Vn c bn v m hnh s liu mng tuyn tnh vi yu t khng quan st (pg 247 -

265)
Trong Chng 7, chng ta xem xt tng quan v mt lp ca cc m hnh s liu mng
tuyn tnh, mc ti thiu, sai s trong mi khong thi k c gi nh l tng quan vi
cc bin gii thch trong cng mt khong thi gian. i vi cc ng dng s liu mng, gi
nh ny l qu mnh. Trn thc t, mc ch chnh cho vic s dng s liu mng l gii
quyt vn cc bin b b st.
Trong chng ny, chng ta nghin cu cc m hnh tng th vi mt thi gian lin tc, nh
hng khng quan st c. nghin cu trong chng ny l mi vi ngha rng nhng nh
hng khng quan st c c coi nh l cc bin ngu nhin, rt ra t tng th cng vi
bin c gii thch v cc bin gii thch, i lp vi cc tham s c lng c. Trong
khun kh ny, vn chnh l liu cc yu t khng quan st c l c tng quan vi cc
bin gii thch khng?
10.1 vn thm bin
D thy rng s liu mng c s dng nh th no, t nht l di mt s gi thit l c
c cc c lng vi s c mt ca bin thm vo.
t y v X = (x1, x2,., xk) l cc bin ngu nhin c quan st, v t c l bin ngu nhin
khng quan st c; vector (y, x1, x2, ... ; xk, c) i din cho ton b tng th quan tm.
Thng thng, trong trng hp trong ng dng trong kinh t, chng ta quan tm n nhng
nh hng tng phn ca cc quan st ca bin gii thch xj trong hm hi quy tng th
E(y/ x1, x2, ... ; xk; c) (10.1)
Ni cch khc, chng ta mun gi c lin tc khi c c nh hng tng phn ca cc quan
st ca bin gii thchquan st. Theo Chamberlain (1984) trong vic s dng c biu th
cho bin khng quan st c. Phn ln cc ti liu s liu mng s dng k t Hy Lp, chng
hn l hoc , nhng chng ta mun nhn mnh rng khng quan st c l mt bin ngu
nhin, khng phi l mt tham s c lng (Chng ta tho lun v im ny trong mc
10.2.1.)
Gi s trong m hnh tuyn tnh, vi c thm vo cng vi xj, ta c
E(y/X; c) =
0
+ X + c (10.2)
Trong iu quan tm nm trong vector (k x 1). Mt mt, nu c khng tng quan vi
mi xj, th c ch l mt yu t khc khng quan st c nh hng n y, iu khng tng
quan c tnh h thng n quan st ca cc bin gii thch. Mt khc, nu Cov (xj, c) 0 vi
mi j, th s a c vo loi sai s, khi c th gy vn nghim trng. Nu khng c thm
thng tin, ta khng th c lng thch hp, cng s khng th xc nh xem liu c vn
no (ngoi tr bng cch t quan st, hoc cc c lng ca l bng cch no khng
hp l).
Theo gi thit b sung, c nhiu cch gii quyt cc vn Cov(x, c) 0. Ta khi qut t
nht l ba kh nng trong trng hp phn tch s liu cho:
(1) ta c th c th tm mt bin i din thch hp cho c, trong trng hp chng ta c th
c lng phng trnh bng OLS gn cho c;
(2) ta th c th tm mt s cng c cho cc yu t ca X m c tng quan vi c v s dng
phng php cc bin cng c, chng hn nh 2SLS,
(3) Ta c th c th tm thy cc ch s ca c, sau c th s dng th tc cc bin cng c cho
nhiu ch s.
Nhng gii php ny c cp trong Chng 4 v 5.
Nu chng ta phi c mt thnh phn cho duy nht ca quan st, t ba bin php khc
phc c lit k, hoc cc bin thc nh trong s cc quan st, phn ln l lp y cc kh
nng. Tuy nhin, nu chng ta c th quan st cc n v s liu mng nh nhau ti cc thi
im khc nhau theo thi gian, c ngha l, nu chng ta c th thu thp d liu ca s liu
mng th cc kh nng khc s xy ra.
minh ho, gi s chng ta c th quan st y v x ti hai thi im khc nhau, gi
yt, Xt vi t = 1, 2. Hin ti, tng th i din cho hai thi k trn cng mt n v. Ngoi ra,
gi s bin b b qua c l lin tc. T , ta ch n hm hi quy tng th:
E(y
t
/X
t
; c) =
0
+ X
t
+ c , t = 1,2 (10.3)

trong : X
t
=
1
x
t1
+ .+
k
x
tk

vi x
tj
l bin x
j
xc nh ti thi im t
M hnh (10,3) gi nh rng c c cng tc ng n cc kt qu trung bnh trong mi khong
thi gian.
khng mt tnh tng qut, ta t c =1 .
(V c l khng quan st v hu nh khng c mt n v o lng, s l v ngha c gng
c lng nh hng ca c)
Gi nh rng c l hng s theo thi gian (v c tc ng lin tc theo thi gian) l rt quan
trng phn tch sau ny.Bin lin tc c gi l mt tc ng khng quan st trong phn
tch d liu mng. Khi t i din cho cc khong thi gian khc nhau ca cng mt c th, nh
hng khng quan st ny thng c hiu l tnh nng c c ca mt c th, chng hn
nh kh nng nhn thc, vn ng, hoc hc vn, c a ra v khng thay i theo thi gian.
Tng t nh vy, nu mi quan st l xc nh, c cha cc c tnh xc nh khng r rng,
chng hn nh cht lng qun l, cu trc, c th c xem nh l (khong) lin tc trong
ton b
c cp. Chng ta xem xt mt s v d xc nh v cc m hnh hin ng khng quan st
m hnh ti Mc 10,2.

tho lun v cc gi nh b sung c lng , n rt hu ch vit m hnh (10.3)
di hnh thc sai s nh sau:
y
t
=
0
+ X
t
+ c + u
t
(10.4)
trong ta nh ngha: E(u
t
/x
t
, c) = 0 vi t = 1,2 (10.5)
iu ng rng: E(x
t
u
t
) = 0 vi t = 1,2 (10.6)

Nu chng ta gi thit rng E(x
t;
c) = 0, chng ta c th p dng OLS gp, nh chng ta khi
qut trong Mc 7.8. Nu c l tng quan vi bt k thnh phn ca x
t
, OLS gp b nh hng
v khng ph hp.
Vi d liu 2 nm, ta c th dng phng trnh (10.4) khc thng qua hai khong thi gian
loi b yu t khng quan st c thi gian lin tc , c,
Ta nh ngha: y = y
2
- y
1
; x = x
2
- x
1
; u = u
2
- u
1
T , ta c dng (10.4) khc: y = x + u (10.7)
y ch l mt m hnh tuyn tnh chun ha trong cc dng khc ca tt c cc bin (mc d
h s chn c b ra). iu quan trng, cc vector tham s quan tm, , xut hin trc tip
trong phng trnh (10,7), v cc biu din ny gi phng trnh (10,7) c lng bng
OLS. Vi mt d liu mng hai khong thi gian, phng trnh (10.7) ch l phng trnh s
liu cho chun ha. Theo nhng g gi nh; cc c lng OLS t phng trnh (10.7) s l
ph hp?
V chng ta gi nh t mt mu ngu nhin t tng th, chng ta c th p dng cc kt qu
trong Chng 4 trc tip vo phng trnh (10,7). iu kin then cht cho OLS lun
c lng c l:
- iu kin trc giao (gi thit OLS.1) : E(xu) = 0 (10.8)
- iu in hng (gi thit OLS.2) : E(xx) = K (10.9)
iu kin (10.8), ta c:
E((x
2
- x
1
)(u
2
- u
1
)) = 0 hay
2 2 1 1 1 2 2 1
( ) ( ) ( ) ( ) 0 E x u E x u E x u E x u ' ' ' ' + = (10.10)
Hai yu t u tin trong phng trnh (10,10) l bng 0 do iu kin (10.6), gi cho
t = 1, 2. Nhng iu kin (10.5) khng m bo rng x1 v u2 l khng tng quan hoc x2 v
u1 l khng tng quan. C th l do t gi nh rng iu kin (10.8) gi nguyn, nhng ta
nhn ra rng n khng tun theo iu kin (10.5). Gi s rng sai s u
t
khng tng quan vi
x1 v x2 vi t = 1, 2 l mt v d v mt gi nh cht v trong cc m hnh s liu mng vi
cc thnh phn khng quan st c. Chng ta tho lun v cc gi nh ngt tng qut trong
Mc 10,2
Ta nhn mnh rng gi nh cov(x
t;
u
s
) = 0 vi mi t ,s t trong mi tng quan
gia xt v cc nh hng khng quan st c.
Gi nh th hai, iu kin (10.9), cng ng c quan tm bi v cc yu t ca x
t
xut hin
trong phng trnh cu trc (10.3) c phn bit theo thi gian.
Nu xt c cha mt bin lin tc theo thi gian cho mi gi tr ca tng th; t x bao gm
phn nhp ging nhau bng khng, v iu kin v (10.9) khng tha mn. Kt qu ny khng
phi l ng ngc nhin: nu c c cho tng quan vi cc yu t ca xt, tc ng ca bin
bt k m bin l hng s theo thi gian, khng c tch bit vi tc ng ca c. V vy,
Ta ch c th c lng j khi c mt s bin thc trong xtj theo thi gian.
Trong phn cn li ca chng ny, ta s khi qut nhiu cch khc nhau gii quyt cc tc
ng khng quan st c vi cc gi nh c t ra khc nhau. Gi s chng ta c
lp i lp li quan st trn mt b s liu mng ca N c th, h gia nh, cc cng ty, trng
hc huyn, thnh ph, hoc mt s n v kinh t no . Nh trong Chng 7, chng ta gi
nh trong rng chng ti c khong thi gian nh nhau, k hiu l t = 1, 2; ... T, cho b s liu
mng. Mt b d liu thng c gi l mt bng cn bng (balanced panel) bi v cng mt
thi gian tn ti tt c cc thnh phn phn cho. Trong khi c ch khng cn bng i hi mt
phng php m t m mng s liu c th khng cn bng v cc vn la chn mu c th
rt tinh t. V vy, chng ti khi qut mng khng cn bng ti Chng 17, ni m chng ti
tho lun v cc la chn mu v cc vn loi mu.
Chng ti vn tp trung vo tnh cht tim cn ca cc c lng, vi kch thc mu T,
c c nh v kch thc mng s liu N, khng rng buc. Vi cc kch thc N ln s
thun tin xem xt cc quan st s liu mng vi phn b c lp, nh nhau c rt ra t
tng th. i vi bt k quan st mng s liu bt k i - biu th cho mt c th, cng ty, thnh
ph, v nh vy chng ta biu th quan st ca cc bin cho tt c cc khong thi gian T bng
(yit; xit) vi t = 1,2 T) do gi thit T c nh , phn tch tim cn l ph hp vi thi gian
ph thuc ty v phn b khng ng nht qua t.
Khi p dng phn tch tim cn vi cc phng php s liu mng, iu quan trng l mi
thnh phn tim cn l hu ch trong chng mc m h cung cp 1 l do hp l cho cc thng
k v cc c lng ca cc mu hu hn. V d, tht kh bit rng khi N tin cm v
cng, vi N = 50 tiu bang; Hoa K v T = 8 nm. Nhng chng ta c th thy rng N
tim cn v cng thch hp hn so vi N tim cn v cng, thm ch N thc t c c nh
trong khi T c th tng. Vi vng a l rng ln, gi nh ly mu ngu nhin kch thc s
liu cho l khi nim thiu st. Tuy nhin, nu N c mi quan h y hn T, v chng ta c
th gi nh c lp ca cc s liu cho, sau phn tch tim cn ca chng ti s cung cp
cc kt qu ph hp xp x.
Nu T l th t ging nh N; v d, N = 60 quc gia v T = 55 bi Chin tranh th gii th II -
mt phn tch tim cn lm cho gi nh r rng v bn cht ca s ph thuc chui thi gian l
cn thit. (Trong trng hp c bit, cc kt lun v d ton ph hp v xp x bnh thng
ca s liu thng k t s l tng t, nhng khng ni chung) Khu vc ny ch mi bt u
nhn c s ch cn thn. Nu T ln hn nhiu so vi N, N = 5 cng ty v T = 40 nm,
khun kh
tr thnh nhiu phn tch chui thi gian: N c th c t chc c nh trong khi T! y.
10,2. Gi thit v bin khng quan st c v bin gii thch.
Trc y khi phng php c lng s liu mng c phn tch chi tit hn, iu rt c
ch trong vic khi qut v bn cht ca yu t khng quan st c v cc tnh nng nht nh
ca bin gii thch.
10.2.1 nh hng ngu nhin hay c nh ?
M hnh nh hng khng quan st c dng c bn (UEM) c th c xy dng cho s liu
mng ngu nhin quan st i l:
y
it
= Xi
t
+ ci + ui
t
; t = 1, 2,3.
Trong Xit l ma trn 1xK v gm cc bin c quan st s thay i theo t, khng thay i
theo i, bin thay i theo i nhng khng t, v cc bin thay i theo t v i. ngoi ra, cc nh
hng khng quan st c c rt nhiu tn khc nhau cho ci trong ng dng: thnh phn
khng quan st, bin n, v tnh khng ng nht khng quan st l ph bin. Nu gn thm ch
s i, th ci i khi c gi l nh hng c bit hoc khng ng nht c th; tng t p dng
cho h gia nh, cc doanh nghip, thnh ph, v cc s liu mng khc. Cc uit cc c gi
l sai s ring hoc phn b ring bi v chng c th thay i theo t hoc theo i.
c bit, trong l thuyt, m cn trong cc ng dng, ngi ta thng tranh lun cc ci l ngu
nhin hay c nh?. Thng thng, cc tranh lun ny tp trung vo xem ci c xem nh l
mt bin ngu nhin hoc nh mt tham s c c lng. Trong cch tip cn truyn thng
m hnh s liu mng, ci c gi l " nh hng ngu nhin '' khi ci c x l nh l mt
bin ngu nhin v " nh hng c nh "khi n c x l nh mt tham s c c lng
cho mi mng s liu quan st i. Quan im ca chng ti l cc cuc tho lun v xem ci phi
c coi l bin ngu nhin hoc l cc tham s c lng l ty thuc vo s liu mng kinh
t c p dng. Vi mu ngu nhin ln c rt ra t b s liu mng, lun lun to ra cc
nh hng khng quan st c , ci, mu ngu nhin rt ra t tng th, cng vi yit v xit.
Cch tip cn ny l chc chn thch hp cho bin b qua hoc yu t khng ng nht b b
st.
Nh chng ti tho lun ti mc 10.1 cho thy, vn quan trng lin quan n ci l c hay
khng tng quan vi cc bin gii thch quan st xit, t = 1, 2; ... ; T. Mundlak
(1978) lp lun ny nhiu nm trc y, v hin ti vn l thuyt phc.
Trong cch ni kinh t hin i, "nh hng ngu nhin" l ng ngha vi khng tng quan
gia gia cc quan st ca bin gii thch quan st v nh hng ngu nhin.
Cov(Xit, ci) = 0, t = 1, 2; ... ; T.
[Trn thc t, gi thit trung bnh c iu kin mnh m hn gi thit c lp, E(ci/xi1,
xi2,xiT) = E(ci) s c gii thch r hn trong mc 10,4) Trong l thuyt, khi ci c gi
" tc ng ngu nhin c bit, t ci c th c gi nh l khng tng quan vi cc xit.
Trong ng dng kinh t lng, thut ng " tc ng c nh" thng khng mang ngha l
khng ngu nhin, m c ngha l tha nhn mi tng quan gia cc tc ng khng quan st
ci v bin gii thch quan st xit. V vy, nu ci c gi l mt " tc ng c nh c th " hoc
mt "tc ng c nh cng ty ," sau , cho mc ch thc t, thut ng ny c ngha l ci
c cho tng quan vi x
it
. Trong cun sch ny, chng ti trnh cp n ci nh l mt tc
ng ngu nhin hoc c nh. Thay vo ,chng ta s coi ci nh nh hng khng quan st
c, cc quan st thay i, v nh vy , sau chng ta s gn nhn 2 phng php c
lng khc nhau ngu nhin cho c lng tc ng ngu nhin v c lng tc ng c
nh.
10.2.2 Cc gi thit ngt vi bin gii thch
Cc thnh phn khng c quan st truyn thng ca m hnh s liu mng s dng xit l c
nh. Chng ta s khng gi nh xit l khng ngu nhin v tc ng ngc li t yit ti xis
vi s > t cn phi c gii quyt mt cch r rng
Trong Chng 7, chng ta tho lun v nhng gi nh ngt trong cc m hnh s liu
mng khng bao hm nh hng ca yu t khng quan st c. trong phn ny, chng
ta cung cp cc gi thit ngoi sinh ngt cho cc m hnh vi cc yu t khng quan st c.
Mc 10.1, chng ta nu gi thit ngoi sinh ngt khng tng quan gia cc thnh phn.
i vi cc cuc tranh lun v suy lun , chng ta cn nu r cc gi thit v k vng c iu
kin, v vn ny cng a ra cc gi thit mt cch ngha r rng. Vi yu t khng quan
st, dng thc r rng nht ca gi thit l m hnh s liu mng nh hng khng quan st
c dng tuyn tnh l:
E(yit/xi1, xi2, , xiT, ci) =E(yit/xit, ci) = Xi
t
+ ci vi t = 1,2,T (10.12)
phng trnh th hai l gi thit v dng hm E(yit/xit, ci). Phng trnh u a ra gi thit
ngt ca bin gii thch. N c ngha rng, mt khi xit v ci b ph thuc, xis khng tc ng
ton phn yit vi s t.
Vi gi thit (10.12), chng ta gi {xit, i=1,T} l iu kin ngoi sinh ngt vi nh hng
khng quan st c.Gi nh (10,12) v cc thut ng tng ng c gii thiu v c
s dng bi Chamberlain (1982).Chng ti s lm r rng cch tip cn Chamberlain c
lng m hnh nh hng khng quan st trong chng k tip, nhng cch ca cc gi nh
ca Chamberlain nu r l hng dn, thm ch phn tch d liu ca phn tch mng s
liu truyn thng.
Gi thit (10,12) gi tr k vng ca yit c th ph thuc vo cc bin gii thch trong cc
khong thi gian khc nhau, nhng n l hp l hn iu kin khng cht v nh
hng khng quan st c. Nu khng c iu v mt nh hng khng quan st, gi thit
ngoi sinh ngt l:
E(yit/xi1, xi2, , xiT) =E(yit/xit) = Xi
t
vi t = 1,2,T (10.13)
Ta thy rng gi thit (10,13) l t c kh nng tha mn so vi gi nh (10,12)
Xem xt mt v d:
Gi s yit l sn lng u tng cho trang tri i trong nm t, v xit bao gm vn, lao
ng, cc vt liu (chng hn nh phn bn), lng ma, v cc yu t u vo khc.
Cc yu t khng quan st c, ci, c th l cht lng trung bnh ca t ai,kh nng qun
l ca gia nh qun l cc trang tri, v cc yu t khng quan st khc . Gi thit ng
nhin l u vo hin ti b nh hng ci, u vo c s dng trong nhng
nm khc khng c nh hng n sn lng u ra trong nm nay. Tuy nhin, khi la
chn ti u ca cc yu t u vo trong mi nm thng ph thuc vo ci, c kh nng tn
ti mi tng quan tng phn gia sn lng u ra trong nm t v cc u vo trong nhng
nm khc nu ci khng c kim sot gi thit (10,12) l tha mn, trong khi gi
thit (10,13) l khng tha mn.
Thng thng, d thy rng gi thit (10.3) khng tha mn khi gi li gi thit (10.12) v gi
tr k vng ca ci ph thuc vo (xi1,., xiT). T quy lut v gi tr k vng, nu gi thit
(10.12) c tha mn th:
E(yit/xi1, xi2, , xiT) = Xi
t
+ E(ci/xi1, xi2, , xiT)
V gi thit 10.13 khng tha mn khi E(ci/xi1, xi2, , xiT) E(ci)
Trong thc hnh, gi thit (10.13) khng tha mn nu ci tng quan vi xit bt k.
T phng trnh (10.11), gi thit ngoi sinh ngt c th c t ra cho chui sai s ring l:
E(uit/xi1, xi2, , xiT, ci) = 0 vi t = 1,2,T (10.14)
Gi thit ny ng rng cc bin gii thch trong mi khong thi gian l khng tng quan
vi cc sai s ring .
Hay E(xis uit) = 0 vi s, t = 1,2,T (10.15)
Gi thit ny mnh hn gi thit v khng tng quan ng thi: E(xit uit) = 0 vi t =
1,2,T.
Tuy nhin, gi thit (10.15) t ra mi tng quan ty gia ci v xit vi mi t, cui cng,
chng ta s s dng gi thit (10.14) vi ng rng uit v ci l khng tng quan vi nhau.
kim tra tnh nht qun ca cc c lng s liu mng, gi thit khng tng quan
(10,15) ni chung l tha mn. Hn na, gi nh (10,15) thng l cch d nht suy ngh
rng liu gi thit ngoi sinh ngt c th tha mn ng dng c th.Nhng dng phn b
chun ca suy din thng k, cng nh hiu qu ca cc c lng tiu chun, da trn vic
gi thit v trung bnh c iu kin mnh hn gi nh (10,14). V vy, chng ti tp trung
vo gi nh (10,14 )
10.2.3 Mt s v d v m hnh s liu mng vi nh hng khng quan st c

Trong mc 10.2.1 v 10.2.2 nhn mnh rng trong bt k ng dng s liu mng, ban u
chng ta nn tp trung vo hai cu hi:
(1) nh hng khng quan st l g, ci, c hay khng tng quan vi xit vi mi t?
(2) gi nh ngoi sinh cht (iu kin trn ci) hp l hay khng?
Cc v d sau y minh ha lm th no chng ta c th gii quyt v hai cu hi ny.
V d 10.1 (Gi tr chng trnh): Mt m hnh tiu chun nh gi tc ng ca o to
ngh hoc cc chng trnh khc ti tin lng l:
Log(wage it) = t + zit+1progit + ci + uit (10.16)
Trong : i l ch s c th
t l ch s thi gian
tham s t: h s chn lin tc
zit: l tp hp quan st cc c tnh c nh hng n tin lng, c th tng quan vi cc chng
trnh tham gia
M phng tp hp d liu thng c thu thp ti hai im trong thi gian:
Ti t = 1, khng c ai tham gia chng trnh, v vy prog it = 0 vi mi i.
Sau , mt nhm c chn tham gia chng trnh (hoc cc c nhn la chn tham
gia), v tin lng tip theo c quan st ti t = 2
M hnh (10,16) cho php bt k s lng thi gian v mu tham gia chng trnh
L do tn ti c cc nh hng c th, ci, l b qua cu chuyn nng lc thng
thng: nu c nhn la chn c hoc khng tham gia trong chng trnh, s la chn c th
b tng quan vi nng lc. Kh nng ny thng c gi l vn t la chn. Ngoi ra,
cc qun tr vin c th phn cng ngi da trn nhng c im m cc nh kinh t lng
khng th quan st
Cc vn khc l gi thit ngoi sinh ngt ca cc bin gii thch, c bit l bin
prog
it
. Thng thng, chng ta cm thy thoi mn vi gi thit uit l khng tng
quan vi progit. Nhng nhng g v tng quan gia uit v,,progit cho bit iu g? Tham
gia chng trnh trong tng lai c th ph thuc vo uit nu mi ngi chn tham gia trong
tng lai da trn nhng c sc tin lng ca h trong qu kh, hoc nu cc qun tr
vin chn ngi tham gia ti thi im t +1 c th thp hn uit. Nhng thng tin phn hi
khng c th l rt quan trng,k t khi ci c cho php, nhng n c th c. Xem, v
d, Bassi (1984) vHm v Lalonde (1996). Mt vn khc d dng x l l chng
trnh o to c th c tc dng lu di. Nu vy, th chng ta nn bao gm tr ca progit
trong m hnh (10,16). Hoc, chng trnh chnh n c th ko di hn mt thi gian, trong
trng hp progit c th c thay th bng mt lot cc bin gicho di n v ti thi
im t cho mi chng trnh.
V d 10.2 ( M hnh tr phn phi- Distributed Lag Model ):
Hausman, Hall, v Griliches (1984) c lng m hnh tr phn phi dng phi tuyn
nghin cu mi quan h gia bng sng ch c trao cho mt cng ty v mc chi tiu
hin v qu kh cho nghin cu v pht triu (R & D). Mt tuyn tnh, m hnh dng tr 5
thi k:
Patents it = t + zit+0RDit + 1Rdit-1++ 5Rdit-5+ ci + uit (10.17)
Trong : RDit l chi tiu cho R & D cho cng ty ti thi im t
zit cha cc bin nh quy m doanh nghip (c o bng doanh s bn hng hoc nhn
vin).
bin Ci mang tnh khng ng nht ca cng ty c th nh hng n patents
it
v c
th tng quan vi chi ph R & D hin ti, qu kh, v tng lai . iu quan tm nm trong
m hnh ca h s j. Nh vi cc v d khc, chng ta phi quyt nh rng liu chi
tiu R &D c b tng quan vi ci.Ngoi ra, nu nhng c sc ti chnh ngy hm nay (thay
i trong uit) nh hng ti chi tiu R & D trong tng lai, th gi thit ngoi sinh ngt c
th khng tha mn, v cc phng php trong chng ny s khng p dng c.
V d tip theo trnh by mt trng hp gi thit ngoi sinh ngt cn thit phi
l sai, v cc hiu ng khng quan st v bin gii thch phi tng quan vi nhau.
V d 10,3 (bin ph thuc b tr): Mt m hnh ng n gin xc nh tin lng vi tnh
khng ng nht khng quan st l:
Log(wage uit) = 1 log(wagei, t-1) + ci + uit vi t = 1,2,T (10.18)
Thng thng, iu quan tm l tin lng di hn (c o bng kch thc ca 1) b nh
hng bi tnh khng ng nht khng quan st (nng sut c nhn) Ci. Gi yit = log(wage
uit), c gi thit tiu chun s l
E(uit/yi,t-1, , yi0, ci) = 0 (10.19)
iu c ngha l tt c cc yu t ng l b chi phi bi gi tr tr u tin. t xit =
yi,t-1. T , gi thit (10.19) ngha rng uit khng tng quan vi cc xit, xit-1,, xi1)
nhng uit khng th khng tng quan vi (xi, t+1, ., xiT), vi xi,t+1 = yit
Tht vy:
E(yit uit) = 1 E(yi, t-1 uit) + E(ci uit) + E(u2 it) = E(u2 it) (10.20)
V: E(yi, t-1 uit) = v E(ci uit) = 0do gi thit (10.19)
T gi thit ngoi sinh ngt khng tha mn i vi m hnh nh hng khng quan st
vi bin ph thuc b tr.
Ngoi ra, yi, t-1 v ci nht thit phi tng quan vi nhau (k t thi im t-1, yi,t_1 l
bin nm ph bn tri). Khng ch gi thit ngoi sinh ngt khng tha mn trong m hnh
ny, m gi thit ngoi sinh yu cu c lng OLS gp ca m hnh(10,18) cng vi
phm. Chng ti s nghin cu cc m hnh c lng nh vy trong chng 11.

10.3. c lng m hnh nh hng ko nhn thy c bng m hnh OLS gp
Vi cc gi nh c th ca OLS pooled, c lng c trong m hnh:
y
it
=x
it
. + v
it
, t = 1, 2, T (10.21)
trong v
it
=c
i
+ u
it
, t= 1, 2,T l cc sai s phc hp. Vi mi t, v
it
l tng ca nh hng
khng quan st dc v cc sai s c trng. Trong phn 7.8, ta bit rng OLS pooled c
lng theo cng thc ny l ph hp nu E(x
it
.u
it
) = 0. Thc t m ni, khng c s tng quan
gia x
it
v v
it
, c ngha l chng ta gi s E(x
it
.u
it
)=0 v E (x
it
.c
i
)=0, t=1, 2,T. (10.22)
Phng trnh 10.22 l hn ch ca gi thit. T E(x
it
.u
it
)=0 c nm gi nu ta c m hnh
E(y
it
|x
it
, c
i
).
Trong m hnh tnh v c ui phn phi gii hn, i khi ta thc hin c gi thit 10.22.
Thc t, chng ta s lm th trong mc c lng nh hng ngu nhin. Xem v d 10.3, m
hnh c ui ph thuc vo bin x
it
phi vi phm gi thit 10.22 v y
i,t-1
v c
i
phi c tng quan
vi nhau.
Thm ch, nu gii thit 10.22 c gi th sai s phc hp s c ng quan tng k bi s c
mt ca c
i
trong mi thi k. Do , suy ra s dng m hnh OLS pooled yu cu c lng ma
trn phng sai thc (robust) v kim nh thng k thc t chng 7. Do v
it
ph thuc vo c
i

vi mi t, tng quan gia v
it
v v
is
khng b gim khi tng khong cch |t-s|. Chui thi gian ch
ra v
it
khng ph thuc yu vo thi gian tri qua. (Ta ch ra r rng kt lun ny trong phn sau
khi {u
it
: t=1,T} l homoskedastic v khng tng quan theo tng k).
Do vy, vic quan trng l c th tnh N ln v T c nh tim cn khi p dng OLS pooled.
Nh tha thun chng 7, mi (y
i
,X
i
) c T dng v nn c phn cp theo th t thi gian
v (y
i
,X
i
) nn c o lng t i= 1,N.
Quan st ng cho ca phn cp ny l khng thch hp nh thng thng.
10.4. M hnh nh hng ngu nhin
14.4.1. c lng v kt lun theo gi thit ngu nhin c bn vi OLS pooled
phn tch nh hng ngu nhin t c
i
vo trong cc sai s thi k. Thc t, phn tch nh hng
ngu nhin cn nhiu gi thit hn cho OLS pooled. Ngoi sinh c thm vo l trc giao ca c
i

v x
it
. Bt u gi thit trong k theo cc iu kin, ta c:
Gi thit RE.1:
(a) E(u
it
|x
i
,c
i
)=0, t=1,T
(b) E(c
i
|x
i
)=E(c
i
)=0
Trong : x
i
=(x
i1
,x
iT
)
Trong phn 10.2 ta tho lun ngha gi thit ngoi sinh RE.1a. Gi thit RE.1b ch ra lm
th no chng ta ch ra tnh trc giao gia c
i
v mi x
it
. kt qu t c l vng, ta phi ni
lng RE.1b thanh gi thit 10.22 nhng trong thc hnh, cch tip cn ny to ra t c im
tng qut v ta phi s dng RE.1b sau hi chuyn cch tip cn truyn thng ca bin cho cc
c lng nh hng ngu nhin. Gi thit RE.1b lun hm cha gi thit rng x
it
l c nh v
E(c
i
)=0, hoc bng gi thit l c
i
c lp vi x
i
. 1 phn quan trng l:
E(c
i
|x
i
)= E(c
i
)
Gi thit E(c
i
)=0 tc l khng c sai st, v ch ra h s chn trong x
it
. Ti sao ta phi duy tr
RE.1 khi m n hn ch hn cc iu kin cn cho OLS pooled? nh hng ngu nhin khai
thc cc tng quan tng k trong sai s phc hp v
it
= c
i
+ u
it
theo m hnh bnh phng tng
qut GLS.
iu kin ch cn m bo rng GLS kh thi l ph hp. Ta cn vi cng thc cho ngoi sinh
ton phn gia cc bin gii thch v sai s phc hp.
Theo gi thit RE.1, ta c: y
it
= x
it
.+ v
it
(10.23)
E(v
it
|x
i
)=0, t=1,T (10.24)
Trong v
it
= c
i
+ u
it
(10.25)
Phng trnh 10.24 ch ra rng {x
it
: t=1,T} tha mn gi thit SGLS ngoi sinh ton phn (c
chng 7) theo m hnh 10.23. Do , ta c th p dng phng php GLS cho cu trc sai s
thnh phn trong phng trnh 10.25.
M hnh 10.23 cho ton b T thi k l: y
it
= x
it
.+ v
it

Trong v
i
=c
i
.J
T
+ u
i

J
T
l vectore Tx1.
nh ngha ma trn phng sai ko iu kin ca v
i
l:
=E(v
i
.v
i
)
Ma trn TxT ch ra ta gi s 1 xc nh dng. Nn nh rng ma trn ny ch cn ging nhau vi
mi i bi gi thit mu ngu nhin trong ng cho.
i vi GLS, ta cn xp hng iu kin cho GLS:
Gi thit RE2: Hng E(X
i
.
-1
.X
i
)=K
p dng kt qu chng 7, ta bit rng GLS v GLS kh thi l ph hp theo gi thit RE1 v
RE2.
Phn tch FGLS, s dng 1 c lng bin khng b hn ch l ph hp v N (cn N) tim
cn khi N . Nhng ta s khng dng cu trc nh hng khng nhn thy ca v
it
. 1 phn tch
nh hng ngu nhin chun b sung gi thit v sai s c trng l ly theo 1 cng thc c
bit. Gi thit th nht ch ra rng sai s c trng u
it
c 1 hng s khng i.
E(u
2
it
)=
2
u
, t=1,T (10.28)
Gi thit th 2 ch ra rng sai s c trng khng c tng quan tng thi k
E(u
it
, u
is
)=0 vi mi t khc s (10.29)
Theo 2 gi thit ny, ta c th ly c phng sai v hip phng sai ca v
i

Theo gi thit RE.1a, E(c
i
.u
it
)=0 (t=1,T)
V c E(v
2
it
)=E(c
2
i
)+ 2.E(c
i
.u
it
)+ E(u
2
it
)=
2
c
+
2
u

Trong :
2
c
= E(c
2
i
) vi mi t khc s
E(v
it
.v
is
)=E[(c
i
+u
it
).(c
i
+u
is
)]=E(c
2
i
)=
2
c

Do , theo gi thit RE1, cng thc 10.28, 10.29, c tnh bng:
2 2 2 2
2 2 2 2
2 2 2 2
...
...
( . ' )
... ... ... ...
...
c u c c
c c u c
i i
c c c u
E v v
o o o o
o o o o
o o o o
| | +
|
+
|
O= =
|
|
|
\ .
(10.30)

Do J
T
.J
T
l ma trn TxT ng nht mi yu t, ta c th vit 10.30 thnh:
=
2
u
.I
T
+
2
c
. J
T
.J
T
(10.31)
Khi c tnh theo cng thc 10.31, ta ni n c cu trc nh hng ngu nhin.
Hn na, ph thuc vo T(T+1)/2 khng gii hn phng sai v hip phng sai; nh trng
hp ny ca phn tch GLS, ch ph thuc vo 2 tham s
2
c
v
2
u
, ko gn vi kch thc ca
T. Tng quan gia sai s phc hp v
it
v v
is
khng ph thuc vo s khc bit ca t v s.
Corr(v
is
,v
it
)=
2
c
/ (
2
c
+
2
u
)0 vi mi s khc t
Tng quan ny l t s phng sai ca c
i
v phng sai ca sai s phc hp, v n c ch o
lng s quan trng tng i ca nh hng khng quan st c c
i
.
Gi thit 10.28 v 10.29 l nh hng ngu nhin c bit.
c hiu qu ca m hnh GLS kh thi, ta gi s ma trn phng sai ca iu kin v
i
trong x
i

l khng i
E(v
i
.v
i
x
i
)= E(v
i
.v
i
) (10.32)
Gi thit 10.28, 10.29 v 10.30 c p dng bng gi thit nh hng ngu nhin th 3.
Gi thit RE3:
(a) E(u
i
.u
i
x
i
,c
i
)=
2
u
.I
T

(b) E(c
i
x
i
)=
2
c

Theo gi thit 3a, E(u
2
i
x
i
,c
i
)=
2
u
, t=1T ( bao gm gi thit 10.28 v E(u
it
.u
is
x
i
,c
i
)=0
Ging nh gi thit RE1b, RE3b tng ng vi Var(c
i
x
i
)= var(c
i
)
Which is a homoskedasticity assumption trong nh hng ko nhn thy c
i

Theo gi thit RE3, gi thit 10.32 vn gi, c cng thc 10.30.
trin khai qu trnh FGLS, cn xc nh
2
v
=
2
c
+
2
u
. n nay, gi nh rng chng ta c
c lng ph hp ca
2
c
v
2
u
, ta c:
2 2

. . . '
u T c T T
I J J o o O + (10.33)
L ma trn TxT m chng ta gi thit l xc nh dng.
Trong tnh hung d liu mng, c lng FGLS c s dng cho ma trn phng sai 10.33 l
nhng g cn c bit n l c lng nh hng ngu nhin.
1
1 1
1 1

' . . . ' . .
N N
RE i i i i
i i
X X X y |


= =
| | | |
= O O
| |
\ . \ .

(10.34)
c lng nh hng ngu nhin l ng c thc y r rng bi gi thit RE3. Tuy nhin,

RE
|
l ph hp d gi thit RE3 c c duy tr hay ko? Min l gi thit RE1 v iu kin hng
thch hp vn c gi,

RE
| tin n theo p khi N . Lun c ny hu ht u ch ra rng
mc chc chn ca c lng FGLS khng da vo E(v
i
.v
i
x
i
)=. Thm ch, nu khng
c tnh bng cng thc 10.31 th s khc bit ch l

Ovi nh ngha l xc sut gii hn.

Thc t l khng cn thit phi ko E(v
i
.v
i
x
i
) nh hng n qu trnh nh hng ngu nhin.
(v mt k thut, ta cn thay i vi plim (

O)) trong gi thit RE2.

Theo gi thit RE3, c lng nh hng ngu nhin c hiu qu trong cc lp c lng ph
hp theo E(v
i
x
i
=0, bao gm m hnh OLS pooled v 1 loi c lng LS c trng s, bi RE l
ng tim cn tng ng trong GLS theo gi thit RE1- RE3. Ma trn phng sai GLS kh
thi- xem cng thc 7.5.1 c gi tr theo gi thit RE1- RE3. Ch s khc bit t phn tnh chung
mi ch ra c

Oc chn th hin 10.33.

trin khai qu trnh RE, ta cn tnh c
2

c
o v
2

u
o .Thc t, l cch d nht tm
2

v
o =
2

c
o
+
2

u
o
Theo gi thit RE3a,
2 1 2
1
( )
T
v it
t
T E v o

=
=

cho mi i. Do , trung bnh v
2
it
cho mi i v t s a
ra ch c lng vng cho
2
v
. Nhng ta cn c lng c phng php hot ng. c
lng ban u ca l OLS pooled, ch r l y l

| .

i
v ch l phn d ca OLS pooled. c
lng vng chc ca
2
v
l:
2 2
1 1
1

( )
N T
v it
i t
v
NT K
o
= =
=

(10.35). n l c lng bin ng thng thng t hi quy OLS cho
d liu pooled.
H s t do iu chnh ca cng thc 10.35 (thng s dng NT-K hn NT) khng c nh
hng tim cn.
Theo gi thit RE1-RE3, cng thc 10.35 l c lng vng chc ca
2
v
.
tm 1 c lng vng ca
2
c
, cn gi l
2
c
= E(v
it
.v
is
) vi mi t khc s. Do , vi mi I,
c T(T-1)/2 sai s ko tha, c th s dng c lng
2
c
.
Nu ta tng tt c v tnh k vng, ta c cho mi i
1 1 1 1
2 2 2 2
is is
1 1 1 1 1 1 1
. ( . ) ( ) (( 1) ( 2) ... 2 1) . .( 1) / 2
T T T T T T T
it it c c c c
t s t t s t t s t t
E v v E v v T t T T T T o o o o

= = + = = + = = + =
| |
= = = = + + + + =
|
\ .

(10.36).
Trong ta c th s dng 1 thc t l tng ca T-1 s nguyn dng u tin l T(T-1)/2.
Thng thng, 1 c lng vng c s dng thay th cho k vng vi trung bnh (l ng
cho i) v thay th v
it
vi phn d OLS pooled. Ta a ra h s t do iu chnh l mu nh hiu
chnh
1
2
1 1 1
1

.
[ ( 1) / 2 ]
N T T
c it is
i t s t
v v
NT T K
o

= = = +
=


(10.37)
L c lng vng ca
2
c
theo gi thit RE1-RE3.
Da vo
v
o v
c
o , ta c:
u
o =
v
o -
c
o
[c tnh ca bin sai s,
2
u
, c th c lng theo phng php nh hng c nh, vn s
c tho lun trong mc 10.5. Do , c cc phng php khc c lng
2
c
. c lng
thng thng ca
2
c
l cn c vo c lng , s c nghin cu trong mc 10.5, xem Hsiao
(1986, mc 3.3) v Baltagi (1995, mc 2.3). Do c lng RE l c lng GLS kh thi, nn tt
c nhng g ta cn l c lng vng ca
2
u
v
2
c
c c cn N- c lng hiu qu ].
Theo thc t, cng thc 10.37 khng m bo dng, mc d n nm trong ng dng ln. 1 gi
tr m ca
c
o theo tng thi k trong u
it
, hu nh chc chn mt s ln ng k, c ngha l gi
thit RE3 b vi phm.
Mt s gi thit khc trong m hnh c th sai. Ta nn m bo l thi gian gi l khng bao gm
trong m hnh nu chng ng tin cy; s b qun chng c th gy ra tng quan tng thi k
trong u
it
. Nu
c
o l m, FGLS khng gii hn c th c xc nh, xem mc 10.4.3.
V d 10.4: c lng nh hng ca tr cp dy ngh.
Ta s dng d liu trong JTRAIN1.RAW c lng nh hng ca tr cp dy ngh cho cc
hng nh, s dng phn tch nh hng ngu nhin. C 54 hng bo co cho cc nm 1987,
1988, 1989. Tr cp khng c cp trong nm 1987, 1 s hng nhn tr cp nm 1988, 1 s
hng khc nhn trong nm 1989, v 1 hng ko c nhn 2 ln. T , cc hng nhn tr cp
trong nm 1988 cn phn tch nh hng ca tr cp n tng giai on trong nm 1989. Cng
thc c lng l:
1
( ) 0.415 0.093 88 0.270 89 0.548 0.215 0.377 Log scrap d d union grant grant

=
(0.243) (0.109) (0.132) (0.411) (0.148) (0.205)
Gi tr lagged ca tr cp ln hn nh hng v c ngha thng k l 5% cho pha alternative.
Bn c yu cu c lng nh hng ca tr cp (yu cu 6.7%) v khng c ngha thng
k.
Kim nh gi thit bi s l tin hnh nh 1 phn tch FGLS bt k, c mc 7.6 khi G=T.
Trong tnh ton, kim nh F cn c trn tng t trng ca bnh phng phn d.

O trong biu
thc 10.33 phi cn c vo phn d ca OLS pooled t m hnh khng hn ch. Sau , phn d
c c t c lng nh hng ngu nhin khng hn ch l

.
i i i RE
v y x | =

RE
| bao hm c lng nh hng ngu nhin vi Q tuyn tnh bt buc hn ch, v xc nh
phn d nh hng ngu nhin hn ch l (v
i
ng)

.
i i i RE
v y x | = a vo cng thc 7.52 ch

i
u v u
i
ng cho thy thng k Khi bnh phng v cng thc 7.53 cho thng k F.
Trong v d 10.4, kim nh Wald ch ra s lin h ng tin cy gia tr cp v tr cp-1 (tr cp
k trc) (tng phn vi alternative 2 chiu). c lng Khi bnh phng trong 3.66, p-value
=0.16 (kim nh trong Stata).

10.4.2. c lng ma trn phng sai thc
Do thiu gi thit RE3 khng l nguyn nhn mu thun trong c lng RE, n rt c ch c
th kim sot suy din thng k khng s dng gi thit. Gi thit RE3 c th sai do 2 nguyn
nhn. Th nht, E(v
i
.v
i
x
i
) c th khng c nh, do E(v
i
.v
i
x
i
) khc E(v
i
.v
i
).
u ra lun l xc sut ca phn tch GLS. Th hai, E(v
i
.v
i
) c th khng c cu trc nh
hng ngu nhin, sai s c trng u
it
c th c phng sai thay i, hoc chng c tng quan
tng thi k. Trong 1 trng hp khc, ma trn phng sai thc c th dng c cho phn tch
chng 7. Ta s dng cng thc 7.49 vi
i
u thay i bi

.
i i i RE
v y x | = vi i=1,N l vecto
Tx1 ca phn d RE. Sai s chun thc t c theo cc thng thng l t c lng ma trn
phng sai thc, kim nh Wald thc t c t cng thc
1

W ( ) '.( ') .( ) R r RVR R r | |

=
Trong ,

V l c lng ma trn phng sai thc. Nn nh rng nu gi thit R13 b vi phm,

tng bnh phng phn d trong kim nh F ko tnh c.
tng ng sau vic s dng ma trn phng sai thc nh sau: gi thit RE1-RE3 dn n c
lng k thut ni ting, c tnh ca n c hiu theo gi thit. Nhng y lun l tng hay
tnh s thc bt c khi no kh thi. Vi T c nh v N ln, ta khng mt g khi s dng sai
s chun thc v kim nh thng k nu gi theiets RE3 vn c m bo. Trong mc 10.7.2,
ta s ch ra lm th no c lng t hi quy OLS pooled c bit, ci m tnh ra sai s chun
thc, t v kim nh F 1 cch d dng.