Multicollinearity: a cng tuyn trong m hnh

Bi ging 10

1.a cng tuyn?

Gi nh ban u OLS
Gi nh: Cc bin c lp khng c mi quan h tuyn tnh chnh xc (exact linear relationship)
Nu iu ny xy ra th s c hin tng a cng tuyn, l hin tng cc bin c lp trong m hnh ph thuc ln nhau v th hin c di dng hm s.

V d
a cng tuyn chnh xc:
X2 X3 X4 10 50 52 15 75 75 18 90 97 24 120 129 X2 v X3 c mi quan h tuyn tnh chnh xc - X3 = 5X2

V d (tt)
Gi s chng ta c lng hm tiu dng. Y = tiu dng, X2 = thu nhp v X3 = ca ci Y = 1 + 2X2 + 3X3 X3 = 5X2 Y = 1 + 2X2 + 35X2 Y = 1 + (2 + 53)X3

V d (tt)
Chng ta c th c lng (2 + 53) nhng khng c lng ring tng h s hi qui
Khng th c nghim duy nht cho tng h s hi qui (xem li cch tnh cc h s hi qui). Nh vy cc h s hi qui s khng xc nh c.
Sai s chun ca cc h s hi qui l mt v cng ln.

Cc lai a cng tuyn

a cng tuyn chnh xc thng rt t khi xy ra trong thc t (perfect/exact collinearity)
Tr trng hp chng ta ri vo by bin gi (dummy trap chng ta s gii thiu sau)

a cng tuyn khng chnh xc thng hay xy ra trong thc t (Near collinearity) (khi cc bin c lp tng quan kh cao):
Trng hp th hai chng ta c th c lng cc h s hi qui.

a cng tuyn
Nhn dng hnh hc Nghin cu tnh hung

2. Ngun gc ca Multicollinearity

Ngun gc a cng tuyn

Do phng php thu thp d liu
cc gi tr ca cc bin c lp ph thuc ln nhau trong mu, nhng khng ph thuc ln nhau trong tng th. C mu nh xu hng quan h b thin lch V d: mi quan h tiu dng my lnh v tng chi tiu v s kwh thnh th/nng thn.

Ngun gc Multicollinearity
Dng hm m hnh:
V d: hi qui dng cc bin c lp c bnh phng (dng hm) s xy ra a cng tuyn v c bit khi phm vi gi tr ban u ca bin c lp l nh.

Cc bin c lp v m c quan st theo d liu chui thi gian

V d: Nhp khu quc gia ph thuc vo GDP v CPI (cc ch s ny c thu thp t d liu chui thi gian).

3. H qu a cng tuyn

H qu
a cng tuyn chnh xc/han ho
Chng ta khng th c lng c m hnh Cc phn mm my tnh s bo cc tn hiu sau
Matrix singular: ma trn khc thng m my tnh khng th thc hin c khi c lng cc h s hi qui Exact collinearity encounted: trng hp a cng tuyn hon ho (chnh xc)

H qu
H qu khi c a cng tuyn khng hon ho
(1) c lng OLS vn BLUE
c lng khng chch Phng sai ca h s c lng vn t minimum nhng so vi gi tr ca c lng th li qu ln. Coi li gi nh 3.2 3.7 trong Ramanathan

H qu
(2) Sai s chun ca cc h s s ln.
Khong tin cy ln v thng k t t ngha. Cc c lng khng hiu qu. D sai lm khi khng c c s bc b gi thit khng v iu ny c th khng ng.

H qu thc tin
(3) R2 rt cao cho d thng k t t ngha
Ti sao h s xc nh li cao?
Khng c nhiu nhng bin i khc bit gia cc bin s c lp v chng thc s c mi quan h vi nhau

D dng bc b gi thuyt khngca thng k F v cho rng m hnh c lng c ga tr

H qu thc tin
(4) Cc c lng v sai s chun ca c lng rt nhy cm vi s thay i ca d liu
Ch cn mt s thay i nh trong mu d liu (tng c mu) Ch cn thay i mt/vi bin c lp

V d
Xem kt qu c lng hm tiu dng:
Y = 24.77 + 0.94X2 - 0.04X3 t (3.67) (1.14) (-0.53) R2=0.96, F = 92.40 X2 : thu nhp X3 : ca ci R2 rt cao gii thch 96% bin i ca hm tiu dng

V d
Khng c bin c lp no c ngha (thng k t qu thp). C mt bin sai du. Gi tr thng k F rt cao dn n bc b gi thuyt khng v cho rng m hnh c lng c ngha.
Bin thu nhp v ca ci tng quan rt mnh vi nhau do khng th no c lng c tc ng bin chnh xc cho thu nhp hoc ca ci ln tiu dng.

V d
Thc hin hi qui X3 theo X2
X3 = 7.54 + 10.19X2 (0.26) ( 62.04) R2 = .99 Hu nh chng ta c a cng tuyn rt cao gia X2 v X3 Y = 24.45 + 0.51X2 (3.81) (14.24) R2= 0.96

Hi qui tiu dng theo thu nhp:

V d
Bin thu nhp tr nn c ngha thng k, nhng trc lc trong m hnh u th khng c ngha.

Tng t hi qui thu nhp Y theo ca ci:

Y = 24.41 + 0.05X3 t (3.55) (13.29) R2 = 0.96 Bin ca ci tr nn c ngha thng k, nhng trc lc trong m hnh u th khng c ngha.

4. Nhn dng a cng tuyn

Cc du hiu t hi qui
(1) R2 cao v thng k t thp. (2) Tng quan tuyn tnh mnh gia cc bin c lp
Xy dng ma trn h s tng quan cp Xt v ngha kinh t cc bin c kh nng tng quan cao

Cc phng php nhn bit

(3) Thc hin hi qui ph Hi qui gia mt bin c lp vi tt c cc bin c lp vi nhau v quan st h s R2 ca cc hi qui ph Thc hin tnh thng k F
F = [R2/(k-1)] /[(1-R2)/(n-k)] k s bin c lp trong hi qui ph Nu F > F* th chng ta c th kt lun rng R2 khc khng theo ngha thng k v iu ny c ngha l c a cng tuyn trong m hnh.

Cc phng php nhn bit

(4) Tha s tng phng sai (Variance inflation factor-VIF)
VIF = 1/(1-rij2) rij2 l h s tng quan gia hai bin c lp trong m hnh. Khi rij tng lm VIF tng v lm tng mc a cng tuyn
Rule of thumb >= 10 c hin tng a cng tuyn gia hai bin c lp trong m hnh

5. Cc gii php khc phc a cng tuyn

Khng lai tr a cng tuyn

Khi t > 2 v du k vng ng R2 ca m hnh cao hn R2 ca m hnh hi qui ph. Khi xy dng m hnh s dng d bo ch khng phi kim nh.

Lai tr a cng tuyn

B bt bin c lp.
Lu li bin quan tm Lai b bin c tng quan yu vi bin ph thuc nhng li c tng quan mnh vi bin bin quan tm.

Lai tr a cng tuyn

B sung d liu hoc tm d liu mi
Tm mu d liu khc hoc gia tng c mu
Nu mu ln hn m vn cn multicollinearity th vn c gi tr v mu ln hn s lm cho phng sai nh hn v h s c lng chnh xc hn so vi mu nh.

Lai tr a cng tuyn

Thay i dng m hnh
M hnh kinh t lng c nhiu dng hm khc nhau. Thay i dng m hnh cng c ngha l ti cu trc m hnh

Lai tr a cng tuyn

S dng sai phn cho cc bin ca m hnh
Sai phn lm cho vn a cng tuyn c th nh i Quay tr li v d hm tiu dng.
Thu nhp v ca ci c mi quan h kh cht ch v do khng trnh khi a cng tuyn

Lai tr a cng tuyn

Chng ta mun c lng
Yt = 1 + 2X2t + 3X3t+ et

ng vi t-1
Yt-1 = 1 + 2X2t-1 + 3X3t-1+ et-1

Ly sai phn cc bin theo thi gian

Yt-Yt-1= 2(X2t-X2t-1)+ 3(X3t-X3t-1)+vt