TAI LIEU KINH TE LUONG

- N TP MN KINH T LNG Hm hi quy tuyn tnh (Phng php bnh phng nh nht OLS: Ordinary Least Squares):
PRF: Yi = + Xi + ui. SRF: Y = + Xi (c lng) - Tnh gi tr trung bnh mu (average value):
X =

Xi
n

v Y =
n

Yi

- Tnh h s hi quy (Coefficient):

=

XiYi n. X .Y Xi n( X )
2 2

v = Y

- Tnh phng sai (Variance):

2 Y

(Yi Y ) =
n 1

v 2 X =

( Xi X ) 2 n 1

- Tnh lch tiu chun (Standard Deviation): SDY =

2 Y v SDX = 2 X
n 1 * ( Xi X )(Yi Y ) n 1 i =1

- Tnh khong phng sai hay hip phng sai (Covariance): SXY = cov(X,Y) =

Tnh tng bnh phng lch:

2 2 2

( Yi TSS = yi = Yi Y ) = n(Y ) 2 2 ( y ESS = i = Yi Y ) = 2 xi 2 2 ( i u RSS = i = Y Yi ) 2 TSS = ESS + RSS Vi xi = Xi X v yi =Yi Y

Tnh h s xc nh R2:
2 xi 2 RSS ESS R =1 = = TSS TSS yi 2
2

Vi 0<R2<1 R2=1 hm hi quy thch hp (mc hon ho ca m hnh) khi phn d RSS=0 i i => Yi =Y , Y i R2=0 => SRF (m hnh hi quy mu) khng thch hp RSS=TSS => Yi = i,

H s tng quan: r (coefficient of Correlation)

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r=

Xi

XiYi
2 2

nXY

n(X ) *

Yi

n(Y ) 2

Vi xi = Xi X v Ta c th vit: r =
r cng du vi

yi =Y Y i

xi . yi xi yi
2

= R2

Tnh khong tin cy h s:

Bc 1: Xc nh tin cy 95% (hoc 90%) tm c mc ngha =5% (hoc 10%). Tnh /2 = 0.025. Tnh gi tr t tra bng t-student vi phn v /2 v bc t do df=n-k-1 Bc 2: Xc nh phng sai PRF
2 = RSS n k 1

Bc 3: Xc nh sai s chun (standard error) ca tng h s.

se( ) = Xi * n * xi
2 2

Vi xi = Xi X

se( ) =

xi

Bc 4: So snh v tnh khong tin cy. ( ( ( tn/k 1) * se() hoc tn/k 1) * se( ) < < + tn/k 1) * se( ) 2 2 2
n k t2 1 * se( ) hoc / n n tk 1 * se( ) < < + tk 1 * se( ) /2 /2

Khong tin cy ca phng sai:

Bc 1: Xc nh tin cy 95% (hoc 90%) tm c mc ngha =5% (hoc 10%). Tnh phn v /2 = 0.025 v 1- /2=0.975. Tra bng phn phi Chi-square vi 2 phn v /2 v 1- /2 cng vi bc t do df=n-k-1 2 X / 2 ( df ) v X 12 / 2 ( df )

(n k 1) 2 (n k 1) 2 2 = ; 2 Bc 2:Tnh khong tin cy phng sai: 2 X 1 / 2 (df ) X / 2 (df )

Kim nh h s hi quy:
- Bc 1: t gi thuyt Ho: =0 v i thuyt H1: #0 vi mc ngha =5% (thng thng) - Bc 2: p dng 1 trong cc cch sau: Cch 1: Phng php khong tin cy: ( ( Kim nh 2 pha: [ tn/2 ) * se(); + tn/2 ) * se()] 2 2
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Nu o khng ri vo khong ny th bc b gi thuyt Ho. ( Kim nh pha phi: [ tn/2 ) * se(); + ] 2 Nu o khng ri vo khong ny th bc b gi thuyt Ho. ( Kim nh pha tri: [ ; + tn2 ) * se()] /2 Nu o khng ri vo khong ny th bc b gi thuyt Ho. Cch 2: Phng php gi tr ti hn: Bc 1: Tnh t 0 =
0 se ( )

Bc 2: Tra bng vi mc ngha /2 v ( /2 i vi kim nh 2 pha v i vi n n kim nh 1 pha). Tra bng t-student: t 2 v t 2 /2 Bc 3: So snh t0 vi gi tr ti hn. Kim nh 2 pha: o t2 : bc b gi thuyt Ho. t > n/2 Kim nh pha phi: o t 2 : bc b gi thuyt Ho. t > n Kim nh pha tri: o - t 2 : bc b gi thuyt Ho. t < n Cch 3: Phng php gi tr P-value: Bc 1: Tnh gi tr t 0 =
0 se ( )

Bc 2: Tnh P-value = P( to) t> Bc 3: So snh vi mc ngha =5% Kim nh 2 pha: p-value < : bc b gi thuyt Ho. Kim nh 1 pha: p-value/2 < : bc b gi thuyt Ho.

Kim nh s ph hp ca m hnh (F0):

- R2 cng gn 1, m hnh hi quy cng c ngha. Do , cn nh gi xem gi tr R2>0 c ngha thng k hay khng. - Nu vi m hnh hi quy 2 bin, gi thuyt Ho cn c ngha bin c lp khng nh hng n bin ph thuc Y. - Kim nh bng phng php gi tr ti hn: Bc 1: t gi thuyt Ho: R2=0 ~~ =0 v i thuyt H1: R2>0
ESS / 1 R 2 ( n 2) = RSS /( n 2) 1 R2 Bc 3: So snh kt qu vi =5%. Tra bng F vi mc ngha v 2 bc t do (1,n-2) ta

Bc 2: tnh Fo =

tnh gi tr ti hn F (1,n-2). So snh Fo v F (1,n-2) Nu Fo> F (1,n-2) : bc b gi thuyt Ho Nu Fo< F (1,n-2): chp nhn gi thuyt Ho.

c hiu bng kt qu hi quy trn phn mm Excel:

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TAI LIEU KINH TE LUONG Regression Statistics Multiple R R-Square (R )

2

H s R c th nhn i H s xc nh R
2

R2 =

Ajusted R Square (r ) H s tng quan r Standard Error ( ) Observation ANOVA Regression(ESS) Sai s chun ca PRF S quan st df(bc t do) SS (ESS) ESS

r=1-[1-R2]*(n-1/n-k-1) 2 = RSS n k df F =

ESS TSS

MS(EMS) ESS/df
(trung bnh phn g.thch)

ESS / df RSS / df

Residual (RSS) Total (TSS) Intercept Variable 1 (bin 1)

RSS

RSS/df
(t.bnh phn ko g.thch)

p-value Gi tr P lower 95% tin cy (di)

upper 95% tin cy (trn)

TSS=ESS+RS TSS TMS=EMS+RMS S Coefficient standard t-stat error H s hi quy Sai s chun t- thng k (hi quy)

) se (

t =

se ( 2 )
se ( 3 )

2 0 se( )
2

Variable 1 (bin 2)

3 0 t = se( )
3

c hiu bng kt qu hi quy trn phn mm Eviews:

Dependent Variable: CM Method: Least Squares Date: 08/18/07 Time: 21:46 Sample: 1 64 Included observations: 64 Variable Coefficient Bin trong m hnh H s HQ C =263.6416 PGNP 2 =-0.005647 Prob. Gi tr P

S quan st Std. Error Sai s chun ) se ( =11.59318

t-Statistic Thng k t

se ( 2 ) =0.002003

t=

2 0 se( 2 )
141.5 75.97807 10.34691 10.44811 73.83254 0.000000

R-squared (R2)h s xc nh 0.707665 Adjusted R-squared (Radj)or 0.698081

Mean dependent var (Y ) S.D. dependent var

R2
S.E. of regression ( ) PRF) Sum squared resid (RSS) Log likelihood (L) Durbin-Watson stat (DW)

(Yi Y )
n 1

41.7478 106315.6 -328.1012 2.186159

Akaike info criterion (AIC) Schwarz criterion (SC) F-statistic Gi tr thng k F Prob(F-statistic) =P(phn phi F>Fo) 4-thanh trn

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Vit phng trnh hi quy:

Cn c vo kt qu hi quy c trong bng, ta c th vit li phng trnh hi quy mu nh sau: SRF: Y = + 2 Xi (c lng)

Trnh by kt qu hi quy:
n= ? (s quan st?) Y = + 2 Xi ) =? ) se ( =? R2=? se ( 2
t= 0 se( )

t=

2 0 se( 2 )

Fo=?

p-value(SRF) =? P-value (PRF) TSS=? ESS=? RSS=? 2

(PRF)=?

ngha h s hi quy:
i vi dng hm: Y = + 2 Xi (h s hi quy , c ngha l h s dc) i vi dng hm log Y = + 2 logXi (h s hi quy , c ngha l h s co gin) i vi dng hm c bin gi: h s hi quy theo bin gi c ngha l h s ct.

ngha R2, F, DW.

2 xi 2 RSS ESS = = R : R =1 (Vi 0<R2<1) TSS TSS yi 2
2
2

R2=1 dng hoi quy thch hp (mc hon ho ca m hnh) khi phn d RSS=0 =>
Yi = i , Y i Y i R2=0 => SRF(m hnh hi quy mu) khng thch hp RSS=TSS => Yi = i, F: Gi tr thng k F-stat = EMS/RMS (cng ln cng tt, chng t phn d RSS nh, m hnh ph hp). Durbin Waston stat (phng php OLS): Sau khi xut kt qu hi quy, tm phn d ei v to bin tre phn d ei-k: c lp.

DW =

(e e e
i

i k

)2

2 i

vi k=1

(Dng kim nh m hnh c hay khng c tng quan gia cc bin) AIC: cng nh cng tt. Quan h gia R2 v R2adj: R2 =1 => R2adj =1 R2 =0 => R2adj <0 (R iu chnh c th m)

Quan h gia R2 v F, R2 v ESS, RSS.

Fo =
ESS / 1 R 2 ( n 2) = RSS /( n 2) 1 R2
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Quan h gia F v R2 nh sau: F = cao.

2 xi 2 RSS ESS R =1 = = TSS TSS yi 2
2

ESS / k R2 / k = R2 cng cao, F cng RSS / n k 1 (1 R 2 ) / n k 1

(o lng mc ph hp ca m hnh, da trn 2 bin

chn vo m hnh tuyn tnh). R2adj = 1

RSS /( n k ) (TSS ESS ) /( n k ) n 1 =1 = 1 (1 R 2 ) * dng cho cc m hnh hi TSS /( n 1) TSS /( n 1) n k

quy c cc bin gii thch khc nhau (xem mc thch hp ca bin).

Kim nh gi thuyt ng thi (kim nh s ph hp ca m hnh hi quy a bin):

Bc 1: t gi thuyt Ho: R2=0 ~ Ho: 1= 2=0 ( ngha: cc bin c lp ng thi khng nh hng n bin ph thuc hay ni cch khc: hm hi quy mu khng ph hp) i thuyt H1: R2>0 ~ H1: c t nht mt #0. Bc 2: Tnh gi tr F
F = ESS /( k 1) R 2 (n k ) = ~ F (k 1, n k ) RSS /( n k ) (1 R 2 )( k 1)

Bc 3: Tra bng F vi mc ngha =5% (thng thng) v phn v F(k-1,n-k). Bc 4: So snh kt qu gi tr F trong bng kt qu hi quy (F-statistic) vi F tra bng. Kim nh bng phng php gi tr ti hn: Fo> F (k-1,n-k) : bc b gi thuyt Ho Kim nh bng mc ngha : P-value =P(F>Fo)< : bc b gi thuyt Ho Note: Fo cng cao th kh nng bc b gi thuyt Ho cng ln.

Kim nh Wald Test.

ngha: xem xt c nn a them bin mi vo m hnh hay khng? Xt 2 m hnh: M hnh rng buc (UR-unrestricted model): Y= 0+ 1X1++ m-1Xm-1++ k-1Xk-1+ui. M hnh rng buc (R restricted model) : Y= 0+ 1X1++ m-1Xm-1+ui. Kim inh bng thng k F: Bc 1: c lng m hnh UR vi k tham s, ly kt qu ca RSS c df=n-k c lng m hnh R vi m tham s, ly kt qu ca RSS c df=n-m. Trong : m l s rng buc, m=k1-k2 k2 l s bin gii thch trong m hnh R k1 l s bin gii thch trong m hnh UR Bc 2: Tra bng F vi mc ngha =5% (thng thng) v F (k-m,n-k). Tnh Ftt =
2 2 ( RSS R RSSUR ) /(k m) ( RUR R R ) /(k m) = 2 RSSUR /(n k ) (1 RUR ) /(n k )

Bc 3: So snh F tnh ton vi F tra bng.

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Ftt > F (k-m,n-k) : bc b gi thuyt Ho (nn a bin vo m hnh) Ftt < F (k-m,n-k) : chp nhn gi thuyt Ho (khng nn a bin vo m hnh)

Kim nh Chow Test:

ngha: Xem trong chui d liu c khc nhau g v cu trc khng? Nu khc tch thnh cc m hnh khc nhau. Nu ging ch dng mt m hnh. tng: c nn tch ring hay chung m hnh Thc hin: Bc 1: c lng 3 m hnh Y= 1+ 2X+v1. trong giai on u c n1 quan st (VD: 1997~1990) Tnh RSS1 vi df=n1-k Y= 1+ 2X+v2. trong giai on sau c n2 quan st (VD: 1991~1998) Tnh RSS2 vi df=n2-k (k l tham s ca m hnh hi quy) t RSSU=RSS1+RSS2 vi bc t do df=n1+n2-2k c lng m hnh chung Y= 1+ 2X+u vi s quan st n=n1+n2 Tnh RSSR vi df=n-k ( RSS R RSS UR ) / k Bc 2: Tnh gi tr ca F-statistic Ftt = RSS UR /( n 2k ) Bc 3: kim nh Gi thuyt Ho: hai hi quy ca 2 thi k nh nhau i thuyt H1: hai hi quy khc nhau. Ftt > F (k,n-2k) : bc b gi thuyt Ho Ftt < F (k,n-2k) : chp nhn gi thuyt Ho

Xc nh bin gi:
Cch to bin gi: i vi d liu cho, bin gi c th theo giai on D=0: giai on 1 D=1: giai on 2 Bng Eviews: Cch 1: nhp gi tr 0,1 vo cc quan st tng ng. Cch 2: * to bin xu th Eviews/genr/tt=@trend(mc cui giai on 1) * to bin gi da trn bin xu th, Eviews/genr/DUM=tt>s quan st. i vi 2 thuc tnh: D=1 (thuc tnh tri), phn cn li D=0 (bin khng c trong m hnh) i vi nhiu thuc tnh, s bin gi = s thuc tnh -1. So snh cc thuc tnh khc vi thuc tnh c s. Tnh % khc bit ca bin gi bng cch ly 1-antilog Kim nh: Phng php khong tin cy (lin h phn tnh khong tin cy) Phng php mc ngha: (lin h kim nh bng gi tr P-value vi mc ngha)
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Phng php nn hay khng a bin vo m hnh (kim nh bng thng k F) Note: Ta cn ch n m hnh hi quy trc v sau khi c bin gi nh gi. Khi a bin gi vo m hnh, cc h s hi quy c ngha (R2,t-stat v P-value) s cho ta nhn nh ng hn v m hnh. Khi mi kt lun m hnh ph hp hay khng.

Pht hin phng sai thay i:

Pht hin: pht hin phng sai ca nhiu c thay i hay khng, ngi ta thng dng cng c chun on phn d Ui (c th c kt qu ng tin cy). Trong d liu cho ly mu rt rng, suy ra phng sai thay i. Phn tch phn d Ui, v v th phn d theo bin c lp bt k, ta c dng hnh phn tn u v ng nht. Kim nh Park test Bc 1: Hi quy m hnh, ly s liu phn d (resid trong bng bin ti phn mm Eviews). M hnh (1): Yi= 1+ 2Xi+Ui Bc 2: c lng m hnh phn d theo bin c lp. M hnh (2): lnU^i= 1+ 2Xi+Vi. Bc 3: t gi thuyt Ho: 2=0 (phng sai ko i) i thuyt H1: 2 #0 (phng sai thay i) Kim nh bng t-stat. Kim nh Glejsei test Bc 1: hi quy m hnh, ly s liu phn d (resid trong bng bin ti phn mm Eviews). M hnh (1): Yi= 1+ 2Xi+Ui Bc 2: c lng m hnh phn d theo bin c lp. M hnh (2) c 1 trong cc dng sau :
Ui = + X +V i 1 2 i

1 + Vi hoc Ui = 1 + 2 Xi
X +V i i

Ui = 1 + 2

1 + Vi hoc Ui = +2 1 Xi

Bc 3: t gi thuyt Ho: 2=0 (phng sai khng i) i thuyt H1: 2 #0 (phng sai thay i) Kim nh bng t-stat. Kim nh White test: Bc 1: hi quy m hnh, ly s liu phn d (resid trong bng bin ti phn mm Eviews). M hnh (1): Yi= 0+ 1X1i+ 2X2i +Ui Bc 2: c lng m hnh phi bng thao tc Eviews (View/Residual Tests/White Heteroscedasticity) thu c R2. Sau ta tnh Xtt=n* R2 (trong n l s quan st)
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Bc 3: t gi thuyt Ho: 1= 2= 3 = 4 = 0 (phng sai khng i) i thuyt H1: 1= 2= 3 = 4 #0 (phng sai thay i) Bc 4: kim nh v so snh. 2 Tra bng Chi-square X ( df ) vi mc ngha Nu Xtt=n* R2 > Xtt=n* R2 : bc b gi thuyt.

Pht hin t tng quan bng kim nh Durbin Waston:

Pht hin: cn c vo th Scatter ca phn d Ui vi bin tr Ui-1. - th c dng ngu nhin th khng c t tng quan. - th c dng h thng th nhn nh c t tng quan xy ra. Thc hin kim nh bng Durbin Waston Bc 1: c lng m hnh hi quy gc. ly gi tr phn d Ui v to bin tr Ui-1. Bc 2: Tnh gi tr =

U U
i =2 t

t 1

U
i =1 t

vi 1 1

2 t

Hoc tnh gi tr d =

(U
t =2

U t 1 ) 2
2 t

U
t =1

2(1 ) vi 0 d 4

Bc 3: kim nh v so snh Tra bng thng k Durbin Waston cho ta cc gi tr ti hn dU v dL vi mc ngha , s quan st n v s bin c lp k. So snh: * d (0,dL): t tng quan dng (thun chiu) * d (dL,dU): khng quyt nh c * d (dU,2): khng c tng quan bc nht. * d (2,4-dU): khng c tng quan bc nht. * d (4-dU, 4-dL): khng quyt nh c * d (4-dL, 4): t tng quan m.

Pht hin a cng tuyn:

Pht hin: R2 cao nhng t-stat thp (khng c ngha P-value c gi tr cao) H s tng quan cp gia cc bin gii thch cao, khong 0.8 Thc hin kim nh v xc nh a cng tuyn: Bc 1: xt h s tng quan gia 2 bin (c a cng tuyn) Nu h s tng quan gn bng 1 (a cng tuyn gn nh hon ho)
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Nu h s tng quan < 0.8 (a cng tuyn khng hon ho). Bc 2: Hi quy Y theo tng bin c lp X1, X2. Ta c 2 m hnh: (1): Y^1= + 1X1 ly kt qu R2, p-value (xem c hay khng ngha thng k) (2): Y^2= + 2X2 ly kt qu R2, p-value (xem c hay khng ngha thng k) Bc 3: Hi quy m hnh phi 2 bin c a cng tuyn (3) X^2= + 1X1 ly kt qu R2, p-value (xem c hay khng ngha thng k) Bc 4: t gi thuyt Ho: khng c a cng tuyn i thuyt H1: c a cng tuyn Kim nh bng thng k F:

F2 =

2 R2 /(k 2) 2 (1 R2 ) /(n k + 1)

Tnh F tra bng vi mc ngha , F (k-2,n-k+1) So snh: F2 > F (k-2,n-k+1): bc b gi thuyt. F2 < F (k-2,n-k+1): chp nhn gi thuyt. Thc hin kim nh v b bt bin: Bc 1: xt h s tng quan gia 2 bin (c a cng tuyn) Nu h s tng quan gn bng 1 (a cng tuyn gn nh hon ho) Nu h s tng quan < 0.8 (a cng tuyn khng hon ho). Bc 2: Hi quy Y theo tng bin c lp X1, X2. Ta c 2 m hnh: (1): Y^1= + 1X1 ly kt qu R2, p-value (xem c hay khng ngha thng k) (2): Y^2= + 2X2 ly kt qu R2, p-value (xem c hay khng ngha thng k) Bc 3: kim nh Xt p-value ca X1 v p-value ca X2 trong kt qu hi quy. p-value (X1) > p-value (X2): m hnh hi quy Y theo X1 c mc ph hp cao hn m hnh hi quy Y theo X2. Do loi b bin X2.

Cch khc phc cc loi bnh (phng sai thay i, t tng quan, a cng tuyn):
Cch khc phc a cng tuyn: B bin ra khi m hnh, sau hi quy li m hnh khng bao gm bin cn loi b. nh gi gi tr R2, t-stat v P-value xem c ngha thng k khng. Cn c vo kt qu earnings (h s ng tin cy cho trc). Sau xc nh m hnh hi quy ph theo h s cho trc. nh gi gi tr R2, t-stat v P-value ca m hnh hi quy ph xem c ngha thng k khng. Thm d liu cho m hnh, tuy nhin cch thc ny ton km chi ph nn t c thc hin.
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Cch khc phc phng sai thay i: - Bit phng sai 2 - Khng bit phng sai 2: Bc 1: c lng phng trnh (1): Yi=b1+b2Xi+ui Bc 2: v th phn d ui theo Xi. nh gi xem phng sai nhiu c hay khng t l thun vi bin gii thch. Bc 3: Chia 2 v ca phng trnh hi quy (1) cho cn bc 2 ca bin gii thch. (2)
Yi Xi = b1 Xi + b2 Xi Xi + ui Xi

<=>

Yi Xi

b1 Xi

+ b2 Xi + vi

Chuyn thnh dng phng trnh ko c h s ct. Bc 4: So snh m hnh (1) v (2) qua s liu hi quy R2, t-stat v P-value v nh gi m hnh. Cch khc phc t tng quan: - Trng hp bit cu trc ca t tng quan. - Trng hp cha bit cu trc ca t tng quan: Cch 1: c lng bng thng k d Cch 2: phng php Durbin Waston 2 bc (sch KTL-trang 171)

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