Baitap KTL Ltgiang 2016

BI TP N THI
KINH T LNG
Bin Son
ThS. L TRNG GIANG
Thnh ph H Ch Minh, ngy 20, thng 06, nm 2016
Mc lc
Trang
Chng 1 Tm tt l thuyt
1.1 Tng quan v kinh t lng . . . . . . . . . . . .
1.1.1 Cc khi nim m u . . . . . . . . . . .
1.1.2 Khi nim v hi quy v phn tch hi quy
1.2 M hnh hi quy n . . . . . . . . . . . . . . . .
1.2.1 Mt s cng thc xc sut . . . . . . . . .
1.2.2 Xc nh hm hi quy mu (SRF) . . . .
1.2.3 H s xc nh m hnh . . . . . . . . . .
1.2.4 Phng sai ca sai s ngu nhin . . . . .
1.2.5 Bi ton c lng . . . . . . . . . . . . .
1.2.6 Bi ton kim nh . . . . . . . . . . . . .
1.2.7 Bi ton d bo . . . . . . . . . . . . . . .
1.2.8 Mt s lu . . . . . . . . . . . . . . . . .
1.3 M hnh hi quy bi . . . . . . . . . . . . . . . .
1.3.1 Xc nh hm hi quy mu (SRF) . . . .
1.3.2 H s xc nh m hnh . . . . . . . . . .
1.3.3 Ma trn t tng quan . . . . . . . . . . .
1.3.4 Ma trn hip phng sai . . . . . . . . . .
1.3.5 Cc bi ton . . . . . . . . . . . . . . . . .
1.4 Hi quy vi bin gi . . . . . . . . . . . . . . . .
1.4.1 Khi nim . . . . . . . . . . . . . . . . . .
1.4.2 ngha . . . . . . . . . . . . . . . . . . .
1.4.3 So snh hai m hnh . . . . . . . . . . . .
1.5 Kim nh gi thit m hnh . . . . . . . . . . . .
1.5.1 a cng tuyn . . . . . . . . . . . . . . . .
1.5.2 Phng sai thay i . . . . . . . . . . . .
1.5.3 T tng quan . . . . . . . . . . . . . . .
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
1
1
1
2
3
3
4
4
4
5
5
6
7
8
10
11
11
11
11
12
12
12
12
14
14
16
17
Chng 2 Bi tp ng dng
19
2.1 M hnh hi quy hai bin . . . . . . . . . . . . . . . . . . . . . . . . 19
i
2.2
2.3
2.4
2.5
2.6
M hnh hi quy bi
Hi quy vi bin nh
Bi tp tng hp . .
Bi tp ngh . . .
thi tham kho . .
2.6.1 1 . . . . .
2.6.2 2 . . . . .
2.6.3 3 . . . . .
2.6.4 4 . . . . .
2.6.5 5 . . . . .
2.6.6 6 . . . . .
2.6.7 7 . . . . .
. . .
tnh
. . .
. . .
. . .
. . .
. . .
. . .
. . .
. . .
. . .
. . .
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
. 32
. 47
. 55
. 68
. 82
. 82
. 84
. 85
. 88
. 93
. 97
. 100
Chng 3 Thc hnh Eviews

3.1 Ci t Eviews 8 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2 Khi ng Eviews 8 . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.3 Nhp d liu cho Eviews 8 . . . . . . . . . . . . . . . . . . . . . . .
3.4 Thng k m t . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.5 c lng cc h s ca m hnh hi quy . . . . . . . . . . . . . . .
3.6 Kim nh s vi phm cc gi thit ca m hnh hi quy . . . . . .
3.6.1 Hin tng a cng tuyn . . . . . . . . . . . . . . . . . . .
3.6.2 Phng sai ca sai s ngu nhin thay i . . . . . . . . . .
3.6.3 Hin tng t tng quan . . . . . . . . . . . . . . . . . . .
3.6.4 Kim nh bin c cn thit trong m hnh hay khng (kim
nh Wald) . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.6.5 Kim nh bin b b st trong m hnh . . . . . . . . . . .
3.6.6 Sai s ngu nhin khng c phn phi chun . . . . . . . . .
3.6.7 Kim nh Chow trong m hnh hi quy vi bin gi . . . .
3.7 D bo bng m hnh hi quy . . . . . . . . . . . . . . . . . . . . .
Ti liu tham kho
103
103
104
104
104
105
107
107
107
108
108
108
109
109
110
123
ii
Chng 1
Tm tt l thuyt
1.1
Tng quan v kinh t lng

1.1.1
Cc khi nim m u
Khi nim v kinh t lng

Thut ng kinh t lng c gio s kinh t hc ngi Na-Uy l A. K. Ragnar
Frisch, gii thng Nobel v kinh t hc (1969), s dng ln u tin vo khong
nhng nm 1930. Sau y l mt s khi nim cho thut ng ny
Econometrics = Econo + Metrics = "o lng kinh t" = "Kinh t lng".
Kinh t lng l mn khoa hc s dng cc cng c ton hc cng c v
mt thc nghim cho cc l thuyt kinh t.
Kinh t lng l mt cng c kt hp gia l thuyt kinh t hin i, thng
k ton v my tnh nhm nh lng (o lng) cc mi quan h kinh t,
t d bo din bin cc hin tng kinh t v phn tch cc chnh sch
kinh t.
Kinh t lng c th c nh ngha nh l s phn tch v lng cc vn
kinh t hin thi da trn vic vn dng ng thi l thuyt v thc t
c thc hin bng cc phng php suy on thch hp.
S tng quan v kinh t lng
Phn tch kinh t lng c thc hin theo cc bc sau y
1. Nu ra gi thit
1
2. Thit lp m hnh ton hc

3. Thu thp s liu
4. c lng tham s
5. Phn tch kt qu
6. D bo
7. Ra quyt nh
1.1.2
Khi nim v hi quy v phn tch hi quy
Khi nim
Hi quy l mt cng c c bn ca o lng kinh t. Thut ng "Hi quy"
c Francis Galton s dng vo nm 1886.
Phn tch hi quy nghin cu mi lin h ph thuc ca mt bin (gi l
bin ph thuc hay bin c gii thch ) vi mt hay nhiu bin khc (c
gi l bin c lp hay bin gii thch) nhm c lng, d bo gi tr trung
bnh ca bin ph thuc vi cc gi tr bit ca bin c lp.
Phn tch hi quy gii quyt cc vn sau y:
1. c lng gi tr trung bnh ca bin ph thuc vi gi tr cho ca
bin c lp
2. Kim nh gi thit v bn cht ca s ph thuc.
3. D on gi tr trung bnh ca bin ph thuc khi bit gi tr ca cc
bin c lp.
4. Kt hp cc vn trn.
Hm hi quy tng th (PRF)
P RF : E (Y /Xi ) = 1 + 2 X2i + 3 X3i + ... + k Xki

P RM : Yi = 1 + 2 X2i + 3 X3i + ... + k Xki + Ui
Trong :
(Ui = Yi E (Y /Xi ))
j l cc h s hi quy;
1 l h s t do;
2 , 3 , ... l cc h s hi quy ring;
Ui l sai s ngu nhin.
Hm hi quy mu (SRF)
SRF : Ybi = b1 + b2 X2i + b3 X3i + ... + bk Xki

SRM : Yi = b1 + b2 X2i + b3 X3i + ... + bk Xki + ei
ei = Yi Ybi
Trong :
Ybi l c lng im ca E (Y /Xi )
bj l cc c lng im ca j ;
ei l c lng im ca Ui .
1.2
M hnh hi quy n
1.2.1
X=
Mt s cng thc xc sut
n
1P
Xi
n i=1
V ar (X) = E Xi X
2
n
2 1
1P
=
Xi X =
n i=1
n
n
P
i=1
Xi2 nX
n
1P
Y =
Yi
n i=1
V ar (Y ) = E Yi Y
Cov (X, Y ) = E
rXY =
2
X X
1
n
n
P
Yi Y
2
i=1
Y Y
Cov (X, Y )
se (X) se (Y )
3
1
n
n
P
i=1
Yi2
nY
n

1P
Xi X Yi Y = E (XY ) XY
n i=1
1.2.2
Xc nh hm hi quy mu (SRF)
n
P
Cov (X, Y )
b2 =
=
V ar (X)
Xi X
Yi Y
i=1
n
P
n
P

=
Xi X
i=1
Xi Yi nXY
i=1
n
P
i=1
Xi2 nX
b1 = Y b2 X
Vy
Yb = b1 + b2 X
Ch :
1 , 2 l cc h s hi quy;
1 l h s t do (h s tung gc);
2 l h s gc (h s dc).
1.2.3
H s xc nh m hnh
T SS =
n
P
ESS =
i=1
n
P
Yi Y

Ybi Y
2
= nvar (Y )
2
2
= nb2 var (X)
i=1
2
n

P
b
RSS = T SS ESS =
Yi Yi = n 1 r2 V ar (Y )
i=1
R2 =
RSS
ESS
=1
T SS
T SS
1.2.4
Phng sai ca sai s ngu nhin
Ta k hiu phng sai ca sai s ngu nhin l V ar(U ) = 2 . Khi phng

sai ca sai s ngu nhin trn mu c xc nh nh sau:
b2 =

n
RSS
1 r2 V ar (Y ) =
n2
n2
Trong trng hp tng qut ta c
b2 =
RSS
nk
Vi k l s bin trong m hnh (tnh c bin ph thuc).

4
1.2.5
Bi ton c lng
1. c lng cc h s hi quy
Ta c
#
2
r
1
X
2
+
.b
se b1 = var b1
n nvar (X)

r
2
b
var b2 =
se b2 = var b2
nvar (X)

var b1 =
Loi c lng
Hai pha
Ti a (pt)
Ti thiu (pp)
"
Khong c lng
gi tr C

(nk)
bj Cse bj j bj + Cse bj
C = t
2

(nk)
b
b
j j + Cse j
C = t

(nk)
C = t
bj Cse bj j
2. c lng phng sai ca sai s ngu nhin

(n 2)
b
(n 2)
b
; 2
2
(n 2) 1 (n 2)
(n k)
b2 (n k)
b2
2
;
2 (n k) 21 (n k)
"
2
Trong trng hp tng qut

"
Vi k l s bin trong m hnh (tnh c bin ph thuc).
1.2.6
Bi ton kim nh
1. Kim nh dng t
5
Loi kim nh
Gi thit H0 : j = j ; i thit H1
Bc b H0
(nk)
H1 : j 6=
Kim nh bn tri
H1 : j <
Kim nh bn phi
H1 : j > j
Kim nh 2 pha
|t| > t
2
Pvalue <
(nk)
t < t
Pvalue
<
2
(nk)
t > t
Pvalue
<
2
bj j
t=
se bj
Lu
2. Kim nh dng 2
Loi kim nh Gt H0 : 2 = 02 ; t H1
Bc b H0
2
2
2
2
Hai pha
H1 : 6= 0
> (n k) or 2 < 21 (n k)
2
Bn tri
Bn phi
H1 : <
H1 : 2 >
02
02
< 21 (n k)
2 > 2 (n k)
2
2 =
Lu
(n k)
b
2
0
3. Kim nh dng F
t gi thit H0 : R2 = 0; H1 : R2 6= 0
C = F (k 1; n k)
(n k)R2
Bc 3
F =
(k 1)(1 R2 )
Bc 4 Nu F > C th bc b H0 ; Nu F C th cha c c s bc b H0
Bc 1
Bc 2
1.2.7
Bi ton d bo
Ta tnh c cc gi tr sau:
Yb0 = b1 + b2 X0 ;
(nk)
C = t
2 #
r
X0 X
1
+
.b
2 se Yb0 = var Yb0
n
nvar (X)

r
2
b
b
b
b
var Y0 Y0 =
b + var Y0
se Y0 Y0 = var Y0 Y0

var Yb0 =
"
Khong d bo cho gi tr trung bnh E(Y /X0 )

h
i
b
b
b
b
Y0 Cse(Y0 ); Y0 + Cse(Y0 )
Khong d bo cho gi tr c bit Y0
h
i
b
b
b
b
Y0 Cse(Y0 Y0 ); Y0 + Cse(Y0 Y0 )
1.2.8
Mt s lu
H s co dn
Y =
X
X
dY X
= b2
dX Y
Y
H s co dn cho bit khi X tng 1% th Y s tng (hay gim) bao nhiu %.

i n v
(
Y = k1 Y
X = k2 X
c = k1 b1
1
c +
c X
Yb =
1
2
k1 b
c
2 = k2 2
Kim nh Pvalue
+ : mc ngha xc sut mc sai lm loi 1 xc sut bc b gi thit
H0 trong khi H0 ng.

= P g W /H0 ng
+ Pvalue : mc xc sut nh nht m ti gi thit H0 b bc b.
> Pvalue : bc b gi thit H0

Pvalue : cha c c s bc b gi thit H0
7
Cc dng hm c bit
1. Hi quy tuyn tnh Logarit (log-log)
d
Hm hi quy mu (SRF): ln
Yi = b1 + b2 ln Xi
Nu X tng ln 1% th Y thay i mt t l l b2 %
2. Hi quy tuyn tnh bn Logarit

d
+ Hm hi quy mu (SRF): ln
Yi = b1 + b2 Xi
Nu X tng ln 1 n v th Y thay i mt lng l b2 .100(%)
+ Hm hi quy mu (SRF): Ybi = b1 + b2 ln Xi
Nu X tng ln 1% th Y thay i mt lng l b2 .0, 01
1.3
M hnh hi quy bi
Hm hi quy tng th (PRF) v m hnh hi quy tng th (PRM):
P RF : E (Y /Xi ) = 1 + 2 X2i + 3 X3i + ... + k Xki

P RM : Yi = 1 + 2 X2i + 3 X3i + ... + k Xki + Ui
(Ui = Yi E (Y /Xi ))
Gi s ta c n quan st, mi quan st gm k gi tr (X2i , X3i , ..., Xki , Yi ), i = 1, n.

Thay vo PRM, ta c
Y1
Y
2
...
Y
n
=
=
...
=
1
1
...
1
+ 2 X21
+ 2 X22
...
...
+ 2 X2n
+
+
...
+
8
...
...
...
...
+ k Xk1
+ k Xk2
...
...
+ k Xkn
+
+
...
+
U1
U2
...
Un
Ta t
1
U1
Y1
2
U2
Y2
Y =
... ; U = ... ; = ... ;
k
Un
Y
n
1 X21 ... Xk1
1 X22 ... Xk2

;
X=
... ... ... ...

1 X2n ... Xkn
Khi , m hnh c th vit li di dng ma trn nh sau
Y = X + U
Hm hi quy mu (SRF) v m hnh hi quy mu (SRM):
SRF : Ybi = b1 + b2 X2i + b3 X3i + ... + bk Xki
SRM : Yi = b1 + b2 X2i + b3 X3i + ... + bk Xki + ei
ei = Yi Ybi
M hnh c vit di dng ma trn nh sau

Yb = X b + e
b
trong =
b1
b2
...
bk
; e =
e1
e2
...
en
Ta i xc nh cc h s hi quy
bng phng php OLS. C ngha l cc
T

e e
b1 , b2 , ..., bk phi tha mn
= 0 X T X b = X T Y . Suy ra
b
b = X T X
9
1
XT Y
trong
n
P
n
X2i
i=1
n
n
P
P
2
X
X2i
2i
T
X X = i=1
i=1
...
...
n
n
P
P
Xki
Xki X2i
i=1
i=1n
P
i=1 Yi
X2i Yi
T
X Y =
i=1
...
P
Xki Yn
...
n
P
...
i=1
n
P
Xki
X2i Xki
i=1
...
...
...
n
P
2
Xki
i=1
i=1
Sau y s trnh by mt s cng thc c th cho trng hp hi quy ba bin,

i vi cc hm hi quy c k bin th vic tnh ton kh phc tp, khi chng
ta cn s dng mt s phn mm h tr nh Eviews, Stata,...
1.3.1
Xc nh hm hi quy mu (SRF)
P
P
n
X2i
X3i
P 2
P
P
XT X =
X2i
X2i
X2i X3i
P
P
P 2
X3i
X2i X3i
X3i
P
Yi
P
XT Y =
X2i Yi
P
X3i Yi
b = X T X
1
b1

X T Y = b2
b3
Vy
Yb = b1 + b2 X2 + b3 X3
10
1.3.2
H s xc nh m hnh
2
T SS = Y T Y nY =
Yi2 nY ;

2
ESS = bT X T Y nY ;

RSS = T SS ESS = Y T Y bT X T Y ;
ESS
RSS
=1
;
T SS
T SS
n1
2
R = 1 1 R2
.
nk
R2 =
1.3.3
Ma trn t tng quan
Gi s chng ta c m hnh hi quy ba bin:

Yi = b1 + b2 X2i + b3 X3i + Ui
K hiu rtj l h s tng quan gia bin th t v bin th j. Nu t = 1 th r1j l
h s tng quan gia bin Y v bin Xj . Ta c ma trn h s tng quan
1 r12 r13
R = r21 1 r23
r31 r32 1
1.3.4
b2 =
Ma trn hip phng sai
RSS
nk

1
2
T
b
Cov =
b X X
=
1.3.5

V ar b1
Cov b1 , b2 Cov b1 , b3

Cov b2 , b1
V ar b2
Cov b2 , b3

b
b
b
b
Cov 3 , 1 Cov 3 , 2
V ar b3
Cc bi ton
Vic gii quyt cc bi ton c lng, kim nh, d bo c thc hin tng
t nh mc 1.2; sau y l mt s cng thc cn ch :
11

b
b
b
b
b
b
V ar 2 3 = V ar 2 + V ar 3 2Cov 2 , 3
r

T
1
T
0
0
2
b
b
X X X
se Y0 = V ar Yb0
V ar Y0 =
b X

r
2
b
b
b
V ar Y0 Y0 = V ar Y0 +
b
se Y0 Y0 = V ar Y0 Yb0
1.4
Hi quy vi bin gi
1.4.1
Khi nim
Bin gi l bin nh tnh, khng o c. V d: gii tnh, mu sc, khu vc,...
1.4.2
ngha
+ Dng so snh cc phm tr khc nhau trong m hnh (mun so snh m

phm tr ta s dng m 1 bin gi, phm tr gn gi tr 0 l phm tr c
s).
+ Dng so snh hai hm hi quy.
+ Phn tch ma.
1.4.3
So snh hai m hnh
kim nh s khc nhau ca hai m hnh ta c 2 phng php:

1. Phng php kim nh Chow
Ybi = b1 + b2 Xi RSS
Ybj = b1 + b2 Xj RSS1
ck = b1 + b2 Xk RSS2
Y
RSS = RSS1 + RSS2
Cc bc cho bi ton kim nh
+ t gi thit
H0 : hai m hnh l nh nhau; H1 : hai m hnh khc nhau
12
+ F =

RSS RSS (n1 + n2 2k)
RSS.k
+ C = F (k; n1 + n2 2k).
+ Kt lun
Nu F > C: bc b H0 . Nu F < C: cha c c s bc b H0 .
2. Phng php s dng bin gi
Yi = 1 + 2 Xi + 3 Di + 4 (Di Xi ) + Ui ()
E (Y /Di = 0, Xi ) = 1 + 2 Xi
E (Y /Di = 1, Xi ) = (1 + 3 ) + (2 + 4 ) Xi
Ch : Xt hai m hnh hi quy
Yi = 1 + 2 Xi + Ui
Yj = 1 + 2 Xj + Uj
Ta c 4 trng hp:
(
1 = 1
: hai hm hi quy ng nht.
2 = 2
1 =
6 1
: hai hm hi quy cng h s gc.
2 = 2
1 = 1
: hai hm hi quy cng h s chn.
2 6= 2
1 =
6 1
: hai hm hi quy hon ton khc nhau..
2 =
6 2
i)
ii)
iii)
iv)
Nh vy t (*) ta suy ra xt xem 2 m hnh c khc nhau hay khng, ta

tin hnh kim nh cc gi thit sau:
+ H0 : 3 = 0; H1 : 3 6= 0
+ H0 : 4 = 0; H1 : 4 6= 0
13
1.5
Kim nh gi thit m hnh

1.5.1
a cng tuyn
Khi nim v a cng tuyn

a cng tuyn l hin tng cc bin gii thch (bin c lp) trong m hnh
ph thuc tuyn tnh ln nhau. Hay
Cov(Xi , Xj ) 6= 0,
i 6= j
Nguyn nhn ca a cng tuyn

Do s tc ng ca bin c lp Xi
tc ng
Xj
Do bn cht quan h gia cc bin c lp

Do chn bin c lp trong m hnh
Xt hm hi quy k bin Yi = 1 + 2 X2i + ... + k Xki + Ui
Nu tn ti cc tham s 2 , 3 , ..., k khng ng thi bng khng sao cho
2 X2 + 3 X3 + ... + k Xk = 0
th m hnh xy ra hin tng a cng tuyn hon ho.
Nu tn ti cc tham s 2 , 3 , ..., k khng ng thi bng khng sao cho
2 X2 + 3 X3 + ... + k Xk + V = 0
th m hnh xy ra hin tng a cng tuyn khng hon ho.
Hu qu ca a cng tuyn
Khi hin tng a cng tuyn xy ra, chng ta s gp phi mt s hu qu sau
Cc h s hi quy khng xc nh (hon ho), kh xc nh hay l cc c
lng b chch.
Phng sai v hip phng sai ca cc c lng hi quy ln .
Khong tin cy rng dn n khng c ngha.
Gi tr thng k T nh dn n lun bc b gi thuyt kim nh ngha
ca bin c lp trong m hnh.
Cc c lng rt nhy cm khi d liu thay i nh.
Du ca cc h s hi quy thay i so vi thc t.
14
Cch pht hin a cng tuyn

nhn bit hin tng a cng tuyn, ta thng p dng mt s cch sau
y
1. H s xc nh trong m hnh hi quy gc c gi tr rt cao, trong khi cc
gi tr t quan st li nh.
2. Tm ma trn tng quan gia cc bin gii thch trong m hnh. Theo
kinh nghim, nu h s tng quan gia hai bin gii thch > 0.8 m gi tr
t quan st thp th m hnh c a cng tuyn cao.
3. Thc hin hi quy ph: ln lt chn mt trong s cc bin gii thch lm
bin ph thuc ri hi quy theo tt c cc bin gii thch cn li trong m
hnh. Theo kinh nghim, nu h s xc nh ca cc m hnh hi quy ph
(Rj2 ) c gi tr t 0.8 tr ln th c coi l c a cng tuyn cao.
1
. Nu V IFj 10
1 Rj2
(tng ng Rj2 0.9) th kt lun m hnh gc c a cng tuyn cao.
4. S dng nhn t phng i phng sai V IFj =
Bin php khc phc a cng tuyn

Mt s bin php nhm khc phc hin tng a cng tuyn
1. S dng thng tin tin nghim
2. Thu thp thm s liu hoc ly thm mu mi
3. B bin
4. S dng sai phn cp mt
5. Gim tng quan trong hi quy a thc
6. Hi quy thnh phn chnh
Ta lu rng cc bin php c lit k trn y c th lm gii php cho vn
a cng tuyn nh th no cn ph thuc vo tp s liu v tnh nghim trng
ca vn a cng tuyn.
15
1.5.2
Phng sai thay i
Khi nim v phng sai thay i

Phng sai thay i l hin tng m phng sai ca cc sai s ngu nhin
(Ui ) trong m hnh khng c nh (thay i). Hay
V ar(Ui ) = i
Nguyn nhn ca phng sai thay i

Do s tc ng ca cc bin c lp Xi
tc ng
Ui
Do bn cht cc mi quan h kinh t.

Do cng c v k thut thu thp, x l s liu c ci tin th sai s o
lng v sai s khi tnh ton c xu hng gim dn, dn n i2 c kh nng
gim.
Phng sai thay i c th xy ra khi trong mu c cc gi tr t bin.
Phng sai thay i c th xy ra khi m hnh hi quy xc nh sai (dng
hm sai, thiu bin quan trng).
Trng hp phng sai khng ng u thng gp khi thu thp s liu theo
khng gian (s liu cho).
Do nh hng ca cc yu t khc lm tng hay gim sai s trong m hnh.
Hu qu ca phng sai thay i
Khi m hnh xy ra hin tng phng sai thay i, ta s gp phi mt s vn
sau
Cc c lng OLS vn l c lng tuyn tnh, khng chch nhng khng
cn hiu qu na.
c lng ca phng sai b chch nn cc kim nh mc ngha v khong
tin cy theo phn phi Student v Fisher khng cn ng tin cy na.
Kt qu bi ton d bo khng hiu qu khi s dng cc c lng OLS.
16
Cch pht hin phng sai thay i

Mt s phng php thng dng nhn bit m hnh xy ra hin tng
phng sai thay i
1. Phng php th
2. Kim nh Park
3. Kim nh Glejser
4. Kim nh White
Bin php khc phc
V mt thc t khi m hnh b pht hin l c hin tng phng sai thay i
th ta c th tin hnh nh sau:
iu tra li s liu (tn km chi ph, kh khn).
S dng m hnh nhng c kim sot v hin tng phng sai thay i.
1.5.3
T tng quan
Khi nim v t tng quan

T tng quan l hin tng sai s ngu nhin cc thi im khc nhau c
quan h vi nhau. Hay
Cov(Ui , Uj ) 6= 0, i 6= j
+ Nu Ui Ui1 : hin tng t tng quan bc 1.
+ Nu Ui Ui1 + Ui2 + ... + Uip : hin tng t tng quan bc p.
Nguyn nhn ca t tng quan
Do s tc ng ca cc bin c lp ln sai s ngu nhin Ui
tc ng
Uj
Lut qun tnh

Do m hnh: khng a bin vo m hnh hoc chn m hnh khng ng.
S liu: thu thp s liu v x l s liu.
17
Hu qu ca t tng quan
Khi m hnh xy ra hin tng t tng quan, ta s gp phi mt s vn
sau
Cc c lng OLS vn l c lng tuyn tnh, khng chch nhng khng
cn hiu qu na.
c lng ca phng sai b chch nn cc kim nh mc ngha v khong
tin cy theo phn phi Student v Fisher khng cn ng tin cy na.
Kt qu bi ton d bo khng hiu qu khi s dng cc c lng OLS.
Cch pht hin t tng quan
Mt s phng php thng dng nhn bit m hnh xy ra hin tng t
tng quan hay khng
1. Phng php th
2. Kim nh Durbin - Watson
3. Kim nh B-G
Bin php khc phc
18
Chng 2
Bi tp ng dng
2.1
M hnh hi quy hai bin
Bi 2.1. Cho bng s liu sau v t l lm pht (X : %) v li sut ngn hng

(Y : %)
X
Y
7.2 4.0 3.1 1.6 4.8

51 2.0 6.6 4.4
11.9 9.4 7.5 4.0 11.3 66.3 2.2 10.3 7.6
1. Tm hm hi quy mu v gii thch ngha kinh t ca cc h s hi quy?

2. Tm h s xc nh m hnh v cho bit ngha ca n?
3. Vi mc ngha 5%, hy tm khong tin cy cho cc h s hi quy?
4. Kim nh ngha ca bin X trong m hnh (lm pht c nh hng n
li sut khng)?
5. Kim nh s ph hp ca m hnh? (m hnh c ph hp vi thc t khng?)
6. Vi mc ngha 5%, hy cho bit khong d bo trung bnh v c bit ca
li sut ngn hng vi mc lm pht X0 = 5%.
7. Tnh h s co dn ca t l lm pht i vi li sut ngn hng ti im
(x, y) v nu ngha kinh t.
Gii
19
S dng my tnh b ti (570ES, 570ES Plus, 570ES Plus II,...) hoc phn mm
thng k (Eviews, SPSS, STATA,... ) ta tnh c cc gi tr sau y t bng s
liu:
P
Xi Yi nXY
b
2
= P
2 = 1, 249406687;
Xi2 n X
b1
= Y b2 X = 2, 74169485;
T SS = nvar (Y ) = 3102, 04;
2
ESS = nb2 var (X) = 3081, 211806;

RSS = T SS ESS = n 1 r2 var (Y ) = 20, 82819405;
ESS
= 0, 9932856462;
T SS

n
RSS
b2
=
1 r2 var (Y ) =
= 2, 975456293.
n2
n2
"
#
2

1
X
=
var b1
b2 = 0, 4641186156;
+
n n.var (X)
r

b
=
se 1
var b1 = 0, 681263;
R2

var b2

se b2

var Yb0

se Yb0
=

b
var Y0 Y0 =

se Y0 Yb0
b2
= 0, 001507433;
nvar (X)
r
var b2 = 0, 038826;
"
2 #
X
X
1
0
+
b2 = 0, 359937849;
n
nvar (X)
r
var Yb0 = 0, 599948275;

2
b + var Yb0 = 3, 335394142;

r

var Y0 Yb0 = 1, 826306147.
1. Tm m hnh hi quy
Yb = b1 + b2 X
c = 2, 7417 + 1, 2494LP
LS
20
ngha: khi t l lm pht tng 1% th li sut ngn hng tng 1,2494%.

2. Tnh h s xc nh m hnh v nu ngha. Tnh h s xc nh c hiu chnh
ESS
= 0, 9932856462. ngha: cho bit s bin thin ca lm pht
T SS
gii thch c 99,33% s bin thin ca li sut ngn hng.
R2 =
3. Tm khong tin cy cho cc h s hi quy

p dng: bi C.se bi i bi + C.se bi . Trong
C = t 2 (n k) = t0,025 (9 2) = 2, 365
+ Khong tin cy ca 1
2, 7417 2, 365.0, 6813 1 2, 7417 + 2, 365.0, 6813
1, 1304
4, 353
+ Khong tin cy ca 2
1, 2494 2, 365.0, 0388 2 1, 2494 + 2, 365.0, 0388
1, 1576
1, 3412
4. Kim nh ngha ca bin X trong m hnh

+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+T =
= t0,025 (9 2) = 2, 365.
b
2 =
se b2
1,2494
0,03883
= 32, 2.
+ |T | > C suy ra bc b H0 . Vy lm pht c nh hng n li sut.

5. M hnh c ph hp vi thc t khng
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2 1; 9 2) = 5, 59.
+F =
(n k) R2
(9 2) 0, 993285647
=
= 1035, 543
2
(k 1) (1 R )
(2 1) (1 0, 993285647)
21
+ F > C nn bc b H0 . Vy m hnh ph hp.

6. Khong d bo cho bin ph thuc
+ Yb0 = b1 + b2 X0 = 2, 7417 + 1, 2494.5 = 8, 9887.
(nk)
+ C = t
2
= t0,025 (9 2) = 2, 365.
Khong d bo cho gi tr trung bnh E(Y /X0 = 5)

b
Y0 Cse Yb0
E (Y /X0 = 5)

b
Y0 + Cse Yb0
8, 9887 2, 365.0, 5999 E (Y /X0 = 5) 8, 9887 + 2, 365.0, 5999

7, 5699
E (Y /X0 = 5)
10, 4074

b
b
Y0 Cse Y0 Y0
Y0

b
b
Y0 + Cse Y0 Y0
8, 9887 2, 365.1, 8263 Y0 8, 9887 + 2, 365.1, 8263

4, 6695
Y0
13, 30789
7. Tnh h s c dn
H s co gin ca t l lm pht theo li sut ti im (x, y) l
Y =
X
dY X
X
9, 411
= b2 = 1, 2494.
= 0, 8109
dX Y
14, 5
Y
ngha: khi t l lm pht tng 1% th li sut ngn hng tng 0,8109% .

Bi 2.2. Gi s c s liu v chi tiu mt hng A (Y triu ng/thng) v thu
nhp ca ngi tiu dng(X triu ng/thng) nh sau:
Y
X
0.1 0.15 0.18 0.2 0.25

1.0 1.5 2.0 2.5 4.0
1. Hy c lng m hnh hi quy tuyn tnh m t quan h gia chi tiu mt

hng A v thu nhp ca ngi tiu dng. Nu ngha kinh t ca cc h s
hi quy c c lng?
22
3. Xt xem thu nhp c nh hng n chi tiu mt hng A hay khng vi mc

ngha 1%.
4. D on mc chi tiu trung bnh v c bit cho mt hng A khi thu nhp l
3 triu ng/thng vi tin cy 99%.
5. Tnh h s co dn ca chi tiu loi hng A i vi thu nhp ti im (x, y)

v nu ngha kinh t.
6. Hy vit hm hi quy mu khi n v tnh ca chi tiu l ng/thng v n

v tnh ca thu nhp l ngn ng/thng?
Gii
liu:
P
Xi Yi nXY
b2
= P
2 = 0, 047;
Xi2 n X
b1
= Y b2 X = 0, 0726;
T SS = nvar (Y ) = 0, 01252;
2
ESS = nb2 var (X) = 0, 01171;

R2
b2
ESS
= 0, 935;
T SS

n
RSS
=
1 r2 var (Y ) =
= 0, 00027.
n2
n2
=
23

se b1
"
1
X
+
b2 = 0, 0003;
n n.var (X)
r
var b1 = 0, 0173;
=

var b1 =
b2
= 0, 00005;
nvar (X)
r

se b2
=
var b2 = 0, 0071;
"
2 #

X
X
1
0
+
var Yb0 =
b2 = 8, 66038.105 ;
n
nvar (X)
r

var Yb0 = 0, 009306;
se Yb0
=

var b2 =
1. Tm m hnh hi quy
Yb = 0, 0726 + 0, 047X
ngha: khi thu nhp ca ngi tiu dng tng 1 triu ng/thng th mc
chi tiu mt hng A trung bnh tng 0,047 triu ng/thng (tng ng
gim).
2. Tnh h s xc nh m hnh v nu ngha.
R2 =
ESS
= 0, 935
T SS
ngha: cho bit thu nhp gii thch c 93,5% s thay i chi tiu ca
mt hng A .
3. Kim nh ngha ca bin X trong m hnh
+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+T =
= t0,025 (5 2) = 5, 841.
b
0, 047
2 =
= 6, 6197.
0, 0071
se b2
+ |T | > C suy ra bc b H0 . Vy thu nhp c nh hng n chi tiu.

+ Yb0 = b1 + b2 X0 = 0, 2136.
24
(nk)
+ C = t
2
= t0,025 (5 2) = 5, 841.
Khong d bo cho gi tr trung bnh Y0 (E(Y /X0 = 3))

b
b
b
Y0 Cse Y0
E (Y /X0 = 3)
Y0 + Cse Yb0
0, 2136 5, 841.0, 009306 E (Y /X0 = 3) 0, 2136 + 5, 841.0, 009306
0, 1592
E (Y /X0 = 3)
0, 268
5. Tnh h s c dn
H s co gin ca chi tiu theo thu nhp ti im (x, y) l
Y =
X
dY X
X
2, 2
= b2 = 0, 047.
= 0, 5875
dX Y
0, 176
Y
ngha: khi thu nhp trung bnh ca ngi tiu dng tng 1% th mc chi
tiu trung bnh v mt hng A tng 0,59% (tng ng gim).
6. i n v
+ n v tnh ca chi tiu l ng/thng
Y = 1000000Y
k1 = 1000000
b1 = k1 b1 = 72600
+ n v ca thu nhp l ngn ng/thng
X = 1000X
k2 = 1000
k1
b2 = b2 = 47
k2
Vy
Yb = b1 + b2 X = 72600 + 47X
Bi 2.3. Ngi ta mun phn tch v nh gi kt qu v nng sut la ca ng
bng sng cu long trong thi gian 10 nm t 1988 - 1997 tin hnh thu thp
mt mu s liu gm cc gi tr quan st v 2 i lng Y, X nh sau
25
Y
X
40 44 46 48 52 58 60 68 74 80
6 10 12 14 16 18 22 24 26 32
1. c lng hm hi quy tuyn tnh mu Ybi = b1 + b2 Xi ?

2. Nu ngha ca cc h s hi quy c lng c. Cc gi tr c ph
hp vi l thuyt kinh t hay khng?
3. Tm khong tin cy ca 2 vi tin cy 95% v nu ngha?
4. Vi mc ngha 5%, hy cho bit mc phn bn c thc s nh hng n
nng sut la hay khng?
5. Vi mc ngha 5%, hy cho bit h s gc ca m hnh hi quy bng 2
c khng?
6. Tnh R2 . Kim nh s ph hp ca hm hi quy vi mc ngha 1%?
7. D bo nng sut la trung bnh ca ng bng sng cu long khi mc phn
bn l 20 t/ha vi tin cy 95%. Cu hi tng t cho nng sut la c
bit.
Gii
Ta c:
P
b2
b1
Xi Yi nXY
2 = 1, 6597;
Xi2 n X
= Y b2 X = 27, 125;
= P
T SS = nvar (Y ) = 1634;
2
ESS = nb2 var (X) = 1586, 6519;

R2
b2
ESS
= 0, 971;
T SS

n
RSS
=
1 r2 var (Y ) =
= 5, 9185.
n2
n2
26

var b2

se b2

var Yb0

se Yb0
=

b
var Y0 Y0 =

b
se Y0 Y0
b2
= 0, 0103;
nvar (X)
r
var b2 = 0, 1014;
"
2 #
X0 X
1
+
b2 = 0, 6329;
n
nvar (X)
r
var Yb0 = 0, 7956;

2
b + var Yb0 = 6, 5514;

r

b
var Y0 Y0 = 2, 5596.
1. c lng hm hi quy tuyn tnh mu

Yb = 27, 125 + 1, 6597X
2. ngha ca cc h s hi quy c lng c
+ b1 = 27, 125: vi s liu ca mu khi mc phn bn bng 0, th nng sut
trung bnh ca la ti thiu l 27,125 (t/ha).
+ b2 = 1, 6597 > 0: vi mu s liu trn, mc phn bn v nng sut la c
quan h ng bin. Vi iu kin cc yu t khc khng i, nu mc phn
bn tng 1 (t/ha) th nng sut trung bnh ca la tng 1,6597 (t/ha).
+ ngha cc h s trn l ph hp vi l thuyt kinh t.
3. Khong tin cy ca 2 vi tin cy 95%

(nk)
C = t
2
= t0,025 (10 2) = 2, 306
Khong tin cy ca 2

b
b
b
2 C.se 2 2 2 + C.se b2
1, 4259
1, 8935
ngha: khi mc phn bn tng ln 1 (t/ha), vi iu kin cc yu t

khc khng i, nng sut trung bnh ca la tng ln trong khong (1,4259;
1,8935) (t/ha) vi tin cy 95%.
27
4. Mc phn bn c thc s nh hng n nng sut la hay khng?

+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+T =
= t0,025 (10 2) = 2, 306.
b
2 = 16, 3679.
se b2
+ |T | > C suy ra bc b H0 . Vy vi mc ngha 5%, mc phn bn thc

s nh hng n nng sut la.
5. Vi = 5%, hy cho bit h s gc ca m hnh hi quy bng 2 c khng?
+ t gi thit H0 : 2 = 2; H1 : 2 6= 2.
(nk)
+ C = t
2
+T =
= t0,025 (10 2) = 2, 306.
b2 2
= 3, 356.
se b2
+ |T | > C suy ra bc b H0 . Vy kin trn l khng ng.

2
6. Tnh R2 v R . Kim nh s ph hp ca hm hi quy vi mc ngha 1%?

R2 =
ESS
= 0, 971
T SS
ngha: mc phn bn gii thch 97,1% s bin ng v nng sut la.

Mc ph hp ca m hnh cao.
Kim nh
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,01 (2 1; 10 2) = 11, 3.
+F =
(n k) R2
(10 2) 0, 971
=
= 267, 8621
(k 1) (1 R2 )
(2 1) (1 0, 971)
+ F > C nn bc b H0 . Vy m hnh ph hp vi mc ngha 1%.

7. D bo nng sut la trung bnh v c bit.
+ Yb0 = b1 + b2 X0 = 27, 125 + 1, 6597.20 = 60, 3194.
28
(nk)
+ C = t
2
= t0,025 (10 2) = 2, 306.

b
Y0 Cse Yb0
E (Y /X0 = 20)

b
Y0 + Cse Yb0
60, 3194 2, 306.0, 7956 E (Y /X0 = 20) 60, 3194 + 2, 306.0, 7956
58, 4847
E (Y /X0 = 20)
62, 1541

Yb0 Cse Y0 Yb0
Y0

Yb0 + Cse Y0 Yb0
60, 3194 2, 306.2, 5596 Y0 60, 3194 + 2, 306.2, 5596

54, 4169
Y0
66, 2218
Bi 2.4. Bng sau cho s liu v chi tiu cho tiu dng (Y-USD/tun) v thu nhp
hng tun (X-USD/tun) ca mt mu gm 10 h gia nh
Y
X
70 65 90 95 110 115 120 140 155 150

80 100 120 140 160 180 200 220 240 260
1. Tm m hnh hi quy mu v cho bit ngha ca cc h s hi quy?

2. Tm khong tin cy cho cc h s hi quy vi tin cy 95%?
3. Thu nhp c nh hng n chi tiu hay khng vi mc ngha 5%? (kim
nh ngha ca bin X trong m hnh)
4. M hnh c ph hp vi thc t khng? (kim nh s ph hp ca m hnh)
5. D bo khi thu nhp mc 100 USD/tun vi tin cy 95%?
Gii
29
liu:
P
Xi Yi nXY
2 = 0, 5091;
Xi2 n X
= Y b2 X = 24, 4545;
b2
= P
b1
T SS = nvar (Y ) = 8890;
2
ESS = nb2 var (X) = 8552, 73;

ESS
= 0, 9621;
T SS

RSS
n
1 r2 var (Y ) =
= 42, 15875.
=
n2
n2
R2
b2
"

se b1
1
X
+
b2 = 41, 13672;
n n.var (X)
r
=
var b1 = 6, 4138;

var b2

se b2

var Yb0

var b1

se Yb0
=

b
var Y0 Y0 =

se Y0 Yb0
b2
= 0, 0012775;
nvar (X)
r
var b2 = 0, 035742;
"
2 #
X0 X
1
+
b2 = 10, 4758;
n
nvar (X)
r
var Yb0 = 3, 2366;

2
b + var Yb0 = 52, 6345;

r

b
var Y0 Y0 = 7, 25497.
1. M hnh hi quy mu v cho bit ngha ca cc h s hi quy

Yb = 24, 4545 + 0, 5091X
ngha: khi thu nhp tng 1 USD/tun th chi tiu ca ngi tiu dng
tng 0,5091 USD.
30
2. Khong tin cy cho cc h s hi quy

(nk)
C = t
2
= t0,025 (10 2) = 2, 306
+ Khong tin cy ca 1

b1 C.se b1 1 b1 + C.se b1
9, 6643
39, 2447
+ Khong tin cy ca 2

b
b
b
2 C.se 2 2 2 + C.se b2
0, 4267
0, 5915
3. Thu nhp c nh hng n chi tiu hay khng

+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+T =
= t0,025 (10 2) = 2, 306.
b
2 = 14, 243.
se b2
+ |T | > C suy ra bc b H0 . Vy thu nhp c nh hng n chi tiu.

+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2 1; 10 2) = 5, 32.
+F =
(n k) R2
(10 2) 0, 9621
=
= 203, 08
2
(k 1) (1 R )
(2 1) (1 0, 9621)
+ F > C nn bc b H0 . Vy m hnh ph hp vi thc t.

5. D bo khi thu nhp mc 100 USD/tun vi tin cy 95%
+ Yb0 = b1 + b2 X0 = 24, 4545 + 0, 5091.100 = 75, 3645.
31
(nk)
+ C = t
2
= t0,025 (10 2) = 2, 306.

Yb0 Cse Yb0 E (Y /X0 = 100) Yb0 + Cse Yb0
67, 9
E (Y /X0 = 100)
82, 8

Yb0 Cse Y0 Yb0 Y0 Yb0 + Cse Y0 Yb0
58, 6
2.2
Y0
92, 1
M hnh hi quy bi
Bi 2.5. Bng di y cho cc s liu v doanh s bn (Y), chi ph cho hng

(X2 ) v chi ph qung co (X3 ) trong nm 2011 12 khu vc bn hng ca mt
cng ty. Hy c lng hm hi quy tuyn tnh ca doanh s bn theo chi ph cho
hng v chi ph qung co (n v: triu ng).
Y
1270
1490
1060
1626
1020
1800
1610
1280
1390
1440
1590
1380
X2
100
106
60
160
70
170
140
120
116
120
140
150
32
X3
180
248
190
240
150
260
250
160
170
230
220
150
Gii
n = 12;
P
Yi = 16956;
P
Yi2 = 24549576;
P
P
X2i = 1452;
2
= 188192;
X2i
P
X2i X3i = 303608;
Yi X2i = 2128740;

P
P
n
X2i
X3i
P 2
P

P
XT X =
X2i
X2i
X2i X3i =
P
P
P 2
X3i
X3i X2i
X3i

P
16956
Yi

P
XT Y =
X2i Yi = 2128740 ;
P
3542360
X3i Yi
328, 1383
1

1
b = X T X
X T Y = 4, 64951
b2
b
2, 560152
3
P
P
X3i = 2448;
2
= 518504;
X3i
Yi X3i = 3542360.
12
1452
2448
1452 188192 303608 ;

2448 303608 518504
= 328, 1383
= 4, 64951
= 2, 560152
Vy Ybi = 328, 1383 + 4, 64951X2i + 2, 560152X3i .

Bi 2.6. S liu quan st ca mt mu cho bng sau. Trong Y l lng hng
bn c ca mt loi hng ha (tn/thng); X2 l thu nhp ca ngi tiu dng
(triu/nm) v X3 l gi bn ca loi hng ny (ngn ng/thng).
Y X2 X3
20 8
2
18 7
3
19 8
4
18 8
4
17 6
5
17 6
5
16 5
6
15 5
7
13 4
8
12 3
8
1. Tm hm hi quy mu?
2. Tm h s xc nh ca m hnh?
33
b
3. Tm ma trn hip phng sai ca ?
Gii
1. Hm hi quy mu
2
n = 10; Y = 16, 52
P
P
Yi = 165;
X2i = 60;
P
P
Yi2 = 2781;
X2i X3i = 282;
P
P
2
= 388;
X2i
Yi X2i = 1029;
P
P
P
X3i = 52;
2
= 308;
X3i
Yi X3i = 813.
P
P
n
X2i
X3i
10 60 52
P 2
P
P

XT X =
X2i
X2i
X2i X3i = 60 388 282 ;
P
P
P 2
X3i
X3i X2i
X
52 282 308
P

3i
Yi
165
P
XT Y =
X2i Yi = 1029 ;
P
X3i Yi
813
14, 99215
1 = 14, 99215

1
b = X T X
X T Y = 0, 76178
b2 = 0, 76178
b
0, 58901
3 = 0, 58901
Vy Ybi = 14, 99215 + 0, 76178X2i 0, 58901X3i .
2. H s xc nh ca m hnh
T SS =
Yi2 nY = 58, 5;

2
ESS = bT X T Y nY = 56, 211;
R2
ESS
= 0, 96088
T SS
3. Ma trn hip phng sai
34
Ta c
b2 =
RSS
= 0, 327
nk
8,
55593
0,
81664
0,
6968

1
Cov b =
b2 X T X
= 0, 81664 0, 080466 0, 0642
0, 6968
0, 0642
0, 05992
r
b1 = var b1 = 8, 55593 = 2, 925
se
r
se b2 = var b2 = 0, 080466 = 0, 28366
r
se b3 = var b3 = 0, 05992 = 0, 24478

Bi 2.7. S liu v sn lng Y , phn ha hc X2 , thuc tr su X3 , tnh trn
mt n v din tch ha, cho trong bng sau
Y X2 X3
40 6
4
44 10 4
46 12 5
48 14 7
52 16 9
58 18 12
60 22 14
68 24 20
74 26 21
80 32 24
Vi mc ngha 5%, hy tr li cc cu hi sau:
1. Kt qu c lng c ph hp vi thc t khng? Hy gii thch ngha kinh
t ca cc h s nhn c.
2. Phn bn c nh hng n nng sut ca loi cy trng trn hay khng?
cu hi tng t cho thuc tr su.
3. Hy tm khong tin cy cho cc h s hi quy ring?
4. Hy gii thch ngha ca h s R2 nhn c? tnh h s xc nh hiu
chnh?
35
5. C phi c phn bn ln thuc tr su u khng nh hng n nng sut?

6. Bn c th b bin X3 ra khi m hnh c khng? V sao?
7. Phi chng phn bn v thuc tr su u c nh hng nh nhau n nng
sut cy trng trn?
8. Hy d bo gi tr trung bnh v c bit khi X2 = 20; X3 = 15.
Gii
thng k (Eviews, SPSS, STATA,... ) ta tnh c cc gi tr sau t bng s liu:
2
n = 10; Y = 572
P
Yi = 570;
P
P
Yi2 = 34124;
X2i X3i = 2684;
X2i = 180;
2
X2i
= 3816;
Yi X2i = 11216;
P
P
P

P
P
n
X2i
X3i
P 2
P
P

XT X =
X2i
X2i
X2i X3i =
P
P
P 2
X3i
X3i X2i
X
P

3i
Yi
570
P

T
X Y =
X2i Yi = 11216 ;
P
X3i Yi
7740
31, 98067
1

1
b = X T X
X T Y = 0, 65005
b2
b
1, 10987
3
T SS =
X3i = 120;
2
X3i
= 1944;
Yi X3i = 7740.
10 180 120
180 3816 2684 ;

120 2684 1944
= 31, 98067
= 0, 65005
= 1, 10987
Yi2 nY = 1634;

2
ESS = bT X T Y nY = 1620, 3365;
RSS = T SS ESS = 13, 6635;
R2
b2
ESS
= 0, 99164;
T SS
RSS
=
= 1, 95193.
nk
36
2, 6614 0, 3455 0, 3127

1
= 0, 3455 0, 0625 0, 065

Cov b =
b2 X T X
0, 3127 0, 065 0, 0715
r
b1 = var b1 = 2, 6614 = 1, 6314
se
r
se b2 = var b2 = 0, 0625 = 0, 25
r
se b3 = var b3 = 0, 0715 = 0, 2674

1 0
T
0 T
2
b
X X X = 0, 308377 se Yb0 = 0, 555;
var Y0
=
b X

2
b
b
b
var Y0 Y0 = var Y0 +
b = 2, 26 se Y0 Y0 = 1, 5.
1. Tm m hnh hi quy
Ybi = 31, 98067 + 0, 65005X2i + 1, 10987X3i
Do b2 > 0 v b3 > 0, nn khi tng lng phn bn v thuc tr su th
nng sut cy trng s tng. Suy ra kt qu c lng l ph hp vi
thc t (ch rng iu ny khng c ngha l khi tng phn bn v
thuc tr su ra v cng th nng sut cng tng nh vy).
b1 = 31, 98067 c ngha l nu khng dng phn bn v thuc tr su
th nng sut trung bnh/ha s l 31,98067 tn.
b2 = 0, 65005 c ngha l trong iu kin lng thuc tr su khng i,
nu tng lng phn bn ln 1 tn/ha th nng sut trung bnh/ha s
tng 0,65005.
b3 = 1, 10987 c ngha l trong iu kin lng phn bn khng i,
nu tng lng thuc tr su ln 1 tn/ha th nng sut trung bnh/ha
s tng 1,10987.
2. Kim nh nh hng ca bin X trong m hnh
Xt nh hng ca phn bn
+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+ T2 =
= t0,025 (10 3) = 2, 365.
b
2 =
se b2
0,65005
0,25
= 2, 6002.
37
+ |T2 | > C suy ra bc b H0 . Vy phn bn nh hng n nng sut.

Xt nh hng ca thuc tr su
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
(nk)
+ C = t
2
+ T3 =
(103)
= t0,025 = 2, 365.
b
3 =
se b3
1,10987
0,2674
= 4, 1506.
+ |T3 | > C suy ra bc b H0 . Vy thuc tr su nh hng n nng

sut.
3. Tm khong tin cy cho cc h s hi quy

(nk)
C = t
2
= t0,025 (10 3) = 2, 365
+ Khong tin cy ca 2
0, 65005 2, 365.0, 25 2 0, 65005 + 2, 365.0, 25
0, 0588
1, 2413
+ Khong tin cy ca 3
1, 10987 2, 365.0, 2674 3 1, 10987 + 2, 365.0, 2674
0, 477469
1, 742271
4. Tnh h s xc nh m hnh v nu ngha. Tnh h s xc nh c hiu chnh

ESS
= 0, 99164. ngha: cho bit s bin thin ca phn bn v
T SS
thuc tr su gii thch c 99,164% s bin thin ca nng sut.
+ R2 =
+ R = 1 1 R2
n1
10 1
= 1 (1 0, 99164)
= 0, 98925.
nk
10 3

+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
38
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (3 1; 10 3) = 4, 74.

+F =
(10 3) 0, 99164
(n k) R2
=
= 415, 1603
2
(k 1) (1 R )
(3 1) (1 0, 99164)
+ F > C nn bc b H0 . Suy ra m hnh ph hp hay phn bn v thuc

tr su c nh hng n nng sut.
6. Kim nh loi b bin ra khi m hnh
H s xc nh ca m hnh gc: R2 = 0, 99164
2
H s xc nh ca m hnh loi b bin X3 : RX
= 0, 971
+ t gi thit: H0 : 3 = 0; H1 : 3 6= 0
+ Vi = 5% suy ra C = F (m, n k) = F0,05 (1, 10 3) = 5, 59.

2
(n k) R2 RX
(10 3) (0, 99164 0, 971)
+F =
=
= 17, 2823.
m (1 R2 )
1. (1 0, 99164)
+ F > C ta bc b H0 . Vy khng th loi b X3 ra khi m hnh.
7. Kim nh v s nh hng nh nhau ca cc bin gii thch
+ t gi thit: H0 : 2 3 = 0; H1 : 2 3 6= 0
+ Vi = 5% suy ra C = t 2 (n k) = t0,025 (10 3) = 2, 365.
+ Gi tr quan st
T =
b b3
=
2
se b2 b3
= r
= p
c c
q 2 3
c2
c3 )
var(
b2 b3

var b2 + var b3 2cov b2 , b3
0, 65005 1, 10987
0, 0625 + 0, 0715 2 (0, 065)

0, 45982
=
= 0, 895
0, 51381
+ |T | < C suy ra cha c c s bc b H0 . Vy phn bn v thuc tr su
nh hng nh nhau n nng sut cy trng.
39
+ Yb0 = b1 + b2 X20 + b3 X30 = 61, 63.

(nk)
+ C = t
2
(103)
= t0,025 = 2, 365.
Khong d bo cho gi tr trung bnh Y0 (E(Y /X 0 ))

0
b
b
b
Y0 + Cse Yb0
Y0 Cse Y0
E Y /X
61, 63 2, 365.0, 555 E Y /X 0
61, 63 + 2, 365.0, 555
E Y /X 0
60, 317
62, 943

b
b
b
b
Y0 Cse Y0 Y0
Y0 Y0 + Cse Y0 Y0
61, 63 2, 365.1, 5 Y0
58, 0825
Y0
61, 63 + 2, 365.1, 5
65, 1775
Bi 2.8. Bng s liu sau y iu tra mt h gia nh. X2 l thu nhp t lng
v cc khon c tnh cht lng, X3 l thu nhp ngoi lng, Y l chi tiu. n
v ca cc bin u l triu ng
Y
X2 X3
9
10 2
9
12 0
11 13 3
12 14 4
12.5 15 4
13 16 6
16 16 8
17 17 9
14 18 5
13.5 20 3
1. Hy c lng m hnh hi quy
Yi = 1 + 2 X2i + 3 X3i + Ui
2. Tnh cc gi tr thng k khc?
40
3. Gii thch ngha kinh t cc h s hi quy v h s xc nh?

4. Kim nh s ph hp ca hm hi quy mc ngha 5%?
5. Cc h s hi quy ca m hnh c ngha thc t khng, vi = 0.5%?
6. Vi kt qu hi quy t mu s liu trn, nu cho rng: cng mt mc tng
thu nhp nh nhau, thu nhp ngoi lng tng s dn n chi tiu cao hn so
vi thu nhp t lng tng. Vi tin cy 95%, kin ny c ng khng?
7. Hy d bo gi tr trung bnh v c bit ca chi tiu khi X2 = 19 v X3 = 7.
Gii
thng k (Eviews, SPSS, STATA,... ) ta tnh c cc gi tr sau t bng s liu:
2
n = 10; Y = 12, 72
P
P
Yi = 127;
X2i = 151;
P
Yi2 = 1675, 5;
2
X2i
= 2359;
P
P
X3i = 44;
2
X3i
= 260;
P
P
X2i X3i = 702;
Yi X2i = 1971, 5;
Yi X3i = 618, 5.
P
P
n
X2i
X3i
10 151 44
P 2
P
P

XT X =
X2i
X2i
X2i X3i = 151 2359 702 ;
P
P
P 2
X3i
X3i X2i
X3i
44 702 260
P

Yi
127
P

T
X Y =
X2i Yi = 1971, 5 ;
P
X3i Yi
618, 5
4, 368007
1 = 4, 368007

1
b = X T X
X T Y = 0, 347067
b2 = 0, 347067
b
0, 702565
3 = 0, 702565
P 2
2
T SS =
Yi nY = 62, 6;

2
ESS = bT X T Y nY = 60, 589732;
RSS = T SS ESS = 2, 010268;
R2
b2
ESS
= 0, 96789;
T SS
RSS
=
= 0, 28718.
nk
=
41
0, 9049
0, 06285
0, 01656

1
= 0, 06285 0, 004985 0, 002822

Cov b =
b2 X T X
0, 01656 0, 002822 0, 005923
r
b1 = var b1 = 0, 9049 = 0, 95126
se
r
se b2 = var b2 = 0, 004985 = 0, 0706
r
se b3 = var b3 = 0, 005923 = 0, 07696

1 0
T
0 T
2
b
X X X = 0, 0873357 se Yb0 = 0, 295526;
var Y0
=
b X

2
b
b
b
var Y0 Y0 = var Y0 +
b = 0, 3745157 se Y0 Y0 = 0, 611977.
1. Tm m hnh hi quy
Ybi = 4, 368007 + 0, 347067X2i + 0, 702565X3i
2. Cc gi tr thng k
T SS = 62, 6;
ESS = 60, 589732;
RSS = 2, 010268;
R2 = 0, 96789;
b2 = 0, 28718;

se b1 = 0, 95126;

se b2 = 0, 0706

se b3 = 0, 07696
3. Nu ngha kinh t ca cc h s hi quy v h s xc nh

b1 = 4, 368007: khi khng c thu nhp th mc chi tiu ti thiu trung
bnh khong 4,368007 triu ng/thng.
b2 = 0, 347067: khi thu nhp ngoi lng khng i, nu thu nhp t
lng tng (gim) 1 triu ng/thng th chi tiu bnh qun tng (gim)
0,347067 triu ng /thng.
b3 = 0, 702565 : khi thu nhp t lng khng i, nu thu nhp ngoi
lng tng (gim) 1 triu ng /thng th chi tiu bnh qun tng (gim)
0,702565 triu ng/thng.
Nu c thu nhp t lng v thu nhp ngoi lng cng tng nh nhau
1 triu ng/thng th chi tiu tng cng tng (0,347067+0,702565).
42
R2 = 0, 96789: s bin thin ca thu nhp t lng v thu nhp ngoi

lng gii thch c 96,789% s bin thin ca chi tiu. Cn li (10,96789)% l do cc yu t ngu nhin khc gii thch.
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (3 1; 10 3) = 4, 74.
+F =
(10 3) 0, 96789
(n k) R2
=
= 105, 5
(k 1) (1 R2 )
(3 1) (1 0, 96789)
+ F > C nn bc b H0 . Suy ra m hnh ph hp.

5. Kim nh nh hng ca bin X trong m hnh
Kim nh 1
+ t gi thit H0 : 1 = 0; H1 : 1 6= 0.
(nk)
+ C = t
2
+ T1 =
(103)
= t0,025 = 2, 365.
b
4, 368007
1 =
= 4, 592.
0,
95126
b
se 1
+ |T1 | > C suy ra bc b H0 . Vy h s chn 1 c ngha thng k.

Kim nh 2
+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+ T2 =
(103)
= t0,025 = 2, 365.
b
0, 347067
2 =
= 4, 916.
0, 0706
se b2
+ |T2 | > C suy ra bc b H0 . Vy h s 2 c ngha thng k.

Kim nh 3
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
(nk)
+ C = t
2
(103)
= t0,025 = 2, 365.
43
b3
0, 702565

=
+ T2 =
= 9, 12896.
0, 07696
se b3
+ |T2 | > C suy ra bc b H0 . Vy h s 3 c ngha thng k.
6. Kim nh v s nh hng nh nhau ca cc bin gii thch
Yu vu bi ton tng ng 3 c thc s ln hn 2 khng
+ t gi thit: H0 : 3 2 = 0; H1 : 3 2 > 0
+ Vi = 5% suy ra C = t 2 (n k) = t0,025 (10 3) = 2, 365.
+ Gi tr quan st
T =
b b2
b b
3
= r 3 2
se b3 b2
var b3 b2
b2 b3
= r

var b2 + var b3 2cov b3 , b2
0, 702565 0, 347067
= p
0, 005923 + 0, 004985 2 (0, 002822)
= 2, 7632
+ |T | > C suy ra bc b H0 . Vy 3 thc s ln hn 2 .
+ Yb0 = b1 + b2 X20 + b3 X30 = 15, 880235.
(nk)
+ C = t
2
(103)
= t0,025 = 2, 365.
Khong d bo cho gi tr trung bnh Y0 (E(Y /X 0 ))

Yb0 Cse Yb0

Yb0 + Cse Yb0
E Y /X 0
15, 880235 2, 365.0, 295526 E Y /X 0
15, 880235 + 2, 365.0, 295526
E Y /X 0
15, 1813
44
16, 57915

Yb0 Cse Y0 Yb0
Y0

Yb0 + Cse Y0 Yb0
15, 880235 2, 365.0, 611977 Y0 15, 880235 + 2, 365.0, 611977

14, 4334
Y0
17, 32707
Bi 2.09. Ngi ta cho rng tng vn u t (Y: t ng) khng ch ph thuc

vo li sut ngn hng (X2 : %) m cn ph thuc vo tc tng trng GDP
(X3 : %). Vi s liu gm c 20 quan st, ngi ta c lng c m hnh:
Yb = 40.815 1.012X2 + 2.123X3
R2 = 0, 901
t = (2.748) (2, 842) (3.485)
1. Hy nu ngha kinh t ca cc h s hi quy?
2. Tm khong tin cy ca cc h s hi quy tng th vi tin cy 95%?
3. Tnh h s xc nh c hiu chnh.
4. Kim nh s ph hp ca m hnh vi mc ngha 5%.
Gii
a) ngha ca cc h s hi quy
+ Khi tc tng trng GDP khng i, li sut tng (hoc gim) 1% th
vn u t trung bnh gim (hoc tng) 1,012 t ng.
+ Khi li sut khng i, tc tng trng ca GDP tng (hoc gim) 1%
th vn u t trung bnh tng (hoc gim) 2,123 t ng.
b) Khong tin cy ca cc h s hi quy

b
b
b
p dng: i C.se i i i + C.se bi . Trong
(nk)
C = t
2
= t0,025 (20 3) = 2, 11
45
b
bi
i

ti =
se bi =
ti
se bi
b
b1 = 1 = 40, 815 = 14, 8526
se
t1
2, 748

b2
1, 012
se b2 =
=
= 0, 3561
t
2,
842
b
2, 123
se b3 = 3 =
= 0, 6092
t3
3, 485
+ Khong tin cy ca 1
40, 815 2, 11.14, 8526 1 40, 815 + 2, 11.14, 8526
9, 476
72, 154
+ Khong tin cy ca 2
1, 012 2, 11.0, 3561 2 1, 012 + 2, 11.0, 3561
1, 763
0, 26063
+ Khong tin cy ca 3
2, 123 2, 11.0, 6092 3 2, 123 + 2, 11.0, 6092
0, 838
3, 408
c) H s xc nh c hiu chnh
2
R = 1 1 R2
n1
19
= 1 (1 0, 901)
= 0, 8894
nk
17
d) Kim nh s ph hp ca m hnh
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2; 17) = 3, 59.
+F =
(n k) R2
(20 3) 0, 901
=
= 77, 36
(k 1) (1 R2 )
(3 1) (1 0, 901)

46
Bi 2.10. T mt mu gm 10 quan st, ngi ta tin hnh hi quy Y theo X2

v X3 ta c kt qu sau:
Yb = 99.09 0.39X2 13.195X3
Se = (70.4) (2.11) (13.33)
R2 = 0, 8766
1. Tm khong tin cy cho h s hi quy ca bin X vi tin cy 98%?

2. Kim nh gi thit cho rng h s hi quy ca bin X3 trong hm hi quy
tng th l -12 vi mc ngha 5%.
Gii
1. Khong tin cy cho h s hi quy

+ p dng: bi C.se bi i bi + C.se bi . Trong
(nk)
C = t
2
= t0,01 (10 3) = 2, 998
+ Khong tin cy ca 1
0, 39 2, 998.2, 11 1 0, 39 + 2, 998.2, 11
6, 71578
5, 93578
2. Kim nh gi thit
+ t gi thit H0 : 3 = 12; H1 : 3 6= 12.
(nk)
+ C = t
2
+T =
(103)
= t0,025 = 2, 365.
b3 (12)
13, 195 (12)
=
= 0, 0896.
13,
33
b
se 3
+ |T | < C suy ra chp nhn H0 .
2.3
Hi quy vi bin nh tnh
Bi 2.11. Kho st v nng sut ca hai cng ngh sn xut, ngi ta thu
c s liu cho bng sau
47
D 0 1 1 0 0 1 0 1 1 0
Y 28 32 35 27 25 37 29 34 33 30
Trong Yi (i = 1, 2, ..., 10) l nng sut 1 ngy (n v: tn). D = 1 nu l cng
ngh A, D = 0 nu l cng ngh B. c lng m hnh hi quy tuyn tnh v nu
ngha.
Gii
Ta c b1 = 27, 8; b2 = 6, 4.
Vy Ybi = 27, 8 + 6, 4D
ngha:
+ Nu D = 0, nng sut trung bnh ca cng ngh B l 27,8 (tn/ngy)

E Ybi /D = 0 = 27, 8
+ Nu D = 1, nng sut trung bnh ca cng ngh B l (27, 8 + 6, 4) = 34, 2
(tn/ngy)

b
E Yi /D = 1 = 34, 2
Bi 2.12. S liu v tit kim v thu nhp c nhn nc Anh t nm 1946 n
1963 (n v Pound) cho bng sau
Thi k I Y
X Thi k II Y
X
1946
0.36 8.8
1955
0.59 15.5
1947
0.21 9.4
1956
0.9 16.7
1948
0.08 10
1957
0.95 17.7
1949
0.2 10.6
1958
0.82 18.6
1950
0.1
11
1959
1.04 19.7
1951
0.12 11.9
1960
1.53 21.1
1952
0.41 12.7
1961
1.94 22.8
1953
0.5 13.5
1962
1.75 23.9
1954
0.43 14.3
1963
1.99 25.2
Trong Y tit kim; X thu nhp. Xt xem tit kim hai thi k c nh nhau
hay khng vi mc ngha 5%.
48
Gii
+ M hnh hi quy gc

Ybi = 1, 082071 + 0, 117845Xi RSS = n 1 r2 var (Y ) = 0, 572226
+ M hnh hi quy thi k I

Ybi = 0, 266249 + 0, 047028Xi RSS1 = n1 1 r12 var (Y ) = 0, 13965
+ M hnh hi quy thi k II

Ybi = 1, 750172 + 0, 15045Xi RSS2 = n2 1 r22 var (Y ) = 0, 193121
+ RSS = RSS1 + RSS2 = 0, 332771.
Kim nh gi thit
+ t gi thit: H0 tit kim 2 thi k l nh nhau; H1 tit kim 2 thi k l
khc nhau.
+ C = F (k; n1 + n2 2k) = F0,05 (2; 14) = 3, 74
+ Gi tr quan st
F =

RSS RSS (n1 + n2 2k)
k.RSS
(0, 572226 0, 332771) (9 + 9 2.2)
=
2.0, 332771
= 5, 03705
+ F > C suy ra bc b H0 .
Vy tit kim 2 thi k l khc nhau vi mc ngha 5%.
Bi 2.13. Ngi ta cho rng chi tiu mt hng A (Y - triu ng/thng) khng
ch ph thuc vo thu nhp ca ngi tiu dng (X - triu ng/thng) m cn
ph thuc vo gii tnh ca ngi tiu dng (D = 1 nu l nam v D = 0 nu l
n). Vi s liu ca mt mu gm 20 quan st, ngi ta c lng c m
hnh
Yb = 6.426 + 0.098X + 2.453D 0.025XD
Se = (3.628) (0.032) (0.988)
(0.011)
1. Hy nu ngha ca h s hi quy ca bin D v bin XD?
49
2. Tm khong tin cy ca cc h s hi quy trong hm hi quy tng th vi

tin cy 95%?
3. Hy cho bit chi tiu v mt hng A ca nam v n c ging nhau khng?
(vi mc ngha 5%)
Gii
a) ngha ca cc h s hi quy ca bin D v bin XD
+ H s hi quy ca bin D l 2,453 cho bit mc chnh lch ca h s tung
gc gia hai hm hi quy phn nh mi quan h gia chi tiu mt hng
A i vi thu nhp ca nam v n.
+ H s hi quy ca bin XD l -0,025 cho bit mc chnh lch ca h s
gc gia hai hm hi quy phn nh mi quan h gia chi tiu mt hng A
i vi thu nhp ca nam v n.

(nk)
C = t
2
= t0,025 (20 4) = 2, 12
+ Khong tin cy ca 1
6, 426 2, 12.3, 628 1 6, 426 + 2, 12.3, 628
1, 26536
14, 11736
+ Khong tin cy ca 2
0, 098 2, 12.0, 032 2 0, 098 + 2, 12.0, 032
0, 03016
0, 16584
+ Khong tin cy ca 3
2, 453 2, 12.0, 988 3 2, 453 + 2, 12.0, 988
0, 35844
4, 54756
+ Khong tin cy ca 4
0, 025 2, 12.0, 011 4 0, 025 + 2, 12.0, 011
0, 048
4
50
0, 00168
c) Chi tiu ca nam v n c ging nhau hay khng?

Xt 3
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
(nk)
+ C = t
2
+ T3 =
= t0,025 (20 4) = 2, 12.
b
2, 453
3 =
= 2, 4828.
0, 988
se b3
+ |T3 | > C suy ra bc b H0 (1)
Xt 4
+ t gi thit H0 : 4 = 0; H1 : 4 6= 0.
(nk)
+ C = t
2
+ T4 =
= t0,025 (20 4) = 2, 12.
2, 453
b
4 =
= 2, 273.
0, 988
se b4
+ |T4 | > C suy ra bc b H0 (2)

T (1) v (2) ta suy ra chi tiu ca nam v n l khc nhau.
Bi 2.14. Ngi ta cho rng chi tiu mt hng A (Y - ngn ng/thng) khng
ch ph thuc vo thu nhp ca ngi tiu dng (X - triu ng/thng) m cn
ph thuc vo gii tnh ca ngi tiu dng (D = 1 nu l nam v D = 0 nu l
n). Vi s liu ca mt mu gm 20 quan st, ngi ta c lng c m
hnh
Yb = 96.458 + 38.928X 8.415D 6.525XD
Se = (33.228) (11.312) (4.207)
(1.812)
1. Hy nu ngha ca cc h s hi quy?
2. Tm khong tin cy ca cc h s hi quy trong hm hi quy tng th vi
tin cy 95%?
3. Hy cho bit chi tiu v mt hng A ca nam v n c ging nhau khng?
(vi mc ngha 5%) V sao?
51
Gii
a) ngha ca cc h s hi quy
+ Ngi tiu dng l n: khi thu nhp ca n tng 1 triu ng/thng th
mc chi tiu cho mt hng A trung bnh tng 38,928 ngn ng/thng
+ Ngi tiu dng l nam: khi thu nhp ca nam tng 1 triu ng/thng
th mc chi tiu cho mt hng A trung bnh tng (38, 928 6, 525) = 32, 403
ngn ng/thng
+ Vi cng mt mc thu nhp th chi tiu trung bnh ca v mt hng A
ca n cao hn nam (8,415+6,525) ngn ng/thng.

(nk)
C = t
2
= t0,025 (20 4) = 2, 12
+ Khong tin cy ca 1
96, 458 2, 12.33, 228 1 96, 458 + 2, 12.33, 228
26, 01464
166, 90136
+ Khong tin cy ca 2
38, 928 2, 12.11, 312 2 38, 928 + 2, 12.11, 312
14, 94656
62, 90944
+ Khong tin cy ca 3
8, 415 2, 12.4, 207 3 8, 415 + 2, 12.4, 207
17, 334
0, 50384
+ Khong tin cy ca 4
6, 525 2, 12.1, 812 4 6, 525 + 2, 12.1, 812
10, 366
4
52
2, 68356
c) Chi tiu ca nam v n c ging nhau hay khng?

Xt 3
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
(nk)
+ C = t
2
+ T3 =
= t0,025 (20 4) = 2, 12.
b
8, 415
3 =
= 2, 0002.
4, 207
se b3
+ |T3 | < C suy ra cha c c s bc b H0 (1)
Xt 4
+ t gi thit H0 : 4 = 0; H1 : 4 6= 0.
(nk)
+ C = t
2
+ T4 =
= t0,025 (20 4) = 2, 12.
b
6, 525
4 =
= 3, 6009.
1,
812
b
se 4
+ |T4 | > C suy ra bc b H0 (2)

T (1) v (2) ta suy ra chi tiu ca nam v n l khc nhau.
Bi 2.15. Xt hm hi quy mu Yb = b1 + b2 X + b3 Z trong : Y l mc chi tiu
cho mt hng A (n v 100 ngn ng/thng); Z l gii tnh (Z = 1 nu l nam,
Z = 0 nu l n). T s liu ca mt mu (kch thc n = 20) ngi ta tm c
kt qu nh sau
Yb = 4.1365 + 0.5133X + 0.2053Z + 0.325XZ
t = (4.889) (11.35)
(0.557)
(2.42)
2
R = 0.7485; d = 2.07
1. Vi mc ngha 5%, hy xt xem m hnh trn c xy ra hin tng t tng
quan hay khng?
2. Kim nh gi thit H0 : 2 = 0.6 vi mc ngha 5%.
3. Xt xem chi tiu v mt hng A ca nam v n c khc nhau khng? ( =
5%).
53
Gii
1. Ta c d = 2, 07, nhn thy 1 < d < 3 nn theo quy tc kim nh Durbin
watson gin n ta c th kt lun l m hnh khng xy ra hin tng t
tng quan.
2. Kim nh gi thit
+ t gi thit H0 : 2 = 0, 6; H1 : 3 6= 0, 6.
(nk)
+ C = t
2
= t0,025 (20 4) = 2, 12.
+ Ch rng
t=
+T =
b
b
0, 5133
2 se b2 = 2 =
= 0, 0452
t
11,
35
b
se 2
0, 5133 (0, 6)
b2 (0, 6)
=
= 1, 92.
0, 0452
se b2
+ |T | < C suy ra chp nhn H0 .

3. Chi tiu v mt hng A ca nam v n c ging nhau hay khng?
Xt 3
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
(nk)
+ C = t
2
= t0,025 (20 4) = 2, 12.
+ T3 = 0, 557.
+ |T3 | < C suy ra cha c c s bc b H0 (1)
Xt 4
+ t gi thit H0 : 4 = 0; H1 : 4 6= 0.
(nk)
+ C = t
2
= t0,025 (20 4) = 2, 12.
+ T4 = 2, 42.
+ |T3 | > C suy ra bc b H0 (2)
T (1) v (2) ta suy ra chi tiu v mt hng A ca nam v n l khc nhau.
54
2.4
Bi tp tng hp
Bi 2.16. Kho st v nhu cu tiu th Cafe thng qua s tch Cafe 1

ngi dng mi ngy Y (tch/ngi/ngy) v gi bn l trung bnh ca Cafe
X (USD/pao), ngi ta thu c bng s liu
Nm 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980
Y
2.57 2.5 2.35 2.3 2.25 2.2 2.11 1.94 1.97 2.06 2.02
X
0.77 0.74 0.72 0.73 0.76 0.76 1.08 1.81 1.39 1.2 1.17
1. c lng m hnh (1): Yi = 1 + 2 Xi + Ui . Nu ngha ca h s gc hi
quy c?
2. Tm khong tin cy cho 2 vi tin cy 95%.
3. Kim nh gi thit H0 : 2 = 0 vi mc ngha 5%.
4. Vi mc ngha 5%, hy cho bit 2 < 0.4 hay khng?
5. D bo nhu cu tiu th Cafe trung bnh (hoc c bit) khi gi bn l trung
bnh l 1 USD/pao vi tin cy 95%.
6. Tnh R2 , nu ngha. Kim nh s ph hp ca m hnh vi mc ngha
5%.
7. Nu ngha ca cc h s gc trong cc m hnh hi quy sau:
a. ln (Yi ) = 0.7774 0.2530 ln (Xi ).
b. Yi = 2.1848 0.5520 ln (Xi ).
c. ln (Yi ) = 1.0100 0.2202Xi .
8. Xt thm yu t khuyn mi Z c quy c nh sau (Z = 1: c khuyn mi,
Z = 0: khng c khuyn mi). Kt qu hi quy m hnh (2):
Yi = 1 + 2 Xi + 3 Zi + Ui
Ta c
Yi = 2.6144 0.4789Xi + 0.2093Zi + ei
R2 = 0.915
a. Kim nh s ph hp ca m hnh (2) vi mc ngha 5%.
2
b. Tnh R ca hai m hnh v cho bit m hnh no ph hp hn (so snh

hai m hnh).
55
c. Nu ngha ca h s gc ca bin gi Z hi quy c?

Gii
P
b2
b1
Xi Yi nXY
2 = 0, 479529;
2
Xi n X
= Y b2 X = 2, 691124;
= P
T SS = nvar (Y ) = 0, 4421;
ESS = nb2 var (X) = 0, 293;

ESS
= 0, 6627;
T SS

RSS
n
1 r2 var (Y ) =
= 0, 128703.
b2
=
n2
n2

b2
var b2
=
= 0, 013;
nvar (X)
r

se b2
var b2 = 0, 11402;
=
"
2 #

X
X
1
0
=
var Yb0
+
b2 = 0, 0015;
n
nvar (X)
r

se Yb0
=
var Yb0 = 0, 0388;

2
b
b + var Yb0 = 0, 01806;
var Y0 Y0 =
r

se Y0 Yb0
=
var Y0 Yb0 = 0, 1344.
R2
1. c lng m hnh
Yb = 2, 6911 0, 4795X
ngha: khi gi bn trung bnh ca cafe tng 1 (USD/pao) th nhu cu tiu
th cafe trung bnh gim 0,4795 (tch/ngi/ngy).
2. Khong tin cy cho 2 vi tin cy 95%

b
b
b
(nk)
C = t
2
= t0,025 (11 2) = 2, 262

56
Khong tin cy ca 2
0, 479529 2, 262.0, 11402 2 0, 479529 + 2, 262.0, 11402
0, 7374
0, 2216
3. Kim nh gi thit H0 : 2 = 0 vi mc ngha 5%.

Cch 1: khong tin cy 95% ca 2 l (-0,7374; -0,2216) khng cha 0,
nn ta c c s bc b H0 vi mc ngha 5%. Vy 2 6= 0 vi mc
ngha 5%.
Cch 2 + t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
+T =
= t0,025 (11 2) = 2, 262.
b
2 = 4, 205592.
se b2
+ |T | > C suy ra bc b H0 . Vy 2 6= 0 vi mc ngha 5%.

4. Vi mc ngha 5%, hy cho bit 2 < 0.4 hay khng?
+ t gi thit H0 : 2 = 0, 4; H1 : 2 < 0, 4.
+ C = t (n k) = t0,05 (11 2) = 1, 833.
+T =
b
2 =
se b2
1,2494
0,03883
= 32, 2.
+ T > C suy ra cha c c s bc b H0 . Vy 2 < 0, 4 vi mc ngha

5%.
5. D bo nhu cu tiu th Cafe
+ Yb0 = b1 + b2 X0 = 2, 6911 + 0, 4795.1 = 2, 2116.
(nk)
+ C = t
2
= t0,025 (11 2) = 2, 262.

b
b
b
Y0 Cse Y0 E (Y /X0 = 1) Y0 + Cse Yb0
2, 1238
E (Y /X0 = 1)
57
2, 2994

Yb0 Cse Y0 Yb0 Y0 Yb0 + Cse Y0 Yb0
1, 9076
Y0
2, 5156
6. Tnh R2 , nu ngha. Kim nh s ph hp ca m hnh vi mc ngha 5%

ESS
= 0, 6627. ngha: gi bn l trung bnh ca cafe gii thch
T SS
c 66,28% s thay i gi tr ca nhu cu tiu th cafe theo m hnh
hi quy tuyn tnh, cn li 33,73% do cc yu t khc ngoi m hnh
tc ng.
R2 =
Kim nh:
+ t gi thit H0 : R2 = 0; H1 : R2 > 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2 1; 11 2) = 5, 12.
+F =
(n k) R2
= 17, 687
(k 1) (1 R2 )
+ F > C nn bc b H0 . Vy m hnh ph hp vi mc ngha 5%.

7.
a. Khi gi bn l trung bnh ca cafe tng 1% th nhu cu tiu th cafe

trung bnh gim 0,253%.
b. Khi gi bn l trung bnh ca cafe tng 1% th nhu cu tiu th cafe
trung bnh gim 0,00552 (tch/ngi/ngy).
c. Khi gi bn l trung bnh ca cafe tng 1USD/pao th nhu cu tiu th
cafe trung bnh gim 22,02%.
8.
a. Kim nh s ph hp ca m hnh (2) vi mc ngha 5%

+ t gi thit H0 : R2 = 0; H1 : R2 > 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2 1; 11 3) = 4, 46.
+F =
(n k) R2
= 43, 0823
(k 1) (1 R2 )
+ F > C nn bc b H0 . Vy m hnh (2) ph hp vi mc ngha 5%.

58
b. Tnh R ca hai m hnh v cho bit m hnh no ph hp hn

+ R12 = 1 1 R2
n1
11 1
= 1 (1 0, 6628)
= 0, 6253.
nk
11 2
+ R22 = 1 1 R2
n1
11 1
= 1 (1 0, 915)
= 0, 8938.
nk
11 3
Ta nhn thy R22 > R12 nn m hnh (2) ph hp hn so vi m hnh

(1).
c. ngha ca h s gc ca bin gi Z hi quy c?
b3 = 0, 2093: khi c khuyn mi th nhu cu tiu th cafe trung bnh
tng 0,2093 (tch/ngi/ngy) so vi khi khng c khuyn mi, vi iu
kin gi bn l trung bnh ca cafe khng i.
Bi 2.17. Cho mt mu thng k nh sau:
Yi
30
50
40
55
50
60
58
62
60
65
Xi
7
8
9
9
11
12
13
13
14
15
G. tnh Nam N Nam N Nam N Nam N Nam N
Trong : Y l chi tiu v mt hng A (n v: 100 ngn ng/thng); X l thu
nhp ca ngi tiu dng (triu ng/thng).
Cu 1. Hi quy Y theo X ta c kt qu cho bng sau:
Dependent Variable:
Variable
C
X
R-squared
Adjusted R-squared
S.E. of regression
Log likelihood
Durbin-Watson stat
Y
Coefficient
15.33632
3.393124
0.721198
0.686347
6.100828
-31.15791
3.155164
Std. Error t-Statistic

8.501202
1.804018
0.745892
4.549084
Mean dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.1089
0.0019
53.00000
6.631583
6.692100
20.69417
0.001877
a) Vit m hnh hi quy tuyn tnh mu ca Y theo X v nu ngha ca

h s gc.
b) Kim nh h s hi quy ca bin X trong hm hi quy tng th bng
0 vi mc ngha 5% v cho bit ngha ca kt qu kim nh.
59
c) Vit hm hi quy khi n v ca chi tiu v thu nhp u l triu

ng/nm.
d) Tnh h s co dn ti im(X, Y ) v nu ngha.
e) D bo mc chi tiu trung bnh ca mt ngi c thu nhp l 10 triu
ng/thng vi tin cy 95%.
Cu 2. t Zi = 0 nu l nam; Zi = 1 nu l n. Hi quy Y theo X v Z ta c
kt qu cho bng sau:
Dependent Variable:
Variable
C
X
Z
R-squared
Adjusted R-squared
S.E. of regression
Log likelihood
Durbin-Watson stat
Y
Coefficient
13.10545
3.193939
8.883636
0.903448
0.875862
3.838109
-25.85581
2.235416

5.383313
2.434459
0.472439
6.760539
2.443928
3.634983
Mean dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0451
0.0003
0.0083
53.00000
5.771162
5.861937
32.74988
0.000280
a) Vit m hnh hi quy mu v nu ngha ca cc h s hi quy ring.

b) Kim nh gi thit: h s hi quy ca bin X trong hm hi quy tng
th bng 3.5 vi mc ngha 5%.
c) d bo Y ta nn dng m hnh cu 1 hay m hnh cu 2? V
sao? (Vi mc ngha 5%).
d) T bng kt qu di y, bn hy cho bit m hnh hi quy cu 2 c
xy ra hin tng phng sai thay i hay khng, vi mc ngha 5%?
While Heteroskedasticity
F-statistic
3.553680 Probability 0.087187
Obs*R-squared 6.398784 Probability 0.093741
e) Da trn kt qu hi quy di y, vi mc ngha 5%, theo bn c th kt
lun rng m hnh hi quy cu 2 b st bin thch hp hay khng?
Ramsey RESET Test
F-statistic
29.41432 Probability 0.001717
Log likelihood ratio 25.46764 Probability 0.000003
60
Cu 3 .
d
a. Hi quy lnY theo X ta c kt qu: ln
Y = 3.155 + 0.071X. Nu
ngha h s hi quy ca bin X.
b. Hi quy Y theo lnX ta c kt qu: Yb = 33.858 + 36.526 ln X. Nu
ngha h s hi quy ca bin lnX.
Gii
Cu 1 .
a) Hm hi quy tuyn tnh mu
Yb = 15, 33632 + 3, 393124X
ngha h s gc 2 : khi thu nhp ca ngi tiu dng tng 1 (triu/thng)
th chi tiu ca mt hng A tng trung bnh 3,393124 (100 ngn ng)
trong iu kin cc yu t khc khng i.
b) Ta c th gii theo 2 cch
z Cch 1
+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
(nk)
+ C = t
2
= t0,025 (10 2) = 2, 306.
b2

= 4, 549084.
+T =
b
se 2
+ |T | > C suy ra bc b H0
z Cch 2
+ t gi thit H0 : 2 = 0; H1 : 2 6= 0.
+ Pvalue = 0, 0019 < = 0, 05 suy ra bc b H0
ngha: thu nhp ca ngi tiu dng thc s c nh hng n chi
tiu cho mt hng A.
c) i n v
61
+ n v ca chi tiu l triu ng/nm

Y = 1, 2Y
k1 = 1, 2
b1 = k1 b1 = 18, 403584
+ n v ca thu nhp l triu ng/nm
X = 12X
k2 = 12
k1
b2 = b2 = 0, 3393124
k2
Vy
Yb = b1 + b2 X = 18, 403584 + 0, 3393124X
d) H s co dn
Ta c X = 11, 1; 53. H s co dn ca chi tiu theo thu nhp ti im
(X; Y ) l
dY X
X
Y =
= b2 = 0, 7106
X
dX Y
Y
ngha: khi thu nhp ca ngi tiu dng tng 1% th chi tiu cho mt
hng A tng trung bnh 0,7106%.
e) D bo
+ Yb0 = b1 + b2 X0 = 15, 33632 + 3, 393124.10 = 49, 267.
(nk)
+ C = t
2

+ var Yb0 =
= t0,025 (10 2) = 2, 306.

"
2 #

X0 X
1
2
+
b = 4, 3952 se Yb0 = 2, 0965

n
n.var (X)

Yb0 Cse Yb0 E (Y /X0 = 10) Yb0 + Cse Yb0
44, 4325
E (Y /X0 = 10)
62
54, 102
Cu 2 .
Yb = 13, 10545 + 3, 193939X + 8, 883636Z
ngha h s gc 2 : khi thu nhp ca ngi tiu dng bt k nam
hay n tng ln 1 (triu/thng) th chi tiu ca mt hng A tng trung
bnh 3,193939 (100 ngn ng) trong iu kin cc yu t khc khng
i.
ngha h s gc 3 : khi c cng mt mc thu nhp, chi tiu trung
bnh cho mt hng A ca ngi n s cao hn 8,8836 (100 ngn ng)
so vi chi tiu trung bnh cho mt hng A ca ngi nam (trong iu
kin cc yu t khc khng i).
b) Kim nh gi thit
+ t gi thit H0 : 2 = 3, 5; H1 : 2 6= 3, 5.
(nk)
+ C = t
2
+T =
(103)
= t0,025 = 2, 365.
b2 3, 5
= 0, 6478.
se b2
+ |T | < C suy ra cha c c s bc b H0

c) La chn m hnh
2
R1 = 0, 686347 < R2 = 0, 87586

Kim nh:
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
Vy ta nn chn m hnh 2.
d) t gi thit H0 : m hnh khng c phng sai thay i.
Pvalue = 0, 087187 > = 0, 05 suy ra cha c c s bc b H0
e) t gi thit H0 : m hnh khng b st bin.
Pvalue = 0, 001717 < = 0, 05 suy ra bc b H0
63
Cu 3 .
a) ngha ca 2 = 0, 0713: khi thu nhp ca ngi tiu dng tng 1
(triu ng/thng) th chi tiu trung bnh cho mt hng A tng 7,31%.
b) ngha ca 2 = 36, 5266: khi thu nhp ca ngi tiu dng tng 1%
th chi tiu trung bnh cho mt hng A tng 0,365266 (trm ngn ng
/thng).
Bi 2.18. Gi s c mu thng k ca 10 thng trong mt nm nh sau:
Thng 1 2 3 4 5 6 7 8 9
Y
47 52 72 52 32 52 67 66 42
X2
58 57 56 59 58 58 57 57 59
X3
74 73 71 72 75 72 71 70 73
10
37
60
73
Trong : Y l lng c ph tiu th ca mt c nhn (tch/thng); X2 l gi bn

l trung bnh ca c ph (ngn ng/kg) v X3 l gi bn l trung bnh ca ng
(ngn ng/kg).
Dependent Variable:
Variable
C
X2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Y
Coefficient
541.5814
-8.457364
0.587369
0.535790
9.001400
648.2016
-35.04747
2.298401

145.1367
3.731526
2.506197
-3.374581
Mean dependent var
S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0058
0.0097
51.90000
13.21153
7.409494
7.470011
11.38780
0.009719
a) Hy vit m hnh hi quy tuyn tnh mu m t quan h gia lng c

ph tiu th ca mt c nhn theo gi c ph. Nu ngha kinh t ca
h s gc c c lng.
b) Tm khong tin cy ca h s gc tng th vi tin cy 99%. Xt xem
gi c ph c nh hng n lng c ph c tiu th hay khng vi
mc ngha 1%.
c) D on lng c ph tiu th trung bnh khi gi c ph l 55 (ngn
ng/kg) vi tin cy 95%.
64
d) Hy vit hm hi quy khi n v tnh ca lng c ph tiu th l

tch/nm v gi c ph l ng/kg.
e) Xt ti mc gi 55 (ngn ng/kg). Hy cho bit tng doanh thu th
nn tng hay gim gi bn ca c ph.
Cu 2. Vi s liu cho cu 1. Hi quy Y theo X2 v X3 ta c kt qu cho
bng sau:
Dependent Variable:
Variable
C
X2
X3
R-squared
Adjusted R-squared
S.E. of regression
Log likelihood
Durbin-Watson stat
Y
Coefficient
772.0533
-5.083493
-5.881478
0.943109
0.926855
3.573113
-25.14038
2.079731

67.32520
11.46752
1.117926
-4.547255
0.888982
-6.615973
Mean dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0000
0.0026
0.0003
51.90000
5.628077
5.718852
58.02123
0.000044
a) Hy vit kt qu hi quy theo quy c, nu ngha ca cc h s hi

quy ring.
b) Kim nh s ph hp ca m hnh vi mc ngha 1%.
c) Cho bit m hnh trn c xy ra hin tng t tng quan hay khng?
Cu 3.
a) T bng kt qu di y, bn hy cho bit m hnh hi quy cu 2 c

While Heteroskedasticity Test:
F-statistic
1.792213 Probability 0.267601
b) Da trn kt qu hi quy di y, vi mc ngha 5%, theo bn c
th kt lun rng m hnh hi quy cu 2 b st bin thch hp hay
khng?
Ramsey RESET Test:
F-statistic
0.558796 Probability 0.603912
65
c) d bo Y , bn s chn m hnh no trong hai m hnh: m hnh

cu 1 v m hnh cu 2? v sao? (vi mc ngha 5%).
Gii
Cu 1 .
Yb = 541, 5814 8, 457364X
ngha h s gc 2 = 8, 457364: khi gi bn l trung bnh cafe tng
1 (ngn ng/kg) th lng tiu th cafe ca mt c nhn gim 8,457364
(tch/thng) trong iu kin cc yu t khc khng i.
b) Khong tin cy

b
b
b
(nk)
C = t
2
= t0,005 (10 2) = 3, 3554
Khong tin cy ca h s gc
8, 457364 3, 3554.2, 506197 2 8, 457364 + 3, 3554.2, 506197
16, 867
0, 048
Ta nhn thy 0
/ (16, 867; 0, 048) nn ta bc b gi thit H0 : 2 = 0.
Vy vi mc ngha 1%, gi bn l ca cafe thc s c nh hng n
lng cafe tiu th ca mt c nhn.
c) D bo
+ Yb0 = b1 + b2 X0 = 541, 5814 8, 457364.55 = 76, 42638.
(nk)
+ C = t
2
= t0,025 (10 2) = 2, 306.

X
X
(
)
0
1
2
b
+ var Y0 = n + nvar(X)
b = 60.9259 se Yb0 = 7, 8055. Khong
d bo cho gi tr trung bnh Y0 (E(Y /X0 = 55))

b
Y0 Cse Yb0
E (Y /X0 = 55)

b
Y0 + Cse Yb0
76, 42638 2, 306.7, 8055 E (Y /X0 = 55) 76, 42638 + 2, 306.7, 8055
58, 4269
E (Y /X0 = 55)
66
94, 4259
d) i n v
+ n v tnh ca Y l ng/nm
Y = 12Y
k1 = 12
b1 = k1 b1 = 6498, 9768
+ n v ca X l triu ng/nm
X = 1000X
k2 = 1000
k1
b2 = b2 = 0, 1015
k2
Vy
Yb = b1 + b2 X = 6498, 9768 0, 1015X
e) t T l doanh thu, khi ta c
T = XY
TX0
=Y +
XYX0

=Y
1+
X
YX0
Y

= Y 1 + Y /X
X2 = 55 Y = 76, 42638
55
X2
Y /X2 = YX0 2
= 8, 457364
= 6, 0863
Y
76, 42638
1 + Y /X2 = 5, 0863 < 0
TX0 2 < 0
Vy X2 gim th T tng.
Cu 2 .
Yb = 772, 0533 5, 083493X2i 5, 881478X3i
ngha h s gc 2 : khi gi bn l trung bnh ca cafe tng ln 1
(ngn ng/kg) th lng cafe tiu th ca mt c nhn gim 5,083493
67
ngha h s gc 3 : khi gi bn l trung bnh ca ng tng ln 1

(ngn ng/kg) th lng cafe tiu th ca mt c nhn gim 5,881478
b) Kim nh s ph hp ca m hnh
Cch 1.
+ t gi thit H0 : R2 = 0; H1 : R2 > 0.
+ Vi = 1% C = F (k 1; n k) = F0,01 (2; 7) = 9, 55
+ F = 58, 02123
+ Ta c F > C nn suy ra bc b H0 . Vy m hnh (2) ph hp
vi mc ngha 1%.
Cch 2.
+ t gi thit H0 : R2 = 0; H1 : R2 > 0.
+ Pvalue = 0, 000044 < = 0, 01 nn bc b H0 . Vy m hnh (2)
ph hp vi mc ngha 1%.
c) Ta c d = 2, 079731 (1, 3), suy ra m hnh (2) khng xy ra hin
tng t tng quan.
Cu 3 .
a) t gi thit H0 : m hnh khng c phng sai thay i.
b) t gi thit H0 : m hnh khng b st bin.
c) La chn m hnh
2
R1 = 0, 5358 < R2 = 0, 9269

Kim nh:
+ t gi thit H0 : 3 = 0; H1 : 3 6= 0.
Vy ta nn chn m hnh 2.
2.5
Bi tp ngh
Bi 2.19. Cho bng s liu quan st v X, Y nh sau:

68
X
Y
23 19,5 24 21 25 22 26,5 23,1 25 28 29,5 26

3
2
4 2 5 4
7
6
8 9
10
8
Trong Y l thu nhp ca ging vin i hc (triu ng/nm), X l thm nin

ging dy (nm)
1. Tm hm hi quy tuyn tnh mu ca Y theo X v pht biu ngha ca
cc h s hi quy?
2. Tnh h s tng quan tuyn tnh r v nh gi mc ph thuc tng
quan tuyn tnh?
3. D bo thu nhp trung bnh ca mt ging vin c thm nin ging dy l
6 nm vi tin cy 95%?
p s
1. Yb = 18, 8972 + 0, 968145X
2. r = 0, 91875
3. E(Y /X0 = 6) (23, 43; 25, 48)
Bi 2.20. D liu v gi nh (Y: triu ng), s phng (X1 : phng) v din tch
(X2 m2 ) c cho bng sau
Y
X2 X3
562
5 86.5
279.5 2 76.6
653
5 96.5
240
3
43
285
3
42
415
4
57
270
3
32
332.5 4
45
110
2
25
212
2
29
1. Tm cc h s hi quy mu?
2. Tm h s xc nh m hnh v phng sai ca sai s ngu nhin?
69
3. Tm ma trn hip phng sai v t cho bit lch chun ca cc h s

hi quy mu?
4. Vi X2 = 4, X3 = 50, hy cho bit d bo im ca gi nh (Yb0 ) v t

cho bit V ar(Yb0 ) v V ar(Y0 Yb0 )?
p s
1.
b1 = 106, 84553
b2 = 83, 82841
b
3 = 3, 11888
2. R2 = 0, 95671;
b2 = 1506, 80003.
3.
1518,
21117
376,
17964
2,
36835

Cov b = 376, 17964 230, 4484 7, 21555

7, 21555
0, 49154
2, 36835
Se b1 = 38, 96423

Se b2 = 15, 18053

Se b3 = 0, 7011

b
b
b
4. Y0 = 384, 41211; V ar Y0 = 301, 75542; V ar Y0 Y0 = 1808, 55545.
Bi 2.21. Bng di y cho cc gi tr quan st v thu nhp (Y - USD/ngi),

t l lao ng nng nghip (X2 %) v s nm trung bnh c o to i vi
nhng ngi trn 25 tui (X3 - nm)
70
Y X2 X3
6
9
8
8 10 13
8
8 11
7
7 10
7 10 12
12 4 16
9
5 10
8
5 10
9
6 12
10 8 14
10 7 12
11 4 16
9
9 14
10 5 10
11 8 12
2. Tm c lng phng sai ca sai s ngu nhin?
3. Tm c lng sai s chun ca cc h s hi quy?
4. Tm khong tin cy i xng ca cc h s hi quy vi tin cy 95%.
5. Vi mc ngha 5% hy cho bit t l lao ng nng nghip c thc s nh
hng n thu nhp hay khng?
2
6. Tnh h s R2 v R .
7. Phi chng c hai yu t "t l lao ng nng nghip" v "s nm c o
to" u khng nh hng n thu nhp?
p s
1. Yb = 6, 20298 0, 3761639X2i + 0, 452514X3i
2.
b2 = 1, 02265673

b
b
3. se 1 = 1, 862253; se 2 = 0, 1195112; se b3 = 0, 1327238
71
4. 1 (2, 145478; 10, 26048); 2 (0, 6653441; 0, 0869837);

3 (0, 1921215; 0, 7129064)
5. Bc b H0 . T l lao ng nng nghip thc s nh hng n thu nhp.
2
6. R2 = 0, 6932 v R = 0, 6421.
7. Nh vy khng phi c hai yu t "t l lao ng nng nghip" v "s nm
c o to" u khng nh hng n thu nhp.
Bi 2.22. Bng di y l s liu gi thit v mc lng ging vin i hc (Y
- ngn USD/nm), s nm kinh nghim ging dy (X - nm) v gii tnh (nam:
Zi = 1; n: Zi = 0)
Yi
23
19.5
24
21
25
22
26.5
23.1
25
28
29.5
26
27.5
31.5
29
Xi Zi
11 1
9 0
10 1
12 0
13 1
12 0
14 1
14 0
15 0
15 1
16 1
16 0
17 0
18 1
18 0

3. D bo mc lng ca mt ging vin nam c s nm kinh nghim ging dy
17 nm vi tin cy 95%?
4. D bo mc lng ca mt ging vin n c s nm kinh nghim ging dy
19 nm vi tin cy 98%?
72
p s
1. Yb = 8, 993523 + 1, 0714X + 2, 935395Z
2. R2 = 0, 9594
3. (29,38427; 30,92633)
4. (28,0552; 30,6732)
Bi 2.23. Cho bng s liu v X, Y, Z nh sau
Yi
23
19
24
21
25
22
26
23
25
28
Xi Zi
15 1
10 0
20 1
20 0
30 1
30 0
35 1
25 0
20 0
25 1
Trong Y l thu nhp ca h gia nh (triu ng/nm); X l t l thu nhp

chi cho gio dc (%); Z l bin gi (Z = 1 nu h gia nh thnh ph; Z = 0
nu h gia nh nng thn)
1. Tm hm hi quy tuyn tnh mu ca X theo Y v nu ngha ca cc h
s hi quy?
2. Tnh h s tng quan tuyn tnh v nh gi mc ph thuc tng quan
tuyn tnh gia X v Y ?
3. Kim nh gi thit h s hi quy ca Y trong hm hi quy tng th bng 0
vi mc ngha 5% v nu ngha ca kt qu?
4. Vit hm hi quy tuyn tnh mu ca X theo Y khi n v tnh ca Y l
ngn ng/thng?
p s
b = 16, 8543 + 1, 68874Y
1. X
73
2. r = 0, 581. Mc ph thuc tng quan tuyn tnh khng cht ch.

3. Cha c c s bc b H0 . Thu nhp khng nh hng n t l thu nhp chi
cho gio dc.
c = 16, 8543 + 0, 020265Y
4. X
Bi 2.24. T cc s liu thu thp 30 doanh nghip may TP H Ch Minh
ngi ta c lng c m hnh sau
Ybi = 5.54 + 0.112Xi 14.48Di + 0.25Xi Di
Se = (10.85) (0.08)
(15.47)
(0.12)
R2 = 0.57
d = 2.16
Trong Y l li nhun (t VN); X l doanh thu (t VN); Di = 1 nu gim

c tt nghip i hc v Di = 0 nu gim c cha tt nghip i hc
1. M hnh trn c b hin tng t tng quan khng (vi mc ngha 5%)?
Gi s rng cc gi nh khc u ng.
2. C th dng kim nh t kim nh gi thit khc khng ca cc h s
hi quy m hnh c c lng bi m hnh trn hay khng? v sao? Nu
c hy tin hnh kim nh vi mc ngha 5% v cho bit c s khc
bit v li nhun gia doanh nghip c gim c tt nghip i hc vi
cha tt nghip i hc khng?
3. Khi doanh nghip c doanh thu tng 1 t ng th li nhun ca doanh nghip
thay i nh th no?
4. Nu n v tnh ca X v Y i thnh triu ng th cc h s ca m hnh
trn thay i th no?
p s
1. Vi mc ngha 5%, m hnh khng xy ra hin tng t tng quan.
2. C th dng kim nh t kim nh gi thit khc khng ca cc h s
hi quy m hnh c c lng bi m hnh trn. C s khc bit v li
nhun gia doanh nghip c gim c tt nghip i hc vi cha tt
nghip i hc.
3. Nu l doanh nghip c gim c cha tt nghip i hc (D=0) th li nhun
s tng 0,12 t ng. Nu l doanh nghip c gim c tt nghip i hc
(D=1) th li nhun s tng 0,37 t ng.
4. Yb = 5540 + 0, 12X 14480D + 0, 25XD
74
Bi 2.25. Mt cng ty thu thp d liu trong vng 14 thng, gm cc bin sau:
+ Doanh thu (Y- triu ng/thng)
+ Chi ph qung co trn bo (X1 - trm ngn ng/thng)
+ Chi ph qung co trn radio (X2 - trm ngn ng/thng)
Cu 1. Hm hi quy nghin cu s ph thuc doanh thu ca cng ty vo chi ph
qung co trn bo c dng: Y = + X1 + U (MH1). Kt qu hi quy nh
sau:
Method: Least Squares
Included observations: 14
Variable
Coefficient
C
74.98143
X1
2.106169
R-squared
0.581698
Adjusted R-squared 0.546839
S.E. of regression
21.08990
Durbin-Watson stat 1.057844

16.28961
4.603022
0.515583
4.085021
Mean dependent var
S.D. dependent var
F-statistic
Prob(F-statistic)
Prob.
0.0006
0.0015
137.4143
31.32914
16.68740
0.001512
a) Vit hm hi quy mu ngu nhin tng ng v cho bit ngha kinh

t ca h s hi quy ring?
b) Nu trong thng cng ty chi thm 1 trm ngn ng cho qung co trn
bo th doanh thu ca cng ty trong thng s tng 3 triu ng. C
th chp nhn kin trn khng, vi tin cy 98%?
c) Vit hm hi quy mi vi X1 c n v tnh: triu ng/thng.
d) M hnh hi quy c ph hp khng, mc ngha 1%
e) D bo doanh thu trung bnh khi cng ty chi 6 triu ng cho qung
co trn bo, tin cy 95%.
\) = 4.4053+0.0166X1 .
f) T d liu ban u, c hm hi quy nh sau: ln(Y
Nu ngha ca h s hi quy ng trc bin X1 .
Cu 2. Hm hi quy Y theo X1 ; X2 c dng: Y = 0 + 1 X1 + 2 X2 + V (MH2). Kt
qu hi quy nh sau:
75

Variable
Coefficient
X1
1.751702
X2
0.774569
C
43.55144
R-squared
0.730153
S.E. of regression
3443.162

0.455891
3.842372
0.314865
2.460005
18.70765
2.328001
Mean dependent var
S.D. dependent var
F-statistic
Prob.
0.0027
0.0317
0.0400
137.4143
31.32914
14.88195
a) Vit hm hi quy mu ngu nhin ng vi bng kt qu trn? Nu

ngha ca cc h s hi quy ring.
b) Tm khong tin cy ca h s hi quy ng trc bin X1 , tin cy
99%?
c) d on doanh thu ca cng ty, bn s chn (MH1) hay (MH2), vi
mc ngha 5%?
p s
Cu 1.
a) Yb = 74, 9814 + 2, 1062X1

b) Cha c c s bc b H0
c) Yb = 74, 9814 + 0, 21062X
1
d) Pvalue = 0, 0015 < 0, 01 suy ra bc b H0 . Hm hi quy ph hp.

e) V ar(Yb0 ) = 276, 7592; (156,1232; 246,5836)
f) Khi chi ph qung co trn bo tng 1 (100000 ng/thng) th doanh
thu ca cng ty tng trung bnh 1,66%.
Cu 2.
a) Yb = 43, 5514 + 1, 7517X1 + 0, 7746X2

b) Chn MH2.
Bi 2.28. Cho mt mu gm cc gi tr quan sat sau:

Y
X
Z
34 54 44 57 53 64 62 66 63 69
27 26 25 25 24 23 21 20 22 19
0 1 0 1 0 1 0 0 0 1
Trong : Y l lng hng A bn c (n v: tn/thng); X l gi ca hng A

(n v: 100 ngn ng/kg); Z = 1: c chng trnh qung co, Z = 0: khng c
chng trnh qung co.
76

Dependent Variable:
Variable
C
X
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Y
Coefficient
137.2893
-3.477987
0.728257
0.694289
5.990296
287.0692
-30.97508
2.967667

17.52906
7.832099
0.751138
-4.630291
Mean dependent var
S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0001
0.0017
56.60000
10.83410
6.595015
6.655532
21.43959
0.001687
a) Hy vit m hnh hi quy tuyn tnh mu biu din mi quan h ca Y

theo X. Nu ngha kinh t ca h s gc ca hm hi quy tm c.
(MH1)
c) D bo mc lng hng bn c trung bnh khi gi ca hng A l 2450
ngn ng/kg, vi tin cy 95%.
d) Hy vit hm hi quy mu khi n v tnh ca Y l tn/nm, n v
tnh ca X l triu ng/tn.
Cu 2. T s liu trn, hi quy Y theo ln(X) ta c:
Dependent Variable:
Variable
C
LOG( X)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Y
Coefficient
301.4422
-78.02251
0.706927
0.670293
6.220956
309.6024
-31.35290
2.820120

55.77150
5.404951
17.76134
-4.392829
Mean dependent var
S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0006
0.0023
56.60000
10.83410
6.670581
6.731098
19.29695
0.002309
a) Nu ngha kinh t ca h s gc trong hm hi quy trn (MH2).

77
b) T bng kt qu di y, bn hy cho bit m hnh hi quy cu 2 c

F-statistic
8.853394 Probability 0.012106
c) Da vo bng kt qu hi quy di y, vi mc ngha 5%, theo bn
c th kt lun rng m hnh hi quy cu 2 b st bin thch hp hay
khng?
Ramsey RESET Test:
F-statistic
1.581611 Probability 0.280743
Cu 3. Vi s liu cho cho trn, hi quy Y theo X v Z ta c kt qu nh
sau:
Dependent Variable:
Variable
C
X
Z
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Y
Coefficient
134.7955
-3.501966
7.625164
0.860316
0.820406
4.591331
147.5623
-27.64771
2.084056

13.47027
10.00689
0.575794
-6.081979
2.964080
2.572532
Mean dependent var
S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0000
0.0005
0.0369
56.60000
10.83410
6.129542
6.220318
21.55654
0.001019
a) Vit hm hi quy mu v nu ngha cc h s hi quy ring. (MH3)

c) d bo lng hng A bn c trung bnh, bn s chn m hnh no
trong hai m hnh: MH1 v MH3? V sao? (vi mc ngha 5%).
d) D bo lng hng bn c trung bnh khi c chng trnh qung co
v vi mc gi l 2500 ngn ng/kg.
p s
Cu 1.
a) Yb = 137, 2893 3, 477987X

78
b) Pvalue = 0, 001687 < 0, 01 suy ra bc b H0 . M hnh ph hp.

c) V ar(Yb0 ) = 4, 5419; (47,1641; 56,9931)
d) Yc = 1647, 4716 0, 4174X
Cu 2.
a) b2 = 78, 02251: khi X tng 1% th Y gim trung bnh 0,7802 (tn/thng)

b) Bc b H0 . Vy c hin tng phng sai thay i.
c) Cha c c s bc b H0 . Vy m hnh khng b st bin.
Cu 3.
a) Ybi = 134, 7955 3, 501966X + 7, 625164Zi

b) Pvalue = 0, 001019 < 0, 05 suy ra bc b H0 . Vy m hnh ph hp.
c) Chn m hnh cu 3.
d) Yb0 = 54, 8715 (tn/thng).
Bi 2.27. Gim c ca cng ty vn ti cng cng mun kim tra mi quan h

gia chi ph bo tr hng nm ca 1 chic xe but (Y - triu ng) v thi gian
hot ng ca xe but (X - nm). Cng ty ny thu c ti x nam v n. H nghi
ng rng chi ph bo tr hng nm ph thuc c vo k thut li khc nhau gia
hai nhm ti x nam v n. D liu thu thp nh sau:
Xe but
1
2
3
4
5
6
7
8
9
10
Chi ph bo tr 20 17 13
17
25
7
9
16
24
13
TG hot ng 10 6
4
11
12
3
2
9
14
8
Ti x
N N N Nam N Nam Nam Nam N Nam
Cu 1. Gi s hm hi quy tuyn tnh nghin cu s ph thuc ca chi ph bo tr
hng nm theo thi gian hot ng ca xe but c dng: Y = 0 + 1 X + U
(MH1). Hi quy Y theo X ta c kt qu cho bng sau
Dependent Variable:
Variable
C
X
R-squared
Adjusted R-squared
S.E. of regression
Log likelihood
Durbin-Watson stat
Y
Coefficient
5.769231
1.307692
0.808002
0.784002
2.731582
-23.12248
2.424564
79

1.978930
2.915328
0.225374
5.802328
Mean dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0194
0.0004
16.10000
5.024495
5.085012
33.66701
0.000404
a) Vit hm hi quy mu Ybi = b1 + b2 Xi v cho bit ngha kinh t ca

h s gc.
b) Kim nh s ph hp ca m hnh, vi tin cy 95%.
c) C kin cho rng: "Khi thi gian hot ng ca xe but tng thm 1
nm th chi ph bo tr trung bnh hng nm tng thm 2 triu ng".
Bn c tin iu ny hay khng? Vi mc ngha 10%.
d) D on chi ph bo tr ca chic xe but hot ng c 7 nm,
vi tin cy 98%.
e) Khi thc hin hi quy (MH1), ngi ta nghi ng m hnh c th xy
ra hin tng phng sai thay i v t tng quan. Kt qu cc kim
nh nh sau:
Breusch-Godfrey Serial Correlation LM Test AR(1):
F-statistic
1.142480 Probability 0.320596

F-statistic
0.922421 Probability 0.440989
Vi mc ngha 5%, hy nu kt lun ca bn.

Cu 2. Xt m hnh lnY = 0 + 1 X + U (MH2). Kt qu hi quy nh sau:
[ = 2.0071
LnY
t
= (13.8881)
+ 0.0890X
(5.4094)
R2 = 0.7853
d = 1.9098
a) Nu ngha kinh t ca h s hi quy ng trc X.

b) M hnh c hin tng t tng quan khng, vi mc ngha 5%?
c) C th so snh R2 ca (MH1) v (MH2) khng, ti sao?
Cu 3. t Z = 0 nu l n, Z = 1 nu l nam. c lng m hnh: Y = 0 + 1 X +
2 Z + V (M H3). Vi s liu cho, ta c kt qu hi quy nh sau:
80
Dependent Variable:
Variable
C
X
Z
R-squared
Adjusted R-squared
S.E. of regression
Log likelihood
Durbin-Watson stat
Y
Coefficient
9.609231
1.107692
-4.520000
0.953386
0.940068
1.438864
-16.04455
2.640242

1.327407
7.239098
0.126197
8.777505
0.967362
-4.672502
Mean dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
Prob.
0.0002
0.0001
0.0023
16.10000
3.808910
3.899686
71.58466
0.000022
a) Vit m hnh hi quy mu v nu ngha ca cc h s hi quy ring.

b) Tm khong tin cy ca h s hi quy ca bin X trong tng th vi
tin cy 98%.
c) d bo Y bn s chn m hnh no trong hai m hnh: MH1 v
MH3? V sao? (vi mc ngha 5%)
p s
Cu 1.
a) Yb = 5, 7692 + 1, 3077X
b) Pvalue = 0, 000404 < 0, 05 suy ra bc b H0 . M hnh ph hp.
c) Bc b H0
d) V ar(Yb0 ) = 0, 7873; (12,5861; 17,2601)
e) M hnh khng c t tng quan bc 1. M hnh c phng sai khng
thay i.
Cu 2.
a) ngha (SV t nu)

b) Khng c hin tng t tng quan
c) Khng th so snh R2 ca hai m hnh (v bin ph thuc dng khc
nhau).
Cu 3.
a) Yb = 9, 6092 1, 1077X 4, 52Z

b) (0,7294; 1,486)
c) Chn m hnh cu MH3.
81
2.6
thi tham kho

2.6.1
Cu 1. Bng sau y cho chui thi gian v mc tiu dng (Y: n v 100000 VN)
v thu nhp (X: n v 100000 VN). Tnh theo u ngi v tnh theo gi
c nh nm 1980 trong thi k 1971 - 1990 mt khu vc:
Nm
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
Y
48,34
48,54
47,44
54,58
55,00
63,49
59,22
57,77
60,22
55,40
X
52,02
52,41
51,55
58,88
59,66
68,42
64,27
63,01
65,61
61,05
Nm
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
Y
52,17
60,84
60,73
76,04
76,42
69,34
61,75
68,78
67,07
72,94
X
63,36
67,42
67,86
83,39
84,26
77,41
70,08
77,44
75,79
81,89
Gi s Y v X c quan h tuyn tnh

a. Hy c lng m hnh hi quy ca mc tiu dng ph thuc vo thu
nhp v nu ngha kinh t ca cc h s hi quy tm c.
b. Tnh h s xc nh m hnh v gii thch ngha.
c. Tm khong tin cy ca cc h s hi quy tng th, vi tin cy 95%.
d. D bo gi tr c bit ca mc tiu dng khi thu nhp l 8 triu ng,
vi tin cy 95%.
e. C ngi cho rng "kim mi th tiu mt". Hy kim chng nhn nh
trn vi mc ngha 5%?
Cu 2. Trong mt nghin cu v cc yu t nh hng n gi nh, t 14 quan st
ngi ta thu c m hnh sau:
Yb = 39, 057 + 0, 147X + 6, 188D + 5, 634XD
t (0, 436) (4, 869) (2, 486) (3, 769)
R2 = 0, 806
Trong Y : gi bn nh (triu ng/m2 ); X: din tch nh (m2 ); D bng 1
nu nh c l si, bng 0 nu nh khng c l si
82
a. Vi mc ngha thng k 5%, bn hy kim nh xem liu din tch

nh c thc s nh hng ti gi bn nh hay khng?
b. Nu ngha ca tng h s hi quy gn vi bin gi? Theo bn s tn
ti ca bin tng tc trong m hnh c cn thit hay khng? Hy gii
thch kt lun ca mnh vi mc ngha 5%?
c. H s xc nh m hnh ni ln iu g? Tnh h s xc nh m hnh
hiu chnh?
Cu 3. Cho mc ngha 5%
a. Vi kt qu sau, hy phn tch xem c hin tng g xy ra trong m
hnh?
F-statistic
1.461 Probability 0.263
b. Vi kt qu sau, hy phn tch xem c hin tng g xy ra trong m
hnh?
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
2.415 Probability 0.123
p s
Cu 1.
a) Yb = 3, 22923 + 0, 85563X
b) R2 = 0, 9714
c) Khong tin cy
1 (1, 71577; 8, 17423)
2 (0, 78294; 0, 92832)
d) Yb0 = 71, 67963; Y0 (68, 2516; 75, 10766).
e) |T | = |21, 839| > C = t18
0,025 = 2, 101 suy ra bc b gi thit H0 : 2 = 0, 1
Cu 2.
a) |T | = |4, 869| > C = t10
0,025 = 2, 228 suy ra bc b gi thit H0 . Vy din tch
nh thc s nh hng n gi bn.
83
b) Sinh vin t nu ngha. S tn ti ca bin tng tc trong m hnh l cn

thit.
2
c) R2 = 0, 806; R = 0, 7478.
Cu 3.
a) M hnh khng xy ra hin tng phng sai thay i.
b) M hnh xy ra hin tng t tng quan.
2.6.2
Cu 1. Quan st v thu nhp (X - USD/tun) v chi tiu (Y - USD/tun) ca 10

ngi, ngi ta thu c cc s liu sau
X
Y
31 50 47 45 39 50 35 40 45 50
29 42 38 30 29 41 23 36 42 48
a) Tm hm hi quy tuyn tnh mu ca Y theo X v pht biu ngha

ca cc h s hi quy?
b) Tm h s xc nh m hnh v cho bit ngha ca n?
c) Tm khong tin cy ca 1 v 2 vi tin cy 95%?
d) Kim nh gi thit H0 : 2 = 0; H1 : 2 6= 0 vi mc ngha 5%.
e) D bo im cho chi tiu ca mt ngi khi mc thu nhp 40 USD/tun?
Cu 2. Ngi ta cho rng chi tiu mt hng A (Y ngn ng/thng) khng ch ph
thuc vo thu nhp ca ngi tiu dng (X triu ng/thng) m cn ph
thuc vo gii tnh ca ngi tiu dng (D = 1 nu l nam v D = 0 nu l
n). Vi mt mu gm 20 quan st, ngi ta c lng c m hnh
Yb = 86.542 + 35.976X 7.438D 5.845XD
Se = (32.866)
(10.654)
(4.117)
(1.698)
a) Hy nu ngha ca cc h s hi quy.
b) Tm khong tin cy ca cc h s hi quy trong hm hi quy tng th
vi tin cy 90%.
c) Vi mc ngha 1%, hy cho bit c s khc nhau v chi tiu i vi
mt hng A ca nam v n hay khng.
d) Mt nhn nh cho rng h s ca bin X trong hm hi quy tng th
l 36.5; vi mc ngha 1% hy cho nhn xt v nhn nh ny.
84
p s
Cu 1.
a) Yb = 5, 45193 + 0, 954906X
b) R2 = 0, 672
c) 1 (29, 1983; 18, 2944); 2 (0, 411; 1, 4987)
d) Bc b H0 . Thu nhp thc s c nh hng n chi tiu.
e) Yb0 = 32, 7443
Cu 2.
a) Ta nhn xt
D = 0,
D = 1,
b = 86, 542 + 35, 976X

Y
b = 79, 104 + 30, 131X
Y
Nu X nh nhau th chi tiu mt hng A ca n cao hn nam: 13.283

b) Khong tin cy
1
2
3
4
(29, 15796; 143, 92604)

(17, 374116; 54, 57788)
(14, 62628; 0, 24972)
(8, 80971; 2, 88029)
c) Chi tiu v mt hng A ca nam v n l khng ging nhau

d) |T2 | = | 0, 04918| < C = t16
0,005 = 2, 921 suy ra cha c c s bc b H0 . Vy
nhn nh trn l ph hp.
2.6.3
Cu 1. Cho s liu ca mt mu gm 15 quan st, thu thp ti 15 ca hng khc

nhau thuc cng mt cng ty kinh doanh cng loi sn phm. Trong Y l
lng hng bn c (tn/thng); X2 l ch ph qung co (triu ng/thng)
v X3 gi bn loi hng ny (ngn ng/kg)
85
Y
14
21
20
18
19
18
17
17
16
15
13
12
18.5
19
22
X2
5
9
8
7
8
8
6
6
5.7
5.5
4
3
7
8.2
9.5
X3
4
22
2.4
2.8
2.8
3
3.1
3.3
3.7
3.9
4.1
4.3
2.7
2.5
2
Vi mc ngha 5%, hy tr li cc cu hi sau:

1. Tm hm hi quy mu v gii thch ngha kinh t ca cc h s hi
quy?
2. Tm h s xc nh m hnh v nu ngha? tnh h s xc nh hiu
chnh?
3. Hy tm khong tin cy cho cc h s hi quy?
4. Chi ph qung co c nh hng n lng hng bn c hay khng?
5. M hnh c ph hp vi thc t khng? (C phi c chi ph qung co
ln gi bn u khng nh hng n lng hng bn c?)
6. Hy d bo gi tr trung bnh v c bit ca lng hng bn c khi
m chi ph qung co l 10 triu ng/thng v gi bn 1kg sn phm
l 9 nghn ng.
Cu 2. T cc s liu thu thp 30 doanh nghip may ca thnh ph H Ch Minh
ngi ta c lng c m hnh sau
Yb = 5.54 + 0.112X 14.48D + 0.25XD
Se = (10.85)
(0.08)
(15.47)
(0.12)
R2 = 0.729
d = 2.1511
86
Trong Y l li nhun (t VND); X l doanh thu (t VND); D = 1 nu

gim c tt nghip cao hc v D = 0 nu gim c cha tt nghip cao
hc.
a) Hy nu ngha ca cc h s hi quy; Cho bit m hnh c xy ra hin
tng t tng quan hay khng ? (gi s cc gi nh khc u ng).
b) Tm khong tin cy ca cc h s hi quy trong hm hi quy tng th
vi tin cy 95%.
c) Vi mc ngha 5%, hy cho bit c s khc nhau v li nhun ca
doanh nghip khi gim c tt nghip v cha tt nghip cao hc
hay khng?
d) Vi mc ngha 1%, hy cho bit m hnh trn c ph hp vi thc t
khng?
p s
Cu 1.
1. Yb = 7, 18471 + 1, 51606X2i + 0, 00412X3i .
2
2. R2 = 0, 95285; R = 0, 94499.
3. 1 (5, 71907; 8, 65035); 2 (1, 29816; 1, 73396); 3 (0, 07798; 0, 08622).
4. T2 = 15, 1606; |T | > C = 2, 179 suy ra bc b H0 . Vy chi ph qung co c
nh hng n lng hng bn c.
5. F = 121, 25345 > C suy ra bc b H0 . Vy m hnh c ph hp vi thc t.
6. (12,62253; 14,28737); (11,76526; 15,14462).
Cu 2.
a) Ta nhn xt
D = 0,
D = 1,
b = 5, 54 + 0, 112X
Y
b = 20, 02 + 0, 362X
Y
d = 2, 1511 (1, 3): khng xy ra

b) Khong tin cy
1
2
3
4
(27, 8476; 16, 7676)

(0, 05248; 0, 27648)
(46, 28632; 17, 32632)
(0, 00328; 0, 49672)
87
c) Khc nhau
d) F = 23, 31365 > C = 4, 64 suy ra bc b H0 . Vy m hnh ph hp vi thc

t.
2.6.4
Cu 1. D liu sau m t tng chi ph sn xut (Y: triu ng) v lng sn phm
(X: ngn n v) c sn xut ti mt nh my trong 11 thng quan st
nh sau:
Y
X
25 11 34 23 32 20 33 29 25 37 41
5 2 8 4 6 4 7 6 5 8 9
a) Hy c lng hm hi quy ca tng chi ph theo s lng sn phm.

Nu ngha ca h s gc.
b) Tnh h s xc nh m hnh? Kim nh s ph hp ca m hnh vi
mc ngha 5%.
c Vi mc ngha 5%, hy cho bit nu s lng sn phm tng ln 1
ngn n v th tng chi ph sn xut tng ti a l bao nhiu? tng ti
thiu l bao nhiu?
d) Hy c lng phng sai ca sai s ngu nhin tng th vi tin cy
95%.
e) D bo gi tr trung bnh v c bit ca tng chi ph khi s lng sn
phm l 3 ngn n v, vi tin cy 95%.
Cu 2. Cho kt qu xut ra t phn mm Eview nh sau

88
Dependent Variable: Y
Variable
C
X2
X3
X4
X5
Coefficient Std. Error t-Statistic Prob.

-1278.580
1332.039
0.057329
-0.993928
61.25178
29.40612
R-squared
0.322177
F-statistic
-0.959867
0.731081
-1.940140
2.052273
1.956261
Mean dependent var

S.D. dependent var
Durbin-Watson stat
0.3437
0.4696
0.0605
0.0477
0.0585
1598.150
1370.032
1.963835
Trong :
Y : S giy php xy dng nh thc t,
X2 : Mt dn s tnh theo dm vung,
X3 : Gi tr trung bnh ca cn nh,
X4 : Thu nhp trung bnh ca ch h,
X5 : Phn trm tng dn s t 1980 n 1992.
a) Vit hm SRF. Nu ngha cc h s hi quy.
b) M hnh trn c ph hp khng? kt lun vi mc ngha 5%.
c) Hy c lng cc h s hi quy tng th ca bin X3 v X5 vi tin
cy 95%.
Cu 3. Nu mc ch v kt qu ca cc kim nh sau
Kim nh 1.
Heteroskedasticity Test: White
F-statistic
1.301898 Prob. F(9,30)
0.2769
Obs*R-squared
11.23480 Prob. Chi-Square(9) 0.2600
Scaled explained SS 9.268554 Prob. Chi-Square(9) 0.4129
Kim nh 2.
89

F-statistic
0.028905 Prob. F(2,34)
0.9715
Obs*R-squared 0.067896 Prob. Chi-Square(2) 0.9666
p s
Cu 1. Ta tnh c
n = 11;
X = 5, 818181; var (X) = 3, 966942;
Y = 28, 181818; var (Y ) = 65, 785124;
P
Xi Yi nXY
c
b
b2 = P
2 = 3, 995833; 1 = Y 2 X = 4, 933333.
2
Xi nX
a) Hm hi quy mu:
Yb = b1 + b2 X = 4, 933333 + 3, 995833X
ngha h s gc: khi lng sn phm tng ln 1 (ngn n v) th tng chi
ph sn sut trung bnh tng 3,995833 (triu ng).
b) H s xc nh m hnh:
T SS = nV ar (Y ) = 723, 636363;
ESS = nb2 V ar (X) = 696, 7280303;
RSS = T SS ESS = 26, 908333;
ESS
R2 =
= 0, 962815
T SS
Kim nh:
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2 1; 11 2) = 5, 12.
(n k) R2
(11 2) 0, 962815
=
= 233, 0331
+F =
2
(k 1) (1 R )
(2 1) (1 0, 962815)
(nk)
c) Ta c C = t
= t90,05 = 1, 833
c lng ti a cho 2 :

b
2 2 + C.se b2 = 3, 995833 + 1, 833.0, 261757 = 4, 475634
90
c lng ti thiu cho 2 :

b
2 2 C.se b2 = 3, 995833 1, 833.0, 261757 = 3, 516032
Vy vi mc ngha 5%, nu s lng sn phm tng ln 1 ngn n v th
tng chi ph sn xut tng ti a 4,475634 triu ng v tng ti thiu l
3,516032 triu ng.
d) Ta c
22 (n 2) = 20,025 (9) = 19, 023; 21 2 (n 2) = 20,975 (9) = 2, 7
Khong c lng cho phng sai ca sai s ngu nhin
"
#
2
2
(n
2)
b
(n
2)
b
;
= [1, 414516; 9, 96605]
2
2 (n 2) 21 (n 2)
2
e) Ta c
(nk)
X0 = 3; Yb0 = b1 + b2 X0 = 16, 920832; C = t
= t90,025 = 2, 262;
2

2
(X0 X )
b2 = 0, 81597; se Yb0 = 0, 903311;
V ar Yb0 = n1 + nV ar(X)

2
b
b
b
b + V ar Y0 = 3, 805785; se Y0 Y0 = 1, 950842
V ar Y0 Y0 =
Khong d bo trung bnh cho tng chi ph

i
h

b
b
b
Y0 C.se Y0 ; Y0 + C.se Yb0 = [14, 877543; 18, 964121]
Khong d bo c bit cho tng chi ph
h

i
b
b
b
b
Y0 C.se Y0 Y0 ; Y0 + C.se Y0 Y0 = [12, 508027; 21, 333637]
Cu 2. Ta tnh c

b2 = T2 .se b2 = 0, 041912; b4 = T4 .se b4 = 125, 705374;
b
b
3
5
b
se 3 =
= 0, 512297; se b5 =
= 15, 031798;
T3
T5
(n k) R2
F =
= 4, 158975
(k 1) (1 R2 )
91
a) Hm hi quy mu:
Yb = 1278, 58 + 0, 041912X2 0, 993928X3 + 125, 705374X4 + 29, 40612X5
ngha cc h s hi quy: (sinh vin da theo bi ging trn lp)
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (5 1; 40 5) 2, 65.
(40 5) 0, 322177
(n k) R2
=
= 4, 158975
+F =
2
(k 1) (1 R )
(5 1) (1 0, 322177)
+ F > C nn bc b H0 . Vy m hnh trn l ph hp.
(nk)
c) Ta c C = t
2
= t35
0,025 2, 03
Khong c lng cho 3 :

i
h

3 b3 C.se b3 ; b3 + C.se b3 = [2, 033891; 0, 046035]
Khong c lng cho 5 :
h

i
5 b5 C.se b5 ; b5 + C.se b5 = [1, 10843; 59, 92067]
Cu 3. Mc ch v kt qu ca cc kim nh
Kim nh 1.
Mc ch: kim nh xem m hnh c xy ra hin tng phng sai thay i hay
khng.
Kt qu: do Pvalue = 0, 26 > = 0, 05 nn suy ra cha c c s bc b gi thit.
Vy m hnh khng xy ra hin tng phng sai thay i.
Kim nh 2.
Mc ch: kim nh xem m hnh c xy ra hin tng t tng quan hay khng.
Kt qu: do Pvalue = 0, 9666 > = 0, 05 nn suy ra cha c c s bc b gi thit.
Vy m hnh khng xy ra hin tng t tng quan.
92
2.6.5
Cu 1. Gim c ca ca hng bn in my cho rng kinh nghim l nhn t

quan trng nht quyt nh s thnh cng ca mt nhn vin kinh doanh.
chng minh cho nhn nh ca mnh, anh ta thu thp d liu gm doanh
s hng thng ca mt nhn vin (Y: triu ng/thng) v kinh nghim lm
vic ca nhn vin (X: nm), d liu ca 14 nhn vin c cho trong
bng sau
Y
X
28 30 36 39 57 45 70 47 50 60 66 32 48 51
1 3 3 4 10 6 14 8 9 10 12 7 7 8

a) Hy c lng hm hi quy ca doanh s hng thng theo kinh nghim.
Nu ngha ca h s gc.
b) Tnh h s xc nh m hnh? Kim nh s ph hp ca m hnh vi
mc ngha 5%.
c) Hy c lng cc h s hi quy tng th vi tin cy 95%.
d) Vi mc ngha 5%, hy cho bit nu kinh nghim tng ln 1 nm th
doanh s hng thng tng ti a l bao nhiu? tng ti thiu l bao
nhiu?
e) D bo gi tr trung bnh v c bit ca doanh s hng thng khi kinh
nghim l 5 nm, vi tin cy 95%.
Cu 2. Cho kt qu xut ra t phn mm Eview nh sau
Variable
C
X2
X3
X4

44.37096
1.480685
0.413067
-0.012674
0.000714
R-squared
0.699293
S.E. of regression 4.296531
F-statistic
29.96651
-0.648313
-1.536225
-7.995143
Mean dependent var

Durbin-Watson stat
93
0.0000
0.5172
0.1253
0.0000
23.44592
5.763645
0.834161
Trong :
Y : S ki l mt i c trn mt lt nhin liu (km),
X2 : S ng c trong xe,
X3 : Dung tch xy-lanh (m3 ),
X4 : Trng lng ca xe (kg)
a) Vit hm SRF. Nu ngha cc h s hi quy.
b) M hnh trn c ph hp khng? kt lun vi mc ngha 5%.
c) Hy c lng cc h s hi quy tng th ca bin X2 v X4 vi tin
cy 95%.
Kim nh 1.
Heteroskedasticity Test: Glejser
F-statistic
13.28274 Prob. F(3,388)
0.0000
Obs*R-squared
36.50944 Prob. Chi-Square(3) 0.0000
Scaled explained SS 41.99027 Prob. Chi-Square(3) 0.0000
Kim nh 2.
F-statistic
200.1447 Prob. F(1,387)
0.0000
p s
Cu 1. Ta tnh c
n = 14;
X = 7, 285714; V ar (X) = 12, 489796;
Y = 47, 07143; V ar (Y ) = 160, 637755;
P
Xi Yi nXY
b
b
b2 = P
2 = 3, 355392; 1 = Y 2 X = 22, 625;
2
Xi nX
94
a) Hm hi quy mu:
Yb = b1 + b2 X = 22, 625 + 3, 355392X
ngha h s gc: khi kinh nghim tng ln 1 nm th doanh s hng thng
trung bnh tng 3,355392 triu ng/thng.
b) H s xc nh m hnh: T SS = n.V ar (Y ) = 2248, 928571;
ESS = n.b22 .V ar (X) = 1968, 656513;
RSS = T SS ESS = 280, 2721;
R2 =
ESS
= 0, 875375;
T SS
Kim nh:
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (2 1; 14 2) = 4, 75.
(14 2) 0, 875375
(n k) R2
=
= 84, 288867
+F =
(k 1) (1 R2 )
(2 1) (1 0, 875375)
c) Ta c
RSS
= 23, 356;
n2
"
#
2

1
X
2
b
V ar 1 =
+
b = 8, 7585 se b1 = 2, 95947;
n n.V ar (X)
b2 =

V ar b2 =
(nk)
C = t
2

b2
= 0, 133572 se b2 = 0, 365475;
n.V ar (X)
= t12
0,025 = 2, 179
Khong c lng cho 1 :

h

i
1 b1 C.se b1 ; b1 + C.se b1 = [16, 176315; 29, 073685]
Khong c lng cho 2 :
h

i
2 b2 C.se b2 ; b2 + C.se b2 = [2, 559022; 4, 151762]
95
(nk)
d) Ta c C = t
= t12
0,05 = 1, 782
c lng ti a cho 2 :

b
2 2 + C.se b2 = 3, 355392 + 1, 782.0, 365475 = 4, 006668
c lng ti thiu cho 2 :

2 b2 C.se b2 = 3, 355392 1, 782.0, 365475 = 2, 704116
Vy vi mc ngha 5%, nu kinh nghim tng ln 1 nm th doanh s hng
thng tng ti a 4,006668 triu ng/thng v tng ti thiu l 2,704116
triu ng/thng.
e) Ta c
(nk)
X0 = 5; Yb0 = b1 + b2 X0 = 39, 40196; C = t
= t12
0,025 = 2, 179;
2

V ar Yb0 =

"
V ar Y0 Yb0
2 #

X0 X
1
2
+
b = 3, 033445 se Yb0 = 1, 741679;

n n.V ar (X)

b
b
=
b + V ar Y0 = 26, 389445 se Y0 Y0 = 5, 137066
2
Khong d bo trung bnh cho doanh s hng thng

i
h

b
b
b
Y0 C.se Y0 ; Y0 + C.se Yb0 = [35, 606841; 43, 197079]
Khong d bo c bit cho doanh s hng thng
i

h

b
b
b
b
Y0 C.se Y0 Y0 ; Y0 + C.se Y0 Y0 = [28, 208293; 50, 595627]
Cu 2. Ta tnh c

b2 = T2 .se b2 = 0, 267797; b4 = T4 .se b4 = 0, 005709;
b
3
se b3 =
= 0, 00825;
T3
(n k) R2
= 300, 7642
F =
(k 1) (1 R2 )
a) Hm hi quy mu:
Yb = 44, 37096 0, 267797X2 0, 012674X3 0, 005709X4
ngha cc h s hi quy: (sinh vin da theo bi ging trn lp)
96
+ t gi thit H0 : R2 = 0; H1 : R2 6= 0.
+ Vi = 0, 05, C = F (k 1; n k) = F0,05 (4 1; 392 4) 2, 60.
(392 4) 0, 699293
(n k) R2
=
= 300, 7642
+F =
2
(k 1) (1 R )
(4 1) (1 0, 699293)
+ F > C nn bc b H0 . Vy m hnh trn l ph hp.
(nk)
c) Ta c C = t
2
= t388
0,025 1, 96
Khong c lng cho 2 :

h

i
2 b2 C.se b2 ; b2 + C.se b2 = [1, 077408; 0, 541814]
Khong c lng cho 4 :
i
h

4 b4 C.se b4 ; b4 + C.se b4 = [0, 007108; 0, 00431]
Cu 3. Mc ch v kt qu ca cc kim nh
Kim nh 1.
Mc ch: kim nh xem m hnh c xy ra hin tng phng sai thay i hay
khng.
Kt qu: do Pvalue = 0, 0000 < = 0, 05 nn suy ra bc b gi thit. Vy m hnh
xy ra hin tng phng sai thay i.
Kim nh 2.
Mc ch: kim nh xem m hnh c xy ra hin tng t tng quan hay khng.
Kt qu: do Pvalue = 0, 0000 < = 0, 05 nn suy ra bc b gi thit. Vy m hnh
xy ra hin tng t tng quan.
2.6.6
Cho mt mu gm cc gi tr quan st sau:

Yi 10 6 5 8 7 8 7 7 8 9
Xi 2 3 4 2 3 3 4 3 3 2
Zi 12 9 9 10 9 11 10 9 11 11
97
Trong :
Y l lng khch i xe but (n v: 100 ngn ngi),
X l gi v (n v: ngn ng),
Z l gi xng (n v ngn ng/lt).
Cu 1. Gi s Y v X c quan h tuyn tnh
a) Hy c lng hm hi quy ca Y theo X. Nu ngha ca h s gc.
b) Tnh h s xc nh m hnh v kim nh s ph hp ca m hnh vi
mc ngha 5%.
c) Tm khong tin cy cho cc h s hi quy tng th, vi tin cy 95%.
d) Vi mc ngha 5%. Nu gi v tng 1 ngn ng th s lng khch
i xe but tng ti a l bao nhiu?
e) D bo lng khch i xe but trung bnh khi gi v l 4,5 ngn ng,
vi tin cy 95%.
Cu 2. Vi s liu cho, c lng m hnh Yi = 1 + 2 Xi + 3 Zi + i bng
EVIEWS ta c
Variable
C
X
Z
1.544503
0.837696
2.185040
0.251340
0.168518
0.706853
-3.437074
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
0.916230
0.892296
0.470522
1.549738
-4.866890
Mean dependent var

S.D. dependent var
Schwarz criterion
F-statistic
0.5025
0.0109
7.500000
1.433721
1.573378
1.664153
a) Vit hm hi quy mu (SRF) v nu ngha cc h s hi quy ring.

b) Vi mc ngha 5%. Xt xem gi xng c nh hng n lng khch
i xe but khng?
c) M hnh trn c ph hp khng? Kt lun vi mc ngha 5%.
Kim nh 1.
98
Wald Test:
Equation: Untitled
Test Statistic Value
df
Probability
t-statistic
F-statistic
Chi-Square
388
(1, 388)
1
0.0000
0.0000
0.0000
-7.995143
63.92231
63.92231
Null Hypothesis: C(4) = 0

Null Hypothesis Summary:
Normalized Restriction (=0) Value
C(4)
Std. Err.
-0.005708 0.000714
Kim nh 2.
F-statistic
0.028905 Prob. F(2,34)
0.9715
p s
Sinh vin tin hnh gii theo cc bc tng t nh hng dn trong cc bi
tp pha trn, sau y l mt s kt qu tnh ton p dng cho Cu 1.
n = 10;
X = 2, 9; V ar (X) = 0, 49;
Y = 7, 5; V ar (Y ) = 1, 85;
P
Xi Yi nXY
b
b
b
2 = P
2 = 1, 530612; 1 = Y 2 X = 11, 93878;
2
Xi nX
T SS = n.V ar (Y ) = 18, 5;
ESS = n.b22 .V ar (X) = 11, 479592;
RSS = T SS ESS = 7, 020408;
R2 =
ESS
= 0, 620518;
T SS
b2 =
RSS
= 0, 877551;
n2
99

V ar b1 =
"

1
X
2
+
b = 1, 593919 se b1 = 1, 262505;
n n.V ar (X)

b2
= 0, 179092 se b2 = 0, 423193;
n.V ar (X)
"
2 #

X
X
1
0
2
b
V ar Y0 =
+
b = 0, 546231 se Yb0 = 0, 739074;

n n.V ar (X)

V ar b2 =

2
b
b
b
V ar Y0 Y0 =
b + V ar Y0 = 1, 423782 se Y0 Y0 = 1, 193223
2.6.7
Cu 1. Cho mt mu c th, trong X l thu nhp, Y l chi tiu (n v l triu

ng)
X
Y
7,2 8,1 8,3 9,1 10,4 11,2 12,3 13,4 16,2 17,3
5,7 6,2 5,8 7,2 8,1 9,1 9,1 10,3 12,1 13,2
Hi quy tuyn tnh Y theo X

a) Hy c lng cc h s hi quy v gii thch ngha kinh t ca h s
gc.
b) Tnh h s xc nh v gii thch ngha. Vi mc ngha 5%, m hnh
c ph hp khng?
Cu 2. Cho bng kt qu (tm tt) chy trn Eviews ca mt m hnh kinh t lng
nh sau
Variable Coefficient
Se
t
P-value
C
5432
26,5432 0,0001
X2
12,4563
0,2132
0,0001
X3
23,1234
6,3212 0,0002
a) Hy xc nh hm hi quy mu v gii thch ngha ca cc h s hi
quy ring.
100
b) Vi tin cy 95%, hy tm khong c lng ti thiu cho h s ca

X2 v gii thch ngha kt qu.
c) Vi tin cy 99%, nu X3 thay i mt n v trong iu kin gi tr
ca X2 khng i th gi tr trung bnh ca Y s thay i trong khong
no?
d) Vi mc ngha 5%, X2 c thc s tc ng ln bin ng ca Y khng?
Cu 3. Cho kt qu kim nh sau, ca mt m hnh hi qui
Heteroskedasticity Test: White
F-statistic
0.519117 Prob. (F-statistic) 0.0565
Obs*R-squared 4.174768 Prob. (Chi-Square) 0.0545
Vi mc ngha 5%, m hnh gc c phng sai sai s thay i khng?
p s
Sinh vin tin hnh gii theo cc bc tng t nh hng dn trong cc bi
tp pha trn, sau y l mt s kt qu tnh ton p dng cho Cu 1.
n = 10;
X = 11, 35; V ar (X) = 10, 7105;
Y = 8, 68; V ar (Y ) = 6, 0956;
P
Xi Yi nXY
b
b
b
2 = P
2 = 0, 749078; 1 = Y 2 X = 0, 177965;
2
Xi nX
T SS = n.V ar (Y ) = 60, 956;
ESS = n.b22 .V ar (X) = 60, 098529;
RSS = T SS ESS = 0, 857471;
R2 =
ESS
= 0, 985933;
T SS
RSS
= 0, 107184;
n2
"
#
2

1
X
2
b
V ar 1 =
+
b = 0, 139636 se b1 = 0, 373679;
n n.V ar (X)
b2 =
101

V ar b2 =

b2
= 0, 001 se b2 = 0, 031634;
n.V ar (X)
102
Chng 3
Thc hnh Eviews

z C rt nhiu phn mm h tr cho phn tch kinh t lng, mt trong s
l Eviews. Eviews cung cp cc cng c phn tch d liu phc tp, hi quy
v d bo chy trn Windows. Vi Eviews ta c th nhanh chng xy dng
cc mi quan h kinh t t d liu c sn v s dng mi quan h ny d
bo cho cc vn trong tng lai.
z Workfile l mt tp tin lm vic ca Eviews. Workfile cha cc i tng ca
Eviews.
z Mi i tng bao gm mt tp hp cc thng tin c lin quan n mt lnh
vc phn tch c th. Lm vic trn Eviews ch yu lin quan n cc i
tng cha trong mt Workfile.
3.1
Ci t Eviews 8
S dng th mc "Eviews 8 Enterprise Edition" c cung cp, qu trnh

ci t Eviews 8 gm ba bc
z Chy file Eviews8Installer.exe ci t, g vo password: demo.
z Sau khi ci t xong chp file Eviews.8-patch (32-bit).exe trong th mc
patch vo th mc ci t trong C:\programfile\eview 8.
z Click chut phi vo file Eviews.8-patch (32-bit).exe chy bng Administrater nhn Patch l xong.
103
3.2
Khi ng Eviews 8
C hai cch khi ng Eviews 8

z Double click vo biu tng shortcut Eviews 8 trn mng hnh my tnh.
z \Start\Programs\Eviews 8\Eviews 8.
3.3
Nhp d liu cho Eviews 8
C nhiu cch nhp d liu cho Eviews 8, ta c th lit k ba cch in hnh:

nhp trc tip, copy-paste, ly d liu t file c sn. Thng thng tit kim
thi gian cng nh cng sc, trn thc t ngi ta thng s dng cch th ba,
sau y l mt s ng dn thc hin
z Khi ng Eviews 8\File\New\Workfile (Ctrl + N). T ca s Eviews chn
Quick\Empty Group (Edit Series), sau nhp d liu trc tip vo ca s
Group hoc copy t mt file d liu c vo ca s ny.
z Khi ng Eviews 8\Open a Foreign file (such as Excel)\tm n th mc
cn ly tp tin Excel v double click vo tp tin ny \Next\Next\Finish.
z Khi ng Eviews 8\File\Open\Foreign Data as Workfile\tm n th mc
cn ly tp tin Excel v double click vo tp tin ny \Next\Next\Finish.
3.4
Thng k m t
z To i tng: Object\New Object\....

z Hin bng d liu: Chn i tng\Show\Ok\Name\Ok.
z Cc gi tr thng k: Quick\Group Statistics\Descriptive Statistics\Common
sample\Chn cc i tng cn nghin cu\....
Gii thch bng kt qu thng k m t
Mean: Trung bnh.
Median: Trung v.
Maximum: Gi tr ln nht.
Minimum: Gi tr nh nht.
Std. Dev: lch chun.
104
Skewness: H s bt i xng.
Kurtosis: H s nhn.
Jarque - Bera: Kim nh phn phi chun.
Sum: Tng cc quan st.
Sum sq. Dev: lch chun ca tng bnh phng.
Observations: S quan st (c mu).
z Ma trn tng quan: Quick\Group Statistics\Correlations\Chn cc i
tng cn nghin cu\Ok\Freeze\Name\Ok.
z Ma trn hip phng sai: Quick\Group Statistics\Covariances\Chn cc
i tng cn nghin cu\Ok\Freeze\Name\Ok. Hoc trong ca s Equation
chn View\Covariance Matrix\....
z th: Quick\Graph\g vo i tng cn kho st\Ok\....(v d: Scatter,
Distribution,...)
z nh mu: Workfile\Sample\iu chnh kch thc mu cn kho st\Ok.
z Kho st tng bin: chn bin\Show\....
View\ Descriptive Statistics & test\ Histogram and Stats.
View\ Graph\...
View\ Label. Tr li chn View\Sprend Sheet.
3.5
c lng cc h s ca m hnh hi quy
z Hm hi quy mu (SRF): Quick\Estimate Equation\m hnh hi quy (y

c x2 x3)\Ok\Name\Ok. Hoc g lnh trc tip vo Command window (v
d: ls y c x2 x3). hin hm hi quy chn View\Representations\..., tr
li bng kt qu hi quy chn View\Estimation Output.
Phn tch bng kt qu hi quy:
Dependent Variable: Tn bin ph thuc.
Method: Least Squares: Phng php bnh phng ti thiu.
Date - Time: Ngy gi thc hin.
Sample: S liu mu ang kho st (v d: 1 - 10).
Included observations: C mu (s cc quan st, v d: 10).
105
Ct Variable: Cc bin gii thch c trong m hnh (trong C l h

s b chn).
Ct Coefficient: Gi tr cc h s hi quy bj .

Ct Std. Error: Sai s chun ca cc h s hi quy Se bj .
Ct t - Statistic: Gi tr thng k t tng ng tj =
b
j .
se bj
Ct Prob: Gi tr xc sut (p -value) ca thng k t tng ng

p valuej = P (t > tj )
.
R-Squared: H s xc nh m hnh (R2 ) .
2
Adjusted R - Squared: H s xc nh c hiu chnh (R ).

S.E. of regression: Gi tr c lng cho :
b (sai s chun ca hi
quy).
Sum squared resid: Tng bnh phng cc sai lch (phn d) (RSS).
Log likelihood: Tiu chun c lng hp l (Logarit ca hm hp
l).
Durbin - Watson stat: Thng k Durbin - Watson.
Mean dependent var: Gi tr trung bnh mu ca bin ph thuc.
S.D. dependent var: lch chun mu hiu chnh ca bin ph
thuc.
Akaike info criterion: Tiu chun Akaike.
Schwarz info criterion: Tiu chun Schwarz.
F - Statistic: Gi tr ca thng k F.
Prob (F - Statistic): Gi tr xc sut (p-value) ca thng k F tng
ng
Pvalue = P (F > F statistic)
z th phn d: Equation\Resids\Freeze\Name\Ok. Hoc Equation\ View\
Actual, Fitted, Residual\Actual, Fitted, Residual Graph\...
z Khong tin cy cho cc h s hi quy: Equation\Coefficient Diagnostics\
Confidence Intervals\Ok\Freeze\Name\Ok.
106
3.6
Kim nh s vi phm cc gi thit ca m

hnh hi quy
3.6.1
Hin tng a cng tuyn
nhn bit hin tng a cng tuyn, ta thng p dng mt s cch sau
y
z H s xc nh trong m hnh hi quy gc c gi tr rt cao, trong khi cc
gi tr t quan st li nh.
Quick\Estimate Equation\m hnh hi quy (y c x2 x3)\....
z Tm ma trn tng quan gia cc bin gii thch trong m hnh. Theo
kinh nghim, nu h s tng quan gia hai bin gii thch > 0.8 m gi tr
t quan st thp th m hnh c a cng tuyn cao.
Quick\Group Statistics\ Correlations\ g vo hai bin gii thch (X2 X3)\
Ok\ Freeze\Name\Ok.
z Thc hin hi quy ph: ln lt chn mt trong s cc bin gii thch lm
bin ph thuc ri hi quy theo tt c cc bin gii thch cn li trong m
hnh. Theo kinh nghim, nu h s xc nh ca cc m hnh hi quy ph
(Rj2 ) c gi tr t 0.8 tr ln th c coi l c a cng tuyn cao.
Quick\Estimate Equation\m hnh hi quy ph (x2 c x3)\....
1
. Nu V IFj 10
1 Rj2
(tng ng Rj2 0.9) th kt lun m hnh gc c a cng tuyn cao. Sau
khi thc hin hi quy gc, t ca s Equation ta dng lnh:
z S dng nhn t phng i phng sai V IFj =
View\Coefficient Diagnostics\Variance Inflation Factors.

Cc gi tr V IFj tng ng vi ct Centered VIF.
3.6.2
Phng sai ca sai s ngu nhin thay i
+ t gi thit:
H0 : m hnh khng xy ra hin tng phng sai thay i;
H1 : m hnh xy ra hin tng phng sai thay i.
+ Thc hin trn Eviews:
Equation\View\ Residual Diagnostics\ Heteroskedasticity Tests\ chn kiu kim
107
nh (White, Glejser, Breusch-Pagan-Godfrey,...)

+ Kt lun
Pvalue > : chp nhn H0 ; Pvalue < : bc b H0 .
3.6.3
Hin tng t tng quan
+ t gi thit:
H0 : m hnh khng xy ra hin tng t tng quan (bc 2,...);
H1 : m hnh xy ra hin tng t tng quan (bc 2,...).
Equation\View\ Residual Diagnostics\ Serial Correlation LM Test\ chn bc tng
quan (vd: 2)
+ Kt lun
3.6.4
Kim nh bin c cn thit trong m hnh hay

khng (kim nh Wald)
+ t gi thit:
H0 : bin (X2) khng cn thit cho m hnh;
H1 : bin (X2) cn thit cho m hnh.
Equation\View\Coefficient Diagnostics\Wald Test...\c(2) = 0.
+ Kt lun
3.6.5
Kim nh bin b b st trong m hnh
+ t gi thit:
H0 : bin (X3) khng nh hng ti Y (3 = 0);
H1 : bin (X3) nh hng ti Y (3 6= 0).
108

Tm hm hi quy mu ca Y theo X2. T ca s Equation ta thc hin lnh:
View\Coefficient Diagnostics\ Omitted Variables Test...\ X3.
+ Kt lun
3.6.6
Sai s ngu nhin khng c phn phi chun
+ t gi thit:
H0 : Sai s ngu nhin c phn phi chun;
H1 : Sai s ngu nhin khng c phn phi chun.
Equation\View\ Residual Diagnostics\ Histogram - Normality.
+ Kt lun
3.6.7
Kim nh Chow trong m hnh hi quy vi bin

gi
+ t gi thit:
H0 : Hai m hnh hi quy l nh nhau;
H1 : Hai m hnh hi quy l khc nhau.
Tm hm hi quy mu ca Y theo X. T ca s Equation ta thc hin lnh: View\
Stability Diagnostics\ Chow Breakpoint Test\ g vo nm u tin ca thi k
th hai (vd: 1955)\Ok.
+ Kt lun
109
3.7
D bo bng m hnh hi quy
C nhiu phng php khc nhau d bo, mt trong s l d bo da

trn m hnh hi quy. Ta cng lu rng m hnh hi quy dng d bo phi
m bo l mt m hnh tt, c ngha l cc gi thit v m hnh hoc khng
vi phm hoc c khc phc nhm m bo tin cy cho kt qu d bo
c. Cc bc d bo c trnh by ngn ngn bng cc ng dn sau:
z Nhp d liu
File\ Open\ Eviews Workfile\....\ gdp-xnkvn.wf1 \ ....
Proc\ Structure\ Resize current page\ 2013 2014\....
Chn GDP CPI NK XK nhn Show
Group\ Edit...\....(thm d liu)
z Xc nh cc thng s
Quick\ Estimate Equation\ GDP C CPI NK XK.
Equation\ Forecast\....
(
gdpf gdpf
Se1
Object\ New object\ Series\.... Se2.

Workfile\Genr\....Se2 = Sqr((Se1)2 - (eq01.@Se)2 )
z Tm khong d bo
Workfile\Genr\....
canduoitrungbinh = Gdpf - @qtdist(1- , n k)*Se2

2
cantrentrungbinh = Gdpf + @qtdist(1- , n k)*Se2

2
canduoidacbiet = Gdpf - @qtdist(1- , n k)*Se1

2
cantrendacbiet = Gdpf + @qtdist(1- , n k)*Se1

2
Chn 4 i tng sau nhn Enter.
110
Bng 1: Bng phn v Student t (n)

bc t do n 1, mc xc sut
P (T > t (n 1)) = vi T St(n).
n 1; 0.10 0.05 0.025
0.01
0.005 0.001
1
3.078 6.314 12.706 31.821 63.675 66.619
2
1.886 2.920 4.303 6.965 9.925 22.326
3
1.638 2.353 3.182 4.541 5.841 10.213
4
1.533 2.132 2.776 3.747 4.604 7.173
5
1.476 2.015 2.571 3.365 4.032 5.893
6
1.440 1.943 2.447 3.143 3.707 5.208
7
1.415 1.895 2.365 2.998 3.499 4.785
8
1.397 1.860 2.306 2.896 3.355 4.501
9
1.383 1.833 2.262 2.821 3.250 4.297
10
1.372 1.812 2.228 2.764 3.169 4.144
11
1.363 1.796 2.201 2.718 3.106 4.025
12
1.356 1.782 2.179 2.861 3.055 3.930
13
1.350 1.771 2.160 2.650 3.012 3.852
14
1.345 1.761 2.145 2.624 2.977 3.787
15
1.341 1.753 2.131 2.602 2.947 3.733
16
1.337 1.746 2.120 2.583 2.921 3.686
17
1.333 1.740 2.110 2.567 2.898 3.646
18
1.330 1.734 2.101 2.552 2.878 3.610
19
1.328 1.719 2.093 2.539 2.861 3.579
111
Bng 1 (tt): Bng phn v Student t (n)

bc t do n 1, mc xc sut
P (T > t (n 1)) = vi T St(n).
n 1; 0.10 0.05 0.025 0.01 0.005 0.001
20
1.325 1.725 2.086 2.528 2.845 3.552
21
1.323 1.721 2.080 2.518 2.831 3.527
22
1.321 1.717 2.074 2.508 2.819 3.505
23
1.319 1.714 2.069 2.500 2.807 3.485
24
1.318 1.711 2.064 2.492 2.797 3.467
25
1.316 1.708 2.060 2.485 2.787 3.450
26
1.315 1.706 2.056 2.479 2.779 3.435
27
1.314 1.703 2.052 2.473 2.771 3.421
28
1.313 1.701 2.048 2.467 2.763 3.408
29
1.311 1.699 2.045 2.462 2.756 3.396
30
1.310 1.697 2.042 2.457 2.750 3.385
40
1.303 1.684 2.021 2.423 2.704 3.307
60
1.296 1.671 2.000 2.390 2.660 3.232
120
1.289 1.658 1.980 2.358 2.617 3.160
+
1.282 1.645 1.960 2.326 2.576 3.090
112
Bng 2: Bng phn v Khi bnh phng bc t do n mc xc sut

n;
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
0,995
0,000
0,010
0,072
0,207
0,412
0,676
0,989
1,314
1,735
2,156
2,603
3,074
3,565
4,075
4,601
5,142
5,697
6,265
6,844
0,99
0,000
0,020
0,115
0,297
0,554
0,872
1,239
1,646
2,088
2,558
3,053
3,571
4,107
4,660
5,229
5,812
6,408
7,015
7,633
0,975 0,95
0,001 0,004
0,051 0,103
0,216 0,352
0,484 0,711
0,831 1,145
1,237 1,635
1,690 2,167
2,180 2,733
2,700 3,322
3,247 3,940
3,816 4,575
4,404 5,226
5,009 5,982
5,629 6,571
5,262 7,261
6,908 7,962
7,564 8,672
8,231 9,390
8,907 10,117
113
0,05
3,841
5,911
7,815
9,488
10,070
12,592
14,067
15,507
16,919
18,307
19,675
21,026
22,362
23,685
24,996
26,296
27,587
28,869
30,144
0,025
5,024
7,378
9,348
11,143
12,832
14,449
16,013
17,535
19,023
20,483
21,920
23,337
24,736
26,119
27,488
28,845
30,191
31,526
32,852
0,01
6,635
9,210
11,345
13,277
15,086
16,812
18,475
20,090
21,666
23,209
24,725
26,217
27,688
29,141
30,758
32,000
33,409
34,805
36,191
0,005
7,879
10,597
12,838
14,860
16,750
18,548
20,278
21,995
23,589
25,188
26,757
28,300
29,819
31,319
32,801
34,267
35,718
37,156
38,582
Bng 2(tt): Bng phn v Khi bnh phng bc t do n mc xc sut

n;
20
21
22
23
24
25
26
27
28
29
30
40
50
100
0,995
7,343
8,034
8,543
9,260
9,886
10,520
11,160
11,808
12,461
13,121
13,787
20,707
27,991
67,328
0,99
8,260
8,897
9,542
10,196
10,856
11,524
12,198
12,879
13,565
14,256
14,930
22,164
29,707
70,065
0,975
9,591
10,283
10,982
11,689
12,401
13,120
13,844
14,573
15,308
16,047
16,791
24,433
32,307
74,222
0,95
10,851
11,591
12,388
13,091
13,848
14,611
15,379
16,151
16,928
17,708
18,493
26,509
24,754
77,929
114
0,05
31,410
32,671
33,924
35,172
36,415
37,652
38,885
40,113
41,337
42,557
43,773
55,578
67,505
124,34
0,025
34,170
35,479
36,781
38,076
39,364
40,646
41,923
43,194
44,461
45,722
46,979
59,342
71,420
129,56
0,01
37,566
38,932
40,289
41,638
42,980
44,314
45,642
46,963
48,278
49,588
50,892
63,691
76,154
135,80
0,005
39,997
41,401
42,796
44,181
45,558
46,928
48,290
49,645
50,993
52,336
63,672
66,766
79,490
140,16
Bng 3: Bng gi tr F (n; m) ca phn phi Fisher

P (F > F (n; m)) = vi = 0.01
Df mu (m)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
1
4052
98,50
34,12
21,20
16,26
13,75
12,25
11,26
10,56
10,04
9,65
9,33
9,07
8,86
8,68
8,53
8,40
8,29
8,18
8,10
8,02
7,95
2
4999
99,00
30,82
18,00
13,27
10,92
9,55
8,65
8,02
7,56
7,21
6,93
6,70
6,51
6,36
6,23
6,11
6,01
5,93
5,85
5,78
5,72
Bc
3
5404
99,16
29,46
16,69
12,06
9,78
8,45
7,59
6,99
6,55
6,22
5,95
5,74
5,56
5,42
5,29
5,19
5,09
5,01
4,94
4,87
4,82
t
4
5624
99,25
28,71
15,98
11,39
9,15
7,85
7,01
6,42
5,99
5,67
5,41
5,21
5,04
4,89
4,77
4,67
4,58
4,50
4,43
4,37
4,31
115
do (df) ca
5
6
5764 5859
99,30 99,33
28,24 27,91
15,52 15,21
10,97 10,67
8,75 8,47
7,46 7,19
6,63 6,37
6,06 5,80
5,64 5,39
5,32 5,07
5,06 4,82
4,86 4,62
4,69 4,46
4,56 4,32
4,44 4,20
4,34 4,10
4,25 4,01
4,17 3,94
4,10 3,87
4,04 3,81
3,99 3,76
t
7
5928
99,36
27,67
14,98
10,46
8,26
6,99
6,18
5,61
5,20
4,89
4,64
4,44
4,28
4,14
4,03
3,93
3,84
3,77
3,70
3,64
3,59
(n)
8
5981
99,38
27,49
14,80
10,29
8,10
6,84
6,03
5,47
5,06
4,74
4,50
4,30
4,14
4,00
3,89
3,79
3,71
3,63
3,56
3,51
3,45
9
6022
99,39
27,34
14,66
10,16
7,98
6,72
5,91
5,35
4,94
4,63
4,39
4,19
4,03
3,89
3,78
3,68
3,60
3,52
3,46
3,40
3,35
10
6056
99,40
27,23
14,55
10,05
7,87
6,62
5,81
5,26
4,85
4,54
4,30
4,10
3,94
3,80
3,69
3,59
3,51
3,43
3,37
3,31
3,26
Bng 3(tt): Bng gi tr F (n; m) ca phn phi Fisher

P (F > F (n; m)) = vi = 0.01
Bc
Df mu (m)
23
24
25
26
27
28
29
30
40
60
120
1
7,88
7,82
7,77
7,72
7,68
7,64
7,60
7,56
7,31
7,08
6,85
6,63
2
5,66
5,61
5,57
5,53
5,49
5,45
5,42
5,39
5,18
4,98
4,79
4,61
3
4,76
4,72
4,68
4,64
4,60
4,57
4,54
4,51
4,31
4,13
3,95
3,78
do
4
4,26
4,22
4,18
4,14
4,11
4,07
4,04
4,02
3,83
3,65
3,48
3,32
116
(df)
5
3,94
3,90
3,85
3,82
3,78
3,75
3,73
3,70
3,51
3,34
3,17
3,02
ca
6
3,71
3,67
3,63
3,59
3,56
3,53
3,50
3,47
3,29
3,12
2,96
2,80
t
7
3,54
3,50
3,46
3,42
3,39
3,36
3,33
3,30
3,12
2,95
2,79
2,64
s
8
3,41
3,36
3,32
3,29
3,26
3,23
3,20
3,17
2,99
2,82
2,66
2,51
(n)
9
3,30
3,26
3,22
3,18
3,15
3,12
3,09
3,07
2,89
2,72
2,56
2,41
10
3,21
3,17
3,13
3,09
3,06
3,03
3,00
2,98
2,80
2,63
2,47
2,32

P (F > F (n; m)) = vi = 0.01
Bc
Df mu (m)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
t
11
12
15
6083 6107 6157
99,41 99,42 99,43
27,13 27,05 26,87
14,45 14,37 14,20
9,96 9,89 9,72
7,79 7,72 7,56
6,54 6,47 6,31
5,73 5,67 5,52
5,18 5,11 4,96
4,77 4,71 4,56
4,46 4,40 4,25
4,22 4,16 4,01
4,02 3,96 3,82
3,86 3,80 3,66
3,73 3,67 3,52
3,62 3,55 3,41
3,52 3,46 3,31
3,43 3,37 3,23
3,36 3,30 3,15
3,29 3,23 3,09
3,24 3,17 3,03
3,18 3,12 2,98
do (df) ca t s (n)
20
24
30
40
60
120
6209 6234 6260 6286 6313 6340
99,45 99,46 99,47 99,48 99,48 99,49
26,69 26,60 26,50 26,41 26,32 26,22
14,02 13,93 13,84 13,75 13,65 13,56
9,55 9,47 9,38 9,29 9,20 9,11
7,40 7,31 7,23 7,14 7,06 6,97
6,16 6,07 5,99 5,91 5,82 5,74
5,36 5,28 5,20 5,12 5,03 4,95
4,81 4,73 4,65 4,57 4,48 4,40
4,41 4,33 4,25 4,17 4,08 4,00
4,10 4,02 3,94 3,86 3,78 3,69
3,86 3,78 3,70 3,62 3,54 3,45
3,66 3,59 3,51 3,43 3,34 3,25
3,51 3,43 3,35 3,27 3,18 3,09
3,37 3,29 3,21 3,13 3,05 2,96
3,26 3,18 3,10 3,02 2,93 2,84
3,16 3,08 3,00 2,92 2,83 2,75
3,08 3,00 2,92 2,84 2,75 2,66
3,00 2,92 2,84 2,76 2,67 2,58
2,94 2,86 2,78 2,69 2,61 2,52
2,88 2,80 2,72 2,64 2,55 2,46
2,83 2,75 2,67 2,58 2,50 2,40
117

P (F > F (n; m)) = vi = 0.01
Df mu (m)
23
24
25
26
27
28
29
30
40
60
120
11
3,14
3,09
3,06
3,02
2,99
2,96
2,93
2,91
2,73
2,56
2,40
2,25
Bc
12
3,07
3,03
2,99
2,96
2,93
2,90
2,87
2,84
2,66
2,50
2,34
2,18
t
15
2,93
2,89
2,85
2,81
2,78
2,75
2,73
2,70
2,52
2,35
2,19
2,04
do
20
2,78
2,74
2,70
2,66
2,63
2,60
2,57
2,55
2,37
2,20
2,03
1,88
118
(df) ca t s
24
30
40
2,70 2,62 2,54
2,66 2,58 2,49
2,62 2,54 2,45
2,58 2,50 2,42
2,55 2,47 2,38
2,52 2,44 2,35
2,49 2,41 2,33
2,47 2,39 2,30
2,29 2,20 2,11
2,12 2,03 1,94
1,95 1,86 1,76
1,79 1,70 1,59
(n)
60
2,45
2,40
2,36
2,33
2,29
2,26
2,23
2,21
2,02
1,84
1,66
1,47
120
2,35
2,31
2,27
2,23
2,20
2,17
2,14
2,11
1,92
1,73
1,53
1,32

P (F > F (n; m)) = vi = 0.05
Df mu (m)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
Bc t do (df)
1
2
3
4
5
161,5 199,5 215,7 224,6 230,2
18,51 19,49 19,16 19,25 19,30
10,13 9,55 9,28 9,12 9,01
7,71 6,94 6,59 6,39 6,26
6,61 5,79 5,41 5,19 5,05
5,99 5,14 4,76 4,53 4,39
5,59 4,74 4,35 4,12 3,97
5,32 4,46 4,07 3,84 3,69
5,12 4,26 3,86 3,63 3,48
4,96 4,10 3,71 3,48 3,33
4,84 3,98 3,59 3,36 3,20
4,75 3,89 3,49 3,26 3,11
4,67 3,81 3,41 3,18 3,03
4,60 3,74 3,34 3,11 2,96
4,54 3,68 3,29 3,06 2,90
4,49 3,63 3,24 3,01 2,85
4,45 3,59 3,20 2,96 2,81
4,41 3,55 3,16 2,93 2,77
4,38 3,52 3,13 2,90 2,74
4,35 3,49 3,10 2,87 2,71
4,32 3,47 3,07 2,84 2,68
4,30 3,44 3,05 2,82 2,66
119
ca t s
6
7
234,0 236,8
19,33 19,35
8,94 8,89
6,16 6,09
4,95 4,88
4,28 4,21
3,87 3,79
3,58 3,50
3,37 3,29
3,22 3,14
3,09 3,01
3,00 2,91
2,92 2,83
2,85 2,76
2,79 2,71
2,74 2,66
2,70 2,61
2,66 2,58
2,63 2,54
2,60 2,51
2,57 2,49
2,55 2,46
(n)
8
9
10
238,9 240,5 241,9
19,37 19,38 19,40
8,85 8,81 8,79
6,04 6,00 5,96
4,82 4,77 4,74
4,15 4,10 4,06
3,73 3,68 3,64
3,44 3,39 3,35
3,23 3,18 3,14
3,07 3,02 2,98
2,95 2,90 2,85
2,85 2,80 2,75
2,77 2,71 2,67
2,70 2,65 2,60
2,64 2,59 2,54
2,59 2,54 2,49
2,55 2,49 2,45
2,51 2,46 2,41
2,48 2,42 2,38
2,45 2,39 2,35
2,42 2,37 2,32
2,40 2,34 2,30

P (F > F (n; m)) = vi = 0.05
Bc
Df mu (m)
23
24
25
26
27
28
29
30
40
60
120
1
4,28
4,26
4,24
4,23
4,21
4,20
4,18
4,17
4,08
4,00
3,92
3,84
2
3,42
3,40
3,39
3,37
3,35
3,34
3,33
3,32
3,23
3,15
3,07
3,00
3
3,03
3,01
2,99
2,98
2,96
2,95
2,93
2,92
2,84
2,76
2,68
2,60
do
4
2,80
2,78
2,76
2,74
2,73
2,71
2,70
2,69
2,61
2,53
2,45
2,37
120
(df)
5
2,64
2,62
2,60
2,59
2,57
2,56
2,55
2,53
2,45
2,37
2,29
2,21
ca
6
2,53
2,51
2,49
2,47
2,46
2,45
2,43
2,42
2,34
2,25
2,18
2,10
t
7
2,44
2,42
2,40
2,39
2,37
2,36
2,35
2,33
2,25
2,17
2,09
2,01
s
8
2,37
2,36
2,34
2,32
2,31
2,29
2,28
2,27
2,18
2,10
2,02
1,94
(n)
9
2,32
2,30
2,28
2,27
2,25
2,24
2,22
2,21
2,12
2,04
1,96
1,88
10
2,27
2,25
2,24
2,22
2,20
2,19
2,18
2,16
2,08
1,99
1,91
1,83

P (F > F (n; m)) = vi = 0.05
Df mu (m)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
11
243
19,4
8,76
5,94
4,70
4,03
3,60
3,31
3,10
2,94
2,82
2,72
2,63
2,57
2,51
2,46
2,41
2,37
2,34
2,31
2,28
2,26
Bc t do
12
15
20
244 246 248
19,4 19,4 19,5
8,74 8,70 8,66
5,91 5,86 5,80
4,68 4,62 4,56
4,00 3,94 3,87
3,57 3,51 3,44
3,28 3,22 3,15
3,07 3,01 2,94
2,91 2,85 2,77
2,79 2,72 2,65
2,69 2,62 2,54
2,60 2,53 2,46
2,53 2,46 2,39
2,48 2,40 2,33
2,42 2,35 2,28
2,38 2,31 2,23
2,34 2,27 2,19
2,31 2,23 2,16
2,28 2,20 2,12
2,25 2,18 2,10
2,23 2,15 2,07
121
(df)
24
249
19,5
8,64
5,77
4,53
3,84
3,41
3,12
2,90
2,74
2,61
2,51
2,42
2,35
2,29
2,24
2,19
2,15
2,11
2,08
2,05
2,03
ca
30
250
19,5
8,62
5,75
4,50
3,81
3,38
3,08
2,86
2,70
2,57
2,47
2,38
2,31
2,25
2,19
2,15
2,11
2,07
2,04
2,01
1,98
t
40
251
19,5
8,59
5,72
4,46
3,77
3,34
3,04
2,83
2,66
2,53
2,43
2,34
2,27
2,20
2,15
2,10
2,06
2,03
1,99
1,96
1,94
s (n)
60
252
19,5
8,57
5,69
4,43
3,74
3,30
3,01
2,79
2,62
2,49
2,38
2,30
2,22
2,16
2,11
2,06
2,02
1,98
1,95
1,92
1,89
120
253
19,5
8,55
5,66
4,40
3,70
3,27
2,97
2,75
2,58
2,45
2,34
2,25
2,18
2,11
2,06
2,01
1,97
1,93
1,90
1,87
1,84

P (F > F (n; m)) = vi = 0.05
Df mu (m)
23
24
25
26
27
28
29
30
40
60
120
11
2,24
2,22
2,20
2,18
2,17
2,15
2,14
2,13
2,04
1,95
1,87
1,79
Bc
12
2,20
2,18
2,16
2,15
2,13
2,12
2,10
2,09
2,00
1,92
1,83
1,75
t
15
2,13
2,11
2,09
2,07
2,06
2,04
2,03
2,01
1,92
1,84
1,75
1,67
do
20
2,05
2,03
2,01
1,99
1,97
1,96
1,94
1,93
1,84
1,75
1,66
1,57
122
(df) ca t s
24
30
40
2,01 1,96 1,91
1,98 1,94 1,89
1,96 1,92 1,87
1,95 1,90 1,85
1,93 1,88 1,84
1,91 1,87 1,82
1,90 1,85 1,81
1,89 1,84 1,79
1,79 1,74 1,69
1,70 1,65 1,59
1,61 1,55 1,50
1,52 1,46 1,39
(n)
60
1,86
1,84
1,82
1,80
1,79
1,77
1,75
1,74
1,64
1,53
1,43
1,32
120
1,81
1,79
1,77
1,75
1,73
1,71
1,70
1,68
1,58
1,47
1,35
1,22
Ti liu tham kho

[1] Nguyn Thnh C, Nguyn Th Ngc Min (2014), Kinh t lng, Nh xut
bn Kinh t Thnh ph H Ch Minh.
[2] Nguyn Quang Dong, Nguyn Th Minh (2013), Gio trnh Kinh t lng,
Nh xut bn i hc Kinh t Quc dn.
[3] Nguyn Quang Dong (2003), Bi ging Kinh t lng, Nh xut bn Thng
k.
[4] Hunh t Hng, Nguyn Khnh Bnh, Phm Xun Giang (2013), Kinh t
lng, Nh xut bn Phng ng.
[5] Hong Ngc Nhm v cc tc gi (2008), Gio trnh Kinh t lng, Nh xut
bn Lao ng X hi.
[6] Nguyn Th Ngc Thanh v cc tc gi (2015), Bi tp Kinh t lng vi s
tr gip ca Eviews, Trng i hc Kinh t Thnh ph H Ch Minh.
[7] Nguyn Vn Tng (2014), Thc hnh Kinh t lng c bn vi Eviews,Nh
xut bn Kinh t thnh ph H Ch Minh.
123

Baitap KTL Ltgiang 2016

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Baitap KTL Ltgiang 2016

Uploaded by

Copyright:

Available Formats

BI TP N THI

ThS. L TRNG GIANG

Thnh ph H Ch Minh, ngy 20, thng 06, nm 2016

Chng 3 Thc hnh Eviews

Ti liu tham kho

Tng quan v kinh t lng

Khi nim v kinh t lng

2. Thit lp m hnh ton hc

Khi nim v hi quy v phn tch hi quy

P RF : E (Y /Xi ) = 1 + 2 X2i + 3 X3i + ... + k Xki

SRF : Ybi = b1 + b2 X2i + b3 X3i + ... + bk Xki

Mt s cng thc xc sut

Phng sai ca sai s ngu nhin

Ta k hiu phng sai ca sai s ngu nhin l V ar(U ) = 2 . Khi phng

Trong trng hp tng qut ta c

Vi k l s bin trong m hnh (tnh c bin ph thuc).

2. c lng phng sai ca sai s ngu nhin

Trong trng hp tng qut

Vi k l s bin trong m hnh (tnh c bin ph thuc).

Khong d bo cho gi tr trung bnh E(Y /X0 )

H s co dn cho bit khi X tng 1% th Y s tng (hay gim) bao nhiu %.

> Pvalue : bc b gi thit H0

2. Hi quy tuyn tnh bn Logarit

Hm hi quy tng th (PRF) v m hnh hi quy tng th (PRM):

P RF : E (Y /Xi ) = 1 + 2 X2i + 3 X3i + ... + k Xki

Gi s ta c n quan st, mi quan st gm k gi tr (X2i , X3i , ..., Xki , Yi ), i = 1, n.

1 X22 ... Xk2

... ... ... ...

M hnh c vit di dng ma trn nh sau

Sau y s trnh by mt s cng thc c th cho trng hp hi quy ba bin,

Ma trn t tng quan

Gi s chng ta c m hnh hi quy ba bin:

Ma trn hip phng sai

Bin gi l bin nh tnh, khng o c. V d: gii tnh, mu sc, khu vc,...

+ Dng so snh cc phm tr khc nhau trong m hnh (mun so snh m

So snh hai m hnh

kim nh s khc nhau ca hai m hnh ta c 2 phng php:

Nh vy t (*) ta suy ra xt xem 2 m hnh c khc nhau hay khng, ta

Kim nh gi thit m hnh

Khi nim v a cng tuyn

Nguyn nhn ca a cng tuyn

Do bn cht quan h gia cc bin c lp

Cch pht hin a cng tuyn

4. S dng nhn t phng i phng sai V IFj =

Bin php khc phc a cng tuyn

Phng sai thay i

Khi nim v phng sai thay i

Nguyn nhn ca phng sai thay i

Do bn cht cc mi quan h kinh t.

Cch pht hin phng sai thay i

Khi nim v t tng quan

Lut qun tnh

M hnh hi quy hai bin

Bi 2.1. Cho bng s liu sau v t l lm pht (X : %) v li sut ngn hng

7.2 4.0 3.1 1.6 4.8

1. Tm hm hi quy mu v gii thch ngha kinh t ca cc h s hi quy?

ESS = nb2 var (X) = 3081, 211806;

b + var Yb0 = 3, 335394142;

ngha: khi t l lm pht tng 1% th li sut ngn hng tng 1,2494%.

3. Tm khong tin cy cho cc h s hi quy

4. Kim nh ngha ca bin X trong m hnh

+ |T | > C suy ra bc b H0 . Vy lm pht c nh hng n li sut.

+ F > C nn bc b H0 . Vy m hnh ph hp.