Gujarati Bai1

Chng trnh Ging dy Kinh t Fulbright
Nin kha 2011-2013

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Ch 3: M hnh hi quy hai bin: vn c lng

Damodar N. Gujarati 1 Bin dch: Bng Tm
Hiu nh: Cao Ho Thi

C Ch h n ng g 3 3
M M H H N NH H H H I I Q QU UY Y H HA AI I B BI I N N: :
V V N N C C L L N NG G
Nh lu Chng 2, nhim v u tin ca chng ta l c lng chnh xc ti a hm hi
quy tng th (PRF) trn c s hm hi quy mu (SRF). C nhiu phng php xy dng hm
SRF, nhng cho n nay, lin quan ti qu trnh phn tch hi quy, phng php bnh phng
ti thiu thng thng (OLS)
1
l phng php c s dng nhiu v ph bin nht. Trong
chng ny, ta s tho lun v phng php ny cho m hnh hi quy hai bin. Sau , Chng
7, ta s xem xt s tng qut ho ca phng php ny cho cc m hnh hi quy a bin.
3.1. PHNG PHP BNH PHNG TI THIU THNG THNG:
Phng php bnh phng ti thiu thng thng do Carl Friedrich Gauss, nh ton hc ngi
c a ra. Da trn cc gi thit nht nh (c tho lun Phn 3.2), phng php bnh
phng ti thiu c mt s tnh cht thng k rt hp dn lm cho n tr thnh phng php
phn tch hi quy mnh nht v ph bin nht. hiu phng php ny, trc tin ta phi gii
thch nguyn tc bnh phng ti thiu.
Ta nhc li hm PRF hai bin:

i i i
u X Y + + =
2 1

| | (2.4.2)
Tuy nhin nh lu trong Chng 2, hm PRF khng th quan st trc tip c. Ta c
lng n t hm SRF:

i i i
u X Y

2 1
+ + = | | (2.6.2)

i i
u Y
+ = (2.6.3)
trong
i
Y
l gi tr c lng (gi tr trung bnh c iu kin ) ca Y

i
.
Nhng ta s xc nh chnh hm SRF nh th no? thy c iu ny, ta hy tin
hnh nh sau. u tin, ta biu th (2.6.3) thnh :

i i
i i i
X Y
Y Y u
2 1

| | =
=
(3.1.1)
biu thc ch rng,
i
u ( cc phn d ) ch n gin l chnh lch gia cc gi tr thc v gi tr
c lng ca Y.
By gi, cho n cp quan st ca X v Y, ta mun xc nh hm SRF bng cch no
n gn nht vi gi tr thc ca Y, t c ch ny, ta c th chn tiu chun sau y: chn
hm SRF sao cho tng cc phn d

= )
(
i i i
Y Y u l cng nh cng tt. Tuy nhin, mc d
hp dn v trc gic, y khng phi l tiu chun tt lm, nh c th thy trn th phn tn gi
thit (hnh 3.1).

1
Mt phng php khc , c bit gi l Phng php thch hp ti a s c xem xt ngn gn trong Chng
4.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
X
2
X
1
X
3
X
4
X
Y
1
u
2
u
3
u
4
u
i 2 1 i
X

Y
| + | =
SRF
Ham Hoi qui mau

Hnh 3.1
Tiu chun bnh phng ti thiu

Nu ta chp nhn iu kin cc tiu ca tng
i
u , hnh 3.1 cho thy rng cc phn d
2
u v
3
u cng nh cc phn d
1
u v
4
u c cng trng s trong tng ) (
4 3 2 1
u u u u + + + , mc
du hai phn d u gn hm SRF hn nhiu so vi hai phn d sau. Ni cch khc, tt c cc
phn d u c vai tr quan trng nh nhau, bt k cc quan st ring bit c gn hay phn tn
rng ti u so vi hm SRF. Hu qu ca iu ny l hon ton c kh nng l tng i s ca
i
u rt nh (thm ch bng 0) mc d cc
i
u c phn tn rng xung quanh hm SRF. thy
c iu ny, ta hy cho rng
1
u ,
2
u ,
3
u ,
4
u trn hnh 3.1 c cc gi tr tng ng bng 10,-2,+2
v 10. Tng i s ca cc phn d ny bng 0, mc d
1
u v
4
u phn tn rng hn xung quanh
hm SRF so vi
2
u v
3
u . Chng ta c th trnh c vn ny nu ta chp nhn tiu chun
bnh phng ti thiu, n khng nh rng hm SRF c th c c nh theo cch

| | =
=
2
2 1
2 2
)

(
)
(
i i
i i i
X Y
Y Y u
(3.1.2)


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
cng nh cng tt, trong
2
i
u l bnh phng ca cc phn d. Bng cch bnh phng
i
u ,
phng php ny s cho cc phn d
1
u v
4
u trn hnh 3.1 mt trng s ln hn phn d
2
u v
3
u . Nh lu trc y, vi tiu chun gi tr cc tiu ca
i
u , tng ny c th nh ngay
khi
i
u phn tn rng xung quanh hm SRF. Tuy nhin iu ny khng th xy ra vi quy trnh
bnh phng ti thiu, v
i
u cng ln (v gi tr tuyt i) th
i
u cng ln. Mt minh chng
tip theo cho phng php bnh phng ti thiu nm trong thc t l cc hm c lng thu
c t phng php ny c mt s tnh cht thng k rt ng nh mong mun, nh ta s thy
ngay sau y.
R rng t (3.1.2) ta c
)
(
2 1
2
| | =
f u
i
(3.1.3)
ngha l tng cc bnh phng phn d l mt hm no ca cc hm c lng
1
| v
2
| . Vi
mt b d liu cho trc bt k, vic chn cc gi tr khc nhau cho
1
| v
2
| s cho cc gi tr
khc nhau ca u v do dn ti cc gi tr khc nhau ca
i
u . thy r iu ny, hy xt
cc d liu gi thit ca Y v X cho trong 2 ct u ca Bng 3.1. Ta hy thc hin hai th
nghim. Trong th nghim 1, cho 572 . 1
1
= | v 357 . 1
2
= | (ngay lc ny ng lo lng v vic
lm th no ta thu c cc gi tr ny, coi nh ch l d on)
2
. S dng cc gi tr ny ca |
v
cc gi tr ca X cho trong ct (2) ca Bng 3.1, ta c th d dng tnh ra gi tr c lng Y
i
ca
i
Y
1
nh l cc gi tr Y
i
cho trong ct (3) ca bng ny (ch s 1 k hiu cho th nghim 1).
By gi, chng ta hy thc hin th nghim 2, nhng ln ny, ta s dng gi tr 3
1
= | v 1
2
= |
. Cc gi tr c lng ca Y
i
t th nghim ny c cho nh
i
Y
2
trong ct (6) ca Bng 3.1.

V cc gi tr |
trong hai th nghim l khc nhau, ta thu c cc gi tr khc nhau cho cc

phn d c lng, nh trong bng;
i
u
1
l cc phn d t th nghim u v
i
u
2
l cc phn d
t th nghim th 2. Cc bnh phng ca cc phn d ny c cho trong ct (5) v (8). R
rng, nh k vng t (3.1.3), cc tng phn d bnh phng ny s khc nhau v chng da
trn cc gi tr |
khc nhau.

Bng 3.1
Thng s th nghim ca hm SRF

Y
i

(1)
X
i
(2)
i
Y
1

(3)
i
u
1

(4)
2
1
i
u
(5)
i
Y
2

(6)
i
u
2

(7)
2
2
i
u
(8)
4 1 2,929 1,071 1,147 4 0 0
5 4 7,000 -2,000 4,000 7 -2 4
7 5 8,357 -1,357 1,841 8 -1 1
12 6 9,714 2,286 5,226 9 3 9
Cng: 28 16 0,0 12,214 0 14

2
tho mn tnh t m, cc gi tr ny thu c t phng php bnh phng ti thiu, c ni n mt cch
ngn gn. Xem cc phng trnh (3.1.6) v (3.1.7 )


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Ch
i
Y
1
= 1.572 + 1.357 X
i
( vi |
1
=1.572 v |
2
= 1.357)

i
Y
2
=3.0 + 1.0 X
i
( vi |
1
=3 v |
2
= 1.0)

i
u
1
= (Y
i
-
i
Y
1
)

i
u
2
= (Y
i
-
i
Y
2
)

By gi, ta nn chn b gi tr |
no y? V cc gi tr |
ca th nghim th 1 cho ta
i
u (=12,214) thp hn l th nghim th 2 (=14), ta c th ni rng cc |
ca th nghim
th 1 l cc gi tr tt nht. Nhng lm th no ta bit? Bi v, nu c c thi gian v lng
kin nhn v hn, ta c th lm thm nhiu th nghim nh th, bng cch chn cc b |

khc nhau mi ln v so snh kt qu
i
u , ri cui cng lc ra b gi tr |
cho ta gi tr
i
u
nh nht c th, gi nh rng ta xem xt tt c cc gi tr c th tnh ti c ca
1
| v
2
| .
Tuy nhin, v thi gian v c lng kin nhn ca con ngi ni chung u him hoi, ta cn xem
xt mt s ng tt i ti qu trnh th-v-sai ny. May mn l phng php bnh phng ti
thiu cho ta cch lm tt ny. Nguyn tc ny hay l phng php bnh phng ti thiu chn
1
|
v
2
| theo cch vi mt mu hoc b d liu cho
i
u cng nh cng tt. Ni cch khc,
i vi mt mu cho trc, phng php bnh phng ti thiu cho ta cc gi tr c lng duy
nht ca
1
| v
2
| , cc gi tr ny cho gi tr nh nht c th c c ca
i
u . Cng vic ny
c thc hin nh th no? y ch l mt bi tp n gin trong ton gii tch. Nh ni
Ph lc 3A, Phn 3A.1, qu trnh vi phn cho cc phng trnh sau c lng
1
| v
2
| :

| + | =
i i
X n Y
2 1

(3.1.4)

| + | =
2
2 1

i i i i
X X X Y (3.1.5)
trong n l c mu. Phng trnh ny c gi l cc phng trnh chun.
Gii h phng trnh chun ny, ta thu c:

= |
2
2
2
2
2
) (
) )( (
) (
i
i i
i
i i
i
i
i
i i i
x
y x
X X
Y Y X X
X X n
Y X Y X n
(3.1.6)
trong X v Y l cc trung bnh mu cu X v Y v trong ta nh ngha X X x
i i
= v
Y Y y
i i
= . T by gi tr v sau, ta chn quy c t ch ci vit thng biu th lch
khi cc gi tr trung bnh.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

X Y
X X n
Y X X Y X
i i
i i i i i
2
2 2
2
1
) (
| =

= |

(3.1.7)
Bc cui cng trong (3.1.7) c th thu c trc tip t (3.1.4) bng vi bin i i s n
gin.
Nhn y, lu rng, bng cch dng cc ng nht thc i s n gin, cng thc
(3.1.6) c lng
2
| c th biu th theo cch khc nh l:
=
= |
2 2
2
2
2
2
X n X
y X
X n X
Y x
x
y x
i
i i
i
i i
i
i i
(3.1.8)
3

n c th gim gnh nng tnh ton cho nhng ai s dng my tnh tay gii quyt mt bi ton
hi quy vi mt b d liu nh.
Hm c lng thu c trn y gi l cc hm c lng bnh phng ti thiu, v
chng c xc nh t cc nguyn tc bnh phng ti thiu. Lu rng cc tnh cht bng s
sau y ca cc hm c lng thu c t phng php bnh phng ti thiu thng thng :
Cc tnh cht bng s l cc tnh cht th hin nh l h qu ca vic dng bnh phng ti thiu
thng thng, bt k d kiu c to ra nh th no.
4
Ni ngn hn, ta cng s xem xt cc
tnh cht thng k ca cc hm c lng bnh phng ti thiu thng thng, tc l, cc tnh
cht c c khi c cc gi nh no v cc d liu c to nn.
5
(Xem m hnh hi quy
tuyn tnh c in Phn 3.2).
I. Cc hm c lng bnh phng ti thiu thng thng OLS c biu th duy nht di
dng cc s lng (ngha l X v Y) c th quan st c (ngha l mu). Do chng c
th tnh c d dng.
II. Chng l cc hm c lng im, ngha l nu cho trc mt mu mi hm c lng
s ch cho mt gi tr n l (im) ca thng s tng th ph hp. (Trong Chng 5, ta s

3
Lu 1:

+ = + = =
2 2 2 2 2 2
2 2 ) ( X X X X X X X X X X x
i i i i i i i
, v X l hng s.
Sau lu rng
= X n X
i
va
2 2
X n X =
vi X l mt hng s, chng ta thu c

2 2 2
X n X x
i i
=

.
Lu 2:

= = = =
i i i i i i i i i i i i
Y x X X Y Y x x Y Y x Y Y x y x ) ( ) ( v Y l mt hng
s v v tng cc lch ca cc bin so vi cc gi tr trung bnh [ v d
) ( X X
i
] lun lun bng 0. Ngha l,

= = 0 ) ( Y Y y
i i
.
4
Cun Estimation and Inference in Econometrics ca Russell Davidson v James G. MacKinnon, nh xut bn
Oxford University Press, New York, 1993, trang 3.
5
Nh sch trn


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
xt ci gi l cc hm c lng khong, chng cung cp mt khong cc gi tr c th
c i vi cc thng s tng th cha bit ).
III. Mt khi thu c cc c lng bnh phng ti thiu thng thng OLS t d liu
mu, ta c th d dng v c ng hi quy mu. ng hi quy thu c nh vy c
cc tnh cht sau:
1. N i qua cc gi tr trung bnh mu ca Y v X. Thc t ny c th c thy r t
(3.1.7), i vi dng sau c th vit thnh X Y
2 1

| | + = , biu thc ny c m t bng
th trong hnh 3.2.
2. Gi tr trung bnh ca c lng
i
Y Y
= bng gi tr trung bnh ca Y thc i vi

) (
(

2
2 2
2 1
X X Y
X X Y
X Y
i
i
i i
| + =
| + | =
| + | =
(3.1.9)
Ly tng hai v ca ng thc cui cng i vi cc gi tr mu ri chia cho c mu n,
cho ta:
Y Y =
(3.1.10)
6

trong ng dng c lp ra bi thc t:
= 0 ) ( X X
i
(Ti sao?)

6
Lu : Kt qu ny ch ng khi m hnh hi quy c s hng tung gc |
1
trong . Nh ph lc 6A, Phn 6A.1,
kt qu ny khng p dng khi thiu |
1
trong m hnh


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Hnh 3.2
th cho thy ng hi qui mu xuyn qua cc
gi tr trung bnh mu ca X v Y

3. Gi tr trung bnh ca cc phn d
i
u bng 0. T ph lc 3A, Phn 3A.1, phng trnh
u tin l:
= 0 )

( 2
2 1 i i
X Y | |
Nhng v
i i i
X Y u
2 1

| | = , phng trnh trn gim xung cn 0 2 =
i
u , khi
0 = u .
7

Do tnh cht trn, hi quy mu:

i i i
u X Y

2 1
+ | + | = (2.6.2)
c th biu din theo mt dng khc thay th trong c Y v X u c biu th nh l
cc lch t cc gi tr trung bnh ca chng. thy iu ny, ta ly tng (2.6.2) cho
c 2 v c:

7
Kt qu ny cng i hi s hng tung gc |
1
phi c mt trong m hnh( xem ph lc 6A, Phn 6A.1)
X
Y
SRF
Ham Hoi qui mau
i 2 1 i
X

Y
| + | =


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

0 u v X

n
u X

n Y
i i 2 1
i i 2 1 i
= | + | =
+ | + | =

(3.1.11)
Chia phng trnh (3.1.11) cho n , ta c:
X Y
2 1

| | + = (3.1.12)
biu thc ny cng ging nh (3.1.7). Ly phng trnh (2.6.2) tr i (3.1.12), ta c:

i i i
u X X Y Y ) (
2
+ | =
hoc

i i i
u x y
2
+ | = (3.1.13)
trong y
i
v x
i
, theo quy c ca chng ta, l lch t cc gi tr trung bnh tng ng
(mu) ca chng.
Phng trnh (3.1.13) c bit nh l dng lch. Lu rng s hng tung
gc
1
| khng cn c mt trong phng trnh . Nhng s hng tung gc lun c th

c c lng bi (3.1.7), ngha l, t thc t rng ng hi quy mu i qua cc trung
bnh mu ca Y v X. Mt u im ca dng lch l n lun n gin ho cc php
tnh s hc khi phi lm vic trn my tnh bn. Tuy nhin trong k nguyn thng tin
ny, li im ny tr nn th yu.
Nhn y, xin lu rng trong dng lch, hm SRF c th c vit nh l:

i i
x y
2
| = (3.1.14)
trong khi n chnh l
i i
X Y
2 1

| | + = trong cc n v o lng chnh gc, nh thy
(2.6.1).
4. Cc phn d
i
u l khng tng quan vi gi tr d bo Y
i
. C th kim chng iu ny
nh sau, s dng bng cch dng lch, ta c th vit:

| | =
| | =
| | =
| =
2 2
2
2 2
2
2 2
2 2
2 2
2
i i
i i i
i i i
i i i i
x x
x y x
x y x
u x u y
) (

= 0 (3.1.15)
trong ng dng c lp ra bi thc t

= |
2
2
i i i
x y x .
5. Cc phn d
i
u l khng tng quan vi X
i
, ngha l 0 =
i i
X u . iu ny tip theo t
phng trnh (2) trong ph lc 3A, Phn 3A.1.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
3.2. M HNH HI QUY TUYN TNH C IN:
GI THIT C S CA PHNG PHP
BNH PHNG TI THIU
Nu nh mc ch ca chng ta ch l c lng |
1
v |
2
th phng php bnh phng ti thiu
OLS tho lun phn trn l qu . Nhng xin c nhc li Chng 2, rng trong phn tch
hi quy, mc ch ca chng ta khng ch dng vic tnh c
1
| v
2
| m cn phi rt ra kt
lun gi tr thc cu |
1
v |
2
. V d, ta mun bit
1
| v
2
| gn nh th no i vi thnh phn
tng ng ca chng trong tng th hoc l
i
Y
gn nh th no ti gi tr thc ) (
i
X Y E . tr
li cc cu hi , chng ta khng ch phi nh c dng hm s ca phng trnh, nh trong
(2.4.2), m cn phi a ra cc gi thit chc chn v cch thc Y
i
c sinh ra. hiu v sao
i hi ny l cn thit, hy nhn vo hm PRF:
i i i
u X Y
2 1
+ + = | | . N cho thy rng Y
i
ph
thuc vo c X
i
v u
i
. Do , tr phi ch r c X
i
v u
i
c to ra nh th no, ta khng c
cch no suy din thng k v Y
i
, v nh ta s thy, cng khng th lm c iu v |
1
v
|
2
. Do , gi thit a ra v cc bin X
i
v s hng sai s l ti hn trong cch gii thch hiu lc
ca php c lng hi quy.
M hnh hi quy tuyn tnh c in hay m hnh chun, m hnh Gauss (CLRM)
c coi l nn tng ca hu ht l thuyt kinh t lng, n a ra 10 gi thit
8
. u tin, ta hy
tho lun cc gi thit ny cho trng hp m hnh hi quy hai bin, v trong Chng 7 ta s m
rng chng ra m hnh hi quy a bin, ngha l m hnh c nhiu hn mt bin hi qui c lp:

Gi thit 1: M hnh hi quy tuyn tnh. M hnh hi quy l tuyn tnh theo cc thng s,
nh c thy (2.4.2)

i i i
u X Y
2 1
+ + = | | (2.4.2)

Ta tho lun m hnh (2.4.2) trong Chng 2. V cc m hnh hi quy tuyn tnh trong
cc thng s l khi im cho CLRM, chng ta s duy tr gi thit ny trong sut quyn sch. Hy
nh rng bin hi qui ph thuc Y v bin hi qui c lp X t chng c th khng tuyn tnh, nh
cp Chng 2.
9

8
N c coi l c in theo cm gic v c pht trin ln u tin bi Gauss vo nm 1821 v t c coi l
mt khun mu hay tiu chun m c th c so snh vi cc m hnh hi quy khng tha mn cc ga thit Gauss.
9
Ni vy khng c ngha l m hnh hi quy khng tuyn tnh theo cc thng s l khng quan trng hay t c s
dng. Tuy nhin, vic cp n cc m hnh nh th i hi mt s kin thc ton hc v thng k nm ngoi phm
vi ca cun sch. tho lun su sc v cc m hnh phi tuyn tnh theo thng s, c th tham kho cun
Estimation and Inference in Econometrics (c lng v suy din thng k trong kinh t lng) ca tc gi Russell
Davidson v James MacKinnon, NXB Oxford University Press, New York, 1993. Cun sch khng dnh cho ngi
mi bt u.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

Gi thit 2: Cc gi tr X c c nh trong vic ly mu lp li. Cc gi tr rt ra bi bin
hi qui c lp X c coi l c nh trong cc mu lp li. Ni r hn, X c gi thit l khng
ngu nhin.

Gi thit ny ng trong phn tho lun ca ta v hm PRF Chng 2. Nhng iu
rt quan trng i vi ta l hiu c khi nim v cc gi tr c nh trong vic ly mu lp li,
n c gii thch di dng v d cho Bng 2.1. Xt cc tng th Y khc nhau tng ng
vi mc thu nhp c trnh by trong bng . Gi cho gi tr thu nhp X c nh v gi s bng
$80, ta rt ra mt cch ngu nhin mt gia nh ngu nhin no v quan st chi tiu hng tun
Y ca gia nh , gi s l $60. Vn gi X mc $80, ta li rt mt cch ngu nhin mt gia
nh khc v thy gi tr quan st Y ca n l $75. Trong mi ln rt ra mt gia nh xem xt
(ngha l ly mu lp li), gi tr X c c nh mc $80. Ta c th lp li qu trnh ny cho tt
c cc gi tr X ghi trong Bng 2.1. Thc ra, d liu mu ghi trn bng 2.4 v 2.5 u c rt
ra theo cch ny.
Tt c nhng iu ny c ngha l s phn tch hi quy ca ta l phn tch hi quy c
iu kin, ngha l c iu kin vi cc gi tr cho ca (cc) bin hi qui c lp X.

Gi thit 3: Gi tr trung bnh bng khng ca cc nhiu u
i
. Cho trc gi tr ca X, gi tr
trung bnh hay k vng ca cc s hng nhiu u
i
bng 0. Ni r hn, gi tr trung bnh c iu
kin ca u
i
l 0. V mt k hiu, ta c:

) (
i i
X u E =0 (3.2.1)

Gi thit 3 cho rng, gi tr trung bnh ca u
i,
c iu kin theo vi X
i
cho, l bng 0.
Bng hnh hc, gi thit ny c th c v trn hnh 3.3, n ch ra mt vi gi tr ca bin X v
tng th Y lin kt vi chng. Nh thy, mi mt tng th Y tng ng vi mt X cho trc
c phn phi xung quanh gi tr trung bnh ca n (c th thy c nh nhng chm c
khoanh trn trn PRF) cng vi mt vi gi tr Y pha trn v di n. Khong cch pha trn v
di i vi gi tr trung bnh khng l g nhng u
i
v ci m (3.2.1) i hi l gi tr trung bnh
ca cc lch ny tng ng vi bt k X cho phi bng 0
10
.

10
minh ha, ta ch coi rng cc u c phn b i xng nh ch trn hnh 3.3. Nhng trong Chng 4 ta s
coi rng cc u c phn phi chun.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Hnh 3.3
Phn b c iu kin ca nhiu u
i

T cch nhn nhn ca nhng g tho lun Phn 2.4 (xem phng trnh 2.4.5), gi thit
ny khng c g l kh hiu. Tt c nhng g m gi thit ny khng nh l cc yu t khng bao
gm r rt trong m hnh v do s c k vo trong u
i
, khng nh hng mt cch c h
thng n gi tr trung bnh ca Y; cho nn, c th ni, cc gi tr u
i
dng trit tiu cc gi tr u
i

m sao cho trung bnh ca chng nh hng ln Y bng 0.
11

Nhn y, lu rng gi thit 0 ) ( =
i i
X u E ng rng
i i i i
X X Y E
2
) ( | | + = . (Ti
sao?). Do , hai gi thit ny l tng ng nhau.

Gi thit 4: Phng sai c iu kin khng i hay phng sai bng nhau ca u
i
. Cho cc gi
tr ca X, phng sai ca u
i
s nh nhau i vi tt c mi quan st. Ngha l, cc phng sai iu
kin ca u
i
u ng nht. V mt k hiu, ta c:

11
hiu thm v sao m gi thit 3 l cn thit c th c Statistical Methods of Econometrics (Phng php thng
k ca kinh t lng ca E.Malinvaud, NXB Rand McNally, 1996, trang 75. Xem thm bi tp 3.3
X
Y
PRF =
Ham Hoi qui tong the
i 2 1 i
X
| + | =
Mean (Trung bnh)
X
1
X
2
X
3
X
4
+
i
u
i
u


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
2
o =
=
=
) (
] ) ( [ ) var(
2
2
i i
i i i i i
X u E
X u E u E X u

(3.2.2)
trong var l phng sai.

Phng trnh (3.2.2) khng nh phng sai ca u
i
cho mi X
i
(nghi l, phng sai iu
kin ca u
i
) l mt hng s dng no bng
2
o . Mt cch k thut, phng trnh (3.2.2) th
hin gi thit v phng sai c iu kin khng i, hay l ng truyn, hay l phng sai bng
nhau. Ni cch khc, (3.2.2) c ngha l cc tng th Y tng ng vi cc gi tr X khc nhau s
c phng sai nh nhau. V mt th, iu ny c m t trn hnh 3.4.
Ngc li, hy xt hnh 3.5, trong phng sai iu kin ca cc tng th Y bin thin
i vi X. Ngi ta gi hin tng ny mt cch gn ng l phng sai ca sai s thay i hay
l s truyn bt ng, hoc l phng sai. V mt k hiu, trong trng hp ny, (3.2.2) c th
vit thnh

2
) var(
i i i
X u o = (3.2.3)
Lu ch s ca
2
o trong phng trnh (3.2.3), n ch r rng phng sai ca tng th Y
khng cn l mt hng s.

(do gi thit 3)
Hnh 3.4
Phng sai c iu kin khng i


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

Hnh 3.5
Phng sai ca sai s thay i

lm r hn s khc bit gia hai trng hp trn, hy gi Y l mc chi tiu tiu dng
hng tun v X l thu nhp hng tun. Hnh 3.4 v 3.5 cho thy khi thu nhp tng th chi tiu tiu
dng trung bnh cng tng. Nhng trn hnh 3.4, phng sai ca mc chi tiu tiu dng gi
nguyn ti tt c cc mc thu nhp, trong khi hnh 3.5 phng sai li tng khi mc thu nhp
tng. Ni cch khc, mc chi ph trung bnh ca cc gia nh giu hn th ln hn l mc chi ph
ca cc gia nh ngho hn, nhng cng c bin thin ln hn trong mc chi tiu tiu dng ca
gia nh giu.
hiu c l do cn bn ng sau gi thit ny, ta hy tham kho hnh 3.5 theo var(
u|X
1
) < var( u | X
2
) , . . . , < var( u | X
i
). Do , c th ng l cc quan st Y t tng th vi
X = X
1
c th gn ti hm hi quy tng th PRF hn l nhng quan st t cc tng th tng
ng vi X = X
2
, X = X
3
, v.v... Ni gn hn, khng phi tt c cc gi tr Y tng ng vi cc X
khc nhau s u ng tin cy nh nhau. tin cy c nh gi bi cc gi tr Y phn phi gn
hay xa th no xung quanh v tr trung bnh ca chng, ngha l cc im trn hm PRF. Nu
ng l c trng hp , ta c nn coi trng cc mu ly t cc tng th Y no gn gi tr trung
bnh hn l cc mu vi cc gi tr phn phi rng hay khng? Nhng lm nh th cng c ngha
l gii hn nhng bin i ta c c thng qua cc gi tr X.
Bng cch dn ra gi thit 4, ta ni rng ti giai on ny, tt c cc gi tr Y tng ng
vi cc X khc nhau u quan trng nh nhau. Trong Chng 11 ta s thy iu g s xy ra nu
y khng phi l trng hp c phng sai ca sai s thay i.
Nhn y, xin lu , gi thit 4 ng rng cc phng sai iu kin ca Y
i
cng l phng
sai c iu kin khng i. Ngha l:

2
) var( o =
i i
X Y (3.2.4)
Tt nhin, phng sai v iu kin ca Y l o
Y
2
. Sau ny, ta s thy tm quan trng ca s
phn bit gia cc phng sai iu kin v v iu kin ca Y (xem ph lc A bit thm chi
tit v cc phng sai khng iu kin v c iu kin ).


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

Gi thit 5: Khng c t tng quan gia cc nhiu. Cho trc hai gi tr X bt k, X
i
v X
j
(i
= j), tng quan gia u
i
v u
j
bt k (i = j) bng 0. V mt k hiu:

0
) )( (
] ) ( ][ ) ( [ ) , , cov(
=
=
=
j j i i
j j j i i i j i j i
X u X u E
X u E u X u E u E X X u u

(3.2.5)
trong i v j l hai quan st khc nhau v cov ngha l ng phng sai.

Ni ng hn, (3.2.5) nh ra rng cc nhiu u
i
v u
j
l khng tng quan. Ni bng thut
ng, y l gi thit v khng c tng quan chui, hay l khng c t tng quan. iu ny
c ngha l vi cc X
i
cho, cc lch ca bt k hai gi tr Y t gi tr trung bnh ca chng
u khng biu hin kiu nh m t trn hnh 3.6a v 3.6b. Trn hnh 3.6a ta thy cc u
tng quan ng bin, mt gi tr u dng c c bi mt gi tr u dng hay l mt u m s
c t mt gi tr u m. Trn hnh 3.6b, cc u li tng quan nghch, mt gi tr u dng s tip
theo bi mt u m v ngc li.

Nu cc nhiu (cc lch) tun theo cc kiu h thng, nh l cc kiu trn hnh 3.6a v
b, l tng quan chui hay l t tng quan, v ci m gi thit 5 i hi l s vng mt ca
cc kiu tng quan ny. Hnh 3.6c ch rng khng c kiu h thng i vi cc u, do n ch
tng quan zero (khng tng quan).

Hnh 3.6
Cc kiu tng quan gia cc nhiu. (a) tng quan chui ng bin;
(b) tng quan chui nghch bin; (c) tng quan zero.
(ti sao?)
+u
i
+u
i
-u
i
-u
i
(a)
-u
i
(b)
+u
i
+u
i
-u
i
(c)
+u
i
+u
i
-u
i
-u
i


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

Tm quan trng ton din ca gi thit ny s c gii thch k cng trong Chng 12.
Nhng ta c th gii thch n bng trc gic nh sau. Trong hm PRF ca chng ta (Y
t
= |
1
+
|
2
X
t
+ u
t
) ta cho rng u
t
v u
t-1
l tng quan ng bin. Th Y
t
khng ch ph thuc vo X
t
m
cn ph thuc vo u
t-1
, u
t-1
cng vi mt vi s m rng s nh ra u
t
. Ti giai on pht trin ny
ca i tng nghin cu, bng cch dn chng gi thit 5, ta ni rng ta s xt nh hng c tnh
h thng, nu c, ca X
t
v Y
t
v khng quan tm n cc nh hng khc c th tc ng n Y
nh l kt qu ca cc t tng quan c th c gia cc u. Th nhng, nh lu Chng 12,
ta s thy cc tng quan gia cc nhiu s c a vo php phn tch nh th no, v cng vi
kt qu no.

Gi thit 6: ng phng sai zero gia u
i
v X
i
, hay l E(u
i
,X
i
) = 0. Ni chung,

, 0
), (
), ( ) ( ) (
))], ( ( [
)] ( )][ ( [ ) , cov(
=
=
=
=
=
i i
i i i i
i i i
i i i i i i
X u E
u E X E X u E
X E X u E
X E X u E u E X u

(3.2.6)

Gi thit 6 pht biu rng nhiu u v cc bin gii thch X l khng tng quan. L do cn
bn cho gi thit ny nh sau: Khi biu th hm PRF trong (2.4.2), ta cho rng X v u ( i din
cho nh hng ca tt c cc bin b b qua) c nh hng ring (v b sung) ti Y. Th nhng,
nu X v u c tng quan, ta khng th no nh gi cc nh hng ca mi bin ti Y. Do ,
nu X v u l tng quan dng, X tng khi u tng v X gim khi u gim. Tng t, nu X v u l
tng quan m, X tng khi u gim v X gim khi u tng. Trong mi trng hp, s rt kh khn
tch ri nh hng ca X v u ln Y.
Gi thit 6 c p ng mt cch t ng nu bin X l khng ngu nhin v khi gi thit
3 c p dng, trong trng hp , cov(u
i
,X
i
)=[X
i
-E(X
i
)]E[u
i
-E(u
i
)]=0 (ti sao?) Nhng bi v
ta cho rng bin X ca ta khng ch l khng ngu nhin, m cn gi thit l cc gi tr c nh
trong cc mu lp li
12
, gi thit 6 khng phi l gii hn i vi chng ta, n c nu ra y
ch cho thy rng l thuyt hi quy c trnh by trong kt qu suy din logic s vn ng
thm ch nu cc X l ngu nhin, min l chng l c lp, hay t ra l khng tng quan vi cc
nhiu u
i
13
. (Ta s kim tra h qu ny khi ko ni lng thit 6 trong Phn II).

12
Nhc li rng khi thu c mu nh c trnh by trn Bng 2.4 v 2.5, ta gi cho cc gi tr X l nh nhau.
13
Nh ta s tho lun Phn II, nu cc X l ngu nhin nhng phn b c lp vi u
i
, cc tnh cht ca hm c
lng nh nht tho lun ngn gn vic tip tc c p dng, nhng nu cc bin ngu nhin X ch l khng
tng quan vi u
i
, cc tnh cht ca hm c lng bnh phng ti thiu thng thng OLS ch ng khi nu kch
c mu tht ln. Tuy nhin, ti giai on ny, khng cn thit phi sa ly vo im l thuyt ny.

v E( u
i
) = 0
v E(X
i
) l khng ngu nhin
v E( u
i
) = 0
bi gi thit


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

Gi thit 7: S lng cc quan st n phi ln hn s lng cc thng s c c lng.
Mt cch khc, s lng cc quan st n phi ln hn s lng cc bin gii thch.

Gi thit ny khng h l v thng v pht nh ta c th thong ngh. Trong v d gi
nh ca Bng 3.1, hy tng tng ta ch c cp quan st u tin cho Y v X (4 v 1). T quan
st n ny, khng c cch no c lng hai i lng cha bit |
1
v |
2
. Ta cn t nht l
hai cp cc quan st c lng hai i lng cha bit. Trong Chng sau ta s thy tm quan
trng cc k ca gi thit ny.

Gi thit 8: S bin thin trong cc gi tr X. Cc gi tr X trong mt mu cho trc khng th
tt c u bng nhau. Ni theo t ng k thut, var(X) phi l mt sdng hu hn
14
.

Gi thit ny cng khng phi l v thng v pht. Hy nhn vo phng trnh (3.1.6).
Nu tt c cc gi tr X u l ng nht, th X X
i
= (ti sao?) v mu s ca phng trnh ny s
bng 0, nn khng th tnh c |
2
v do c |
1
. Mt cch trc gic, ta sn sng thy v sao gi
thit ny li quan trng. Nhn vo v d chi tiu tiu dng trong gia nh Chng 2, nu nh c
s bin thin rt nh trong thu nhp gia nh, ta s khng th gii thch nhiu v s bin thin
trong chi tiu tiu dng. c gi nn nh rng s bin thin trong c Y v X l iu thit yu s
dng php phn tch hi quy nh l mt cng c nghin cu. Ni ngn gn: cc bin phi bin
!

Gi thit 9: M hnh hi quy c xc nh mt cch ng n. Ni cch khc, trong cc m
hnh c s dng trong php phn tch thc nghim khng c thin lch hoc sai s c
trng.

Nh cp Phn Gii thiu, phng php lun kinh t lng c in gi thit iu n
, nu khng phi l l r, rng m hnh c s dng kim nh mt l thuyt kinh t l
c xc nh mt ch ng n. Gi thit ny c th c gii thch mt cch khng chnh
thc nh sau. Mt s iu tra kinh t lng bt u vi vic nh r mt m hnh kinh t lng
trn c s hin tng cn quan tm. Mt s cu hi quan trng pht sinh trong vic xc nh mt
m hnh c th l: (1) Nhng bin no nn c bao gm trong m hnh? (2) dng hm s ca m
hnh nh th no? N tuyn tnh theo cc thng s, cc bin hay l c hai? (3) Ta s t cc gi
thit c tnh xc sut no v Y
i
, X
i
, v u
i
khi a chng vo m hnh?
l nhng cu hi cc k quan trng v nh ta s ch ra Chng 13, bng cch b qua
cc bin quan trng ra khi m hnh, hay bng cch chn dng hm s sai, hay l bng cch t
cc gi thit ngu nhin sai cho cc bin ca m hnh, tnh hiu lc ng n trong cch gii thch
hi quy c lng s mang nghi vn cao. c cm gic thc v iu ny, ta hy tham kho

14
Phng sai mu ca X l
1
) (
) var(
2
=

n
X X
X
i
trong n l c mu.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
ng cong Philips trn hnh 1.3, (cho l ta chn hai m hnh sau y m t mi lin quan c
s gia t l thay i tin lng v t l tht nghip:

i i i
u X Y + + =
2 1
o o (3.2.7)

i
i
i
u
X
Y +
|
|
.
|
\
|
+ =
1
2 1
| | (3.2.8)
trong Y
i
l t l thay i tin lung v X
i
l t l tht nghip.
M hnh hi quy (3.2.7) l tuyn tnh theo cc thng s v cc bin s trong khi (3.2.8) l
tuyn tnh theo thng s (do , l m hnh hi quy tuyn tnh ng vi nh ngha ca ta) nhng
phi tuyn tnh trong bin s X. By gi ta xt hnh 3.7 cui trang.
Nu m hnh (3.2.8) l m hnh ng hay l m hnh thc th s lm thch hp m
hnh (3.2.7) vo cc im phn tn trn hnh 3.7 s cho ta cc d bo sai: Gia hai im A, B i
vi gi tr bt k X
i
cho trc, m hnh (3.2.7) s c lng qu cao gi tr trung bnh thc ca Y,
trong khi pha tri ca A ( hay phi phi ca B) n s c lng thp (hay l c lng cao, khi
ni v tr tuyt i) gi tr trung bnh thc ca Y.
V d trn chnh l minh ha cho ci gi l thin lch c trng hay l sai s c
trng; thin lch y c l do chn dng hm s sai. Ta s thy cc loi sai s c trng
khc trong Chng 13.
Tht khng may l trong thc t, ngi ta him khi bit cc bin ng t vo m hnh
hay l cc hm ng ca m hnh hay l cc gi thit xc sut ng v cc bin nhp vo m hnh
i vi l thuyt nn tng kim tra c th, (v d nh s nh i gia t l thay i tin thng
v t l thay i tht nghip kiu Phillips) c th khng mnh hay vng chc tr li cc cu
hi trn. Do , trong thc hnh, cc nh kinh t lng phi s dng mt s phn quyt no
khi chn s lng cc bin nhp vo m hnh v dng hm ca m hnh v phi t ra vi gi
thit v bn cht ngu nhin cu cc bin trong m hnh. m rng, c vi cch th v sai no
lin quan n vic chn m hnh ng cho php phn tch thc nghim.
15

15
Ngi ta c th trnh ci gi l kim d liu ngha l, th mi m hnh c th vi hy vng rng t nht s c mt
d liu tt, l v sao m n l thit yu m c vi l do kinh t lm c s cho m hnh c chn v bt c s bin
tu no ca m hnh cng cn c s phn xt v kinh t no . M hnh c bit thun ty c th rt kh m phn
xt trn nn c s l thuyt hay l prori. Ngn gn hn, l thuyt nn l c s cho php c lng.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Hnh 3.7
Cc ng cong tuyn tnh v phi tuyn tnh Phillips
Nu iu phn xt c i hi trong vic chn m hnh th iu g cn thit i vi gi
thit 9? Khng cn i vo chi tit y (xem Chng 13), gi thit ny c mt nhc nh
ta rng php phn tch hi quy ca ta, v do , kt qu da trn php phn tch ny l c iu
kin km theo vi m hnh c chn v bo trc cho ta rng ta nn suy ngh tht cn thn
khi thit lp cc m hnh kinh t lng, c bit l khi m c th c nhiu hc thuyt cnh tranh
cng c mun gii thch mt hin tng kinh t, nh t l lm pht, hay l nhu cu v tin, hay
vic xc nh gi tr cn bng hay gi tr cn bng thch hp ca c phiu hay tri phiu. V vy,
nh sau ny ta s thy, vic xy dng m hnh kinh t lng thng nghing v phn ngh thut
hn l khoa hc.
Vic tho lun v cc gi thit c s ca m hnh hi quy tuyn tnh c in ca chng ta
n y l hon tt. Rt quan trng lu rng tt c cc gi thit ny ch gn lin vi hm PRF
ch khng gn vi hm SRF. Nhng cng tht th v khi quan st thy rng phng php bnh
phng ti thiu cp trn li c vi tnh cht tng t nh cc gi thit m ta phi t v
hm PRF. V d, vic tm ra rng 0 =
i
u , v v vy 0 = u l ging vi gi thit 0 ) ( =
i i
X u E .
Cng ging nh vy, vic tm ra
= 0
i i
X u cng tng t vi gi thit cov( u
i
,X
i
) = 0 . Cng
c th lu rng phng php bnh phng ti thiu do vy c gng l ph bn no ca cc
gi thit m ta phi t cho hm PRF.
ng nhin, hm SRF khng lm ph bn cho tt c cc gi thit ca m hnh hi quy
tuyn tnh c in. Nh ta s ch ra sau ny, mc d cov( u
j
,u
j
) = 0 do gi thit, s khng ng s
thc rng cov( u
j
,u
j
) ca mu = 0 ( i= j ). Thc ra, ta s ch ra sau ny rng mc d phn d
khng ch l t tng quan m chng cn c phng sai ca sai s thay i (xem Chng 12) .
A
B
T
y

l
e

t
h
a
y

o
i

t
i
e
n

l
n
g
T le that nghiep %
0
|
|
.
|
\
|
| + | =
i
i
X
Y
1
2 1
i i
X Y
2 1
o + o =


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Khi bc ra ngoi m hnh hai bin v xem xt cc m hnh hi quy a bin, ngha l, m
hnh cha nhiu bin hi qui c lp, ta phi b sung cc gi thit sau.

Gi thit 10: Khng c tnh a cng tuyn hon ton. Ngha l khng c cc mi tng quan
tuyn tnh hon ton trong cc bin gii thch.

Ta s tho lun v gi thit ny Chng 7, khi ni v cc m hnh hi quy a bin.
Cc m hnh gi thit ny thc t n mc no?
Cu hi ng gi c triu la l: Tt c cc gi thit ny c tnh thc tin nh th no? Tnh
thc tin ca cc gi thit l cu hi rt xa ca trit l trong khoa hc. C ngi lp lun rng
khng cn thit phi xem cc gi thit c tnh thc tin hay khng. S vic no s l cc d
bo da trn cc gi thit ny. Milton Friedman l ngi c ch , trong lun v tnh
khng thch hp ca cc gi thit. Theo ng, tnh phi thc tin ca cc gi thit chnh l cc li
th tch cc: tr thnh quan trng ... Mi gi thit phi l iu gi di trong cch m t trong
chnh cc gi thit ca n.
16

Ngi ta khng th tn thnh hon ton vi quan im ny, nhng cng nn nhc li rng
trong mi nghin cu khoa hc bt k, ta a ra cc gi thit nht nh bi v chng h tr s pht
trin ca cc ch th trong cc bc xa hn, ch khng phi v chng cn c tnh thc tin trong
cm gic rng chng lp li thc t mt cch chnh xc. Nh mt tc gi vit ... Nu nh tnh
n gin l tiu chun mong mun ca mt l thuyt tt, tt c cc l thuyt tt u l tng ho
v n gin ho mt cch mnh lit.
17

Mt php tng t c th c ch y. Cc sinh vin kinh t c gii thiu chung v m
hnh ca s cnh tranh hon ho trc khi h c gii thiu v cc m hnh cnh tranh khng
hon ho nh l cnh tranh c quyn v cnh tranh nhm, bi v cc tim n xut pht t m
hnh ny s lm cho ta nh gi tt hn cc m hnh cnh tranh khng hon ho, khng phi v
m hnh cnh tranh hon ho mang tnh thc tin cn thit. M hnh hi quy tuyn tnh c in
trong kinh t lng l tng ng vi m hnh cnh tranh hon ho trong l thuyt v gi!
Trong k hoch ca ta, iu cn lm u tin l tm hiu cc tnh cht ca m hnh hi quy
tuyn tnh c in mt cch l tng, v sau , trong cc chng sau s xem xt tht su rng
iu g s xy ra nu nh mt hay vi gi thit trong m hnh hi quy tuyn tinh c in khng
c thc hin. cui chng ny, trong Bng 3.5 chng ti cung cp mt ch dn mi ngi
quan tm c th tm iu g xy ra vi m hnh hi quy tuyn tnh c in khi mt gi thit ring
no khng c tho mn.
Mt ng nghip ch cho ti rng khi ta xem li mt cng trnh nghin cu ca ngi
khc no , ta cn phi xem xt cc gi thit nh nghin cu t ra c thch hp vi d liu v
vn khng. Rt thng xy ra trng hp khi cng trnh pht hnh da vo cc gi thit n
tng v vn v d liu, m vn v d liu ny cha chc l ng v n sinh ra cc c
lng da trn cc gi thit . R hn, ngi c c kin thc nn nhn thc ng v vn , v
la chn cch tip cn nghim khc cc cng trnh nghin cu. Cc gi thit lit k trong Bng

16
Milton Friedman, Essay in Positive Economics (Lun vn v Kinh t hc Thc chng), University of Chicago
Press, Chicago, 1953, trang 14
17
Mark Blaug, cun The Methodology of Economics: Or How Economists Explain (Phng php lun ca kinh t
lng: hay cc nh kinh t lng gii thch nh th no, 2
nd
Edition, NXB Cambidge University Press, New York,
1992, trang 92.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
3.5 s cung cp mt danh sch kim tra hng dn cc nghin cu ca chng ta v nh gi
nghin cu ca ngi khc.
Vi mt bc nh quay li, by gi ta sn sng nghin cu m hnh hi quy tuyn tnh c
in. Ni ring l ta mun tm ra cc tnh cht thng k ca cc bnh phng ti thiu thng
thng OLS c so snh vi cc tnh cht bng s m ta tho lun trc y. Cc tnh cht
thng k ca bnh phng ti thiu thng thng da trn cc gi thit ca m hnh hi quy tuyn
tnh c in c tho lun v gi gn trong nh l Gauss-Markov ni ting. Nhng trc
khi quay v vi nh l ny, nh l cung cp s cng nhn l thuyt v tnh ph bin ca cc
bnh phng ti thiu thng thng, u tin ta cn xt tnh chnh xc hay l cc sai s chun
ca cc php c lng bnh phng ti thiu.
3.3 TNH CHNH XC HAY L CC SAI S CHUN CA CCH C LNG BNH
PHNG TI THIU
T phng trnh (3.1.6) v (3.1.7) ta thy r cc c lng bnh phng ti thiu l hm ca cc
d liu mu. Nhng v d liu c kh nng s thay i t mu ny sang mu khc nn cc c
lng cng thay i t vic . V vy, cn thit c i lng o tin cy no hay l tnh
chnh xc ca cc hm c lng
1
| v
2
| . Trong mn thng k, tnh chnh xc ca mt c

lng no c o bi sai s chun ca n
18
. Cho cc gi thit Gauss nh trong ph lc 3A,
Phn 3A.3 ch r cc sai s chun ca cc c lng bnh phng ti thiu thng thng OLS, ta
thu c nh sau:

=
2
2
2
)
var(
i
x
o
| (3.3.1)

=
2
2
)
(
i
x
se
o
| (3.3.2)

2
2
2
1
)
var( o |
=
i
i
x n
X
(3.3.3)
o |
=
2
2
1
)
(
i
i
x n
X
se (3.3.4)
trong var l phng sai v se l sai s chun v trong s
2
l phng sai c iu kin khng
i hay phng sai hng s ca u
i
, trong gi thit 4.
Tr i lng s
2
, tt c cc s lng nhp vo phng trnh trn u c th tnh t d liu.
Nh ch ra mc 3A, Phn 3A.5, s
2
t n c tnh bng cng thc sau:

2
2
2
=

n
u
i
o (3.3.5)

18
Sai s chun khng l g nhng lch chun ca s phn phi mu ca hm c lng, v s phn phi mu ca
cc hm c lng n gin l xc sut hay phn phi tn s ca cc hm c lng, nghi l, phn phi ca mt b
cc gi tr hm c lng thu c t cc mu cng c t mt tng th cho trc. Cc phn phi mu c s dng
rt ra kt lun v cc gi tr ca cc thng s tng th trn c s cc gi tr hm c lng c tnh t mt hay
nhiu mu ( Chi tit hn, xem Ph lc A ).


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
trong
2
o l hm c lng bnh phng ti thiu thng thng OLS ca gi tr thc nhng
cha bit s
2
v trong n-2 l s bc t do (df) ,
i
u l tng ca bnh phng phn d hay l
tng bnh phng ca cc phn (RSS)
19
.
Nu bit
i
u ,
2
o c th tnh c d dng.
i
u t n c th c tnh t (3.1.2)
hoc t biu thc sau (xem chng minh phn 3.5)

=
2 2
2
2 2
i i i
x y u | (3.3.6)
So snh vi phng trnh (3.1.2), phng trnh (3.3.6) rt d s dng, v n khng i hi
phi tnh ton
i
u cho mi quan st mc d cc tnh ton ny s rt c ch trong v phi ca chnh
n (nh ta s xem trong Chng 11 v 12).
V
=
2
2
i
i i
x
y x
|
dng biu hin thay th cho vic tnh
i
u l:

=
2
2
2 2
) (
i
i i
i i
x
y x
y u (3.3.7)
Nhn th, lu rng cn bc hai dng ca
2
o :

2
=

n
u
i
o (3.3.8)
c bit nh sai s chun ca c lng. N n gin l lch chun ca cc gi tr Y so vi
ng hi quy c lng v n thng c s dng nh l i lng o thch hp ca
ng hi quy c lng, ni dung s c tho lun trong Phn 3.5.
Trc y, ta lu rng, cho trc cc X
i
, s
2
i din cho phng sai (iu kin) ca c
hai i lung u
i
v Y
i
. V vy, sai s chun ca s c lng c th gi l lch chun (iu
kin) ca u
i
v Y
i
. ng nhin, nh thng thng, s
Y
2
v s
Y
s i din tng ng cho phng sai
khng iu kin v lch chun khng iu kin ca Y.
Lu cc c tnh sau y ca phng sai (v vy, ca c sai s chun) ca
1
| v
2
|
1. Phng sai ca |
2
t l thun vi s
2
nhng t l nghch vi
2
i
x . Ngha l, nu cho truc s
2
,
s bin thin ca X cng ln th phng sai ca
2
| cng nh, do , tnh chnh xc ca b

2
c
lng c cng s tng. Ngn gn hn, nu cho trc s
2
, nu c s bin thin thc s i vi
cc gi tr X (coi li gi thit 8), b
2
c th c xc nh chnh xc hn l khi X
i
khng bin
thin thc s. Cng nh vy, cho trc
2
i
x , phng sai ca s
2
cng ln th phng sai ca

19
Thut ng s bc t do ngha l s lng tng cng cc quan st trong mu (= n) tr i s rng buc hay gii hn
c lp (tuyn tnh ) t vo cc quan st . Ni cch khc, n l s lng cc quan st c lp bn ngoi tng s
n ln quan st. V d, trc khi tnh c RSS( tng bnh phng ca cc phn d) theo (3.1.2), phi tnh c
1
| v
2
| . Hai gi tr c lng ny t hai gii hn vo RSS. Cho nn, c n-2 ch khng phi n quan st t do tnh
RSS. Theo l gc ny, trong RSS hi quy 3 bin ta s c n-3 bc t do, v cho m hnh k bin m hnh s c n-k bc
t do. Quy tc chung l bc t do = n - s lng cc thng s c c lng.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
b
2
cng ln. Lu rng, khi c mu n tng th s lng cc s hng trong tng
2
i
x s tng.
V khi n tng th tnh chnh xc m vi n |
2
c lng c cng s tng (Ti sao?).
2. Phng sai ca
1
| t l thun vi s
2
v
2
i
X nhng t l nghch vi
2
i
x v kch thc n
ca mu.
3. V
1
| v
2
| l cc hm c lng, chng s khng ch bin i t mu ny n mu khc,

m ngay trong mt mu cho trc, chc chn chng s ph thuc ln nhau, s ph thuc ny
c o bi ng phng sai gia chng. iu ny c cp n trong ph lc 3A, Phn
3A.4, nh sau:

|
|
.
|
\
|
=
=
2
2
2 2 1
)
var( )
cov(
i
x
X
X
o
| | |
(3.3.9)
V l phng sai ca mt bin bt k var (
2
| ) lun lun dng, bn cht ca ng phng sai

gia
1
| v
2
| ph thuc vo du ca X . Nu X dng, th theo cng thc, ng phng sai

s m. V vy, nu h s gc b
2
c c lng cao (ngha l dc rt dc), h s tung
|
1
s c c lng thp (ngha l tung gc s rt nh). Sau ny, (c bit trong Chng
10 v tnh a cng tuyn), ta s thy r li ch ca vic nghin cu ng phng sai gia cc
h s hi quy c c lng.
Cc phng sai v cc sai s chun ca cc h s hi quy c lng s a ngi ta n
vic phn xt v tnh thc tin ca cc c lng ny nh th no? y l vn trong suy din
thng k v n s c a vo Chng 4 v 5.
3.4 CC TNH CHT CA HM C LNG:
NH L GAUSS-MARKOV
20

Nh cp trc y, khi cho trc cc gi thit ca m hnh hi quy tuyn tnh c in, cc
php c lng bnh phng ti thiu t vi tnh cht ti u hoc l l tng no . Cc tnh
cht ny c cha ng trong nh l Gauss-Markov ni ting. hiu l thuyt ny, ta cn
xt tnh cht khng thin lch tuyn tnh tt nht ca hm c lng.
21
Nh gii thch ph
lc A, mt hm c lng, gi l hm c lng bnh phng ti thiu thng thng ca
2
| ,
c cho l hm c lng khng thin lch tuyn tnh tt nht (BLUE) ca b
2
nu nh theo
ng cc iu sau:
1. N l tuyn tnh, ngha l hm tuyn tnh ca bin ngu nhin, nh l bin ph thuc Y trong
m hnh hi quy.
2. N l khng thin lch, ngha l gi tr trung bnh ca n hay l gi tr k vng, E(
2
| ), bng
gi tr thc |
2
.

20
Tuy gi l l thuyt Gauss-Markov nhng php tnh gn ng cc bnh phng ti thiu ca Gauss xy ra trc
(1821) php tnh gn ng phng sai cc tiu ca Markov(1900).
21
Bn c nn tham kho ph lc A bit tm quan trng ca cc hm c lng tuyn tnh cng nh cch tho
lun chung v cc tnh cht mong mun cu cc hm c lng thng k.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
3. N c phng sai nh nht trong nhm tt c cc hm c lng khng thin lch tuyn tnh;
hm c lng khng thin lch vi phng sai ti thiu c gi l hm c lng hiu
qu.
Trong ni dung hi quy, n c th c chng minh rng cc hm c lng bnh phng
ti thiu thng thng l hm c lng khng thin lch tuyn tnh tt nht. y l thc cht
ca nh l Gauss-Markov ni ting, l thuyt c th c pht biu nh sau:

nh l Gauss-Markov: Cho trc cc gi thit ca m hnh hi quy tuyn tnh c in, cc hm
c lng bnh phng ti thiu, trong nhm cc hm c lng tuyn tnh khng thin lch, c
phng sai nh nht, ngha l chng l cc hm c lng khng thin lch tuyn tnh tt
nht.(BLUE)

Bng chng ca nh l ny c phc ha trong Ph lc 3A, Phn 3A.6. S xm nhp rng
ri ca nh l Gauss-Markov s tr nn r rng hn khi ta i xa hn. S khng tha khi mun
lu rng nh l ny c tm quan trng v l thuyt cng nh v thc hnh.
22

Tt c nhng ngha ny c th c gii thch bng hnh 3.8.

Trong hnh 3.8(a) ta ch ra phn phi mu ca hm c lng bnh phng ti thiu
thng thng
2
| , ngha l phn phi cc gi tr ly bi

2
| trong cc th nghim ly mu lp li
(nhc li Bng 3.1). thun li, ta gi thit rng
2
| phn phi i xng (nhiu hn c th xem

Chng 4). Nh cc hnh a ra, trung bnh ca cc gi tr
2
| , E(
2
| ) bng gi tr thc b
2
. y,
ta ni
2
| l hm c lng khng thin lch ca b

2
. Trong hnh 3.8(b) ta thy phn phi mu ca
b
2
*
, hm c lng thay th b
2
thu c bng phng php khc (nghi l khng phi phng
php bnh phng ti thiu thng thng). tin li, ta gi s b
2
*
ging nh
2
| l khng thin
lch , ngha l trung bnh hay l gi tr k vng ca chng bng b
2
. Tip theo, ta gi s rng
2
| v
b
2
*
l cc hm c lng tuyn tnh , ngha l chng l cc hm tuyn tnh ca Y. Ta s chn hm
c lng no:
2
| hay b
2
*
?
tr li cu hi ny, ta chng hai hnh ny ln nhau nh trn hnh (3.8)(c). R rng l mc d
2
| v b
2
*
u l khng thin lch, phn phi ca b
2
*
phn tn hn hay l tri rng hn so vi
phn phi ca
2
| xung quanh gi tr trung bnh. Ni cch khc, phng sai ca b

2
*
rng hn
phng sai ca
2
| . By gi, cho trc hai hm c lng, u l khng thin lch v tuyn tnh,
ta cn chn hm c lng vi phng sai nh hn v n s gn vi b
2
hn l hm thay th. Ni
gn hn, ta nn chn hm c lng khng thin lch tuyn tnh tt nht.(BLUE).

22
V d: c th cho rng mt kt hp tuyn tnh bt k ca b nh (b
1
-2b
2
), c th c c lng bi )
(
2 1
| | ,
v hm c lng ny l BLUE. Chi tit hn c th xem cun Introduction to Econometrics (Nhp mn Kinh t
lng) ca Henri Theil, Prentice Hall, Englewood Cliffs, New Jersey, 1978, trang 401-402.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
2
|
2 2
)
( | = | E
2
*
) (
2
| = | E
*
2
|
(a) Phan phoi mau cua |
2
(b) Phan phoi mau cua |
-
2
2
|
(c) Phan phoi mau cua |
2
va |
*
2
|
2
2
|
*
2
|

Cc tnh cht thng k m ta va tho lun c bit nh l cc tnh cht mu hu hn:
Cc tnh cht ny tha mn mong mun v c mu, trn nn tng ca cc hm c lng. Sau ny
ta s c dp xt cc tnh cht tim cn, ngha l cc tnh cht ch p dng nu c ca mu rt ln
(ngha l v hn). Mt s tho lun chung v cc tnh cht mu hu hn v mu ln ca cc hm
c lng c a vo ph lc A.
3.5 H S XC NH r
2
: I LNG O S THCH HP
Cho n gi ta cp n vn c lng cc h s hi quy, cc sai s chun ca chng, v
mt s tnh cht ca chng. By gi ta xt n s thch hp ca cc ng hi quy thch hp vi
b d liu ; nghi l, ta s tm ra rng ng hi quy mu s thch hp tt nh th no vi d
liu. T hnh 3.1 r rng l ta c th thu c s thch hp hon ho nu nh tt c cc quan st
Hnh 3.8
Phn phi mu ca hm c lng bnh phng ti thiu
thng thng
2
| v hm c lng thay th b
*
2


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
nm trn ng hi quy, nhng trng hp tht him. Ni chung, s c vi
i
u dng v vi
i
u
m. iu m ta hy vng l nhng phn d xung quanh ng hi quy ny s cng nh cng tt.
H s xc nh r
2
(trng hp hai bin) hay l R
2
(hi quy a bin) l i lng ch cho ta rng
ng hi quy mu thch hp tt nh th no vi d liu.
Trc khi ch r r
2
c tnh nh th no ta hy xt s gii thch c tnh khai ph i vi
r
2
bng th, l phng php th Venn, hay l Ballentine, nh trn hnh 3.9
23

Hnh 3.9
Quan im Ballentine i vi r
2
: (a) r
2
= 0; (f) r
2
= 1

Trong hnh ny vng trn Y tng trng cho bin thin trong bin ph thuc Y v vng X
tng trng cho bin thin trong bin gii thch X
24
. Vng chng ln nhau ca hai vng trn
(vng ti) ch r phm vi m bin thin trong Y c gii thch bi bin thin trong X (cho l
theo hng hi quy cc bnh phng ti thiu thng thng OLS). Phm vi vng chng ln cng
ln, bin thin trong Y c gii thch bi X cng ln. r
2
n gin l i lng o bng s cho
vng ti ny. Trong hnh, khi ta di chuyn t tri sang phi, vng ti tng dn ngha l t l bin
thin trong Y c gii thch bi X lin tc tng. Ni ngn hn, r
2
tng. Khi khng c vng ti, r
2

r rng bng 0, nhng khi vng ti hon chnh, r
2
bng 1, v 100% bin thin ca Y c
gii thch bi X. Ta thy ngn gn rng r
2
nm gia 0 v 1.
tnh r
2
, ta lm nh sau. Nhc li rng:

i i i
u Y Y
+ = (2.6.3)
hay l trong dng lch:

i i i
u y y + = (3.5.1)

23
Xem cun Ballentine: A Graphical Aid for Econometrics (Ballentine: Mt h tr bng th cho Kinh t lng)
ca Peter Kennedy, Australian Economics Papers, Vol. 20, 1981, 414-416. Tn gi Ballentine xut pht t huy hiu
bia Ballentine ni ting vi cc vng cu n.
24
Thut ng bin thin v phng sai l khc nhau. Bin thin l tng cc bnh phng ca lch gia bin s vi
gi tr trung bnh ca n. Phng sai l tng cc bnh phng chia cho bc t do thch ng. Ni ngn gn, phng sai
bng bin thin chia cho bc t do (df)


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
trong s dng (3.1.13) v (3.1.14). Bnh phng (3.5.1) cho c hai v v ly tng i vi
mu, ta c:

+ | =
+ =
+ + =
2 2 2
2
2 2
2 2 2

2
i i
i i
i i i i i
u x
u y
u y u y y
(3.5.2)
v 0 =
i i
u y (ti sao) v
i i
x y
2
| =
Cc tng khc nhau ca cc bnh phng xut hin trong (3.5.2) c th c m t nh
sau: = =

2
2
) ( Y Y y
i i
lch tng cng ca gi tr thc ca Y so vi trung bnh mu ca
chng, n c th c gi l tng bnh phng

ton phn (TSS).
= = = =

2 2
2
2
2
2
( )

(
i i i i
x Y Y Y Y y | chnh lch ca gi tr c lng ca Y vi trung
bnh ca chng )
( Y Y = , n c th c gi mt cch gn ng l tng ca cc bnh phng do

hi quy [ngha l do (cc) bin gii thch] hay l c gii thch bi hi quy, hay n gin tng
bnh phng gii thch c (tng bnh phng hi qui) (ESS).
=
2
i
u phn d hay l bin
thin khng gii thch ca gi tr Y vi ng hi quy, hay n gin l tng bnh phng phn
d (tng bnh phng sai s (RSS). V vy, (3.5.2) l:
TSS = ESS + RSS (3.5.3)
v ch ra rng, lch tng cng trong cc gi tr Y c quan st so vi gi tr trung bnh c th
c phn ra hai phn, mt phn l do ng hi quy v phn khc l do s bt buc ngu nhin
v khng phi tt c cc quan st thc t Y nm trn ng thch hp. Mt cch hnh hc, ta c
hnh 3.10:
By gi ta chia 2 v (3.5.3) cho TSS, ta c:

=
+ =
2
2
2
2
) (
) (
)
(
1
Y Y
u
Y Y
Y Y
TSS
RSS
TSS
ESS
i
i
i
i
(3.5.4)
Ta nh nghi r
2
l:

TSS
ESS
Y Y
Y Y
r
i
i
=
2
2
2
) (
)
(
(3.5.5)


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Hay ta c th vit
TSS
RSS
Y Y
u
r
i
i
=
1
) (
1
2
2
2
(3.5.5a)
Hnh 3.10
S chia bin thin ca Y
I
ra hai thnh phn

S lng r
2
c xc nh nh vy gi l h s xc nh v l i lng c s dng chung
o tnh thch hp tt ca ng hi quy. Bng li, r
2
o t s hay l phn trm ca lch tng
cng trong Y c gii thch bi m hnh hi quy.
Ta lu 2 tnh cht ca r
2
:
1. N l s khng m (Ti sao?)
2. Gii hn ca n 1 0
2
s s r . r
2
bng 1 ngha l hon ton ph hp, ngha l
i i
Y Y =
vi mi i.
u khc, r
2
= 0 ngha l d th no i na (ngha l 0
2
= | ) cng khng c lin quan gia
bin hi qui ph thuc v bin hi qui c lp. Trong trng hp ny, nh (3.1.9) ch r,
= cong tong Y Y
i
qui hoi Do Y Y
i
=
X
X
i
Y
0
d phan Do u
i
=
SRF: Ham Hoi qui mau
i
X
2 1
| + |
Y
i
i
Y


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Y Y
i
= =
1

| , ngha l, d bo tt nht ca gi tr Y bt k n gin l gi tr trung bnh ca n.
V vy, ng hi quy s l ng nm ngang so vi trc X.
Tuy r
2
c th c tnh trc tip t nh ngha trong (3.5.5), n c th tnh c nhanh
hn t cng thc sau:

|
|
.
|
\
|
=
=
=
=
2
2
2
2
2
2 2
2
2
2
2
i
i
i
i
i
i
y
x
y
x
y
y
TSS
ESS
r
|
|
(3.5.6)
Nu ta chia c t s v mu s ca (3.5.6) cho c mu n (hay n-1 nu c mu nh), ta c:

|
|
.
|
\
|
=
2
2
2
2
2
y
x
S
S
r | (3.5.7)
trong S
y
2
v S
x
2
tng ng l cc phng sai mu ca Y v X.
V

=
2
2
i i i
x y x | , phng trnh (3.5.6) c th biu th nh l

=
2 2
2
2
) (
i i
i i
y x
y x
r (3.5.8)
v biu thc trn c th tnh d dng.
Cho trc nh ngha r
2
, ta c th biu th ESS v RSS c tho lun trc y nh
sau:

=
=
2 2
2
i
y r
TSS r ESS
(3.5.9)

=
=
=
) 1 (
2 2
r y
i
ESS/TSS) - TSS(1
ESS TSS RSS
(3.5.10)
Do , ta c th vit:

+ =
+ =
2 2
2
2 2
) 1 (
i
i
i
y r y r y
RSS ESS TSS
(3.5.11)

biu thc m s rt b ch sau ny.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Y
X
Y
X
Y
X
r = -1
r = +1 r gan ti +1
(a) (b) (c)
r gan ti -1
(d) (e)
Y
X
r dng nhng
gan bang 0
Y
X
Y
X
r am nhng
gan bang 0
Y
X
(f)
r = 0
(g)
Y
X
(h)
Y = X
2
nhng r = 0
Gi tr bng s th quan h rt gn, nhng v khi nim, r
2
khc xa vi h s tng quan,
l i lng o bc kt hp gia hai bin (nh Chng 1 lu ). N cng c th tnh t biu
thc:

2
r r = (3.5.12)
hay t nh ngha

] ) ( ][ ) ( [
) )( (
) )( (
2
2 2 2
2 2

=
=
i i i i
i i i i
i i
i i
Y Y n X X n
Y X Y X n
y x
y x
r
(3.5.13)
c xem l h s tng quan mu
25

Mt vi tnh cht ca r nh sau (xem hnh 3.11):

Hnh 3.11
Cc kiu tng quan (theo Henri Theil, Nhp mn Kinh t lng,
Prentice Hall, Englewood Cliffs, N.J, 1978, trang 86)

25
H s tng quan tng th, c biu th bi c nh ngha trong ph lc A.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
1. r c th dng hoc m, du ca r ph thuc vo du ca s hng trong t s ca (3.5.13), o
ng phung sai mu ca hai bin.
2. r nm t 1 n +1 , ngha l 1 1 + s s r
3. Ban cht ca r l i xng ; ngha l h s tng quan gia X v Y (r
XY
) cng bng h s
gia Y v X (r
YX
).
4. r c lp i vi gc ta v cc t l; ngha l nu ta nh ngha X
i
*
= aX
i
+ c v Y
i
*
= bY
i

+ d, trong a > 0, b > 0 v c, d l hng s, th gia X
*
v Y
*
cng c mt gi tr r ging nh
gi tr r gia cc bin nguyn thy X v Y.
5. Nu X v Y l c lp theo quan im thng k (xem ph lc A c khi nim), h s tng
quan gia chng bng 0; nhng nu r = 0, iu khng c ngha l hai bin ny c lp. Ni
cch khc, h s tng quan zero khng ng l c tnh c lp (xem hnh 3.11(h)).
6. r ch l i lng o s kt hp tuyn tnh hay l ph thuc tuyn tnh; r khng c ngha
m t quan h phi tuyn tnh. V vy, trong hnh 3.11(h), Y = X
2
l mt quan h chnh xc
nhng r = 0. (Ti sao?)
7. Mc d r l i lng o s kt hp tuyn tnh gia hai bin, r khng ng l c bt k mi
lin quan nhn qu no, nh ta lu Chng 1.
Trong ni dung hi quy, r
2
l i lng c ngha hn r, n cho ta bit t l bin
thin trong cc bin ph thuc c gii thch bi (cc) bin gii thch v do , n cng cho ta
thc ton din ca phm vi m bin thin trong mt bin xc nh bin thin trong cc
bin khc: i lng sau khng th c cng gi tr
26
. Hn th na, nh ta s thy sau ny, vic
chng minh r (= R) trong m hnh hi quy a bin l gi tr hi m h. Tuy nhin ta s cn phi
ni nhiu v r
2
trong Chng 7
Nhn tin y, xin lu rng r
2
, nh nh ngha trn c th c tnh bng bnh phng
ca h s tng quan gia gi tr thc ca Y
i
v gi tr c lng ca Y
i
, gi l
i
Y
. Nghi l khi
s dng (3.5.13) ta c th vit:

=
2 2
2
2
)
( ) (
)]
)( ( [
Y Y Y Y
Y Y Y Y
r
i i
i i

Ngha l

=
) ( ) (
) (
2 2
2
2
i i
i i
y y
y y
r (3.5.14)
trong Y
i
= Y thc,
i
Y
= Y c lng, v Y Y
= = gi tr trung bnh ca Y. c thm bng

chng xin xem bi tp 3.15. Biu thc (3.5.14) chng minh rng r
2
l i lng o ca s thch
hp, v n ch r gi tr Y c lng s gn nh th no ti cc gi tr thc ca chng.

3.6 MT V D BNG S
Ta minh ha l thuyt kinh t lng c pht trin cho ti nay bi s xem xt hm gi
thit Keynes tho lun Phn Gii thiu. Nhc li l Keynes pht biu: Lut tm l

26
Trong vic m hnh cc hi quy, l thuyt nn tng s ch hng ca nguyn nhn gia Y v X, i lng l tng
qut t Y n X trong cc bi v cc m hnh phng trnh n gin.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
c bn ... l n ng [ph n] s sn sng, nh mt quy tc v v mt trung bnh, tng chi
tiu khi thu nhp ca h tng, nhng
BNG 3.2
D liu gi thit v mc chi tiu tiu dng
v thu nhp hng tun ca mt gia nh .
Y($) X($)
70 80
65 100
90 120
95 140
110 160
115 180
120 200
140 220
155 240
150 260

BNG 3.3
D liu th da trn Bng 3.2
Y
i
X
i
Y
i
X
i
2
i
X
X X
i

Y Y
i

2
i
x
i i
y x
i
Y

i i
Y Y

i i
u Y

(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11)
70 80 5600 6400 -90 -41 8100 3690 65.1818 4.8181 314.0524
65 100 6500 10000 -70 -46 4900 3220 75.3636 -10.3636 -781.0382
90 120 10800 14400 -50 -21 2500 1050 85.5454 4.4545 381.0620
95 140 13300 19600 -30 -16 900 480 95.7272 -0.7272 -69.6128
110 160 17600 25600 -10 -1 100 10 105.9090 4.0909 433.2631
115 180 20700 32400 10 4 100 40 116.0909 -1.0909 -126.6434
120 200 24000 40000 30 9 900 270 125.2727 -6.2727 -792.0708
140 220 30800 48400 50 29 2500 1450 136.4545 3.5454 483.7858
155 240 37200 57600 70 44 4900 3080 145.6363 8.3636 1226.4073
150 260 39000 67600 90 39 8100 3510 156.8181 -6.8181 -1069.2014

TC 1110 1700 205500 322000 0 0 33000 16800 1109.9995 0 0.0040
~1110.0 ~ 0.0

TB 111 170 nc nc 0 0 nc nc 110 0 0

5091 . 0
000 , 33 / 800 , 16
2
2
=
=
=
i
i i
x
y x
|

4545 . 24
) 170 ( 5091 . 0 111

2 1
=
=
= X Y | |

Lu : ~ ngha l xp x bng; nc c hiu l khng tnh c

khng nhiu nh l s gia tng trong thu nhp, ngha l xu hng cn bin i vi ngi
tiu dng (MPC) ln hn 0 nhng nh hn 1. Tuy Keynes cha ch r dng hm chnh xc
ca tng quan gia chi tiu v thu nhp, cho n gin, ta gi thit rng lin quan l
tuyn tnh nh trong (2.4.2). Nh cch kim nh ca hm tiu dng Keynes, ta s dng
d liu mu trong Bng 2.4, bng ny c ti to thnh Bng 3.2. D liu th cn c


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
thu c c lng ca cc h s hi quy, cc sai s chun ca chng v.v... c cho bi
Bng 3.3. D vo d liu th ny, ta c cc tnh ton nh sau v bn c nn kim tra li.
4545 . 24
1
= | 1370 . 41 )
var(
1
= | v 4138 . 6 )
(
1
= | se
5091 . 0
2
= | 0013 . 0 )
var(
2
= | v 0357 . 0 )
(
2
= | se
(3.6.1)

8 9809 . 0 9621 . 0
1591 . 42 2172 . 0 )
cov(
2
2
2 1
= = =
= =
df r r
o | |

Do ng hi quy c lng l:

i i
X Y 5091 . 0 4545 . 24
+ = (3.6.2)
c trnh by bng hnh hc trn hnh 3.12

Hnh 3.12
ng hi qui mu da trn d liu Bng 3.2

Tip theo Chng 2, hm hi quy mu SRF [Phng trnh (3.6.2)] v ng hi quy kt
hp c gii thch nh sau: mi im trn ng hi quy cho mt c lng ca gi tr trung
bnh hay gi tr k vng ca Y tng ng vi gi tr X chn; ngha l,
i
Y
l mt c lng ca
) (
i
X Y E . Gi tr ca 5091 . 0
2
= | o dc ca ng, ch ra rng, trong di mu ca cc gi tr
X nm gia 80 la v 260 la cho mi tun, khi X tng, cho l 1 la, th lng gia tng c
c lng mt cch trung bnh hng tun v chi tiu tiu dng s vo khong 51 cent. Gi tr
4545 . 24
11
) (Y
170
) ( X
i i
X Y 5091 . 0 4545 . 24
+ =
1
5091 . 0
2
= |
X
Y


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
4545 . 24
1
= | l tung gc ca ng, ch mc chi tiu tiu dng trung bnh hng tun khi m
thu nhp hng tun bng 0. Tuy nhin, y l s gii thch mt cch my mc s hng tung
gc. Trong php phn tch hi quy, kiu gii thch theo ngha en ca s hng tung gc nh th
ny khng phi lc no cng c ngha, mc d trong v d hin ti, n c th c lp lun rng
mt gia nh khng c bt c thu nhp no (do tht nghip, do b sa thi,...) c th duy tr mc chi
tiu tiu dng ti thiu hoc l t vay mn, hoc l t tit kim. Nhng ni chung, ngi ta cn
phi s dng nhy cm chung trong vic gii thch s hng tung gc i vi c di mu ca
cc gi tr X vn c th khng bao gm s 0 nh l mt trong cc gi tr quan st.
C l, tt nht l gii thch s hng tung gc nh tr trung bnh hay l nh hng trung
bnh ln Y ca tt c cc bin c b qua t m hnh hi quy. Gi tr r
2
bng 0.9621 ngha l
khong 96 phn trm bin thin trong chi tiu tiu dng hng tun c gii thch bi thu
nhp. Khi r
2
c th gn nh bng 1, gi tr r
2
c c t mu quan st cho thy rng ng hi
quy mu thch hp rt tt vi d liu
27
. H s tng quan 0.9809 ni ln rng hai bin chi tiu
tiu dng v thu nhp tng quan ng bin cao. Cc sai s mu c c lng ca cc h s
tng quan s c gii thch trong Chng 5.
3.7 CC V D MINH HA
S tiu th C ph M nm 1970-1980
Xt d liu cho trong Bng 3.4
28

T mn kinh t vi m, ta bit rng nhu cu i vi mi loi hng ni chung ph thuc
vo gi hng , cc gi ca cc hng khc ang cnh tranh hay l b sung i vi hng , v
thu nhp ca ngi tiu dng. ghp tt c cc bin ny vo hm nhu cu, ta cho rng d liu
c, i hi ta phi tin ti m hnh hi quy a bin. Chng ta cn cha c chun b cho bc
ny. Do , iu m ta s lm l gi thit mt hm cu ring phn (cc yu t khc c gi cho
khng i), trong lng cu ch lin quan vi gi ca chnh n. V lc ny, ta gi s rng cc
bin khc nhp vo hm cu u l hng s.

BNG 3.4
Tiu th c ph M (Y) trong tng quan vi
gi bn l thc t trung bnh (X)
*
, 1970-1980.
Nm
Y
(s tch 1 ngi ung
mi ngy)
X
($ mi lb)
1970 2.57 0.77
1971 2.50 0.74
1972 2.35 0.72
1973 2.30 0.73
1974 2.25 0.76
1975 2.20 0.75
1976 2.11 1.08
1977 1.94 1.81
1978 1.97 1.39
1979 2.06 1.20

27
Cch kim nh chnh thc i vi mc ngha ca r
2
s cp Chng 8.
28
Ti bit n Scott E.Sandbergv thu thp cc d liu ny.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
1980 2.02 1.17
*Lu : gi danh ngha c ly t ch s gi tiu dng (CPI)
cho thc phm v ung , 1967=100
Ngun: D liu Y ly t tm lc ca cng trnh nghin cu
Quc gia v ung C ph, Nhm d liu, Elkins Park, Penn.,
1981 v d liu v X danh ngha (ngha l X tnh theo gi hin
ti) ly t Niealsen Food Index A.C.Nielsen, New York,
1981.

Sau nu ta dng m hnh tuyn tnh hai bin lm thch hp vi d liu cho trong
Bng 3.4, ta thu c cc kt qu nh sau (bn in t my tnh SAS cho trong ph lc 3A,
Phn 3A.7)

6628 . 0
01656 . 0 ; 01140 . 0 )
( ; 0129 . 0 )
var(
1216 . 0 )
( ; 0148 . 0 )
var(
4795 . 0 6911 . 2
2
2
2 2
1 1
=
= = =
= =
=
r
se
se
X Y
t t
o | |
| |
(3.7.1)
C th gii thch hi quy c c lng nh sau: nu gi bn l trung bnh thc t ca
mt pound c ph tng, cho l 1 la, lng c ph tiu th trung bnh trong ngy s k vng
gim trong khong mt na tch. Nu gi c ph l 0, lng c ph k vng tiu th trung bnh
cho mi ngi s lvo khong 2.69 tch trong mt ngy. ng nhin, nh ni trc y, a
phn ta khng th gn bt k ngha vt l no vo tung gc. Tuy nhin, hy nh rng thm ch
nu gi c ph bng 0, con ngi cng khng th s dng lng c ph qu mc do cc nh
hng xu ca cafein ti sc khe. Gi tr r
2
c ngha l vo khong 66 phn trm bin thin
ca mc tiu th c ph cho mi ngi mi ngy c gii thch bi bin thin trong gi bn
l ca c ph.
M hnh m ta va lm thch hp vi d liu c tnh thc t nh th no? Lu rng n
khng bao gm tt c cc bin lin quan, ta khng th ni rng n l hm cu hon chnh v c
ph. M hnh n gin c chn cho v d ny ng nhin ch l cho mc ch s phm ti giai
on ny trong qu trnh nghin cu ca chng ta. Trong Chng 7, ta s gii thiu hm cu hon
chnh hn. (Xem bi tp 7.23, cho ta hm cu v tiu dng g M).
Hm tiu th Keynes cho Hoa K , 1980-1991.
Tr la vi d liu trong Bng I.1 ca Phn Gii thiu. Trn nn tng ca d liu ny, hi quy
bnh phng ti thiu thng thng OLS c c lng, trong Y i din cho chi tiu tiu
dng c nhn (P.C.E) tnh bng t la nm 1987 v X i din cho Tng sn phm ni i
(GDP), mt i lng o mc thu nhp , tnh bng t la nm 1987 (cc kt qu thu c khi s
dng SHAZAM
TM
kiu 7.0 ):

9909 . 0
02175 . 0 )
( ; 9453 . 0 )
(
71943 . 0 80 . 231
2
2 1
=
= =
+ =
r
se se
X Y
t t
| | (3.7.2)
Nh cc kt qu ny cho thy, trong thi gian t 1980-1991 s chi tiu tiu dng trung bnh tng
trong khong 72 cent cho 1 la tng ca GDP; ngha l, xu hng cn bin i vi tiu dng
(MPC) bng khong 72 cent. Gii thch theo ngha en, gi tr tung gc khong -232 cho thy


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
rng khi GDP bng 0, mc chi tiu tiu dng trung bnh s vo khong 232 t la. Mt ln na
s gii thch my mc nh th ny v tung gc khng th to ra cm nhn v kinh t no trong
trng hp ny v n ngoi dy gi tr m ta quan tm n, v do n khng th i din cho
kt qu thc t. Gi tr r
2
vo khong 0.99 ngha l GDP gii thch khong 99% ca lch trong
chi tiu tiu dng trung bnh, l gi tr cao.
Tuy gi tr r
2
cao, ngi ta thng hay hi: Liu hm tiu dng Keynes n gin kia c
phi l m hnh thch hp gii thch c cu s chi tiu tiu dng M. i khi, cc m hnh
hi quy rt n gin (2 bin ) c th cho thng tin b ch. Cc c lng ca xu hng cn bin
i vi tiu dng (MPC) cho Hoa K da trn cc m hnh phc tp cng ch ra rng MPC vo
khong 0.7. Nhng ta s phi ni nhiu hn v m hnh y trong chng sau.

3.8. KT QU CA MY VI TNH I VI HM CU V C PH
Nh lu phn gii thiu, trong sut cun sch ny, ta s s dng my vi tnh nhiu tr
li cho cc v d minh ha cho bn c quen vi mt vi chng trnh hi quy. Trong ph lc
C ta s tho lun chi tit v vi chng trnh ny. Cc v d minh ha trong cun sch ny s s
dng mt hay vi chng trnh ny. i vi hm cu c ph, kt qu my vi tnh SAS c trnh
by trong Ph lc 3A, Phn 3A.7.
3.9 LU V CC TH NGHIM MONTE CARLO
Trong chng ny, ta r rng di cc gi thit v cc mu hi quy tuyn tnh c in cc hm
c lng bnh phng ti thiu c cc c tnh thng k mong mun nht nh c tm lc
trong tnh cht BLUE. Trong Ph lc ca Chng ny, ta s chng minh tnh cht ny mt cch
chnh thc hn. Nhng trong thc t, lm sao ngi ta bit cc tnh cht trn p dng nh th
no? V d nh lm th no tm ra cc hm c lng bnh phng ti thiu thng thng l
khng b thin lch? Li gii p cho cu hi ny l ci gi l cc th nghim Monte Carlo, v
bn cht l cc m phng hay ly mu hay th nghim bng my vi tnh.
gii thiu tng c bn, ta xt hm hi quy tng th hai bin PRF:

i i i
u X Y + + =
2 1
| | (3.9.1)
Th nghim Monte Carlo tin hnh nh sau:
1. Gi s rng cc gi tr thc ca cc thng s nh sau: b
1
= 20 v b
2
= 0.6.
2. Bn chn c mu n, cho l n = 25
3. Bn c nh cc gi tr ca X cho mi quan st. Trong tt c cc quan st bn c 25 gi tr
X.
4. Gi s bn ly mt bng s ngu nhin, chn 25 gi tr, v gi chng l u
i
(hin nay hu ht
cc phn mm thng k u c xy dng cc b phn pht s ngu nhin)
29
.
5. Khi bit b
1
, b
2
, X
i
v u
i
,s dng (3.9.1) ta s c 25 gi tr Y
i

29
Trong thc t, ngi ta cho rng u
i
tun theo phn phi xc sut no , gi s l phn phi chun, vi cc thng s
no (v d nh tr trung bnh v phng sai). Mt khi cc thng s c xc nh, ngi ta c th d dng pht
ra u
i
khi s dng cc phn mm thng k.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
6. By gi, ta s dng 25 gi tr Y
i
sinh ra, ta hi quy chng trn 25 gi tr X c chn
bc 3, thu c
1
| v
2
| cc hm c lng bnh phng ti thiu.

7. Gi s bn lp li th nghim ny 99 ln, mi ln li s dng cng gi tr b
1
, b
2
v cc X.
ng nhin, cc gi tr u
i
s khc nhau ti cc th nghim khc nhau. Do bn c tt c 100
th nghim th chng sinh ra 100 gi tr ca mi b
1
v b
2
. (Trong thc t, nhiu th nghim nh
th ny c thc hin, c khi ti 1000 hay 2000 )
8. Bn ly trung bnh cng ca 100 c lng ny v gi chng l
1
| v
2
| .
9. Nu cc gi tr trung bnh ny gn ging vi cc gi tr thc ca b
1
v b
2
gi thit trong
bc 1, th nghim Monte Carlo ny thit lp rng cc hm c lng bnh phng ti
thiu l khng thin lch. Nhc li rng di m hnh hi quy tuyn tnh c in
1 1
)
( | = | E
v
2 2
)
( | = | E .
Cc bc ny c trng cho bn cht chung ca cc th nghim Monte Carlo. Cc th nghim
kiu ny thng c s dng nghin cu cc tnh cht thng k ca cc phng php c
lng thng s tng th khc nhau. Chng rt c ch nghin cu din bin cc hm c lng
trong cc mu nh hay cc mu hu hn. Cc th nghim ny cng l phng tin cc k tt
a v khi nim ly mu lp li, nn tng ca hu ht cc kt lun thng k c in, nh ta s
thy trong Chng 5. Chng ti s cung cp nhiu v d th nghim Monte Carlo trong cc bi
tp cho trn lp. (Xem bi tp 3.26).
3.10 TM TT V KT LUN:
Cc mc v khi nim quan trng c pht trin trong chng ny c th c tm tt
li nh sau:
1. Ci khung c bn ca php phn tch hi quy l m hnh hi quy tuyn tnh c in
(CRLM).
2. Cc m hnh hi quy tuyn tch c in da trn mt tp hp cc gi thit.
3. Da trn cc gi thit ny, cc hm c lng bnh phng ti thiu c cc tnh cht nht
nh, cc tnh cht ny c tm tt trong nh l Gauss-Markov, pht biu rng trong
nhm cc hm c lng khng thin lch tuyn tnh, cc hm c lng cc bnh phng ti
thiu c phng sai nh nht. Ngn gn hn, chng l cc hm c lng khng thin lch
tuyn tnh tt nht (BLUE).
4. Tnh chnh xc ca cc hm bnh phng ti thiu thng thng OLS c o bi cc sai s
chun. Trong Chng 4 v 5 ta s thy cc sai s chun a ta n vic rt ra cc suy din v
cc thng s tng th, cc h s b, nh th no.
5. thch hp ton din ca m hnh hi quy c o bi h s xc nh r
2
. N ch ra t l
m bin thin trong mi bin ph thuc hay l cc bin hi qui ph thuc c gii thch
bi cc bin gii thch, bi cc bin hi qui c lp. i lng r
2
ny nm gia 0 v 1; r
2
cng
gn ti 1 thch hp cng tt.
6. Khi nim lin quan n h s xc nh l h s tng quan r. N l i lng o s kt hp
tuyn tnh gia hai bin v n nm gia 1 v +1.

BNG 3.5
iu g s xy ra nu cc gi thit v m hnh hi quy tuyn tnh c in b vi phm?

S th t ca Loi vi phm Nghin cu u ?


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
gi thit
1 Phi tuyn tnh trong cc thng s Khng c trong sch ny
2 bin hi qui c lp ngu nhin Gii thiu cho Phn II
3 Gi tr trung bnh ca u
i
khc 0 Gii thiu cho Phn II
4 Phng sai ca sai s thay i Chng 11
5 Cc nhiu t tng quan Chng 12
6 ng phng sai ca cc nhiu v bin hi qui c
lp khc 0
Gii thiu cho Phn II v Phn IV
7 Cc quan st mu nh hn s cc bin hi qui c
lp
Chng 10
8 Tnh bin thin khng hiu qu trong cc cc bin
hi qui c lp
Chng 10
9 thin lch c trng Chng 13,14
10 a cng tuyn Chng 10
11
*
Tnh khng theo qui lut chun ca cc nhiu Gii thiu cho Phn I
* Lu : Gi thit rng cc nhiu u
i
phn phi chun khng phi l mt phn ca CLRM. Nhng c th
bit nhiu hn trong Chng 4.

7. M hnh hi quy tuyn tnh c in CLRM l php xy dng l thuyt hay l s tru tng
bi v n da trn tp hp cc gi thit c th l rt nghim ngt hoc khng thc t. Nhng
php tru tng th ny l lun cn thit trong cc giai on u tin bc vo con ng tm
hiu bt c lnh vc no cu kin thc. Mt khi CLRM c lp ra, ngi ta c th bit
c iu g xy ra nu mt hoc vi gi thit ca n khng c tha mn. Phn u ca
cun sch ny ginh cho vic tm hiu m hnh hi quy tuyn tnh c in. Trong cc phn
khc ca sch l vic xem xt cc ci tin ca CLRM. Bng 3.5 cho ta bn ng i ti
pha trc.

BI TP
Cc cu hi
3.1. Cho trc cc gi thit trong ct 1 ca bng sau, hy ch ra rng cc gi thit trong ct 2
l tng ng vi chng
Cc gi thit ca m hnh c in
(1) (2)
2
) var(
, 0 ) , cov(
0 ) (
o =
= =
=
i i
j i
i i
X u
j i u u
X u E

2
2 2
) var(
, 0 ) , cov(
) (
o
| |
=
= =
+ =
i i
j i
i i
X Y
j i Y Y
X X Y E

3.2. Chng minh rng cc c lng 572 . 1
1
= | v 357 . 1
2
= | c s dng trong th
nghim 1 Bng 3.1 chnh l cc hm c lng bnh phng ti thiu thng thng
OLS.
3.3. Theo Malinvaud (xem ch thch 11), cc gi thit E( u
i
| X
i
) = 0 l v cng quan trng.
thy iu , xt hm hi qui tng th PRF Y
i
= b
1
+ b
2
X
i
+ u
i
. By gi hy xt 2
trng hp: (i) b
1
= 0, b
2
= 1; v E(u
i
) = 0; v (ii) b
1
= 1,


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
b
2
= 0; v E(u
i
) = (X
i
1). By gi ta hy ly gi tr d tnh ca hm PRF c iu kin
theo vi X trong 2 trng hp trn v ta xem liu c th ng vi Malinvaud v ngha
ca gi thit E( u
i
| X
i
) = 0 hay khng .
3.4. Xt hi quy mu:
i i i
u X Y

2 1
+ | + | =
t cc gii hn (i) 0 =
i
u v (ii) 0 =
i i
X u , xc nh c cc hm c lng
1
| v
2
| v ch ra rng chng l ng nht vi cc hm c lng bnh phng ti thiu cho

trong (3.1.6) v (3.1.7). Phng php xc nh cc hm c lng ny c gi l
nguyn tc tng t. Hy cho mt s bin gii bng trc gic i vi cc gii hn c
p t (i) v (ii). (Gi : Hy nhc li cc gi thit m hnh hi quy tuyn tnh c in
CLRM v u
i
). Nhn y, lu rng nguyn tc tng ng v vic c lng cc thng
s cha bit cng c gi l phng php cc momen m trong cc momen mu
(v d trung bnh mu) c s dng c lng cc momen tng th (v d trung bnh
tng th). Nh c lu Ph lc A, momen l mt tr thng k tng hp ca phn
phi xc sut, nh l cc gi tr k vng v phng sai.
3.5. Chng t rng r
2
c nh ngha trong (3.5.5) bin i gia 0 v 1. Bn c th s dng
bt ng thc Cauchy-Schwaze, cho rng i vi cc bin X v Y ngu nhin mi quan h
sau l ng:
| | ) ( ) ( ) (
2 2 2
Y E X E XY E s
3.6. Gi
YX
|
v
XY
|
l cc dc trong hi quy tng ng ca Y trn X v ca X trn Y.

Hy ch ra rng :
2

r
XY YX
= | |
trong r l h s tng quan gia X v Y.

3.7. Trong bi tp 3.6 gi s rng 1

= | |
XY YX
. iu g s xy ra nu ta hi quy Y trn X hay l
hi quy X trn Y? Hy gii thch mt cch chi tit.
3.8. H s tng quan dy sp hng ca Spearman r
s
c nh ngha nh sau:
) 1 (
6
1
2
2
=

n n
d
r
s

trong d = khc bit trong cc hng c quy cho c th hay hin tng ging
nhau.
n = s lng cc c th hay l cc hin tng c sp hng
r
s
c ly t r c xc nh trong (3.5.13). Gi : Sp hng cc gi tr X v Y t 1
n n. Lu rng tng ca cc hng ca mi X v Y l n(n+1)/2 v do cc gi tr trung
bnh ca chng l (n+1)/2.
3.9. Xt cc cng thc sau ca hm PRF hai bin:
M hnh 1:
i i i
u X Y + | + | =
2 1


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
M hnh 2:
i i i
u X X Y + o + o = ) (
2 1

a. Tm cc hm c lng b
1
v o
1.
Chng c ng nht khng? Phng sai ca chng
c ng nht khng?
b. Tm cc hm c lng b
2
v o
2
. Chng c ng nht khng? Cc phng sai cu
chng c ng nht khng?
c. M hnh II c li th i vi m hnh 1 khng ? Nu c th l li th g ?
3.10. Gi s bn ang tin hnh hi quy sau:
i i i
u x y

2 1
+ | + | =
trong , nh thng l, y
i
v x
i
l cc lch so vi cc gi tr trung bnh tng ng ca
chng. Gi tr
1
| s nh th no? Ti sao?
2
| c ging nh i lng thu c t

phng trnh (3.1.6) khng? Ti sao?
3.11. Cho r
1
= h s tng quan gia n cp gi tr (Y
i
, X
i
) v r
2
= h s tng quan gia n cp
gi tr (aX
i
+ b, cY
i
+ d) trong a, b, c, d l hng s. Chng t rng r
1
= r
2
v do hy
thit lp nguyn tc cho rng h s tng quan l bt bin theo s thay i ca thang t
l v thay i ca gc ta .
Gi : ng dng nh ngha v r cho trong (3.5.13).
Lu : Cc ton t aX
i
, X
i
+ b

v aX
i
+ b c gi tng ng l thay i v thang
t l, thay i gc ta v thay i c thang t l ln gc ta .
3.12. Nu r, h s tng quan gia n cp gi tr ( X
i
,Y
i
) l dng, th hy xc nh cc pht biu
sau y l ng hay sai:
(a) r gia (-X
i
, -Y
i
) cng c gi tr dng.
(b) r gia ( -X
i
, Y
i
) v r gia (X
i
, -Y
i
) c th hoc dng hoc m.
(c) C hai h s dc ca b
yx
v b
xy
u c gi tr dng, trong b
yx
= h s dc
trong hi quy ca Y trn X v b
xy
= h s dc trong hi quy ca X trn Y.
3.13. Nu X
1
, X
2
v X
3
l cc bin khng tng quan mi bin c lch chun nh nhau. Hy
chng t rng h s tng quan gia X
1
+ X
2
v X
2
+ X
3
bng . Ti sao h s tng quan
li khc 0?
3.14. Trong hi quy Y
i
= b
1
+ b
2
X
i
+ u
i
gi s rng ta nhn gi tr ca mi X vi hng s, gi
s l 2. N c lm thay i cc phn d v gi tr Y khng? Gii thch. S ra sao nu ta
thm gi tr hng s, cho l 2, vo mi gi tr X ?
3.15. Hy chng t rng (3.5.14) thc cht l o h s xc nh. Gi : p dng nh ngha r
cho bi (3.5.13) v nhc li rng

= + =
2
) (
i i i i i i
y y u y y y v nh biu thc (3.5.6)
Cc vn
3.16. Bn c cho dy sp hng im thi gia k v cui k ca 10 sinh vin v mn thng
k. Hy tnh h s Spearmans ca tng quan sp hng v gii thch.
Sinh vin


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Dy A B C D E F G H I J
Gia K 1 3 7 10 9 5 4 8 2 6
Cui K 3 2 8 7 9 6 5 10 1 4
3.17. Bng sau y cho bit d liu v t l b vic vi mi 100 cng nhn trong sn xut v t
l tht nghip trong sn xut, Hoa K trong giai on 1960-1972.
Lu y: thut ng b vic ch nhng ngi t nguyn b vic.
T l tht nghip v b vic trong sn xut
Hoa K, nm 1960-1972.
T l b vic trong T l tht nghip
Nm 100 cng nhn, Y (%), X
1960 1.3 6.2
1961 1.2 7.8
1962 1.4 5.8
1963 1.4 5.7
1964 1.5 5.0
1965 1.9 4.0
1966 2.6 3.2
1967 2.3 3.6
1968 2.5 3.3
1969 2.7 3.3
1970 2.1 5.6
1971 1.8 6.8
1972 2.2 5.6
Ngun: Bo co ngun nhn lc ca tng thng, 1973, Cc Bng C-10
v A-18.
(a) V cc d liu ln th phn tn.
(b) Gi s rng t l b vic Y tng quan tuyn tnh vi t l tht nghip X nh l Y
i
= b
1

+ b
2
X
i
+ u
i
. Xc nh b
1
, b
2
v cc sai s chun ca chng.
(c) Tnh r
2

v r.
(d) Gii thch cc kt qu ca bn.
(e) V cc phn d
i
u . Bn rt ra iu g t cc phn d ny?
(f) Bng cch s dng s liu hng nm cho giai on 1966-1978 v bng cch s dng
m hnh nh trong (b) trn, ta c th thu c kt qu sau :
i i
X Y 1714 . 0 1237 . 3
=
00210 )
(
2
= | se v 8575 . 0
2
= r
Nu cc kt qu ny khng ging vi nhng g ta c (b), bn c th gii thch nh
th no cho s khc bit y.
3.18. Da trn mt mu ca 10 quan st, ta c cc kt qu sau:
=1110
i
Y
=1700
i
X
= 500 , 205
i i
Y X

= 000 , 322
2
i
X
= 100 , 132
2
i
Y


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
vi h s tng quan r = 0.9758. Nhng khi kim tra li cc tnh ton ny, ta thy hai cp
quan st c ghi nh sau :
Y X Y X
90 120 thay v 80 110
140 220 150 200
Sai s ny s nh hng nh th no ln r ? Hy tm r ng.
3.19. Bng sau y cho ta d liu v gi vng, ch s gi tiu dng (CPI), v ch s trao i c
phiu New York (NYSE) M cho giai on 1977-1991. Ch s NYSE bao gm hu
ht cc c phiu lit k trong cc NYSE, c khong 1500 gi tr.
Gi vng
New York
Ch s gi tiu th
(CPI),
Ch s trao i c phiu
New York (NYSE),
Nm $ cho 1 troy ounce 1982-84=100 31 thng 12-1965=100
1977 147.98 60.6 53.69
1978 193.44 65.2 53.70
1979 307.62 72.6 58.32
1980 612.51 82.4 68.10
1981 459.61 90.9 74.02
1982 376.01 96.5 68.93
1983 423.83 99.6 92.63
1984 360.29 103.9 92.46
1985 317.30 107.6 108.90
1986 367.87 109.6 136.00
1987 446.50 113.6 161.70
1988 436.93 118.3 149.91
1989 381.28 124.0 180.02
1990 384.08 130.7 183.46
1991 362.04 136.2 206.33
Ngun: D liu trn ch s CPI v NYSE ly t bo co kinh t ca tng thng, thng 1/93.
tng ng bng B-59 v B-91. Gi vng th ly t Phng Thng mi Hoa K, Vn phng phn
tch Kinh t, Thng k kinh doanh, 1963-1991, trang 68.
(a) Trn cng mt th phn tn, v th ch s gi vng , CPI v NYSE.
(b) Mt vic u t c cho l hng ro ngn lm pht nu gi vng hay l sut thu li
ca vic u t t ra cng km gi c nhp lm pht. kim nh gi thit ny,
gi s bn bn quyt nh lm thch hp bng m hnh sau y, v gi thit rng
th trong (a) gi rng m hnh thch hp l:
Gi vng
t
= |
1
+ |
2
CPI
t
+ u
t

Ch s NYSE
t
= |
1
+ |
2
CPI
t
+ u
t

Nu gi thit l ng, ta c th k vng g v gi tr |
2
.
(c) Hng ro no chng li lm pht tt hn? Gi vng hay th trng chng khon?
3.20. Lm cho m hnh tuyn tnh thch hp vi cc d liu tng quan n ch s gi tiu
dng v cung tin Nht cho giai on qu 1/1988 n qu 2/1992, v bnh lun cc kt
qu thu c ca bn.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Gi tiu dng v cung tin Nht cho giai on
qu 1/1988 n qu 3/1992
Nm v qu CPI Ch s gi tiu dng
(1985 = 100)
Lng tin (M
1
)
(t yn)
1988-1 101.0 101,587
1988-2 101.1 102,258
1988-3 101.6 104,653
1988-4 102.1 107,561
1989-1 102.1 109,525
1989-2 103.7 108,442
1989-3 104.4 109,176
1989-4 104.7 107,660
1990-1 105.7 111,600
1990-2 106.3 111,929
1990-3 107.1 112,753
1990-4 108.5 112,155
1991-1 109.7 113,150
1991-2 109.9 115,827
1991-3 110.5 120,718
1991-4 111.5 125,891
1992-1 111.7 123,589
1992-2 112.4 125,583
1992-3 112.5 126,816
Ngun: Ngn hng d tr lin bang ca St.Louis, Cc iu kin Kinh t
Quc t thng 2/1993, trang 26,28.
3.21. Bng sau y cho d liu v s lng my in thoi cho 1000 ngi (Y) v cho tng sn
phm ni a theo u ngi (GDP), ti mc gi c cu (X) (tnh theo ng la
Singapore nm 1968), Singapore trong khong thi gian 1960-1981. C mi quan h g
gia hai bin trn hay khng? Lm th no bn bit c?
S s hu my in thoi v ch s GDP theo u ngi
Ti Singapore, 1960-1981
Nm
Y
X Nm Y X
1960 36 1299 1971 90 2723
1961 37 1365 1972 102 3033
1962 38 1409 1973 114 3317
1963 41 1549 1974 126 3487
1964 42 1416 1975 141 3575
1965 45 1473 1976 163 3784
1966 48 1589 1977 196 4025
1967 54 1757 1978 223 4286
1968 59 1974 1979 262 4628
1969 67 2204 1980 291 5038
1970 78 2462 1981 317 5472
Ngun: Lim Chong-Yah, Economic Restructuring in Singapore (Cu trc li Kinh t
Singapore), Federal Publications, Pvt Ltd., 1984, trang 110-113
3.22. Bng sau cho bit tng gi tr sn phm ni a (GDP) Hoa K cho cc nm 1972-1991


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Tng gi tr sn phn ni a (GDP) tnh theo la hin hnh
v la 1987, nm 1972-1991
GDP GDP
Nm ( la hin hnh, t ) ( la 1987, t )
1972 1207.0 3107.1
1973 1349.6 3268.6
1974 1458.6 3248.1
1975 1585.9 3221.7
1976 1768.4 3380.8
1977 1974.1 3533.3
1978 2232.7 3703.5
1979 2488.6 3796.8
1980 2708.0 3776.3
1981 3030.6 3843.1
1982 3149.6 3760.3
1983 3405.0 3906.6
1984 3777.2 4148.5
1985 4038.7 4279.8
1986 4268.6 4404.5
1987 4539.9 4539.9
1988 4900.4 4718.6
1989 5250.8 4838.0
1990 5522.2 4877.5
1991 5677.5 4821.0
Ngun: Bo co Kinh t ca Tng thng, thng 1/1993, Bng B-1 v B-2, trang 348-349.
(a) V th GDP bng la hin hnh v la khng i (nm 1987) theo thi gian.
(b) Gi Y l GDP, X l thi gian (theo chiu thi gian bt u t 1 cho nm 1972, 2 cho
1973 cho n 20 cho nm 1991), v hy xem m hnh sau c thch hp vi d liu
GDP khng:
Y
t
= |
1
+ |
2
X
t
+ u
t

c lng m hnh ny cho c GDP theo la hin hnh v la khng i.
(c) Bn c th gii thch |
2
nh th no?
(d) Nu c mt s khc bit gia |
2
c c lng cho GDP theo la hin hnh v |
2

c lng cho GDP la khng i, iu g gii thch s khc bit ?
(e) T kt qu ca mnh, bn c th ni g v bn cht ca s lm pht Hoa K qua
nhng thp nin mu?
3.23. Dng d liu cho Bng I.1 ca Phn gii thiu , kim chng li phng trnh (3.7.2)
3.24. Vi v d S.A.T cho trong bi 2.16, hy thc hin nhng cng vic sau:
(a) V th th hin im vn p ca n theo im vn p ca nam.
(b) Nu th phn tn gi rng quan h tuyn tnh gia hai i lng hu nh thch
hp, hy tm hi quy ca im vn p ca n trn im vn p ca nam.
(c) Nu c mt mi lin h gia hai im vn p, th y c phi l quan h nhn qu
khng?
3.25. Cng ging nh bi tp 3.24 nhng thay im vn p bng im Ton.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
3.26. Bi tp trn lp v nghin cu Monte Carlo:
Tham kho 10 gi tr X cho trn Bng 3.2, coi |
1
= 25 v |
2
= 0.5. Gi s u
i
~N(0,9),
ngha l u
i
tun theo phn phi chun vi gi tr trung bnh bng 0 v phng sai bng 9.
Hy pht ra 100 mu, bng cch s dng cc gi tr ny s thu c 100 c lng ca |
1

v |
2
. V th cc gi tr c lng ny. Bn rt ra c kt lun g t nghin cu
Monte Carlo? Lu : Hu ht cc phn mm thng k hin nay u c th pht ra cc
bin ngu nhin t hu ht cc phn phi xc sut ni ting. Hy nh thy hng dn bn
trong trng hp bn gp kh khn khi mun to ra cc bin nh th.

PH LC 3A..

3A.1 O HM CA CC C LNG BNH PHNG TI THIU.
Ly vi phn (3.1.2) tng phn theo
1
| v
2
| , ta c:

= =
c
c
i i i
i
u X Y
u
2 )

( 2
) (
2 1
1
2
| |
|
(1)

= =
c
c
i i i i i
i
X u X X Y
u
2 )

( 2
) (
2 1
2
2
| |
|
(2)
Cho phng trnh ny bng 0, sau cc qu trnh bin i i s, s cho ta cc hm c lng
cho trong phng trnh (3.1.6) v (3.1.7)
3A.2. CC TNH CHT TUYN TNH V KHNG THIN LCH CA CC HM
C LNG BNH PHNG TI THIU
T (3.1.8) ta c:

= =
i i
i
i i
Y k
x
Y x
2
2
| (3)
trong :

=
) (
2
i
i
i
x
x
k
chng t rng
2
| l hm c lng tuyn tnh bi v l hm tuyn tnh ca Y; thc ra n l

trung bnh trng s ca Y
i
vi k
i
ng vai tr nh l trng s. Bng cch tng t n c th c
ch ra rng
1
| cng l hm c lng tuyn tnh.

Nhn y, hy lu cc tnh cht ca cc trng s k
i
:
1. V X
i
gi s l khng ngu nhin, k
i
cng l khng ngu nhin.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
+ =
+ + =
+ + =
i i
i i i i i
i i i
u k
u k X k k
u X k
2
2 1
2 1 2
) (
|
| |
| | |
2
2 2
) ( )
(
|
| |
=
+ =
i i
u E k E
2.
= 0
i
k
3.

=
2 2
/ 1
i i
x k
4.

= = 1
i i i i
X k x k . Cc tnh cht ny c th c kim chng trc tip t nh ngha ca
k
i
.

V d:

, 0
,
1
2 2
=
=
|
|
.
|
\
|
=

i
i i
i
i
x
x x
x
k

By gi ta th hm hi quy tng th Y
i
= |
1
+ |
2
X
i
+ u
i
vo (3) thu c
(4)

trong ng dng cc tnh cht ca k
i
nh lu trc y.
By gi ly k vng ca (4) trn c 2 v v lu rng k
i
khng ngu nhin, n c th c
x l nh mt hng s, ta c:
(5)

v theo gi thit E(u
i
) = 0. Do
2
| l hm c lng khng thin lch ca |

2
. Tng t nh
vy, c th chng minh rng
1
| cng l hm c lng khng thin lch ca |

1
.

3A.3 CC PHNG SAI V SAI S CHUN CA CC HM C LNG BNH
PHNG TI THIU
By gi,theo nh ngha phng sai, ta vit:
v i vi mt mu cho trc,
2
i
x bit
v
i
x (tng cc lch i vi gi tr
trung bnh) lun bng 0.
v
s dng phng trnh (4)
trn


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

| |
( )
) 2 2 (
,
)
( , )
(
)
var(
1 1 2 1 2 1
2 2 2
2
2
2
2
1
2
1
2
2 2
2
2 2
2
2 2 2
n n n n n n
i i
u u k k u u k k u k u k u k E
u k E
E E
E E

+ + + + + + =
=
= =
=

| | | |
| | |
(6)
V theo gi thit, E(u
i
2
) = o
2
cho mi i v E( u
i
, u
j
) = 0, i = j, n tip theo rng

2
2
2
2 2
2
,
)
var(
i
i
i
k
x
k
cua ngha nh dung s
=
=
o
o |

= phng trnh (3.3.1) (7)
Phng sai ca
1
| c th tnh c khi tun theo l lun ging nh trn. Mt khi xc

nh c cc phng sai ca
1
| v
2
| , cc cn bc hai dng ca chng s cho ta cc sai s

chun tng ng.
3A.4. NG PHNG SAI GIA
1
| v
2
|
T nh ngha :

| || | { }
)
var(
)
(
?) ( )
)(
(
)
cov(
2
2
2 2
2 2 1 1
2 2 1 1 2 1
|
| |
| | | |
| | | | | |
X
E X
E
E E E
=
=
=
=
sao V

= phng trnh (3.3.9) (8)
trong ng dng cc d kin l X Y
2 1

| | = v X Y E
2 1
( | | = khi cho,
)
( )
2 2 1 1
| | | | = X E . Lu : )
var(
2
| cho trong (3.3.1)
3A.5. HM C LNG BNH PHNG TI THIU CA o
2

Nhc li rng:

i i i
u X Y + + =
2 1
| | (9)
Do :
u X Y + + =
2 1
| | (10)
Ly (9) tr i (10) ta c:
) (
2
u u x y
i i i
+ = | (11)
Cng nhc li rng:

i i i
x y u
2
| = (12)


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
Do , khi th (11) vo (12) ta c:

i i i i
x u u x u
2 2
) ( | | + = (13)
Thu thp cc s hng, bnh phng ln v ly tng hai v, ta c:

+ = ) ( )
( 2 ) ( )
(
2 2
2
2 2
2 2
2
u u x u u x u
i i i i i
| | | | (14)
Ly cc k vmg ca c hai v cho:

| | | |
C B A
u u x E u u E E x u E
i i i i i
+ + =
+ =

) ( )
( 2 ) ( )
( ) (
2 2
2
2
2 2
2 2
| | | |
(15)
By gi, t cc gi thit v m hnh hi quy tuyn tnh c in v mt vi trong s cc kt
qu thit lp nn, n c th c kim chng rng:
A= o
2

B= (n-1)o
2

C= -2o
2
V vy khi th cc gi tr ny vo (15) ta c
( )
2 2
) 2 ( o =
n u E
i
(16)
Do , nu ta nh ngha

2
2
2
=

n
u
i
o (17)
gi tr k vng ca n l
( )
2 2 2
2
1
) ( o o =
=
i
u E
n
E khi s dng (16) (18)
n ch ra rng
2
o l hm c lng khng thin lch ca o
2
thc.

3A.6 TNH CHT PHNG SAI NH NHT CA CC HM C LNG BNH
PHNG TI THIU:
Trong Ph lc 3A, Phn 3A.2, ta trnh by hm c lng bnh phng ti thiu
2
| l tuyn
tnh v khng thin lch (iu ny cng ng vi
1
| ). chng t rng cc hm c lng ny

cng l phng sai nh nht trong nhm tt c cc hm c lng khng thin lch tuyn tnh, ta
xt hm c lng bnh phng ti thiu
2
| :

=
i i
Y k
2
|
trong :


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

=
=
2 2
) (
i
i
i
i
i
x
x
X X
X X
k (xem ph lc 3A.2) (19)
n chng t rng
2
| l trung bnh trng s ca cc Y, vi k

i
ng vai tr cc trng lng.
Ta hy nh ngha hm c lng tuyn tnh thay th ca |
2
nh sau:

=
i i
Y w
*
2
| (20)
trong w
i
cng l cc trng lng, khng nht thit bng k
i
. By gi:

+ =
+ =
=
i i i
i i
i i
X w w
X w
Y E w E
2 1
2 1
*
2
) (
) ( ) (
| |
| |
|
(21)
Do , i vi |
2
*
khng thin lch ta phi c:

= 0
i
w (22)
v
1 =
i i
X w (23)
Ta cng c th vit:
)
1
( ) (
) ( ) ( 2
) (
) (
) (
var
var ) var(
2
2 2
2
2
2 2
2
2 2
2
2 2
2
2
2
2 2
2
2 2
2
*
2
+ =
+ + =
+ =
=
=
=
i i
i
i
i
i
i
i
i
i
i
i
i
i
i
i
i
i
i
i
i i
i i
x x
x
w
x
x
x
x
w
x
x
x
x
w
x
x
x
x
w
w
Y w
Y w
o o
o o o
o
o
|

(24)
v s hng cui cng trong biu thc p cht trit tiu (Ti sao? )
V s hng cui cng trong (24) l hng s, phng sai ca (|
2
*
) c th l cc tiu ch khi
ta bin i s hng th nht. Nu ta coi:

=
2
i
i
i
x
x
w
Phng trnh (24) gim ti
[ Lu : var Y
i
= var u
i
= o
2
]
[ Lu : cov ( Y
i
,Y
j
) = 0 (i = j)]
(Lu by ton hc)


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi

)
var(
) var(
2
2
2
*
2
|
o
|
=
=
i
x
(25)
Ni gn li, vi cc trng s w
i
= k
i
l cc trng s bnh phng ti thiu, phng sai ca hm
c lng tuyn tnh
*
2
| bng phng sai ca hm c lng bnh phng ti thiu
2
| ; ngc
li, var(|
2
*
)>var(|
2
). t n khc i, nu c cc hm c lng khng thin lch tuyn tnh
vi phng sai nh nht |
2
, n s phi l hm c lng bnh phng ti thiu. Tng t, n c
th c chng t rng
1
| l hm c lng khng thin lch tuyn tnh vi phng sai nh nht

ca |
1
.
3A.7. KT QU SAS CA HM CU V C PH (3.7.1)
V y l ln u tin ta trnh by n kt qu SAS, s rt b ch khi ta gii thiu ngn gn v kt
qu. Cc kt qu c thu t qu trnh HI QUY ca SAS. Bin ph thuc l Y (s tch cho
mt ngi trong mt ngy ) v bin hi qui c lp l X
2
[gi l thc t trung bnh, tnh bng $
cho mt pound. Lu rng y l bin X trong (3.7.1)]. Vi mc ch trnh by, kt qu cp
trong trang sau c chia lm 6 phn. Lu rng rt nhiu cc s thp phn c ch r trong kt
qu nhng trong thc t, ta ch cn ly 4 hoc 5 s.
Phn I: Phn ny cho ta Bng ca php phn tch phng sai (ANOVA) m ta
tho lun trong Chng 5.
Phn II:
Cn MSE ngha l cn bc 2 ca sai s bnh phng trung bnh (=
2
o ),
ngha l n cho ta sai s chun ca c lngo .
Trung bnh Dep ngha l gi tr trung bnh ca bin ph thuc Y (=Y ).
C.V l h s bin thin c xc nh nh l 100 ) / (
2
Y o , v n biu
th tnh bin thin khng gii thch c duy tr trong d liu (ngha l
bin Y) lin quan ti gi tr trung bnh Y .
R
2
= h s xc nh
2
R = R
2
iu chnh (xem Chng 7 )
Phn III: Phn ny cho cc gi tr c lng ca cc thng s, cc sai s chun
ca chng, cc t s t ca chng v mc ngha ca cc t s t. Hai i
lng sau cng s c trnh by y trong Chng 5.
Phn IV: Phn ny cho ta ci c gi l ma trn phng sai- ng phng sai
ca cc thng s c lng. cc phn t trn ng cho chy t gc
tri-trn n gc phi-di cho cc phng sai (ngha l bnh phng
ca cc sai s chun cho trong Phn III)
30
v cc phn t khng nm
trn ng cho cho cc ng phng sai gia cc thng s c lng,
y )
cov(
2 1
| | nh nh ngha (3.3.9).
Phn V: Phn ny cho cc gi tr thc ca Y
i
v X
i
, cc gi tr c lng ca Y (

30
V vy, 0.01479 l phng sai ca
1
| v 0.0130 l phng sai ca

2
| ; ly cn bc hai ca cc s ny ta c
0.1216 v 0.1140, chng l cc sai s chun tng ng ca hai h s nh c ghi Phn III, ngoi tr i vi
cc sai s lm trn.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.

Hiu nh: Ho Thi
i
Y
= ), v cc phn d )
(
i i i
Y Y u =
Phn VI: Phn ny cho thng k d Durbin-Watson v h s tng quan bc nht,
cc ch c tho lun trong Chng 12.

BIN DEP: Y

I Ngun DF Tng bnh
phng
Bnh phng
trung bnh
Gi tr F PROB>F

M hnh 1 0.292975 0.292975 17.687 0.0023
Sai s 9 0.149080 0.016564
Tng s C 10 0.442055
II Cn MSE 0.128703 R-bnh phng 0.6628
TBnh DEP 2.206364 ADJ R-SC 0.6253
C.V 5.833255
Thng s Sai s T cho HO
III Bin DF c lng chun Thng s=0 PROB>|T|

Tung gc 1 2.691124 0.121622 22.127 0.0001
X 1 -0.479529 0.114022 -4.206 0.0023
IV ng phng sai ca cc c lng
COVB Tung gc X

Tung gc 0.01479203 -0.0131428
X -0.0131428 0.01300097
V OBS Y X YHAT
YRESID =
i
u
1 2.57 0.77 2.32189 0.24811
2 2.50 0.74 2.33627 0.16373
3 2.35 0.72 2.34586 0.00414
4 2.25 0.73 2.34107 -0.04107
5 2.20 0.76 2.32668 -0.07668
6 2.20 0.75 2.33148 -0.13148
7 2.11 1.08 2.17323 -0.06323
8 1.94 1.81 1.82318 0.11682
9 1.97 1.39 2.02458 -0.05458
10 2.06 1.20 2.11569 -0.05569
11 2.02 1.17 2.13007 -0.11007
VI d DURBIN-WATSON 0.727
T tng quan bc 1 0.390

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Chng trnh Ging dy Kinh t Fulbright

Nin kha 2011-2013

l gi tr c lng (gi tr trung bnh c iu kin ) ca Y

trong ct (6) ca Bng 3.1.

trong hai th nghim l khc nhau, ta thu c cc gi tr khc nhau cho cc

| theo cch vi mt mu hoc b d liu cho

vi X l mt hng s, chng ta thu c

= bng gi tr trung bnh ca Y thc i vi

| khng cn c mt trong phng trnh . Nhng s hng tung gc lun c th

| . Trong mn thng k, tnh chnh xc ca mt c

| cng nh, do , tnh chnh xc ca b

| l cc hm c lng, chng s khng ch bin i t mu ny n mu khc,

| ) lun lun dng, bn cht ca ng phng sai

| ph thuc vo du ca X . Nu X dng, th theo cng thc, ng phng sai

| , ngha l phn phi cc gi tr ly bi

| phn phi i xng (nhiu hn c th xem

| l hm c lng khng thin lch ca b

| xung quanh gi tr trung bnh. Ni cch khc, phng sai ca b

( Y Y = , n c th c gi mt cch gn ng l tng ca cc bnh phng do

= = gi tr trung bnh ca Y. c thm bng

| cc hm c lng bnh phng ti thiu.

| v ch ra rng chng l ng nht vi cc hm c lng bnh phng ti thiu cho

l cc dc trong hi quy tng ng ca Y trn X v ca X trn Y.

| c ging nh i lng thu c t

| l hm c lng tuyn tnh bi v l hm tuyn tnh ca Y; thc ra n l

| cng l hm c lng tuyn tnh.

| l hm c lng khng thin lch ca |

| cng l hm c lng khng thin lch ca |

| c th tnh c khi tun theo l lun ging nh trn. Mt khi xc

| , cc cn bc hai dng ca chng s cho ta cc sai s

| ). chng t rng cc hm c lng ny

| l trung bnh trng s ca cc Y, vi k

| l hm c lng khng thin lch tuyn tnh vi phng sai nh nht

| v 0.0130 l phng sai ca

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