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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Chng 16

Cc m hnh hi quy d liu bng

Trong Chng 1 chng ta tho lun qua v cc loi d liu nhn chung c sn phn tch thc nghim, l d liu theo chui thi gian, d liu cho theo khng gian , v d liu bng. Trong d liu theo chui thi gian, ta quan st gi tr ca mt hay nhiu bin trong mt khong thi gian (v d nh GDP trong mt vi qu hay vi nm). Trong d liu d liu cho theo khng gian, gi tr ca mt hay nhiu bin c thu thp cho mt vi n v mu, hay thc th, vo cng mt thi im (v d nh t l ti phm trong 50 bang Hoa K trong mt nm nht nh). Trong d liu bng, n v cho theo khng gian (v d nh h gia nh, doanh nghip, hay tiu bang) c kho st theo thi gian. Ni vn tt, d liu bng c c bnh din khng gian cng nh thi gian. Ta thy mt v d v d liu bng trong Bng 1.1, trnh by d liu v s trng sn xut ra v gi trng 50 tiu bang Hoa K trong cc nm 1990 v 1991. Trong mt nm cho trc, d liu v trng v gi trng ca 50 tiu bang tiu biu cho mt mu cho theo khng gian. Trong mt bang cho trc, c hai quan st chui thi gian v trng v gi trng. Nh vy, ta c tng cng (50 x 2) = 100 quan st (kt hp) i vi trng sn xut ra v gi trng. D liu bng cn c nhng cch gi khc, nh d liu kt hp (kt hp cc quan st theo chui thi gian v theo khng gian), kt hp cc d liu theo chui thi gian v khng gian, d liu vi bng, d liu theo chiu dc (nghin cu theo thi gian i vi mt bin hay mt nhm i tng), phn tch lch s bin c (v d, nghin cu s bin thin theo thi gian ca cc i tng thng qua cc trng thi hay cc iu kin ni tip), phn tch nhm (v d, theo di din tin s nghip ca 1965 sinh vin tt nghip ca mt trng kinh doanh). Cho d c nhiu bin th tinh t, tt c cc tn gi ny v thc cht u tiu biu cho s bin thin theo thi gian ca cc n v cho theo khng gian. Do , chng ta s dng thut ng d liu bng theo ngha tng qut bao gm mt hay nhiu thut ng ny. V ta s gi cc m hnh hi qui da vo cc d liu ny l m hnh hi qui d liu bng. D liu bng ngy cng c s dng nhiu trong nghin cu kinh t. C mt vi b d liu bng ni ting nh: 1. Nghin cu bng v ng hc Thu nhp (PSID) do Vin Nghin cu Khoa hc thuc i hc Michigan thc hin. Bt u vo nm 1968, mi nm Vin li thu thp d liu v khong 5000 h gia nh vi cc bin s nhn khu v kinh t x hi khc nhau. 2. Vn phng iu tra dn s ca B Thng mi thc hin vic iu tra kho st tng t nh PSID, gi l Kho st Tham gia Chng trnh v Thu nhp (SIPP). Bn ln trong mt nm, nhng ngi tham gia c phng vn v iu kin kinh t ca h. Cng c nhiu cuc iu tra kho st khc c thc hin bi cc c quan chnh ph khc nhau. Ngay t u ta cng nn lu mt cnh bo. ti hi qui d liu bng th rng ln, v phn no lin quan n ton hc v thng k kh phc tp. Chng ta ch hy vng chm n mt phn nhng vn then cht ca cc m hnh hi qui d liu bng, cn chi tit li cho

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

phn ti liu tham kho.1 Nhng cng nn c bo trc rng mt s ti liu tham kho ny cng c tnh cht ht sc k thut. May thay, cc gi phn mm thn thin vi ngi s dng nh Limdep, PcGive, SAS, STATA, Shazam v Eviews, cng nhiu phn mm khc, gip cho vic thc hin hi qui d liu tr nn kh d dng. 16.1 Ti sao phi s dng d liu bng? Cc u im ca d liu bng so vi d liu theo chui thi gian v khng gian l g? Baltagi lit k cc u im sau y ca d liu bng:2 1. V d liu bng lin quan n cc c nhn, doanh nghip, tiu bang, t nc, v.v theo thi gian, nn nht nh phi c tnh d bit (khng ng nht) trong cc n v ny. K thut c lng d liu bng c th chnh thc xem xt n tnh d bit bng cch xem xt cc bin s c tnh c th theo tng c nhn, c trnh by ngay sau y. Ta s dng thut ng c nhn theo ngha chung bao gm cc n v vi m nh cc c nhn, cc doanh nghip, tiu bang, v t nc. 2. Thng qua kt hp cc chui theo thi gian ca cc quan st theo khng gian, d liu bng cung cp nhng d liu c nhiu thng tin hn, a dng hn, t cng tuyn hn gia cc bin s, nhiu bc t do hn v hiu qu hn. 3. Thng qua nghin cu cc quan st theo khng gian lp li, d liu bng ph hp hn nghin cu tnh ng ca thay i. Tnh trng tht nghip, lun chuyn cng vic, v tnh lu chuyn lao ng s c nghin cu tt hn vi d liu bng. 4. D liu bng c th pht hin v o lng tt hn nhng nh hng m khng th quan st trong d liu chui thi gian thun ty hay d liu cho theo khng gian thun ty. V d, nh hng ca lut tin lng ti thiu i vi vic lm v thu nhp c th c nghin cu tt hn nu chng ta xem xt cc t gia tng tin lng ti thiu lin tip nhau trong mc lng ti thiu ca lin bang v (hoc) tiu bang. 5. D liu bng gip ta nghin cu nhng m hnh hnh vi phc tp hn. V d, cc hin tng nh li th kinh t theo qui m v thay i k thut c th c xem xt thng qua d liu bng tt hn so vi d liu theo chui thi gian thun ty hay theo khng gian thun ty. 6. Bng cch thu thp nhng s liu c sn cho vi nghn n v, d liu bng c th ti thiu ha s thin lch c th xy ra nu ta tng hp cc c nhn hay cc doanh nghip thnh s liu tng. Ni vn tt, d liu bng c th lm phong ph cc phn tch thc nghim theo nhng cch thc m khng chc c th t c nu ta ch s dng cc d liu theo chui thi gian hay khng gian thun ty. iu ny khng c ngha rng ta khng c vn g vi vic lp m hnh d liu bng. Ta s tho lun v nhng vn ny sau khi ta tm hiu t nhiu l thuyt v tho lun mt v d.

Mt s ti liu tham kho nh ca G. Chamberlain, Panel Data, trong Handbook of Econometrics, tp II, Z. Griliches v M. D. Intriligator ch bin, North Hollans Publishers, 1984, chng 22; C. Hsiao, Analysis of Panel Data, Cambridge University Press, 1986; G. G. Judge, R. C. Hill, W. E. Griffiths, H. Lukepohl, v T. C. Lee, Introduction to the Theory and Practice of Econometrics, xut bn ln th hai, John Wiley & Sons, New York, 1985, chng 11; W. H. Greene, Econometric Analysis, xut bn ln th 4, Prentice Hall, Englewood Cliffs, N. J., 2000, chng 14; Badi H. Baltagi, Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge, Mass., 1999.
2

Baltagi, ti liu dn, trang 3-6.

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

16.2 D liu bng: Mt v d minh ha chun b, ta hy xem xt mt v d c th. Xem s liu cho trong Bng 16.1, c ly t mt nghin cu ni ting v l thuyt u t do Y. Grunfeld xut.3 Grunfeld quan tm n vic tm hiu xem tng u t thc (Y) ph thuc nh th no vo gi tr thc ca doanh nghip (X2) v tr lng vn thc (X3). Cho d nghin cu ban u bao gm mt s cng ty, v mc ch minh ha, ta thu thp d liu cho bn cng ty, General Electric (GE), General Motor (GM), US Steel (US), v Westinghouse (WEST). D liu mi cng ty v ba bin s trn y c sn trong giai on 1935-1954. Nh vy, ta c bn n v theo khng gian v 20 thi on. Do , tng cng ta c 80 quan st. Tin nghim, Y d kin c quan h ng bin vi X2 v X3. Trn nguyn tc, ta c th chy bn php hi qui theo chui thi gian, mt hi qui cho mi cng ty; hoc ta cng c th chy 20 php hi qui theo khng gian, mi nm mt php hi qui, cho d trong trng hp sau ta s phi lo lng v bc t do.4 Kt hp tt c 80 quan st, ta c th vit hm u t Grunfeld nh sau: Yit = 1 + 2 X2it + 3 X3it + uit i = 1, 2, 3, 4 t = 1, 2, , 20 trong i tiu biu cho n v th i (c nhn th i) v t tiu biu cho thi on th t. Theo qui c, ta chn i l k hiu n v theo khng gian v t l k hiu theo thi gian. Ta gi nh rng c mt s lng ti a N n v cho v mt s lng ti a T thi on. Nu mi n v theo khng gian c cng mt s lng quan st nh nhau theo chui thi gian, th d liu bng ny c gi l bng cn i. Trong bng hin ang xem xt, ta c mt bng cn i, v mi cng ty trong mu u c 20 quan st. Nu s quan st khc nhau gia cc phn t ca bng, ta gi l bng khng cn i. Trong chng ny, ni chung ta ch quan tm n bng cn i. u tin, ta gi nh rng cc bin s X khng ngu nhin v cc s hng sai s tun theo cc gi nh kinh in, y l E(uit) ~ N(0, 2). Cn thn lu k hiu ghp i v k hiu ghp ba, m t chng gii thch. Lm th no ta c lng phng trnh (16.2.1)? Cu tr li nh sau. (16.2.1)

Grunfeld, The Determinants of Corporate Investment, lun n tin s khng xut bn, phng Kinh t, i hc Chicago, 1958. D liu c gii thiu li trong mt vi quyn sch. Chng ti ly t nghin cu ca H. D. Vinod v Aman Ullha, Recent Advances in Regression Methods, Marcel Dekker, New York, 1981, trang 259261. Nghin cu Grunfeld tr thnh mt nghin cu c a thch ca cc tc gi vit sch gio khoa v d liu d s dng cho mc ch minh ha.
4

i vi mi nm, ta ch c bn quan st i vi bin hi qui ph thuc v cc bin hi qui c lp. Nu ta cng cho php c tung gc, ta s phi c lng ba thng s, ch cn li mt bc t do. Hin nhin, mt php hi qui nh vy xem ra khng chc c ngha.
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Bng 16.1 D liu u t i vi bn cng ty, 1935-54 Quan st 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 I GE 33.1 45.0 77.2 44.6 48.1 74.4 113.0 91.9 61.3 56.8 93.6 159.9 147.2 146.3 98.3 93.5 135.2 157.3 179.5 189.6 GM 317.6 391.8 410.6 257.7 330.8 461.2 512.0 448.0 499.6 547.5 561.2 688.1 568.9 529.2 555.1 642.9 755.9 891.2 1304.4 1486.7 F-1 1170.6 2015.8 2803.3 2039.7 2256.2 2132.2 1834.1 1588.0 1749.4 1687.2 2007.7 2208.3 1656.7 1604.4 1431.8 1610.5 1819.4 2079.7 2371.6 2759.9 3078.5 4661.7 5387.1 2792.2 4313.2 4643.9 4551.2 3244,1 4053.7 4379.3 4840.9 4900.0 3526.5 3245.7 3700.2 3755.6 4833.0 4926.9 6241.7 5593.6 C-1 97.8 104.4 118.0 156.2 172.6 186.6 220.9 287.8 319.9 321.3 319.6 346.0 456.4 543.4 618.3 647.4 671.3 726.1 800.3 888.9 2.8 52.6 156.9 209.2 203.4 207.2 255.2 303.7 264.1 201.6 265.0 402.0 761.5 922.4 1020.1 1099.0 1207.7 1430.5 1777.3 226.3 Quan st 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 I F-1 C-1 53.8 50.5 118.1 260.2 312.7 254.2 261.4 298.7 301.8 279.1 213.8 232.6 264.8 306.9 351.1 357.8 341.1 444.2 623.6 669.7 1.8 0.8 7.4 18.1 23.5 26.5 36.2 60.8 84.4 91.2 92.4 86.0 111.1 130.6 141.8 136.7 129.7 145.5 174.8 213.5 US 209.9 1362.4 355.3 1807.1 469.9 2673.3 262.3 1801.9 230.4 1957.3 361.6 2202.9 472.8 2380.5 445.6 2168.6 361.6 1985.1 288.2 1813.9 258.7 1850.2 420.3 2067.7 420.5 1796.3 494.5 1625.8 405.1 1667.0 418.8 1677.4 588.2 2289.5 645.2 2159.4 641.0 2031.3 459.3 2115.5 WEST 12.93 191.5 25.90 516.0 35.05 729.0 22.89 560.4 18.84 519.9 28.57 628.5 48.51 537.1 43.34 561.2 37.02 617.2 37.81 626.7 39.27 737.2 53.46 760.5 55.56 581.4 49.56 662.3 32.04 583.8 32.24 635.2 54.38 732.8 71.78 864.1 90.08 1193.5 68.60 1188.9

Ch thch: Y = I = Tng u t = B sung nh my thit b cng bo tr v sa cha; n v tnh: triu USD gim pht theo P1. X2 = F = Gi tr doanh nghip = Gi c phiu ph thng v c phiu u i vo ngy 31-12 (hay gi bnh qun ca ngy 31-12 v ngy 31-1 ca nm sau) nhn cho s c phiu ph thng v c phiu u i ang lu hnh cng tng gi tr s sch ca n vo ngy 31-12; n v tnh: triu USD gim pht theo P 2.

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

X2 = C = Tr lng my mc thit b = Tng ly k ca b sung rng my mc thit b gim pht theo P1 tr i khu hao gim pht theo P3 vi cc nh ngha sau y: P1 = H s gim pht gi ngm n i vi thit b lu bn ca nh sn xut (1947 = 100). P2 = H s gim pht gi ngm n i vi GNP (1947 = 100). P3 = H s gim pht chi ph khu hao = Bnh qun di ng 10 nm ca ch s gi bn bun kim loi v sn phm kim loi (1947 = 100). Ngun: Trnh by li t nghin cu ca H. D. Vinod v Aman Ullah, Recent Advances in Regression Methods, Marcel Dekker, New York, 1981, trang 259-261.

16.3 c lng cc m hnh hi qui d liu bng: Cch tip cn cc nh hng c nh Vic c lng phng trnh (16.2.1) ph thuc vo nhng gi nh m ta nu ln v tung gc, cc h s dc, v s hng sai s uit. C mt vi kh nng c th xy ra:5 1. Gi nh rng cc h s dc v tung gc l hng s theo thi gian v khng gian, v s hng sai s th hin s khc nhau theo thi gian v theo cc c nhn. 2. Cc h s dc l hng s nhng tung gc thay i theo cc c nhn. 3. Cc h s dc l hng s nhng tung gc thay i theo cc c nhn v thi gian. 4. Tt c cc h s (tung gc cng nh cc h s dc) u thay i theo cc c nhn. 5. Tung gc cng nh cc h s dc u thay i theo cc c nhn v theo thi gian. Nh bn c th thy, mi trng hp ny s cho thy tnh phc tp tng dn (v c l cng st thc t hn) trong vic c lng cc m hnh hi qui d liu bng, nh m hnh (16.2.1). L d nhin, tnh phc tp s gia tng nu ta b sung thm cc bin hi qui c lp vo m hnh do kh nng c th xy ra hin tng cng tuyn gia cc bin hi qui c lp. Vic tm hiu su xa tng kh nng trong cc kh nng nu trn s i hi phi vit mt quyn sch ring, v hin c mt vi quyn sch nh th trn th trng. 6 Trong nhng phn tip theo, chng ta s tm hiu mt vi c im chnh ca cc kh nng khc nhau ny, c bit l bn kh nng u tin. Tho lun ca chng ta s khng i su vo mt k thut. 1. Tt c cc h s u khng i theo thi gian v theo cc c nhn Cch tip cn n gin nht v c l kh ngy th l b qua bnh din khng gian v thi gian ca d liu kt hp v ch c lng hi qui OLS thng thng. Ngha l, xp chng ln nhau 20 quan st ca tng cng ty, qua , ta c tng cng 80 quan st cho tng bin s trong m hnh. Cc kt qu hi qui OLS l nh sau: = -63.3041 + 0.1101 X2 + 0.3034 X3 se = (29.6124) (0.0137) t = (-2.1376) R = 0.7565
2

(0.0493) (6.1545) (16.3.1)

(8.0188)

Durbin Watson = 0.2187

Phn tho lun ny chu nh hng ca nghin cu ca Judge v nhng ngi khc, ti liu dn, v nghin cu ca Hsiao, ti liu dn, trang 9-10.
6

Ngoi nhng quyn sch cp trong ch thch s 1, xem thm sch ca Terry E. Dielman, Pooled Crosssectional and Time Series Data Analysis, Marcel Dekker, New York, 1989, v Lois W. Sayrs, Pooled Time Series Analysis, Sage Publications, Newbury Park, California, 1989.
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

n = 80

df = 77

(se = sai s chun; df = bc t do) Nu bn xem xt cc kt qu ca hi qui kt hp, v p dng cc tiu ch thng thng, bn s thy rng tt c cc h s u c ngha thng k mt cch ring l; cc h s dc c du dng nh d kin v gi tr R2 cao mt cch hp l. Nh d kin, Y c quan h ng bin vi X2 v X3. Con su duy nht lm ru ni canh l tr thng k Durbin Watson c lng kh thp, cho thy rng c l c s t tng quan trong d liu. L d nhin, nh ta bit, tr thng k Durbin Watson thp cng c th do sai s v xc nh qui cch m hnh. V d, m hnh c lng gi nh rng gi tr tung gc ca GE, GM, US v Westinghouse l nh nhau. M hnh cng c th gi nh rng cc h s dc ca hai bin X hon ton ht nhau i vi c bn cng ty. Hin nhin, l nhng gi nh ht sc hn ch. Do , bt chp tnh n gin, hi qui kt hp (16.2.1) c th bp mo bc tranh thc t v mi quan h gia Y v cc bin s X trong bn cng ty. iu ta cn lm l tm cch no xem xt bn cht c th ca bn cng ty. Phn tip theo s gii thch cch lm iu ny. 2. Cc h s dc l hng s nhng tung gc thay i theo cc c nhn: M hnh cc nh hng c nh hay m hnh hi qui bin gi bnh phng ti thiu (Least Square Dummy Variable, LSDV) Mt cch xem xt c im c nhn ca tng cng ty hay tng n v theo khng gian l cho tung gc thay i theo tng cng ty nhng vn gi nh rng cc h s dc l hng s i vi cc cng ty. thy iu ny, ta vit m hnh (16.2.1) l: Yit = 1i + 2 X2it + 3 X3it + uit (16.3.2) Lu rng ta t k hiu i vo s hng tung gc cho thy rng cc tung gc ca bn cng ty c th khc nhau; s khc bit c th l do cc c im ring ca tng cng ty, nh phong cch qun l hay trit l qun l. Trong t liu nghin cu, m hnh (16.3.2) c gi l m hnh cc nh hng c nh (Fixed Effects Model, FEM). Thut ng cc nh hng c nh ny l do: cho d tung gc c th khc nhau i vi cc c nhn ( y l bn cng ty), nhng tung gc ca mi cng ty khng thay i theo thi gian; ngha l bt bin theo thi gian. Lu l nu ta vit tung gc l 1it, iu cho thy rng tung gc ca mi cng ty hay c nhn thay i theo thi gian. C th lu rng m hnh cc nh hng c nh th hin qua phng trnh (16.3.2) gi nh rng cc h s ( dc) ca cc bin c lp khng thay i theo cc c nhn hay theo thi gian. Trn thc t ta cho php tung gc (nh hng c nh) khc nhau gia cc cng ty nh th no? Ta c th d dng lm iu thng qua k thut bin gi m ta hc trong Chng 9 m c th l bin gi tung gc khc bit. Do , ta vit (16.3.2) l: Yit = 1 + 2 D2i + 3 D3i + 4 D4i + 2 X2it + 3 X3it + uit (16.3.3) Trong D2i =1 nu quan st thuc v GM hoc bng 0 trong nhng trng hp khc; D3i = 1 nu quan st thuc v US hoc bng 0 trong nhng trng hp khc; v D4i = 1 nu quan st thuc v WEST hoc bng 0 trong nhng trng hp khc. V ta c 4 cng ty, ta ch s dng ba bin gi trnh ri vo by bin gi (ngha l tnh hung cng tuyn hon ho). y khng c bin gi cho GE. Ni cch khc, 1 tiu biu cho tung gc ca GE v 2, 3, 4 l cc h s tung gc khc bit cho ta bit cc tung gc ca GM, US, v WEST khc bit nh th no so vi tung gc ca GE. Ni vn tt, GE tr thnh cng ty so snh. L d nhin, bn c t do chn bt k cng ty no lm cng ty so snh.

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Nhn th, nu bn mun mi cng ty u c cc gi tr tung gc c th, bn c th a ra bn bin gi, min l bn chy hi qui thng qua gc ta , ngha l bn phi b i tung gc chung trong (16.3.3); nu bn khng lm iu ny, bn s ri vo by bin gi. V bn ang s dng cc bin gi c lng cc nh hng c nh, trong t liu nghin cu, m hnh (16.3.3) cn c gi l m hnh bin gi bnh phng ti thiu (LSDV). Nh vy, cc thut ng nh hng c nh v LSDV c th s dng vi ngha nh nhau. Nhn th cng lu rng m hnh LSDV (16.3.3) cn c gi l m hnh ng phng sai, v X2 v X3 cn gi l bin ng phng sai. Cc kt qu da vo (16.3.3) l nh sau: = -245.7924 + 161.5722 D2i + 339.6328 D3i + 186.5666 D4i + 0.1079 X2i + 0.3461 X3i se = (35.8112) (46.4563) t = (-6.8635) R = 0.9345
2

(23.9863) (14.1594)

(31.5068) (5.9214) df = 74

(0.0175) (6.1653)

(0.0266) (12.9821) (16.3.4)

(3.4779)

d = 1.1076

So snh hi qui ny vi (16.3.1). Trong (16.3.4), tt c cc h s c lng u c ngha thng k kh cao mt cch ring l, v cc tr thng k p ca cc h s t c lng u cc k nh. Gi tr tung gc ca bn cng ty u khc nhau v mt thng k: tung gc ca GE l -245.7924; ca GM l -84.220 (= -245.7924 + 161.5722); ca US l 93.8774 (= -245.7924 + 339.6328); v ca WEST l -59.2258 (= -245.7924 + 186.5666). S khc bit v tung gc ny c th do nhng c im ring ca tng cng ty, nh khc bit v phong cch qun l hay ti nng qun l. M hnh no tt hn: (16.3.1) hay (16.3.4)? Cu tr li s bc l hin nhin, c phn on bng ngha thng k ca cc h s c lng v s kin l gi tr R 2 tng ng k v s kin l tr thng k Durbin Watson d cao hn nhiu, cho thy rng m hnh (16.3.1) c xc nh qui cch sai. Tuy nhin, gi tr R2 tng ln khng c g ngc nhin v trong m hnh (16.3.4)c nhiu bin s hn. Ta cng c th a ra mt php kim nh chnh thc cho hai m hnh. Trong mi quan h vi (16.3.4), m hnh (16.3.1) l mt m hnh hn ch ch n p t mt tung gc chung cho tt c cc cng ty. Do , ta c th s dng kim nh F hn ch tho lun trong chng 8. S dng cng thc (8.7.10), c gi c th d dng kim tra rng trong v d ny, tr thng k F l: = = 66.9980 (16.3.5)

Trong gi tr R2 hn ch c ly t m hnh (16.3.1) v R2 khng hn ch c ly t m hnh (16.3.4) v s iu kin hn ch l 3, v m hnh (16.3.1) gi nh rng cc tung gc ca GE, GM, US v WEST u nh nhau. R rng, tr thng k F bng 66.9980 (i vi bc t do t s 3 v bc t do mu s 74) ht sc c ngha v do , php hi qui hn ch (16.3.1) xem ra khng c gi tr. nh hng ca thi gian. Cng ging nh ta s dng bin gi xem xt nh hng c nhn (cng ty), ta cng c th xem xt nh hng thi gian theo ngha l hm u t Grunfeld dch chuyn theo thi gian do nhng yu t nh thay i cng ngh, thay i chnh sch thu hay qui nh ca chnh ph v cc nh hng bn ngoi nh chin tranh v nhng xung t khc. Nhng nh hng thi gian ny c th d dng c xem xt nu ta a vo m hnh cc bin gi thi gian, mi nm mt bin. V ta c s liu cho 20 nm, t 1935 n 1954, nn ta c th a vo 19 bin gi (ti sao?), v vit m hnh (16.3.3) l:
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Yit = 0 + 1 Dum35 + 2 Dum36 + + 19 Dum53 + 2 X2it + 3 X3it + uit

(16.3.6)

Trong Dum35 nhn gi tr bng 1 i vi nhng quan st trong nm 1935 v nhn gi tr bng 0 i vi nhng quan st trong nhng nm khc, v.v Chng ta xem nm 1954 l nm gc, vi gi tr tung gc c cho bi 0 (ti sao?) y chng ta khng trnh by cc kt qu hi qui da vo phng trnh (16.3.6), v khng mt bin gi thi gian no c ngha thng k mt cch ring l. Gi tr R 2 ca (16.3.6) l 0.7697, trong khi gi tr R2 ca (16.3.1) l 0.7565, chnh lch ch c 0.0132. Chng ta dnh cho c gi phn ny nh mt bi tp chng minh rng, trn c s kim nh F hn ch, chnh lch ny khng c ngha thng k, m c th cho thy rng, nh hng nm hay nh hng thi gian khng c ngha. iu ny c th cho thy rng c l hm u t khng thay i nhiu theo thi gian. Chng ta thy rng nh hng cc cng ty ring l c ngha thng k, nhng nh hng nm ring l khng c ngha thng k. C l no ta xc nh qui cch m hnh sai ch ta khng xem xt n c nh hng c nhn v nh hng thi gian cng vi nhau? Ta hy xem xt kh nng ny. 3. Cc h s dc l hng s nhng tung gc khc nhau theo c nhn cng nh theo thi gian xem xt kh nng ny, ta c th kt hp (16.3.4) v (16.3.6) nh sau: Yit = 1 + 2 DGMi + 3 DUSi + 4 DWESTi + 0 + 1 Dum35 + + 19 Dum53 + 2 X2i + 3 X3i + uit (16.3.7) Khi ta chy hi qui ny, ta thy cc bin gi cng ty cng nh cc h s ca X u c ngha thng k mt cch ring l nhng khng bin gi thi gian no c ngha thng k. Thc cht, ta quay li vi (16.3.4). Kt lun chung y l c l c mt nh hng ring bit ca mi cng ty th su sc nhng khng c nh hng thi gian. Ni cch khc, cc hm u t ca bn cng ty ny l nh nhau ngoi tr i vi cc tung gc. Trong tt c cc trng hp chng ta xem xt, cc bin X c mt tc ng mnh i vi bin Y. 4. Tt c cc h s u thay i theo cc c nhn y chng ta gi nh rng cc tung gc v cc h s dc u khc nhau i vi mi n v ring l. Ni nh th c ngha l cc hm u t ca GE, GM, US, v WEST u khc nhau hon ton. Ta c th d dng m rng m hnh LSDV xem xt tnh hung ny. Hy xem li m hnh (16.3.4). ta gii thiu cc bin gi c nhn theo cch thc cng thm vo. Nhng trong Chng 9 v bin gi, ta trnh by cc bin gi dc khc bit hay tng tc c th gii thch s khc bit v h s dc nh th no. lm iu ny trong bi cnh hm u t Grunfeld, iu ta phi lm l nhn tng bin gi cng ty cho tng bin s X [iu ny s lm tng thm 6 bin na cho m hnh (16.3.4)]. Ngha l ta c lng m hnh sau y: Yit = 1 + 2 D2i + 3 D3i + 4 D4i + 2 X2it + 3 X3it + 1 (D2i X2it) + 2 (D2i X3it) + 3 (D3i X2it) + 4 (D3i X3it) + 5 (D4i X2it) + 6 (D4i X3it) + uit (16.3.8) Bn s nhn thy rng cc h s l cc h s dc khc bit, cng nh 2, 3 v 4 l cc tung dc khc bit. Nu mt hay nhiu h s c ngha thng k, iu s cho ta bit rng mt hay nhiu h s dc l khc vi nhm gc. V d, chng hn nh 2 v 1 c
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

ngha thng k. Trong trng hp ny, (2 + 1) s cho ta gi tr h s dc ca X2 i vi General Motor, cho thy rng h s dc ca X2 ca GM khc vi ca General Electric, vn l cng ty so snh ca chng ta. Nu tt c cc tung gc khc bit v tt c cc h s dc khc bit u c ngha thng k, ta c th kt lun rng hm u t ca General Motor, United States Steel v Westinghouse u khc vi ca General Electric. Nu iu ny l ng trn thc t, vic c lng hi qui kt hp (16.3.1) xem ra v ngha. Ta hy xem cc kt qu hi qui da vo (16.3.8). d c, cc kt qu hi qui (16.3.8) c trnh by di dng bng trong Bng 16.2. Nh cc kt qu ny cho thy, Y c quan h c ngha thng k vi X2 v X3. Tuy nhin, mt vi h s dc khc bit c ngha thng k. V d, h s dc ca X 2 l 0.0902 i vi GE, nhng l 0.1828 (=0.0902 + 0.092) i vi GM. iu th v l, khng mt tung gc khc bit no c ngha thng k. Bng 16.2 Cc kt qu hi qui (16.3.8) Bin s Tung gc D2i D3i D4i X2i X3i D2i X2i D2i X3i D3i X2i D3i X3i D4i X2i D4i X3i H s -9.9563 -139.5104 -40.1217 9.3759 0.0926 0.1516 0.0926 0.2198 0.1448 0.2570 0.0265 -0.0600 R2 = 0.9511 Sai s chun 76.3518 109.2808 129.2343 93.1172 0.0424 0.0625 0.0424 0.0682 0.0646 0.1204 0.1114 0.3784 Tr thng k t -0.1430 -1.2766 -0.3104 0.1006 2.1844 2.4250 2.1844 3.2190 2.2409 2.1333 0.2384 -0.1584 d = 1.0896 Tr thng k p 0.8966 0.2061 0.7572 0.9201 0.0324 0.0180 0.0324 0.0020 0.0283 0.0365 0.8122 0.8745

Nhn chung, xem ra cc hm u t ca bn cng ty u khc nhau. iu ny c th cho thy rng d liu ca bn cng ty khng th kt hp c; trong trng hp ta c th c lng hm u t cho tng cng ty mt cch ring bit (xem bi tp 16.3). iu ny cng nhc ta nh rng cc m hnh hi qui d liu bng khng chc ph hp trong mi tnh hung, bt chp s sn c cc d liu c theo khng gian v thi gian. Thn trng khi s dng m hnh cc nh hng c nh hay m hnh LSDV. Cho d d s dng, m hnh LSDV c mt vi vn cn lu . Th nht, nu bn a vo qu nhiu bin gi, nh trong trng hp m hnh (16.3.7), bn s vng phi vn bc t do. Trong trng hp m hnh (16.3.7), chng ta c 80 quan st, nhng ch c 55 bc t do chng ta mt 3 bc t do cho ba bin gi cng ty, 19 bc t do cho 19 bin gi nm, 2 cho hai h s dc, v 1 cho tung gc chung. Th hai, vi nhiu bin s trong m hnh nh th, lun lun c kh nng a cng tuyn, lm cho vic c lng chnh xc mt hay nhiu thng s tr nn kh khn. Th ba, gi s trong m hnh nh hng c nh (16.3.1), ta cng bao gm nhng bin nh gii tnh, mu da, v chng tc, cng l nhng bin bt bin theo thi gian v gii tnh, mu

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

da hay chng tc ca mt c nhn khng thay i theo thi gian. V th, cch tip cn LSDV xem ra khng th nhn din tc ng ca nhng bin s bt bin theo thi gian nh vy. Th t, ta phi suy ngh cn thn v s hng sai s uit. Tt c cc kt qu m chng ta trnh by cho n gi u da vo gi nh l s hng sai s tun theo cc gi nh kinh in, y l, uit ~ N (0, 2). V ch s i tiu biu cho cc quan st theo khng gian v ch s t tiu biu cho cc quan st theo thi gian nn gi nh kinh in i vi uit c th phi hiu chnh. C mt vi kh nng: 1. Ta c th gi nh rng phng sai sai s l nh nhau i vi tt c cc n v (cc c nhn), hay ta c th gi nh rng phng sai sai s l khng ng nht. 2. i vi tng c nhn, ta c th gi nh rng khng c t tng quan theo thi gian. Nh vy, v d, ta c th gi nh rng s hng sai s ca hm u t i vi General Motor l khng t tng quan. Hay ta c th gi nh rng n t tng quan, v d nh thuc loi AR(1). 3. Trong mt thi on cho trc, c th s hng sai s ca General Motor c tng quan vi s hng sai s ca US Steel chng hn hay vi c US Steel v Westinghouse.7 Hoc ta c th gi nh l khng c tng quan nh vy. 4. Ta c th suy ngh v cc cch b tr v kt hp khc ca s hng sai s. Nh bn s nhanh chng nhn ra, cho php mt hay nhiu kh nng ny xy ra s lm cho phn tch tr nn phc tp hn nhiu. Nhu cu v khng gian v ton hc khng cho php ta xem xt mi kh nng c th xy ra. Bn c c th tm c nhng bi tho lun kh d tip cn v cc kh nng khc nhau trong cc nghin cu ca Dielman, Sayrs, v Kmenta.8 Tuy nhin, mt vi vn c th c loi tr nu ta vn dng ci gi l m hnh nh hng ngu nhin m ta s tho lun sau y. 16.4 c lng cc m hnh hi qui d liu bng: Cch tip cn nh hng ngu nhin Cho d d p dng, vic lp m hnh nh hng c nh hay m hnh LSDV c th lm gim bc t do nu ta c mt vi n v theo khng gian. Ngoi ra, nh Kmenta lu : Mt vn hin nhin lin quan n m hnh ng phng sai (tc l m hnh LSDV) l liu vic thm vo m hnh cc bin gi - v v th m mt i mt s bc t do c tht s cn thit hay khng. Lp lun lm nn tng cho m hnh ng phng sai l khi xc nh qui cch m hnh, ta khng th bao gm nhng bin gii thch ph hp m khng thay i theo thi gian (v c th nhng bin khc c thay i theo thi gian nhng c cng gi tr i vi tt c cc n v theo khng gian), v vic bao gm bin gi l s che y tnh trng khng hiu bit ca chng ta [phn nhn mnh c b sung].9 Nu qu tht cc bin gi tiu biu cho tnh trng khng hiu bit ca chng ta v m hnh (tht s), ti sao ta khng biu th tnh trng khng hiu bit ny thng qua s hng nhiu uit?

iu ny dn n ci gi l lp m hnh hi qui c v khng quan h (seemingly unrelated regression, SURE) do Arnold Zellner xut ln u. Tm c tho lun v m hnh ny trong nghin cu ca Terry E. Dielman, ti liu dn.
8

Dielman, ti liu dn, Sayrs, ti liu dn, Jan Kmenta, Elements of Econometrics, xut bn ln th hai, Macmillan, New York, 1986, chng 12.
9

Kmenta, ti liu dn, trang 633.

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

y chnh xc l cch tip cn c xut bi nhng ngi ng h ci gi l m hnh cc thnh phn sai s (Error Components Model, ECM) hay m hnh nh hng ngu nhin (Random Effects Model, REM). tng c bn l bt u bng (16.3.2): Yit = 1i + 2 X2it + 3 X3it + uit (16.4.1) Thay v xem 1i l c nh, ta gi nh l mt bin ngu nhin vi mt gi tr trung bnh l 1 (khng c k hiu i y). V gi tr tung gc cho mt cng ty ring l c th c biu th l: 1i = 1 + i i = 1, 2, , N (16.4.2) trong i l s hng sai s ngu nhin vi mt gi tr trung bnh bng 0 v phng sai bng . Thc cht iu m ta ang ni ti l: bn cng ty bao gm trong mu ca chng ta c rt ra t mt tp hp rng ln hn nhiu gm nhiu cng ty nh vy v cc cng ty c mt tr trung bnh chung i vi tung gc (= 1) v s khc bit c nhn v gi tr tung gc ca tng cng ty c phn nh trong s hng sai s i. Thay (16.4.2) vo (16.4.1), ta c: Yit = 1i + 2 X2it + 3 X3it + i + uit = 1i + 2 X2it + 3 X3it + wit Trong wit = i + uit (16.4.4) S hng sai s kt hp bao gm hai thnh phn: i l thnh phn sai s theo khng gian, hay theo cc c nhn, v uit l thnh phn sai s theo khng gian v chui thi gian kt hp. Thut ng m hnh cc thnh phn sai s c t tn v s hng sai s kt hp wit gm hai (hay nhiu) thnh phn sai s. Gi nh thng thng m m hnh cc thnh phn sai s a ra l: it ~ N (0, uit ~ N (0, E(iuit) = 0 ) ) E(ij) = 0 (i j) (i j; t s) (16.4.5) (16.4.3)

E(uituis) = E(uitujt) = E(uitujs) = 0

Ngha l, cc thnh phn sai s c nhn khng tng quan vi nhau v khng t tng quan gia cc n v theo khng gian v theo chui thi gian. Cn thn lu s khc nhau gia FEM v ECM. Trong FEM, mi n v theo khng gian c gi tr tung gc (c nh) ring, tng cng c N gi tr nh vy cho ton b N n v. Mt khc, trong ECM, tung gc 1 tiu biu cho tr trung bnh ca tt c cc tung gc v s hng sai s i tiu biu cho s sai lch (ngu nhin) ca tng tung gc so vi tr trung bnh ny. Tuy nhin, nn nh rng i khng th quan st trc tip c; n c gi l bin khng th quan st, hay bin n. Nh mt h qu ca nhng gi nh nu ln trong (16.4.5), ta suy ra rng: E(wit) = 0 var (wit) =
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(16.4.6) + (16.4.7)
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

By gi nu = 0, s khng c khc bit g gia m hnh (16.2.1) v m hnh (16.4.3), trong trng hp , ta c th kt hp tt c cc quan st (theo khng gian v theo chui thi gian) v ch cn chy hi qui kt hp, nh ta lm trong m hnh (16.3.1). Nh (16.4.7) cho thy, s hng sai s wit c phng sai mang tnh ng nht. Tuy nhin, ta c th chng minh rng wit v wis (t s) tng quan vi nhau; ngha l cc s hng sai s ca mt n v cho trc hai thi on khc nhau th tng quan vi nhau. H s tng quan corr (wit ,wit) l nh sau: corr (wit , wit) = (16.4.8)

Lu hai thuc tnh c bit ca h s tng quan trn y. Th nht, i vi mt n v (c nhn) cho trc, gi tr ca tng quan gia cc s hng sai s hai thi on khc nhau vn ht nh nhau bt k hai thi on cch nhau bao xa, nh th hin r rt t (16.4.8). iu ny tng phn mnh vi c ch bc mt [AR(1)] m chng ta tho lun trong chng 12, trong ta nhn thy rng mi tng quan gia cc thi on gim dn theo thi gian. Th hai, c cu tng quan c cho trong (16.4.8) vn nh nhau i vi mi n v; ngha l n ht nh nhau i vi mi c nhn. Nu ta khng xem xt n c cu tng quan ny, v c lng m hnh (16.4.3) bng OLS, c lng t c s khng hiu qu. Phng php thch hp nht y l phng php bnh phng ti thiu tng qut (generalized least squares, GLS). Ta s khng tho lun v ton hc phng php GLS trong bi cnh ny do tnh phc tp ca n.10 V hu ht cc gi phn mm thng k hin i hin nay u c l trnh c lng ECM (cng nh FEM), nn y ta ch trnh by cc kt qu cho v d u t ca chng ta m thi. Nhng trc khi lm iu , xem ra nn lu rng ta c th d dng m rng (16.4.4) cho mt thnh phn sai s ngu nhin c th xem xt n s bin thin theo thi gian (xem bi tp 16.6). Cc kt qu ca c lng ECM ca hm u t Grunfeld c trnh by trong bng 16.3. Ta nn lu mt vi kha cnh ca hi qui ny. Th nht, nu bn cng cc gi tr nh hng ngu nhin cho trc i vi bn cng ty, n s bng khng, v n phi nh th (ti sao?). Th hai, gi tr trung bnh ca thnh phn sai s ngu nhin i l gi tr ca tung gc chung, bng -73.0353. Gi tr nh hng ngu nhin ca GE l -169.9282 cho ta thy thnh phn sai s ngu nhin ca GE khc bit bao nhiu so vi gi tr tung gc chung. Cch l gii tng t cng c p dng cho ba gi tr khc ca nh hng ngu nhin. Th ba, ta thu c gi tr R2 t hi qui GLS bin i. Nu bn so snh cc kt qu ca m hnh ECM trnh by trong Bng 16.3 vi cc kt qu thu c t m hnh FEM, bn s thy rng, nhn chung, cc gi tr h s ca hai bin X xem ra khng khc nhau nhiu, ngoi tr nhng gi tr cho trong Bng 16.2, trong ta cho cc h s dc ca hai bin khc nhau gia cc c nhn. Bng 16.3 c lng ECM ca hm u t Grunfeld Bin s Tung gc H s -73.0353 Sai s chun 83.9495 Tr thng k t -0.8699 Tr thng k p 0.3870

10

Bn c quan tm c th tham kho phn tho lun d tip cn trong nghin cu ca Kmenta, ti liu dn, trang 625-630.
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

X2 X3 nh hng ngu nhin: GE GM USS Westinghouse

0.1076 0.3457 -169.9282 -9.5078 165.5613 13.87475

0.0168 0.0168

6.4016 13.0235

0.0000 0.0000

R2 = 0.9323 (GLS) 16.5 M hnh nh hng c nh (hay m hnh LSDV) so vi m hnh nh hng ngu nhin Nh nghin cu ng trc mt th thch l: M hnh no tt hn, FEM hay ECM? Cu tr li cho cu hi ny xoay quanh gi nh m ta a ra v mi tng quan kh d gia thnh phn sai s theo c nhn (hay theo n v) i v cc bin hi qui c lp X. Nu ta gi nh rng i v cc bin X khng tng quan, th ECM c th ph hp, trong khi nu i v cc bin X tng quan, th FEM c th thch hp. Ti sao ngi ta d kin mi tng quan gia thnh phn sai s c nhn i v mt hay nhiu bin hi qui c lp? Ta hy xem mt v d. Gi s ta c mt mu ngu nhin gm mt s lng ln cc c nhn v ta mun lp m hnh hm tin lng hay thu nhp ca h. Gi s thu nhp l mt hm s theo trnh gio dc, kinh nghim lm vic, v.v By gi nu ta gi i tiu biu cho kh nng bm sinh, nn tng gia nh v.v, th khi ta lp m hnh hm thu nhp bao gm i, n c th tng quan vi trnh gio dc, v kh nng bm sinh v nn tng gia nh thng l nhng yu t quan trng xc nh trnh gio dc. Nh Wooldridge trnh by: Trong nhiu ng dng, ton b l do khin ta s dng d liu bng l cho nh hng khng quan st c (ngha l i) c php tng quan vi cc bin gii thch.11 Cc gi nh lm nn tng cho ECM l: i c rt ra ngu nhin t mt dn s ln hn nhiu. Nhng i khi iu ny khng chc ng. V d, gi s ta mun nghin cu t l ti phm trong 50 tiu bang Hoa K. Hin nhin trong trng hp ny, gi nh cho rng 50 tiu bang l mt mu ngu nhin xem ra khng th bin h c. Lu s khc bit c bn ny ca hai cch tip cn, ta c th ni g thm v vic chn la gia FEM v ECM? y cc quan st ca Judge v nhng ngi khc c th b ch:12 1. Nu T (s thi on ca d liu chui thi gian) ln v N (s n v theo khng gian) nh, gi tr ca cc thng s c lng bng FEM v ECM c th s khng khc nhau nhiu. V th, vic chn la y da vo s thun tin trong tnh ton. V im ny, FEM c th ng a chung hn. 2. Khi N ln v T nh, cc gi tr c lng thu c bng hai phng php c th khc nhau ng k. Nn nh rng trong m hnh ECM, 1i = 1 + i, trong i l thnh phn ngu nhin theo c nhn, trong khi trong m hnh FEM, ta xem 1i l c nh v khng ngu nhin. Trong trng hp m hnh FEM, suy lun thng k c lp iu kin theo cc n v c quan st trong mu. M hnh ny s ph hp nu ta tin tng mnh lit rng cc c nhn, hay cc n v ring l trong mu khng phi c rt ra ngu nhin t mt mu ln hn. Trong trng hp , m hnh FEM l ph

11 12

Wooldridge, ti liu dn, trang 450. Judge v nhng ngi khc, ti liu dn, trang 489-491.
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

hp. Tuy nhin, nu cc n v trong mu c xem l rt ra ngu nhin, th ECM s thch hp, trong trng hp , suy lun thng k c tnh cht v iu kin. 3. Nu thnh phn sai s c nhn i v mt hay nhiu bin c lp tng quan vi nhau, th c lng ECM s b chch, trong khi c lng thu c t m hnh FEM s khng chch. 4. Nu N ln v T nh, v nu cc gi nh lm nn tng cho m hnh ECM c tha th c lng ECM s hiu qu hn so vi c lng FEM.13 C chng mt kim nh chnh thc gip ta chn la gia m hnh FEM v ECM? C, kim nh ny do Hausman xy dng vo nm 1978.14 Ta s khng tho lun chi tit kim nh ny, v iu vt ra ngoi phm vi quyn sch ny.15 Gi thit khng lm nn tng cho kim nh Hausman l: cc c lng FEM v ECM khng khc nhau ng k. Tr thng k kim nh do Hausman xy dng c mt phn phi 2 tim cn. Nu gi thit khng b bc b, kt lun l: ECM khng thch hp v tt hn xem ra ta nn s dng m hnh FEM, trong trng hp , cc suy lun thng k s lp iu kin theo i trong mu. Bt chp kim nh Hausman, iu quan trng l cn ghi nh cnh bo ca Johnston v DiNardo. Khi quyt nh chn la gia m hnh nh hng c nh hay m hnh nh hng ngu nhin, h lp lun rng: khng c mt qui tc n gin no gip nh nghin cu trnh chic v da nh hng c nh hay chic v da sai s o lng v chn la ng hc. Cho d ci thin hn so vi d liu theo khng gian, d liu bng khng mang li mt phng thuc bch bnh cho tt c cc vn ca nh kinh t lng.16 16.6 Hi qui d liu bng: Mt vi nhn xt kt lun Nh lu ngay t u, ti lp m hnh d liu bng th rng ln v phc tp. Chng ta ch mi lt qua b mt. Trong nhng ch m ta cha tho lun, nhng vn sau y c th c cp: 1. Kim nh gi thit vi d liu bng. 2. Phng sai khng ng nht v t tng quan trong ECM. 3. D liu bng khng cn i. 4. Cc m hnh d liu bng ng hc, trong mt hay nhiu gi tr tr ca bin ph thuc (Yit) xut hin nh mt bin gii thch. 5. Cc phng trnh ng thi lin quan n d liu bng. 6. Cc bin ph thuc nh tnh v d liu bng. Bn c c th tm thy mt hay nhiu ch ny trong phn ti liu tham kho ca chng ny, v nn tham kho hc hi thm v ti ny. Cc ti liu tham kho ny cng trch dn mt s nghin cu thc nghim trong nhng lnh vc kinh doanh v kinh t hc khc nhau s dng cc m hnh hi qui d liu bng. Chng ti khuyn nhng ngi mi bt

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Taylor chng minh rng i vi T 3, v (N K) 9, trong K l s lng bin c lp, th pht biu ny c tha. Xem nghin cu ca W. E. Taylor, Small Sample Considerations in Estimation from Panel Data, Journal of Econometrics, tp 13, 1980, trang 203-223. 14 J. A. Hausman, Specification Tests in Econometrics, Econometrica, tp 46, 1978, trang 1251-1271. 15 Xem chi tit trong nghin cu ca Baltagi, ti liu dn, trang 68-73. 16 Jack Johnston v John DiNardo, Econometric Methods, xut bn ln th 4, McGraw Hill, 1997, trang 403.
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

u nn c mt s ng dng ny cm nhn v cch thc cc nh nghin cu tht s thc hin nhng m hnh ny nh th no. 16.7 Tm tt v kt lun 1. Cc m hnh hi qui bng da vo d liu bng. D liu bng bao gm cc quan st v cc n v ring l, hay cc n v theo khng gian trong mt s thi on. 2. Vic s dng d liu bng c mt vi u im. Th nht, d liu bng lm tng kch thc mu mt cch ng k. Th hai, thng qua nghin cu cc quan st theo khng gian lp li, d liu bng ph hp hn nghin cu ng hc thay i. Th ba, d liu bng gip ta nghin cu nhng m hnh hnh vi phc tp hn. 3. Bt chp cc u im ng k, d liu bng t ra mt s vn c lng v suy lun. V d liu ny lin quan n c bnh din khng gian v thi gian, nn nhng vn c hu trong d liu theo khng gian (v d nh phng sai khng ng nht) v d liu theo chui thi gian (v d nh t tng quan) cn c gii quyt. Ngoi ra cn c thm mt s vn , nh tng quan cho trong cc n v c nhn trong cng mt thi on. 4. C mt s k thut c lng gii quyt mt hay nhiu vn ny. Hai k thut ni bt nht l (1) m hnh cc nh hng c nh (FEM) v (2) m hnh cc nh hng ngu nhin (REM) hay m hnh cc thnh phn sai s (ECM). 5. Trong m hnh FEM, tung gc trong m hnh hi qui c php khc nhau gia cc c nhn, khi tha nhn s kin l mi c nhn hay mi n v c th c nhng c im ring nht nh. xem xt cc tung gc khc nhau, ta c th s dng cc bin gi. M hnh FEM s dng bin gi c gi l m hnh bin gi bnh phng ti thiu (LSDV). M hnh FEM ph hp trong nhng tnh hung m tung gc ca tng c nhn c th tng quan vi mt hay nhiu bin c lp. Mt nhc im ca m hnh LSDV l n lm mt i nhiu bc t do khi s n v N rt ln, trong trng hp ta s phi a vo N bin gi (nhng khng ch s hng tung gc chung). 6. Mt phng n khc thay cho m hnh FEM l m hnh ECM. Trong m hnh ECM, ta gi nh rng tung gc ca mt n v ring l c rt ngu nhin t mt dn s ln hn nhiu vi mt tr trung bnh khng i. Tung gc c nhn khi c biu th nh s sai lch so vi tr trung bnh khng i ny. Mt u im ca m hnh ECM so vi m hnh FEM l: n khng lm mt bc t do v ta khng phi c lng N tung gc ring l. Ta ch cn c lng tr trung bnh ca tung gc v phng sai ca n. M hnh ECM thch hp trong nhng tnh hung m tung gc (ngu nhin) ca tng n v khng tng quan vi cc bin c lp. 7. Kim nh Hausman c th c s dng quyt nh chn la gia m hnh FEM v m hnh ECM. 8. Cho d ngy cng c a chung trong nghin cu ng dng, v cho d ngy cng sn c nhng d liu ny, hi qui d liu bng khng chc ph hp trong mi tnh hung. Ta phi vn dng s nh gi thc tin trong tng trng hp.

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Bi tp Cu hi 16.1. Cc c im ca (a) d liu theo khng gian, (b) d liu theo chui thi gian, v (c) d liu bng l g? 16.2. M hnh cc nh hng c nh (FEM) ngha l g? V d liu bng c c bnh din khng gian ln thi gian, m hnh FEM cho php ta xem xt c hai bnh din nh th no? 16.3. M hnh cc thnh phn sai s (ECM) ngha l g? M hnh ny khc vi m hnh FEM nh th no? Khi no m hnh ECM ph hp? V khi no m hnh FEM ph hp? 16.4. C g khc nhau gia m hnh FEM, m hnh bin gi bnh phng ti thiu (LSDV), v m hnh ng phng sai hay khng? 16.5. Khi no m hnh hi qui s liu bng khng ph hp? Cho cc v d. 16.6. Bn s m rng m hnh (16.4.4) nh th no cho php c mt thnh phn sai s theo thi gian? Trong trng hp , iu g s xy ra vi cng thc (16.3.6), (16.3.7) v (16.3.8)? 16.7. Tham kho s liu trng v gi trng cho trong Bng 1.1. M hnh no c th ph hp y, FEM hay ECM? V ti sao? 16.8. Trong cc kt qu hi qui trong (16.3.4), cc tung gc nh hng c nh ca bn cng ty l bao nhiu? Cc nh hng ny c khc nhau v mt thng k hay khng? 16.9. i vi v d u t tho lun trong chng ny, Bng 16.3 cho ta cc kt qu da vo m hnh ECM. Nu bn so snh cc kt qu ny vi nhng kt qu cho trong (16.3.4), bn s rt ra nhng kt lun tng qut g? 16.10. Da vo Nghin cu ng hc Thu nhp Michigan, Hausman c gng c lng mt m hnh tin lng hay thu nhp, s dng mu gm 629 hc sinh tt nghip ph thng c theo di trong mt khong thi gian 6 nm, v th ta c tng cng 3774 quan st. Bin ph thuc trong nghin cu ny l log tin lng, v cc bin gii thch l tui (c chia thnh mt s nhm), tht nghip trong nm trc, sc khe km trong nm trc, t lm ch, min c tr (min nam = 1; hoc bng 0 nhng min khc), khu vc c tr (nng thn = 1; hoc bng 0 khu vc khc). Hausman s dng c hai m hnh FEM v ECM. Cc kt qu c cho trong bng 16.4 (sai s chun trong du ngoc n). a. Cc kt qu c ngha kinh t khng? b. C hay khng s khc bit ln gia cc kt qu t c bi hai m hnh? Nu c, iu g c th gii thch cho nhng khc bit ny? c. Trn c s d liu cho trong bng, bn s chn m hnh no nu c?

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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Bng 16.4 Cc phng trnh tin lng (bin ph thuc: log tin lng*) Bin s 1. tui 1 (20-35) 2. tui 2 (35-45) 3. tui 3 (45-55) 4. tui 4 (55-65) 5. tui 5 (65-) 6. Tht nghip nm trc 7. Sc khe km nm trc 8. T lm ch 9. Min nam 10. Nng thn 11. Hng s s2 Bc t do Bi ton 16.11. Tham kho d liu trong Bng 1.1. a. Gi Y = s trng sn xut ra (triu chic), v X = gi trng (cents trn mt chc trng). c lng m hnh: Yi = 1 + 2 Xi + ui cho nm 1990 v 1991 mt cch ring bit. b. Kt hp cc quan st trong hai nm v c lng hi qui kt hp. Bn a ra nhng gi nh g khi kt hp cc d liu? c. S dng m hnh cc nh hng c nh, phn bit hai nm, v trnh by cc kt qu hi qui. d. Bn c th s dng m hnh cc nh hng c nh, phn bit 50 tiu bang hay khng? Ti sao c hoc ti sao khng? e. Vic phn bit va nh hng tiu bang va nh hng nm liu c ngha hay khng? Nu c, bn s phi a ra bao nhiu bin gi? f. M hnh cc thnh phn sai s c thch hp lp m hnh vic sn xut trng hay khng? Ti sao c hoc ti sao khng? Hy xem liu bn c th c lng m hnh nh vy thng qua s dng phn mm Eviews chng hn hay khng. 16.12. Tip tc vi bi tp 16.11. Trc khi quyt nh chy hi qui kt hp, bn mun tm hiu xem th d liu c th kt hp c hay khng. V mc ch ny, bn quyt nh s dng kim nh Chow nh tho lun trong chng 8. Trnh by nhng php tnh cn thit lin quan v xc nh xem liu hi qui kt hp c ngha hay khng. 16.3. Quay li vi hm u t Grunfeld tho lun trong phn 16.2. a. c lng hm u t Grunfeld cho GE, GM, US Steel v Westinghouse mt cch ring bit. Cc kt qu ca vic kt hp ton b 80 quan st c cho trong (16.3.1). b. xc nh xem liu hi qui kt hp (16.3.1) c thch hp hay khng, bn quyt nh thc hin kim nh Chow nh tho lun trong chng 8. Thc hin kim nh ny. nh hng c nh 0.0557 (0.0042) 0.0351 (0.0051) 0.0209 (0.0055) 0.0209 (0.0078) -0.0171 (0.0155) -0.0042 (0.0153) -0.0204 (0.0221) -0.2190 (0.0297) -0.1569 (0.0656) -0.0101 (0.0317) --0.0567 3,135 nh hng ngu nhin 0.0393 (0.0033) 0.0092 (0.0036) -0.0007 (0.0042) -0.0097 (0.0060) -0.0423 (0.0121) -0.0277 (0.0151) -0.0250 (0.0215) -0.2670 (0.0263) -0.0324 (0.0333) -0.1215 (0.0237) 0.8499 (0.0433) 0.0694 3,763

3774 quan st; sai s chun trong du ngoc n. c trnh by li t nghin cu ca Chen Hsiao, Analysis of Panel Data, Cambridge University Press, 1986, trang 42. Ngun ban u: J. A. Hausman, Specification Tests in Econometrics, Econometrica, tp 46, 1978, trang 1251-1271.
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Phng php nghin cu II Bi c

Kinh t lng c s - 4th ed. Ch. 16: Cc m hnh hi qui d liu bng

Gi : Ly RSS t hi qui kt hp, ly RSS t tng hm u t trong bn hm u t, ri p dng kim nh Chow. c. T kim nh Chow, bn rt ra kt lun g? Nu kt lun ca bn l khng kt hp d liu, vy bn c th ni g v vic s dng cc k thut hi qui d liu bng? 16.14. Bng 16.5 trnh by d liu v t l tht nghip dn s Y (phn trm) v tin lng theo gi trong cng nghip ch to X, tnh bng USD (ch s, 1992 = 100) ca Canada, Anh, v Hoa K trong giai on 1980-1999. Hy xem m hnh: Yit = 1 + 2 Xit + uit a. b. c. d. e. f. Mt cch tin nghim, mi quan h d kin gia Y v X l g? Ti sao? c lng m hnh cho trong (1) cho tng nc. c lng m hnh, kt hp ton b 60 quan st. c lng m hnh cc nh hng c nh (FEM). c lng m hnh cc thnh phn sai s (ECM). M hnh no tt hn, FEM hay ECM? Gii thch cu tr li ca bn. (1)

Bng 16.5 T l tht nghip v tin lng theo gi trong cng nghip ch to Hoa K, Canada v Anh, 1980-1999 Quan st 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 Hoa K Tin lng Tht USD/gi nghip, % 55.6 7.1 61.1 7.6 67.0 9.7 68.8 9.6 71.2 7.5 75.1 7.2 78.5 7.0 80.7 6.2 84.0 5.5 86.6 5.3 90.8 5.6 95.6 6.8 100.0 7.5 102.7 6.9 105.6 6.1 107.9 5.6 109.3 5.4 111.4 4.9 117.3 4.5 123.2 4.0 Canada Tin lng Tht USD/gi nghip, % 49.0 7.2 54.1 7.3 59.6 10.0 63.9 11.5 64.3 10.9 63.5 10.2 63.3 9.2 68.0 8.4 76.0 7.3 84.1 7.0 91.5 7.7 100.1 9.8 100.0 10.6 95.5 10.7 91.7 9.4 93.3 8.5 93.1 8.7 94.4 8.2 90.6 7.5 91.9 5.7 Anh Tin lng Tht USD/gi nghip, % 43.7 7.0 44.1 10.5 42.2 11.3 39.0 11.8 37.2 11.7 39.0 11.2 47.8 11.2 60.2 10.3 68.3 8.6 67.7 7.2 81.7 6.9 90.5 8.8 100.0 10.1 88.7 10.5 92.3 9.7 95.9 8.7 95.6 8.2 103.3 7.0 109.8 6.3 112.2 6.1

Tin lng theo gi tnh bng USD, ch s 1992 = 100. Ngun: Bo co kinh t ca tng thng, thng 1-2001, bng B109, trang 399.

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