Tiu lun Kinh t lng ti : M hnh hi quy bi

Chng I - Ni dung m hnh hi quy bi

1 .Xy dng m hnh
1.1 .Gii thiu
M hnh hi quy hai bin m chng ta nghin cu chng 3 thng khng
kh nng gii thch hnh vi ca bin ph thuc. chng 3 chng ta ni tiu dng
ph thuc vo thu nhp kh dng, tuy nhin c nhiu yu t khc cng tc ng
ln tiu dng, v d tui, mc lc quan vo nn kinh t, ngh nghip V
th chng ta cn b sung thm bin gii thch(bin c lp) vo m hnh hi quy.
M hnh vi mt bin ph thuc vi hai hoc nhiu bin c lp c gi l hi
quy bi.
Chng ta ch xem xt hi quy tuyn tnh bi vi m hnh tuyn tnh vi trong
tham s, khng nht thit tuyn tnh trong bin s.
M hnh hi quy bi cho tng th
i i , k k i , 3 3 i , 2 2 1 i
X ... X X Y + + + + +
(4.1)
Vi X
2,i
, X
3,i
,,X
k,i
l gi tr cc bin c lp ng vi quan st i

2
,
2
,
3
,,
k
l cc tham s ca hi quy

i
l sai s ca hi quy
Vi mt quan st i, chng ta xc nh gi tr k vng ca Yi
[ ]
i , k k i , 3 3 i , 2 2 1
X ... X X s ' X Y E + + + +
(4.2)
1.2. ngha ca tham s
Cc h s c gi l cc h s hi quy ring
m
X's
X
m
Y

1
]

(4.3)

k
o lng tc ng ring phn ca bin X
m
ln Y vi iu kin cc bin s khc
trong m hnh khng i. C th hn nu cc bin khc trong m hnh khng i,
gi tr k vng ca Y s tng
m
n v nu X
m
tng 1 n v.
1.3. Gi nh ca m hnh
S dng cc gi nh ca m hnh hi quy hai bin, chng ta b sung thm gi
nh sau:
(1) Cc bin c lp ca m hnh khng c s ph thuc tuyn tnh hon ho,
ngha l khng th tm c b s thc (
1
,
2
,...,
k
) sao cho
0 X ... X X
i , k k i , 3 3 i , 2 2 1
+ + + +
vi mi i.
Gi nh ny cn c c pht biu l khng c s a cng tuyn hon ho
trong m hnh.
(2) S quan st n phi ln hn s tham s cn c lng k.
(3) Bin c lp X
i
phi c s bin thin t quan st ny qua quan st khc hay
Var(X
i
)>0.
2.c lng tham s ca m hnh hi quy bi
2.1.Hm hi quy mu v c lng tham s theo phng php bnh phng
ti thiu
Trong thc t chng ta thng ch c d liu t mu. T s liu mu chng ta c
lng hi quy tng th.
1 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Hm hi quy mu
i i , k k i , 3 3 i , 2 2 1 i
e X

... X

X

Y + + + + + (4.4)
i , k k i , 3 3 i , 2 2 1 i i i i
X

... X

X

Y Y

Y e
Vi cc
m

l c lng ca tham s
m
. Chng ta trng i
m

l c lng
khng chch ca
m
, hn na phi l mt c lng hiu qu. Vi mt s gi
nh cht ch nh mc 3.3.1 chng 3 v phn b sung 4.1, th phng php
ti thiu tng bnh phng phn d cho kt qu c lng hiu qu
m.
Phng php bnh phng ti thiu
Chn
1
,
2
, ,
k
sao cho
( )
2
n
1 i
i , k k i , 3 3 i , 2 2 1 i
n
1 i
2
i
X

... X

X

Y e


(4.5)
t cc tiu.
iu kin cc tr ca (4.5)
( )
( )
( ) 0 X X

... X

X

Y 2
e
...
0 X X

... X

X

Y 2
e
0 X

... X

X

Y 2
e
i , k
n
1 i
i , K K i , 3 3 i , 2 2 1 i
k
n
1 i
2
i
i , 2
n
1 i
i , K K i , 3 3 i , 2 2 1 i
2
n
1 i
2
i
n
1 i
i , K K i , 3 3 i , 2 2 1 i
1
n
1 i
2
i

(4.6)
H phng trnh (4.6) c gi l h phng trnh chun ca hi quy mu (4.4).
Cch gii h phng trnh (4.4) gn gng nht l dng ma trn. Do gii hn ca
chng trnh, bi ging ny khng trnh by thut ton ma trn m ch trnh by
kt qu tnh ton cho hi quy bi n gin nht l hi quy ba bin vi hai bin c
lp. Mt s tnh cht ca hi quy ta thy c hi quy hai bin c lp c th p
dng cho hi quy bi tng qut.
2.2.c lng tham s cho m hnh hi quy ba bin
Hm hi quy tng th
i i , 3 3 i , 2 2 1 i
X X Y + + +
(4.7)
Hm hi quy mu
i i , 3 3 i , 2 2 1 i
e X

X

Y

+ + +
(4.8)
Nhc li cc gi nh
(1) K vng ca sai s hi quy bng 0:
( ) 0 X , X e E
i , 3 i , 2 i

(2) Khng t tng quan:
( ) 0 e , e cov
j i

, ij
(3) Phng sai ng nht: ( )
2
i
e var
(4) Khng c tng quan gia sai s v tng X
m
:
( ) ( ) 0 X , e cov X , e cov
i , 3 i i , 2 i

(5) Khng c s a cng tuyn hon ho gia X
2
v X
3
.
(6) Dng hm ca m hnh c xc nh mt cch ng n.
2 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Vi cc gi nh ny, dng phng php bnh phng ti thiu ta nhn c c
lng cc h s nh sau.
3 3 2 2 1
X

(4.10)
2
n
1 i
i , 3 i , 2
n
1 i
2
n
1 i
2
n
1 i
i , 3 i , 2
n
1 i
i , 3 i
n
1 i
2
n
1 i
i , 2 i
2
x x x x
x x x y x x y

i , 3 i , 2
i , 3

,
_

,
_

,
_

,
_

,
_

,
_

,
_

(4.11)
2
n
1 i
i , 3 i , 2
n
1 i
2
n
1 i
2
n
1 i
i , 3 i , 2
n
1 i
i , 2 i
n
1 i
2
n
1 i
i , 3 i
3
x x x x
x x x y x x y

i , 3 i , 2
i , 2

,
_

,
_

,
_

,
_

,
_

,
_

,
_

(4.12)
2.3. Phn phi ca c lng tham s
Trong phn ny chng ta ch quan tm n phn phi ca cc h s c lng
2

v
3

. Hn na v s tng t trong cng thc xc nh cc h s c lng nn

chng ta ch kho st
2

. y ch trnh by kt qu
1
.
2

l mt c lng khng chch : ( )

2 2

E (4.13)
( )
2
2
n
1 i
i , 3 i , 2
n
1 i
2
i , 3
n
1 i
2
i , 2
n
1 i
2
i , 3
2
x x x x
x

var

,
_

,
_

,
_

(4.14)
Nhc li h s tng quan gia X
2
v X
3
:

,
_

,
_

n
1 i
2
i , 3
n
1 i
2
i , 2
n
1 i
i , 3 i , 2
X X
x x
x x
r
3 2
t
3 2
X X
r
= r
23
bin i i s (4.14) ta c
( )
( )
2
2
23
n
1 i
2
i , 2
2
r 1 x
1

var

(4.15)
T cc biu thc (4.13) v (4.15) chng ta c th rt ra mt s kt lun nh sau:
(1) Nu X2 v X3 c tng quan tuyn tnh hon ho th
2
23
r
=1. H qu l
( )
2

var v cng ln hay ta khng th xc nh c h s ca m hnh

hi quy.
(2) Nu X2 v X3 khng tng quan tuyn tnh hon ho nhng c tng
quan tuyn tnh cao th c lng
2

vn khng chch nhng khng hiu

qu.
Nhng nhn nh trn ng cho c hi quy nhiu hn ba bin.
3.
2
R v
2
R
1
3 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Nhc li khi nim v
2
R :
TSS
RSS
1
TSS
ESS
R
2

Mt m hnh c
2
R ln th tng bnh phng sai s d bo nh hay ni cch khc
ph hp ca m hnh i vi d liu cng ln. Tuy nhin mt tnh cht c
trng quan trng ca l n c xu hng tng khi s bin gii thch trong m hnh
tng ln. Nu ch n thun chn tiu ch l chn m hnh c
2
R cao, ngi ta c
xu hng a rt nhiu bin c lp vo m hnh trong khi tc ng ring phn
ca cc bin a vo i vi bin ph thuc khng c ngha thng k.
hiu chnh pht vic a thm bin vo m hnh, ngi ra a ra tr thng k
2
R hiu chnh(Adjusted
2
R )
2
k n
1 n
) R 1 ( 1 R
2 2

(4.16)
Vi n l s quan st v k l s h s cn c lng trong m hnh.
Qua thao tc hiu chnh ny th ch nhng bin thc s lm tng kh nng gii
thch ca m hnh mi xng ng c a vo m hnh.
4. Kim nh mc ngha chung ca m hnh
Trong hi quy bi, m hnh c cho l khng c sc mnh gii thch khi ton b
cc h s hi quy ring phn u bng khng.
Gi thit
H
0
:
2
=
3
=

=
k
= 0
H
1
: Khng phi tt c cc h s ng thi bng khng.
Tr thng k kim nh H
0
:
) k n , 1 k (
F ~
k) - (n
SS R
1) - (k
SS E
F

Quy tc quyt nh
Nu F
tt
> F
(k-1,n-k, )
th bc b H
0
.
Nu F
tt
F
(k-1,n-k, )
th khng th bc b H
0
.
5.Quan h gia R
2
v F
) k n (
) R 1 (
) 1 k (
R
) R 1 )( 1 k (
R ) k n (
E 1 )( 1 k (
E ) k n (
E TSS )( 1 k (
E ) k n ( E ) k n (
) k n (
RSS
) 1 k (
E
F
2
2
2
2

SS/TSS)
SS/TSS
SS)
SS
1)RSS - (k
SS
SS
6. c lng khong v kim nh gi thit thng k cho h s hi quy
c lng phng sai ca sai s
k n
e
s
n
1 i
2
i
2

(4.17)
2
4 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Ngi ta chng minh c
2
s

l c lng khng chch ca

2
, hay
( )
2 2
s E

.
Nu cc sai s tun theo phn phi chun th
2
) k n ( 2
2
~
s ) k n (

.
K hiu
m m
m
s )

( e . s


. Ta c tr thng k
) k n (
m
m m
t ~
)

( e . s

c lng khong cho
m
vi mc ngha l
)

( e . s t

( e . s t

m ) 2 / 1 , k n ( m m m ) 2 / 1 , k n ( m
+

(4.18)
Thng thng chng ta mun kim nh gi thit H
0
l bin X
m
khng c tc ng
ring phn ln Y.
H
0
:
m
= 0
H
1
:
m
0
Quy tc quyt nh
Nu /t-stat/ > t
(n-k, /2)
th ta bc b H
0
.
Nu /t-stat/ t
(n-k, /2)
th ta khng th bc b H
0
.
7. Bin phn loi (Bin gi-Dummy variable)
Trong cc m hnh hi quy m chng ta kho st t u chng 3 n y u
da trn bin c lp v bin ph thuc u l bin nh lng. Thc ra m hnh
hi quy cho php s dng bin c lp v c bin ph thuc l bin nh tnh.
Trong gii hn chng trnh chng ta ch xt bin ph thuc l bin nh lng.
Trong phn ny chng ta kho st m hnh hi quy c bin nh tnh.
i vi bin nh tnh ch c th phn lp, mt quan st ch c th ri vo mt lp.
Mt s bin nh tnh c hai lp nh:
Bin nh tnh Lp 1 Lp 2
Gii tnh N Nam
Vng Thnh th Nng thn
Tn gio C Khng
Tt nghip i hc Cha
Bng 4.1. Bin nh phn
Ngi ta thng gn gi tr 1 cho mt lp v gi tr 0 cho lp cn li. V d ta k
hiu S l gii tnh vi S =1 nu l n v S = 0 nu l nam.
Cc bin nh tnh c gn gi tr 0 v 1 nh trn c gi l bin gi(dummy
variable), bin nh phn, bin phn loi hay bin nh tnh.
7.1. Hi quy vi mt bin nh lng v mt bin phn loi
V d 4.1. v d ny chng ta hi quy tiu dng cho go theo quy m h c xem
xt h thnh th hay nng thn.
M hnh kinh t lng nh sau:
Y
i
=
1
+
2
X
i
+
3
D
i
+ i(4.19)Y: Chi tiu cho go, ngn ng/nm
X : Quy m h gia nh, ngi
D: Bin phn loi, D = 1 nu h thnh th, bng D = 0 nu h nng thn.
Chng ta mun xem xt xem c s khc bit trong tiu dng go gia thnh th v
nng thn hay khng ng vi mt quy m h gia nh Xi xc nh.
i vi h nng thn
[ ]
i 2 1 i i i
X 0 D , X Y E +
(4.20)
5 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
i vi h thnh th
[ ]
i 2 3 1 i i i
X ) ( 1 D , X Y E + +
(4.21)
Vy s chnh lch trong tiu dng go gia thnh th v nng thn nh sau
[ ] [ ]
3 i i i i i i
0 D , X Y E 1 D , X Y E
(4.22)
S khc bit trong tiu dng go gia thnh th v nng thn ch c ngha thng
k khi
3
khc khng c ngha thng k.
Chng ta c phng trnh hi quy nh sau
Y = 187 + 508*X - 557*D (4.23)
t-stat [0,5] [6,4] [-2,2]
R
2
hiu chnh = 0,61
H s hi quy
557

3

khc khng vi tin cy 95%. Vy chng ta khng th
bc b c s khc bit trong tiu dng go gia thnh th v nng thn.
Chng ta s thy tc ng ca lm cho tung gc ca phung trnh hi quy ca
thnh th v nng thn sai bit nhau mt khong
3
= -557 ngn ng/nm. C th
ng vi mt quy m h gia nh th h thnh th tiu dng go t hn h nng
thn 557 ngn ng/nm.Chng ta s thy iu ny mt cch trc quan qua th
sau:
Chi tiu cho go v quy m h gia nh
0
1000
2000
3000
4000
5000
6000
0 1 2 3 4 5 6 7 8 9
Quy m h gia nh (Ngi)
C
h
i

t
i

u

c
h
o

g
o

(
N
g

n
g
/
n

m
)
Nng thn
Thnh th
Hi quy nng thn
Hi quy thnh th
Hnh 4.1. Hi quy vi mt bin nh lng v mt bin phn loi.
7.2. Hi quy vi mt bin nh lng v mt bin phn loi c nhiu hn hai
phn lp
V d 4.2. Gi s chng ta mun c lng tin lng c quyt nh bi s nm
kinh nghim cng tc v trnh hc vn nh th no.
Gi Y : Tin lng
X : S nm kinh nghim
D: Hc vn. Gi s chng ta phn loi hc vn nh sau : cha tt nghip i hc,
i hc v sau i hc.
Phung n 1:
Di = 0 nu cha tt nghip i hc
Di = 1 nu tt nghip i hc
Di =2 nu c trnh sau i hc
6 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Cch t bin ny a ra gi nh qu mnh l phn ng gp ca hc vn vo tin
lng ca ngi c trnh sau i hc ln gp hai ln ng gp ca hc vn i
vi ngi c trnh i hc. Mc tiu ca chng ta khi a ra bin D ch l phn
loi nn ta khng chn phng n ny.
Phng n 2: t b bin gi
D
1i
D
2i
Hc vn
00 Cha i hc
10 i hc
01 Sau i hc
M hnh hi quy
Y
i
=
1
+
2
X +
3
D
1i
+
4
D
2i
+
i
(4.24)
Khai trin ca m hnh (4.24) nh sau
i vi ngi cha tt nghip i hc
E(Y
i
)=
1
+
2
X (4.25)
i vi ngi c trnh i hc
E(Y
i
)= (
1
+
3
)+
2
X
3
(4.26)
i vi ngi c trnh sau i hc
E(Y
i
)= (
1
+
3
+
4
)+
2
X (4.27)
7.3. Ci by ca bin gi
S lp ca bin phn loiS bin gi
Trong v d 4.1. 21
Trong v d 4.232
iu g xy ra nu chng ta xy dng s bin gi ng bng s phn lp?
V d 4.3. Xt li v d 4.1.
Gi s chng ta t bin gi nh sau
D
1i
D
2i
Vng
10Thnh th
01Nng thn
M hnh hi quy l
Y
i
=
1
+
2
X
i
+
3
D
1i
+
4
D
2i
+ i(4.28)
Chng ta hy xem kt qu hi quy bng Excel
Coefficients
Standard
Error t Stat P-value
Intercept 2235,533 0 65535 #NUM!
X 508,1297 80,36980143
6,32239
6 1,08E-06
D1 -2605,52 0 65535 #NUM!
D2 -2048 0 65535 #NUM!
Kt qu hi quy rt bt thng v hon ton khng c ngha kinh t.
L do l c s a cng tuyn hon ho gia D1, D2 v mt bin hng X2 =-1.
D
1i
+ D
2i
+ X
2
= 0 i .
Hin tng a cng tuyn hon ho ny lm cho h phng trnh chun khng c
li gii. Thc t sai s chun tin n v cng ch khng phi tin n 0 nh kt
qu tnh ton ca Excel. Hin tng ny c gi l ci by ca bin gi.
Quy tc: Nu mt bin phn loi c k lp th ch s dng (k-1) bin gi.
7 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
7.4. Hi quy vi nhiu bin phn loi
V d 4.4. Tip tc v d 4.2. Chng ta mun kho st thm c s phn bit i x
trong mc lng gia nam v n hay khng.
t thm bin v t li tn bin
GT
i
: Gii tnh, 0 cho n v 1 cho nam.
TL : Tin lng
KN: S nm kinh nghim lm vic
H: Bng 1 nu tt nghip i hc v 0 cho cha tt nghip i hc
SH: Bng 1 nu c trnh sau i hc v 0 cho cha.
M hnh hi quy TL
i
=
1
+
2
KN
i
+
3
H
i
+
4
SH
i
+
5
GT
i
+
i
(4.29)
Chng ta xt tin lng ca n c trnh sau i hc
E(TL
i
/SH=1GT=0)= (
1
+
4
)+
2
KN
i
7.5. Bin tng tc
Xt li v d 4.1. Xt quan h gia tiu dng go v quy m h gia nh. cho
n gin trong trnh by chng ta s dng hm ton nh sau.
Nng thn: Y =
1
+
1
X
Thnh th: Y =
2
+
2
X
D : Bin phn loi, bng 1 nu h thnh th v bng 0 nu h nng thn.
C bn trng hp c th xy ra nh sau
(1)
1
=
2
v
1
=
2
, hay khng c s khc bit trong tiu dng go gia
thnh th v nng thn.
M hnh : Y = a + b X
Trong
1
=
2
= a v
1
=
2
= b.
(2)
1

2
v
1
=
2
, hay c s khc bit v tung gc
M hnh: Y = a + bX + cD
Trong
1
= a,
2
= a + c v
1
=
2
= b.
(3)
1
=
2
v
1

2
, hay c s khc bit v dc
M hnh: Y = a + bX + c(DX)
Trong DX = X nu nu D =1 v DX = 0 nu D = 0

1
=
2
= a ,
1
= b v
2
= b + c.
(4)
1

2
v
1

2
, hay c s khc bit hon ton v c tung gc v
dc.
M hnh: Y = a + bX + cD + d(DX)

1
= a ,
2
= a + c,
1
= b v
2
= b + d.
8 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Hnh 4.2. Cc m hnh hi quy
Bin DX c xy dng nh trn c gi l bin tng tc. Tng qut nu X
p
l
mt bin nh lng v D
q
l mt bin gi th X
p
D
q
l mt bin tng tc. Mt m
hnh hi quy tuyn tng qut c th c nhiu bin nh lng, nhiu bin nh tnh
v mt s bin tng tc.
9 SVTH : Nguyn Th Hng KHT3
Quy m h, X
a. M hnh ng nht

1


2
Tiu dng go, Y
Tiu dng go, Y
Quy m h, X
b. M hnh song song

1


2
Quy m h, X
d. M hnh phn bit
Tiu dng go, Y
Tiu dng go, Y

2
1

2
Quy m h X
c. M hnh ng quy
Tiu lun Kinh t lng ti : M hnh hi quy bi
Chng II - Phng php lp m hnh , phn tch v d bo hin tng
kinh t bng Eviews
Bng di y cho cc gi tr quan st v thu nhp (Y-USD/u ngi ), t l lao
ng nng nghip (X
1
- %) v s nm trung bnh c o to i vi nhng
ngi trn 25 tui (X
2
nm )
Y X
1
X
2
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
Khi ng Eviews , t ca s Eviews chn File New Workfile
Hp thoi m Workfiel nh sau :
10 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Trong Workfile Range ta chn Undated or irregular . Trong phn Range : Start
date nhp 1 v End date nhp 15 . Sau click Ok ca s mi s xut hin l
Workfile Untitled .
nhp d liu , t ca s Eview chn Quick/Empty group, mt ca s s xut
hin vi tn Group: Untitled Workfile : Untitled. Sau nhp s liu ca 3 bin
Y,X
1
,X
2
vo
v lu tn l Group 1 .
1). Tm hm hi quy tuyn tnh mu ca Y theo X
1
v X
2
T ca s Eviews chn Quick ri chn tip Estimate Equation .Sau khi nhp
chut chn Estimate Equation , mn hnh s xut hin ca s Equation
Specification . Trong khung Equation Specification g Y c X1 X2 . G xong
lnh ny th ca s nh sau :
11 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
nhp Ok , kt qu phn tch hi quy s xut hin nh sau :
T kt qu trn ta bit c cc h s hi quy :
0

= 6.20298 ,
1

= -0.376164 ,
2

= 0.452514
t ca s Equation : Untitled Workfile : Untiled ta chn View Representations .
Mt ca s mi xut hin l
12 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Phng Trnh :
^
i
Y
=6.202979516 - 0.3761638734*X
1
+ 0.4525139665*X
2
chnh l phng trnh hi quy tuyn tnh mu .
2). Tm c lng phng sai ca sai s ngu nhin
T bng Equation : untitled Workfile Untitled ta c
S.E. of regression 1.01126491828
y chnh l

( ) se =1.011265. T y ta suy ra
^
2

=
2
(1.011265) =1.0226569
3) c lng sai s chun ca cc h s hi quy
T bng Equation : untitled Workfile :Untitled ta c :
Variable Std. Error
C 1.86225321921
X1 0.132723756455
X2 0.119511151331
Suy ra :
0

( ) se = 1.862253 ,
1

( ) se = 0.132724 ,
2

( ) se = 0.129511
4)Khong tin cy i xng ca cc h s hi quy vi tin cy 95%
tm cn trn v cn di ca d bo khong cc h s hi quy . Ta vo excel
sau g lnh:
/ 2
( ) t n k

= t
0.025
(12)= 2.178813
Ta c khong c lng ca
0

l :
^ ^
0 / 2 0
( ) ( ) t n k se

t
=6.20298t 2.178813*1.862253=(2.145478,10.26048)
Tng t ta c khong c lng ca
1

l (-0.6653441, -0.0869837) v
2

l
(0.1921215,0.7129064)
5)Kim nh cc gi thit
0 1 0 2
: 0, : 0 H H
vi mc ngha 5%
13 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
TH1 : t gi thit :
0 1
: 0 H
,
1 1
: 0 H
vi mc ngha 5% th ta bc b gi thit
0 1
: 0 H
v Prob = 0.01505829972
<0.05
TH2: t gi thit :
0 2
: 0 H
,
1 2
: 0 H
vi mc ngha 5% th ta cng bc b gi thit
0 2
: 0 H
v Prob=
0.00259331120962<0.05
6) Tm h s
2
R v
2
R
T Equation : untitled Workfile : Untitled ta c
R-squared :
2
R 0.693202979516
Adjusted R-squared =:
2
R
0.642070142768
7). Phi chng c 2 yu t t l lao ng nng nghip v s nm c o
to u khng nh hng ti thu nhp ?
Ga thit :
0 1 2
: 0 H
1 1 2
: 0 H
T bng Equation : untitled Workfile :untitled ta c :
F-statistic :F 13.5569044006
Prob(F-statistic) :
P(F>13.5569044006)
0.000833886274214
Do p=0.000833886274214 rt nh nn ta bc b gi thit
0 1 2
: 0 H
Nh vy khng phi c 2 yu t t l lao ng nng nghip v s nm c
o to u khng nh hng ti thu nhp .
8)Tm Ma trn tng quan
tm ma trn tng quan t ca s Workfile ta nh du khi vo 3 bin
Y,X1,X2 sau chn Quick/ Group Statistics/ Correlations . Nhp chut ta
c kt qu sau :
9) Tm Ma trn hip phng sai
tm ma trn hip phng sai ca h s hi quy , ta tm hm hi quy tuyn tnh
mu sau chn View -> Covariances Matrix . Nhp chut ta c kt qu sau :
14 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
10) Kim nh White (c phng sai thay i trong m hnh khng )
Gi thit :
2
0
: H
l hng s

2
1
: H
khng phi l hng s
thc hin kim nh White ,sau khi c lng hm hi quy tuyn tnh
mu t ca s Equation : EQ01 ta chn View/residual tests/*White
Heteroskedasticity (cross terms) .Sau khi nhp chut , bng kim nh
White xut hin nh sau
vi mc ngha 5% ta c n
2
R =2.404736 V p-value l 0.790769 ln hn
nhiu so vi mc ngha

=5% nn ta khng c c s cng nhn gi thit H1nn

ta chp nhn gi thit H0 tc l
2
l mt hng s ( ngha l ko c hin tng
phng sai thay i ).
11)Kim nh phn phi chun
Gi thit :
0
H
: m hnh ang xt c phn phi chun

1
H
: m hnh ang xt khng c phn phi chun
View -> Residual Test -> Histogram-Normality Test
15 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
T bng trn ta c JB=3.545399 v xc sut p-value = 0.169874 kh ln nn ta
khng c c s cng nhn gi thit
1
H
nn ta tm thi chp nhn gi thit
0
H
.
Ngha l m hnh ta ang xt c phn phi chun .
12) Kim nh BG ( c hin tng t tng quan bc 1 hay khng )
gi thit :
0
H
: m hnh ang xt c hin tng t tng quan bc 1

1
H
: m hnh ang xt c hin tng tng quan bc 2
Sau khi c m hnh hi quy tuyn tnh ta chn View/Residual Tests/Correlation
LM Test . Nhp chut mt ca s s xut hin :
Trong khung Lag to include ca ca s Lag Sprecification ta cn chn bc t
tng quan .Trong m hnh ny ta chn bng 1 .Ri nhp Ok ,bng kt qu s xut
hin :
16 SVTH : Nguyn Th Hng KHT3
Tiu lun Kinh t lng ti : M hnh hi quy bi
Ta c n
2
R =5.972927 , v c xc sut p-value l 0.050466 xp x bng mc
ngha

=5% nn ta ko c c s cng nhn gi thit

1
H
nn ta tm thi chp nhn
gi thit
0
H
. ngha l tn ti tng quan bc 1 .
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Tiu lun Kinh t lng ti : M hnh hi quy bi
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