lm ny bng mi gi, t nht l to s khch quan trong nghin cu.

33
+ La chn mc ngha
Khi tin hnh kim nh gi thit, vic ta bc b hay khng bc b gi thit khng ph
thuc nhiu vo , mc ngha hay xc sut phm phi sai lm loi I (xc sut bc b gi thit
ng). Ti sao hay c c nh mc 1%, 5% hay nhiu nht l 10%. Trong thc t, vic n
nh mc ngha khng phi l bt kh xm phm; mi gi tr khc cng c th c la chn.
Nhng vic la chn gi tr thch hp ca s khng cn thit nu ta s dng gi tr p ca thng
k kim nh. Gi tr p s c cp mc tip theo.
+ Mc ngha chnh xc: Gi tr p
T s liu ca mt mu, ta tnh c gi tr ca tiu chun kim nh (v d tng k t).
Trong v d tiu dng-thu nhp nu trn, khi kim nh gi thit H
0
:
2
= 0 vi H
1
:
2
0, ta
tnh c t = 14,243. Khi ta c th tnh c: P(|t|> 14,243). Xc sut ny c gi l gi tr p
(gi tr xc sut). N cng c gi l mc ngha quan st hay mc ngha chnh xc m gi
thit khng c th b bc b. Cc phn mm kinh t lng u cho gi tr p trong bng kt qu.
trn chng ta bit, nu s liu khng h tr gi thit khng, th |t| tnh c theo gi
thit khng s ln v nh vy gi tr p ng vi t s nh. Ni cch khc, vi c mu cho trc,
khi |t| tng ln, gi tr p gim i, v do vy ta c th bc b gi thit khng vi mc tin cy cng
cao.
Mi quan h gia gi tr p v mc ngha .
Nu ta to thi quen c nh bng gi tr p ca thng k kim nh (v d thng k t), th
khng h c mu thun gia hai gi tr. Ni cch khc, ta nn t b cch c nh mt cch tu
v n gin l chn gi tr p ca thng k kim nh. Ngi nghin cu t quyt nh c bc b
gi thit khng ti gi tr p tnh c hay khng?. Nu trong mt ng dng, gi tr p ca thng k
kim nh l 0,145 v nu ngi nghin cu mun bc b gi thit khng ti mc ngha (chnh
xc) ny th c vic thc hin. Khng c g sai nu chp nhn xc sut sai lm nu bc b gi thit
khng khi gi thit ung 14,5%. Tng t, nu trong v d tiu dng- thu nhp, nu ta kim
nh gi thit H
0
:
1
= 0 vi H
1
;
1
0 v s dng phn mm Stata, th gi tr p tng ng s l
0,005. khng c g sai nu nh nghin cu mun chn mc ngha l 5%, tc khng mun xc
sut phm phi sai lm nhiu hn 5 trong 1000 ln.
2.7 KIM NH S PH HP CA HM HI QUI. PHN TCH HI QUI V
PHNG SAI.
Phn ny s trnh by vic phn tch hi qui theo quan im ca phn tch phng sai, n
cung cp cho chng ta mt cch khc, hu ch trong vic gii quyt vn phn on thng k.
phn trn , ta bit: TSS = ESS + RSS v
TSS
ESS

2
= r , nn:
ESS = r
2
* TSS v RSS = (1 r
2
)TSS.
Do
2
c phn phi N(
2
,
2
i
2
x
) nn
2 2 2

i
x

~ N(0,1)
V
=
2
2
2
2
2
2
1
)
(

i
x S

~
2
(1);
2
n
1 i
2
i
2
2
2
e

) 2 (

=
=
=
n
S ~
2
(n-2)

34
Nn
( ) ( )
2
1
2
2
2 2
1
2
1
2
2
2 2
2
1

) 2 /(

) 2 /( S
1 / S
F

=
=
=

=
=
n
i
i
n
i
i
n
i
i
x
n e
x
n
~F(1,n-2)
Chng ta kim nh gi thit: H
0
:
2
= 0 vi H
1
:
2
0.
kim nh gi thit trn ta p dng quy tc kim nh sau:
Tnh
2
1
2 2
2
(
F

=
=
n
i
i
x
. Nu F > F
(1,n-2) th bc b gi thit H
0
. Mt khc:

2
2
2
2
2
1
2 2
2
1
) 2 ( r

) 2 /( ) 1 (
1 / r

2) - RSS/(n
ESS/1

(
F
r
n
n TSS r
TSS
x
n
i
i

=

= = =

=

Cho nn qu trnh phn tch phng sai cho php ta a ra cc phn on thng k v
thch hp ca hm hi qui. C th tm tt qu trnh phn tch phng sai bng bng sau:

Ngun bin thin Tng bnh phng Bc t do Phng sai
T hm hi qui (ESS)

= =
=
n
i
i
x
1
2 2
2
n
1 i
2
i
)
( y
1
=
n
i
i
x
1
2 2
2
)
(
T cc yu t ngu
nhin
=
n
1 i
2
i
e
n-2
2
n
1 i
2
i
2
e
=
=
n

TSS
=
n
1 i
2
i
y
n-1
Vi s liu cho v d 2, hy kim nh gi thit:
H
0
:
2
= 0 vi H
1
:
2
0.
Phn trn ta tnh c r
2
= 0,96206, vy:
202,86
96206 , 0 1
2) - 0,96206(10

1
) 2 (
F
2
2
=

=
r
n r

Gi tr p tng ng vi F rt nh (< 0,00005) nn ta bc b gi thit H
0
. Ta c th kt lun
vi mc tin cy cao rng X(thu nhp) tht s c tc ng ti Y (chi tiu tiu dng).
2.8. NG DNG PHN TCH HI QUY: VN D BO:
Trn c s s liu mu v d 2, ta c hm hi qui mu:

i
0,5091X 24,4545
+ =
i
Y
Ta c th dng hm hi qui mu ny d on hay d bo chi tiu cho tiu dng (Y)
trong tng lai ng vi mt mc thu nhp (X) cho trc.
C hai loi d bo:

35
- D bo trung bnh c iu kin ca Y vi gi tr X = X
0
.
- D bo gi tr c bit ca Y vi X = X
0.

1. D bo gi tr trung bnh:
Gi s X = X
0
, ta mun d bo E(Y/X
0
) =
1
+
2
X
0
. ng hi qui mu cho ta c
lng im ca E(Y/X
0
) l:

0 2 1 0

X Y + =
Trong ,
0
Y l c im, khng chch v c phng sai nh nht ca E(Y/X

0
). Tuy
nhin
0
Y vn sai khc so vi gi tr thc ca n.

0
Y c phn phi chun vi k vng ton l

1
+
2
X
0
v phng sai l:

( )
) Y
var( ) Y
Se( ;
1
)
(
0 0
1
2
2
0 2
0
=
+ =
=
n
i
i
x
X X
n
Y Var
(2.32)
Vi h s tin cy 1-, d bo khong ca E(Y/X
0
) l:
[ ] )
) E(Y/X )
0 2 / 0 0 0 2 / 0
Y se t Y Y se t Y +

(2.33)
2. D bo gi tr ring bit:
Nu chng ta mun d bo gi tr ring bit (Y
0
) khi X = X
0
vi h s tin cy 1- th p
dng cng thc:
( )
0 0 /2 0
Y Y se Y

(2.34)
Trong : t
/2
l gi tr ca i lng ngu nhin T ~ T(n-2) tho mn iu kin: P(|T| > t
/2
)
= .

( )
+ + =
= + =
=
n
i
i
x
X X
n
X Y
1
2
2
0 2
0 0
0 0 0 0 0 2 1 0
1
1 ) Y
- Y var(
) Y
- var(Y ) Y
- se(Y ;

(2.35)
V d: Vi s liu cho v d 2, hy dh bo gi tr trung bnh v gi tr c bit ca chi tiu
cho tiu dng khi thu nhp mc 100USD/tun vi h s tin cy 95%?
Gii: Ta c:
0 2 1 0

X Y + = = 24,4545 + 0,5091*100 = 75,3636
Var(
0
Y ) = 42,15875
( )

+
33000
170 100
10
1
2
= 10,4758
se(
0
Y ) = 3,2366; Vi h s tin cy 95% v bc t do l 8 th t

/2
= t
0,025
= 2,201. Vy d
bo khong ca chi tiu cho tiu dng khi thu nhp mc 100USD/tun vi h s tin cy 95% l:
82,487) 100 E(Y/X 24 , 68 ( : . 3,2366 * 2,201 3636 , 75
0
= Hay
d bo gi tr ring bit, trc ht ta tnh:

36

( )

+ + =
33000
170 100
10
1
1 15875 , 42 ) Y
- Y var(
2
0 0
= 52,63457
se(Y
0
-
0
Y ) = 7,25497. Vy d bo khong chi tiu tiu dng khi thu nhp mc

100USD/tun vi h s tin cy 95% l:
) 332 , 91 Y 781 , 60 ( Hay ; 7,25497 * 2,201 3636 , 75
0

So snh kt qu ny vi kt qu v d bo khong ca gi tr trung bnh ta thy khong tin
cy ca gi tr ring bit (Y
0
) rng hn khong tin cy ca E(y/X
0
).
2.9 TRNH BY KT QU PHN TCH HI QUI:
C nhiu cch khc nhau trnh by cc kt qu ca phn tch hi qui, y ta s s dng
cch trnh by nh sau (vn dng v d tiu dung - thu nhp):

( ) ( )
( ) ( )
( ) ( ) (0,0000) p 0,000 0,005 p
202,87 F(1,8) 14,243 3,813 t
8 df 0,0357 6,4138 se
0,9621 r 0,5091 24,4545
2
= =
= =
= =
= + =
i i
X Y
(2.36)
Cn lu :
- Cc gi tr ghi dng 3 ca (2.36) c tnh theo cng thc:

( )
1,2) (j
se

j
j
= =
j
t
- Gi tr p ghi dng th 4 ca (2.36) c ngha l: vi bc t do l 8 th: P(|T| > 3,813) =
0,005.
P(|T| > 14,2405) = 0,0005; V gi tr 0,0005 rt nh nn c th lm trn l 0,000. Nh
vy khi my bo kt qu gi tr p bng 0,000 th ta cn hiu gi tr ny l mt con s rt nh (nh
hn 0,0005) v c lm trn l 0,000. Tng t: P(F > 202,87) < 0,00005 v xc sut ny
c lm trn l 0,0000.
- Nhn vo gi tr p ta c th kt lun chp nhn hay bc b gi thit H
0
: j = 0;H
1
: j 0(j
=1,2). Theo kt qu trn, vi mc ngha kh nh (chng hn 1%) th ta bc b gi thit:
H
0
:
1
= 0;H
1
:
1
0 v :
*
0
H
2
= 0; :
*
1
H
2
0
(v gi tr p u nh hn 0,01, tc gi tr ca thng k kim nh u nm min bc b).
- Sau khi c lng c m hnh hi qui tng th v tnh c cc thng s hi qui, ta
cn nh gi v s thch hp ca m hnh. M hnh ph hp ti u? tr li cu hi ny, ta cn
mt s tiu ch:
Th nht: Du ca cc h s hi qui c lng c ph hp vi l thuyt hay tin nghim
khng? Mt s tin nghim l
2
, xu hng tiu dng bin (MPC) trong hm tiu dng phi
dng. Trong v d 2,
2
= 0,5091 (l mt c lng im ca
2
) l s dng.
Th hai: Theo l thuyt kinh t th mi quan h gia chi tiu v thu nhp khng nhng ch
ng bin m cn phi c ngha thng k th trong v d ang xt c tho mn khng? Nh trn

37
ta tin hnh kim nh,
2
khng nhng dng m cn khc 0 ng k v mt thng k. Lp
lun cng ng cho tung gc.
Th ba: M hnh gii thch bin thin

trong chi tiu tiu dng tt n u? Ta c th dng r
2

tr li cu hi ny, trong v d r
2
= 0,962. tc l rt gn 1, nh vy mc ph hp ca m
hnh kh tt.
Ngoi ra, ta cn kim tra xem m hnh c tho mn cc gi thit ca m hnh hi qui tuyn
tnh c in. Vn ny s c cp cc chng sau.
M hnh hi qui hai bin l m hnh n gin nht trong lp m hnh hi qui tuyn tnh,
trong m hnh ch c mt bin ph thuc v mt bin c lp, gi tr ca bin c lp cho trc.
xc nh gi tr trung bnh ca bin ph thuc; Trc ht ta cn c vo mt mu c sn, s
dng phng php OLS c lng cc tham s ca mu; Xc nh hm hi qui mu, kim tra
tnh hp l ca cc tham s (cc h s trong hm SRF). Nu ph hp ta tin hnh xc nh
phng sai v sai s chun i vi cc c lng trn, t xc nh h s tng quan v h s
xc nh kim tra mc cht ch ca quan h gia hai bin v mc ph hp ca hm SRF.
Trn c s hm hi qui mu, cc gi thit ca phng php OLS v gi thit v phn phi
xc sut ca cc c lng, tin hnh xc nh khong tin cy ca cc tham s trong hm PRF;
Kim nh gi thit v cc h s hi qui; Kim nh s ph hp ca hm hi qui. Phn tch hi qui
v phn tch phng sai. Sau khi c kt lun v mc tin cy ca hm hi qui, ta tin hnh
d bo gi tr ca bin ph thuc khi bit gi tr ca bin c lp trong tng lai (k hoch). Cui
cng ta trnh by kt qu v nh gi cc kt qu ca phn tch hi qui.
CU HI V BI TP N CHNG 2
I- Cu hi
1. Trnh by ni dung ca phng php bnh phng nh nht? Trong m hnh hi qui hai
bin cc h s hi qui c ngha nh th nao?
2. Ti sao cn phi a ra cc gi thit i vi phng php bnh phng nh nht? Nu
cc gi thit v ngh ca tng gi thit?
3. Cch xc nh phng sai v sai s chun i vi cc c lng ca hm hi qui mu?
4. ngh ca h s xc nh v h s tng quan?
5. Cch xc nh khong tin cy ca
1
,
2
v
2
?
6. Phng php kim nh gi thit v cc h s hi qui v phng sai ca hm hi qui tng
th?
7. Nu ngha ca gi tr p trong kim nh gi thit v cc h s hi qui?
8. Trnh by phng php kim nh s ph hp ca hm hi qui. Phn tch hi qui v phn
tch phng sai?
9. Cc loi d bo bin ph thuc khi bit dng hm hi qui mu v gi tr ca bin c lp?
10. Cch trnh by kt qu phn tch hi qui? Cc ch tiu cn nh gi i vi kt qu ca
phn tch hi qui?

38
II- Bi tp:
1. Bng di y cho cc cp bin ph thuc v c lp. Trong mi trng hp hy cho bit
quan h gia hai bin l: cng chiu, ngc chiu hay khng xc nh? Hy gi thch?
Bin ph thuc Bin c lp
a- Vn u t Li sut
b- Tit kim c nhn Li sut
c- Cu v tin GDP
d- Sn lng Vn c bn (hoc lao ng)
e- Lng cu v xe my Gi xng
f- Lng in tiu th ca h gia nh Gi ga
2. Quan st v thu nhp (X-USD/tun) v chi tiu (Y-USD/tun) ca 10 ngi, ta thu c
s liu sau:
X
i
31 50 47 45 39 50 35 40 45 50
Y
i
29 42 38 30 29 41 23 36 42 48
a- c lng hm hi qui tuyn tnh: Y
i
=
1
+
2
X
i
+ U
i
.
b- Nu ngha kinh t ca cc h s hi qui c lng c. Cc gi tr c ph hp vi
l thuyt kinh t hay khng?
c- Tm khong tin cy ca
1
,
2
vi tin cy 95%?
d- Kim nh gi thit H
0
:
2
= 0; H
1
:
2
0 vi mc ngha 5%?
e- Tnh r
2
v nh gi mc ph hp ca m hnh?
f- D bo chi tiu ca mt ngi c mc thu nhp 40USD/tun?
Chng 3: M hnh hi qui nhiu bin (hi qui bi)

39
CHNG 3: M HNH HI QUI NHIU BIN
(HI QUI BI)
GII THIU
M hnh hi quy hai bin m chng ta nghin cu chng 2 trn thc t thng l khng
tho ng, chng hn nh: trong th d v thu nhp chi tiu tiu dng chng ta ngm gi nh
rng ch c thu nhp X nh hng n chi tiu tiu dng Y. Nhng l thuyt kinh t t khi c
n gin nh vy, bi v ngoi thu nhp, cn c mt s bin khc cng c th nh hng n chi
tiu tiu dng. Th d nh: S giu c, a v x hi, ni ca ngi tiu dng,... Mt th d khc,
nhu cu v mt mt hng thng khng ch ph thuc vo gi c ca n m cn ph thuc vo thu
nhp ca ngi tiu dng, ph thuc vo gi c ca cc hng ho thay th hoc b sung khc,v.v..
V vy chng ta cn xem xt cc m hnh hi quy c nhiu hn hai bin. l m hnh hi quy
bi.
Chng ny s trnh by di dng tng qut. Bn c cn nh rng m hnh hi quy
tuyn tnh c hiu l tuyn tnh i vi cc tham s, n c th khng phi l tuyn tnh i vi
cc bin.
hiu c chng ny i hi ngi hc cn c cc kin thc v l thuyt ma trn ,
ma trn nghch o, cch nhn ma trn vi ma trn, nhn ma trn vi mt vc t,...
NI DUNG
3.1 M HNH HI QUI TUYN TNH K BIN.
Hm hi qui tng th c dng:
Hm hi qui tng th trong trng hp k bin c dng:

i ki k i i i
U X X X Y + + + + + = ......
3 3 2 2 1

Trong :
1
l h s t do;
j
(j = 1,2,3,,k) l cc h s hi qui ring.
Gi s ta c n quan st, mi quan st gm k gi tr (Y
i
, X
2i
, ., X
ki
) vi i=1 n. Khi :

n kn k n n n
k k
k k
U X X X Y
U X X X Y
U X X X Y
+ + + + + =
+ + + + + =
+ + + + + =

......
. .......... .......... .......... .......... .......... .......... ..........
......
......
3 3 2 2 1
2 2 32 3 22 2 1 2
1 1 31 3 21 2 1 1
(3.1)


40
K hiu:
=
n
Y
Y
Y
Y
.
.
.
2
1
;
=
k
.
.
.
2
1
;
=
n
U
U
U
U
.
.
.
2
1

=
kn n n
k
X
X
X
.... .......... X X 1
. .......... .......... .......... ..........
.......... .......... .......... ..........
.......... .......... .......... ..........
... .......... X X 1
.X .. ..... . . . X X 1
3 2
2 32 22
k1 31 21

Khi ta c: (3.1) c th vit di dng ma trn nh sau:
Y = X + U.
3.2 CC GI THIT:
Phn ny s nhc li cc gi thit m hnh hi qui tuyn tnh c in c trnh by bng
cch pht biu bnh thng v bng ngn ng ma trn.
K hiu ( )
=
) (
.
.
.
.
) (
) (
.
.
.
.
2
1
2
1
n n
U E
U E
U E
U
U
U
E U E ;
=
2
3 n 2 n 1
2 3 2
2
2 1 2
1 3 1 2 1
2
1
...... .......... U U
.... .......... .......... .......... .......... ..........
..... .......... .......... .......... .......... ..........
..... .......... .......... .......... .......... ..........
.... .......... .......... .......... .......... ..........
... .......... U U
.U .. ..... . . . U U
n n
n
n
T
U U U U U
U U U U U
U U U U
UU

Gi thit 1: E(U
i
) = 0 i hay E(U) = 0
Gi thit 2: E(U
i
, U
j
) =
=

j i
j i 0
2

Hay: E(UU
) =
2
I (I l ma trn n v cp n)
Gi thit 3: X
2
, X
3
, .., X
k
c xc nh hay ma trn X c xc nh.
Gi thit 4: Khng c hin tng a cng tuyn gia cc bin giI thch hay hng ca ma
trn
X bng k: R(X) = k.
Gi thit 5: U
i
~ N(0,
2
) i hay U ~ N(0,
2
I).
(Dng kim nh gi thit v tm khong tin cy).

41
Gi thit 2 c th vit y nh sau:
=
=
2
3 n 2 n 1
2 3 2
2
2 1 2
1 3 1 2 1
2
1
...... .......... U U
.... .......... .......... .......... .......... ..........
..... .......... .......... .......... .......... ..........
..... .......... .......... .......... .......... ..........
.... .......... .......... .......... .......... ..........
... .......... U U
.U .. ..... . . . U U
) (
n n
n
n
T
U U U U U
U U U U U
U U U U
E UU E

==
=
2
2
2
2
3 n 2 n 1
2 3 2
2
2 1 2
1 3 1 2 1
2
1
.... .. ..... . . . 0 0 0
... .......... .......... ..........
... .......... .......... ..........
.. .......... .......... ..........
.0 .. ..... . . . 0 0
...0 .. ..... . . . 0 0
) ( )....... E(U ) E(U ) (
.... .......... .......... .......... .......... ..........
..... .......... .......... .......... .......... ..........
..... .......... .......... .......... .......... ..........
.... .......... .......... .......... .......... ..........
) ( )...... E(U ) E(U ) (
) E(U . . . . ) E(U ) E(U ) (
n n
n
n
U E U U U U E
U U E U U U E
U U U U E

I UU E
T 2 2

......1 0.........
..1...0 ..........
..0 1......... 0
..0 0......... 1
) ( =
= Vi I l ma trn n v cp n. (3.2)

Ma trn (3.2) gi l ma trn hip phng sai ca U
i
. Cc phn t trn ng cho chnh
l phng sai ca U
i
, cc phn t ngoi ng cho chnh l hip phng sai.
Gi thit 4 ni rng hng ca ma trn X bng s ct ca ma trn ny, ngha l cc ct ca
ma trn X l c lp tuyn tnh. Hay ni cch khc i khng c hin tng cng tuyn gia cc
bin c lp, v mt ton hc c ngha khng tn ti cc s
2
,..,
k
trong c t nht mt
i

0 :
2
X
2i
+
3
X
3i
+ ..+
k
X
ki
= 0 i = n , 1
3.3 C LNG CC THAM S - OLS.
Hm hi quy mu SRFc dng:

i ki k i i
ki k i
e X X Y
X X Y
+ + + + =
+ + + =

......

......

2 2 1
2 2 1 1

Hay: e X Y + =


42
Trong :
X - Y
.
.
.
.
2
1
=
=
n
e
e
e
e
Cc c lng OLS c tm bng cch:
( )

= =
=
n
i
ki k i i
n
i
i
Min X X Y e
1
2
2 2 1
1
2
........

=
n
i
i
e
1
2
l tng bnh phng cc phn d (RSS).
Ta k hiu X
T
Y
T
,
T
, e
T
tng ng l cc ma trn chuyn v ca X, Y,
, e. Tc l:
=
n
2
1
kn k2 k1
2n 22 21 T
Y
Y

..X .......... .......... .......... .......... X X
...... .......... .......... .......... .......... .......... ..........
X X X
.........1 .......... .......... .......... ...1...... 1.........
. X
Y
Y
T
= (Y
1
, Y
2
,..,Y
n
).
T
= )
,........,
(
k 2 1
e
T
= (e
1
, e
2
,.,e
n
). Khi :
e
T
e =
=
n
i
i
e
1
2
=(Y-X
)
T
(Y-X
) = (Y
T
-
T
X
T
)(Y -X
) =
= Y
T
Y -
T
X
T
Y Y
T
X
T
X
T
X
= Y
T
- 2
T
X
T
Y +
T
X
T
X

(V
T
X
T
Y=Y
T
X
)
H phng trnh chun c dng:
( )

2X 2 0
T
X X Y X X Y X
e e
T T T
T
= + =
Vy ( ) Y X X
T
1
T
X

=
Trong ma trn (X
T
X) c dng nh sau:

...... .......... X X X X X
....... .......... .......... .......... .......... .......... .......... ..........
....... .......... .......... .......... .......... .......... .......... ..........
........ .......... .......... .......... .......... .......... .......... ..........
..... .......... X X X X
X ........ .. ..... . . . X X
2
3 ki 2 ki ki
2 3 2i
2
2i 2i
ki 3 2i
=

ki
i i
ki i i
i
T
X
X X
n
X X

Th d3.1: C s liu quan st ca mt mu cho bng s liu di y (bng 3.1). Trong
:
Y: l lng hng bn c ca mt loi hng (tn/thng).
X
2
: l thu nhp ca ngi tiu dng (triu ng/nm)

43
X
3
: l gi bn ca loi hng ny (ngn ng/kg)
Y
i
20 18 19 18 17 17 16 15 13 12
X
2i
8 7 8 8 6 6 5 5 4 3
X
3i
2 3 4 4 5 5 6 7 8 8
Tm hm hi quy:
i i
X X Y
3 3 2 2 1

+ + =
Gii: T bng s liu cho, ta tnh c cc tng:
Y
i
= 165; X
2i
= 60; X
3i
= 52;
2
i
Y = 2781; 388
2
2
=
i
X ;
= 308
2
3i
X ;
; 282
3 2
=
i i
X X

= = ; 813 ; 1029
23 2
X Y X Y
i i
i

Ma trn nghch o:

( )
0,58901 -
0,76178
14,99215

1528 / 900
1528 / 1164
1528 / 22908
813
1029
165
280 300 3256 -
300 376 3816 -
3256 - 3816 - 39980
1528
1
280 300 3256 -

300 376 3816 -
3256 - 3816 - 39980
1528
1
308 282 52
282 388 60
52 60 10
1
1
Hay
X X
T

Vy hm hi qui cn tm l:

i i
X X
3 2
58901 , 0 76178 , 0 99215 , 14
+ =
3.4. MA TRN HIP PHNG SAI CA CC C LNG:
kim tra gi thit, tm khong tin cy, cng nh thc hin cc suy lun thng k khc
cn phi tm Var(
i
); i = k , 1 v Cov(
j i

). Phng php ma trn cho php chng ta tm

chng mt cch d dng.
Ma trn hip phng sai ca
=
k
Var
Cov

( .......... ).........
Cov( )
Cov(
. .......... .......... .......... .......... .......... .......... ..........
)
Cov( ........ ).........
Var( )
Cov(
)
......Cov( .......... )
Cov( )
Var(
)
(
2 k 1 k
k 2 2 2 1
k 1 2 1 1

tm Cov(
) ta p dng cng thc:

=
2
(X
T
X)
-1

Trong cng thc trn (X
T
X)
-1
l ma trn nghch o ca ma trn (X
T
X),
2
l Var(U
i
),
nhng cha bit nn ta phi dng c lng khng chch ca
2
l:

44

( ) k - n
e

n
1 i
2
i
2

=
= trong k l s bin ca m hnh.
Th d: Vi s liu cho th d 3.1 hy tm ma trn hip phng sai ca

Gii: phn trn ta tnh c ma trn (X
T
X)
-1
, ta cn tnh
2
.
Ta c:
TSS = Y
T
Y - n( )
2
Y = ( )
2
2
Y n -
i
Y = 2781-10(16,5)
2
= 58,5
ESS = ( ) ( )
2
Y n -
Y X
T T
=
= (14,992150,76178 0,58901) ( )
2
5 , 16 10
813
1029
165
= 56,211
RSS = 58,5 56,211 = 2,289

( )
327 , 0
3 10
289 , 2
k - n
2
=
= =
RSS
=
0,05992 0,0642 0,6968 -
0,0642 0,080466 0,81664 -
0,6968 - 0,81664 - 55593 , 8
280 300 3256 -
300 376 3816 -
3256 - 3816 - 39980

1528
327 , 0
)
( Cov

3.5 CC TNH CHT CA CC C LNG BNH PHNG NH NHT:
Vc t
thu c bng phng php OLS vi 5 gi thit nu trn c cc tnh cht:

- Tuyn tnh.
- Khng chch
- C phng sai nh nht.
Tht vy:
=(X
T
X)
-1
X
T
Y. do (X
T
X)
-1
l ma trn cc s c nh, cho nn
l hm ca Y-
hm tuyn tnh.
Hm hi quy tng th c dng: Y = X + U
Cho nn
= (X
T
X)
-1
X
T
(X + U) = + (X
T
X)
-1
X
T
U.
E(
) = E() + (X
T
X)
-1
X
T
E(U) = +0.
iu ny chng t
l c lng khng chch ca . By gi ta gi s rng

*
l c
lng tuyn tnh khng chch bt k khc ca ,
*
c th vit di dng:

*
= [(X
T
X)
-1
X
T
+ C]Y = [(X
T
X)
-1
X
T
+ C](X + U) = + CX + (X
T
X)
-1
X
T
U + CU.
Trong C l mt ma trn.
Do * l c lng khng chch ca nn CX = 0

*
- = (X
T
X)
-1
X
T
U + CU.
Cov(
*
) = E[(
*
- )(
*
- )
T
] = E[(X
T
X)
-1
X
T
U + CU] [(X
T
X)
-1
X
T
U + CU]
T
.

45
= (X
T
X)
-1
E(UU
T
) + CC
T
E(UU
T
) =
2
(X
T
X)
-1
+
2
CC
T
= Cov(
) +
2
CC
T
.
Do CC
T
l ma trn khng m cho nn Var (
*
i
)Var (
i
) do tnh cht bt k ca
*
, iu
ny chng t
c phng sai nh nht.

3.6 C LNG HP L TI A (ML):
Vi cc gi thit trnh by trn th Y
i
~ N(
1
+
2
X
2i
++
k
X
ki
,
2
) v cc c
lng ca
1
,
2
,..,
k
l
k

......,
2 1
thu c bng OLS v ML l nh nhau. Nhmg c
lng ca
2

t ML:
k - n
e

n
1 i
2
i
2

=
= l c lng chch.
3.7 H S XC NH BI V H S XC NH BI D IU CHNH:
Trong m hnh hi quy hai bin, r
2
o thch hp ca hm hi quy. N chnh l t l ca
ton b s bin o ca bin ph thuc Y do bin gii thch X gy ra. Trong m hnh hi quy bi
t l ca ton b s khc bit ca birns Y do tt c cc bin gii thch X
2
, X
3
,..,X
k
gy ra c
gi l h s xc nh bi, k hiu R
2
.
H s xc nh bi R
2
c th tnh bng mt trong hai cng thc sau:
R
2
=
=
=
= =
=
n
i
i
n
i
i
y
e
TSS
RSS
TSS
RSS TSS
TSS
ESS
1
2
1
2
1 1
0 R
2
1. Nu R
2
= 1, c ngha l ng hi quy gii thch 100% s thay i ca Y. Nu
R
2
= 0, c ngha l m hnh khng gii thch s thay i no ca Y.
R
2
l hm khng gim ca bin s gii thch c trong m hnh. D dng thy rng
( )

= =
=
n
i
i
n
i
i
Y Y y
1
2
1
2
khng ph thuc vo s bin gii thch c trong m hnh, nhng
=
n
i
i
e
1
2
l
hm gim ca s ny. Do , nu tng s bin gii thch trong m hnh th R
2
cng tng. Vn
t ra l khi no th a thm bin gii thch vo m hnh?
Khng th dng R
2
lm tiu chun xem xtvic a thm hay khng a thm mt bin
gii thch mi vo m hnh. Bi v R
2
cn ph thuc vo s bc t do ca ( )
=

n
i
i i
Y Y
1
2
v
( )
=

n
i
i
Y Y
1
2
tng ng l (n-k) v (n-1). Trong k l s cc tham s (k c h s chn) ca m
hnh.
Ngi ta dng h s xc nh bi iu chnh, k hiu l
2
R cn nhc khi xem xt
vic thm bin gii thch mi vo m hnh. N c xc nh bng cng thc:

46

( )
( )
( )
k n
n
R
n y
k n e
R
n
i
i
n
i
i
=
=
1
1 1
1 /
/
1
2
1
2
1
2
2

2
R c cc tnh cht sau:
Nu k > 1,
2
R R
2
1, iu ny c ngha l nu s bin gii thch tng ln th
2
R tng
chm hn so vi R
2
.
R
2
0, nhng
2
R c th m. Nh vy khi
2
R cn tng th ta cn phi a thm bin mi
vo m hnh.
2
R cn c th tng khi m h s ca bin mi trong hm hi quy khc khng. Khi
no bit c h s ca bin mi trong hm hi quy khc khng? Khi m gi thit:
H
0
:
k
= 0
H
1
:
k
0
Nu gi thit H0 b bc b th bin X
k
s c a vo m hnh. Trong thc t, ta nn dng
R
2
hay
2
R ? Dng
2
R tt hn R
2
bi v R
2
c khuynh hng cho ra mt bc tranh qu lc quan
v thch hp ca hi qui, c bit l khi s lng cc bin gii thch khng qu nh so vi s
lng cc ln quan st.
3.8 MA TRN TNG QUAN:
Gi s ta c m hnh hi quy bi:

i ki k i i i
U X X X Y + + + + + = ......
3 3 2 2 1

K hiu r
tj
l h s tng quan gia bin th t v th j. Nu t=1th r
1j
l h s tng quan
gia cc bin Y v bin X
j
.

= =
=
= =
=

= =
n
i
n
i
ji ti
n
i
ji ti
n
i
n
i
ji i
n
i
ij i
j
x x
x x
x y
x y
r
1 1
2 2
2
1 2
tj
1 1
2 2
1
2
1
r ;
) (

Trong : x
ji
= X
ji
-
j
X
D dng nhn thy rng: r
ti
= r
jt
; r
jj
= 1.

1 . .......... ..........
. .......... .......... .......... .......... ..........
. .......... .......... .......... .......... ..........
.. .......... .......... .......... .......... ..........
.......... .......... 1
........ .. ..... . . . 1

......... ..........
. .......... .......... .......... .......... ..........
. .......... .......... .......... .......... ..........
.. .......... .......... .......... .......... ..........
.......... ..........
........ .. ..... . . . r
k3 k2 k1
2 23 21
1k 13 12
k3 k2 k1
2 23 22 21
1k 13 12 11
=
r r r
r r r
r r r
r r r r
r r r r
r r r
R
k
kk
k


47
3.9 H S TNG QUAN RING PHN:
Ta bit h s tng quan r o mc ph thuc tuyn tnh gia hai bin. i vi m
hnh hi quy 3 bin:

i i i i
U X X Y + + + =
3 3 2 2 1

Ta nh ngha:
r
12,3
l h s tng quan gia bin Y v X
2
trong khi X
3
khng i.
r
13,2
l h s tng quan ring gia bin Y v X
3
trong khi X
2
khng i.
r
23,1
l h s tng quan ring gia X
2
v x
3
trong khi Y khng i.
Ta c th chng minh cc cng thc sau:

( )( )
( )( )
( )( )
2
13
2
12
13 12 23
1 , 23
2
23
2
12
23 12 13
2 , 13
2
23
2
13
23 13 12
3 , 12
1 1
;
1 1
;
1 1
r r
r r r
r
r r
r r r
r
r r
r r r
r

=

=

=

H s tng quan ring c nh ngha nh trn c gi l h s tng quan bc
nht. T bc y ng ch s hng sau du phy v th r
12,34
l h s tng quan ring bc 2;
cn r
12
, r
13
l cc h s tng quan bc khng.
Gia h s xc nh bi v cc h s tng quan bc khng v h s tng quan bc nht
c cc mi lin h sau:
( )
( )
2
3 , 12
2
13
2
13
2
2
2 , 13
2
12
2
12
2
2
23
23 13 12
2
13
2
12 2
1
; 1
;
1
2
r r r R
r r r R
r
r r r r r
R
+ =
+ =

+
=

Ma trn R ni trn c gi l ma trn h s tng quan ring cp 0
3.10 KIM NH GI THIT V KHONG TIN CY CA CC H S HI QUY
RING- KIM NH T.
Vi gi thit U ~ N(0,
2
) ta c th kim nh gi thit, tm khong tin cy cho cc h s
hi quy ring.

~ N(,
2
(X
T
X)
-1
)
Thnh phn
i
c phn phi chun vi k vng

i
v phng sai bng
2
nhn vi phn t
nm trn dng th i v ct i ca ma trn (X
T
X)
-1
hay chnh l phn t th i trn ng cho chnh
ca ma trn Cov(
). Tuy nhin do
2
cha bit, nn ta phi dng c lng khng chch ca
2

l:

48

k n
e
n
i
i
=

=1
2
2

Khi
( )
i
i i
se
t

= c phn b t(n-k). Vi tiu chun ny c th tm khong tin cy, kim
nh gi thit v cc h s hi quy ring.
Khong tin cy vi h s tin cy 1- ca
i
c xc nh:
( ) ( )

<
< )
(
)
2 / 2 / i
i
i i
Se k n t
Se
k n t P

Do :
( ) ( ) k 1, i ));
(
2 / 2 /
= + < <
i i i i i
Se k n t Se k n t

Chng ta c th kim nh gi thit:
i
=
*
i

Tiu chun dng kim nh:
( )
i
i i
se
t

= ~ t(n-k)
Tu theo gi thit H
1
, chng ta c cc min bc b sau y:
Loi gi thit H
0
H
1
Min bc b
Hai pha
i
=
*
i

i

*
i
t>t
/2
(n-k)
Bn tri
i
=()
*
i

i
<
*
i
t <- t
/2
(n-k)

Bn phi
i
= ()
*
i

i
>
*
i
t >- t
/2
(n-k)
Nu
*
i
=0, chng ta mun kim nh bin c lp X, khng nh hng n bin ph
thuc.
Km nh gi thit H
0
:
2
=
3
=..=
k
Hay R
2
= 0
H
1
: Khng phi tt c cc h s hi quy ring ng thi bng 0.
i lng ngu nhin F =
) /(
) 1 /(
k n RSS
k ESS
tun theo phn phi F vi k-1 v n-k bc t do.

Ta c:
( )
( )
( ) ( )
( ) ( )
( )
( )
( )
( ) ( ) k n R
k R
R
R
k
k n
TSS ESS
TSS ESS
k
k n
ESS TSS
ESS
k
k n
RSS k
ESS k n
k n RSS
k ESS
F

=

=
=

=
/ 1
1 /
1 1
/ 1
/
1 1 1 ) /(
) 1 /(
2
2
2
2

Nh vy gia F v R
2
c lin quan vi nhau. R
2
cng ln th F cng ln. Khi R
2
= 0 th F
= 0. Khi R
2
= 1th F v hn. Do vy vic kim nh gi thit H
0
:
2
=
3
=..=
k
= 0 cng l
kim nh gi thit cho rng R
2
(trong tng th) bng 0.
kim nh gi thit trn, ta p dng qui tc kim nh sau y:

49
Tnh F theo cng thc:
( )
( ) ( ) k n R
k R
F

=
/ 1
1 /
2
2

Vi mc ngha , tra bng phn phi Fisher-Snedecor vi bc t do n
1
= (k-1) v n
2
=
(n-k) tm gi tr F
(k-1; n-k). Trong n l s quan st, k l s bin trong m hnh hi quy (k

c bin ph thuc). F
(k-1; n-k) l gi tr tho mn iu kin:

( ) [ ]
= > k n k F F P , 1
Nu F > F
(k-1; n-k) th ta bc b gi thit H

0
, tc l cc h s hi quy khng ng thi
bng 0 (hay R
2
0 c ngha). Ngc li, nu F < F
(k-1; n-k) th ta khng bc b gi thit H

0
,
tc l cc h s hi quy ng thi bng 0 (hay R
2
= 0 c ngha).
3.11 HI QUY C IU KIN RNG BUC - KIM NH F:
Gi s chng ta c hm hi quy:

i ki k i i i
U X X X Y + + + + + = ......
3 3 2 2 1
(*)
By gi ta kim nh gi thit:
H
0
:
k-m+1
=
k-m+2
=.=
k
= 0
Vi gi thit ny hm hi quy c dng:

i m k m k i i i
U X X X Y + + + + + =

......
3 3 2 2 1

(c gi l hm hi quy thu hp hay hm hhi quy c iu kin rng buc).
K hiu: e
R
: Vc t phn d t hm hi quy c u kin rng buc.
e
UR
: Vc t phn d t hm hi quy ban u (khng iu kin rng buc).
m: S b loi khi m hnh ban u(S iu kin rng buc).
n: S quan st.
Khi tiu chun kim nh gi thit H
0
:

( )
( ) k n e e
m e e e e
UR
T
UR
UR
T
UR R
T
R
/
/
~ F(m, (n-k))
Nu F > F
(m, (n-k)) th gi thit H

0
b bc b.
3.12 D BO:
Chng ta c th s dng m hnh hi quy vo d bo: d bo gi tr trung bnh v d bo
gi tr c bit.
Cho X
0
=
0
0
3
0
2
.
.
.
1
k
X
X
X


50
D bo gi tr trung bnh: E(Y/X
0
)

... .......... ..........

k 2 2 1
T
k i
X X X Y = + + =
Vi X = X
0
ta c

( )
0
0
/
X Y = X
0T
( ) ( )
0 0
0 0
var /
var
X X X Y
T
=
( ) ( )
0
1
0 2 0
0
/
var X X X X X Y
T T
i

= v var(
)=
2
(X
T
X)
-1

Nhng
2
cha bit nn phi dng c lng khng chch l
2
ca n:

( ) ( )
( ) ( )
( ) ( ) ( ) ( ) ( )
0
0 2 / 0
0 0
0 2 / 0
0
1
0 2 0
0
0
1
0 2 0
/

/ /

X Y se k n t Y X Y E X Y se k n t Y
X X X X X Y Se
X X X X X Y Var
T T
T T
+
=
=

D bo gi tr c bit:

( ) ( )
( ) ( ) [ ]
( ) ( ) [ ]
( ) ( ) ( ) ( ) ( )
0
0 2 / 0
0
0
0
0 2 / 0
0
1
0 2 0
0
0
1
0 2 0
0
2 0 0
0
/
/ /
/
1
X Y Se k n t Y X Y X Y Se k n t Y
X X X X X Y Se
X X X X X Y Var
X Var X Y Var e X Y
T T
T T
T
i
T
i
+
+ =
+ =
+ = + =

Vi vic trnh by m hnh hi quy bng ngn ng ma trn cung cp cho chung ta mt
cng ngh m nh c th s dng k thut tnh ton, t ng ho ton b qu trnh tnh ton,
phn tch v d bo. M hnh hi quy nhiu bin c gii mt cch nhanh chng nh phn mm
MFIT3 v MFIT4 hoc phn mm Stata.
3.13 Mt s dng ca hm hi quy.
Dng ca hm hi quy l mt vn quan trng, mt trong nhng nhn t c tnh cht
quyt nh i vi kt qu nghin cu. Tuy vy, vn dng ca hm hi quy li khng c mt
c s l thuyt mnh c th khng nh dng ca hm hi quy l dng ny m khng phi l
dng khc. Dng ca m hnh hi quy l mt vn thc nghim.
Mt trong nhng phng php thng c dng l biu din cc s liu ln h to .
Nu nh th ch ra quan h gia hai bin l tuyn tnh th dng hm ca m hnh l tuyn tnh,
nu quan h c ch ra l hm bc 2,3 (phi tuyn),v.v... th dng hm ca m hnh c chn
mt cch tng ng. Phng php ny c s dng trong m hnh hi quy gin n. N s
khng hu ch nu chng ta c m hnh hi quy bi.
y s trnh by mt s dng hm n gin hay gp trong ng dng thc tin.
3.13.1 Hm c h s co gin khng i- hm Cobb-Douglas
Hm cobb-Douglas c dng: Y =
1
2
X
Hm ny l hm phi tuyn i vi X v phi tuyn i vi tham s
2
. Tuy nhin c th bin
i v dng tuyn tnh i vi tham s. Ly ln hai v, ta c:
LnY = ln
1
+
2
lnX
t lnX X lnY; Y ; ln
' '
1
'
1
= = =

51
Ta c:
'
2
'
1
'
X Y + =
y l m hnh gin n m ta bit. Ta c th minh ho hm ban u v hm sau khi
bin i bng th:

Hm Cobb-Douglas c th m rng cho trng hp c nhiu bin gii thch:
Y =
1
2
2
X
3
3
X ..................
m
m
X

Bng php bin i, ta c:
LnY = ln
1
+=
2
lnX
2
+ =
3
lnX
3
+......+ =
m
lnX
m

Chng ta d dng c hm tuyn tnh i vi cc tham s. Trong hm Cobb-Douglas, h s
co gin ca Y i vi X
i
bng
i
.
3.13.2 Hm c dng: Y
t
= (1+r)
t

trong t l bin thi gian.
Hm ny thng dng o s tng trng ca yu t Y
t
theo thi gian, r l t l tng
trng.
nm (thi k) t = 0, ta c Y
0
= , do Y
t
= Y
0
(1+r)
t

Bin i hm v dng tuyn tnh i vi tham s:
LnY
t
= lnY
0
+ tln(1+r).
t: ; ln
'
t t
Y Y =
0 0
lnY = ; ( ) r + = 1 ln
1

Khi : t Y
t 1 0
'
+ =
D dng c lng c hm ny v t tm c Y
0
v r,.

Y=
1
X
2
Y

X

lnX

lnY

Hnh 3.1

Hnh 3.2


52
3.13.3 Hm dng Hypecbol: Y =
X
Y
2
1

+ =
Hm ny l phi tuyn i vi X, nhng tuyn tnh
i vi cc tham s. Sau y l mt s trng hp quan
trng ca hm ny:
a)
1
,
2
> 0, khi th c dng hnh 3.3:
Trong trng hp ny c mc tim cn di, d
c tng n u. Y khng th nh hn
1
.
Hm ny thng c dng khi phn tch chi ph
trung bnh sn xut ra mt n v sn phm.

b)
1
> 0; =
2
< 0
Trong trng hp ny c mc tim cn trn. y
gi l ng cong Engel, nghin cu mc chi tiu ph
thuc vo thu nhp.

c)
1
< 0;
2
> 0

y l ng cong Phillips

3.13.4 Hm c dng a thc:
Y =
0
+
1
X +
2
X
2
- M hnh a thc bc 2
Y =
0
+
1
X +
2
X
2
+
3
X
3
- M hnh a thc bc 3
Y =
0
+
1
X +
2
X
2
+.......+
k
X
k
- M hnh a thc bc k
Hm ny thng c s dng nghin cu quan h gia chi ph v s lng sn phm
c sn xut ra trong mt thi k nht nh. Chng hn Y tng chi ph; X- S sn phm. Nu
nh xy dng c hm ny th ta d dng tm c chi ph trung bnh v chi ph bin.

TC: Tng chi ph; MC: Chi ph bin; AC: Chi ph trung bnh.

Y
X
Hnh 3.3

Y
X
Hnh 3.4

Y
X
Hnh 3.5

Y
X
Hnh 3.6

TC

Y

X
Hnh 3.7

AC
MC

53
Trn y l mt s dng ca m hnh hi quy. Tt nhin cn rt nhiu dng khc. Trong
thc t vn dng m hnh ny hay m hnh khc trc ht phi hiu c quan h gia cc
bin, tnh cht ca m hnh (cc dng hm) mun vn dng.
M hnh hi quy bi xt nh hng ca nhiu bin c lp n mt bin ph thuc, trn c
s cc gi thit ging nh gi thit trong phn hi quy hai bin, ch thm gi thit l cc bin c
lp khng c quan h tuyn tnh (khng c hin tng a cng tuyn). c lng cc tham s
ca m hnh ta dng phng php OLS thng thng. Sau khi xc nh c cc tham s ta tin
hnh tm ma trn hip phng sai, h s xc nh bi, ma trn tng quan, h s tng quan ring
phn v kim tra gi thit cng nh tm khong tin cy ca cc h s hi quy ring-Kim nh T.
Kim nh gi thit v s ph hp ca hm hi quy, phn tch phng sai v cui cng nu hm
hi quy l ph th tin hnh d bo gi tr trung bnh v c bit. Chng ny cng a ra mt s
dng hm hay gp trong thc t.
I. Cu hi l thuyt:
1. Vit m hnh hhi quy tuyn tnh k bin di dng ma trn? Gii thch cc thnh phn
trong m hnh?
2. Nu cc gi thit i vi m hnh hi quy tuyn tnh k bin? Phng php c lng cc
tham s ca m hnh?
3.Trnh by cng thc xc nh h s hi quy ring v h s hi quy bi? Ma trn tng quan,
h s tng quan ring phn v ma trn hip phng sai? ngha ca tng ch tiu trn?
4. Phng php tm khong tin cy ca cc h s hi quy v cch kim nh cc gi thit i
vi m hnh hi quy tuyn tnh k bin?
5. Phng php d bo gi tr trung bnh v gi tr c bit i vi m hnh hi quy tuyn tnh k
bin?
6. Nu cc dng hm ph bin v gii thch ngha kinh t ca cc tham s trong m hnh c
dng hm Cobb-Douglas, hm c dng a thc?
II. Bi tp:
1. Bng sau y cho s liu v doanh thu (Y), chi ph cho hng (X
2
), chi ph qung co (X
3
)
trong nm 2002 ca 12 khu vc bn hng ca mt cng ty (n v: triu ng). Hy c lng
hm hi quy tuyn tnh ca Y ph thuc vo X
2
, X
3
v tr li cc cu hi sau:
STT 1 2 3 4 5 6 7 8 9 10 11 12
Y 1270 1490 1060 1626 1020 1800 1610 1280 1390 1440 1590 1380 16956
X
2i
100 106 60 160 70 170 140 120 116 120 140 150 1452
X
3i
180 248 190 240 150 260 250 160 170 230 220 150 2448
a) Tm c lng phng sai ca yu t ngu nhin?

54
b) Tm c lng phng sai ca cc h s hi quy mu
c) Xc nh h s hi quy bi R
2
v h s hi quy bi c iu chnh
2
R ?
d) Tm khong tin cy ca cc h s hi quy vi mc ngha = 5%/
e) Kim nh gi thit ng thi, H
0
:
2
=
3
= 0? Cho bit ngha ca kt qu?
f) d bo doanh thu ta nn dng hm no trong cc hm sau y:
Y
i
=
1
+
2
X
2i
+ U
i
(1)
Y
i
=
1
+
2
X
3i
+ U
i
(2)
Y
i
=
1
+
2
X
2i
+
3
X
3i
+ U
i
(3)
g). D bo doanh thu trung bnh ca cng ty khi chi ph cho hng l 121 triu ng v chi
ph qung co l 204 triu ng vi h s tin cy 95%?
2. Bng sau y cho s liu v bin ph thuc (Y) c quan h tuyn tnh vi cc bin c lp X
2
X
3
(n v: triu ng). Hy c lng hm hi quy tuyn tnh ca Y ph thuc vo X
2
, X
3
v tr
li cc cu hi sau:
Y 40 44 46 48 52 58 60 68 74 80
X
2
6 10 12 14 16 18 22 24 26 32
X
3
4 4 5 7 9 12 14 20 21 24

a) Gii thch ngha ca cc h s hi quy nhn c?
b) Bin X
2
( X
3
) c nh hng n bin ph thuc Y hay khng?
c) Tm khong tin cy cho cc h s hi quy ring?
d) Gii thch ngha ca h s R
2
nhn c?
e) C X
2
v X
3
u khng nh hng n Y?
f) C th b bin X
3
ra khi m hnh c khng? V sao?
g) Hy c lng m hnh bng phng php ma trn?
h) D bo gi tr trung bnh v c bit khi X
2
= 20; X
3
= 15?
Chng 4: Hi qui vi bin c lp l bin gi

55
CHNG 4: HI QUY VI BIN C LP
L BIN GI
GII THIU
Trong cc m hnh hi quy tuyn tnh m chng ta xem xt t cc chng trc cho n
nay th cc bin gii thch u l cc bin s lng. Cc bin c th nhn gi tr bng s.
Chng hn tin lng ca cn b, doanh s bn ra ca mt ca hng, chi tiu cho qung co, cung
tin,...l nhng bin s lng. Nh nhng trong thc t c nhiu trng hp cc bin gii thch
(hoc thm ch c bin ph thuc) l bin cht lng (bin nh tnh). Trong chng ny ta s
nghin cu hi quy khi bin gii thch l bin cht lng.
thc hnh c i vi dng m hnh hi quy bin gi i hi ngi hc cn nm
vng phng php OLS, cch chn s bin,..
NI DUNG
4.1. BN CHT CA BIN GI - M HNH TRONG BIN GII THCH L
BIN GI
Bin cht lng nh ni trn thng ch ra c hoc khng c mt thuc tnh no ,
chng hn nh nam hay n; khu vc t nhn hay nh nc,...vn t ra l lm th no lng
ha c nhng thuc tnh nh vy. Trong phn tch hi quy ngi ta s dng k thut gi l k
thut bin gi. K thut ny cho php ta lng ha c nhng thuc tnh nh vy. Chng hn
gii thch cho vic mt s thanh nin vo trng i hc, mt s khc th khng, chng ta to ra
bin gi m nhn gi tr l 1 nu thanh nin vo i hc v nhn gi tr l khng nu thanh nin
khng vo i hc. Chng ta cng s ch ra bin gi c th c s dng nh th no trong phm
vi hi quy gii thch cho s kin l c nhng quan st trong phm tr (thuc tnh) cho gn
vi mt tp cc tham s hi quy cn cc quan st khc trong phm tr th 2 (hoc th 3) li gn
vi nhng tham s hi quy khc. Bin gi c s dng trong m hnh hi quy ging nh bin s
lng thng thng.
Gi s mt cng ty s dng hai qu trnh sn xut (k hiu qu trnh sn xut A v qu trnh
sn xut B) sn xut ra mt loi sn phm. Gi s sn phm thu c t mi mt qu trnh sn
xut l i lng ngu nhin c phn phi chun v c k vng khc nhau nhng phng sai nh
nhau. Chng ta c th biu th qu trnh sn xut nh mt phng trnh hi quy
Y
i
=
1
+
2
D
i
+ U
i
(4.1)
Trong Y
i
l sn lng sn phm gn vi qu trnh th i
D
i
l bin gi nhn 1 trong 2 gi tr:
1 nu sn lng sn phm thu c t qu trnh sn xut A
0 nu sn lng sn phm thu c t qu trnh sn xut B
M hnh hi quy trn y ging nh m hnh hi quy 2 bin m chng ta gp trc y
ch khc l bin s lng X c thay bng bin gi D. Cn c vo m hnh ny chng ta c th
D
i
=


56
bit c sn lng trung bnh do qu trnh sn xut A c khc vi sn lng trung bnh do qu
trnh sn xut B to ra hay khng?
H s chn
1
ca hi quy tuyn tnh o sn lng trung bnh gn vi qu trnh sn xut B,
trong khi dc
2
ca ng hi quy o s khc nhau v sn lng sinh ra do vic thay i
t qu trnh sn xut B n qu trnh sn xut A.
iu ny c th thy bng 2 cch ly gi tr k vng c 2 v ca phng trnh (4.1) ng vi
D
i
= 0 v D
i
= 1:
E(Y
i
| D
i
= 0) =
1
E(Y
i
| D
i
= 1) =
1
+
2
Kim nh gi thit H
0:
2
= 0 cung cp kim nh v gi thit l khng c s khc nhau v
sn lng do qu trnh sn xut A v B to ra. iu ny d lm c nh ch ra trc y.
Th tc bin gi c th d dng m rng cho trng hp c nhiu hn 2 phm tr. Chng
hn trong th d trn ta gi thit c 3 qu trnh sn xut khc nhau c th s dng sn xut ra
sn phm v ngi ta hi vng gii thch cho vn l sn lng c sn xut ra cho mi qu
trnh c th khng nh nhau. Trong trng hp ny ta s a vo 2 bin gi l D
1
v D
2
. Chng ta
s xt m hnh:
Y
i
=
1
+
2
D
1i
+
3
D
12i
+ U
i
(4.2)
Trong :
1 nu sn lng sn phm thu c t qu trnh sn xut A
D
1
= 0 nu sn lng sn phm thu c t qu trnh khc
1 nu sn lng sn phm thu c t qu trnh sn xut B
0 nu sn lng sn phm thu c t qu trnh khc
Nh vy 3 qu trnh sn xut ny c biu th di dng cc kt hp sau ca cc gi tr
bin gi:
Qu trnh sn xut D
1
D
2
A 1 0
B 0 1
C 0 0
Bng vic ly k vng cho mi mt trong 3 trng hp ny chng ta c th gii thch kt
qu hi quy:
E(Y
i
| D
i
= 1; D
2
= 0) =
1
+
2
;
E(Y
i
| D
i
= 0; D
2
= 1) =
1
+
3
E(Y
i
| D
i
= 0; D
2
= 0) =
1
H s chn ca hi quy biu th gi tr k vng ca sn lng do qu trnh sn xut C to ra.
H s gc th nht do s thay i trung bnh v sn lng do vic chuyn t qu trnh sn xut C

D
2
=

57
sang qu trnh sn xut A v h s gc th 2 tc l
3
o thay i trung bnh v sn lng khi
thay i t qu trnh sn xut C sang qu trnh sn xut B.
Kim nh gi thit

H
0:
2
= 0 c ngha l khng c s khc nhau gia qu trnh sn xut A
v qu trnh sn xut C. Gi thit H
0:
3
= 0 cng c ngha tng t nhng li so snh 2 qu
trnh sn xut B v C.
Th d 4.1: xem xt kt qu sn lng do 2 qu trnh sn xut A v B c khc nhau hay
khng ngi ta tin hnh ly mt mu c cho trong bng di y. Hy phn tch kt qu hi
quy thu c.
Da vo cc kt qu di y ta thy rng sn lng trung bnh 1 ca ca qu trnh sn xut
B c lng l 18000 kg =
1
, cn sn lng trung bnh 1 ca c c lng ca qu trnh
sn xut A l 21,280 kg =
1
+
2

Bng 4.1
Qu trnh sn xut A l 1,
qu trnh sn xut B l 0
Sn lng trong 1 ca
hot ng
1
0
0
1
0
1
1
0
0
1
22,0
19,0
18,0
21,0
18,5
21,0
20,5
17,0
17,5
21,2

Kt qu hi quy nh sau:
Y
1
= 18 + 3.2 D
i

Bin

H s Sai lch tiu chun t
D 3,28 0,44 7,439
Const 18 0,32 57,74
R
2
= 0.8737.
2
c ngha v mt thng k, kt qu ch ra rng sn lng trung bnh ca
2 qu trnh l khc nhau. Hi quy trn c th m t trn hnh 4.1.


58

Trc khi chuyn sang mc sau ta cn mt s ch :
1. phn bit 2 phm tr nam hoc n hay qu trnh sn xut A hoc B ngi ta dng mt
bin gi. phn bit 3 phm tr ngi ta dng 2 bin gi. Mt cch tng qut phn bit N
phm tr ngi ta dng N-1 bin gi. S bin gi thp hn s phm tr l 1 trnh tnh a cng
tuyn hon ho. phn bit 3 qu trnh sn xut A, B v C ta ch s dng 2 bin gi D
1
v D
2
,
nu ta a thm mt bin gi D
3
na chng hn.
1 nu sn lng sn phm thu c t qu trnh sn xut C
0 nu sn lng sn phm thu c t qu trnh khc
th vic a thm D
3
vo khng cho thm thng tin m li gp a cng tuyn hon ho (xem
chng V). Trong trng hp ny th c lng bnh phng nh nht ca cc tham s hi quy
khng th thu c. C hin tng a tuyn tnh hon ho v:
D
3
= 1 - D
1
- D
2

2. Phm tr c gn gi tr khng c coi l phm tr c s. Phm tr c gi l c s
theo ngha vic so snh c tin hnh vi phm tr ny. Nh vy trong m hnh trn qu trnh
sn xut C l phm tr c s, ngha l nu ta c lng hi quy (5.2) vi
D
1
= 0 ; D
2
= 0 th ch c qu trnh sn xut C, h s chn s l
1
3. H s
2
gn vi bin gi D
1
c gi l h s chn chnh lch, v n cho bit gi tr ca
s hng chn ca phm tr nhn gi tr bng 1 s khc bao nhiu vi h s chn ca phm tr c s.
4.2. HI QUY VI MT BIN LNG V MT BIN CHT.
Trong mc ny ta s xt m hnh hi quy ch c mt bin lng v mt bin cht vi s
phm tr nhiu hn hoc bng 2. Trng hp c nhiu bin lng v mt bin cht th th tc
cng c xt tng t nh ta s lm di y ch khc l s bin lng s tng ln. d theo
di trong mc ny ta chia ra lm 2 trng hp: trng hp 1 khi bin cht ch c 2 phm tr,
trng hp 2 khi bin cht c nhiu hn 2 phm tr.
1

Qu trnh
SX A
Qu trnh
SX A
1
+
2

D
3
=
Hnh 4.1

59
4.2.1. Trng hp khi bin cht ch c 2 phm tr
Trong trng hp ny, m hnh hi quy s n gin v theo ch trn khi bin cht c 2
phm tr th ch cn t 1 bin gi l . Th d ta xt m hnh sau:
Y
i
=
1
+
2
D
i
+
3
X
i
+ U
i
(4.3)
Trong :
Y
i:
l tin lng hng thng ca mt cng nhn c kh i
X
i
: l bc th ca cng nhn i ,
D
i
= 1 nu cng nhn i lm vic trong khu vc t nhn
D
i
= 0 nu cng nhn i lm vic trong khu vc quc doanh.
M hnh c mt bin lng l bc th ca ngi cng nhn v mt bin cht ch r cng
nhn lm vic thuc khu vc no. Nu ta gi thit E(U
i
) = 0 th (4.3) c th cho ta thy liu tin
lng ca ngi cng nhn lm vic khu vc t nhn c khc tin lng ca ngi cng nhn
lm vic khu vc nh nc khng nu cc iu kin khc khng thay i. Bng cch ly k
vng c 2 v (4.3) ta c:
Tin lng trung bnh ca ngi cng nhn c kh lm vic trong khu vc nh nc:
E(Y
i
| X
i
, D
i
= 0) =
1
+
3
X
i
(4.3.1)
Tin lng trung bnh ca ngi cng nhn c kh lm vic trong khu vc t nhn:
E(Y
i
| X
i
, D
i
= 1) = (
1
+ 2) +
3
X
i

(4.3.2)

Hnh 4.2 ch cho chng ta thy rng tin lng ca cng nhn c kh lm vic trong khu vc
t nhn v nh nc tnh theo bc th c cng dc
3
nhng li khc nhau v h s chn. Ni
mt cch khc m hnh ny gi thit rng mc lng trung bnh ca ngi cng nhn ngnh c
kh lm vic khu v t nhn khc vi mc tin lng trung bnh ca cng nhn c kh lm vic
khu vc nh nc nhng tc tng lng trung bnh theo bc th nh nhau.
Nu gi thit v tc nu trn l c gi tr th kim nh gi thit rng 2 hi quy (4.3.1)
v (4.3.2) c cng h s chn c th tin hnh d dng bng cch c lng hi quy (4.3) v ch
rng ngha v mt thng k ca
2
c c lng trn c s kim nh t. Nu t ch ra rng

2

Y
X
Tin lng cng nhn l vic
khu vc t nhn.
Tin lng cng nhn l vic
khu vc nh nc
1

Hnh 4.2

60
2
l c ngha v mt thng k th chng ta t b gi thit H
0
l tin lng ca cng nhn c kh
2 khu vc kinh t l nh nhau.
4.2.2. Trng hp khi bin cht c nhiu hn 2 phm tr.
Khi bin cht c nhiu hn 2 phm tr th vn cng khng phc tp hn nhiu bi v
theo ch trn nu s phm tr l N th ta a vo m hnh hi quy N-1 bin gi lm bin gii
thch.
Th d cn c vo s liu cho ngi ta mun hi quy thu nhp hng nm ca mt cn b
ging dy i hc i vi tui ngh ging dy v vng m anh ta ging dy. V bin vng l bin
cht, trn thc t chng ta c th cn c vo 3 vng khc nhau trong c nc l Bc, Trung, Nam.
Nh vy trong trng hp ny, bin cht ca ta c 3 phm tr, theo ch trn chng ta s a
vo m hnh hi quy 2 bin gi.
Gi s rng c 3 hi quy c cng dc nhng khc nhau h s chn, chng ta c m hnh
sau:
Y
i
=
1
+
2
D
1i
+
3
D
2 i
+
4
X
i
+ U
i
(4.4)
Trong :
Y
i:
l thu nhp hng nm ca mt ging vin i hc
X
i
: l tui ngh ca ging vin
1 nu ging vin i thuc mt trng i hc min Bc
0 nu ging vin thuc mt trng khng phi min Bc

1 nu ging vin i thuc mt trng i hc min Nam
0 nu ging vin thuc mt trng khng phi min khc.
Nh vy, ta coi ging vin thuc mt trng i hc min Trung l phm tr c s, h
s chn chnh lch
2
v
3
cho chng ta bit chn ca cc phm tr khc vi chn ca phm tr
c s bao nhiu. Chng ta c th tnh c nu gi thit E(U
i
) = 0 th t (4.4) ta c:
Thu nhp trung bnh ca mt cn b ging dy mt trng i hc min Trung:
E(Y
i
| D
i
= 0; D
2
= 0, X
i
) =
1
+
4
X
i
(4.4.1)
Thu nhp trung bnh ca mt cn b ging dy mt trng i hc min Bc:
E(Y
i
| D
i
= 1; D
2
= 0, X
i
) = (
1
+
2
) +
2
X
i
(4.4.2)
Thu nhp trung bnh ca mt cn b ging dy mt trng i hc min Nam:
E(Y
i
| D
i
= 1; D
2
= 1, X
i
) = (
1
+
3
) +
4
X
i
(4.4.3)
Gi s
1
> 0 ta c minh ha sau:
Sau khi c lng hi quy (4.4) chng ta d thy rng liu c s khc nhau v thu nhp ca
cn b ging dy cc min khc nhau ca t nc khng.
Th d: Cn c vo s liu cho v doanh thu trn u ngi t cc tnh v thu nhp quc
dn tnh theo u ngi ca cc tnh . Ngi ta mun hi quy log R (log thu nhp/ngi) i
vi log G (log thu nhp quc dn/ngi) v tnh vng ca mi tnh. Theo cch phn chia bit 1
tnh thuc mt trong 3 vng Bc (N), Trung (C) hoc Nam (S). S liu cho trong bng 4.2

D
1
=

D
2
=

61

Bng 4.2
Tnh Vng G R Tnh Vng G R
H.Giang
T.Q
C.Bng
L.Sn
L.Chu
L.Cai
Y.Bi
B.Thi
S.La
Q.Ninh
H.Bnh
V.Ph
H.Bc
H.Ni
H.Phng
H.Ty
H.Hng
T.Bnh
N.H
N.Bnh
T.Ha
Ng.An
H.Tnh
Q.Bnh
Q.Tr
T.T.Hu
QN-N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
N
C
C
C
C
C
C
C
53099
1026246
939592
1105916
1173320
819802
1506025
1565816
643444
2195642
2040215
1229249
1021338
3631625
2070000
1142000
1303451
1162747
1181747
1062831
1200650
930844
910650
992594
943805
1009223
1367673
15433
32534
25915
79225
27660
35570
46010
48172
29338
311755
72980
74594
47667
1062935
160291
45778
105546
51436
53902
42545
102550
59498
30163
41673
70579
90856
198297
Q.Ngi
B.nh
P.Yn
K.Ha
N.Thun
B.Thun
K.Tum
G.Lai
.Lc
L.ng
HCM
.Nai
VT-BR
S.B
T.Ninh
L.An
T.Giang
A.Giang
.Thp
B.Tre
V.Long
T.Vinh
S.Trng
Cn Th
K.Giang
M.Hi
C
C
C
C
C
C
C
C
C
C
S
S
S
S
S
S
S
S
S
S
S
S
S
S
S
S

921501
974381
1162995
2195192
506939
1825380
1181003
1024570
1725293
1493055
4997041
2370994
1991269
1491414
1553681
1762790
1057203
1760437
1370071
1532974
2021798
2024467
1571656
1760304
2329861
1736902
51778
71581
69315
204879
44556
105927
65642
69518
83590
107289
962414
239017
907834
192057
204342
147537
109833
142684
100655
82319
116666
66530
84334
121340
154636
142079
M hnh hi quy l:
Log R
i
=
1
+
2
D
1 i
+
3
D
2 i
+
4
log G
i
+ U
i
Trong :
Log R: In (thu nhp/ngi)
Log G: IN (thu nhp quc dn/ngi)

62
1 nu tnh thuc min Bc
0 nu tnh khng phi l tnh min Bc
1 nu tnh thuc min Nam
0 nu tnh khng phi l tnh min Nam
Kt qu hi quy nh sau:
log R
i
= -15,040082 0,42196 D
1
0,33754 D
2
+ 1,94474 log G
i
Ta c th vit 3 phng trnh hi quy:
Min Trung: log R
i
= -15,04 + 1,95 log G
i
Min Bc : log R
i
= -15,46 + 1,95 log G
i
Min Nam: log R
i
= -15,83 + 1,95 log G
i
Theo ch trn
1
cho ta bit log (doanh thu) thay i khi chuyn t tnh min Trung
n mt tnh min Bc.
2
cho ta bit doanh thu thay i khi chuyn t min Trung n mt tnh min Nam.
4.3 HI QUY VI MT BIN LNG V HAI BIN CHT.
Trong mc ny ta xt hi quy vi 1 bin lng v 2 bin cht. Nguyn tc trnh by
trn c m rng cho trng hp ny. S bin gi c a vo m hnh hi quy ph thuc vo
s bin cht v cc phm tr m mi bin cht c.
Th d: Chng ta hy quay li th d v thu nhp ca mt ging vin i hc, by gi chng
ta gi thit thm rng gii tnh ca ging vin cng l mt nhn t quan trng xc nh thu
nhp ca ging vin. Nh vy ta c 2 bin cht:
- Vng c 3 phm tr
- Gii tnh c 2 phm tr.
M hnh s c dng:
Y
i
=
1
+
2
D
1i
+
3
D
2 i
+
4
D
3i
+
5
X
i
+ U
i
(4.5)
Trong :
Y
i:
l thu nhp hng nm ca ging vin i hc
X
i
: l tui ngh ca ging vin
1 nu ging vin thuc mt trng i hc min Bc
0 nu ging vin khng thuc mt trng min Bc
1 nu ging vin thuc mt trng i hc min Nam
0 nu ging vin khng thuc mt trng min N
1 nu ging vin l nam
0 nu ging vin l n.
Phm tr c s by gi l ging vin thuc mt trng i hc min Trung. Gi s E(U
i
) =
0 chng ta c th thu c kt qu sau bng cch ly k vng c iu kin c 2 v (4.5)
Thu nhp trung bnh ca 1 ging vin n mt trng i hc min Trung

D
1
=
D
2
=

D
3
=

D
1
=

D
2
=

63
E(Y
i
| D
i
= 0; D
2
= 0, D
3
= 0, X
i
) =
1
+
5
X
i

Thu nhp trung bnh ca 1 ging vin nam mt trng i hc min Trung
E(Y
i
| D
i
= 0; D
2
= 0, D
3
= 1, X
i
) = (
1
+
4
) +
5
X
i

Thu nhp trung bnh ca 1 ging vin n mt trng i hc min Bc
E(Y
i
| D
i
= 1; D
2
= 0, D
3
= 0, X
i
) = (
3
+
2
) +
5
X
i

Thu nhp trung bnh ca 1 ging vin nam mt trng i hc min Bc
E(Y
i
| D
i
= 1; D
2
= 0, D
3
= 1, X
i
) = (
1
+
2
+
4
) +
5
X
i

Thu nhp trung bnh ca 1 ging vin n mt trng i hc min Nam
E(Y
i
| D
i
= 0; D
2
= 1, D
3
= 0, X
i
) = (
1
+
3
) +
5
X
i

Thu nhp trung bnh ca 1 ging vin nam mt trng i hc min Nam
E(Y
i
| D
i
= 0; D
2
= 1, D
3
= 1, X
i
) = (
1
+
3
+
4
) +
5
X
i

4.4 SO SNH HAI HI QUY
4.4.1. T tng c bn
Tt c cc m hnh hi quy xem xt n nay chng ta u gi thit rng bin lng nh
hng n h s chn nhng khng nh hng n h s gc cc hi quy ca cc nhm con khc
nhau. Nhng nu h s gc khc nhau th vic kim nh v tnh khc nhau ca h s chn s t c
ngha. Mt kha cnh khc na l cc tp s liu m chng ta s dng l cc tp s liu n
nhng liu mt m hnh cho c th p dng cho hai tp s hay khng? Chng hn khi nghin
cu mi quan h gia tit kim v thu nhp trc v sau khi chuyn i kinh t ca nc ta. V
th chng ta cn pht trin phng php chung tm xem liu 2 hi quy c khc nhau hay
khng? S khc nhau nu c th h s chn, h s gc hay c hai.
Th d: ta c hi quy:
Thi k trc ci t:
Y
i
=
1
+
2
X
i
+ U
1i
(4.5a)
Vi i = 1, n
1

Thi k sau ci t:
Y
j
=
1
+
2
X
j
+ U
2i
(4.5b)
Vi j = 1, n
2

C 4 kh nng xy ra i vi 2 hi quy ny:
1.
1
=
1
v
2
=
2
, ngha l 2 hi quy ng nht, trn th chng chng kht ln nhau,
iu ny ch ra hnh 4.4a
2.
1

1
v
2
=
2
, ngha l 2 hi quy c cng h s gc, iu ny ch ra hnh 4.4b
3.
1
=
1
v
2

2
, ngha l 2 hi quy c cng h s chn nhng khc nhau v h s gc,
iu ny ch ra hnh 4.4c
4.
1

1
v
2

2
, ngha l 2 hi quy hon ton khc nhau, iu ny ch ra hnh 4.4d


64

kim nh s bng nhau ca h s hi quy chng ta c th s dng mt trong hai k
thut:
Mt l kim nh Chow v hai l s dng bin gi. Sau y chng ta xt c hai k thut.
4.4.2. So snh 2 hi quy - kim nh Chow
Mt trong nhng phng php ph bin kim nh s khc nhau gia hai hi quy l
kim nh ca Chow. Kim nh ny da trn nhng gi thit sau:
a. Cc nhiu U
1i
v U
2j
c phn phi chun c k vng bng 0 v phng sai khng i v
u bng
2:

U
1i
~ N (0,
2
)
U
2j
~ N (0,
2
)
b. Cc U
1i
v U
2j
c phn phi c lp.
Vi gi thit cho th th tc kim nh Chow nh sau:
Bc 1: Kt hp tt c cc quan st ca 2 thi k li ta c n = n
1
+ n
2
quan st ri c
lng hi quy gp. M hnh gp ca (4.5a) v (4.5b) lc ny c th vit di dng:
Y
i
=
1
+
2
X
i
+ U
i
(4.6)
T hi quy ny chng ta thu c tng bnh phng cc phn d l RSS vi h s bc t do
n
1
+ n
2
- k (trong k l tham s c c lng, trong m hnh (4.6) th k = 2)
Bc 2: c lng ring tng hi quy (4.5a) v (4.5b) v thu c tng bnh phng cc
phn d tng ng t m hnh (4.5a) l RSS
1
v t m hnh (4.5b) l RSS
2
v bc t do tng
ng n
1
- k v n
2
- k.
t RSS = RSS
1
+ RSS
2
vi bc t do n
1
+ n
2
2k
Bc 3: S dng tiu chun F nh sau:
Y
X
Y
X
Y
X
Y
X

65
F =
2k) - n n /(
/ ) (
2 1
+
RSS
k RSS RSS
(4.7)
Vi bc t do k, n
1
+ n
2
- 2k. Nu gi tr F tnh c vt gi tr F ti hn th ta t b gi
thit rng 2 hi quy l nh nhau. iu ny c ngha l hai tp s liu khng gp c.
4.4.3. So snh hai hi quy - th tc bin gi
Bng kim nh Chow cho php ta so snh 2 hi quy. Sau y ta s trnh by th tc bin
gi m cng s cho ta gp tt c n
1
v n
2
quan st li vi nhau v c lng hi quy sau:
Y
i
=
1
+
2
D
i
+
3
X
i
+
4
(D
i
X
i
)+ U
i
(4.8)
Gi s Y
i
v X
i
l tit kim v thu nhp trc v sau khi chuyn i kinh t.
D
1
= 1 i vi quan st ri vo trc thi k chuyn i
0 i vi quan st ri vo t chuyn i tr v sau
thy c ng dng ca m hnh (4.8) ta ly k vng c iu kin c 2 v ca
phng trnh ny vi gi thit E(U
i
) = 0 chng ta thu c:
E(Y
i
| D
i
= 0, X
i
) =
1
+
3
X
i
(4.8a)
E(Y
i
| D
i
= 1, X
i
) = (
1
+
2
) + (
3
+
4
) X
i
(4.8b)
Vi ngha cc k hiu cho trn ta c th giI thch nh sau:
(4.8a) l hm tit kim trung bnh cho thi k trc chuyn i kinh t din ra. (4.8b) l
hm tit kim trung bnh t khi chuyn i kinh t v sau. Hai hm ny hon ton ging nh hai
hm cho (4.5a) v (4.5b) cho nn c lng (4.8) cng tng ng vi vic c lng hm
(4.5a) v (4.5b)
Trong (4.8) th
2
chnh l h s chn biu th s khc nhau ca tit kim gia hai thi k
cn
4
chnh l h s dc khc nhau ch ra rng h s gc ca hm tit kim trc khi chuyn
i khc vi h s gc ca thi k t khi chuyn i kinh t l bao nhiu.
4.5 NH HNG CA TNG TC GIA CC BIN GI.
Chng ta xt m hnh sau:
Y
i
=
1
+
2
D
2i
+
3
D
3 i
+
4
X
i
+ U
i
(4.9)
Trong :
Y
i:
l ch tiu hng nm v qun o
X
i
: l thu nhp
1 nu l n
0 nu l nam
1 nu l sinh vin
0 nu l cng nhn vin
Ng ca m hnh trn y l nh hng chnh lch ca bin gi gii tnh D
2
l hng s
qua 2 tng lp sinh vin v cng nhn vin v nh hng chnh lch D
3
cng l hng s qua 2
gii. iu ny c ngha l nu chi tiu trung bnh v qun o ca n cao hn ca nam th iu ny
cng ng vi c hai tng lp. Tng t cng c th ni rng chi tiu trung bnh v qun o ca
sinh vin nhiu hn ca cng nhn vin th iu cng ng d n l nam hay n.

D
3
=
D
2
=

66
Trong nhiu p dng th gi thit nh vy khng duy tr c. N sinh c th tiu dng
nhiu qun o hn nam cng nhn vin. Ni mt cch khc c th c nh hng tng tc gia
hai bin cht D
2
v D
3
v do nh hng ca chng ln trung bnh Y c th khng phi l php
cng n gin nh trn m l nhn nh m hnh sau:
Y
i
=
1
+
2
D
2i
+
3
D
3 i
+
4
(D
2i
D
3i
)+
5
X
i
+ U
i
(4.10)
T (4.10) ta thu c chi tiu trung bnh v qun o ca mt n sinh s l:
E(Y| D
2
= 1, D
3
= 1, X
i
) = (
1
+
2
+
3
+
4
) +
5
X
i

Trong
2
l nh hng chnh lch ca n,
3
l nh hng chnh lch ca sinh vin, cn
4
l nh hng chnh lch ca n sinh.
4
cho ta bit chi tiu trung bnh v qun o ca mt n
sinh khc vi chi tiu trung bnh ca nam v ca n cng nhn vin. iu ny cho bit s tng
tc gia cc bin gi lm thay i nh hng ca 2 thuc tnh c xem xt mt cch ring r
nh th no.
kim nh h s
4
, s tng tc ca bin gi c ngha v mt thng k hay khng, c
th kim nh t.
4.6. S DNG BIN GI TRONG PHN TCH MA
Nh chng ta bit nhiu chui thi gian trong kinh t c tnh cht v rt r, chng hn
doanh s bn ra ca ca hng qun o vo ngy Tt, doanh s bn ra ca ca hng vn phng
phm vo u nm hc,...Thng thng ngi ta mun loi nhn t ma khi chui thi gian
ngi ta c th tp trung vo cc thnh phn khc ca chui thi gian nh khuynh hng tng
hoc gim hon ton u n theo mt thi k thi gian di. Qu trnh loi thnh phn khi chui
thi gian thu c nh vy gi l chui thi gian c iu chnh theo ma. C mt s phng
php iu chnh theo ma ca chui thi gian, trong mc ny ta xt phng php bin gi.
Hon ton nh trnh by trn vic a bin gi vo loi yu t khi chui thi gian
c thc hin, da trn cc gi thit:
1. Yu t ch nh hng n h s chn ca hi quy,
hoc 2. Yu t nh hng c n h s gc.
ng vi mi gi thit, m hnh c xem xt cng khc nhau. thun tin trnh by, ta
xt:
Gi s mi lin h gia thu nhp v chi tiu cho qun o, dng c gia nh, ngi ta thu
nhp c ngu nhin kch thc n v ngi ta cho rng mi mt qu c th biu th mu theo
ma v th ngi ta ngh m hnh sau:
Y
i
=
1
+
2
D
2i
+
3
D
3 i
+
4
D
4i
+
5
X
i
+ U
i
(4.11)
Trong :
Y
i:
biu th chi tiu ca ngi tiu dng v cc loi hng ni trn
X
i
: l thu nhp ca ngi tiu dng i
1 nu quan st nm qu 2
0 nu quan st nm qu khc
D
3
=

D
2
=

67
Trong m hnh trn ta gi thit bin c 4 phm tr, nn ta dng 3 bin gi, phm tr c bn
l qu I. Nh vy nu c nh hng theo maca tng qu khc nhau th h s chn
2
,
3
v
4

khc nhau c ngha v mt thng k. Mi mt h s chn cho ta bit chi tiu trung bnh mi
qu khc vi qu I nh th no. Vi gi thit E(U
i
) = 0 ta c:
Chi tiu trung bnh v cc khon k trn trong qu I l:
E(Y| D
2
= 0, D
3
= 0, D
4
= 0, X
i
) =
1
+
5
X
i

Chi tiu trung bnh v cc khon k trn trong qu II l:
E(Y| D
2
= 1, D
3
= 0, D
4
= 0, X
i
) = (
1
+
2
) +
5
X
i

Chi tiu trung bnh v cc khon k trn trong qu III l:
E(Y| D
2
= 0, D
3
= 1, D
4
= 0, X
i
) = (
1
+
3
) +
5
X
i

Chi tiu trung bnh v cc khon k trn trong qu IV l:
E(Y| D
2
= 0, D
3
= 0, D
4
=
1
, X
i
) = (
1
+
4
) +
5
X
i

By gi ta gi s rng c s nh hng tng tc gia ma v thu nhp ln chi tiu, ni
cch khc l c s nh hng ln c h s gc ca hi qui. S dng phng php tng t nh ta
trnh by trn ta i n m hnh:
Y
i
=
1
+
2
D
2i
+
3
D
3 i
+
4
D
4i
+
5
X
i
+
6
(D
2i
X
i
)+
7
(D
3i
X
i
) +
8
(D
4i
X
i
)+ U
i
(4.12)
Nh vy vic phn tch thi v c th s dng 2 m hnh (4.11) v (4.12). Tuy nhin m
hnh (4.12) tng qut hn, trnh s khng thch hp ta nn s dng m hnh (4.12). Qua vic
c lng hi quy (4.12) chng ta c th bit c h s gc no c ngha, h s gc no khng
c ngha.
biu th c hay khng mt tnh cht no hoc biu th mc khc nhau ca mt
tiu thc thuc tnh no ca bin nh tnh, ngi ta s dng bin gi. K thut s dng bin
gi trong phn tch hi quy l gn cho cc bin nh tnh gi tr 0 hoc 1 biu th mc khc
nhau ca tiu thc nghin cu. phn bit 2 mc (2 phm tr) ngi ta dng mt bin gi,
phn bit 3 mc ngi ta dng hai bin gi. Mt cch tng qut, phn bit m mc ngi
ta dng m-1 bin gi. Vi quy nh: phm tr c gn gi tr 0 c coi l phm tr c s. Mi
phm tr khc c so snh vi phm tr c s.
Hi quy bin gi c th xy ra cc trng hp sau:
Hi quy vi mt bin nh lng v mt bin nh tnh:
- Bin nh tnh c hai phm tr
- Bin nh tnh c nhiu hn hai phm tr.
Hi quy vi mt bin nh lng v hai bin nh tnh
Vic c lng cc tham s trong m hnh hi quy c thc hin bng phng php OLS
thng thng.
D
4
=

68
Hi quy bin gi c th s dng trong trng hp cn loi nhn t ma v ra khi chui
thi gian. Ngoi ra kim nh tnh n nh cu trc ca cc m hnh hi quy ngi ta s dng
kim nh Chow v rt ngn kim nh Chow bng cch s dng bin gi. Ngoi ra k thut bin
gi cn c s dng nghin cu nh hng ca tng tc gia cc bin gi.
I. Cu hi l thuyt:
1. Cc bin sau y l bin nh lng hay nh tnh:
a) GDP
b) Khng hong du m nm 1973?
c) Xut khu ca Vit nam sang cc nc ASIAN?
d) S sinh vin din chnh sch trong t thi tuyn vo trng?
e) Lng bnh qun ca cc nh qun tr Marketing trong cc doanh nghip cung cp
dch v BC-VT?
2. Trnh by gi thit v th tc kim nh Chow khi so snh hai hi quy?
3. Nu phng php so snh hai hi quy - th tc bin gi?
4 . Cch s dng bin gi trong phn tch ma?
II. Bi tp
1. nghin cu nhu cu ca mt loi hng ngi ta tin hnh kho st gi c v lng
hng bn c 20 khu vc bn hng v thu c cc s liu cho trong bng di y:
Y
i
X
i
Z
i
Y
i
X
i
Z
i

20 2 1 14 5 0
19 3 0 14 6 1
18 3 1 13 6 0
18 4 0 12 7 1
17 4 1 12 7 0
17 3 1 15 5 1
16 4 0 16 4 0
16 4 1 12 7 1
15 5 1 10 8 0
15 5 1 11 8 1

Trong : Y l lng hng bn c (tn/thng)
X l gi bn (ngn ng/Kg)

Z =
0 Nu khu vc bn nng thn
1 Nu khu vc bn thnh ph

69

a) Tm cc hm hi quy:

b) Cho bit ngha ca cc h s hi quy B
1
v B
2
?
c) Dng h s xc nh hi quy bi iu chnh kt hp vi kim nh gi thit h
s hi quy ca bin Z bng 0 kt lun xem c nn a bin Z vo m hnh khng?
d) Dng hm (1) d bo hng bn c trung bnh ca mt khu vc khi gi bn
l 7 ngn ng/kg vi tin cy 95%?
2. Bng di y l s liu gi thit v thu nhp hng nm ca gio vin i hc, s nm
kinh nghim ging dy:

Lng khi im (Y)
(Ngn USD)
S nm kinh
nghim ging dy
(X)
Gii tnh
(1=nam; 0 = n)
23,0
19,5
24,0
21,0
25,0
22,0
26,5
23,1
25,0
28,0
29,5
26,0
27,5
31,5
29,0
1
1
2
2
3
3
4
4
5
5
6
6
7
7
8
1
0
1
0
1
0
1
0
0
1
1
0
0
1
0

a) Gii tnh c nh hng n thu nhp ca gio vin i hc hay khng?
b) D bo mc thu nhp ca mt gio vin nam c s nm kinh nghim ging dy
8 nm vi tin cy 95%?
c) D bo mc thu nhp ca mt gio vin n c s nm kinh nghim ging dy 9
nm vi tin cy 98%?
i i i
i i
Z B X B B Y
X A A Y
2 1 0
1 0
+ + =
+ =

(1)
(2)

70
3. C s liu v tit kim v thu nhp c nhn mt quc gia t nm 1986 n nm 2004
(Triu USD) c chia lm hai thi k nh bng sau:
Thi k I Tip kim Thu nhp Thi k II Tip kim Thu nhp
1986 0,36 8,8 1995 0,59 15,5
1987 0,21 9,4 1996 0,90 16,7
1988 0,08 10, 1997 0,95 17,7
1989 0,20 10,6 1998 0,82 18,6
1990 0,10 11,0 1999 1,04 19,7
1991 0,12 11,9 2000 1,53 21,1
1992 0,41 12,7 2001 1,94 22,8
1993 0,50 13,5 2002 1,75 23,9
1994 0,43 14,3 2003 1,99 25,2
Hy s dng kim nh Chow kim nh xem hm tit kim c b thay i cu trc gia
hai thi k hay khng?

Chng 5: a cng tuyn

71
CHNG 5: A CNG TUYN
GII THIU
Trong m hnh phn tch hi quy bi, chng ta gi thit gia cc bin gii thch ca m
hnh khng c hin tng a cng tuyn. Nhng nu gi thit b vi phm th hu qu s nh th
no v l th no d pht hin ra rng gi thit ny b vi phm v bin php khc phc. l
ni dung ca chng ny. tm hiu chng ny gip cho sinh hiu c bn cht v nguyn nhn
ca a cng tuyn, t c th pht hin v loi b cc mi quan h tuyn tnh hon ho hoc
chnh xc gia cc bin gii thch. m bo cho vic la chn cc bin gii thch l hon ton
c lp.
NI DUNG
5.1 BN CHT CA A CNG TUYN:
Trong m hnh hi quy bi, chng ta gi thit gia cc bin gii thch khng c hin
tng cng tuyn. Thut ng a cng tuyn c ngha l s tn ti mi quan h tuyn tnh hon
ho hoc chnh xc gia mt s hoc tt c cc bin gii thch trong m hnh hi quy. Nghim
khc m ni th a cng tuyn cp n s tn ti ca nhiu hn mt mi quan h tuyn tnh
chnh xc v cng tuyn l ni n s tn ti duy nht mt mi quan h tuyn tnh. Nhng trong
thc t, a cng tuyn thng c dng cho c hai trng hp.
Trng hp l tng l bin X
i
trong mi trng hi quy khng c tng quan vi nhau;
mi mt bin X
i
cha mt thng tin ring v Y, thng tin ny khng cha trong bt k bin X
i
no
khc. Trong thc hnh, khi iu ny xy ra ta khng gp hin tng a cng tuyn.
Trng hp ngc li, chng ta gp a cng tuyn hon ho. gi s ta phi c lng
hm hi quy Y gm k bin gii thch X
1
, X
2
,......,X
k
,
Y
i
=
1
X
1i
+
2
X
2i
+..........+
k
X
ki
+U
i

a cng tuyn hon ho xy ra khi mt bin gii thch c biu dien di dng t hp
tuyn tnh ca cc bin gii thch cn li i vi mi im ca tp hp s liu. Hoc c th pht
biu: a cng tuyn hon ho gia cc bin gii thch X
1
, X
2
,......,X
k
xy ra nu iu kin sau y
c tho mn:

1
X
1
+
2
X
2
+............+
k
X
k
= 0 (5.1)
trong :
1
,
2
,...........,
k
l cc hng s khng ng thi bng khng.
Nu
2
X
2i
+
3
X
3i
+............+
k
X
ki
+ V
i
= 0 (5.2)
vi V
i
l sai s ngu nhin th ta c hin tng a cng tuyn khng hon ho gia cc bin
gii thch. Ni cch khc, l mt bin gii thch no c tng quan cht ch vi mt s bin
gii thch khc.
Th d ta c d liu nh sau:

Chng 5: a cng tuyn

72
X
2
10 15 18 24 30
X
3
50 75 90 120 150
X
3
*
52 75 97 129 152
C th thy r rng l X
3i
= 5X
2i
, v vy c cng tuyn hon ho gia X
2
v X
3
v r
23
= 1,
nhng gia X
2
v X
3
*
khng c cng tuyn hon ho, hai bin ny c tng quan cht (cng
tuyn khng hon ho), h s tng quan gia chng l 0.9959.
5.2 C LNGKHI C A CNG TUYN HON HO:
Trng hp a cng tuyn hon ho, cc h s hi quy khng xc nh v cc sai s chun
ca chng l v hn. Hin tng ny c th gii thch di dng m hnh hi quy ba bin. S
dng dng lch, trong tt c cc bin c th din t bng lch ca chng so vi gi tr
trung bnh. M hnh hi quy ba bin c th vit di dng sau:
y
i
=
i i i
e x x + +
3 3 2 2

(5.3)
Trong : y
i
= Y
i
- Y ; x
2i
= X
2i
-
2
X ; x
3i
= X
3i
-
3
X (5.4)
=
=
n
i
i
Y
n
Y
1
1
;
=
=
n
i
i
X
n
X
1
2 2
1
;
=
=
n
i
i
X
n
X
1
3 3
1
(5.5)
Theo tnh ton trong chng hi quy bi ta thu c cc c lng:

( )( ) ( )( )
( )( ) ( )
( )( ) ( )( )
( )( ) ( )
2
3 2
2
3
2
2
3 2 2
2
2 3
3
2
3 2
2
3
2
2
3 2 3
2
3 2
2
=
i i i i
i i i i i i i
i i i i
i i i i i i i
x x x x
x x x y x x y
x x x x
x x x y x x y

Gi s X
3i
= X
2i
, trong l hng s khc khng, thay vo (5.6) ta c:

( )( ) ( )( )
( )( ) ( )
0
0
2
2
2
2 2
2
2 2
2
2
2 2
2
2
2
2
2
=
=

i i i
i i i i i i
x x x
x x y x x y

(5.8)
y l biu thc khng xc nh. Tng t nh vy ta cung c th ch ra
3
cng khng
xc nh.
V sao chng ta li thu c kt qu nh (5.8). Nh li ngha ca
2
. Nh bit,
2

cho bit mc thay i v gi tr trung bnh ca Y khi X
2
thay i 1 n v, vi iu kin X
3

c gi c nh. Nhng nu X
2
v X
3
cng tuyn hon ho th khng c cch no gi c nh
X
3
. iu c ngha l khng th tch nh hng ca X
2
v X
3
khi mu cho. Trong kinh t
lng iu ny ph hu ton b nh tch nh hng ring ca tng bin ln bin ph thuc.
thy c s khc bit ny, chng ta hy thay X
3i
=

X
2i
vo (5.3) ta c:
y
i
=
i i i i i i i
e x e x e x x + = + + = + +
2 2 3 2 2 3 2 2
)

( ) (

Trong :
3 2

+ =
p dng cng thc tnh c lng bng phng php OLS thng thng ta c:
(5.6)
(5.7)
Chng 5: a cng tuyn

73

= + =
2
2
2
3 2

i
i i
x
y x

Nh vy d c c lng mt cch duy nht th cng khng th xc nh c
3 2

t mt phng trnh hai n.
Nh vy, trong trng hp a cng tuyn hon ho, khng th c li gii duy nht cho
cc h s hi quy ring. Ta ch c th c c li gii duy nht cho t hp tuyn tnh cc h s
ny. Ch rng, trong trng hp a cng tuyn ho0n ho, phng sai v sai s chun ca
3 2
l v hn.
5.3 C LNG TRONG TRNG HP C A CNG TUYN KHNG HON
HO:
a cng tuyn hon ho l trng hp c bit, rt t khi xy ra. Trong cc s liu lin
quan n chui thi gian, thng xy ra a cng tuyn khng hon ho.
Xt m hnh hi quy ba bin dng lch, ta gi thit:
x
3i
= x
2i
+V
i

vi 0 v V
i
l sai s ngu nhin sao cho: x
2i
V
i
= 0
Trong trng hp ny, cc h s hi quy
2
,
3
c th c lng c. Chng hn thay x
3i

= x
2i
+V
i
vo (5.6) ta c:
( )( ) ( )( )
( )( ) ( )
2
2
2
2 2 2
2
2 2
2
2
2 2
2 2
2
2
2
2

+
+ +
=
i i i i
i i i i i i i i i
x V x x
x V y x y V x x y

(5.9)
Trong trng hp ny khng c l do g ni rng (5.9) l khng c lng c.
5.4 HU QU CA A CNG TUYN:
Trong trng hp c tn ti a cng tuyn gn hon ho (a cng tuyn cao) th c th gp
mt s tnh hung sau:
5.4.1 Phng sai v hip phng saica cc c lng OLS ln:
Chng ta xt m hnh (5.3), theo cng thc tnh phng sai v hip phng sai ca cc c
lng
3 2
ta c:

( )
( )
=
2
23
2
3
2
3
2
23
2
2
2
2
1
)
(
;
1
)
(
r x
Var
r x
Var
i
i

V
( )

=
2
3
2
2
2
23
2
23
3 2
1
)
(
i i
x x r
r
Cov

Trong r
23
l h s tng quan gia X
2
v X
3
.
(5.11)
(5.12)
(5.13)
Chng 5: a cng tuyn

74
T (5.11) v (5.12) ta thy khi r
23
tin n 1 (ngha l s cng tuyn gia tng) th
phng sai ca
3 2
s tng dn n v hn. T (5.13) ta thy khi r

23
tng dn 1 th
)
(
3 2
Cov cng s tng v gi tr tuyt i.
5.4.2 Khong tin cy rng hn:
Nh ta bit trong chng 3, khng tin cy ca
2
,
3
(vi h s tin cy 1-) l:
)
; )
3 2 / 3 2 2 / 2

se t se t
Trong :
( )
;
1
)
(
2
2
2
23
2
2
=
i
x r
se

( )
;
1
)
(
2
3
2
23
2
3
=
i
x r
se

Nh vy khi r
23
cng gn 1 th khong tin cy ca
2
,
3
cng rng. Do trng hp c a
cng tuyn hon ho th s liu ca mu c th thch hp vi tp cc gi thit khc nhau. V th
xc sut chp nhn gi thit sai tng ln (tc l tng sai lm loi II).
5.4.3 T s t khng c ngha:
Nh bit, khi kim nh gi thit H
0
:
2
= 0, chng ta s dng t s t =
( )
2
2
se
v so
snh vi gi tr c lng ca t vi gi tr ti hn ca t. Nhng khi c a cng tuyn gn hon ho
th sai s tiu chun c lng c s rt cao v vy s lm cho t s t nh i. Kt qu l s lm
tng kh nng chp nhn gi thit H
0
.
5.4.4 R
2
cao nhng t s t t ngha:
gii thch iu ny, ta hy xt m hnh hi quy k bin nh sau:
Y
i
=
1
X
1i
+
2
X
2i
+..........+
k
X
ki
+U
i

Trong trng hp c a cng tuyn gn hon ho, nh ta ch ra trn, ta c th tm c
mt hoc mt s h s gc ring l khng c ngha v mt thng k trn c s kim nh t.
Nhng trong khi R
2
li c th rt cao, nn bng kim nh F, chng ta c th bc b gi thit
H
0
:
2
=
3
=...........=
k
= 0. Mu thun ny cng l tn hiu ca a cng tuyn.
5.4.5 Cc c lng OLS v cc sai s tiu chun ca chng tr nn rt nhy i vi nhng
thay i nh trong s liu:
Ch cn a cng tuyn khng hon ho th vic c lng cc h s hi quy c th thc
hin c, nhng cc gi tr c lng v sai s chun ca chng tr nn v cng nhy ngay c
vi thay i nh nht trong s liu.
5.4.6 Du ca cc c lng ca h s hi quy c th sai:
Khi c a cng tuyn gn hon ho th c th thu c c lng ca cc h s hi quy tri
vi iu chng ta mong i. Chng hn l thuyt kinh t cho rng i vi hng ho bnh thng
khi thu nhp tng, cu hng ho tng, ngha l khi hi quy thu nhp l mt trong cc bin gii
thch cn cu hng ho l bin c gii thch, nu x ra hin tng a cng tuyn gn hon ho
th c lng ca h s ca bin thu nhp c th mang du m- mu thun vi l thuyt kinh t.
Chng 5: a cng tuyn

75
5.4.7 Thm vo hay bt i cc bin cng tuyn vi cc bin khc, m hnh s thay i v
ln ca cc c lng hoch du ca chng:
Tm li: du hiu ch yu ca a cng tuyn m ta ni trn l lm tng sai s chun.
Sai s chun ln hn phn nh s bin thin ca h s hi quy t mu ny n mu khc cao
hn, do mt s thay i nh trong s liu hay trong m hnh hi quy (nh thm vo hay bt i
mt bin) s gy nn s thay i ln cho cc h s.
Nh vy chng ta bit mt s hu qu ca a cng tuyn. Nhng iu quan trng l lm
th no pht hin c s tn ti ca a cng tuyn c bin php khc phc.
5.5 CCH PHT HIN S TN TI CA A CNG TUYN:
pht hin s tn ti ca a cng tuyn, chng ta cn c vo cc du hiu sau y:
5.5.1 H s R
2
ln nhng t s t nh.
Trong trng hp R
2
cao (thng R
2
> 0,8) m t s t thp nh trn ch chnh l
du hiu ca a cng tuyn.
5.5.2 Tng quan cp gia cc bin gii thch cao:
Nu h s tng quan cp gia cc bin gii thch cao (vt 0,8) th c kh nng tn ti a
cng tuyn.
H s tng quan ny c tnh bng cng thc sau:

( )( )
( ) ( )

=
2 2
Z Z X X
Z Z X X
R
i i
i i
xz

Trong : X v Z l hai bin gii thch no trong m hnh.
Tuy nhin tiu chun ny thng khng chnh xc. C trng hp tng quan cp khng
cao nhng vn c a cng tuyn. V d, ta xt ba bin gii thch X
1
, X
2
, X
3
nh sau:
X
1
= (1,1,1,1,1, 0,0,0,0,0 0,0,0,0,0 0,0,0,0,0)
X
2
= (0,0,0,0,0, 1,1,1,1,1, 0,0,0,0,0 0,0,0,0,0)
X
3
= (1,1,1,1,1, 1,1,1,1,1, 0,0,0,0,0 0,0,0,0,0)
R rng X
1
= X
2
+ X
3
, ngha l c a cng tuyn hon ho, tuy nhin tng quan cp l:
r
12
= -0,3333; r
13
= r
23
= 0,5774
5.5.3 S dng m hnh hi quy ph:
Hi quy ph l hi quy mt bin gii thch X
i
no theo cc bin cn li. R
2
c tnh t
hi quy ny ta k hiu l
2
i
R .
Mi lin h gia F
i
v
2
i
R :

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

=
k R
k R
F
i
i
i

F
i
tun theo lut phn phi F vi (k-2) v (n-k+1) bc t do. Trong n c mu, k l s bin
gii thch k c h s chn trong m hnh.
2
i
R l h s xc nh trong hi quy ca bin X
i
theo cc
bin X khc. Nu F
i
tnh c vt im ti hn F
(k-2, n-k+1) mc ngha cho th c ngha

(5.14)
Chng 5: a cng tuyn

76
l X
i
c lin h tuyn tnh vi cc bin X khc; trong trng hp ta gi li cc bin trong m
hnh. Nu F
i
c ngha v mt thng k chng ta cng phi quyt nh liu bin X
i
no s b loi
khi m hnh. Mt tr ngi ca k thut hi quy ph l gnh nng tnh ton. Nhng ngy nay
nhiu vhng trnh my tnh c th nm ng cng vic tnh ton ny.
5.5.4 S dng nhn t phng i phng sai(VIF):
Nhn t phng i phng sai gn vi bin X
i
, k hiu l VIF(X
i
).
i vi hm hi quy c hai bin gii thch X
2
v X
3
, VIF c nh ngha nh sau:

2
23
1
1
r
VIF

VIF cho thy phng sai ca hm c lng tng nhanh nh th no khi c a cng tuyn.
Khi r
23
=1 th VIF tin n v hn. Nu khng c a cng tuyn gi X
2
v X
3
th VIF = 1.
T nh ngha ny ta c th din t (5.11) v (5.12) nh sau;

VIF
x
Var
VIF
x
Var
i
i
=
=
2
3
2
3
2
2
2
2
)
(
; )

c khi nim v phng sai v hip phng sai tng nh th no khi r
23
tng, ta hy xem bng
(5.1) sau y:
Gi tr ca r
23
VIF
Var(
2
) Cov(
2
,
3
)
0,00
0,5
0,70
0,80
0,90
0,95
0,97
0,99
0,995
0,999
1,00
1,33
1,96
2,78
5,76
10,26
16,92
50,25
100,00
500,00
1A
1,33A
1,96A
2,78A
5,76A
10,26A
16,92A
50,25A
100A
500A
0
0,67B
1,37B
2,22B
4,73B
9,74B
16,41B
49,75B
99,5B
499,5B
Ghi ch:
A =
2
2
2
i
x
; B =

2
3
2
2
2
i i
x x

T kt qu tnh ton trn, ta thy gia tng r
23
nh hng nghim trng n phng sai v
hip phng sai ]c lng ca cc hm c lng OLS. Khi r
23
= 0,5, var(
2
) = 1,33 ln khi r
23
=
(5.15)
(5.16)
(5.17)
Chng 5: a cng tuyn

77
0,00, nhng khi r
23
= 0,95 th var(
2
) ln gp 10 ln khi khng c a cng tuyn. V khi r

23
tng
t 0,95 n 0,995 lm phng sai c lng tng 100 ln so vi khng c cng tuyn. nh
hng nghim trng ny cng thy Cov(
3 2
).
th phn nh mi quan h gia VIF v r
23
nh sau:

Trn th ta nhn thy, khi r
23
tng t 0,9 n 1 th VIF tng rt nhanh. Khi r
23
= 1 th VIF
l v hn.
C nhiu chng trnh my tnh cho bit gi tr ca VIF i vi cc bin c lp ca m
hnh hi quy.
5.6 BIN PHP KHC PHC:
5.6.1 S dng thng tin tin nghim:
Mt trong cc cch tip cn gii quyt vn a cng tuyn l phi s dng thng tin
tin nghim hoc thng tin t ngun khc c lng cc h s ring.
V d: Ta mun c lng hm sn xut ca mt qu trnh sn xut no c dng:

i
U
t t t
e K AL Q

= (5.18)
Trong Q
t
l lng sn phm c sn xut thi k t; L
t
l s lao ng s dng k t;
K
t
l vn thi k t; U
i
l sai s ngu nhin; A, , l cc tham s m chng ta cn c lng. Ly
ln hai v (5.18) ta c:
lnQ
t
= lnA + lnL
t
+ lnK
t
+U
i

t: lnQ
t
= Q
t
*
; lnA = A
*
; lnL
t
= L
t
*
; lnK
t
= K
t
*
ta c:
Q
t
*
= A
*
+ L
t
*
+ K
t
*
+U
i
(5.19)
Gi s K v L c tng quan rt cao, d nhin iu ny dn n phng sai ca cc c
lng ca cc h s co gin ca hm sn xut ln. Gi s t mt ngun thng tin no m ta
bit c rng ngnh cng nghip ny thuc ngnh c li tc khng i theo quy m, ngha l
1
0
10
50
100
VIF
0,9 1

r
23
Hnh 5.1
Chng 5: a cng tuyn

78
+ = 1. Vi thng tin ny, cch x l ca chng ta s l thay = 1 vo (5.19) v thu
c:
Q
t
*
= A
*
+ L
t
*
+ (1- ) K
t
*
+U
i
(5.20)
T ta c: Q
t
*
- K
t
*
= A
*
+ (L
t
*
- K
t
*
) + U
i
(5.21)
t: Q
t
*
- K
t
*
= Y
t
*
; (L
t
*
- K
t
*
) = Z
t
*
; Ta c:
Y
t
*
= A
*
+ Z
t
*
+ U
i
(5.22)
Thng tin tin nghim gip ta gim s bin c lp xung cn mt bin Z
t
*
.
Sau khi thu c c lng ca th
tnh c t iu kin 1
=
5.6.2 Thu thp thm s liu hoc ly thm mu mi:
V vn a cng tuynn l mt c tnh ca mu, c th l trong mt mu khc, cc
bin cng tuyn khng nghim trng nh trong mu u tin. V vy, i khi ta ch cn tng c
mu cng c th lm gim bt vn cng tuyn.
V d: Trong m hnh 3 bin chng ta thy:

( )
;
1
)
(
2
23
2
2
2
2

=
r x
Var
i

Khi c mu tng,
2
2i
x ni chung s tng, v vy, i vi bt k r
23
no cho trc, phng
sai ca
2
s gim, ko theo sai s chun gim, iu ny gip cho ta c lng

2
chnh xc hn.
5.6.3 Loi tr mt bin gii thch ra khi m hnh:
Bc 1: Xem cp bin gii thch no c quan h cht ch. Gi s X
2
, X
3
,.....,X
k
l cc
bin c lp; Y l bin ph thuc v x
2
v X
3
c tng quan cht ch vi nhau.
Bc 2: Tnh R
2
i vi cc hm hi quy: c mt c hai bin; kh9ng c mt mt trong
hai bin.
Bc 3: Ta loi bin m gi tr R
2
tnh c khi khng c mt bin l ln hn.
V d: R
2
ca hm c mt ca c hai bin X
2
v X
3
l 0,94; R
2
ca m hnh khng c bin
X
2
l 0,87; R
2
ca m hnh khng c bin X
3
l 0,92 th loi bin X
3
ra khi m hnh.
5.6.4 S dng sai phn cp mt:
Gi s chng ta c s liu chui thi gian biu th mi lin h gia bin Y v cc bin
ph thuc X
2
v X
3
theo m hnh sau:
Y
t
=
1
+
2
X
2t
+
3
X
3t
+U
t
(5.23)
Trong t l thi gian. Phng trnh trn ng vi t th cng ng vi t-1, ngha l:
Y
t-1
=
1
+
2
X
2t-1
+
3
X
3t-1
+U
t-1
(5.24)
T (5.23) v (5.24)ta c:
Y
t
- Y
t-1
=
2
(X
2t
- X
2t-1
) +
3
(X
3t
- X
3t-1
) + U
t
- U
t-1
(5.25)
t: y
t
= Y
t
- Y
t-1
; x
2t
= X
2t
- X
2t-1
; x
3t
= X
3t
- X
3t-1
; V
t
= U
t
- U
t-1

Ta c: y
t
=
2
x
2t
+
3
x
3t
+V
t
(5.26)
Chng 5: a cng tuyn

79
M hnh hi quy dng (5.26) thng l gim tnh nghim trng ca a cng tuyn v d
X
2
v X
3
c th tng quan cao nhng khng c l do tin nghim no chc chn rng sai phn
ca chng cng tng quan cao.
Tuy nhin bin i sai phn bc nht sinh ra mt s vn . Chng hn nh s hng sai s
V
t
trong (5.26) c th khng tho mn gi thit ca m hnh hi quy tuyn tnh c in l cc sai
s ngu nhin khng tng quan.
5.6.5 Gim tng quan trong cc hm hi quy a thc:
Nt c bit ca hi quy a thc l cc bin gii thch xut hin vi lu tha khc nhau
trong m hnh hi quy. Trong thc hnh, gim tng quan trong hi quy a thc, ngi ta
thng s dng dng lch (lch so vi gi tr trung bnh). Nu vic s dng dng lch m
vn khng gim a cng tuyn th ngi ta c th phi xem xt n k thut a thc trc giao.
5.6.6 Mt s bin php khc:
Ngoi cc bin php k trn, ngi ta cn s dng mt s bin php khc na gii
quyt vn a cng tuyn. Nh:
- Hi quyu thnh phn chnh.
- S dng cc c lng t bn ngoi.
- Hi quy ngn sng.
Nhng tt c cc bin php trnh by trn c th l gii php cho vn a cng
tuyn nh th no cn ph thuc vo bn cht ca tp s liu v tnh nghim trng ca vn a
cng tuyn.
a cng tuyn l s tn ti t nht mt mi quan h tuyn tnh gia mt bin gii thch no
vi tt c hay vi mt bin khc c mt trong m hnh. Khi c a cng tuyn hon ho, khng
th c li gii duy nht cho cc h s hi quy ring. Ta ch c th c c li gii duy nht cho t
hp tuyn tnh ca cc h s ny. Trng hp a cng tuyn khng hon ho thng hay gp
trong thc hnh. a cng tuyn gy ra nhiu hu qu nh l tng sai s chun, du ca cc c
lng v h s hi quy c th sai,...V vy cn c cc bin php pht hin v khc phc hin
tng a cng tuyn, phn ny gii thiu 4 cch pht hin a cng tuyn, tu tng trng hp
c th c th vn mt trong bn cch . C 5 bin php c bn khc phc hin tng a cng
tuyn.
I. Cu hi:
1. Gii thch hin tng a cng tuyn? Trong hi quy bi c nhng loi a cng
tuyn no?
2. Trng hp a cng tuyn hon ho v khng hon ho th cc c lng v h
s hi quy c g khc nhau?
3. Trnh by hu qu ca a cng tuyn?
Chng 5: a cng tuyn

80
4. pht hin a cng tuyn thng dng nhng phng php no?
5. Trnh by cc bin php khc phc a cng tuyn?
II.Bi tp:
1. Xt mt tp hp s liu l thuyt cho bng di y:
Y -10 -8 -6 -4 -2 0 2 4 6 8 10
X
2
1 2 3 4 5 6 7 8 9 10 11
X
3
1 3 5 7 9 11 13 15 17 19 21

Gi s bn mn p dng m hnh sau cho cc s liu bng trn:
Y
i
=
1
+
2
X
2i
+
3
X
3i
+ U
i

a) Bn c th c lng 3 tham s cha bit hay khng? Ti sao?
b) Nu khng, hm tuyn tnh no bn c th c lng?
2. Cho cc bin s: C l tiu dng; Y l thu nhp sau thu; L l ti sn d chuyn thnh
tin. da trn 38 quan st, ta c lng c cc m hnh sau:
C = -7,160 + 0,95213Y + e R
2
= 0.9933 (1)
(t) (-1,93) (73,25)

C = -10,627 + 0,168166Y + 0,37252L + e R
2
= 0,9953 (2)
(t) (-3,25) ( 9,60) (3,96)

L = 9,307 + 0,76207Y + e R
2
= 0,9758 (3)
(t) (1,8) ( 37,2)
a) Xt xem gia Y v L c tng quan vi nhau hay khng?
b) C th b bin L trong m hnh i c khng/
c) Nu loi b i hai quan st cu cng, c lng li m hnh ta c cc kt qu sau:

C = -6,980 + 0,95145Y + e R
2
= 0.9925 (4)
(t) (-1,74) (67,04)

C = -13,391 + 0,63258Y + 0,45065L + e R
2
= 0,9951 (5)
(t) (-3,71) ( 8,12) (4,24)

L = 9,307 + 0,76207Y + e R
2
= 0,9758 (6)
(t) (2,69) (37,80)
Nhn xt v mc a cng tuyn?

Chng 6: Phng sai ca sai s thay i

81
CHNG 6: PHNG SAI CA SAI S
THAY I
GII THIU
Mt trong nhng gi thit quan trng ca m hnh hi quy tuyn tnh c in l cc nhiu
ngu nhin U
i
trong hm hi quy tng th l c phng sai khng i v bng
2
i
? Nhng trong
thc t, nu gi thit ny b vi phm, tc l phng sai ca U
i
l
2
i
(ph thuc vo tng quan st),
th iu g s xy ra? Lm th no bit c rng gi thit ny b vi phm? Cch khc phc nh
th no? l mt lot cc cu hi m chng ta s cho cc cu tr li trong chng ny.
NI DUNG
6.1. NGUYN NHN CA PHNG SAI CA SAI S THAY I
6.1.1. Phng sai ca sai s thay i l g?
Khi nghin cu m hnh hi quy tuyn tnh c in, chng ta a ra gi thit rng:
phng sai ca mi mt nhiu ngu nhin U
i
trong iu kin gi tr cho ca bin gii thch X
i

l khng i, ngha l
Var(U
i
X
i
) = E[U
i
- E(U
i
)]
2
= E(U
i
)
2
=
2
(6.1)
i = 1, 2, ...n
V mt th th m hnh hi quy 2 bin c phng sai khng i c minh ho hnh 6.1.
Ngc vi trng hp trn l trng hp: phng sai c iu kin ca Y
i
thay i khi X
i
thay i, ngha l: E(U
i
)
2
=
i
2
(trong cc
i
2
khc nhau). Th d khi nghin cu mi quan h
gia li mc phi do nh my trong mt thi k cho vi s gi thc hnh, th ngi ta nhn
thy s gi thc hnh nh my cng tng th li sai trung bnh mc phi cng gim. iu ny m
t bng hnh th 6.2.

Mt
Y
X

82
Hnh 6.1. Phng sai ca sai s khng i

Hnh 6.2. Phng sai ca sai s thay i.
6.1.2. Nguyn nhn ca phng sai ca sai s thay i
Phng sai thay i c th do mt trong cc nguyn nhn sau:
- Do bn cht ca cc mi lin h kinh t: C nhiu mi quan h kinh t cha ng hin
tng ny. Chng hn mi quan h gia thu nhp v tit kim, thng thng thu nhp tng th
mc bin ng ca tit kim cng tng.
- Do k thut thu nhp s liu c ci tin,
2
dng nh gim. K thut thu thp s liu
cng c ci tin, sai lm phm phi cng t hn.
- Do con ngi hc c hnh vi trong qu kh. Chng hn, li ca ngi nh my
cng t nu thi gian thc hnh cng tng...
- Phng sai ca sai s thay i cng xut hin khi c cc quan trc ngoi lai. Quan st
ngoi lai l cc quan st khc bit rt nhiu (qu nh hoc qu ln) vi cc quan st khc trong
mu. Vic a vo hay loi b cc quan st ny nh hng rt ln n phn tch hi quy.
- Mt nguyn nhn khc l m hnh nh dng sai. C th do b st bin thch hp hoc
dng gii tch ca hm l sai.
6.2. C LNG BNH PHNG NH NHT KHI PHNG SAI CA SAI S
THAY I.
Trong mc ny chng ta hy xem iu g s xy ra i vi cc c lng bnh phng b
nht v phng sai ca chng nu phng sai ca sai s thay i nhng vn gi nguyn cc gi
thit khc ca m hnh hi quy tuyn tnh c in? tr li cho vn ta xt m hnh hai
bin sau:
Y
i
=
1
+
2
X
i
+ U
i
(6.2)
p dng cng thc thng thng ca phng php bnh phng nh nht cho chng
trc tnh
2
ta c:
X
Mt
Y

83

= =
= = =
=
=

=
n
i
n
i
i i
n
i
n
i
i
n
i
i i i
n
i
i
i
n
i
i
X X n
Y X Y X n
X X
Y Y X X
1
2
1
2
1 1 1
2
1
1
2
) ( ) (
) )( (
(6.3)
Cn phng sai l
Var (
2
) = E (
2
-
2
)
2
= E(
=
=
n
i
i i
U lk i
1
2
)
= E(k
1
2
U
2
1
+ k
2
2
U
2
2
+ k
n
2
U
2
n
+ 2k
1
k
2
U
1
U
2
+...+ 2k
n - 1
k
n
U
n-1
U
n
)
= E(k
1
2
U
2
1 +
k
2
2
U
2
2
+...+k
n
2
U
2
n
)
(do gi thit khng tng quan)
= k
1
2
E(U
1
2
) + k
2
2
E(U
2
2
) + k
n
2
E(U
n
2
)
=
=
=
=
=
n
i
i n
i
i
i
i
n
i
i
x
x
k
1
2
2
1
2
1
2
(6.4)
trong k
i
=

= =
=
n
i
i
i
n
i
i
i
x
x
X X
X X
1
2 2
1
) (

Nhng phng sai ca
2
trong trng hp E (U
i
)
2
=
2
l:
Var(
2
) =
2
/(Xi - X )
2
(6.5)
D nhin nu
i
2
=
2
th (6.4) v (6.5) trng nhau.
Nh ta bit
2
l c lng tuyn tnh khng chch tt nht ca

2
nu cc gi thit
ca m hnh hi quy tuyn tnh c in c tho mn. Nhng liu n c cn l c lng tuyn
tnh khng chch tt nht trong trng hp gi thit phng sai ca sai s khng thay i khng
c tho mn na khng?
D chng t rng
2
vn l c lng tuyn tnh khng chch ca

2
. Nhng liu
2
c
vn l c lng hiu qu na khng? Liu phng sai tnh c t (6.4) c phi l phng sai
cc tiu khng? Nu khng th ci g l c lng tuyn tnh khng chnh lch tt nht trong
trng hp ny? tr li cu hi ta xt mc sau:
6.3. PHNG PHP BNH PHNG NH NHT TNG QUT
gii p cho cu hi mc trn ta cn phi xt phng php bnh phng nh nht tng
qut. Trc khi i vo ni dung c th, chng ta trnh by " Phng php bnh phng nh nht
c trng s".
6.3.1. Phng php bnh phng nh nht c trng s
Xt m hnh 2 bin

84
Y
i
=
1
+
2
X
i
+ U
i

Nh ta bit phng php bnh phng nh nht khng c trng s: cc tiu tng bnh
phng cc phn d:

= =
=
n
i
n
i
i i i
X Y e
1 1
2
2 1
2
)

( (6.6)
thu c cc c lng.
Cn phng php bnh phng nh nht c trng s cc tiu tng bnh phng cc phn
d c trng s:

= =
=
n
i
n
i
i i i i i
X Y W e W
1 1
2 *
2
*
1
2
) ( (6.7)
Trong
1
*
v
2
*
l cc c lng bnh phng nh nht c trng s, y cc trng s
W
i
l nh sau:
W
i
= 1/
i
2
(i) (
i
2
> 0)
Ngha l trng s t l nghch vi phng sai ca U
i
vi iu kin X
i
cho, trong
Var (U
i
X
i
) = Var(Y
i
X
i
) =
2
i

Vi phn c 2 v ca phng trnh (6.7) theo
1
*
v
2
*
ta c:
=
=
=
n
i
i i i
n
i
i i
X Y W
e W
1
*
2
*
1 *
1
1
2
) 1 )( ( 2
=
=
=
n
i
i i i i
n
i
i i
X X Y W
e W
1
*
2
*
1 *
2
1
2
) )( ( 2

Cho cc o hm ring bng khng ta thu c h phng trnh chun:

= = =
+ =
n
i
n
i
i i
n
i
i i i
X W W Y W
1 1
*
2
1
*
1

= = =
+ =
n
i
n
i
i i
n
i
i i i i i
X W X W Y X W
1 1
2 *
2
1
*
1

gii h ny ta c:

1
*
=
*
*
2
*
X Y (6.10)
v

= = =
= = = =
=
n
i
i i
n
i
i i
n
i
i
n
i
n
i
n
i
i i i i i i i
n
i
i
X W X W W
Y W X W Y X W W
1
2
1
2
1
1 1 1 1
*
2
) ( ) ( ) (
) )( ( ) ( ) (
(6.11)
Trong

= =
=
n
i
n
i
i i i
W Y W Y
1 1
*
v

= =
=
n
i
n
i
i i i
W X W X
1 1
*

R rng rng khi W
i
= w (i) th trung bnh c trng s bng trung bnh thng thng
(6.8)
(6.9)

85
6.3.2. Phng php bnh phng nh nht tng qut
By gi ta quay li c lng bnh phng nh nht ca
2
cho trn l
2
.
2
vn
l c lng tuyn tnh khng chnh lch nhng khng phi l tt nht. V sao? Nguyn nhn ca
hin tng l do mt gi thit ca m hnh c in khng c tho mn l gi thit
phng sai ca sai s khng i b vi phm.
Vy lm th no khc phc tnh trng ? tr li c th cho cu hi ny chng ta phi
phn bit tng trng hp bit hoc cha bit phng sai (xem mc cui chng ny).
y chng ta ch trnh by mt phng php tng qut a mt m hnh khng tho mn gi
thit , lm c s cho vic xem xt nh hng ca vic vi phm gi thit ny.
Xt m hnh 2 bin Y
i
=
1
+
2
X
i
+ U
i
, trong tt c cc gi thit ca m hnh hi quy
tuyn tnh c in c tho mn tr gi thit phng sai ca sai s khng i. Phng trnh ny
c th vit li di dng
Yi = iX
0i
+ 2Xi + Ui (6.12)
Trong : X
0i
= 1 (i). Vi mi i, chia c 2 v ca (6.12) cho i (
i
> 0) ta c:

i
i
i
i
i
i
i
i
U X X Y

+ + =
2
0
1
(6.13)
t
*
0
0
i
i
i
X
X
=
,
*
i
i
i
X
X
=
,
*
i
i
i
U
U
=
v ta cng s dng k hiu

*
1
v s ca c
lng bnh phng nh nht thng thng
1
v
2

Vy m hnh c bin i c dng:
Y
1
*
=
1
*
X
0i
*
+
2
*
X
i
*
+U
i
*
(6.14)
Mc tiu ca vic bin i m hnh gc l g? thy c iu ny chng ta xt s
hng sai s c bin i U
i
*
. Ta c
Var(U
i
*
) = E(U
i
*
)
2
= 1 ) (
1
2
2
2
2
= =
i
i
i
i
U E
(i)
Vy U
i
*
c phng sai khng i.
V chng ta vn gi li tt c cc gi thit khc ca m hnh hi quy tuyn tnh c in.
Thm vo U
i
*
tho mn c gi thit phng sai khng i. nn nu chng ta tip tc phng
php bnh phng nh nht cho m hnh bin i (6.14) th cc c lng sinh ra t s l cc
c lng tuyn tnh khng chch tt nht.
Th tc bin i cc bin gc theo cch trnh by trn trong cc bin c bin
i tho mn cc gi thit ca m hnh c in v sau p dng phng php bnh phng nh
nht vo chng, c gi l phng php bnh phng nh nht tng qut.
Th tc c lng
1
2
v
2
*
l nh sau:
Trc ht ta vit hm hi quy mu ca (6.14) di dng:
=
i
i
i
i
i
i
i
i
e X X Y

*
2
0
*
1


86
Hay Y
i
*
=
* * *
1
*
0
* *
1

i i i
e X X + + (6.15)
thu c c lng bnh phng nh nht tng qut, ta cc tiu hm:
( )

= =
=
n
i
i i i
n
i
i
X X Y e
1
2
* *
2
*
0
*
1
*
1
2 *

Hay:

= = =
=
=
n
i
i i
i
n
i
n
i i
i
i
i
i
i
i
i
X Y
X X Y e
1
2 *
2
*
1 2
1 1
2
*
2
0
*
1 2
2
)

(
1

t W
i
=
2
1
i
ta quay v dng (6.7), cho nn ta c th vit ngay c cc c lng:

* *
2
* *
1

X Y = (6.16)
2
1
2
1 1
1 1 1 1 *
2
=

= = =
= = = =
n
i
i i i
n
i
i
n
i
i
i
n
i
i i
n
i
i i i
n
i
i
n
i
i
X W X W W
Y W X W Y X W W
(6.17)
2
1
2
1 1
1 *
2
)
=

= = =
=
n
i
i i i
n
i
i
n
i
i
n
i
i
X W X W W
W
Var
(6.18)
6.4. HU QU CA PHNG SAI CA SAI S THAY I
Mc ny ta s xt xem hu qu ca gi thit phng sai ca sai s khng i khng c
tho mn c nh hng nh th no n cc c lng thu c.
Chng ta s ch ra rng:
Cc c lng bnh phng nh nht vn l khng chch nhng khng hiu qu.
c lng ca cc phng sai s b chch, nh vy lm mt hiu lc khi kim nh.
V quan tm ca chng ta ch yu l h s gc
2
cho nn n gin ta xt m hnh
khng c h s chn sau:
Y
i
=
i
X
i
+ U
i
(6.19)
Trong U
i
l nhiu l nhiu ngu nhin tho mn cc iu kin:
E(U
i
) = 0
Cov(U
i
, U
j
) = 0
Var(U
i
) =
i
2

Theo phng php bnh phng nh nht ta c c lng bnh phng nh nht ca
2
l:
=
=
=
=
=
n
i
i i n
i
i
i
n
i
i
Y k
X
Y X
1
1
2
1 *
2
; trong k
i
=
=
n
i
i
i
X
X
1
2


87
Vy
2
vn tuyn tnh theo Y

i
. Mt khc t Y
i
=
2
X
i
+ U
i
ta suy ra:
=
=
=
=
=
=
+ =
+
= =
n
i
i
n
i
i i
n
i
i
n
i
i i i
n
i
i
n
i
i i
X
U X
X
U X X
X
Y X
1
2
1
2
1
2
1
2
1
2
1
2
) (

V E(U
i
) = 0 v X khng phi l ngu nhin nn E(
2
) =
2
, vy
2
l c lng khng
chch ca
2
.
Ta tnh c:
Var(
2
*
) =
2
1
2
1
2 2
=
=
n
i
i
n
i
i i
X
X
(6.20)
(cch lm tng t nh ni trn).
By gi chng ta thc hin nh trng s cho quan st th i l
i
Z
1
trong Z
i
tho mn
iu kin Z
i
2
=
i
2
/
2
(
2
l hng s). (Lu rng php bin i y tng qut hn trn mt
cht v ch cn t
2
= 1 ta c ngay Z
i
= 1/W
i
). Ta s dng
*
ch c lng tham s ca
m hnh bin i. Lc (6.19) c th vit li l:
i
i
i
i
i
i
Z
U
Z
X
Z
Y
+ =
2

t V
i
=
i
i
Z
U
, khi
E(V
i
)
2
= E
( )
;
2
2
2
i
i
i
i
Z
U E
Z
U
=
E(V
i
)
2
=
2
2
2
=
i
i
Z

Hi quy mu ca (6.19) c dng:

i
i
i
i
i
V
Z
X
Z
Y
+ =
*
2

c lng bnh phng nh nht ca (6.19) nh bit l c lng bnh phng nh
nht c trng s v ta k hiu l
*
2
th:
=
=
=
=
+ = =
n
i
i i
n
i
i i i
n
i
i i
n
i
i i i i
Z X
V Z X
Z X
Z X Z Y
1
2
1
2
1
2
1
*
2
) / (
) / (
) / (
) / )( / (
(6.21)
Ly k vng 2 v ca (6.19) ta c E(
*
2
) =
2

Nh vy
*
2
l c lng khng chch ca

2
. Ta s ch ra rng
*
2
hiu qu hn
2
.

88
Chng ta c
Var(
*
2
) =
=
n
i
i i
Z X
1
2
2
) / (

Thay
i
2
=
2
Z
i
vo (6.18) ta c:
Var(
*
2
) =
2
1
2
1
2 2 2
=
=
n
i
i
n
i
i i
X
Z X

Lp t s

= =
=
=
n
i
n
i
i i i i
n
i
i
Z X Z X
X
Var
Var
1 1
2 2 2 2
1
2 2
2
*
2
) / (
) (
)
(
)

t a
i
= X
i
Z
i
; b
i
= X
i
/Z
i
lc :

= =
=
=
n
i
n
i
i i
n
i
i i
b a
b a
Var
Var
1 1
2 2
1
2
2
*
2
) (
)
(
)

Theo bt ng thc Bunhiacopski cho n s tu th:
2
1 1 1
2 2

= = =
n
i
i i
n
i
n
i
i i
b a b a ;
v du bng xy ra khi v ch khi
n
n
b
a
b
a
b
a
= = = ...
2
2
1
1
.
p dng vo (6.20) ta c
1
)
(
)
(
2
*
2
Var
Var

Ngha l Var(
*
2
) Var(
2
), du bng ch xy ra khi v ch khi

const Z
Z X
Z X
b
a
i
i i
i i
= = =
2
1
1
/

ngha l
i
2
khng i, vy c lng
2
khng hiu qu. by gi ta quay li vi c lng ca

phng sai ca
2
nh ta bit, n c c lng bi cng thc sau:
n
i
i
X
n
RSS
1
2
1
1
. Trong
RSS l tng bnh phng cc phn d thu c t m hnh c lng bnh phng nh nht. Ta
tnh k vng ca RSS:

89
E(RSS) = E[ ]
2
2
)

i i
X Y
=
=
= = =
=
=
=
=
n
i
i
n
i
n
i
i i i
n
i
i
n
i
i
n
i
i i n
i
i
X
X X
X
X
1
2
1 1
2 2 2
1
2
1
2
1
2 2
1
2

(6.22)
Lu rng nu
i
2
=
2
(i) th (RSS) = (n - 1)
2
. CHng ta c lng phng sai
2
m
gi tr k vng ca n l:
E
2 2
2 2 2 2
2 2
) )( 1 (
) (
) 1 (
1 1
1

=
i
i i i i
i i
X n
X X
RSS E
X n X n
RSS

Trong khi phng sai thc l:
2 2
2 2
) (
i
i i
X
X
.
Nh vy phng sai c c lng cng l c lng chch. By gi gi thit rng
i
2

v X
i
2
c tng quan dng (iu ny thng xy ra vi cc s liu kinh t) m tho mn iu
kin

= = =
>
n
i
i
n
i
i
n
i
i i
X
n
X
1
2
1
2
1
2 2
1

th gi tr k vng ca phng sai c c lng nh hn phng sai thc. Nh vy chng ta
s c lng qu thp phng sai thc ca c lng bnh phng nh nht v s thu c
khong tin cy hp hn khong tin cy thc. iu ny s lm nh hng kim nh gi thit v
2
.
Hay ni cch khc l khong tin cy v cc kim nh gi thit da trn phn phi t v F khng
cn ng tin cy na. V vy nu s dng th tc kim nh gi thit thng thng c th dn n
nhng kt lun sai lm. iu ny s dn n hu qu khng lng trc c trong thc tin.
chnh l l do v sao chng ta phi nghin cu vn ny. Nhng lm th no bit c rng
phng sai ca sai s thay i hay khng?
6.5. PHT HIN PHNG SAI CA SAI S THAY I
Nh chng ta thy v mt l thuyt th d dng ch ra hu qu ca hin tng phng sai
ca sai s thay i, nhng vic pht hin ra hin tng ny trong thc t th cng khng phi l
vn n gii. V sao vy? Bi v chng ta bit c
i
2
ch khi chng ta c ton b tng th
tng ng vi nhng gi tr X c chn, nhng iu ny hu nh him xy ra, ngha l chng ta
t khi c c ton b tng th nghin cu. Thng thng chng ta ch c c mu rt ra
c t tng th mun nghin cu m thi. Nh vy chng ta ch c nhng gi tr n ca Y ng
vi nhng gi tr cho ca bin X, v ta li khng c cch no xc nh phng sai
i
2
t gi
tr n ca Y. Vy th lm th no pht hin ra phng sai ca sai s thay i?
Cng nh trong trng hp "a cng tuyn", chng ta khng c mt phng php chc
chn pht hin ra phng sai ca sai s thay i. Chng ta ch c vi cng c chn on c
th gip chng ta pht hin ra hin tng ny. Sau y chng ta hy xt mt vi cch chn on.

90
6.5.1. Bn cht ca vn ca nghin cu
Thng thng bn cht ca vn nghin cu gi cho chng ta rng c th xy ra hin
tng: Phng sai ca sai s thay i hay khng? Trn thc t th s liu cho lin quan n cc
n v khng thun nht hay xy ra hin tng phng sai ca sai s thay i. Chng hn trong
nghin cu s liu cho ca chi ph trung bnh ca sn xut tu theo sn lng sn phm c sn
xut ra, trong mu gm nhng doanh nghip c quy m khc nhau, ngi ta thy rng dng nh
phng sai ca sai s thay i.
6.5.2. Xem xt th ca phn d
th ca sai s ca hi quy, phn d i vi gi tr ca bin c lp X hoc gi tr d
on Y
s cho ta bit liu phng sai ca sai s c thay i hay khng. Phng sai ca phn d
c ch ra bng rng ca biu phn ri ca phn d khi X tng. Nu rng ca biu
ri ca phn d tng hoc gim khi X tng th gi thit v phng sai hng s c th khng c
tho mn.
Th d: Th d sau y l biu hin quan h ca chi tiu cho tiu dng (Y) v thu nhp (X)
hng thng ca 20 h gia nh mt vng nng thn.
Bng 6.1. Chi tiu cho tiu dng (Y) v thu nhp (X) - V 10.000
Gia nh Chi tiu Y Thu nhp X Gia nh Chi tiu Y Thu nhp X
1 19,9 2,3 11 8,0 8,1
2 31,2 32,3 12 33,1 34,5
3 31,8 33,6 13 33,5 38,0
4 12,1 12,1 14 13,1 14,1
5 40,7 42,3 15 14,8 16,4
6 6,1 6,2 16 21,6 24,1
7 38,6 44,7 17 29,3 30,1
8 25,5 26,1 18 25,0 28,3
9 10,3 10,3 19 17,9 18,2
10 38,8 40,2 20 19,8 20,1

Cn c vo s liu trn y ta s dng phng php bnh phng nh nht v c lng
c hm:
Y = 0,847 + 0,899X


91
Bng 6.2 Phn d i vi hm tiu dng c c lng t tp s liu cho bng 6.1
Quan st
Gi tr ca
X
Phn d Quan st
Gi tr
ca X
Phn d
6 6,2 -0,32 8 26,1 1,18
11 8,1 -0,13 18 28,3 -1,30
9 10,3 0,19 17 30,1 1,38
4 12,1 0,37 2 32,2 1,30
14 14,1 -0,43 12 34,5 1,23
15 1,4 -0,80 3 36,6 -1,96
19 18,2 0,69 13 38,0 1,52
20 20,1 0,88 10 40,2 1,80
1 22,3 -1,00 5 42,3 1,81
16 24,1 -0,92 7 44,7 -2,45

Cc gi tr d ton v phn d c tnh trong bng 6.2.
Bng 6.2 sp xp theo th t ca gi tr ca cc quan st tng dn t nh n ln v cc
phn d tng ng.
Vi gi tr cho trong bng: th ca phn d i vi X c cho hnh 6.3

Hnh 6.3
Biu phn d i vi X cho chng ta thy rng rng ca biu ri tng ln khi X
tng, cho nn c chng c cho rng phng sai ca sai s thay i khi X tng. Ch rng i
khi ngi ta v th ca phn d bnh phng i vi X.
Nhng c mt vn thc hnh m ta cn bn ti l nu chng ta xem xt hi quy bi c
nhiu hn mt bin gii thch th chng ta phi lm th no? Liu c th dng th na khng?

10

20

30

40

50
0
+1
+2
-1
-2
-3

92
Mt trong cc cch c th lm l v th ca phn d (hoc phn d bnh phng). V
i
Y
l t
hp tuyn tnh ca cc gi tr ca X nn th ca phn d bnh phng i vi
i
Y
c th ch ra
mt mu gi cho ta c tn ti hin tng phng sai ca sai s thay i hay khng?
6.5.3. Kim nh PARK
PARK hnh thc ho phng php th cho rng
i
2
l hm no ca bin gii thch
X. Dng hm m ng ngh l:
i
2
=
2
X
i
2
e
Vi
(6.23)
ly ln ca 2 v ta c
ln
i
2
= ln
2
+
2
lnX
i
+ v
i
(6.24)
Trong v
i
l cha bit nn PARK ngh s dng e
i
2
thay cho
i
2
v c lng hi
sau:
lne
i
2
= ln
i
2
+
2
lnX
i
+ v
i
(6.25)
trong
1
= ln2, e
i
2
thu c t hi quy gc.
Nh vy thc hin kim nh Park ta s tin hnh cc bc sau:
1. c lng hi quy gc, cho d c hoc khng tn ti hin tng phng sai ca sai s
thay i.
2. T hi quy gc thu c cc phn d e
i
sau bnh phng chng c e
i
2
ri n ly
lne
i
2
.
3. c lng hi quy (6.23) trong bin gii thch (X
i
) l bin gii thch trong hi quy
gc, nu c nhiu bin gii thch c th c lng hi quy i vi mi bin gii thch, hoc c th
c lng hi quy i vi mi bin gii thch, hoc c th c lng hi quy i vi
i
Y
lm bin
gii thch, trong
i
Y
l Y
i
c c lng.
4. Kim nh gi thit H
0
:
2
= 0 c th b bc b, trong trng hp ny ta phi tm cch
khc phc.
5. Nu gi thit H
0
:
2
= 0 c chp thun th
1
trong hi quy 9.23 c th c gii thch
nh l gi tr ca phng sai khng i (
1
= ln
2
)
Th d: Cn c vo s liu cho bng 6.2
"Phn d i vi hm tiu dng c c lng t tp s liu cho bng 6.1". c
lng hi quy (6.23) kt qu l nh sau:
Gc
i
X Lne ln 617445 , 2 407406 , 8
2
+ =
Bng 6.3
Bin H s Sai lch chun t p
lnX 2,614445 0,218363 11,906 0,000
cons -8,407406 0,6911656 -12,164 0,000

93
Nhn vo kt qu ta thy c mi lin h c ngha gia gcLne
2
v lnX
i
nn gi thit H
0
:H
0
:
2
= 0 b bc b mc ngha 5% ngha l phng sai ca sai s thay i, ging nh kt lun
rt ra t th phn d.
6.5.4. Kim nh Glejser
Kim nh Glejser cng tng t nh kim nh Park. Sau khi thu c phn d e
i
t hi
quy theo phng php bnh phng nh nht, Glejser ngh hi quy gi tr tuyt i ca e
i
,
e
i
i vi bin X no m c th c kt hp cht ch vi
i
2
. Trong thc nghim Glejser s dng
cc dng hm sau:
e
i
=
1
+
2
X
i
+ v
i
(6.26)
e
i
=
1
+
2
i
X
+ v
i
(6.26)
e
i
=
1
+
2
i
X
1
+ v
i
(6.26
)
e
i
=
1
+
2
i
X
1
+ v
i
(6.27)
e
i
=
i 2 1
X +
+ v
i
(6.28)
e
i
=
2
i 2 1
X +
+ v
i
(6.28')
Trong v
i
l sai s.
Gi thit H
0
trong mi trng hp nu trn l khng c phng sai ca sai s thay i,
ngha l H
0
:
2
= 0. Nu gi thit ny b bc b th c th hin tng phng sai ca sai s thay
i. Cn lu rng kim nh Glejser cng c vn nh kim nh Park. Glejser v Quandt
ch ra rng sai s v
i
trong hi quy ca Glejser c mt s vn , nh gi tr k vng ca n khc
khong, n c tng quan chui. Tuy nhin Glejser cho rng trong mu ln th 4 m hnh u
cho ta kt qu tt trong vic vch ra hin tng phng sai ca sai s thay i (2 m hnh cui
cng cn c vn v l phi tuyn theo tham s, do , khng th c lng c bng th tc
bnh phng nh nht thng thng).
Do vy m kim nh Glejser c s dng nh l mt cng c chn on trong mu
ln.
Th d: S dng s liu cho v chi tiu ca tiu dng ph thuc vo thu nhp bng
(6.1) v phn d tch c bng (6.2) chng ta tin hnh kim nh Glejser kt qu nh sau:
- i vi dng (6.24) ta thu c kt qu sau
i i
e 0.2093825 0.0511835X = +
Kt qu chi tit bng 6.4.


94
Bng 6.4
X 0,511835 0,0033863 15,115 0,000
cons -0,209383 0,0941067 -2,225 0,039
- i vi dng (6.25) ta c
i i
e 1.232191 0.4782725 X = +
Bng 6.5
i
X 0,4725735 0,0369738 12,867 0,000
cons -1,2232191 0,18561 -6,639 0,000

- i vi dng (6.26) ta c
i
i
1
e 1.826248 13.77976
X
=
Kt qu chi tit cho bng sau:
Bng 6.6
1/X 13,77976 2,387942 -5,771 0,000
cons 1,826248 0,1549618 11,785 0,000
- i vi dng (6.27) ta c:
e
i
= 2.825054 7.849832
i
X
1

Bng 6.7
Bin H s Sai lch s t p
i
X
1

-7,848932 1,049445 -7,479 0,000
cons 2,825054 0,2437281 11,591 0,000

Nhn vo 4 bng ta u thy c mi lin h c ngha
i
v bin gii thch X
i
cho nn
chng ta thy rng:
C 4 kt qu u cho ta cng mt kt lun l gi thit H
0
:
2
= 0 b bc b vi mc
ngha 5% ngha l c hin tng phng sai ca sai s thay i. Cc kt lun ny cng ging nh
kt lun kim nh Park.

95
6.5.5. Kim nh tng quan hng ca Spearman.
nh ngha: H s tng quan hng Spearman r
s
c sc nh nh sau:
R
s
= 1 6
) 1 (
2
n n
d
i
(6.29)
Trong d
i
= hiu ca cc hng c gn cho 2 c trng khc nhau cng mt phn t i v
n = s cc phn t c xp hng. Th d cho xp hng ca 10 hc sinh theo kt qu ca k thi
gia k v k thi cui nm l nh sau:
Bng 6.8
Phn t
Hng
A B C D E F G H I J
Hng: gia k 1 3 7 10 9 5 4 8 2 6
Hng: cui k 3 2 8 7 9 6 5 10 1 4

H s tng quan hng c th dng pht hin ra phng sai ca sai s thay i.
Chng ta xt m hnh
Y
i
=
i
+
2
X
i
+ U
i
.
Th tc kim nh nh sau:
Bc 1: c lng hi quy trn tp s liu i vi Y v X thu c phn d e
i
.
Bc 2: Xp hng e
i
v X
i
theo th t gim hoc tng, tnh d = hng e
i
- Hng X
i
, sau
tnh h s tng quan hng Spearman.
Bc 3: Gi s h s tng quan hng ca tng th l
i
bng 0 v n > 8 th ngha ca h
s tng quan hng mu r
s
c th kim nh bng tiu chun t sau:
t =
2
1
2
s
s
r
n r

(6.30)
vi bc t do df = n - 2
Nu gi tr t tnh c m vt im ti hn t, chng ta c th chp nhn gi thit phng
sai ca sai s thay i; ngc li chng ta t b gi thit v phng sai sai s thay i. Nu m
hnh hi quy c bin gii thch th h s tng quan hng c th tnh gia e
i
vi mi mt bin X
ring v c th kim nh ngha thng k bng tiu chun trn.
6.6. BIN PHP KHC PHC
Nh chng ta bit phng sai ca sai s thay i chng nhng ph hu cn lm cho
cc c lng khng cn l c lng hiu qu na. V th bin php khc phc l ht sc cn
thit. Vic cha chy cn bnh ny ph thuc ch yu vo liu
2
i
c bit hay cha. Ta phn
bit 2 trng hp.

96
6.6.1.
2
i
bit
Khi
2
i
bit, chng ta c th d dng khc phc cn bnh bng cch s dng phng
php bnh phng nh nht c trng s trnh by trn.
6.6.2.
2
i
cha bit
Trong nghin cu kinh t vic bit trc
2
i
ni chung l him. V vy nu chng ta mun
s dng phng php bnh phng nh nht c trng s th chng ta cn c nhng gi thit nht
nh v
2
i
v bin i m hnh hi quy gc sao cho m hnh c bin i ny tho mn gi
thit phng sai ca sai s khng i. Phng php bnh nh nht s c p dng cho m hnh
c bin i nh ch ra trc y, phng php bnh phng nh nht p dng cho tp s
liu c bin i.
Chng ta s minh ho cho cc php bin i ny qua vic s dng m hnh hi quy 2 bin
m ta gi l m hnh gc:
Y
i
=
1
+
2
X
i
+ U
i

Gi s m hnh ny tho mn cc gi thit ca m hnh hi quy tuyn tnh c in tr gi
thit phng sai ca sai s khng i. Chng ta xt 1 s gi thit sau v phng sai ca sai s.
Nhng dng ny tuy cha bao qut c tt c nhng ph bin.
Gi thit 1: Phng sai ca sai s t l vi bnh phng ca bin gii thch:
E(U
2
i
) =
2
X
2
i
(6.31)
Nu bng phng php th hoc cch tip cn Park hoc Glejser... ch cho chng ta rng
c th phng sai U
i
t l vi bnh phng ca bin gii thch X th chng ta c th bin i m
hnh gc theo cch sau:
Chia 2 v ca m hnh gc cho X
i
(X
i
0)
;
1
2 1 2
1
i
i i
i
i i
i
V
X X
U
X X
Y
+ + = + + =
(6.32)
Trong
i
i
i
X
U
V = l s hng nhiu c bin i, v r rng rng E(V
i
)
2
=
2
, thc vy:
2
2
2 2
2
2
2
2
) (
1
) (
= = =
=
i
i
i
i i
i
i
X
X
U E
X X
U
E V E
Nh vy tt cae cc gi thit ca m hnh hi quy tuyn tnh c in c tho mn i vi
(6.38) vy ta c th p dng phng php bnh phng nh nht cho phng trnh c bin
i (6.38). Hi quy
i
i
X
Y
theo
i
X
1
. Ch rng trong hi quy c bin i th s hng chn
2

l h s gc trong phng trnh hi quy gc v h s gc
1
l s hng chn trong m hnh hi
gc. Do tr li m hnh gc chng ta phi nhn c hai v ca (6.38) c lng vi X
i
.
Gi thit 2: Phng sai ca sai s t l vi bin gii thch X
E(U
i
)
2
=
2
X
i

Nu sau khi c lng hi quy bng phng php bnh phng nh nht thng thng,
chng ta v th ca phn d ny i vi bin gii thch X v quan st thy hin tng ch ra

97
phng sai ca sai s lin h tuyn tnh vi bin gii thch hoc bng cch no c th tin tng
nh vy th m hnh gc s c bin i nh sau:
Vi mi i chia c 2 v ca m hnh gc cho
i
X (Vi X
i
>0)
i i
i i
i
i
i i
i
V X
X X
U
X
X X
Y
+ + = + + =
1
1 2
1
(6.33)
Trong
i
i
i
X
U
v = v c th thy ngay rng E(v
i
) =
2
.
Ch : M hnh (7.42) l m hnh khng c h s chn cho nn ta s s dng m hnh hi
quy qua gc c lng
1
v
2
, sau khi c lng (6.42) chng ta s tr li m hnh gc bng
cch nhn c hai v (6.42) vi
i
X .
Gi thit 3: Phng sai ca sai s t l vi bnh phng ca gi tr k vng ca Y, ngha l
E(U
2
i
) =
2
(E(Y
i
)
2
.
Khi thc hin php i bin s nh sau:
i i
i
i
i
i
i i i
i
V X
Y E Y E
Y E
U
X
Y E Y E Y E
Y
+ + =
+ + =
) (
1
) (
1
) ( ) ( ) ( ) (
1
2
2 1

(6.34)
Trong : . ) ( ,
) (
2
= =
i
i
i
V Var
Y E
U
V
Ngha l nhiu V
i
c phng sai khng i. iu ny ch ra rng hi quy (6.44) tho mn
gi thit phng sai khng i ca m hnh hi quy tuyn tnh c in.
Tuy nhin php bin i (6.44) vn cha thc hin c v bn thn E(Y
i
) ph thuc vo
1

v
2
trong khi
1
v
2
li cha bit.
Nhng chng ta bit
i i
X Y
2 1

+ = l c lng ca E(Yi). Do c th tin hnh theo 2
bc sau:
Bc 1: c lng hi quy (6.31) bng phng php bnh phng b nht thng thng,
thu c
i
Y
. Sau s dng
i
Y
bin i m hnh gc thnh dng nh sau:

i
i
i
i
i i
i
V
Y
X
Y Y
Y
+
=

1
1

(6.35)
Trong
i
i
i
Y
U
V
=
Bc 2: c lng hi quy (7.45), d
i
Y
khng chnh xc l E(Y

i
), chng ch l c lng
vng ngha l khi c mu tng ln v hn th chng hi t n E(Y
i
) v vy php bin i (7.45)
c th s dng trong thc hnh khi c mu tng i ln.
Gi thit 4: Php bin i loga

98
i khi thay cho vic d on v
2
i
ngi ta nh dng li m hnh. Chng hn thay cho
vic c lng hi quy gc c th chng ta s c lng hi quy:
lnY
i
=
1
+
2
lnX
i
+U
i
(6.36)
Vic c lng hi quy (7.46) c th lm gim phng sai ca sai s thay i do tc ng
ca php bin i loga. Mt trong u th ca php bin i loga l h s gc
2
l h s co dn
ca Y i vi X
Th d: Vi s liu cho bng 7.1 chi tiu cho tiu dng Y v thu nhp X. Nh ta bit
c lng bnh phng nh nht thng thng ca hm hi quy:
Y
i
=
1
+
2
X
i
+ U
i

Kt qu hi quy ca logX
i
cn c vo s liu bng (6.10) ta c:
*logY
i
= 0,0757 + 0,95621logX
i

Bng 6.10. Phn d t phng trnh log
Quan st logX Phn d Quan st logX Phn d
6 1,82 -0,12 8 3,26 0,44
11 2,09 0,04 18 3,34 -0,53
9 2,33 0,27 17 3,40 0,47
4 2,49 0,34 2 3,48 0,42
14 2,65 -0,33 12 3,54 0,38
15 2,70 -0,56 3 3,60 -0,59
19 2,90 0,35 13 3,64 -0,42
20 3,00 0,41 10 3,69 0,51
1 3,10 -0,54 5 3,74 0,50
16 3,18 -0,46 7 3,80 -0,56

T bng ny ta c th nhn thy rng khng xy ra tnh trng khi X tng phn d tng.
Khng xut hi hin tng phng sai ca sai s thay i y. D nhin ta c th s dng bt k
kim nh no trnh by trn.
Trc khi kt thc chng trnh ny chng ti xin lu bn c mt s vn sau:
Hin tng m chng ta ang bn n l tng i ph bin, cho nn bin php khc phc
n rt l quan trng. Nhng bin php khc phc thc cht l toa thuc cho con bnh, bnh c
cha c khng, khng ch l toa thuc c hay hay khng, m trc ht l chn on ng bnh.
V vy, c hai vn chn on v cha u quan trng.
V th cn phi lu mt s vn :
Khi nghin cu m hnh c nhiu bin gii thch th vic chn bin no bin i cn
phi xem xt cn thn.
Php bin i log khng dng c khi cc gi tr X hoc Y l m

99
C th xy ra tnh trng l bn thn bin gc khng tng quan nhng t s ca cc bin
li c th tng quan: Chng hn xt m hnh:
Y
i
=
1
+
2
X
i
+U
i

Gi Y
i
v X
i
c th khng tng quan nhng trong m hnh c bin i di dng:
2 1
)
1
( + =
i i
i
X X
Y
th
i
i
X
Y
v
i
X
1
Li l tng quan
Khi
2
i
cha bit n c c lng t mt trong cc cch bin i trm. Tt c cc kim
nh t, F m chng ta s dng ch c hiu lc trong nhng mu ln. Do chng ta phi cn thn
khi gii thch cc kt qu da trn cc php bin i khc nhau trong cc mu nh.
Trong m hnh hi quy tuyn tnh c in, mt trong nhng gi thit quan trng l cc sai
s ngu nhin U
i
trong hm hi quy tng th c phng sai khng i. Nhng trong thc t do
mt s nguyn nhn khch quan v ch quan c th lm cho gi thit ny b vi phm. Nu gi
thit ny b vi phm s dn n cc h s c lng vn l c lng tuyn tnh khng chch
nhng khng cn l c lng hiu qu na (c lng c phng sai nh nht) v c lng
ca cc phng sai s b chch, do cc kim nh mc ngha, khong tin cy da theo phn
phi t v F khng cn ng tin cy na. pht hin ra phng sai ca sai s thay i c th s
dng mt trong cc bin php sau:
- Xem xt th ca phn d e
i
hoc e
2
i
.
- Kim nh Park.
- Kim nh Glejser.
- Kim nh tng quan hng ca Spearman.
Sau khi kim nh nu pht hin c hin tng phng sai ca sai s thay i th tin hnh
khc phc theo hai trng hp sau:
- Trng hp bit
2
i
ta p dng phng php bnh phng nh nht c trng s .
- Trng hp
2
i
cha bit, ta cng khc phc bng phng php bnh phng
nh nht c trng s nhng cn c nhng gi thit nht nh v
2
i
v bin i m hnh
gc sao cho m hnh c bin i tho mn gi thit phng sai khng i.
I. Cu hi l thuyt:
1. Gii thch cc khi nim sau:
a) Th no l hin tng phng sai khng ng u? Nguyn nhn.
b) Tnh cht ca cc c lng khi phng sai ca sai s thay i?
2. Phng php bnh phng nh nht c trng s (WLS) v phng php bnh phng
nh nht tng qut?
3. Phng php pht hin phng sai thay i?

100
4. Cch khc phc hin tng phng sai ca sai s thay i?
II. Bi tp:
Cho cc s liu v chi tiu cho tiu dng (Y) v thu nhp (X) hng thng ca 20 h gia
nh mt vng nng thn (n v: 10.000 ng):
Y X Y X Y X
39,9 44,6 51 52,2 29,6 32,8
62,4 64,6 20,6 20,6 43,2 48,2
63,6 67,2 77,6 80,4 58,6 60,2
24,2 24,2 16,0 16,2 50,0 56,6
81,4 84,6 66,2 69,0 35,8 36,4
12,2 12,4 67,0 76,0 39,6 40,2
77,2 89,4 26,2 28,2

1. Dng phng php bnh phng c trng s c lng hm hi quy:

i
i
i
i
i i
i
U X Y

+ + =
2 1

2. C xy ra hin tng phng sai thay i i vi m hnh hi quy ang xt hay khng?
(Dng th, kim nh Park v Glejser).
Chng 7: T tng quan

101
CHNG 7: T TNG QUAN
GII THIU
Mt trong cc gi thit ca m hnh hi quy tuyn tnh c in l khng c t tng quan
gia cc sai s ngu nhin U
i
trong hm hi quy tng th. Nh ng trong thc t liu hin tng
c th xy ra hay khng? Nguyn nhn ca hin tng l g? Nu c hin tng t tng quan
th liu c cn p dng phng php OLS na hay khng? Lm th no bit rng hin tng t
tng quan xy ra? Cch khc phc nh th no?... l mt lot vn m chng ta cn gii
quyt trong chng ny.
Trong chng ny gii thiu cho ngi hc hiu v hin tng t tng quan trong m
hnh hi quy tuyn tnh. Khi xy ra hin tng t tng quan th hu qu ca n s nh th no?
Cch pht hin v bin php khc phc. V vy yu cu ngi hc cn nm vng phng php
OLS v cc gi thit ca n khi hi quy tuyn tnh. Vi mt m hnh c th cn phi nhn bit
c c hin tng t tng quan hay khng? v c cch x l ph hp.
NI DUNG
7.1 BN CHT V NGUYN NHN CA HIN TNG T TNG QUAN.
7.1.1 T tng quan l g?
Thut ng t tng quan c th hiu l s tng quan gia cc thnh phn ca chui quan
st c sp xp theo th t thi gian (trong cc s liu chui thi gian) hoc khng gian (trong
s liu cho).
Trong m hnh hi quy tuyn tnh c in, ta gi thit rng khng c tng quan gia cc
nhiu U
i
, ngha l:
Cov(U
i
, U
j
) = 0 (i j) (7.1)
Ni mt cch khc, m hnh c in gi thit rng sai s ng vi quan st no khng b
nh hng bi sai s ng vi mt quan st khc.
Tuy nhin, trong thc t c th xy ra hin tng m sai s ca cc quan st li ph thuc
nhau. Ngha l:
Cov(U
i
, U
j
) 0 (i j) (7.2)
Hy xt cc th di y vi trc tung l U
i
(hoc e
i
), trc honh l thi gian. Trong
U
i
ch nhiu ca tng th cn e
i
ch l phn d.

Chng 7: T tng quan

102

T hnh (8.1) n (8.4) cho thy rng c mt dng ph thuc gia cc U
i
(hoc e
i
). Hnh 7.1
cho thy dng chu k; Hnh (7.2) v (7.3) cho thy cc xu hng tuyn tnh i ln hay i xung
ca cc sai s; Hnh (7.4) cho thy cc sai s c hai dng: xu hng tuyn tnh v bnh phng.
Ch c hnh (7.5) l cho thy dng khng c h thng, ng h cho gi thit khng c t tng
quan trong m hnh hi quy tuyn tnh c in.
7.1.2 Nguyn nhn ca t tng quan.
a. Nguyn nhn khch quan:
Qun tnh: Nt ni bt ca hu ht cc chui thi gian trong kinh t l qun tnh. Chung
ta u bit cc chui thi gian nh: Tng sn phm, ch s gi, tht nghip,... mang tnh chu k.
Chng hn giai on u ca thi k khi phc kinh t, tng sn phm c xu hng i ln, do
gi tr ca chui im sau thng cao hn im trc v khi hi quy chui thi gian, cc
quan st k tip c nhiu kh nng ph thuc vo nhau.

U,e
U,e
t
t
t

U,e U,e
Hnh 7.1
Hnh 7.2
Hnh 7.3
Hnh 7.4

t
U,e
Hnh 7.5
Chng 7: T tng quan

103
Hin tng mng nhn: Ngi ta thy rng vic cung nhiu mt hng nng sn biu
hin hin tng mng nhn, trong lng cung phn ng li vi gi c tr mt khong thi
gian, v cc quyt nh cung cn phi mt mt khong thi gian thc hin, ngi ta gi l
thi k thai nghn.
Cc tr: Trong phn tch chui thi gian, chng ta c th gp hin tng bin ph
thuc thi k t ph thuc vo chnh bin thi k t-1 v cc bin khc. Chng hn khi nhin
cu mi quan h gia tiu dng v thu nhp, chng ta thy rng tiu dng thi k hin ti chng
nhng ph thuc vo thu nhp m cn ph thuc vo tiu dng thi k trc , ngha l:
Y
t
=
1
+
2
X
t
+
3
Y
t-1
+ U
t
(7.3)
trong : Y
t
: tiu dng thi k t.
X
t
: Thu nhp thi k t.
Y
t-1
: Tiu dng thi k t-1.

i
: (i=1,2,3) cc h s.
U
i
: Sai s ngu nhin.
Chng ta c th l gii m hnh (7.3) nh sau: Ngi tiu dng thng khng thay i thi
quen tiu dng,.... nh vy nu chng ta b qua s hng tr trong (7.3) th sai s s mang tnh h
thng do nh hng ca tiu dng thi k trc ln tiu dng thi k hin ti.
B. Nguyn nhn ch quan:
X l s liu: Trong phn tch thc nhim, s liu th thng c x l. Chng hn
trong hi quy chui thi gian gn vi cc s liu qu, cc s liu ny thng c suy ra t s
liu thng bng cch cng 3 quan st theo thng ri chia cho 3. Vic ly trung bnh lm trn cc
s liu v lm gim s dao ng trong s liu thng. Do vy th s liu qu trn tru hn nhiu
so vi s liu thng.
Chnh s lm trn ny c th dn ti sai s h thng trong cc sai s ngu nhin v gy ra
s tng quan.
Mt kiu x l khc l php ni suy v ngoi suy s liu. Chng hn tng iu tra dn s
c tin hnh 10 nm 1 ln, ln cui cng vo nm 1997. Nu cn s liu cho 1 nm, nm gia 2
cuc iu tra, cch ph bin l ni suy, k thut c th gy ra sai s h thng m khng c s liu
gc.
Sai lch do lp m hnh: y l nguyn nhn thuc v lp m hnh. C hai loi sai lm
c th gy ra hin tng t tng quan.
Mt l: Khng a cc bin nh hng c bn vo m hnh.
Th d: xt m hnh:
Y
t
=
1
+
2
X
2t
+
3
X
3t
+
4
X
4t
+ U
t
(7.4)
trong : Y l cu v mt hng A
X
2
: Gi mt hng A.
X
3
: Thu nhp ca ngi tiu dng.
X
4
: Gi mt hng B c lin quan.
t: l thi gian.
Chng 7: T tng quan

104
U
i
: Sai s ngu nhin.
Nhng v l do no chng ta a vo m hnh ch c 2 bin c lp l X
2
v X
3
Y
t
=
1
+
2
X
2t
+
3
X
3t
+ V
t
(7.5)
Vy nu (7.4) l m hnh ng th khi ta tin hnh hi quy hm (7.5) cng tng ng v
cho V
t
=
4
X
4t
+ U
t
. Nhgng v vic tng gi hng B c nh hng n nhu cu ca hng A nn
thnh phn nhiu V
t
s c sai s h thng v to nn t tng quan.
Hai l: Dng hm sai.
Th d: Gi s m hnh ng ca chi ph bin v sn lng l:
(MC)
i
=
1
+
2
Q
i
+
3
Q
2
i
+ U
i
(7.6)
trong : MC l chi ph bin; Q l sn lng sn phm, dch v.
Nhng ta li c lng m hnh c dng;
(MC)
i
=
1
+
2
Q
i
+ V
i
(7.7)
th ca (7.6) v (7.7) c biu din hnh 7.6:

Nhn vo hnh v ta thy cc im nm trn on IK ca ng hi quy (7.7) cho c lng
qu cao chi ph bin ng., cn cc im nm ngoi on ny cho c lng thp hn. Khi cc
s hng nhiu V
i
c xc nh nh sau:
V
i
=
3
Q
2
i
+ U
i
(7.8)
V do n b nh hng c tnh h thng ca sn lng i vi chi ph bin. Vy V
i
c t
tng quan do s dng hm khng chnh xc.
7.2 C LNG BNH PHNG NH NHT KHI C T TNG QUAN.
Gi s tt c cc gi thit i vi m hnh hi quy tuyn tnh c in u tho mn tr gi
thiyt khng tng quan gia cc nhiu U
i
. Trong trng hp ny iu g s xy ra i vi cc
c lng OLS v phng sai ca chng?
n gin ta xt m hnh:
Y
t
=
1
+
2
X
t
+ U
t
(7.9)
trong : t l k hiu quan st thi im t (gi thit ta ang nghin cu s liu chui thi
gian).
Ta gi thit cc nhiu c to ra nh sau:
U
t
= U
t-1
+
t
(-1<<1) (7.10)
I
K
MC(Q)
Q
Hnh 7.6
Chng 7: T tng quan

105
trong c gi l h s t tng quan;
t
l nhiu ngu nhin tho mn cc gi thit
ca m hnh hi quy tuyn tnh c in:
E(
t
) = 0 ( t); Cov(
t
,
t+s
) = 0 ( s 0); Var(
t
) =
2
.
Lc (7.10) c gi l lc t hi quy bc nht Markov. Ta k hiu lc ny l
AR(1).
Nu U
i
c dng: U
t
=
1
U
t-1
+
2
U
t-2
+
t
(7.11)
th ta c lc t hi quy bc 2 v k hiu l AR(2)
Ch rng h s trong (7.10) c th gii thch l h s t tng quan bc nht hay ng
hn l h s t tng quan tr mt thi k.
By gi hm c lng OLS ca
2
, nh thng l l:

=
2
2
t
t t
x
y x
(7.12)
Nhng phng sai ca n trong lc AR(1), by gi l:

( )
+ + + + =

=
+
=
=
+
= =
n
t
t
n n
n
t
t
n
t
t t
n
t
t
n
t
t t
n
t
t
n
t
t
AR
x
x x
x
x x
x
x x
x x
Var
1
2
1 1
1
2
2
1
2
2
1
2
1
1
1
1
2
2
1
2
2
) 1 ( 2
.....
2

(7.13)
Nu khng c t tng quan th:

=
=
n
t
t
x
Var
1
2
2
2
)
(

(7.14)
Ta thy (7.13) bng (7.14) cng vi mt s hng ph thuc vo . Nu = 0 th:
( )
) 1 ( 2
AR
Var = ( )
2
Var
Nu tip tc dng phng php OLS v iu chnh cng thc phng sai thng thng
bng vic s dng lc AR(1) th c th chng minh c rng:
-
2
vn l c lng tuyn tnh khng chch.

-
2
khng cn l c lng hiu qu na, do n khng cn l ]c lng

khng chch tt nht.
7.3 C LNG TUYN TNH KHNG CHCH TT NHT KHI C T TNG
QUAN.
Gi s chng ta xt m hnh hai bin v c qu trnh AR(1) bng phng php OLS tng
qut xt t chng trc, ta thu c:

( )( )
C
x x
y y x x
n
t
t t
n
t
t t t t
OLS
+
=

=

2
2
1
2
1 1
2
) (

(7.15)
Chng 7: T tng quan

106
trong C l hiu s hiu chnh c th b qua trong thc t.
V phng sai ca n c cho bi:
D
x x
Var
n
t
t t
OLS
+
=

2
2
1
2
2
) (
)
(7.16)
trong D cng l h s hiu chnh c th b qua trong thc t.
Nh ta nhn xt trong chng trc, phng php OLS tng qut cho php chng ta
phi hp c nhng thng tin b sung vo th tc c lng, mt cch trc tip, bng php i
bin. Nh vy, c lng OLS tng qu ca
2
trong (7.15) phi hp c tham s t tng

quan vo cng thc c lng. chnh l l do v sao c lng bnh phng nh nht tng
qut l c lng tuyn tnh khng chch tt nht. Cn c lng bnh phng nh nht thng
thng th khng. c lng bnh phng nh nht tng qut tn dng c nhiu nht thng tin
c c. Khi = 0, khng c thng tin b sung cn c xem xt v v vy c hai hm c lng
tng qut v thng thng l nh nhau.
7.4 HU QU CA VIC S DNG PHNG PHNG PHP BNH PHNG
NH NHT THNG THNG KHI C T TNG QUAN.
Khi c hin tng t tng quan, nu chng ta c s dng phng php OLS th s nh
th no? Cng nh chng 6, ta c mt s nhn xt sau:
Cc c lng OLS vn l cc ca lng tuyn tnh, khng chch, nhng chng khng
phi l c lng hiu qu na. Ni cch khc, c lng OLS khng phi l c lng tuyn
tnh khng chch tt nht na.
Phng sai c lng c ca cc c lng OLS thng l chch. Khi tnh phng
sai v sai s tiu chun ca cc c lng OLS thng cho nhng gi tr thp hn cc gi tr thc
v do lm cho gi tr ca t ln, dn n kt lun sai khi kim nh. Do kim nh t v F
khng cn tin cy na.

df
RSS
=
2
l c lng chch ca
2
v trong mt s trng hp l chch v pha di.
Gi tr c lng R
2
c th khng tin cy khi dng thay th cho gi tr thc ca R
2
.
Phng sai vad sai s chun ca cc gi tr d bo khng c tin cy (khng hiu qu).
Nh vy, hu qu ca hin tng t tng quan cng tng t nh hu qu ca hin tng
phng sai thay i l vn nghim trng trong thc hnh. V vy, nu trong s liu quan st c
hin tng t tng quan th phi tm cch pht hin v khc phc n.
7.5 PHT HIN C T TNG QUAN.
7.5.1 Phng php th:
Gi thit khng c t tng quan trong m hnh hi quy tuyn tnh c in gn vi cc
nhiu U
t
, nhng U
t
khng quan st c, ta ch c th quan st c cc phn d e
t
. Mc d e
t

khng hon ton ging U
t
nhng quan st cc phn d e
t
c th gi cho ta nhng nhn xt v U
t
.
C nhiu cch khc nhau xem xt cc phn d. Chng hn chng ta c th n thun v
th ca e
t
theo thi gian nh hnh 7.7:
Chng 7: T tng quan

107

Nhn vo th, ta thy phn d khng biu th mt kiu mu no khi thi gian tng ln,
n phn b mt cch ngu nhin xung quanh trung bnh ca chng.
Mt cch khc l v th ca phn d chun ho theo thi gian. Lu rng, theo gi
thit ca m hnh hi quy tuyn tnh c in th U
t
~ N(0,
2
) , suy ra:
t
U
~ N(0,1). V vy, nu
chia e
t
cho
t
ta c cc phn d chun ho. Vi mu c kch thc kh ln th

t
t
e
c phn phi
xp x N(0,1). Xem xt th phn d chun ho cng gi cho ta tng v cc nhiu U
t
c phi
l ngu nhin khng.
Ngi ta cng c th v th ca e
t
i vi e
t-1
, mt loi kim nh bng thc nghim
lc AR(1).
7.5.2 Kim nh on mch:
Kim nh on mch l mt php kim nh thng k gip ta xc nh xem c th coi
mt dy cc k hiu, cacvs khon mc, cc s liu c phi l kt qu ca mt qu trnh mang tnh
ngu nhin hay khng.
Ta xt th d v mt m hnh chui thi gian, t s liu ca mt mu ta c lng
c m hnh v thu c chui cc phn d nh sau:

-23 30 12 -10 -5 -17 -22 57 43 -23 31 42
50 61 -28 -52 10 34 28 55 60 32 88 -75
-22 -56 -89 -34 -20 -2 -5 29 12 45 77 78
91 25 60 -25 45 45 30 -59 -60 -40 -75 -25
-34 -66 -90 10 -20
Nhn vo dy cc phn d ta thy u tin c mt phn d m, k tip l phn d
dng,...(nu theo th t t tri qua phi, t trn xung di). Ghi li cc du + (hoc du -) theo
th t t dy cc phn d trn, ta c:

t
e
t

Hnh 7.7
Chng 7: T tng quan

108
- + + - - - - + + - + +
+ + - - + + + + + + + -
...............................
Mt on mch l mt dy cc phn t ging nhau m st trc v st sau l cc phn t
khc chng hoc khng c phn t no. Chiu di ca mt on mch l s phn t ca n.
t: n l tng s quan st.
n
1
l s k hiu + (s phn d dng)
n
2
l s k hiu m (s phn d m)
N l s on mch.
Gi thit kim nh: H
0
: cc phn d l c lp.
H
1
: cc phn d khng c lp.
Vi gi thit n
1
10 v n
2
10 th N c phn phi chun vi k vng E(N) v phng sai
2
N
c tnh nh sau:

( )
( ) ( )
(7.18)
1
2 2
(7.17) 1
2
) (
2 1
2
2 1
2 1 2 1 2 1 2
N
2 1
2 1
+ +

=
+
+
=
n n n n
n n n n n n
n n
n n
N E

lch chun:

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

=
n n n n
n n n n n n
(7.19)
Nu gi thit H
0
c th chp nhn c th ta s k vng s on mch N thu c nm
trong khong [E(N) Z
N
] vi h s trin cy 1-. Vi Z
l gi tr ca Z~ N(0,1) tho mn:

P(Z> Z
) =
Vy quy tc quyt nh nh sau:
Chp nhn gi thit H
0
(vi mc ngha ) nu N[E(N) Z
N
] v bc b gi thit H
0

nu N
[E(N) Z
N
].
Tr li th d trn, ta tnh c n
1
= 27; n
2
= 26.

( )
( ) ( )
3,6
1 26 27 26 27
26 27 26 27 2 26 27 2
27,49 1
26 27
26 27 2
) (
2
2
N
=
+ +

=
= +
+

=
N E

Vi mc ngha = 5% th Z
0,05
= 1,96, vy:
E(N) -1,96
N
= 27,49 - 1,96* 3,6 = 20,434
E(N) +1,96
N
= 27,49 + 1,96* 3,6 = 34,546
Chng 7: T tng quan

109
N N = 15
(20,434; 34,546) nn ta bc b gi thit H

0
cho rng phn d l c lp, chui
thi gian cn phi c iu chnh.
7.5.3 Kim nh
2
v tnh c lp ca cc phn d.
kim nh
2
v tnh c lp ca cc phn d ta s dng bng tip lin sau:
Bng 7.1
Phn d dng
ti t
Phn d m
ti t
Tng(R
i
)
S phn d dng
ti t-1
A
11

(E
11
)
A
12

(E
12
)
R
1
S phn d m ti
t-1
A
21

(E
21
)
A
22

(E
22
)
R
2

Tng(C
j
) C
1
C
2
n
Trong : A
11
l s phn d dng ti t-1 v t.
A
12
l s phn d dng ti t-1 v m ti t.
A
21
l s phn d m ti t-1 v dng ti t.
A
22
l s phn d m ti t-1 v m ti t.
R
1
= A
11
+ A
12
; R
2
= A
21
+ A
22
; C
1
= A
11
+ A
21
; C
2
= A
12
+ A
22
;
n l tng s phn d t v t-1.
E
ij
l tn s l thuyt cha A
ij
(i,j =1,2).
kim nh gi thit v tnh c lp ca cc phn d ta c th tin hnh kim nh gi
thit H
0
: Cc hng v ct c lp vi nhau; Vi gi thit i: H
1
: Cc hng v ct khng c lp
vi nhau.
kim nh gi thit H
0
nu trn ta dng tiu chun kim nh
2
:

( )

= =
=
2
1
2
1
2
2
i i ij
ij ij
E
E A
(7.20)
Nu gi thit H
0
ng, tc cc phn d c phn b c lp th thng k
2
ni trn s
c phn phi theo quy lut khi bnh phng vi bc t do l: df = (2-1)(2-1) = 1.
Quy tc ra quyt nh l nu gi tr ca thng k
2
tnh c vt qu gi tr
2
ti hn
vi 1 bvc t do mc ngha cho trc (chng hn = 5%) th ta c th bc b gi thit H
0
v
tnh c lp ca cc phn d, ng]c li ta s tha nhn n.
Cch tnh thng k
2
;
Nu gi thit H
0
ng th cc hng v ct c lp vi nhau v khi : E
ij
= nP
ij
, trong P
ij

l xc sut phn d thuc cha A
ij
bng trn.

n
C
n
R
P
n
C
n
R
P
n
C
n
R
P
n
C
n
R
P
2 2
22
1 2
21
2 1
12
1 1
11
; ; ; = = = =
Trong :
Chng 7: T tng quan

110

n
R
1 l c lng xc sut mt phn d l dng aaji t-1.

n
R
2 l c lng xc sut mt phn d l m ti t-1.

n
C
1 l c lng xc sut mt phn d l dng ti t.

n
C
2 l c lng xc sut mt phn d l m ti t.
Vy ta c:

n
C R
E
j i
ij
= (i,j = 1,2) (7.21)
7.5.4 Kim nh d ca Durbin-Watson:
Phng php kim nh c ngha nht pht hin ra t tng quan l kim nh d ca
Durbin-Watson.
Thng k d ca Durbin-Watson c nh ngha nh sau:

( )
=
=

=
n
i
i
n
t
i i
e
e e
d
1
2
2
2
1
(7.22)
l t s gia tng bnh phng sai lch ca cc phn d k tip nhau vi RSS. Lu trn t
s ca thng k d s quan st l n-1 v mt quan st b mt i khi ly k hiu cc quan st k tip.
Ngi ta chng minh khi n ln th:
d 2(1- ) (7.23)
Trong :

=
=

=
n
t
t
n
t
t t
e
e e
1
2
1
1

(7.24)
l mt c lng ca h s tng quan . V -1 1 nn ta suy ra: 0 d 4
y l cc bin cho d, bt c gi tr no ca d c lng c phi nm trong gii hn ny.
T phng trnh (7.23) ta thy rng: = 0 d 2, tc l nu khng tn ti tng quan
chui th d c k vng l 2. Do theo quy tc ngn tay ci nu d gn bng 2 th c th gi
nh rng khng c t tng quan bc nht. Nu = + 1 ngha l c tng quan dng hon ho
trong phn d th d 0. Do d cng gn 0 th cng chng t c s tng quan thun chiu.
Nu d = - 1 th c s tng quan ngc chiu hon ho gia cc phn t d k tip nhau
v khi d 4. V vy d cng gn 4 th cng chng t c s tng quan chui ngc chiu.
Nu cc gi thit ca kim nh d tho mn th c th trnh by quy tc ra quyt nh nh
sau:
Bng 7.2 Kim nh d - Durbin-Watson. Quy tc ra quyt nh

Chng 7: T tng quan

111
Gi thit H
0
Quyt nh Nu
Khng c t tng quan dng Bc b 0 < d < d
L

Khng c t tng quan dng Khng quyt nh d
L
d d
U

Khng c t tng quan m Bc b 4-d
L
< d < 4
Khng c t tng quan m Khng quyt nh 4-d
U
d 4- d
L

Khng c t tng quan dng hoc m Khng bc b d
U
< d < 4-d
U

Cc quy tc ra quyt nh c th minh ho hnh 7.8:

c lng hi quy bng phng php OLS thng thng v thu c phn d e
t
.
Tnh gi tr ca thng k d theo cng thc (7.22).
Vi c mu cho n v s bin gii thch, tm cc gi tr ti hn d
U
v d
L
c cho trong
bng gi tr d (ph lc).
Theo cc quy tc ra quyt nh cho trong bng (7.2)
Nu gi tr ca d thuc mim khng c quyt nh, tc ta khng th kt lun c tng
quan hay khng. Khi ta kt kun nh th no? gii quyt vn ny c mt s ci bin
kim nh d. Di y l quy tc kim nh ci bin thng c p dng kim t tng quan
bc nht.
1. H
0
: = 0; H
1
: > 0. Nu d < d
U
th bc b H
0
v chp nhn H
1
(vi mc
ngha ), ngha l c t tng quan dng.
2. H
0
: = 0; H
1
: < 0. Nu (4-d) < d
U
th bc b gi thit H
0
, ngha l c t
tng quan m.
3. H
0
: = 0; H
1
: 0. Nu d < d
U
hoc (4-d) < d
U
th bc b gi thit H
0
chp
nhn H
1
(vi mc ngha 2), tc l c t tng quan (dng hoc m).
Cc phn mm kinh t lng t ng tnh gi tr d. Chng hn, vi s liu cho th d
2.1 th d = 2,49331. Tra bng d ta c d
L
= 0,812; d
U
= 1,58. Ta thy 4-d
U
< d < 4-d
L
nn theo
Bc b gi
thit H
0

ngha l c
tng quan
thun chiu
(dng)
Min
khng c
kt lun
Min
khng c
kt lun
Bc b gi
thit H
0
ngha
l c tng
quan ngc
chiu (m)
Chp nhn gi thit,
khng c tng quan
chui bc nht dng
hoc m
0
2
d
U d
L
4-d
U
4-d
L 4
Hnh 7.8
Chng 7: T tng quan

112
kim nh d. Durbin-Watson khng cho kt lun. Nu p dng kim nh ci bin ta thy 4 d =
1,5067 < d
U
= 1,58 nn bc b H
0
, tc c s tng quan m.
7.6 CC BIN PHP KHC PHC.
V khi c s tng quan chui, cc c lng OLS l khng hiu qu. Sau y a ra mt
s bin php khc phc hin tng ny, nhng cc bin php li da trn s hiu bit v bn cht
ca s ph thuc qua li gia cc nhiu. Chnh ta phn bit hai tnh hung:
- T tng quan bit.
- T tng quan cha bit.
7.6.1 Trng hp bit cu trc ca t tng quan:
V cc nhiu U
t
khng quan st c nn tnh cht ca tng quan chui thng l vn
suy on hoc l do nhng i hi cp bch ca thc tin. Trong thc hnh, ngi ta thng gi
s rng U
t
theo m hnh t hi quy bc nht, ngha l:
U
t
= U
t-1
+
t
(7.25)
Trong : < 1 v
t
tho mn cc gi thit ca phng php OLS (trung bnh bng 0,
phng sai khng i v khng t tng quan). Gi s (7.25) l ng th vn tng quan chui
c th c gii quyt tho ng nu h s tng quan l bit. lm sng t vn ny, ta
xt m hnh hai bin:
Y
t
=
1
+
2
X
t
+ U
t
(7.26)
Nu (7.26) ng vi t th cng ng vi t-1, nn:
Y
t-1
=
1
+
2
X
t-1
+ U
t-1
(7.27)
Nhn 2 v ca (7.27) vi ta c:
Y
t-1
=
1
+
2
X
t-1
+ U
t-1
(7.28)
Tr (7.26) cho (7.28) ta c:
Y
t
- Y
t-1
=
1
(1- ) +
2
(X
t
- X
t-1
) + (U
t
U
t-1
) =
=
1
(1- ) +
2
(X
t
- X
t-1
) + V
t
(7.29)
t:
*
1
=
1
(1- );
*
2
=
2

*
t
Y = Y
t
- Y
t-1
;
*
t
X = X
t
- X
t-1

Khi (7.29)c th vit di dng:

*
t
Y =
*
1
+
*
2
*
t
X + V
t
(7.30)
V V
t
tho mn cc gi thit ca phng php OLS i vi cc bin Y
*
v X
*
nn cc c
lng tm c s l cc ca lng tuyn tnh khng chch tt nht.
Phng trnh hi quy (7.29) c gi l phng trnh sai phn tng qut.
Vic c lng hi quy Y
*
i vi X
*
c hay khng c h s chn ph thuc vo hi quy
gc c h s chn hay khng. Trong quy trnh ly sai phn chng ta b mt mt quan st v quan
st u tin khng c quan st ng trc n. trnh mt mt mt quan st ny th quan st u
ca Y v X c bin i nh sau:

*
1
Y = Y
1
2
1 ;
2
1
*
1
1 = X X
Chng 7: T tng quan

113
7.6.2 Trng hp cha bit:
Trong mc ny ta xt mt s th tc c lng .
1. Phng php sai phn cp 1: Nh ta bit -1 1 ngha l nm gia [-1,0) hoc
(0,1] cho nn ngi ta c th bt u t cc gi tr cc u mt ca cc khong . Ngha l ta
c th gi thit rng: = 0, tc khng c tng quan chui. Hoc = 1, tc c tng quan
dng hoc m hon ho.
Trn thc t, khi c lng hi quy ngi ta thng gi thit khng c t tng quan ri
sau tin hnh kim nh Durbin- Watson hay cc kim nh khc xem cc gi thit ny c
ng hay khng. Tuy nhn nu = 1 th phng trnh sai phn tng qut (7.29) quy v phng
trnh sai phn cp 1:
Y
t
- Y
t-1
=
2
(X
t
- X
t-1
) + (U
t
- U
t-1
) =
2
(X
t
- X
t-1
) +
t

Hay: Y
t
=
2
X
t
+
t
(7.31)
Trong : l ton t sai phn cp 1. c lng hi quy (7.31) ta s s dng m hnh
hi quy qua gc to . Gi s m hnh ban u l:
Y
t
=
1
+
2
X
t
+
3
t + U
t
(7.32)
trong t l bin xu th, cn U
t
theo s t hi quy bc nht.
Thc hin php bin i sai phn cp 1 i vi (7.32) ta c:
Y
t
=
2
X
t
+
3
+
t
(7.33)
Phng trnh (7.33) c h s chn di dng sai phn cp 1. Nhng ta ch rng
3
l h s
ca bin xu th trong m hnh ban u. v vy, nu c s hng chn sai phn cp 1 th iu c
ngha l c mt s hng xu th tuyn tnh trong m hnh gc v s hng chn thc ra l h s ca
bin xu th.
Th d, nu
3
trong (7.33) l dng th iu c ngha l c xu th tng trong Y sau khi
tnh n nh hng ca tt c cc bin khc.
Nu = -1 ngha l c tng quan m hon ton. (y khng phi l trng hp in hnh ca
cc chui thi gian trong kinh t), phng trnh sai phn tng qut by gi c dng: (suy t 7.29):
Y
t
+ Y
t-1
= 2
1
+
2
(X
t
- X
t-1
) +
t

Hay:
2 2 2
1
2 1
1 t t t t t
X X Y Y
+
+
+ =
+

(7.34)
M hnh ny c gi l m hnh hi quy trung bnh trt (2 thi k) v chng ta hi quy
gi tr ca mt trung bnh trt i vi mt trung bnh trt khc.
Php bin i sai phn cp 1 gii thiu trn y rt ph bin trong kinh t lng ng
dng v n d thc hin. Nhng lu rng php bin i ny gi thit rng = +1, ngha l cc
nhiu c tng quan dng hon ton. Nu iu ta gi thit khng xy ra th iu c khi con
ti t hn bn thn cn bnh. Nhng l th no bit = +1 l ng? tr li cu hi ny ta
xt tip mc di y.
a. c lng da trn thng k d - Durbin- Watson.
Trong phn kim nh d chng ta bit cc cng thc:
d 2(1- ) (7.35)
Chng 7: T tng quan

114
hoc:
2
1
d
= (7.36)
Cng thc ny gi cho ta cch thc n gin thu c c lng ca t thng k d.
T (7.35) ch ra rng gi thit sai phn cp 1 vi = +1 ch ng khi d = 0 hoc xp x bng 0.
Cng vy khi d = 2 th = 0 v khi d = 4 th = -1. Do thng k d cung cp cho ta phng
php thu c gi tr ca .
Chng ta cn lu rng quan h (7.36) ch l quan h xp x v c th khng ng vi
mu nh. i vi cc mu nh c th s dng thng k d ci bin ca Theil-Nagar.
Theil-Nagar xut rng trong cc mu nh, thay cho vic c lng nh l
(1-d/2), c th c lng nh l:

2 2
2 2
2
1
k n
k
d
n

=
trong n l tng s quan st; d l Durbin- Watson, d v k l s cc h s (bao gm c tung
gc) cn phi c lng. Khi n ln, c lng ny l bng vi c lng thu c bi
cng thc n gin (1-d/2)
Khi c c lng th c th bin i tp s liu nh ch ra (7.30) v tin hnh
c lng theo phng php OLS thng thng. Nhng vn t ra l cc c lng thu c
c phi l cc c lng tuyn tnh khng chch v c phng sai nh nht? Ch rng trong
phng trnh sai phn tng qut cha ch khng phi l , nhng khi tin hnh hi quy theo
phng php OLS ta s dng . y ta c th p dng mt quy tc thc hnh l: Khi ta s
dng mt c lng thay cho gi tr ng th cc h s thu c t phng php OLS c thuc
tnh ti u thng thng ch tim cn c ngha l chng ch c thuc tnh i vi mu c kch
thc ln. Cc kt lun khi tin hnh cc kim nh cng ch ng mt cch tim cn. V vy i
vi cc mu nh chng ta cn cn thn khi gii thch cc kt qu c lng.
b. Th tc lp Cochrance- Orcutt c lng :
Mt cch khc c lng t thng k d- Durbin- Watson l phng php Cochrance-
Orcutt. Phng php ny s dng cc phn d e
t
c c lng thu c thong tin v
cha bit.
Ta xt m hnh hai bin sau:
Y
t
=
1
+
2
X
t
+ U
t
(7.37)
Gi s U
t
c sinh ra t lc AR(1):
U
t
= U
t-1
+
t
(7.38)
Cc bc c lng c tin hnh nh sau:
Bc 1: c lng m hnh (7.37) bng phng php OLS v thu c cc phn d e
t
.
Bc 2: S dng cc phn d c lng hi quy:
e
t
= e
t-1
+ V
t
(7.39)
Chng 7: T tng quan

115
Bc 3: S dng thu c t (7.39) c lng phng trnh sai phn tng qut (7.29).
Tc phng trnh:
Y
t
- Y
t-1
=
1
(1- ) +
2
(X
t
- X
t-1
) + (U
t
- U
t-1
)
t:
*
t
Y = Y
t
- Y
t-1
;
*
t
X = X
t
- X
t-1
;
*
1
=
1
(1- );
*
2
=
2.
Ta c lng hi quy:

*
t
Y =
*
1
+
*
2
*
t
X +V
t
(7.40)
Bc4: Chng ta cha bit trc rng thu c t (7.39) c phi l c lng tt nht ca
hay khng. Ta th gi tr ca c lng
*
1
v
*
2
thu c t (7.40) vo hi quy gc (7.37) v
thu c cc phn d mi
*
t
e :
( )
t t t
X Y e
*
2
*
1
*
+ = (7.41)
c lng phng trnh hi quy tng t vi (7.39):

t t t
W e e
*
1
* *
+ =

(7.42)
*
l c lng vng hai ca .
Th tc nytip tc cho n khi cc c lng k tip nhau ca khc nhau mt lng rt
nh, chng hn nh hn 5% hoc 0,5%. Trong thc t dng 3-4 bc lp l .
c.Phng php Durbin- Watson 2 bc c lng .
minh ho phng php ny, chng ta vit li phng trnh sai phn tng qut di
dng sau:
Y
t
=
1
(1- ) +
2
X
t
- +
2
X
t-1
+ Y
t-1
+
t
(7.43)
Durbin xut th tc 2 bc nh sau c lng :
Bc1: Coi (7.43) nh l mt m hnh hi quy bi, hi quy Y
t
theo X
t
, X
t-1
v Y
t-1
v coi
gi tr c lng c i vi h s hi quy ca Y
t-1
(= ) l c lng ca . Mc du l c
lng chch nhng ta c c lng vng ca .
Bc 2: Sau khi thu c , hy bin i
*
t
Y = Y
t
- Y
t-1
v
*
t
X = X
t
- X
t-1
v c lng
hi quy (7.30) vi cc bin c bin i nh trn.
Nh vy theo phng php ny th bc 1 l c lng cn bc 2 l thu c
cc tham s.
Th d: C cc s liu v mi quan h gia 2 i lng kinh t (Y l bin ph thuc; X l
bin c lp) trong vng 24 nm t nm t= 1 n t=24 nh sau:
t Y X t Y X
1 104,66 5,63 13 143,33 4,83
2 108,53 5,46 14 144,66 4,73
3 97,30 5,63 15 152,33 4,46
4 95,96 5,60 16 178,33 4,20
Chng 7: T tng quan

116
5 98,83 5,83 17 192,00 3,83
6 97,23 5,76 18 186,00 3,90
7 99,06 5,56 19 188,00 3,86
8 113,66 5,63 20 193,33 3,70
9 117,00 5,46 21 187,66 3,66
10 119,66 5,26 22 175,33 3,83
11 124,33 5,06 23 178,00 3,93
12 133,00 5,08 24 187,66 3,96
M hnh hi quy c chn cho nghin cu thc nghim l:
LnY
t
=
1

2
lnX
t
+ U
t

gi s tt c cc gi thit OLS c tho mn. c lng hi quy trn ta c:

r
2
= 0,955; d = 0,9021
T phng trnh hi quy c lng c v gi tr ca thng k d, ta xt xem liu c
tng quan chui hay khng?
Vi n= 24; k = 1 v = 0,05 ta tnh c d
U
= 1,45; d
L
= 1,27. Vy gi tr cu thng k d
b hn d
L
cho nn ta kt lun: C tng quan thunchiu. Nh vy ta khng th tin vo cc sai s
chun c c lng v cc t s t, cho nn cn phi c bin php khc phc. Vic khc phc
li ph thuc vo v c c lngbng mt s phng php nu trn. Kt qu nh sau:
Phng php s dng Gi tr
d- Durbin- Watson 0,5490
d- Theil - Nagra 0,5598
Cochrance- Orcutt
Bc lp 1 0,54571
Bc lp 2 0,57233
Bc lp 3 0,57836
Bc lp 4 0,57999
Durbin 2 bc 0,79520
Lu th tc lp Cochrance- Orcutt dng bc 4 v gia bc 3 v 4 khng khc nhau
nhiu.
Theo kt qu trn cc th tc u cho kt qu gn ging nhau, ring th tc Durbin 2 bc
cho kt qu hon ton khc. Vy trng thc t chn phng php no c lng ?
Thc t ta thy rng nu chng ta c mu ln (chng hn trn 60 quan st) th chn
phng php no cng khng gy ra s khc bit nhiu lm v chng u mang li kt qu tng
Variable Ceof Std err t
X -1,5375 0,0711 -21,612
-Cons 7,3084 0,1110 65,825
Chng 7: T tng quan

117
t nhau. Nhng iu ny s khng ng khi cc mu nh, trong trng hp ny kt qu s ph
thuc vo phng php c chn. Nhng liu c phng php no ng c a chung hn
hay khng? Khng c cu tr li trong trng hp ny v qua m phng Monte-Carlo th ngi ta
thy rng khng thin v mt phng php no. Tuy nhin trong thc t phng php thng
c s dng l phng php lp Cochrance- Orcutt m ngy nay c a vo chng trnh
my tnh.
Trong hi quy tng quan c in chng ta gi thit gia cc sai s ngu nhin khng c s
tng quan vi nhau. Nhng trong thc t c th xy ra hin tng m sai s quan st ny li c
th ph thuc vo sai s quan st khc. Nguyn nhn l c th do qun tnh, do hin tng mng
nhn, do cc tr, do x l s liu v do lp m hnh cha chnh xc. T gy nn nhiu hu
qu, nh: Cc c lng OLS khng cn l cc c lng tuyn tnh khng chch tt nht na;
Phng sai ca cc c lng thng l chch v do lm cho gi tr ca kim nh t ln, dn
n kt lun sai khi kim nh; Phng sai mu s l c lng chch ca phng sai chung;... V
Vy khi tin hnh hi quy cn pht hin xem c hin tng t tng quan hay khng vi mt mu
cho trc. Bng cch s dng phng php th; phng php kim nh on mch, phng
php kim nh
2
v kim nh d- Durbin- Watson. Nu c, cn s dng cc bin php thch hp
khc phc, l phng php i bin nu bit trc cu trc ca t tng quan; hoc trong
trng hp cha bit th dng phng php sai phn cp 1, bao gm s dng thng k d-
Durbin- Watson, phng php d-Theil-Nagra, phng php Cochrance- Orcutt. Trong cc
phng php dng x l hin tng t tng quan th phng php th tc lp Cochrance-
Orcutt thng hay c s dng nhiu nht.
CU HI V BI TP N TP CHNG 7
I. Cu hi l thuyt:
1. Nu bn cht ca hin tng t tng qua: nh ngha, nguyn nhn.
2. Tnh cht ca cc c lng khi c hin tng t tng quan. Cc kim nh t,
2
, F c
em li thng tin chnh xc khng?
3. Trnh by ngn gn cc phng php pht hin v khc phc hin tng t tng quan.
II. Bi tp:
1. Gi s c cc phn d hi quy v nng sut v tin lng theo cc thng cho bng, hy
s dng tiu chun
2
kim nh tnh c lp ca cc phn d:
Chng 7: T tng quan

118

Nm Thng Phn d e
t
Phn d ti e
t-1
1 -1,2116
2 -1,1274 -1,2116
3 -0,7908 -1,1274
4 -1,1368 -0,7908
5 -0,8954 -1,1368
6 -0,1489 -0,8954
7 -0,2873 -0,1489
8 0,2270 -0,2873
9 0,9983 0,2270
10 2,2334 0,9983
11 2,7557 2,2334

2

0

0

3

12 2,1971 2,7557
1 2,5384 2,1971
2 2,1576 2,5384
3 2,6559 2,1576
4 1,4226 2,6559
5 1,4465 1,4226
6 0,5656 1,4465
7 0,9530 0,5656
8 0,2954 0,9530
9 -0,2459 0,2954
10 -4,5021 -0,2459
11 -2,8772 -4,5021

2

0

0

4
12 -4,0882 -2,8772
Chng 8: Chn m hnh v kim nh vic ch nh m hnh

119
CHNG 8: CHN M HNH V KIM NH
VIC CH NH M HNH
GII THIU
Trong cc chng trc chng ta xt mt s m hnh hi quy tuyn tnh mt phng
trnh, chng hn nh hm tiu dng, hm sn xut, hm doanh thu thu...Trong khi xem xt cc
m hnh , ta ngm gi nh rng m hnh chn l m hnh ng, ngha l m hnh phn nh
ng hin tng ang nghin cu. Ni mt cch khc chng ta ngm gi nh rng khng c
sai lm trong vic chn m hnh, khng c vic thiu bin thch hp hoc khng c cc bin
khng cn thit trong m hnh. Vn m chng ta quan tm n l vn c lng m hnh
khi m hnh c ch nh, v tm cc phng php c lng em li c lng vng v
hiu qu ca cc tham s.
Nhng nu c sai lm trong vic ch nh m hnh, c ngha l thay cho vic c lng mt
m hnh ng ta li c lng mt m hnh khng ng. Nu iu ny xy ra th hu qu s nh
th no? Chng ta c th gp nhng loi sai lm ch nh no? Lm th no pht hin c sai
lm ch nh? l nhng ni dung m chng ta s cp n trong chng ny, tuy nhin do
khun kh ca cun sch m chng ti ch trnh by nhng vn c bn nht v khng qu phc
tp.
Trc khi tr li nhng cu hi trn y, chng ta cn c tiu chun no gii p cho
cu hi:Th no l mt m hnh ng. Mc du trong thc t vic tm kim mt m hnh ng
l mt iu cc k kh khn.
- Nm vng l thuyt ca cc chng trc, c bit l cc gi thit ca phng php OLS
cc sai lm khi hi quy thng mc phi.
- Nm c cch khc phc cc sai lm khi chn m m hnh sai.
NI DUNG
8.1. CC THUC TNH CA MT M HNH TT
nh gi, xem xt mt m hnh c th cn c vo cc tiu chun sau ca A.C Harvy:
1. Tnh kim
Mt m hnh khng bao gi c th thu tm ton b thc ti, vic tru tng ha v n
gin ha l cn thit bi v m hnh l s biu din n gin nhng hon chnh ca hin thc.
Nguyn tc kim cho rng hy gi cho m hnh cng n gin cng tt.
2. Tnh ng nht
Nghi l vi mt tp d liu cho, cc tham s c lng phi c gi tr thng nht
3. Tnh thch hp.
V mc ch ca phn tch hi quy l gi thch s bin ng ca bin ph thuc bng bin
gii thch ca m hnh cng nhiu cng tt, nn mt m hnh s c coi l m hnh tt nu c R
2

hoc
2
R cng gn 1 th c coi l cng thch hp.

120
4. Tnh vng v mt l thuyt
Trong vic xy dng m hnh ta phi c mt c s l thuyt no , nu khng s dn
n kt qu sai.
5. Kh nng d on.
Tiu chun thc tin ca chn l y th hin sc d on ca m hnh ph hp vi
thc t. Chng hn trong vic la chn gia m hnh ca trng phi tin t v m hnh trng
phi Keynes, ta s chn m hnh no m nhng d on l thuyt ca n c thc tin chng
minh.
8.2. CC LOI SAI LM CH NH.
8.2.1 B st mt bin thch hp.
Trong vic xy dng m hnh c th chng ta phm sai lm l b st mt hay mt s bin
thch hp m ng l chng phi c mt trong m hnh
Vic b st bin nh vy s gy ra hu qu nh th no i vi th tc c lng bnh
phng nh nht thng thng.
Gi s m hnh ng biu th mi lin h kinh t gia bin ph thuc Y v cc bin X
2
v X
3
c dng:
Y
t
=
1
+
2
X
2t
+
3
X
3t
+ U
t
(8.1)
Trong cc
1
,
2
v
3
l cc h s, U
t
l sai s ngu nhin ; t biu th thi gian.
Nhng v mt l do no ta c lng m hnh
Y
t
=
1
+
2
X
2t
+ V
t
(8.2)
Chng ta xem xt vic b bin X
3t
gy tc hi nh th no
1. Nu X
3
tng quan vi bin a vo X
2
th
1
,
2
l cc c lng chch ca
1
v
2
,
ngha l:
E(
1
)
1
v E(
2
)
2

Nu gi
32
l h s gc trong hm hi quy ca bin b b st X
3
i vi bin X
2
th c
th ch rng:
E(
2
) =
2
+
3

32
(8.3)
E(
1
) =
1
+
3
(
3
X -
32
2
X ) (8.4)
Nu
3
v
32
dng th
2
s chch ln, v trung bnh n s c lng cao
2

Nu
3
> 0 ,
32
< 0 hoc ngc li th
2
s chch xung, v trung bnh n s c
lng thp hn
2

Tng t
1
s chch ln nu
3
(
3
X -
32
2
X )> 0 v chch xung nu
3
(
3
X -
32
2
X ) < 0.
2.
1
v
2
khng phi l c lng vng.

121
3. Nu X
2
v X
3
khng tng quan th
32
= 0, khi E(
1
) =
2
ngha l
2
l c
lng khng chch ca
2
v ng thi n cng l c lng vng. Trong khi
1
l c lng
chch ca
1

4. Phng sai sai s c lng t (8.2) l mt c lng chch ca phng sai sai s
ng. Ni cch khc, phng sai sai s c lng t m hnh ng (8.1) v phng sai sai s c
lng t m hnh ch nh sai s khng nh nhau.
5. Phng sai c lng
2
(=
2
2
2t
x ) l c lng chch ca phng sai ca c
lng ng
2
. Thm ch c khi X
2
v X
3
khng tng quan, phng sai ny vn l c lng
chch v c th ch ra rng:
E [ var (
2
)] = var (
2
) +
2
2
2
3
2
3
) 2 (
t
t
x n
x
(8.5)
Ngha l gi tr k vng ca phng sai ca
2
khng bng phng sai
2
v s hng
th hai trong phng trnh (8.5) dng. V trung bnh var (
2
) s c lng cao phng sai ng
ca
2
.
6. Kt qu l khong tin cy thng thng v cc th tc kim nh gi thit khng cn
ng tin cy na,
Trong trng hp phng trnh (8.5) th khong tin cy s rng hn, do c th c
khuynh hng l ta thng chp nhn gi thit rng cc gi tr thc ca h s bng khng (hoc
gi thit H
0
khc) hn l so vi tnh hung thc.
Th d: Ta hy xt mi quan h gia chi tiu cho nhp khu v thu nhp sau thu ca mt
nc trong thi k 20 nm. S liu cho bng di y:
Bng 9.1. S liu chi tiu cho nhp khu
Nm Chi tiu cho
nhp khu
Thu nhp s
dng c
Nm Chi tiu cho
nhp khu
Thu nhp s dng
c
1
2
3
4
5
6
7
8
9
10
35,7
144,6
150,9
166,2
190,7
218,2
211,8
187,9
299,9
159,4
1551,3
1599,8
1668,1
1728,4
1797,4
1916,3
1896,9
1931,7
2001,0
2066,6
11
12
13
14
15
16
17
18
19
20
247,1
277,9
253,6
258,7
249,5
282,2
251,1
367,9
412,3
439,0
2167,4
2212,6
2214,3
2248,6
2261,5
2331,9
2469,8
2542,8
2640,9
2686,3


122
Gi s m hnh ng biu th quan h gia chi tiu cho nhp khu v thu nhp s dng
v bin xu th l nh sau:
Y
t
=
1
+
2
X
2t
+
3
X
3t
+ U
t
(8.6)
Trong : Y: chi tiu cho thu nhp
X
2:
thu nhp c th s dng c
X
3:
Bin xu th (biu th thi gian hay xu th), n ly
gi tr t 1,2....,20
Phng trnh (8.6) cho ta bit rng c mt bin khc X
3
cng nh hng n chi tiu
nhp khu ngoi thu nhp c th s dng c. N c th l mt bin nh dn s, th hiu, cng
ngh.....m ta biu th bng mt bin thi gian hoc xu th.
Nhng thay cho vic c lng m hnh ng (8.6) ta li c lng m hnh sau y:
Y
t
=
1
+
2
X
2t
+ V
t
(8.7)
Kt qu hi quy (8.7) nh sau:

t t
X Y
2
2452312 , 0 0914 , 261
+ = (8.8)
Nu c lng m hnh (8.6) ta c kt qu:

t t t
X X Y
3 2
19518 , 23 649962 , 0 9217 , 859
+ =
(8.9)
i vi m hnh (8.8), tc l m hnh c chn sai, ta c:
2452312 , 0
2
=
t
t
dX
Y d

Cn m hnh (8.9), l m hnh ng, th:
6499 , 0
2
=
t
t
dX
Y d

Ngha l khuynh hng bin ca chi tiu cho nhp khu l 0,2452312 (i vi m hnh
8.6). Nh vy m hnh ny cho bit khi thu nhp tng 1 n v th chi tiu cho nhp khu tng
0,2452312 n v. Trong khi m hnh ng (8.9) li cho bit rng khi thu nhp tng 1 n v
th chi tiu cho nhp khu tng 0,6499 n v. Nh vy, m hnh chn sai c lng thp khuynh
hng bin ca tiu dng v n b chch xung.
Nh vy vic b st bin X
3
chng nhng b qua nh hng ca X
3
i vi Y m c
nh hng ca X
3
i vi X
2
.
Ngoi ra h s chn, phng sai v sai s chun ca hai m hnh (8.8) v (8.9) cng sai
khc nhau rt nhiu. Nh vy hu qu ca vic b st bin l rt tai hi.
8.2.2. a vo nhng bin khng thch hp
Trong mc ny chng ta xt trng hp khi a vo m hnh nhng bin khng thch
hp th hu qu s nh th no?
lm sng t vn ny ta hy xt trn 2 m hnh n gin sau:
Gi s rng:

123
Y
i
=
1
+
2
X
2i
+ U
i
(8.10)
l m hnh ch nh ng, nhng ngi ta a thm vo mt bin tha X
3
v c lng
m hnh sau:
Y
i
=
1
+
2
X
2t
+
3
X
3t
+ V
i
(8.11)
Trong trng hp ny, sai lm ch nh l g ? Hu qu ca vic c lng m hnh
(8.11) thay cho c lng m hnh (8.10) l nh sau:
a. Cc c lng OLS ca m hnh (8.10) vn l cc c lng khng chch v vng, ngha l
ta vn c:
E(
1
) =
1
, E(
2
) =
2
v E(
3

) = 0
b. c lng ca
2

thu c t m hnh hi quy (8.11) l c lng vng.
c. Tuy nhin cc c lng thu c t (8.11) l khng hiu qu, cc phng sai ca chng s
ln hn cc phng sai ca cc c lng thu c t m hnh ch nh ng (8.10). C th ch ra s
khng hiu qu tng i ca . V t phng php bnh phng nh nht thng thng chng ta
c:
var (
2
) =
2
2
2
i
x

v var (
2
) =
) 1 (
2
23
2
2
2
r x

Do :

)
( var
) ( var
2
2
=
2
23
1
1
r

V 0 r
2
23
1 var (
2
) var (
2
) ngha l phng sai ca

2
ln hn phng
sai ca
2
d E(
2
) =
2
.
T nhn xt trn ta thy rng cc khong tin cy da trn cc sai s tiu chun ca cc
c lng thu c t m hnh ch nh sai (8.11) s ln hn cc khong tin cy da trn cc sai
s tiu chun ca cc c lng t m hnh ng (8.10), d cc khong tin cy da trn cc sai s
tiu chun l chp nhn c i vi cc th tc kim nh gi thit.
8.2.3 Dng hm khng ng
By gi ta xt mt loi sai lm ch nh khc, l sai lm trong vic ch nh m hnh.
Nh vy nu mc phi sai lm trong trng hp ny c ngha l ng l ta c lng m hnh
ng th ta li c lng mt m hnh ch nh sai.
Ta hy quay li th d xt v chi tiu cho nhp khu. Gi s m hnh ng l m hnh
c dng:
Y
i
=
1
+
2
X
2t
+
3
X
3t
+ V
i
(8.12)

nhng v mt l do g m ngi ta c lng m hnh:

124
In Y
t
=
1
+
2
InX
2t
+
3
InX
3t
+ V
t
(8.13)
Vic chn dng hm sai dn n hu qu nh th no? Mun phn tch c th ta s dng s
ca bng (8.1) nu phn trn c lng m hnh (8.13). Ta c kt qu nh sau:

t t t
X X Y
3 2
0526215 , 0 ln 897514 , 3 72662 , 23
ln + =
Kt qu hi quy cho thy: H s
2
= 3, 8975 c ngha l khi thu nhp s dng c tng
1% th chi tiu cho nhp khu s tng 3,8975%. Cn trong khi h s co gin tnh t m hnh
tuyn tnh (8.9) li cao hn nhiu. Nh vy nu m hnh (8.6) l ng th cc kt lun rt ra t
m hnh (8.13) s khng ng vi thc t v do vy s dn n nhng kt lun sai lm.
8.3. PHT HIN NHNG SAI LM CH NH - CC KIM NH V SAI LM
CH NH.
Trn y trnh byhu qu ca sai lm ch nh, nhng vn t ra l lm th no
pht hin ra nhng sai lm ch nh c th tm nhng bin php khc phc chng. Mc ny
s trnh by mt s kim nh pht hin sai lm ch nh.
8.3.1 Pht hin ra s c mt ca cc bin khng cn thit.
Gi s ta c m hnh hi quy sau:
Y
i
=
1
+
2
X
2i
+
3
X
3i
+
4
X
4i
+
5
X
5i
+ U
i
(8.14)
Trc ht lu rng , nu l thuyt cho rng tt c cc bin X
2
, X
3
, X
4
, X
5
u quyt nh
Y th ta phi gi chng trong m hnh cho d sau kim nh thc nghim ta nhn thy rng h
s ca mt bin X no khng c ngha thng k. Tuy nhin, nu trong m hnh c bin kim
tra, m ta chng trong m hnh trnh s chch do b st th chng ta phi tin hnh kim
nh xem s c mt ca n trong m hnh c thc s cn thit hay khng. Gi s X
5
l bin m
ta khng bit chc chn thuc vo m hnh hay khng th cch n gin l c lng hi quy
(9.14) v kim nh h s ca X
5
c bng khng hay khng.
Gi thit H
0
:
5
= 0
Gi thit i H
1
:
5
0
Thng k kim nh l t =
)
5
5
Se
phn phi t Student vi n-5 bc t do. Nu gi tr t tnh
c khng vt qu gi tr ti hn t mc ngha chn th ta khng bc b gi thit H
0
. Nu
ta bc b gi thit H
0
th bin X
5
c th thuc vo m hnh.
Trng hp ta khng chc chn rng c X
4
v X
5
c thc s cn thit trong m hnh hay
khng th gi thit H
0
:
4
=
5
= 0. Khi ta s dng kim nh F bit.
Nh vy vic pht hin ra s c mt ca cc bin khng cn thit trong m hnh khng phi
l vic kh khn, tuy nhin chng ta cn lu rng trong vic tin hnh cc kim nh v ch nh
ny, ta c mt m hnh trong u m ta tha nhn l m hnh ng. Khi cho m hnh , ta
c th tm ra mt hay mt s bin X c thc s l thch hp khng bng cc kim nh t v F.
8.3.2.Kim nh cc bin b b st
Gi s chng ta c m hnh hi quy tuyn tnh sau:
Y
t
=
0
+
1
X
t
+ U
t
(8.15)

125
kim nh xem m hnh c b ch nh sai do thiu mt bin Z
t
hay khng ta phi
c lng m hnh:
Y
t
= =
0
+
1
X
t
+
2
Z
t
+ U
t

v kim nh gi thit H
0
:
2
= 0
Nu ta sn c s liu v Z
t
th khng c vn g, nhng ci cn lm l hi quy Y
t
i
vi X
t
v Z
t
v kim nh h s ca Z
t
c bng khng hay khng.
Trng hp khng c sn quan st v Z th chng ta s s dng xp x Z
i vi Z. Khi
php kim nh thch hp i vi cc bin b b st l c lng m hnh:
Y
t
= =
0
+
1
X
t
+
2
t
Z
+ V
t

v kim nh gi thit
2
= 0. Trong trng hp cha bit bin Z th c th thc hin bng
cc cch sau:
1. Kim nh RESET ca Ramsey:
Ramsey xut s dng
3 2
t t
Y Y lm xp x cho Z
t
. Trong
t
Y
l gi tr d on ca Y
t

t hi quy ca Y
t
i vi X
t
.
Cc bc kim nh RESET nh sau:
Bc 1: hi quy Y
t
theo X
t
v thu c
t
Y
(ta gi m hnh ny l m hnh c).

Bc 2: Hi quy Y
t
i vi X
t
,
3 2
t t
Y Y (m hnh hi quy ny c gi l m hnh mi) v
kim nh gi thit cho rng cc h s ca
3 2
t t
Y Y bng 0.
Bc 2: Tnh

( )
( ) ( ) k n R
m R R
F
new
old new

=
/ 1
/
2
2 2

Trong :
2
old
R l h s xc nh ca m hnh c.

2
new
R l h s xc nh ca m hnh mi.
m l s bin c lp mi c a thm vo m hnh.
k l s h s ca m hnh mi.
Nu n kh ln F c phn phi F(m,n-k).
Bc 4: Nu F c ngha ti mc 5% ta c th chp nhn gi thit cho rng m hnh (8.15)
c xc nh khng ng.
2. Kim nh d. Durbin- Watson:
Th tc kim nh ny gm cc bc:
Bc 1: c lng m hnh ban u, Chng hn:
Y
i
=
0
+
1
X
i
+ U
i

T kt qu c lng ny, ta thu c cc phn d e
i
.

126
Bc 2: Nu ta nghi ng bin Z b b st, sp xp cc phn d theo th t tng dn ca
bin Z, trng hp khng c s liu ca bin Z ta c th sp xp e
i
theo mt trong cc bin c
lp.
Bc 3: Tnh d:

( )
=
=

=
n
i
i
n
i
i i
e
e e
d
1
2
1
2
1

Bc 4: Kim nh:
H
0
: Dng hm ng (khng c t tng quan).
H
1
: Dng hm sai (c t tng quan)
Da vo bng Durbin-Watson vi mc ngha kt lun v H
0
.
Th d: cc bin s: Y, X
2
v X
3
, n = 20
Ta c lng c cc m hnh sau:
t
Y
= 9,7702 + 0,52372 X
2
+ 0,69302 X
3
, R
2
= 0,7815
tnh c cc
t
Y
v e
t

Kim nh Ramsey s Reset: trc ht c lng m hnh:
Y
t
=
0
+
2
X
2t
+
3
X
3t
+
2
2
t
Y + v
t

Ta thu c:
t
Y
= 7,7604 + 0,995 X
2
+ 1,318 X
3
- 0,083405
t
Y
, R
2
= 0,78296
F =
) /( ) 1 (
/ ) (
2
2 2
k n R
m R R
new
old new

=
) 4 20 /( ) 78296 , 0 1 (
1 / ) 7875 , 0 78296 , 0 (

= 0,133872
Trong khi : F
0,05
(1,16) = 4,49.F = 0,133872 < F
0,05
(1,16)
Khng bc b gi thit H
0
.
3. Kim nh v tnh phn b chun ca U
s dng cc kim nh T, kim nh F,
2
, trong hu ht cc trng hp chng ta
gi thit rng cc yu t ngu nhin U
i
c phn b chun. Do tng th cha bit cho nn ta cng
khng bit U
i
v do cn phi thng qua e
I
on nhn.
kim nh e
i
c phn b chun hay khng ngi ta c th dng
2
. Ngy nay hu
ht cc phn mm kinh t lng thng s dng kim nh Jarque - Bera (JB)
JB = n

+
24
) 3 (
6
2 2
K S
,
trong S l h s bt i xng, K l nhn. Trong trng hp tng qut S v K c
tnh nh sau:

127
S =
=
3
1
3
/ ) (
X
n
i
i
S
n X X
, K =
=
4
1
4
/ ) (
X
n
i
i
S
n X X

Vi n kh ln JB c phn b xp x
2
(2). Xt cp gi thit:
H
0
: U c phn b chun
H
1
: U khng c phn b chun
H
0
s b bc b nu JB >
2
, trng hp ngc li khng c c s bc b H
0

Th d: Khi c lng mt m hnh hi quy vi n = 20 ta thu c:
ee = 1,352,
3
i
e / 20 = - 0,0029656;
4
i
e / 20 = 0,010699
T tnh c:

2
e
S = 1,352/20 = - 0,0676; S
e
= 0,26;
3
e
S = 0,017576 ;
4
e
S = 0,0045697
H s S = (
3
i
e / 20) /
3
e
S = - 0,16876
K = (
4
i
e / 20) /
4
e
S = 2,3412608
JB = 20(S
2
/6 + (K-3)
2
/24) = 0,4566
Vi = 5%,
2
(2) = 3,84. trong trng hp ny khng c c s bc b H
0

Trong khi xem xt cc m hnh hi quy tuyn tnh, ta ngm gi nh rng m hnh chn
l m hnh ng - M hnh phn nh ng hin tng ang nghin cu. Ni cch khc l khng
c sai lm trong vic chn m hnh, khng thiu cc bin cn thit hoc khng tha cc bin
khng cn thit trong m hnh.y l m hnh ch nh. Nhng nu c sai lm trong vic ch nh
m hnh th cn c bin php pht hin sai lm. Trc ht cn hiu th no l mt m hnh tt,
l m hnh tho mn 5 tiu chun ca A.C. Harvy. Cc loi sai lm ch nh bao gm: B st
bin thch hp ; a vo m hnh nhng bin khng thch hp; Dng hm khng ng.
pht hin s c mt ca cc bin khng cn thit c th s dng thng k kim nh t
v F.
pht hin cc bin b b st c th s dng kim nh RESET ca RAMSEY, kim
nh Durbin-Watson hoc kim nh v tnh phn b chun ca U.
I. Cu hi l thuyt:
1. Gii thch 5 thuc tnh ca mt m hnh hi quy tuyn tnh tt?
2. Trnh by cc loi sai lm thng gp phi khi chn m hnh?
3. Cch phat hin cc sai lm v kim nh/
4. Trnh by kim nh gi thit phn phi chun ca U?

128
II. Bi tp:
1. Xt mi quan h gia chi ph qung co tip th vi mc cu i vi sn phm dch
v ca cng ty trong thi k 20 nm, ngi ta c s liu sau:

n v: Triu ng
Nm Chi tiu cho
qung co,TT
Cu v sn phm
dch v
Nm Chi tiu cho
qung co,TT
Cu v sn phm
dch v
1
2
3
4
5
6
7
8
9
10
35,7
144,6
150,9
166,2
190,7
218,2
211,8
187,9
299,9
159,4
1551,3
1599,8
1668,1
1728,4
1797,4
1916,3
1896,9
1931,7
2001,0
2066,6
11
12
13
14
15
16
17
18
19
20
247,1
277,9
253,6
258,7
249,5
282,2
251,1
367,9
412,3
439,0
2167,4
2212,6
2214,3
2248,6
2261,5
2331,9
2469,8
2542,8
2640,9
2686,3

Gi s m hnh ng biu th quan h gia chi tiu cho qung co tip th v mc cu ca
sn phm dch v v bin xu th c dng:
Y
t
=
1
+
2
X
2t
+
3
X
3t
+ U
t
(1)
Trong : Y
t
: Mc cu v sn phm dch v
X
2:
Chi tiu cho qung co tip th.
X
3:
Bin xu th (biu th thi gian hay xu th), n ly
gi tr t 1,2....,20
Yu cu:
a) Nu b bin X
3
v chn hm Y
t
=
1
+
2
X
2t
+ V
t
(2) c lng. Hy nhn
xt v vic b st bin X
3
.
b) Thay v c lng hm (1) ta li chn hm dng:
lnY
t
=
1
+
2
lnX
2t
+
3
X
3t
+ V
t
(3)
Hy nhn xt hu qu ca vic chn hm (3)?
2. Cho s liu v tng chi ph (Y) v sn lng (X) bng sau:

X 1 2 3 4 5 6 7 8 9 10
Y 193 226 240 244 257 260 274 297 350 420


129
Yu cu: Xc nh hm hi quy tuyn tnh ca Y theo X. S dng kim nh RESET v
Durbin Watson kim nh xem m hnh c b chn sai do thiu bin Z hay khng ?
3. Cho s liu cho bng sau:

X 70 65 90 95 110 115 120 140 155 150
Y 80 100 120 140 160 180 200 220 240 260

Bit hm hi quy tuyn tnh mu c dng:

i i
X Y 5091 , 0 4545 , 24
+ =
Yu cu: Kim nh gi thit v phn phi chun ca U vi = 5% v -
2
(2) = 3,84.

Mc lc

130
MC LC
LI NI U.................................................................................................................................1
M U..........................................................................................................................................3
1. Khi qut v kinh t lng............................................................................................................................ 3
2. Xy dng v p dng m hnh kinh t lng: ................................................................................................ 3
CHNG 1: CC KHI NIM C BN CA M HNH HI QUI HAI BIN.................6
GII THIU...................................................................................................................................................... 6
NI DUNG........................................................................................................................................................ 6
1.1 PHN TCH HI QUI.......................................................................................................................... 6
1.2. BN CHT V NGUN S LIU CHO PHN TCH HI QUI. .................................................... 9
1.3 M HNH HI QUI TNG TH........................................................................................................ 11
1.4 SAI S NGU NHIN V BN CHT............................................................................................ 14
1.5 HM HI QUI MU: ......................................................................................................................... 15
TM TT NI DUNG CHNG 1 .............................................................................................................. 15
CU HI V BI TP N CHNG I....................................................................................................... 16
I. Cu hi l thuyt: .................................................................................................................................... 16
II. Bi tp:................................................................................................................................................... 16
CHNG 2: C LNG V KIM NH GI THIT TRONG M HNH HI QUI
HAI BIN.......................................................................................................................................18
GII THIU.................................................................................................................................................... 18
NI DUNG...................................................................................................................................................... 18
2.1 PHNG PHP BNH PHNG NH NHT. ............................................................................... 18
2.2 CC GI THIT C BN CA PHNG PHP BNH PHNG NH NHT. ........................ 21
2.3 CHNH XC CA CC C LNG BNH PHNG NH NHT. ................................... 22
2.4 H S r
2
O PH HP CA HM HI QUI MU. ................................................................. 22
2.5 PHN B XC SUT CA YU T NGU NGHIN: .................................................................25
2.6 KHONG TIN CY V KIM TRA GI THIT V CC H S HI QUI................................. 25
2.7 KIM NH S PH HP CA HM HI QUI. PHN TCH HI QUI V PHNG SAI. ..... 33
2.8. NG DNG PHN TCH HI QUY: VN D BO:.............................................................. 34
2.9 TRNH BY KT QU PHN TCH HI QUI: ...............................................................................36
TM TT NI DUNG CHNG 2 .............................................................................................................. 37
CU HI V BI TP N CHNG 2 ...................................................................................................... 37
I- Cu hi.................................................................................................................................................... 37
II- Bi tp: .................................................................................................................................................. 38
CHNG 3: M HNH HI QUI NHIU BIN (HI QUI BI) ........................................39
GII THIU.................................................................................................................................................... 39
NI DUNG...................................................................................................................................................... 39
3.1 M HNH HI QUI TUYN TNH K BIN...................................................................................... 39
3.2 CC GI THIT: ................................................................................................................................ 40
3.3 C LNG CC THAM S - OLS................................................................................................ 41
3.4. MA TRN HIP PHNG SAI CA CC C LNG:............................................................ 43
3.5 CC TNH CHT CA CC C LNG BNH PHNG NH NHT: ................................ 44
3.6 C LNG HP L TI A (ML): ..............................................................................................45
3.7 H S XC NH BI V H S XC NH BI D IU CHNH: ....................................... 45
Mc lc

131
3.8 MA TRN TNG QUAN:............................................................................................................... 46
3.9 H S TNG QUAN RING PHN:............................................................................................. 47
3.10 KIM NH GI THIT V KHONG TIN CY CA CC H S HI QUY RING- KIM
NH T. ..................................................................................................................................................... 47
3.11 HI QUY C IU KIN RNG BUC - KIM NH F:........................................................... 49
3.12 D BO: ........................................................................................................................................... 49
3.13 Mt s dng ca hm hi quy............................................................................................................ 50
TM TT NI DUNG CHNG 3.............................................................................................................. 53
CU HI V BI TP N CHNG 3...................................................................................................... 53
I. Cu hi l thuyt:.................................................................................................................................... 53
II. Bi tp:................................................................................................................................................... 53
CHNG 4: HI QUY VI BIN C LP L BIN GI............................................... 55
GII THIU.................................................................................................................................................... 55
NI DUNG...................................................................................................................................................... 55
4.1. BN CHT CA BIN GI - M HNH TRONG BIN GII THCH L BIN GI.......... 55
4.2. HI QUY VI MT BIN LNG V MT BIN CHT. ......................................................... 58
4.3 HI QUY VI MT BIN LNG V HAI BIN CHT. ............................................................ 62
4.4 SO SNH HAI HI QUY.................................................................................................................. 63
4.5 NH HNG CA TNG TC GIA CC BIN GI.............................................................. 65
4.6. S DNG BIN GI TRONG PHN TCH MA.......................................................................... 66
TM TT NI DUNG CHNG 4.............................................................................................................. 67
CU HI V BI TP N CHNG 4...................................................................................................... 68
I. Cu hi l thuyt:.................................................................................................................................... 68
II. Bi tp.................................................................................................................................................... 68
CHNG 5: A CNG TUYN............................................................................................... 71
GII THIU.................................................................................................................................................... 71
NI DUNG...................................................................................................................................................... 71
5.1 BN CHT CA A CNG TUYN:.............................................................................................. 71
5.2 C LNGKHI C A CNG TUYN HON HO: ................................................................ 72
5.3 C LNG TRONG TRNG HP C A CNG TUYN KHNG HON HO: .............. 73
5.4 HU QU CA A CNG TUYN:................................................................................................ 73
5.5 CCH PHT HIN S TN TI CA A CNG TUYN: .......................................................... 75
5.6 BIN PHP KHC PHC: ................................................................................................................ 77
TM TT NI DUNG CHNG 5.............................................................................................................. 79
CU HI V BI TP N CHNG 5...................................................................................................... 79
I. Cu hi:................................................................................................................................................... 79
II.Bi tp:.................................................................................................................................................... 80
CHNG 6: PHNG SAI CA SAI S THAY I .......................................................... 81
GII THIU.................................................................................................................................................... 81
NI DUNG...................................................................................................................................................... 81
6.1. NGUYN NHN CA PHNG SAI CA SAI S THAY I .................................................. 81
6.2. C LNG BNH PHNG NH NHT KHI PHNG SAI CA SAI S THAY I. ...... 82
6.3. PHNG PHP BNH PHNG NH NHT TNG QUT....................................................... 83
6.4. HU QU CA PHNG SAI CA SAI S THAY I ............................................................. 86
6.5. PHT HIN PHNG SAI CA SAI S THAY I.................................................................... 89
6.6. BIN PHP KHC PHC ................................................................................................................ 95
TM TT NI DUNG CHNG 6.............................................................................................................. 99
Mc lc

132
CU HI V BI TP N CHNG 6 ...................................................................................................... 99
I. Cu hi l thuyt: .................................................................................................................................... 99
II. Bi tp:................................................................................................................................................. 100
CHNG 7: T TNG QUAN.............................................................................................101
GII THIU.................................................................................................................................................. 101
NI DUNG.................................................................................................................................................... 101
7.1 BN CHT V NGUYN NHN CA HIN TNG T TNG QUAN. ............................. 101
7.2 C LNG BNH PHNG NH NHT KHI C T TNG QUAN.................................. 104
7.3 C LNG TUYN TNH KHNG CHCH TT NHT KHI C T TNG QUAN. ....... 105
7.4 HU QU CA VIC S DNG PHNG PHNG PHP BNH PHNG NH NHT
THNG THNG KHI C T TNG QUAN. ................................................................................ 106
7.5 PHT HIN C T TNG QUAN............................................................................................... 106
7.6 CC BIN PHP KHC PHC....................................................................................................... 112
TM TT NI DUNG CHNG 7 ............................................................................................................ 117
CU HI V BI TP N TP CHNG 7............................................................................................ 117
I. Cu hi l thuyt: .................................................................................................................................. 117
II. Bi tp:................................................................................................................................................. 117
CHNG 8: CHN M HNH V KIM NH VIC CH NH M HNH...............119
GII THIU.................................................................................................................................................. 119
NI DUNG.................................................................................................................................................... 119
8.1. CC THUC TNH CA MT M HNH TT ........................................................................... 119
8.2. CC LOI SAI LM CH NH. ................................................................................................... 120
8.3. PHT HIN NHNG SAI LM CH NH - CC KIM NH V SAI LM CH NH. ...... 124
TM TT NI DUNG CHNG 8 ............................................................................................................ 127
CU HI V BI TP N CHNG 8 .................................................................................................... 127
I. Cu hi l thuyt: .................................................................................................................................. 127
II. Bi tp:................................................................................................................................................. 128
MC LC....................................................................................................................................130

KINH T LNG
M s: 497KTL370

Chu trch nhim bn tho
TRUNG TM O TO BU CHNH VIN THNG 1

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HC VIN CNG NGH BU CHNH VIN THNG

sao cho n cng gn vi gi tr thc (Y

phi tho mn iu kin:

) l nh nht. V mt hnh hc, biu thc (*) phn

tho mn iu kin (*) s l ng thng gn nht vi tp

l nghim ca h phng trnh sau:

theo cng thc sau y:

= 24,4545 l tung gc ca ng hi qui mu, ch mc chi tiu tiu dng

= 0,5091 ch ra rng, xt cc gi tr ca X nm trong khong (80; 260), khi thu

tm c bng phng php OLS l cc c lng im ca

tng ng l cc c lng tuyn

c xc nh theo cng thc (2.6). Cc

= 0,0591 > 0 nn:

= 0 th r = 0 v ngc li. Ngoi ra, tham s

v h s tng quan r lun ph hp

nhn bit tnh thun nghch ca mi

) t tnh cht ny suy ra:

) t tnh cht ny suy ra:

c phn phi chun v k vng ton

m chng ta tm c phn trn l c lng im ca

l i lng ngu nhin nn khong (

+ c gi l gii hn tin cy trn.

theo cng thc (2.6), xc nh

a v dng phn phi chun ho N(0,1). Trong :

c cho trong bng phn ph lc.

) l 0,5091 c tnh t mu c ph hp vi gi thit pht

. Theo ngn ng kim

th ta s dng kim nh mt pha.

th min bc b nm v pha bn phi min chp nhn.

th min bc b nm v pha bn tri min chp nhn.

Y l c im, khng chch v c phng sai nh nht ca E(Y/X

Y vn sai khc so vi gi tr thc ca n.

Y c phn phi chun vi k vng ton l

Y ) = 3,2366; Vi h s tin cy 95% v bc t do l 8 th t

Y ) = 7,25497. Vy d bo khong chi tiu tiu dng khi thu nhp mc

280 300 3256 -

). Phng php ma trn cho php chng ta tm

Cov( ........ ).........

) ta p dng cng thc:

thu c bng phng php OLS vi 5 gi thit nu trn c cc tnh cht:

l c lng khng chch ca . By gi ta gi s rng

c phng sai nh nht.

c phn phi chun vi k vng

tun theo phn phi F vi k-1 v n-k bc t do.

(k-1; n-k). Trong n l s quan st, k l s bin trong m hnh hi quy (k

(k-1; n-k) l gi tr tho mn iu kin:

(k-1; n-k) th ta bc b gi thit H

(k-1; n-k) th ta khng bc b gi thit H

(m, (n-k)) th gi thit H

s tng dn n v hn. T (5.13) ta thy khi r

(k-2, n-k+1) mc ngha cho th c ngha

) ln gp 10 ln khi khng c a cng tuyn. V khi r

s gim, ko theo sai s chun gim, iu ny gip cho ta c lng

l c lng tuyn tnh khng chch tt nht ca

vn l c lng tuyn tnh khng chch ca

v ta cng s dng k hiu

ta quay v dng (6.7), cho nn ta c th vit ngay c cc c lng:

vn tuyn tnh theo Y

l c lng khng chch ca

), du bng ch xy ra khi v ch khi

khng hiu qu. by gi ta quay li vi c lng ca

nh ta bit, n c c lng bi cng thc sau:

bin i m hnh gc thnh dng nh sau:

khng chnh xc l E(Y