Hng Dn Gii Thi Kinh T Lng Ln 1

& Cc Vn Lin Quan

Mc Lc

(Bm gi Ctrl ri bm chut v mc cn xem n nhanh mc )

Mc Lc...................................................................................................................................1
Phn L Thuyt........................................................................................................................ 2
1. M hnh v ngha cc h s........................................................................................2
2. Kim nh gi thit .......................................................................................................2
3. a cng tuyn...............................................................................................................2
4. Cng dng ca cc loi kim nh:...............................................................................3
Phn Bi Tp........................................................................................................................... 3
1......................................................................................................................................... 3
Cu 1:................................................................................................................................ 3
Cu 2: ............................................................................................................................... 5
2......................................................................................................................................... 7
Cu 1: ............................................................................................................................... 7
Cu 2: ............................................................................................................................... 8

Phn L Thuyt
Theo mnh th cu hi bi tp th c th thi ln 2 s cho dng tng t, ch cn cu hi l thuyt th
khng th no hi li ri. Vy mnh khng tr li my cu hi ra y nha (thc ra mnh cng khng
bit tr li u he). Mt s vn m c th ra l my ci ny:
1. M hnh v ngha cc h s
a) M hnh: m hnh tuyn tnh theo bin l m hnh m bin dng bc nht, m hnh tuyn tnh
tam s l m hnh m tham s dng bc nht, v d:
M hnh tuyn tnh theo bin Y = a + b2X + c3T.
M hnh tuyn tnh theo tham s: Y = a + b.logX + c
b) ngha cc h s hi quy trong m hnh tuyn tnh theo bin: cc tham s ng ring l th c
gi l h s chn hay h s t do. Cc tham s i lin vi cc bin gi l h s gc. V d trong m hnh Y
= a + bX, a l gi tr ca Y khi X v T bng 0, b l thay i ca Y khi X tng 1 n v.
2. Kim nh gi thit
V d c mt i lng thng k K cn kim nh, khi , vi xc sut cho trc (thng gi l
mc ngha), ta s tm c cc h s K1 v K2 sao cho xc sut P(K2<K<K1) = 1 . Hay:
P(K<K1) = P(K>K2) = /2
Do kim nh tham s thng dng kim nh t nn ghi th ny cho d hiu:
P(t < -t/2) = P (t > t- t/2) = /2

Mc ngha ngha l kh nng phm phi sai lm (xc sut t k < -t hoc tk > t). V d nu chn =
0,05 th ta ch c 5% c hi l kt lun sai. Khong nm gia t v t gi l khong tin cy, vi = 0,05 th
kh nng xy ra chnh xc (xc sut t < tk < t) ln ti 95% (gi l tin cy).
3. a cng tuyn
Gi s c m hnh hi quy Y = 0 + 1X1 + 2X2 + 3X3. Nu xy ra hin tng cc bin c lp c
mi quan h tuyn tnh (v d: X1 = a0X2 + a1X3) th m hnh xy ra a cng tuyn. Trng hp cc

bin c lp c quan h phi tuyn (v d: X1 = a0 + a1 ) th cha thy ti liu no ni ht ^^. Tuy

nhin, vi m hnh dng m hnh hm tng chi ph: TC = 1 + 2q + 3q2 + 4q3 th ta c th kt lun thng
l khng c a cng tuyn, v tt c cc bin c lp y u l t mt bin q m ra c.
4. Cng dng ca cc loi kim nh:
Kim nh White: kim tra hin tng phng sai thay i.
Kim nh BG: kim tra hin tng t tng quan.
Kim nh Wald: kim nh loi b cc bin khng cn thit.

Phn Bi Tp
1
Cu 1:
Trong mt nghin cu v cc yu t nh hng n gi nh, t 14 quan st ngi ta thu c m hnh
sau:
Y = 52,351 0,264X 21,345D + 1,649(XD)
t-statistic

(1,404)

(-0,006) (-0,498)

(2,639)

R = 0,836
Trong :
Y: Gi bn nh (triu ng/m2)
X: S phng tm trong nh (phng)
D: bng 1 nu nh c phng tp th thao, bng 0 nu nh khng c phng tp th thao
a. Vi mc ngha thng k 1%. Bn hy kim nh xem liu s lng phng tm c thc s nh

hng ti gi bn nh hay khng?

b. Nu ngha ca tng h s hi quy gn vi bin gi? Theo bn s tn ti ca bin tng tc trong

m hnh c cn thit khng? Gii thch kt lun ca bn vi xc sut 99%?

c. H s xc nh m hnh ni ln iu g?
Vi

= 2,764

Hng dn gii:
Ta t nh sau:

Y = 52,351 0,264X 21,245D + 1,649(XD)

X+

D+

(XD)

a) cu ny, bn dng phng php kim nh tham s:

Ngoi l:
Kim nh tham s ngha l kim tra xem cc h s hi quy c c ngha
thng k hay khng, ni cch khc l chng c khc 0 hay khng. Gi s
m hnh ca ta s c hnh thc nh th ny: Y = 1 + 2X.

t gi thit H0: 2=0 (h s khng c ngha thng k, X ch lin can g

n Y), H1: 2 0
Nu tkd

, bc b H0

Nu p-value

, bc b H0

Ngi ta thng t H0 tri vi gi thit cn kim chng.

Theo bi, kim nh s lng phng tm (X) c nh hng n gi bn nh (Y) thc s hay khng,
ngha l kim nh h s gc i lin vi X. y l -0,264.
Vy ta kim nh nh sau:
t H0:

= 0, H1:

Do |tk( 1)| = 0,006 <

= 2,764 nn ta chp nhn H0, ngha l s lng phng tm khng nh hng
n gi bn nh vi tin cy l 99%
b) ngha cc h s hi quy gn vi bin gi:
2

= -21,345: chnh lch v gi bn nh gia nh c phng tp th thao vi nh khng c phng

tp th thao nu s phng tm trong nh l 0.

3

= 1,649: chnh lch v mc tng gi bn nh gia nh c phng tp th thao vi nh khng

c phng tp th thao khi s phng tm trong nh tng thm 1.

Kim nh s tn ti ca bin tng tc trong m hnh (bin XD):
Tng t cu a, bn dng phng php kim nh tham s vi
bin tng tc trong m hnh v H1:

, t H0:

= 0, khng cn thit c

Do |tk( 3)| = 2,639 <

= 2,764 nn ta chp nhn H0, vy vi tin cy 99% ta c th kt lun l
bin tng tc khng cn thit c trong m hnh.
c) H s xc nh R2 = 0,836 ni ln t l phn bin ng ca gi bn nh c gii thch t cc i
tng nghin cu l 83,6%
Ngoi l:
R2 l t l phn bin ng ca Y c gii thch t X, l s ph thuc ca Y
vo X, mc gii thch ca X cho Y. R 2 c th c hiu d dng hn bng
hnh minh ha nh sau:

Cu 2:
nghin cu cc yu t nh hng ti t l ngho i, ngi ta s dng 58 quan st thit lp m hnh
hi quy nh sau:
Dependent Variable: Y
Included observations: 58
Variable
Coefficient
C
19.172

Std. Error
7.826

X2

5.418

1.758

0.003

X3

-0.138

0.062

0.031

X4
R-squared

-0.191

0.089
0.881

0.033

t-statistic

Prob.
0.017

F-statistic
Prob(Fstatistic)

0.000

Trong :
Y: t l h ngho (%)
X2: s nhn khu/h (ngi)
X3: t l dn s tt nghip cao ng, i hc (%)
X4: thu nhp trung bnh ca h gia nh (nghn -la)
a. Gii thch ngha ca cc h s hi quy gc? Du ca cc h s hi quy gc c ph hp vi nhng
g bn thy trn thc t hay khng? Ti sao?
b. Vi mc ngha thng k 5%, hy tm khong c lng cho cc h s hi quy ca X2, X3, v
X4?
c. C hin tng a cng tuyn xy ra vi m hnh trn hay khng? Gii thch kt lun ca bn vi

mc tin cy 95%?
Vi

= 1,674

Hng dn gii:
Ta t nh sau:

Y = 19.172 + 5.418X2 0.138X3 0.191X4

X2 +

X3 +

X4

a) ngha cc h s hi quy gc:

1

= 5.418: t l h ngho tng thm khi s nhn khu trong gia nh tng thm 1 ngi. Trong iu

kin cc yu t khc khng i.

2

= -0.138: t l h ngho gim xung khi t l dn s tt nghip cao ng, i hc tng 1%. Trong

iu kin cc yu t khc khng i.

3

= -0.191: t l h ngho gim xung khi thu nhp trung bnh ca h gia nh tng 1 nghn -la.

Trong iu kin cc yu t khc khng i.

b) Tm khong c lng (tin cy) ca cc h s hi quy gc:
Ngoi l:
Cng thc tm khong c lng (tin cy) cho cc tham s:

Se(

Vi mc ngha thng k 5% ta c

Se(

= 1,674:

Khong c lng cho 1 (h s hi quy gc ca X2):

1

Se(

Se(

5,418 - 1,674 x 1,758

5,418 + 1,674 x 1,758

2,475

8,361

Khong c lng cho 2 (h s hi quy gc ca X3):

2

Se(

-0.138 - 1,674 x 0.062

-0,2417

Se(

-0.138 + 1,674 x 0.062

0,034

Khong c lng cho 3 (h s hi quy gc ca X4):

3

Se(

Se(

-0,191 - 1,674 x 0,089

-0,191 + 1,674 x 0,089

0,339

0,042

c) T bng trn ta tnh c t-statistic nh sau:

Coefficient

Std. Error

t-statistic

19.172

7.826

2.449

5.418

1.758

3.082

-0.138

0.062

-2.225

-0.191

0.089

-2.146

Vi mc ngha 5%, ta thy cc gi tr |t-statistic| u ln hn gi tr

= 1,674 ngha l tt c cc
2
h s u khc khng mt cch c ngha thng k, h s xc nh R = 0.881 kh cao v p-value(Fstatistic) = 0,000 < = 0,05 nn R2 cng ng tin cy. Vy m hnh l ph hp v khng c hin tng a
cng tuyn xy ra, tin cy l 95%.
Ngoi l:
C 3 cch pht hin a cng tuyn, l:
1. H s xc nh R2 cao nhng t s |t| thp: khi R2 cao, kinh nghim
cho thy nu R2 > 0,8 th gi thit cc h s hi quy ng thi bng 0 b
bc b. Tuy nhin t s |t| thp th ta chp nhn gi thit cc h s hi
quy bng 0. Khi mu thun ny xy ra, ngi ta thng ngh n hin
tng a cng tuyn.
2. H s tng quan gia cc bin c lp cao: khi h s tng quan
gia cc bin c lp ln hn 0,8 th ta c th chc chn c a cng
tuyn.
3. Dng hi quy ph: Gi s c m hnh hi quy nh sau: Y = 0 + 1X +
2Y + 3Z + U. Ta c lng m hnh hi quy ph gia bin c lp X
vi cc bin c lp cn li nh sau: X = 0 + 1Y + 2Z + U. Tip theo

ta dng phng php kim nh tham s kim tra s nh hng ca

bin Y v Z n X (xem cu a, bi 1 1).
(*) Trong 3 cch ny, 2 cch u ch l tng i, ch c cch th 3 mi
c th i n kt lun chc chn nht. Nhng theo d kin bi cho, ta
ch c th dng cch 1 m thi.
(**) Thc ra khng cn phi tnh t-statistic, bn c th dng p-value. Ch
l vn kim nh tham s m.

2
Cu 1:
Trong mt nghin cu v cc yu t nh hng n sn lng t bn ra, t 40 quan st ngi ta thu
c m hnh nh sau:
Y = -31,852 1,751X + 0,092D + 4,698(XD)
t-statistic

(-5,8)

(-7,6)

(2,8)

(-3,969)

R = 0,787
Trong :
Y: s t bn ra/ngi (chic)
X: ch s gi xe hi
D: bng 1 nu l ma xun, bng 0 ma khc
a. Vi mc ngha thng k 1%, bn hy kim nh xem liu ch s gi xe hi c nh hng ti s

t bn ra/ngi hay khng?

b. Nu ngha ca tng h s hi quy gn vi bin gi? C ngi cho rng vo ma xun, khi ch s
gi xe hi tng 1 n v th s t bn ra tng 2,5 chic/ngi c ng hay khng? Bn hy gii thch kt
lun ca mnh vi tin cy 99%?
c. H s xc nh m hnh ni ln iu g?

Vi

= 2,434

Hng dn gii:
Ta t nh sau:

Y = -31,852 1,751X + 0,092D + 4,698(XD)

X+

a) Tng t cu a, bi 1 1, ta t gi thit H0:

do |tk( 1)| = 7.6 >
ra/ngi.

D+

(XD)

= 0, H1:

X 0. Vi mc ngha thng k 1%,

= 2,434 nn ta bc b H0, vy ch s gi xe c nh hng n lng t bn

b) ngha ca h s hi quy gn vi bin gi:

2

= 0.092: chnh lch v s t bn ra/ngi vo ma xun so vi cc ma khc khi ch s gi xe

bng 0.

= 4,698: chnh lch v mc tng s lng t bn ra/ngi vo ma xun so vi cc ma khc

khi ch s gi xe tng thm 1 n v.

Kim nh h s hi quy ca bin tng tc: b tay ^^
c) H s xc nh R2 = 0,787 ni ln t l phn bin ng ca gi bn nh c gii thch t cc i
tng nghin cu l 78,7% (xem li cu c, bi 1 1).
Cu 2:
nghin cu cc yu t nh hng ti t l ngho i, ngi ta s dng 58 quan st thit lp m hnh
hi quy nh sau:
Dependent Variable: Y
Included observations: 58
Variable
Coefficient
C
19.172

Std. Error
7.826

X2

5.418

1.758

0.003

X3

-0.138

0.062

0.031

X4
R-squared

-0.191

0.089
0.881

0.033

t-statistic

Prob.
0.017

F-statistic
Prob(Fstatistic)

0.000

Trong :
Y: t l h ngho (%)
X2: s nhn khu/h (ngi)
X3: t l dn s tt nghip cao ng, i hc (%)
X4: thu nhp trung bnh ca h gia nh (nghn -la)
a. Gii thch ngha ca cc h s hi quy gc? Du ca cc h s hi quy gc c ph hp vi nhng
g bn thy trn thc t hay khng? Ti sao?
b. Vi mc ngha thng k 5%, hy tm khong c lng cho cc h s hi quy ca X2, X3, v
X4?
c. C ngi cho rng vi xc sut 95%, khi nhn khu ca h tng thm 1 ngi lm cho t l h
ngho tng ln 3%? Bn cho kin ny c tha ng hay khng?
Vi

= 1.674

Hng dn gii:
Ta t nh sau:

Y = 19.172 + 5.418X2 0.138X3 0.191X4

a) L cu a bi 2 1.
b) L cu b bi 2 1.
c) t gi thit H0:
Ta c tk( 1) =

= 3, H1:
=

3.

= 1.375

X2 +

X3 +

X4

Vi xc sut 95%, do tk( 1) = 1.375 <

= 1.674 nn ta chp nhn H0. Vy gi thit khi nhn khu
ca h tng thm 1 ngi th t l h ngho tng ln 3% l tho ng.