KINH T LNG - ECONOMETRICS

Ti liu
[1]. Nguyn Quang Dong, (2002), Bi ging Kinh t lng, NXB Thng k.
(Ti bn cc nm 2000, 2001, 2002, 2003).
[2]. V Thiu, Nguyn Quang Dong (2001), Kinh t lng - Bi tp & Hng
dn thc hnh Mfit3, NXB KHKT.
Tham kho v nng cao
[3]. Nguyn Cao Vn, Trn Thi Ninh, (1998), L thuyt Xc sut v Thng k
ton, NXB GD.(Ti bn cc nm 2002, 2005)
[4]. Nguyn Quang Dong, (2002), Kinh t lng - Chng trnh nng cao, NXB
KHKT.
[5]. Nguyn Quang Dong, (2002), Bi tp Kinh t lng vi s tr gip ca phn
mm Eviews, NXB KHKT.
[6]. Nguyn Khc Minh, (2002), Cc phng php Phn tch & D bo trong
Kinh t, NXB KHKT.
[7]. Graham Smith, (1996), Econometric Analysis and Applications, London
University.
8 D. Gujarati. Basic Econometrics. Third Edition. McGraw-Hill,Inc 1996.
9 Maddala. Introduction to Econometrics . New york 1992.
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

Bi m u
1. Khi nim v Kinh t lng (Econometrics)
- Nhiu nh ngha, ty theo quan nim ca mi tc gi.
- Econo + Metric
Khi nim: KTL nghin cu nhng mi quan h Kinh t X hi; thng qua vic
xy dng, phn tch, nh gi cc m hnh cho ra li gii bng s, h tr vic
ra quyt inh
Econometrics Pragmatic Economics
- KTL s dng kt qu ca :
+ L thuyt kinh t
+ M hnh ton kinh t
+ Thng k, xc sut
2. Phng php lun (cc bc tin hnh)
2.1. t lun thuyt v vn nghin cu
- Xc nh phm vi, bn cht, tnh cht ca cc i tng v mi quan h
gia chng.
- Xc nh m hnh l thuyt kinh t hp l.
2.2. Xy dng m hnh kinh t ton :
+ Mi i tng i din bi mt hoc mt s bin s.
+ Mi mi quan h: Phng trnh, hm s, bt phng trnh
+ Gi tr cc tham s : cho bit bn cht mi quan h.
2.3. Xy dng m hnh kinh t l-ng t-ng ng
- M hnh kinh t ton: ph thuc hm s
- M hnh kinht l-ng: ph thuc t-ng quan v hi quy
2.4. Thu thp s liu
- S liu c dng : t thng k.
2.5. Uc lng cc tham s ca m hnh.
Vi b s liu xc nh v phng php c th, kt qu c lng l nhng
con s c th.
2.6. Kim nh m hnh.
- Bng phng php kim nh thng k: kim nh gi tr cc tham s, bn
cht mi quan h
- Kim nh tnh chnh xc ca m hnh.
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

- Nu khng ph hp : quay li cc bc trn.

- Bin i, xy dng m hnh mi c kt qu tt nht.
2.7. D bo
- Da trn kt qu c cho l tt : d bo v mi quan h, v cc i
tng trong nhng iu kin xc nh.
2.8.Kim sot v xut chnh sch.
- Da vo kt qu phn tch ca m hnh m xut chnh sch kinh t.
V d: Nghin cu tnh quy lut ca tiu dng.
1. Xy dng mt lun thuyt kinh t v tiu dng.
Trong tc phm: L thuyt v vic lm, li sut v tin t, Keynes vit: Lut tm l
c bn . . . l mt ng-i s tng tiu dng khi thu nhp ca ng-i tng ln, song
khng th tng nhiu bng mc tng ca thu nhp
2. Xy dng m hnh kinh t ton t-ng ng.
K hiu: Y l tiu dng
X l thu nhp
V gi s Y ph thuc tuyn tnh vo X. Ta c m hnh kinh t ton sau y:
Y = 1 + 2X
M hnh trn th-ng -c gi l Hm tiu dng ca Keynes v phi tho mn
iu kin:
0 2 1
3. Xy dng m hnh kinh t l-ng t-ng ng.
M hnh kinh t l-ng t-ng ng c dng:
Yi = 1 + 2Xi + ui
Trong ui l sai s ngu nhin.
4. Thu thp s liu thng k.
C s liu sau v tng mc tiu dng c nhn ( Y ) v tng thu nhp gp GDP ( X
) ca M giai on 1980 1991 ( n v: t USD ) tnh theo gi c nh nm 1987:
Nm
Y
X
1980
2447.1
3776.3
1981
2476.9
3843.1
1982
2503.7
3760.3
1983
2619.4
3906.6
1984
2746.1
4148.5
1985
2865.8
4279.8
1986
2969.1
4404.5
1987
3052.2
4539.9
1988
3162.4
4718.6
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

1989
3223.3
1990
3260.4
1991
3240.8
Ngun: Bo co kinh t ca tng thng M, 1993.

4838.0
4877.5
4821.0

5. c l-ng m hnh.
Dng ph-ng php bnh ph-ng nh nht, tm -c cc uoc l-ng sau:
1 = -231,8
2 = 0,7194
Nh- vy -c l-ng ca hm tiu dng l:
Y i = -231,8 + 0,7194Xi
6. Kim nh m hnh:
H0: 2 = 0
H1: 2 0
H0: 2 = 1
H1: 2 1 . . .
7. D bo.
Chng hn c c s cho rng GDP ca M vo nm 1994 l 6000 t USD. Lc
c th tm -c mt d bo im cho Tng mc tiu dng c nhn ca M vo nm
l:
Y 1994 -231,8 + 0,7194*6000 = 4084,6 t USD
T c th xy d-ng tip cc d bo bng khong tin cy.
8. Kim sot hoc xut chnh sch.
Chng hn chnh ph M tin rng nu c -c tng mc tiu dng c nhn l 4000 t
USD th s duy tr -c t l tht nghip mc 6,5%. T duy tr -c t l tht
nghip ni trn cn phi c -c GDP l:
GDP ( 4000 + 231,8 )/ 0,7194 5882 t USD.
3. S liu dng trong KTL
3.1. Phn loi
- S liu theo thi gian.
- S liu theo khng gian.
- S liu cho
3.1. Ngun gc
- iu tra
- Mua
- T ngun c pht hnh : Nin gim thng k
3.2. Tnh cht ca s liu
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

- S liu ngu nhin phi thc nghim.

- Ph hp mc ch nghin cu.
Ch : Dc im chung ca cc s liu kinh t x hi l km tin cy

Chng 1. CC KHI NIM C BN

1. Phn tch hi qui Regression Analysis

1.1. nh ngha
Phn tch hi qui l phn tch mi lin h ph thuc gia mt bin gi l
bin ph thuc (bin c gii thch, bin ni sinh) ph thuc vo mt
hoc mt s bin khc gi l (cc) bin gii thch (bin c lp, bin ngoi
sinh, bin hi qui).
1.2. V d Tiu dng v Thu nhp.
- Bin ph thuc (dependent variable) k hiu l Y
- Bin gii thch / hi qui (regressor(s)) k hiu l X, hoc X2, X3.
- Bin gii thch nhn nhng gi tr xc nh, trong iu kin bin ph
thuc l mt bin ngu nhin.
Phn tch hi qui nghin cu mi lin h ph thuc gia bin ph thuc Y
m thc cht l mt bin ngu nhin, ph thuc vo cc gi tr xc nh ca
(cc) bin gii thch nh th no.
X = Xi (Y/Xi)
1.3. Mc ch hi qui
- c lng trung bnh bin ph thuc trong nhng iu kin xc nh ca
bin gii thch.
- c lng cc tham s.
- Kim nh v mi quan h.
- D bo gi tr bin ph thuc khi bin gii thch thay i.
(*)
Hi qui : qui v trung bnh
1.4. So snh vi cc quan h ton khc
- Quan h hm s : x y
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

- Quan h tng quan xy

- Quan h nhn qu X Y X

2. M hnh hi qui Tng th

- Tng th : ton b nhng c th mang du hiu nghin cu
- Phn tch hi qui da trn ton b tng th
Gi s bin ph thuc Y ch ph thuc mt bin gii thch X

2.1. Hm hi qui tng th (PRF : Population Regression Function).

Xt quan h hi qui:
X = Xi (Y/Xi)

Bin ngu nhin Y trong iu kin X = Xi (i

=1n)
Tn ti Phn phi xc sut c iu kin
F(Y/Xi)
Tn ti duy nht gi tr K vng c iu kin
E(Y/Xi)
Quan h hm s
Xi E(Y/Xi)
E(Y/Xi) = f(Xi) hoc E(Y/X) = Hm hi qui tng th (PRF)
f(X)
Nu: hm hi qui tng th c dng tuyn tnh
E(Y/Xi) = 1 + 2Xi
1 v 2 -c gi l cc h s hi quy ( regression coefficient)
Trong : 1 = E(Y/Xi = 0): h s chn (INPT : intercept term)

2 =

E (Y / X i )
: h s gc (slope coefficient)
X i

Hm hi qui tng th cho bit mi quan h gia bin ph thuc v bin

gii thch v mt trung bnh trong tng th.
2.2. Phn loi
Hm hi qui tng th c gi l tuyn tnh nu n tuyn tnh vi tham s.
2.3. Sai s ngu nhin.
- Xt gi tr c th Yi (Y/Xi), thng thng Yi E(Y/Xi)
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

- t ui = Yi E(Y/Xi) : l sai s ngu nhin (nhiu, yu t ngu nhin:

random errors)
- Tnh cht ca SSNN : + Nhn nhng gi tr dng v m.
+ K vng bng 0: E(ui) = 0 i
Bn cht ca SSNN : i din cho tt c nhng yu t khng phi bin
gii thch nhng cng tc ng ti bin ph thuc:
+ Nhng yu t khng bit.
+ Nhng yu t khng c s liu.
+ Nhng yu t khng nh h-ng nhiu n bin ph thuc.
+ Sai s ca s liu thng k.
+ Sai lch do chn dng hm s.
+ Nhng yu t m tc ng ca n qu nh khng mang tnh h
thng.
2.4. M hnh hi quy tng th ( PRM: Population regression model )
Yi = 1 + 2Xi + ui
(i = 1,N)
3. M hnh hi qui mu
- Khng bit ton b Tng th, nn dng ca PRF c th bit nhng gi tr j th
khng bit.
- Mu : mt b phn mang thng tin ca tng th.
- W = {(Xi, Yi), i = 1 n} c gi l mt mu kch thc n, c n quan st
(observation).
3.1. Hm hi qui mu (SRF : Sample Regression Function)
- Trong mu W, tn ti mt hm s m t xu th bin ng ca bin ph
thuc theo bin gii thch v mt trung bnh, Y = f ( X ) gi l hm hi qui
mu (SRF).
- Hm hi qui mu c dng ging hm hi qui tng th
Nu PRF c dng
E(Y/Xi) = 1 + 2Xi
Th SRF c dng
Yi
= 1 + 2 Xi
- V c v s mu ngu nhin, nn c v s gi tr ca 1 v 2 j l bin
ngu nhin.
- Vi mt mu c th w kch thc n, j s l con s c th.
3.2. Phn d
- Thng thng Yi Yi , t ei = Yi Yi v gi l phn d (residual).
- Bn cht ca phn d ei ging sai s ngu nhin ui
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

Yi , 1 , 2 , ei l c lng im tng ng ca E(Y/Xi), 1,

2, ui.

3.3. M hnh hi quy mu ( SRM: Sample regression model )

Y i = 1 + 2Xi + ei

Chng 2. C LNG V Kim nh M HNH HI QUI

n

1. M hnh
- M hnh hi qui n ( Simple regression ) l m hnh mt ph-ng trnh gm
mt bin ph thuc (Y) v mt bin gii thch (X).
E(Y/Xi)= 1 + 2 Xi
- M hnh c dng: PRF
PRM
Yi = 1 + 2 Xi + ui
- Vi mu W = {(Xi, Yi), i = 1 n}, tm 1 , 2 sao cho SRF: Yi = 1 + 2 Xi phn
nh xu th bin ng v mt trung bnh ca mu.

2. Phng php bnh phng nh nht( Ordinary least squares -OLS)

2.1. Phng php
- Tm 1 , 2 sao cho Q =

i 1

i 1

(Yi Yi ) 2 ei 2 min

Ly o hm ring ca Q theo 1 v 2 v cho bng 0:

Q/ 1 = -2 (Yi - 1 - 2Xi) = 0
Q/ 2 = -2 Xi (Yi - 1 - 2Xi) = 0

1n

+ 2Xi = Yi

1Xi + 2Xi2 = XiYi

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

t: X = (Xi)/n ; Y = (Yi)/n ; XY = (XiYi)/n ; X 2 = (Xi2)/n

XY XY
;
2 = 2
X ( X )2

t xi = Xi X ;

1 = Y 2 X

yi = Yi Y ; y i = Y i Y

2 =

x y
i

i 1
n

x
i 1

2
i

y i = 2xi

gi l hm hi quy mu i qua gc to .

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

c lng bnh phng nh nht (OLS) ca 1 v 2.

2.2.Phng php OLS c cc tnh cht sau:
a. SRF i qua im trung bnh mu ( X , Y )
b. Trung bnh ca cc gi tr -c l-ng bng trung bnh mu Y Y
c. Tng cc phn d- bng khng

ei 0

i 1

d. Cc phn d- khng t-ng quan vi cc gi tr ca bin gii thch

n

ei X i 0

i 1

e. Cc phn d- khng t-ng quan vi cc gi tr -c l-ng ca bin ph

thuc Y

eiYi = 0
i 1

3. Cc gi thit c bn ca OLS

Mt c lng s dng c khi n l tt nht. c lng OLS l tt nht th

tng th phi tha mn mt s gi thit sau:
Gi thit 1: M hnh hi quy c dng tuyn tnh i vi tham s.
Gi thit 2: Bin gii thch l phi ngu nhin
Gi thit 3: Trung bnh ca cc sai s ngu nhin bng 0 E(ui) = 0 i
Gi thit 4: Phng sai sai s ngu nhin bng nhau Var(ui) = 2 i
Gi thit 5: Cc sai s ngu nhin khng tung quan
Cov(ui, uj) = 0 i j
Gi thit 6: SSNN v bin gii thch khng tng quan
Cov(ui, Xi) = 0 i
Gi thit 7: Cc gi tr ca bin gii thch phi khc nhau cng nhiu cng tt
Var(X) 0
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

Gi thit 8: Kch th-c mu phi ln hn s tham s cn -c l-ng ca m hnh.

Gi thit 9: M hnh -c ch nh ng.
Gi thit 10: Khng c a cng tuyn gia cc bin gii thch ca m hnh hi quy
bi.
nh l: Nu tng th tha mn cc gi thit trn th c lng OLS s l
c lng tuyn tnh, khng chch, tt nht (trong s cc c lng khng
chch) ca cc tham s.
4. Cc tham s ca c lng OLS
Cc c lng j l bin ngu nhin ty thuc mu, nn c cc tham s c
trng
E( 1 ) = 1

K vng :

E( 2 ) = 2
n

Var( 1 ) =

Phng sai :

X
i 1
n

2
i

n xi2

Var( 2 ) =

x
i 1

i 1

lch chun : SD( j ) = Var ( j )

1
n

2
2
i

(j = 1,2)

Th-ng th 2 l phng sai ca sai s ngu nhin cha bit, c c lng bi

2
n

2 =

ei2

vi 2 l s tham s cn phi c lng ca m hnh.

i 1

n2

= 2

l lch chun ca ng hi qui : (Se of Regression)

Lc ta thu -c:

Se( 1 ) =

X
i 1

2
i

n xi2
i 1

Se( 2 ) =

x
i 1

2
i

Cov( 1, 2) = - X Var( 2)
Hip ph-ng sai phn nh mi quan h gia 1 v 2.

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

10

5. S ph hp ca hm hi qui- H s xc nh R2
y i Yi Y

y i Yi Y yi = y i + ei ; V chng minh c
ei Yi Y

y y e
i 1

2
i

i 1

2
i

i 1

2
i

TSS = ESS + RSS

TSS (Total Sum of Squares) : o tng bin ng ca bin ph thuc
ESS (Explained Sum of Squares): tng bin ng ca bin ph thuc c
gii thch bi MH bin gii thch.
RSS (Residual Sum of Squares) : tng bin ng ca bin ph thuc c
gii thch bi cc yu t nm ngoi m hnh Sai s ngu nhin.
t R2 =

ESS
RSS
1
gi l h s xc nh,
TSS
TSS

0 R2 1

ngha: H s xc nh R2 l t l (hoc t l %) s bin ng ca bin ph

thuc c gii thch bi bin gii thch (theo m hnh, trong mu).
6. H s t-ng quan R :
L cn bc hai ca h s xc nh v o mc t-ng quan tuyn tnh gia Y v X
7. Phn phi xc sut ca sai s ngu nhin.
Mun tin hnh cc suy din thng k, th phi bit phn phi xc sut ca cc
c lng, phn phi ty thuc phn phi xc sut ca SSNN.
Gi thit 11: Cc SSNN ui c phn phi chun.
C s ca gi thit ny l:
+ Do ui th-ng l s tng hp ca mt s ln cc nhn t ngu nhin c lp v nh
h-ng b u nh- nhau nn theo h qu ca nh l gii hn trung tm th c th xem l
ui phn phi chun.
+ Phn phi chun ch c hai tham s l v 2 nn d s dng.
+ Phn phi chun c tnh cht l nu ui phn phi chun th mi hm tuyn tnh ca
n cng phn phi chun.
+ Phn phi chun c tnh cht l tnh c lp v khng t-ng quan l ng nht.
Kt hp cc gi thit 3,4,5 v 11 ta c gi thit chung l:
ui n.i.d (0,2)
M hnh tho mn cc gi thit trn gi l m hnh hi quy tuyn tnh c in ( CLRM ).

.8. Cc tnh cht ca cc -c l-ng OLS.

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

11

a.
b.
c.
d.

Cc -c l-ng ca CLRM l cc -c l-ng khng chch.

Cc -c l-ng ca CLRM l cc -c l-ng vng
Cc -c l-ng ca CLRM l cc -c l-ng hiu qu nht.

1 N( 1, var( 1))

e. 2 N( 2, var( 2))
f. 2 =

(n 2) 2
2

2(n-2)

g. Cc -c l-ng ca CLRM u l BLUE hoc BUE

h. Yi N ( 1 + 2Xi , 2 ) i = 1, 2, . . . N.

.9. Suy din thng k.

9.1. c lng khong
Vi tin cy 1 - cho trc, khong tin cy ca cc h s hi quy:

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

j Se( j )t/2(n 2) <

j Se( j )t(n 2) < j

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

(j =

1,2)

2 (n 2)
2 (n 2)
2
<

<
2 / 2 (n 2)
12 / 2 (n 2)
2 (n 2)
2
2 ( n 2)

2 (n 2)
12(n 2 )

9.2. Kim nh gi thuyt

Vi mc ngha cho trc, kim nh mi quan h th t ca h s vi
cc s thc cho trc

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

12

H 0 : j *j

*
H1 : j j

i. Cp gi thuyt

Tiu chun kim nh :

Tqs =

j = 1,2
j *j
Se( )
j

Nu Tqs> t/2(n 2) th bc b H0, ngc li : cha c c s bc

b H0.
H 0 : j *j

*
H 1 : j j

Nu Tqs > t (n 2) : bc b

H : *j
iii. Cp gi thuyt 0 j
*

Nu Tqs < t (n 2) : bc b

ii. Cp gi thuyt
H0

H 1 : j j

H0
Trng hp c bit

H 0 : j 0

H1 : j 0

Tqs =

j
Se( j )

10. Kim nh v s thch hp ca m hnh.

Cp gi thuyt
H 0 : R 2 0

2
H1 : R 0

Bin gii thch khng gii thch cho Y

Kim nh F:

Fqs =

Bin gii thch c gii thch cho Y

H : 0

0 2
H1 : 2 0

ESS / 1
R 2 /1

RSS /(n 2) 1 R 2 /(n 2)

- Nu Fqs > F( 1; n - 2) th bc b H0 : bin gii thch gii thch c cho

s bin ng ca bin ph thuc, hm hi qui c gi l ph hp.
- Ngc li, Y khng ph thuc vo bin gii thch, hm hi qui khng ph
hp.
V hai cp gi thit tng ng, kim nh F tng ng kim nh T, Fqs =
(Tqs)2.
11. D bo
L c lng khong cho gi tr trung bnh v c bit ca bin ph thuc khi bin
gii thch nhn gi tr xc nh X = X0
11.1. D bo gi tr trung bnh
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

13

Y0 Se( Y0 )t/2(n 2) < E(Y/X0) < Y0 + Se( Y0 )t/2(n 2)

Vi Y0 = 1 + 2 X0

Se( Y0 )

1 ( X 0 X )2

n
xi2

11.2. D bo gi tr c bit
Y0 Se( Y 0 - Y0)t/2(n 2) < Y0 < Y0 + Se( Y 0 - Y0) t/2(n 2)
1
n

Vi Se( Y 0 - Y0) = 1

( X 0 X )2
xi2

Chng 3. M HNH HI QUI bi (Multiple regression)

1. M hnh hi qui 3 bin.
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

14

1.1. M hnh:
M hnh hi qui trong bin ph thuc Y ph thuc vo 2 bin gii thch X2, X3 c
dng
PRF: E(Y/ X2i, X3i) = 1 + 2 X2i + 3X3i (1) th l mt mt
phng
PRM:
Yi = 1 + 2X2i + 3X3i + ui
Gi s mi gi thit ca OLS u tho mn, lc vi mu kch th-c n -c lp t
tng th s xc nh -c:
SRF: Yi = 1 + 2 X2i + 3 X3i
(2)
SRM: Yi = 1 + 2X2i + 3X3i + ei
Tm j ( j = 1,3 ) sao cho

Q=

i 1

i 1

(Yi Yi ) 2 ei min
2

Q/ 1 = 0

Q/ 2 = 0
Q/ 3 = 0

1n

+ 2X2i

1X2i + 2X2i2

+ 3X3i = Yi
+ 3X3i = X2iYi

1X3i + 2X2 X3i + 3X3i2 = X3iYi

K hiu:

Y = (Yi)/n

X 2 = (X2i)/n

X 3 = (X3i)/n

Yi = Yi Y

x2i = X2i X 2

x3i = X3i X 3

1 = Y - 2 X 2 - 3 X 3

x2iyix3i2 - x3iyix2i x3i

= -----------------------------------x2i2x3i2 (x2i x3i)2

x3iyix2i2 - x2iyix2i x3i

= -----------------------------------x2i2x3i2 (x2i x3i)2

1.2.

y i = 2 x 2i 3 x3i Hm hi quy mu i qua gc to .

Cc tham s ca cc -c l-ng OLS.

E( j) = j j = 1,3

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

15

X 2 x 2 X 2 x 2 2 X 2 X 3 x 2 i x 3i 2
1
Var( 1) = + 2 3i 2 3 2 2i

x x

Var( 2) =
Var( 3 ) =

2i

2
3i

x x ( x
x
x x ( x
2
2i

( x 2 i x 3i )

3i

2
3i

2
3i

2
x22i (1 r232 )

2 =

2
x32i (1 r232 )

x 3i ) 2

2i

2
2i

2
2i

2 =

x 3i ) 2

2i

Se( j ) = var( j ) trong 2 2 =

Cov( 2 3 ) =

RSS
n3

r23 2
(1 r232 ) x22i x32i

H s xc nh bi R2
ESS
RSS
2
R = --------- = 1 - -------TSS
TSS
Vi m hnh ba bin:
1.3.

R2 =

1.4.

2 x 2i y i 3 x3i y i

2
i

H s t-ng quan.

a. H s tung quan bi R: L cn bc hai ca h s xc nh bi v o mc

t-ng quan tuyn tnh chung gia Y, X2 v X3.
b. H s t-ng quan cp rij: o mc t-ng quan tuyn tnh gia bin i v bin j
ca m hnh.
r122

r132

2
23

( x 2i y i ) 2

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

2
i

3i

2
3i

2i

2
2i

2
i
2

3i

2
3i

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

16

c. H s t-ng quan ring phn rij , k : o mc t-ng quan tuyn tnh gia bin
i v bin j ca m hnh vi iu kin bin k khng i.
r12,3 =
r13,2 =
r23,1 =

r12 r13 r23

(1 r132 )(1 r232 )
r13 r12 r23
(1 r122 ) (1 r232 )
r23 r12 r13
(1 r122 )(1 r132 )

V d: Bng sau y cho T l lm pht Y(%), T l tht nghip X2(%) v T l lm

pht k vng X3(%) ca M giai on 1970- 1982:
Nm
Y
X2
X3
1970
5.92
4.9
4.78
1971
4.30
5.9
3.84
1972
3.30
5.6
3.13
1973
6.23
4.9
3.44
1974
10.97
5.6
6.84
1975
9.14
8.5
9.47
1976
5.77
7.7
6.51
1977
6.45
7.1
5.92
1978
7.60
6.1
6.08
1979
11.47
5.8
8.09
1980
13.46
7.1
10.01
1981
10.24
7.6
10.81
1982
5.99
9.7
8.00
a. Hi quy Y vi X2 v cho nhn xt.
b. Hi quy Y vi X2 v X3 v so snh vi kt qu thu -c phn a.

2. M hnh hi quy tng qut k bin - Dng ma trn ca m hnh

2.1. M hnh
M hnh hi qui trong bin ph thuc Y ph thuc vo k 1 bin gii thch X2, ..
,Xk c dng
PRF: E(Yi) = 1 + 2 X2i + 3X3i + + kXki
(1)
PRM:
Yi = 1 + 2 X2i + 3X3i + + kXki + ui
(2)
Vi mu W = {(X2i, X3i,,Xki, Yi); i = 1 n},
SRF:
Yi = 1 + 2 X2i + 3 X3i + + k Xki

(3)

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

17

SRM:

Yi = 1 + 2 X2i + 3 X3i + + k Xki + ei

2.2. Dng ma trn

Y1 = 1 + 2 X21 + + kXk1 + u1
Y2 = 1 + 2 X22 + + kXk2 + u2

Yn-1= 1 + 2 X2n-1+ + kXkn-1 + un-1

Yn = 1 + 2 X2n + + kXkn + un

(4)

Y1 1 X 21

Y2 1 X 22
... ...
...

Yn1 1 X 2 n1
Y 1 X
2n
n

Y(n1) =

X(nk)

e1

e2
... , th

en1
e
n

= X
Y

X k1
u
1 1
X k 2 u2
2
...
... ...
...

... X kn1 u n1
k
... X kn u n
...
...

(k1) + U(n

E(Y) = X

Y = X + U

Y1

1

Y2

Tng t, t Y = ... ; = 2 ; e =
...
Yn1


k
Yn

Y = X + e

2.3. Phng php bnh phng nh nht

Tm sao cho

e
i 1

2
i

= ee min

(Y - X ) (Y - X ) min XX = XY

Nu tn ti (XX)-1 th = (XX)-1XY
Khi = (XX)-1XY l c lng tuyn tnh khng chch tt nht ca

2.4. Cc tham s ca c lng

K vng : E( ) =
Phng sai hip phng sai
Var ( 1 )
Cov ( 1 , 2 )

Cov ( 2 , 1 )
Var ( 2 )
Cov( ) =
...
...

Cov ( , ) Cov ( , )
k
1
k
2

... Cov( 1 , k )
... Cov( 2 , k )
2
= (XX)
...
...

...
Var ( k )

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

18

Vi 2 c c lng bi 2 =

e' e
nk

2.5. S ph hp ca hm hi qui
H s xc nh bi.
R2 =

ESS
RSS
=1TSS
TSS

Cho bit t l s bin ng ca bin ph thuc c gii thch bi tt c cc bin

gii thch c trong m hnh.
R2 c cc tnh cht sau:
+ 0 R2 1
Tnh cht ny dng nh gi mc thch hp ca hm hi quy.
+ Gi tr ca R2 ng bin vi s bin gii thch ca m hnh. Tuy nhin khng
th ly iu xem xt vic -a thm bin gii thch vo m hnh.

2.6. H s xc nh bi hiu chnh.

R2 = 1 (1 R2)

n 1
nk

R c cc tnh cht sau:

+ R 2 c th nhn gi tr m.
+ Khi s bin gii thch ca m hnh tng ln th R 2 tng chm hn R2.
R 2 R2 1
Tnh cht ny -c dng lm cn c xem xt vic -a thm bin gii thch vo m
hnh.

2.7. H s t-ng quan.

a. H s t-ng quan bi R.
b. H s t-ng quan cp rij (i,j = 1, k )
c. H s t-ng quan ring phn r12,34. . . k . . . rk-1k,12 . . . k-2
Cc h s t-ng quan cp -c gi l h s t-ng quan ring phn bc 0.

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

19

3. Suy din thng k.

3.1. c lng khong

i. Khong tin cy cho tng h s
j Se( j )t2(n k) < j < j + Se( j )t1(n k)

(j = 1, k )

Khong tin cy i xng, bn phi, bn tri.

ii. Khong tin cy cho hai h s
( i j ) Se( i j )t2(n k) < i j <( i j ) + Se( i j )t1(n k)
Vi

Se( i j )

Var ( i j ) =

Var ( i ) 2Cov ( i , j ) Var ( j )

iii. Khong tin cy cho sai s ngu nhin

2 (n k )
2 (n k )
2
< <
2(2n k )
12(n1k )

Khong tin cy hai pha, bn phi, bn tri.

3.2. Kim nh gi thuyt
Cp gi thuyt

Tiu chun kim nh

H 0 : j *j

*
H1 : j j
H 0 : j *j

*
H 1 : j j

Tqs> t( n/2k )
Tqs =

j *j
Se( )

Tqs > t( n k )

H 0 : j *j

*
H 1 : j j

H 0 : i j a

H1 : i j a

Min bc b H0

Tqs < t( n k )
Tqs =

i j a
Se( )
i

Tqs> t( n/2k )

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

20

4. Kim nh s ph hp ca hm hi qui
H 0 : R 2 0

2
H1 : R 0

H : ... 0

k
0 2
H
:

0
:
(
j

1)
j
1

Tt c cc bin gii thch khng gii thch cho Y

t nht mt bin gii thch c gii thch cho Y

ESS /(k 1)
R 2 /(k 1)

Fqs =
RSS /(n k ) 1 R 2 /(n k )

Fqs > F(k - 1; n - k) th bc b H0 : hm hi qui l ph hp

V d: Vi tp s liu cho, hy tm cc -c l-ng bng ph-ng php ma trn v
cc tham s t-ng ng ca m hnh. Hy tin hnh cc -c l-ng v kim nh cn
thit.
5. Kim nh thu hp hi qui:
5.1. Th tc:
Nghi ng m bin gii thch Xk-m+1,, Xk khng gii thch cho Y
H 0 : k m 1 k m 2 ... k 0

H 1 : j 0 : ( j k m 1 k )

Tt c m bin gii thch khng gii thch cho Y

t nht mt bin gii thch c gii thch cho Y

E(Y/X2,..,Xk - m,..,Xk ) = 1 + 2X2 + + kXk

E(Y/X2,, Xk - m) = 1 + 2X2 + + kXk - m
Fqs =

(UR)
(R)

( Rur2 R2 ) / m
( RSSr RSSur ) / m
=
RSSur /(n k )
(1 Rur2 ) /(n k )

Fqs > F(m, n k) bc b H0

- Trng hp m = 1: Fqs = (Tqs)2 vi Tqs ng vi h s duy nht cn kim
nh.
- Trng hp m = k 1 : Fqs trong kim nh thu hp chnh l Fqs trong
kim nh s ph hp.
- Kim nh thu hp hi qui cn dng cho nhng trng hp khc.
5.2. Cc dng thu hp hi qui
V d Yi = 1 + 2X2i + 3X3i + ui

(UR)

H0: 3 = 1; H1: 3 1.
H0 ng

Yi = 1 + 2X2i + X3i + ui

Yi X3i = 1 + 2X2i + ui Yi* = 1 + 2X2i + ui

(R)

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

21

H0: 2 = 3; H1: 2 3.
H0 ng

Yi = 1 + 2X2i + 2X3i + ui

Yi = 1 + 2(X2i +X3i) + ui Yi = 1 + 2Xi* + ui

(R)

H0: 2 + 3 = a; H1: 2 + 3 a
H0 ng

Yi = 1 + 2X2i + (a 2)X3i + ui
Yi aX3i = 1 + 2(X2iX3i) + ui Yi* = 1+ 2Xi*+ ui
(R)

6. D bo.

6.1. D bo gi tr trung bnh

Y0 Se( Y0 )t/2(n k) < E(Y/X0) < Y0 + Se( Y0 )t/2(n k)
Vi Y0 = X0

Se( Y0 ) = X 0 ' (X' X) 1 X 0

6.2. D bo gi tr c bit
Y0 Se(Y0)t/2(n k) < Y0 < Y0 + Se(Y0) t/2(n k)
Vi Se(Y0) = 1 X 0 ' (X' X) 1 X 0

7. Mt s m hnh Kinh t
7.1. Hm thu nhp chi tiu
Yi : Thu nhp
Ci : Chi tiu
Ci = 1 + 2Yi + ui
- C l chi tiu cho tiu dng : 1 > 0; 1 > 2 > 0
- C l chi tiu cho hng ha thng thng
- C l chi tiu cho hng ha cao cp
- C l chi tiu cho hng ha th cp

7.2. Hm cu
Qi : cu v hng ha
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

22

Pi : gi c hng ha
PTi : gi hng ha thay th
PBi : gi hng ha b sung
Qi = 1 + 2Pi + 3PTi + 4PBi + ui
7.3. Hm chi ph sn lng
Qi : sn lng
TCi : tng chi ph, MCi : chi ph cn bin, ACi: chi ph trung bnh, FCi: chi ph
c nh
TCi = 1 + 2Qi + 3 Qi2 + 4 Qi3 + ui
FCi = 1 + ui
MCi = 2 + 23Qi + 34 Qi2 + ui
ACi =

1
+ 2 + 3Qi + 4 Qi2 + ui
Qi

7.4. Hm m Hm Loga tuyn tnh

M hnh kinh t c dng Yi =0X2i2 X3i3
lnYi = ln0 + 2lnX2i + 3lnX3i
Xt m hnh
LYi = 1 + 2 LX2i + 3LX3i + vi
E(Y / X2i , X3i) = e1X2i2X3i3
1 : E(Y/X2i = X3i = 1) = e1
2 = E(Y)/X2 : Khi X2 thay i 1%, yu t khc khng i, th E(Y) thay i
2 %
V d m hnh : E(Qi) = e1Ki2Li3
7.5. Hm na Loga
M hnh : Yi = 1 + 2 lnXi + ui
1 = E(Y/X = 1)
2: Khi X tng 1% th E(Y) thay i 2 n v.
M hnh : LnYi = 1 + 2Xi + ui
2 : Khi X tng 1 n v th E(Y) thay i 2 %.
7.6. Hm chi ph li ch
Ci : chi ph
Ui : li ch
Ui = 1 + 2Ci + 3 C i2 + ui
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

23

Chng 4. M HNH VI BIN GI

1. Bin nh tnh Bin gi

1.1. Bin nh tnh
- C nhng yu t mang tnh nh tnh tc ng n bin ph thuc
+ Ch c mt s trng thi xc nh
+ Mt c th ch trong mt trng thi, rt kh chuyn sang trng
thi khc
+ Khng c n v o
- Miu t bin nh tnh bng bin gi
1.2. M hnh c mt bin gii thch l nh tnh.
a. Bin nh tnh c hai phm tr.
Lc dng mt bin gi thay th cho n.
VD: Thu nhp c ph thuc gii tnh ?
Yi : thu nhp
1
0

Di =

Nu quan st l Nam

Nu quan st l N
M hnh : Yi = 1 + 2Di + ui
Thu nhp trung bnh ca nam E(Y/Di = 1) = 1 + 2
Thu nhp trung bnh ca n
E(Y/Di = 0) = 1
Nu 2 0 th TN trung bnh c ph thuc gii tnh
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

24

Bin D t nh trn l bin gi.

Qui tc t bin gi
- Bin gi ch nhn gi tr 0 v 1
- C th no cng phi c gi tr ca bin gi
- Bin gi phn chia tng th thnh nhng phn ring bit
b. Bin nh tnh c k phm tr.
Lc dng k-1 bin gi thay th cho chng.
V d: Chi ph cho vn ho phm c ph thuc vo trnh hc vn?
Yi: Chi ph cho vn ho phm.
D2i = 1 nu c trnh tiu hc
= 0 nu c trnh khc
D3i = 1
= 0
D4i = 1
= 0

nu c trnh trung hc
nu c trnh khc
nu c trnh i hc
nu c trnh khc
Yi = 1 + 2D2i + 3D3i + 4D4i + ui

1.3. M hnh c hai bin nh tnh

VD : Thu nhp trung bnh c khc nhau gia lao ng thnh th v nng
thn, nam v n?
Nu lao ng l nam
1
1 Nu lao ng thuc khu vc thnh th
D2 =
D3 =
Nu lao ng l n
0
0 Nu lao ng thuc khu vc nng thn
E(Y/D2i, D3i) = 1 + 2D2i + 3D3i + ui
Cc ch :
Nu m hnh c k bin gii thch l nh tnh vi s phm tr t-ng ng l n1, n2, .
. . nk th phi dng tng cng n1 + n2 + . . . + nk k bin gi.
Bin nhn mi gi tr bng 0 gi l phm tr c s dnh so snh vi cc phm
tr khc.
Cc h s gc ring phn -c gi l cc h s chnh lch.
Vic -a thm cc bin gii thch l nh l-ng vo m hnh -c lm nh- thng
l.
2. S t-ng tc gia cc bin gi
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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

25

Khi s dng cng mt lc nhiu bin gi c th xy ra s t-ng tc gia chng.

tnh n iu ta thm vo m hnh bin t-ng tc.
V d: Chi tiu cho qun o c ph thuc vo gii tnh v tnh cht cng vic?
M hnh: Yi = 1 + 2D2i + 3D3i + 4D2i*D3i + 5Xi + ui
Kim nh H0: 4 = 0 (khng c t-ng tc)
H1: 4 0 (c t-ng tc)
Lc mc t-ng tc bng 4.
3. nh gi s tc ng di vi bin nh lng
Xt m hnh tuyn tnh Y ph thuc vo X c h s chn c dng:
E(Y/Xi) = 1 + 2Xi
Bin nh tnh c hai trng thi A1 v A2.
1 quan st A1
0 quan st A1

D=

3.1. Bin nh tnh tc ng n h s chn

E(Y/Xi, Di) = 1 + 2Di + 3Xi

3.2. Bin nh tnh tc ng n h s gc

E(Y/Xi, Di) = 1 + 2Xi + 3DiXi
3.3. Tc ng n c hai h s
E(Y/Xi, Di) = 1 + 2Xi + 3Di + 4Di Xi
4. Kim nh s thay i cu trc ca m hnh.
H0 : 3 4 0

2
2
H1 : 3 4 0

Hm hi qui ng nht
Hm hi qui khng ng nht

4.1. Kim nh Chow

Kim nh v s ng nht ca hm hi qui.
Ton b tng th Yi = 1 + 2Xi + ui
Trong A1 :
Yi = 1 + 2Xi + u1i
Trong A2 :
Yi = 1 + 2Xi + u2i

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

26

H 0 : [1 = 1 = 1] v [2 = 2 = 2 ]

hoc [2 2]
H1 : [1 1]

Hm hi qui ng nht
Hm hi qui khng ng nht

Ly mu W1 kch thc n1 trong A1, hi qui MH thu c RSS1

Ly mu W2 kch thc n2 trong A2, hi qui MH thu c RSS2
Vi mu W = W1 W2 kch thc n1 + n2, hi qui thu c RSS
t RSS = RSS1 + RSS2.
Fqs =

RSS RSS n1 n 2 2k

k
RSS

Nu Fqs > F (k ; n1 + n2 2k) : bc b

H0

4.2. Dng bin gi kim nh s thay i cu trc.

Vi mu W = W1 W2 kch th-c n1 + n2 hi quy m hnh:
Yi = 1 + 2Di + 3Xi + 4Di Xi + ui
V kim nh thu hp hm hi quy gi thuyt H0: 2 = 4 = 0.
V d: Cho s liu trong bng d-i y v tit kim S v thu nhp Y (u ng-i) V-ng
quc Anh trong giai on 1946 - 1963 (triu pao). Ng-i ta cho rng, thi k khi phc
kinh t sau th chin th hai 1946 - 1954 v thi k sau , hnh vi tit kim t thu nhp
khc nhau. Hy kim tra kin ny vi mc ngha 5% bng kim nh Chow v bng
th tc bin gi.
Nm

Tit
kim

Thu nhp

Nm

Tit
kim

Thu
nhp

1946

0,36

8,8

1955

0,59

15,5

1947

0,21

9,4

1956

0,9

16,7

1948

0,08

10,0

1957

0,95

17,7

1949

0,2

10,6

1958

0,82

18,6

1950

0,1

11,0

1959

1,04

19,7

1951

0,12

11,9

1960

1,53

21,1

1952

0,41

12,7

1961

1,94

22,8

1953

0,50

13,5

1962

1,75

23,9

1954

0,43

14,3

1963

1,99

25,2

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

27

5. Dng bin gi phn tch bin ng ma v ( season)

Xt m hnh:
Yi = 1 + 2Xi + ui
Nu c s bin ng ma v, chng hn theo qu th dng 3 bin gi c tr-ng cho
chng:
D2 = 1 nu l qu 2
0 nu l qu khc
D3 = 1 nu l qu 3
0 nu l qu khc
D4 = 1 nu l qu 4
0 nu l qu khc
Ta c m hnh Yt = 1 + 2D2t + 3D3t + 4D4t + 5Xt + ut

V d: C s liu sau v tng li nhun v tng doanh s ca ngnh cng nghip ch

bin M t qu1-1965 n qu 4-1970:
Nm v qu
1965-1
1965-2
1965-3
1965-4
1966-1
1966-2
1966-3
1966-4
1967-1
1967-2
1967-3

Li nhun(tr. USD)
10503
12092
10834
12201
12245
14001
12213
12820
11349
12615
11014

Doanh s(tr. USD)

114862
123968
121454
131917
129911
140976
137828
145465
136989
145126
141536

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Bi ging Kinh t lng Nguyn

cao Vn B mn Ton Kinh t - khoa Ton Kinh t - H KTQD

28

1967-4
12730
151776
1968-1
12539
148862
1968-2
14849
158913
1968-3
13203
155727
1968-4
14947
168409
1969-1
14151
162781
1969-2
15949
176057
1969-3
14024
172419
1969-4
14315
183327
1970-1
12381
170415
1970-2
13991
181313
1970-3
12174
176712
1970-4
10985
180370
a. Hy hi quy li nhun vi doanh s v cho nhn xt.
b. V th ca li nhun v doanh s theo thi gian v cho nhn xt.
c. T hy tm cch hon thin m hnh.
6. Hi qui tuyn tnh tng khc
Hm hi qui tuyn tnh gp khc ti im X = Xt0
1 : X X

t0
D=

0
:
X
X
t0

E(Y/Xt, Dt) = 1 + 2Xt + 3( Xt Xt0)Dt

Chng 5. A CNG tuyn

1. Bn cht ca a cng tuyn ( Multicolinearity)
1.1. Hin tng :
Xt MH:
Yi = 1 + 2 X2i + 3X3i + + kXki + ui
Gt 10: Cc bin gii thch khng c quan h cng tuyn.
Nu gi thit b vi phm hin tng a cng tuyn.
C hai dng a cng tuyn:
i. a cng tuyn hon ho( Perfect Multicolinearity) :
j 0 (j 1) sao cho:
2 X2i + + kXki = 0 i
Ma trn X l suy bin, khng c li gii duy nht.
ii. a cng tuyn khng hon ho ( Imperfect Multicolinearity) :
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j 0 (j 1) sao cho:
2 X2i + + kXki + vi = 0
vi vi l SSNN c phng sai dng vn c li gii.
1.2. Nguyn nhn
a cng tuyn hon ho gn nh khng bao gi xy ra
a cng tuyn khng hon ho thng xuyn xy ra, do cc nguyn nhn:
- Bn cht cc bin gii thch c quan h t-ng quan vi nhau.
- Do s liu mu khng ngu nhin.
- Do kch thc mu khng .
- Do qu trnh lm trn s liu.
2. Hu qu
2.1. a cng tuyn hon ho : khng gii c
V lc

0
j
0

j v

Var( j ) = j
2.2. a cng tuyn khng hon ho:
- Cc c lng c phng sai ln, l c lng khng hiu qu.
- Khong tin cy rng khng cn ngha.
- Cc kim nh T c th sai.
- Cc kim nh T v kim nh F c th cho kt lun mu thun nhau.
- Cc c lng c th sai v du.
- M hnh tr nn nhy cm vi mi s thay i ca s bin gii thch v
ca tp s liu.
3. Pht hin a cng tuyn.
3.1. S mu thun gia kim nh T v F
C mu thun: Kim nh F c ngha, tt c cc kim nh T v cc h
s gc khng c ngha.
c a cng tuyn.
iu ngc li cha chc ng.

3.2. Kim nh Klein.

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B-c 1. Hi quy m hnh cho tm h s xc nh R2.

B-c 2. Tm cc h s t-ng quan cp rij
Nu R2 rij2 i,j th c th l du hiu ca a cng tuyn
3.3. Kim nh Farrar Glauber.
B-c 1. Tm D = det( r) trong r l ma trn h s t-ng quan cp.
B-c 2. Tnh gi tr ca tiu chun kim nh sau:

2 = - ( n -1) 1/6( 2k + 5). Ln D 2 ( 1/2k(k-1))

thch.

Nu 2qs ( 1/2k(k-1)) th bc b H0 tc l c a cng tuyn gia cc bin gii

3.4. Hi qui ph
Nghi ng bin gii thch Xj ph thuc tuyn tnh vo cc bin gii thch
khc, hi qui m hnh hi qui ph:
Xj = 1 + 2X2 + + j-1Xj -1 + j+1Xj+1 + + vi (*)
H 0 : R*2 0

2
H1 : R* 0

Fqs =

M hnh ban u khng c a cng tuyn

M hnh ban u c a cng tuyn
R*2
n k*
; Fqs > F(k* 1, n k*) th bc b H0.

2
1 R* k* 1

3.5. o Theil
Dng so snh mc a cng tuyn khng hon ho gia cc m hnh.
B-c 1: Hi quy m hnh ban u tm -c R2
B-c 2: B bin Xj ra khi m hnh, hi qui thu c R2 j (j=2,k)
k

m = R2 ( R 2 R2 j ) c gi l o Theil
j 2

.4. Khc phc a cng tuyn.

4.1. Dng thng tin tin nghim.

V d: Xt m hnh
TDi = 1 + 2TNi + 3SKi + ui
D thy TDi c cng tuyn vi SKi
Nu c th cho rng 3 = 0,12
Th m hnh tr thnh TDi = 1 + 2( TDi + 0,1SKi) + ui
V khc phc -c a cng tuyn.
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4.2. B bt bin nu c th.

Lc vic la chn bin b loi khi m hnh c th cn c vo kt qu ca hi quy
ph.
4.3.Tng kch th-c mu hoc ly mu mi nu c th.
4.4. i dng ca m hnh.
V d thay v hi quy m hnh
Ng-i ta hi quy m hnh

Yi = 1 + 2X2i + 3X3i + ui
lnYi = 1 + 2lnX2i + 3lnX3i + ui

4.5. Dng sai phn cp 1.

Xt m hnh Yt = 1 + 2X2t + 3X3t + ut
Ti thi im t-1 m hnh c dng:
Yt-1 = 1 + 2X2t-1 + 3X3t-1 + ut-1
Ly sai phn ta c:
Yt - Yt-1 = 2( X2t X2t-1) + 3( X3t X3t-1) + ( ut ut-1)
4.6. Gim cng tuyn trong hi quy a thc.
C th gim cng tuyn trong hi quy a thc bng cch ly sai phn ca cc bin
trong m hnh so vi gi tr trung bnh ca chng.

Chng 6. PHNG SAI ca SAI S THAY I

1. Bn cht ca hin t-ng phng sai ca sai s thay i

MH ban u:
Yi = 1 + 2 Xi + ui
1.1. Hin tng
Gt 4: Phng sai cc sai s ngu nhin l ng nht Var(ui) 2 khng
i.
Nu gt c tha mn PSSS ng u (homoscedasticity).
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Gt khng tha mn : Var(ui) = i2 khng ng nht PSSS thay i

(heteroscedasticity).
1.2. Nguyn nhn
- Bn cht hin tng Kinh t x hi.
- S liu khng ng bn cht hin tng.
- Qu trnh x l s liu.
2. Hu qu
- Cc c lng l khng chch, nhng khng hiu qu khng phi l
tt nht.
- Cc kim nh T, F c th sai, khong tin cy rng.
3. Pht hin
Var(ui) = i2 l khng bit. Dng c lng ca n l ei2 phn tch nh gi.
3.1. th phn d
Dng th ca ei, ei hoc ei2 nh gi.
3.2. Kim nh Park
Gi thit: i2 = 2Xi2
Trong 2 l mt hng s
MH hi qui ph lnei2 = 1 + 2lnXi + vi
(*)
B-c 1. Hi quy m hnh ban u tm -c ei
B-c 2. Hi quy m hnh (*)
B-c 3. Kim nh cp gi thuyt H0: 2 = 0; H1: 2 0
3.3. Kim nh Glejer
Ty vo gi thit m thc hin hi qui ph kim nh
Gt : i2 = 2Xi , do hi qui m hnh hi qui ph
ei2 = 1 + 2Xi + vi (*)
H 0 : 2 0 : R*2 0

2
H1 : 2 0 : R* 0

M hnh u c PSSS ng u
M hnh u c PSSS thay i

Dng kim nh T hoc F kim nh

Tng t
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Gt : i2 = 2Xi2

MH hi qui ph ei2 = 1 + 2Xi2 + vi

Gt : i2 = 2 X i

MH hi qui ph ei2 = 1 + 2 X i + vi

Gt : i2 = 2 X i

MH hi qui ph ei2 = 1 + 2 X i + vi

C th s dng ei i din cho Se(ui), m hnh hi qui ph s c thay

i tng ng.
3.4. Kim nh White
Dng cho m hnh nhiu bin gii thch. Hi qui bnh phng phn d theo
t hp bc cao dn ca cc bin gii thch.
Yi = 1 + 2 X2i + 3X3i + ui
VD : MH ban u
2
MH hi qui ph : e = 1 + 2X2 + 3X3 + 4X22 + 5X32 + 6X2X3 (++) +
vi (*)
H 0 : R*2 0

2
H1 : R* 0

Kim nh 2 : qs2 nR*2 , nu qs2 2 (k* 1) th bc b H0

3.5. Kim nh da trn bin ph thuc
Gt : i2 = 2E(Yi)2
B1: Hi qui m hnh gc thu c phn d ei v gi tr c lng Yi
B2 : Hi qui m hnh hi qui ph
Kim nh:

ei2 = 1 + 2 Yi 2 + vi (*)

H 0 : 2 0 H 0 : R*2 0

2
H1 : 2 0 H1 : R* 0

Dng Kim nh 2 : qs2 nR*2 , nu qs2 2 (1) th bc b H0

Dng Kim nh F : Fqs = ( 2/Se(2))2 , nu Fqs F( 1, n-2) th bc b H0
3. Khc phc
Da trn gi thit v s thay i ca PSSS thay i m khc phc
3.1. Nu bit i2 Dng WLS- Ph-ng php bnh ph-ng nh nht c trng
s.
Chia hai v m hnh cho i
Yi
X
u
1
1 2 i i
i
i
i i

Yi = 1X0i + 2Xi + ui

Var(ui) = 1 khng i
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3.2. Nu cha bit i2 Dng GLS Ph-ng php bnh ph-ng nh nht tng
qut.
Tu thuc vo tnh cht ca i2 m bin i m hnh gc sao cho ph-ng sai ca
sai s ngu nhin tr nn ng u.
Gt 1 : i2 = 2Xi
Lc chia hai v cho X i
Yi
Xi

u
1
2 Xi i
Xi
Xi

PSSS s bng 2

Gt 2 : i2 = 2Xi2
Lc chia hai v cho Xi
Gt 3 : i2 = 2E(Yi)2
Lc chia hai v cho Yi
Ch : C th thay i dng hm khc phc ph-ng sai ca sai s thay i.
a.

lnYi = 1 + 2lnXi + ui

b.

lnYi = 1 + 2Xi + ui

c.

Yi = 1 + 2lnXi + ui

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Chng 7. T TNG QUAN

1. Hin tng t tng quan ( Autocorrelation or Serial correlation)
1.1. Hin tng
MH ban u:
Yt = 1 + 2 Xt + ut
Gt 5: Cc sai s ngu nhin khng tng quan
Cov(ui, uj) = 0 (i j) hoc Cov(ut , ut - p) = 0 (p 0)
Nu gt b vi phm : hin tng t tng quan bc p
Xt trng hp p = 1
ut v ut-1 c cng trung bnh v phng sai
ut = ut - 1 + t ( - 1 1, t tha mn cc gi thit ca OLS)

=-1
t tng quan m hon ho
-1<<0
t tng quan m

=0
khng c t tng quan
0<<1
t tng quan dng

=1
t tng quan dng hon ho
L-c AR(1)
Tng qut : t tng quan bc p : ut = 1 ut - 1 + 2 ut - 2 + + p ut - p + t vi p
0
L-c AR(p) : Autoregresseve Procedure order p.
1.2. Nguyn nhn
- Bn cht, tnh qun tnh trong hin tng kinh t x hi
- Hin tng mng nhn trong kinh t
- Qu trnh x l, ni suy s liu
- M hnh thiu bin hoc dng hm sai
2. Hu qu
- Cc c lng l khng chch nhng khng cn l c lng tt nht.

3. Pht hin
3.1. Quan st th ca et theo et-1
Bc 1. Hi quy m hnh gc tm et v et-1
B-c 2. V th ca et theo et-1 v nhn xt.
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3.2. Kim nh Durbin Watson

Kim nh Durbin Watson da trn thng k
n

d=

(et et 1 ) 2
t 2

e
t 1

2( 1 - ) vi

2
t

e e
i 1
n

t t 1

e
i 1

l c lng cho

2
t

Ch : Kim nh DW s ch p dng -c nu tho mn cc iu kin sau:

+ M hnh phi c h s chn.
+ Bin gii thch phi l phi ngu nhin.
+ Nu c hin t-ng t t-ng quan th ch l l-c AR(1).
+ M hnh khng cha bin tr ca bin ph thuc lm bin gii thch.
+ Khng c quan st no b mt trong tp s liu.
Do khng tm -c chnh xc phn phi xc sut ca d nn da vo tnh cht ca n
kt lun.
Do - 1 1 0 d 4
Vi n, k = k 1 v = 0,05 cho trc, tra bng dL v dU
T tng quan Khng c
kt lun
dng
>0
0
dL
dU

Khng c T tng quan

Khng c t
kt lun
tng quan
m
=0
<0
2
4 dU
4 dL
4

Hn ch:
+ Vn cn hai min khng c kt lun Dng kim nh DW ci bin.
+ Khng p dng -c vi cc m hnh t hi quy.
Trng hp m hnh t hi quy c tr bc 1 ca bin ph thuc lm bin gii thch
th dng Kim nh h-Durbin :
Yt = 1 + 2Xt + 0Yt -1 + ut
h =

d
n
; = 1 2
1 nVar ( 0 )

T tng
quan m
<0

Khng c t
tng quan
=0

T tng
quan dng
>0

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- 1.96

1.96

3.3. Hi qui ph
Kim nh
ut = 1 ut -1 + 2 ut -2 + + p ut-p + t
MH hi qui ph : et = (0) + 1et -1 + + pet-p + vt (*)
H 0 : R*2 0
H : ... p 0
0 1

2
H1 : R* 0
H1 : j 0 : ( j 0)

Khng c t tng quan n bc p

C t tng quan bc tng ng

Kim nh T hoc F
3.4. Kim nh Breusch- Goldfrey.
MH hi qui ph
et = [ 1 + 2Xt ] + 1et -1 + + pet-p + vt (*)
H 0 : 1 ... p 0

H1 : j 0 : ( j 0)

Kim nh 2 : qs2 n* R*2 (n p) R*2 , nu qs2 2 ( p) th bc b H0

Kim nh F:
Hi qui
et = [ 1 + 2Xt ] + vt (**)
Fqs =

R*2 R*2* n* k*

1 R*2
k* 1

Nu Fqs > F( k* 1; n* k* ) th bc b

H0
4. Khc phc
Mc ch l chuyn MH ban u c khuyt tt t tng quan thnh MH mi c
cng h s c nhng khng c t tng quan
M hnh ban u: Yt = 1 + 2 Xt + ut
C t tng quan : ut = ut -1 + t vi 0 , t tha mn cc gi thit OLS.
4.1. Khi bit Dng ph-ng php sai phn tng qut.
Yt = 1 + 2 Xt + ut
Yt -1 = 1 + 2Xt -1 + ut -1 Yt -1 = 1 + 2 Xt -1 + ut -1
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 Yt Yt-1 = 1(1 ) + 2(Xt Xt -1) + ut ut-1 (phng trnh sai phn tng
qut)
Yt*

1*

+ 2Xt*

c lng bng OLS

*
1* 1 = 1 v 2
1

i. Trng hp t tng quan dng hon ho = 1

PT sai phn tng qut Yt = 2 Xt + t (phng trnh sai phn
cp 1)
ii. Trng hp t tng quan m hon ho = 1
PT sai phn tng qut

Yt Yt 1
X X t 1
1 2 t
t
2
2

(m hnh trung bnh

trt)
4.2. Khi cha bit
c lng bng cc phng php khc nhau
i. T thng k Durbin-Watson
d 2( 1 - ) = 1 -

d
2

ii. T hi qui ph
et = (0) + 1et - 1 + vt ly 1
iii. Phng php Cochran-Orcutt
Hi qui m hnh ban u: Yt = 1 + 2 Xt + ut 1(1) , 2(1) , et(1)
Hi qui m hnh et(1) = + et(11) + vt (1)
Ly (1) thay vo phng trnh sai phn tng qut 1( 2) , 2( 2) , et( 2)
Hi qui m hnh et( 2) = + et(21) + vt ( 2)
Ly ( 2) thay vo ph-ng trnh sai phn tng qut 1(3) , 2(3) , et(3)

Qu trnh lp cho n khi hai bc k tip chnh lch nhau

khng ng k, 1 v 2 bc cui cng l c lng cho 1 v 2

iiii. Ph-ng php Durbin Watson hai b-c.

Tr-c ht vit li m hnh sai phn tng quat d-i dng:
Yt = 1(1- ) + 2Xt - 2Xt-1 + Yt-1 + ( ut - ut-1)
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B-c 1. c l-ng m hnh trn thu -c

B-c 2. Thit lp m hnh sai phn tng qut v -c l-ng n tm 1 v 2

Chng 8. ch NH M HNH
1. Thuc tnh ca m hnh tt
- y : khng thiu v khng tha bin gii thch
- ng nht : s liu thng nht tham s thng nht
- Ph hp l thuyt : cc h s ph hp l thuyt
- Hm hi qui ph hp : R2 ln
- Kh nng phn tch v d bo

2. Cc loi sai lm ch nh v hu qu.

2.1. M hnh tha bin gii thch
V d: M hnh ng:
Yi = 1 + 2Xi + ui
M hnh sai:
Yi = 1 + 2Xi + 3Zi + vi
Nu m hnh tha bin gii thch th cc c lng vn l khng chch v
vng, nhng khng hiu qu, khong tin cy rng.
Kim nh bng cch b bt bin s nghi l khng cn thit v dng kim
nh vi h s tng ng kt lun
2.2. M hnh thiu bin.
V d: M hnh ng:
Yi = 1 + 2Xi +3 Zi + ui
M hnh sai:
Yi = 1 + 2Xi + vi
Nu m hnh thiu bin th cc uoc l-ng s b chch nn khng ng tin cy.
2.3. Dng hm sai.
V d : M hnh ng:
M hnh sai:

Yi = 1 + 2Xi + ui
LnYi = 1 + 2LnXi + vi

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C th kim nh thiu bin v dng hm sai bng cc kim nh sau:

1. Kim nh Ramsey
M hnh ban u: Yi = 1 + 2Xi + ui
(1)
Nu cho rng m hnh thiu bin Zi no th:
B1: Hi qui m hnh ban u thu c cc gi tr c lng Yi
B2: Hi qui MH hi qui ph :
Yi = [1 + 2Xi ] +1 Yi 2 ++ m Yi m1 + ui
H 0 : 1 ... m 0

H 1 : j 0, j 1, m

Fqs =

R(22 ) R(21)
1 R

2
(2)

(2)

MH (1) khng thiu bin

MH (1) thiu bin

n k( 2)
k( 2) 1

Nu Fqs > F(k(2) 1; n k(2)) bc b H0

2. Kim nh nhn t Lagrange (LM)

B1: Hi qui m hnh ban u thu c cc phn d ei v gi tr c lng
Yi

B2: Hi qui MH hi qui ph :

ei = [1 + 2Xi ]+1 Yi 2 ++ m Yi m1 + v (*)
H 0 : 1 ... m 0

H1 : j 0, j 1, m

MH (1) c dng hm ng

MH (1) c dng hm sai

Kim nh : nR*2 , nu qs2 2 ( p) th bc b H0.
2

2
qs

3. Phn phi xc sut ca sai s ngu nhin

Cc suy din thng k (khong tin cy, kim nh gi thit) ph thuc gi thit
SSNN phn phi chun. Nu SSNN khng phn phi chun th cc c lng
vn l c lng tt nht, nhng cc phn tch khng dng c.
H0 : SSNN phn phi chun
H1 : SSNN khng phn phi chun
Kim nh Jarque Bera:
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Vi S l h s bt i xng (skewness), K l h s nhn (kutosis) ca

ei
S 2 ( K 3) 2

24
6

JB = qs2 n

Nu qs2 2 (2) th bc b H0

Nu m hnh khng c khuyt tt no th cc c lng l c lng

tuyn tnh, khng chch, tt nht; cc kt qu hi qui l ng tin cy v
s dng phn tch c.

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