Tavi X

Hheteroskedasturoba

$ 10.1. wrfivi mravlobiTi regresiis ganzogadebuli modeli da

ganzogadebuli umcires kvadratTa meTodi

wrfivi mravlobiTi regresiis ganzogadebuli modeli

regresiis wrfivi modelis analizisas aqamde cxadi Tu aracxadi saxiT

vgulisxmobdiT, rom gaus-markovis pirobebis yvela moTxovna daculi iyo. magram
praqtikaSi zogjer vawydebiT situacias, roca aRniSnuli pirobebis nawili ar
sruldeba. magaliTad, didia albaToba, rom sxvadasxva masStabis mqone firmebis
erTobliobisaTvis mTliani mogebis sididis dasaqmebulTa raodenobis maCvenebelze
damokidebulebis amsaxveli regresiis gantolebisaTvis gaus-markovis pirobebidan
SeiZleba ar Sesruldes me-3 daSveba - SemTxveviTi wevris dispersiis dakvirvebis
nomrisagan damoukideblobis, anu homoskedasturobis moTxovna. mocemul SemTxve-
vaSi gaus-markovis me-3 pirobis SesaZlo darRvevis mizezi masStabis mixedviT
firmebis araerTgvarovnebaa. dakvirvebis obieqtTa araerTgvarovnebiT warmoqmnili
problema SeiZleba Tavidan aviciloT, Tu analogiuri regresiuli damokidebu-
lebis asagebad ganvixilavT ara sxvadasxva, aramed erTi da igive firmis mTliani
mogebisa da dasaqmebulTa ricxvis monacemebs drois sxvadasxva SualedisaTvis
(momentisasTvis). magram am SemTxvevaSi mosalodnelia gaus-markovis me-4 pirobis
Seusrulebloba. saqme isaa, rom drois mocemuli momentis an Sualedis Sesabamisi
Sedegobrivi cvladis mniSvneloba xSirad wina periodebis mniSvnelobebTan kore-
laciaSi imyofeba da, amis gamo, irRveva sxvadasxva dakvirvebis SemTxveviTi wev-
rebis damoukideblobis piroba. praqtikaSi iseTi situaciac gvxvdeba, roca regre-
siuli modelis agebisaTvis sivrcobriv-droiTi SerCeva gamoiyeneba. rogorc wesi,
aseT pirobebSi regresiis gantolebis SemTxveviTi wevrisaTvis heteroskedastu-
robisa da sxvadasxva dakvirvebaSi erTmaneTisagan damoukideblobis pirobebis
Seruleba ararealuri xdeba.
aRniSnulidan gamomdinare, garkveul interess iwvevs regresiis wrfivi kla-

313
sikuri modelis ganzogadeba im SemTxvevaze, roca ar sruldeba dakvirvebebSi
SemTxveviTi wevris arakorelirebisa da dipersiis mudmivobis daSvebebi:

D (ui )  E (u i2 )   u2 , i  1,2,, n ,
cov(ui , u j )  E (ui  u j )  0 , i  j ,
romlebsac gaerTianebulad Semdegi matriculi Canaweri Seesabameba

cov(U )  E (UU T )   u2 I n ,
sadac U - SemTxveviTi u i , i  1,2,, n , wevrebis veqtor-svetia, I n - erTeulovani

matricaa. aseTi ganzogadebis Sedegad miiReba regresiis wrfivi modeli, romelsac

mravlobiTi regresiis ganzogadebuli wrfivi modeli ewodeba. maSasadame, aR-
niSnuli modeli Semdegi saxisaa
Y  X  U , (10.1)
sadac Y ASedegobrivi cvladebis n  1 veqtoria;  - regresiis koeficientebis
(m  1)  1 veqtor-sveti; X - damoukidebeli cvladebis mniSvnelobaTa n  ( m  1)
matrica; m - modelSi Semavali faqtorebis ricxvi; n - dakvirvebis ricxvi.
amasTan, igulisxmeba, rom daculia Semdegi pirobebi:
daSveba I. X araSemTxveviTi (determinirebuli) matricaa;
daSveba II. E (U )  0 ;

daSveba III. cov(U )  E (UU T )   2  , sadac  - dadebiTad gansazRvruli

matricaa,   I n ;  2 - parametria, romelsac mocemul SemTxvevaSi cxadi alba-

Turi Sinaarsi ar gaaCnia;

daSveba IV. r ( X )  m  1  n .
rogorc vxedavT, klasikuri da ganzogadebuli modelebi erTmaneTisagan Sem-
TxveviTi wevrebis U veqtoris kovariaciuli cov(U ) matricis struqturiT gan-
sxvavdeba. klasikur modelSi cov(U ) diagonaluri matricaa erTi da igive diago-

naluri  u2 elementebiT, ganzogadebul modelSi ki cov(U ) matricis elementebis

mniSvneloba SeiZleba nebismieri iyos.

ganzogadebuli (10.1) modelis Sefaseba SeiZleba Cveulebrivi umcires kvad-
ratTa meTodiT movaxdinoT. Tu amas gavakeTebT, miviRebT regresiis koeficien-

tebis Sefasebebis B veqtors:

B  X T X  X T Y
1
(10.2)

314
 
da narCenebis e  Y  Yˆ  Y  XB  (e1 e2  en ) T veqtors.

SeiZleba vaCvenoT, rom B , romelic ganzogadebuli modelisTvisac wrfivad

aris gansazRvruli, SefasebaTa gadauadgileblobis Tvisebas E (B )   akmayofi-
lebs (daamtkiceT savarjiSos saxiT). amis miuxedavad Cveulebrivi umcires kvad-
ratTa meTodis gamoyenebisas ori saxis problemas vawydebiT. pirveli, miRebuli

B -s elementebi gadauadgilebel SefasebaTa Soris araefeqtiania, anu Sesabamisi
klasis Sefasebebs Soris minimaluri dispersiebiT ar gamoirCeva. meore, mocemul

SemTxvevaSi B -s kovariaciul matricas Semdegi saxe aqvs1

cov( B )   2 ( X T X ) 1 X T X ( X T X ) 1 , (10.3)
maSin, roca klasikur modelisaTvis analogiuri matrica ganisazRvreba formuliT

cov ( B )   u2 ( X T X ) 1 . (10.4)

aseT pirobebSi kovariaciuli matricis Cveulebrivi Sefaseba

 1
Cov ( B )  S e2 ( X T X ) 1 , sadac S e2  eT e , (10.5)
n  m 1
(10.3)-saTvis gadaadgilebuls da araZalmosils warmoadgens. aqedan gamomdinare,

gadaadgilebuli da araZalmosilia B veqtoris elementebis standartuli Secdo-
mebi da regresiis koeficientebis mniSvnelovnebis dasadgenad Catarebuli teste-
biT araswori daskvnebi miiReba. rogorc wesi, regresiis koeficientebis standar-
tuli Secdomebi qvemoTaa gadaadgilebuli da Cveulebrivi umcires kvadratTa
meTodiT miRebuli Sefasebebi `optimisturad~ gamoiyureba.
aRniSnuli mizezebis gamo ganzogadebuli wrfivi regresiuli modelis para-
metrebis Sesafaseblad Cveulebrivi umcires kvadratTa meTodis nacvlad unda
gamoviyenoT ganzogadebuli umcires kvadratTa meTodi, romelic gaus-markovis
Teoremis TvalsazrisiT efeqtian Sefasebebs iZleva.

umcires kvadratTa ganzogadebuli meTodi

davuSvaT, (10.1) mravlobiTi regresiis ganzogadebuli modelia, romlis Se-

fasebac unda ganvaxorcieloT. vidre uSualod umcires kvadratTa ganzogadebuli

 
1
radganac E (B )   , E (UU T )   2  da B  ( X T X ) 1 X T Y    ( X T X ) 1 X TU , amitom
  
cov( B )  E[( B  )( B  ) T ]  E[( X T X ) 1 X TUU T X ( X T X ) 1 ] 
 ( X T X ) 1 X T E (UU T ) X ( X T X ) 1   2 ( X T X ) 1 X T X ( X T X ) 1 .

315
meTodis arss ganvixilavT, am meTodiT Sefasebuli regresiis koeficientebis veq-

tori B * -iT aRvniSnoT. maSin (10.1)-is Sefasebul variants Semdegi saxe eqneba

Y  XB *  e , (10.6)
 
sadac e - narCenebis veqtoria: e  Y  Y  Y  XB * . umcires kvadratTa ganzoga-

debuli meTodi B * -s iseTi mniSvnelobis moZebnas gulisxmobs, romlisTvisac mini-
malur mniSvnelobas miiRebs Ggamosaxuleba
   
G *  e T  1e  (Y  Y ) T  1 (Y  Y )  (Y  XB * ) T  1 (Y  XB * ) . (10.7)

Tu (10.7)-s B * veqtoris elementebiT gavawarmoebT (ix. danarTi 1-is $12), warmoe-
bulebs nuls gavutolebT da miRebul sistemas amovxsniT, sabolood gveqneba:

B *  ( X T  1 X ) 1 X T  1Y . (10.8)

vaCvenoT, rom aseTnairad gansazRvruli B * gadauadgilebel SefasebaTa klass
miekuTvneba. gvaqvs:

B *  ( X T  1 X ) 1 X T  1Y  ( X T  1 X ) 1 X T  1 ( X  U ) 

   ( X T  1 X ) 1 X T  1U . (10.9)
ganzogadebuli modelis erT-erTi daSvebis Tanaxmad E (U )  0 . maSasadame,

E ( B * )    ( X T  1 X ) 1 X T  1 E (U )   .
visargebloT moyvanili TvisebiT, (10.9) tolobiT da gamovTvaloT (10.8) Sefase-
bebis kovariaciuli matricis mniSvneloba:
      
cov( B * )  E[( B *  E ( B * ))( B *  E ( B * )) T ]  E[( B *  )( B *  ) T ] 

 E[( X T  1 X ) 1 X T  1UU T  1 X ( X T  1 X ) 1 ] 

 ( X T  1 X ) 1 X T  1 E (UU T ) 1 X ( X T  1 X ) 1 .

radganac E (UU T )   2  , amitom sabolood CavwerT


cov( B * )   2 ( X T  1 X ) 1 . (10.10)
aitkenis Teorema. ganzogadebuli regresiuli modelis wrfiv gadauadgilebel

Sefasebebs Soris (10.8)-iT gansazRvruli B * gaus-markovis Teoremis TvalsazrisiT

optimaluria, anu B * -s Sesabamisi kovariaciuli (9.10) matricis mniSvneloba sxva
gadauadgilebeli Sefasebebis kovariaciuli matricebis mniSvnelobebs Soris
minimaluria.

davamtkicoT moyvanili debulebis marTebuloba. B * Sefasebebis gadauadgile-

316
blobis Tviseba zemoT ukve davamtkiceT. rac Seexeba optimalurobis Tvisebas,
mis dasamtkiceblad visargebloT matriculi algebris erT-erTi cnobili SedegiT,
romelic dadebiTad gansazRvruli simetriuli matricebisTvisaa miRebuli. am
Sedegis Tanaxmad nebismieri dadebiTad gansazRvruli gadaugvarebeli simetriuli
n  n matrica, maT Soris  -c rogorc aseTi Tvisebebis mqone, Semdegi saxiT Se-
iZleba warmovadginoT

  CC T , (10.11)
sadac C - raime gadaugvarebeli n  n matricaa. aRsaniSnavia, rom aseTi warmo-
dgena calsaxad ar aris gansazRvruli, Tumca am garemoebas Cveni Semdgomi msje-
lobisaTvis raime gansakuTrebuli mniSvneloba ar aqvs. mniSvnelovania (10.11)-dan
gamomdinare Semdegi ori Sedegi, romelic matricebis Sebrunebisa da transpo-
nirebis Tvisebebis gaTvaliswinebiT miiReba:

C 1(C 1 ) T  I n , (10.12)

(C 1 ) T C 1   1 . (10.13)
davubrundeT ganzogadebuli modelis (10.1) gantolebas. misi orive mxare mar-

cxnidan C 1 -ze gavamravloT. miviRebT gardaqmnili modelis gantolebas:

~ ~ ~
Y  X  U , (10.14)
~ ~ ~ ~
sadac Y  C 1Y , X  C 1 X , U  C 1U . amasTan, E (U )  C 1 E (U )  0 , da
~ ~~
cov(U )  E (UU T )  E [C 1UU T (C 1 ) T ]  C 1 E (UU T )(C 1 ) T 

  2 C 1(C 1 ) T   2 I n .
ukanaskneli gamosaxulebis gamoyvanisas gaviTvaliswineT ganzogadebuli modelis

me-3 daSveba E (UU T )   2  da (10.12) toloba. rogorc vxedavT, gardaqmnili

~
(10.14) modelisaTvis gaus-markovis yvela piroba (maT Soris cov(U )   2 I n - Sem-

TxveviTi wevrebis heteroskedasturobisa da sxvadasxva dakvirvebaSi erTmaneTi-

sagan damoukideblobis piroba) daculia. amitom Tu (10.14)-is SefasebisaTvis Cveu-
lebriv umcires kvadratTa meTods gamoviyenebT, miviRebT regresiis koeficiente-
bis Sefasebebis veqtors
 ~ ~ ~ ~

B  XTX 1
X TY , (10.15)
romelic, CvenTvis cnobili gaus-markovis Teoremis Tanaxmad, wrfiv gadauadgi-
lebel Sefasebebs Soris yvelaze efeqtiania, anu yvelaze mcire kovariaciuli

317
matriciT xasiaTdeba. es ukanaskneli (kovariaciuli matrica) ki, rogorc klasi-
kuri modelis ganxilvisas davadgineT, Semdegi saxiT ganisazRvreba
 ~ ~
cov( B )   2 ( X T X ) 1 . (10.16)
 
(10.14)-dan miRebuli B sxva araferia, Tu ara (10.8)-iT gansazRvruli B * ,
xolo (10.16)-Si mocemuli kovariaciuli matrica ki mTlianad (10.10)-s emTxveva.
~ ~
marTlac, (10.15)-Si da (10.16)-Si Semavali gardaqmnili X da Y maxasiaTeblebidan
gadavideT sawyis X da Y maxasiaTeblebze da gaviTvaliswinoT (10.13). miviRebT:
 ~ ~ ~ ~
B  ( X T X ) 1 X TY  [ X T (C 1 ) T C 1 X ]1 X T (C 1 ) T C 1Y 

 [ X T  1 X ]1 X T  1Y  B * ;
 ~ ~ 
cov( B )   2 ( X T X ) 1   2 [ X T (C 1 )T C 1 X ]1   2 ( X T  1 X ) 1  cov( B * ) .
Teorema damtkicebulia.
maSasadame, davadgineT, rom (10.1) modelis umcires kvadratTa ganzogadebuli
meTodiT Sefaseba gadauadgilebel, Zalmosil (marTalia es Tviseba gaus-markovis
TeoremaSi ar moixsenieba, magram igi sruldeba) da efeqtian Sefasebebs gvaZlevs.
regresiis wrfivi klasikuri modelis msgavsad, ganzogadebuli modelic Sefa-
sebis Semdeg mniSvnelovnebis Sesaxeb testebis Catarebas saWiroebs. magram klasi-
kuri modelisagan gansxvavebiT, ganzogadebuli modelis mniSvnelovnebis Sefasebi-
sas garkveul sirTules vawydebiT. es exeba determinaciis koeficients, romelic
ganzogadebuli modelisaTvis Semdegi formuliT gamoiTvleba
 
2 (Y  Y )T  1 (Y  Y )
R  1 , (10.17)
(Y  Y )T  1 (Y  Y )
 
sadac Y  XB * . saqme isaa, rom (10.17)-iT gansazRvruli R 2 , zogad SemTxvevaSi,
SeiZleba [0,1] intervalSi ar imyofebodes, radganac ganzogadebuli modelisaTvis
WeSmarits ar warmoadgens dispersiuli analizis mniSvnelovani toloba
   
(Y  Y ) T  1 (Y  Y )  (Y  Y )T  1 (Y  Y )  (Y  Y ) T  1 (Y  Y ) .

garda amisa, modelSi damatebiTi cvladis CarTva yovelTvis ar iwvevs R 2 -is ga-

didebas, xolo modelidan cvladis amogdeba - R 2 -is Semcirebas, rogorc es kla-

sikuri modelis dros Sesabamisi determinaciis koeficientisaTvis xdeba. aRniS-
nuli garemoebebis gamo determinaciis koeficienti ganzogadebuli modelis dak-

318
virvebis monacemebTan misadagebis xarisxis damakmayofilebel sazomi ar aris. igi
gamoiyeneba mxolod rogorc miaxloebiTi evristikuli maxasiaTebeli.
rac Seexeba regresiis koeficientebis mniSvnelovnebis analizs, igi iseve
xorcieldeba, rogorc klasikur modelSi. Sesabamisi t testis Sesasruleblad, mo-
cemul SemTxvevaSi, winaswar saWiroa (10.10) kovariaciul matricaSi Semavali uc-

nobi  2 parametris Sefaseba. marTalia, ganzogadebul modelSi  2 Sinaarsobrivad

yovelTvis ar SeiZleba SemTxveviTi wevrebis dipersiis rolSi ganvixiloT, magram,
amis miuxedavad, misi Sefaseba narCenobiTi wevrebis safuZvelze xorcieldeba.
mtkicdeba, rom
1  
S2  (Y  Y ) T  1 (Y  Y ) (10.18)
n  m 1
ucnobi  2 parametris gadauadgilebeli Sefasebaa. ufro metic, SemTxveviTi sidi-

de (n  m  1) S 2 /  2 eqvemdebareba n  m  1 Tavisuflebis mqone  2 ganawilebas


da S 2 da B * Sefasebebi erTmaneTisagan damoukidebeli SemTxveviTi sidideebia.
dasasruls umcires kvadratTa ganzogadebuli meTodis erT seriozul naklze
gvinda mivuTiToT. rogorc zemoT vnaxeT, aRniSnuli meTodis gamoyeneba gulis-
xmobs, rom cnobilia SemTxveviTi wevrebis kovariaciuli matrica  . magram, ro-
gorc ekonometrikuli modelirebis praqtika gviCvenebs,  matrica winaswar TiT-
qmis yovelTvis ucnobia da misi elementebi iseve Sesafasebelia, rogorc regre-
siis koeficientebi. amasTan,  matricis simetriulobis miuxedavad, ucnobi ele-
mentebis ricxvi n(n  1) / 2 Cvens gankargulebaSi arsebul dakvirvebis monacemTa
raodenobas mniSvnelovnad aRemateba, rac  -s yvela elementis Sefasebas statis-
tikurad aragadawyvetad amocanad xdis. aqedan gamomdinare, rom SevZloT umcires
kvadratTa ganzogadebuli meTodis gamoyeneba,  matricis struqturas damatebi-
Ti aprioruli SezRudvebi unda davadoT. am gzas e.w. xelmisawvdom (praqtikulad
realizebad) umcires kvadratTa meTodamde mivyavarT. mtkicdeba, rom garkveuli
daSvebebis (SezRudvebis) pirobebSi xelmisawvdomi meTodiT miRebuli regresiis
koeficientebis Sefasebebi Zalmosilia da asimptoturad ufro efeqturia, vidre
Cveulebrivi umcires kvadratTa meTodiT miRebuli Sefasebebi. am meTodis arss
mogvianebiT ganvixilavT.

319
 $ 10.2. heteroskedasturobis arsi da Sedegebi

heteroskedasturobis movlena maSin warmoiqmneba, rodesac wrfivi regresiiis

modelisaTvis
Y  X  U (10.1)
gaus-markovis pirobebidan ar sruldeba mxolod homoskedasturobis moTxovna, anu
rodesac u SemTxveviTi wevris dispersia yvela dakvirvebisaTvis mudmivi sidide
ar aris da

D (ui )   i2 , i  1,2,, n .
aseT situaciaSi saqme gvaqvs ganzogadebuli wrfivi regresiuli modelis erT-erT
kerZo SemTxvevasTan, saxeldobr, regresiul modelTan, romelSic SemTxveviTi wev-
rebis kovariaciuli cov(U ) matricis aradiagonaluri elementebi nulis tolia,
diagonaluri elementebi ki aranulovania da ramdenime maTgani mainc erTmaneTisgan
gansxvavebuli sididea:

 12 0  0   1 0  0 
   
T
 0  22  0  20 2  0 
cov(U )  E (UU )         2 ,
        
 
0 0   2  0 0   
 n   n

sadac  i2 aris u i SemTxveviTi wevris dispersia;  2 - parametri, romelsac, moce-

mul SemTxvevaSi, cxadi albaTuri Sinaarsi ar gaaCnia;  i -  matricis diago-

naluri elementi:  i   i2 /  2 .

cxadia, roca sruldeba homoskedasturobis moTxovna, maSin  2 cxad alba-

Tur Sinaars Rebulobs – warmoadgens u SemTxveviTi wevris dispersias, romelic
yvela dakvirvebaSi mudmivia,  erTeulovan matricad gardaiqmneba da, maSasadame,
ganzogadebuli modelis kerZo SemTxvevidan (heteroskedasturi modelidan) klasi-
kur wrfiv regresiul modelze gadavdivarT.
heteroskedasturoba gansakuTrebiT or SemTxvevaSi warmoiSveba. erTi, roca
regresiis gantolebis ageba droiTi mwkrivebis safuZvelze xdeba. aseT situaciaSi
zogjer faqtoruli da Sedegobrivi cvladebi drosTan erTad izrdeba rac Sem-
TxveviTi u wevris gafantulobis zrdas da heteroskedasturobis movlenis war-
moqmnas iwvevs. meore, roca saqme dakvirvebis araerTgvarovan obieqtebTan gvaqvs.
magaliTad, mniSvnelovnad gansxvavebuli Semosavlebis mqone ojaxebisaTvis moxma-

320
rebis Semosavlebis sidideze Ddamokidebulebis ganxilvisas heteroskedasturobas
unda velodoT, radganac, rogorc wesi, maRali Semosavlebis mqoneni mets xarja-
ven moxmarebaze da dabalSemosavliani ojaxebis moxmarebasTan SedarebiT maTi mox-
marebis dispersiac ufro maRalia.


y  
  

  
    
  
   


x
nax. 10.1

aqve unda aRiniSnos, rom heteroskedasturobis problema ufro metad sivr-

cobrivi (jvaredini) monacemebisaTvisaa damaxasiaTebeli, vidre droiTi mwkrivebi-
saTvis. amas sakmarisad martivi axsna Seesabameba. saqme isaa, rom sivrcobrivi (jva-
redini) monacemebis ganxilvisas Sesaswavli ekonomikuri obieqtebi (momxmareblebi,
Sinameurneobebi, firmebi, qveynebi da a.S.) xSirad `zomaSi~ erTmaneTisagan mniSvne-
lovnad gansxvavdeba da maT Sesabamis maxasiaTeblebs masStabTan dakavSirebuli ef-
eqti gaaCnia. aseTi efeqti droiT mwkrivebSi naklebad SeimCneva, radganac, am Sem-
TxvevaSi, rogorc wesi, saqme gvaqvs erTi da igive obieqtis an movlenis maxasia-
TeblebTan, romlebic drois sxvadasxva momentSi sxvadasxva mniSvnelobas Rebu-
lobs. magram roca am maxasiaTebelTa cvlileba xangrZlivad zrdis an Semcirebis
tendenciiT xasiaTdeba, maSin heteroskedasturobis movlena droiT mwrivebSic
warmoiqmneba.
nax 10.1-ze naCvenebia heteroskedasturobis erT-erTi tipi. rogorc vxedavT,
mocemul SemTxvevaSi igulisxmeba, rom x faqtoruli cvladis mniSvnelobis zrdis
kvalobaze y -is da, Sesabamisad, u -s gafantulobis xarisxi izrdeba. magram hete-
roskedasturoba savaldebulo ar aris nax. 10.1-ze warmodgenil tips miekuTvne-
bodes. misi arsebobisaTvis mTavaria, rom sxvadasxva dakvirvebaSi u -s sxvadasxva
dispersia gaaCndes.
heteroskedasturobis SemTxvevaSi wrfivi regresiis (10.1) modelis Sefasebi-
saTvis SeiZleba Cveulebrivi umcires kvadratTa meTodi gamoviyenoT. ganzogade-
buli modelis msgavsad mocemul SemTxvevaSic am meTodiT miRebuli regresiis ko-

321
eficientebis Sefasebebi

B  ( X T X ) 1 X T Y  ( X T X ) 1 X T ( X  U )    ( X T X ) 1 X TU (10.19)
gadauadgilebelobis, Zalmosilebisa da araefeqtianobis TvisebebiT xasiaTdeba da
maTi Sesabamisi kovariaciuli matrica aris

cov( B )   2 ( X T X ) 1 X T X ( X T X ) 1 . (10.20)
gadauadgilebelobisa da Zalmosilebis Tvisebis gamo umcires kvadratTa me-
TodiT Sefasebuli heteroskedasturi modeli SeiZleba Sedegobrivi cvladis uc-
nobi mniSvnelobebis prognozirebisaTvis gamoviyenoT. magram Tu regresiuli
modelis ageba ekonomikuri analizis Catarebasa da kanonzomierebebis dadgenas em-
saxureba, maSin aRniSnuli meTodiT heteroskedasturi modelis Sefaseba aramizan-
Sewonilia, radganac, rogorc aRvniSneT, (10.19) Sefasebebi araefeqtiania.
Cveulebrivi umcires kvadratTa meTodis gamoyenebas kidev ufro arTulebs is
garemoeba, rom gadaadgilebuli da araZalmosilia regresiis koeficientebis kova-

riaciuli matricis (10.20)-is Sefaseba Cov ( B )  S e2 ( X T X ) 1 , romlis diagonaluri

elementebi hipoTezebis SemowmebisaTvis gamoiyeneba, sadac S e2 narCenobiTi wevris

dispersiaa: S e2  eT e /(n  m  1) . es garemoeba t da F testebis saSualebiT

regresiis miRebuli modelis sizustis Sefasebas SeuZlebels xdis.

$ 10.3. heteroskedasturobis gamovlenis testebi

sawyis monacemTa specifikis codna, zogierT SemTxvevaSi, saSualebas gvaZlevs

regresiuli modelis agebamde ganvWvritoT heteroskedasturobis arseboba da misi
uaryofiTi Sedegebis Tavidan asacileblad Sesabamisi zomebi miviRoT. magram, ume-
tes SemTxvevaSi, heteroskedasturobis gamovlena specialuri testebis saSuale-
biT xorcieldeba. amJamad ramdenime aseTi efeqturi testia SemuSavebuli. maTi mi-

zania daadginos, aris Tu ara SemTxveviTi u i wevris dispersia D (ui )   i2 rome-

lime amxsnel cvladze an amxsnel cvladTa erTobliobaze damokidebuli2. amis Se-

sabamisad testebis ori tipi arsebobs. pirveli tipis testebSi SemTxveviTi wev-

2
vinaidan  i2 aradakvirvebadi sididea, amitom testebis umravlesoba mis Sefasebad
iyenebs Cveulebrivi umcires kvadratTa meTodiT agebuli regresiis gantolebis nar-
CenobiTi wevris mniSvnelobis kvadrats ei2 -s.

322
ris dispersis erT calke aRebul cvladze damokidebulebis arsebobis SesaZleb-
loba mowmdeba. aseTi testebis Sedegebi advilad interpretirebadia, xolo maTi
saSualebiT gamovlenili heteroskedasturoba ki martivad aRmofxvradia. magram
SedarebiT ufro universaluri da saimedoa meore tipis testebi, romlebSic Sem-
TxveviTi wevris dispersis amxsnel cvladebis garkveul erTobliobaze damoki-
debulebis arseboba mowmdeba. aseTi testebi heteroskedasturobis gamovlenasTan
erTad modelis specifikaciis sisworis Semowmebis saSualebasac iZleva.
qvemoT orive tipis testis ramdenime mniSvnelovan saxes ganvixilavT. yvela
maTganSi ZiriTadi Sesamowmebeli hipoTezaa H 0 :  12   22     n2 , xolo H 1
hipoTezis mixedviT dispersiis Tundac ori mniSvneloba erTmaneTisgan unda
gansxvavdebodes.

konkretuli faqtoruli cvladis mimarT heteroskedasturobis

Semowmebis testebi

spirmenis ranguli korelaciis testi. am testis Sesrulebas safuZvlad

udevs daSveba imis Sesaxeb, rom heteroskedasturobis SemTxvevaSi faqtoruli x
cvladis zrdis kvalobaze SemTxveviTi wevris dispersia unda izrdebodes an unda
mcirdebodes, amitom umcires kvadraTa meTodiT Sefasebul regresiaSi narCenebis
absoluturi sidide | e | da faqtoruli cvladis mniSvneloba x erTmaneTTan kore-
laciaSia. aRniSnuli korelaciuri damokidebulebis gamosavlenad saWiroa x -isa
da | e | -s ranJireba ( x -sa da | e | -s rangi eniWebaT sididis Sesabamisad – maRal
mniSvnelobas maRali rangi Seesabameba) da spirmenis ranguli korelaciis koefi-
cientis rex -is gamoTvla Semdegi formulis saSualebiT

6 n 2
rex  1   di ,
n 3  n i 1
(10.21)

sadac d i aris sxvaoba xi -sa da | ei | -s rangebs Soris; n - dakvirvebis ricxvi.

magaliTad, Tu x -is yvela dakvirvebad mniSvnelobebs Soris x15 rangiT (sididiT)
me-20-a, xolo | e | -s gamoTvlil mniSvnelobebs Soris | e15 | aris rangiT (sididiT)
me-18, maSin d15  20  18  2 .
cnobilia, rom Tu ranguli korelaciis Teoriuli mniSvneloba  ex genera-
lur erTobliobaSi nulis tolia, maSin statistikas
| rex | n  2
t (10.22)
1  rex2

323
gaaCnia stiudentis ganawileba Tavisuflebis n  2 xarisxiT. maSasadame, Tu (10.22)
formuliT gamoTvlili t -s mniSvneloba stiudentis ganawilebis cxrilidan
mniSvnelovnebis  doniTa da Tavisuflebis n  2 xarisxiT SerCeul tkr -s aRema-

teba, maSin SegviZlia uarvyoT nulovani hipoTeza korelaciis ranguli koeficien-

tis,  ex -is, nulTan tolobis Sesaxeb. es ki TavisTavad heteroskedasturobis ar

arsebobis Sesaxeb nulovani hipoTezis uaryofas niSnavs (unda CavTvaloT, rom

adgili aqvs heteroskedasturobas).
roca regresiis modelSi erTze meti amxsneli cvladia, maSin hipoTezis Se-
mowmeba SeiZleba nebismieri maTganis mimarT ganxorcieldes.

 magaliTi 10.1. cxril 10.1-Si moyvanilia monacemebi 25 firmis mier wlis

ganmavlobaSi miRebuli mogebis sididisa ( x ) da misi gaunawilebeli nawilis ( y ) Sesaxeb.

spirmenis ranguli korelaciis gamoyenebiT SevamowmoT, xom ar arsebobs heteroskedas-

turobis problema am monacemebis safuZvelze asageb modelSi y   0  1 x  u , romelic

gaunawilebeli mogebis mTlian mogebaze damokidebulebis regresias ganixilavs.

cxrili 10.1
firmis mTliani gaunawi- firmis mTliani gaunawi- firmis mTliani gaunawi-
# wminda lebeli # wminda lebeli # wminda lebeli
mogeba mogeba mogeba mogeba mogeba mogeba
x y x y x y
1 211 70 10 140 32 19 192 62
2 160 47 11 335 80 20 79 14
3 312 92 12 530 167 21 50 12
4 103 23 13 232 51 22 274 89
5 380 125 14 152 43 23 353 110
6 183 59 15 130 25 24 80 22
7 63 19 16 290 65 25 480 120
8 450 140 17 175 40
9 255 73 18 400 110

amoxsna. Cveulebrivi umcires kvadratTa meTodiT SevafasoT wrfivi regresiis gan-

toleba (frCxilebSi miTiTebulia standartuli Secdomebi)


y   5,4539 0,3039 x , R 2  0,9448, F  393,7
( 4, 2127) (0, 0153)

da gamovTvaloT narCenobiTi wevris ei  yi  yi mniSvnelobebi. SevadginoT cxrili 10.2,

romelSic mTliani mogebis sidide zrdis mixedviTaa mowesrigebuli. amave cxrilSi moyva-
nilia xi -isa da ei -s Sesabamisi rangebis sxvaobiTi mniSvnelobebi d i . am monacemebis

safuZvelze gamoTvlili ranguli korelaciis koeficienti tolia

324
 6 n 2 6  1107
rex  1  
n 3  n i1
d i  1 
24  624
 0,5742 .

cxrili 10.2
x rangi |e| rangi d x rangi |e| rangi d
50 1 2,2571 3 -1 232 14 14,0591 21 -7
63 2 5,3059 10 -8 255 15 0,9504 1 14
79 3 4,5570 8 -5 274 16 11,1756 18 -2
80 4 3,1390 6 -2 290 17 17,6873 24 -7
103 5 2,8515 5 0 312 18 2,6261 4 14
130 6 9,0577 16 -10 335 19 16,3644 23 -4
140 7 5,0971 9 -2 353 20 8,1647 13 7
152 8 2,2557 2 6 380 21 14,9585 22 -1
160 9 3,8242 7 2 400 22 6,1202 11 11
175 10 7,7348 12 -2 450 23 8,6830 14 9
183 11 8,8337 15 -4 480 24 20,4350 25 -1
192 12 9,0983 17 -5 530 25 11,3682 20 5
211 13 11,3235 19 -6

SevamowmoT miRebuli rex -is mniSvnelovneba, risTvisac (10.22)-iT gamovTvaloT t

statistika: t  3,364 . es ukanaskneli aRemateba tkr -s, romelic 5%-iani donisaTvis

2,069-s Seadgens. maSasadame, mocemuli testis mixedviT unda CavTvaloT, rom ganxilul
magaliTSi adgili aqvs heteroskedasturobas. 

golfeld-kvandtis testi. am testis Catarebas safuZvlad ori daSveba

udevs: 1) igulisxmeba, rom SemTxveviTi u i , i  1,2,, n , wevri normaluradaa gana-

wilebuli da avtokorelacias ar eqvemdebareba; 2) mocemul dakvirvebaSi SemTx-

veviTi wevris standartuli gadaxra  i faqtoruli x j cvladis xij mniSvnelo-

bis proporciulia.
davuSvaT, garkveuli mosazrebidan gamomdinare migvaCnia, rom  i dadebiTad

korelirebs xij -sTan: rac didia mocemuli faqtoruli cvladis mniSvneloba, miT

didia SemTxveviTi wevris standartuli gadaxra. aseT pirobebSi golfeld-kvan-

dtis testis Sesasruleblad saWiroa Semdegi operaciebis ganxorcieleba.
1. dakvirvebis n wertilisagan Semdgar mTel erTobliobas x j faqtoruli

cvladis zrdis mixedviT vawesrigebT;

2. mowesrigebul mTel erTobliobaSi gamovyofT pirveli n dakvirvebisagan,
bolo n dakvirvebisagan da danarCeni n  2n dakvirvebisagan Semdgar nawilebs;
3. pirveli n da bolo n dakvirvebebisaTvis calk-calke, Cveulebrivi umc-

325
ires kvadratTa meTodis gamoyenebiT, vafasebT regresiis models
y   0  1 x1     m x m  u .
Sua n  2n dakvirvebebi mxedvelobaSi ar miiReba. sawyis da bolo n dakvirve-
bebisaTvis Sefasebuli modelebisaTvis gamoTvlili narCenebis safuZvelze vanga-
riSobT SemTxveviTi wevris dispersiebis Sefasebebs
n n
1 2 1
2
S 
I  ei2 , S 
II  ei2 ;
n  m  1 i 1 n  m  1 i n n1
4. pirveli n da bolo n dakvirvebebis Sesabamisi SemTxveviTi wevrebis  I2

da  II2 dispersiebis tolobis Sesamowmeblad vagebT statistikas F  S II2 S I2 .

roca marTebulia hipoTeza H 0 :  I2   II2 , maSin moyvanil F SemTxveviT sidides

fiSeris F ( n  m  1; n   m  1) ganawileba Seesabameba. amitom Tu (n  m  1) da

(n  m  1) Tavisuflebis xarisxebiTa da mniSvnelovnebis  doniT fiSeris gana-

wilebis cxrilidan SerCeuli Fkr -saTvis sruldeba piroba F > Fkr , maSin uarv-

yofT nulovan hipoTezas da vRebulobT mis alternativas H 1 :  I2   II2 . maSasada-

me, aseT situaciaSi testi gviCvenebs, rom adgili aqvs heteroskedasturobas.

testis simZlavre, anu heteroskedasturobis uaryofis albaToba, roca igi
realurad ar arsebobs, damokidebulia n -is SerCevaze. roca n  n / 3 , es albaT-
oba maqsimaluria. testis avtorebis rekomendaciiT mizanSewonilia, rom n -is mni-
Svneloba aviRoT daaxloebiT 3 n /8-is doneze. amasTan, adgili unda hqondes uto-
lobas n  m  1 , sadac m regresiis modelSi Semaval amxsnel cvladTa ricxvia.

 magaliTi 10.2. cxril 10.1-Si moyvanili monacemebis safuZvelze agebuli

regresiis y   0  1 x  u modelisaTvis golfeld-kvandtis testis gamoyenebiT
SevamowmoT heteroskedasturobis arsebobis SesaZlebloba.
amoxsna. pirvel rigSi davadginoT n -is mniSvneloba. n  3n / 8 formulis
gaTvaliswinebiT n -is mniSvnelobad SeiZleba miviRoT 10. x -is zrdis mixedviT movawe-
srigoT monacemebi da Cveulebrivi umcires kvadratTa meTodiT pirveli 10 da bolo 10
dakvirvebis monacemisaTvis avagoT wrfivi wyviluri regresiis modelebi. miviRebT
(frCxilebSi miTiTebulia standartuli Secdomebi):

yi   1,3167  0,2563 xi R 2  0,848, F  44,75 , i  1,2,,10 ;
( 4,6229) ( 0,0381)

yi   11,084 0,3178 xi R 2  0,798, F  31,6 , i  16,17, ,25 .
( 21,975) ( 0,0565)

326
narCenebis kvadratebis jami pirveli gantolebisaTvis Seadgens 204,45-s, meore
gantolebisaTvis ki – 1648,84-s. amitom aseT pirobebSi F statistika tolia
F  1648 .84 / 204 ,45  8,065 . Ees mniSvneloba aRemateba 5%-iani mniSvnelovnebis donis da
Tavisuflebis 8 da 8 xarisxebis Sesabamis kritikul mniSvnelobas Fkr  3, 44 . maSasadame,

10.1 cxrilis monacemebisaTvis heteroskedasturobis arseboba golfeld-kvandtis testi-

Tac sabuTdeba. 

parkis testi. mocemul testSi gamoiyeneba daSveba imis Sesaxeb, rom hete-

roskedasturobis dros SemTxveviTi wevris dispersia  i2 amxsneli x j cvladis

xij mniSvnelobasTan SeiZleba imyofebodes ara proporciul, rogorc es golfeld

-kvandtis testSi igulisxmeba, aramed regresiul damokidebulebaSi. am damokide-
bulebis saxed parki ganixilavs

 i2   2 xij exp( i ) , i  1,2,, n ,

sadac  da  2 - regresiis parametrebia, romelebic unda SevafasoT;  i - SemTxve-

viTi sididea. moyvanili gamosaxulebis galogariTmebiT miiReba wrfivi regre-

siuli modeli:

ln  i2  ln  2   ln xij   i , i  1,2,, n .
am sistemaSi  i2 aradakvirvebadi sididea. amitom, rom SevafasoT moyvanili

modeli, heteroskedasturobis sxva testebis msgavsad, mocemul SemTxvevaSic  i2 -

is nacvlad aiReba misi Sefaseba ei2 - narCenobiTi wevris kvadrati, romelic reg-

resiis y   0  1 x1     m x m  u gantolebis Cveulebrivi umcires kvadratTa

meTodiT Sefasebis Semdeg miiReba.

sabolood parkis testis mixedviT unda SevafasoT regresiis gantoleba

ln ei2     ln xij   i , (10.23)


sadac   ln  2 . Tu miRebul Sefasebul modelSi  koeficientis mniSvneloba 
statistikurad mniSvnelovania (mniSvnelovnebis Semowmeba xorcieldeba standar-
tulad, t kriteriumis gamoyenebiT), maSin iTvleba, rom regresiis sawyis
y   0  1 x1     m x m  u

modelSi adgili aqvs heteroskedasturobas, romelic  i2 -is amxsnel xij cvladze

damokidebulebiTaa gamowveuli.

327
 gleizeris testi. heteroskedasturobis gamovlenis am tests parkis tes-
tisagan ori garemoeba ganasxvavebs. erTi, rom SemTxveviTi wevris dispersiisa da
amxsneli cvladis SesaZlo kavSiris dasaxasiaTeblad logariTmulis nacvlad sxva
saxis arawrfivi (SesaZlebelia wrfivic) regresiuli damokidebuleba ganixileba.

meore, aRniSnul regresiaSi Sedegobrivi cvladis rolSi  i2 dispersiis nacvlad

aRebulia sdandartuli gadaxra  i , romlis Sefasebas narCenobiTi wevris abso-

luturi mniSvneloba | ei | warmoadgens.

testis Sesasruleblad dasawyisSi Cveulebrivi umcires kvadratTa meTodiT

vafasebT regresiis y   0  1 x1     m x m  u gantolebas da mis safuZvelze
miRebuli narCenobiTi ei wevrebis gamoyenebiT gleizeris mier SemoTavazebuli Se-

mdegi variantebidan:
| ei |    xij   i , i  1,2,, n ; (10.24a)

| ei |    xij  i , i  1,2,, n ; (10.24b)

1
| ei |      i , i  1,2,, n ; (10.24g)
xij
1
| ei |      i , i  1,2,, n . (10.24d)
xij
erT an ramdenime models vagebT. Tu Sefasebis Semdeg aRmoCndeba, rom romelime

gantolebis regresiis  koeficienti statistikurad mniSvnelovania, maSin nulo-
van hipoTezas heteroskedasturobis ar arsebobis Sesaxeb uarvyofT. rodesac mni-

Svnelovani  ramdenime funqciisaTvis miiReba, maSin heteroskedasturobis xasi-
aTis gansazRvrisaTvis orientiri maT Soris saukeTeso Sefasebaze unda aviRoT.
magaliTad, davuSvaT, rom mocemuli dakvirvebis monacemebisaTvis  -s statis-
tikurad mniSvnelovani Sefaseba oTxive gantolebisaTvis miviReT, magram t -s yve-
laze didi mniSvneloba (10.24b) gantolebis koeficients Seesabameba. maSin SeiZ-
leba CavTvaloT, rom mocemuli dakvirvebis monacemebisaTvis heteroskedasturoba
(10.24b) gantolebiT aproqsimirdeba. sxva sityvebiT, vuSvebT, rom u SemTxveviTi
sididis ganawilebis standartuli gadaxra x j faqtoruli cvladis zrdis Sedegad

izrdeba, magram ara iseTi siCqariT, rogoriTac x j izrdeba.

 magaliTi 10.3. kvlav mivmarToT cxril 10.1-Si moyvanil monacemebs da regresiis

328
 wrfivi y   0  1 x  u modelisaTvis heteroskedasturobis sakiTxis garkveva amjerad
gleizeris testis gamoyenebiT vcadoT.
amoxsna. ganvixiloT (10.24a)_(10.24d) tipis gantolebebi da TiToeuli maTgani
Cveulebrivi umcires kvadratTa meTodiT SevafasoT. miviRebT (frCxilebSi mocemulia
Sesabamisi t statistikis mniSvneloba):

| e |  2,8913 0,0226 x , R 2  0,334, F  11,56 ;
(t ) (1,8261) ( 3,3996 )


| e |   2,0424  0,6971 x, R 2  0,349, F  12,3 ;
(t ) ( 0 ,6630 ) ( 3,5086)

1
 
| e |  16,8902 115,07 x 2 R 2  0,32, F  10,8 ;
(t ) ( 6,1284 ) ( 3, 2897 )


| e |  12,095 608,507 x 1 R 2  0,281, F  8,99 .
(t ) ( 7 , 745) ( 2 ,998)

oTxive gantolebisaTvis regresiis  koeficientis t statistikis mniSvneloba aRe-
mateba tkr -s, romelic 5%-iani donisaTvis da Tavisuflebis 23 xarisxisaTvis 2,09-s

Seadgens. maSasadame, nulovani hipoTeza heteroskedasturobis ar arsebobis Sesaxeb


uaryofilia. amasTan, radganac t -s SedarebiT maRali mniSvneloba meore gantolebis  -s
gaaCnia, amitom cxril 10.1-is monacemebis pirobebSi heteroskedasturobis formis ganm-
sazRvrelad SeiZleba es gantoleba CavTvaloT. 

gleizeris testis, iseve rogorc parkis testis dadebiTi momentia gamo-

yenebis simartive da gasagebi logika – vixilavT dispersiis Sefasebis im faq-
torze damokidebulebas, romelmac SeiZleba gviCvenos, rom sxvadasxva dakvir-
vebisaTvis dispersia sxvadasxvaa. magram, rogorc sxva yvelaferi martivi, es tes-
tebic rigi naklovanebebiT xasiaTdeba. pirvel rigSi aRsaniSnavia, rom am tes-
tebiT ufro metad vamowmebT SemTxveviTi u i sididis amxsnel xij cvladTan damo-

ukideblobis sakiTxs, vidre heteroskedasturobis arsebobis an ar arsebobis hi-

poTezas. meore, gamoricxuli ar aris, rom TviTon testis Sesasrulebel (10.23)
da (10.24) gantolebebSi gaus-markovis pirobebi, maT Soris homoskedasturobis
piroba iyos darRveuli. rogorc cnobilia, es garemoeba ganapirobebs imas, rom
(10.23) da (10.24) gantolebebSi Sefasebuli regresiis statistikurad aramniS-

vnelovani koeficienti  zogjer mniSvnelonad warmogvidgeba. cxadia aseT piro-
bebSi parkisa da gleizeris testebiT miRebuli daskvnebis marTebuloba eWvis qveS

329
dgeba. aRniSnulis gamo iTvleba, rom zogadad gleizerisa da parkis testebi mi-
zanSewonilia gamoviyenoT amxsneli cvladis (cvladebis) dasadgenad, romelzec

damokidebulia  i2 , agreTve, gamovlenil amxsnel cvladze  i2 -is damokidebulebis

formis gansazRvrisaTvis.

testebi nebismieri formis heteroskedasturobis SemowmebisaTvis

breuS-paganis testi. mocemuli testi efuZneba daSvebas imis Sesaxeb, rom

heteroskedasturobis dros SemTxveviTi wevris dispersia wrfivad aris damoki-
debuli faqtorTa z1 , z 2 ,  , z k erTobliobaze, romelTa Sorisac regresiis

y   0  1 x1     m x m  u gantolebaSi Semaval amxsnel faqtorebis garda sxva

faqtoric SeiZleba iyos warmodgenili. maSasadame, aRniSnulis Tanaxmad,

 i2   0   1 zi1     k zik   i , i  1,2,, n ,

sadac  j , j  0,1,, k , regresiis ucnobi koeficientebia; z i1 , zi 2 ,, z ik dakvir-

vebadi sidideebia;  i SemTxveviTi wevria. heteroskedasturobis sxva testebis

msgavsad mocemul testSic  i2 -is Sefasebis rolSi ei2 ganixileba, amitom testis

erT-erT `samuSao~ gantolebaa

ei2   0   1 z i1     k z ik   i , i  1,2,, n . (10.25a)

zogjer ganixileba `samuSao~ gantolebis meore variantic

qi   0   1 z i1     k z ik   i , i  1,2,, n , (10.25b)

sadac qi  ei2 e 2 ; e2- narCenebis kvadratebis saSualo ariTmetikulia:

1 n 2
e2   ei . aqedan gamomdinare, breuS-paganis testi or variantad SeiZleba Ses-
n i 1
ruldes.
pirveli varianti Semdegi operaciebis Catarebas gulisxmobs:
1. Cveulebrivi umcires kvadratTa meTodiT vafasebT regresiis gantolebas
y   0  1 x1     m x m  u da vsazRvravT narCenobiTi wevris ei , i  1,2,, n ,
mniSvnelobebs;
2. viTvaliswinebT ei , i  1,2,, n , mniSvnelobebs (10.25a)-Si da am ukanasknels

Cveulebrivi umcires kvadratTa meTodiT vafasebT. vTqvaT, am gziT miRebuli gan-

330
tolebaa
  
ei2   0   1 z i1     k z ik   i , i  1,2,, n , (10.26a)
sadac  i narCenobiTi wevria;

3. (10.26a)-sTvis viTvliT determinaciis Re2 koeficients da vixilavT sta-

tistikas nRe2 . am ukanasknels lagranJis mamravlebis testis statistika ewodeba.

  
mtkicdeba, rom Tu marTebulia nulovani hipoTeza H 0 : γ1  γ2    γk  0 , maSin

nRe2 ~  2 (k ) , sadac  2 (k ) - xi-kvadrat ganawilebaa Tavisuflebis k xarisxiT.

4. mniSvnelovnebis  donisa da Tavisulebis k xarisxis mixedviT xi-kvad-

rat ganawilebis cxrilidan vsazRvravT kritikul mniSvnelobas. Tu nRe2 kriti-

kul mniSvnelobas aRemateba, maSin nulovan hipoTezas uarvyofT da vTvliT, rom

z1 , z 2 ,  , z k cvladebis mimarT adgili aqvs heteroskedasturobas.
meore variantSi `samuSao~ gantolebad (10.25a)-s nacvlad (10.25b) ganixi-
leba. es testis Catarebis Tanmimdebrobas arsebiTad ar scvlis. gansxvaveba imaSia,
  
rom nulovani hipoTezis H 0 : γ1  γ2    γk  0 Sesamowmeblad zemoT ganxiluli

nRe2 statistikis nacvlad am SemTxvevaSi gamoiyeneba ukve asimptoturad  2 (k )

ganawilebis mqone RSS / 2 statistika, romelSic RSS aris (10.25b)-is SefasebiT
miRebul gantolebaSi
  
qi   0   1 z i1     k z ik   i , i  1,2,, n (10.26b)
n n

regresiiT axsnili gafantuloba: RSS   ( qi  q ) 2 , sadac q  n 1  qi - saSualo
i i 1

ariTmetikulia, xolo qi  qi   i .

uaitis testi. es aris yvelaze universaluri da xSirad gamoyenebadi testi.

misi Sinaarsobrivi mxare or garemoebas efuZneba. erTi, rom Tu modelSi hetero-
skedasturobas aqvs adgili, maSin igi raRaca formiT Cveulebrivi sawyisi regre-
siis narCenobiT ei wevrebSi aisaxeba; meore, heteroskedasturoba xSirad imiTaa

gamowveuli, rom regresiis modelis SemTxveviT wevris dispersiebi amxsnel cvla-

debzea raime saxiT damokidebuli. amasTan, am damokidebulebis saxe SeiZleba sak-
marisad rTuli iyos. am garemoebebis gaTvaliswinebiT uaitma SemogvTavaza Sevamo-
wmoT heteroskedasturobis mxolod is formebi, romlebsac SeuZlia Cveulebrivi

331
umcires kvadratTa meTodiT miRebuli daskvnebi araswori gaxados.
TvalsaCinoebisaTvis testis algoriTmi ganvixiloT orfaqtoriani modelis
magaliTze: yi   0  1 xi1   2 xi 2  ui . maSin adgili aqvs Semdeg moqmedebebs.

1. sawyisi modelisTvis Cveulebrivi umcires kvadratTa meTodiT vRebulobT

Sefasebul gantolebas yi  b0  b1 xi1  b2 xi 2  ei ;

2. vagebT testis gantolebas, romelSic yvela faqtoruli cvladi pirvel

xarisxSi, kvadratebSi da wyvil-wyvilad namravlis saxiT Sedis:

ei2   0   1 xi1   2 xi 2   11 xi21   22 xi22   12 xi1 xi 2   i , (10.27)

sadac ei sawyisi regresiiuli gantolebis narCenobiTi wevria;  j da  jl Sesafa-

sebeli parametrebia;  i SemTxveviTi wevria;

3. umcires kvadratTa meTodiT vafasebT (10.27) gantolebas da miRebuli

     
ei2   0   1 xi1   2 xi 2   11 xi21   22 xi22   12 xi1 xi 2   i (10.28)
modelis adekvaturobis Sesaxeb hipoTezas vamowmebT. amisaTvis SeiZleba
gamoviyenoT rogorc F statistika, aseve lagranJis mamravlebis testis statis-

tika nRe2 ~  2 (5) , sadac Re2 - (10.28) gantolebis determinaciis koeficientia; 5-

 2 ganawilebis Tavisuflebis xarisxia, romelic mocemul SemTxvevaSi (10.28)

gantolebaSi amxsneli cvladebis ricxvs Seesabameba.

4. roca aRniSnuli kriteriumebiT Re2 -is mniSvnelovneba ar sabuTdeba, vake-

TebT daskvnas heteroskedasturobis ar arsebobis Sesaxeb.

yuradReba mivaqcioT im garemoebas, rom orfaqtoriani regresiis modelis
SemTxvevaSi testis (10.27) gantoleba 5 amxsnel cvlads Seicavs. roca sawyis mo-
delSi faqtorebis raodenoba ors aRemateba, es ricxvi imdenad izrdeba, rom da-
kvirvebis monacemebis raodenoba zogjer saSualebas ar iZleva aseTi ganzomilebis
testis gantoleba SevafasoT. amitom xSirad uaitis testis gantolebas Sekveci-

li saxiT ganixilaven – masSi mxolod x j da x 2j tipis cvladebs toveben.

$ 10.4. heteroskedasturobis problemis gadalaxvis meTodebi

davuSvaT, rom erT-erTi zemoT ganxiluli testis safuZvelze wrfivi

regresiis modelSi
yi   0  1 xi1     m xim  ui , i  1,2,, n ,

332
romlis matriculi Canaweria
Y  X  U , (10.29)
SemTxveviTi wevrebisaTvis gamovlenil iqna heteroskedasturoba. maSasadame, Tu
moyvanili modelis Sefasebis procesSi Cveulebrivi umcires kvadratTa meTodiT
SemovifarglebiT, regresiis koeficientebis araefeqtur Sefasebebs miviRebT da,
rac Zalze mniSvnelovania, modelis mniSvnelovnebis gamokvlevas ver SevZlebT,
radganac koeficientebis kovariaciuli matricis Sefaseba gadaadgilebuli da ara-
Zalmosilia. am SemTxvevaSi ra SeiZleba gavakeToT? pasuxi martivia: heteroskedas-
turoba unda aRmovfxvraT. magram vidre amas formaluri (teqnikuri) saSualebebis
gamoyenebiT gavakeTebT, pirvel rigSi, unda gavarkvioT, ratom warmoiqmna igi da
xom ar SeiZleba misi gadawyveta saRi azrisa da ekonomikuri logikis safuZvelze.
aq mxedvelobaSi gvaqvs is garemoeba, rom xSirad heteroskedasturobis warmoqmnis
mizezi regresiuli modelis araswori specifikaciaa. magaliTad, rodesac Sedegob-
riv da faqtorul cvladebs Soris WeSmariti damokidebuleba xarisxovani, loga-
riTmuli an sxva arawrfivi saxisaa, magram mis nacvlad zemoT moyvanili wrfivi
modeli gamoiyeneba, maSin didia imis albaToba, rom saqme heteroskedasturobasTan
gveqneba. heteroskedasturobis warmoqmnis kidev erTi mizezi araerTgvarovan mona-
cemTa gamoyenebaa, romelic zogjer monacemebis masStabirebis gziT advilad aRmo-
fxvradia. magaliTad, davuSvaT, rom sxvadasxva qveynisaTvis arsebuli monacemebis
gamoyenebiT mTliani Siga produqtis sidideze ganaTlebaze gaweuli danaxarjebis
regresiuli damokidebuleba gvinda davadginoT. radganac qveynebi erTmaneTisagan
mniSvnelovnad gansxvavdeba mTliani Siga produqtisa da ganaTlebaze gaweuli da-
naxarjebis doniT, amitom regresiul modelSi aRniSnuli maCveneblebis absolu-
tur gamosaxulebaSi ganxilva savaraudod heteroskedasturobis movlenamde migvi-
yvans. magram es movlena SeiZleba aviciloT Tuki masStabirebas movaxdenT da
orive maCvenebels erT sulze gadaviangariSebT.
samwuxarod, modelis specifikaciis srulyofiT, sawyisi monacemebis masStabi-
rebiT an sxva gaazrebuli moqmedebiT heteroskedasturobis problemas daZleva
yovelTvis ar xerxdeba. aseTi situaciisaTvis ki SemuSavebulia am problemis
koreqciis specialuri teqnikuri meTodebi, romelTa nawilsac qvemoT ganvixilavT.

333
 Sewonil umcires kvadratTa meTodi

heteroskedasturobis koreqciis es wesi ganzogadebuli umcires kvadratTa

meTodis kerZo SemTxvevaa da heteroskedasturobis mqone (10.29) regresiuli mo-
delisTvis maSin gamoiyeneba, roca SemTxveviTi u i wevrebis kovariaciuli matrica

 12 0  0   1 0  0 
   
 0  2
 0   0  2  0 
cov(U )  E (UU T )   2 2
      2 (10.30)
        
 
0 0   2   0 0   
 n   n 
mTlianad an  2 mudmivis sizustiT mocemulad iTvleba. ganvixiloT orive SemT-
xveva.
dasawyisSi SevCerdeT SemTxvevaze, roca cov(U ) mTlianad cnobilia. maSin igi
Semdegi saxiT SegviZlia warmovadginoT cov(U )  1   . maSasadame, am SemTxvevaSi

vTvliT, rom (10.30)-Si  2  1 , xolo  mTlianad cov(U ) -s emTxveva.

gavixsenoT aitkenis Teoremis damtkicebisas gamoyenebuli mniSvnelovani matri-
culi toloba

 1  (C 1 ) T C 1 . (10.13)

radganac Cvens SemTxvevaSi  diagonaluri matricaa, am tolobis damakmayofi-

lebeli  1 -is da C 1 -is gamoTvla sirTules ar warmoadgens. aSkaraa, rom

 1   1 
 2 0  0   0  0 
 1    12 
 
   ,
1  C 1         .
 
 1   1 
0 0   2  0 0  
 n 
  n2 
 
visargebloT C 1 -is moyvanili mniSvnelobiT da (10.29) Semdegi saxiT gardavqmnaT

C 1Y  C 1 X  C 1U . (10.31)

am matriculi gantolebis gaSlili Canaweria
~
yi   0 ~
xi 0   1 ~
xi1     m ~
xim  u~i , i  1,2,, n , (10.31a)

sadac

~ y 1 xij u
yi  i , ~xi 0  , ~
xij  , j  1,2,, m , u~i  i . (10.32)
 i2  i2  i2  i2

334
 rogorc vxedavT, Catarebuli gardaqmnis Sedegad miRebul gantolebaSi Tavi-
sufali wevri aRar arsebobs. sawyisi modelis Tavisufali wevri  0 gardaiqmna

regresiis parametrad, romelsac axali xi 0  1  i2 cvladi Seesabameba. imavdro-

ulad, SeiZleba vaCvenoT, rom (10.31) an, rac igivea, (10.31a) modelisaTvis gaus-
markovis yvela piroba, maT Soris homoskedasturobis piroba sruldeba. am uka-
nasknelis Sesamowmeblad ganvixiloT

 u  1 1
D (u~i )  D i  D (ui )  2  i2  1 i .
 2  i2
i
 i 
maSasadame, (10.31a) modelis SemTxveviT wevris dispersia D (u~i ) yvela dakvir-

vebaSi mudmivia da 1-s udris. gaus-markovis Teoremis Tanaxmad, Tu (10.31a) mod-

els Cveulebrivi umcires kvadratTa meTodiT SevafasebT, regresiis  0 , 1 ,,  m

koeficientebis gadauadgilebel da efeqtur Sefasebebs miviRebT. narCenebis kvad-

ratebis jami, romlis minimizirebac unda moxdes am procesSi, Semdegi saxisaa
n n
 ~ei 2  ( ~yi   0 ~xi 0  1 ~xi1     m ~xim ) 2 
i 1 i 1

n n
1 2 1 2
 2
( y i   0   x
1 i1     x
m im )   e .
2 i
(10.33)
i 1  i i 1  i

moyvanili gamosaxuleba saintereso daskvnis gakeTebis saSualebas iZleva.

kerZod, igi gviCvenebs, rom heteroskedasturobis pirobebSi sawyisi (10.29) mode-
lis umcires kvadratTa meTodiT Sefasebisas SeiZleba gadauadgilebeli da efeq-
tiani Sefasebebi miviRoT, Tuki narCenebis kvadratebis jamis minimizirebisas winas-

war,  i2 dispersiebis Sebrunebuli mniSvnelobebiT, narCenebis kvadratebis Sewon-

vas movaxdenT. swored am garemoebiT aixsneba ganxiluli meTodis saxelwodeba -

`Sewonil umcires kvadratTa meTodi~.

axla ganvixiloT meore SemTxveva, roca kovariaciuli matrica cov(U )   2 

mocemulia  2 parametris sizustiT e.i. viciT  matrica, romlis diaginaluri

elementebia 1 ,  2 ,,  n , magram ar viciT  2 -is mniSvneloba. aseT pirobebSi ze-

moT ganxilulisagan raime arsebiTad gansxvavebuli situacia ar warmoiqmneba, Tu

ar CavTvliT imas, rom (10.13) tolobis damakmayofilebel  1 da C 1 matricebs

Semdegi saxe aqvs

335
  1   1 
 0  0   0  0 
 1   1 
 1           , C 1         ,
   
0 0  1   1 
 n  0 0  
   n 

xolo (10.31a) gantolebaSi (10.32)-is nacvlad gvaqvs

~ y 1 xij u
yi  i , ~
xi 0  , ~
xij  , j  1,2,, m , u~i  i . (10.34)
i i i i
Sesabamisad icvleba narCenebis kvadratebis jamis (10.33) formulac. masSi

narCenebis kvadratebis Semwonav sidideebad 1  i2 -is nacvlad 1 i sidideebia war-

modgenili. kidev erTi garemoebaa aRsaniSnavi. (10.34) formulebiT sawyisi mode-

lis monacemebis gardaqmnis Sedegad miRebuli SemTxveviTi u~i wevris dispesia yve-

la dakvirvebisaTvis ucvleli sididea da Seadgens

 u  1 1 1
D (u~i )  D i   D (ui )   i2   2 i   2 .
   i i i
 i 

marTalia  2 parametris mniSvneloba CvenTvis ucnobia, magram radganac ganxilul

situaciaSi igi Sinaarsobrivad dispersias gamosaxavs, standartuli wesiT misi

Sefasebis dadgena SesaZlebelia. kerZod  2 -is gadauadgilebeli Sefasebaa

n n
1 ~ 1 1 2
S ~e2   ei
2
  ei .
n  m  1 i 1 n  m  1 i 1  i
rac Seexeba regresiis  0 , 1 ,,  m koeficientebis gadauadgilebel da efeq-

tian, xolo kovariaciuli cov(B ) matricis gadauadgilebel Sefasebebs, isini Sem-
degi saxiT gamoiTvleba
 ~ ~ ~ ~
B  ( X T X ) 1 X T Y  ( X T  1 X ) 1 X T  1Y ;
  ~ ~
Var ( B )  Cov( B )  S e~2 ( X T X ) 1  S e~2 ( X T  1 X ) 1 .

umcires kvadratTa ganzogadebuli xelmisawvdomi meTodi

praqtikaSi heteroskedasturobis gadalaxvis zemoT ganxiluli meTodi pir-

dapiri saxiT naklebad gamoyenebadia, radganac SemTxveviTi wevrebis kovariaciuli

336
matrica cov(U ) TiTqmis arasodes ar aris cnobili arc mTlianad da arc  2 pa-
rametris sizustiT. amitom saWiro xdeba umcires kvadratTa ganzogadebuli xel-
misawvdomi meTodis gamoyeneba, romelic ori etapisagan Sedgeba. pirvel etapze

 i2 , i  1,2,, n , dispersiebis mimarT garkveuli daSvebebi, anu SezRudvebi miiReba

da maTi gaTvaliswinebiT mTlianad kovariaciuli cov(U ) matricis an misi Semad-
geneli  matricis damakmayofilebel Sefasebas vaxdenT. meore etapze CvenTvis

ucnob  i2 , i  1,2,, n , maxasiaTeblebis nacvlad wina etapze miRebul Sefasebebs

vixilavT da regresiis sawyis (10.29) models Sewonil umcires kvadratTa meTo-

diT vafasebT.

umcires kvadratTa ganzogadebuli xelmisawvdomi meTodis realizaciisas  i2

dispersiebis Sesafaseblad sxvadasxva midgoma (daSveba) gamoiyeneba. es imazea damo-

kidebuli, Tu ra saxis heteroskedasturobasTan gvaqvs saqme. magaliTad, Tu hete-

roskedasturobis savaraudo mizezad amxsneli x j cvladis  i2 dispersiaze gavle-

na iTvleba, maSin SeiZleba davuSvaT, rom  i2   2 f ( xij ) , sadac f ( xij ) aris x j -ze

gansazRvruli raime funqcia. am funqciis saxisa da parametrebis konkretuli mni-

Svnelobebis dasadgenad mizanSewonilia parkis an gleizeris tests mivmarToT.

xSir SemTxvevaSi gamoiyeneba f ( xij ) -is gamartivebuli varianti f ( xij )  xijq . amitom

qvemoT Cvenc masze SevCerdebiT.

vTqvaT, heteroskedasturobis gamovlenis romelime testis safuZvelze SerCe-

ul iqna q  2 . maSin zemoT moyvanili daSveba miiRebs  i2   2 xij2 , i  1,2,, n ,

saxes ris Sedegadac (10.30)-Si  matricis diaginaluri 1 ,  2 ,,  n elemen-

tebis rolSi SeiZleba ganvixiloT x12j , x 22 j ,  , x nj2 . maSasadame, miviReT situacia,

rodesac kovariaciuli matrica cov(U )   2  mocemulia  2 parametris sizus-

tiT. aseT pirobebSi ukve SesaZlebelia Sewonil umcires kvadratTa meTodis gamo-
yeneba. mocemul SemTxvevaSi aRniSnuli meTodi regresiis sawyisi (10.29) modelis
Semdegi saxiT gardaqmnas
yi 1 xi1 xim ui
 0  1  m  , i  1,2,, n (10.35)
xij2 xij2 xij2 xij2 xij2

337
da am ukanasknelis Cveulebrivi umcires kvadratTa meTodiT Sefasebas gulis-
xmobs. regresiis (10.29) modelis  0 , 1 ,,  m koeficientebisaTvis aseTi gziT

miRebuli b0 , b1 ,, bm swored umcires kvadratTa ganzogadebuli xelmisawvdomi

meTodiT miRebuli Sefasebebia. es Sefasebebi Zalmosili da asimptoturad efeq-

tiania, radganac gardaqmnis Sedegad miRebul (10.35)-s SerCevis didi moculobis
pirobebSi mravlobiTi regresiis wrfivi klasikuri modelis Tvisebebi gaaCnia.

 magaliTi 10.4. cxril 10.1-Si moyvanili monacemebis safuZvelze umcires kva-

dratTa ganzogadebuli meTodiT SevafasoT y   0  1 x  u gantolebis koeficientebi.
amoxsna. magaliT 10.3-Si gleizeris testis gamoyenebisas davadgineT, rom heteros-

kedasturobis aproqsimireba SeiZleba Semdegi sistemiT movaxdinoT:


| ei |   2,0424  0,6971 xi , i  1,2, ,25
(t ) ( 0 , 6630 ) (3, 5086)

visargebloT am SedegiT da  matricis 1 ,  2 ,,  n diaginaluri elementebis Sefa-

sebebis rolSi ganvixiloT

 2

 i  ei2   2,0424  0,6971 xi , i  1,2, ,25 . (*)

maSasdame, saZiebeli modelis asagebad vuSvebT, rom SemTxveviTi wevris  i2 dispersia

Semdegi damokidebulebiT ganisazRvreba

 
2
 i2   2  2,0424  0,6971 xi , i  1,2, ,25 .
aseT pirobebSi sawyisi modelis gardaqmnili saxe iqneba

cxrili 10.3
~
yi ~
xi 0 ~
xi1 ~
yi ~
xi 0 ~
xi1 ~
yi ~
xi 0 ~
xi1
4,1566 0,3464 17,3193 5,5714 0,1393 24,3748 7,4649 0,0933 31,2592
5,4429 0,2865 18,0476 7,9860 0,1354 24,7700 9,9501 0,0905 31,9308
3,3705 0,2406 19,0192 8,1396 0,1313 25,2065 10,8255 0,0866 32,9095
5,2471 0,2385 19,0804 8,6593 0,1237 26,1017 9,2438 0,0810 33,6139
4,5703 0,1987 20,4668 5,9470 0,1166 27,0532 10,9842 0,0785 35,3064
4,2330 0,1693 22,0118 8,0312 0,1100 28,0540 9,0699 0,0756 36,2796
5,1563 0,1611 22,5590 9,3715 0,1053 28,8516 11,9232 0,0714 37,8400
6,5627 0,1526 23,1983 6,6131 0,1017 29,5045
6,9368 0,1476 23,6146 8,9572 0,0974 30,3766

~
yi   0 ~
xi 0   1 ~
xi1  u~i ,

~ y 1 x u
sadac yi  i , ~
xi 0  , ~
xi1  i1 , u~i  i , i  1,2, ,25 , xolo  i ki (*)
i i i i

338
formuliT aris gansazRvruli. cxrili 10.3-Si gardaqmnili y, ~
~ x0 , ~
x1 cvladebis
mniSvnelobebia moyvanili. maT gamoyenebiT heteroskedasturobisagan koreqtirebuli reg-
resiuli modelis Semdegi Sefasebuli varianti miiReba:

~
yi   4,0211 ~
xi 0  0,2978 ~
xi1 ; R 2  0,98 F  566,54 . 
( 2 ,3817 ) ( 0, 0138)

unda aRiniSnos, rom umcires kvadratTa ganzogadebul xelmisawvdom meTods,

iseve rogorc Sewonil umcires kvadratTa meTods, ori uaryofiTi momenti ax-
lavs. erTi, rom gardaqmnili gantoleba (10.35) Tavisufal wevrs ar Seicavs da
amis gamo determinaciis koeficienti identificirebuli modelis xarisxis Sesa-
faseblad naklebad gamosadegi xdeba. meore, gardaqmnis procesSi modelis ganto-
lebis yvela wevrs erTi da igive ricxvze ((10.35)-Si i dakvirvebis Sesabamisi gan-

tolebisaTvis aseTi ricxvia xij2 ) vyofT. aRniSnulma qmedebam SeiZleba cru kav-

Sirebisa da multikoliniarobis warmoqmna gamoiwvios. kidev erT garemoebas unda

gaesvas xazi. praqtikaSi umcires kvadratTa ganzogadebuli xelmisawvdomi meTodis
efeqtianoba imazea damokidebuli, ramdenad zustad SevZlebT SemTxveviTi wevris

 i2 , i  1,2,, n , dispersiebis Sefasebas.

regresiis koeficientebis kovariaciuli matricis

heteroskedasturobis mimarT mdgradi Sfaseba

rodesac heteroskedasturobis zusti saxe cnobili ar aris da Sewonil

umcires kvadratTa meTodis (an ganzogadebuli xelmisawvdomi meTodis) gamoyeneba
ar xerxdeba, maSin Cveulebrivi umcires kvadratTa meTodiT Sefasebuli regresiis
koeficientebis ganxilviT unda SemovifargloT, magram, imavdroulad, am koefici-
entebisaTvis miRebuli Sesabamisi kovariaciuli matricis koreqtireba unda movax-
dinoT. sxvanairod rom vTqvaT, ori problemidan, romelsac heteroskedasturobis
dros Cveulebriv umcires kvadratTa meTodis gamoyenebisas vawydebiT, erTi-erTis
gadawyvetas vcdilobT.3 marTalia, aseT SemTxvevaSi regresiis Sefasebuli koefi-

3
SegaxsenebT. rom heteroskedasturobis pirobebSi Cveulebrivi umcires kvadratTa

meTodis gamoyenebisas warmoqnili problemebia: 1) Sefasebuli regresiis B koefici-
entebi araefeqtiania; 2) kovariaciuli matricis standartuli Sefaseba

Var ( B)  S e2 ( X T X ) 1 ,
romliTac vsargeblobT regresiis koeficientebis statistikuri mniSvnelovnebis da-
sadgenad, gadagvarebuli da araZalmosilia.

339
cientebis sizuste naklebi iqneba, magram, rogorc zemoT araerTxel aRvniSneT,
Cveulebrivi umcires kvadratTa meTodiT miRebuli Sefasebebi gadauadgileblobisa
da Zalmosilebis Tvisebas inarCunebs.
vTqvaT, vixilavT (10.29) models, romlisTvisac SemTxveviT wevrebis kova-
riacul matricas cov(U ) -s (10.30)-Si moyvanili saxe gaaCnia. zemoT ukve aRvniS-
neT, rom aseTi modelisaTvis Cveulebrivi umcires kvadratTa meTodis gamoyeneba
iZleva:

B  ( X T X ) 1 X T Y ,

cov( B )  ( X T X ) 1 X T cov(U ) X ( X T X ) 1 ,

sadac cov(U )   2  . uaitma daasabuTa, rom, Tu ucnob kovariaciul matricas,

cov(U )   2  -s, Semdegi saxiT SevafasebT

 12 0  0   e12 0  0 
   
 0  22  0   0 e22  0 
Cov (U )    ,
               
 0 0   2   0 0  e 2 
 n   n 

maSin miiReba regresiis koeficientebis koreqtirebuli kovariaciuli matrica


Cov ( B)  ( X T X ) 1 X T Cov (U ) X ( X T X ) 1 , (10.36)

romelic cov( B ) -saTvis Zalmosili Sefasebaa, e.i. didi SerCevis dros karg Sefa-
sebebs iZleva. (10.36)-s uaitis Sefaseba, anu heteroskedasturobis mimarT mdgradi
Sefaseba ewodeba. ariTmetikuli fesvebi am matricis diagonaluri elementebidan
regresiis koeficientebis Zalmosili standartuli Secdomebia. amitom koefici-
entebis mniSvnelovnebis Sesamowmeblad maTi gamoyenebiT SeiZleba heteroskedas-
turobis mimarT mdgradi t statistikebi gamovTvaloT. aRsaniSnavia, rom (10.36)
matricis formidan gamomdinare ekonometrikul literaturaSi ixmareba saxelwo-
deba `sendviC-Sefaseba~.

kiTxvebi TviTSemowmebisaTvis

1. raSi mdgomareobs mravlobiTi regresiis ganzogadebuli wrfivi modelis arsi?

2. ratom ar aris mizanSewonili ganzogadebuli wrfivi modelis Sesafaseblad
Cveulebrivi umcires kvadratTa meTodis gamoyeneba?

340
3. CamoayalibeT aitkenas Teorema. aRwereT zogadi sqema, romelsac aitkenas Teo-
remis damtkiceba efuZneba.
4. ganzogadebuli wrfivi modelis mniSvnelovnebis Semowmebisas ra sirTulesTan
aris dakavSirebuli determinaciis koeficientis gamoyeneba?
5. raSi mdgomareobs heteroskedasturobis problemas arsi? ZiriTadad ra Sem-
TxvevaSi warmoiqmneba es problema?
6. ra problemebi warmoiqmneba heteroskedasturobis dros regresiuli modelis
Cveulebrivi umcires kvadratTa meTodiT Sefasebisas?
7. CamoayalibeT ZiriTadi hipoteza, romlis Semowmebac heteroskedasturobis ga-
movlenis testebSi xdeba.
8. daaxasiaTeT parkisa da gleizeris testebis arsi. kidev ra saxis testebi
gamoiyeneba heteroskedasturobis gamosavlenad?
9. rodis gamoiyeneba heteroskedasturobis koreqtirebisaTvis Sewonili umcires
kvadratTa meTodi? raSi mdgomareobs misi arsi?
10. ras niSnavs umcires kvadratTa ganzogadebuli xelmisawvdomi meTodi da ra
SemTxvevaSi gamoiyeneba igi?

amocanebi da savarjiSoebi

10.1 ganzogadebuli wrfivi regresiuli modelisaTvis yi   0  1 xi  u i mocemu-

lia dakvirvebis 10 wertili (ix. cxrili 10.4 )
cxrili 10.4
xi 8 10 12 16 20 20 24 28 30 36
yi 6,8 6,9 7,3 7,4 8,4 8,0 8,8 8,0 9,9 10,3

a) umcires kvadratTa ganzogadebuli meTodiT gansazRvreT moyvanili modelis

koeficientebis Sefasebebi, Tu cnobilia, rom adgili aqvs `wminda~ hetero-
skedasturobas da mocemulia SemTxveviTi wevris dispersiebi:

0,04, roca 5  xi  15;


 i2  0,16, roca 15  xi  25;
1, roca 25  xi  40.

b) gamoTvaleT a) punqtSi mocemuli situaciisaTvis umcires kvadratTa
ganzogadebuli meTodiT miRebuli parametrebis kovariaciuli matrica;

341
 g) SeafaseT modelis parametrebi Cveulebrivi umcires kvadratTa meTodiT.
gamoTvaleT miRebuli parametrebis kovariaciuli matrica. SeadareT miRebuli
Sedegebi a) da b) punqtebSi miRebul Sedegebs da gaakeTeT Sesabamisi daskvnebi.

10.2. cxril 10.5-Si moyvanilia monacemebi sivrcobrivi SerCevis modelis 18 dak-

virvebisaTvis. yi   0  1 xi  u i regresiis SemTxveviTi wevri CaTvaleT normaluri
ganawilebis mqoned da Sesabamisi testis gamoyenebiT SeamowmeT hipoTeza hetero-
skedasturobis arsebobis Sesaxeb
cxrili 10.5
i xi ei2 i xi ei2 i xi ei2
1 21,3 2,3 7 56,9 24,0 13 78,9 56,9
2 22,6 5,6 8 59,7 21,9 14 79,8 56,8
3 32,7 12,8 9 67,8 19,7 15 80,7 49,8
4 41,9 10,1 10 71,5 23,8 16 80,8 58,9
5 43,8 14,6 11 75,7 45,7 17 96,9 87,8
6 49,7 13,9 12 76,0 34,7 18 97,0 87,5

10.3. cxril 10.6-Si mocemulia dakvirvebis monacemebi saSualo suladobrivi

danazogebis ( y , ml. lari) da gankargvadi Semosavlebis ( x , ml. lari) Sesaxeb.
cxrili 10.6
# 1 2 3 4 5 6 7 8 9 10 11 12
y 0,3 0,1 2,2 0,9 4,0 1,7 5,8 2,5 7,5 3,0 9,0 3,4
x 1 2 3 4 5 6 7 8 9 10 11 12

a) SeafaseT regresia yi   0  1 xi  u i Cveulebrivi umcires kvadratTa

meTodiT;
b) SeamowmeT narCenebis heteroskedasturobis piroba;
g) heteroskedasturobis aRmoCenisas modelis SefasebisaTvis gamoiyeneT
ganzogadebuli umcires kvadratTa meTodi. SeudareT erTmaneTs orive meTodiT
miRebuli Sefasebebi da gaakeTeT daskvnebi.
10.4. sivrcobrivi SerCevis monacemebisaTvis Cveulebrivi umcires kvadratTa
meTodiT regresiis modelis Sefasebisas miRebuli gantolebaa

y  2  3,5 x1  1,6 x 2 .
amxsneli faqtorebis mimarT narCenebis kvadratebis regresiis gantolebas Semdegi

342
saxe aqvs

e 2  1,2  1,18 x12  0,13 x22 R 2  0,3 .
SerCevis moculoba Seadgens 200-s. uaitis testis gamoyenebiT SeamowmeT hipoTeza
modelis heteroskedasturobis Sesaxeb.

10.5. davuSvaT, rom yi     xi  u i , i  1,2,, n sistemisaTvis sruldeba norma-

luri klasikuri modelis yvela piroba erTi gamonaklisis garda: SemTxveviTi u i

wevris dispersia Semdegi damokidebulebiT aRiwereba:  i2     xi , sadac  da

 CvenTvis ucnobi parametrebia. ganixileT  da  parametrebis Sefasebis
umcires kvadratTa ganzogadebuli xelmisawvdomi meTodi.

10.6. universitetis xarisxis samsaxurma Caatara gamokvleva imis dasadgenad Tu

ra gavlenas axdens ekonometrikis Seswavlis xarisxze auditoriis sidide (stu-
dentTa raodenoba auditoriaSi). SemTxveviT SerCeul 36 studentur jgufze
dakvirvebis Sedegad miRebuli Sedegebi mocemulia cxril 10.7 –Si.
a) aageT y -is regresia x -ze da SeafaseT misi xarisxi;
b) mosalodnelia Tu ara mocemul SemTxvevaSi heteroskedasturoba? pasuxi
daasabuTeT;
g) SeamowmeT heteroskedasturobis arseboba golfeld-kvandtis da gleizeris
testebis gamoyenebiT;
cxrili 10.7
studenTa raodenoba moswrebis maCvenebeli (kursis erTi
auditoriaSi x mosmeniT CambarebelTa ricxvi) y
20 15 16 16 17 17 19
30 22 23 24 25 26 27
40 28 29 31 32 33 34
50 37 38 40 41 42 43
60 42 44 45 48 50 51
70 52 53 54 55 56 58

d) Tu davuSvebT, rom adgili aqvs heteroskedasturobas, ra gardaqmnas

gamoiyenebT gadauadgilebeli, efeqtiani da Zalmosili Sefasebebis misaRebad?
e) aageT gardaqmnili gantoleba da SeafaseT misi xarisxi;

343
 v) SeadareT a) da e) punqtebSi miRebuli Sedegebi da gaakeTeT daskvna.

10.7. mocemulia `wminda~ heteroskedasturi wrfivi erTfaqtoriani modeli

yi     xi  u i , i  1,2,, n .
u i normaluri da damoukideblad ganawilebuli SemTxveviTi sididea, romlisaTvis

E (ui )  0 , E (u i2 )   i2   2 xi2 .
a) gansazRvreT mocemuli modelis kovariaciuli matrica cov(U ) , agreTve,

C 1 matrica, romlis daxmarebiTac moyvanili modeli klasikurSi gardaiqmneba;

b) CawereT gardaqmnili modeli da mis safuZvelze gansazRvreT  -s da  -s
Sefasebebi;
g) gansazRvreT gardaqmnili modelisaTvis  2 -is Sefaseba.

10.8. ganixileba modeli yi     xi  u i , i  1,2,,5 , sadac u i normaluri da

damoukideblad ganawilebuli SemTxveviTi sididea, romlisaTvis E (ui )  0 ,

E (u i2 )   i2  exp(  0   1 z i ) . mocemulia: Y  ( 4 8 6 2 9) T ,

1 1 1 1 1  1 1 1 1 1
XT  , ZT  .
 2 5 2 1 10   2 3 1 0 2
a) gansazRvreT  -s da  -s Sefasebebi Cveulebrivi umcires kvadratTa
meTodiT;
b) gansazRvreT  -s da  -s Sefasebebi ganzogadebuli umcires kvadratTa
meTodiT;
d) aageT  -s 95%-iani ndobis intervali: araswori, dafuZnebuli Cveuleb-
rivi umcires kvadratTa meTodis Sedegebze, swori, dafuZnebuli ganzogadebuli
umcires kvadratTa meTodis Sedegebze;
e) SeamowmeT hipoTeza  1  0 .

10.9. mocemulia regresia yt   t  ut , t  1,2,,5 , sadac E (ut )  0 ,

T
E (u t2 )   t2   2 t 2 , E (u t u i )  0, t  i . cnobilia, rom Y  6 4 9 8 7  .
a) gansazRvreT Cveulebrivi umcires kvadratTa meTodiT  -s Sefaseba da
dispersia;
b) gansazRvreT ganzogadebuli umcires kvadratTa meTodiT  -s Sefaseba da
dispersia;
g) SeadareT erTmaneTs orive meTodiT miRebuli Sefasebebi da gaakeTeT
daskvna.

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