Phng Php c Lng Bnh Phng Nh Nht.

Allen Bellas
Trn Tng

Phng php bnh phng nh nht[1] (OLS) l mt th thut ton hc c s dng c lng mi tng quan gia cc bin khc nhau. Kiu tng quan n gin nht l:

Kt qu qu trnh c lng cc h s b0 v b1 c gi l b0 m v b1 m. Cc h s ny c s dng c lng bin ph thuc Yi m. Chng ta c th ni rng

Chnh lch gia gi tr thc t yi v gi tr c lng vit di dng

l bng yu t sai s ei. iu ny c th

Minh ha ln th.

Minh ha

ln th.

Mc ch ca phng php OLS l ti thiu ha tng

Minh ha Yi ln th.

ng tuyn tnh lin h X v Y c tnh bng phng php OLS l ng tin cy bi v n ti thiu ha tng bnh phng cc sai s. Ngha l n ti thiu ha:

Tng ng vi ti thiu ha:

iu ny c ba c im c bn:

1. ng hi quy i qua im

, im ny l trung bnh cc d liu.

2. Tng bnh phng cc sai s hay cc phn d l bng 0. 3. Phng php OLS a ra nhng c lng "tt nht" ph thuc vo cc khi nim cng nh cc iu kin. Cc Khi Nim. Sai S c Lng Chun[2] (SEE).

Tng Bnh Phng Tt C Cc Sai Lch[3] (TSS).

Bnh Phng Ca Bin Gii Thch[4] (ESS).

Tng Bnh Phng Tt C Cc Phn D[5] (RSS).

Ta c: TSS = RSS + ESS. R2 M hnh gii thch bao nhiu bin ng ca bin ph thuc! R2 s gii quyt vn ny. R2 l t l gia tng bnh phng tt c cc sai lch ca bin gii thch vi tng bnh phng tt c cc sai lch, hay:

R2 cao ngha l m hnh c lng c gii thch c mt mc cao bin ng ca bin ph thuc. Nu R2 bng 0. Ngha l m hnh khng a ra thng tin no v bin ph thuc v d on tt nht v gi tr ca bin ph thuc l gi tr trung bnh ca n. Cc bin "gii thch" thc s khng a ra c mt gii thch no. Minh ha ln th.

Hi Quy Nhiu Bin. M hnh hi quy n khng a ra nhiu cu hi th v tr li. Nhng s l th v hn khi xem xt nhiu bin gii thch trong m hnh hi quy nhiu bin s, hoc hi quy bi s. M hnh v d l:

Mi mt h s bj l o hm tng phn ca bin ph thuc Yi theo bin gii thch Xji. Ngha l khi X thay i mt n v khi cc bin khc khng i th Y c d on l thay i mt lng ng bng h s.

V D v Tht B (Studenmund, trang 44) Xem xt m hnh c lng di y: trong Bt = lng tht b tiu th trn u ngi trong nm t (pound/ngi). Pt = gi tht b trong nm t (cent/pound). Ydt = thu nhp chi tiu[6] rng trn u ngi trong nm t (nghn la). Cu Hi 1. Gii thch h s ca Pt? 2. Gii thch h s ca Ydt? 3. Tht b c phi l hng ha thng thng hay khng? 4. Cc gi tr h s c lng c ph hp vi lut cu hay khng? 5. Theo m hnh, nu gi tht b tng $0.02/pound th lng tht b tiu th trn u ngi trong nm t s thay i nh th no. 6. Theo m hnh, nu thu nhp rng trn u ngi tng $2.000 th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? 7. Theo m hnh, nu gi tht b tng gp i th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? 8. Theo m hnh, nu gi tht b tng $0.50 th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? kt qu thu c c ng tin cy hay khng? gii thch vn v nu phng php khc phc. 9. H s c lng s thay i nh th no khi lng tht b tiu th c tnh theo kilogam/ngi? khi gi c tnh theo la/pound? R2 iu Chnh. By gi, m hnh l tng s c mc gii thch rt cao. iu ny c ngha l ESS/TSS = R2 gn bng 1. Thm cng nhiu bin vo phng trnh c lng th s lm tng gi tr R2 ch khng gim. Kt qu l m hnh vi rt nhiu bin gii thch v dng sinh ra mt o hm c v nh c mc gii thch rt cao. Nhng R2 s ch n thun l s tng quan khng thc. khc phc iu ny, chng ta tnh R2 iu chnh[7] (adjusted R2)

trong n = s cc quan st trong tp d liu. K = s lng cc h s. Trong v d hi quy tht b trn, n l s nm thu thp d liu, cn K bng 2 bi v c mt h s c lng gi v mt h s c lng thu nhp. Thm bin vo phng trnh hi qui, thm ch bin ny chng c nh hng g ti bin ph thuc th iu ny c kh nng lm R2 tng, nhng s lm K gim v c th lm R2 iu chnh gim. Mt quy lut tng qut ng tin cy trong vic la chn gia cc m hnh l la chn m hnh no c R2 iu chnh cao. Khi chng ta ang xem xt vic thm mt bin mi vo phng trnh hi qui, chng ta xem xt xem nu n lm R2 tng hay khng. Nu c th chng ta nn thm bin mi vo phng trnh. Tuy nhin, nn p dng qui lut ny mt cch thn trng, nh v d trong Studenmund 2.5 gii thch. Cch tt nht la chn cc bin cho phng trnh hi quy l tm hiu cc bin ph thuc, v da vo nhng hiu bit v bin ca bn thn quyt nh cc bin no nn c tnh n u tin khi thc hin hi quy. M hnh ca chng ta hi mang tnh l thuyt v chng ta cn phi a ra gii thch ng tin cy cho nhng kt lun v tng bin cng nh bao gm tt c cc bin gii thch. Cp T Do (Degrees of Freedom) S cp t do trong hi qui l bng vi chnh lch gia s cc quan st (n) trong tp d liu tr i s lng cc h s c lng (K+1). (n-K-1) phi ln hn hoc bng 0. bit ti sao, xem xt trng hp hi quy n vi mt im d liu. Bi v c hai h s c lng (b0 v b1), chng ta c K+1 = 1+1 = 2. Do vy, y chng ta phi c t nht 2 im c lng ng tuyn tnh. 1. Nu chng ta c lng mi quan h OLS vi mt quan st th sao? 2. Lm th no chng ta c th c lng mi quan h OLS vi mt quan st? Chng ta cn phi gi nh iu g? Nhng Cu Hi Kh m Bn C Th Tr Li? Studenmund (trang 49) c a ra mt vi cu hi m bn c th v bn nn t ra khi c bo co lin quan n phng php hi quy OLS. 1. Phng trnh c lng a ra c hp vi l thuyt khng? mt mc , hy hi chnh bn thn l khi no th cc bin gii thch c xem l c ngha v khi no th bn cho l nn thm cc bin khc na vo trong m hnh. C th phng trnh c lng a ra nhng kt lun ng tin cy, nhng bn nn t ra nhng cu hi cho chnh mnh. 2. Thc hin hi quy c ph hp vi s liu hay khng? iu ny lin quan n R2. R2 khng nht thit c ngha l m hnh l khng ng tin cy, nhng nn tng cc yu t cn thit cho vic a ra kt qu. iu ny c hiu l nu R2 thp th mc

 quan st cho tt c tng quan st c th l rt thp mc d i vi mt s lng ln cc quan st th n c th l rt ng tin cy. Tng t nh vy, R2 rt cao cng c th a ra mt s iu khng thc. 3. Tp s liu ln v ng n cha? S lng cc quan st l rt quan trng, nhng s cp t do cn quan trng hn nhiu. Thm na, bn nn hi bn thn l c phi c th xc nh s lng cng nh tnh ton c tt c cc quan st hay khng v lm th no tnh ton chng c mt cch chnh xc. 4. i vi phng trnh ny, liu phng php OLS c phi l phng php tt nht hay khng? Chng ta s bn lun n mt vi phng php khc, mc d chng c bn l da trn phng php OLS. 5. Lm th no cc h s c lng ph hp vi cc h s d on c cc nh nghin cu pht trin trc khi thu thp s liu? Hy xem xt cc du hiu h s khc l. V d nu lng cu l tng quan dng vi gi th bn cng nn t ra mt s cu hi cho vn khng thc ny. 6. C phi tt c cc bin quan st quan trng c tnh n trong phng trnh ny? 7. C phi y l dng phng trnh logic theo l thuyt thng dng nht hay khng? Xem xt v d tht b? C phi gi tht b d on tng khong $0.50/pound l c ngha khng? C mt m hnh khc c th cng ph hp. C cn tng s bin gii thch ti mt mc nht nh m t mt cch chnh xc chng tc ng ti bin c lp nh th no? 8. C phi hi quy ha ra l khng cha ng cc trc trc, vn chnh ca kinh t lng hay khng? Chng ta s cp nhiu hn na ti vn ny. Mt iu m chng ta ni n l bn nn ghi nh hin tng t tng quan. Bn c th gi nh mt m hnh trong mt trong cc bin gii thch c gii thch bi cc bin gii thch khc khng? Tr Li Cc Cu Hi M Hnh v Tht B. 1. Gii thch h s ca Pt. L s pound tiu dng tht b thay i hng nm khi gi tht b tng $0.01. 2. Gii thch h s ca Ydt. L s pound tiu dng tht b thay i hng nm khi thu nhp trn u ngi tng $1.000. 3. Tht b c phi l hng ha thng thng hay khng? ng. Cc s liu dng nh a ra rng tht b l hng ha thng thng bi v h s ca thu nhp l dng, do vy, khi thu nhp tng (trong khi cc yu t khc l khng i) th lng tht b tiu th s tng. 4. Cc gi tr h s c lng c ph hp vi lut cu hay khng? C. H s c lng ca gi l dng, chng t khi gi tht b tng (trong khi cc yu t khc l khng i) th lng cu s gim.

5. Theo m hnh, nu gi tht b tng $0.02/pound th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? Nu gi tht b tng $0.02/pound, m hnh d on l lng tht b tiu th trn u ngi hng nm s gim mt lng 2*0.88=1.76 pounds. 6. Theo m hnh, nu thu nhp rng trn u ngi tng $2.000 th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? Nu thu nhp rng trn u ngi tng $2.000, m hnh d on l lng tht b tiu th hng nm trn u ngi s tng mt lng 11.9*2=23.8 pounds. 7. Theo m hnh, nu gi tht b tng gp i th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? y, chng ta khng th khng bit gi hin ti ca tht b bi v chng ta khng bit s lng tht b tng theo cent/pound. 8. Theo m hnh, nu gi tht b tng $0.50 th lng tht b tiu th trn u ngi trong nm t s thay i nh th no? Kt qu thu c c ng tin cy hay khng? Gii thch vn v nu phng php khc phc. Nu gi tht b tng $0.50/pound th lng tht b tiu th gim 50*0.88=44 (pound). iu ny dng nh l hi nhiu v ti cho rng lng tht b tiu th trong m hnh c th cn c tng quan vi cn bc hai ca gi. 9. H s c lng s thay i nh th no khi lng tht b tiu th c tnh theo kilogam/ngi? Bi v l 2,2pound/kilogam, nn mi h s s c chia cho 2.2. V d, lng tiu th tht b trn u ngi tng 1 kg, gi phi gim xung 2,2 ln. Khi gi c tnh theo la/pound? Khi gi c tnh theo la/pound th h s c lng ca Pt s tng ln 100 ln. Trong mi trng hp, gi tng 1 la th lng tht b tiu th trn u ngi hng nm s gim 88 pound.

[1] Ordinary Least Square [2] Standard Error of Estimate [3] Total Sum of Squares [4] Explained Sum of Squares [5] Residual Sum of Squares [6] disposable income [7] adjusted R2