TRNG I HC BCH KHOA H NI

- Khoa Kinh t v qun l -

BI GING MN HC

KINH T LNG

Ngi bin son: TS. Phm Cnh Huy

KINH T LNG
1.

Tn hc phn: Kinh T Lng (Econometrics)

2.

M t vn tt ni dung hc phn:

Mc ch ca Kinh T Lng l gip hc vin nm r v vn dng c cc m hnh

hi qui c lng, d on gi tr trung bnh ca tng th ca cc bin ph thuc
theo gi tr ca bin gii thch nhm xc nh mc quan h gia cc bin, t thy
c bn cht ca cc hin tng v tm c cc bin php khc phc. Mn hc cn
nhm trang b cho cc hc vin cch thc vn dng cc cng c phn tch nh lng
vo vic x l phn tch cc vn kinh t c th.
3.

Nhim v ca hc vin:

D gi ging trn lp v c gio trnh, lm bi tp theo nhm v x l d liu bng t

nht mt phn mm c mn hc trang b, tham d tho lun di s hng dn ca
ging vin. Tham d kim tra ht mn hc theo lch nh trng qui nh.
4.

Ti liu tham kho thm:

Basic Econometrics, tc gi Damodar N. Gujarati, 1995.

Introductory Econometrics, tc gi Craig A. Depken, 2006

Econometric Analysis, tc gi William H . Greene, 2000.

5.

6.

Tiu chun nh gi:

D gi trn lp theo yu cu ca mn hc

Hon thnh v t yu cu cc bi tp v mn hc trc khi thi ht mn

Thi ht mn
Mc tiu ca hc phn:

Nm vng cc m hnh kinh t lng c th lng ho cc quan h kinh t v m v

vi m c trang b trc y. Lin kt c cc m hnh kinh t lng vi cc l
thuyt kinh t v m v vi m bng cc d liu thc t.
xut chnh sch v d bo da trn vic phn tch, kim nh cc mi quan h kinh
t vi m v v m qua kt qu ca m hnh khi ng dng s liu thc t.

7.

Ni dung hc phn:

Chng I: C bn v Kinh t lng v phn tch hi qui

Chng II: M hnh hi qui hai bin, c lng v kim nh

Chng III: M hnh hi qui a bin

Chng IV: a cng tuyn

Chng V: Hi qui vi bin gi

Chng VI: Phng sai sai s thay i

Chng VII: Tng quan chui

CHNG I
C BN V KINH T LNG V PHN TCH HI QUI
1.1.

Vi nt c bn v kinh t lng:

1.1.1. Gii thiu v kinh t lng

Thut ng ting Anh l Econometrics, n c ghp t 2 t Econo c ngha l kinh t
v Metrics c ngha l o lng- Vy l o lng kinh t.
Theo ngha n gin, kinh t lng, lin quan n vic p dng cc phng php
thng k trong kinh t. Khng nh thng k kinh t, trong cc d liu thng k l
chnh yu, kinh t lng c phn bit bng s hp nht ca l thuyt kinh t, cng c
ton hc v cc phng php lun thng k. M rng hn, kinh t lng quan tm n
(1) c lng cc mi quan h kinh t, (2) i chiu l thuyt kinh t vi thc t v
kim nh cc gi thuyt lin quan n hnh vi kinh t, v (3) d bo cc hnh vi ca
cc bin s kinh t.
Ngi ta c nh ngha nh sau:
+

Kinh t lng bao gm vic p dng thng k ton cho cc s liu kinh t
cng c v mt thc nghim cho cc m hnh do cc nh kinh t ton xut
v tm ra li gii bng s.

Kinh t lng c th c nh ngha nh l s phn tch v lng cc vn

kinh t hin thi, da trn vic vn dng ng thi l thuyt v thc t
c thc hin bng cc phng php suy on thch hp.

V d v ng dng ca kinh t lng trong:

c lng cc mi quan h kinh t
Kinh t hc thc nghim cung cp rt nhiu v d nhm c lng cc mi quan h
kinh t nh:
1. c lng cu/cung ca cc sn phm, dch v.
2. c lng nh hng ca chi ph bn hng/qung co n doanh thu v li nhun.
3. Gi ca c phiu vi cc c trng ca cng ty pht hnh c phiu , cng nh vi
tnh hnh chung ca nn kinh t.
4. nh gi tc ng ca cc chnh sch tin t v ti chnh n cc bin nh vic lm
hoc tht nghip, thu nhp, xut khu v nhp khu, li sut, t l lm pht, v thm ht
ngn sch.
Kim nh gi thuyt
Cng nh bt k ngnh khoa hc no, mt u im ca kinh t lng l quan tm n
vic kim nh gi thuyt v cc hnh vi kinh t. V d nh:

1. Mt doanh nghip c th mun xc nh xem chin dch qung co ca mnh c tc

ng lm tng doanh thu hay khng.
2. Cc nh phn tch c th quan tm xem nhu cu co gin hay khng co gin theo gi
v thu nhp.
3. Cng ty mun bit li nhun c tng hay gim theo qui m hot ng khng.
4. Cc nh kinh t hc v m c th mun nh gi hiu qu ca cc chnh sch nh
nc.
D bo
Khi cc bin s c xc nh v chng ta nh gi c tc ng c th ca chng n
ch th nghin cu, chng ta c th mun s dng cc mi quan h c lng d
on cc gi tr trong tng lai.
V d:
1. Cc cng ty d bo doanh thu, li nhun, chi ph sn xut, v lng tn kho cn thit.
2. D on c nhu cu v nng lng nhm phc v vic hoch nh cc chnh sch c
lin quan.
3. D bo cc ch s th trng chng khon v gi ca mt s c phiu.
4. D on thu nhp, chi tiu, lm pht, tht nghip, v thm ht ngn sch v thng
mi.
5. Cc thnh ph d bo nh k mc tng trng ca a phng qua cc mt nh: dn
s; vic lm; s nh , nhu cu v trng hc, v dch v cng cng; v.v
1.1.2. Mc ch ca kinh t lng
Mc ch ca kinh t lng l gii thch s bin thin ca bin v cc mi quan h ca
cc bin, v d:
C 1 bin (ch tiu) thay i (do lch khi trung bnh) m chng ta cn phi gii thch,
v d khi chng ta nghin cu lng bn mt loi sn phm no (Q) bin ng, vy
ci g tc ng n n v cc ch tiu tc ng ln nhau nh th no.
1.1.3. Phng php lun ca kinh t lng
Nu ra cc gi thuyt hay gi thit v cc mi quan h gia cc bin kinh t: chng hn
kinh t v m khng nh rng mc tiu dng ca cc h gia nh ph thuc theo quan
h cng chiu vi thu nhp kh dng ca h.
Thit lp m hnh ton hc m t mi quan h gia cc bin s ny Cc phng trnh
ny m t mi quan h gia cc bin s kinh t vi nhau. Mt phng trnh s bao gm
mt bin ph thuc v mt hoc nhiu bin gii thch. S tc ng ca mt bin gii
thch ln bin ph thuc c o lng bng h s ca n v hnh thc hm ca phng
trnh. Mt phng trnh tiu biu nh sau:

Y(t) = f{x1(t), x2 (t), ... xn(t), u(t)}

Y(t) l bin ph thuc ti thi im t, biu trng cho ch tiu cn nghin cu hay
d bo (v d nh GDP, vic lm, lm pht,).
x1(t), x2 (t), ... xn(t) l cc bin gii thch ti thi im t, biu trng cho cc nhn t
tc ng ln bin ph thuc. S thay i ca mt hay nhiu bin ny s dn ti s
thay i ca bin ph thuc.
u(t) l sai s ngu nhin, biu trng cho cc nhn t khng xc nh c tc ng
ln bin ph thuc ti thi im t.
S hng sai s u(t), chng ta cng c th k hiu l ui (hay cn gi l s hng nhiu
ngu nhin) l thnh phn ngu nhin khng quan st c v l sai bit gia Yi v
phn xc nh 1 + 2Xi .
Sau y mt t hp ca bn nguyn nhn nh hng khc nhau:
1. Bin b st. Gi s m hnh thc s l Yi = 1 + 2Xi + 3Zi+vi trong , Zi l mt
bin gii thch khc v vi l s hng sai s thc s, nhng nu ta s dng m hnh l Yi
= 1 + 2Xi + ui th ui = 3Zi+vi. V th, ui bao hm c nh hng ca bin Z b b st.
2. Phi tuyn tnh. ui c th bao gm nh hng phi tuyn tnh trong mi quan h gia Y
v X. V th, nu m hnh thc s l Yi = 1 + 2Xi + 3X2i+vi, nhng li c gi nh
bng phng trnh Yi = 1 + 2Xi + ui , th nh hng ca X2i s c bao hm trong ui.
3. Sai s o lng. Sai s trong vic o lng X v Y c th c th hin thng qua u.
4. Nhng nh hng khng th d bo. D l mt m hnh kinh t lng tt cng c th
chu nhng nh hng ngu nhin khng th d bo c. Nhng nh hng ny s
lun c th hin qua s hng sai s ui.
Vic xy dng h thng cc phng trnh, vi cc bin gii thch la chn thng c
da trn nn tng ca l thuyt kinh t. V d nh hm tiu dng phi da trn l thuyt
v tiu dng, hm u t phi da trn l thuyt v u t, iu ny dn n h qu
l cc nh m hnh khc nhau c th s xy dng cc phng trnh vi cc bin gii
thch khc nhau, ty thuc vo vic p dng l thuyt kinh t no. iu cng l gii
v s a dng ca cc m hnh kinh t lng hin nay.
V d, Gi s chng ta iu tra tt c cc h trong thnh ph v tnh thu nhp hng
thng ca h (X) v tng chi tiu vo hng ha v dch v (Y). V cc h gia nh c
cng thu nhp s c nhng mc chi tiu khc nhau (c l do khc bit v cc c im
khc nh s thnh vin trong gia nh), mt quan st c th (Y, X) s khng hon ton
chnh xc nm trn ng thng. Do vy, m hnh hi qui tuyn tnh tng ng vi v
d ny s c dng Y = 1 + 2X + u
Trong thc t, chng ta s khng iu tra tt c cc h gia nh m ch chn mt mu
ngu nhin t tng th v s dng cc quan st ny c lng nhng tham s 1 v
2 cng nh thc hin cc kim nh v kim tra tnh ph hp ca gi nh v mi lin
h trung bnh gia chi tiu v thu nhp l tuyn tnh.

Sau khi xy dng xong h thng cc phng trnh, chng ta phi tp hp cc s liu
cho cc bin v tin hnh c lng cc h s ca cc phng trnh. K thut hi quy
(regression) c p dng c lng cc h s ca cc phng trnh. Sau khi c
lng xong ton b cc phng trnh ca m hnh, chng ta s tin hnh m phng
(simulation) tc ng ca cc thay i chnh sch trong tng lai ln cc bin kinh t
m mnh quan tm (v d nh tng trng, vic lm, lm pht,). Trn c s , chng
ta c th nh gi tc ng ca chng hoc/v xut ra cc kch bn d bo.
Cc bc thc hin

L thuyt kinh t hoc ti chnh

Nu ra cc gi thuyt
Thu thp s liu
Thit lp m hnh
c lng cc tham s- s ph hp ca m hnh?

No

Yes

Tm m hnh khc

D bo
Ra quyt nh

1.2.

Phn tch hi qui

1.2.1. Cc v d trong lnh vc kinh t v mi quan h nhn qu

Trong phn tch hi qui, chng ta cn c lng quan h ton hc gia cc bin. Nhng
mi quan h ny cn c gi l mi quan h hm s. Chng c gng m t cc bin
gii thch tc ng ln bin ph thuc nh th no.

Bin gii thch l bin xy ra.

Bin ph thuc l bin kt qu.

V d: Khi chng ta c gng gii thch chi tiu dng ca mi ngi, chng ta c th s
dng cc bin gii thch l thu nhp v tui. Khi gii thch gi ca mt chic t, cc
bin gii thch c th l kch c, ng c my, tin cy ca hng sn xut cng nh
an ton ca chic t. gii thch gi ca mt ngi nh cc bin gii thch c th l
kch c, s phng, t l ti phm ca khu dn c cng nh tui ca ngi nh. d
on kh nng mt hc sinh cui cp trung hc ph thng vo i hc, chng ta c th
6

xem xt n im cc bi kim tra, trnh gio dc ca cha m cng nh thu nhp ca

gia nh anh ta.
Vy phn tch hi qui chnh l nghin cu mi lin h ph thuc ca mt bin (gi l
bin ph thuc hay bin c gii thch) vi mt hay nhiu bin khc (c gi l bin
c lp hay gii thch).
1.2.2. Mc ch ca phn tch hi qui:
Tng tng rng chng ta c thng tin v thu nhp v chi tiu tiu dng, chng ta tin
tng rng chi tiu tiu dng ph thuc vo thu nhp v chng ta biu din c 2 bin
ny ln th. Biu din bin ph thuc ln trc tung, cn bin gii thch (bin c lp)
ln trc honh.
Mc ch ca phn tch hi quy l qua nhng im d liu, chng ta c th k ra mt
ng ph hp nht, st nht vi cc quan st sao cho c th biu din mi quan h
gia hai bin thu nhp v chi tiu tiu dng mt cch ng tin cy nht.
1.2.3. Gii thiu m hnh hi qui tuyn tnh n gin:
m hnh ha quan h tuyn tnh trong din t s thay i ca bin Y theo bin X
cho trc ngi ta s dng m hnh hi qui tuyn tnh n gin. M hnh hi qui tuyn
tnh n gin c dng sau:
Yi = 1 + 2 Xi + ui
+

Yi : Gi tr ca bin ph thuc Y trong ln quan st th i.

Xi : Gi tr ca bin c lp X trong ln quan st th i .

ui : Gi tr i vi s dao ng ngu nhin (nhiu ngu nhin) hay sai s

trong ln quan st th i.

1 : l thng s din t tung gc (h s chn) ca ng hi qui tng th,

hay 1 l gi tr trung bnh ca bin ph thuc Y khi bin c lp X thay i
1 n v.

2 : l thng s din t dc (h s gc) ca ng hi qui tng th, hay 2

din t s thay i ca gi tr trung bnh ca bin ph thuc Y khi bin c
lp X thay i 1 n v.

Chng ta c th c lng cc tham s (1, 2) ca phng trnh hi qui tng th bng

cch s dng s liu ca mu ngu nhin thu thp c. Da vo s liu ca mu ta c
phng trnh hi qui tuyn tnh ca mu.

yi = 1 + 2 X 2i
Trong :

y l c lng ca gi tr trung bnh ca Y i vi bin X bit

1 l c lng ca 1
2 l c lng ca 2
1.3.

Hi qui v tng quan

Khi nh m hnh dng Yi = 1 + 2Xi + ui , chng ta ngm gi nh rng X gy ra s

thay i ca Y. Vic X v Y tng quan cht vi nhau khng c ngha rng s thay i
X dn n s thay i Y hay ngc li. V d, h s tng quan gia s lng knguru
ca c v tng dn s nc ny c th l rt cao. Phi chng iu ny c ngha rng s
thay i mt bin s lm cho bin kia thay i? R rng l khng, v y chng ta c
mt trng hp tng quan gi to. Nu chng ta hi quy mt trong cc bin vi bin
cn li, chng ta s c s hi qui gi to. Ly mt v d khc thc t hn, gi s chng
ta hi quy s lng v trm trong mt thnh ph vi s hng hng s v s nhn vin
cnh st (X) v sau quan st thy h s gc c lng c gi tr dng, c ngha rng
c tng quan thun gia X v Y. Phi chng iu ny c ngha rng vic tng s lng
cnh st s lm tng s v trm, do ngm ko theo phi c chnh sch gim lc
lng cnh st? R rng kt lun ny l khng th chp nhn c. iu xy ra c th
l mi quan h nhn qu l ngc li, c ngha l thnh ph nn thu thm cnh st v
s v trm tng ln, v nh vy vic hi quy X theo Y l hp l hn.
T nhng v d trn ta thy rng Hi qui v tng quan khc nhau v mc ch v k
thut. Phn tch tng quan xem xt mc kt hp tuyn tnh gia hai bin, nhng
phn tch hi qui li c lng hoc d bo mt bin trn c s gi tr cho ca cc
bin khc.
V mt k thut, trong phn tch hi qui cc bin khng c tnh cht i xng, bin ph
thuc l bin ngu nhin, cc bin gii thch gi tr ca chng c xc nh. Trong
phn tch tng quan, khng c s phn bit gia cc bin, chng c tnh cht i xng.
1.4.

Cc dng hm trong kinh t lng

Gi s ta c mt m hnh kinh t tin on mi quan h gia mt bin ph thuc Y v

mt bin c lp X. Trong nhiu trng hp, m hnh ny s khng cho chng ta bit
dng hm m mi quan h ny c trong d liu, mc d m hnh ny s thng cho thy
mt s nim v dng c th c ca mi quan h. Gii php thng thng l quyt
nh xem dng hm no c kh nng m t tt d liu nht, iu ny hoc ph thuc
vo suy lun kinh t hoc ph thuc vo vic kho st d liu. Sau , chng ta th xy
dng mt s dng hm khc nhau v xem chng c cho ra cc kt qu tng t hay
khng, v nu khng, th phi xem dng hm no cho ra cc kt qu hp l nht.
Phn ny lit k mt s dng hm c s dng ph bin nht, cho bit chng biu hin
nh th no, m t cc tnh cht ca chng, v cho chng ta mt s tng v cch
chn la gia cc dng hm ny.
1.4.1. Dng Hm Tuyn tnh.
Dng hm ny c phng trnh:
Y = 0 + 1 X + .

Dng hm tuyn tnh c th c m t dng nh sau:

u im ca dng hm tuyn tnh l tnh n gin ca n. Mi ln X tng thm mt

n v th Y tng thm 1 n v, v iu ny ng bt k cc gi tr ca X v Y l bao
nhiu. Nhc im ca dng hm tuyn tnh cng chnh l tnh n gin ca n, bt c
lc no tc ng ca X ph thuc vo cc gi tr ca X hoc Y, th dng hm tuyn tnh
khng th l dng hm ph hp. Th d, nu ta c ng biu din chi ph c dng
C = 0 + 1Q + , th dng hm tuyn tnh m ch l khi Q tng thm mt n v th chi
ph C tng thm 1 n v. iu ny ch c th ng trong trng hp chi ph bin
khng i; n khng th ng trong trng hp chi ph bin tng dn (hay gim dn).
Nu chng ta ngh rng chi ph bin tng dn, chng ta s khng mun s dng dng
hm tuyn tnh.
1.4.2. Dng Hm Bc hai.
Dng hm ny cho php gii thch tc ng ca X ln Y ph thuc vo gi tr hin hnh
ca X. N c phng trnh:

Y = 0 + 1 X + 2 X 2 + .
Dng hm bc hai c th c m t dng nh sau:

u im ca dng hm bc hai l khi X tng thm mt n v th Y tng thm

1 + 2 2 X n v. (D dng thy c iu ny bng cch tnh dY / dX t phng trnh
ni trn.) Nu 2>0, th khi X tng ln, tc ng b sung ca X n Y cng tng ln;
nu 2<0, th khi X tng ln, tc ng b sung ca X n Y gim xung. Nu ta c
ng biu din chi ph C = 0 + 1Q + 2Q 2 + , th chi ph bin (tc l s n v m C
tng ln khi Q tng ln thm mt n v) s l MC = 1 + 2 2Q. Nu 2>0, th ta c
chi ph bin tng dn; nu 2<0, th ta c chi ph bin gim dn. L thuyt kinh t gi
rng chng ta thng c chi ph bin tng dn (hay c th khng i); chng ta c th
kim nh liu c phi 2 > 0 (hay 2 = 0) kim nh l thuyt ny.
1.4.3. Dng Hm Logart.

Dng hm ny c phng trnh:

log Y = 0 + 1 log X + .
th ca dng hm ny c th c m t dng nh sau:

C hai cch ngh v dng hm ny. Mt cch gii thch dng hm ny l nu X

thay i 1% th Y s thay i 1%; y l tnh cht c bit ca quan h lgart. Cch
gii thch th hai v dng hm ny l 1 l co gin ca Y theo X; iu ny suy ra t
nh ngha ca co gin (chng ta d dng chng minh iu ny bng mt s bin i,
bt u t d (log Y ) / d (log X ) bng vi (dY / dX )( X / Y ) v sp xp cc s hng li).
Dng hm ny thng c s dng khi chng ta quan tm n vic c lng mt loi
co gin no . Ngi ta cng s dng dng hm ny ph bin khi chng ta s dng
hm Cobb Douglas; hm Cobb-Douglas c dng Y = AX 1 e .

v nu ly log c hai v, chng ta c: LnY = Ln( A) + 1 LnX +

(Trong Eviews hm ny c vit di dng log Y = log( A) + 1 log X + )
v ta c th t 0 = log( A) . V th cho nn dng hm lgart thng c s dng cho
cc hm chi ph, cc hm sn xut, cc hm hu dng, v cc hm khc m chng
thng c m t di dng hm Cobb-Douglas.
10

V d v Hm sn xut Cobb-Douglas
Y = 1 K2 L3e
Y = sn lng
K = nhp lng vn
L = nhp lng lao ng
y l mi quan h phi tuyn, nhng chng ta c th bin i quan h ny:
Nh th: lnY = ln 1+ 2lnK + 3lnL+e
y l m hnh tuyn tnh trong cc tham s nhng khng tuyn tnh trong cc bin s.
M hnh ny tuyn tnh theo lgart ca cc bin s. M hnh ny c gi l m hnh
lgart-lgart, lgart kp hay tuyn tnh lgart
H s dc ca mt m hnh tuyn tnh lgart o lng co gin ca Y theo X.
Nh th, h s ni trn l co gin. co gin ny khng i i vi X&Y
+

2+ 3 o lng hiu qu theo qui m. p ng ca sn lng i vi thay

i tng xng trong cc nhp lng.

Nu 2 + 3 =1: hiu qu khng i. Tng gp i nhp lng th sn lng

s tng gp i.

Nu 2 + 3 <1: hiu qu gim dn

Nu 2 + 3 >1: hiu qu tng dn

V d khi hi qui theo dng hm ny vi d liu v nng nghip ca i Loan t 16

quan st, ngi ta thu c kt qu nhe sau:
lnY = -3.34 + 0.49 lnK + 1.50 lnL
t

(-1.36) (4.80)

(0.54)

R2 = 0.89
Y GNP tnh bng triu la
K l vn thc tnh bng triu la
L tnh bng triu ngy cng lao ng
co gin ca sn lng theo vn l 0,49. Gi nhp lng lao ng khng i, gia tng
1% nhp lng vn dn n gia tng 0,49% sn lng.
co gin ca sn lng theo lao ng l 1,50. Gi nhp lng vn khng i, gia tng
1% nhp lng lao ng dn n gia tng 1,5% sn lng.
Hiu qu tng theo qui m bi v 2 + 3 = 1,99.

11

R2 c ngha l 89% bin thin trong lgart ca sn lng c gii thch bi lgart ca
lao ng v vn.
Hay v d chng ta c th lp m hnh cu nh mt m hnh tuyn tnh lgart v t
c lng co gin ca cu tiu dng c ph mi ngy:
Gi s kt qu thu c nh sau:
lnQ=0.78 -0.25lnPCoffee+ 0.38lnPtea
+

Q l mc tiu dng c ph mi ngy

Pcoffee l gi c ph mi cn Anh

Ptea l gi tr mi cn Anh

co gin theo gi ring l 0,25.

+

Gi cc yu t khc khng i, nu gi gia tng 1% th lng cu s gim

0,25%.

y l khng co gin - gi tr tuyt i nh hn 1.

co gin theo gi-cho l 0,38.

+

Gi cc yu t khc khng i, nu gi tr gia tng 1%, th lng cu c ph

s gia tng 0,38%

Nu co gin theo gi-cho dng, th c ph v tr l cc sn phm thay

th.

Nu co gin theo gi-cho m, th l cc sn phm b tr.

1.4.4. Dng Hm Translog.

Phng trnh ca dng hm ny l:

log Y = 0 + 1 log X + 2 (log X ) 2 + .
Dng hm ny c mi quan h vi dng hm lgart ging nh mi quan h gia hm
bc hai v hm tuyn tnh; n a thm mt s hng bnh phng vo phng trnh.
Trong dng hm ny, co gin ca Y theo X l 1 + 2 2 log X.
1.4.5. Dng Hm bn-lgart (Semilog).

Dng hm ny c phng trnh sau:

log Y = 0 + 1 X + .
S dng m hnh ny khi chng ta quan tm n tc tng trng ca bin no nh
GNP hay mc vic lm.

12

Dng hm bn-lgart c tnh cht l nu X tng thm 1 n v th Y tng thm

[ 1*100] %. y khng phi l mt tnh cht c mong mun mt cch ph bin,
nhng c mt s ng dng hu ch cho dng hm ny.
V d, quan h gia tin lng v trnh gio dc hu nh lun lun c biu hin
di dng hm ny nh l log( SAL) = 0 + 1 ED + . iu ny c ngha l nu trnh
gio dc ca mt ngi tng 1 nm th tin lng ca ngi tng [ 1*100] %.
Th d, nu 1= 0,08, n c ngha l mt nm tng thm trong trnh gio dc lm
tng tin lng thm 8%. Khi X tng ln th dc ca ng biu din s tr nn rt
ln, bi v khi X tng ln th t l phn trm gia tng ca X cng ln hn.
Chng ta cng c th t lgart cho X, ngha l dng hm trn tr thnh, Y = 0 + 1*
log X+ v iu ny c ngha l khi X tng 1%, th Y tng [ 1/100] n v. Trong
trng hp ny, khi X cng ln th dc cng nh, bi v X cn gia tng nhiu hn
mi to ra c 1% gia tng. Dng hm ny khng c s dng rng ri; di y l
th ca n.

1.4.6. Dng Hm Nghch o.

Dng hm ny c phng trnh nh sau:

Y = 0 + 1 (

1
) + .
X

th ca dng hm ny c th c m t dng nh sau:

13

Dng hm nghch o thng c s dng khi Y v X u dng v khi ng biu

din quan h gia chng c l dc xung (ngha l, 0>0 v 1>0). Trong trng hp
ny, dng hm tuyn tnh khng c tt bi v ng biu din s ct trc ta v Y
s tr nn m i vi cc gi tr X ln. Dng hm ny thng c s dng cho cc
ng (cong) nh ng cu hay ng chi ph c nh (chi ph c nh trung bnh
trong sn xut gim xung lin tc khi sn lng tng ln) cn c tnh cht ny.
Nu chng ta c nhiu bin c lp, th dng quan h gia Y v mi bin c th ging
nhau hoc c th khc nhau. Chng ta c th s dng cng mt dng hm nh nhau cho
mi bin; v d, nu chng ta ngh rng sn lng ph thuc vo ba nhp lng khc
nhau th c th s dng dng hm tuyn tnh cho mi nhp lng:
Y = 0 + 1 X 1 + 2 X 2 + 3 X 3 + .
Hay dng hm translog cho mi nhp lng:
log Y = 0 + 1 log X 1 + 2 (log X 1 ) 2 + 3 log X 2 + 4 (log X 2 ) 2 + .
Hay tng qut hn:
k

log Y = 0 + i X i + ij (log X i )(log X j ) + .

i =1

i =1 j =1

Chng ta cng c th kt hp vi dng hm khc nhau trong mt hi qui, th d:

Y = 0 + 1 log X + 2 X 2 + 3 X 22 + 4 (

1
) + .
X3

mc d, nu lm th, chng ta thng phi c cc l do tha ng ngh rng hnh

dng ca quan h gia Y v X 1 l khc vi cc hnh dng ca quan h gia Y v X 2 , v
Y v X 3 .

14

1.5.

Cc loi d liu cho phn tch kinh t lng

c lng m hnh kinh t a ra, cn c mu d liu v cc bin ph thuc v

bin c lp.
C 3 loi s liu c s dng phn tch:
1. Cc s liu theo thi gian (chui thi gian)
2. Cc s liu cho
3. Cc s liu hn hp ca hai loi trn.
Cc s liu c th dng s lng (nh. GDP, t gi hi oi, Gi chng khon), hay
dng cht lng (nh. Nam/ n; c gia nh/ cha c gia nh; Qu trnh sn xut A/qa
trnh sn xut B).
1.5.1.

S liu theo thi gian:

L s liu c thu thp trong mt thi k, nh:

Quan st mc lm pht v tht nghip ca M t 1962-1995
Quan st GDP ca M t 1960-1992
Quan st kh nng sinh li ca mt cng ty trong hn 20 nm
Quan st gi vng hng ngy lc ng ca trong hn 30 nm.
V d, gi s mt thnh ph mun d bo nhu cu nh cho nm hoc mi nm trong
tng lai. Vic ny i hi phi xc nh cc bin c nh hng n nhu cu nh ca
thnh ph trong qu kh, c c chui d liu theo thi gian trong nhiu nm qu
kh, v s dng chng vo mt m hnh thch hp to cc gi tr d bo ca nhu cu
tng lai. Khong thi gian hoc thi on ca chui thi gian s l hng nm, hng
qu hoc hng thng, ty theo thnh ph mun xem xt thay i trong nhu cu nh
hng nm, hng qu hay hng thng. Loi d liu sn c thng s quyt nh thi on
ca d liu thu thp.
1.5.2.

S liu cho:

L s liu v mt hay nhiu bin c thu thp ti mt thi im nhiu a phng,

n v khc nhau.
Quan st chiu cao v cn nng ca 1000 ngi
Quan st thu nhp, trnh hc vn, v cn nng ca 1000 ngi
Quan st kh nng sinh li ca 20 cng ty
Quan st GDP trn u ngi, dn s, v chi ph quc phng thc t ca
80 quc gia.

15

V d, khi chng ta mun xem xt thu nhp nh hng nh th no n tiu dng ca

mt ngi. Vic ny i hi phi quan st thu nhp v tiu dng ca nhiu ngi trong
mt khong thi gian xc nh.
1.5.3.

S liu hn hp:

S liu hn hp theo khng gian v thi gian, v d nh:

Quan st t l lm pht v mc tng trng ca 15 quc gia trong
khong thi gian t 1970-1995
Quan st mc sn lng v mc gi ca 100 ngnh trong hn 12 qu
Quan st kh nng sinh li ca 20 cng ty trong hn 20 nm
S liu chui thi gian thng ngi ta k hiu l t v tng s quan st l T, cn i vi
s liu cho ta k hiu quan st l i v tng s quan st l N.
D liu c th thu thp c ti nhng ngun sn c. Tuy nhin, trong nhiu trng hp
nhng ngun ny khng gii quyt vn t ra hoc nhng d liu ny khng c
sn. Trong trng hp nh vy, cn tin hnh nhng kho st thu thp cc thng tin
cn thit. V d, chng ta mun quan tm n vic nghin cu xem ngi tiu dng s
phn ng nh th no i vi chnh sch gi in. Chnh sch gi in trong ngy l gi
in s thay i theo nhng gi khc nhau trong ngy, vi gi cao trong nhng gi cao
im v gi thp trong nhng gi thp im. c c d liu ph hp ngi ta chn
mt s khch hng v lp t ng h ghi li lng in s dng tng gi trong
ngy. Lng in tiu th c thu thp trong vng mt nm, nh vy c c d liu
theo chui thi gian cho mt nhm cc h tiu th no .

TM TT

Kinh t lng lin quan n c lng cc mi lin h kinh t, kim nh gi thuyt cc

l thuyt kinh t, v d bo cc bin kinh t hoc cc bin s khc. Khi nghin cu,
chng ta thng phi bt u vi mt tp hp cc l thuyt kinh t, sau kt hp
chng vi nhng nhn nh trc gic (hoc kinh nghim, nghin cu trong qu kh)
xy dng mt m hnh kinh t lng. Qu trnh ny lin quan n quyt nh chn mt
hay nhiu bin ph thuc v xc nh cc bin c lp c nh hng n cc bin ph
thuc.
Bc tip theo l thu thp d liu tng ng. Khi c c cc d liu ny, chng ta s
c lng cc thng s ca mt hoc nhiu m hnh s b. Cc m hnh ny s c
kim nh nhiu ln, da vo nhng kim nh ny, cc m hnh c thit lp li v
c lng li cho n khi tha mn. M hnh cui cng c th c dng xy dng
cc chnh sch hoc d bo cc gi tr ca cc bin ph thuc trong nhiu tnh hung
khc nhau.

16

CHNG II
M HNH HI QUI HAI BIN, C LNG V KIM NH

chng I pht biu rng bc u tin trong phn tch kinh t lng l vic thit lp
m hnh m t c hnh vi ca cc i lng kinh t. Tip theo nh phn tch kinh
t/ kinh doanh s thu thp nhng d liu thch hp v c lc m hnh nhm h tr
cho vic ra quyt nh. Trong chng ny s gii thiu m hnh n gin nht v pht
trin cc phng php c lng, phng php kim nh gi thuyt v phng php
d bo. M hnh ny cp n bin c lp (Y) v mt bin ph thuc (X). chnh
l m hnh hi quy tuyn tnh hai bin (thng gi l m hnh hi qui n). Mc d y
l mt m hnh n gin, v i khi c th l phi thc t, nhng vic hiu bit nhng
vn c bn trong m hnh ny l nn tng cho vic tm hiu nhng m hnh phc tp
hn. Thc t, m hnh hi quy n tuyn tnh c th gii thch cho nhiu phng php
kinh t lng. Trong chng ny ch a ra nhng kt lun cn bn v m hnh hi quy
tuyn tnh n bin.
Mc tiu u tin ca mt nh kinh t lng l lm sao s dng d liu thu thp c
c lng hm hi quy ca tng th, l, c lng tham s ca tng th 1 v 2.
K hiu 1 l c lng mu ca 1 v 2 l c lng mu ca 2. Khi mi quan
h trung bnh c lng l Y = + X. y c gi l hm hi quy ca mu.
1

Thut ng n trong m hnh hi quy tuyn tnh n c s dng ch rng ch c

duy nht mt bin gii thch (X) c s dng trong m hnh.
Trong chng tip theo khi ni v m hi quy a bin s b sung thm nhiu bin gii
thch khc. Thut ng hi quy xut pht t Fraccis Galton (1886), ngi t ra mi lin
h gia chiu cao ca ngi con trai vi chiu cao ca ngi cha v quan st thc
nghim cho thy c mt xu hng gia chiu cao trung bnh ca ngi con trai vi
chiu cao ca nhng ngi cha ca h hi quy cho chiu cao trung bnh ca ton
b tng th. 1 + 2Xi gi l phn xc nh ca m hnh v l trung bnh c iu kin
ca Y theo X, l E(Yi) = 1 + 2Xi . Thut ng tuyn tnh dng ch rng bn cht
ca cc thng s ca tng th 1 v 2 l tuyn tnh (bc nht).
2.1.

Khi nim hm hi qui tng th

Tng th l ton b cc quan st v cc i tng hay con ngi cho mc ch nghin

cu. Mc tiu u tin ca mt nh kinh t lng l lm sao s dng d liu thu thp
c c lng hm hi quy ca tng th, l, c lng tham s ca tng th 1
v 2.
Cho Y l bin c gii thch, chn X2, X3,.... Xk l bin gii thch. Y l ngu nhin v
c 1 phn phi xc sut no .
=> tn ti E(Y|X2, X3,.... Xk) = gi tr xc nh
Do vy F(X2, X3,.... Xk) = E(Y|X2, X3,.... Xk) l hm hi qui tng th ca Y theo X2,
X3,.... Xk (PRF-population regression function), hm ph thuc mc trung bnh ca
Y theo X.

17

Vi mt c th i, tn ti (X2i, X3i,.... Xki, Yi)

Ta c Yi F(X2, X3,.... Xk) => ui = Yi - F
Do vy: Yi = E(Y|X2, X3,.... Xk) + ui
Hi qui tng th PRF:
Y = E(Y|X) + U
E(Y|X) = F(X)
2.2.

Hm hi qui mu

Do khng bit tng th, nn chng ta khng bit gi tr trung bnh tng th ca bin ph
thuc l ng mc no. Do vy chng ta phi da vo d liu mu c lng.
Trn thc t khi tng th ln, tn ti F nhng khng tm c chnh xc do:
9

Khng quan st c (do thi gian hay ti chnh khng cho php..)

Tng th bin ng

c im thng tin: khng cn quan st

Do vy ngi ta phi tin hnh chn mu, mu l mt nhm hay mt b phn ca tng
th.
Hi qui mu:
Cho PRF: Y =F(x2, x3,.... xk) + u
Trn mt b phn (mu) c n c th gi Y = F ( X 2, X 3..., Xk ) l hi qui mu (SRF Sample regression function)
Vi mt c th mu Yi F ( X 2i, X 3i..., Xki )
Sinh ra ei = Yi F ( X 2i, X 3i..., Xki ) = Yi Yi ; ei gi l Phn d SRF
K hiu 1 l c lng mu ca 1 v 2 l c lng mu ca 2. Khi mi quan
h trung bnh c lng l Y = + X. y c gi l hm hi quy ca mu.
1

c lng SRF: Chn 1 phng php no c lng cc tham s ca F qua vic

tm cc tham s F v ly gi tr quan st ca cc tham s ny lm gi tr xp x cho
tham s ca F.

18

2.3.

Phng php bnh phng nh nht

2.3.1.

T tng ca phng php bnh phng nh nht

Trong kinh t lng, th tc c lng c dng ph bin nht l phng php bnh
phng nh nht. Tiu chun ti u c s dng bi phng php bnh phng nh
nht l cc tiu ha hm mc tiu.
Phng php bnh phng nh nht l mt phng php c a ra bi nh ton hc
c Carl Friedrich Gauss, y l mt phng php mnh v c rt nhiu ngi s
dng, n thng c k hiu l OLS (ordinary least squares). T tng ca phng
php ny l cc tiu tng bnh phng cc phn d. Do c th ni c c ng
hi qui thch hp nht, chng ta chn cc c lng ca tung gc v dc sao
cho phn d l nh.
Chng ta t:
yi k hiu gi tr thc ca bin y ti quan st i

y i

k hiu gi tr ca hm hi qui mu

ei k hiu phn d, yi y i

Do cc tiu ho
v 2.

( yi yi )

s tng ng vi cc tiu ei t tm ra 1

Chng ta c th m t tng qut nh sau:

Xt hm hi qui tng th (PRF):

Y = 1 + 2X2 + 3X3 + . . . kXk + u

19

1 = E (Y x 2, x 3, ....x k = 0)
j =

Y
x j

Vi mu:
y = 1 + 2 X 2 + 3 X 3 + ... + k X k

Chng ta s s dng phng php bnh phng nh nht tm cc tham s j ca hm

hi qui mu.
2.3.2.

Cc gi thit ca phng php bnh phng nh nht

Phng php bnh phng nh nht (OLS) l phng php rt ng tin cy trong vic
c lng cc tham s ca m hnh, tuy nhin m hnh c lng phi tho mn 6 gi
thit. Khi tho mn cc gi thit, c lng bnh phng nh nht (OLS) l c lng
tuyn tnh khng chch c hiu qu nht trong cc c lng. V th phng php OLS
a ra c Lng Khng chch Tuyn Tnh Tt Nht (BLUE).
Kt qu ny c gi l nh l GaussMarkov, theo l thuyt ny c lng OLS l
BLUE; ngha l trong tt c cc t hp tuyn tnh khng chch ca Y, c lng OLS
c phng sai b nht. Cc gi thit nh sau:
+

M hnh hi quy l tuyn tnh theo cc h s:

iu ny c ngha l qu trnh thc hnh hi quy trn thc t c miu t bi mi quan

h di dng:
y = 1 + 2x2 + 3x3 + . . . kxk + u

hoc mi quan h thc t c th c vit li v d nh di dng ly loga c hai v.

+

E(ui) = 0, k vng ca cc yu t ngu nhin ui bng 0.

Trung bnh tng th sai s l bng 0. iu ny c ngha l c mt gi tr sai s mang du

dng v mt s sai s mang du m. Do 1 + 2Xi l ng trung bnh, nn c th gi
nh rng cc sai s ngu nhin trn s b loi tr nhau, mc trung bnh, trong tng
th.
+

Cov (ui,uj)=0, Khng c s tng quan gia cc ui

Khng c s tng quan gia cc quan st ca yu t sai s (khng c tng quan

chui). Nu chng ta xem xt cc chui s liu thi gian (d liu c thu thp t mt
ngun trong nhiu khong thi gian khc nhau). Yu t sai s ui trong khong thi gian
ny khng c bt k mt tng quan no vi yu t sai s trong khong thi gian trc
.

20

Cov (ui,xi)=0,

U v X khng tng quan vi nhau

iu ny c ngha l khi bt k bin gii thch no m ln hn hay nh i th yu t sai

s s khng thay i theo n.
+

Var (ui) = 2, Phng sai ca sai s khng i vi mi ui

Tt c gi tr u c phn phi ging nhau vi cng phng sai 2, sao cho Var( ui) =
E(ui2 )=2 . iu ny c gi l phng sai ca sai s khng i.
+

ui Phn phi chun

iu ny rt quan trng khi pht sinh khong tin cy v thc hin kim nh gi thuyt
trong nhng phm vi mu l nh. Nhng vi phm vi mu ln hn, iu ny s tr nn
khng my quan trng.
V d v Phng sai sai s khng i v Phng sai sai s thay i

21

2.3.3.

ng dng phng php bnh phng nh nht tm tham s hi qui:

Cho hm hi qui mu yi = 1 + 2 x i

)
L = ( yi yi ) 2 = ( yi 1 2 xi ) 2

Ta t

Ta thy rng 1, 2 s l nghim ca h thng phng trnh sau:

L
= 2 ( yi 1 2 x i ) = 0
1
i

(2.1)

L
= 2 x i ( yi 1 2 x i ) = 0

2
i

(2.2)

T (2.1),
Nhng

(yi 1 2 x i ) = 0 yi n1 2 x i = 0
i

yi = n y

xi = nx

Do vy ta c th vit ny n1 n 2 x = 0 hay y 1 2 x = 0
T (2.2),

xi ( yi 1 2 xi ) = 0

(2.3)
(2.4)

22

T (2.3),

1 = y 2 x

(2.5)

Thay vo (2.4) vi 1 t (2.5), ta c:

xi ( yi y + 2 x 2 xi ) = 0
i

xi yi y xi + 2 x xi 2 xi 2 = 0
i

xi yi nyx + 2 nx 2 2 xi 2 = 0
i

Tng ng vi,

2 (nx 2 xi2 ) = nyx xi yi

Do vy 1, 2 c xc nh nh sau:

x y nxy ( x i x )( yi y)
2 = i i
=
& 1 = y 2 x
2
2
2

x i nx

(xi x)

1, 2 l cc c lng ca 1 v 2 c tnh bng phng php bnh phng nh

nht- c gi l cc c lng bnh phng nh nht.
2.3.4.

Cc tnh cht ca cc tham s c lng: nh l Gauss Markov

Vi cc gi thit cho, th cc c lng 1, 2 c xc nh bng phng php

bnh phng nh nht l cc c lng tuyn tnh, khng chch tt nht (c phng sai
nh nht).
+ c lng - l c lng im ca .
+ Tuyn tnh - l c lng tuyn tnh (theo Y)

+ Khng chch- Gi tr k vng ca 1, 2 ng bng gi tr ca 1, 2
+ Tt nht - iu c ngha l c lng c phng sai nh nht trong
tt c cc lp c lng tuyn tnh khng chch. Chng ta c th chng
minh nh l Gauss-Markov.

23

2.4.

chnh xc ca c lng

T l thuyt xc sut ta bit rng phng sai ca mt bin ngu nhin o lng s phn
tn xung quanh gi tr trung bnh. Phng sai cng b, tng gi tr ring bit cng gn
vi gi tr trung bnh. Tng t, khi cp n khong tin cy, ta bit rng phng sai
ca bin ngu nhin cng nh, khong tin cy ca cc tham s cng b. Nh vy,
phng sai ca mt c lng l thng s ch chnh xc ca mt c lng. Do
vic tnh ton phng sai ca 1 v 2 l rt cn thit.
Do 1 v 2 thuc vo cc gi tr Y, m Y li ph thuc vo cc bin ngu nhin u1, u2,
, un, nn chng cng l bin ngu nhin vi phn phi tng ng.
Vi cc gi thit cho, phng sai v lch chun c tnh nh sau

Var ( 2 ) =

Var ( 1) =

( xi x ) 2

xi 2 2 ;
n ( xi x ) 2

se ( 2 ) =

se ( 1) =

( xi x ) 2
xi 2
n ( xi x ) 2

2 = Var (ui )
Trong cc cng thc trn 2 cha bit, 2 c c lng bng c lng khng chch
ca n l:
2

e
i
=

)2

2.5.

n2

ph hp ca m hnh

c th bit m hnh gii thch c nh th no hay bao nhiu % bin ng ca bin

ph thuc, ngi ta s dng R2.
Ta c:

(yi y )2 = [(yi yi ) + (yi y )]

= [ei + (yi y )]2

= ei2 + 2 ei (yi y ) + (yi y )2

t:

24

 (yi y )2 : TSS - total sum of squares

(yi y )

: ESS - explained sum of squares

ei2 : RSS - residual sum of squares

Do ei (yi y ) = 0 [ ei yi = 0; ei y = 0]
Do vy ta c th vit: TSS = ESS + RSS
ngha ca cc thnh phn:
+

TSS l tng bnh phng ca tt c cc sai lch gia cc gi tr quan st Yi

v gi tr trung bnh.

ESS: l tng bnh phng ca tt c cc sai lch gia cc gi tr ca bin ph

thuc Y nhn c t hm hi qui mu v gi tr trung bnh ca chng. Phn
ny o chnh xc ca hm hi qui

RSS: l tng bnh phng ca tt c cc sai lch gia cc gi tr quan st Y

v cc gi tr nhn c t hm hi qui.

TSS c chia thnh hai phn: mt phn do ESS v mt phn do RSS gy

ra.

T TSS = ESS + RSS, ta chia c hai v cho TSS, ta c:

ESS RSS
+
=
1=
TSS TSS
R2 =

R =

( y i y) 2
( y i y) 2

ei 2
( yi y) 2

ESS
RSS
= 1
TSS
TSS

( (yi y)(yi y))2

(yi y )2 ( yi y) 2

(yi y )( yi y)

R=

(yi y )2 ( yi y) 2

T s gia tng bin thin c gii thch bi m hnh cho tng bnh phng cn c
gii thch c gi l h s xc nh, hay l tr thng k good of fit. T nh ngha R2
chng ta thy R2 o t l hay s % ca ton b sai lch Y vi gi tr trung bnh c
gii thch bng m hnh. Khi ngi ta s dng R2 o s ph hp ca hm hi qui;
0 R2 1
+

R2 cao ngha l m hnh c lng c gii thch c mt mc cao

bin ng ca bin ph thuc.

Nu R2 bng 0. Ngha l m hnh khng a ra thng tin no v bin ph

thuc v d on tt nht v gi tr ca bin ph thuc l gi tr trung bnh
ca n. Cc bin "gii thch" thc s khng a ra c mt gii thch no.

25

2.6.

c lng khong tin cy v Kim nh cc h s hi qui

2.6.1.

c lng khong tin cy cho cc h s hi qui

a.

Khi nim chung:

Xt mt tng th gm N bin ngu nhin X tun theo lut phn phi c hm mt xc

sut l f (x,); trong l cc tham s thng k ca tng th.
V d, trong phn phi chun:
f ( x, ) =

( x )2

1
2

2 2

= ( , 2 ),

- < < +
0 < 2 < +

Gi { x1,x2...,xn } l mu ngu nhin, c mu n c dng ly ra t tng th tun theo

hm mt xc sut f (x, ). y dng ca hm f xem nh bit cn cc tham s
thng k ca tng th xem nh cha bit.
Vn t ra phn ny ny l da vo cc mu quan st { x1,x2...,xn } ta c lng
xem gi tr c th ca bng bao nhiu (bi ton gi l c lng im) hoc c
lng xem nm trong khong no (bi ton c lng khong).
+

c lng khong v gi tr c lng khong.

* c lng khong: c lng khong i vi tham s thng k ca tng th

l mt quy tc da trn thng tin ca mu xc nh min (range) hay khong
(interval) m tham s hu nh nm trong .
* Gi tr c lng khong: l gi tr c th ca min hay khong m tham s
nm trong .
+

Khong tin cy v tin cy:

Gi l tham s thng k cha bit. Gi s da trn thng tin ca mu ta c th

xc nh c 2 bin ngu nhin A v B sao cho
P (A < < B) = 1 - vi 0 < < 1
Nu gi tr c th ca bin ngu nhin A v B l a v b th khong (a,b) t a n b
c gi l khong tin cy ca vi xc sut l (1 - )
Xc sut (1 - ) c gi l tin cy ca khong.
Trong thc t, tin cy (1 - ) do nh thng k chn theo yu cu ca mnh,
thng thng tin cy c chn l 0,90; 0,95; 0,99...
l mc ngha hay l xc sut sai lm khi chn khong tin cy (a, b)

26

b.

Khong tin cy cho cc h s hi qui

Mc ch ca phn tch hi qui khng phi ch suy on v 1 v 2 hay PRF m cn

phi kim tra bn cht s ph thuc. Do vy cn phi bit phn b xc sut ca 1 v 2.
Cc phn b ny ph thuc vo phn b ca cc ui.
Vi cc gi thit cho phn trc (OLS)- ui c phn b N(0, 2). Nu tho mn th
ngi ta suy ra:

j = N( j , Var j )
* T=

j E( j )

j j

=
~ T(n - 2)
Se( j )
Se( j )
)
(n - 2) 2
~ 2 (n 2)

c lng khong tin cy i vi j

c lng khong tin cy (1-).

Tm 1 khong (G1, G2) sao cho xc sut P(G1 j G2) = 1-

Khi hiu di G2 - G1 l chnh xc ca c lng.

V d: G1= 4, G2=10

-----+----------------+---4

10
1- =0.95

Ta c:

j j
Se( j )

~ T(n - 2)

Vi tin cy l 1-;
+ c lng 2 pha:

27

ta tm c t/2 (n-2) tho mn

P ( t / 2 ( n 2)

j j
Se( j )

t / 2 (n 2)) = 1

Khong tin cy 1- ca j l:

[ j t / 2 (n 2)Se( j ); j + t / 2 (n 2)Se( j ) ]
+ c lng pha phi:

j j + t (n 2) Se( j )

+ c lng pha tri:

j j t (n 2) Se( j )

28

2.6.2.

a.

Kim nh gi thuyt ngha ca tng h s hi qui

Khi nim:

Gi thuyt thng k l mt gi s hay mt pht biu c th ng, c th sai lin quan

n tham s ca tng th. Khi thc hin kim nh, ngi ta thit lp cp gi thit thng
k, Gi thuyt khng v gi thuyt ngc li (gi thit i).
+

Gi thuyt khng: l s gi s m chng ta mun kim nh thng c k

hiu l H0.

Gi thuyt ngc li: Vic bc b gi thuyt khng s dn n vic chp

nhn gi thuyt ngc li. Gi thuyt ngc li thng c k hiu l H1.

V d:
H0 : = 0.5
H1 : 0.5

Min bc b v min chp nhn (rejection region & acceptance region)

Tt c cc gi tr c th c ca cc i lng thng k trong kim nh c th chia lm 2

min: min bc b v min chp nhn.
+

Min bc b l min cha cc gi tr lm cho gi thuyt Ho b bc b.

Min chp nhn l min cha cc gi tr gip cho gi thuyt Ho khng b bc

b.

Trong thc t khi H0 khng b bc b cng c ngha l n c chp nhn. Gi tr chia

i hai min c gi l gi tr gii hn (Critical value)

29

Gi thit khng v gi thit i c th l gi thit n hay gi thit kp. Mt gi thit

c gi l n nu n a ra 1 gi tr c th cho tham s (v d H0: =0.5). Mt gi
thit c gi l kp nu n a ra mt khong gi tr ca phn b xc sut (v d H0:
> 0.5). Lin quan n vn ny ngi ta c kim nh hai pha v kim nh mt pha.
Cc bc kim nh gi thuyt thng k

Bc 1: Thnh lp gi thuyt H0
V d: H0 : = 0.5
Bc 2: Thnh lp gi thuyt H1
V d: H1 : 0.5
Bc 3: Xc nh mc ngha
Bc 4: Chn cc tham s thng k thch hp cho vic kim nh v xc nh cc min
bc b, min chp nhn v gi tr gii hn.
Bc 5: Tnh ton bin ngu nhin ca kim nh nh bin Z (trong phn phi chun), t
(trong phn phi Student t) hay 2 (trong phn phi Chi bnh phng).
Bc 6: Ra quyt nh: Nu cc gi tr tnh ton ri vo min bc b Ho th ra quyt
nh bc b Ho. Ngc li s chp nhn Ho.

b.

Kim nh gi thit i vi j

th:

C th a ra gi thit no i vi j, chng hn j = j*. Nu gi thit ny ng

T=

j j
Se( j )

~ T(n - 2)

Ta c bng sau y:

Loi gi thit

Gi thit H0

Gi thit i H1

Min bc b

Hai pha

j = j*

j j*

t >t/2 (n-2)

Pha phi

j j*

j > j*

t >t (n-2)

Pha tri

j j*

j < j*

t <-t (n-2)

Gi s:

30

Kim nh j ;

H0:

j = 0 xj khng tc ng

H1:

j 0 xj c tc ng
j < 0 xj c tc ng ngc
j > 0 xj c tc ng thun

2.6.3.

c lng Khong tin cy v Kim nh i vi 2

c lng khong tin cy i vi 2:

Ta c:
2

)
(n - 2) 2

~ 2 ( n 2)

Do khong tin cy 1- ca 2 c xc nh t:

)2

(n - 2)
P( 21 / 2 (n 2)
2

2 / 2 (n 2)) = 1

Hay
)
(n - 2)) 2

(n - 2) 2
2

=1
P

2
2
1 / 2 (n 2)
/ 2 ( n 2)
2
Kim nh gi thit i vi :

Loi gi thit

Gi thit H0

Gi thit i H1

Hai pha

2
2
= 0

2
2
0

Min bc b

)
(n - 2) 2

02
)
(n - 2) 2

0
Pha phi

Pha tri

2
2
0

2
2
> 0

2
2
0

2
2
< 0

< 21 / 2 (n 2)

)
(n - 2) 2

02
)
(n - 2) 2

31

> 2 / 2 (n 2)hay

> 2 (n 2)

< 21 (n 2)

2.7.

ng dng phn tch hi qui

2.7.1.

D bo gi tr trung bnh ca bin ph thuc

Gi s ta bit rng bin c lp x v mt gi tr x0 no m ta cn a ra cc kt lun

v gi tr trung bnh ca bin ph thuc y, th ta c:
E(ylx0)= E(1 + 2x0+ u0) = 1 + 2x0
Khi ng hi qui mu cho c lng im E(ylx0):

y 0 = 1 + 2 x 0
0 l c lng khng chch c phng sai nh nht ca E(ylx0), tuy nhin 0
vn khc gi tr thc ca n.
0 c phn b chun vi k vng 1 + 2x0 nn

Var ( y 0 ) = E( 1 + 2 x 0 1 2 x 0 ) 2
= E[( 1 1) + x 0 ( 2 2 )]2
= E[( 1 1) 2 + 2 x 0 ( 2 2 )( 1 1) + x 02 ( 2 2 ) 2 ]
Var ( y 0 ) = E[( 1 1) 2 ] + E[ x 02 ( 2 2 ) 2 ]
+ 2 x E[( )( )]
0

2
2
1
1
= var(1) + x 02 var(2 ) + 2 x 0 cov(1, 2 )
Var ( y 0 ) = var( y 2 x ) + x 02 var(2 ) + 2 x 0 cov(1, 2 )
2

Var ( y 0 ) =
+ x 2 var(2 ) + x 02 var(2 ) + 2 x 0 cov(1, 2 )

cov(1, 2 ) = E ( 1 1)( 2 2 )
1 1 = y 2 x E ( 1) = y 2 x ( y 2 x ) = x ( 2 2 )
Var ( y 0 ) =

2
n

+ x2

(xi x)2

+ x 02

(xi x)2

2x 0 x

(xi x)2

(x 0 x)2

=
+
n ( x i x ) 2
21

)
Do cha bit 2, nn ta s dng c lng khng chch ca 2 l 2 , khi :

32

y ( 1 + 2 x 0 )
T= 0
~ T(n - 2)
Se( y 0 )
Khong tin cy 1- ca E(y|x0):

P( 1 + 2 x 0 t / 2 (n 2)Se( y 0 ) 1 + 2 x 0
+ x + t
(n 2)Se( y )) = 1
1

2 0

/2

y 0 t / 2 (n 2)Se( y 0 ) E( y x 0 ) y 0 + t / 2 (n 2)Se( y 0 )
2.7.2.

D bo gi tr c bit ca bin ph thuc

Gi s chng ta mun d bo gi tr c bit y=y0 vi x=x0, khi c lng ca y0 l:

y 0 = 1 + 2 x 0
E (e0 ) = E ( y0 y 0 ) = E ( y0 ) E ( y 0 ) = 0
var( y0 y 0 ) = var( y0 ) + var( y 0 )
1
( x0 x ) 2
= 2 + 2 +
2
n ( xi x )
1
( x0 x ) 2
= 2 1 + +
2
n ( xi x )
Ta c: e0 ~ N (0, var( e0 ))
Ngi ta chng minh c:

y y 0
e0 0
~ T (n 2) => 0
~ T ( n 2)
Se(e0 )
Se(e0 )

Vi gi tr 0<<1 ta c th tm c gi tr t/2 sao cho:

y y 0

P 0
t / 2 = (1 )
Se(e0 )

P ( y 0 t / 2 (n 2) Se(e0 ) y0 y 0 + t / 2 (n 2) Se(e0 )) = 1

33

BI THC HNH

Cho bng sau y v li sut (Y) v t l lm pht (X) trong nm 1988 9 nc. Gi s
rng s ph thuc E(Y/X) c dng tuyn tnh. Hy c lng hm hi qui v tnh cc
c trng ca n.
Y

11.9

9.40

7.50

4.00

11.30

66.30

2.20

10.30

7.60

7.20

4.00

3.10

1.60

4.80

51.00

2.00

6.60

4.40

Trc tin vi cch lm th cng (khng s dng cc phn mm chuyn dng) thc
hin hi qui v tm cc c trng ca m hnh, ta lp bng tnh v tnh nh sau:

ei

ei2

Yi

11.90

7.20

51.84

-2.21

4.89

-2.60

6.76

5.75

11.74

0.16

0.03

9.40

4.00

16.00

-5.41

29.28

-5.10

26.01

27.60

7.74

1.66

2.76

7.50

3.10

9.61

-6.31

39.83

-7.00

49.00

44.18

6.61

0.89

0.78

4.00

1.60

2.56

-7.81

61.01

-10.50

110.25

82.02

4.74

-0.74

0.55

11.30

4.80

23.04

-4.61

21.26

-3.20

10.24

14.76

8.74

2.56

6.56

66.30

51.80 2683.24

2154.30

66.46

-0.16

0.03

2.20

2.00

4.00

-7.41

54.92

-12.30

151.29

91.16

5.24

-3.04

9.25

10.30

6.60

43.56

-2.81

7.90

-4.20

17.64

11.81

10.99

-0.69

0.47

7.60

4.40

19.36

-5.01

25.11

-6.90

47.61

34.58

8.24

-0.64

0.41

0.00 3102.04

2466.14

130.50

0.00

20.83

Tng

130.50

TB

14.50

Xi X

X i2

Xi

51.00 2601.00

(X i X )2

Yi Y

41.59 1729.64

84.70 2770.97

0.00 1973.85

(Yi Y ) 2

(Yi Y )( X i X )

9.41

T bng tnh trn, chng ta d dng tnh c:

Cc tham s hi qui:

2 =

( X X )(Y Y ) = 2466.14 = 1.249;

1973.85
(X X )
i

1 = Y 2 X = 14.5 1.249 * 9.41 = 2.742

Hm hi qui mu:

T cc tham s hi qui trn, hm hi qui mu c c lng l:

Yi = 2.742 + 1.249 X i

SRF

34

Yi

 chnh xc ca cc c lng:

tnh chnh xc ca cc c lng, do 2 cha bit, nn ta phi tnh c lng

khng chch ca n, c lng khng chch tnh c nh sau:

e
=

2
i

n2

20.83
= 2.975
92

T suy ra:

Var( 2 ) =

2
2.975
=
= 0.0015;
2
(X i X) 1973.85

X
)=
n (X X)
2

Var(1

2 =

Se( 2 ) = 0.0388

2770.97
2.975 = 0.464;
9*1973.85

Se(1 ) = 0.6811

ph hp ca m hnh:

T bng kt qu, chng ta cng tnh c ph hp ca m hnh nh sau:

R2 = 1

20.83
RSS
= 1
= 0.993
3102.04
TSS

T cho thy rng 99.3% s bin i ca li sut tit kim trong mu c gii thch
bng t l lm pht.

Khong tin cy cc h s j:

Vi =0.1 => tra bng ta c t/2(n-2) = 1.895.

Vy khong tin cy vi 1 v 2 vi tin cy 90% l:

1 - 1.895Se( 1 ) 1 1 + 1.895Se( 1 )
1

1.131

4.353

2 - 1.895Se( 2 ) 2 2 + 1.895Se( 2 )
2

1.158

1.341

Kim nh gi thit:

H0: 2 = 0
H1: 2 0
Gi thit H0 v mt kinh t tc l chng ta a ra gi thit bin X khng nh hng n
Y, trong th d ny c ngha l lm pht khng nh hng n li sut ngn hng.

35

t=

2 2* 2 0
=
= 32.2
se( 2 ) 0.0388

Ta thy t > t/2(n-2), do bc b gi thuyt H0, hay c th ni l mc ngha 10% ta

bc b gi thit cho rng lm pht khng nh hng n li sut ngn hng.
D bo:

Gi s chng ta mun d bo gi tr trung bnh hay gi tr c bit cho Li sut tit kim
khi chng ta bit mt gi tr c th ca T l lm pht, p dng nhng cng thc nh
trnh by trong phn 2.7 chng ta d dng tnh c cc gi tr d bo mong mun.
Chng ta va thc hin c lng hm hi qui v tnh cc c trng ca n bng vic
s dng nhng cng thc v lp bng tnh, hin nay c rt nhiu phn mm ng dng
hay cc phn mm phn tch d liu khc do chng ta d dng tnh c cc tham s
hi qui cng nh nhng c trng ca n m khng cn mt qu nhiu thi gian. i
vi nhng yu cu n gin, chng ta cng c th thc hin ngay trn EXCEL, v d
vi bi thc hnh trn chng ta c th thc hin mt s thao tc n gin nh sau:
Tool Data Analysis Regression
Sau khi thc hin khai bo cc bin, chng ta s thu c kt qu hi qui nh sau:
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.997
R Square
0.993
Adjusted R Square
0.992
Standard Error
1.725
Observations
9
ANOVA
df
Regression
Residual
Total

Intercept
X

1
7
8

SS
MS
F
Significance F
3081.212 3081.212 1035.543
0.000
20.828
2.975
3102.040

Coefficients Standard Error

2.742
0.681
1.249
0.039

t Stat
4.024
32.180

P-value
0.005
0.000

Lower 95% Upper 95%

1.131
4.353
1.158
1.341

Da vo kt qu hi qui trn, chng ta d dng thc hin nhng phn tch, nh gi m

hnh hi qui nhn c.

36

CHNG III
M HNH HI QUI A BIN

Trong Chng II chng ta gii hn trong trng hp n gin ca m hnh l m hnh

hi qui hai bin hay hi qui n. Trong l thuyt cng nh trong thc t, c nhiu
trng hp m bin kinh t cho khng th gii thch bng cc m hnh hi qui n nh
vy, v d Lng cu ph thuc vo gi, thu nhp, gi cc hng ho khc; Gi nh
ph thuc vo din tch nh, s phng ng v s phng tm; Chi tiu ca h gia nh v
thc phm ph thuc vo qui m h gia nh, thu nhp, v tr a l; T l t vong tr
em ca quc gia ph thuc vo thu nhp bnh qun u ngi, trnh gio dc hay
Lng ca mt ngi ph thuc vo trnh gio dc, kinh nghim, gii tnh, tui

By gi, chng ta s xem xt hi qui a bin (hi qui bi), ngha l lin h bin ph
thuc Y cho trc vi nhiu bin c lp X2, X3, ..., Xk.
3.1.

Gii thiu m hnh hi qui a bin

M hnh hi qui tuyn tnh a bin c dng tng qut nh sau:

y = 1 + 2x2 + 3x3 + . . . kxk + u PRF

(3.1)

Trong :
1: l h s t do (h s chn)
j: l h s hi qui ring
u: sai s ngu nhin
3.2.

Cc gi thit ca m hnh hi qui a bin

Cc gi thit OLS cho m hnh hi qui tuyn tnh n c gii thch trong m hnh hi
qui a bin:
1. Hm hi qui l tuyn tnh theo cc tham s
2. E(ui) = 0

K vng ca cc yu t ngu nhin ui bng 0

2
3. Var (ui) =

Phng sai bng nhau v thun nht vi mi ui

4. Cov (ui,uj)=0

Khng c s tng quan gia cc ui

5. Cov (ui,xi)=0

U v X khng tng quan vi nhau

6. ui

Phn phi chun

37

Gi thit b sung cho m hnh hi qui a bin:

7. Gia cc x2, x3, ..xk khng c quan h tuyn tnh. Nu x2, x3, ..xk c quan h
tuyn tnh th ngi ta ni rng c hin tng a cng tuyn.
Hay khng tn ti i 0: 1x1i + 2x2i + 3x3i +...+ kxki +i = 0
V mt hnh thc, nu c hin tng a cng tuyn gia cc bin gii thch v trong m
hnh c tt c cc bin ny th khng th tch c nh hng ca tng bin ln bin
ph thuc y.
Gi s: x2i = 3x3i, Khi :
yi = 1 + 2x2i + 3x3i + ui

= 1 + (32+ 3)x3i + ui ; t: 3 =32+ 3 => yi = 1 + 3 x3i + ui

=> Khng th tch c nh hng ca 2 v 3
3.3.

c lng cc tham s m hnh hi qui a bin

Ta c hm hi qui mu tng qut c vit di dng nh sau:

yi = 1 + 2 x 2i + 3x 3i + ... + k x ki
Cc phn d c nh ngha ging nh trong m hnh hi qui n:

e i = y i y i
c lng cc tham s ca m hnh, chng ta s dng phng php bnh phng

nh nht-OLS (nh gii thiu Chng II) t tm ra 1, 2 , 3 ,..., k

Ta c:

ei2 = ( yi ( 1 + 2 x 2i + 3x 3i + ... + k x ki ))2

Chng ta c thit lp cc iu kin bc nht cho php tnh ti thiu ny nh sau :

38

 ei2
= 2 ( yi ( 1 + 2 x 2i + 3x 3i + ... + k x ki )) = 0

ei2
= 2 ( yi ( 1 + 2 x 2i + 3x 3i + ... + k x ki )) x 2i = 0

.....................................................................................................
ei2
= 2 ( yi ( 1 + 2 x 2i + 3x 3i + ... + k x ki )) x ki = 0

H phng trnh m chng ta c c gi l h phng trnh chun. Chng ta c th

gii K phng trnh chun ny tm K h s beta cha bit.
3.4.

Trng hp hm hi qui c 2 bin gii thch

Cc tham s 1 , 2 , 3 c tnh t h phng trnh chun sau y:

1 + 2 x 2 + 3x 3 = y
1 x 2i + 2 x 22i + 3 x 2i x 3i = yi x 2i
1 x 3i + 2 x 2i x 3i + 3 x 32i = yi x 3i
Trong :

x 2 = x 2i / n; x 3 = x 3i / n; y = yi / n
Gii h phng trnh ta tm c:
1 = y 2 x 2 3x 3
( ( y y)( x 2i x 2 ))( ( x 3i x 3 ) 2 ) ( ( y i y)( x 3i x 3 ))( ( x 2i x 2 )( x 3i x 3 ))
2 = i
( ( x 2i x 2 ) 2 )( ( x 3i x 3 ) 2 ) ( ( x 2i x 2 )( x 3i x 3 )) 2

( ( y y)( x 3i x 3 ))( ( x 2i x 2 ) 2 ) ( ( yi y)( x 2i x 2 ))( ( x 2i x 2 )( x 3i x 3 ))

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

1 , 2 , 3 c gi l cc c lng bnh phng nh nht

Phng sai v lch chun c tnh bi cng thc sau:

39

Var ( 2 ) =
Var ( 3 ) =

2
2

2
)
( x 2i x 2 ) (1 r23
2

2
)
( x 3i x 3 ) (1 r23

Cov( 2 , 3 ) =

Se( 2 ) = Var ( 2 )

Se( 2 ) = Var ( 2 )

2 2
r23

2
(1 r23
)

( x 2i x 2 ) 2 ( x 3i x 3 ) 2

( ( x 2i x 2 )( x 3i x 3 )) 2
2
r23 =
( x 2i x 2 ) 2 ( x 3i x 3 ) 2
2
Trong cng thc trn l phng sai ca ui, nhng cha bit. c lng khng chch
ca n bng:

)2

ei2

n 3

3 l s tham s trong m hnh, trng hp m hnh c k tham s 1,2, 3,. . . k th :

)2

ei2

nk

H s xc nh bi R2 v h s xc nh bi hiu chnh R 2

3.5.

Khi nh gi mc thch hp, tng bnh phng ton phn, tng bnh phng hi qui,
v tng bnh phng ca sai s c cng dng nh trnh by trc, v y cng c
TSS = RSS + ESS
Trong m hnh hi qui hai bin R2 o thch hp ca hm hi qui. N chnh l t l
ca ton b s bin i ca bin ph thuc y do bin gii thch x gy ra. Trong m hnh
hi qui a bin t l ca ton b s khc bit ca bin y do tt c cc bin x2 v x3 gy
ra c gi l h s xc nh bi, k hiu l R2:
2

R =

2 ( yi y)( x 2i x 2 ) + 3 ( yi y)( x 3i x 3 )

( y i y) 2

= 1

ei2

( yi y) 2

0 R2 1. Nu R2 =1, c ngha l ng hi qui gii thch 100% thay i ca y. Nu

R2 =0, c ngha l m hnh khng gii thch s thay i no ca y.

40

Tuy nhin, nh ngha R2 theo cch ny s pht sinh mt vn . C th thy l vic

thm vo bt k mt bin no (d bin ny c ngha hay khng) th R2 cng s khng
bao gi gim. Chng ta d thy iu ny bng l lun theo trc gic. Khi mt bin mi
c thm vo v RSS c cc tiu, chng ta ang cc tiu theo mt tp rt nhiu bin
s v v vy RSS mi c v s nh hn (t nht th cng khng ln hn). C th hn, gi
s s hng k+1Xk+1,i c thm vo phng trnh (3.1) v ta c c mt m hnh mi.
Nu gi tr cc tiu ca tng bnh phng ca m hnh mi ny ln hn gi tr ca m
hnh c, th ta t k+1 bng khng v s dng cc c lng c cho cc gi tr khc s
tt hn, v v vy cc c lng mi khng th c RSS cc tiu. iu ny ko theo khi
mt bin mi c thm vo, gi tr R2 tng ng khng th gim i m cn c th tng
thm. Do vy, ngi ta thng c gng thm mt bin mi vo ch tng R2 khng k
n mc quan trng ca bin i vi vn ang gii quyt.
ngn chn tnh trng c a thm bin vo m hnh nh nu trn, mt php o
khc v mc thch hp c s dng thng xuyn hn. Php o ny gi l R2 hiu
chnh hoc R2 hiu chnh theo bc t do (kt qu ny lun c in ra khi thc hin
hi qui bng nhng phn mm chuyn dng). pht trin php o ny, trc ht phi
nh l R2 o lng t s gia phng sai ca Y c gii thch bng m hnh; mt
cch tng ng, n bng mt tr i t s khng c gii thch do phng sai ca
sai s Var(u). Ta c th biu din cng thc tnh R 2 nh sau:

R 2 = 1

Var (u )
Var (Y )

Chng ta bit rng mt c lng khng chch ca Var (u) c tnh bng RSS/(n k),
v mt c lng khng chch ca Var (Y) c tnh bng TSS/(n 1). Thay vo
phng trnh trn ta c:
R 2 = 1

RSS /( n k )
RSS (n 1)
= 1
TSS /( n 1)
TSS (n k )

(n 1)
2 (n 1)
2
(1 R ) = 1
= 1
(n k )
TSS
Vic thm vo mt bin dn n tng R2 nhng cng lm gim i mt bc t do, bi v
chng ta ang c lng thm mt tham s na. R2 hiu chnh l mt php o thch
hp tt hn bi v n cho php nh i gia vic tng R2 v gim bc t do. Cng cn
lu l v (n 1) / (n k) khng bao gi nh hn 1. R2 hiu chnh s khng bao gi ln
hn R2. Tuy nhin, mc d R2 khng th m, R2 hiu chnh c th nh hn khng. V
d, khi n = 26, k = 6, v R2 = 0,1, chng ta c R2 hiu chnh = 0,125.
T chng ta thy rng khng th dng R2 lm tiu chun xem xt vic khng a
2
thm hay a thm mt bin gii thch mi vo trong m hnh. Do vy R thng
c s dng cn nhc khi xem xt vic a thm mt bin gii thch mi vo m
2
hnh. Chng ta ch a thm bin mi vo m hnh khi R tng.

41

3.6.

Khong tin cy v kim nh cc h s hi qui

3.6.1.

c lng khong tin cy i vi j

Hi qui tuyn tnh bi cng c cc tnh cht gn ging nh hi qui tuyn tnh n
nhng bc t do thay i.
Cc h s c lng tun theo phn phi chun

j ~ N ( j , Se( j ))
j j
Se( j )

~ T (n k )

Nh trong trng hp hi qui n, c lng phng sai sai s da vo cc phn d

bnh phng ti thiu. Trong k l s h s c trong phng trnh hi qui a bin

2 =

ei2

nk

+ c lng 2 pha, ta tm c t/2 (n-3) tho mn

P( t / 2 (n 3)

j j
Se( j )

t / 2 (n 3)) = 1

Khong tin cy 1- ca j l:

[ j t / 2 (n 3)Se( j); j + t / 2 (n 3)Se( j) ]

3.6.2.

Kim nh gi thit i vi j

Kim nh ngha thng k ca cc h s hi qui c ngha hay khng: kim nh rng

bin gii thch c thc s nh hng n bin ph thuc hay khng. Ni cch khc l h
s hi qui c ngha thng k hay khng. Cch lm tng t nh i vi hi qui n,
nhng thay i t do.
V d kim nh hai pha, Gi thit:
H0 : j = 0
H1 : j 0

Lut quyt nh: t c > t * ( / 2,n k ) bc b gi thit khng

Chng ta c th s dng gi tr p-value trong EViews. Nu p.value tnh c nh hn
mc ngha th chng ta bc b gi thit khng.

42

3.7.

Kim nh mc ngha chung ca m hnh (trng hp c bit ca

KIM NH WALD)

3.7.1.

Khi qut v kim nh WALD:

Gi s chng ta c 2 m hnh di y:
(U ) : Y = 1 + 2 X 2 + 3 X 3 + 4 X 4 + u
( R) : Y = 1 + 2 X 2 +
M hnh U c gi l m hnh khng gii hn (unrestrict), v M hnh R c gi l
m hnh gii hn (restrict). l do 3 v 4 buc phi bng khng trong M hnh R.
Ta c th kim nh gi thuyt lin kt 3 = 4 = 0 vi gi thuyt i l t nht mt trong
nhng h s ny khng bng khng. Kim nh gi thuyt lin kt ny c gi l kim
nh Wald. Th tc nh sau.
t cc m hnh gii hn v khng gii hn l:
(U ) : Y = 1 + 2 X 2 + .... + m X m + m +1 X m +1 + ..... + k X k + u
( R) : Y = 1 + 2 X 2 + .... + m X m +
M hnh R c c bng cch b bt mt s bin M hnh U, l Xm+1, Xm+2, Xk.
V vy, gi thuyt l:
H 0 : m +1 = ... = k = 0
H 1 : khong phai dong thoi cac tham so bang 0
Lu rng (U) cha k h s hi qui cha bit v (R) cha m h s hi qui cha bit. Do
, M hnh R c t hn k m thng s so vi U. Cu hi chng ta s nu ra l k m
bin b loi ra c nh hng lin kt c ngha i vi Y hay khng.
Gi s nhng bin b loi ny khng c nh hng c ngha i vi Y. Chng ta s
khng k vng tng bnh phng sai s ca M hnh R (RSSR) qu khc bit vi tng
bnh phng sai s ca M hnh U (RSSU). Ni cch khc, sai bit RSSR RSSU c
v rt nh. Nhng gi tr ny nh nh th no? Chng ta bit l RSS rt nhy vi n v
o lng, v v vy c th lm gi tr ny ln hn hay nh hn ch n gin bng cch
thay i thang o. Nh hoc ln c xc nh bng cch so snh sai bit trn vi
RSSU, tng bnh phng sai s ca m hnh hon ton khng gii hn. V vy, RSSR
RSSU c so snh vi RSSU. Nu gi tr u nh tng i so vi gi tr sau, chng
ta kt lun l vic loi b cc bin Xm+1, Xm+2, Xk khng thay i RSS c th
tin l cc h s ca chng c ngha.
Do RSSU/2 c phn phi chi bnh phng vi n k bc t do (n quan st tr k thng
s trong M hnh U). C th thy (RSSR RSSU)/2 cng l phn phi chi bnh
phng (v tnh cht cng ca chi bnh phng) vi bc t do bng s bin s loi b
trong (R). Do t s ca hai phn b chi bnh phng c lp c phn phi F c hai
thng s: bc t do cho t s ca t s, bc t do cho mu s. Tr thng k s cn c
trn t s F.
Th tc kim nh nh sau:

43

H 0 : m +1 = ... = k = 0
H 1 : khong phai dong thoi cac tham so bang 0
Tr thng k kim nh i vi gi thit ny l :
Fc =
=

[RSS R RSSU ] /(k m) ~ F ( , k m, n k )

RSSU /(n k )

( RU2 R R2 ) /(k m)
(1 RU2 ) /( n k )

vi R2 l s o thch hp khng hiu chnh. Vi gi thuyt khng, Fc c phn phi F

vi k m bc t do i vi t s v n k bc t do i vi mu s.
Nguyn tc ra quyt nh: Bc b gi thit khng khi
Fc > F ( , k m, n k )
Hoc gi tr p-value ca thng k F nh hn mc ngha cho trc.
3.7.2.

Kim nh ngha ca m hnh:

Trong m hnh hi qui a bin, gi thit "khng" cho rng m hnh khng c ngha
c hiu l tt c cc h s hi qui ring (cc tham s dc) u bng khng.
ng dng kim nh Wald (thng c gi l kim nh F) c tin hnh c th nh
sau:
Bc 1 Gi thuyt khng l H0: H 0 : 2 = 3 = ... = k = 0 . Gi thuyt ngc li l H1:
c t nht mt trong nhng gi tr khng bng khng.
Bc 2 Trc tin hi qui Y theo mt s hng khng i v X2, X3, , Xk, sau tnh
tng bnh phng sai s RSSU. K n tnh RSSR. Chng ta nh ngha phn phi F
l t s ca hai bin ngu nhin phn phi chi bnh phng c lp. iu ny cho ta tr
thng k:
Fc =

[RSS R RSSU ] /(k m) ~ F ( , k m, n k )

RSS U /(n k )

V H 0 : 2 = 3 = ... = k = 0 , d dng thy rng tr thng k kim nh i vi gi

thit ny s l:
Fc =

ESS /(k 1)
~ F ( , k 1, n k )
RSS /(n k )

Bc 3 T s liu trong bng F tng ng vi bc t do k 1 cho t s v n k cho

mu s, v vi mc ngha cho trc , ta c F*(, k-1,n-k) sao cho din tch bn phi
ca F* l .

44

Bc 4 Bc b gi thuyt khng mc ngha a nu Fc > F*. i vi phng php gi

tr p, tnh gi tr p = P(F > Fc|H0) v bc b gi thuyt khng nu gi tr p nh hn mc
ngha.
3.8.

Phng php ma trn gii bi ton hi qui a bin

Chng ta thy rng trong hi qui a bin, nu chng ta s dng cch thc thay th dn
tm tham s hi qui s rt phc tp v mt rt nhiu thi gian, c bit i vi nhng
m hnh c nhiu bin gii thch. Mt cch n gin hn gii quyt l s dng
phng php ma trn.
Gi s chng ta c hm hi qui tng th
y = 1 + 2x2 + 3x3 + . . . kxk + u
Chng ta vit cho tng quan st nh sau:

y1 = 1 + 2 x 21 + 3x 31 + ... + k x k1 + u1
y 2 = 1 + 2 x 22 + 3x 32 + ... + k x k 2 + u 2
M
M
M
y n = 1 + 2 x 2n + 3x 3n + ... + k x kn + u n
Vit di dng ma trn ta c:
Y = X +U
trong

Y ma trn cp n 1
X ma trn cp n k

ma trn cp k 1
U ma trn cp n 1
Vi x1 c biu din l:

1
1
x1 =
M

1
V d nu k bng 2:

45

PRF

 y1 1 x 21
u1

y 2 = 1 x 22 1 + u 2

M M
M 2 M

y n 1 x 2n
u n
Hm hi qui mu c vit nh sau:

yi = 1 + 2 x 2i + 3x 3i + ... + k x ki
y = + x + x + ... + x + e
i

2 2i

3 3i

k ki

Hay
Y = X + e
e1

e
e = 2 = Y X
...

e n
Khi cc c lng OLS tm c bng cch:

ei2 = ( yi ( 1 + 2 x 2i + 3x 3i + ... + k x ki )) 2 min

e' e = ei2 = (Y X )' (Y X ) = Y ' Y ' X' Y Y ' X + ' X ' X
= Y' Y 2 ' X ' Y + X ' X 2
(e' e)
= 2X ' Y + 2X ' X X ' Y = X ' X

= (X ' X) 1 X ' Y
T chng ta d dng tnh c cc tham s ca hm hi qui mu, cng nh vic ng
dng cc qui tc tnh phng sai v lch chun chng ta cng d dng tm c
phng sai v lch chun ca cc tham s hi qui.

46

BI THC HNH

Khi nghin cu s ngi s di chuyn bng xe but vi nhiu yu t nh hng khc

nhau. Ngi ta thu thp d liu cho cho 40 thnh ph khp nc M.
BUSTRAVL
2073.0
2136.1
1878.8
937.5
7343.3
837.9
1648.0
739.1
1070.7
274.6
312.9
1879.1
1941.0
2317.6
471.4
594.3
7632.9
510.1
630.6
1650.9
1618.3
2009.8
1562.4
1139.4
13103.0
3739.6
525.7
2385.8
1698.5
544.0
1769.1
1065.0
803.1
1616.7
146.5
18.1
2056.1
470.1
242.5
3933.5

FARE
0.85
0.75
0.60
1.00
0.50
0.85
1.00
0.75
1.50
1.50
0.75
1.00
0.60
1.50
1.05
0.70
0.60
0.60
0.60
1.00
0.50
1.15
1.15
0.60
1.00
1.35
0.75
1.00
1.15
1.00
0.85
0.50
1.25
0.75
0.75
0.75
1.00
0.75
0.75
0.60

GASPRICE
0.88
1.03
0.91
0.91
0.97
0.88
0.91
0.89
0.89
0.89
0.87
0.94
0.99
0.87
0.93
0.79
0.93
0.93
0.93
1.03
0.86
0.96
0.96
0.88
1.00
0.92
0.91
0.89
0.93
0.87
0.81
0.85
0.98
0.90
0.90
0.90
0.88
0.92
0.92
0.96

INCOME
17293
17768
17823
15163
17480
15329
16141
15326
17115
17117
16127
17242
17340
15108
15809
16321
18027
18023
12349
17886
16537
13019
13019
13130
20513
17409
15944
15207
15409
17743
16309
15092
18014
21886
20744
21313
17539
17633
17643
15522

POP
537.1
787.0
587.1
338.0
3090.0
399.0
561.8
585.1
1142.4
486.5
198.7
549.8
1253.0
1603.0
741.2
490.4
3478.9
423.3
304.0
377.2
664.0
368.0
265.0
572.0
7323.3
1760.2
991.6
396.6
387.0
167.0
495.9
794.0
1027.2
753.6
376.0
698.1
548.3
295.7
259.8
693.6

DENSITY
4099
9798
12438
8070
13547
5110
7110
3234
3431
2027
4113
4975
8913
2885
2105
1551
7486
8508
4997
10994
6702
6714
5144
2832
24288
12944
3059
8147
3751
8309
8077
2318
3208
16240
6988
4422
3790
3497
4675
11068

LANDAREA
131.0
80.3
47.2
41.8
228.1
78.1
79.0
180.9
333.0
240.2
48.4
110.6
135.6
556.4
352.0
316.3
464.7
49.8
60.0
34.3
95.8
55.1
52.4
199.4
301.5
136.0
324.0
55.4
103.3
18.9
61.4
262.7
320.0
46.4
53.9
158.0
144.6
84.4
55.5
62.7

Cc bin c nh ngha nh sau:

BUSTRAVL = Mc giao thng bng xe but th tnh theo ngn hnh khch mi
gi

47

FARE = Gi v xe but tnh bng $

GASPRICE = Gi mt ga lng nhin liu tnh bng $
INCOME = Thu nhp bnh qun u ngi tnh bng $
POP = Dn s thnh ph tnh bng ngn ngi
DENSITY = Mt dn s tnh (ngi/dm vung)
LANDAREA = Din tch thnh ph (dm vung)
c trng tng qut ca m hnh, c xem c dng nh sau:

BUSTRAV = 1 + 2FARE + 3GASPRICE + 4INCOME + 5POP + 6DENSITY +

7LANAREA + u
Trc khi c lng m hnh, chng ta s xc nh du ca cc bin, mc u tin,
cho cc h s hi qui. y chng ta gi nh nhng tim n v pha cung khng c
xem l quan trng. Bi v mt s gia tng gi v xe but c th lm gim nhu cu i xe
but, nn chng ta k vng 2 s m. Trong lnh vc di chuyn, xe hi s l mt thay
th i vi xe but, v v vy mt s gia tng gi nhin liu c th khin mt s ngi
tiu th chuyn sang i xe but, v vy chng ta k vng mt hiu ng tch cc y;
ngha l 3 s dng. Khi thu nhp tng, chng ta k vng nhu cu i vi hng tiu
dng cng tng ln, v v vy nh thng l chng ta k vng 4 s dng. Tuy nhin,
nu hng tiu dng thuc loi hng ha thp cp, th hiu ng thu nhp (ngha l, 4)
s m. Mt s gia tng dn s hay mt dn s thng lm gia tng nhu cu di chuyn
bng xe but, v vy, chng ta k vng 5 v 6 s dng. Nu din tch t tng ln, th
thnh ph s tri rng ra hn v ngi tiu th c th thch dng xe hi nh l phng
tin giao thng chnh hn, nu y l mt tnh hung th 7 c k vng s m.
Kt qu hi qui c tnh ton bi phn mm Eviews.
M hnh 1:
Dependent Variable: BUSTRAVL
Method: Least Squares
Date: 06/07/08 Time: 00:05
Sample: 1 40
Included observations: 40
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
FARE
GASPRICE
INCOME
POP
DENSITY
LANDAREA

2744.680
-238.6544
522.1132
-0.194744
1.711442
0.116415
-1.155230

2641.672
451.7281
2658.228
0.064887
0.231364
0.059570
1.802638

1.038994
-0.528314
0.196414
-3.001294
7.397176
1.954253
-0.640855

0.3064
0.6008
0.8455
0.0051
0.0000
0.0592
0.5260

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.921026
0.906667
742.9113
18213267
-317.3332
2.082671

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

48

1933.175
2431.757
16.21666
16.51221
64.14338
0.000000

Qua bng kt qu chng ta thy rng R2 hiu chnh l 0,907, c ngha rng 90,7% s
bin i ca BUSTRAVL c gii thch chung bi cc bin trong m hnh ( c
iu chnh do gim bc t do ca m hnh). i vi mt nghin cu cho, R2 hiu chnh
nh vy l kh cao.
Nhn vo gi tr p-value (c cho ct cui cng), khi kim nh hai pha cho thy
rng ch INCOME, POP, v DENSITY c cc h s c ngha mc 10%. Hng s v
cc h s ca FARE, GASPRICE, v LANDAREA khng c ngha v mt thng k
ngay c mc ln hn.
Kim nh ngha ca m hnh bng kim nh F, ta thy rng F = 64,14 v mc
ngha ca F, PF < 0.1 do ta c th kt lun m hnh trn l c ngha.
Nhng chng ta s phi lm g vi nhng h s khng c ngha. Qui tc chung l b
qua ngha ca hng s hoc l khng cn n. Tuy nhin, FARE, GASPRICE, v
LANDAREA cn phi xem xt loi b khi m hnh bi v khng c bng chng chng
t chng c nhng nh hng c ngha ln BUSTRAVL.
Chng ta c th thc hin mt b tt c chng, c lng mt m hnh c gii hn,
v thc hin kim nh Wald F-test nh trnh by. to thc hin vic ny, chng
ta ly ra tng bnh phng sai s v s bc t do cho m hnh khng gii hn va mi
c c lng. Tuy nhin, chng ta cng cn cn trng, v vic cng lc loi b mt
vi bin cng c th b mt nhng bin c ngha hoc l nhng bin quan trng v
mt l thuyt. Do , cch lm thn trng v nhy bn hn l loi b dn tng bin. C
mt vi l do i vi vic loi b cc bin vi cc h s khng c ngha. Th nht, mt
m hnh n gin hn d din gii hn mt m hnh phc tp. Th hai, vic b bt mt
bin lm tng bc t do v v vy ci thin s chnh xc ca cc h s cn li. Cui
cng, nh chng ta s thy trong chng tip theo, nu cc bin gii thch c tng
quan cht vi nhau n s gy kh khn cho s din gii ring tng h s. Vic loi tr
cc bin lm gim c hi ny sinh nhng tng quan ny v v vy n lm cho vic
din gii c ngha hn.
im bt u cho qu trnh loi b l nhn din bin c h s hi qui t c ngha nht.
iu ny c thc hin bng cch nhn vo gi tr p-value cao nht. T kt qu m
hnh A, chng ta rng h s cho GASPRICE c gi tr p-value cao nht v v vy t
c ngha nht. Do , bin ny b loi b khi c trng m hnh v chng ta s thc
hin hi qui vi nhng bin cn li. Kt qu hi qui thu c sau khi loi b bin
GASPRICE nh sau:

49

M hnh 2:
Dependent Variable: BUSTRAVL
Method: Least Squares
Date: 06/07/08 Time: 00:07
Sample: 1 40
Included observations: 40
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
FARE
INCOME
POP
DENSITY
LANDAREA

3215.856
-225.6595
-0.195716
1.716808
0.118216
-1.195297

1090.469
440.4936
0.063777
0.226474
0.058023
1.765554

2.949058
-0.512288
-3.068778
7.580596
2.037401
-0.677010

0.0057
0.6118
0.0042
0.0000
0.0495
0.5030

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.920934
0.909307
732.3323
18234559
-317.3565
2.079321

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

1933.175
2431.757
16.16783
16.42116
79.20400
0.000000

Ta thy rng vic loi b bin ci thin cc rng buc la chn m hnh, ci thin
chnh xc ca cc h s cn li bng cch lm cho chng c ngha nhiu hn, d
dng thy c iu ny qua gi tr p-value. Bin c h s t ngha nht (gi tr pvalue cao nht), by gi l FARE. Nhng v xe but l mt thc o gi c m theo
cch ni l thuyt kinh t l mt yu t quan trng ca nhu cu.
Do , chng ta khng nn loi b n ngay c khi gi tr p-value cho rng chng ta c
th b. Do vy bc k tip ta loi b LANDAREA, bin c gi tr p-value cao nht k
tip. Tip tc thc hin hi qui, ta thu c:
M hnh 3:
Dependent Variable: BUSTRAVL
Method: Least Squares
Date: 06/07/08 Time: 00:08
Sample: 1 40
Included observations: 40
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
FARE
INCOME
POP
DENSITY

3111.181
-295.7306
-0.202197
1.588337
0.149027

1071.067
424.8354
0.062564
0.122654
0.035713

2.904749
-0.696106
-3.231821
12.94973
4.172925

0.0063
0.4910
0.0027
0.0000
0.0002

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.919868
0.910710
726.6434
18480373
-317.6243
1.995180

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

50

1933.175
2431.757
16.13122
16.34233
100.4449
0.000000

Ta thy rng bin DENSITY gia tng ngha ng k. Tuy nhin, bin FARE c gi
tr p-value l 49%, qu cao khng th chp nhn c. iu ny gi rng, vi s c
mt ca cc bin khc, gi c c th khng nh hng ln nhu cu i xe but. Ni cch
khc, khi c nhu cu i xe but, ngi tiu th c th khng nhy cm lm vi gi c.
Do vy, loi b FARE l cn thit v li tip tc hi qui vi nhng bin cn li, ta thu
c kt qu:
M hnh 4:
Dependent Variable: BUSTRAVL
Method: Least Squares
Date: 06/07/08 Time: 00:09
Sample: 1 40
Included observations: 40
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INCOME
POP
DENSITY

2815.703
-0.201273
1.576575
0.153421

976.3007
0.062101
0.120612
0.034898

2.884053
-3.241076
13.07148
4.396311

0.0066
0.0026
0.0000
0.0001

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.918759
0.911989
721.4228
18736228
-317.8993
1.878671

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

1933.175
2431.757
16.09497
16.26386
135.7080
0.000000

Qua kt qu ta thy rng m hnh ny c cc tr thng k la chn m hnh thp nht v

tt c cc h s u c ngha rt ln. Hn na, cc h s i vi INCOME, POP, v
DENSITY khng khc vi cc h s gia m hnh 3 v m hnh 4. V vy c th kt
lun vic loi b FARE khng qu nghim trng.
Da trn tt c cc rng buc, m hnh 4 dng nh l tt nht v c chn nh l
m hnh cui cng cho vic din dch.
Cc h s ca thu nhp, kch thc dn s, v mt dn s c ngha rt ln. L
thuyt kinh t chun cho rng nh hng thu nhp ln nhu cu i vi bt c hng ha
no u dng, nhng h s c lng ca INCOME th li m. iu ny, khng gy
ngc nhin, gi rng i xe but l mt loi hng ha thp cp. Khi thu nhp tng
ln, ngi ta c khuynh hng s dng xe hi di chuyn, v v vy lng i xe but
s gim xung. Nu thu nhp u ngi tng ln khong 100 la, th v trung bnh, i
xe but c k vng gim khong khong 20,13 ngn ngi mi gi. H s ca POP
v DENSITY dng hay c th ni khi dn s hay mt dn s tng ln, th c nhiu
ngi di chuyn bng xe but hn.
Mc d vy, thc s c nhng kt lun tht tho ng, chng ta cn phi thc hin
nhng kim nh v phn tch su hn na.

51

CHNG IV
A CNG TUYN

Cc bin gii thch c xc nh trong mt m hnh kinh t lng thng xut pht t
l thuyt hoc nhng hiu bit ca chng ta cng nh t kinh nghim qu kh. D liu
v cc bin ny c bit xut pht t nhng thc nghim khng kim sot v thng
tng quan vi nhau. V d, dn s v tng sn phm quc ni l hai chui d liu
tng quan cht ln nhau. Trong chng trc, chng ta pht biu l h s hi qui i
vi mt bin c th l s o tc ng ring phn ca bin ny, ngha l tc ng ca n
khi tt c cc bin khc trong m hnh c gi nhng mc c nh v ch c gi tr
ca bin ny thay i. Tuy nhin, khi hai bin gii thch cng tng quan cht; chng ta
khng th ch n gin gi mt bin khng i v thay i bin cn li v khi bin sau
thay i th bin u thay i. Cng vy, thay i m hnh bng cch loi b hoc thm
vo mt bin c th lm thay i kt qu mt cch nghim trng, khin cho vic din
dch cc c lng s kh khn hn. y chnh l vn a cng tuyn, vn xut
hin khi cc bin gii thch c cc quan h gn nh tuyn tnh.
4.1.

Bn cht ca a cng tuyn

Trng hp l tng l cc bin khng c tng quan vi nhau; mi mt bin Xj cha

mt thng tin ring v Y, thng tin khng cha trong bt k bin Xj khc. Trong thc t,
khi iu ny xy ra ta khng gp hin tng a cng tuyn. trng hp ngc li, ta
gp hin tng a cng tuyn.
Gi s ta phi c lng hm hi qui Y gm k bin gii thch X1,X2,.. , Xk:
Yi= 1+ 2X2i+ 3X3i,... + kXki + ui
a cng tuyn xy ra khi mt bin gii thch c biu din di dng t hp tuyn
tnh ca cc bin gii thch cn li i vi mi im ca tp s liu. Hay c th ni, nu
tn ti cc i khng ng nht bng 0 lm cho:
2
2x2i + 3x3i +...+ kxki +i = 0; Trong i l nhiu; E(i)=0; Var(i)= i 0
Trng hp ny chng ta c th ni l c a cng tuyn
Ni chung hi qui a bin l c a cng tuyn, vn l mc no. Trng hp
Var(i)= 0, => i = 0 do E(i)=0, khi ta c 2x2i + 3x3i +...+ kxki = 0, trng
hp ny c gi l a cng tuyn hon ho. Nhng thc t Var(i)= 0 rt kh xy ra,
ch c khi s liu qu t hoc a vo xi sai. Khi Var(i)> 0, ta c a cng tuyn khng
hon ho, Var(i) ln th a cng tuyn thp.
V d: Gi s chng ta c lng hm tiu dng. Y = tiu dng, X2 = thu nhp v X3 =
ca ci.

52

Y = 1 + 2X2 + 3X3 + u;

X3 = 5X2

Y = 1 + 2X2 + 35X2 + u
Y = 1 + (2 + 53)X2 + u
Chng ta c th c lng (2 + 53) nhng khng c lng ring tng h s hi qui.
Hay c th ni khng th c nghim duy nht cho tng h s hi qui (xem li cch tnh
cc h s hi qui). Nh vy cc h s hi qui s khng xc nh c.
4.2.

Ngun gc ca a cng tuyn

Do phng php thu thp d liu:

Cc gi tr ca cc bin c lp ph thuc ln nhau trong mu, nhng khng ph

thuc ln nhau trong tng th.

V d: ngi c thu nhp cao hn khuynh hng s c nhiu ca ci hn. iu

ny c th ng vi mu m khng ng vi tng th.
Trong tng th s c
cc quan st v cc c nhn c thu nhp cao nhng khng c nhiu ca ci v
ngc li.

Cc bin c lp v m c quan st theo d liu chui thi gian

V d: Nhp khu quc gia ph thuc vo GDP v CPI (cc ch s ny c thu thp t
d liu chui thi gian).

4.3.

c lng khi c a cng tuyn hon ho

Khi c a cng tuyn hon ho th cc h s hi qui l khng xc nh cn cc sai s

tiu chun l v hn. Chng ta d dng thy c t v d trong phn 4.1. Ta cng c
th s dng cng thc tnh 2 & 3 nh trnh by phn hi qui a bin, ta cng
thy rng & l khng xc nh do t s v mu s = 0
2

4.4.

c lng khi c a cng tuyn khng hon ho

Trng hp chng ta gi thit gia x2 v x3 c a cng tuyn khng hon ho theo

ngha:
x2i = x3i + i
Trong 0, i l nhiu ngu nhin
Trong trng hp ny, theo phng php bnh phng b nht ta c th thu c
2 & 3 nhng vic gii thch n s gp rt nhiu kh khn.

53

4.5.

Hu qu ca a cng tuyn

Khi c hin tng a cng tuyn trong m hnh, chng ta c th s gp phi nhng hu
qu sau:

Sai s chun ca cc h s hi qui ln, lm cho khong tin cy ln v thng k t

t ngha v khi cc c lng khng tht chnh xc. Chng ta d i n
khng c c s bc b gi thit khng nhng trong thc t khng ng nh
vy. Hay c th ni n s lm cho chng ta khng xc nh ng tc ng ca
mi bin c lp n bin ph thuc, thm ch cc h s hi qui b c lng sai
du.

Cc mu ngu nhin khc nhau t nhng c th cho kt qu c lng khc nhau

nhiu, do Var ( j ) qu ln.

4.6.

Pht hin a cng tuyn

Tnh a cng tuyn thng xut hin di mt s c im nh sau:

Gi tr R2 cao vi cc gi tr ca tr thng k t thp: Mi h s hi qui u khng c
ngha (ngha l c gi tr t thp) nhng tr thng k F ca kim nh li rt c ngha.
Nhng gi tr cao cho cc h s tng quan: Cc tng quan tng mi cp gia cc
bin gii thch c th cao, Xin lu rng mt h s tng quan cao gia bin ph thuc
v mt bin c lp khng phi l mt du hiu ca tnh a cng tuyn. Thc ra mt
tng quan nh vy rt c mong mun.
Cc h s hi qui nhy vi cc c trng: Mc d mt s tng quan cao gia cc cp
bin c lp l mt iu kin cho tnh a cng tuyn, iu kin o li khng cn
thit phi ng. Ni cch khc, tnh a cng tuyn c th hin din mc d s tng
quan gia hai bin gii thch th hin khng cao. iu ny l do ba hay nhiu hn cc
bin c th gn tuyn tnh. Trong trng hp nh vy, bng chng tht s ca tnh a
cng tuyn l s quan st cho thy rng cc h s hi qui b thay i ng k khi cc
bin c thm vo hoc b ra.

Di y l mt s cch thng dng pht hin a cng tuyn:

4.6.1.

Xt h s tng quan v tng quan ring:

Xy dng ma trn h s tng quan cp v quan st nhn din mnh ca cc

tng quan tng cp bin s c lp
Gi s Yi = 1 + 2X2i + 3X3i + 4X4i +ui
Nu nh tng quan R(X2,X3); R(X2,X4); R(X3,X4) ln th c a cng tuyn.
Hoc nu nh tng quan R(Y,X2) ln m sau khi kim nh tc ng ca X2 n y
khng bc b c gi thit H0 th c th ni l c a cng tuyn.

54

4.6.2.

Pht hin qua hi qui ph:

Hi qui mt bin gii thch no m ph thuc tuyn tnh vo mt bin gii thch khc
(c h s chn) gi l hi qui ph.
Nu hi qui Xj = 1+ iXi (i j)
kim nh F: F = [R2/(k-1)] /[(1-R2)/(n-k)].
k s bin c lp trong hi qui ph
Nu F > F* th chng ta c th kt lun rng R2 khc khng c ngha thng k v iu
ny c ngha l c a cng tuyn.
4.6.3.

Tha s tng phng sai (Variance inflation factor-VIF)

Vi mi Xj, lm hi qui ph: Xj = 1+ iXi (i j)

Tnh: VIF = 1/(1-Rj2)
Ta thy rng khi Rj2 tng lm VIF tng v lm tng mc a cng tuyn
Ngi ta quan nim rng khi Khi VIF 10 th c a cng tuyn.
4.6.4.

o Theil:

tng ca phng php ny l khi khng c a cng tuyn th ng gp ca cc c

th l ng gp chung cn khi c a cng tuyn th ng gp ca c th nh hn nhiu
ng gp chung. Thc hin nh sau:
c lng k-1 hi qui, b Xj ra khi m hnh.
Khi hm hi qui l:
Yi = 1+ iXi + i (i j);
Sau khi hi qui ngi ta tm c R2(-j), l ph hp ca hm hi qui (khng c
Xj), sau tnh R2 - R2(-j) l phn ng gp ca Xj cho Y
Tnh m = R2 (R2 - R2(-j))
Ngi ta quan nim m/R2 > 0.5 th c a cng tuyn.
4.7.

Cc gii php khc phc

4.7.1.

B qua a cng tuyn:

Nu chng ta t quan tm n vic nh gi tc ng ca cc bin c lp n bin ph

thuc m ch trng ch yu vo vic d bo, th tnh a cng tuyn c th khng phi l
mt vn nghim trng. Khi ta c th b qua n m khng phi chu mt hu qu
xu no ng k. Hay c th ni nu ch phc v d bo th c th b qua a cng
tuyn.

55

4.7.2.

Loi b bin:

Tnh a cng tuyn l do nhng mi quan h cht ch gia cc bin gii thch, cch
chc chn nht loi b hoc gim bt cc tc ng ca tnh a cng tuyn l b mt
hoc nhiu bin ra khi m hnh. Vic loi b cc bin c tr thng k t thp ni chung
s lm ci thin mc ngha ca cc bin cn li. iu quan trng xy ra trong tnh
hung ny l cc bin cn li c kh nng nm gi nhng tc ng ca cc bin b loi
b c lin quan cht ch vi chng.
4.7.3.

Ti thit lp m hnh:

Trong nhiu tnh hung, ti xc nh m hnh c th lm gim tnh a cng tuyn.

4.7.4.

B sung d liu hoc tm d liu mi:

V a cng tuyn c trng cho mu, nn c th ly mu khc lin quan n cng cc

bin trong mu ban u m a cng tuyn c th khng cn nghim trng na. Do
vic b sung d liu hoc tm d liu mi i khi c xut da trn c s cho rng
vic gia tng kch thc mu s lm ci thin chnh xc ca mt c lng v do
gim thiu c nhng yu t phn tc dng ca tnh a cng tuyn.
4.7.5.

S dng thng tin tin nghim:

V d chng ta c th bit tc ng bin ca ca ci ln tiu dng ch bng 1/10 so vi

tc ng bin ca thu nhp ln tiu dng.
3 = 0.10 2
Chy m hnh vi iu kin tin nghim.
Y = 1 + 2X2 + 0.10 2X3 + u
Y= 1 + 2X trong X = X2 + 0.1X3
Khi c lng c 2 th suy ra 3 t mi quan h tin nghim trn.
BI TP THC HNH

Sau khi c lng hm tiu dng, vi X2 l thu nhp v X3 l ca ci. Chng ta thu
c kt qu nh sau:
Y =

1.60 0.10 X 2 + 0.18 X 3

p value

0.25

0.86

0.24

R 2 = 0.99
PF = 0.03
T kt qu, cho thy rng:

R2 rt cao gii thch 99% bin i ca hm tiu dng

Khng c bin c lp no c ngha (thng k t qu thp).

56

C mt bin sai du.

Gi tr thng k F rt cao dn n bc b gi thuyt khng v cho rng m

hnh c lng c ngha.

Chng ta c th thy c rng, iu ny do nguyn nhn bin thu nhp v ca ci

tng quan rt mnh vi nhau do khng th no c lng c tc ng bin chnh
xc cho thu nhp hoc ca ci ln tiu dng.
Xt tng quan gia X2 v X3 ta c:
R(X2,X3) = 0,99, y thc s l mt tng quan mnh, hay c th ni chng ta hu nh
chng ta c a cng tuyn hon ho gia X2 v X3
Hi qui tiu dng theo thu nhp:
Y =

1.57 + 0.82 X 2

p value

0.03

0.001

R 2 = 0.99
PF = 0.001
Ta thy bin thu nhp tr nn c ngha thng k, nhng trc lc trong m hnh
u th khng c ngha.
Hay tng t hi qui thu nhp Y theo ca ci:
Y =

1.57 + 0.34 X 2

p value

0.03

0.012

R = 0.99
PF = 0.012
2

Bin ca ci tr nn c ngha thng k, nhng trc lc trong m hnh u th

khng c ngha.
Qua kt qu , chng ta c th kt lun rng c hin tng a cng tuyn trong m
hnh, hay c quan h tuyn tnh cht gia hai bin thu nhp v ca ci. Khi chng ta
s phi s dng bin php no khc phc tnh trng trn.

57

CHNG V
HI QUI VI BIN GI
5.1.

Bn cht ca bin gi

Tt c cc bin chng ta gii thiu nhng chng trc u l bin nh lng;

ngha l cc bin ny c cc c tnh c th o lng bng s. Tuy nhin, hnh vi ca
cc bin kinh t cng c th ph thuc vo cc nhn t nh tnh nh gii tnh, trnh
hc vn, ma, v.vv d chng ta xem xt m hnh hi qui tuyn tnh n sau:
Y = 1 + 2X + u
Gi Y l mc tiu th nng lng trong mt ngy v X l nhit trung bnh. Khi nhit
tng trong ma h, chng ta s k vng mc tiu th nng lng s tng. V vy, h
s dc c kh nng l s dng. Tuy nhin, trong ma ng, khi nhit tng v
d t 20 n 40 , nng lng c dng si m s t hn, v mc tiu th s c
v gim khi nhit tng. iu ny cho thy c th m trong ma ng. V vy, bn
cht ca quan h gia mc tiu th nng lng v nhit c th c k vng l ph
thuc vo bin nh tnh ma.
Vy chng ta phi lm g c th m t c tc ng ca nhng bin nh tnh, hay
lm th no c th a cc bin nh tnh vo m hnh. Cng c x l chnh l
bin gi (dummy). Chng ta s gii thch trong nhiu trng hp khc nhau t n gin
n phc tp. Bin gi th hin cc bin nh tnh.
M hnh ch c bin gii thch l bin gi
M hnh c bin gii thch nh lng v bin gi
Bin gi thng c k hiu l D, v ch nhn 1 trong 2 gi tr l 0 v 1.
V d:
Chng ta bt u vi vic xem xt trng hp n gin nht trong mt bin nh tnh
ch c hai la chn. V d, gia hai ngi nh c cng cc c trng, mt c th c h
bi trong khi ngi nh cn li khng c. Tng t, gia hai nhn vin ca mt cng ty
c cng tui, hc vn, kinh nghim v.v, mt ngi l nam v ngi kia l n. Vy
lm th no o lng tc ng ca gii tnh n lng v tc ng ca s hin din
ca h bi n gi nh. C th chng ta s xem xt v d v lng v t Yi l tin
lng hng thng ca nhn vin th i trong mt cng ty. n gin, y chng ta b
qua cc bin khc c nh hng n lng v ch tp trung vo gii tnh. V bin gii
tnh khng phi l mt bin nh lng nn chng ta nh ngha mt bin gi (gi l D),
bin gi ny l ch nhn gi tr 1 trong 2 gi tr, bng 1 i vi nhn vin nam v bng 0
i vi nhn vin n. Chng ta s thit lp v c lng mt m hnh s dng bin gi
nh mt bin gii thch. Dng n gin nht ca m hnh nh sau:
Y = 1 + 2D + u

58

Chng ta gi s l s hng sai s ngu nhin tha mn tt c cc gi thit ca phng

php bnh phng nh nht. Chng ta c th ly k vng c iu kin ca Y vi D cho
trc v c cc phng trnh sau:
Nam: E(Y|D = 1) = 1 + 2
N:

E(Y|D = 0) = 1

Trong :

H s chn 1 ca hi qui tuyn tnh l tin lng trung bnh ca nhn vin n,
trong khi dc 2 ca ng hi qui o s khc nhau v tin lng gia nhn
vin nam v n.

Kim nh gi thit H0: 2 =0 cung cp kim nh v gi thit l khng c s

khc nhau tin lng gia nhn vin nam v nhn vin n.

Th tc bin gi c th d dng m rng cho trng hp c nhiu hn 2 la

chn (phm tr)..

5.2.

Hi qui vi bin gi

Phn ny ta xt m hnh hi qui ch c mt bin lng v mt bin cht, vi s phm

tr nhiu hn hoc bng 2. Trng hp c nhiu bin lng v mt bin cht th th tc
c lm tng t.
5.2.1.

Trng hp khi bin cht ch c 2 la chn (2 phm tr):

Gi s rng chng ta phi c lng mi quan h gia tin lng ca mt ngi lao
ng v s nm cng tc ca h
yi = 1 + 2xi +ui
Trong :

yi = tin lng hng nm ca mt ngi lao ng i.

xi = s nm cng tc ca mt ngi lao ng i.

y chng ta hon ton cha ni l ngi lao ng l nam hay n.

By gi gi s rng chng ta mun tm hiu xem xem liu c phi ngi lao ng n b
phn bit i x v vic tr lng ca h khng? Ta bt u bng vic c lng chung
cho c ngi lao ng nam v n bng cch xc nh mt bin mi ghi nhn s c mt
hay vng mt ca thuc tnh "n
Di = 0 nu quan st i thuc v mt ngi lao ng n
Di = 1 nu quan st i thuc v mt ngi lao ng nam
Khi m hnh hi qui c dng nh sau:

59

yi = 1 + 2Di + 3xi +ui

Gi tr k vng c iu kin nh sau:
E(y|Di =0)= 1 + 3xi

E(y|Di =1)= (1 + 2) + 3xi

nam

Tin lng ca lao ng nam

Tin lng ca lao ng n

X
H s 2 l chnh lch tung gc. D dng kim nh xem liu chnh lch ny c
ngha thng k hay khng: n gin l tnh gi tr thng k t cho 2 ri so vi gi tr
ti hn tra bng t* nh chng ta lm khi kim nh ngha thng k ca cc h s
hi qui.
5.2.2.

Trng hp vi mt bin lng v hai bin cht:

Gi s rng chng ta phi c lng mi quan h gia tin lng ca cc i tng v

s nm cng tc ca h, by gi chng ta gi thit thm rng, ngoi gii tnh th vng
m lao ng lm vic cng nh hng ti thu nhp. Nh vy ta s c hai bin cht:
Vng c 3 phm tr
Gii tnh c 2 phm tr
M hnh s c dng:
yi = 1 + 2D1i + 3D2i + 4D3i + 5xi +ui
Trong :

yi = thu nhp hng nm ca ngi lao ng i.

xi = s nm cng tc ca ngi lao ng i.

D1 = 1 nu lao ng ca cc doanh nghip min Bc

60

D1 = 0 nu lao ng khng thuc cc doanh nghip min Bc

D2 = 1 nu lao ng ca cc doanh nghip min Nam
D2 = 0 nu lao ng khng thuc cc doanh nghip min Nam
D3 = 1 nu lao ng l nam
D3 = 0 nu lao ng l n
Phm tr c c by gi l ngi lao ng thuc cc doanh nghip min Trung. Gi s
E(ui)=0, khi thu nhp trung bnh ca mt lao ng n 1 doanh nghip min Trung
l:
E(y|D1 =0, D2 =0, D3 =0, xi)= 1 + 5xi
5.3.

M t tc ng ca cc bin cht (bin nh tnh):

5.3.1.

Tc ng ch lm thay i tung gc (h s chn):

Trng hp chng ta ch xem xt tc ng ca bin nh tnh trong vic thay i tung

gc, ta s thit lp dng hm tng qut nh sau:
Yi = 1 + 2Xi + 3Di + ui
Ly k vng tng ng vi D = 0 v D = 1 s cho ta thy s thay i v tung gc do
tc ng ca bin nh tnh.

E (Y D = 0) = 1 + 2 X i
E (Y D = 1) = ( 1 + 3 ) + 2 X i
Hnh 4.1: V d v vic dch chuyn tung gc
Y

Yi = ( 1 + 3 ) + 2 X i
Yi = 1 + 2 X i

X
61

5.3.2.

Tc ng ch lm thay i s hng dc (h s gc):

Khi dng hm s c thit lp c dng nh sau:

Yi = 1 + 2Xi + 3DiXi + ui
C ngha l c lng m hnh ny, chng ta nhn bin gi vi X v to mt bin
mi, DX. Ri chng ta hi qui Y theo mt s hng khng i, X, v DX.
Ly k vng tng ng vi D = 0 v D = 1 s cho ta thy s thay i v s hng dc
do tc ng ca bin nh tnh.

E (Y D = 0) = 1 + 2 X i
E (Y D = 1) = 1 + ( 2 + 3 ) X i
Hnh 4.2: V d v vic dch chuyn s hng dc

Yi = 1 + ( 2 + 3 ) X i

Yi = 1 + 2 X i

5.3.3.

Tc ng lm dch chuyn c tung gc v s hng dc:

m t tc ng ca bin nh tnh i vi vic lm dch chuyn c tung gc v s

hng dc (hay c th gi l trng hp tng qut), chng ta thit lp m hnh nh
sau:
Yi = 1 + 2Xi + 3Di + 4DiXi + ui
Ly k vng tng ng vi D = 0 v D = 1 s cho ta thy s thay i v tung gc v
s hng dc do tc ng ca bin nh tnh.
E (Y D = 0) = 1 + 2 X i
E (Y D = 1) = ( 1 + 3 ) + ( 2 + 4 ) X i

62

Hnh 4.3: V d v vic dch chuyn c tung gc v s hng dc

Y

Yi = ( 1 + 3 ) + ( 2 + 4 ) X i

Yi = 1 + 2 X i

X
5.4.

c Lng Nhng Tc ng Ma

Mt v d v vic s dng bin gi trong c lng tc ng ma ca cc bin c lp.

Xem xt quan h E = 1 + 2T + u , c gii thiu trc y, gia vic tiu th
in nng v nhit . Trong ma h, khi nhit tng, nhu cu my lnh s y vic
tiu th in nng ln. Do vy chng ta k vng c du dng, E v T c tng quan
dng. Tuy nhin, vo ma ng, khi nhit tng (t 20 ln 40 ), nhu cu cho
vic si m nh tr nn thp hn v t chng ta mong i c du m v ma
ng, hay E v T c tng quan m. Bng cch no chng ta c th ghi nhn c tc
ng ln E ca bin nh tnh ma c bn loi: xun, h, thu, ng? Vic ny thc
hin c bng cch xc nh ba bin gi; c gi l: bin gi theo ma. Ma xun
c s dng lm ma iu khin:
D2 = 1 nu l ma h
D2 = 0 nu l ma khc
D3 = 1 nu l ma thu
D3 = 0 nu l ma khc
D4 = 1 nu l ma ng
D4 = 0 nu l ma khc
Vy ta c th biu din dng hm tng qut khi a vo m hnh bin nh tnh ma
nh sau:
E = 1 + 2 D2 + 3 D3 + 4 D4 + 1T + 2 D2T + 3 D3T + 4 D4T + u
Nhng m hnh c lng cho tng ma khi c biu din nh sau:
Ma xun:

E = 1 + 1T

63

Ma h:

E = (1 + 2 ) + ( 1 + 2 )T

Ma thu:

E = ( 1 + 3 ) + ( 1 + 3 )T

Ma ng:

E = (1 + 4 ) + ( 1 + 4 )T

2 l lch ca h s tung gc ma h so vi h s tung gc ca ma xun, v

2 l lch ca h s dc ma h so vi h s dc ca ma xun. C th thc
hin nhiu kim nh i vi nhng m hnh ny. V d, gi thuyt hp l l khng c
s khc bit trong quan h gia ma thu v ma xun.
So snh cc phng trnh ca ma thu v ma xun, gi thuyt hm rng 3 =3= 0.
iu ny c kim nh bng kim nh Wald.
5.5.

S dng bin gi Kim nh s thay i v cu trc

Mi quan h gia cc bin ph thuc v c lp c th c mt s thay i v cu trc

(cn c gi l s bt n nh v cu trc hay nhng gin on v cu trc); c
ngha l, mi quan h c th thay i t thi on ny sang thi on khc.
Kim nh thng k i vi thay i v cu trc c gi l Kim nh Chow (sau khi
Gregory Chow [1960] ln u tin cng b k thut ny). Phn ny trnh by hai
phng php kim nh i vi thay i v cu trc. Phng php th nht bao gm
vic chia mu thnh hai hay nhiu nhm, c lng m hnh mt cch ring bit i vi
tng thi on v vi c mu chung li, v sau xy dng mt tr thng k F s dng
tin hnh kim nh. phng php th hai, chng ta s dng cc bin gi.
5.5.1.

Kim nh da trn vic phn ct mu (Kim nh Chow)

Gi s chng ta mun kim nh xem c mt s thay i v cu trc hay khng

vo thi im t. Th tc s l phi chia mu gm n quan st thnh hai nhm, nhm 1
gm n1 quan st u tin v nhm 2 gm nhng quan st cn li n2 = n- n1 . c lng
m hnh mt cch ring bit (vi k h s hi qui) i vi tng nhm mt v tnh ton
tng bnh phng cc phn d RSS1 v RSS2. Do , tng cc bnh phng khng gii
hn c tnh bng RSSU = RSS1 + RSS2. Khi ly s ny chia cho 2, kt qu s c
phn phi chi-square vi bc t do d.f. l n1 k + n2 k = n 2k. c lng m hnh
ln na nhng vi chung c mu, v thu c gi tr RSSR. Tr thng k kim nh s
l:

Fc =

( RSSR RSSU ) / k
( RSSR RSS1 RSS 2) / k
=
~ F ( k , n1 + n2 2k )
RSSU /( n1 + n2 2k ) ( RSS1 + RSS 2) /( n1 + n2 2k )

Th tc kim nh l bc b gi thuyt khng rng khng c thay i v cu

trc no nu Fc vt qu gi tr F*(k, n-2k), im nm trn phn phi F vi bc t do
d.f. l k v n 2k m vng t tnh sang bn phi bng vi mc ngha.

64

5.5.2.

Kim nh da trn vic s dng bin gi

Kim nh cng c th c tin hnh bng cch s dng k thut dng bin gi. Cc
bc tin hnh nh sau:
c lng hi qui c b s liu vi dng hm nh sau:
Yi = 1 + 2Xi + 3Di + 4DiXi + ui
Trong :
D = 1 nu s liu c ly t thi k 1 (b s liu 1, n1 quan st)
D = 0 nu s liu c ly t thi k 2 (b s liu 2, n2 quan st)
Sau khi c lng ta thu c tng bnh phng cc phn d, k hiu l RSSU.
c lng m hnh ln na cng vi c b s liu khng s dng bin gi, m hnh l
Yi = 1 + 2Xi + ui v thu c gi tr RSSR. Tr thng k kim nh s l:

Fc =

( RSSR RSSU ) / k
~ F (k , n1 + n2 2k ) ; ( y k = 2)
RSSU /( n1 + n2 2k )

Th tc kim nh l bc b gi thuyt khng rng khng c thay i v cu

trc no cng l Fc vt qu gi tr F*(k, n-2k).

BI THC HNH:

Khi nghin cu SAVINGS l lng tit kim ca ngi dn M trong mt thi on

cho trc v bin c lp thu nhp INCOME. Ngi ta thy rng c hai thi on trong
sut khong thi gian 1970-1995, c th gy ra nhng thay i trong m hnh hnh vi
tit kim. Bi v s lin tc tng mnh v gi du la trn th gii hi nm 1979 cho
n ht nm 1981, t 13,5 la/thng ln 36la/thng gy nn cuc khng hong
nng lng trm trng trn th gii. Tc ng ca nhng bin ng mnh m v gi du
la th gii cng s tng vt v li sut cho vay thc t M v trn khp th gii l
mt nhn t quan trng gy ra cuc khng kinh t th gii ni chung v cuc khng
hong n 1982 ni ring. Vy hnh vi tit kim c th c s khc bit gia hai thi k
l 1970-1981 v thi k 1982-1995.

YEAR

SAVINGS (Y)

INCOME (X)

DUM (D)

1970

61.00

727.10

1971

68.60

790.20

1972

63.60

855.30

65

1973

89.60

965.00

1974

97.60

1054.20

1975

104.40

1159.20

1976

96.40

1273.00

1977

92.50

1401.40

1978

112.60

1580.10

1979

130.10

1769.50

1980

161.80

1973.30

1981

199.10

2200.20

1982

205.50

2347.30

1983

167.00

2522.40

1984

235.70

2810.00

1985

206.20

3002.00

1986

196.50

3187.60

1987

168.40

3363.10

1988

189.10

3640.80

1989

187.80

3894.50

1990

208.70

4166.80

1991

246.40

4343.70

1992

272.60

4613.70

1993

214.40

4790.20

1994

189.40

5021.70

1995

249.30

5320.80

By gi chng ta s xem xt vic ng dng k thut bin gi trong nghin cu c s

thay i v cu trc ca 2 thi k ny khng.
u tin ta tin hnh hi qui c s dng bin gi, m hnh hi qui c dng nh
sau: Yt = 1 + 2 Dt + 1 X t + 2 Dt X t + u t

66

Dt = 0 ng vi thi k 1: Yt = 1 + 1 X t + u t
Dt = 1 ng vi thi k 2: Yt = ( 1 + 2 ) + ( 1 + 2 ) X t + u t
Kt qu hi qui thu c nh sau:

Dependent Variable: SAVINGS

Method: Least Squares
Sample: 1970 1995
Included observations: 26
SAVINGS=C(1)+C(2)*DUM+C(3)*INCOME+C(4)*DUM*INCOME
C(1)
C(2)
C(3)
C(4)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

Coefficient

Std. Error

t-Statistic

Prob.

1.016117
152.4786
0.080332
-0.065469

20.16483
33.08237
0.014497
0.015982

0.050391
4.609058
5.541347
-4.096340

0.9603
0.0001
0.0000
0.0005

0.881944
0.865846
23.14996
11790.25
-116.4125

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

162.0885
63.20446
9.262501
9.456055
1.648454

Tip theo ta tin hnh hi qui ton b s liu vi m hnh hi qui c dng:
Yt = 1 + 1 X t + u t , v thu c kt qu:
Dependent Variable: SAVINGS
Method: Least Squares
Sample: 1970 1995
Included observations: 26
SAVINGS=C(1)+C(2)*INCOME
C(1)
C(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

Coefficient

Std. Error

t-Statistic

Prob.

62.42267
0.037679

12.76075
0.004237

4.891772
8.893776

0.0001
0.0000

0.767215
0.757515
31.12361
23248.30
-125.2390

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

162.0885
63.20446
9.787614
9.884391
0.859717

Lp thng k kim nh, ta c:

Fc =

(RSSR RSSU)/k
(23,248.3 11,790.25) /2
=
= 10.69
RSSU/(n 1 + n 2 2k)
11,790.25/ 22

Trong F2,22 = 3.44, do bc b H0 cho rng khng c s thay i v cu trc, hay

c th ni rng hnh vi tit kim ca ngi dn M 2 thi k ny l khc nhau vi
mc ngha bng 5%.

67

CHNG VI
PHNG SAI SAI S THAY I
6.1.

Khi nim

Trong vic tnh ton cc gi tr c lng bnh phng ti thiu thng thng (OLS),
chng ta thit lp gi thuyt cho rng cc s hng sai s ui c phn phi ging nhau
vi tr trung bnh bng khng v phng sai bng nhau.

Var (u i X i ) = E u i X i = 2
2

Gi thuyt phng sai bng nhau c hiu l phng sai ca sai s khng i (c
ngha l phn tn nh nhau).
Phng sai 2 l mt i lng o lng mc phn tn ca cc s hng sai s ui,
xung quanh gi tr trung bnh bng 0. Mt cch tng ng, l mt i lng o
lng mc phn tn ca gi tr bin ph thuc quan st c (Y) xung quanh ng
hi qui 1 + 2X2 + + kXk. Phng sai ca sai s khng i c ngha l mc phn
tn nh nhau cho tt c cc quan st.
Tuy nhin, trong nhiu trng hp i vi d liu cho, gi nh ny b vi phm. Khi
gi nh b vi phm, khi ta gi l phng sai sai s thay i.
Yi = 1 + 2 Xi + ui

Var (ui Xi) = i2 = 2 ( Xi)

Phng sai sai s thay i, c ngha l phng sai sai s l khc nhau i vi cc quan
st. Trng hp c bit l n l mt hm ca bin gii thch , Xi.
V d, gi s nh chng ta tin hnh iu tra mt mu ngu nhin cc h gia nh v
thu c thng tin v tng chi ph tiu dng ca tng h gia nh v thu nhp ca h
trong mt nm cho trc. Nhng h gia nh vi mc thu nhp thp khng c nhiu
linh ng trong chi tiu. Phn ln thu nhp s tp trung vo cc nhu cu cn bn chng
hn nh thc n, ch , qun o, v i li. Do vy, chi tiu gia nhng h gia nh c
thu nhp thp nh th s khng khc nhau nhiu. Mt khc, nhng gia nh giu c c
s linh ng rt ln trong chi tiu. Mt vi gia nh l nhng ngi tiu dng ln;
nhng ngi khc c th l nhng ngi tit kim nhiu v u t nhiu vo bt ng
sn, th trng chng khon, . iu ny hm rng tiu dng thc c th khc nhiu
so vi mc thu nhp trung bnh. Hay ni cch khc, rt c kh nng nhng h gia nh
c thu nhp cao c mc phn tn xung quanh gi tr tiu dng trung bnh ln hn
nhng h gia nh c thu nhp thp. Trong trng hp nh th, biu phn tn gia
tiu dng v thu nhp s ch ra nhng im ca mu gn vi ng hi qui hn cho
nhng h gia nh thu nhp thp nhng nhng im phn tn rng hn cho nhng h
gia nh thu nhp cao. (xem Hnh di y). Hin tng nh vy c gi l phng
sai ca sai s thay i (c ngha l phn tn khng nh nhau).

68

60

Y (Tieu dung)

50
40
30
20
10
0
0

10

20

30

40

50

60

70

80

90

X (Thu nhap)

Chng ta c th biu din phng sai khng i v phng sai thay i nh di y:

69

6.2.

Nguyn nhn

Do bn cht ca mi quan h, v d khi X ln hn X0 th quan h Y vo X thay

i, v d:
Tiu dng v thu nhp
Sn lng sn xut cc DN c qui m khc nhau

6.3.

Chn m hnh sai (sai dng, thiu bin), v d: hm chi ph li s dng dng
tuyn tnh.
Hu qu

Nhng chng minh ca tnh cht tuyn tnh v khng chch khng ph thuc vo
phng sai sai s khng i. Do vy, cc tnh cht tuyn tnh v khng chch khng b
vi phm do vic b qua hin tng phng sai ca sai s thay i v s dng OLS
c lng cc tham s ca m hnh. Tuy nhin, trong khi chng minh nh l GaussMarkov, chng ta phi s dng gi thuyt cho rng Var(ui) = 2 nhm lm cc tiu
phng sai. Bi v gi thuyt khng cn ng na, nn khng th khng nh rng
c lng OLS hiu qu hn. iu ny c ngha l c lng OLS khi ny s khng
cn hiu qu. C th tm mt c lng tuyn tnh khng chch khc m c gi tr
phng sai thp hn c lng OLS.
D dng thy c iu ny:
c lng vn l khng chch. n gin gi s chng ta xt m hnh hi qui n,
khi ta c:

70

(xi x ).ui
2
(xi x )
(xi x )2 i2

Var ( 2 ) =
2
( ( xi x ) ) 2
2 = 2 +

& E ( 2 ) = 2
By gi hy xt phng sai ca hm c lng:

(x x )
( ( x x ) )
2

Var ( 2 ) =

2
i

2 2

Ta d dng thy rng nu phng sai sai s khng i th cng thc trn s tr thnh:
Var ( 2 ) =

(x x )

Vy c th ni rng khi chng ta gp phng sai sai s thay i, nu ta vn coi l khng

i v c lng bng OLS, khi :
Chng ta vn nhn c cc c lng l khng chch.
Nhng cc c lng khng cn hiu qu na.
Chng ta s khng tho mn c BLUE (Best Linear Unbiased).
6.4.

Bin php khc phc

Nu chng ta gp phng sai sai s thay i, c lng OLS s khng cn tho

mn BLUE (phng sai nh nht, c lng chnh xc nht).

Chng ta cn xem xt phng php c lng mi. c th s dng phng

php bnh phng nh nht c trng s-WLS.

Khi chng ta gp phng sai sai s thay i ta c th s dng phng php bnh
phng nh nht c trng s-WLS nhn c cc c lng BLUE.

Th tc WLS

Xt hm hi qui khi phng sai thay i:

Yi = 1 + 2 Xi + ui

V
Var (ui Xi) = i2 = 2 ( Xi)
Gi s: Var (ui Xi ) = i2 = 2 X i2
71

ta t:
u i* =

ui
Xi

Khi
u

1
1
Var (u i* X i ) = Var i X i = 2 Var (u i X i ) = 2 2 . X i2 = 2
Xi
Xi
Xi
Vy ta c c phng sai khng i.

Sau khi bin i ui thnh ui* chng ta s thu c phng sai sai s khng i
(thun nht), v chng ta c th s dng OLS tm m hnh hi qui c
bin i.
Yi
u
1
= 1 .
+ 2 + i
Xi
Xi
Xi

Suy ra: Yi * = 1 X i* + 2 + u i*
Hi qui Yi* vi Xi* . Khi phng sai ca ui* l khng i, c lng OLS s
c BLUE.
i vi dng hm khc ca phng sai sai s thay i.
Nu: Var (ui Xi ) = i2 = 2 X i
Khi ta s s dng trng s l:

Ta nhn

Yi
Xi

= 1 .

Xi

1
Xi

c hai v ca m hnh.

1
Xi

+ 2 X i +

ui
Xi

Suy ra:

Yi * = 1 X 1*i + 2 X 2*i + u i*

Hi qui Yi* vi X1i* v X2i* bng OLS.

Ta cng nhn c cc c lng OLS l BLUE

72

6.5.

Pht hin phng sai sai s thay i

Do sai s ngu nhin, ui, l khng bit c, do chng ta khng xc nh

c phng sai ca ui.

Chng ta s s dng phn d OLS l ei , pht hin vn ny.

ei = Yi 1 2 Xi

C rt nhiu xut khc nhau cho vic pht hin (kim nh) phng sai sai s thay
i, sau y l mt s kim nh thng dng:
6.5.1.

Phng php th

Chng ta biu din bnh phng ca phn d theo X, nu th cho thy rng khi X
thay i s lm cho bnh phng phn d thay i (tng hoc gim) th ta c th ni
rng c hin tng phng sai sai s thay i.

6.5.2.

Kim nh Park

Kho st mi quan h ca phn d ei vi Xi.

Thc hin hi qui ph.

ln(ei2 ) = 1 + 2 . ln( X i ) + i

Chy hi qui OLS dng log ca phn d theo Xi, v kim nh ngha ca 2
bi thng k T (t-test).
2 c ngha => c phng sai sai s thay i
2 khng c ngha => khng c phng sai thay i

73

6.5.3.

Kim nh Glejser

Th tc kim nh tng t nh kim nh Park.

Thc hin hi qui ph: s dng tr tuyt i ca phn d.

ei = 1 + 2 . X i + i

Thc hin hi qui bng OLS, v kim nh ngha ca 2 bng thng k T (ttest).

2 c ngha => c phng sai sai s thay i

2 khng c ngha => khng c phng sai thay i
6.5.4.

Kim nh Goldfeld-Quandt (G-Q)

Kim nh ny so snh tng bnh phng cc phn d ca hai nhm s liu/

quan st trong mu.

Kim nh ny ph hp khi chng ta bit phng sai ca sai s c quan h vi

ch mt bin gii thch.

Nu c nhiu hn mt bin gii thch trong hi qui (hi qui a bin), chng ta
khng bit bin gii thch no c lin quan vi sai s ngu nhin, do vy kim
nh ny khng ph hp.

Sp xp quan st bin gii thch X theo th t tng dn.

Chng ta gi nh l bit phng sai ca sai s l c quan h vi bin X.

B qua c quan st gia v chia (n-c) quan st cn li thnh hai nhm.

S dng OLS hi qui hai nhm quan st v tnh tng bnh phng cc phn d
(RSS) cho mi nhm. Ta gi RSS1 (cho nhm c gi tr X b) v RSS2 (cho
nhm c gi tr X ln)

Tnh ton kim nh G-Q.

F *df 2,df 1 =

RSS 2 / df 2
~F
RSS1 / df 1

df1=n1-k1, df2=n2-k2. nu, n1=n2 v k1=k2. Th ta c, df1=df2.

Gi thit H0 l G-Q khng c phng sai sai s thay i.
Bc b H0 nu gi tr thng k tnh c ln hn gi tr tra bng vi cho trc
(F*>Fc).
6.5.5.

Kim nh White

Xem xt hi qui: Yi = 1 + 2 X 2i + 3 X 3i + 4 X 4i + ui
74

Ta thu c phn d: ei = Yi 1 2 X 2i 3 X 3i 4 X 4i

Thc hin hi qui ph: Hi qui ei2 vi tt c cc X v bnh phng cng nh

tch ca chng:

ei2 = 1 + 2 X 2i + 3 X 3i + 4 X 4i + 5 X 22i + 6 X 32i + 7 X 42i

+ 8 ( X 2i . X 3i ) + 9 ( X 2i . X 4i ) + 10 ( X 3i . X 4i ) + i

Gi thit H0: 2=3==10=0 (phng sai khng i)

khng l bt k hm no ca cc X.

Thng k kim nh: n.R 2 ~ df2 = p 1

n: S quan st trong hi qui ph.
R2: R2 ca hi qui ph.
p: S tham s trong hi qui ph.

Bc b H0 nu df2* ~ df2 c

BI THC HNH

Khi s dng OLS hi qui vi bin ph thuc l chi ph cho nghin cu v pht trin
(R&D) v bin c lp l sn lng bn (SALES). Chng ta nghi ngi rng c th xy
ra c phng sai sai s thay i. Chi ph R&D thay i ln hn i vi nhng cng ty
c sn lng bn hng ln hn so vi nhng cng ty c sn lng bn hng nh hn.
Chy kim nh phng sai sai s thay i, lu li phn d ca OLS. Phn d OLS c
th lu li sau khi c lng phn d.
Thc hin kim nh Park:
Dependent Variable: LOG(E2)
Method: Least Squares
Sample: 1 18
Included observations: 18
LOG(E2)=C(1)+C(2)*LOG(SALES)
C(1)
C(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

Coefficient

Std. Error

t-Statistic

Prob.

5.687749
0.701435

6.635175
0.603332

0.857212
1.162602

0.4040
0.2620

0.077897
0.020266
2.693626
116.0899
-42.31683

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

13.36642
2.721342
4.924093
5.023023
1.567339

T kt qu Kim nh Park cho thy 2 khng c ngha thng k mc 10%

75

Thc hin kim nh Glejser:

Dependent Variable: ABS(E)
Method: Least Squares
Sample: 1 18
Included observations: 18
ABS(E)=C(1)+C(2)*SALES
C(1)
C(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

Coefficient

Std. Error

t-Statistic

Prob.

578.5710
0.011939

678.6950
0.005704

0.852476
2.093059

0.4065
0.0526

0.214951
0.165886
1889.657
57132868
-160.2756

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

1650.432
2069.046
18.03062
18.12955
1.743294

Kim nh Glejser: 2 khng c ngha thng k mc 5%, nhng c ngha

mc10%.
Kim nh White
Dependent Variable: E2
Method: Least Squares
Sample: 1 18
Included observations: 18
E2=C(1)+C(2)*SALES+C(3)*SALES^2
C(1)
C(2)
C(3)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

Coefficient

Std. Error

t-Statistic

Prob.

-6219665.
229.3508
-0.000537

6459809.
126.2197
0.000449

-0.962825
1.817077
-1.194952

0.3509
0.0892
0.2507

0.289583
0.194861
13195639
2.61E+15
-319.0171

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

6767046.
14706011
35.77968
35.92808
1.694567

Thng k kim nh: n*R2=18*0.2896=5.2128 (p-value=0.0738)

Gi tr ti hn ca phn phi Chi-square l 5.99 v 4.61 cho 5% v 10%.
Bc b Ho (phng sai sai s khng i) ti 10%, nhng khng c c s bc b ti mc
5%.

Bi thc hnh Kim nh GOLDFELD-QUANDT

Nghin cu v tng sn phm cng nghip GIP vi GDP c tnh bng t $ ca 30

quc gia nm 1997. (D liu t UNIDO). Mu c ly t nhng quc gia c GDP ln
hn 10 t $ v GDP/u ngi ti thiu l 2000$

76

Country
Japan
Switzerland
Denmark
Norway
USA
France
Belgium
Sweden
Singapore
Netherlands
Hong Kong
Finland
Canada
Italy
UK
Ireland
Kuwait
Israel
Spain
Greece
Portugal
Korea, S.
Slovenia
Mexico
Hungary
Malaysia
Chile
Syria
Slovakia
Turkey

Pop
124793
7104
5207
4314
264646
57856
10093
8751
3268
15382
6044
5085
29109
57177
58005
3536
1754
5362
39577
10413
9824
44501
1925
89564
10162
19695
13994
13840
5325
59903

GDP
4688974
261388
151266
122926
6935700
1330998
232006
198432
71039
334286
130823
97624
547203
1016286
1024609
52662
24848
74121
483652
98861
87352
380820
14386
420788
41506
72505
50919
44753
13746
135961

GIP
1218217
57503
25927
13484
1592989
256316
44517
34806
20648
48595
11758
21581
112617
145013
244397
17572
2797
11349
80104
9392
17025
161318
4520
55073
7227
18874
13096
3317
2720
31115

1800000
1600000
1400000

GIP

1200000
1000000
800000
600000
400000
200000
0
0

1000000 2000000 3000000 4000000 5000000 6000000 7000000 8000000

GDP

Nhn vo biu phn b ca GIP vi GDP trn, ta thy rng Nht bn v M c s

khc bit rt ln, chng ta b i 2 quan st ny.

77

V li biu Nhn vo biu phn b ny, ta thy c s thay i kh ln v GIP so

vi GDP. Ta ngh rng c hin tng phng sai sai s thay i
300000

250000

GIP

200000

150000

100000
50000

0
0

200000

400000

600000

800000

1000000

1200000

1400000

GDP

Mu c chia thnh 3 phn, phn 1 cha 3/ 8 quan st vi nhng gi tr nh ca bin

X, phn 2 gm 3/ 8 quan st vi nhng gi tr ln, v phn cn li l 1/ 4 quan st
gia. By gi chng ta cn 28 quan st, do tng phn s l 11 quan st di, 11 quan
st trn v 6 quan st gia.

300000
250000

GIP

200000
150000
100000
50000
0
0

200000

400000

600000

800000

1000000

1200000

1400000

GDP

Thc hin hi qui i vi cc quan st di v trn ta tm c tng bnh phng cc

phn d, k hiu l RSS1 v RSS2.

78

300000

RSS1 = 157,000,000

250000

GIP

200000
150000
100000

RSS2 = 13,518,000,000

50000
0
0

200000

400000

600000

800000

1000000

1200000

1400000

GDP

Ta s dng thng k F kim nh. Nhn vo kt qu ta thy bc b gi thit Ho cho

rng khng c phng sai sai s thay i, do vy chng ta phi tm cch bin i hi
qui

F (n2 , n1 ) =

RSS 2 / n2 13,518,000,000 / 9
=
= 86.1
157,000,000 / 9
RSS1 / n1

F (9,9) 5% = 3.18
Chng ta xem xt vic s dng trng s l dn s (POP), khi bin ph thuc l
GIP/POP v bin c lp l GDP/POP. Khi ta thu c s tn x nh trn, ta
s kim tra xem c hin tng phng sai sai s thay i hay khng.

79

9000
8000
7000

GIP/POP

6000
5000
4000
3000
2000
1000
0
0

5000

10000

15000

20000

25000

30000

35000

40000

GDP/POP

S dng kim nh GOLDFELD-QUANDT, thc hin hi qui 2 b s liu ta thu c

RSS1 v RSS2

9000
8000
7000

RSS1 = 5,378,000

GIP/POP

6000
5000
4000
3000
2000

RSS2 = 17,362,000

1000
0
0

5000

10000

15000

20000

25000

30000

35000

40

GDP/POP

Ta s dng thng k F kim nh. Nhn vo kt qu ta thy bc b gi thit Ho cho

rng khng c phng sai sai s thay i. Ta s li phi thc hin mt bin i khc.

80

F ( n2 , n1 ) =

RSS 2 / n2 17,362,000 / 9
=
= 3.23 ; F (9,9) 5% = 3.18
RSS1 / n1
5,378,000 / 9

Gi s Var(ui) =i2 v i =.Xi khi ta s s dng trng s l 1/GDP. Khi ta thu

c s tn x nh th.

0.40

GIP/GDP

0.30

0.20

0.10

0.00
0

10

20

30

40

50

60

70

80

1/GDP x 1,000,000

Tip tc s dng kim nh GOLDFELD-QUANDT, thc hin hi qui 2 b s liu ta

thu c RSS1 v RSS2

0.40

RSS1 = 0.065

GIP/GDP

0.30

0.20

RSS2 = 0.070

0.10

0.00
0

10

20

30

40

50

1/GDP x 1,000,000

81

60

70

Ta s dng thng k F kim nh. Nhn vo kt qu ta thy khng c c s bc b

gi thit Ho cho rng khng c phng sai sai s thay i, do vy chng ta chp nhn l
phng sai sai s khng i vi tin cy 95%
F ( n2 , n1 ) =

RSS 2 / n2 0.070 / 9
=
= 1.08
RSS1 / n1 0.065 / 9

F (9,9) 5% = 3.18
By gi chng ta s s dng thm php bin i loga. S dng im nh G-Q chng ta
thc hin hi qui v thu c kt qu.

13
12

RSS1 = 2.140

log GIP

11
10
9

RSS2 = 1.037

8
7
9

10

11

12

13

14

log GDP

log Y = 1 + 2 log X + u

Y = e 1 X 2 eu
F ( n2 , n1 ) =

RSS1 / n1 2.140 / 9
=
= 2.06
RSS 2 / n2 1.037 / 9

F (9,9) 5% = 3.18
Nhn vo kt qu ta thy khng c c s bc b gi thit Ho cho rng khng c phng
sai sai s thay i, do vy chng ta chp nhn l phng sai sai s khng i vi tin
cy 95%
Qua cc kt qu thu c bi tng hm hi qui, thc hin so snh:

82

GIP = 604 + 0.194GDP

R 2 = 0.89

(5700) (0.013)

GIP
1
GDP
= 612
+ 0.182
POP
POP
POP
(1371)

(0.016)

GIP
1
= 0.189 + 533
GDP
GDP
(0.019)

R 2 = 0.70

R 2 = 0.02

(841)

logG IP = -1.694 + 0.999logGDP

(0.785)

R 2 = 0.90

(0.066)

Sau khi so snh cc kt qu thu c, ta thy rng la chn m hnh (hm) hi qui dng
loga l thuyt phc nht. m bo gi thit phng sai sai s khng i v c R2 cao.
logG IP = -1.694 + 0.999logGDP
(0.785)

R 2 = 0.90

(0.066)

GIP = e 1.694 GDP 0.999 = 0.184GDP 0.999

83

CHNG VII
TNG QUAN CHUI

Gi thit ca OLS chng ta nu chng II v chng III pht biu rng cc s

hng sai s ut l c lp, khng c tng quan vi nhau. Tnh cht ny gi l c lp
chui. Mc d vy khi phn tch d liu chui thi gian, gi thit ny thng s b vi
phm. Cc s hng sai s cho cc thi on khng qu cch xa c th c tng quan.
Tnh cht ny c gi l tng quan chui hay t tng quan (cc thut ng ny s
c s dng thay th nhau). Chng ta bit rng mt s nhn t gii thch cho s c
mt ca s hng sai s ut. c th l cc bin b loi b, b qua s phi tuyn, cc sai
s o lng, hay cc tc ng khng d on c. Ba nhn t u tin trong cc nhn
t ny c th dn n cc sai s tng quan chui.

7.1.

Nguyn nhn ca tng quan chui

Tng quan chui xy ra c th do nhiu nguyn nhn khc nhau, di y l mt s

nhng nguyn nhn thng gp gy nn hin tng tng quan chui:
7.1.1.

Nguyn nhn khch quan

a.

Qun tnh:

Nt ni bt ca hu ht cc chui thi gian trong kinh t l qun tnh. Chng ta c th

thy cc chui thi gian nh tng sn phm, ch s gi mang tnh chu k. Chng hn
nu chng ta u thi k tng trng kinh t, tng sn phm c xu hng i ln, gi
tr thi im sau thng cao hn thi im trc. V vy hi qui chui thi gian, cc
quan st k tip c nhiu kh nng ph thuc ln nhau.
Mt v d khc ca tng quan chui cng c th c tm thy trong d liu th trng
chng khon. Gi ca mt chng khon c bit no hoc mt ch s th trng
chng khon ti thi im ng ca ca nhng ngy lin tip hoc trong nhng gi lin
tip c th tng quan theo chui.
b.

Hin tng mng nhn:

Chng ta c th thy hin tng ny xy ra i vi vic cung mt s hng ho no ,

cung hng ho phn ng li vi gi c tr mt khong thi gian.
c.

Hin tng tr:

Trong hi qui chui thi gian, nhiu trng hp ta thy rng bin ph thuc thi k t
khng nhng ph thuc vo cc bin c lp m cn ph thuc vo chnh bin thi
k t-1. Chng ta d dng thy c iu ny khi hi qui tiu dng v thu nhp, tiu
dng thi im hin ti khng nhng ph thuc vo thu nhp m cn ph thuc vo
tiu dng (thi quen tiu dng) thi k trc . Nh vy nu b qua s hng tr ta s
gp hin tng tng quan chui gia cc sai s.

84

7.1.2.

Nguyn nhn ch quan

a.

B st bin:

V d, gi s mt bin ph thuc Yt tng quan vi cc bin c lp X1t v X2t, nhng

chng ta khng tnh n bin X2t trong m hnh. Tc ng ca bin ny s c bao gp
qua s hng sai s ut. Bi v nhiu biu hin chui thi gian kinh t c chiu hng theo
thi gian, X2t c th ph thuc vo X2,t-1, X2,t-2,.. iu ny s bin thnh s tng quan
r rng gia ut v ut-1, ut-2, . . ., do vi phm gi thit c lp chui. Vy, cc bin b
loi b c th to s t tng quan trong cc sai s.
b.

nh dng hm sai:

Tng quan chui cng c th c gy nn bi c trng sai v dng hm. V d, gi

s mi quan h gia Y v X l bc hai nhng ta gi thit l tuyn tnh. Vy s hng sai
s ui s ph thuc vo X2. Nu X tng hoc gim theo thi gian, ui cng s biu hin
chiu hng nh vy, cho thy s t tng quan.
c.

Do o lng, x l s liu:

Sai s c h thng trong o lng cng gy nn s t tng quan. V d, gi s mt

cng ty ang cp nht s liu hng ha tn kho trong mt thi on cho trc. Nu c
mt sai st c tnh h thng xy ra trong cch o lng, d tr tn kho tch ly s phn
nh cc sai s o lng tch ly. Cc sai s ny s cho thy nh l s tng quan chui.
7.2.

Cc h qu khi b qua tng quan chui

Nh ta cp trong chng 2, vi gi thit k vng ca ut bng 0 v khng c s

tng quan gia u v X, cc c lng OLS l khng chch. V s chng minh cc tnh
cht ny khng ph thuc vo gi thit Cov(ut, us) 0, gi thit b vi phm bi s c
mt ca t tng quan, do cc c lng OLS (v cc d bo da trn chng) l
khng chch ngay c khi cc s hng sai s tng quan theo chui. Nhng khi cc
c lng s khng cn hiu qu na.
Ta c th cho thy rng nu tng quan chui trong ut l dng v bin c lp Xt tng
ln theo thi gian (trng hp thng thy), th phng sai phn d c lng ( 2 ) s
l mt c lng qu thp v gi tr ca R2 s l mt c lng qu cao. Ni cch khc,
thch hp s b phng i v cc sai s chun c lng s nh hn cc sai s chun
thc s.
Chng ta va bin lun rng trong trng hp thng thng khi m tng quan chui l
dng v bin c lp tng ln theo thi gian, cc sai s chun c lng nh hn cc
sai s thc, v do s l c lng qu thp. iu ny c ngha l cc tr thng k t s
l cc c lng qu cao, v do vy mt h s hi qui c v c ngha nhng thc t c
th l khng. Cc phng sai c lng ca cc thng s s b chch. V vy, cc kim
nh t v F khng cn hp l.
T ta c th thy rng nu tng quan chui gia cc s hng nhiu ngu nhin trong
m hnh hi qui b b qua v th tc OLS c dng c lng cc thng s, th s
c cc tnh cht sau:

Cc c lng v cc d bo da trn chng s vn khng chch.

85

Cc c lng OLS khng cn BLUE na v s khng hiu qu. Cc d bo

cng s khng hiu qu.

Cc phng sai c lng ca cc h s hi qui s chch, v do cc kim

nh cc gi thuyt s khng cn hp l. Nu tng quan chui l dng v bin
c lp Xt tng ln theo thi gian, th cc sai s chun s l cc c lng qu
thp ca cc gi tr thc. iu ny c ngha rng R2 tnh ton s l mt c
lng qu cao, cho thy mt s thch hp tt hn so vi tn ti trn thc t.
Cng vy, cc tr thng k t trong trng hp nh vy s c khuynh hng c
ngha hn gi tr thc s ca chng.

7.3.

Kim nh tng quan chui bc nht

7.3.1.

Tng quan chui bc nht

u tin, ta xt trng hp c bit nht ca tng quan chui gi l tng quan chui
bc nht. Mc d ta dng m hnh hi qui tuyn tnh n kho st cc vn , tt c
kt qu cng khi qut ha cho trng hp hi qui a bin. Nu tng quan chui tn
ti, th Cov(ut, us) 0, ngha l, sai s cho thi on t l tng quan vi sai s cho thi
on s. Gi thit ca t tng quan bc nht c pht biu chnh thc nh sau:
Yt = 1 + 2 X t + u t
u t = u t 1 + t

-1 < < 1

Vy sai s ut quan h vi sai s ca thi on trc (ut-1), mt s hng sai s mi (t), v

mt thng s mi . Bi v l h s ca s hng sai s tr mt thi on, c gi l
h s t tng quan bc nht. Qu trnh ny c gi l qu trnh t hi qui bc
nht, k hiu l AR(1).
Cc sai s mi t gi thit tha mn cc iu kin: Cc sai s t tun theo phn phi mt
cch c lp k vng bng 0 v phng sai khng i sao cho E(t) = 0, Var(t) = 2,
v Cov(t,t+s) = 0 vi s 0. Vy cc s hng sai s mi c gi thit c cng tnh
cht vi cc tnh cht m th tc OLS gi thit ut phi c.
Bi v ut ph thuc vo ut-1, ta c th k vng l chng tng quan. Lu rng ut
khng ph thuc trc tip vo ut-2; tuy nhin, li ph thuc gin tip qua ut-1 bi v ut-1
ph thuc trc tip vo ut-2. Vy, ut tng quan vi tt c sai s qu kh. Nu ng
phng sai l dng, th c t tng quan dng, v khi ng phng sai m, ta c t
tng quan m.
7.3.2.

Kim nh Durbin-Watson

Mc d biu phn d l mt phng php th hu ch nhn dng s c mt ca

tng quan chui, cc kim nh chnh thc cho t tng quan vn l cn thit. Trong
phn ny, ta trnh by kim nh ph bin nht cho tng quan chui bc nht, gi l
kim nh Durbin- Watson (DW). Kim nh DW c mt li th rt ln l da trn
cc phn d c lng c, v vy ngy nay n rt thng dng.
Cc bc thc hin kim nh Durbin-Watson cho AR(1) c m t cho m hnh hi
qui a bin sau y:

86

Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + u t
u t = u t 1 + t

-1 < < 1

Bc 1 c lng m hnh bi bnh phng ti thiu thng thng v tnh ton cc

phn d et
Bc 2 Tnh ton thng k Durbin-Watson:
n

d=

(et et 1 ) 2
t =2

e
t =1

t =2

t =2

et2 + et21 2 et et 1
t =2

2
t

t =1

2
t

e v e ch khc nhau 1 quan st, chng xp x bng nhau, do nu t

e = e th lc :

V cc
2
t

2
t 1

2
t

2
t 1

et et 1

d = 21 t = 2n

et2

t =1

By gi chng ta nh ngha: =

e e
t =2
n

t t 1

e
t =1

2
t

Khi : d 2(1- )
Trong l h s t tng quan bc nht ca mu, l c lng ca . V -1
1. nn suy ra 0 d 4.
T chng ta thy rng =0 suy ra d 2 tc l nu khng tn ti tng quan chui
th d c k vng bng 2. Nu d cng gn 0 th cng chng t c tng quan thun
chiu v d cng gn 4 th c tng quan ngc chiu.
Phn phi chnh xc ca d ph thuc vo cc quan st trn cc bin X. Phn phi ny
c dng xy dng cc vng gii hn cho kim nh DW.
Bc 3

kim nh H0: = 0 i li > 0 (kim nh mt pha), tra bng, cc gi tr ti hn

cho thng k Durbin-Watson, v vit cc s dL v dU. Lu rng bng ny cho gi tr
k, l s cc h s hi qui c c lng, ngoi tr s hng hng s. Bc b H0 nu d
dL. Nu d dU, ta khng th bc b H0. Nu dL < d < dU, kim nh cha th kt
lun.

87

Bc 4 kim nh tng quan chui m (ngha l, cho H1: < 0), dng 4 d. iu
ny c thc hin khi d ln hn 2. Nu 4 d dL, ta kt lun rng c t tng quan
m ngha. Nu 4 d dU, ta kt lun rng khng c t tng quan m. Kim nh
cha th kt lun nu dL < 4 d < dU.

Durbin v Watson xp thnh bng cc gi tr ti hn cho cc phn phi ca cc gii hn

i vi d, vi cc gi tr khc nhau ca kch thc mu n v s cc h s k. Khi kim
nh l cha th kt lun, ta c th th dng kim nh nhn t lagrande c m t tip
sau.
Qui tc ca kim nh DW c trnh by nh sau:

T tng quan dng ( > 0 )

T tng quan m ( < 0)

Bc b

Min cha th

Chp nhn

Min cha th

Bc b

=0

kt lun

=0

kt lun

=0

dL

du

4-du

4-dl

Kim nh DW l khng hp l nu vi bin X l hiu ng tr ca bin ph thuc

ngha l, nu chng c dng Yt-1, Yt-2, . .

7.3.3.

Kim nh nhn t Lagrange

Kim nh nhn t Lagrange (LM) rt hu dng trong vic nhn dng tng quan chui
khng ch vi bc nht m cng cho c cc bc cao hn, nhng y ta t hn ch cho
trng hp bc nht. Trng hp tng qut s c xt n trong phn sau.
bt u kim nh ny, chng ta xut pht t:
Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + u t 1 + t
Do kim nh i vi = 0 c th c x l nh kim nh LM i vi vic thm
bin ut-1 (l cha bit, v do ta c th dng et-1 hay c th k hiu u t 1 thay vo).
Cc bc thc hin kim nh LM nh sau:
Bc 1 Bc ny ng nh Bc 1 ca kim nh DW; ngha l c lng Phng
trnh theo OLS v tnh ton cc phn d ca n.

88

Bc 2 Hi qui et theo mt hng s, X2t, . . . , Xkt v et-1, dng n 1 quan st t 2 n n.

K n tnh ton LM = (n 1)R2 t hi qui ph ny. n 1 c dng bi v s quan st
hiu qu l n 1.
Bc 3 Bc b gi thuyt khng ca t tng quan c gi tr bng khng v cng c gi
thuyt 0 nu (n 1)R2 > 2(1,), gi tr 2(1,) trong phn phi chi-square vi 1 bc
t do sao cho din tch vng bn phi ca n l . Mt cch khc, tnh ton gi tr p =
Prob( 2 > LM), vng bn phi ca LM trong phn phi 2. Nu gi tr p < , chc chn
bc b H0: = 0 v kt lun rng t tng quan l c ngha.

Nu c tng quan chui trong cc phn d, ta c th k vng et c quan h vi et-1.

Lu rng kim nh LM khng c tnh trng khng th kt lun nh ca kim nh
DW. Tuy nhin, l kim nh mu ln v cn t nht 30 bc t do c ngha.
7.4.

Tng quan chui bc cao

Trong phn ny, chng ta s tho lun v cc th tc kim nh tnh t tng quan
bc cao hn v c lng cc thng s m hnh khi cc s hng nhiu tun theo tnh
tng quan bc tng qut. Cc c trng chung ca m hnh vi s hng sai s t hi
quy c cho nh sau:
Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + u t

(7.1)

u t = 1u t 1 + 2 u t 2 + ..... + p u t p + t

(7.2)

Phng trnh (7.2) cn c gi l qu trnh t hi quy bc p ca cc phn d hay

AR(p). Nu chng ta c d liu theo tng qu, chng ta c th k vng rng m hnh t
hi quy bc bn l hp l. Tng t, d liu theo thng c kh nng c tnh t tng
quan bc 12 v d liu theo gi c th c tnh tng quan chui bc 24. V th, chng ta
cn nhng i lng xc nh cu trc sai s t hi quy bc tng qut cng nh cc
th tc c lng c th p dng cho trng hp bc cao hn.
7.4.1.

Kim nh tnh t tng quan bc cao LM Breusch Godfrey

Kim nh LM, m t trong phn trc c dng kim nh tnh tng quan chui
bc nht, d dng c m rng p dng cho bc cao hn vi c mu khng c nh.
Kim nh ny c gi l kim nh Breush (1978) Godfrey (1978). Vic thc hin
th tc ny s r rng hn nu chng ta kt hp hai phng trnh 7.1 v 7.2 nh sau:
Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + 1u t 1 + 2 u t 2 + ..... + p u t p + t

(7.3)

Gi thuyt khng l mi gi tr trong s cc gi tr u bng zero (ngha l 1 = 2 =

= p = 0) i vi gi thuyt ngc li cho rng t nht mt trong cc gi tr ny khc
zero. Gi thuyt khng ny rt ging gi thuyt m chng ta trnh by trong chng 6
kim nh s thm vo cc bin mi. Trong trng hp ny, nhng bin mi l ut 1,
ut 2, , ut p m c th c lng bng phn d et 1, et 2, , et p. Cc bc tin hnh
kim nh nh sau:
Bc 1 c lng phng trnh (7.1) theo phng php OLS v tnh ra cc gi tr phn
d et.
89

Bc 2 Hi quy phn d et theo tt c cc bin c lp trong phng trnh (7.1) cng

nh cc phn d ut 1, ut 2, , ut p . S ln quan st hiu qu cho bc hi quy ph ny
phi l n p v t p c xc nh cho thi on t p +1 n n.
Bc 3 Tnh ton gi tr (n p)R2 trong phn hi quy ph bc 2. Nu gi tr ny ln
hn p2 ( ) th gi tr ca phn phi Chi-square vi p bc t do l phn din tch pha
bn phi im , v t y chng ta s bc b gi thuyt H0: 1 = 2 = = p = 0 v
chp nhn gi thuyt H1: c t nht mt trong s cc gi tr khc khng.
Mc d bn thn th tc kim nh th khng phc tp nhng chng ta cn phi quyt
nh s bc p i vi m hnh t hi quy cho trc bi phng trnh (7.2). Tnh nh k
ca d liu (theo qu, thng, tun, hay theo bt c khong thi gian no) s gp phn
xc nh bc p. Trong bc 2, ngi ta ch ra rng c mu thch hp l n p. Hn
na, bc hi quy ph c h s t hi quy p cng thm cc h s k cho k 1 bin gii
thch v s hng hng s.
V vy, n p ti thiu phi bng p + k (nu khng chng ta s c bc t do m). iu
ny c ngha l n ti thiu phi bng k +2p trc khi c th c lng c phn hi
quy ph. Nu c mu khng tng xng, chng ta c th b bt mt vi s hng t hi
quy. V d, vi d liu theo thng, chng ta c th thit lp cc bin tr ng vi t = 1, 2,
3, v 12 v t cc h s t hi quy khc bng zero.
7.4.2.

Kim nh Engels Arch

Cc loi tng quan chui c trnh by cho n nay ch xem xt n s hng sai s ut.
Do trong AR(p) chng ta xem nh ut ph thuc tuyn tnh vo p sai s qu kh ut-1,
ut-2, . . . ut-p.
Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + 1u t 1 + 2 u t 2 + ..... + p u t p + t
mt loi tng quan chui thng gp trong d liu theo thi gian, c bit khi to
ra cc d bo. Mt s cc chuyn gia d bo nhn thy rng phng sai ca sai s d
bo khng phi l mt hng s m thay i theo tng thi on. V d, khi Cc D Tr
Lin Bang chuyn t kim sot li sut sang kim sot tng trng tin t, nh c
thc hin trc kia, li sut tr nn bin ng rt nhiu ( l, chng bt u thay i
nhiu xung quanh gi tr trung bnh). V vy, cc sai s d bo lin quan n d bo li
sut c tnh cht gi l phng sai ca sai s thay i. Mc d c th k vng ch l mt
s thay i v cu trc trong phng sai, ngi ta li nhn thy rng phng sai
thay i u n. S thay i phng sai ca sai s tng t cng c nhn thy khi
chnh sch t gi hi oi chuyn t c nh sang linh hot. Trong trng hp linh hot,
t gi hi oi dao ng mnh, lm cho phng sai d bo ln hn. Trong l thuyt tin
t v l thuyt ti chnh, tp danh mc ti sn ti chnh l hm ca trung bnh v phng
sai k vng ca sut thu li. S bin ng mnh ca gi chng khon hay sut thu li
thng l biu hin ca phng sai khng c nh theo thi gian. Engel (1982) a
ra mt phng php tip cn mi m hnh ha phng sai ca sai s thay i i vi
d liu theo thi gian. Tc gi t tn cho m hnh l ARCH (autoregressive
conditional heteroscedascity phng sai ca sai s thay i c iu kin t hi
qui). Qu trnh cc phng sai c tnh c gi nh nh sau:

t2 = 0 + 1u t21 + ..... + p u t2 p

90

Phng trnh (7.3) c bit n nh l qu trnh ARCH bc p. Thut ng t hi qui

c dng v phng sai sai s ti thi im t c gi nh l ph thuc vo bnh
phng cc s hng sai s trc . Tng t, phng sai ti thi im t l c iu kin
theo phng sai cc giai on trc v do hnh thnh thut ng phng sai ca sai
s thay i c iu kin.
Kim nh ARCH c gi thit ban u H0 : 1 = 2 = ... = p = 0. Cc bc kim nh
nh sau:
Bc 1 c lng phng trnh (7.1) theo OLS
Bc 1 Tnh phn d u t = Yt 1 2 X 2t 3 X 3t ... k X kt , bnh phng cc phn

d v tnh u t21 , u t2 2 , u t23 ...., u t2 k .

Bc 3 Hi qui u t2 , theo mt hng s, u t21 , u t2 2 , u t23 ...., u t2 k . y l hi qui ph vi n-p
quan st.
Bc 4 T R2 ca hi qui ph, tnh (n-p)R2. Theo iu kin gi thuyt H0, (n-p)R2 c
phn b chi bnh phng vi p bc t do. Bc b H0 nu (n p ) R 2 > p2 ( ) , im nm

trn p2 vi din tch nm v pha bn phi.

7.5.

X l tng quan chui

7.5.1.

Thay i dng hm s

Tng quan chui c th do m hnh b nh dng sai, v d, gi s rng quan h l bc

hai v ng ra ta hi qui Y theo X v X2. Nu X tng hoc gim c h thng theo thi
gian, hi qui ca Y ch theo X s hin nhin th hin s tng quan chui. Gii php
y l thit lp li m hnh c tnh n s hng bc hai sao cho khng c tng quan
chui xut hin.
Khi mt hm c hiu chnh m khng th loi b c tnh cht t tng quan,
ngi ta c th s dng mt s th tc khc a ra cc c lng nhng gi tr nhn
c t phng php OLS. Lu rng cc phng php ny ch c p dng cho loi
d liu chui thi gian. i vi loi d liu cho, ngi ta c th ti sp xp cc gi tr
quan st theo bt c hnh thi no v nhn c mt tr thng k DW chp nhn c.
Tuy nhin, iu ny cng ni ln rng thc hin kim nh DW cho loi d liu cho l
khng c ngha. V d liu chui thi gian khng th ti sp xp c nn chng ta
cn quan tm n mi tng quan chui c th c gia chng.
7.5.2.

Thit lp m hnh trong cc sai phn bc nht

Trong vic nghin cu kinh t lng thc nghim, cch thc m ngi ta thng s
dng vt qua vn ny l thit lp mt s m hnh theo sai phn bc nht, ngha l
hiu s gia gi tr ti mc thi gian t v t 1. Trong trng hp ny, chng ta s c
lng Yt = 0 + X t + t , trong Yt = Yt Yt 1 v X t = X t X t 1 .

91

7.5.3.

Th tc tnh lp Cochrane Orcutt

Th tc Tnh lp Cochrane Orcutt (CORC) (tc gi Cochrane v Orcutt, 1949) yu cu

c s bin i m hnh hi quy:
Yt = 1 + 2 X 2t + 3 X 3t + ... + k X kt + u t

(7.4)

thnh dng m hnh c th p dng bng th tc OLS. Phng trnh trn c vit li
theo thi on t 1, chng ta c:
Yt 1 = 1 + 2 X 2(t 1) + 3 X 3(t 1) + ... + k X k (t 1) + u t 1

(7.5)

Ly (7.4) tr i (7.5) sau khi nhn s hng ca (7.5) vi , chng ta c

Yt Yt 1 = 1 (1 ) + 2 X 2t X 2(t 1) + 3 X 3t X 3( t 1) + ... + k X kt X k (t 1) + t
Vi biu thc:
u t = u t 1 + t , phng trnh trn c th vit li nh sau:
Yt * = 1* + 2* X 2*t + 3* X 3*t + ... + k* X kt* + t

(7.6)

Trong :
Yt * = Yt Yt 1 ;

1* = 1 (1 ); X ti* = X it X i (t 1) ;

t = 2,3,....n & i = 2,....k

Qu trnh bin i to ra bin Y* v cc bin X* cn c gi l php ly sai phn gn

ng, hay php ly sai phn tng qut. 1* ch l s hng hng s mi. Lu rng s
hng sai s trong phng trnh (7.6) tho mn mi tnh cht cn thit c th p dng
c th tc bnh phng ti thiu. Nu bit c gi tr ca , chng ta c th p dng
phng php OLS cho phng trnh (7.6) v gi tr c lng nhn c l BLUE. Tuy
nhin, gi tr cha bit nn chng ta cn phi c lng chng t mu quan st. Cc
bc tin hnh th tc Cochrane Orcutt c trnh by nh sau:
Bc 1 c lng phng trnh (7.4) bng phng php OLS v tnh ton phn d ca
n et.
Bc 2 c lng h s tng quan chui bc nht (cn gi l ) t phng trnh.
n

e e
t =2
n

t t 1

e
t =1

2
t

Bc 3 Bin i cc bin nh sau:

Yt * = Yt Yt 1 ;

1* = 1 (1 ); X ti* = X it X i (t 1) ;

92

t = 2,3,....n & i = 2,....k

Lu rng cc bin c du hnh sao (*) c xc nh ch vi t nhn gi tr t 2 n n

v c t 1 s hng xut hin.
Bc 4 Hi quy Yt* theo hng s, theo cc X ti* v tnh gi tr c lng ca phng
trnh (7.6) c bin i bng phng php OLS.
Bc 5 S dng nhng gi tr c lng ny cho cc gi tr trong phng trnh (7.4)
v tnh c mt tp mi cc gi tr c lng ut. Sau , quay tnh lp bc 2 vi
nhng gi tr mi ny cho n khi c th p dng c quy tc dng tip theo y.
Bc 6 Th tc tnh lp trn y c th dng li khi hiu s gi tr c lng ca t
hai kt qu lin tip tnh c khng ln hn gi tr chn trc no , nh 0,001 chng
hn.

Gi tr cui cng ny s c dng tnh gi tr c lng CORC t phng trnh

(7.6).
V s hng hng s cng c nhn vi 1 nn gi tr 1 nhn c s
bng 1* /(1 ) , vi 1* l s hng hng s c lng trong phng trnh bin i
(7.6).
7.5.4.

Th tc tm kim Hildreth Lu

Mt gii php thng c dng thay th th tc Cochrange Orcutt l th tc tm

kim Hildrth Lu (HILU) (ca tc gi Hildreth Lu, 1960). Th tc ny bao gm cc
bc sau:
Bc 1 Chn mt gi tr (gi l 1). S dng gi tr ny, bin i cc bin v c
lng phng trnh (7.6) bng th tc OLS.
Bc 2 T cc gi tr c lng ny, tnh t t phng trnh (7.6) v tnh ra gi tr tng
bnh phng sai s tng ng. Gi gi tr ny l RSS(1). Tip tc chn mt gi tr khc
na cho (gi l 2) v lp li bc 1 v 2.
Bc 3 Bng cch thay i gi tr ca t 1 n + 1 theo vi bc nhy c tnh h
thng no (nh vi bc nhy l 0,05 hoc 0,01), chng ta s nhn c mt chui
cc gi tr RSS(). Hy chn no c gi tr RSS nh nht. y l gi tr cui cng c
th cc tiu ho mt cch bao qut tng bnh phng sai s ca m hnh bin i.

Phng trnh (7.6) c lng vi gi tr cui cng ny l kt qu ti u.

So snh hai th tc

Mt cch cn bn, th tc HILU s tm kim cc gi tr nm trong khong -1 v +1 m

khin cho gi tr tng bnh phng phn d ca phng trnh (7.6) t cc tiu. Nu
khong cch gia cc bc nhy l nh th th tc phi thc hin rt nhiu s ln hi
quy; v th khi so snh vi th tc CORC, phng php HILU i hi s h tr tnh
ton ca my tnh rt ln. Ngc li, th tc CORC lp li nhiu ln gi tr RSS()
t cc tiu cc b (local minimum) v nh vy th tc c th b qua gi tr cc tiu
ton cc (global minimum) nu m hnh c nhiu hn mt im cc tiu cc b.

93

Hu ht cc chng trnh my tnh tt u cho php p dng c hai th tc lp li v tm

kim; y l mt gii php ti u khi dng c hai th tc nhm bo m rng phng
php CORC s khng b qua gi tr cc tiu ton cc. Th tc Hildreth Lu v th tc
lai kt hp ch thch hp cho qu trnh AR(1), v y chnh l mt im gii hn rt ln.
V l do trn m th tc tm kim ny khng c ng dng ph bin.

BI THC HNH

Xt d liu v doanh s v tn kho ca cng nghip M giai on 1950 1991. Cc

bin c nh ngha nh sau:
SALES = Doanh s ca ngnh Cng nghip M, (triu $)
INVENTORIES = Gi tr tn kho ca ngnh Cng nghip M, (triu $)
Chng ta s xem xt thc hin hi qui bng mt m hnh n gin, SALES l mt hm
tuyn tnh theo INVENTORIES. Thc hin mt s cch kim nh tng quan chui
bc nht (bc 1) v gii php khc phc hin tng tng quan chui.

YEAR

SALES

INVENTORIES

YEAR

SALES

INVENTORIES

1950

38596

59822

1971

117023

188991

1951

43356

70242

1972

131227

203227

1952

44840

72377

1973

153881

234406

1953

47987

76122

1974

178201

287144

1954

46443

73175

1975

182412

288992

1955

51694

79516

1976

204386

318345

1956

54063

87304

1977

229786

350706

1957

55879

89052

1978

260755

400929

1958

54021

87055

1979

298328

452636

1959

59729

92097

1980

328112

510124

1960

60827

94719

1981

356909

547169

1961

61159

95580

1982

348771

575486

1962

65662

101049

1983

370501

591858

1963

68995

105463

1984

411427

651527

1964

73682

111504

1985

423940

665837

1965

80283

120929

1986

431786

664654

1966

87187

136824

1987

459107

711745

1967

90918

145681

1988

496334

767387

1968

98794

156611

1989

522344

813018

1969

105812

170400

1990

540788

835985

1970

108352

178594

1991

533838

828184

94

Thc hin hi qui vi dng hm tuyn tnh ca SALES theo INVENTORIES:

Sales = 1 + 2 Inventories + u

Ta thu c kt qu nh sau:

Dependent Variable: SALES

Method: Least Squares
Date: 06/08/08 Time: 11:43
Sample: 1950 1991
Included observations: 42
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INVENTORIES

-911.6914
0.642845

1165.337
0.002889

-0.782342
222.5282

0.4386
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.999193
0.999173
4793.439
9.19E+08
-414.5210
1.374931

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

199479.4
166654.0
19.83433
19.91708
49518.79
0.000000

Vy ta c:
Sales = 911.69 + 0.64 Inventories + u

Thc hin kim nh Durbin-Watson tng quan chui bc nht:

u t = u t 1 + t
Kim nh gi thit thng k:
H0: = 0
H1: 0
Tr thng k Durbin-Watson: d = DW = 1.3749
Vi = 5%, k=1 v n=42, tra bng ta c dU = 1.55, dL = 1.46.
Suy ra d < dL , bc b H0, c hin tng tng quan chui bc nht.

Da vo gin tng quan phn d ca php hi qui ni trn xc nhn c

tng quan chui bc nht:

Kt qu tnh ton c nh sau:

95

Date: 06/08/08 Time: 11:46

Sample: 1950 1991
Included observations: 42
Autocorrelation

Partial Correlation

. |**
. |*.
**| .
**| .
**| .
**| .
.*| .
.|.
.|.
.|.
.|.
. |*.
. |**
. |*.
. |*.
.|.
.|.
.*| .
.*| .
.*| .

. |**
. |*.
***| .
**| .
.*| .
.*| .
.|.
.|.
**| .
**| .
.|.
.|.
.|.
.|.
.*| .
.|.
.|.
. |*.
.*| .
.*| .

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

AC

PAC

Q-Stat

Prob

0.309
0.165
-0.227
-0.301
-0.306
-0.269
-0.082
0.011
-0.046
-0.054
0.035
0.112
0.199
0.159
0.110
0.016
-0.054
-0.061
-0.122
-0.134

0.309
0.077
-0.331
-0.195
-0.105
-0.188
-0.046
-0.057
-0.280
-0.222
-0.011
-0.036
-0.004
-0.033
-0.068
-0.025
0.048
0.072
-0.072
-0.108

4.3012
5.5606
7.9954
12.393
17.075
20.790
21.142
21.149
21.266
21.437
21.508
22.283
24.811
26.471
27.293
27.312
27.530
27.813
29.017
30.525

0.038
0.062
0.046
0.015
0.004
0.002
0.004
0.007
0.012
0.018
0.028
0.034
0.024
0.023
0.026
0.038
0.051
0.065
0.066
0.062

kim tra tng quan chui bc nht, ta kim nh gi thit:

H0: AC1 = 0
H1: AC1 0
Ta c Q-Stat = 4.3012; p-value = 0.038 < 0.05,
Suy ra bc b H0. C tng quan chui bc nht mc 5%.
Kim nh LM xc nh c tng quan chui bc nht:
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared

4.142795
4.033058

Probability
Probability

0.048648
0.044617

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/08/08 Time: 11:49
Presample missing value lagged residuals set to zero.
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INVENTORIES
RESID(-1)

6.608282
3.47E-05
0.310847

1122.093
0.002782
0.152722

0.005889
0.012486
2.035386

0.9953
0.9901
0.0486

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.096025
0.049668
4615.546
8.31E+08
-412.4009
2.047526

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

96

-4.95E-12
4734.622
19.78100
19.90512
2.071398
0.139652

T kt qu kim nh LM, ta c nR2 = 4.033; p-value = 0.044617<0.05. Suy ra c hin

tng tng quan chui bc nht.
Khc phc:
khc phc hin tng tng quan chui bc nht, ta thc hin hi qui sau:
SALES t = 1 + 2 INVENTORIES t + 1u t 1 + t
V thu c kt qu:
Dependent Variable: SALES
Method: Least Squares
Date: 06/08/08 Time: 11:50
Sample(adjusted): 1951 1991
Included observations: 41 after adjusting endpoints
Convergence achieved after 5 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
INVENTORIES
AR(1)

-975.7059
0.643007
0.310721

1695.130
0.004057
0.154573

-0.575593
158.4934
2.010185

0.5683
0.0000
0.0515

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.999254
0.999215
4672.711
8.30E+08
-403.0481
2.044187

Inverted AR Roots

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

203403.4
166748.4
19.80722
19.93261
25450.19
0.000000

.31

Nhn vo kt qu hi qui, d dng thy c hin tng tng quan chui c khc
phc.

97

PH LC
Bng tra gi tr phn phi T
Bng tra gi tr phn phi F
Bi c tham kho

98

BNG TRA GI TR PHN PHI T (T-Stat)

V d: Gi tr phn phi T vi = 0.05 (/2 = 0.025) v n (bc t do) bng 10 l:
T(0.025,10) = 2.228
n

/2
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

0.1
0.05
6.314
2.920
2.353
2.132
2.015
1.943
1.895
1.860
1.833
1.812
1.796
1.782
1.771
1.761
1.753

0.09
0.045
7.026
3.104
2.471
2.226
2.098
2.019
1.966
1.928
1.899
1.877
1.859
1.844
1.832
1.821
1.812

0.08
0.04
7.916
3.320
2.605
2.333
2.191
2.104
2.046
2.004
1.973
1.948
1.928
1.912
1.899
1.887
1.878

0.07
0.035
9.058
3.578
2.763
2.456
2.297
2.201
2.136
2.090
2.055
2.028
2.007
1.989
1.974
1.962
1.951

0.06
0.03
10.579
3.896
2.951
2.601
2.422
2.313
2.241
2.189
2.150
2.120
2.096
2.076
2.060
2.046
2.034

99

0.05
0.025
12.706
4.303
3.182
2.776
2.571
2.447
2.365
2.306
2.262
2.228
2.201
2.179
2.160
2.145
2.131

0.04
0.02
15.895
4.849
3.482
2.999
2.757
2.612
2.517
2.449
2.398
2.359
2.328
2.303
2.282
2.264
2.249

0.03
0.015
21.205
5.643
3.896
3.298
3.003
2.829
2.715
2.634
2.574
2.527
2.491
2.461
2.436
2.415
2.397

0.02
0.01
31.821
6.965
4.541
3.747
3.365
3.143
2.998
2.896
2.821
2.764
2.718
2.681
2.650
2.624
2.602

0.01
0.005
63.657
9.925
5.841
4.604
4.032
3.707
3.499
3.355
3.250
3.169
3.106
3.055
3.012
2.977
2.947

/2
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34

0.1
0.05
1.746
1.740
1.734
1.729
1.725
1.721
1.717
1.714
1.711
1.708
1.706
1.703
1.701
1.699
1.697
1.696
1.694
1.692
1.691

0.09
0.045
1.805
1.798
1.792
1.786
1.782
1.777
1.773
1.770
1.767
1.764
1.761
1.758
1.756
1.754
1.752
1.750
1.748
1.747
1.745

BNG TRA GI TR PHN PHI T (T-Stat)

0.08
0.07
0.06
0.05
0.04
0.025
0.02
0.04
0.035
0.03
1.869
1.942
2.024
2.120
2.235
1.862
1.934
2.015
2.110
2.224
1.855
1.926
2.007
2.101
2.214
1.850
1.920
2.000
2.093
2.205
1.844
1.914
1.994
2.086
2.197
1.840
1.909
1.988
2.080
2.189
1.835
1.905
1.983
2.074
2.183
1.832
1.900
1.978
2.069
2.177
1.828
1.896
1.974
2.064
2.172
1.825
1.893
1.970
2.060
2.167
1.822
1.890
1.967
2.056
2.162
1.819
1.887
1.963
2.052
2.158
1.817
1.884
1.960
2.048
2.154
1.814
1.881
1.957
2.045
2.150
1.812
1.879
1.955
2.042
2.147
1.810
1.877
1.952
2.040
2.144
1.808
1.875
1.950
2.037
2.141
1.806
1.873
1.948
2.035
2.138
1.805
1.871
1.946
2.032
2.136

100

0.03
0.015
2.382
2.368
2.356
2.346
2.336
2.328
2.320
2.313
2.307
2.301
2.296
2.291
2.286
2.282
2.278
2.275
2.271
2.268
2.265

0.02
0.01
2.583
2.567
2.552
2.539
2.528
2.518
2.508
2.500
2.492
2.485
2.479
2.473
2.467
2.462
2.457
2.453
2.449
2.445
2.441

0.01
0.005
2.921
2.898
2.878
2.861
2.845
2.831
2.819
2.807
2.797
2.787
2.779
2.771
2.763
2.756
2.750
2.744
2.738
2.733
2.728

/2
35
36
37
38
39
40
50
60
70
80
90
100

0.1
0.05
1.690
1.688
1.687
1.686
1.685
1.684
1.676
1.671
1.667
1.664
1.662
1.660

0.09
0.045
1.744
1.742
1.741
1.740
1.739
1.737
1.729
1.723
1.719
1.716
1.714
1.712

BNG TRA GI TR PHN PHI T (T-Stat)

0.08
0.07
0.06
0.05
0.04
0.025
0.02
0.04
0.035
0.03
1.803
1.869
1.944
2.030
2.133
1.802
1.867
1.942
2.028
2.131
1.800
1.866
1.940
2.026
2.129
1.799
1.864
1.939
2.024
2.127
1.798
1.863
1.937
2.023
2.125
1.796
1.862
1.936
2.021
2.123
1.787
1.852
1.924
2.009
2.109
1.781
1.845
1.917
2.000
2.099
1.776
1.840
1.912
1.994
2.093
1.773
1.836
1.908
1.990
2.088
1.771
1.834
1.905
1.987
2.084
1.769
1.832
1.902
1.984
2.081

101

0.03
0.015
2.262
2.260
2.257
2.255
2.252
2.250
2.234
2.223
2.215
2.209
2.205
2.201

0.02
0.01
2.438
2.434
2.431
2.429
2.426
2.423
2.403
2.390
2.381
2.374
2.368
2.364

0.01
0.005
2.724
2.719
2.715
2.712
2.708
2.704
2.678
2.660
2.648
2.639
2.632
2.626

BNG TRA GI TR PHN PHI F-VI =0.05

V d: Gi tr phn phi F vi = 0.05 v n1 (bc t do ca t s) bng 3; n2 (bc t do ca mu s) bng 10 l:
F(0.05,3,10) = 3.708
n1/n2
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

1
161.448
18.513
10.128
7.709
6.608
5.987
5.591
5.318
5.117
4.965
4.844
4.747
4.667
4.600
4.543
4.494

2
199.500
19.000
9.552
6.944
5.786
5.143
4.737
4.459
4.256
4.103
3.982
3.885
3.806
3.739
3.682
3.634

3
215.707
19.164
9.277
6.591
5.409
4.757
4.347
4.066
3.863
3.708
3.587
3.490
3.411
3.344
3.287
3.239

4
224.583
19.247
9.117
6.388
5.192
4.534
4.120
3.838
3.633
3.478
3.357
3.259
3.179
3.112
3.056
3.007

5
230.162
19.296
9.013
6.256
5.050
4.387
3.972
3.687
3.482
3.326
3.204
3.106
3.025
2.958
2.901
2.852

102

6
233.986
19.330
8.941
6.163
4.950
4.284
3.866
3.581
3.374
3.217
3.095
2.996
2.915
2.848
2.790
2.741

7
236.768
19.353
8.887
6.094
4.876
4.207
3.787
3.500
3.293
3.135
3.012
2.913
2.832
2.764
2.707
2.657

8
238.883
19.371
8.845
6.041
4.818
4.147
3.726
3.438
3.230
3.072
2.948
2.849
2.767
2.699
2.641
2.591

9
240.543
19.385
8.812
5.999
4.772
4.099
3.677
3.388
3.179
3.020
2.896
2.796
2.714
2.646
2.588
2.538

10
241.882
19.396
8.786
5.964
4.735
4.060
3.637
3.347
3.137
2.978
2.854
2.753
2.671
2.602
2.544
2.494

n1/n2
1
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

1
161.448
4.451
4.414
4.381
4.351
4.325
4.301
4.279
4.260
4.242
4.225
4.210
4.196
4.183
4.171
4.160
4.149
4.139
4.130
4.121

2
199.500
3.592
3.555
3.522
3.493
3.467
3.443
3.422
3.403
3.385
3.369
3.354
3.340
3.328
3.316
3.305
3.295
3.285
3.276
3.267

BNG TRA GI TR PHN PHI F-VI =0.05

3
4
5
6
7
215.707
224.583
230.162
233.986
236.768
3.197
2.965
2.810
2.699
2.614
3.160
2.928
2.773
2.661
2.577
3.127
2.895
2.740
2.628
2.544
3.098
2.866
2.711
2.599
2.514
3.072
2.840
2.685
2.573
2.488
3.049
2.817
2.661
2.549
2.464
3.028
2.796
2.640
2.528
2.442
3.009
2.776
2.621
2.508
2.423
2.991
2.759
2.603
2.490
2.405
2.975
2.743
2.587
2.474
2.388
2.960
2.728
2.572
2.459
2.373
2.947
2.714
2.558
2.445
2.359
2.934
2.701
2.545
2.432
2.346
2.922
2.690
2.534
2.421
2.334
2.911
2.679
2.523
2.409
2.323
2.901
2.668
2.512
2.399
2.313
2.892
2.659
2.503
2.389
2.303
2.883
2.650
2.494
2.380
2.294
2.874
2.641
2.485
2.372
2.285

103

8
238.883
2.548
2.510
2.477
2.447
2.420
2.397
2.375
2.355
2.337
2.321
2.305
2.291
2.278
2.266
2.255
2.244
2.235
2.225
2.217

9
240.543
2.494
2.456
2.423
2.393
2.366
2.342
2.320
2.300
2.282
2.265
2.250
2.236
2.223
2.211
2.199
2.189
2.179
2.170
2.161

10
241.882
2.450
2.412
2.378
2.348
2.321
2.297
2.275
2.255
2.236
2.220
2.204
2.190
2.177
2.165
2.153
2.142
2.133
2.123
2.114

n1/n2
1
36
37
38
39
40
50
60
70
80
90
100

1
161.448
4.113
4.105
4.098
4.091
4.085
4.034
4.001
3.978
3.960
3.947
3.936

2
199.500
3.259
3.252
3.245
3.238
3.232
3.183
3.150
3.128
3.111
3.098
3.087

BNG TRA GI TR PHN PHI F-VI =0.05

3
4
5
6
7
215.707
224.583
230.162
233.986
236.768
2.866
2.634
2.477
2.364
2.277
2.859
2.626
2.470
2.356
2.270
2.852
2.619
2.463
2.349
2.262
2.845
2.612
2.456
2.342
2.255
2.839
2.606
2.449
2.336
2.249
2.790
2.557
2.400
2.286
2.199
2.758
2.525
2.368
2.254
2.167
2.736
2.503
2.346
2.231
2.143
2.719
2.486
2.329
2.214
2.126
2.706
2.473
2.316
2.201
2.113
2.696
2.463
2.305
2.191
2.103

104

8
238.883
2.209
2.201
2.194
2.187
2.180
2.130
2.097
2.074
2.056
2.043
2.032

9
240.543
2.153
2.145
2.138
2.131
2.124
2.073
2.040
2.017
1.999
1.986
1.975

10
241.882
2.106
2.098
2.091
2.084
2.077
2.026
1.993
1.969
1.951
1.938
1.927

BI C THAM KHO 1
PHN TCH HI QUI TRONG THNG MI
QUNG TY ASEAN V TNG TRNG GDP QUNG TY
I. La chn s liu mu v to m hnh
S liu nm v mc giao dch xut nhp khu Qung Ty Asean (X) v GDP Qung
Ty (Y) t nm 1998 n nm 2004, v biu ri, sau tnh ton cc con s lin quan v
tin hnh phn tch hi quy.
Ch thch: Nm 2004, th ch ngoi hi c nhiu ci cch ln, t gi hi oi ng NDT
c hp nht v dn n nh, lin tc gi mc t l t 1/8,3124 n 1/8,2770
(USD/NDT). S liu GDP tnh theo USD trong bng sau c cn c vo t gi hi oi trung
bnh nm t 1998 2004 quy t GDP Qung Ty tnh bng NDT sang GDP Qung Ty
tnh bng USD.
Bng 1 S liu v thng mi Qung Ty Asean v GDP Qung Ty
n v: t USD
Nm

Tng mc
XNK

XK

NK

GDP(t NDT)

GDP(USD)

T gi bnh
qun nm

1998

0,39659

0,31861

0,07798

190,304

22,98607

8,2791

1999

0,36883

0,28872

0,08011

195,327

23,59506

8,2783

2000

0,43950

0,31011

0,12939

205,015

24,76505

8,2784

2001

0,41906

0,25914

0,15991

223,119

26,95651

8,2770

2002

0,62726

0,44238

0,18488

245,536

29,84514

8,2770

2003

0,82619

0,55235

0,21384

273,513

33,04494

8,2770

2004

1,00100

0,63600

0,36500

332,010

40,11188

8,2771

Bng 2 H s tng quan

Y

1,000000

0,976391

0,976391

1,000000

T Bng 2 c th thy, h s tng quan gia mc thng mi Qung Ty v GDP

Qung Ty nm 1998 2004 l 0,976391, l mt mc tng quan rt cao, thng mi XNK
Qung Ty Asean c vai tr quyt nh trong thc y tng trng kinh t Qung Ty, ni
mt cch khc tng trng GDP Qung Ty ph thuc rt nhiu vo thng mi XNK Qung
Ty Asean, gia chng c th lp ra mt m hnh tuyn tnh.

105

II. Lp m hnh v tin hnh phn tch hi quy

V ch phn tch tnh tng quan gia thng mi Qung Ty Asean v GDP Qung
Ty, c th gi nh l cc nhn t khc nh hng n tng trng GDP u bnh n, do
c th s dng m hnh hi quy tuyn tnh n phn tch. Dng Y biu th GDP Qung Ty,
dng X biu th mc thng mi Qung Ty Asean, lp mt m hnh hi quy tuyn tnh n.
Y = + X + u
Cn c vo cc s liu ca Bng 1 t nm 1998-2004, vn dng phn mm kinh t s
lng Eviews, s dng phng php nh tha nh nht (OLS), tin hnh phn tch hi quy i
vi X v Y, ta c kt qu nh sau:
T nhng kt qu t c t phn mm Eviews, ta c phng trnh hi quy tng
ng nh sau:

Y =

14,53003 + 24,41980X
(9,612073) (10,10718)
(0,0002)

R = 0,953339

(0,0002)
F = 102,1550

Prob(F statistic) = 0,000162

Kim nghim: kim nghim ngha kinh t, thng qua quan st k hiu v tr s ca h
s lng nh gi tham s, c th thy ngha kinh t ph hp ca m hnh ny. H s ca X
l 24,41980 cho thy, trong nm 1998 2004, thng mi Qung Ty Asean hng nm tng
thm 0,1 t USD, v kt qu l GDP khu vc tng thm khong 2,441890 t USD.
Thng k kim nghim: R2 = 0,953339 cho thy, sc xut i km ca kim nghim T
i vi h s hng thng s v h s hi quy ln lt l 0,0002 v 0,0002, cho thy chng
u c th thng qua c kim nghim vi sc xut di 5%, t ph nhn gi thuyt ban
u l h s =0.
T F = 102,1550

Prob(F statistic) = 0,000162 c th thy, khng cn tra Bng

cng c th bit chc phng trnh thng qua, c ngha l tnh r rng ca phng trnh rt tt,
ni ln tnh tng quan cao gia 2 bin lng tng trng GDP Qung Ty v mc thng
mi Qung Ty Asean.
T kim nghim trn c th rt ra, mc d c rt nhiu nhn t nh hng n tng
trng GDP Qung Ty, nhng trong mc thng mi XNK Qung Ty Asean c
vai tr quyt nh thc y tng trng kinh t Qung Ty.

106

BI C THAM KHO 2

M hnh kinh t lng ng dng trong nghin cu

th trng du lch Vit Nam
Ngnh Du lch Vit Nam v ang c ng v Nh nc ta la chn pht trin v
xy dng l ngnh kinh t mi nhn. Du lch Vit Nam ni chung v du lch quc t n
Vit Nam ni ring, ng vai tr quan trng trong vic to ra ngn sch cho ngnh du
lch Vit Nam. Nu t nm 1990 du lch quc t ng gp cho ngnh khong 109
triu la, th nm 2002 du lch quc t ng gp cho ngnh khong 1,017 t la
(tng ng 5,3 triu tn go xut khu). Mt cng vic do ngnh du lch trc tip to
ra, c th to ra c t (1-3) cng vic gin tip khc cho cc ngnh sn xut trong
nc: ngnh cng nghip, nng nghip, giao thng vn ti v cc ngnh dch v khc.
Nh vy nu y mnh pht trin c th trng du lch Vit Nam, s to c nhiu
c hi cho pht trin kinh t ca cc vng v a phng c ti nguyn du lch, mc d
ni c th rt xa xi ho lnh. Trn th gii cng nh thc tin Vit Nam cho thy
nhiu ni pht trin i ln t du lch.
pht trin ngnh du lch Vit Nam thc s tr thnh ngnh kinh t mi nhn, mt
trong nhng yu cu trc tin l phi hiu bit v nm vng c th trng du lch
trong nc cng nh th trng du lch quc t. Vi t cch l nhng nh cung ng,
ngnh du lch Vit Nam qung b cc yu t hp dn ti khch du lch trong v ngoi
nc, v cung ng cc hng ho dch v cho khch du lch. Cu v hng ho dch v du
lch, c th l khch trong nc hay ngoi nc. Vi iu kin v v th ca Vit Nam,
thu ht ngun khch quc t n Vit Nam, c vai tr quan trng trong chin lc pht
trin du lch, v to c hi cho th trng du lch Vit Nam pht trin.
Vn t ra cn phi c c s khoa hc hiu bit v nm c th trng khch
quc t n Vit Nam, c nh vy mi c nhng quyt nh ng n. Trong qun l
kinh t hin i, ngoi s hiu bit v mt nh tnh cc yu t v cc mi quan h ca
th trng, ngi ta cn cn nh lng c cc yu t v cc mi quan h gia cc
yu t.
hiu bit c cc yu t nh hng v nh lng c nhng yu t nh hng ti
lng khch du lch quc t, hin nay ngi ta thng s dng m hnh kinh t lng.
Mt khi xy dng c m hnh kinh t lng, vic tin hnh d bo th trng nh
lng cu, xc nh co gin cu v.v, hoc cn ra quyt nh trong nhng tnh
hung vi mc tin cy nht nh, th m hnh kinh t lng t ra c u th.
Thng thng, ngi ta hay tin hnh d bo qui m th trng. Tng cu th trng
c biu th di dng s lt khch du lch quc t s n thm t mt nc xut
pht ti mt im n nc ngoi, hoc bng khon tiu dng du lch ca khch tham
quan t nc xut pht n t nc du lch.
Khi tin hnh d bo qui m th trng bng m hnh kinh t lng, ngi ta s dng
phn tch hi qui c lng mi quan h gia bin d bo gi l bin ph thuc (hay
bin c gii thch), vi mt hay nhiu bin c lp (hoc bin gii thch) khc. c
lng tin hnh da vo cc d liu c trc, gi tr d bo tng lai l gi tr ngu
nhin xc nh trn c s s dng m hnh hi qui xy dng.
107

Bc u tin trong vic xy dng m hnh d bo qui m th trng l cn xc nh

cc bin c lp c th gy nh hng ti cu du lch quc t.
Gi s hm cu th trng c dng:
Y = f (X1, X2,..., Xk ) (1)
Trong :
Y : Cu i vi du lch quc t ni xut pht c th ti im n kho st.
X1, X2, ..., Xk : L cc bin c lp hay cc bin gii thch.
Bin d bo:
Cu du lch c o bng lng khch du lch ti thm hoc gi tr tiu dng du lch,
m c xem xt di dng tin.
Thu nhp:
Thu nhp thc t tnh bng tin, ti t nc du khch sinh sng, thng c s dng
lm bin gii thch m hnh (1). Nu chuyn i vi mc ch ngh ngi, thm hi gia
nh bn b th s dng l dng thu nhp c th s dng c; cn nu chuyn i vi
mc ch kinh doanh, th s dng dng thu nhp chung (nh thu nhp quc gia chng
hn).
Gi c hng ho dch v:
Yu t gi c cng c thng xuyn a vo lm bin gii thch trong hm cu. Vi
du lch quc t, cn lu c hai yu t gi c - lin quan n cc chi ph vn chuyn
ti c im n v cc chi ph khi ti im n. Cc chi ph vn chuyn c th c
tnh qua gi v my bay, hoc cc ph vn chuyn ng b t im xut pht ca du
khch ti im n du lch.
C th tnh chi ph du lch ti im n theo mc chi ph ring cho khch du lch. Ngoi
ra, ch s gi tiu dng im n c kh nng s dng thay th bin chi ph du lch. T
gi hi oi cng c th c a vo nh mt bin gii thch trong m hnh (1).
Gi hng ho dch v thay th:
Kinh t hc chng t rng hng ha v dch v thay th c th ng vai tr quan
trng xc nh cu. Khch du lch tim nng c th so snh gi c ca nhng k ngh
nc ngoi vi cc gi k ngh trong nc, trc khi h quyt nh mua. Tt nhin,
h cng so snh cc chi ph k ngh cc nc khc nhau. Nh th, chi ph l hnh
thay th v chi ph tiu dng du lch c th ng vai tr quan trng xc nh cu du
lch quc t ti im n cho t mt ni xut pht c th. Gi thay th c th a vo
m hnh (1) bao gm: trung bnh trng s chi ph phng tin vn ti thay th v trung
bnh trng s chi ph tiu dng du lch. Cc trng s phi phn nh c s lin quan
ca n vi tnh hp dn ca im n, ti cc khch du lch mt cch r rng v thng
da trn c s th phn c trc .
Hot ng xc tin:
Cc t chc du lch quc gia thng tiu dng kh nhiu tin cho vic xc tin du lch
nc ngoi, nhm thu ht khch ti t nc mnh. Do vy, vic chi ph cho xc tin du
lch mong mun ng vai tr quan trng trong vic xc nh mc cu du lch quc t, v
th chi ph xc tin du lch cn c a vo nh mt bin gii thch trong hm cu (1).

108

Cc bin gi:
Vo nhng nm 1973 v 1979, th gii lm vo cuc khng hong du la c th lm
cu du lch quc t suy gim tm thi. Hoc e do do chin tranh hay dch bnh xy ra,
cng lm suy gim tm thi cu du lch quc t. S dng cc bin gi a vo trong m
hnh kinh t lng, nhm xem xt mt s kin no tc ng mt cch tm thi cu
du lch quc t.
Bin tr ph thuc:
Nhm phn nh nhng thi quen s trung thnh ca cu v s chm tr cng nhc ca
cung, ngi ta c th a vo cc bin tr ph thuc. Chng hn c ln khch du lch
n thm mt im n no m h cm thy thch th v hi lng, h s c xu hng
thch quay tr li . Ngoi ra, s hi lng v hiu bit v im n s tip tc c
qung b ti nhng du khch tim nng hc thng qua cc cu chuyn hp dn v
nhng bc nh c ghi li, t s lm gim bt s ri ro khi h la chn im
n. Nhng iu dng nh lm ko di s trung thnh vi im n.
Ngoi ra, s cung cp cc dch v cng kh c th gia tng nhanh chng trong thi gian
ngn. Tt c cc vn trn, s c th hin thng qua s c mt ca bin tr ph
thuc trong m hnh (1).
Dng m hnh ton thng dng nht thng c la chn biu din hm cu du lch
quc t l dng hm loga tuyn tnh:

Trong :Y l cu i vi du lch quc t, l bin ph thuc.

X1, ... , Xk l cc bin gii thch, hay bin c lp. k
u l sai s ngu nhin.
a, b1, ... , bk l cc tham s.
e = 2,781 l s lgarit t nhin.
c th c lng c biu thc (2), tin hnh loga ho biu thc (2):
ln Y = ln a + b1ln X1 + b2ln X2 + ... + bk ln Xk + u (3)
Vi biu thc (3), ta c th c lng theo m hnh ton ny thng qua cc phn mm
Mfit, hay Eviews.
Qua (3), cng d dng xc nh c co gin ca cu theo cc bin. Tht vy, ly
o hm hai v biu thc (2) :
Nhng co gin ca Y vi X c xc nh l :
Thay th biu thc (4) vo biu thc (5) ta c :
T ta thy b1 chnh l h s co gin ca Y theo X1.
Mt cch tng qut bj l h s co gin ca Y theo Xj , j = 1,2, ... , k.
Xt c th vic xy dng mt m hnh kinh t lng nhm nh gi cu du lch quc t
th trng trng im ti im n du lch Vit Nam.
Cn c vo cc ngun d liu t asean centre, ngun ca Tng cc du lch, tham kho
kin ca cc chuyn gia du lch. Chng ti tin hnh xy dng m hnh hm cu

109

khch du lch Nht Bn m ngnh du lch Vit Nam v ang xc tin thu ht cho
im n du lch Vit Nam.
Qua qu trnh nghin cu, chng ti thy ngun du khch Nht Bn l ngun khch kh
hp dn i vi cc nc Asean, trong Thi Lan v Singapo l hai nc dn u v
thu ht khch Nht. Nm 2001, khch Nht Bn ti Asean l trn 16,2 triu. Thi lan
n 1,18 triu khch chim 7,2%, cn Singapo n 0,755 triu khch chim 4,6%, Vit
Nam n 0,204 triu khch chim 1,2%. Phi chng do gi tour n Vit Nam cao hn
cc nc trong khu vc, v u t cho chnh sch xc tin ca Vit Nam cn qu yu,
nn lng khch Nht vo Vit Nam cn rt nh b so vi tim nng. c th kim
nh nhng phn on trn, chng ti la chn dng m hnh ton cho hm cu
khch Nht Bn ti Vit Nam c dng di y :
Y = a. PVNb1. XTb2. eu

(7)

Trong :
Y : S lng khch du lch trong nm t th trng Nht Bn ti im n Vit Nam.
PVN: Mc gi tour trn gi trung bnh ca k ngh trong nm t Nht Bn ti Vit
Nam.
XT: Ngn sch xc tin trong nm ca ngnh du lch Vit Nam ti th trng Nht Bn.
e = 2,781
u : Sai s ngu nhin.
Tin hnh ln hai v biu thc (7) ta c :
ln Y = ln a + b1 ln PVN + b2 ln XT + u

(8)

Vi cc d liu trong bng 1, bng s h tr ca phn mm tnh ton Eviews 3.1, kt

qu c lng c c cc tham s ca m hnh (8) nh sau, xem bng 2 :
ln Y = 14,67446 - 1,785864. ln PVN + 0,873611. ln XT + u

(9)

M hnh (9) l m hnh c la chn "tt nht", cc h s c lng l tin cy v

ph hp, gi tr R2 l kh cao (R2 = 0,999) chng t quan h gia cc bin l lin quan
cht, hai bin c lp PVN v XT gii thch c ti 99,9% gi tr ca bin ph
thuc Y. M hnh cng khng c nhng khuyt tt.
S dng m hnh (9) ta c th xc nh c lng cu Y ph thuc vo nhng yu t
no. Khi tin hnh d bo lng khch t th trng Nht Bn n Vit Nam, ch cn c
c nhng thng tin trong nm d bo: Mc gi trung bnh ca cc tour trn gi t th
trng Nht Bn ti Vit Nam, ngn sch xc tin du lch ca ngnh du lch Vit Nam
u t cho th trng Nht Bn.
Ngoi ra m hnh (9), cn cho ta bit cc thng tin v cc loi h s: co gin cu theo
gi (b1=1,785864), co gin cu theo xc tin du lch (b2=0,873611). ngha ca h s
co gin cu b1 l: khi gi tour trn gi tng 1%, th lng cu s gim 1,785864%. Cng
tng t, vi h s co gin cu theo xc tin b2, khi tng ngn sch xc tin ln 1%, th
lng cu s tng 0,873611%.
xc nh tnh chnh xc ca m hnh (9), m hnh cn c tip tc kim nghim
qua thc tin, thng qua lin tip cc bc lp, ta s c c mt m hnh ng n v
hon ton tin cy.

110

Trn y l nhng nghin cu bc u v ng dng m hnh kinh t lng trong

nghin cu th trng du lch ca Vit Nam. M hnh xc nh c cc yu t nh
hng chnh ti lng cu du lch ti Vit Nam ca th trng du khch Nht Bn. M
hnh cng nh lng c mi quan h ca cc yu t nh hng . cc nh qun tr
c th da vo m hnh ra cc quyt nh cn thit. Hy vng, vic ng dng m hnh
kinh t lng s c ph bin rng ri vi cng tc nghin cu th trng ca Vit
Nam ni chung v ca ngnh du lch ni ring.
Bng 1: S lt khch Nht n Vit Nam, gi tour trn gi, Ngn sch xc tin
(Ngun Asean Centre, Tng cc du lch Vit Nam)
Y

PVN

XT

(Lt khch)

( la)

( la)

Nm

1998

95258.00

1200.000

50000.00

1999

113514.0

1190.000

60000.00

2000

152725.0

1160.000

80000.00

2001

204860.0

1149.000

110000.0

2002

275000.0

1135.000

150000.0

Bng 2 : Bn bo co ca chng trnh Eview

Dependent Variable: LY
Method: Least Squares
Sample: 1998 2002
Included observations: 5
Variable

Coefficient

Std. Error

t-Statistic

0.873611

0.006248

139.8119

0.0001

-1.785864

0.118404

-15.08278

0.0044

14.67446

0.905715

16.20207

0.0038

R - squared

0.999997

Mean dependent var

11.95901

Adjusted R- squared

0.999994

S.D. dependent var

0.430251

S.E. of regression

0.001067

Akaike info criterion

-10.56371

Sum squared resid

2.28E-06

Schwarz criterion

-10.79804

Log likelihood

29.40927

F-statistic

325028.0

Durbin - Watson stat

2.713355

Prob(F-statistic)

0.000003

LXT
LPVN

111

Prob.