KINH T LNG

BC CAO HC

ECONOMETRICS

KINH T LNG C BN

Chng 1, 2, 3
KINH T LNG NNG CAO

Chng 4, 5, 6, 7,8

TI LIU
1. Nguyn Quang Dong, (2008), Bi ging Kinh t lng, NXB Khoa hc k thut. 2. Nguyn Quang Dong, (2002), Kinh t lng Chng trnh nng cao + Bi tp Kinh t lng vi s tr gip ca phn mm Eviews, NXB Khoa hc k thut. 3. Nguyn Khc Minh, (2002), Cc phng php Phn tch & D bo trong Kinh t, NXB KHKT. 4. Damodar N.Gujarati, Basic Econometrics, 4th Edition, Mc Graw - Hill, 2004

KHI NIM V KINH T LNG

Econometrics = Econo + Metrics o lng

kinh t
i tng: cc mi quan h, cc qu trnh kinh

t x hi
Cng c: cc l thuyt kinh t, cc m hnh

Ton kinh t, phng php ton, xc sut thng k, vi s h tr ca my tnh.

Kt qu: bng s, ty thuc mc ch s dng.

PHNG PHP LUN

t gi thit v vn nghin cu Xy dng m hnh

- M hnh l thuyt - M hnh ton hc

Thu thp s liu v c lng tham s Kim nh v mi quan h Phn tch, d bo, minh chng hoc phn

bin l thuyt

KINH T LNG C BN

Basic Econometrics

CHNG 1. M HNH KINH T LNG CHNG 2. C LNG V PHN TCH M HNH KINH T LNG CHNG 3. NH GI V M HNH

CHNG I. M HNH KINH T LNG

Econometrics Model
1.1. Phn tch hi qui 1.2. M hnh hi qui tng th 1.3. M hnh hi qui mu 1.4. M hnh hi qui tng qut 1.5. M hnh hi qui trong kinh t

PHN TCH HI QUY

Nghin cu mi lin h ph thuc gia 1 bin

(bin ph thuc) vo mt hoc mt s bin s khc (bin c lp/bin gii thch). Bin ph thuc, thng k hiu Y , i din cho i tng kinh t m ta quan tm nghin cu s bin ng (dependent, explained, exogenous variable). Bin c lp, thng k hiu X , X 1 , X 2 ,...i din cho i tng kinh t gii thch cho s bin ng ca bin ph thuc (independent,

explanatory, regressor)

M HNH HI QUY TNG TH

X = X i : xc nh Y l bin ngu nhin,

(Y / X i )
Quan h hm s : x ! y H s tng quan : X ,Y [-1 ; 1] Tng th (Population): tt c cc phn t cha

du hiu nghin cu
Phn tch da trn ton b tng th

 thun tin: m hnh mt bin c lp, X

Y X gii thch cho Y, Y ph thuc vo X

M HNH HI QUY TNG TH

X = X i (Y / X i ) c quy lut phn phi xc sut

! E(Y / X i ): trung bnh (k vng) c iu

kin

X = X i ! E(Y / X i ): quan h hm s E (Y / X i ) = f ( X i ) hoc E (Y / X ) = f ( X )

Gi l hm hi qui tng th

PRF: Population Regression Function

M HNH HI QUY TNG TH

Dng ca PRF ty thuc m hnh kinh t,

gm cc h s (coefficient) cha bit

Nu hm hi quy tng th c dng ng

thng:
E (Y / X ) = 1 + 2 . X 1 = E (Y / X = 0) : h s chn (intercept term)
E (Y / X ) 2 = : h s gc (slope coefficient) X

 PRF cho bit quan h gia bin ph thuc

v bin gii thch v mt trung bnh trong tng th.

M HNH HI QUY TNG TH

Hm hi quy tng th c gi l tuyn tnh

nu n tuyn tnh theo tham s. Gi tr c th Yi (Y / X i ) , thng thng Yi E (Y / X i ). t ui = Yi E (Y / X i ) : l yu t ngu nhin (nhiu, sai s ngu nhin - Random errors)

 Tnh cht ca yu t ngu nhin : E(ui) = 0 i

i din cho tt c nhng yu t khng phi bin gii thch trong m hnh nhng cng tc ng ti bin ph thuc.

M HNH HI QUY MU
Khng bit ton b Tng th, nn dng ca

PRF c th bit nhng gi tr j th khng bit.

Mu : mt b phn mang thng tin ca tng

th. W = {(Xi, Yi), i = 1 n} c gi l mt mu kch thc n, n quan st (observation).

 Trong mu W, tn ti mt hm s m t xu th

bin ng ca bin ph thuc theo bin gii thch v mt trung bnh, Y = f ( X ) gi l hm hi qui mu Function). (SRFSample Regression

Hm hi qui mu c dng ging PRF

Nu PRF c dng E (Y / X i ) = 1 + 2 . X i th SRF c dng Yi = 1 + 2 . X i

V c v s mu ngu nhin, nn c v s gi

tr ca 1 v 2 j l bin ngu nhin.

 Vi mu c th w kch thc n, j l s c th.

Thng thng Yi Yi , t ei = Yi Yi v gi l

phn d (residual).
Bn cht ca phn d ei ging nh ca yu t

ngu nhin ui

TM TT
E (Y / X ) = 1 + 2 . X

Yi = 1 + 2 . X i + ui

 Yi = 1 + 2 X i Yi = 1 + 2 X i + ei
Yi , 1 , 2 , ei l cc c lng im tng

ng ca E(Y / X i ), 1 , 2 ,ui M HNH HI QUY TNG QUT

M hnh hi quy k bin, 1 bin ph thuc v

( k 1 ) bin gii thch, k h s (k c h s

chn).

E(Yi ) = 1 + 2 X 2 i + 3 X 31 + ... + k X ki
Yi = 1 + 2 X 2 i + 3 X 31 + ... + k X ki + ui

Yi = 1 + 2 X 2 i + 3 X 31 + ... + k X ki
Yi = 1 + 2 X 2 i + 3 X 31 + ... + k X ki + ei

1 = E(Y / X 2 = X 3 = ... = X k = 0 ): h s chn

E(Y ) ( j = 2,k ): h s hi quy ring-h s j = X j

gc

M HNH TRONG KINH T

Hm bc nht

C = 1 + 2Y + u
Q = 1 + 2 P + u
D D

Q = 1 + 2 P + u
S

Hm bc cao

TC = 1 + 2Q + 3Q 2 + 4Q 3 + u MC = 2 + 2 3Q + 3 4Q 2 + u' Q = 1 + 2 AD + 3 AD 2 + u

M HNH TRONG KINH T

Dng hm m: v d hm sn xut dng

Cobb-Douglas Q = 0 K 2 L 3 tuyn tnh ha v xy dng m hnh kinh t lng:

Ln( Q ) = 1 + 2 Ln( K ) + 3 Ln( L ) + u
Hm th hin tnh xu th

T l bin xu th thi gian, T = 0,1,2, Y = 1 + 2 X + 3T + u

M hnh c bin tr : Yt = 1 + 2 X t + 3 X t 1 + u M hnh t hi quy : Yt = 1 + 2 X t + 3Yt 1 + u

CHNG II. C LNG V PHN TCH M HNH KINH T LNG

2.1. c lng m hnh 2 bin 2.2. c lng m hnh tng qut 2.3. Cc gi thit ca phng php OLS 2.4. Cc tham s ca c lng OLS 2.5. c lng khong tin cy ca cc h

s
CHNG II. C LNG V PHN TCH M HNH KINH T LNG
2.6. Kim nh gi thuyt v cc h s 2.7. c lng v t hp cc h s hi

quy
2.8. Kim nh v t hp cc h s hi

quy
2.9. S ph hp ca hm hi qui

 2.10. Kim nh thu hp hi quy 2.11. D bo

C LNG M HNH HI QUY HAI BIN

M hnh hi qui hai bin l m hnh gm mt

bin ph thuc (Y) v mt bin gii thch (X).

M hnh c dng: E(Y / X i ) = 1 + 2 X i

Yi = 1 + 2 X i + ui
Vi mu kch thc n : W = {(Xi, Yi), i = 1 n},

tm 1 , 2 , sao cho SRF: Yi = 1 + 2 X i phn

nh xu th bin ng v mt trung bnh ca mu.

Tm 1 , 2 sao cho
(Yi Yi )2 = ei2 min
i =1 i =1 n n

 = XY X Y Gii c nghim 2 2 2 X ( X )

1 = Y 2 X

xi = X i X t 2 = yi = Yi Y

x i yi
i =1 n

x
i =1

2 i

1 , 2 c lng bng phng php bnh phng nh nht - LS, gi l cc c lng

bnh phng nh nht (cc c lng LS) ca

1 v 2 .

C LNG M HNH TNG QUT

Vic c lng m hnh hi quy tng qut

cng thc hin nh i vi hi quy n, vi

tiu chun l tm j sao cho (Yi Yi )2 = ei2
i =1 i =1 n n

t cc tiu. S dng ngn ng ma trn, xc nh c ma trn cc h s c lng = ( X ' X )1 X 'Y vi

1 X 21 1 X 22 X= . 1 X 2 n

X 31 X 32 X 3n

... X k 1 ... X k 2 ... X kn

Y1 1 Y2 = 2 Y= . . . Yn k

CC GI THIT CA PHNG PHP LS

Gi thit 1:

Hm hi quy tuyn tnh theo h

s
Gi thit 2: Bin c lp l phi ngu nhin Gi thit 3: Trung bnh ca sai s ngu nhin

bng 0: E( ui ) = 0 ( i )
Gi thit 4: Phng sai sai s ngu nhin ng

nht Var( ui ) =

( i )

 Gi thit 5: Cc sai s ngu nhin khng

tng
Cov( ui ,u j ) = 0( i j )

quan

Gi thit 6: SSNN v bin c lp khng

tng quan Cov( ui , X i ) = 0( i )

Gi thit 7:

S quan st nhiu hn s h s

Gi thit 8: Gi tr ca bin c lp c s khc

bit ln
Gi thit 9:

Hm hi qui c xc nh ng

Gi thit 10: Cc bin c lp khng c quan

h cng tuyn
Gi thit 11: Yu t ngu nhin phn phi

chun

NH L

Nu tng th tha mn cc gi thit trn th c lng OLS s l c lng tuyn tnh, khng chch, tt nht (trong s cc c lng khng chch) ca cc tham s.
(BLUE: Best Linear Unbias Estimate)

CC THAM S CA C LNG LS
Vi hi quy n

K vng: E( j ) = j ( j = 1 , 2 )

Phng sai: Var( 1 ) =

n xi2
i =1 2

i =1 n

X i2

)= Var( 2 n
i =1

xi2
(j = 1,2)

lch chun: Se( j ) = Var( j )

ei2 2 cha bit, c c lng bi : 2 = n2 gi l lch chun ca hi qui (Se. of Regression)

Vi hi quy tng qut

E( j ) = j ( j = 1 ,k )

Var( 1 ) Cov( 1 , 2 ) Var( 2 ) Cov( 1 , 2 ) Cov( )= . . Cov( k , 1 ) Cov( k , 2 )

. Cov( 1 , k . Cov( , . .

) 2 k ) . Var( k )

 Cov( ) = 2 ( X ' X )1

ei2 2 = vi k l s tham s cn c lng nk

C LNG KHONG CC H S HI QUY

tin cy 1 cho trc, c lng khong

tin cy i xng, ti a, ti thiu ca cc h s hi quy ( ( j Se( j )t n k ) < j < j + Se( j )t n k ) /2 /2

( j < j + Se( j )t n k )
Se( )t ( n k ) j > j j
ngha v cch s dng cc khong tin cy

- Quan h thun chiu - Quan h ngc chiu

KIM NH GI THIT V CC H S Cp gi thit

H0 : j = * j H1 : j * j

Tiu chun kim nh

Min bc b Gi thit H0
( Tqs > t n k ) /2

H0 : j * j H1 : j > * j

Tqs =

j * j Se( j )

( Tqs > t n k )

 H0 : j * j H1 : j < * j

( Tqs < t n k )

 Trng hp c bit, j = 0 , thng kim nh

v bn cht ca mi lin h ph thuc. Khi Tqs =

j Se( j )

= T Statistic

Trng hp c bit, kim nh cp gi thit

H0 : j = 0 H1 : j 0 c th s dng quy tc p-value (Prob) nh sau :

Nu p-value < bc b H0 Nu p-value > chp nhn H0

BO CO KT QU C LNG M HNH BNG PHN MM EVIEWS 4.1

Dependent Variable: Q Method: Least Squares Date: 12/18/09 Time: 22:55 Sample: 1 20 Included observations: 20 Variable P AD C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -113.4178 -83.87101 1373.239 0.739941 0.709346 83.73264 119189.6 -115.3062 1.938188 Std. Error 32.03207 15.27991 171.4084 t-Statistic -3.540759 -5.488973 8.011507 Prob. 0.0025 0.0000 0.0000 460.2000 155.3125 11.83062 11.97998 24.18486 0.000011

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

C LNG PHNG SAI CA YU T NGU NHIN

c lng im
n

2 =

i =1

ei2

nk

= (Se. of Regression)2

c lng khong

2( n k ) 2( n k ) 2 < < 2 2 ( n k ) (n k )
2 1 2

C LNG KHONG T HP TUYN TNH CC H S HI QUY

KTC i xng

b ) Se( a b )t ( n k ) < a b < ( a i j i j /2 i j ( < ( a i b j ) + Se( a i b j )t n k ) /2

Se( a i b j ) = a 2Var( i ) 2abCov( i , j ) + b 2Var( j ) KTC ti a v ti thiu: tng t V d minh ha

KIM NH V T HP TUYN TNH CC H S HI QUY Cp gi thit

H 0 : a i + b j H 1 : a i + b j H 0 : a i + b j H 1 : a i + b j =c c

Tiu chun

Min bc b
( Tqs > t n k ) /2

( a i + b j ) c c Tqs = ( Se( a i + b j ) Tqs > t n k ) >c

 H 0 : a i + b j c H 1 : a i + b j < c

( Tqs < t n k )

S PH HP CA HM HI QUY
H s xc nh R2

yi = Yi Y i = Yi Y y e = Y Y
i i

yi = i + e y

+ e2 yi = yi i
2 2
i =1 i =1 i =1

TSS = ESS + RSS TSS (Total Sum of Squares): o tng mc bin ng ca bin ph thuc ESS (Explained Sum of Squares): phn bin ng ca bin ph thuc c gii thch bi

m hnh - bi cc bin gii thch trong m hnh. RSS (Residual Sum of Squares): phn bin ng ca bin ph thuc c gii thch bi cc yu t nm ngoi m hnh - Yu t ngu nhin. ESS RSS 2 = 1 ( 0 R2 1 ) t R = TSS TSS gi l H s xc nhca m hnh R-Squared

ngha H s xc nh R2 l t l (hoc t l %) s bin ng ca bin ph thuc c gii thch bi s

bin ng ca cc bin c lp (theo m hnh, trong mu).

H s xc nh hiu chnh (Adjusted R-squared)

RSS / ( n k ) 2 n1 = 1 (1 R ) R = 1 TSS / ( n 1 ) nk Kim nh s ph hp ca hm hi quy

2

 H0 : R = 0 H1 : R2 0
2

H0: Hm hi quy khng ph hp (tt c cc bin gii thch cng khng c nh hng ti bin ph thuc)

H 0 : 2 = ... = k = 0 H1: Hm hi quy ph hp (c H 1 : j 0( j 1 ) t nht 1 bin gii thch c nh hng ti bin ph thuc)

ESS / ( k 1 ) R2 nk = Fqs = 2 RSS / ( n k ) 1 R k 1

F-

Statistic

Fqs > F( k 1 ,n k ): bc b H0 Fqs < F( k 1 ,n k ): chp nhn H0

C th s dng gi tr Prob (F-Statistic) thc hin kim nh Nu p-value < bc b H0 Nu p-value > chp nhn H0

KIM NH THU HP HI QUY Nghi ng m bin gii thch Xk-m+1,, Xk khng gii thch cho Y
H 0 : k m +1 = k m + 2 ... = k = 0 H 1 : j 0 : ( j = k m + 1 k ) E(Y ) = 1 + 2 X 2 + 3 X 3 + ... + k X k

(L) E(Y ) = 1 + 2 X 2 + 3 X 3 + ... + k m X k m (N)

RSS N RSS L n k R R nk Fqs = = RSS L m 1 R m
2 L 2 N 2 L

Nu Fqs > F( m ,n k ): bc b H0 KIM NH THU HP HI QUY

Kim nh thu hp hi quy cho php xem xt

c nn b i ng thi 1 s bin ra khi m hnh hay a thm vo m hnh ng thi 1 s bin.

C th s dng kim nh v cc rng buc

tuyn tnh v cc h s hi quy.

Nu cc rng buc tuyn tnh lm thay i

bin ph thuc ca m hnh th phi tnh Fqs theo RSS.

Khi m = k-1 kim nh s ph hp hm HQ

D BO
Vi m hnh hi quy 2 bin

c lng khong cho gi tr trung bnh ca bin ph thuc khi bin gii thch nhn gi tr xc nh X = X0 ( ( Y0 Se(Y0 )t n/ 2 ) < E(Y / X 0 ) < Y0 + Se(Y0 )t n/ 2 ) 2 2

 vi Y0 = 1 + 2 X 0 v
) = 1 + ( X0 X ) Se(Y0 xi2 n
2

D bo bng c lng im

D BO
Vi m hnh hi quy tng qut

c lng khong cho gi tr trung bnh ca bin ph thuc khi cc bin gii thch nhn gi
0 0 0 tr xc nh X 0 = ( 1 , X 2 , X 3 ,...., X k )

( ( Y0 Se(Y0 )t n/ k ) < E(Y / X 0 ) < Y0 + Se(Y0 )t n/ k ) 2 2 = X 0' v Se(Y ) = X 0'(X'X)1 X 0 vi Y0 0

D bo bng c lng im

CHNG III. NH GI V M HNH

(Diagnostic Tests)

3.1. a cng tuyn (Multicollinearity) 3.2. Phng sai sai s thay i

(Heteroscedasticity)

3.3. T tng quan (Autocorrelation) 3.4. nh dng m hnh (Model specification)

C S NH GI

 nh l Gauss-Markov: Nu m hnh tha

mn cc gi thit ca phng php LS th cc c lng thu c khi s dng phng php LS l tuyn tnh, khng chch, tt nht
Cc gi thit khng c tha mn: cc c

lng khng tt, kt qu khng ng tin cy, khng dng phn tch c, cn phi khc phc

A CNG TUYN M hnh E(Y ) = 1 + 2 X 2 + 3 X 3 + ... + k X k Gi thit ca LS: cc bin gii thch khng c quan h cng tuyn (m hnh c k 3).
Nu gi thit b vi phm m hnh c hin

tng a cng tuyn (Multicollinerity).

C 2 loi a cng tuyn

- CT hon ho - CT khng hon ho

PHN LOI A CNG TUYN

a cng tuyn hon ho

j 0 (j 1) sao cho

1 + 2 X2i + + k Xki = 0 i
a cng tuyn khng hon ho
j 0 (j 1) sao cho

1 + 2 X2i + + kXki + vi = 0

NGUYN NHN V HU QU CT hon ho thng do lp m hnh sai: t khi xy ra khng gii c nghim.
CT khng hon ho thng xy ra: do bn

cht KTXH ca quan h, do thu thp v x l s liu.

CT khng hon ho vn gii c nghim,

tm c cc duy nht, nhng kt qu khng tt, sai s ca cc c lng ln: - Cc c lng LS khng cn l c lng tt nht

- Khong tin cy ca cc h s rng hn - Kim nh T khng ng tin cy, c th cho nhn nh sai lm
CT nng cc kim nh T v F c th cho

kt lun mu thun nhau, cc h s c lng c c th c du khng ph hp vi l thuyt kinh t.

CT khng hon ho l hin tng gp vi

hu ht cc m hnh, nu gy hu qu nghim trng th cn phi khc phc.

PHT HIN KHUYT TT Mt s du hiu cho php nghi ng s c mt ca CT trong m hnh.

Nghi ng bin gii thch X j ph thuc tuyn

tnh vo cc bin gii thch khc, hi qui m hnh hi qui ph (auxilliary regression)
X j = 1 + 2 X 2 + ... + j 1 X j 1 + j +1 X j +1 + ... + v

(*)

 H 0 : R*2 = 0 2 H 1 : R* 0
Fqs > F
( k* 1 ,n k* )

R n k* Fqs = 2 1 R* k* 1
2 *

th bc b H0

m hnh ban u c a cng tuyn

Fqs < F( k* 1 ,n k* ) cha bc b H0

c th ni MH ban u khng c a cng tuyn
C th c nhiu hi quy ph xem xt v

CT ca 1 m hnh nhiu bin ban u.

 C th dng kim nh T cho cc h s gc

ca m hnh hi quy ph v kt lun tng t.

C mt s tiu chun khc cng c th c

s dng kim nh v CT ca m hnh

KHC PHC KHUYT TT

B bt bin c lp gy a cng tuyn Ly thm quan st hoc thu thp mu mi

 Thay i dng m hnh S dng thng tin tin nghim bin i m

hnh

PHNG SAI CA SAI S THAY I

Phng sai cc yu t ngu nhin l ng

nht, Var( ui ) = 2 ( i ) khng i gi thit ca LS

 Nu gi thit c tha mn Phng sai

ca sai s ng homoscocedasticity).

(khng

Khi gi thit khng tha mn: i j m

Var( ui ) Var( u j ) Phng sai ca sai s

thay i (heterscocedasticity).
K hiu Var( ui ) = i 2

NGUYN NHN V HU QU Bn cht KTXH ca mi quan h: s dao

ng ca bin ph thuc trong nhng iu kin khc nhau khng ging nhau.
Qu trnh thu thp s liu khng chnh xc, s

liu khng phn nh ng bn cht hin tng; do vic x l, lm trn s liu.

Cc c lng l khng chch, nhng

khng hiu qu, khng phi l tt nht.

Cc kim nh T, F c th sai, KTC rng.

PHT HIN KHUYT TT

 i 2 cha bit, phn on v s bin ng

ca n dng ei2 hoc ei i din. S dng cc m hnh hi quy ph, da trn gi thit v s bin ng ca i 2 . - Kim nh Glejser:
e = 1 + 2 X i + vi
2 i

ei2 = 1 + 2 X i2 + vi e = 1 + 2 X i + vi
2 i

- Kim nh Park: Ln( ei2 ) = 1 + 2 ln( X i ) + vi K da trn bin ph thuc:

ei2 = 1 + 2Yi 2 + vi

Dng kim nh T hoc F kim nh

PHT HIN KHUYT TT - KIM NH WHITE Hi qui bnh phng phn d theo t hp bc cao dn ca cc bin gii thch.
MH ban u Yi = 1 + 2 X 2 + 3 X 3 + ui MH hi qui ph :
2 2 ei2 = 1 + 2 .X 2 i + 3 .X 3 i + 4 .X 2 i + 5 .X 3 i + 6 .X 2 i .X 3 i + V

H 0 : R*2 = 0 Kim nh gi thit H 1 : R*2 0 2 - Kim nh 2 : qs = nR*2

2 2 Nu qs > ( k* 1 ) th bc b H0.

R n k* - Kim nh F: Fqs = 2 1 R* k* 1
2 *

Nu Fqs > F( k* 1 ,n k* ) th bc b H0. Nu bc b H0 th m hnh ban u c phng sai ca sai s thay i v ngc li.
M hnh ph thc hin kim nh c th c

hoc khng c tch cho gia cc bin c lp ban u, c th c ly tha bc cao hn ca cc bin c lp v phi c h s chn.

KHC PHC KHUYT TT S dng phng php bnh phng nh nht tng qut GLS.
Nu bit i 2 , chia hai v m hnh cho i

Yi

= 1

Yi* = 1 X i0 + 2 X i* + u* i
Var( u* ) = 1 khng i i

+ 2

Xi

ui

Nu cha bit , da trn gi thit v s thay

i ca m c cch khc phc tng ng.

KHUYT TT T TNG QUAN Hin tng thng gp vi s liu theo thi gian nn s dng ch s t thay cho ch s i .
MH ban u

Yt = 1 + 2 X 2 t + 3 X 3 t + ... + k X kt + ut
Gi thit ca phng php LS: cc sai s

ngu nhin khng tng quan vi nhau

Cov( ui ,u j ) = 0( i j ) hoc

Cov( ut ,ut p ) = 0( p 0 )
Nu gi thit b vi phm m hnh c khuyt

tt t tng quan bc p (Autocorrelation Order

p)

T TNG QUAN BC 1 Xt trng hp p = 1 t tng quan bc 1

ut = ut 1 + t ( 1 1 )

t tha mn cc gi thit ca phng php LS

c gi l h s t tng quan bc 1

1 < 0 : m hnh c t tng quan m

0 < 1: m hnh c t tng quan dng

= 0: m hnh khng c t tng quan

 Tng qut: t tng quan bc p :

ut = 1ut 1 + 2 ut 2 + ... + p ut p + t vi p 0

NGUYN NHN V HU QU
Do bn cht ca mi quan h Tnh qun tnh trong cc chui s liu Qu trnh x l, ni suy, ngoi suy s liu M hnh thiu bin hoc dng hm sai

Cc c lng LS l c lng khng

chch nhng khng phi c lng hiu qu/khng phi c lng tt nht.

PHT HIN KHUYT TT

Kim nh Durbin-Watson

- Dng pht hin t tng quan bc 1 - Dng phn d et l i din cho ut - M hnh phi c h s chn v khng cha bin tr bc 1 ca bin ph thuc lm bin c lp (khng phi m hnh t hi

quy)
Cc bc thc hin kim nh

- c lng MH ban u thu c phn d

et
n

- Tnh d =

( et et 1 )2
t =2

et2
t =1

2( 1 )=

DW-

Statistic

 trong =

e t e t 1
t =2 n

et2
t =1

l c lng cho

1 1 nn 0 d 4

- Vi n l s quan st v k' = k 1 tra bng tm

gi tr d L v d u (bng ph lc).
Quy tc quyt nh

T tng Khng Khng c quan c kt t tng dng lun quan

Khng T tng c kt quan m lun <0 4 dL 4

>0
0

=0
dL dU
2 4 dU

KIM NH BREUSCH-GODFREY(BG) Kim nh v t tng quan bc p bt k.

Cc bc thc hin kim nh

- Hi quy m hnh ban u:

Yt = 1 + 2 X t + ut thu c phn d l et

- Hi quy cc m hnh ph:

et = 1 + 2 X t + vt (*) et = 1 + 2 X t + 1et 1 + 2et 2 + ... + pet p + vt

(**)
- Kim nh gi thit:

 H 0 : 1 = 2 = ... p = 0 H 1 : i = 0( i = 1 , p ) 2 2 2 - Kim nh 2 : qs = n** R** = ( n p ) R**

2 2 Nu qs > ( p ) th bc b H0. 2 R** R*2 n** k** - Kim nh F: Fqs = 2 1 R** p

Nu Fqs > F( p ,n** k** ) th bc b H0. Nu bc b H0 th m hnh ban u c t tng quan bc tng ng, ngc li th m hnh khng c t tng quan n bc p .

KHC PHC T TNG QUAN

S dng phng php bnh phng nh nht tng qut GLS da trn m hnh dng sai phn.

Bin i m hnh ban u v m hnh mi c cng cc h s tng ng nh m hnh c nhng khng c khuyt tt t tng quan.

Chi tit tham kho gio trnh.

NH DNG M HNH

Cc thuc tnh ca m hnh tt

- M hnh y - M hnh ph hp v l thuyt v thng k - Kh nng phn tch v d bo

Cc sai lm thng gp khi nh dng m hnh

- M hnh tha bin c lp - M hnh thiu bin c lp

- Dng hm sai

PHT HIN M HNH THIU BIN C LP Kim nh Ramsey Reset

- Hi quy m hnh ban u: Yi = 1 + 2 X i + ui

thu c gi tr c lng ca bin ph thuc

l Yi v h s xc nh l R(21 ) .
- Hi quy m hnh
Yi = 1 + 2 X i + 1Y 2 + 2Y 3 + ... + mY m +1 + ui

thu c h s xc nh l R

2 (2)

- Kim nh gi thit:
H 0 : 1 = 2 = ... m = 0 H 1 : i = 0( i = 1 ,m ) R(22 ) R(21 ) n k( 2 ) Kim nh F: Fqs = 2 1 R( 2 ) m

Nu Fqs > F

( m ,n k( 2 ) )

th bc b H0.

Nu bc b H0 th m hnh ban u thiu bin c lp cn thit.

TNG KT PHN I

Nu m hnh khng c khuyt tt, cc c lng l tt nht, c lng khong, kim nh gi thit l ng tin cy, kt qu l tt cho phn tch.

Phn tch s tc ng ca cc bin c lp n s bin ng ca bin ph thuc thng qua cc h s hi quy v h s xc nh.