Ni dung mn hc

Phn KTL c bn: M hnh hi quy: c lng, kim nh v d bo Cc khuyt tt ca m hnh

KINH T LNG
CHNG TRNH C BN

Mt s dng ca m hnh hi quy nh gi: 20% kim tra trn my tnh/ Eviews + 70% thi vit 0% ki nh

Gii thiu M hnh kinh t lng c bn

M hnh hi quy: c lng Kim nh D bo Cc khuyt tt ca m hnh Mt s dng hm hi quy Nh kinh t: cung tin tng th lm pht tng (cc yu t khc khng i) Nh thng k: cung tin v lm pht c quan h tuyn tnh cht vi nhau( xu hng thay i rt ging nhau) Nh kinh t lng: khi cung tin tng 1% th lm pht tng 0.2% (khi cc yu t khc khng i) Tc ng ca vic tng cung tin ln lm pht? Tc ng ca vic tng chi tiu chnh ph ln tng trng kinh t? Tc ng ca vic tng gi ln doanh thu?, v.v

M hnh hi quy tuyn tnh

Mc ch ca phn tch hi quy: Dng s liu quan st c lng nh hng ca cc bin s (bin c lp) ln gi tr trung bnh ca mt bin s no (bin ph thuc) T cc tham s c lng c: nh gi tc ng nh hng Thc hin cc d bo a ra cc khuyn ngh v chnh sch

M hnh hi quy tuyn tnh gii thiu

M hnh hi quy tng th dng tuyn tnh

Yi = 1 + 2 X 2i + 3 X 3i + .. + k X ki + u i

E (Y | X 2 ;.., X k ) = 1 + 2 X 2 + .. + k X k
Cc thnh phn ca m hnh: Bin ph thuc Cc bin c lp H s chn H s gc, h s hi quy ring
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M hnh hi quy tuyn tnh gii thiu

ngha ca cc h s hi quy H s chn H s gc Tuy nhin cc h s ny thng khng bit => cn c lng Hm hi quy mu: gi s c mu ngu nhin n quan st

M hnh hi quy tuyn tnh gii thiu

Q: lm th no nhn c cc c lng tt Vit li hm hi quy mu:

Yi = 1 + 2 X 2i + 3 X 3i + .. + k X ki + ei
=> sai lch gia gi tr thc t v gi tr c lng l
e i = Yi Yi

Yi = 1 + 2 X 2i + 3 X 3i + .. + k X ki
c lng cho E(Y| Xj)

c lng cho cc j cha bit

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Tm SRF m c: e12 + e22 +...en2 b nht => OLS

nh l Gauss-Markov
nh l: Nu cc gi thit OLS c tha mn th: cc c lng nhn c t phng php OLS l: Tuyn tnh, khng chch* C phng sai nh nht trong lp cc UL KC

nh gi s b v hm hi quy c lng
Vy nu cc gi thit trn tha mn th p/p OLS cho ta cc UL im tt nht cho cc tham s ca tng th Ngoi ra vi gi thit v tnh chun ca u, ta bit c phn phi ca cc c lng Du ca cc h s c lng: c ph hp vi l thuyt kinh t khng? H s xc nh (h s xc nh bi): R2 , cho bit cc bin gii thch trong m hnh gii thch c bao nhiu phn trm s bin i ca bin ph thuc

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Bi ton xy dng KTC cho cc tham s

Nu gi thit 6 cng c tha mn, khi cc KTC l
KTC cho j

V d (ch3bt3)
Dependent Variable: Q Included observations: 20 Variable Coefficient Std. Error t-Statistic Prob. C 1373.24 171.41 8.01 0.00 P -113.42 32.03 -3.54 0.00 ADD 83.87 15.28 5.49 0.00 460.20 R-squared 0.74 Mean dependent var Adjusted R-sq 0.71 S.D. dependent var 155.31 S.E. of regress 83.73 Akaike info criterion 11.83 Sum squared 119189.60 Schwarz criterion 11.98 Log likelihood -115.31 F-statistic 24.18 1.94 Prob(F-statistic) 0.00 Durbin-Watson

( j t / 2 , ( n k ) se( j ); j + t / 2,( n k ) se( j ))

KTC i xng KTC bn phi KTC bn tri

(; j + t ,( n k ) se( j ))
( j t , ( n k ) se( j );+)

KTC cho 2

(n 2) 2 (n 2) 2 2 ; 2 ); = ei2 /(n k ) 2

/ 2;n k

1 / 2;n k

V d 1

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Bi ton kim nh gi thuyt v tham s

V d v cc gi thuyt mun kim nh: Cung tin khng nh hng n lm pht? Xu hng tiu dng cn bin <= 1? 2 = 0 2 <= 1

Thc hin kim nh gi thuyt

Cc bc thc hin: a ra cp gi thuyt (H0, H1), thng k v min bc b W T s liu mu tnh ra gi tr ca thng k (quan st) Nu gi tr ny thuc W th bc b H0 v chp nhn H1 Kim nh T Kim nh F: Kim nh v s ph hp ca hm hi quy Kim nh thu hp hm hi quy

Chi tiu ca chnh ph v u t t nhn c nh hng 2 = 3 nh nhau n tng trng kinh t Chi tiu cho qung co c tc ng n li nhun khng 2 >= 3 b hn chi tiu cho thu lao ng Gi phn bn v gi in u cng khng nh hng n sn lng la 2 = 3 =0 Tt c bin c lp trong m hnh cng khng nh hng n Y 2 = ..= k =0
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Kim nh T
V d: Y= 1+ 2TV+ 3IN +4P+ u ; n=100 Y: li nhun ca cng ty; TV: Qung co trn tivi; IN: Qung co trn mng, P: gi bn ca sn phm Kt qu chy hi quy: Y^ = 156+ 1.7 TV+1.4IN 0.1P; R2 = 0.95 se 2 (1.5) (0.5) (0.02)

Bng tm tt v cp gt v min bc b
Loi gi thit Hai pha Bn tri Bn phi H0 i = i* H1 i i* Bc b H0 khi | t |> t /2(n - k) t < - t (n - k) t > t (n - k)

i = () i* i < i* i = ( i*) i > i*

Mun kim nh: Qung co trn tivi gip tng li nhun? H 0 : 2 0; H1 : 2 > 0 W = (t0.05;) = (1.66; ) 2 0 1 .7 0 = = 1 .1 t qs = Khng bc b H0 1 .5 se( 2 )
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t qs =

2 * se ( 2 )

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Ghi ch
Khi kim nh: H0: j = 0; H1: j 0 th c 2 cch thc hin: Kim nh thng thng: dng t s t c gi tr P: nu P< th bc b H0 Khi khng ni r (mc ngha ca kim nh), hoc (1) ( tin cy dng khi tm KTC) th mc nh = 0.05

Kim nh F v s ph hp ca hm hi quy
V s ph hp ca hm hi quy:

Y= 1+ 2TV+ 3IN +4P+ u

Fqs =

n = 100; R2 = 0.68

H0: 2= 3= 4= 0; H1: c t nht 1 h s l khc 0

R2 /3 (1R2)/( n4)

Fqs = 68 > 3.1 Bc b H0

Nu Fqs> f (3, n-4) => bc b H0 Cng thc chung: Nu Fqs =

R2 /3 (1R2)/( n4)

>f (k-1, n-k) => bc b H0;

trong k l s bin c mt trong m hnh

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Kim nh hi quy c iu kin rng buc- kim nh F

V d: Mun kim nh: c hai hnh thc qung co u khng c tc ng n li nhun H0: 2 = 0; 3 = 0 ; H1: c t nht 1 trong 2 h s ny khc 0 W = (f(m, n-k), ) = (f0.05(2,96), ) = (3.49, ) Thc hin hi quy thu hp: Y= 1+ 2P+ v, thu c R2th
Fqs =
2 ( R 2 Rth ) / m (0.95 0.8) / 2 = = 144 (1 R 2 ) /(n k ) (1 0.95) / 96

Kim nh nh F (tip)
V d ch3bt3: Hm hi quy c ph hp khng? c P v ADD u cng khng nh hng n Q? H0 : 2 = 3 = 0; H1: c t nht 1 h s khc 0 Kim nh F: c thng k F: Fqs = 24.18 > f0.05(2, 17) => bc b H0 c gi tr P ca thng k F: Gi tr P ca thng k F = 0.00< 0.05 => bc b H0

Fqs thuc min bc b => bc b H0

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Bi ton d bo
Tr li bi ton v mc tng gi (lm pht) Gi nh sang nm 2008: GDP tng 9%, cung tin tng 20% Khi mc tng gi (trung bnh) s l bao nhiu? Mc tng gi trung bnh s dao ng trong khong no? Mc tng gi (c bit) l bao nhiu? Mc tng gi c bit s dao ng trong khong no? Bi ton v d bo gi tr trung bnh v gi tr c bit

Thc hin d bo
D bo bng c lng im D bo bng KTC gi tr trung bnh
1 (X X )2 1 (X X )2 Yi t / 2 ( + 0 2 )1 / 2 < E (Y | X = X 0 < Yi + t / 2 ( + 0 2 )1 / 2 n n xi xi

Gi tr c bit
1 (X X )2 1 ( X X )2 Yi t / 2 (1 + + 0 2 )1 / 2 < Y | X = X 0 < Yi + t / 2 (1 + + 0 2 )1 / 2 n n xi xi

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Tm tt
ngha kinh t ca h s gc:

Y i = 1 + 2 X 2 i + 3 X 3 i + .. + k X ki + u i
Khi X2 tng 1 n v => Y tng 2 n v, khi cc bin khc khng i

V cc khuyt tt c th c ca m hnh
- a cng tuyn cao

ln(Yi ) = 1 + 2 ln( X 2i ) + .. + k ln( X ki ) + u i

Khi X2 tng 1% th trung bnh ca Y tng 2 % n v ngha thng k ca h s gc: c khc 0 hay khng? ~ bin X tng ng c nh hng ln bin c lp khng
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- Phng sai ca sai s thay i - T tng quan - Dng hm sai - Tnh chun ca ssnn

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a cng tuyn
Khi nim v a cng tuyn: mi tng quan tuyn tnh gia cc bin gii thch trong m hnh CT hon ho CT khng hon ho - ch quan tm khi CT cao v d: gi du v CPI; gi tht ln v gi tht b; lao ng v vn ca doanh nghip Chng hn trong: Y= 1+ 2X2+ 3X3 + u ==> r23 cao? Y= 1+ 2X2+...+ kXk + u ==> tng quan tuyn tnh gia X2;...;Xk cao Lm sao pht hin: hi quy ph; ..v d: m Eviews
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a cng tuyn
c lng OLS khi c hin tng a cng tuyn cao Vn l ULTTKC tt nht trong lp cc UL TTKC Tuy nhin n khng tt, nh sau: Xt m hnh hi quy 3 bin, khi :

var( 2 ) =

2 2 (1 r23 ) x 2i

Phng sai ca cc UL ln => chnh xc thp KTC thng rng T s t thng nh => ? Du h s c lng c th sai .v.v
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Phng sai sai s thay i

Khi nim: var(ui) = 2i Nguyn nhn: Mi quan h gia cc bin s Con ngi hc c t hnh vi trong qu kh, v.v. UL OLS khi PSSS thay i: Vn l UL tuyn tnh, khng chch, nhng khng hiu qu UL ca cc phng sai s chch Kim nh T, F mt hiu lc

Kim nh White v PSSS thay i

H0 : PSSS trong m hnh l khng i c lng m hnh gc thu c cc phn d et chy hm hi quy (trng hp c tch cho):
2 e = 1 + 2 X 2 + 3 X 3 + 4 X 2 + 5 X 32 + 6 X 2 X 3 + u 2

=> R2(1)

Nu:
2 nR 2 (1) > (k 1)

F=

( R 2 (1)) /(k 1) (1 R 2 (1)) /(n k )

k: s bin trong m.h 1

PSSS thay i

Tng t vi trng hp khng c tch cho

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V d (m eviews)

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Khc phc PSSS thay i

nh dng ca phng sai thay Dng th d on dng ca phng sai Thc hin cc kim nh kim nh d on Cch khc phc: phng php bnh phng b nht tng qut (GLS): Bin i bin s m hnh mi c PPSS khng i c lng bng OLS m hnh mi ny, t suy ngc li h s cho m hnh gc V d: Y= 1+ 2TV+ 3IN +4P+ u nu PSSS c dng: var(ui) = aTV2, khi
Y/TV= 1/TV+ 2+ 3IN/TV +4P/TV+ u/TV

T tng quan
Khi nim: cov(ui; uj) >< 0 vi i><j Cc dng ca t tng quan: ut = ut-1 + vt ==> t tng quan bc nht; AR(1) ut = 1ut-1 +..+ put-p+ vt => AR(p) v(t) l sai s ngu nhin, tha mn cc gi thit ca OLS. Hu qu khi c t tng quan: Vn l UL khng chch

Phng sai c lng ca thng b chch

Cc kim nh T, F khng ng tin cy c lng 2 cng l c lng chch =>

Khi var(ui/TVi) = var(ui)/ TVi2

= a = khng i

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Pht hin t tng quan

Kim nh Durbin Watson, dng trong trng hp: AR (1) Khng c gi tr tr ca bin ph thuc l bin gii thch Khng mt quan st
Khng chng c kt lun

Pht hin t tng quan

Khi c gi tr tr ca bin ph thuc l bin gii thch: Durbin h kim nh B-G et = a1 + a2 Xt + 1et-1+..+ p et-p +vt => R2(1) et = a1 + a2 Xt + vvt Nu:
2 nR 2 (1) > ( p)

=> R2(2) hoc

F= ( R 2 (1) R 2 (2)) / p (1 R 2 (1)) /( n k *)

TTQ dng 0 dL

Khng c TTQ

TTQ m M hnh gc c TTQ bc p v d Eviews

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dU

4-dU

4-dL

4
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T tng quan- khc phc

Bin php khc phc: gi s TTQ c dng AR(1): ut = ut-1 +vt c lng h s t tng quan ri sau dng GLS da trn h s c lng ny, nh sau: t Y* = Y Y(-1); X* = X X(-1) Thc hin OLS hm hi quy theo bin mi: Y* = 1+ 2X* + v

nh dng m hnh
Tha bin: => c lng OLS l khng chch, vng nhng khng hiu qu Kim nh tha bin Kim nh tha 1 bin: kim nh T Kim nh tha >= 2 bin: Kim nh F Thiu bin: => c lng OLS chch v khng vng Dng hm sai & thiu bin: Kim nh RESET Hi quy m hnh gc: Y = 1+ 2X+u , thu c c lng ca Yt v R2(1) Thc hin hi quy:

Yt = 1 + 2 X t + 3Yt 2 + .. + Yt m + ut
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Thu c R2(2)
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nh dng m hnh (Tip)

Nu Fqs = [(R2(2) R2(1)/(m-1)]/[ (1-R2(2))/(n-k(2)) ]> f (m, n-k(2)) Bc b H0, trong H0: hm nh dng ng Kim nh nhn t Lagrange (LM) Hi quy hm hi quy gc, thu c c lng ca Yt v R2(1) Thc hin hi quy:
et = 1 + 2 X t + 3Yt 2 + .. + Yt m + u t

Tm tt
Mc ch ca phn tch hi quy Phng php s dng UL m hnh hi quy tuyn tnh c in: OLS Cc kt qu c lng dng : Suy din v cc h s trong tng th T c cc ng dng thc t v chnh sch cc UL thu c c cc tnh cht tt, m hnh cn tha mn mt s gi thit c bn xt v 4 gi thit c bn M hnh vi bin gii thch l bin gi: xem gio trnh Tnh chun ca ssnn: xem gio trnh

Thu c R2(3). Nu nh dng sai

2 nR 2 > (m 1) => m hnh

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Nhng ni dung chnh cn nh

Hiu ngha kinh t/ ngha thng k ca cc h s c lng trong m hnh Hiu mt s thng k quan trng ca m hnh Nm c 4 loi khuyt tt c th c ca m hnh v hu qu Nm c cc phng php pht hin chnh/ cng thc ca cc thng k dng kim nh Hiu c cch khc phc ca tng loi khuyt tt

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