Cac Chu de Kinh Te Luong

Chng trnh Ging dy Kinh t Fulbright
Nin kha 2012-2014

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.
Ch. 15: Hi quy theo cc bin gi

Damodar N. Gujarati 1 Bin dch: Xun Thnh
Hiu nh: Cao Ho Thi
P Ph h n n I II II I
C C C C C CH H T TR RO ON NG G K KI IN NH H T T L L N NG G
Trong Phn I ta gii thiu m hnh hi quy tuyn tnh c in vi tt c cc gi thit ca n.
Trong Phn II, ta xem xt chi tit cc hu qu xy ra khi mt hay nhiu gi thit khng c tha
mn v lm th no khc phc. Trong Phn III, ta s chuyn sang nghin cu mt s k thut
kinh t lng c chn la nhng thng gp phi.
Trong Chng 15, ta xem xt vai tr ca cc bin gii thch nh tnh trong phn tch hi
quy. Cc bin nh tnh, gi l bin gi (dummy variables) l cng c a vo m hnh hi
quy nhng bin m khng th lng ha ngay c, v d nh gii tnh, tn gio, mu da, nhng
li tc ng ti hnh vi ca bin ph thuc. Bng mt s v d, ta s ch ra rng cc bin ny c
th tng cng phm vi ca m hnh hi quy tuyn tnh nh th no.
Trong Chng 16, ta cho php bin ph thuc trong mt m hnh hi quy l bin nh
tnh v bn cht. Nhng m hnh nh vy c s dng trong cc trng hp m bin ph thuc
c phm tr c hoc khng, nh s hu nh, xe hi, v cc vt dng gia nh hay c mt
thuc tnh nh thnh vin ca cng on hay mt hip hi chuyn mn. Cc m hnh trong
bao gm cc bin ph thuc c dng c - khng c gi l cc m hnh hi quy c bin ph
thuc phn i, hay bin ph thuc gi. Ta xem xt ba phng php c lng cc m
hnh dng ny: (1) m hnh xc sut tuyn tnh (LPM), (2) m hnh logit, v (3) m hnh probit
(n v xc sut). Trong s cc m hnh ny, LPM, mc d d tnh ton, li khng tha ng nht
v n vi phm mt s gi thit OLS. V vy, logit v probit l cc m hnh thng c s dng
nhiu nht khi bin ph thuc c dng phn i. Ta minh ha cc m hnh ny vi mt s v d
bng s v v d thc t.
Ta cng xem xt m hnh tobit, mt m hnh c quan h vi probit. Trong m hnh
probit, v d, ta c gng tm xc sut s hu mt ngi nh. Trong m hnh tobit, ta mun tm
lng tin m mt ngi tiu dng s dng mua mt ngi nh trong quan h vi thu nhp,
v.v... Nhng tt nhin, nu mt ngi tiu dng khng mua nh, ta khng c s liu v chi tiu
cho nh ca nhng ngi tiu dng ; thng tin ny ch c i vi nhng ngi tiu dng
mua nh thc s. Nh vy, ta c mt mu kim duyt (censored sample), tc l, mt mu m
trong thng tin v bin ph thuc khng c cho mt s quan st, mc d thng tin v cc bin
lm hi quy li c. M hnh tobit m t lm th no ta c th c lng cc m hnh hi quy c
cc mu kim duyt.
Trong Chng 17, ta xem xt cc m hnh hi quy vi cc bin gii thch c gi tr hin
ti, qu kh, hay tr cng vi cc m hnh trong a cc gi tr tr ca bin ph thuc thnh
mt trong cc bin gii thch. Cc m hnh ny c gi l tng ng l m hnh tr phn phi
v t tng quan. Mc d cc m hnh dng ny v cng hu ch trong kinh lng thc
nghim, chng to ra mt s kh khn c bit trong c lng. Ta s xem xt cc vn kh
khn c bit ny trong bi cnh ca m hnh Koyck, k vng thch nghi (adaptive expectations -
AE), v m hnh iu chnh ring phn. Ta cng lu ti cc ch trch v m hnh AE ca nhng
ngi ng h ci gi l trng phi k vng hp l (rational expectations - RE).
Vi Chng 17, ta kt thc tho lun v m hnh hi quy n phng trnh m ta bt
u t Chng 1. 17 chng ny bao trm rt nhiu c c trong cc m hnh kinh t lng n
phng trnh nhng khng h cp ht tt c cc vn . c bit l ta khng tho lun cc
k thut c lng cc tham s phi tuyn v cng khng xem xt phng php Bayes trong cc

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
m hnh hi quy n phng trnh, tuyn tnh hay phi tuyn. Nhng trong mt cun sch mang
tnh gii thiu nh th ny, hon ton khng th phn tch r cc ch ny bi v chng i hi
cc c s v ton v thng k vt ra ngoi phm vi d nh ca cun sch.


Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
C Ch h n ng g 1 15 5
H H I I Q QU UY Y T TH HE EO O C C C C B BI I N N G GI I

Mc ch ca chng ny l xem xt vai tr ca cc bin gii thch nh tnh trong phn tch hi
quy. Ta s ch ra rng vic a ra cc bin nh tnh, thng c gi l bin gi, lm cho m
hnh hi quy tuyn tnh tr thnh mt cng c v cng linh hot, c kh nng gii quyt cc vn
th v thng gp trong nghin cu thc nghim.
15.1 BN CHT CA CC BIN GI
Trong phn tch hi quy, bin ph thuc thng b tc ng khng ch bi cc bin c th lng
ha c ngay theo t l xc nh (v d nh thu nhp, sn lng, gi c, chi ph, chiu cao v
nhit ), m cn bi cc bin c bn cht nh tnh (nh gii tnh, chng tc, mu da, tn gio,
quc tch, chin tranh, ng t, nh cng, bt n chnh tr v thay i chnh sch kinh t ca
chnh ph). V d, gi tt c cc nhn t khc khng i, ngi ta nhn thy cc gio s n dy
i hc c thu nhp t hn cc gio s nam, v nhng ngi khng phi da trng c thu nhp
thp hn nhng ngi da trng. Hnh thi ny c th ny sinh t s phn bit gii tnh hay chng
tc. Nhng v l do g i na th cc bin nh tnh nh gii tnh v chng tc r rng c tc
ng ti bin ph thuc v phi c a vo m hnh lm bin gii thch.
Do cc bin nh tnh nh vy thng m t s xut hin hay thiu vng mt tnh cht
hay c im, nh nam hay n, en hay trng, theo cng gio hay khng theo cng gio, phng
php lng ha cc thuc tnh nh vy l thit lp cc bin nhn to vi gi tr 1 biu th xut
hin (hay c) thuc tnh . V d, 1 c th biu th rng mt ngi l nam, v 0 c th biu th
mt ngi l n; hay 1 c th biu th mt ngi tt nghip i hc, v 0 biu th ngi
cha tt nghip, v v.v... Cc bin nhn cc gi tr 0 v 1 c gi l cc bin gi.
1
Cc tn gi
khc l bin ch nh (indicator variables), bin nh phn (binary variables), bin phn loi hay
bin phm tr (category variable), bin nh tnh (qualitative variables) v bin phn i
(dichotomous variables).
Cc bin gi c th c s dng trong cc m hnh hi quy mt cch d dng nh cc
bin nh lng. Trn thc t, mt m hnh hi quy c th gm cc bin gii thch hon ton l
bin gi, hay nh tnh, v bn cht. Cc m hnh nh th c gi l cc m hnh phn tch
phng sai (ANOVA). Hy ly m hnh sau lm v d xem xt:
Y
i
= o + |D
i
+ u
i
(15.1.1)
vi Y = mc lng hng nm ca mt gio s i hc
D
i
= 1 nu l gio s nam
= 0 nu khc (ngha l gio s n).
Lu rng (15.1.1) ging cc m hnh hi quy hai bin gp phi trc y ngoi tr thay cho
bin nh lng X, ta c mt bin gi D (sau y ta k hiu tt c cc bin gi bng k t D).

1
Khng hon ton nht thit l cc bin gi phi ly cc gi tr 0 v 1. Cp (0, 1) c th c bin i thnh mi cp
khc bng mt hm tuyn tnh nh Z = a + bD (b = 0), vi a v b l cc hng s v vi D = 1 hay 0. Khi D = 1, ta c
Z = a + b; v khi D = 0, ta c Z = a. Vy, cp (0, 1) c th tr thnh (a, a + b), V d, nu a = 1 v b = 2, cc bin gi
s l (1, 3). Biu thc ny cho thy cc bin nh tnh khng c mt t l o t nhin.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
M hnh (15.1.1) c th cho php ta tm xem gii tnh c to ra khc bit trong mc
lng ca gio s i hc hay khng, tt nhin l vi gi thit rng tt c cc bin khc nh tui,
hc v, v nm kinh nghim c gi khng i. Gi s rng cc yu t nhiu tha mn gi thit
ca m hnh hi quy c in, t (15.1.1) ta c:
Mc lng trung bnh ca gio s i hc n: E(Y
i
D
i
= 0) = o (15.1.2)
Mc lng trung bnh ca gio s i hc nam: E(Y
i
D
i
= 1) = o + |
tc l, tung gc o cho ta mc lng trung bnh ca cc gio s i hc n v h s gc | cho
ta bit mc lng trung bnh ca mt gio s i hc nam khc bao nhiu so vi mc lng
trung bnh ca mt gio s i hc n, o + | biu th mc lng trung bnh ca gio s i hc
nam.
Mt kim nh gi thit khng cho rng khng c phn bit gii tnh (H
0
: | = 0) c th
c d dng thc hin bng cch chy hi quy (15.1.1) theo cch thng thng v tm xem trn
c s ca kim nh t, gi tr c lng ca | c ngha thng k hay khng.
V d 15.1 Lng gio s theo gii tnh
Bng 15.1 biu th s liu gi thit v cc mc lng khi im ca 10 gio s i hc theo
gii tnh: Sau y l cc kt qu tng ng vi hi quy (15.1.1):
Y
i
= 18,00 + 3,28D
i

(0,32) (0,44) (15.1.3)
t = (57,74) (7,439) R
2
= 0,8737
BNG 15.1
S liu gi thit v mc lng khi im ca cc gio s
i hc theo gii tnh
Lng khi im, Y
(nghn USD)
Gii tnh
(1 = nam, 0 = n)
22,0 1
19,0 0
18,0 0
21,7 1
18,5 0
21,0 1
20,5 1
17,0 0
17,5 0
21,2 1
Nh cc kt qu biu th, mc lng trung bnh c lng ca cc gio s i hc n l
18.000 USD (= o) v ca cc gio s nam l 21.2800 USD (o + |); t s liu trong Bng
15.1 ta c th tnh ngay c cc mc lng ca gio s i hc n v nam, tng ng l
18.000 v 21.800 USD, bng chnh xc vi cc gi tr c lng.
Do | c ngha thng k, cc kt qu ch ra rng cc mc lng trung bnh ca hai nhm
khc nhau; thc t, lng trung bnh ca gio s n thp hn gio s nam. Nu tt c cc
bin c gi khng i (mt ch nu khng thc t lm), rt c th l c phn bit gii tnh
trong cc mc lng ca hai gii. Tt nhin, m hnh ang xem xt qu n gin nn khng

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
th tr li c cu hi ny mt cch xc ng, c bit l trn c s ca tnh cht gi thit
ca s liu s dng trong phn tch.

HNH 15.1
Hm s mc lng ca gio s n v nam.
Nhn y, hy xem xt hi quy (15.1.3) trn th Hnh 15.1. Trong hnh ny, s liu
c xp th t nhm chng thnh hai nhm, gio s nam v n. Nh bn c th thy t
hnh v, hm hi quy tnh c l mt hm bc thang lng trung bnh ca gio s n l
18.000 USD v ca gio s nam nhy cch 3.280 USD (= ) ln 21.280 USD; mc lng
ca cc gio s ring l trong hai nhm nm ri rc xung quanh cc gi tr mc lng trung
bnh tng ng.
Cc m hnh ANOVA theo kiu (15.1.1), mc d thng dng trong cc lnh vc nh x
hi hc, tm l hc, gio dc, v nghin cu th trng, li khng ph bin trong kinh t hc.
Thng th trong phn ln cc nghin cu kinh t, m hnh hi quy cha mt s bin gii thch
nh lng v mt s bin nh tnh. Cc m hnh hi quy cha hn hp cc bin nh lng v
nh tnh c gi l cc m hnh phn tch tch sai (Analysis of Covariance, ANCOVA), v
trong chng ny, ta s ch yu phn tch cc m hnh ny.
15.2 HI QUY THEO MT BIN NH LNG V MT BIN NH TNH C HAI
LOI HAY HAI PHM TR
a ra v d cho m hnh ANCOVA, hy bin i m hnh (15.1.1) nh sau:
Y
i
= o
1
+ o
2
D
i
+ |X
i
+ u
i
(15.2.1)
vi Y
i
= lng trung bnh ca mt gio s i hc
X
i
= s nm kinh nghim ging dy
D
i
= 1 nu l nam
= 0 nu khc
M hnh (15.2.1) cha mt bin nh lng (s nm kinh nghim ging dy) v mt bin nh
tnh (gii tnh) c hai lp (hay cp, phn loi, hay phm tr), c th l nam v n.
ngha ca (15.2.1) l g? Theo thng l, gi s rng E(u
i
) = 0, ta c th thy rng
2
|
Lng (USD)
Gio s n Gio s nam
Gio s n
Gio s nam

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Mc lng trung bnh mt gio s i hc n:
E(Y
i
X
i
, D
i
= 0) = o
1
+ |X
i
(15.2.2)
Mc lng ca mt gio s nam:
E(Y
i
X
i
, D
i
= 1) = (o
1
+ o
2
) + |X
i
(15.2.3)
V hnh hc, ta c trng hp nh trong Hnh 15.2 ( minh ha, ta gi s rng o
1
> 0). Din t
bng li, m hnh (15.2.1) mc nh rng cc hm s mc lng ca cc gio s i hc nam v
n trong quan h vi s nm kinh nghim dy hc c cng dc (|) nhng tung gc khc
nhau. Ni mt cch khc, ta gi s rng mc lng trung bnh ca gio s nam khc vi gio s
n (l o
2
) nhng tc thay i mc lng trung bnh hng nm theo s nm kinh nghim ging
nhau c hai gii.

Y

HNH 15.2
th phn tn gi thit gia mc lng hng nm v
s nm kinh nghim ging dy ca cc gio s i hc.

Nu gi thit v dc chung c hiu lc,
2
mt kim nh gi thit cho rng hai hi quy
(15.2.2) v (15.2.3) c cng tung gc (ngha l khng c phn bit gii tnh) c th c thc
hin d dng bng cch chy hi quy (15.2.1) v kim nh ngha thng k ca gi tr c
lng ca o
2
trn c s ca kim nh truyn thng t. Nu kim nh t cho thy o
2
c ngha
thng k, ta bc b gi thit khng cho rng cc mc lng trung bnh ca gio s i hc nam
v n l nh nhau.
Trc khi phn tch su hn, hy lu cc c im sau y ca m hnh hi quy c bin
gi xem xt trn:

2
Gi tr ca gi thit ny c th c kim nh bng cc th tc tm lc trong Mc 15.7.
Gio s nam
Gio s n
S nm kinh nghim ging dy
X
0

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
1. phn bit gia hai phm tr, nam v n, ta ch a ra mt bin gi D
i
. Bi v nu D
i
= 1
lun lun biu th nam, khi D
i
= 0 ta bit rng l n do ch c hai kt qu c th xy ra.
Vy, mt bin gi l phn bit hai phm tr. Hy gi thit rng m hnh hi quy c tung
gc; nu ta phi vit m hnh (15.2.1) di dng
Y
i
= o
1
+ o
2
D
2i
+ o
3
D
3i
+ |X
i
+ u
i
(15.2.4)
vi Y
i
v X
i
c nh ngha nh trc
D
2i
= 1 nu l nam gio s
= 0 nu khc
D
3i
= 1 nu l n gio s
= 0 nu khc
th m hnh (15.2.4) khng th c lng c bi v c a cng tuyn hon ho gia D
2
v
D
3
. xem xt vn ny, gi s ta c mt mu ba gio s nam v hai gio s n. Ma trn s
liu s c dng nh sau:
D
2
D
3
X
Nam Y
1
1 1 0 X
1

Nam Y
2
1 1 0 X
2

N Y
3
1 0 1 X
3

Nam Y
4
1 1 0 X
4

N Y
5
1 0 1 X
5

Ct th nht bn phi ca ma trn s liu trn i din cho tung gc o
1
. By gi, ta
c th thy ngy rng D
2
= 1 D
3
hay D
3
= 1 D
2
; tc l, D
2
v D
3
c a cng tuyn hon
ho. V nh ch ra trong Chng 10, trong cc trng hp a cng tuyn hon ho, ta
khng th thc hin c lng OLS thng thng. C nhiu cch khc nhau gii quyt vn
ny, nhng cch n gin nht l a ra cc bin gi nh ta lm trong m hnh (15.2.1),
c th l ch s dng mt bin gi nu c hai cp hay hai loi ca bin nh tnh. Trong trng
hp ny, ma trn s liu trn s khng c ct D
3
, nh vy loi b c vn a cng tuyn
hon ho. Quy tc tng qut l: Nu mt bin gi c m phm tr th ch a ra m 1 bin
gi. Trong v d ca chng ta, gii tnh c hai phm tr, v do vy ta ch a ra mt bin gi.
Nu quy tc ny khng c tun th, ta s ri vo ci gi l by bin gi, tc l, trng hp
a cng tuyn hon ho. (V tho lun thm, xem Mc 15.13).
2. Vic gn cc gi tr 1 v 0 cho hai phm tr, nh nam v n, l ty trn kha cnh l trong v
d hin ti, ta c th cho D = 1 biu th n v D = 0 biu th nam. Trong trng hp ny, hai
hi quy tnh c (15.2.1) s l
Gio s n: E(Y
i
X
i
, D
i
= 1) = (o
1
+ o
2
) + |X
i
(15.2.5)
Gio s nam: E(Y
i
X
i
, D
i
= 0) = o
1
+ |X
i
(15.2.6)
Tng phn vi (15.2.2) v (15.2.3) trong cc m hnh trc, o
2
cho bit s khc bit gia
mc lng ca mt gio s i hc n v mc lng ca gio s i hc nam: trong trng
hp ny, nu c phn bit gii tnh, o
2
s c d kin l m ngc li vi trc y n c
d kin l dng. Do vy, trong vic gii thch cc kt qu ca cc m hnh s dng bin
gi, iu then cht l phi bit c cc gi tr 1 v 0 c gn cho nh th no.
3. Nhm, phm tr hay phn loi c gn cho gi tr 0 thng c ci l phm tr c s, mc,
kim sot, so snh, tham chiu hay loi b. N l c s xt trn kha cnh l ta thc hin cc

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
so snh vi phm tr . Vy, trong m hnh (15.2.1), gio s n l phm tr c s. Lu
rng tung gc (chung) o
1
l tung gc cho phm tr c s xt trn kha cnh l nu ta
chy hi quy vi D = 0, tc l, ch c gio s n, tung gc s l o
1
. Cng cn lu rng
vic phm tr no ng vai tr phm tr c s l vn la chn, i khi c xc nh bi
cc nghin cu tin nghim.
4. H s o
2
gn vi bin gi D c th c gi l h s tung gc chnh lch do n cho bit
gi tr ca tung gc ca phm tr nhn gi tr 1 khc vi h s tung gc ca phm tr c
s l bao nhiu.
V d 15.2 Hng tn kho c nhy cm vi li sut khng?
Dan M. Bechter v Stephen H. Pollock c lng m hnh sau gii thch cc bin ng
hng tn kho trong ngnh thng nghip bn s0 ca nn kinh t Hoa K trong giai on
1967-IV n 1979-IV (cc t s t trong ngoc):
3

I/S = 1,269 0,3615C + 0,0215S
e
0,0227S
(19,6) (2,2) (5,7) (2,4)
0,2552U + 0,0734DUM
(2,4) (4,8) R
2
= 0,71 d = 1,91
vi I/S = hng tn kho tnh theo USD c nh chia cho doanh thu tnh theo USD c nh, C =
mc li sut c bn ca giy n thng mi t 4 n 6 thng tr i t l thay i ch s gi
sn xut so vi nm trc i vi hng tiu dng cui cng, S
e
= doanh thu k vng trong
giai on hin hnh, vi doanh thu k vng bng doanh thu xu hng c hiu chnh lch
khi xu hng trong nm trc, tt c u tnh theo USD c nh, U = tnh khng chc chn
trong doanh thu tnh bng bin thin ca doanh thu xung quanh xu hng, v DUM = bin
gi, nhn gi tr 0 trong giai on t 1967-IV n 1974-I v gi tr 1 trong giai on t 1974-
II n 1979-IV.
Mc d tt c cc h s u c ngha thng k v c du nh mong i, trong tho lun
hin ti, ta s tp trung vo bin gi. Cc kt qu cho thy t l hng tn kho/ doanh thu cao
hn ( = 1,2690 + 0,0734) trong giai on sau suy thoi nm 1974 so vi giai on trc.
Vy, ng hi quy, thc t l mt phng, trong giai on sau song song nhng nm v tr
cao hn so vi giai on trc (i chiu Hnh 15.2). Cc tc gi khng tho lun l do ti
sao nhng hin tng ny c th phn nh tnh trm trng ca suy thoi 1974.
15.3 HI QUY THEO MT BIN NH LNG V MT BIN NH TNH C
NHIU PHM TR
Gi s rng, trn c s ca s liu cho, ta mun thc hin hi quy chi tiu y t hng nm ca
mt c nhn theo thu nhp v trnh hc vn ca c nhn . Do bin trnh hc vn l bin
nh tnh v bn cht, gi s ta xem xt ba cp loi tr ln nhau ca trnh hc vn: di trung
hc, trung hc v i hc. By gi, khng ging nh trng hp trc, ta c nhiu hn hai phm
tr ca bin nh tnh v gio dc. Do vy, theo quy tc s bin gi phi bng s phm tr ca
bin tr i 1, ta phi a ra hai bin gi gii quyt ba cp ca trnh hc vn. Gi s rng

3
Are Inventories Sensitive to Interest Rates?, Economic Review (Hng tn kho c nhy cm vi li sut khng?
Tp ch Kinh t, Ngn hng D tr Lin bang Kansas, 4/1980, trang 24 (Bng 2). Lu : Cc kt qu c hiu
chnh t tng quan bc 2; gi tr d ban u l 1,12.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
ba nhm trnh hc vn c cng dc nhng tung gc khc nhau trong hi quy chi tiu y
t hng nm theo thu nhp hng nm, ta c th s dng m hnh sau:
Y
i
= o
1
+ o
2
D
2i
+ o
3
D
3i
+ |X
i
+ u
i
(15.3.1)
vi Y
i
= chi tiu y t hng nm
X
i
= thu nhp hng nm
D
2
= 1 nu c trnh trung hc
= 0 nu c trnh khc
D
3
= 1 nu c trnh i hc
= 0 nu c trnh khc

HNH 15.3
Chi tiu y t trong quan h vi thu nhp v ba cp trnh hc vn.

Lu rng trong vic gn gi tr ca cc bin gi trn, ta ty coi phm tr di trung hc
l phm tr c s. Do vy, tung gc o
1
s biu th tung gc ca phm tr ny. Cc tung
gc chnh lch o
2
v o
3
cho bit cc tung gc ca hai phm tr kia khc vi tung gc ca
phm tr c s l bao nhiu. iu ny c th c kim tra ngay nh sau: Gi s E(u
i
) = 0, t
(15.3.1) ta c
E(Y
i
D
2
= 0, D
3
= 0, X
i
) = o
1
+ |X
i
(15.3.2)
E(Y
i
D
2
= 1, D
3
= 0, X
i
) = (o
1
+ o
2
) + |X
i
(15.3.3)
E(Y
i
D
2
= 0, D
3
= 1, X
i
) = (o
1
+ o
3
) + |X
i
(15.3.4)
X
Y Chi tiu y t

0
Thu nhp
Trnh i hc
Trnh trung hc
Trnh di trung hc

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
y l cc hm s chi tiu y t trung bnh tng ng cho 3 cp trnh hc vn, c th l di
trung hc, trung hc v i hc. Trn th, trng hp ny c m t trong Hnh 15.3 (
minh ha, gi s rng o
3
> o
2
).
Sau khi chy hi quy (15.3.1), ta c th d dng tm xem tng tung gc chnh lch o
2

v o
3
c ngha thng k hay khng, tc l, khc vi nhm c s. Mt kim nh gi thit rng
o
2
= o
3
v cng ng thi bng 0 cng c th c thc hin bng k thut ANOVA v kim
nh F km theo, nh c ch ra trong Chng 8 [xem Phng trnh (8.7.9)].
Trc khi chuyn sang phn k tip, lu rng vic gii thch hi quy (15.3.1) s thay
i nu ta p dng cch gn gi tr cc bin gi theo kiu khc. Vy, nu ta cho D
2
= 1 biu th
phm tr di trung hc v D
3
= 1 biu th phm tr trung hc, phm tr tham chiu s l
i hc v tt c cc so snh s t trong quan h vi phm tr ny.
15.4 HI QUY THEO MT BIN NH LNG V HAI BIN NH TNH
K thut bin gi c th c d dng m rng gii quyt m hnh c nhiu bin nh tnh.
Hy quay li vi hi quy lng gio s i hc (15.2.1), nhng by gi gi thit rng ngoi s
nm kinh nghim ging dy v gii tnh, mu da ca gio vin cng l mt yu t quan trng
trong vic xc nh mc lng. n gin, gi s mu da c hai phm tr: en v trng. By
gi, ta c th vit (15.2.1) di dng:
Y
i
= o
1
+ o
2
D
2i
+ o
3
D
3i
+ |X
i
+ u
i
(15.4.1)
vi Y
i
= lng hng nm
X
i
D
2
= 1 nu l nam
= 0 nu khc
D
3
= 1 nu l da trng
= 0 nu khc
Lu rng mi bin nh tnh, gii tnh v mu da, c hai phm tr v do vy ch cn mt bin
gi cho mi bin nh tnh. Cng lu rng phm tr loi b hay c s by gi l gio s n da
en.
Gi s E(u
i
) = 0, ta c th tnh hm hi quy sau y t (15.4.1):
Mc lng trung bnh mt gio s n da en:
E(Y
i
D
2
= 0, D
3
= 0, X
i
) = o
1
+ |X
i
(15.4.2)
Mc lng trung bnh ca mt gio s nam da en:
E(Y
i
D
2
= 1, D
3
= 0, X
i
) = (o
1
+ o
2
) + |X
i
(15.4.3)
Mc lng trung bnh mt gio s n da trng:
E(Y
i
D
2
= 0, D
3
= 1, X
i
) = (o
1
+ o
3
) + |X
i
(15.4.4)
Mc lng trung bnh ca mt gio s nam da trng:
E(Y
i
D
2
= 1, D
3
= 1, X
i
) = (o
1
+ o
2
+ o
3
) + |X
i
(15.4.5)
Mt ln na, ta li gi s rng cc hi quy trn ch khc nhau h s tung gc ch khng
phi h s gc |.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
c lng OLS ca (15.4.1) s cho php ta kim nh cc gi thit. Nh vy, nu o
3
c
ngha thng k th n c ngha l mu da c tc ng ti mc lng ca mt gio s. Tng t,
nu o
2
c ngha thng k th n c ngha l gii tnh cng c tc ng ti mc lng ca mt
gio s. Nu c hai tung gc chnh lch u c ngha thng k th iu ny c ngha l c
gii tnh v mu da u l cc yu t quan trng trong vic xc nh mc lng gio s.
Tho lun trn suy ra rng ta c th m rng m hnh cho nhiu hn mt bin nh
lng v nhiu hn hai bin nh tnh. iu duy nht phi cn trng l s cc bin gi ca
mi bin nh tnh phi bng s cc phm tr ca bin tr i mt. Phn sau y l mt v
d minh ha.
15.5 V D 15.3. KINH T HC CA VIC LM THM NGOI GI
Mt ngi c hai hay nhiu vic lm, mt cng vic chnh v mt hay nhiu cng vic ph
c gi l ngi lm thm ngoi gi. Shisko v Rostker quan tm ti vic tm xem cc
yu t no xc nh cc mc lng ca nhng ngi lm thm ngoi gi.
4
Da vo mt mu
318 ngi lm thm ngoi gi, h tnh c hi quy sau, vi k hiu ca tc gi (cc sai s
chun trong ngoc):
w
m
= 37,07 + 0,403w
0
90,06 race + 75,51 urban
(0,062) (24,47) (21,60) (15.5.1)
+ 47,33 hisch + 113,64 reg + 2,26 age
(23,42) (27,62) (0,94)
R
2
= 0,34 bc t do = 311
vi w
m
= lng lm thm (xu/gi)
w
0
= lng chnh (xu/gi)
race (chng tc) = 0 nu l da trng
= 1 nu khng phi da trng
urban (thnh th) = 0 khng phi thnh th
= 1 thnh th
reg (vng) = 0 khng phi min ty
= 1 min ty
hisch (tr. trung hc) = 0 cha tt nghip
= 1 tt nghip trung hc
age = tui (nm)
Trong m hnh (15.5.1) c hai bin gii thch nh lng, w
0
v tui vi bn bin nh
tnh. Lu rng cc h s ca tt c cc bin ny u c ngha thng k mc 5%. iu
th v l tt c cc bin nh tnh u c tc ng ng k ti cc mc lng lm thm. V
d, gi tt c cc nhn t khc khng i, mc lng theo gi c d kin l cao hn
khong 47 xu i vi ngi tt nghip trung hc so vi ngi c trnh di trung hc.
T hi quy (15.5.1), ta c th tnh mt s hi quy ring r, sau y l hai trong s :
Mc lng trung bnh theo gi ca ngi lm thm da trng, khng thnh th, khng
min ty, cha tt nghip trung hc (ngha l khi tt c cc bin gi c gi tr bng 0) l
w
m
= 37,07 + 0,403w
0
+ 2,26 age (15.5.2)

4
Robert Shisko & Bernard Rostker, The Economics of Multiple Job Holding, The American Economic Review,
(Kinh t hc v hin tng lm nhiu vic, Tp ch Kinh t Hoa K), tp 66, s 3 6/1976, trang 298-308.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Mc lng trung bnh theo gi ca ngi lm thm khng phi da trng, sng thnh th,
min ty, tt nghip trung hc (ngha l khi tt c cc bin gi c gi tr bng 1) l
w
m
= 183,49 + 0,403w
0
+ 2,26 age (15.5.3)
15.6 KIM NH TNH N NH CU TRC CA CC M HNH HI QUY
Cho ti nay, trong cc m hnh xem xt chng ny ta gi s rng cc bin nh tnh tc ng
ti tung gc nhng khng tc ng ti h s gc ca cc hi quy nhm khc nhau. Nhng
nu h s gc cng khc nhau th sao? Nu cc dc khc nhau trn thc t, kim nh s khc
nhau ca tung gc c th c t ngha thc tin. Do vy, ta cn phi xy dng mt phng
php tng qut tm xem hai (hay nhiu) hi quy c khc nhau kkng, vi s khc nhau c th
tung gc hay d dc hay c hai. tm hiu vn ny c gii quyt nh th no, hy
xem xt s liu tit kim - thu nhp ca Anh quc trong Bng 8.8. thun tin, s liu c
trnh by li trong Bng 15.2.
V d 15.4 Tit kim v thu nhp, Anh Quc, 1946-1963
Nh trnh by trong bng, s liu c chia lm hai giai on, 1946-1954 (thi k ngay sau
Chin tranh Th gii th II, gi l thi k ti thit) v 1955-1963 (thi k hu ti thit). Gi
s ta mun tm xem nu quan h tit kim - thu nhp c thay i gia hai thi k khng. C
th, t
Thi k ti thit: Y
i
=
1
+
2
X
i
+ u
1i
(15.6.1)
i = 1, 2, ..., n
1

Thi k hu ti thit: Y
i
=
1
+
2
X
i
+ u
2i
(15.6.2)
i = 1, 2, ..., n
2

BNG 15.2
S liu tit kim v thu nhp c nhn, Anh Quc, 1946-1963 (triu pound)
Thi k
I
Tit
kim
Thu nhp Thi k
II
Tit
kim
Thu
nhp
1946 0,36 8,8 1955 0,59 15,5
1947 0,21 9,4 1956 0,90 16,7
1948 0,08 10,0 1957 0,95 17,7
1949 0,20 10,6 1958 0,82 18,6
1950 0,10 11,0 1959 1,04 19,7
1951 0,12 11,9 1960 1,53 21,1
1952 0,41 12,7 1961 1,94 22,8
1953 0,50 13,5 1962 1,75 23,9
1954 0,43 14,3 1963 1,99 25,2
Ngun: Cc Thng k Trung ng, Anh Quc
vi Y = tit kim (triu pound)
X = thu nhp (triu pound)
u
1i
, u
2i
= cc yu t nhiu trong hai hi quy
Lu : S cc quan st n
1
v n
2
trong hai nhm (cc giai on) khng cn phi bng nhau.
By gi, cc hi quy (15.6.1) v (15.6.2) i din cho bn kh nng sau:

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
1.
1
=
1
v
2
=
2
; tc l, hai hi quy ng nht nhau. (Hi quy trng khp).
2.
1
=
1
v
2
=
2
; tc l, hai hi quy ch khc nhau v tr ca chng (ngha l tung
gc). (Hi quy song song).
3.
1
=
1
v
2
=
2
; tc l, hai hi quy c cng tung gc nhng dc khc nhau. (Hi
quy ng quy).
4.
1
=
1
v
2
=
2
; tc l, hai hi quy hon ton khc nhau. (Hi quy khng ging nhau).
T s liu trong Bng 15.2, ta c th chy hai hi quy ring (15.6.1) v (15.6.2) v sau
s dng (cc) k thut thng k kim nh tt c cc kh nng trn, tc l, tm xem
hm tit kim c b thay i cu trc gia hai thi on hay khng. Thay i cu trc c
ngha l cc tham s ca hm tit kim thay i.
Mt trong s cc k thut c gi l kim nh Chow,
5
m ta tho lun trong
Mc 8.8. Kim nh Chow ch ra rng cc tham s ca hm tit kim gia thi k ti thit v
hu ti thit tht s thay i.
Vi vai tr mt phng php thay th cho kim nh Chow, ta s ch ra trong mc sau l
lm th no m k thut bin gi c th gii quyt vn thay i hay ph v cu trc v u
l cc li th ca n so vi kim nh Chow.

HNH 15.4
Cc hi quy tit kim - thu nhp c th xy ra.

5
V chi tit ca kim nh Chow, xem Mc 8.8.
Tit kim Tit kim
Tit kim Tit kim
Hi quy trng khp
Hi quy song song
(c) Hi quy ng quy (d) Hi quy khng ging nhau

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 15.5
Cc hi quy tit kim - thu nhp.

15.7 SO SNH HAI HI QUY: PHNG PHP BIN GI
Th tc kim nh Chow gm nhiu bc tho lun trong Mc 8.8 c th c rt ngn rt nhiu
bng cch s dng cc bin gi. Mc d cc kt lun ton b rt ra t cc kim nh Chow v
bin gi trong mi p dng u nh nhau, phng php bin gi c mt s li th m ta s gii
thch sau khi trnh by phng php qua cng v d tit kim - thu nhp.
6

Hy tp hp tt c cc quan st n
1
v n
2
li v c lng hi quy sau.
7

Y
i
= o
1
+ o
2
D
i
+ |
1
X
i
+ |
2
(D
i
X
i
) + u
i
(15.7.1)
vi Y
i
v X
i
l tit kim v thu nhp nh trc v vi D
i
= 1 cho cc quan st trong thi k u
hay ti thit v 0 cho cc quan st trong thi k hu ti thit.
xem cc ngha ca m hnh (15.7.1), v gi thit rng E(u
i
) = 0, ta c
E(Y
i
D
i
= 0, X
i
) = o
1
+ |
1
X
i
(15.7.2)
E(Y
i
D
i
= 1, X
i
) = (o
1
+ o
2
) + (|
1
+ |
2
)X
i
(15.7.3)

6
Cc ti liu trong phn ny c ly ch yu t cc bi vit ca tc gi, Use of Dummy Variables in Testing for
Equality between Sets of Coefficients in Two Linear Regressions: A Note (S dng cc bin gi trong kim nh
s bng nhau gia hai tp hp cc h s trong hai hi quy tuyn tnh: mt lu ) v Use of Dummy Variables : A
Generalization (S dng cc bin gi : mt s tng qut ha, c hai u c xut bn trong American
Statistician (Tp ch Nh Thng k Hoa K), tp 24, s 1 v 5, 1970, trang 50-52 v 18-21.
7
Nh trong kim nh Chow, k thut tp hp a ra gi thit rng c phng sai thun nht, tc l,
2 2
2
2
1
o o o = = .
Nhng t Chng 11 by gi ta c mt s phng php kim nh gi thit ny.
Tit kim
Thi k hu ti thit
Thi k ti thit
Y = 1,75 + 0,1504X
Y = 0,27 + 0,0470X
Thu nhp
0,27
1,75

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
tng ng l cc hm s tit kim trung bnh cho thi k th hai (hu ti thit) v th nht (ti
thit). Chng ging nh (15.6.2) v (15.6.1) vi
1
= o
1
,
2
= |
1
,
1
= (o
1
+ o
2
) v
2
= (|
1
+ |
2
).
Do vy, c lng (15.7.1) tng ng vi c lng hai hm tit kim ring (15.6.1) v
(15.6.2).
Trong (15.7.1), o
2
l tung gc chnh lch, nh trc y, v |
2
l h s gc chnh
lch biu th h s gc ca hm tit kim trong giai on th nht khc vi h s gc ca hm
tit kim trong giai on th hai l bao nhiu. Lu rng vic bin gi D c a ra di dng
tch nh th no (D nhn vi X) c th cho php ta phn bit gia hai h s gc ca hai thi
k, cng nh l vic a ra bin gi di dng tng cho php ta phn bit gia hai tung gc
trong hai thi k.
Quay li vi s liu tit kim - thu nhp trong Bng 15.2, ta tm ra hm thc nghim ca
(15.7.1) nh sau:
Y
t
= 1,7502 + 1,4839D
i
+ 0,1504X
i
0,1034D
i
X
t

(0,3319) (0,4704) (0,0163) (0,0322) (15.7.4)
t = (5,2733) (3,1545) (9,2238) (3,1144)
= 0,9425
Nh hi quy ny cho thy, c tung gc chnh lch v cc h s gc chnh lch u c ngha
thng k. iu ny ch ra r rng rng cc hi quy trong hai thi k khc nhau (i chiu Hnh
15.4d). Sau , theo (15.7.2) v (15.7.3) ta c th tnh hai hi quy nh sau [(Lu : D = 1 trong
thi k th nht (xem Hnh 15.5)]:
Thi k ti thit:
Y
t
= (1,7502 + 1,4839) + (0,1504 0,1034)X
t

= 0,2663 + 0,0470X
t
(15.7.5)
Thi k hu ti thit:
Y
t
= 1,7502 + 0,1504X
t
(15.7.6)
Ngi c c th thy, hai hi quy ny ging nhng hi quy tnh t quy tc nhiu bc ca
Chow. Ta c th nhn thy iu ny t cc hi quy trong Mc 8.8.
By gi th cc li th ca k thut bin gi [ngha l c lng (15.7.1)] so vi kim
nh Chow [ngha l ba hi quy ring r (8.8.1), (8.8.2) v hi quy tng hp] c th nhn thy
ngay l:
1. Ta ch cn chy mt hi quy n bi cc hi quy ring c th c suy ra t n mt cch d
dng theo nh cc phng trnh (15.7.2) v (15.7.3).
2. Hi quy n phng trnh c th s dng kim nh cc gi thit khc nhau. Vy, nu h
s tung gc chnh lch o
2
khng c ngha thng k, ta c th chp nhn gi thit rng
hai hi quy c cng tung gc, tc l, hai hi quy ng quy (xem Hnh 15.4c). Tng t,
nu h s gc chnh lch |
2
khng c ngha thng k nhng o
2
c ngha, ta c th t nht
l khng bc b gi thit cho rng hai hi quy c cng dc, tc l, cc ng hi quy song
song (i chiu Hnh 15.4b), Kim nh tnh n nh ca ton b hi quy (ngha l o
2
= |
2
v
ng thi = 0) c th c thc hin bng kim nh F v ngha ton b ca hi quy c
lng tho lun trong Chng 8. Nu gi thit ny ng vng, cc ng hi quy s trng
nhau nh trong Hnh 15.4a.
2
R

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
3. Kim nh Chow khng cho bit r rng h s no, tung gc hay dc, khc nhau, hay
c hai khc nhau (nh trong v d ny) trong hai thi k, tc l, ta c th c mt kim nh
Chow c ngha khi ch c dc khc nhau hay khi ch c tung gc khc nhau, hay c
hai u khc nhau. Ni mt cch khc, ta khng th ni, qua kim nh Chow, kh nng no
trong s bn kh nng minh ha trong Hnh 15.4 tn ti trong mt v d c th. V kha cnh
ny, phng php bin gi c u th r rng, do n khng ch cho ta bit hai hi quy c khc
nhau khng m cn ch chnh xc (cc) ngun gc ca s khc nhau l do tung gc
hay do dc hay c hai. Trn thc t, vic bit rng hai hi quy khc nhau h s ny hay
h s kia cng quan trng nh, nu khng mun ni l quan trng hn, vic ch bit rng
chng khc nhau.
4. Sau cng, do vic tng hp lm tng s bc t do, n c th ci thin tnh chnh xc tng
i ca cc tham s c lng.
8

15.8 SO SNH HAI HI QUY: MINH HA THM
Do tm quan trng thc tin ca bin gi, ta xem xt mt v d na v cch s dng k thut ny
trong kim nh tnh tng ng ca hai (hay nhiu) hi quy.
V d 15.5 Hnh vi ca tht nghip v
vic lm cn trng: Anh Quc, 1958-1971
9

Trong nghin cu quan h gia tht nghip v t l vic lm cn trng ti Anh Quc trong
giai on 1958-IV n 1971-II, tc gi c c th phn tn trong Hnh 15.6. Nh hnh
v m t, bt u qu IV ca nm 1966, quan h tht nghip - ch lm vic cn trng c v
nh thay i; ng cong biu din quan h gia hai bin dng nh chuyn dch ln trn
vo u qu ny. S dch chuyn ln trn c ngha l i vi mt t l vic lm cn trng
nht nh, t l tht nghip vo qu IV nm 1966 cao hn trc. Trong nghin cu ca mnh,
tc gi tm ra rng nguyn nhn hp l to ra s dch chuyn ln trn l trong thng 11
nm 1966 (tc l qu IV) Chnh ph Cng ng ln nm quyn t do ha Lut Bo him
Quc gia bng cch thay th h thng t l phc li tht nghip c nh bng mt h thng
hn hp gm phc li tht nghip theo t l c nh v theo thu nhp. H thng ny r rng
lm tng mc phc li tht nghip. Nu phc li tht nghip tng, nhng ngi tht
nghip c nhiu kh nng tm kim vic lm trong thi gian lu hn, v do vy to nn s
tht nghip cao hn i vi mt t l ch lm vic cn trng nht nh.
tm xem s thay i quan st c trong mi quan h tht nghip - vic lm cn trng
bt u t qu IV nm 1966 c ngha thng k hay khng, tc gi s dng m hnh sau:
UN
t
= o
1
+ o
2
D
t
+ |
1
V
t
+ |
2
(D
t
V
t
) + u
i
(15.8.1)
vi UN = t l tht nghip (%)
V = t l vic lm cn trng (%)
D = 1 cho giai on bt u t 1966-IV
= 0 cho giai on trc 1966-IV
t = thi gian, tnh theo qu

8
Nhng lu rng vic thm mt bin gi s s dng mt bc t do.
9
Damodar Gujarati, The Behaviour of Unemployment and Unfilled Vacancies: Great Britain, 1958-1971, The
Economic Journal (Hnh vi ca tht nghip v ch lm vic cn trng: Anh Quc, 1958-1971, Tp ch Kinh t), tp
82, 3/1972, trang 195-202.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Da vo 51 quan st hng qu trong giai on 1958-IV n 1971-II, cc kt qu sau c
tnh ton (s liu thc t s dng c trnh by trong Ph 15A), Mc 15A.1; ngi c c
th mun xem nhng s liu ny v chng cho bit cc bin gi c thit lp nh th no):
UN
t
= 2,7491 + 1,1507D
t
1,5294V
t
0,8511(D
t
V
t
)
(0,1022) (0,3171) (0,1218) (0,4294) (15.8.2)
t = (26,896) (3,6288) (12,5552) (1,9819) R
2
= 0,9128
nh gi theo cc tiu ch thng thng, hi quy c lng c cho ta mt s thch hp
tuyt vi. Lu rng c h s tung gc v h s gc chnh lch u c ngha thng k
mc 5% (mt pha). Vy, ta c th chp nhn gi thit rng r rng c s chuyn dch trong
mi quan h UN-V bt u t qu IV ca nm 1966.
10

T hi quy trn, ta c th tnh cc hi quy sau:
1958-IV n 1966-III: UN
t
= 2,7491 1,5294V
t
(15.8.3)
1966-IV n 1971-II: UN
t
= (2,7491 + 1,15) (1,5294 + 0,8511)V
t
= 3,8998 2,3805V
t
(15.8.4)
Cc hi quy trn c biu din trong Hnh 15.6. Cc hi quy ch ra rng trong giai on bt
u t 1966-IV, ng cong UN-V dc hn v c tung gc cao hn nhiu so vi giai on
bt u t 1958-IV.

10
Cc kt qu c tnh da trn gi thit rng cc phng sai ca sai s bng nhau trong hai giai on. Nhng nh
lu trong ch thch 7, gi thit ny phi c kim nh mt cch r rng (xem bi tp 15.18).
T l vic lm cn trng, (%)
1958-IV n 1966-III
1966-IV n 1971-II
Qu IV ca nm 1966
HNH 15.6
th phn tn gia t l tht
nghip v t l vic lm cn
trng, Anh Quc, 1958-IV n
1971-II.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
15.9 CC TC NG QUA LI
Xem xt m hnh sau:
Y
i
= o
1
+ o
2
D
2i
+ o
3
D
3i
+ |Dx
i
+ u
i
(15.9.1)
vi Y
i
= chi tiu may mc hng nm
X
i
= thu nhp
D
2
= 1 nu l n
= 0 nu l nam
D
3
= 1 nu tt nghip i hc
= 0 nu khc
n trong m hnh l gi thit rng tc ng chnh lch ca bin gi gii tnh D
2
i vi hai cp
trnh hc vn l hng s v tc ng chnh lch ca bin gi trnh d hc vn D
3
i vi hai
gii tnh cng l hng s. Tc l, nu chi tiu may mc bnh qun ca n cao hn nam th n l
nh vy cho d ngi ta tt nghip i hc hay cha. Cng nh vy, nu nhng ngi tt
nghip i hc tnh trung bnh chi tiu cho may mc nhiu hn nhng ngi cha tt nghip i
hc, th n l nh vy cho d h l n hay nam.
Trong nhiu p dng, mt gi thit nh vy c th khng ng. Mt ngi n tt
nghip i hc c th chi nhiu hn cho may mc nhiu hn l mt ngi nam tt nghip i
hc. Ni mt cch khc, c th c tng tc gia nhng bin nh tnh D
2
v D
3
v do vy tc
ng ca chng i vi gi tr trung bnh ca Y v X c th khng n gin l tng nh trong
(15.9.1) m cng c th l tch nh trong m hnh sau:
Y
i
= o
1
+ o
2
D
2i
+ o
3
D
3i
+ o
4
(D
2i
D
3i
) + |Dx
i
+ u
i
(15.9.2)
T (15.9.2) ta c
E(Y
i
D
2
= 1, D
3
= 1, X
i
) = (o
1
+ o
2
+o
3
+ o
4
) + |X
i
(15.9.3)
l chi tiu may mc bnh qun ca n tt nghip i hc. Lu rng
o
2
= tc ng chnh lch khi l n
o
3
= tc ng chnh lch khi tt nghip i hc
o
4
= tc ng chnh lch khi l n tt nghip i hc
iu ny cho thy chi tiu may mc trung bnh ca n tt nghip i hc khc vi chi tiu
may mc trung bnh ca n hay ca ngi tt nghip i hc (s khc bit l o
4
). Nu o
2
, o
3

v o
4
u dng, chi tiu may mc trung bnh ca n cao hn (so vi phm tr c s, m y
l nam cha tt nghip i hc), nhng cn cao hn nhiu nu l n tt nghip i hc.
Tng t, chi tiu may mc trung bnh ca mt ngi tt nghip i hc c xu hng cao hn
phm tr c s, nhng s cao hn nhiu nu ngi tt nghip i hc li l n. iu ny ch
ra rng bin gi tng tc lm thay i tc ng ca hai thuc tnh xem xt mt cch ring r
nh th no.
Vic h s ca bin gi tng tc c ngha thng k hay khng c th c kim nh
bng kim nh t thng thng. Nu n c ngha, s c mt ng thi ca hai thuc tnh s lm
gim bt hay tng cng cc tc ng ring l ca cc thuc tnh ny. Khng cn phi ni, b
qua mt s hng tng tc quan trng mt cch khng ng n s dn ti mt thin lch c
trng.


Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
15.10 CCH S DNG CC BIN GI TRONG PHN TCH MA
Nhiu chui s liu kinh t theo thi gian da vo s liu hng thng hay hng qu c hnh thi
theo ma (dao ng u n). Cc v d gm c doanh thu ca cc ca hng tng hp vo dp
ging sinh, mc cu tin t (cn i tin mt) ca gia nh vo k ngh, nhu cu kem v nc
gii kht trong ma h v gi nng sn ngay sau v thu hoch. Thng th cn phi loi b cc
yu t hay thnh phn ma khi chui thi gian ta c th tp trung vo cc thnh phn khc,
nh xu hng.
11
Qu trnh loi b thnh phn ma khi mt chui thi gian c gi l loi b
yu t ma hay hiu chnh yu t ma, v chui thi gian sau khi tnh c gi l chui thi
gian loi b yu t ma hay hiu chnh yu t ma, v d nh ch s gi tiu dng, ch s
gi bn bun, ch s sn xut cng nghip thng c xut bn dng hiu chnh yu t
ma.
C mt s phng php loi b yu t ma trong mt chui thi gian, nhng ta s ch
xem xt mt trong nhng phng php ny, gi l, phng php bin gi.
12
minh ha cc
bin gi c s dng nh th no loi b yu t ma trong chui thi gian kinh t, gi s
rng ta mun thc hin hi quy li nhun ca cc cng ty cng nghip ch to Hoa K theo
doanh thu trong cc giai on theo qu, 1965-1970. Cc s liu thch hp cha hiu chnh yu t
ma c trnh by trong Ph lc 15A, Mc 15A.2. Phn ph lc cng ch ra lm th no ta c
th chun b ma trn s liu lp cc bin gi. Xem xt cc s liu ny cho thy mt hnh thi
th v. C li nhun v doanh thu u cao hn trong qu II so vi qu I v qu III ca tng nm.
C l qu II c tc ng ma. iu tra hin tng ny, ta tin hnh nh sau:
V d 15.6 Hnh vi li nhun - doanh thu
trong ngnh cng nghip ch to Hoa K
Li nhun
t
= o
1
+ o
2
D
2i
+ o
3
D
3t
+ o
4
D
4t
+ |(doanh thu)
t
+ u
t
(15.10.1)
vi D
2
= 1 i vi qu II
= 0 cc qu khc
D
3
= 1 i vi qu III
= 0 cc qu khc
D
4
= 1 i vi qu IV
= 0 cc qu khc
Lu rng ta ang gi thit l bin ma c bn loi, bn qu trong mt nm, do vy cn
phi s dng ba bin. Vy, nu xut hin hnh thi ma trong cc qu khc nhau, cc tung
gc chnh lch c lng o
2
, o
3
v o
4
, nu c ngha thng k, s phn nh hnh thi ma.
C th l ch c mt s tung gc c ngha thng k cho nn ch c mt s qu c th
phn nh hnh thi ma. Nhng m hnh (15.10.1) khng tng qut tnh cho tt c cc
trng hp ny. (Lu , ta coi qu I ca nm l qu c s).
S dng s liu trong Ph lc 15A, Mc 15A.2, ta c cc kt qu sau (s liu li nhun
v doanh thu c tnh theo triu USD):

11
Mt chui thi gian c bn thnh phn: ma, chu k, xu hng v mt thnh phn hon ton ngu nhin.
12
Mt s phng php khc l phng php t l - trung bnh dch chuyn, phng php lin kt tng i v
phng php t l phn trm ca trung bnh nm. V tho lun khng mang tnh k thut ca nhng phng php
ny, xem Morris Hamburg, Statistical Analysis for Decision Making (Phn tch thng k cho vic ra quyt nh),
Harcourt, Brace & World, New York, 1970, trang 563-575.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Li nhun =
6688,3789 + 1322,8938D
2t
217,8037D
3t
+ 183,8597D
4t
+ 0,0383(doanh thu)
t

(1711,3707) (638,4753) (632,2561) (654,2937) (0,0115)
t = (3,9082) (2,0720) (0,3445) (0,2810) (3,3313)
R
2
= 0,5255 (15.10.2)
Cc kt qu cho thy ch cc h s doanh thu v tung gc chnh lch gn vi qu II l c
ngha thng k mc 5%. Vy, ta c th kt lun rng c yu t ma trong qu II ca tng
nm: H s doanh thu 0,0383 cho ta bit rng, sau khi tnh n tc ng ca ma, nu doanh
thu tng ln, v d, 1 USD, li nhun bnh qun theo d kin s tng ln khong 4 xu. Mc
li nhun trung bnh trong qu c s hay qu I l 6688 USD v trong qu II, n c mc cao
hn khong 1323 USD tc l vo khong 8011 USD. (Xem Hnh 15.7).
13

Do qu II dng nh khc vi cc qu khc, nu mun ta c th chy li (15.10.2) ch s
dng mt bin gi phn bit qu II vi cc qu khc nh sau:
Y
t
= 6516,6 + 1311,4D
2
+ 0,0393(doanh thu)
(1623,1) (493,02) (0,0106) (15.10.3)
t = (4,0143) (2,7004) (3,7173)
R
2
= 0,5155
vi D
2
= 1 i vi quan st trong qu II v 0 i vi cc qu khc.

Li nhun

HNH 15.7
Mi quan h gia li nhun v doanh thu trong
cc cng ty cng nghip ch to ti Hoa K, 1965-I n 1970-II.

13
Lu : V s, cc tung gc trong qu II v III khc vi qu I nhng v thng k th chng nh nhau. (Ti sao?)
Doanh thu
Qu II
Qu I
Li nhun = 8011,2727 + 0,0383(doanh thu)
Li nhun = 6688,3789 + 0,0383(doanh thu)

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Ngi c s nhn thy rng (15.10.3) l dng gii hn ca (15.10.2). S gii hn l tung
gc ca qu I, III v IV bng nhau. nh gi cc kt qu (15.10.2) ta s d kin rng
cc hn ch ny s c gi tr nhng t Chng 8 ta bit lm th no kim nh chng
mt cch r rng. Trong bi tp 15.21, bn c yu cu kim chng rng cc hn ch ny c
hiu lc thc s. Do vy, kt lun vn nh trc ch c hnh thi ma trong qu II.
Trong cng thc ca m hnh (15.10.1), ta gi thit rng ch c tung gc l khc
nhau gia cc qu, h s gc ca bin doanh thu mi qu l nh nhau. Nhng gi thit ny
c th c kim nh bng k thut bin gi dng tch s tho lun trn. (xem bi tp
15.22).
15.11 HI QUY TUYN TNH TNG KHC
minh ha mt ng dng na ca cc bin gi, hy xem Hnh 15.8, trong biu din mt
cng ty trn gi thit thng cho cc i l bn hng ca mnh nh th no. Cng ty tr hoa hng
da vo doanh thu theo cch thc m cho ti mt mc nht nh, gi l mc mc tiu hay
ngng, X
*
, th c mt c ch hoa hng (ngu nhin) v cao hn mc th mt c ch khc.
(Lu : Bn cnh doanh thu, cc yu t khc cng tc ng ti hoa hng doanh thu). Gi s rng
cc nhn t khc c i din bi yu t nhiu ngu nhin). C th hn, ta gi thit rng hoa
hng doanh thu tng tuyn tnh theo doanh thu cho ti ngng X
*
, sau cng tng ln tuyn
tnh theo doanh thu nhng vi tc nhanh hn nhiu. Nh vy, ta c hi quy tuyn tnh tng
khc gm hai phn hay hai on tuyn tnh, k hiu l I v II trong Hnh 15.8, v hm hoa hng
thay i dc ca n ti gi tr ngng. Vi s liu v hoa hng, doanh thu v gi tr ngng
X
*
, k thut bin gi c th c s dng c lng cc dc (khc nhau) ca hai on ca
hi quy tuyn tnh tng khc biu din trong Hnh 15.8. Ta tin hnh nh sau:
Y
i
= o
1
+ |
1
X
i
+ |
2
(X
i
- X
*
)D
i
+ u
i
(15.11.1)
vi Y
i
= hoa hng doanh thu
X
i
= doanh thu pht sinh t i l
X
*
= gi tr ngng ca doanh thu, cng c gi l im gy khc ( bit trc)
14

D = 1 nu X
i
> X
*

= 0 nu X
i
< X
*

14
Tuy nhin, gi tr ngng c th khng lun lun bit trc. Phng php c th l v bin ph thuc theo (cc)
bin gii thch v quan st nu c mt thay i sc nt trong quan h sau mt gi tr nht nh ca X (ngha l X
*
).
Mt phng php phn tch xc nh im gy c th c tm thy trong cc m hnh hi quy chuyn i. Nhng
y l ni dung trnh cao. Tho lun mang tnh gio khoa v ni dung ny c th tm thy trong Thomas
Fomby, R. Carter Hill v Stanley Johnson, Advanced Econometric Methods (Cc phng php kinh t lng cao
cp), Springer-Verlag, New York, 1984, Chng 14.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi

HNH 15.8
Mi quan h gi thit gia hoa hng bn hng v doanh thu. (Lu :
Tung gc trn trc Y biu din mc hoa hng m bo ti thiu).

Gi s E(u
i
) = 0, ta nhn thy ngay rng
E(Y
i
D
i
= 0, X
i
, X
*
) = o
1
+ |
1
X
i
(15.11.2)
(15.11.2) cho bit mc hoa hng doanh thu trung bnh cho ti mc mc tiu X
*
.
E(Y
i
D
i
= 1, X
i
, X
*
) = o
1
|
2
X
*
+ (|
1
+ |
2
)X
i
(15.11.3)
(11.5.3) cho bit mc hoa hng doanh thu trung bnh khi doanh thu ln hn mc X
*
.
Vy, |
1
cho bit dc ca ng hi quy trong on I, v |
1
+ |
2
cho bit dc ca
ng hi quy trong on II ca hi quy tng khc biu din trong Hnh 15.8. Mt kim nh v
gi thit cho rng khng c gy khc trong hi quy ti gi tr ngng X
*
c th c thc hin d
dng bng cch xc nh mc ngha thng k ca h s gc chnh lch c lng (xem
Hnh 15.9).
Nhn y, hi quy tuyn tnh gy khc ta va tho lun l mt v d ca mt lp hm s
tng qut hn gi l hm a thc gy khc (spline).
15

15
i vi tho lun v splines (ngha l a thc bc k gy khc), xem Douglas C. Montgomery & Elizabeth A.
Peck, Introduction to Linear Regression Analysis (Gii thiu phn tch hi quy tuyn tnh), John Wiley & Sons, xut
bn ln th 2, New York, 1992, trang 210-218.
|
2
X (doannh thu) X
*

(Hoa hng doanh thu)
Y

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi

V d 15.7 Tng chi ph trong quan h vi sn lng
v d v ng dng ca hi quy tuyn tnh tng khc, hy xem xt s liu tng chi ph -
tng sn lng gi thit trong Bng 15.3. Ta c cho bit rng tng chi ph c th thay i
dc ca n ti mc sn lng 5500 n v.
Gi Y trong (15.11.1) i din cho tng chi ph v X i din cho tng sn lng, ta c
cc kt qu sau:
Y
i
= 145,72 + 0,2791X
i
+ 0,0945(X
i
)D
i

t = (0,8245) (6,0669) (1,1447) (15.11.4)
R
2
= 0,9737 X
*
= 5500
BNG 15.3
S liu gi thit v sn lng v tng chi ph
Tng chi ph (USD) Sn lng (n v)
256 1.000
414 2.000
634 3.000
778 4.000
1.003 5.000
1.839 6.000
2.081 7.000
2.423 8.000
2.734 9.000
2.914 10.000
*
i
X
o
1
|
2
X
*

X (doanh thu)
X
*

o
1

HNH 15.9
Cc tham s ca hi quy tuyn tnh tng khc.
Y (Hoa hng doanh
thu)

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Nh cc kt qu ny biu th, chi ph sn xut bin t vo khong 28 xu mt n v sn lng
v mc d n vo khong 37 xu (28 + 9) khi sn lng vt 5500 n v, s khc nhau gia
hai phn khng c ngha thng k do bin gi khng c ngha mc 5%. Do vy, i vi
tt c cc mc ch thc tin, ta c th thc hin hi quy tng chi ph theo tng sn lng v
loi b bin gi.
15.12 S DNG CC BIN GI TRONG VIC KT HP S LIU CHUI THI
GIAN V S LIU CHO
minh ha tnh a dng ca bin gi, ta xem xt trong mc ny mt ng dng na ca n.
Hi quy tng hp: Tng hp s liu chui thi gian v s liu cho
Xem xt s liu trong Bng 15.4 c ly t nghin cu ni ting v l thuyt u t do
Grunfeld xut.
16
Grunfelt quan tm ti vic tm xem u t gp (Y) ph thuc nh th no
vo gi tr ca cng ty (X
2
) v lng vn (X
3
). Trong bng ny, cc s liu cho tng bin trong
mi nm c xem xt cho cng ty G.M. v Westinghouse (Tm thi b qua s liu ca cng ty
G.E., nhng s xem xt n trong bi tp 15.31). Nhng s liu ny l mt v d ca s liu cho.
ng thi, vi tng cng ty ta c s liu v cc bin trong 20 nm. y l v d v s liu chui
thi gian. By gi, nghin cu phn ng ca Y theo X
2
v X
3
, ta c th tin hnh theo mt
trong ba cch.
Th nht, ta c th chy hi quy chui thi gian sau cho tng cng ty ring bit:
G.M.: Y
t
= o
1
+ o
2
X
2t
+ o
3
X
3t
+ u
i
(15.12.1)
Westinghouse: Y
t
= + X
2t
+ X
3t
+ u
i
(15.12.2)
S dng k thut bin gi hay kim nh Chow, ta c th tm xem cc tham s ca hai hm u
t c nh nhau hay khng.
Th hai, vi tng nm ta c th c lng hi quy cho. Khng may l trong trng hp
ny, ta khng th thc hin c bi v ch c hai quan st cho (hai cng ty) m li c ba tham
s phi c lng. V d, nu c t nht bn cng ty th ta c th c lng hi quy cho nh th
cho 20 nm, to ra tng cng 20 hi quy cho.
BNG 15.4

S liu u t ca cc cng ty G.M., Westinghouse v G.E.
G.M. Westinghouse G.E.
I F
1
C
1
I F
1
C
1
I F
1
C
1

1935 317,6 3.078,5 2,8 12,9 191,5 1,8 33,1 1.170,6 97,8
36 391,8 4.661,7 52,6 25,9 516,0 0,8 45,0 2.015,8 104,4
37 410,6 5.387,1 156,9 35,1 729,0 7,4 77,2 2.803,3 118,0
38 257,7 2.792,2 209,2 22,9 560,4 18,1 44,6 2.039,7 156,2
39 330,8 4.313,2 203,4 18,8 519,9 23,5 48,1 2.256,2 172,6
40 461,2 4.643,9 207,2 28,6 628,5 26,5 74,4 2.132,2 186,6
41 512,0 4.551,2 255,2 48,5 537,1 36,2 113,0 1.834,1 220,9

16
Cc s liu ny c ti lp trong mt s sch. Chng ti ly chng t H. D. Vinod & Aman Ullah, Recent
Advances in Regression Methods (Nhng tin b gn y trong cc phng php hi quy), Marcel Dekker, New
York, 1981, trang 259-261. Ngun ban u l Y. Grunfeld, The Determinants of Corporate Investment (Cc yu t
xc nh ca u t cng ty), lun vn tin s khng xut bn, Khoa Kinh t hc, i hc Chicago, 1958.
1
o '
2
o '
3
o '

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
42 448,0 3.244,1 303,7 43,3 561,2 60,8 91,9 1.588,0 287,8
43 499,6 4.053,7 264,1 37,0 617,2 84,4 61,3 1.749,4 319,9
44 547,5 4.379,3 201,6 37,8 626,7 91,2 56,8 1.687,2 321,3
45 561,2 4.840,9 265,0 39,3 737,2 92,4 93,6 2.007,7 319,6
46 688,1 4.900,9 402,2 53,5 760,5 86,0 159,9 2.208,3 346,0
47 568,9 3.526,5 761,5 55,6 581,4 111,1 147,2 1.656,7 456,4
48 529,2 3.251,7 922,4 49,6 662,3 130,6 146,3 1.604,4 543,4
49 555,1 3.700,2 1.020,1 32,0 583,8 141,8 98,3 1.431,8 618,3
50 642,9 3.755,6 1.099,0 32,2 635,2 136,7 93,5 1.610,5 647,4
51 755,9 4.833,0 1.207,7 54,4 723,8 129,7 135,2 1.819,4 671,3
52 891,2 4.924,9 1.430,5 71,8 864,1 145,5 157,3 2.079,7 726,1
53 1.304,4 6.241,7 1.777,3 90,1 1.193,5 174,8 179,5 2.371,6 800,3
54 1.486,7 5.593,6 2.226,3 68,6 1.188,9 213,5 189,6 2.759,9 888,9
Lu : Y = I = u t gp = gia tng my mc, thit b cng bo tr v sa cha, tnh theo triu
USD, hiu chnh theo t s gim pht P
1
.
X
2
= F = gi tr cng ty = gi c phiu thng v c phiu u i vo ngy 31/12 (hay gi
trung bnh ca ngy 31/12 v 31/1 nm sau) nhn vi s c phiu thng v u i
do bn ngoi nm gi cng vi gi tr ghi s ca s n vo ngy 31/12, tnh theo
triu USD, hiu chnh theo t s gim pht P
2
.
X
3
= C = gi tr my mc v thit b = tng gia tng rng my mc, thit b ly tch hiu
chnh theo t s gim pht P
1
tr cho khu hao c hiu chnh theo t s gim pht
P
3
theo cc nh ngha sau.
P
1
= h s gim pht ngm ca thit b lu bn ca nh sn xut (1947 = 100)
P
2
= h s gim pht ngm ca GNP (1947 = 100)
P
3
= h s lm pht chi ph khu hao = trung bnh dch chuyn 10 nm ca ch s gi
bn bun ca kim loi v sn phm kinh loi (1947 = 100)
Ngun: Ly t H. D. Vinod & Aman Ullah, Recent Advances in Regression Methods (Nhng
tin b gn y trong cc phng php hi quy), Marcel Dekker, New York, 1981, trang 259-
261.
Th ba, ti sao li khng kt hp tt c 40 quan st (20 quan st chui cho 2 cng ty) v
c lng m hnh sau?
Y
it
= |
1
+ |
2
X
2it
+ |
3
X
3it
+ u
it
(15.12.3)
vi i i din cho cng ty th i v t i din cho thi on th t. Trong v d ca ta, i = 2 v t =
20, nh vy cho ta tng cng 40 quan st. Phng trnh (15.12.3) l mt v d ca hi quy tng
hp vi cc quan st chui thi gian v quan st cho c kt hp hay tng hp li vi nhau.
Nhng hi quy nh vy thng c c lng trong cc tnh th m ta c qu t quan st cho
(nh trong v d ny) v s lng cc quan st chui thi gian kh tt. Nh Vinod v Ullah vit:
Khi lm vic vi s liu cho v chui thi gian, khi tng mu s liu cho ring l qu nh
nn cc suy lun su v cc h s khng th thc hin c, thng l chung trong nghin cu
ng dng l kt hp tt c s liu li vi nhau v c lng mt hi quy chung. ng lc
thc y c bn tng hp s liu cho v chui thi gian l nu m hnh c xc nh
ng n, kt hp s liu cho ta s c lng, suy lun v d bo hiu qu hn,
17

17
Ibid., trang 248.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
By gi hy xem xt cc vn kh khn trong c lng (15.12.3). Gi s ta c lng n
bng th tc OLS thng thng: n gin l ta nhp cc quan st ca G.M. v Westinghouse, 20
quan st u l ca G.M. v 20 quan st cui l ca Westinghouse. Cch lm ny c sai hay
khng?
Cch lm nh vy gi nh ngm l cc tham s ca hi quy khng thay i theo thi
gian (n nh theo thi gian) v chng khng khc nhau gia cc n v s liu cho (n nh
cho). Cng ngm nh trong mt th tc nh th l gi thit rng phng sai ca sai s ca hm
u t G.M. v Westinghouse thun nht v sai s trong hm u t G.M. ti thi gian t khng
tng quan vi sai s trong hm u t Westinghouse ti thi gian t. R rng y l cc gi thit
qu mc. C nhiu cch khc nhau tho b cc gi thit ny v a chng vo trong th tc
c lng. Khng may l cc hn ch v thi gian, khng gian v ton hc khng cho php ta
theo ui phng php ny.
18
Ta s ch trnh by mt trng hp m ta gi thit rng cc gi tr
tung gc trong hm u t G.M. v Westinghouse khc nhau (cu hi v n nh cho) nhng
cc h s gc nh nhau. Ta cng gi thit rng sai s trong hi quy tng hp c cc tnh cht
OLS thng thng i vi tt c cc quan st cho v chui thi gian.
Vi nhng gi thit ny, ta vit (15.12.3) di dng
Y
it
= |
1
+ |
2
X
2it
+ |
3
X
3it
+ |
4
D
it
+ u
it
(15.12.4)
vi D
1t
= 1 i vi cc quan st G.M. v 0 i vi cc quan st khc. Vy, nu |
4
trong (15.2.4)
c ngha thng k th c ngha l gi tr ca tung gc ca hm u t G.M. khc vi
Westinghouse. Ni cch khc, |
4
l gi tr tung gc chnh lch. Trong bi tp 15.32, ngi
c c yu cu a ra cc h s gc chnh lch.

V d 15.8 Hm u t cho cng ty General Motors v Westinghouse
S dng s liu trong Bng 15.4, ta c cc c lng sau y ca (15.12.4):
19

Y
it
= 58,09 + 0,0986X
2it
+ 0,3763X
3it
2,6929D
it
(15.12.5)
t = (3,291) (7,409) (14,01) (0,0579)
R
2
= 0,9673 d = 0,7765
Nh kt qu cho thy, do bin gi tung gc chnh lch khng c ngha thng k, ta c
th kt lun rng hm u t ca G.M. v Westinghouse c cc tung gc nh nhau v mt
thng k. Tt nhin l phi cn thn vi kt lun ny, do ta ch cho php cc tung gc
khc nhau m khng khng phi l dc. Vic thng k Durbin-Watson c gi tr thp cho
thy c th c sai s c th ha trong (15.12.4). Phi tha nhn rng hi quy (15.12.4) c
la chn ch minh ha cch s dng cc bin gi trong s liu tng hp.

18
Ngun tt nht v cc k thut c lng khc nhau l Terry E. Dielman, Pooled Cross-Sectional and Time Series
Data Analysis (Phn tch s liu cho v chui thi gian tng hp), Marcel Dekker, New York, 1989.
19
c lng hi quy, nhp cc quan st ca hai cng ty. Tc l, 20 quan st u thuc G.M. v 20 quan st cui
thuc Westinghouse. To bin gi v cho n gi tr 1 i vi tt c cc quan st G.M. v gi tr 0 i vi tt c cc
quan st Westinghouse.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
*
15.13 MT S KHA CNH K THUT CA PHNG PHP BIN GI
Trong phn ny, ta tho lun mt s im su hn v s dng cc bin gi trong phn tch hi
quy.
Gii thch cc bin gi trong cc hi quy bn lgart
Nh li tho lun ca chng ta v cc m hnh hi quy log-lin trong bin c hi quy c
dng lgart v bin lm hi quy c dng tuyn tnh. C th, hy xem xt m hnh sau:
lnY
i
= |
1
+ |
2
X
i
+ |
3
D
i
(15.13.1)
vi Y = lng khi im ca gio s i hc, X = s nm kinh nghim ging dy, v D = 1 nu l
nam v 0 nu khc.
T Chng 6, ta gii thch h s |
2
l thay i tng i (hay thay i phn trm nu
thay i tng i c nhn vi 100) trong gi tr trung bnh ca Y khi X thay i i mt n
v. Nh vy, trong v d ny, nu kinh nghim ging dy tng ln mt nm, thay i tng i
trong mc lng khi im trung bnh s bng |
2
. Mt s gii thch nh vy c th p dng cho
mt thay i trong mi gi tr ca bin lm hi quy, vi iu kin l bin c hi quy l bin
lin tc v khng phn i nh trong trng hp bin gi. Nhng ta c th tnh thay i tng
i ca Y trung bnh ngay c i vi bin gi bng cng c do Halvorsen v Palmquist xut:
20

Ly i lgart (antilog,c s e) ca h s bin gi c lng v tr cho 1.
V d 15.9 Hi quy bn lgart vi bin gi
minh ha, hy xem xt s liu trong Bng 15.5 m t quan h gia lng khi im (Y)
vi s nm kinh nghim ging dy (X
2
) v gii tnh (D = 1 i vi gio s nam). Gi s m
hnh c dng (15.13.1), ta tnh c cc kt qu sau:
lnY
i
= 2,9298 + 0,0546X
i
+ 0,134D
i

t = (481,524) (48,3356) (27,2250) (15.13.2)
R
2
= 0,9958 d = 2,51
BNG 15.5
S liu gi thit v mc lng gio s i hc trong quan h vi s
nm kinh nghim ging dy
Lng khi im, Y
(nghn USD)
S nm kinh nghim
ging dy, X
2

Gii tnh (1 = nam)
(0 = n)
23,0 1 1
19,5 1 0
24,0 2 1
21,0 2 0
25,0 3 1
22,0 3 0
26,5 4 1
23,1 4 0
25,0 5 0
28,0 5 1

*
Khng bt buc.
20
Robert Halvorsen & Raymond Palmquist, The Interpretation of Dummy Variables in Semilogarithmic
Equations, American Economic Review, (Gii thch cc bin gi trong cc phng trnh bn lgart, Tp ch Kinh t
Hoa K), tp 70, s 3, 1980, trang 474-475.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
29,5 6 1
26,0 6 0
27,5 7 0
31,5 7 1
29,0 8 0
Nh cc kt qu ny cho thy, gi nguyn cc yu t khc ( y l gii tnh ca gio s),
lng trung bnh tng ln 5,46% hng nm. Nhng ta khng th ni rng, gi kinh nghim
ging dy khng i, mc lng trung bnh cao hn 13,41% i vi gio s nam. Theo
Halvorsen v Palmquist, ta tnh antilog 0,1341 = 1,1435. Tr i 1, ta c 0,1435 hay 14,35%;
vy lng trung bnh ca gio s nam cao hn (so vi gio s n) l 14,35%. Trong bi tp
15.33, bn c yu cu so snh cc kt qu hi quy trong (15.12.2) vi cc kt qu tnh
c t m hnh tuyn tnh.
Mt phng php na loi b by bin gi
C mt cch na loi b by bin gi. tm hiu, ta hy tip tc vi m hnh (15.2.4) nhng
vit n di dng
Y
i
= o
2
D
2i
+ o
3
D
3i
+ |X
i
+ u
i
(15.13.3)
vi cc bin gi c nh ngha theo Phng trnh (15.2.4). Lu rng trong (15.13.3) ta
loi b tung gc o
1
. By gi ta s khng ri vo by bin gi bi v ta khng cn b tc ng
bi a cng tuyn hon ho na. iu ny c th thy t ma trn s liu trnh by sau Phng
trnh (15.2.4) vi ct 1 b loi b.
Lu rng t kt qu ca thay i ny, ta cn phi gii thch o
2
v o
3
theo mt cch
khc. Chng khng cn l cc h s tung gc chnh lch; by gi chng l cc c lng trc
tip ca cc tung gc trong cc phm tr khc nhau. Vy, trong trng ang xem xt, vi o
1

b loi b, o
2
s cho bit gi tr tung gc ca hi quy mc lng gio s nam v o
3
s cho bit
gi tr tung gc ca hi quy mc lng gio s n. Nhng lu rng c lng (15.13.3),
ta s phi s dng th tc c lng qua gc ta , nh tho lun trong Chong 6. Tt
nhin, phn ln cc phn mm thng k u c th thc hin vic ny mt cch t ng.
Quay tr li vi hi quy (15.1.3), ta c th c lng hi quy
Y
i
= o
2
D
2i
+ o
3
D
3i
+ u
i
(15.13.4)
vi D
2i
= 1 i vi gio s nam v 0 nu khc, v D
3i
= 1 i vi gio s n v 0 nu khc. (Lu
: khng c tung gc trong hi quy ny).
Nu tun theo chin lc ny, bn s tnh c cc kt qu hi quy sau:
Y
i
= 21,28D
2i
+ 18,00D
3i

se = (0,3118) (0,3118) (15.13.5)
t = (69,2556) (57.7350) R
2
= 0,8737
Cc kt qu ny ging nh (15.1.3), nhng di mt hnh thc khc.
Thng l chung l quy gi tr cc bin gi theo cch m nu mt bin c m phm tr, ta
ch a ra (m 1) bin gi. Li th ca cch lm ny l thng th ta mun so snh cc kt qu
ca chng ta theo mt phm tr tham chiu. Ngoi ra, bng cch gi mt tung gc chung, ta
c gi tr R
2
nh thng l, tri li vi m hnh tung gc bng 0, R
2
quy c khng phi lc
no cng c ngha. Do vy, ta s tun theo thng l chung.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Cc bin gi v phng sai thay i
Hy quay li vi v d tit kim - thu nhp ca Anh Quc m ta tho lun trong Mc 15.6.
Bng cch s dng k thut bin gi kt hp hai hi quy (15.6.1) v (15.6.2) nh trong
(15.7.1), ta gi thit ngm rng var(u
1i
)

= var(u
2i
) = o
2
, tc l, phng sai thun nht. Nu gi
thit ny khng tha mn, tc l, nu hai phng sai ca sai s khc nhau, chng ta s c nhiu
kh nng nhn thy rng hai tung gc v hai h s gc khng khc nhau v mt thng k m
vn tm ra rng h s ca bin gi trong hi quy (15.7.1) c ngha thng k.
21
Do vy, khi p
dng k thut bin gi (hay kim nh Chow cho vn ny), ta phi kim chng rng, trong
mt trng hp c th, ta khng gp phi vn phng sai thay i. Nhng ti gi th ta
bit lm th no gii quyt vn ny.
Cc bin gi v t tng quan
Xem xt m hnh sau c s liu chui thi gian:
Y
t
= |
1
+ |
2
D
t
+ |
3
X
t
+ |
4
(D
t
X
t
) + u
i
(15.13.6)
vi D
t
= 0 cho cc quan st trong giai on u v 1 cho cc quan st trong giai on th hai. Gi
s c n
1
quan st trong giai on u v n
2
quan st trong giai on th hai. Quan st rng
(15.13.6), trong c tnh ti cc bin gi c tung gc v dc chnh lch, chnh l m hnh
(15.7.1) m ta tng nghin cu mi quan h tit kim - thu nhp ca Anh Quc.
Gi s tip theo cho rng sai s u
t
trong (15.13.6) c to bi s i t tng quan bc
1 Markov, s i AR (1). C th,
u
t
= u
t1
+ c
t
(15.3.7)
vi c tha mn cc gi thit chun.
T Chng 12, ta bit cch bin i mt m hnh hi quy loi b t tng quan
(bc nht) (nh li phng php sai phn tng qut ha): Gi s bit hay c c lng, ta
s dng (Y
t
Y
t1
) lm bin c hi quy v (X
t
X
t-1
) lm bin lm hi quy. Nhng vic xut
hin bin hi quy thuc loi bin gi D s gy ra vn c bit: Lu rng bin gi ch n
gin phn loi mt quan st thuc giai on th nht hay th hai. Nh vy th ta bin i n nh
th no? Maddala a ra quy tc sau:
22

1. Trong (15.13.6), cc gi tr ca D bng 0 i vi tt c cc quan st trong giai on th nht;
trong giai on th 2 gi tr ca D i vi quan st u tin l 1/(1 ) thay cho 1, v 1 i
vi tt c cc quan st khc.
2. Bin X
t
c bin i l (X
t
X
t1
). Lu rng ta mt mt quan st trong php bin i ny,
tr khi ta dng php bin i Prais-Winsten.
3. Gi tr ca D
t
X
t
bng khng i vi tt c cc quan st trong giai on th nht (Lu : D
t

bng 0 trong giai on th nht); trong giai on th hai, quan st th nht ly gi tr ca
D
t
X
t
= X
t
v cc quan st cn li trong giai on th hai c nh l (D
t
X
t
D
t
X
t1
) = (X
t

X
t1
). (Lu : Gi tr ca D
t
trong giai on th hai l 1).

21
V vn ny, xem G. S. Maddala, Introduction to Econometrics (Gii thiu kinh t lng), Macmillan, xut bn
ln th 2, New York, 1992, trang 320-322.
22
Maddala, ibid., trang 321-322.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Nh phn tho lun trn ch ra, quan st then cht l quan st th nht trong giai
on II. Nu n c thc hin theo cch trnh by trn th s khng c vn g trong vic
c lng cc hi quy nh (15.3.6) ty theo s tng quan nh xc nh trong (15.13.7).
15.14 CC CH CHO NGHIN CU TIP
Mt s ch lin quan ti cc bin gi tho lun trong sch v c mc kh cao, bao gm (1)
m hnh tham s ngu nhin hoc thay i, (2) m hnh hi quy chuyn i v (3) m hnh
bt cn bng.
Trong cc m hnh hi quy xem xt trong cun sch ny, ta gi s rng cc tham s, |, l
nhng i tng cha bit nhng c nh. Cc m hnh h s ngu nhin v c mt s dng
ca chng gi thit cc tham s | cng c th ngu nhin. Mt cng trnh ln trong lnh vc
ny m ta c th tham kho l ca Swamy.
23

Trong m hnh bin gi s dng c cc tung chnh lch v h s gc chnh lch, ta
gi s ngm rng im gy khc bit. Vy, trong hi quy tit kim - thu nhp ca Anh Quc,
ta xc nh thi gian 1946-1954 l thi k ti thit v 1955- l thi k hu ti thit. Nhng iu
g xy ra nu ta khng bit im gy khc xy ra vo nm 1955 hay 1954 hay 1956? K thut
m hnh hi quy chuyn i gii quyt cu hi ny bng cch cho php bn thn im gy khc
l ngu nhin. Cng trnh c nh hng trong lnh vc ny l ca Goldfelt v Quandt.
24

Ta cn phi c cc k thut c lng c bit gii quyt ci gi l tnh th bt cn
bng, tc l, cc trng hp m th trng khng cn bng (ngha l cu khng bng cung). V
d kinh in l cu v cung hng ha. Cu hng ha l mt hm ca gi v cc bin khc. Cung
hng ha l mt hm ca gi v cc bin khc, mt s khc vi cc bin trong hm cu. By gi,
lng hng mua v bn trn thc t c th khng nht thit bng vi mc tnh c khi cho cung
bng cu, v do vy dn ti bt cn bng. Ngi c c th tham kho Quandt v tho lun ton
din cc m hnh bt cn bng.
25

15.5 TM TT V KT LUN
1. Cc bin gi nhn cc gi tr 1 v 0 (hay cc bin i tuyn tnh ca chng) l phng tin
a cc bin gii thch nh tnh vo phn tch hi quy.
2. Cc bin gi l mt cng c phn loi s liu trong chng chia mt mu thnh nhiu tiu
nhm da vo cc tnh cht hay thuc tnh (gii tnh, tnh trng hn nhn, chng tc, tn
gio, v.v) v ngm cho php ta chy cc hi quy ring l cho tng tiu nhm. Nu c
nhng khc bit trong s phn ng ca bin c hi quy i vi bin thin trong cc bin
nh lng trong cc tiu nhm khc nhau, chng s c phn nh trong nhng khc bit v
cc tung gc hay h s gc, hay c hai, ca cc hi quy tiu nhm khc nhau.
3. Mc d l mt cng c a dng, k thut bin gi cn phi c s dng mt cch cn thn.
Th nht, nu hi quy c s hng khng i, s cc bin gi cn phi nh hn s cc phn
loi trong tng bin nh tnh. Th hai, h s gn vi cc bin gi phi lun lun c gii

23
P.A. V. B. Swamy, Statistical Inference in Random Coefficient Regression Models (Suy lun thng k trong cc
m hnh hi quy h s ngu nhin), Springer-Verlag, Berlin, 1971.
24
S. Goldfelt & R. Quandt, Nonlinear Methods in Econometrics (Cc phng php phi tuyn trong kinh t lng),
North Holland, Amsterdam, 1972.
25
Richard E. Quandt, The Econometrics of Disequilibrium (Kinh t hc ca s bt cn bng), Basil Blackwell, New
York, 1988.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
thch trong quan h vi nhm c s hay nhm tham chiu, tc l nhm nhn gi tr 0. Sau
cng, nu mt m hnh c vi bin nh tnh vi mt s phn loi, vic a ra cc bin gi c
th s dng mt s lng ln cc bc t do. Do vy, ta phi lun lun so snh s cc bin gi
a vo m hnh vi tng s cc quan st c sn trong phn tch.
4. Trong s cc ng dng khc nhau ca bin gi, chng ny ch xem xt mt vi ni dung,
bao gm (1) so snh hai (hay nhiu) hi quy, (2) loi b yu t ma trong s liu chui thi
gian, (3) kt hp s liu cho v chui thi gian, (4) cc m hnh hi quy tng khc.
5. Do cc bin gi l phi ngu nhin, chng khng gy ra vn g c bit trong vic p dng
OLS. Tuy nhin, ta phi cn thn khi thc hin bin i s liu c cha cc bin gi. c
bit, cc vn t tng quan v phng sai thay i cn phi c x l cn thn.
BI TP
Cu hi
15.1. Nu c s liu hng thng trong mt s nm, bn phi a ra bao nhiu bin gi kim
nh cc gi thit sau:
(a) Tt c 12 thng trong nm u c hnh thi ma;
(b) Ch c thng 2, 4, 6, 8, 10 v 12 c hnh thi ma.
15.2. Tham chiu hi quy (15.5.1) trong gii thch yu t xc nh mc lng theo gi ca
nhng ngi lm thm. T phng trnh ny tnh cc phng trnh mc lng theo gi
cho cc loi ngi lm thm sau:
(a) Da trng, khng thnh th, min Ty v tt nghip trung hc
(b) Khng phi da trng, thnh th, khng min Ty v cha tt nghip trung hc
(c) Da trng, khng thnh th, khng min Ty v tt nghip trung hc.
15.3. Trong nghin cu tc ng ca mt s c im nh tnh ti gi v xem phim ti mt
th ln trong giai on 1961-1964, R. D. Lampson tnh c hi quy sau cho nm
1961:
*

Y = 4,13 + 5,77D
1
+ 8,21D
2
7,68D
3
1,13D
4

(2,04) (2,67) (2,51) (1,78)
+ 27,09D
5
+ 31,46logX
1
+ 0,81X
2
+ 3 bin gi khc
(3,58) (13,78) (0,17)
R
2
= 0,961
vi D
1
= v tr rp chiu phim: 1 nu l ngoi thnh, 0 nu l trung tm thnh ph
D
2
= tui ca rp chiu phim: 1 nu di 10 nm t khi xy dng hay ci to ln, 0
nu khc
D
3
= loi rp: 1 nu ngoi tri, 0 nu trong nh
D
4
= ch xe: 1 nu c, 0 nu khc
D
5
= chnh sch chiu phim: 1 nu chiu ln u, 0 nu khc
X
1
= t l % trung bnh s gh khng s dng trong mt bui chiu

*
R. D. Lampson, Measured Productivity and Price Change: Some Empirical Evidence on Service Industry Bias,
Motion Picture Theaters, Journal of Political Economy (Nng sut tnh ton v thay i gi c: mt s bng chng
thc nghim v thin lch ngnh dch v, Rp chiu phim, Tp ch Kinh t Chnh tr), tp 78, 3-4/1970, trang 291-
305.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
X
2
= gi thu phim trung bnh, tnh theo xu/v do pha phn phi phim p t
Y = gi v bui ti cho ngi ln, tnh theo xu
v cc s trong ngoc l sai s chun.
(a) Bnh lun cc kt qu.
(b) Lm sao bn hp l ha vic a bin X
1
vo m hnh?
(c) Lm sao bn gii thch gi tr m ca h s D
4
?
15.4. Da vo s liu giai on 1972-1979, William Nordhaus c lng m hnh sau gii
thch hnh vi gi du la OPEC (sai s chun trong ngoc):
*

y
t
= 0,3x
1t
+ 5,22X
2t

(0,03) (0,50)
vi y
t
= khc bit gia gi hin ti v gi nm ngoi (USD/thng)
x
1t
= khc bit gia gi hin hnh ti th trng v gi ca OPEC trong nm
trc
x
2t
= 1 cho nm 1974 v 0 cho cc nm khc.
(Lu : 1973-1974 l nm cm vn du la). Gii thch kt qu ny v biu din kt qu
trn th cho cc giai on trc v sau cm vn du la.
15.5. Gi s rng ta sa i hi quy lng gio s i hc (15.4.1) nh sau:
Y
i
= o
1
+ o
2
D
2i
+ o
3
D
3i
+ o
4
(D
2i
D
3i
) + |X
i
+ u
i

vi Y
i
= mc lng hng nm ca mt gio s i hc
X
i
D
2
= 1 nu l nam v 0 nu khc
D
3
= 1 nu l da trng v 0 nu khc
(a) S hng D
2i
D
3i
i din cho tc ng qua li. Biu thc ny c ngha g?
(b) u l ngha ca h s o
4
?
(c) Tm E(Y
i
D
2
= 1, D
3
= 1, X
i
) v gii thch n.
15.6. Cc bin gi so vi m phn b (allocated codes). Tham chiu hi quy (15.2.1). Thay
cho vic p dng bin gi, gi s ta s dng m phn b:
D
i
= 1 nu l n
= 2 nu l nam
(a) Gii thch hi quy s dng cc m phn b.
(b) Li th, nu c, ca vic s dng m phn b nh so vi vic s dng bin gi 0-1
l g?
15.7. Tip tc bi tp 15.6 nhng by gi xem xt cch phn b sau:
D
i
= 1 nu l n
= 1 nu l nam
Gi thch hi quy s dng cch phn b ny v so snh cc kt qu vi phng php bin
gi 0-1 thng thng.
15.8. Tham chiu hi quy (15.10.1). Bn kim nh gi thit sau nh th no
(a) o
2
= o
3

*
Oil and Economic Performance in Industrial Contries, Brookings Papers on Economic Activity (Du la v kt
qu kinh t ti cc nc cng nghip, Bi vit Brookings v hot ng kinh t), 1980, trang 341-388.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
(b) o
2
= o
4

(c) Nu o
2
= o
1
v o
3
= o
1
v mt thng k th c phi iu n ngha l o
2
= o
3
? Gi :
var(A + B) = var(A) + var(B) + 2 cov(A, B), v var(A B) = var(A) + var(B) 2 cov(A,
B).
15.9 (a) Lm th no bn tnh c cc sai s ca cc h s hi quy trong m hnh (15.8.3) v
(15.8.4) c lng t hi quy tng hp (15.8.2)?
(b) a ra cc cu tr li bng s, cn phi thm thng tin g, nu c?
15.10. Nh trnh by trong chng, cc c lng ca cc h s hi quy tnh t (15.7.1) s ng
nht vi nhng h s tnh t c lng ring l ca hai hi quy (15.6.1) v (15.6.2). iu
c ng cho , c lng ca gi tr ng ca phng sai o
2
hay khng, tc l
tnh c t (15.7.1) c ging nh gi tr tnh c t (15.6.1) hay (15.6.2) khng? Ti
sao hay ti sao khng?
15.11. Kt hp s liu cho v chui thi gian. Gi s bn c s liu v sn lng, nhp lng
lao ng v vn ca N cng ty trong mt ngnh kinh t trong cc thi on T v gi s bn
mun thc hin hm hi quy t s liu vi dng sau:
Y
it
= o + |
1
X
1it
+ |
2
X
2it
+ u
it
i = 1, 2, 3, , N; t = 1, 2, 3, , T
vi Y = sn lng
X
1
= nhp lng vn
X
2
= nhp lng lao ng
Gi s c cc s liu thch hp, bn c yu cu xy dng cc m hnh nh sau
(a) Cc cng ty khc nhau v hiu qu qun l, nhng khc bit ch tc ng n tung
gc o; tc ng ny c th gi l tc ng cng ty.
(b) Tt c cc cng ty c hiu qu qun l nh sau, nhng tung gco thay i nm ny
qua nm khc; tc ng ny c th c gi l tc ng nm.
(c) Tung gc ca hm sn xut trn b nh hng bi tc ng cng ty ln tc ng
nm. Thm vo ,
(d) Bn phi a ra gi thit no v yu t nhiu u
it
?
15.12. Trong nghin cu ca mnh v thi gian FDIC (Cng ty Bo him Tin gi Lin bang) s
dng lao ng trong vic kim tra 91 ngn hng, R. J. Miller c lng hm s sau:
*

lnY = 2,41 + 0,3674lnX
i
+ 0,2217lnX
2
+ 0,0803lnX
3

(0,0477) (0,0628) (0,0287)
0,1755D
i
+ 0,2799D
2
+ 0,5634D
3
0,2572D
4

(0,2905) (0,1044) (0,1657) (0,0787)
R
2
= 0,766
vi Y = s gi lao ng ca kim tra vin FDIC
X
1
= tng ti sn ca ngn hng
X
2
= tng s vn phng ca ngn hng
X
3
= t l cc khon vay phn loi so vi tng s cc khon vay ca ngn
hng

*
Examination of Man-Hour Cost for Independent, Joint and Divided Examination Programs, Journal of Bank
Research (Kim tra chi ph ph lao ng/gi i vi cc chng trnh kim tra lp, lin kt v phn chia, Tp ch
Nghin cu Ngn hng), tp 11, 1980, trang 28-35. Lu : Cc k hiu c thay i ph hp vi cc k hiu
ca chng ta.
2
o
2
o

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
D
1
= 1 nu mc nh gi qun l l tt
D
2
= 1 nu mc nh gi qun l l trung bnh
D
3
= 1 nu mc nh gi qun l l tha ng
D
4
= 1 nu kim tra c thc hin cng vi bang.
Cc s trong ngoc l sai s chun c lng
(a) Gii thch cc kt qu.
(b) C xy ra vn g hay khng trong vic gii thch cc bin gi trong m hnh ny khi
Y c dng lgart?
(c) Lm th no bn gii thch cc h s ca bin gi?
15.13. nh gi tc ng ca chnh sch ca H thng D tr Lin bang (Fed) trong vic ni
lng kim sot li sut bt u t thng 7 nm 1979, Sidney Langer, mt sinh vin ca ti,
c lng m hnh sau trong giai on theo qu t 1975-III n 1983-II.
*

Y
t
= 8,5871 0,1328P
t
0,7102Un
t
0,2389M
t

se(1,9563) (0,0992) (0,1909) (0,0727)
+ 0,6592Y
t1
+ 2,5831Dum
t
R
2
= 0,9156
(0,1036) (0,7549)
vi Y = mc li sut tn phiu kho bc k hn 3 thng
P = t l lm pht d kin
Un = t l tht nghip hiu chnh yu t ma
M = nhng thay i trong c s tin t
Dum = bin gi, ly gi tr 1 i vi cc quan st bt u t 1/7/1979.
(a) Gii thch cc kt qu ny.
(b) u l tc ng ca chnh sch ni lng kim sot li sut? Cc kt qu c ngha
kinh t khng?
(c) Cc h s ca P
t
, Un v M
t
nh hn 0. Bn c th cho bit l do kinh t cn bn
khng?
15.14. Tham chiu hi quy tng khc tho lun trong chng. Gi s khng ch c thay i trong
h s gc ti X
*
m ng hi quy cng dch chuyn, nh m t trong Hnh 15.10. Bn
chnh (15.11.1) nh th no tnh n s dch chuyn trong ng hi quy ti X
*
?

*
Sidney Langer, Interest Rate Deregulation and Short-Term Interest Rates (Ni lng kim sot li sut v cc
mc li sut ngn hn), bi vit cui hc k khng xut bn.
HNH 15.10
Hi quy tuyn tnh tng khc khng lin tc.
X
*

X
Y

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
15.15. Cc yu t xc nh gi 1 ounce cola. Cathy Schaefer, mt sinh vin ca ti, c lng
hi quy sau da vo s liu cho ca 77 quan st:

P
i
= |
0
+ |
1
D
1i
+ |
2
D
2i
+
i

vi P
i
= gi 1 ounce cola
D
1i
= 001 nu l ca hng bn gim gi
= 010 nu l ca hng chui xch (trong mt h thng ca hng)
= 100 nu l ca hng t chn
D
2i
= 10 nu l sn phm c nhn
= 01 nu l sn phm khng c nhn
D
3i
= 0001 chai 67,6 ounce (2 lt)
= 0010 chai 33,8 ounce (Lu : 33,8 ounce = 1 lt)
= 0100 chai 16 ounce
= 1000 chai 12 ounce.
Sau y l cc kt qu:
P
i
= 0,0143 0,000004D
1i
+ 0,0090D
2i
+ 0,00001D
3i

(0,00001) (0,00011) (0,00000)
t = (0,3837) (8,3927) (5,8125)
R
2
= 0,6033
Lu : Cc sai s chun ch c biu din vi 5 ch s sau du phy.
(a) Bnh lun cch thc a cc bin gi vo m hnh.
(b) Gi s cch thit lp bin gi l chp nhn c, bn gii thch cc kt qu nh th
no?
(c) H s ca D
3
dng v c ngha thng k. Bn hp l ha kt qu ny nh th no?
15.16. Da vo s liu ca 101 nc v thu nhp bnh qun u ngi tnh theo USD (X) v tui
th tnh theo nm (Y) trong u thp nin 70, Sen v Srivastava tnh c cc kt qu
hi quy sau:
*

Y
i
= 2,40 + 9,39lnX
i
3,36[D
i
(lnX
i
7)]
se = (4,73) (0,859) (2,42) R
2
= 0,752
vi D
i
= 1 nu lnX
i
> 7 v D
i
= 0 nu khc. Lu : Khi lnX
i
= 7, X = 1097 USD (gn ng).
(a) Vi (cc) l do g thit lp bin thu nhp di dng log?
(b) Bn gii thch h s 9,39 ca lnX
i
nh th no?
(c) u c th l l do a ra bin lm hi quy D
i
(lnX
i
7)? Lm sao bn gii thch hi
quy ny bng li (Gi : hi quy tuyn tnh tng khc)?
(d) Gi s thu nhp bnh qun u ngi 1097 USD l ng chia ct gia nc ngho v
nc giu, bn tnh hi gn cho cc nc c thu nhp di 1097 USD v hi gn cho
cc nc c thu nhp trn 1097 USD nh th no?
(e) Bn rt ra cc kt lun tng qut no t kt qu hi quy trnh by trong bi tp ny?
15.17. Xem xt m hnh sau:

Cathy Schaefer, Price Per Ounce of Cola Beverage as a Function of Place of Purchase, Size of Container, and
Branded or Unbranded Product (Gi 1 ounce ung co la biu din bng hm s ca ni mua, kch thc
cngtenn v sn phm c nhn hiu hay khng c), n cui hc k khng xut bn.
*
Ashish Sen & Muni Srivastava, Regression Analysis: Theory, Methods, and Applications (Phn tch hi quy: L
thuyt, Phng php v ng dng), Springer-Verlag, New York, 1990, trang 92. K hiu c thay i.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Y
i
= |
1
+ |
2
D
i
+ u
i

vi D
i
= 0 i vi 20 quan st u v D
i
= 1 i vi 30 quan st cn li. Bn cng c
cho bit rng var( ) = 300.
(a) Bn gii thch |
1
v |
2
nh th no?
(b) Cc gi tr trung bnh ca hai nhm bng bao nhiu?
(c) Bn tnh phng sai ca (|
1
+ |
2
) nh th no? Lu : Bn c cho bit rng cov(|
1
,
|
2
) = 15.
Bi tp
15.18. S dng s liu trong Ph lc 15A, Mc 15A.1, kim nh gi thit rng cc phng sai
ca sai s trong hai giai on 1958-IV n 1966-III v 1966-IV n 1971-II bng nhau.
Xem Chng 11 v cc phng php khc nhau trong kim nh tnh thun nht (khng
i) ca phng sai.
15.19. Kim nh gi thit cho rng c lng t (8.8.6) v (8.8.7) bng nhau. Bn c
th s dng kim nh ca Barlett v tnh thun nht ca phng sai tho lun trong
Chng 11.
15.20. Kim nh Chow chnh sa (khi cc quan st nh hn s cc tham s cn c
lng). Tham chiu cc hi quy (15.6.1) v (15.6.2). Gi thit rng n
2
, s cc quan st
trong giai on II, nh hn hay cng lm l bng s cc tham s cn c lng. Trong
trng hp ny, Chow a ra chnh sa sau v kim nh ca mnh: Gi S
1
= RSS t hi
quy tng hp; S
2
= RSS t hi quy trong giai on I (gi thit rng n
1
> s cc tham s).
By gi, s dng kim nh F sau:

trong c n
2
v (n
1
k) bc t do.
Nu gi tr F c ngha thng k, ta bc b gi thit cho rng n
2
quan st cui n t
m hnh to ra hi quy trong giai on I da vo n
1
quan st. Nu n khng c ngha,
ta khng bc b gi thit ny.
S dng s liu trong Bng 15.2 kim nh gi thit cho rng hai quan st cui
n t cng mt tng th to ra 16 quan st u.
15.21. S dng phng php lun tho lun trong Chng 8, so snh cc hi quy hn ch v
khng hn ch (15.10.2) v (15.10.3), tc l, kim nh gi tr ca cc hn ch c p
t.
15.22. Tham chiu cc s liu trong Ph lc 15A, Mc 15A.2 v hi quy (15.10.2). Xy dng
mt m hnh hi quy kim nhg gi thit cho rng dc cng nh tung gc ca
hi quy li nhun theo doanh thu trong qu II ca nm khc vi cc qu cn li. Trnh by
cc php tnh cn thit.
15.23. Loi b yu t ma trong s liu. V d minh ha trong Mc 15.10 ch ra cc bin gi
c th c s dng nh th no tnh n cc tc ng ca ma. Sau khi c lng hi
quy (15.10.2), ta tm thy rng ch c bin gi gn vi qu II c tc ng ma. Do vy,
phng php loi b yu t ma khi s liu s tr i gi tr 1.322,8938 (triu USD), gi
tr ca h s ca bin gi trong qu II, t cc s liu li nhun v doanh thu trong qu II
ca mi nm v chy hi quy li nhun theo doanh thu s dng s liu va bin i.
2
i
u
2
3
2
2
o o va
) /(
/ ) (
1 2
2 2 1
k n S
n S S
F
=

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
(a) Bin i s liu trn v chy hi quy. ng a vo hi quy ny bt c bin gi no.
(Ti sao?)
(b) So snh h s ca bin doanh thu trong hi quy c lng bng cch s dng s liu
bin i vi h s trong (15.10.2). Hai h s ny c c mong i l ng nht v
mt thng k hay khng? Ti sao?
(c) Gi s trong (a) bn a vo m hnh cc bin gi. iu g s xy ra i vi cc h
s ca cc bin gi?
15.24. Trong hi quy tit kim - thu nhp (15.7.4), gi s rng thay cho vic s dng cc gi tr 1
v 0 cho bin gi D
i
, bn s dng Z
i
= a + bD
i
, vi D
i
= 1 v 0, a = 2, b = 3. So snh hai
kt qu.
15.25. Tip tc vi hi quy tit kim - thu nhp (15.7.4), gi s bn cho D
i
= 1 i vi cc quan
st trong giai on II v D
i
= 0 i vi cc quan st trong giai on I. Cc kt qu trong
(15.7.4) thay i nh th no?
15.26. Lm th no bn tnh c cc sai s chun ca cc h s c lng i vi hi quy
(15.7.5) v (15.7.6)? Bn cn phi bit thm thng tin g, nu c, tnh ra cc kt qu
bng s?
15.27. Bng sau cho bit s liu hng qu (cha hiu chnh theo ma) v doanh thu bn c phn
qu h tng ca ngnh qu h tng (qu u t chung) trong giai on 1968-1973.
Doanh thu bn c phn qu h tng
(triu USD)
Qu
Nm I II III IV
1968 1.564 1.654 1.607 1.994
1969 2.129 1.658 1.428 1.503
1970 1.381 1.039 975 1.230
1971 1.304 1.288 1.108 1.446
1972 1.398 1.176 1.099 1.219
1973 1.382 888 933 1.156
Ngun: 1974 Mutual Fund Fact Book (Sch S
kin v Qu h tng 1974), Vin Cng ty u t,
Washington, D.C. (S liu c lm trn theo triu
la).
Xem xt m hnh sau:
Doanh thu
t
= o
1
+ o
2
D
2
+ o
3
D
3
+ o
4
D
4
+ u
t

vi D
2
= 1 i vi qu II, 0 nu khc
D
3
= 1 i vi qu III, 0 nu khc
D
4
= 1 i vi qu IV, 0 nu khc
(a) c lng hi quy trn.
(b) Bn gii thch cc h s o nh th no?
(c) Lm th no bn s dng cc h s o c lng loi b yu t ma trong s liu
doanh thu?
15.28. S dng s liu ca bi tp 15.27 nhng vi m hnh sau:

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
Doanh thu
t
= o
1
D
1
+ o
2
D
2
+ o
3
D
3
+ o
4
D
4
+ u
t

vi D l cc bin gi nhn gi tr 1 hoc 0 trong cc qu I n IV.
(a) Bn c lng phng trnh trn nh th no?
(b) Phng trnh trn c vi phm quy tc s bin gi phi bng s phn loi (qu) tr 1
hay khng?

*
15.29. Hi quy c v nh khng c quan h (seemingly unrelated regressions - SURE). Tham
chiu cc hm u t G.M. v Westinghouse trong (15.12.1) v (15.12.2). Mc d cc
hm ny c th c c lng ring r, s hiu qu hn (v mt thng k) nu cc hm
ny cng c c lng, do hai cng ty hot ng trong cng mt th trng vn v mt
c sc (v d nh gia tng li sut) s c nhiu kh nng tc ng n c hai cng ty. Do
vy, c nhiu kh nng l s hng sai s u i vi G.M. v s hng sai s u i vi
Westinghouse ti cng mt thi im s c tng quan (trng hp ny c gi l tng
quan cng thi im). Trong trng hp ny, Zellner ch ra rng c lng hai
phng trnh ng thi, mc d chng c v nh khng c quan h, c th ci thin tnh
hiu qu ca cc c lng so vi trng hp tng hm c c lng ring r.
Do
vy, n c vit tt l SURE.
Phng php thc t c lng SURE kh phc tp, nhng cc phn mm kinh
t lng tiu chun u c chc nng SURE.
(a) S dng bt c phn mm kinh t lng no, tm cc c lng SURE ca cc tham
s ca hai hm u t.
(b) Tnh c cc c lng OLS ca hai hm hi quy ring r.
(c) So snh cc sai s chun ca cc h s hi quy khc nhau tnh theo phng php OLS
v SURE. Phng php no tt hn v ti sao?
15.30. Tham chiu v d 15.5 trong Mc 15.8. p dng kim nh Chow cho s liu trong mc
ny v so snh cc kt qu ca bn vi cc kt qu trong V d 15.5. Bn thch phng
php no? V ti sao?
15.31. S dng s liu u t trong Bng 15.4, chy hi quy tng hp cho Westinghouse v G.E
s dng m hnh (15.12.3) v so snh cc kt qu ca bn vi hi quy tng hp G.M. v
Westinghouse. Nu c s khc bit trong cc kt qu ca bn, th iu g c th l l do
cho s khc bit ny?
Bn chy hi quy tng hp cho G.M., G.E. v Westinghouse s dng k thut bin
gi nh th no?
15.32. S dng s liu trong Bng 15.4, c lng cc hm hi gn cho G.M v Westinghouse
vi c cc bin gi tung gc v h s gc chnh lch phn bit hai cng ty v bnh
lun cc kt qu ca bn i chiu vi cc kt qu trong (15.12.5).
15.33. So snh cc kt qu ca hi quy (15.13.2) vi cc kt qu tnh c t vic chy m hnh
tuyn tnh, tc l, vi Y l hm tuyn tnh ca X
2
v D
i
.

*
Khng bt buc.
A. Zellner, An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias,
Journal of the American Statistical Association (Mt phng php c lng hiu qu cc hi quy c v nh khng
c quan h v kim nh s thin lch tng hp, Tp ch ca Hip hi Thng k Hoa K), tp 57, 1962, trang 348-
368.

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
PH LC 15A
15A.1 MA TRN S LIU CHO HI QUY
(15.8.2)

Nm v
qu
T l
tht
nghip
UN (%)
T l vic
lm cn
trng V
(%)

D

DV

Nm v
qu
T l
tht
nghip
UN (%)
T l vic
lm cn
trng V
(%)

D

DV
1958-IV 1,915 0,510 0 0 1965-I 1,201 0,997 0 0
1959-I 1,876 0,541 0 0 -II 1,192 1,035 0 0
-II 1,842 0,541 0 0 -III 1,259 1,040 0 0
-III 1,750 0,690 0 0 -IV 1,192 1,086 0 0
-IV 1,648 0,771 0 0 1966-I 1,089 1,101 0 0
1960-I 1,450 0,836 0 0 -II 1,101 1,058 0 0
-II 1,393 0,908 0 0 -III 1,243 0,987 0 0
-III 1,322 0,968 0 0 -IV 1,623 0,819 1 0,819
-IV 1,260 0,998 0 0 1967-I 1,821 0,740 1 0,740
1961-1 1,171 0,968 0 0 -II 1,990 0,661 1 0,661
-II 1,182 0,964 0 0 -III 2,114 0,660 1 0,660
-III 1,221 0,952 0 0 -IV 2,115 0,698 1 0,698
-IV 1,340 0,849 0 0 1968-I 2,150 0,695 1 0,695
1962-I 1,411 0,748 0 0 -II 2,141 0,732 1 0,732
-II 1,600 0,658 0 0 -III 2,167 0,749 1 0,749
-III 1,780 0,562 0 0 -IV 2,107 0,800 1 0,800
-IV 1,941 0,510 0 0 1969-I 2,104 0,783 1 0,783
1963-I 2,178 0,510 0 0 -II 2,056 0,800 1 0,800
-II 2,067 0,544 0 0 -III 2,170 0,794 1 0,794
-III 1,942 0,568 0 0 -IV 2,161 0,790 1 0,790
-IV 1,764 0,677 0 0 1970-I 2,225 0,757 1 0,757
1964-I 1,532 0,794 0 0 -II 2,241 0,746 1 0,746
-II 1,455 0,838 0 0 -III 2,366 0,739 1 0,739
-III 1,409 0,885 0 0 -IV 2,324 0,707 1 0,707
-IV 1,296 0,978 0 0 1971-I 2.516* 0.583* 1 0.583*
-II 2.909* 0.524* 1 0.524*
* Cc c lng s khi.
Ngun: Damodar Gujarati, The Behaviour of Unemployment and Unfilled Vacancies: Great
Britain, 1958-1971, The Economic Journal (Hnh vi ca tht nghip v ch lm vic cn trng:
Anh Quc, 1958-1971, Tp ch Kinh t), tp 82, 3/1972, trang 195-202.
15A.2 MA TRN S LIU CHO HI QUY (15.10.2)

Nm v qu
Li nhun
(triu USD)
Doanh thu
(triu USD)

D
2

D
3

D
4

1965-I 10.503 114.862 0 0 0
-II 12.092 123.968 1 0 0
-III 10.834 121.454 0 1 0
-IV 12.201 131.917 0 0 1

Cc phng php nh lng
Bi c
Kinh t lng c s 3
rd
ed.

Hiu nh: Cao Ho Thi
1966-I 12.245 129.911 0 0 0
-II 14.001 140.976 1 0 0
-III 12.213 137.828 0 1 0
-IV 12.820 145.465 0 0 1
1967-I 11.349 136.989 0 0 0
-II 12.615 145.126 1 0 0
-III 11.014 141.536 0 1 0
-IV 12.730 151.776 0 0 1
1968-I 12.539 148.862 0 0 0
-II 14.849 158.913 1 0 0
-III 13.203 155.727 0 1 0
-IV 14.947 168.409 0 0 1
1969-I 14.151 162.781 0 0 0
-II 15.949 176.057 1 0 0
-III 14.024 172.419 0 1 0
-IV 14.315 183.327 0 0 1
1970-I 12.381 170.415 0 0 0
-II 13.991 181.313 1 0 0
-III 12.174 176.712 0 1 0
-IV 10.985 180.370 0 0 1
Lu :D
2
= 1 i vi qu II, 0 nu khc
D
3
= 1 i vi qu III, 0 nu khc
D
4
= 1 i vi qu IV, 0 nu khc
Ngun: S liu v li thun v doanh thu l cho ton b trung tm cng nghip ch to v c ly t Bo co ti
chnh hng qu i vi cc cng ty cng nghip ch to, y ban Thng mi Lin bang Hoa K v y ban Chng
khon v Giao dch Hoa K

Cac Chu de Kinh Te Luong

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Chng trnh Ging dy Kinh t Fulbright

Nin kha 2012-2014

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