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- N TP MN KINH T LNG Hm hi quy tuyn tnh (Phng php bnh phng nh nht OLS: Ordinary Least Squares):
PRF: Yi = + Xi + ui. SRF: Y = + Xi (c lng) - Tnh gi tr trung bnh mu (average value):
X =
Xi
n
v Y =
n
Yi
XiYi n. X .Y Xi n( X )
2 2
v = Y
2 Y
(Yi Y ) =
n 1
v 2 X =
( Xi X ) 2 n 1
2 Y v SDX = 2 X
n 1 * ( Xi X )(Yi Y ) n 1 i =1
- Tnh khong phng sai hay hip phng sai (Covariance): SXY = cov(X,Y) =
Tnh h s xc nh R2:
2 xi 2 RSS ESS R =1 = = TSS TSS yi 2
2
Vi 0<R2<1 R2=1 hm hi quy thch hp (mc hon ho ca m hnh) khi phn d RSS=0 i i => Yi =Y , Y i R2=0 => SRF (m hnh hi quy mu) khng thch hp RSS=TSS => Yi = i,
r=
Xi
XiYi
2 2
nXY
n(X ) *
Yi
n(Y ) 2
Vi xi = Xi X v Ta c th vit: r =
r cng du vi
yi =Y Y i
xi . yi xi yi
2
= R2
Vi xi = Xi X
se( ) =
xi
Bc 4: So snh v tnh khong tin cy. ( ( ( tn/k 1) * se() hoc tn/k 1) * se( ) < < + tn/k 1) * se( ) 2 2 2
n k t2 1 * se( ) hoc / n n tk 1 * se( ) < < + tk 1 * se( ) /2 /2
Kim nh h s hi quy:
- Bc 1: t gi thuyt Ho: =0 v i thuyt H1: #0 vi mc ngha =5% (thng thng) - Bc 2: p dng 1 trong cc cch sau: Cch 1: Phng php khong tin cy: ( ( Kim nh 2 pha: [ tn/2 ) * se(); + tn/2 ) * se()] 2 2
2-thanh trn
Nu o khng ri vo khong ny th bc b gi thuyt Ho. ( Kim nh pha phi: [ tn/2 ) * se(); + ] 2 Nu o khng ri vo khong ny th bc b gi thuyt Ho. ( Kim nh pha tri: [ ; + tn2 ) * se()] /2 Nu o khng ri vo khong ny th bc b gi thuyt Ho. Cch 2: Phng php gi tr ti hn: Bc 1: Tnh t 0 =
0 se ( )
Bc 2: Tra bng vi mc ngha /2 v ( /2 i vi kim nh 2 pha v i vi n n kim nh 1 pha). Tra bng t-student: t 2 v t 2 /2 Bc 3: So snh t0 vi gi tr ti hn. Kim nh 2 pha: o t2 : bc b gi thuyt Ho. t > n/2 Kim nh pha phi: o t 2 : bc b gi thuyt Ho. t > n Kim nh pha tri: o - t 2 : bc b gi thuyt Ho. t < n Cch 3: Phng php gi tr P-value: Bc 1: Tnh gi tr t 0 =
0 se ( )
Bc 2: Tnh P-value = P( to) t> Bc 3: So snh vi mc ngha =5% Kim nh 2 pha: p-value < : bc b gi thuyt Ho. Kim nh 1 pha: p-value/2 < : bc b gi thuyt Ho.
Bc 2: tnh Fo =
tnh gi tr ti hn F (1,n-2). So snh Fo v F (1,n-2) Nu Fo> F (1,n-2) : bc b gi thuyt Ho Nu Fo< F (1,n-2): chp nhn gi thuyt Ho.
H s R c th nhn i H s xc nh R
2
R2 =
Ajusted R Square (r ) H s tng quan r Standard Error ( ) Observation ANOVA Regression(ESS) Sai s chun ca PRF S quan st df(bc t do) SS (ESS) ESS
r=1-[1-R2]*(n-1/n-k-1) 2 = RSS n k df F =
ESS TSS
MS(EMS) ESS/df
(trung bnh phn g.thch)
ESS / df RSS / df
RSS
RSS/df
(t.bnh phn ko g.thch)
TSS=ESS+RS TSS TMS=EMS+RMS S Coefficient standard t-stat error H s hi quy Sai s chun t- thng k (hi quy)
) se (
t =
se ( 2 )
se ( 3 )
2 0 se( )
2
Variable 1 (bin 2)
3 0 t = se( )
3
t-Statistic Thng k t
se ( 2 ) =0.002003
t=
2 0 se( 2 )
141.5 75.97807 10.34691 10.44811 73.83254 0.000000
R2
S.E. of regression ( ) PRF) Sum squared resid (RSS) Log likelihood (L) Durbin-Watson stat (DW)
(Yi Y )
n 1
Akaike info criterion (AIC) Schwarz criterion (SC) F-statistic Gi tr thng k F Prob(F-statistic) =P(phn phi F>Fo) 4-thanh trn
Trnh by kt qu hi quy:
n= ? (s quan st?) Y = + 2 Xi ) =? ) se ( =? R2=? se ( 2
t= 0 se( )
t=
2 0 se( 2 )
Fo=?
(PRF)=?
ngha h s hi quy:
i vi dng hm: Y = + 2 Xi (h s hi quy , c ngha l h s dc) i vi dng hm log Y = + 2 logXi (h s hi quy , c ngha l h s co gin) i vi dng hm c bin gi: h s hi quy theo bin gi c ngha l h s ct.
R2=1 dng hoi quy thch hp (mc hon ho ca m hnh) khi phn d RSS=0 =>
Yi = i , Y i Y i R2=0 => SRF(m hnh hi quy mu) khng thch hp RSS=TSS => Yi = i, F: Gi tr thng k F-stat = EMS/RMS (cng ln cng tt, chng t phn d RSS nh, m hnh ph hp). Durbin Waston stat (phng php OLS): Sau khi xut kt qu hi quy, tm phn d ei v to bin tre phn d ei-k: c lp.
DW =
(e e e
i
i k
)2
2 i
vi k=1
(Dng kim nh m hnh c hay khng c tng quan gia cc bin) AIC: cng nh cng tt. Quan h gia R2 v R2adj: R2 =1 => R2adj =1 R2 =0 => R2adj <0 (R iu chnh c th m)
Bc 3: Tra bng F vi mc ngha =5% (thng thng) v phn v F(k-1,n-k). Bc 4: So snh kt qu gi tr F trong bng kt qu hi quy (F-statistic) vi F tra bng. Kim nh bng phng php gi tr ti hn: Fo> F (k-1,n-k) : bc b gi thuyt Ho Kim nh bng mc ngha : P-value =P(F>Fo)< : bc b gi thuyt Ho Note: Fo cng cao th kh nng bc b gi thuyt Ho cng ln.
Ftt > F (k-m,n-k) : bc b gi thuyt Ho (nn a bin vo m hnh) Ftt < F (k-m,n-k) : chp nhn gi thuyt Ho (khng nn a bin vo m hnh)
Xc nh bin gi:
Cch to bin gi: i vi d liu cho, bin gi c th theo giai on D=0: giai on 1 D=1: giai on 2 Bng Eviews: Cch 1: nhp gi tr 0,1 vo cc quan st tng ng. Cch 2: * to bin xu th Eviews/genr/tt=@trend(mc cui giai on 1) * to bin gi da trn bin xu th, Eviews/genr/DUM=tt>s quan st. i vi 2 thuc tnh: D=1 (thuc tnh tri), phn cn li D=0 (bin khng c trong m hnh) i vi nhiu thuc tnh, s bin gi = s thuc tnh -1. So snh cc thuc tnh khc vi thuc tnh c s. Tnh % khc bit ca bin gi bng cch ly 1-antilog Kim nh: Phng php khong tin cy (lin h phn tnh khong tin cy) Phng php mc ngha: (lin h kim nh bng gi tr P-value vi mc ngha)
7-thanh trn
Phng php nn hay khng a bin vo m hnh (kim nh bng thng k F) Note: Ta cn ch n m hnh hi quy trc v sau khi c bin gi nh gi. Khi a bin gi vo m hnh, cc h s hi quy c ngha (R2,t-stat v P-value) s cho ta nhn nh ng hn v m hnh. Khi mi kt lun m hnh ph hp hay khng.
1 + Vi hoc Ui = 1 + 2 Xi
X +V i i
Ui = 1 + 2
1 + Vi hoc Ui = +2 1 Xi
Bc 3: t gi thuyt Ho: 2=0 (phng sai khng i) i thuyt H1: 2 #0 (phng sai thay i) Kim nh bng t-stat. Kim nh White test: Bc 1: hi quy m hnh, ly s liu phn d (resid trong bng bin ti phn mm Eviews). M hnh (1): Yi= 0+ 1X1i+ 2X2i +Ui Bc 2: c lng m hnh phi bng thao tc Eviews (View/Residual Tests/White Heteroscedasticity) thu c R2. Sau ta tnh Xtt=n* R2 (trong n l s quan st)
8-thanh trn
Bc 3: t gi thuyt Ho: 1= 2= 3 = 4 = 0 (phng sai khng i) i thuyt H1: 1= 2= 3 = 4 #0 (phng sai thay i) Bc 4: kim nh v so snh. 2 Tra bng Chi-square X ( df ) vi mc ngha Nu Xtt=n* R2 > Xtt=n* R2 : bc b gi thuyt.
U U
i =2 t
t 1
U
i =1 t
vi 1 1
2 t
Hoc tnh gi tr d =
(U
t =2
U t 1 ) 2
2 t
U
t =1
2(1 ) vi 0 d 4
Bc 3: kim nh v so snh Tra bng thng k Durbin Waston cho ta cc gi tr ti hn dU v dL vi mc ngha , s quan st n v s bin c lp k. So snh: * d (0,dL): t tng quan dng (thun chiu) * d (dL,dU): khng quyt nh c * d (dU,2): khng c tng quan bc nht. * d (2,4-dU): khng c tng quan bc nht. * d (4-dU, 4-dL): khng quyt nh c * d (4-dL, 4): t tng quan m.
Nu h s tng quan < 0.8 (a cng tuyn khng hon ho). Bc 2: Hi quy Y theo tng bin c lp X1, X2. Ta c 2 m hnh: (1): Y^1= + 1X1 ly kt qu R2, p-value (xem c hay khng ngha thng k) (2): Y^2= + 2X2 ly kt qu R2, p-value (xem c hay khng ngha thng k) Bc 3: Hi quy m hnh phi 2 bin c a cng tuyn (3) X^2= + 1X1 ly kt qu R2, p-value (xem c hay khng ngha thng k) Bc 4: t gi thuyt Ho: khng c a cng tuyn i thuyt H1: c a cng tuyn Kim nh bng thng k F:
F2 =
2 R2 /(k 2) 2 (1 R2 ) /(n k + 1)
Tnh F tra bng vi mc ngha , F (k-2,n-k+1) So snh: F2 > F (k-2,n-k+1): bc b gi thuyt. F2 < F (k-2,n-k+1): chp nhn gi thuyt. Thc hin kim nh v b bt bin: Bc 1: xt h s tng quan gia 2 bin (c a cng tuyn) Nu h s tng quan gn bng 1 (a cng tuyn gn nh hon ho) Nu h s tng quan < 0.8 (a cng tuyn khng hon ho). Bc 2: Hi quy Y theo tng bin c lp X1, X2. Ta c 2 m hnh: (1): Y^1= + 1X1 ly kt qu R2, p-value (xem c hay khng ngha thng k) (2): Y^2= + 2X2 ly kt qu R2, p-value (xem c hay khng ngha thng k) Bc 3: kim nh Xt p-value ca X1 v p-value ca X2 trong kt qu hi quy. p-value (X1) > p-value (X2): m hnh hi quy Y theo X1 c mc ph hp cao hn m hnh hi quy Y theo X2. Do loi b bin X2.
Cch khc phc cc loi bnh (phng sai thay i, t tng quan, a cng tuyn):
Cch khc phc a cng tuyn: B bin ra khi m hnh, sau hi quy li m hnh khng bao gm bin cn loi b. nh gi gi tr R2, t-stat v P-value xem c ngha thng k khng. Cn c vo kt qu earnings (h s ng tin cy cho trc). Sau xc nh m hnh hi quy ph theo h s cho trc. nh gi gi tr R2, t-stat v P-value ca m hnh hi quy ph xem c ngha thng k khng. Thm d liu cho m hnh, tuy nhin cch thc ny ton km chi ph nn t c thc hin.
10-thanh trn
Cch khc phc phng sai thay i: - Bit phng sai 2 - Khng bit phng sai 2: Bc 1: c lng phng trnh (1): Yi=b1+b2Xi+ui Bc 2: v th phn d ui theo Xi. nh gi xem phng sai nhiu c hay khng t l thun vi bin gii thch. Bc 3: Chia 2 v ca phng trnh hi quy (1) cho cn bc 2 ca bin gii thch. (2)
Yi Xi = b1 Xi + b2 Xi Xi + ui Xi
<=>
Yi Xi
b1 Xi
+ b2 Xi + vi
Chuyn thnh dng phng trnh ko c h s ct. Bc 4: So snh m hnh (1) v (2) qua s liu hi quy R2, t-stat v P-value v nh gi m hnh. Cch khc phc t tng quan: - Trng hp bit cu trc ca t tng quan. - Trng hp cha bit cu trc ca t tng quan: Cch 1: c lng bng thng k d Cch 2: phng php Durbin Waston 2 bc (sch KTL-trang 171)
11-thanh trn