Chng 1 CC M HNH HI QUY 1.

1 Gii thiu + M hnh hi quy tuyn tnh n gin

+ V d: Hm tiu dng + Thnh phn sai s ngu nhin: c s dng m hnh ha s thiu hiu bit ca chng ta v cc chi tit c ch kinh t, v th hin cc tc ng ngu nhin, v trung bnh, s b trit tiu

+ Chng ny ch trng nhiu vo m hnh thng k (statistical models), ch khng phi vo vo c lng v kim nh gi thit v chng. + Ni dung chnh ca chng: L thuyt xc sut i s ma trn Phng php m men

1.2 Phn phi, mt phn phi xc sut, v cc m men + Khi nim bin ngu nhin: Trng hp n gin nht l bin ngu nhin scalar (scalar random variables), l tp cc gi tr thc c th. Cc tp con ca tp y cc kh nng c th ca bin ngu nhin X c gn cho mt xc sut. Tp con c gi l s kin. Cc xc sut c gn bi phn phi xc sut. Khi nim bin ngu nhin ri rc v lin tc. Quy tc tng qut ca phn phi xc sut: (i) (ii) Tt c cc xc sut thuc [0, 1]; Tp trng c xc sut bng 0, tp y ca cc kh nng c th c xc sut bng 1;

+ Phn phi xc sut

(iii) Xc sut ca mt hp cc s kin l tng cc xc sut c gn cho cc s kin ; Hm CDF (Cumulative Distribution Functions): F ( x) = Pr( X x ) . Hm CDF l tng, v

Cng thc cn lu :

+ Hm mt phn phi xc sut Hm PDF (Probability Density Functions): f ( x) F ' ( x ) . Tnh cht:

th CDF v PDF

Cng thc (103) c vit li nh sau:

Lu : f (x ) lun khng m, v f (x) khng b chn trn bi 1.

+ V d: Phn phi chun Hm PDF ca phn phi chun tiu chun (standard normal distibution):

Hm CDF khng c dng gn-c bn (elementary close-form):

th ca chng c trnh by trn Hnh 1.1 (Figure 1.1) Bin ngu nhin ri rc cng c c trng bi CDF, nhng khng r rng, v d nh hm CDF sau:

th l:

R rng, chng ta khng th v th ca PDF tng ng, v n khng tn ti S dng CDF l mt cch hp l khi bin ngu nhin khng hon ton ri rc cng nh khng hon ton lin tc. Bin lai tp (hybrid) nh vy c th c to ra bi hin tng kim duyt (censoring). Bin c gi l c kim duyt nu khng phi tt c cc gi tr ca n c th thc s quan st c. K vng ca bin ngu nhin ri rc:

+ Cc M men ca bin ngu nhin -

K vng ca bin ngu nhin lin tc l:

Mc d khng phi lun tn ti k vng ny, v tch phn ni trn c th phn k, nu hm di du tch phn khng hi t ti khng nhanh. K hiu thng c s dng l . K vng l m men bc nht. M men bc cao hn, nu tn ti, l cc k vng ca cc bin ngu nhin ly tha bc cao hn.

V m men ch ph thuc vo phn phi cho nn ngi ta hay ni v m men ca phn phi. Nu phn phi c m men bc k th n c tt c cc m men bc nh hn k. Cc m men ny thng c gi l cc m men phi trung tm, v X thng khng c trung bnh (k vng) bng 0. M men trung tm l m men ca khong cch gia bin ngu nhin v k vng ca n. Vy m men bc k l:

trong k E ( X ) . i vi X ri rc, m men trung tm bc k l

+ Cc phn phi a-bin (multivariate distributions): Bin ngu nhin gi tr-vector (vector-valued random variable) nhn cc gi tr l vc t. n gin, hy xt cc bin ngu nhin hai-bin (bivariate random variables). Bin ngu nhin ( X 1 , X 2 ) c phn phi xc sut

Hm mt phn phi xc sut chung (joint density function), nu tn ti, l

Cc tnh cht l tng t, v d: o Nh trong (1.04),

o Hoc, tng qut hn,

o Tnh c lp v mt thng k: X 1 v X 2 c gi l c lp vi nhau nu:

o Hm mt xc sut cn bin ca X 1 l:

trong F1 (.) o hm ring ca F (.) theo x1 . T (1.10) suy ra:

o T suy ra, nu X 1 v X 2 c lp, tc l (1.10) bo ton, th

+ Xc sut c iu kin nh ngha: ngha: Thng tin v vic B xy ra c th gip cho vic xc nh A c xy ra hay khng. Hm mt phn phi xc sut ca iu kin c nh ngha l:

(nh ngha ny yu cu f ( x2 ) > 0 , nhng cng c nhng nh ngha khc) K vng c iu kin: o Nu tn ti, n l k vng c tnh bng cch s dng phn phi xc sut c iu kin o Lu : E ( X 1 | x2 ) l tt nh, nhng E ( X 1 | X 2 ) l hm tt nh ca bin ngu nhin X 2 . Khi c mt s thuc tnh l th sau:

Lut K vng Lp:

Hm tt nh ca bin ngu nhin X 2 is its own conditional 2 2 expectation. Tc l, v d, E ( X 2 | X 2 ) = X 2 , E ( X 2 | X 2 ) = X 2 ,

Trong trng hp c bit, khi E ( X 1 | X 2 ) = 0 , th

1.3 nh dng cc m hnh hi quy + Gi s ut c k vng bng 0 ph thuc vo iu kin X t . Ly k vng hai v (1.01),

+ V d, gi s chng ta c lng bng (1.01) nhng thc ra, vi 3 0 v vt l thnh phn sai s sao cho E (vt | X t ) = 0 . Nu s liu c to ra bi (1.18), thnh phn sai s trong (1.01) s l 3 X t + vt , do vy

l i lng khc khng. + ngha: tr phi yt vi iu kin X t thc s l hm tuyn tnh ca X t , hm hi quy (1.01) c nh dng khng ng (khng c ch ra mt cch ng n), theo ngha (1.01) khng bo ton vi thnh phn sai s c k vng c iu kin X t bng 0. + Tp thng tin: Tng qut hn, chng ta mun da yt vo iu kin ca tp cc bin gii thch tim nng, c gi l tp thng tin, k hiu l t . Tp t thng ln hn tp bin c thc s s dng trong hm hi quy, v thng khng c xc nh r. in hnh, chng ta mun t iu kin vo cc bin ngoi sinh, ch khng phi vo cc bin ni sinh, tc l c ngun gc bn ngoi ch khng phi bn trong m hnh ang xt. V d hm tiu dng trn: m hnh ch ng nu

o K vng ca tiu dng vi iu kin c thu nhp kh dng l hm tuyn tnh ca thu nhp kh dng. o Tiu dng khng phi l bin gp phn xc nh ra thu nhp kh dng. Tc l, ngun gc ca thu nhp kh dng, tc l c ch theo thu nhp kh dng c to ra, nm bn ngoi m hnh ang xt. Vn v vic cc bin c phi l ngoi sinh hay khng c xt Chng 8. Gi thit n gin nht (gi thit kh mnh): IID (independently and identically distributed) o u c trung bnh bng 0; o C c t cng mt phn phi; o V c lp vi nhau. Phn v d l serial correlation v heteroskedasticity. M hnh cng l nh dng khng hon ho nh (1.01). Do vy, cch tt nht ni v nh dng hon ho ca mt m hnh kinh t lng l nh dng cung cp gii php r rng m phng m hnh trn my tnh. (Nu chng ta c th s dng m hnh to ra s liu m phng th m hnh ny c nh dng mt cch hon ho). + M phng cc m hnh kinh t lng (Simulating Econometric Models) nh ngha: M phng l to ra cc gi tr ca yt theo (1.01) vi n c nh. Mt trong nhng khu quan trng ca m phng l to s ngu nhin (s xem thm Chng 4) bng my tnh. Thc ra my tnh ch to ra pseudo-random, nhng i vi cc mc ch ca chng ta th iu l . Cc bc m phng: o C nh kch thc mu n; o La chn cc tham s ca nh dng tt nh ( y l 1 v 2 ); o Xc nh n gi tr k tip nhau ca X t , t = 1,..., n ; o Tnh n gi tr k tip nhau ca hm hi quy 1 + 2 X t vi t = 1,..., n ; o Chn phn phi xc sut cho cc thnh phn sai s, nu cn th phi ch r k vng v phng sai; o S dng b to s ngu nhin to ra n cc gi tr ut k tip nhau v c lp vi nhau ca thnh phn sai s ngu nhin; + Thnh phn sai s:

o Hnh thnh n gi tr k tip ca yt bng cch cng cc thnh phn sai s vo cc gi tr ca hm hi quy. So snh (1.01) v (1.19): o C hai u khng hon ho. hon ho phi ch ra tp thng tin t v phn phi ca ut da vo iu kin c t . o (1.19) c u im ch ra k vng c iu kin, nhng (1.19) khng ch r thnh phn sai s ngu nhin. o (1.01) c u im ch ra thnh phn sai s ngu nhin, nhng khng th hin r s ph thuc ca m hnh vo la chn tp thng tin v s kin phn phi ca thnh phn sai s phi c ch ra khi bit tp thng tin (phn phi c iu kin c tp thng tin). + Cc m hnh hi quy tuyn tnh v phi-tuyn: Xem Davidson (trang 22-24) Lu phn chn thnh phn sai s ngu nhin cho m hnh (1.23) v m hnh (1.26) cho ng dng thc hnh

1.4 i s ma trn + Khng th nghin cu kinh t lng ngoi mc s ng nht nu khng s dng i s ma trn. + Cc khi nim: Ma trn, vc t ct v vc t hng, ma trn vung, ma trn i xng, ma trn ng cho v ng cho chnh, ma trn tam gic (tam gic trn, tam gic di) Chuyn v ca mt ma trn, k hiu l A T Cng v tr: Nhn ma trn (tch trong, tch v hng): Gi s a v b l hai n-vc t th tch trong ca chng l:

+ Cc php ton s hc cho ma trn:

Gi s C = AB th

(Lu A c m ct v B c m hng). i khi r, ngi ta vit

nh ngha: Tch ngoi = ab T Nhn trc v nhn sau: AB BA Ma trn n v I : A, AI = IA = A Vc t l vc t ct c cc phn t ton l cc con s 1. V d

Cc tnh cht ca cng v nhn ma trn: o Tnh cht phn phi:

o Tnh cht kt hp:

o Chuyn v ca tch:

Nhn ma trn vi mt s B : cc phn t ca B nhn vi . Tch trc tip ca hai ma trn: A * B = ( Aij Bij ) Ma trn nghch o: A 1 : l ma trn, nu tn ti, c thuc tnh o Nu A l i xng, th A 1 cng l i xng o Nu A l tam gic, th A 1 cng l tam gic o Nu D l ma trn ng cho th D1 cng vy

Hng ca ma trn: o Nu ma trn A vung c chiu l n n , c th ly nghch o, th hng ca n l n. l hng y . o Ma trn A khng l vung, th ma trn khng suy thoi c kch thc m m ln nht th m l hng ca ma trn.

+ Cc m hnh hi quy v k hiu ma trn (1.1) c th vit di dng sau:

+ K hiu:

Phng trnh (1.31) c th c vit li l: Khi nim regressors v regressand Gi s c k regressors, th c th vit

Khi mt hng in hnh ca phng trnh ny c vit l:

trong Xt l ct th t ca X. Lu : o S dng i s ma trn rt thun tin khi lm vic vi cc tng s. o Cc c lng bnh phng ti thiu ca ch ph thuc vo ma trn T XT X v vc t X y . + Cc ma trn phn hoch c (partitioned matrix) C nhiu cch vit ma trn X c kch thc n k , v d: o Tch cc ct

o Tch cc hng:

o Tng qut, c th vit:

o Nu 2 ma trn c cng kch thc v c phn hoch theo chnh xc cng mt cch, chng c th cng hoc tr theo tng blocks: V d 1:

V d 2:

T suy ra:

V d 3:

1.5 c lng cc phng php - m men + Khi nim: c c cc c lng tham s, ta cn: o M hnh c cha tham s o Mu c to thnh t cc s liu quan st c Thut ng tng th (population): o c s dng t thi sinh hc

o Khi nim tt hn l qu trnh to-s liu (data-generating process) hay DGP. o DGP tng t vi tng th, mu rt ra t tng th tng t mu rt ra t DGP o Trong c hai trng hp mu c gi thit l i din ca DGP hoc tng th m t chng c rt ra. Cch t nhin c lng cc tham s l thay cc trung bnh tng th bi cc trung bnh mu. o y l k thut c tn gi l phng php cc m men (method of moments) o Phng php ny c th c s dng vi cc m men khc ngoi trung bnh (k vng). o Tm tt ca MM (phng php m men): c lng cc m men tng th bi cc m men mu tng ng. + c lng m hnh hi quy tuyn tnh n gin: T (1.01) c: Ph hp vi m hnh ca chng ta, k vng ca thnh phn sai s ny bng 0. Trung bnh mu l:

V do vy, chng ta mun cho trung bnh mu ny bng 0:

Tuy nhin, trn y ch l mt phng trnh m ta cn gii cho 2 bin. Do vy, phi c thm mt phng trnh na. Ta bit rng k vng ca ut bng 0 da vo iu kin c bin gii thch X t . Thc ra, k vng ca ut bng 0 da vo iu kin ca nhiu th khc na, ty thuc vo vic chng ta la chn tp thng tin t nh th no. Gi thit k vng c iu kin hm : o khng ch E (ut ) = 0 , o m cn c E ( X t ut ) = 0 , v theo (1.16) v (1.17),

o T chng ta c hai phng trnh cho hai n s 1 v 2 . C th l (1.40) c b sung bi:

Vit li (1.40) v (1.42) di dng ma trn, ta c:

Hy vit di dng gn hn l: Ta lu cch th hin li (1.43) nh cc bin i sau:

Vit li di dng ma trn, ta c:

Cui cng li gii l:

+ c lng m hnh hi quy tuyn tnh a bin: Tng qut, chng ta c vi i = 1,2,..., k

V cng thc ny, di dng trung bnh mu tng ng, cho ta

trong Xt l hng th t ca X . Do vy c k phng trnh cho k bin ca . Lu : Xt1 = 1 phng trnh th nht chnh l iu kin trung bnh mu ca thnh phn sai s bng 0.

Di dng ma trn, (1.47) c th c vit l:

(1.48) r rng tng ng vi (1.45) gii chng, chng ta nhn c (1.46). C th vit X T y l

ch l cc tch v hng ca cc regressors xi vi regressand y . Tng t, c th vit XT X l

T 1 Do vy XT X c th c biu din bi cc thnh phn tch v hng ( X X) cng l mt hm (phc tp) ca cc tch v hng ny. Cui cng, l mt hm cng ch ca cc tch v hng ca cc cp bin.

+ c lng OLS C th chng t OLS v MM u a ra cng mt kt qu nh nhau mc d xut pht t cc tip cn hon ton khc nhau. Chng minh: Khi nim tng bnh phng ca cc phn d:

c th vit l:

Ti thiu (1.53), chng ta nhn c (1.45). pcm. + Nhn xt: Vic xy dng biu thc i s (1.46) cho c lng OLS (hay MM) cho l d dng nh c thy. Vic tnh ton kt qu s c thc hin d dng bi cc phn mm.

iu kh khn nht l hiu c cc thuc tnh ca cc c lng ny: o Cc thuc tnh s l d tnh (Chng 2). o Cc thuc tnh thng k ph thuc vo cch theo s liu c to ra. Chng ch c th c kim tra bng l thuyt, bi cc gi thit xc nh, c minh ha bi m phng, nhng khng bao gi kim tra c i vi cc tp s liu cho. iu ny s c tho lun trong cc Chng 3, 4, v 5.