BI GING

KINH T LNG
MC LC Trang
CHNG 1GII THIU3
1.1.Kinh t lng l g?3
1.2.Phng php lun ca Kinh t lng4
1.3.Nhng cu hi t ra cho mt nh kinh t lng 8
1.4.D liu cho nghin cu kinh t lng8
1.5.Vai tr ca my vi tnh v phm mm chuyn dng 9
CHNG 2N TP V XC SUT V THNG K
2.1.Xc sut11
2.2.Thng k m t23
2.3.Thng k suy din-Vn c lng25
2.4.Thng k suy din - Kim nh gi thit thng k30
CHNG 3HI QUY HAI BIN
3.1.Gii thiu39
3.2.Hm hi quy tng th v hi quy mu41
3.3.c lng cc h s ca m hnh hi quy theo phng php OLS44
3.4.Khong tin cy v kim nh gi thit v cc h s hi quy48
3.5.nh l Gauss-Markov52
3.6. thch hp ca hm hi quy R
2
52
3.7.D bo bng m hnh hi quy hai bin54
3.8. ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng56
CHNG 4M HNH HI QUY TUYN TNH BI
4.1. Xy dng m hnh60
4.2.c lng tham s ca m hnh hi quy bi61
4.3.
2
R
v
2
R

hiu chnh64
4.4. Kim nh mc ngha chung ca m hnh64
4.5. Quan h gia R
2
v F65
4.6. c lng khong v kim nh gi thit thng k cho h s hi quy65
4.7. Bin phn loi (Bin gi-Dummy variable)66
CHNG 5GII THIU MT S VN LIN QUAN N
M HNH HI QUY
5.1. a cng tuyn72
5.2. Phng sai ca sai s thay i74
5.3. T tng quan (tng quan chui)80
5.4. La chn m hnh81
CHNG 6 D BO VI M HNH HI QUY
6.1. D bo vi m hnh hi quy n gin84
6.2. Tnh cht tr ca d liu chui thi gian v h qu ca n n m hnh84
6.3. M hnh t hi quy85
6.4. M hnh c tr phn phi85
6.5. c lng m hnh t hi quy88
6.6. Pht hin t tng quan trong m hnh t hi quy88
CHNG 7CC M HNH D BO MNG TNH THNG K
7.1. Cc thnh phn ca d liu chui thi gian90
7.2. D bo theo xu hng di hn92
7.3. Mt s k thut d bo n gin93
7.4. Tiu chun nh gi m hnh d bo94
7.5. Mt v d bng s95
2
7.6. Gii thiu m hnh ARIMA96
Cc bng tra Z, t , F v
2
101
Ti liu tham kho105
CHNG 1 GII THIU
1.1. Kinh t lng l g?
Thut ng ting Anh Econometrics c ngha l o lng kinh t
1
. Tht ra phm vi ca
kinh t lng rng hn o lng kinh t. Chng ta s thy iu qua mt nh ngha v
kinh t lng nh sau:
Khng ging nh thng k kinh t c ni dung chnh l s liu thng k, kinh t lng
l mt mn c lp vi s kt hp ca l thuyt kinh t, cng c ton hc v phng php
lun thng k. Ni rng hn, kinh t lng lin quan n: (1) c lng cc quan h kinh
t, (2) Kim chng l thuyt kinh t bng d liu thc t v kim nh gi thit ca kinh t
hc v hnh vi, v (3) D bo hnh vi ca bin s kinh t.
2
Sau y l mt s v d v ng dng kinh t lng.
c lng quan h kinh t
(1) o lng mc tc ng ca vic h li sut ln tng trng kinh t.
(2) c lng nhu cu ca mt mt hng c th, v d nhu cu xe hi ti th trng
Vit Nam.
(3) Phn tch tc ng ca qung co v khuyn mi ln doanh s ca mt cng ty.
Kim nh gi thit
(1) Kim nh gi thit v tc ng ca chng trnh khuyn nng lm tng nng sut
la.
(2) Kim chng nhn nh co dn theo gi ca cu v c basa dng fillet th
trng ni a.
(3) C s phn bit i x v mc lng gia nam v n hay khng?
D bo
(1) Doanh nghip d bo doanh thu, chi ph sn xut, li nhun, nhu cu tn kho
(2) Chnh ph d bo mc thm ht ngn sch, thm ht thng mi, lm pht
(3) D bo ch s VN Index hoc gi mt loi c phiu c th nh REE.
1.2. Phng php lun ca kinh t lng
Theo phng php lun truyn thng, cn gi l phng php lun c in, mt nghin
cu s dng kinh t lng bao gm cc bc nh sau
3
:
(1) Pht biu l thuyt hoc gi thit.
(2) Xc nh c trng ca m hnh ton kinh t cho l thuyt hoc gi thit.
(3) Xc nh c trng ca m hnh kinh t lng cho l thuyt hoc gi thit.
(4) Thu thp d liu.
(5) c lng tham s ca m hnh kinh t lng.
(6) Kim nh gi thit.
(7) Din gii kt qu
(8) D bo v s dng m hnh quyt nh chnh sch
1
A.Koutsoyiannis, Theory of Econometrics-Second Edition, ELBS with Macmillan-1996, trang 3
2
Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt College Publishers-2002, trang 2.
3
Theo Ramu Ramanathan, Introductory Econometrics with Applications, Harcourt College Publishers-2002
3
Hnh 1.1 Phng php lun ca kinh t lng
V d 1: Cc bc tin hnh nghin cu mt vn kinh t s dng kinh t lng vi
ti nghin cu xu hng tiu dng bin ca nn kinh t Vit Nam.
(1) Pht biu l thuyt hoc gi thit
Keynes cho rng:
Qui lut tm l c s ... l n ng (n b) mun, nh mt qui tc v v trung bnh,
tng tiu dng ca h khi thu nhp ca h tng ln, nhng khng nhiu nh l gia tng
trong thu nhp ca h.
4
Vy Keynes cho rng xu hng tiu dng bin(marginal propensity to consume-MPC),
tc tiu dng tng ln khi thu nhp tng 1 n v tin t ln hn 0 nhng nh hn 1.
(2) Xy dng m hnh ton cho l thuyt hoc gi thit
Dng hm n gin nht th hin tng ca Keynes l dng hm tuyn tnh.
GNP TD
2 1
+
(1.1)
Trong : 0 <
2

< 1.
Biu din di dng th ca dng hm ny nh sau:
4
John Maynard Keynes, 1936, theo D.N.Gujarati, Basic Economics, 3
rd
, 1995, trang 3.
L thuyt hoc gi thit
Lp m hnh kinh t lng
Thu thp s liu
c lng thng s
Kim nh gi thit
Din dch kt qu Xy dng li m hnh
D bo Quyt nh chnh sch
Lp m hnh ton kinh t
4

1
: Tung gc

2
: dc
TD : Bin ph thuc hay bin c gii thch
GNP: Bin c lp hay bin gii thch
Hnh 1. 2. Hm tiu dng theo thu nhp.
(3) Xy dng m hnh kinh t lng
M hnh ton vi dng hm (1.1) th hin mi quan h tt nh(deterministic
relationship) gia tiu dng v thu nhp trong khi quan h ca cc bin s kinh t thng
mang tnh khng chnh xc. biu din mi quan h khng chnh xc gia tiu dng v
thu nhp chng ta a vo thnh phn sai s:
+ + GNP TD
2 1
(1.2)
Trong l sai s, l mt bin ngu nhin i din cho cc nhn t khc cng tc
ng ln tiu dng m cha c a vo m hnh.
Phng trnh (1.2) l mt m hnh kinh t lng. M hnh trn c gi l m hnh hi
quy tuyn tnh. Hi quy tuyn tnh l ni dung chnh ca hc phn ny.
(4) Thu thp s liu
S liu v tiu dng v thu nhp ca nn kinh t Vit Nam t 1986 n 1998 tnh theo
n v tin t hin hnh nh sau:
Nm
Tiu dng
TD, ng hin hnh
Tng thu nhp
GNP, ng hin
hnh
H s
kh
lm
pht
198
6 526.442.004.480 553.099.984.896 2,302
198
7 2.530.537.897.984 2.667.299.995.648 10,717
198
8 13.285.535.514.624 14.331.699.789.824 54,772
198
9 26.849.899.970.560 28.092.999.401.472 100
199
0 39.446.699.311.104 41.954.997.960.704 142,095
199
1 64.036.997.693.440 76.707.000.221.696 245,18
GNP
TD

2
=M
PC

1
0
5
199
2 88.203.000.283.136
110.535.001.505.79
2 325,189
199
3
114.704.005.464.06
4
136.571.000.979.45
6 371,774
199
4
139.822.006.009.85
6
170.258.006.540.28
8 425,837
199
5
186.418.693.406.72
0
222.839.999.299.58
4 508,802
199
6
222.439.040.614.40
0
258.609.007.034.36
8 540,029
199
7
250.394.999.521.28
0
313.623.008.247.80
8 605,557
199
8
284.492.996.542.46
4
361.468.004.401.15
2 659,676
Bng 1.1. S liu v tng tiu dng v GNP ca Vit Nam
Ngun : World Development Indicator CD-ROM 2000, WorldBank.
TD: Tng tiu dng ca nn kinh t Vit Nam, ng hin hnh.
GNP: Thu nhp quc ni ca Vit Nam, ng hin hnh.
Do trong thi k kho st c lm pht rt cao nn chng ta cn chuyn dng s liu v
tiu dng v thu nhp thc vi nm gc l 1989.
Nm Tiu dng
TD, ng-gi c nh
1989
Tng thu nhp
GNP, ng-gi c nh
1989
198
6 22.868.960.302.145 24.026.999.156.721
198
7 23.611.903.339.515 24.888.000.975.960
198
8 24.255.972.171.640 26.165.999.171.928
198
9 26.849.899.970.560 28.092.999.401.472
199
0 27.760.775.225.362 29.526.000.611.153
199
1 26.118.365.110.163 31.285.998.882.813
199
2 27.123.609.120.801 33.990.999.913.679
199
3 30.853.195.807.667 36.735.001.692.581
199
4 32.834.660.781.138 39.982.003.187.889
199
5 36.638.754.378.646 43.797.002.601.354
199
6 41.190.217.461.479 47.888.002.069.333
6
199
7 41.349.567.191.335 51.790.873.128.795
199
8 43.126.144.904.439 54.794.746.182.076
Bng 1.2. Tiu dng v thu nhp ca Vit Nam, gi c nh 1989
(5) c lng m hnh (c lng cc h s ca m hnh)
S dng phng php tng bnh phng ti thiu thng thng (Ordinary Least
Squares)
5
chng ta thu c kt qu hi quy nh sau:
TD = 6.375.007.667 + 0,680GNP
t [4,77][19,23]
R
2
= 0,97
c lng cho h s
1
l
1

6.375.007.667
c lng cho h s
2
l
2

0,68
Xu hng tiu dng bin ca nn kinh t Vit Nam l MPC = 0,68.
(6) Kim nh gi thit thng k
Tr s xu hng tiu dng bin c tnh ton l MPC = 0,68 ng theo pht biu ca
Keynes. Tuy nhin chng ta cn xc nh MPC tnh ton nh trn c ln hn 0 v nh hn
1 vi ngha thng k hay khng. Php kim nh ny cng c trnh by trong chng
2.
(7) Din gii kt qu
Da theo ngha kinh t ca MPC chng ta din gii kt qu hi quy nh sau:
Tiu dng tng 0,68 ngn t ng nu GNP tng 1 ngn t ng.
(8) S dng kt qu hi quy
Da vo kt qu hi quy chng ta c th d bo hoc phn tch tc ng ca chnh sch.
V d nu d bo c GNP ca Vit Nam nm 2004 th chng ta c th d bo tiu dng
ca Vit Nam trong nm 2004. Ngoi ra khi bit MPC chng ta c th c lng s nhn
ca nn kinh t theo l thuyt kinh t v m nh sau:
M = 1/(1-MPC) = 1/(1-0,68) = 3,125
Vy kt qu hi quy ny hu ch cho phn tch chnh sch u t, chnh sch kch cu
1.3. Nhng cu hi t ra cho mt nh kinh t lng
1. M hnh c ngha kinh t khng?
2. D liu c ng tin cy khng?
3. Phng php c lng c ph hp khng?
4. Kt qu thu c so vi kt qu t m hnh khc hay phng php khc nh
th no?
1.4. D liu cho nghin cu kinh t lng
C ba dng d liu kinh t c bn: d liu cho, d liu chui thi gian v d liu bng.
D liu cho bao gm quan st cho nhiu n v kinh t mt thi im cho trc. Cc
n v kinh t bao gm cc cc nhn, cc h gia nh, cc cng ty, cc tnh thnh, cc quc
gia
D liu chui thi gian bao gm cc quan st trn mt n v kinh t cho trc ti
nhiu thi im. V d ta quan st doanh thu, chi ph qung co, mc lng nhn vin, tc
i mi cng ngh mt cng ty trong khong thi gian 1990 n 2002.
D liu bng l s kt hp gia d liu cho v d liu chui thi gian. V d vi cng
b bin s v cng ty nh v d trn, chng ta thu thp s liu ca nhiu cng ty trong
cng mt khong thi gian.
Bin ri rc hay lin tc
5
S c gii thiu trong chng 2.
7
Bin ri rc l mt bin c tp hp cc kt qu c th m c.V d bin Quy m h
gia nh v d mc 1.2 l mt bin ri rc.
Bin lin tc l bin nhn kt qu mt s v hn cc kt qu. V d lng lng ma
trong mt nm mt a im.
D liu c th thu thp t mt th nghim c kim sot, ni cch khc chng ta c th
thay i mt bin s trong iu kin cc bin s khc gi khng i. y chnh l cch b
tr th nghim trong nng hc, y khoa v mt s ngnh khoa hc t nhin.
i vi kinh t hc ni ring v khoa hc x hi ni chung, chng ta rt kh b tr th
nghim c kim sot, v s thc dng nh tt c mi th u thay i nn chng ta ch c
th quan st hay iu tra thu thp d liu.
1.5. Vai tr ca my vi tnh v phm mm chuyn dng
V kinh t lng lin quan n vic x l mt khi lng s liu rt ln nn chng ta
cn dn s tr gip ca my vi tnh v mt chng trnh h tr tnh ton kinh t lng.
Hin nay c rt nhiu phn mm chuyn dng cho kinh t lng hoc h tr x l kinh t
lng.
Excel
Ni chung cc phn mm bng tnh(spreadsheet) u c mt s chc nng tnh ton
kinh t lng. Phn mm bng tnh thng dng nht hin nay l Excel nm trong b Office
ca hng Microsoft. Do tnh thng dng ca Excel nn mc d c mt s hn ch trong
vic ng dng tnh ton kinh t lng, gio trnh ny c s dng Excel trong tnh ton v
d minh ho v hng dn gii bi tp.
Phn mm chuyn dng cho kinh t lng
Hng n vic ng dng cc m hnh kinh t lng v cc kim nh gi thit mt
cch nhanh chng v hiu qu chng ta phi quen thuc vi t nht mt phn mm chuyn
dng cho kinh t lng. Hin nay c rt nhiu phn mm kinh t lng nh:
Phn mmCng ty pht trin
AREMOS/PC Wharton Econometric Forcasting Associate
BASSTALBASS Institute Inc
BMDP/PCBMDP Statistics Software Inc
DATA-FITOxford Electronic Publishing
ECONOMIST WORKSTATIONData Resources, MC Graw-Hill
ESPEconomic Software Package
ETNew York University
EVIEWSQuantitative Micro Software
GAUSSAptech System Inc
LIMDEPNew York University
MATLABMathWorks Inc
PC-TSPTSP International
P-STATP-Stat Inc
SAS/STATVAR Econometrics
SCA SYSTEMSAS Institute Inc
SHAZAMUniversity of British Columbia
SORITECThe Soritec Group Inc
SPSSSPSS Inc
STATPROPenton Sofware Inc
Trong s ny c hai phn mm c s dng tng i ph bin cc trng i hc
v vin nghin cu Vit Nam l SPSS v EVIEWS. SPSS rt ph hp cho nghin cu
8
thng k v cng tng i thun tin cho tnh ton kinh t lng trong khi EVIEWS
c thit k chuyn cho phn tch kinh t lng.
CHNG 2
N TP V XC SUT V THNG K
Bin ngu nhin.
Mt bin m gi tr ca n c xc nh bi mt php th ngu nhin c gi l mt
bin ngu nhin. Ni cch khc ta cha th xc nh gi tr ca bin ngu nhin nu php
th cha din ra. Bin ngu nhin c k hiu bng k t hoa X, Y, Z. Cc gi tr ca
bin ngu nhin tng ng c biu th bng k t thng x, y, z
Bin ngu nhin c th ri rc hay lin tc. Mt bin ngu nhin ri rc nhn mt s
hu hn(hoc v hn m c) cc gi tr. Mt bin ngu nhin lin tc nhn v s gi tr
trong khong gi tr ca n.
V d 2.1. Gi X l s chm xut hin khi tung mt con sc sc (x ngu). X l mt bin
ngu nhin ri rc v n ch c th nhn cc kt qu 1,2,3,4,5 v 6.
V d 2.2. Gi Y l chiu cao ca mt ngi c chn ngu nhin trong mt nhm
ngi. Y cng l mt bin ngu nhin v chng ta ch c nhn c sau khi o c chiu
cao ca ngi . Trn mt ngi c th chng ta o c chiu cao 167 cm. Con s ny
to cho chng ta cm gic chiu cao l mt bin ngu nhin ri rc, nhng khng phi th,
Y thc s c th nhn c bt c gi tr no trong khong cho trc th d t 160 cm n
170 cm tu thuc vo chnh xc ca php o. Y l mt bin ngu nhin lin tc.
2.1. Xc sut
2.1.1 Xc sut bin ngu nhin nhn c mt gi tr c th
Chng ta thng quan tm n xc sut bin ngu nhin nhn c mt gi tr xc nh.
V d khi ta sp tung mt sc sc v ta mun bit xc sut xut hin Xi = 4 l bao nhiu.
Do con sc sc c 6 mt v nu khng c gian ln th kh nng xut hin ca mi mt
u nh nhau nn chng ta c th suy ra ngay xc sut X= 4 l: P(X=4) = 1/6.
9
Nguyn tc l do khng y (the principle of insufficient reason): Nu c K kt
qu c kh nng xy ra nh nhau th xc sut xy ra mt kt qu l 1/K.
Khng gian mu: Mt khng gian mu l mt tp hp tt c cc kh nng xy ra ca
mt php th, k hiu cho khng gian mu l S. Mi kh nng xy ra l mt im mu.
Bin c : Bin c l mt tp con ca khng gian mu.
V d 2.3. Gi Z l tng s im php th tung hai con sc sc.
Khng gian mu l S = {2;3;4;5;6;7;8;9;10;11;12}
A = {7;11}Tng s im l 7 hoc 11
B = {2;3;12}Tng s im l 2 hoc 3 hoc 12
C = {4;5;6;8;9;10}
D = {4;5;6;7}
L cc bin c.
Hp ca cc bin c
E = A hoc B = B A = {2;3;7;11;12}
Giao ca cc bin c:
F = C v D = D C = {4;5;6}
Cc tnh cht ca xc sut
P(S) =1
) B A ( P ) B ( P ) A ( P ) B A ( P ) E ( P
1 ) A ( P 0
+

Tn sut
Kho st bin X l s im khi tung sc sc. Gi s chng ta tung n ln th s ln xut
hin gi tr xi l ni. Tn sut xut hin kt qu xi l
n
n
f
i
i

Nu s php th ln th tn sut xut hin xi tin n xc sut xut hin xi.

nh ngha xc sut
Xc sut bin X nhn gi tr xi l
n
n
lim ) xi X ( P
i
n

2.1.2. Hm mt xc sut (phn phi xc sut)
Hm mt xc sut-Bin ngu nhin ri rc
X nhn cc gi tr xi ring r x
1
, x
2
,, x
n
. Hm s
f(x) = P(X=xi) , vi i = 1;2;..;n
= 0 , vi x xi
c gi l hm mt xc sut ri rc ca X. P(X=xi) l xc sut bin X nhn gi tr
xi.
Xt bin ngu nhin X l s im ca php th tung mt con sc sc. Hm mt xc
sut c biu din dng bng nh sau.
X 1 2 3 4 5 6
P(X=x
)
1/6 1/6 1/6 1/6 1/6 1/6
Bng 2.1. Mt xc sut ca bin ngu nhin ri rc X
Xt bin Z l tng s im ca php th tung 2 con sc sc. Hm mt xc sut c
biu din di dng bng nh sau.
z 2 3 4 5 6 7 8 9 1
0
1
1
12
P(Z
=z)
1/
36
2/
36
3/
36
4/
36
5/
36
6/
36
5/
36
4/
36
3/
36
2/
36
1/
36
10
Bng 2.2. Mt xc sut ca bin ngu nhin ri rc Z
0
1/36
1/18
1/12
1/9
5/36
1/6
7/36
2 3 4 5 6 7 8 9 10 11 12
Hnh 2.1. Biu tn sut ca bin ngu nhin Z.
Hm mt xc sut(pdf)-Bin ngu nhin lin tc.
V d 2.4. Chng ta xt bin R l con s xut hin khi bm nt Rand trn my tnh cm
tay dng tiu biu nh Casio fx-500. R l mt bin ngu nhin lin tc nhn gi tr bt k
t 0 n 1. Cc nh sn xut my tnh cam kt rng kh nng xy ra mt gi tr c th l
nh nhau. Chng ta c mt dng phn phi xc sut c mt xc sut u.
Hm mt xc sut u c nh ngha nh sau:f(r) =
L U
1

Vi L : Gi tr thp nht ca phn phi

U: Gi tr cao nht ca phn phi
0
1
0 0,2 0,4 0,6 0,8 1 1,2
Hnh 2.2. Hm mt xc sut u R.
Xc sut R ri vo khong (a; b) l P(a <r<b) =
L U
a b

.
C th xc sut R nhn gi tr trong khong (0,2; 0,4) l:
P(0,2 < r < 0,4) =
% 20
0 1
2 , 0 4 , 0

, y chnh l din tch c gch cho trn hnh 2.1.

Tng qut, hm mt xc sut ca mt bin ngu nhin lin tc c tnh cht nh sau:
(1) f(x) 0
(2) P(a<X<b) = Din tch nm di ng pdf
P(a<X<b) =

b
a
dx ) x ( f
11
(3)
1 dx ) x ( f
S

Hm ng mt xc sut -Bin ngu nhin ri rc

V d 2.5. Xt hai bin ngu nhin ri rc X v Y c xc sut ng xy ra X = xi v Y =
yi nh sau.
X
2 3 P(Y)
Y
1 0,2 0,4 0,6
2 0,3 0,1 0,4
P(X) 0,5 0,5 1,0
Bng 2.3. Phn phi ng mt xc xut ca X v Y.
nh ngha :Gi X v Y l hai bin ngu nhin ri rc. Hm s
f(x,y) = P(X=x v Y=y)
= 0 khi X x v Y y
c gi l hm ng mt xc sut, n cho ta xc xut ng thi xy ra X=x v Y=y.
Hm mt xc sut bin
f(x) =

y
) y , x ( f
hm mt xc sut bin ca X
f(y) =

x
) y , x ( f
hm mt xc sut bin ca Y
V d 2.6. Ta tnh hm mt xc sut bin i vi s liu cho v d 2.5.
f(x=2) =

y
) y , 2 x ( f
=0,3 + 0,3 = 0,5
f(x=3) =

y
) y , 3 x ( f
=0,1 + 0,4 = 0,5
f(y=1) =

x
) 1 y , x ( f
=0,2 + 0,4 = 0,6
f(y=2) =

x
) 2 y , x ( f
=0,3 +0,1 = 0,4
Xc sut c iu kin
Hm s
f(xy) = P(X=xY=y) , xc sut X nhn gi tr x vi iu kin Y nhn gi tr y,
c gi l xc sut c iu kin ca X.
Hm s
f(yx) = P(Y=yX=x) , xc sut Y nhn gi tr y vi iu kin X nhn gi tr x,
c gi l xc sut c iu kin ca Y.
Xc sut c iu kin c tnh nh sau
) y ( f
) y , x ( f
) y x ( f
, hm mt xc sut c iu kin ca X
) x ( f
) y , x ( f
) x y ( f
, hm mt xc sut c iu kin ca Y
Nh vy hm mt xc sut c iu kin ca mt bin c th tnh c t hm ng
mt xc sut v hm mt xc sut bin ca bin kia.
V d 2.7. Tip tc v d 2.5 v v d 2.6.
3
1
6 , 0
2 , 0
) 1 Y ( f
) 1 Y , 2 X ( f
) 1 Y 2 X ( f

5
1
5 , 0
1 , 0
) 3 X ( f
) 2 Y , 3 X ( f
) 3 X 2 Y ( f

c lp v thng k
Hai bin ngu nhin X v Y c lp v thng k khi v ch khi
12
f(x,y)=f(x)f(y)
tc l hm ng mt xc sut bng tch ca cc hm mt xc sut bin.
Hm ng mt xc sut cho bin ngu nhin lin tc
Hm ng mt xc sut ca bin ngu nhin lin tc X v Y l f(x,y) tha mn
f(x,y) 0
) d y c ; b x a ( P dxdy ) y , x ( f
1 dxdy ) y , x ( f
b
a
d
c

Hm mt xc sut bin c tnh nh sau

dy ) y , x ( f ) x ( f
, hm mt xc sut bin ca X

dx ) y , x ( f ) y ( f
, hm mt xc sut bin ca Y
2.1.3. Mt s c trng ca phn phi xc sut
Gi tr k vng hay gi tr trung bnh
Gi tr k vng ca mt bin ngu nhin ri rc

X
) x ( xf ) X ( E
Gi tr k vng ca mt bin ngu nhin lin tc

X
dx ) x ( xf ) X ( E
V d 2.8. Tnh gi tr k vng bin X l s im ca php th tung 1 con sc sc
5 , 3
6
1
6
6
1
5
6
1
4
6
1
3
6
1
2
6
1
1 ) X ( E + + + + +
Mt s tnh cht ca gi tr k vng
(1) E(a) = avi a l hng s
(2) E(a+bX) = a + bE(X)vi a v b l hng s
(3) Nu X v Y l c lp thng k th E(XY) = E(X)E(Y)
(4) Nu X l mt bin ngu nhin c hm mt xc sut f(x) th
[ ]

x
) x ( f ) X ( g ) X ( g E
, nu X ri rc
[ ]

dx ) x ( f ) X ( g ) X ( g E
, nu X lin tc
Ngi ta thng k hiu k vng l : = E(X)
Phng sai
X l mt bin ngu nhin v = E(X). phn tn ca d liu xung quanh gi tr trung
bnh c th hin bng phng sai theo nh ngha nh sau:
2 2
X
) X ( E ) X var(
lch chun ca X l cn bc hai dng ca
2
X
, k hiu l
X

.
Ta c th tnh phng sai theo nh ngha nh sau

x
2
) x ( f ) X ( ) X var(
, nu X l bin ngu nhin ri rc

dx ) x ( f ) X (
2
, nu X l bin ngu nhin lin tc
Trong tnh ton chng ta s dng cng thc sau
var(X)=E(X
2
)-[E(X)]
2
V d 2.9. Tip tc v d 2.8. Tnh var(X)
13
Ta c E(X) = 3,5
Tnh E(X
2
) bng cch p dng tnh cht (4).
E(X
2
) =
+ + + + +
6
1
6
6
1
5
6
1
4
6
1
3
6
1
2
6
1
1
2 2 2 2 2 2
15,17
var(X)=E(X
2
)-[E(X)]
2
= 15,17 3,5
2
= 2,92
Cc tnh cht ca phng sai
(1)
2 2 2
) X ( E ) X ( E
(2) var(a) = 0 vi a l hng s
(3) var(a+bX) = b
2
var(X)vi a v b l hng s
(4) Nu X v Y l cc bin ngu nhin c lp th
var(X+Y) = var(X) + var(Y)
var(X-Y) = var(X) + var(Y)
(5) Nu X v Y l cc bin c lp, a v b l hng s th
var(aX+bY) = a
2
var(X) + b
2
var(Y)
Hip phng sai
X v Y l hai bin ngu nhin vi k vng tng ng l
x
v
y
. Hip phng sai ca
hai bin l
cov(X,Y) = E[(X-
x
)(Y-
y
)] = E(XY) -
x

y
Chng ta c th tnh ton trc tip hip phng sai nh sau
i vi bin ngu nhin ri rc
) Y , X cov(

y x
y x
) y , x ( f ) Y )( X (
y x
y x
) y , x ( Yf X

i vi bin ngu nhin lin tc

) Y , X cov(

dxdy ) y , x ( f ) Y )( X (
y x y x
dxdy ) y , x ( XYf

Tnh cht ca hip phng sai
(1) Nu X v Y c lp thng k th hip phng sai ca chng bng 0.
cov(X,Y) = E(XY)
x

y
=
x

y
=

0
(2) cov(a+bX,c+dY)=bdcov(X,Y)vi a,b,c,d l cc hng s
Nhc im ca hip phng sai l n ph thuc n v o lng.
H s tng quan
khc phc nhc im ca hip phng sai l ph thuc vo n v o lng, ngi
ta s dng h s tng quan c nh ngha nh sau:
y x
xy
) Y , X cov(
) Y var( ) X var(
) Y , X cov(


H s tng quan o lng mi quan h tuyn tnh gia hai bin. s nhn gi tr nm
gia -1 v 1. Nu =-1 th mi quan h l nghch bin hon ho, nu =1 th mi quan h
l ng bin hon ho.
T nh ngha ta c
cov(X,Y) =
x

y
2.1.4. Tnh cht ca bin tng quan
Gi X v Y l hai bin c tng quan
var(X+Y) = var(X) + var(Y) + 2cov(X,Y)
= var(X) + var(Y) + 2
x

y
14
var(X-Y) = var(X) + var(Y) - 2cov(X,Y)
= var(X) + var(Y) - 2
x

y
M men ca phn phi xc sut
Phng sai ca bin ngu nhin X l m men bc 2 ca phn phi xc sut ca X.
Tng qut m men bc k ca phn phi xc sut ca X l
E(X-)
k
M men bc 3 v bc 4 ca phn phi c s dng trong hai s o hnh dng ca phn
phi xc sut l skewness( bt cn xng) v kurtosis( nhn) m chng ta s xem xt
phn sau.
2.1.5. Mt s phn phi xc sut quan trng
Phn phi chun
Bin ngu nhin X c k vng l , phng sai l
2
. Nu X c phn phi chun th n
c k hiu nh sau
) , ( N ~ X
2

Dng hm mt xc xut ca phn phi chun nh sau

,
_

2
2
) x (
2
1
exp
2
1
) x ( f
0
0,1
0,2
0,3
0,4
0,5
-3 -2 -1 0 1 2 3
z
f
(
z
)
Hnh 2.3. Hm mt xc sut phn phi chun
Tnh cht ca phn phi chun
(1) Hm mt xc sut ca i xng quanh gi tr trung bnh.
15
Xp x
68%
Xp x
95% Xp x 99,7%
-

(2) Xp x 68% din tch di ng pdf nm trong khong t, xp x 95% din

tch nm di ng pdf nm trong khong t2, v xp x 99,7% din tch nm di
ng pdf nm trong khong t3.
(3) Nu t Z = (X-)/ th ta c Z~N(0,1). Z gi l bin chun ho v N(0,1) c
gi l phn phi chun ho.
(4) nh l gi hn trung tm 1: Mt kt hp tuyn tnh cc bin c phn phi
chun,, trong mt s iu kin xc nh cng l mt phn phi chun. V d
) , ( N ~ X
2
1 1 1
v ) , ( N ~ X
2
2 2 2
th Y =aX
1
+bX
2
vi a v b l hng s c phn phi
Y~N[(a
1
+b
2
),( ) b a
2
2
2 2
1
2
+ ].
(5) nh l gii hn trung tm 2: Di mt s iu kin xc nh, gi tr trung bnh
mu ca cc mt bin ngu nhin s gn nh tun theo phn phi chun.
(6) M men ca phn phi chun
M men bc ba: E[(X-)
3
]=0
M men bc bn : E[(X-)
4
]=3
4
i vi mt phn phi chun
tri (skewness):
0
X
E S
3

1
1
]
1

,
_

nhn(kurtosis):
3
X
E K
4

1
1
]
1

,
_

(7) Da vo kt qu mc (6), ngi c th kim nh xem mt bin ngu nhin c

tun theo phn phi chun hay khng bng cch kim nh xem S c gn 0 v K c gn 3
hay khng. y l nguyn tc xy dng kim nh quy lut chun Jarque-Bera.
1
]
1

+
4
) 3 K (
S
6
n
JB
2
2
JB tun theo phn phi
2

vi hai bc t do(df =2).
Phn phi
2
nh l : Nu X
1
, X
2
,, X
k
l cc bin ngu nhin c lp c phn phi chun ho th

k
1 i
2
i
2
k
X
tun theo phn phi Chi-bnh phng vi k bc t do.
Tnh cht ca
2
(1) Phn phi
2

l phn phi lch v bn tri, khi bc t do tng dn th phn phi

2
tin gn n phn phi chun.
(2) k v
2
= 2k
(3)
2
2 k 1 k
2
2 k
2
1 k +
+ , hay tng ca hai bin c phn phi
2
cng c phn phi
2
vi
s bc t do bng tng cc bc t do.
Phn phi Student t
nh l: Nu Z~N(0,1) v
2
k
l c lp thng k th
k /
Z
t
2
k
) k (

tun theo phn

phi Student hay ni gn l phn phi t vi k bc t do.
Tnh cht ca phn phi t
16
(1) Phn phi t cng i xng quanh 0 nh phn phi chun ho nhng thp hn. Khi
bc t do cng ln th phn phi t tim cn n phn phi chun ho. Trong thc hnh. Khi
bc t do ln hn 30 ngi ta thay phn phi t bng phn phi chun ho.
(2) = 0 v = k/(k-2)
Phn phi F
nh l : Nu
2
1 k
v
2
2 k
l c lp thng k th
2
2
2 k
1
2
1 k
) 2 k , 1 K (
k
k
F

tun theo phn

phi F vi (k
1
,k
2
) bc t do.
Tnh cht ca phn phi F
(1) Phn phi F lch v bn tri, khi bc t do k
1
v k
2
ln, phn phi F tin n
phn phi chun.
(2) = k
2
/(k
2
-2) vi iu kin k
2
>2 v
) 4 k ( ) 2 k ( k
) 2 k k ( k 2
2
2
2 1
2 1
2
2 2

+

vi iu kin k
2
>4.
(3) Bnh phng ca mt phn phi t vi k bc t do l mt phn phi F vi 1 v k bc
t do
) k , 1 (
2
k
F t
(4) Nu bc t do mu k
2
kh ln th
2
k ) k , k ( 1
1 2 1
F k
.
Lu : Khi bc t do ln th cc phn phi
2
, phn phi t v phn phi F tin n
phn phi chun. Cc phn phi ny c gi l phn phi c lin quan n phn phi
chun
2.2. Thng k m t
M t d liu thng k(Descriptive Statistic)
C bn tnh cht m t phn phi xc sut ca mt bin ngu nhin nh sau:
- Xu hng trung tm hay im gia ca phn phi.
- Mc phn tn ca d liu quanh v tr im gia.
- tri(skewness) ca phn phi.
- nhn(kurtosis) ca phn phi.
Mi quan h thng k gia hai bin s c m t bng h s tng quan.
2.2.1. Xu hng trung tm ca d liu
Trung bnh tng th (gi tr k vng)
x
= E[X]
Trung bnh mu
n
x
X
n
1 i
i
__

Trung v ca tng th : X l mt bin ngu nhin lin tc, Md l trung v ca tng th

khi P(X<Md) = 0,5.
Trung v mu : Nu s phn t ca mu l l th trung v l s gia ca mu sp
theo th t tng dn hoc gim dn.
Nu s phn t ca mu chn th trung v l trung bnh cng ca hai s gia.
Trong kinh t lng hu nh chng ta ch quan tm n trung bnh m khng tnh ton
trn trung v.
2.2.2. phn tn ca d liu
Phng sai
Phng sai ca tng th : ] ) X [( E
2
x
2
x

17
Phng sai mu:
1 n
) X X (
S
n
1 i
2
i
2
X

hoc
n
) X X (

n
1 i
2
i
2
X

lch chun
lch chun tng th :
2
x x

lch chun mu :
2
x x
S S
hoc :
2
x x

2.2.3. tri S
tri tng th :
1
1
]
1

,
_

3
X
E
tri mu :
3
n
1 i
i

X x
n
1
S

,
_

i vi phn phi chun tri bng 0.

2.2.4. nhn K
nhn ca tng th
1
1
]
1

,
_

4
X
E
nhn mu
4
n
1 i
i

X x
n
1
K

,
_

i vi phn phi chun nhn bng 3. Mt phn phi c K ln hn 3 l l nhn, nh

hn 3 l phng.
2.2.5. Quan h gia hai bin-H s tng quan
H s tng quan tng th
Y X
XY
) Y , X cov(


H s tng quan mu
Y X
XY
XY
S S
S
r

vi
( )( ) Y Y X X
1 n
1
S
i
n
1 i
i XY

2.3. Thng k suy din - vn c lng

2.3.1. c lng
Chng ta tm hiu bn cht, c trng v yu cu ca c lng thng k thng qua mt
v d n gin l c lng gi tr trung bnh ca tng th.
V d 11. Gi s chng ta mun kho st chi ph cho hc tp ca hc sinh tiu hc ti
trng tiu hc Y. Chng ta mun bit trung bnh chi ph cho hc tp ca mt hc sinh tiu
hc l bao nhiu. Gi X l bin ngu nhin ng vi chi ph cho hc tp ca mt hc sinh
tiu hc (X tnh bng ngn ng/hc sinh/thng). Gi s chng ta bit phng sai ca X l
2
x
=100. Trung bnh thc ca X l l mt s cha bit. Chng ta tm cch c lng
da trn mt mu gm n=100 hc sinh c la chn mt cch ngu nhin.
2.3.2. Hm c lng cho
Chng ta dng gi tr trung bnh mu
X
c lng cho gi tr trung bnh ca tng
th . Hm c lng nh sau
18
( )
n 2 1
X X X
n
1
X + + +
X l mt bin ngu nhin. ng vi mt mu c th th X nhn mt gi tr xc nh.
c lng im
ng vi mt mu c th, gi s chng ta tnh c X = 105 (ngn ng/hc sinh).
y l mt c lng im.
Xc sut mt c lng im nh trn ng bng trung bnh thc l bao nhiu? Rt
thp hay c th ni hu nh bng 0.
c lng khong
c lng khong cung cp mt khong gi tr c th cha gi tr chi ph trung bnh
cho hc tp ca mt hc sinh tiu hc. V d chng ta tm c
X
= 105. Chng ta c th
ni c th nm trong khong 10 X t hay
115 95
.
Khong c lng cng rng th cng c kh nng cha gi tr trung bnh thc nhng
mt khong c lng qu rng nh khong 100 X t hay
205 5
th hu nh khng
gip ch c g cho chng ta trong vic xc nh . Nh vy c mt s nh i trong
c lng khong vi cng mt phng php c lng nht nh: khong cng hp th
mc tin cy cng nh.
2.3.3. Phn phi ca X
Theo nh l gii hn trung tm 1 th
X
l mt bin ngu nhin c phn phi chun. V
X c phn phi chun nn chng ta ch cn tm hai c trng ca n l k vng v
phng sai.
K vng ca
X
( ) X E ( )
,
_

,
_

+ + +

n *
n
1
X E
n
1
X ... X X
n
1
E
n
1 i
i n 2 1
Phng sai ca X
( )
n
n
n
1
X var
n
1
X X X
n
1
var ) X var(
2
x 2
x
2
n
1 i
i
2
n 2 1

1
]
1

1
]
1

+ + +

Vy lch chun ca X l
n
x

.
T thng tin ny, p dng quy tc 2 th xc sut khong
n
2 X
x

t
cha s xp x
95%. c lng khong vi tin cy 95% cho l
2 1
x x

107 103

100
10
2 105
100
10
2 105
n
2 X
n
2 X

+

Lu : Mc d v mt k thut ta ni khong
n
2 X
x

t
cha vi xc sut 95%
nhng khng th ni mt khong c th nh (103; 107) c xc sut cha l 95%. Khong
(103;107) ch c th hoc cha hoc khng cha .
ngha chnh xc ca tin cy 95% cho c lng khong cho nh sau: Vi quy
tc xy dng khong l
n
2 X
x

t
v chng ta tin hnh ly mt mu vi c mu n v
19
tnh c mt khong c lng. Chng ta c lp i lp li qu trnh ly mu v c lng
khong nh trn th khong 95% khong c lng chng ta tm c s cha .
Tng qut hn, nu tr thng k cn c lng l

v ta tnh c hai c lng

1

v
2

sao cho
1 )

( P
1 1
vi 0 < < 1
hay xc sut khong t
1

n
2

cha gi tr tht l 1- th 1- c gi l
tin cy ca c lng, c gi l mc ngha ca c lng v cng l xc sut mc
sai lm loi I.
Nu = 5% th 1- l 95%. Mc ngha 5% hay tin cy 95% thng c s dng
trong thng k v trong kinh t lng.
Cc tnh cht ng mong i ca mt c lng c chia thnh hai nhm, nhm tnh
cht ca c lng trn c mu nh v nhm tnh cht c lng trn c mu ln.
2.3.4. Cc tnh cht ng vi mu nh
Khng thin lch(khng chch)
Mt c lng l khng thin lch nu k vng ca

ng bng

.
)

( E
Nh chng minh phn trn, X l c lng khng thin lch ca .
Hnh 2.4. Tnh khng thin lch ca c lng.

1
l c lng khng thin lch ca trong khi
2
l c lng thin lch ca .
Phng sai nh nht
Hm c lng
1

c phng sai nh nht khi vi bt c hm c lng

2

no ta
cng c )

var( )

var(
2 1
.
Khng thin lch tt nht hay hiu qu
Mt c lng l hiu qu nu n l c lng khng thin lch v c phng sai nh
nht.
(1) (2
)
()
1
2
20

Hnh 2.5. c lng hiu qu. Hm c lng
2
hiu qu hn
1
.
Tuyn tnh
Mt c lng

ca

c gi l c lng tuyn tnh nu n l mt hm s

tuyn tnh ca cc quan st mu.
Ta c
) X ... X X (
n
1
X
n 2 1
+ + +

Vy X l c lng tuyn tnh cho .
c lng khng thin lch tuyn tnh tt nht (Best Linear Unbiased Estimator-
BLUE)
Mt c lng

c gi l BLUE nu n l c lng tuyn tnh, khng thin lch

v c phng sai nh nht trong lp cc c lng tuyn tnh khng thin lch ca

. C
th chng minh c X l BLUE.
Sai s bnh phng trung bnh nh nht
Sai s bnh phng trung bnh: MSE(

)=E(

)
2
Sau khi bin i chng ta nhn c: MSE(

)=var(

)+E[E(

)- ]
2
MSE(

)=var(

)+bias(

)
Sai s bnh phng trung bnh bng phng sai ca c lng cng vi thin lch ca
c lng. Chng ta mun c lng t thin lch ng thi c phng sai nh. Ngi ta
s dng tnh cht sai s bnh phng trung bnh nh khi khng th chn c lng khng
thin lch tt nht.
2.3.5. Tnh cht ca mu ln
Mt s c lng khng tho mn cc tnh cht thng k mong mun khi c mu nh
nhng khi c mu ln n v hn th li c mt s tnh cht thng k mong mun. Cc tnh
cht thng k ny c gi l tnh cht ca mu ln hay tnh tim cn.
Tnh khng thin lch tim cn
c lng

c gi l khng thin lch tim cn ca nu

)

( E lim
n
n
V d 2.12. Xt phng sai mu ca bin ngu nhin X:
1 n
) X x (
s
n
1 i
2
__
i
2
x

(
1
)(
2
)
f()

2


21
n
) X x (

n
1 i
2
__
i
2
x

C th chng minh c
2
x
2
x
] s [ E

,
_

n
1
1 ] [ E
2
x
2
x
Vy
2
x
s l c lng khng thin lch ca
2
x
, trong khi
2
x
l c lng khng thin
lch tim cn ca
2
x
.
Nht qun
Mt c lng

c gi l nht qun nu xc sut nu n tin n gi tr ng ca

khi c mu ngy cng ln.

l nht qun th
{ } 1

lim
n
<

vi l mt s dng nh tu .
)

( f
0

Hnh 2.6. c lng nht qun

Quy lut chun tim cn
Mt c lng

c gi l phn phi chun tim cn khi phn phi mu ca n tin

n phn phi chun khi c mu n tin n v cng.
Trong phn trn chng ta thy bin X c phn phi chun vi trung bnh v
phng sai
2
th X c phn phi chun vi trung bnh v phng sai
2
/n vi c c
mu nh v ln.
Nu X l bin ngu nhin c trung bnh v phng sai
2
nhng khng theo phn
phn phi chun th
X
cng s c phn phi chun vi trung bnh v phng sai
2
/n
khi n tin n v cng. y chnh l nh l gii hn trung tm 2.
22
N nh
N rt
ln
N ln
2.4. Thng k suy din - Kim nh gi thit thng k
2.4.1. Gi thit
Gi thit khng l mt pht biu v gi tr ca tham s hoc v gi tr ca mt tp hp
cc tham s. Gi thit ngc pht biu v gi tr ca tham s hoc mt tp hp tham s khi
gi thit khng sai. Gi thit khng thng c k hiu l H
0
v gi thit ngc thng
c k hiu l H
1
.
2.4.2. Kim nh hai ui
V d 13. Quay li v d 11 v bin X l chi ph cho hc tp ca hc sinh tiu hc.
Chng ta bit phng sai ca X l
2
x
=100. Vi mt mu vi c mu n=100 chng ta
tnh c
1
X =105 ngn ng/hc sinh/thng. Chng ta xem xt kh nng bc b pht biu
cho rng chi ph cho hc tp trung bnh ca hc sinh tiu hc l 106 ngn ng/thng.
Gi thit
H
0
: = 106 =
0
H
1
: 106 =
0
Chng ta bit
X
~N(,
2
x
/n), vi tin cy 95% hay mc ngha a = 5% chng ta
xy dng c c lng khong ca l
n
2 X
x
1

t
. Nu khong ny khng cha
th ta bc b gi thit khng vi tin cy 95%, ngc li ta khng c s bc b gi
thit H
0
.
phn trn chng ta tnh c c lng khong ca da theo
1
X l (103;107).
Khong ny cha
0
= 106. Vy ta khng th bc b c gi thit H
0
.
Khong tin cy m ta thit lp c c gi l min chp nhn, min gi tr nm ngoi
min chp nhn c gi l min bc b.
Hnh 2.7. Min bc b v min chp nhn H
0
.
Tng qut hn ta c
Z=
n
X

~N(0,1) hay Z tun theo phn phi chun ho.
23
Hnh 2.8. Min chp nhn v min bc b theo ca tr thng k Z
Ta c tt c hai min bc b v do tnh cht i xng ca phn phi chun, nu mc
ngha l th xc sut Z nm min bc b bn tri l /2 v xc sut Z nm min
bc b bn tri cng l /2. Chng ta t gi tr ti hn bn tri l Z
/2
v gi tr ti hn bn
phi l Z
1-/2
. Do tnh i xng ta li c Z
/2
= - Z
1-/2
.
Xc sut Z nm trong hai khong ti hn l
( )

1 Z Z Z P
2 / 1 2 /
(2.1)
hay
( )

1 Z Z Z P
2 / 1 2 / 1

Thay Z=
n
X

v bin i mt cht chng ta nhn c


,
_

1
n
Z X
n
Z X P
2 / 1 2 / 1
(2)
Cc mnh (2.1) v (2.2) l nhng mnh xc sut.
Kim nh gi thit thng k theo phng php truyn thng
Pht biu mnh xc sut

,
_

1
n
Z X
n
Z X P
0 2 / 1 2 / 1
Nguyn tc ra quyt nh
Nu 0 2 / 1 1
n
Z X >

hoc 0 2 / 1 1
n
Z X <

+
th ta bc b H
0
vi
tin cy 1- hay xc sut mc sai lm l .
Nu
n
Z X
n
Z X
2 / 1 1 0 2 / 1 1

th ta khng th bc b H
0
.
Vi mc ngha =5% th Z
1-/2
= Z
97,5%
= 1,96 2
Ta c
103
10
10
2 105
n
Z X
2 / 1 1

107
10
10
2 105
n
Z X
2 / 1 1
+

+

Vy ta khng th bc b gi thit Ho.
Kim nh gi thit thng k theo tr thng k Z
Pht biu mnh xc sut
( )

1 Z Z Z P
2 / 1 2 /
24
/2 /2
Quy tc quyt nh
Nu Z
tt
=
n
X
2
0 1

< Z
/2
hoc Z
tt
=
n
X
0 1

> Z
1-/2
th ta bc b H
0
vi
tin cy 1- hay xc sut mc sai lm l .
Nu Z
/2
Z
tt
Z
1-/2
th ta khng th bc b H
0
.
Vi mc ngha =5% ta c
Z
1-/2
= Z
97,5%
= 1,96 2
v Z
/2
= Z
2,5%
= -1,96 -2
Z
tt
=
1
100
10
106 105
n
X
0 1

Vy ta khng th bc b Ho.
Kim nh gi thit thng k theo gi tr p
i vi kim nh hai ui gi tr p c tnh nh sau:
( ) Z Z P 2 p
tt
<
Vi Ztt = -1 ta c P(1<Z) = 0,16, vy gi tr p = 0,32.
Quy tc quyt nh
Nu p < : Bc b Ho.
Nu p : Khng th bc b Ho.
Trong v d trn p = 0,32 > = 5%. Vy ta khng th bc b Ho.
Ba cch tip cn trn cho cng mt kt qu v thc ra ch t nhng bin i ca cng
mt mnh xc sut. Trong kinh t lng ngi ta cng thng hay s dng gi tr p.
2.4.3. Kim nh mt ui
Kim nh ui tri
V d 14. Tip tc v d 13. Kim nh pht biu : Chi cho hc tp trung bnh ca hc
sinh tiu hc ln hn 108 ngn ng/hc sinh/thng.
Gi thit
H
0
: > 108 =
0
H
1
: 108 =
0
Pht biu mnh xc sut
P(Z

<Z) =1-
Quy tc quyt nh
Nu Z
tt
< Z

: Bc b Ho.
Nu Z
tt
Z

: Khng th bc b Ho.
Vi = 5% ta c Z
5%
= -1,644
Ta c Ztt =
3
100
10
108 105
n
X
0 1

< Z
5%
= -1,644 vy ta bc b Ho.
Kim nh ui phi
V d 15. Tip tc v d 13. Kim nh pht biu : Chi tiu cho hc tp trung bnh ca
hc sinh tiu hc nh hn 108 ngn ng/hc sinh/thng.
Gi thit
H
0
: < 107 =
0
H
1
: 107 =
0
25
Pht biu mnh xc sut
P(Z<Z
1-
) =1-
Quy tc quyt nh
Nu Z
tt
> Z

: Bc b Ho.
Nu Z
tt
Z

: Khng th bc b Ho.
Ta c Ztt =
2
100
10
107 105
n
X
0 1

< Z
5%
= -1,644 vy ta khng th bc b Ho.
2.4.4. Mt s trng hp c bit cho c lng gi tr trung bnh ca tng th
Tng th c phn phi chun, c mu ln, phng sai cha bit. Chin lc kim
nh ging nh trn nhng thay phng sai tng th bng phng sai mu.
Tng th c phn phi chun, phng sai cha bit, c mu nh:
~
n
s
X
0

t-stat~t
(n-1)
Kim nh trn tr thng k t cng tng t nh i vi tr thng k Z, ta ch vic tra t
thay cho Z. Khi c mu ln tr thng k t tng t tr thng k Z.
Tng th khng tun theo phn phi chun, p dng nh l gii hn trung tm. Khi
c mu ln th tr thng k t tnh ton nh phn trn c phn phi gn vi phn phi Z.
Ngoi ra chng ta cn c th kim nh cc gi thit v phng sai, kim nh s bng
nhau gia cc phng sai ca hai tng th v kim nh s bng nhau gia cc trung bnh
tng th. Chng ta xt kim nh gi thit v phng sai v gi nh v phng sai khng
i l mt gi nh quan trng trong phn tch hi quy.
Kim nh gi thit v phong sai
Xt gi thit
Ho :
2
0
2

H1 :
2
0
2

C th chng minh c
2
) 1 n ( 2
2
~
s
) 1 n (

Mnh xc sut

,
_

1
s
) 1 n P
2
) 2 / 1 , 1 n (
2
2
2
) 2 / , 1 n (
0
Quy tc quyt nh
Nu
2
) 2 / , 1 n (
2
2
0
s
) 1 n (

<

hoc
2
) 2 / , 1 n (
2
2
0
s
) 1 n (

>

, th bc b H
0
.
Nu
2
) 2 / 1 , 1 n (
2
2
2
) 2 / , 1 n (
0
s
) 1 n

, th khng bc b H
0
.
Kim nh s bng nhau ca phng sai hai tng th
Chng ta c mu c n
1
t tng th 1 v mu c n
2
t tng th 2.
Xt gi thit
H
0
:
2 2
2
2
1

26
H
1
:
2
2
2
1

Chng ta c
2
) 1 n ( 2
2
~
s
) 1 n (

Vy
) 1 n , 1 n (
2
2
) 1 n (
1
2
) 1 n (
2
2
2
2
2
1
2
2
1
1
2 1
2
1
F ~
) 1 n (
) 1 n (
~
) 1 n (
s
) 1 n (
) 1 n (
s
) 1 n (

Hay
) 1 n , 1 n (
2
2
2
1
2 1
F ~
s
s

Pht biu mnh xc sut

,
_

1 F
s
s
F P
) 2 / 1 , 1 n , 1 n (
2
2
2
1
) 2 / , 1 n , 1 n (
2 1 2 1
Quy tc quyt nh
Nu
) 2 / , 1 n , 1 n (
2
2
2
1
2 1
F
s
s

<
hoc
) 2 / 1 , 1 n , 1 n (
2
2
2
1
2 1
F
s
s

>
th ta bc b H
0
.
Nu
) 2 / 1 , 1 n , 1 n (
2
2
2
1
) 2 / , 1 n , 1 n (
2 1 2 1
F
s
s
F


th khng bc b H
0
.
2.4.5. Sai lm loi I v sai lm loi II
Khi ta da vo mt mu bc b mt gi thit, ta c th mc phi mt trong hai sai
lm nh sau:
Sai lm loi I: Bc b Ho khi thc t Ho ng.
Sai lm loi II : Khng bc b Ho khi thc t n sai.
Tnh cht
Quyt nh H
0
ng H
0
sai
Bc b Sai lm loi I Khng mc sai
lm
Khng bc
b
Khng mc sai
lm
Sai lm loi II
Hnh 2.7. Sai lm loi I-Bc b H
0
: =108 trong khi thc t H
0
ng.
Xc sut mc sai lm loi I
27
=108
V d 16. Tip tc v d 13. Kim nh pht biu : Chi cho hc tp trung bnh ca hc
sinh tiu hc l 108 ngn ng/hc sinh/thng. Trung bnh thc =
0
=108.
Gi thit
H
0
: = 108 =
0
H
1
: 108 =
0
Gi s gi tr thc l =108. Vi c lng khong cho l (103;107) vi tin cy
95% chng ta bc b H
0
trong khi thc s H
0
l ng. Xc sut chng ta mc sai lm loi
ny l = 5%.
Xc sut mc sai lm loi II
V d 17. Tip tc v d 13. Kim nh pht biu : Chi tiu cho hc tp trung bnh ca
hc sinh tiu hc l 108 ngn ng/hc sinh/thng. Trung bnh thc =
0
=104.
Gi thit
H
0
: = 108 =
0
H
1
: 108 =
0
Gi s gi tr thc l =104. Vi c lng khong cho l (103;107) vi tin cy
95% chng ta khng bc b H
0
trong khi H
0
sai. Xc sut chng ta mc sai lm loi II ny
l .
L tng nht l chng ta ti thiu ho c hai loi sai lm. Nhng nu chng ta mun
hn ch sai lm loi I, tc l chn mc ngha nh th khong c lng cng ln v
xc sut mc phi sai lm loi II cng ln. Nghin cu ca Newman v Pearson
6
cho rng
sai lm loi I l nghim trng hn sai lm loi II. Do , trong thng k suy din c in
cng nh trong kinh t lng c in, ngi ta chn mc ngha hay xc sut mc sai
lm loi I nh, thng thng nht l 5% m khng quan tm nhiu n .
2.4.6. Tm tt cc bc ca kim nh gi thit thng k
Bc 1.Pht biu gi thit H
0
v gi thit ngc H
1
.
Bc 2. La chn tr thng k kim nh
Bc 3. Xc nh phn phi thng k ca kim nh
Bc 4. La chn mc ngha hay xc sut mc sai lm loi I.
Bc 5. S dng phn phi xc sut ca thng k kim nh, thit lp mt khong tin
cy 1-, khong ny cn c gi l min chp nhn. Nu tr thng k ng vi H
0
nm
trong min chp nhn th ta khng bc b H
0
, nu tr thng k ng vi H
0
nm ngoi min
chp nhn th ta bc b H
0
. Lu l khi bc b H
0
chng ta chp nhn mc sai lm l .
CHNG 3
HI QUY HAI BIN
3.1. Gii thiu
3.1.1. Khi nim v hi quy
6
Damodar N. Gujarati, Basic Econometrics-Third Edition, McGraw-Hill Inc
-1995, p 787.
28
Phn tch hi quy l tm quan h ph thuc ca mt bin, c gi l bin ph thuc
vo mt hoc nhiu bin khc, c gi l bin c lp nhm mc ch c lng hoc
tin on gi tr k vng ca bin ph thuc khi bit trc gi tr ca bin c lp.
7
Mt s tn gi khc ca bin ph thuc v bin c lp nh sau:
Bin ph thuc: bin c gii thch, bin c d bo, bin c hi quy, bin phn
ng, bin ni sinh.
Bin c lp: bin gii thch, bin d bo, bin hi quy, bin tc nhn hay bin kim
sot, bin ngoi sinh.
Sau y l mt v v d v phn tch hi quy
(1) Ngn hng XYZ mun tng lng tin huy ng. Ngn hng ny mun bit mi
quan h gia lng tin gi v li sut tin gi, c th hn h mun bit khi tng li sut
thm 0,1% th lng tin gi s tng trung bnh l bao nhiu.
(2) Mt nh nghin cu nng nghip mun bit nng sut tm s nui trong h thng
thm canh ph thuc th no vo din tch ao nui, mt th tm ging, chi ph ho cht
x l mi trng, trnh nhn cng. T phn tch hi quy ny ng ta ra cc ch tiu k
thut ph hp cho loi hnh ny.
3.1.2. S khc nhau gia cc dng quan h
Quan h tt nh v quan h thng k
Quan h tt nh l loi quan h c th biu din bng mt hm s ton hc. Mt s
quan h trong vt l, ho hc v mt s ngnh khoa hc t nhin khc l quan h tt nh.
V d nh lut Ohm trong vt l : gi U l in p, R l in tr ca mch in th dng
in I s l
R
U
I
, ni cch khc khi in p v in tr c c nh trc th chng ta
ch nhn c mt v ch mt gi tr dng in.
a s cc bin s kinh t khng c quan h tt nh. Th d ta khng th ni vi din
tch nui tm cho trc v k thut nui c chn th nng sut s l bao nhiu. L do l
c rt nhiu bin s c k n trong m hnh cng tc ng ln nng sut, ngoi ra trong
s cc bin s vng mt ny c nhng bin khng th kim sot c nh thi tit, dch
bnh Nh nghin cu nng nghip k trn ch c th tin on mt gi tr trung bnh ca
nng sut ng vi k thut nui chn. Quan h gia cc bin s kinh t c tnh cht
quan h thng k.
Hi quy v quan h nhn qu
7
Theo Damodar N.Gujarati, Basic Econometrics-Third Edition, McGraw-Hill-1995, p16.
29
Mc d phn tch hi quy da trn tng s ph thuc ca mt bin s kinh t vo
bin s kinh t khc nhng bn thn k thut phn tch hi quy khng bao hm quan h
nhn qu. Mt v d in hnh ca s nhm ln hai khi nim ny tin hnh hi quy s v
trm mt thnh ph vi s nhn vin cnh st ca thnh ph. Gi Y l s v trm trong
mt nm v X l s nhn vin cnh st. Khi chng ta hi quy Y theo X, nu chng ta tm
c mi quan h ng bin ca Y v X c ngha thng k th phn tch hi quy ny cho
kt lun: Tng s lng nhn vin cnh st s lm tng s v trm. R rng phn tch
ny sai lm trong vic nhn nh mi quan h nhn qu. S cnh st tng ln l do s tng
cng ca lc lng cnh st trong bi cnh s v trm tng ln. Vy ng ra chng ta
phi hi quy s cnh st theo s v trm hay X theo Y.Vy trc khi phn tch hi quy
chng ta phi nhn nh chnh xc mi quan h nhn qu.
8
Mt sai lm ph bin na trong phn tch kinh t lng l quy kt mi quan h nhn qu
gia hai bin s trong khi trong thc t chng u l h qu ca mt nguyn nhn khc. V
d chng ta phn tch hi quy gia s gio vin v s phng hc trong ton ngnh gio
dc. S thc l c s gio vin v s phng hc u ph thuc vo s hc sinh. Nh vy
phn tch mi quan h nhn qu da vo kin thc v phng php lun ca mn khc ch
khng t phn tch hi quy.
Hi quy v tng quan
Phn tch tng quan ch cho thy mnh yu ca mi quan h tuyn tnh gia hai
bin s. Phn tch tng quan cng khng th hin mi quan h nhn qu.V d chng ta
xt quan h gia hai bin s X l s bnh nhn b x gan v Y l s lt ru c tiu th
ca mt nc. Chng ta c th nhn c h s tng quan cao gia X v Y. H s tng
quan c xc nh nh sau:
YX
X Y Y X
XY
r
S S
) X , Y cov(
S S
) Y , X cov(
r
Qua ng thc ny chng ta cng thy trong phn tch tng quan vai tr ca hai bin l
nh nhau v hai bin u l ngu nhin.
Phn tch hi quy ca X theo Y cho ta bit trung bnh s bnh nhn b x gan l bao
nhiu ng vi lng tiu dng ru cho trc. Chng ta khng th o ngc hi quy
thnh Y theo X. Phn tch hi quy da trn gi nh bin c lp l xc nh trong khi bin
ph thuc l ngu nhin. Chng ta tm gi tr k vng ca bin ph thuc da vo gi tr
cho trc ca ca bin c lp.
3.2.Hm hi quy tng th v hi quy mu
3.2.1.Hm hi quy tng th (PRF)
V d 3.1. Hi quy tiu dng Y theo thu nhpX.
Theo Keynes th hm tiu dng nh sau
9
:
Y =
1
+
2
X , vi
2
l xu hng tiu dng bin, 0<
2
<1.(3.1)
Chng ta kim chng gi thit trn vi s liu t mt nc gi nh Z c dn s 30
ngi vi s liu tiu dng v thu nhpca tng ngi nh th phn tn sau.
10
8
Ramu Ramanathan, Introductory Econometrics with Applications,
Harcourt College Publishers-2002, trang 113.
9
Damodar N Gujarati, Basic Economics-3
rd
Edidtion,p4.
10
S liu ph lc 3.1.PL cui chng 3.
30
0
100
200
300
400
500
600
700
0 100 200 300 400 500 600 700 800 900
Thu nhp kh dng, X (XD)
T
i

u

d

n
g
,

Y

(
X
D
)
Thu nhp X (XD)
Hnh 3.1. th phn tn quan h gia tiu dng v thu nhp kh dng.
th 3.1. cho thy c mi quan h ng bin gia tiu dng v thu nhp kh dng, hay
l thu nhptng s lm tiu dng tng. Tuy quan h gia Y v X khng chnh xc nh hm
bc nht (3.1).
Trong phn tch hi quy chng ta xem bin c lp X c gi tr xc nh trong khi bin
ph thuc Y l bin ngu nhin. iu ny tng nh bt hp l. Khi chng ta chn ngu
nhin ngi th i th chng ta thu c ng thi hai gi tr: Xi l thu nhpv Yi l tiu
dng ca ngi . Vy ti sao li xem Yi l ngu nhin? Cu tr nh sau : Xt mt mc
thu nhpX
i
xc nh, cch ly mu ca chng ta l chn ngu nhin trong s nhng ngi
c thu nhpl Xi. Thu nhpgp phn chnh yu quyt nh tiu dng nh th hin hm s
(1.3), tuy nhin cn nhiu yu t khc cng tc ng ln tiu dng nn ng vi mt cch
ly mu th vi nhiu ln ly mu vi tiu ch X = Xi ta nhn c cc gi tr Yi khc
nhau. Vy chnh xc hn bin ph thuc Y l mt bin ngu nhin c iu kin theo bin
c lp X. c lng tt nht cho Y trong trng hp ny l gi tr k vng ca Y ng vi
iu kin X nhn gi tr Xi xc nh.
Hm hi quy tng th (PRF):
E(Y/X=Xi) =
1
+
2
X (3.2)
i vi mt quan st c th th gi tr bin ph thuc lch khi k vng ton, vy:
Y
i
=
1
+
2
X
i
+
i
(3.3)

1
v
2
: cc tham s ca m hnh

1
: tung gc

2
: dc
Gi tr c lng ca Y
i

i 2 1 i
X Y

i
: Sai s ca hi quy hay cn c gi l nhiu ngu nhin
Nhiu ngu nhin hnh thnh t nhiu nguyn nhn:
- B st bin gii thch.
- Sai s khi o lng bin ph thuc.
31
- Cc tc ng khng tin on c.
- Dng hm hi quy khng ph hp.
Dng hm hi quy (3.2) c gi l hi quy tng th tuyn tnh. Chng ta s tho lun
chi tit v thut ng hi quy tuyn tnh cui chng. Hnh 3.2 cho ta ci nhn trc quan
v hi quy tng th tuyn tnh v sai s ca hi quy.
Hm hi quy tng th
Y=
1
+
2
X +
i
0
100
200
300
400
500
600
700
0 100 200 300 400 500 600 700 800 900
Thu nhp kh dng, X (XD)
T
i

u

d

n
g
,

Y

(
X
D
)
Xi
E(Y/Xi)=
1
+
2
Xi
Y
i
=
1
+
2
Xi +
i

i
Y = E(Y/Xi)
Yi

2
Thu nhp X (XD)
Hnh 3.2. Hm hi quy tng th tuyn tnh
3.2.2.Hm hi quy mu (SRF)
Trong thc t him khi chng c s liu ca tng th m ch c s liu mu. Chng ta
phi s dng d liu mu c lng hm hi quy tng th.
Hm hi quy mu:
i 2 1 i
X

Y

+ (3.4)
Trong
1

: c lng cho
1
.
2

: c lng cho
2
.
i vi quan st th i :
Y
i
=
1

+
2

X
i
+ e
i
(3.5)
Hnh 3.3 cho thy s xp x ca hm hi quy mu (SRF) v hm hi quy tng th
(PRF).
32
0
100
200
300
400
500
600
0 100 200 300 400 500 600 700 800 900
Thu nhp kh dng, X (XD)
T
i

u

d

n
g
,

Y

(
X
D
)
(PRF)
(SRF)
Xi
Yi
E(Y/Xi)
Yi
e
i

2
Thu nhp X (XD)
Hnh 3.3. Hi quy mu v hi quy tng th
3.3.c lng cc h s ca m hnh hi quy theo phng php bnh phng ti
thiu-OLS
11
3.3.1.Cc gi nh ca m hnh hi quy tuyn tnh c in
Cc gi nh v sai s hi quy nh sau m bo cho cc c lng h s hm hi quy
tng th da trn mu theo phng php bnh phng ti thiu l c lng tuyn tnh
khng chch tt nht(BLUE).
Gi tr k vng bng 0:
[ ] 0 X E
i i

Phng sai khng i:
[ ] [ ]
2
i
2
i i i
X E X var
i

Khng t tng quan:
[ ] [ ] 0 X , X E X , X cov
j i j i j i j i

Khng tng quan vi X:
[ ] [ ] 0 X , X X E X , X X cov
j i j i j i j i

C phn phi chun: ) , 0 ( N
2
i

chng 5 chng ta s kho st hu qu khi cc gi thit trn b vi phm.
3.3.2.Phng php bnh phng ti thiu:
tng ca phng php bnh phng ti thiu l tm
1

v
2

sao cho tng bnh

phng phn d c gi tr nh nht.
T hm hi quy (3.5)
i 2 1 i i i i
X

Y Y

Y e
Vy ( )
2
n
1 i
i 2 1 i
n
1 i
2
i
X

Y e


(3.6)
iu kin (3.6) t cc tr l:
11
OLS-Ordinary Least Square
33
(1)
( ) 0 e 2 X

Y 2

e
n
1 i
i
n
1 i
i 2 1 i
1
n
1 i
2
i

,
_

(3.7)
(2)
( ) 0 X e 2 X X

Y 2

e
n
1 i
i i i
n
1 i
i 2 1 i
2
n
1 i
2
i

,
_

(3.8)
T (3.7) v (3.8) chng ta rt ra

+
i 2 1 i
X

n Y (3.9)

+
2
i 2 i 1 i i
X

X Y
(3.10)
Cc phng trnh (3.9) v (3.10) c gi l cc phng trnh chun. Gii h phng
trnh chun ta c
X

2 1
(3.11)
Thay (3.9) vo (3.8) v bin i i s chng ta c
( )( )
( )

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

(3.12)
t X X x
i i
v Y Y y
i i
ta nhn c

n
1 i
2
i
n
1 i
i i
2
x
x y

(3.13)
3.3.3.Tnh cht ca hm hi quy mu theo OLS
Tnh cht ca tham s c lng
(1)
1

v
2

l duy nht ng vi mt mu xc nh gm n quan st (Xi,Yi).

(2)
1

v
2

l cc c lng im ca
1
v
2
. Gi tr ca
1

v
2

thay i
theo mu dng c lng.
Tnh cht ca hm hi quy mu
12
(1) Hm hi quy mu i qua gi tr trung bnh ca d liu
Tht vy, t (3.11) ta c X

Y
2 1

12
Phn chng minh cc tnh cht phn ny c th tm c Gujarati, Basic Econometrics,3
rd
Edition, p56-59.
34
0
50
100
150
200
250
300
350
400
450
500
0 100 200 300 400 500 600 700 800 900
Thu nhp kh dng, X (XD)
T
i

u

d

n
g
,

Y

(
X
D
)
(SRF): Y
i
=
1
+
2
X
i
Y
X
Y
(SRF): Y
i
=
1
+
2
X
i
(SRF): Y
i
=
1
+
2
X
i
Thu nhp X (XD)
Hnh 3.4. ng hi quy mu i qua gi tr trung bnh ca d liu
(2) Gi tr trung bnh ca c lng bng gi tr trung bnh ca quan st i vi bin
ph thuc: ( ) Y Y

E .
(3) Gi tr trung bnh ca phn d bng 0: ( ) 0 e E
i

(4) Cc phn d e
i
v Y
i
khng tng quan vi nhau:

n
1 i
i i
0 Y e
(5) Cc phn d e
i
v X
i
khng tng quan vi nhau:

n
1 i
i i
0 X e
3.3.4.Phn phi ca
1

v
2

13
c lng
1

K vng ( )
1 1

E ( )
2 2

E
Phng sai
( )
2
n
1 i
2
i
n
1 i
2
i
1
x n
X

var

( )

n
1 i
2
i
2
2
x

var
Sai s chun

n
1 i
2
i
n
1 i
2
i

x n
X
1

n
1 i
2
i

x
2
13
C th tnh ton chng minh cc biu thc ny da vo cc nh ngha v nh l v k vng v phng sai. Tham
khoV Thiu v ng s, Kinh t lng, PL chng 2, trang 61.
35
Phn phi

,
_

2
n
1 i
2
i
n
1 i
2
i
1 1
x n
X
, N ~

,
_

n
1 i
2
i
2
2 2
x
, N ~

Hip phng sai ca hai h s c lng

( ) ( )

,
_

n
1 i
2
i
2
2 2
x
X

var X

cov
Trong cc biu thc trn ( )
i
2
var vi gi nh ) , 0 ( N ~
2
i

3.4.Khong tin cy v kim nh gi thit v cc h s hi quy
3.4.1. Khong tin cy cho cc h s hi quy
Thc s chng ta khng bit
2
nn ta dng c lng khng chch ca n l
2 n
e

n
1 i
2
i
2

Sai s chun ca h s hi quy cho dc

n
1 i
2
i
2
x

) ( se
T
( )
2
2 2
2
, N ~

vi

n
1 i
2
i
2

x
2
ta c
) 1 , 0 ( N ~

Z
2
2 2

(3.14)
T tnh cht ca phng sai mu ta c
2
2
2
) 2 n (
~

) 2 n (

(3.15)
T (3.14) v (3.15) Ta xy dng tr thng k
) 2 n (
2
2 n
2
2
2 2
t ~
2 n
Z
~
2 n

) 2 n (

(3.16)
Bin i v tri chng ta c
)

( se

x
*

2 n

) 2 n (

2
2 2
n
1 i
2
i
2
2
2
2 2
2
2
2
2 2
2
2
2 2
2
2

Thay vo (3.16) ta c
36
) 2 n (
2
2 2
t ~
)

( se

(3.17)
Chng minh tng t ta c
) 2 n (
1
1 1
t ~
)

( se

(3.18)
c lng khong cho h s hi quy vi mc ngha nh sau
)

( se t

( se t

1 ) 2 / 1 , 2 n ( 1 1 1 ) 2 / 1 , 2 n ( 1
+
(3.19)
)

( se t

( se t

2 ) 2 / 1 , 2 n ( 2 2 2 ) 2 / 1 , 2 n ( 2
+
(3.20)
3.4.2. Kim nh gi thit v h s hi quy
Chng ta quan tm nhiu n ngha thng k dc (
2
) ca phng trnh hi quy
hn l tung gc (
1
). Cho nn t y n cui chng ch yu chng ta kim nh gi
thit thng k v dc.
Gi thit
*
2 1
*
2 0
2
2
: H
: H


Pht biu mnh xc sut

,
_

1 t
)

( se

t P
) 2 / 1 , 2 n (
2
2 2
) 2 / , 2 n (
Quy tc quyt nh
Nu ) 2 / , 2 n (
2
*
2 2
t
)

( se

<

hoc ) 2 / 1 , 2 n (
2
*
2 2
t
)

( se

>

th bc b H
0
.
Nu ) 2 / 1 , 2 n (
2
*
2 2
) 2 / , 2 n (
t
)

( se

th ta khng th bc b H
0
.
Quy tc thc hnh-Tr thng k t trong cc phn mm kinh t lng
Trong thc t chng ta thng xt xem bin c lp X c tc ng ln bin ph thuc Y
hay khng. Vy khi thc hin hi quy chng ta k vng

2
0. Mc ngha hay c
dng trong phn tch hi quy l =5%.
Gi thit
0 : H
0 : H
2 1
2 0


Tr thng k tr thnh
t-stat =
)

( se

2
2

Quy tc quyt nh
Nu /t-stat/ > t
(n-2,97,5%)
th bc b H
0
.
Nu /t-stat/ t
(n-2,97,5%)
th khng th bc b H
0.
Tra bng phn phi Student chng ta thy khi bc t do n trn 20 th tr thng k t
97,5%

th xp x 2.
Quy tc thc hnh
Nu /t-stat/ > 2 th bc b gi thit
2
= 0.
Nu /t-stat/ 2 th ta khng th bc b gi thit
2
=0.
Trong cc phn mm bng tnh c tnh ton hi quy, ngi ta mc nh mc ngha
=5% v gi thit H
0
:
i
=0. Th tc tnh ton hi quy ca Excel cung cp cho ta cc h s
37
hi quy, tr thng k t, c lng khong ca h s hi quy v gi tr p
14
.Sau y l kt qu
hi quy c tnh ton bng th tc hi quy ca mt vi phn mm thng dng.
Excel
Kt qu Regresstion cho d liu ca v d 3.1. (Ch trch phn h s hi quy)
SUMMARY OUTPUT
Regression Statistics
Multiple R 0,862810328
R Square 0,744441662
Adjusted R Square 0,735314578
Standard Error 74,0400401
Observations 30
ANOVA
df SS MS F Significance F
Regression 1 447128,0711 447128,0711 81,56402 8,68132E-10
Residual 28 153493,9711 5481,927538
Total 29 600622,0422
Coefficients Standard Error t Stat P-value Lower 95% Upper 95%
Intercept 92,24091128 33,61088673 2,744376012 0,010462 23,39205354 161,089769
X 0,611539034 0,067713437 9,031280327 8,68E-10 0,472834189 0,750243878
Intercept: Tung gc
Coefficients : H s hi quy
Standard Error : Sai s chun ca c lng h s
t Stat : Tr thng k t
(n-2)
P-value : Gi tr p
Lower95%: Gi tr ti hn di ca khong c lng vi tin cy 95%.
Upper95% : Gi tr ti hn trn ca khong c lng vi tin cy 95%.
Bc b H
0
khi /t-stat/ > 2 hoc p-value < 0,05 hoc khong (Lower;Upper) khng cha
0.
15
Eviews
Th tc Make Equation cho kt qu nh sau(ch trch phn h s hi quy):
Dependent Variable: Y
Method: Least Squares
Included observations: 30 after adjusting endpoints
Variable Coefficie
nt
Std.
Error
t-
Statistic
Prob.
C 92.24091 33.6108
9
2.74437
6
0.010
5
X 0.611539 0.06771
3
9.03128
0
0.000
0
C : Tung gc
Coefficient : H s hi quy
Std. Error : Sai s chun ca c lng h s
t Statistic : Tr thng k t
(n-2)
Prob: Gi tr p.Bc b H
0
khi /t-Statistic/ > 2 hoc Prob < 0,05.
SPSS
Th tc Regression->Linear. (Ch trch phn h s hi quy).
Unstandardiz
ed
Coefficients
Standardiz
ed
Coefficien
ts
t Si
g.
Model B Std.
Error
Beta
1 (Const
ant)
92,241 33,611 2,7
44
,
010
X ,612 ,068 ,863 9,0
31
,
000
Constant: Tung gc
Unstandardized Coefficients: Cc h s hi quy
14
chng 2 chng ta bit c kim nh trn c lng khong, tr thng k v gi tr p l tng ng nhau.
15
Nh trnh by chng 2, y thc ra l 3 cch din t t mt mnh xc sut nn kt lun t 3 tr thng k t, p
v c lng khong l tng ng nhau.
38
Standardized Coefficients: Cc h s hi quy chun ho
16
.
t: t-StatSig: Gi tr p.
Bc b H
0
khi /t/ >2 hoc Sig < 0,05
3.5. nh l Gauss-Markov
Vi cc gi nh ca m hnh hi quy tuyn tnh c in, hm hi quy tuyn tnh theo
phng php bnh phng ti thiu l c lng tuyn tnh khng thin lch tt nht.
Chng ta s khng chng minh inh l ny.
17
3.6. thch hp ca hm hi quy R
2
Lm th no chng ta o lng mc ph hp ca hm hi quy tm c cho d liu
mu. Thc o ph hp ca m hnh i vi d liu l R
2
. c ci nhn trc quan v
R
2
, chng ta xem xt th sau
Hnh 3.5. Phn tch thch hp ca hi quy
Y Y
i
: bin thin ca bin ph thuc Y, o lng lch ca gi tr Yi so vi gi tr
trung bnh . Y
Y Y

i
: bin thin ca Y c gii thch bi hm hi quy
i i i
Y

Y e : bin thin ca Y khng gii thch c bi hm hi quy hay sai s hi

quy.
Trn mi Xi chng ta k vng e
i
nh nht, hay phn ln bin thin ca bin ph thuc
c gii thch bi bin c lp. Nhng mt hm hi quy tt phi c tnh cht mang tnh
tng qut hn. Trong hi quy tuyn tnh c in, ngi ta chn tnh cht tng bnh phng
bin thin khng gii thch c l nh nht.
Ta c
i i i
i i
i i
e y y
e Y Y

Y Y
e Y

Y
+
+
+
Vi Y Y y
i i
v Y Y

y
i

16
Khi nim ny nm ngoi khun kh ca gio trnh.
17
Phn chng minh cc tnh cht phn ny c Gujarati, Basic
Econometrics-3
rd
Edition, trang 97-98.
Y
Y
i
Y
i
X
i
Yi
- Y
Yi - Yi
Yi - Y
X
Y
SRF
39
Vy


+ +
n
1 i
i i
n
1 i
2
i
n
1 i
2
i
n
1 i
2
i
e y 2 e y y
(3.21)
S hng cui cng ca (3.21) bng 0.
Vy


+
n
1 i
2
i
n
1 i
2
i
n
1 i
2
i
e y y
t

n
1 i
2
i
y TSS
,

n
1 i
2
i
y ESS
v

n
1 i
2
i
e RSS
TSS(Total Sum of Squares): Tng bnh phng bin thin ca Y.
ESS(Explained Sum of Squares): Tng bnh phng phn bin thin gii thch c
bng hm hi quy ca Y.
RSS(Residual Sum of Squares) : Tng bnh phng phn bin thin khng gii thch
c bng hm hi quy ca Y hay tng bnh phng phn d.Ta c:
TSS = ESS + RSS
t
TSS
RSS
1
TSS
ESS
R
2

2
y
2
x 2
2
n
1 i
2
i
n
1 i
2
i
2
2
n
1 i
2
i
n
1 i
2
i
2
2
n
1 i
2
i
n
1 i
2
i
2
S
S

1 n
y
1 n
x

y
x

y
y
R

,
_

,
_

Mt khc ta c

n
1 i
2
i
n
1 i
i i
2
x
x y

Vy
2
Y , X
n
1 i
2
i
n
1 i
2
i
2
n
1 i
i i
2
r
y x
y x
R

,
_

(3.22)
Vy i vi hi quy hai bin R
2
l bnh phng ca h s tng quan.
Tnh cht ca R
2
(1) 0 R
2
1. Vi R
2
=0 th hin X v Y c lp thng k. R
2
=1 th hin X v Y ph
thuc tuyn tnh hon ho.
(2) R
2
khng xt n quan h nhn qu.
3.7. D bo bng m hnh hi quy hai bin
Da trn X
0
xc nh chng ta d bo Y
0.
c lng im cho Y
0
l :
0 2 1 0
X

Y

+ .
c lng khong chng ta phi tm phn phi xc sut ca
i
Y

.
D bo gi tr trung bnh
( )
0 o
X X Y E
T
0 2 1 0
X

Y

+
Suy ra ( ) ( ) ( ) ( ) ( )
2 1 0 2
2
0 1 0 2 1 0

cov X 2

var X

var X

var Y

var + + +

(3.23)
40
Thay biu thc ca ( )
1

var , ( )
2

var v ( )
2 1

cov mc 3.3.4 vo (3.23) v rt

gn
( )
1
1
1
1
]
1

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

var
D bo gi tr c th ca Y
0
T ( ) ( )
0 0 2 1 1 0 0
e X

Y

Y + +
Ta c ( ) ( ) ( ) ( ) 0 e E

E X

E Y

Y E
0 2 0 1 1 0 0
+ +
v ( ) ( ) ( ) ( ) ( )
0 2 1 0 2
2
0 1 0 0
e var

cov X 2

var X

var Y

Y var + + + (3.25)
S hng cui cng ( )
2
0
e var . Vy
( )
1
1
1
1
]
1

+ +

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

Y var
(3.26)
Sai s chun ca d bo
Cho gi tr ca Y
0
( )
2
1
n
1 i
2
i
2
0
0
x
) X X (
n
1
1 Y

se

,
_

+ +

Khong tin cy cho d bo

) Y

( se t Y

o ) 2 / 1 , 2 n ( o
t
Nhn xt: X
0
cng lch ra khi gi tr trung bnh th d sai s ca d bo cng ln.
Chng ta s thy r iu ny qua th sau.
41
0
100
200
300
400
500
600
700
800
0 100 200 300 400 500 600 700 800 900
Thu nhp kh dng, X (XD)
T
i

u

d

n
g
,

Y

(
X
D
)
Hnh 3.6. c lng khong cho Y
0
.
3.8. ngha ca hi quy tuyn tnh v mt s dng hm thng c s dng
3.8.1. Tuyn tnh trong tham s
Trong mc 3.2.1 chng ta t yu cu l c lng theo phng php bnh
phng ti thiu th m hnh hi quy phi tuyn tnh. S dng tnh cht hm tuyn tnh ca
cc phn phi chun cng l phn phi chun, da vo cc gi nh cht ch v phng
php bnh phng ti thiu, ngi ta rt ra cc hm c lng tham s hiu qu v cc tr
thng k kim nh.
Hi quy tuyn tnh ch yu cu tuyn tnh trong cc tham s, khng yu cu tuyn tnh
trong bin s.
M hnh
+ +
X
1
Y
2 1
(3.27)
l m hnh tuyn tnh trong cc tham s nhng phi tuyn theo bin s.
M hnh X ) 1 ( Y
2
1 1
+ (3.28)
l m hnh phi tuyn trong cc tham s nhng tuyn tnh trong bin s.
Hi quy tuyn tnh theo OLS chp nhn dng m hnh tuyn tnh trong tham s nh
(3.27) m khng chp nhn dng m hnh phi tuyn trong tham s nh (3.28).
3.8.2. Mt s m hnh thng dng
M hnh Logarit kp
M hnh logarit kp ph hp vi d liu nhiu lnh vc khc nhau. V d ng cu
vi co dn khng i hoc hm sn xut Cobb-Douglas.
M hnh ng cu :

e X Y
2
1
(3.29)
Khng th c lng m hnh (3.29) theo OLS v n phi tuyn trong tham s. Tuy
nhin nu chng ta ly logarit hai v th ta c m hnh
+ + X ) ln( ) Y ln(
2 1
(3.30)
t
) Y ln( Y
*

v
) ln(
1
*
1

ta c m hnh
42
X trung bnh
c lng khong cho Y
0

trung bnh
c lng khong cho
Y
0
Y trung bnh
+ + X Y
2
*
1
*
(3.31)
M hnh ny tuyn tnh theo tham s nn c th c lng theo OLS.
Chng ta s chng minh c tnh ng lu ca m hnh ny l co dn cu theo gi
khng i. nh ngha co dn:
Y
X
X
Y
X
X
Y
Y
D

Ly vi phn hai v ca (3.30) ta c
X
X
Y
Y
2

=>
2 D
Y
X
X
Y

Vy co dn ca cu theo gi khng i.
Hnh 3.8. Chuyn dng Log-log
Tng qut, i vi m hnh logarit kp, h s ng vi ln ca mt bin s c lp l
co dn ca bin ph thuc vo bin c lp .
M hnh Logarit-tuyn tnh hay m hnh tng trng
Gi g l tc tng trng, t ch thi k. M hnh tng trng nh sau
0
t
t
Y ) g 1 ( Y +
(3.32)
Ly logarit hai v ca (3.32)
) Y ln( ) g 1 ln( t ) Y ln(
0 t
+ +
(3.33)
t
) Y ln( Y
t
*
t

,
) Y ln(
0 1

v
) g 1 ln(
2
+
ta c m hnh hi quy
+ + t Y
2 1
*
t
(3.34)
M hnh tuyn tnh-Logarit (Lin-log)
+ + ) X ln( Y
2 1
(3.35)
M hnh ny ph hp vi quan h thu nhp v tiu dng ca mt hng ho thng
thng vi Y l chi tiu cho hng ho v X l thu nhp. Quan h ny cho thy Y tng
theo X nhng tc tng chm dn.
Hnh 3.9. Chuyn dng Lin-log
0 X 0
ln(X)
Y Y =
1
X
2
ln(Y) ln(Y)
= ln(
1
) +
2
ln(X)
0 X 0
ln(X)
Y Y Y =
1

+
2
ln(X)
43
M hnh nghch o hay m hnh Hyperbol
+ +
X
1
Y
2 1
(3.36)
M hnh ny ph hp cho nghin cu ng chi ph n v, ng tiu dng theo thu
nhp Engel hoc ng cong Philip.
Hnh 3.10. Dng hm nghch o
Ph lc 3.1.PL S liu v thu nhp v tiu dng, XD.
STT
Thu nhp kh
dng Tiu dng
X Y
1 173 194
2 361 363
3 355 353
4 366 306
5 581 557
6 382 302
7 633 497
8 406 268
9 375 364
10 267 283
11 783 416
12 515 521
13 705 407
14 493 304
15 367 318
16 159 116
17 492 427
18 827 499
19 111 158
20 452 333
21 688 600
22 327 320
23 647 547
24 687 518
X X
X
Y Y
Y
1>0 2 >0 1>0 2<0
1<0 2>0
ng chi ph n v ng tiu dng
ng Philip
44
25 443 378
26 657 633
27 105 134
28 484 269
29 653 564
30 141 155
CHNG 4
M HNH HI QUY TUYN TNH BI
4.1. Xy dng m hnh
4.1.1. Gii thiu
M hnh hi quy hai bin m chng ta nghin cu chng 3 thng khng kh
nng gii thch hnh vi ca bin ph thuc. chng 3 chng ta ni tiu dng ph thuc
vo thu nhp kh dng, tuy nhin c nhiu yu t khc cng tc ng ln tiu dng, v d
tui, mc lc quan vo nn kinh t, ngh nghip V th chng ta cn b sung thm
bin gii thch(bin c lp) vo m hnh hi quy. M hnh vi mt bin ph thuc vi hai
hoc nhiu bin c lp c gi l hi quy bi.
Chng ta ch xem xt hi quy tuyn tnh bi vi m hnh tuyn tnh vi trong tham s,
khng nht thit tuyn tnh trong bin s.
M hnh hi quy bi cho tng th
i i , k k i , 3 3 i , 2 2 1 i
X ... X X Y + + + + +
(4.1)
Vi X
2,i
, X
3,i
,,X
k,i
l gi tr cc bin c lp ng vi quan st i

2
,
2
,
3
,,
k
l cc tham s ca hi quy

i
l sai s ca hi quy
Vi mt quan st i, chng ta xc nh gi tr k vng ca Yi
[ ]
i , k k i , 3 3 i , 2 2 1
X ... X X s ' X Y E + + + +
(4.2)
4.1.2. ngha ca tham s
Cc h s c gi l cc h s hi quy ring
[ ]
m
m
X
s X' Y

(4.3)

k
o lng tc ng ring phn ca bin X
m
ln Y vi iu kin cc bin s khc trong
m hnh khng i. C th hn nu cc bin khc trong m hnh khng i, gi tr k
vng ca Y s tng
m
n v nu X
m
tng 1 n v.
4.1.3. Gi nh ca m hnh
S dng cc gi nh ca m hnh hi quy hai bin, chng ta b sung thm gi nh sau:
(1) Cc bin c lp ca m hnh khng c s ph thuc tuyn tnh hon ho, ngha l
khng th tm c b s thc (
1
,
2
,...,
k
) sao cho
0 X ... X X
i , k k i , 3 3 i , 2 2 1
+ + + +
vi mi i.
Gi nh ny cn c c pht biu l khng c s a cng tuyn hon ho trong
m hnh.
(2) S quan st n phi ln hn s tham s cn c lng k.
(3) Bin c lp X
i
phi c s bin thin t quan st ny qua quan st khc hay
Var(X
i
)>0.
4.2. c lng tham s ca m hnh hi quy bi
4.2.1. Hm hi quy mu v c lng tham s theo phng php bnh phng ti thiu
45
Trong thc t chng ta thng ch c d liu t mu. T s liu mu chng ta c
lng hi quy tng th.
Hm hi quy mu
i i , k k i , 3 3 i , 2 2 1 i
e X

... X

X

Y + + + + +
(4.4)
i , k k i , 3 3 i , 2 2 1 i i i i
X

... X

X

Y Y

Y e
Vi cc
m

l c lng ca tham s
m
. Chng ta trng i
m

l c lng khng
chch ca
m
, hn na phi l mt c lng hiu qu. Vi mt s gi nh cht ch nh
mc 3.3.1 chng 3 v phn b sung 4.1, th phng php ti thiu tng bnh phng
phn d cho kt qu c lng hiu qu
m.
Phng php bnh phng ti thiu
Chn
1
,
2
, ,
k
sao cho
( )
2
n
1 i
i , k k i , 3 3 i , 2 2 1 i
n
1 i
2
i
X

... X

X

Y e


(4.5)
t cc tiu.
iu kin cc tr ca (4.5)
( )
( )
( ) 0 X X

... X

X

Y 2
e
...
0 X X

... X

X

Y 2
e
0 X

... X

X

Y 2
e
i , k
n
1 i
i , K K i , 3 3 i , 2 2 1 i
k
n
1 i
2
i
i , 2
n
1 i
i , K K i , 3 3 i , 2 2 1 i
2
n
1 i
2
i
n
1 i
i , K K i , 3 3 i , 2 2 1 i
1
n
1 i
2
i

(4.6)
H phng trnh (4.6) c gi l h phng trnh chun ca hi quy mu (4.4).
Cch gii h phng trnh (4.4) gn gng nht l dng ma trn. Do gii hn ca chng
trnh, bi ging ny khng trnh by thut ton ma trn m ch trnh by kt qu tnh ton
cho hi quy bi n gin nht l hi quy ba bin vi hai bin c lp. Mt s tnh cht ca
hi quy ta thy c hi quy hai bin c lp c th p dng cho hi quy bi tng qut.
4.2.2. c lng tham s cho m hnh hi quy ba bin
Hm hi quy tng th
i i , 3 3 i , 2 2 1 i
X X Y + + +
(4.7)
Hm hi quy mu
i i , 3 3 i , 2 2 1 i
e X

X

Y

+ + + (4.8)
Nhc li cc gi nh
(1) K vng ca sai s hi quy bng 0:
( ) 0 X , X e E
i , 3 i , 2 i

46
(2) Khng t tng quan:
( ) 0 e , e cov
j i

, ij
(3) Phng sai ng nht: ( )
2
i
e var
(4) Khng c tng quan gia sai s v tng X
m
:
( ) ( ) 0 X , e cov X , e cov
i , 3 i i , 2 i

(5) Khng c s a cng tuyn hon ho gia X
2
v X
3
.
(6) Dng hm ca m hnh c xc nh mt cch ng n.
Vi cc gi nh ny, dng phng php bnh phng ti thiu ta nhn c c lng
cc h s nh sau.
3 3 2 2 1
X

(4.10)
2
n
1 i
i , 3 i , 2
n
1 i
2
n
1 i
2
n
1 i
i , 3 i , 2
n
1 i
i , 3 i
n
1 i
2
n
1 i
i , 2 i
2
x x x x
x x x y x x y

i , 3 i , 2
i , 3

,
_

,
_

,
_

,
_

,
_

,
_

,
_

(4.11)
2
n
1 i
i , 3 i , 2
n
1 i
2
n
1 i
2
n
1 i
i , 3 i , 2
n
1 i
i , 2 i
n
1 i
2
n
1 i
i , 3 i
3
x x x x
x x x y x x y

i , 3 i , 2
i , 2

,
_

,
_

,
_

,
_

,
_

,
_

,
_

(4.12)
4.2.3. Phn phi ca c lng tham s
Trong phn ny chng ta ch quan tm n phn phi ca cc h s c lng
2

v
3

. Hn na v s tng t trong cng thc xc nh cc h s c lng nn chng ta

ch kho st
2

. y ch trnh by kt qu
18
.
2

l mt c lng khng chch : ( )

2 2

E (4.13)
( )
2
2
n
1 i
i , 3 i , 2
n
1 i
2
i , 3
n
1 i
2
i , 2
n
1 i
2
i , 3
2
x x x x
x

var

,
_

,
_

,
_

(4.14)
Nhc li h s tng quan gia X
2
v X
3
:

,
_

,
_

n
1 i
2
i , 3
n
1 i
2
i , 2
n
1 i
i , 3 i , 2
X X
x x
x x
r
3 2
t
3 2
X X
r
= r
23
bin i i s (4.14) ta c
( )
( )
2
2
23
n
1 i
2
i , 2
2
r 1 x
1

var

(4.15)
18
Cc thao tc chng minh kh phc tp, t chng minh c gi hy nh
li cc nh ngha v tnh cht ca gi tr k vng, phng sai v hip phng
sai ca bin ngu nhin.
47
T cc biu thc (4.13) v (4.15) chng ta c th rt ra mt s kt lun nh sau:
(1) Nu X2 v X3 c tng quan tuyn tnh hon ho th
2
23
r
=1. H qu l
( )
2

var v cng ln hay ta khng th xc nh c h s ca m hnh hi quy.

(2) Nu X2 v X3 khng tng quan tuyn tnh hon ho nhng c tng quan
tuyn tnh cao th c lng
2

vn khng chch nhng khng hiu qu.

Nhng nhn nh trn ng cho c hi quy nhiu hn ba bin.
4.3.
2
R
v
2
R

hiu chnh
Nhc li khi nim v
2
R
:
TSS
RSS
1
TSS
ESS
R
2

Mt m hnh c
2
R
ln th tng bnh phng sai s d bo nh hay ni cch khc
ph hp ca m hnh i vi d liu cng ln. Tuy nhin mt tnh cht c trng quan
trng ca l n c xu hng tng khi s bin gii thch trong m hnh tng ln. Nu ch
n thun chn tiu ch l chn m hnh c
2
R
cao, ngi ta c xu hng a rt nhiu
bin c lp vo m hnh trong khi tc ng ring phn ca cc bin a vo i vi bin
ph thuc khng c ngha thng k.
hiu chnh pht vic a thm bin vo m hnh, ngi ra a ra tr thng k
2
R
hiu chnh(Adjusted
2
R
)
19

k n
1 n
) R 1 ( 1 R
2 2

(4.16)
Vi n l s quan st v k l s h s cn c lng trong m hnh.
Qua thao tc hiu chnh ny th ch nhng bin thc s lm tng kh nng gii thch ca
m hnh mi xng ng c a vo m hnh.
4.4. Kim nh mc ngha chung ca m hnh
Trong hi quy bi, m hnh c cho l khng c sc mnh gii thch khi ton b cc
h s hi quy ring phn u bng khng.
Gi thit
H
0
:
2
=
3
=

=
k
= 0
H
1
: Khng phi tt c cc h s ng thi bng khng.
Tr thng k kim nh H
0
:
) k n , 1 k (
F ~
k) - (n
SS R
1) - (k
SS E
F

Quy tc quyt nh
Nu F
tt
> F
(k-1,n-k,)
th bc b H
0
.
Nu F
tt
F
(k-1,n-k,)
th khng th bc b H
0
.
4.5. Quan h gia R
2
v F
19
Cng thc ca Theil, c s dng a s cc phn mm kinh t lng. Mt cng thc khc do Goldberger xut l
Modified
2 2
R
n
k
1 R
,
_

. (Theo Gujarati, Basic Econometrics-3

rd
, trang 208).
48
) k n (
) R 1 (
) 1 k (
R
) R 1 )( 1 k (
R ) k n (
E 1 )( 1 k (
E ) k n (
E TSS )( 1 k (
E ) k n ( E ) k n (
) k n (
RSS
) 1 k (
E
F
2
2
2
2

SS/TSS)
SS/TSS
SS)
SS
1)RSS - (k
SS
SS
4.6. c lng khong v kim nh gi thit thng k cho h s hi quy
c lng phng sai ca sai s
k n
e
s
n
1 i
2
i
2

(4.17)
Ngi ta chng minh c
2
s

l c lng khng chch ca

2
, hay ( )
2 2
s E

.
Nu cc sai s tun theo phn phi chun th
2
) k n ( 2
2
~
s ) k n (

.
K hiu
m m
m
s )

( e . s


. Ta c tr thng k
) k n (
m
m m
t ~
)

( e . s

c lng khong cho
m
vi mc ngha l
)

( e . s t

( e . s t

m ) 2 / 1 , k n ( m m m ) 2 / 1 , k n ( m
+

(4.18)
Thng thng chng ta mun kim nh gi thit H
0
l bin X
m
khng c tc ng ring
phn ln Y.
H
0
:
m
= 0
H
1
:
m
0
Quy tc quyt nh
Nu /t-stat/ > t
(n-k,/2)
th ta bc b H
0
.
Nu /t-stat/ t
(n-k,/2)
th ta khng th bc b H
0
.
4.7. Bin phn loi (Bin gi-Dummy variable)
Trong cc m hnh hi quy m chng ta kho st t u chng 3 n y u da
trn bin c lp v bin ph thuc u l bin nh lng. Thc ra m hnh hi quy cho
php s dng bin c lp v c bin ph thuc l bin nh tnh. Trong gii hn chng
trnh chng ta ch xt bin ph thuc l bin nh lng. Trong phn ny chng ta kho st
m hnh hi quy c bin nh tnh.
i vi bin nh tnh ch c th phn lp, mt quan st ch c th ri vo mt lp. Mt
s bin nh tnh c hai lp nh:
Bin nh tnh Lp 1 Lp 2
Gii tnh N Nam
Vng Thnh
th
Nng
thn
Tn gio C Khng
Tt nghip i
hc
Cha
Bng 4.1. Bin nh phn
49
Ngi ta thng gn gi tr 1 cho mt lp v gi tr 0 cho lp cn li. V d ta k hiu S
l gii tnh vi S =1 nu l n v S = 0 nu l nam.
Cc bin nh tnh c gn gi tr 0 v 1 nh trn c gi l bin gi(dummy
variable), bin nh phn, bin phn loi hay bin nh tnh.
4.7.1. Hi quy vi mt bin nh lng v mt bin phn loi
V d 4.1. v d ny chng ta hi quy tiu dng cho go theo quy m h c xem xt
h thnh th hay nng thn.
M hnh kinh t lng nh sau:
Y
i
=
1
+
2
X
i
+
3
D
i
+ i(4.19)Y: Chi tiu cho go, ngn ng/nm
X : Quy m h gia nh, ngi
D: Bin phn loi, D = 1 nu h thnh th, bng D = 0 nu h nng thn.
Chng ta mun xem xt xem c s khc bit trong tiu dng go gia thnh th v nng
thn hay khng ng vi mt quy m h gia nh Xi xc nh.
i vi h nng thn
[ ]
i 2 1 i i i
X 0 D , X Y E +
(4.20)
i vi h thnh th
[ ]
i 2 3 1 i i i
X ) ( 1 D , X Y E + +
(4.21)
Vy s chnh lch trong tiu dng go gia thnh th v nng thn nh sau
[ ] [ ]
3 i i i i i i
0 D , X Y E 1 D , X Y E
(4.22)
S khc bit trong tiu dng go gia thnh th v nng thn ch c ngha thng k
khi
3
khc khng c ngha thng k.
Chng ta c phng trnh hi quy nh sau
Y = 187 + 508*X - 557*D (4.23)
t-stat [0,5] [6,4] [-2,2]
R
2
hiu chnh = 0,61
H s hi quy
557

3

khc khng vi tin cy 95%. Vy chng ta khng th bc
b c s khc bit trong tiu dng go gia thnh th v nng thn.
Chng ta s thy tc ng ca lm cho tung gc ca phung trnh hi quy ca thnh
th v nng thn sai bit nhau mt khong
3
= -557 ngn ng/nm. C th ng vi mt
quy m h gia nh th h thnh th tiu dng go t hn h nng thn 557 ngn
ng/nm.Chng ta s thy iu ny mt cch trc quan qua th sau:
Chi tiu cho go v quy m h gia nh
0
1000
2000
3000
4000
5000
6000
0 1 2 3 4 5 6 7 8 9
Quy m h gia nh (Ngi)
C
h
i

t
i

u

c
h
o

g
o

(
N
g

n
g
/
n

m
)
Nng thn
Thnh th
Hi quy nng thn
Hi quy thnh th
Hnh 4.1. Hi quy vi mt bin nh lng v mt bin phn loi.
50
4.7.2. Hi quy vi mt bin nh lng v mt bin phn loi c nhiu hn hai phn lp
V d 4.2. Gi s chng ta mun c lng tin lng c quyt nh bi s nm kinh
nghim cng tc v trnh hc vn nh th no.
Gi Y : Tin lng
X : S nm kinh nghim
D: Hc vn. Gi s chng ta phn loi hc vn nh sau : cha tt nghip i hc, i
hc v sau i hc.
Phung n 1:
Di = 0 nu cha tt nghip i hc
Di = 1 nu tt nghip i hc
Di =2 nu c trnh sau i hc
Cch t bin ny a ra gi nh qu mnh l phn ng gp ca hc vn vo tin
lng ca ngi c trnh sau i hc ln gp hai ln ng gp ca hc vn i vi
ngi c trnh i hc. Mc tiu ca chng ta khi a ra bin D ch l phn loi nn ta
khng chn phng n ny.
Phng n 2: t b bin gi
D
1i
D
2i
Hc vn
00Cha i hc
10i hc
01Sau i hc
M hnh hi quy
Y
i
=
1
+
2
X +
3
D
1i
+
4
D
2i
+
i
(4.24)
Khai trin ca m hnh (4.24) nh sau
i vi ngi cha tt nghip i hc
E(Y
i
)=
1
+
2
X (4.25)
i vi ngi c trnh i hc
E(Y
i
)= (
1
+
3
)+
2
X
3
(4.26)
i vi ngi c trnh sau i hc
E(Y
i
)= (
1
+
3
+
4
)+
2
X (4.27)
4.7.3. Ci by ca bin gi
S lp ca bin phn loiS bin gi
Trong v d 4.1. 21
Trong v d 4.232
iu g xy ra nu chng ta xy dng s bin gi ng bng s phn lp?
V d 4.3. Xt li v d 4.1.
Gi s chng ta t bin gi nh sau
D
1i
D
2i
Vng
10Thnh th
01Nng thn
M hnh hi quy l
Y
i
=
1
+
2
X
i
+
3
D
1i
+
4
D
2i
+i(4.28)
Chng ta hy xem kt qu hi quy bng Excel

Coefficient
s
Standard
Error t Stat
P-
value
Intercept 2235,533 0 65535 #NUM!
X 508,1297 80,36980143
6,32239
6
1,08E-
06
D1 -2605,52 0 65535 #NUM!
51
D2 -2048 0 65535 #NUM!
Kt qu hi quy rt bt thng v hon ton khng c ngha kinh t.
L do l c s a cng tuyn hon ho gia D1, D2 v mt bin hng X2 =-1.
D
1i
+ D
2i
+ X
2
= 0 i .
Hin tng a cng tuyn hon ho ny lm cho h phng trnh chun khng c li
gii. Thc t sai s chun tin n v cng ch khng phi tin n 0 nh kt qu tnh ton
ca Excel. Hin tng ny c gi l ci by ca bin gi.
Quy tc: Nu mt bin phn loi c k lp th ch s dng (k-1) bin gi.
4.7.4. Hi quy vi nhiu bin phn loi
V d 4.4. Tip tc v d 4.2. Chng ta mun kho st thm c s phn bit i x
trong mc lng gia nam v n hay khng.
t thm bin v t li tn bin
GT
i
: Gii tnh, 0 cho n v 1 cho nam.
TL : Tin lng
KN: S nm kinh nghim lm vic
H: Bng 1 nu tt nghip i hc v 0 cho cha tt nghip i hc
SH: Bng 1 nu c trnh sau i hc v 0 cho cha.
M hnh hi quy TL
i
=
1
+
2
KN
i
+
3
H
i
+
4
SH
i
+
5
GT
i
+
i
(4.29)
Chng ta xt tin lng ca n c trnh sau i hc
E(TL
i
/SH=1GT=0)= (
1
+
4
)+
2
KN
i

4.7.5. Bin tng tc
Xt li v d 4.1. Xt quan h gia tiu dng go v quy m h gia nh. cho n
gin trong trnh by chng ta s dng hm ton nh sau.
Nng thn: Y =
1
+
1
X
Thnh th: Y =
2
+
2
X
D : Bin phn loi, bng 1 nu h thnh th v bng 0 nu h nng thn.
C bn trng hp c th xy ra nh sau
(1)
1
=
2
v
1
=
2
, hay khng c s khc bit trong tiu dng go gia thnh th v
nng thn.
M hnh : Y = a + b X
Trong
1
=
2
= a v
1
=
2
= b.
(2)
1

2
v
1
=
2
, hay c s khc bit v tung gc
M hnh: Y = a + bX + cD
Trong
1
= a,
2
= a + c v
1
=
2
= b.
(3)
1
=
2
v
1

2
, hay c s khc bit v dc
M hnh: Y = a + bX + c(DX)
Trong DX = X nu nu D =1 v DX = 0 nu D = 0

1
=
2
= a ,
1
= b v
2
= b + c.
(4)
1

2
v
1

2
, hay c s khc bit hon ton v c tung gc v dc.
M hnh: Y = a + bX + cD + d(DX)

1
= a ,
2
= a + c,
1
= b v
2
= b + d.
52
Hnh 4.2. Cc m hnh hi quy
Bin DX c xy dng nh trn c gi l bin tng tc. Tng qut nu X
p
l mt
bin nh lng v D
q
l mt bin gi th X
p
D
q
l mt bin tng tc. Mt m hnh hi
quy tuyn tng qut c th c nhiu bin nh lng, nhiu bin nh tnh v mt s bin
tng tc.
CHNG 5
GII THIU MT S VN LIN QUAN N M HNH HI QUY
5.1. a cng tuyn
5.1.1. Bn cht ca a cng tuyn
a cng tuyn hon ho: Cc bin X
1
, X
2
,,X
k
c gi l a cng tuyn hon ho nu
tn ti
1
,
2
, ,
k
khng ng thi bng khng sao cho

1
X
1
+
2
X
2
+

+
k
X
k
=0(5.1)
Hin tng a cng tuyn hon ho thng xy do nhm ln ca nh kinh t lng nh
trng hp ci by ca bin gi m chng ta xem xt mc 4.7.3 chng 4.
Hin tng a cng tuyn m chng ta xt trong kinh t lng c hiu vi ngha rng
hn a cng tuyn hon ho nh iu kin (5.1). Cc bin X
1
, X
2
,,X
k
c gi l a
cng tuyn khng hon ho nu tn ti
1
,
2
, ,
k
sao cho

1
X
1
+
2
X
2
+

+
k
X
k
+ =0(5.2)
vi l sai s ngu nhin.
Chng ta c th biu din bin X
i
theo cc bin cn li nh sau
i
k
i
k
3
i
2
2
i
1
i
X X X X

vi
i
0.(5.3)
Vy hin tng a cng tuyn xy ra khi mt bin l s kt hp tuyn tnh ca cc bin
cn li v mt nhiu ngu nhin.
Mt s nguyn nhn gy ra hin tng a cng tuyn
(1) Khi chn cc bin c lp mi quan c quan h nhn qu hay c tng quan cao v
ng ph thuc vo mt iu kin khc. V d s ging bnh v s bc s nu ng thi
l bin c lp ca mt hi quy th s gy ra hin tng a cng tuyn gn hon ho.
Quy
m h, X
a. M hnh ng nht

1

2
Tiu dng
go, Y
Tiu dng
go, Y
Quy
m h, X
b. M hnh song song

1

2
Quy
m h, X
d. M hnh phn bit
Tiu dng
go, Y
Tiu dng
go, Y

2
1

2
Quy
m h, X
c. M hnh ng quy
53
(2) Khi s quan st nh hn s bin c lp. Mt v d in hnh l mt nghin cu y
khoa trn mt s lng nh bnh nhn nhng li kho st qu nhiu nhn t tc ng ln
hiu qu iu tr.
(3) Cch thu thp mu. V d ch thu thp mu trn mt s lp gii hn ca tng th.
(4) Chn bin X
i
c bin thin nh.
5.1.2. H qu ca a cng tuyn
V d 5.1
20
. Nghin cu ca Klein v Golberger(1995) v quan h gia tiu dng ni a
C, thu nhp t lng W, thu nhp khc phi nng nghip P v thu nhp t nng nghip A
ca nn kinh t Hoa K t nm 1928 n 1950, vi s liu ca cc nm 1942 n 1944 b
loi ra khi d liu. Klein v Golberger thc hin hi quy tiu dng ni a theo ba loi
thu nhp nh sau
C
t
=
1
+
2
W
t
+
3
P
t
+
4
A +
t
(5.4)
Hi quy ny c th gp phi hin tng a cng tuyn v cc loi thu nhp c xu hng
cng tng theo s pht trin ca nn kinh t.
Nm C W P A
1928 52,8
39,2
1
17,7
3 4,39
1929 62,2
42,3
1
20,2
9 4,60
1930 58,6
40,3
7
18,8
3 3,25
1931 56,6
39,1
5
17,4
4 2,61
1932 51,6
34,0
0
14,7
6 1,67
1933 51,1
33,5
9
13,3
9 2,44
1934 54
36,8
8
13,9
3 2,39
1935 57,2
39,2
7
14,6
7 5,00
1936 62,8
45,5
1
17,2
0 3,93
1937 65
46,0
6
17,1
5 5,48
1938 63,9
44,1
6
15,9
2 4,37
1939 67,5
47,6
8
17,5
9 4,51
1940 71,3
50,7
9
18,4
9 4,90
20
V d ny ly t William E.Griffiths et al, Learning and Practicing Econometrics, John Wiley&Sons Inc, 1998, trang
433.
54
1941 76,6
57,7
8
19,1
8 6,37
1945 86,3
78,9
7
19,1
2 8,42
1946 95,7
73,5
4
19,7
6 9,27
1947 98,3
74,9
2
17,5
5 8,87
1948
100,
3
74,0
1
19,1
7 9,30
1949
103,
2
75,5
1
20,2
0 6,95
1950
108,
9
80,9
7
22,1
2 7,15
Bng 5.1. S liu thu nhp v tiu dng ca nn kinh t Hoa K
Kt qu hi quy nh sau
C

=8,133 +1,059W +0,452P +0,121A(5.5)

t-Stat(0,91)(6,10)(0,69)(0,11)
Khong 95%(-10,78;27,04)(0,69;1,73)(-0,94;1,84)(-2,18;2,43)
R
2
= 0,95F = 107,07 > F(3,16,99%) = 5,29.
M hnh ny c tnh gii thch cao th hin qua R
2
rt cao v thng k F cao. Tuy nhin
mt s h s li khng khc khng vi ngha thng k th hin qua t-stat thp, ngha l
c lng khong cho cc h s cha 0. W vi h s c t-stat ln th ngha kinh t li rt
l: nu thu nhp t lng tng 1 USD th tiu dng tng 1,059 USD. tm hiu l do gy
ra hin tng trn chng ta phi dng l thuyt ca i s ma trn, y ch minh ho
bng m hnh hi quy ba bin. Phng sai ca c lng h s 2 l
( )
( )
2
2
23
n
1 i
2
i , 2
2
r 1 x
1

var

Khi X
2
v X
3
c hin tng cng tuyn th
2
23
r cao lm cho phng sai ca c lng

2
cao. c lng b2 theo phng php bnh phng ti thiu tr nn khng hiu qu.
H qu ca a cng tuyn
(1) c lng cc h s khng hiu qu do phng sai ca c lng ln. M hnh c
a cng tuyn c t-stat nh v mt s h s ca th c du tri vi l thuyt hay c gi tr
khng ph hp. R
2
th hin ph hp ca d liu v F th hin ngha chung ca cc h
s c th rt cao.
(2) Gi tr c lng ca cc h s rt nhy cm i vi vic tng hoc bt mt hoc
quan st hoc loi b bin c mc ngha thp.
(3) Mc d vic phn tch tc ng ring phn ca mt bin kh khn nhng tnh chnh
xc ca d bo c th vn cao khi bn cht ca a cng tuyn vn khng i i vi quan
st mi.
5.1.3 Bin php khc phc
Nu mc tiu ca phn tch hi quy l d bo th trong mt s trng hp chng ta
khng cn khc phc hin tng a cng tuyn.
55
Nu mc tiu ca phn tch l xt tc ng ring phn ca tng bin s ln bin ph
thuc quyt nh chnh sch th a cng tuyn tr thnh mt vn nghim trng. Sau
y l mt s bin php khc phc.
(1) Dng thng tin tin nghim. V d khi hi quy hm sn xut Cobb-Douglas
Ln(Y
i
)=
1
+
2
ln(Ki)+
3
ln(Li) +
i
(5.6)
Chng ta c th gp hin tng a cng tuyn do K v L cng tng theo quy m sn
xut. Nu ta bit l hiu sut khng i theo quy m th ta c thm thng tin
2
+
3
=1. Vi
thng tin tin nghim ny chng ta chuyn m hnh hi quy (5.6) thnh
Ln(Y
i
)=
1
+
2
ln(Ki)+ (1-
2
)ln(Li) +
i
(5.7)
(2) B i mt bin c a cng tuyn. y l cch lm n gin nht. V d trong m
hnh c bin gii thch l s bc s v s ging bnh th ta c th b i bin s ging
bnh. Nu bin b b i thc s cn phi c trong m hnh th chng ta li gp phi mt
vn khc, l c lng chch i vi cc h s cn li. Vn ny chng ta s tip
tc xem xt cui chng.
(3) Chuyn dng d liu
Gi s chng ta hi quy trn d liu chui thi gian
Y
t
=
1
+
2
X
2t
+
3
X
3t
+
t
(5.8)
V chng ta gp phi hin tng a cng tuyn do X
1t
v X
3t
c th cng tng hoc
gim theo tng nm. Ta c th ti thiu tc ng a cng tuyn ny bng k thut hi quy
trn sai phn bc nht nh sau:
Ta c
Y
t-1
=
1
+
2
X
2,t-1
+
3
X
3,t-1
+
t-1
(5.9)
T (5.8) v (5.9) ta xy dng m hnh hi quy
(Y
t
-Y
t-1
)= 2(X
2t
-X
2,t-1
) +
3
(X
3t
-
3
X
3,t-1
)+
t
(5.10)
Vi
t
=
t
-
t-1
.
Mt vn mi ny sinh l
t
c th c tnh tng quan chui, v nh th khng tun
theo gi nh ca m hnh hi quy tuyn tnh c in. Nu hin tng tng quan chui l
nghim trng th m hnh (5.10) cn km hn c m hnh (5.8).
(4) Tng thm quan st. Gii php ny thch hp cho hin tng a cng tuyn do c
mu nh. i khi ch cn tng thm mt s quan st l ta khc phc c hin tng a
cng tuyn. Mt ln na chng ta li c s nh i. Tng d liu i khi ng ngha vi
vic tng chi ph, nht l i vi d liu s cp. Mt khc nu l d liu khng c kim
sot, chng ta phi bit chc rng cc iu kin khc tng t vi khi ta thu thp d liu
gc.
Khc phc hin tng a cng tuyn i hi cc k thut phc tp v i khi cng
khng mang li hiu qu nh ta mong mun. Mt khc, hu ht cc m hnh hi quy bi
u c tnh cng tuyn nht nh nn chng ta phi cn thn trong vic xy dng m hnh
v gii thch kt qu. Chng ta s nghin cu nguyn tc xy dng m hnh cui chng.
5.2. Phng sai ca sai s thay i - HETEROSKEDASTICITY
5.2.1. Bn cht ca phng sai ca sai s thay i
Gi nh ca m hnh hi quy tuyn tnh c in l phng sai ca sai s hi quy khng
i qua cc quan st. Trong thc t sai s hi quy c th tng ln hoc gim i khi gi tr
bin c lp X tng ln. Tng qut, thay cho gi nh
2 2
i
) e ( E
chng ta gi nh
2
i
2
i
) e ( E (5.11)
56
Thng gp phng sai khng ng nht d liu cho v d liu bng. Nguyn nhn
phng sai khng ng nht rt a dng, sau y l mt s trng hp in hnh:
(1) Gi Y l s ph phm trong 100 sn phm ca mt th hc vic, X l s gi thc
hnh. Khi s gi thc hnh cng ln th s ph phm cng nh v cng t bin ng. Chng
ta c trng hp phng sai gim dn khi X tng dn.
(2) Khi thu nhp(X) tng th chi tiu cho cc mt hng xa x tng v mc bin ng
cng ln. Chng ta c trng hp phng sai tng dn khi X tng dn.
(3) Khi ci thin phng php thu thp s liu th phng sai gim.
(4) Phng sai ca sai s tng do s xut hin ca im nm ngoi, l cc trng
hp bt thng vi d liu rt khc bit(rt ln hoc rt nh so vi cc quan st khc).
(5) Phng sai thay i khi khng xc ng dng m hnh, nu mt bin quan trng b
b st th phng sai ca sai s ln v thay i. Tnh trng ny gim hn khi a bin b
b st vo m hnh.
5.2.2. H qu ca phng sai thay i khi s dng c lng OLS
Xt hi quy
Y
i
=
1
+
2
X
i
+ i(5.12)
vi
2
i
2
i
) e ( E
S dng phng php bnh phng ti thiu thng thng (OLS) chng ta c

+
n
1 i
2
i
n
1 i
i i
2
n
1 i
2
i
n
1 i
i i
2
x
x
x
Y x

(5.13)
( )
2
n
1 i
2
i
n
1 i
i i
2 2
x
) ( E x

vy c lng theo OLS khng chch.

( )
2
n
1 i
2
i
n
1 i
2
i
2
i
2
x
x

var

,
_

Chng ta khng cha r l OLS c cho c lng hiu qu hay khng.

c lng bnh phng ti thiu c trng s (WLS)
t
2 2
i
2
i
w , chia hai v ca (5,12) cho w
i
chng ta c m hnh hi quy
i
i
i
i
2
i
1
i
i
w w
X
w
1
w
Y
+ +
(5.14)
Ta vit li m hnh (5.13) nh sau
*
i
*
i 2 2
*
i 1 1
*
i
X X Y + + (5.15)
M hnh (5.14) khng c tung gc v phng sai ng nht.
2
2
i
2 2
i
i
i *
i
w
w
w
var ) var(

,
_

Vy c lng h s ca (5.15) theo OLS l c lng hiu qu(BLUE).
Kt qu c lng
2
ca (5.15) theo OLS nh sau
57

,
_

,
_

,
_

,
_

,
_

,
_

,
_

,
_

n
1 i
n
1 i
2
n
1 i
2
i
i
2
i
2
i
2
i
n
1 i
n
1 i
n
1 i
n
1 i
2
i
i
2
i
i
2
i
2
i
i i
WLS , 2
w
X
w
1
w
X
w
X
w
Y
w
1
w
Y X

(5.16)
c lng (5.16) hon ton khc vi (5.13). Chng ta bit c lng theo WLS (5.16)
l c lng hiu qu vy c lng theo OLS (5.13) l khng hiu qu.
Phng sai ng ca h s c lng
2
l
( )
2
n
1 i
2
i
n
1 i
2
i
2
i
2
x
x

var

,
_

nhng cc phn mm
my tnh bo co phng sai l
( )

n
1 i
2
i
2
2
x

var
.
T phng sai ca sai s b tnh sai ny cc tr thng k t-stat v sai s chun ca h s
c lng phn mm cung cp l v dng.
Tm li, vi s hin din ca phng sai ca sai s thay i mc d c lng cc h
s theo OLS vn khng chch nhng c lng khng hiu qu v cc tr thng k nh t-
stat khng chnh xc.
5.2.3. Pht hin v khc phc
Pht hin phng sai ca sai s thay i.
Phng php th. Xt th ca phn d theo gi tr Y v X.
-2
-1
0
1
2
0 100 200 300 400 500 600 700 800 900 1000
Y
P
h
n

d

c
h
u
n

h
o

Hnh 5.1. th phn tn phn d e

i
theo
i
Y

.
58
-2
-1
0
1
2
0 200 400 600 800 1000 1200 1400
X
P
h
n

d

c
h
u
n

h
o

Hnh 5.2. th phn tn phn d e

i
theo X
i
Theo cc th trn th khi gi tr d bo Y tng (hoc khi X tng) th phn d c xu
hng tng, hay m hnh c phng sai ca sai s thay i.
Cc php th chnh thc
Xt hi quy bi
i i , k k i , 3 3 i , 2 2 1 i
X ... X X Y + + + + +
(5.17)
Trong (k-1) bin c lp trn ta trch ra (p-1) bin lm bin c lp cho mt hi quy
ph. Trong hi quy ph ny phn d t hi quy m hnh(5.17) lm hi quy bin ph thuc.
Cc dng hi quy ph thng s dng l
i pi p i 2 2 1
2
i
Z Z e + + + +
(5.18)
i pi p i 2 2 1 i
Z Z e + + + +
(5.19)
i pi p i 2 2 1
2
i
Z Z ) e ln( + + + +
(5.20)
Kim nh Breusch-Pagan cn c vo hi quy ph (5.18), kim nh Glejser cn c vo
(5.19) v kim nh Harvey-Godfrey cn c vo (5.20).
Gi thit khng l khng c phng sai khng ng nht
H
0
:
2
=
3
= =
p
= 0
H
1
: Khng phi tt c cc h s trn u bng 0.
R
2
xc nh t hi quy ph, n l c mu dng xy dng hi quy ph, vi c mu ln
th nR
2
tun theo phn phi Chi bnh phng vi (p-1) bc t do.
Quy tc quyt nh
Nu
2 2
) 1 , 1 p (
nR

th bc b H
0
.
Nu bc b c H
0
th chng ta chp nhn m hnh c phng sai ca sai s thay i
v thc hin k thut c lng m hnh nh sau:
i vi kim nh Breusch-Pagan
pi p i 2 2 1
2
i
Z Z w + + +
i vi kim nh Glejser
2
pi p i 2 2 1
2
i
) Z Z ( w + + +
i vi kim nh Harvey-Godfrey
) Z Z exp( w
pi p i 2 2 1
2
i
+ + +
59
Ta c
2
i i
w w . n y chng ta c th chuyn dng hi quy theo OLS thng thng
sang hi quy theo bnh phng ti thiu c trng s WLS.
5.3. T tng quan (tng quan chui)
Trong m hnh hi quy tuyn tnh c in chng ta gi nh khng c tng quan gia
cc phn d hay E(
i

j
) = 0 vi mi i, j.
Trong thc t i vi d liu chui thi gian, gi nh ny hay b vi phm. Mt l do
nm na l bin s kinh t c mt qun tnh(sc ) nht nh. V d s tng cu mt loi
hng ha ca nm nay s lm tng lng cung ni a ca hng ho vo nm sau, y l
tc ng tr ca bin c lp hay bin ph thuc thi k t chu tc ng ca bin c lp
thi k t-1.
i khi nn kinh t li phn ng qu nhy vi s thay i. V d gi ma cao nm nay
s lm cho nng dn x trng ma, sn lng ma nm sau tng vt lm gim gi ma
nm sau, y l tc ng tr ca bin ph thuc hay gi tr bin ph thuc thi k t chu
nh hng ca gi tr bin ph thuc thi k t-1.
Hin tng t tng quan lm cho E(
i

j
) 0 v gy ra cc hu qu sau
(1) c lng theo OLS khng chch nhng khng hiu qu
(2) Cc tr thng k tnh theo OLS khng hu ch trong vic nhn nh m hnh.
Chng ta c th pht hin hin tng t tng quan bng cch quan st th phn d
ca m hnh trn d liu chui thi gian.
-1,5
-1
-0,5
0
0,5
1
1,5
0 1 2 3 4 5 6 7 8
Thi gian
P
h
n

d

c
h
u
n

h
o

Hnh 5.3. Tng quan chui nghch

60
-1,5
-1
-0,5
0
0,5
1
1,5
0 1 2 3 4 5 6 7 8
Thi gian
P
h
n

d

c
h
u
n

h
o

Hnh 5.4. Tng quan chui thun

Chng ta s tip tc lm vic vi d liu chui v x l hin tng t tng quan
phn sau ca gio trnh lin quan n cc m hnh d bo.
5.4. La chn m hnh
Mt yu t quan trng u tin chn ng m hnh hi quy l chn ng dng hm.
chn ng dng hm chng ta phi hiu ngha v mi quan h kinh t ca cc bin s.
ngha ca mt s loi hm thng dng c trnh by mc 3.8.2 chng 3. phn
ny chng ta xt hu qu ca mt s dng xy dng m hnh sai v chin lc xy dng
m hnh kinh t lng. Chng ta cng khng i su vo chng minh cc kt qu.
5.4.1. Thiu bin c lin quan v cha bin khng lin quan.
Xt hai hi quy sau
i Ki K i 2 2 1 i
X X Y + + + +
(5.21)
v
i i , L K ) L K ( i , 1 K ) 1 K ( Ki K i 2 2 1 i
X X X X Y + + + + + +
+ + + + (5.22)
M hnh (5.21) c cc tr thng k tng ng c k hiu R v m hnh (5.22) c cc tr
thng k tng ng c k hiu U.
C hai trng hp xy ra:
Trng hp 1: Nu m hnh (5.22) l ng nhng chng ta chn m hnh (5.21)
ngha l chng ta b st L bin quan trng (X
K+1
,..X
K+L
). Hu qu l c lng cc h s
cho K-1 bin c lp cn li b chch, m hnh km tnh gii thch cho c mc tiu d bo
vo phn tch chnh sch.
Trng hp 2: Nu m hnh (5.21) l ng nhng chng ta chn m hnh (5.22),
ngha l chng ta a vo m hnh cc bin khng lin quan. Hu qu l c lng h s
cho cc bin quan trng vn khng chch nhng khng hiu qu.
5.4.2. Kim nh so snh m hnh (5.21) v (5.22) - Kim nh Wald
Chng ta mun kim nh xem L bin (X
K+1
,..X
K+L
) c ng c a vo m hnh hay
khng.
H
0
:
0
L K 2 K 1 K

+ + +
Tr thng k
) L K n , L (
*
U
U R
F ~ F ~
) L K n /( RSS
L / ) RSS RSS (

61
Quy tc quyt dnh: Nu ) 1 ), L K n , L ((
*
F F

>
th ta bc b H
0
hay chp nhn L bin
(X
K+1
,..X
K+L
) xng ng c a vo m hnh.
5.4.3. Hai chin lc xy dng m hnh
C hai chin lc xy dng m hnh kinh t lng l:
Xy dng m hnh t n gin n tng qut: cha tt c cc bin c lin quan
trong m hnh v loi b dn nhng bin t ngha thng k nht cho n khi nhn c
m hnh tt nht.
Xy dng m hnh tng qut n n gin : Xut pht t bin c lp c quan h
kinh t trc tip nht vi bin ph thuc, tip tc b sung bin mi cho n khi nhn c
m hnh tt nht.
Mi cch lm u c nhng u v nhc im. Hin nay vi cng c my vi tnh, ngi
ta khng cn ngi tnh ton trn m hnh ln v nhiu nh kinh t lng cho rng xy dng
m hnh t tng qut n n gin th hiu qu hn t n gin n tng qut. Nt chung
ca c hai chin lc ny l tng bc u phi thc hin kim nh Wald.
CHNG 6
D BO VI M HNH HI QUY (c thm)
PHN LOI CC PHNG PHP D BO
C hai nhm phng php d bo chnh l nhm nh tnh v nhm nh lng. Trong
gio trnh ny chng ta ch yu s dng phng php nh lng c kt hp vi cc phn
on nh tnh d bo.
Cc phng php d bo nh tnh
Cc phng php d bo nh tnh da vo phn on ch quan v trc gic a ra
d bo thay cho v da vo cc s liu qu kh. Phng php d bo nh tnh hu ch cho
vic d bo ton cc v mt s trng hp m s liu qu kh khng hu ch cho d bo.
Cc phng php d bo nh lng
Cc k thut d bo nh lng da vo vic phn tch s liu qu kh a ra d
bo. Gi nh ca phng php ny l cc nhn t tng tc ng ln bin c d bo
trong qu kh vn tip tc nh hng n bin ny trong tng lai. Vy da vo din bin
d liu trong qu kh ta c th d bo cho tng lai. Cc phng php d bo nh lng
li c chia thnh hai nhm chnh: d bo nh lng mang tnh nhn qu v d bo nh
lng mang tnh thng k.
Cc phng php d bo nh lng mang tnh nhn qu
i din ca nhm phng php ny l phn tch hi quy. M hnh d bo c hai nhm
bin s: cc bin s c d bo c gi l bin c lp, cc bin s dng d bo
c gi l bin ph thuc. Chng ta nghin cu m hnh hi quy phn 1, nay chng
ta tip tc nghin cu vic p dng m hnh hi quy cho d bo v mt s k thut phn
tch hi quy vi d liu chui thi gian.
Cc phng php d bo nh lng mang tnh thng k
Nhm cc phng php d bo mang tnh thng k ch quan tm n quy lut bin thin
ca bin cn d bo trong qu kh da ra d bo. Bin thin ca mt bin s kinh t
c chia thnh cc thnh phn: xu hng, chu k, thi v v ngu nhin.
62
Nhm cc phng php d bo mang tnh thng k li chia thnh hai nhm chnh.
- Nhm th nht phn tch mt thnh phn hoc kt hp mt s thnh phn ring bit
nu trn nh: ng xu hng, san bng s m, trung bnh ng.
- Nhm th hai s dng cc khi nim thng k v d liu chui thi gian m khng
chia bin ng ca d liu thnh cc thnh phn ring bit nh phng php lun Box-
Jenkins.
6.1. D bo vi m hnh hi quy thng thng
M hnh hi quy
t t , k k t , 2 2 1 t
X X Y + + + +
(6.1)
Ch s t ch thi k th t.
Gi s m hnh ny tho mn cc iu kin ca phng php c lng theo bnh
phng ti thiu. Cc tham s c lng t m hnh tng ng l
k 2 1

, ,

.
c on tt nht cho Y
t+1
khi bit cc X
i,t+1
l:
( )
1 t , k k 1 t , 2 2 1 1 t
X

X

E Y

+ + +
+ + +
(6.2)
lch chun ca c lng l
i vi hi quy hai bin
( )
2
1
n
1 i
2
i
2
1 t
1 t
x
) X X (
n
1
1 Y

se

,
_

+ +

+
+
(6.3)
i vi hi quy bi: cng thc rt phc tp v nm ngoi phm vi gio trnh ny.
6.2. Tnh cht tr ca d liu chui thi gian v h qu ca n n m hnh
Khi chng ta s dng m hnh (6.1) chng ta gi nh rng cc bin c lp tc ng tc
th ln bin ph thuc v bin ph thuc ch chu tc ng ca bin c lp. i vi cc
bin s kinh t cc gi nh ny thng khng ng. Tc ng ca bin c lp c thnh
phn tc ng tc thi v c thnh phn tc ng tr. Mt khc, i khi bn thn bin ph
thuc cng c qun tnh hay sc ca n. C ba nguyn nhn gy ra tr hay sc
trong kinh t l
(1) Nguyn nhn tm l
Khi thu nhp ca mt ngi gim tiu dng ca ngi c th khng gim ngay lp
tc do thi quen duy tr mc sng cao. Nu tnh hnh thu nhp vn khng phc hi trong
thi gian di, anh ta phi hc cch chi tiu tit kim hn.
(2) Nguyn nhn k thut
Gi s cu ni a i vi mt mt hng tng ln lm gi mt mt hng ny tng. Sn
lng ni a c th khng tng tc thi v tng sn lng cn phi c thi gian xy
dng nh my, u t my mc thit b v o to cng nhn. Doanh nghip cn phi phn
tch xem s tng cu ni a ny c mang tnh cht lu di hay ch l tc thi.
(3) Nguyn nhn nh ch
Cc rng buc php l l nguyn nhn ca mt s hin tng tc ng tr. V d nu
hp ng ti tr Gii bng chuyn nghip Vit Nam c k kt c hiu lc 2 nm
th Lin on Bng Vit Nam khng th hu hp ng k li vi mt i tc khc c
s tin ti tr cao hn. Gi s s tin ti tr ph thuc tm nh hng ca gii u ln cng
chng th hin qua s lt khn gi n sn v s lt khn gi theo di qua truyn hnh.
S khn gi n sn tng ln ch c th tc ng lm tng s tin ti tr ca ln k kt 2
nm sau.
Khi c tnh cht tr nu trn ca d liu chui thi gian, m hnh (6.1) c sai s hi
quy khng tha mn cc iu kin ca m hnh hi quy tuyn tnh c in.(Ti sao?). T
d bo theo (6.2) s khng chnh xc.
6.3. M hnh t hi quy
63
t 1 t 2 t 1 0 t
Y X Y + + +

(6.4)
M hnh (6.4) cn c gi l m hnh ng v n th hin mi lin h gia gi tr ca
bin ph thuc vi gi tr qu kh ca n.
6.4. M hnh c tr phn phi
t k t k 1 t 1 t 0 t
X X X Y + + + + +

(6.5)
Trong m hnh ny k c gi l tr. Chng ta phi xc nh tr k.
6.4.1. Cch tip cn ca Alt v Tinberger
21
:
V X
t
l xc nh v khng tng quan vi
t
nn X
t-1
,X
t-2
, , X
t-k
u xc nh v
khng tng quan vi
t
. Do chng ta c th p dng OLS c lng tham s cho
m hnh (6.5). Chng ta s xc nh k bng cch tng dn tr nh sau:
(1) Hi quy Y
t
theo X
t
(2) Hi quy Y
t
theo X
t
v X
t-1

(k) Hi quy Y
t
theo X
t
, X
t-1
, , X
t-k
(k+1) Hi quy Y
t
theo X
t
, X
t-1
, , X
t-(k+1)
Qu trnh ny dng tr (k+1) hoc (k+2) khi chng ta nhn thy cc h s ng vi
cc bin tr khng c ngha thng k hoc i du.
Qu trnh trn vng phi bn nhc im nh sau:
(1) Khng c tin liu trc l tr s l bao nhiu.
(2) M hnh c thm mt tr th mt i mt bc t do, nu d liu chui thi
gian khng di th ngha thng k ca m hnh ngy cng km.
(3) Cc bin gii thch thc cht l gi tr ca mt bin X theo thi gian, iu ny
gy ra s tng quan gia cc bin gii thch trong m hnh, tc l c hin tng a cng
tuyn. c lng cc tham s ca m hnh trong trng hp c a cng tuyn s cho kt
qu km chnh xc.
(4) Vic xc nh tr k ca m hnh (6.5) theo cch thc trn l mt dng ca
o m d liu.
6.4.2. M hnh Koyck
Gi nh:
(1) Tt c cc h s ng vi bin tr c cng du
(2) Cc h s tun theo cp s nhn gim dn:
k
0 k

vi 0 < < 1.
Chng ta vit li m hnh (6.5) nh sau
t 2 t
2
0 1 t 0 t 0 t
X X X Y + + + + +

(6.6)
Tng t
1 t 3 t
2
0 2 t 0 1 t 0 1 t
X X X Y

+ + + + + (6.7)
Nhn (6.7) vi
1 t 3 t
3
0 2 t
2
0 1 t 0 1 t
X X X Y

+ + + + +
(6.8)
Ly (6.6) tr (6.7)
( ) ) ( X 1 Y Y
1 t t t 0 1 t t
+ +
(6.9)
Kt qu cui cng
( )
t 1 t t 0 t
Y X 1 Y + + +

(6.10)
Vi 1 t t t

, t

cn c gi l trung bnh trt ca

t
v
t-1
.
M hnh (6.10) c gi l m hnh chuyn dng Koyck. Chng ta chuyn m hnh
tr phn phi thnh m hnh t hi quy.
6.4.3. M hnh k vng thch nghi
21
F.F.Alt, Distribution Lags, Economitrica, quyn 10,1942, trang 113-128. (Theo D.N.Gujarati, Basis Econometrics 3
rd
Edition, 1995, trang 591).
64
Gi s m hnh xc nh cu tin c dng nh sau
22

t
*
t 1 0 t
X Y + + (6.11)
Y : Cu tin
X*: Gi tr k vng
23
ca li sut danh ngha
: Sai s hi quy
Li sut k vng ca nm nay(nm t) khng th quan st c mt cch trc tip m
c xc nh nh sau
) X X ( X X
*
1 t t
*
1 t
*
t
vi 0 < 1.
Biu thc ny hm k vng ca ngi ta thay i(thch hp) theo li sut thc t, hay
ni cch khc ngi ta hc hi t sai lm.

*
1 t t
*
t
X ) 1 ( X X

+ (6.12)
Thay (6.12) vo (6.11)
[ ]
t
*
1 t t 1 0 t
X ) 1 ( X Y + + +

Qua mt s php bin i tng t nh m hnh Koyck ta c

t 1 t t 1 0 t
Y ) 1 ( X Y + + +

(6.13)
Vi
1 t t t
) 1 (

6.4.4. M hnh hiu chnh tng phn
M hnh hiu chnh tng phn ph hp vi phn tch hi quy c tr do l do k thut
v nh ch.
Gi s mc u t t bn ti u ng vi mt mc sn lng X cho trc l Y*. M
hnh hi quy n gin Y* theo X nh sau:
t t 1 0
*
t
X Y + +
(6.14)
Thc t chng ta khng trc tip quan st c
*
t
Y
.
Gi nh
*
t
Y
c xc nh nh sau:
) Y Y ( Y Y
1 t
*
t 1 t t

vi 0 < 1. (6.15)
Trong
I Y Y
1 t t

: Thay i lng t bn thc t, cng chnh l u t trong k

1 t
*
t
Y Y

: Thay i lng t bn mong mun

T (6.14) v(6.15) sau mt vi php bin i chng ta nhn c
t 1 t t 1 0 t
Y ) 1 ( X Y + + +

(6.17)
Mt ln na chng ta li nhn c m hnh t hi quy.
6.5. c lng m hnh t hi quy
Trong c ba m hnh va xt, chng ta u nhn c m hnh cui cng c dng t hi
quy.
Koyck:
( ) ) ( Y X 1 Y
1 t t 1 t t 0 t
+ + +
(6.18)
K vng thch nghi
[ ]
1 t t 1 t t 1 0 t
) 1 ( Y ) 1 ( X Y

+ + +
(6.19)
Hiu chnh tng phn
t 1 t t 1 0 t
Y ) 1 ( X Y + + +

(6.20)
Dng chung ca ba m hnh ny l
t 1 t 2 t 1 0 t
Y X Y + + +

(6.21)
C hai vn cn lu tm i vi m hnh (6.21):
22
P.Cagan, The Monetary Dynamics of Hyperinflations, in M.Friedman (ed.), Studies in the Quantity Theory of
Money, University of Chicago Press, 1956.
23
Gi tr k vng y mang ngha gi tr c mong i, khng mang ngha gi tr trung bnh thc.
65
(1) Th nht, c s hin din ca bin ngu nhin trong cc bin c lp, l Y
t-1
.
iu ny vi phm iu kin ca m hnh hi quy tuyn tnh c in.
(2) Th hai, c kh nng xy ra hin tng tng quan chui.
trnh cc h qu bt li do Y
t-1
gy ra ngi ta s dng mt bin thay th cho Y
t-1
vi
c tnh bin ny tng quan mnh vi Y
t-1
nhng khng tng quan vi X
t
. Bin c lp
c c tnh va k c gi l bin cng c
24
.
6.6. Pht hin t tng quan trong m hnh t hi quy
Tr thng k h
( ) [ ]
2
var n 1
n
h


(6.22)
Trong : n = c mu; ( )
2
var = phng sai h s c lng ca Y
t-1
.

l h s t tng quan mu bc nht c xc nh t cng thc

n
t
2
t
n
1 t
1 t t

(6.23)
h c phn phi chun ho tim cn. T phn phi chun ho chng ta c
P(-1,96 < h < 1,96) = 0,95
Quy tc quyt nh:
Nu h < -1,96, chng ta bc b H
0
cho rng m hnh khng c t tng quan bc 1
nghch.
Nu h > 1,96, chng ta bc b H
0
cho rng m hnh khng c t tng quan bc 1
thun.
Nu -1,96 < h < 1,96: chng ta khng th bc b H
0
cho rng khng c t tng
quan bc nht.
CHNG 7
CC M HNH D BO MANG TNH THNG K (Tham kho)
7.1. Cc thnh phn ca d liu chui thi gian
Cc thnh phn chnh ca d liu chui thi gian l
24
N.Levitan c xut dng Xt-1 lm bin cng c cho Yt-1 v d xut mt h phng trnh chun c bit cho c lng
h s, nhng vn a cng tuyn ca m hnh cng khng c khc phc trit . (Theo Gujarati, Basic Econometrics,
3
rd
Edition,Mc Graw-Hill Inc,1995, trang 604-605).
66
a. Xu hng
b. Chu k
c. Thi v
d. Ngu nhin
7.1.1. Xu hng di hn
Xu hng di hn th hin s tng trng hoc gim st ca mt bin s theo thi gian
vi khong thi gian di. Mt s bin s kinh t c xu hng tng gim di hn nh
e. Tc tng dn s ca Vit Nam c xu hng gim.
f. T trng nng nghip trong GDP ca Vit Nam c xu hng gim.
g. Mc gi c xu hng tng.
7.1.2. Chu k
Cc s liu kinh t v m thng c s tng gim c quy lut theo chu k kinh t. Sau
mt thi k suy thoi kinh t s l thi k phc hi v bng n kinh t, k tip tng trng
kinh t s chng li v khi u cho mt cuc suy thoi mi. Tu theo nn kinh t m chu
k kinh t c thi hn l 5 nm, 7 nm hay 10 nm.
7.1.3. Thi v
Bin ng thi v ca bin s kinh t l s thay i lp i lp li t nm ny sang nm
khc theo ma v. Bin ng thi v xy ra do kh hu, ngy l, phong tc tp qunBin
ng thi v c tnh ngn hn vi chu k lp li thng l 1 nm.
7.1.4. Ngu nhin
Nhng dao ng khng thuc ba loi trn c xp vo dao ng ngu nhin. Cc
nguyn nhn gy ra bin ng ngu nhin c th l thi tit bt thng, chin tranh, khng
hong nng lng, bin ng chnh tr
0
500
1000
1500
2000
2500
3000
3500
Jan-90 Apr-90 Jul-90 Oct-90 Jan-91 Apr-91 Jul-91 Oct-91 Jan-92 Apr-92 Jul-92 Oct-92
G
i

b
p

c
i
,

n
g
/
k
g
Hnh 7.1. Xu hng v thi v
25
25
Ngun: Problem set 7, Analytic method for Policy Making, Chng trnh Ging dy Kinh t Fulbright Vit Nam 2000.
67
Tnh thi
v
Xu hng di
hn
-3
-2
-1
0
1
2
3
4
5
6
7
1961 1966 1971 1976 1981 1986 1991 1996
%
Hnh 7.2. Chu k v ngu nhin-Tng trng kinh t ca Hoa K giai on 1961-1999.
Ngun : World Development Indicator CD-Rom 2000, World Bank.
7.2. D bo theo ng xu hng di hn
7.2.1. M hnh xu hng tuyn tnh
Chng ta s dng m hnh xu hng tuyn tnh nu tin rng bin Y tng mt lng
khng i trong mt n v thi gian.
t Y

2 1 t
+
(7.1)
hoc dng
k Y Y

2 n k n
+
+
(7.2)
ng vi d liu hnh 7.2, phng trnh ng xu hng l
g
t
= 3,6544- 0,029t
Vi g
t
= tc tng trng GDP ca Hoa K, tnh bng %.
t = nm ang xt- 1991.
D bo tc tng trng kinh t cho nm 2000 l
g
2000
= 3,6544 0,029*(2000 1961) = 2,52 %
7.2.2. M hnh xu hng dng m
Chng ta s dng hm m khi cho rng c t l tng trng c nh trong mt n v
thi gian.
t
t
e Y

(7.3)
chuyn dng
t ln ) ln( ) Y

ln(
t
+ (7.4)
M hnh xu hng dng m dng d bo dn s, sn lng, nhu cu nng lng
Hnh 7.3 cho thy dn s ca Vit Nam c dng hm m vi phng trnh c lng nh
sau:
Y
t
= 33,933e
0,0214n
T dng hm (7.3), kt qu (7.4) cho thy tc tng dn s ca Vit Nam trong thi
k 1960-1999 khong 2,14 %.
68
Chu k 10 nm
Bt thng
(Ngu nhin)
Dn s Vit Nam
Y
t
= 33,933e
0,0214n
30
35
40
45
50
55
60
65
70
75
80
1960 1965 1970 1975 1980 1985 1990 1995
Thi gian
T
r
i
u

n
g

i
Hnh 7.3. Dn s Vit Nam giai on 1960-1999
Ngun : World Development Indicator CD-Rom 2000, World Bank.
7.2.3. M hnh xu hng dng bc hai
2
3 2 1 t
t t Y

+ + (7.5)
Du ca cc tham s quyt nh dng ng xu hng nh sau:
- Nu
2
v
3
u dng: Y tng nhanh dn theo thi gian.
- Nu
2
m v
3
dng: Y gim sau tng
- Nu
2
dng v
3
m: Y tng nhng tc tng gim dn sau t cc tr v
bt u gim.
7.3. Mt s k thut d bo n gin
7.3.1. Trung bnh trt (Moving Average)
Gi tr d bo bng trung bnh ca m gi tr trc
) Y Y Y (
m
1
Y

m t 2 t 1 t t
+ + + (7.6)
Mt lu l khi lm trn chui d liu bng k thut trung bnh trt nh trn m hnh
gim (m-1) bc t do. Chng ta tm gc li vic tho lun v s s hng m ca m hnh
trung bnh trt (7.6).
7.3.2. San bng s m (Exponential Smoothing Method)
26
tng ca m hnh san bng s m tng t m hnh k vng thch nghi m chng ta
xt chng 6. Gi tr d bo mi khng ch ph thuc vo gi tr giai on trc m
cn ph thuc gi tr d bo ca giai on trc.
1 t 1 t t
Y

) 1 ( Y Y

+
(7.7.a)
hoc
) Y

Y ( Y

1 t 1 t 1 t t
+ (7.7.b)
- cng gn 1 th d bo mi cng gn vi gi tr gn nht, nu cng gn 0 th d
bo mi cng gn vi d bo gn nht. Trong thc t ngi ta s th vi cc gi tr khc
26
Phng php d bo ny cn c gi l phng php Holt.
69
nhau, gi tr c chn l gi tr lm cho sai s d bo bnh phng trung bnh(MSE) ca
m hnh nh nht.
- C th dng trung bnh ca 5 n 6 s u tin lm gi tr d bo u tin
27
.
7.3.3. T hi quy (Autoregression)
Gi tr d bo c xc nh t m hnh t hi quy vi m tr.
m t n 2 t 2 1 t 1 0 t
Y Y Y Y

+ + + + (7.8)
Trong m hnh (7.7) c th c s
0
hoc khng c
0
. Trng hp c
0
ng vi d liu
c xu hng di hn tng hoc gim, trng hp khng c
0
ng vi d liu c tnh
dng
28
.
7.4. Tiu chun nh gi m hnh d bo
Gi
t
Y

l gi tr d bo cho Y
t
. Sai s ca d bo l
t
= Y
t
-
t
Y

.
Hai tiu chun thng c s dng nh gi v so snh cc m hnh d bo l
Sai s d bo tuyt i trung bnh(Mean absolute deviation-MAD)
n
Y

Y
MAD
n
1 t
t t

(7.9)
Sai s d bo bnh phng trung bnh(Mean squared error-MSE)
( )
n
Y

Y
MSE
n
1 t
2
t t

(7.10)
M hnh tt l m hnh c MAD v MSE nh.
7.5. Mt v d bng s
S dng s liu gi bp ci n thng 12/1992(hnh7.1), chng ta lp m hnh d bo
gi bp ci v d bo cho cc thng ca nm 1993.
M hnh 1: Lin
Xu hng tuyn tnh:
k Y

1 0 t
+
vi k l s th t ca thi k t.
M hnh 2: MA
Trung bnh trt:
2
Y Y
Y

2 t 1 t
t

+

M hnh 3: Holt
Phung php Holt: ) Y

Y ( Y

1 t 1 t 1 t t
+ vi = 0,6.
M hnh 4: AR
T hi quy:
2 t 2 1 t 1 0 t
Y Y Y

+ +
Sau khi c lng cc h s ca m hnh 1 v 4 da trn s liu n ht 1992(trong
mu), chng ta c lng cho c giai on trc 1993(trong mu) v 1993(ngoi mu).
Chng ta v th cc dy s liu d bo v s liu gc nh hnh 7.5.
Kt qu tnh ton sai s ca cc m hnh nh sau:
Trong mu:
M hnh Lin MA Holt AR
MSE trong mu, 2.733 157 2.216 59.629
27
Theo Loan L, H thng d bo iu khin k hoch ra quyt nh, NXB
Thng K-2001, trang 307-308.
28
Chng ta s tho lun v tnh dng khi nghin cu m hnh ARIMA.
70
ng^2
Ngoi mu
M hnh Lin MA Holt AR
MSE d bo, ng^2
429.04
3
245.41
7
216.13
4 260.392
Trong trng hp c th ca v d ny m trung bnh trt(MA) cho MSE trong mu
nh nht nhng phng php Holt li cho MSE nh nht ngoi mu.
0
500
1000
1500
2000
2500
3000
3500
Jan-90 Jul-90 Jan-91 Jul-91 Jan-92 Jul-92 Jan-93
G
i

b
p

c
i
,

n
g
/
k
g
D liu gc
Xu hng tuyn tnh
Trung bnh trt
Phng php Holt
T hi quy
Trong mu
Ngoi mu
Hnh 7.4. Cc phng php d bo n gin
7.6. Gii thiu m hnh ARIMA
7.6.1. Tnh dng ca d liu
Qu trnh ngu nhin(Stochastic process)
Bt c d liu chui thi gian no cng c to ra bng mt qu trnh ngu nhin. Mt
dy s liu thc t c th nh gi bp ci tng thng hnh 7.1 l kt qu ca mt qu
trnh ngu nhin. i vi d liu chui thi gian, chng ta c nhng khi nim v tng th
v mu nh sau:
- Qu trnh ngu nhin l mt tng th.
- S liu thc t sinh ra t qu trnh ngu nhin l mu.
Tnh dng(Stationary)
Mt qu trnh ngu nhin c gi l c tnh dng khi n c cc tnh cht sau:
- K vng khng i theo thi gian, E(Y
t
) = .
- Phng sai khng i theo thi gian, Var(Y
t
) = E(Y
t
-) =
2
.
- ng phng sai ch ph thuc khong cch ca tr m khng ph thuc thi
im tnh ng phng sai ,
k
= E[(Y
t
-)(Y
t-k
-)] khng ph thuc t.
Lu : Chng ta c th bin d liu chui thi gian t khng c tnh
dng thnh c tnh dng bng cch ly sai phn ca n.
w
t
= Y
t
-Y
t-1
: Sai phn bc nht
71
1 t t
2
t
w w w

: Sai phn bc hai
7.6.2. Hm t tng quan v hm t tng quan mu
Hm t tng quan(ACF) tr k c k hiu l
k

c nh ngha nh sau:
( ) ( ) [ ]
( ) [ ]
2
t
k t t
0
k
k
Y E
Y Y E

(7.11)
Tnh cht ca ACF
-
k

khng c th nguyn.
- Gi tr ca
k

nm gia -1 v 1.
Trong thc t chng ta ch c th c s liu thc t l kt qu ca qu trnh ngu nhin,
do chng ch c th tnh ton c hm t tng quan mu(SAC), k hiu l
k
r
.
0
k
k

vi
n
) Y Y )( Y Y (

k t t
k

v
n
) Y Y (

2
t
0

lch chun h s t tng quan mu
s(r
j
) =
n
r 2 1
1 j
1 i
2
i

+
(7.12)
Tr thng k t
t
k
=
) r ( s
r
k
k
(7.13)
Vi c mu ln th t
k
~ Z nn vi t > 1,96 th r
k
khc khng c ngha thng k, khi
ngi ta gi r
k
l 1 nh.
Cc phn mm kinh t lng s tnh ton cho chng ta kt qu ca SAC v cc gi tr
n hn(hoc tr thng k t) ca n ng vi mc ngha = 5%.
Thng k Ljung-Box
2
m
m
1 k
2
k
~
k n
r
) 2 n ( n LB

,
_

(7.14)
n l c mu
m l chiu di ca tr
H
0
: Tt c cc
k
r
u bng 0.
H
1
: Khng phi tt c cc
k
r
u bng 0.
Nu LB >
2
1 , m

th ta bc b H
0
.
Mt s phn mm kinh t lng c tnh ton tr thng k LB.
7.6.3. Hm t tng quan ring phn (PACF)
H s t tng quan ring phn vi tr k o lng tng quan ca Y
t-k
vi Y
t
sau khi
loi tr tc ng tng quan ca tt cc cc tr trung gian. Cng thc tnh PACF nh
sau

1 k
1 j
j j , j k
1 k
1 j
j k j , 1 k k
kk
r r 1
r r r
r
(7.15)
72
lch chun ca r
kk
29
n
1
) r ( s
kk

(7.16)
Tr thng k t
) r ( s
r
t
kk
kk
kk

(7.17)
Vi c mu ln th t
kk
~ Z nn vi t
kk
> 1,96 th r
kk
khc khng c ngha thng k, khi
ngi ta gi r
kk
l 1 nh.
Cc chng trnh kinh t lng c th tnh ton cho chng ta cc gi tr PACF, cc gi
tr ti hn hay tr thng k t.
7.6.4. M hnh AR, MA v ARMA
Xt qu trnh ngu nhin c tnh dng vi d liu chui thi gian Y
t
c E(Y
t
) = v sai
s ngu nhin
t
c trung bnh bng 0 v phng sai
2
(nhiu trng).
M hnh t hi quy (AR-Autoregressive Model)
M hnh t hi quy bc p c k hiu l AR(p) c dng
t p t p 2 t 2 1 t 1 t
) Y ( ) Y ( ) Y ( ) Y ( + + + +

t p t p 2 t 2 1 t 1 p 2 1 t
Y Y Y ) 1 ( Y + + + + +
(7.17)
Nhn dng m hnh AR(p): PACF c nh n tr p v SAC suy gim nhanh ngay
sau tr th nht th m hnh d bo c dng t hi quy bc p.
M hnh trung bnh trt(MA-Moving average Model)
M hnh trung bnh trt bc q c k hiu l MA(q) c dng
q t q 1 t 1 t t
Y

+ + + +
(7.18)
vi l hng s,
t
l nhiu trng.
Nhn dng m hnh MA(q): SAC c nh n tr q v SPAC suy gim nhanh ngay
sau tr th nht.
M hnh kt hp t hi quy kt hp trung bnh trt(ARMA)
M hnh c t hi quy bc p v trung bnh trt bc q c k hiu l ARMA(p,q) c
dng
q t q 1 t 1 t p t p 2 t 2 1 t 1 t
Y Y Y Y

+ + + + + + + +
(7.19)
Nhn dng m hnh ARMA(p,q): c SAC v SPAC u c gi tr gim dn theo hm
m. Nhn dng ng p v q i hi phi c nhiu kinh nghim. Trong thc hnh ngi ta
chn mt vi m hnh ARMA v la chn m hnh tt nht.
7.6.5. M hnh ARIMA v SARIMA
ARIMA
a s d liu kinh t theo chui thi gian khng c tnh dng(stationary) m c tnh kt
hp(integrated). nhn c d liu c tnh dng, chng ta phi s dng sai phn ca d
liu.
Cc bc sai phn
Sai phn bc 0 l I(0): chnh l d liu gc Y
t
.
Sai phn bc 1 l I(1): w
t
= Y
t
Y
t-1
.
Sai phn bc 2 l I(2): w
2
t
= w
t
w
t-1

Sai phn bc d k hiu I(d).

M hnh ARMA(p,q) p dng cho I(d) c gi l m hnh ARIMA(p,d,q).
SARIMA
29
Cng thc tnh lch chun ca rkk ph thuc vo bc ca sai phn. Cng thc trnh by trn l cng thc gn ng
vi s quan st ln.
73
Trong m hnh ARIMA nu chng ta tnh ton sai phn bc nht vi tr ln hn 1
kh tnh ma v nh sau w
t
= Y
t
Y
t-s
, vi s l s k gia cc ma th m hnh c gi l
SARIMA hay ARIMA c tnh ma v.
7.6.6. Phng php lun Box-Jenkins
Phng php lun Box-Jenkins cho m hnh ARIMA c bn bc nh sau:
Bc 1: Xc lp m hnh ARIMA(p,d,q)
- Dng cc th xc nh bc sai phn cn thit th c tnh dng. Gi s
d liu dng I(d). Dng th SAC v SPAC ca I(d) xc nh p v q.
- Trin khai dng ca m hnh.
Bc 2: Tnh ton cc tham s ca m hnh.
Trong mt s dng ARIMA n gin chng ta c th dng phng php bnh phng
ti thiu. Mt s dng ARIMA phc tp i hi phi s dng cc c lng phi tuyn.
Chng ta khng phi lo lng v vic c lng tham s v cc phn mm kinh t lng s
tnh gip chng ta. Quay li bc 1 xy dng m hnh vi cp (p,q) khc dng nh cng
ph hp. Gi s chng ta c lng c m m hnh ARIMA.
Bc 3: Kim tra chn on
So snh cc m hnh ARIMA c lng vi cc m hnh truyn thng(tuyn tnh,
ng xu hng, san bng s m,) v gia cc m hnh ARIMA vi nhau chn m
hnh tt nht.
Bc 4: D bo
Trong a s trng hp m hnh ARIMA cho kt qu d bo ngn hn ng tin cy
nht trong cc phng php d bo. Tuy nhin gii hn ca ca ARIMA l:
- S quan st cn cho d bo phi ln.
- Ch dng d bo ngn hn
- Khng th a cc yu t thay i c nh hng n bin s cn d bo ca thi
k cn d bo vo m hnh.
Xy dng m hnh ARIMA theo phng php lun Box-Jenkins c tnh cht ngh thut
hn l khoa hc, hn na k thut v khi lng tnh ton kh ln nn i hi phi c phn
mm kinh t lng chuyn dng.
MT S GI TR Z THNG C S DNG
0
0,05
0,1
0,15
0,2
0,25
0,3
0,35
0,4
0,45
-4 -3 -2 -1 0 1 2 3 4
Z
f(Z)

Z
1-
74
0
0,05
0,1
0,15
0,2
0,25
0,3
0,35
0,4
0,45
-4 -3 -2 -1 0 1 2 3 4
Z
f(Z)
/2 /2
Z
/2
Z
1-/2
Mc
ngha
Kim nh
1 ui
Kim nh
2 ui
Z
1
Z
1/2
1% 2,326 2,576
5% 1,645 1,960
10% 1,282 1,645
20% 0,842 1,282
Ngun: hm Normsinv ca Excel.
MT S GI TR t THNG C S DNG
t
f(t)
/2
t
1-/2
/2
t
/2
75
Bc t
do
Mc ngha
1% 5% 10% 20%
1
63,656 12,706 6,314 3,078
2 9,925 4,303 2,920 1,886
3 5,841 3,182 2,353 1,638
4 4,604 2,776 2,132 1,533
5 4,032 2,571 2,015 1,476
6 3,707 2,447 1,943 1,440
7 3,499 2,365 1,895 1,415
8 3,355 2,306 1,860 1,397
9 3,250 2,262 1,833 1,383
10 3,169 2,228 1,812 1,372
11 3,106 2,201 1,796 1,363
12 3,055 2,179 1,782 1,356
13 3,012 2,160 1,771 1,350
14 2,977 2,145 1,761 1,345
15 2,947 2,131 1,753 1,341
16 2,921 2,120 1,746 1,337
17 2,898 2,110 1,740 1,333
18 2,878 2,101 1,734 1,330
19 2,861 2,093 1,729 1,328
20 2,845 2,086 1,725 1,325
21 2,831 2,080 1,721 1,323
22 2,819 2,074 1,717 1,321
23 2,807 2,069 1,714 1,319
24 2,797 2,064 1,711 1,318
25 2,787 2,060 1,708 1,316
26 2,779 2,056 1,706 1,315
27 2,771 2,052 1,703 1,314
28 2,763 2,048 1,701 1,313
29 2,756 2,045 1,699 1,311
30 2,750 2,042 1,697 1,310
>30 2,576 1,960 1,645 1,282
Ngun: hm Tinv ca Excel.
MT S GI TR F TI HN TRN THNG C S DNG
Mc ngha = 5%
76
df1
df
2
1 2 3 4 5 6 7 8 9 10
10
4,9
6
4,1
0
3,7
1
3,4
8
3,3
3
3,2
2
3,1
4
3,0
7
3,0
2
2,9
8
11
4,8
4
3,9
8
3,5
9
3,3
6
3,2
0
3,0
9
3,0
1
2,9
5
2,9
0
2,8
5
12
4,7
5
3,8
9
3,4
9
3,2
6
3,1
1
3,0
0
2,9
1
2,8
5
2,8
0
2,7
5
13
4,6
7
3,8
1
3,4
1
3,1
8
3,0
3
2,9
2
2,8
3
2,7
7
2,7
1
2,6
7
14
4,6
0
3,7
4
3,3
4
3,1
1
2,9
6
2,8
5
2,7
6
2,7
0
2,6
5
2,6
0
15
4,5
4
3,6
8
3,2
9
3,0
6
2,9
0
2,7
9
2,7
1
2,6
4
2,5
9
2,5
4
16
4,4
9
3,6
3
3,2
4
3,0
1
2,8
5
2,7
4
2,6
6
2,5
9
2,5
4
2,4
9
17
4,4
5
3,5
9
3,2
0
2,9
6
2,8
1
2,7
0
2,6
1
2,5
5
2,4
9
2,4
5
18
4,4
1
3,5
5
3,1
6
2,9
3
2,7
7
2,6
6
2,5
8
2,5
1
2,4
6
2,4
1
19
4,3
8
3,5
2
3,1
3
2,9
0
2,7
4
2,6
3
2,5
4
2,4
8
2,4
2
2,3
8
20
4,3
5
3,4
9
3,1
0
2,8
7
2,7
1
2,6
0
2,5
1
2,4
5
2,3
9
2,3
5
21
4,3
2
3,4
7
3,0
7
2,8
4
2,6
8
2,5
7
2,4
9
2,4
2
2,3
7
2,3
2
22
4,3
0
3,4
4
3,0
5
2,8
2
2,6
6
2,5
5
2,4
6
2,4
0
2,3
4
2,3
0
23
4,2
8
3,4
2
3,0
3
2,8
0
2,6
4
2,5
3
2,4
4
2,3
7
2,3
2
2,2
7
24
4,2
6
3,4
0
3,0
1
2,7
8
2,6
2
2,5
1
2,4
2
2,3
6
2,3
0
2,2
5
77
0 F
1/2
25
4,2
4
3,3
9
2,9
9
2,7
6
2,6
0
2,4
9
2,4
0
2,3
4
2,2
8
2,2
4
26
4,2
3
3,3
7
2,9
8
2,7
4
2,5
9
2,4
7
2,3
9
2,3
2
2,2
7
2,2
2
27
4,2
1
3,3
5
2,9
6
2,7
3
2,5
7
2,4
6
2,3
7
2,3
1
2,2
5
2,2
0
28
4,2
0
3,3
4
2,9
5
2,7
1
2,5
6
2,4
5
2,3
6
2,2
9
2,2
4
2,1
9
29
4,1
8
3,3
3
2,9
3
2,7
0
2,5
5
2,4
3
2,3
5
2,2
8
2,2
2
2,1
8
30
4,1
7
3,3
2
2,9
2
2,6
9
2,5
3
2,4
2
2,3
3
2,2
7
2,2
1
2,1
6
31
4,1
6
3,3
0
2,9
1
2,6
8
2,5
2
2,4
1
2,3
2
2,2
5
2,2
0
2,1
5
32
4,1
5
3,2
9
2,9
0
2,6
7
2,5
1
2,4
0
2,3
1
2,2
4
2,1
9
2,1
4
33
4,1
4
3,2
8
2,8
9
2,6
6
2,5
0
2,3
9
2,3
0
2,2
3
2,1
8
2,1
3
34
4,1
3
3,2
8
2,8
8
2,6
5
2,4
9
2,3
8
2,2
9
2,2
3
2,1
7
2,1
2
35
4,1
2
3,2
7
2,8
7
2,6
4
2,4
9
2,3
7
2,2
9
2,2
2
2,1
6
2,1
1
36
4,1
1
3,2
6
2,8
7
2,6
3
2,4
8
2,3
6
2,2
8
2,2
1
2,1
5
2,1
1
37
4,1
1
3,2
5
2,8
6
2,6
3
2,4
7
2,3
6
2,2
7
2,2
0
2,1
4
2,1
0
38
4,1
0
3,2
4
2,8
5
2,6
2
2,4
6
2,3
5
2,2
6
2,1
9
2,1
4
2,0
9
39
4,0
9
3,2
4
2,8
5
2,6
1
2,4
6
2,3
4
2,2
6
2,1
9
2,1
3
2,0
8
40
4,0
8
3,2
3
2,8
4
2,6
1
2,4
5
2,3
4
2,2
5
2,1
8
2,1
2
2,0
8
Ngun: hm Finv ca Excel.
MT S GI TR
2
TI HN TRN THNG C S DNG
Mc ngha = 5%
78

df 1% 5% 10% 20%
2 9,21 5,99 4,61 3,22
3 11,34 7,81 6,25 4,64
4 13,28 9,49 7,78 5,99
5 15,09 11,07 9,24 7,29
6 16,81 12,59 10,64 8,56
7 18,48 14,07 12,02 9,80
8 20,09 15,51 13,36 11,03
9 21,67 16,92 14,68 12,24
10 23,21 18,31 15,99 13,44
11 24,73 19,68 17,28 14,63
12 26,22 21,03 18,55 15,81
13 27,69 22,36 19,81 16,98
14 29,14 23,68 21,06 18,15
15 30,58 25,00 22,31 19,31
16 32,00 26,30 23,54 20,47
17 33,41 27,59 24,77 21,61
18 34,81 28,87 25,99 22,76
19 36,19 30,14 27,20 23,90
20 37,57 31,41 28,41 25,04
21 38,93 32,67 29,62 26,17
22 40,29 33,92 30,81 27,30
23 41,64 35,17 32,01 28,43
24 42,98 36,42 33,20 29,55
25 44,31 37,65 34,38 30,68
26 45,64 38,89 35,56 31,79
27 46,96 40,11 36,74 32,91
28 48,28 41,34 37,92 34,03
29 49,59 42,56 39,09 35,14
30 50,89 43,77 40,26 36,25
31 52,19 44,99 41,42 37,36
32 53,49 46,19 42,58 38,47
33 54,78 47,40 43,75 39,57
34 56,06 48,60 44,90 40,68
35 57,34 49,80 46,06 41,78
36 58,62 51,00 47,21 42,88
37 59,89 52,19 48,36 43,98
38 61,16 53,38 49,51 45,08
39 62,43 54,57 50,66 46,17
40 63,69 55,76 51,81 47,27
Ngun: Hm Chiinv ca Excel
TI LIU THAM KHO
1) PGS.TS. V Thiu, TS. Nguyn Quang Dong, TS. Nguyn Khc Minh
Kinh t lng
NXB Khoa hc v K thut H ni-1996
2) TS. Bi Phc Trung
Gio trnh Kinh t lng
Trng i hc Kinh t TP H Ch Minh-2001
3) TS. Nguyn Thng
Kinh t lng ng dng
NXB i hc Quc gia TP H Ch Minh-2000
79
0
2
1

4) TS. Nguyn Quang Dong

Bi tp Kinh t lng vi s tr gip ca phn mm Eviews
NXB Khoa hc v k thut-2002
5) TS. Nguyn Quang Dong
Kinh t lng nng cao
NXB Khoa hc v k thut-2002
6) Loan L
H thng d bo iu khin k hoch ra quyt nh
NXB Thng K-2001
7) L Thanh Phong
Hng dn s dng SPSS for Windows V.10
i hc Cn Th-2001
8) PGS. ng Hn
Xc sut thng k
NXB Thng k-1996
9) PGS. ng Hn
Bi tp xc sut thng k
NXB Thng k-1996
10) Nguyn nh Tr, T Vn Dnh v Nguyn H Qunh
Ton hc cao cp
NXB Gio Dc-1998
11) Cng Khanh
Gii tch mt bin
T sch i hc i cng TP H Ch Minh-1997
12) Cng Khanh
Gii tch nhiu bin
T sch i hc i cng TP H Ch Minh-1997
13) Bi Vn Ma
Logic hc
i hc Kinh t TP H Ch Minh-1998
14) Cao Ho Thi, L Nguyn Hu, T Tr Nhn, V Vn Huy v Nguyn Qunh Mai
Crystal Ball- D bo v phn tch ri ro cho nhng ngi s dng bng tnh
Chng trnh ging dy kinh t Fulbright Vit nam-1995
15) on Vn X
Kinh t lng
i hc Cn th 1993
16) Ban bin dch First News
EXCEL ton tp
Nh Xut Bn Tr-2001
17) TS.Phan Hiu Hin
Phng php b tr th nghim v x l s liu(Thng k thc nghim)
NXB Nng Nghip 2001.
18) Chris Brooks
Introductory Econometrics for Finance
Cambridge University Press-2002
19) A.Koutsoyiannis
Theory of Econometrics-Second Edition
ELBS with Macmillan-1996
20) Damodar N. Gujarati
Basic Econometrics-Second Edition
80
McGraw-Hill Inc -1988
21) Damodar N. Gujarati
Basic Econometrics-Third Edition
McGraw-Hill Inc -1995
22) Damodar N. Gujarati
Basic Econometrics-Student solutions manual to accompany
McGraw-Hill Inc-1988
23) Ernst R. Berndt
The Practice of Econometrics: Classic and Contemporary
MIT-1991
24) William E. Griffiths, R. Carter Hill, George G.Judge
Learning and Practicing Econometrics
John Wiley & Sons-1993
25) Daniel Westbrook
Applied Econometrics with Eviews
Fulbright Economics Teaching Program-2002
26) Ramu Ramanathan
Introductory Econometrics with Applications
Harcourt College Publishers-2002
27) Robert S.Pindyck and Daniel L.Rubinfeld
Econometric Models and Economics Forcasts-Third Edition
McGraw-Hill Inc-1991
28) Kwangchai A.Gomez and Arturo A.Gomez
Statistical Procedures for Agricultural Research
John Wiley & Sons-1983
29) Chandan Mukherjee, Howard White and Marc Wuyts
Data Analysis in Development Economics
Draft -1995
30) Aswath Damodaran
Corporate Finance-Theory and Practice
John Willey & Sons, Inc - 1997
81