MPP04 521 R1702V

Chng trnh ging dy kinh t Fulbright
Nin kha 2011-2013

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Ch 8: Php phn tch hi quy a bin:
Vn suy lun

Damodar N. Gujarati Bin dch: Bng Tm
1 Hiu nh: Cao Ho Thi
C CH H N NG G 8 8

P PH H P P P PH H N N T T C CH H H H I I Q QU UY Y A A B BI I N N: :
V V N N S SU UY Y L LU U N N

Chng ny l phn tip theo ca Chng 5, m rng cc tng v c lng khong v cc
kim nh gi thit c pht trin n cc m hnh gm ba bin hoc nhiu hn. Mc d theo
nhiu cch kim nh, cc khi nim pht trin Chng 5 c th c p dng mt cch
khng kh khn vo cc m hnh hi quy a bin, nhng cng c mt vi tnh cht b sung c
bit dng cho cc m hnh ny, v chnh cc tnh cht ny s c ch nhiu chng ny.

8.1. NHC LI GI THIT QUY LUT CHUN
Cho ti nay, ta bit: nu mc tiu ca chng ta ch l vic c lng im ca cc thng s
ca cc m hnh hi quy th phng php bnh phng ti thiu thng thng (OLS) trong
khng t ra bt k gi thit no v phn phi xc sut ca nhiu u
i
l . Nhng mc tiu ca
chng ta y l c lng v cng l suy lun na, th theo nh cch lp lun Chng 4 v 5,
chng ta cn t gi thit rng u
i
tun theo mt s phn phi xc sut no .

i vi l do r , ta gi thit rng u
i
tun theo phn phi chun vi trung bnh zero
v phng sai o
2
l hng s. Ta tip tc a ra gi thit ny cho cc m hnh hi quy a bin.
Vi gi thit qui lut chun v theo ng nhng g tho lun Chng 4 v 7, ta tm ra rng
cc hm c lng bnh phng ti thiu ca cc h s hi quy ring phn l ng nht vi cc
hm c lng thch hp ti a (ML), l cc hm c lng khng thin lch tuyn tnh tt nht
(BLUE)
1
. Hn na, cc hm c lng
2
| ,
3
| v
1
| chnh chng tun theo phn phi chun vi

cc trung bnh bng b
2
,b
3
v b
1
v cc phng sai cho trong Chng 7. Tip theo,
2 2
/ ) 3 ( o o n tun theo phn phi _
2
vi n-3 bc t do (df), v c ba hm c lng bnh
phng ti thiu thng thng OLS tun theo mt cch c lp phn phi ca
2
o . Cc dn
chng cho trng hp hai bin tho lun ph lc 3. Theo kt qu v tip theo Chng 5,
ngi ta c th ch ra rng theo s thay th o
2
bng hm c lng khng thin lch ca n
2
o
trong php tnh cc sai s chun, th mi bin

)
1
1 1
|
| |
se
t

= (8.1.1)

)
2
2 2
|
| |
se
t

= (8.1.2)

1
Vi gi thit qui lut chun, cc hm c lng OLS
2
| ,
3
|
v
1
| l cc hm c lng phng sai cc tiu

trong ton b nhm cc hm c lng khng thin lch, d chng c tuyn tnh hay khng. Ngn gn hn, chng
l BUE (hm c lng khng thin lch tt nht). Xem C.R.Rae, Linear Statistical Inference and its Applications,
(Suy din thng k tuyn tnh v cc ng dng ca n), John Wiley & Sons, NewYork, 1965, trang 258.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
2

)
3
3 3
|
| |
se
t

= (8.1.3)
tun theo phn phi t vi n-3 bc t do.
Lu : y t do df l n-3 v trong khi tnh
i
u v sau c
2
o vic u tin l cn c lng
3 h s hi quy ring phn, v vy chng s t ba gii hn ln tng cc bnh phng ca phn d (RSS) (
theo trnh t suy lun ny , trong trng hp 4 bin s c n-4 df v.v... ). Do , phn phi t c th c s
dng thit lp cc khong tin cy v kim nh cc gi thit thng k v cc h s hi quy ring phn
ca tng th ng. Tng t phn phi _
2
c th c s dng kim nh gi thit v o
2
ng. biu
din cc c ch ny, ta s dng v d minh ha sau.

8.2. V D 8.1: TNG QUAN GIA TIU DNG C NHN V THU NHP KH
DNG C NHN M, 1956-1970
Gi s ta mun nghin cu ng biu din ca vic chi tiu tiu dng c nhn M cho nhiu nm
trc y. Cho mc ch ny, ta s dng m hnh n gin sau y:

i i
X X X X Y E
3 3 2 2 1 3 2
) , ( | | | + + = (8.2.1)
trong :
Y = chi tiu tiu dng c nhn (PCE)
X
2
= thu nhp kh dng (sau thu) c nhn (PDI)
X
3
= thi gian tnh bng nm
Phng trnh (8.2.1) nh ra rng PCE quan h tuyn tnh vi PDI v thi gian hay l bin xu hng.
Trong hu ht cc php phn tch hi quy a bin lin quan n d liu chui thi gian, thc t chng
t nn gii thiu bin thi gian hay l bin xu hng cng vi mt vi cc bin gii thch khc v cc
l do sau:
1. S quan tm ca chng ta c th n gin ch l tm xem bin ph thuc biu hin nh th no
theo thi gian. V d, cc biu thng c v cho thy biu hin ca nhiu i lng v d
nh GNP, tuyn dng , tht nghip, gi c phiu, ... theo giai on thi gian no . Vic xem xt
cc biu ny cho ta thy s chuyn dch chung ca chui thi gian l ln (xu hng ln),
xung (xu hng xung), hay l khng c xu hng (ngha l khng c dng r rng). Trong cc
php phn tch ny, chng ta c th khng tm hiu v nguyn nhn ng sau xu hng ln hay
xung ; mc tiu ca chng ta ch n gin l m t d liu theo thi gian.
2. Nhiu khi, bin xu hng l s thay th cho bin c bn nh hng n Y. Nhng bin c bn
ny c th khng quan st c, hoc nu c quan st c th d liu v n hoc l khng c
sn, hoc l kh m thu c . V d, trong l thuyt sn xut, cng ngh chnh l bin nh vy.
Ta c th cm thy tc ng ca cng ngh nhng ta khng bit lm sao o c n. Do ,
cho thun li, ta c th gi s rng cng ngh l hm no y ca thi gian c o theo chiu
thi gian . Trong vi trng hp, c th tin rng bin nh hng n Y o lng c tng quan
theo thi gian gn n mc ta gii thiu bin thi gian cn d hn l gii thiu bin c bn. V
d, trong (8.2.1), thi gian X
3
c th i din rt tt cho dn s. PCE tng hp tng khi dn s
tng, v dn s c th c tng quan (tuyn tnh) no vi thi gian.
3. Mt nguyn nhn khc ca vic a bin xu hng l trnh vn tng quan gi. D liu
bao gm cc chui thi gian kinh t, nh l chi tiu tiu dng c nhn (PCE), thu nhp sau thu
kh dng c nhn (PDI) trong hi quy (8.2.1), thng dch chuyn theo mt hng, phn nh xu
hng ln hay xung. Do , nu ngi ta cn hi quy PCE hay l PDI v thu c gi tr R
2

cao, gi tr cao ny c th khng phn nh lin kt thc gia PCE v PDI; n c th n gin ch
phn nh xu hng chung , i din cho chng. trnh cc lin kt gi nh th gia cc chui
thi gian kinh t, ngi ta c th x l bng mt trong hai cch sau: Gi s rng cc chui thi
gian biu hin xu hng tuyn tnh, ngi ta c th a vo bin thi gian hay bin xu hng mt

Cc phng php nh lng
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Kinh t lng c s - 3
rd
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Vn suy lun

Hiu nh: Cao Ho Thi
3
cch r rng vo m hnh, nh trong phng trnh (8.2.1)
2
. Kt qu l b
2
trong (8.2.1) by gi
phn nh lin kt thc gia PCE v PDI, ngha l lin kt thun ty ca nh hng thi gian
(tuyn tnh) (Hy nhc li nh ngha v h s hi quy ring phn).
Bng cch khc, ngi ta c th bc b thnh phn xu hng Y (PCE) v X
2
(PDI) v tin
hnh hi quy trn Y v X
2
loi b thnh phn xu hng. Gi thit mt ln na v xu hng
tuyn tnh thi gian, vic loi b thnh phn xu hng c th b nh hng bi qu trnh ba bc
tho lun trong Chng 7. u tin ta hi quy Y trn X
3
(thi gian) v thu c cc phn d t
hi quy ny, cho l
t
u
1
. Hai l, hi quy X
2
trn X
3
v thu c cc phn d t hi quy ny, cho l
t
u
2
. Cui cng, hi quy
t
u
1
trn
t
u
2
, c hai i lng ny u khng chu nh hng (tuyn tnh)
ca thi gian. H s dc trong hi quy ny s phn nh lin kt thc gia Y v X
2,
v do n
bng b
2
(xem bi tp 8.7). Xt v phng din tnh ton, phng php trc tit kim hn phng
php sau.
4. Lu cnh gic: Qu trnh loi b xu hng cc chui thi gian va m t tuy l thng thng
trong ng dng, hin ang b soi xt ph phn bi cc nh l thuyt phn tch chui thi gian
3
.
Nh ta s tho lun trong cc chng v phn tch chui thi gian, qu trnh loi b xu hng
va m t (3) c th thch hp nu chui thi gian biu hin xu hng tt nh v khng phi
l mt xu hng ngu nhin (hay l bin ngu nhin).

Trong cc chng ta s ch ra cc
phng php c s dng xc nh xem mt chui thi gian c th biu th xu hng ngu
nhin hay tt nh.
Nh mt kim nh m hnh (8.2.1), ta ly d liu trong Bng 8.1. ng hi quy c lng
s nh sau:

i
Y
= 53.1603 + 0.7266X
2i
+ 2.7363X
3i

(13.0261) (0.0487) (0.8486)
t = (4.0811) (14.9060) (3.2246) (8.2.2)
Gi tr p = (0.0008) (0.0000)
*
(0.0036)
df = 12
9986 . 0
9988 . 0
2
2
=
=
R
R
F
2,12
= 5128.88
* Biu din gi tr rt nh

BNG 8.1
Chi tiu tiu dng c nhn (PCE) v thu
nhp kh dng c nhn sau thu (PDI)
Hoa K, nm 1956-1970, tnh bng t la
nm 1958
PCE, Y PDI, X
2
Thi gian, X
3
281.4 309.3 1956 = 1
288.1 316.1 1957 = 2
290.0 318.8 1958 = 3
307.3 333.0 1959 = 4
316.1 340.3 1960 = 5

2
Qu trnh ny rt tng qut . Nu chui thi gian biu th xu hng bnh phng, ta a
2
3
X vo (8.2.1) trong
X
3
l thi gian.
3
Nh lu Chng 1, phn tch thc nghim da trn d liu chui thi gian ng cho rng cc chui thi
gian c s c tnh dng. S loi b thnh phn xu hng l mt trong cc qu trnh c s dng lm cho chui
thi gian tr thnh chui dng. Nh ta s ch ra Chng 21, qu trnh loi b xu hng m t trc y c th
c gii thiu nu chui thi gian c s c xu hng tt nh.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
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Vn suy lun

Hiu nh: Cao Ho Thi
4
322.5 350.5 1961 = 6
338.4 367.2 1962 = 7
353.3 381.2 1963 = 8
373.7 408.1 1964 = 9
397.7 434.8 1965 = 10
418.1 458.9 1966 = 11
430.1 477.5 1967 = 12
452.7 499.0 1968 = 13
469.1 513.5 1969 = 14
476.9 533.2 1970 = 15
Ngun: Survey of Current Business,(Nghin cu v
kinh doanh hin hnh). Phng thng mi Hoa K,
cc vn khc nhau

trong , tip theo vi khun kh ca phng trnh (5.11.1), cc s trong nhm u tin ca cc
ngoc n l cc sai s chun c lng, cc s trong nhm th hai l gi tr t theo gi thit khng
cho rng h s tng quan ca tng th lin quan c gi tr bng 0, v cc s trong nhm th ba l
cc gi tr c lng p.
Cch gii thch phng trnh (8.2.2) nh sau: nu X
2
v X
3
u c c nh 0, gi tr trung
bnh ca mc chi tiu tiu dng c nhn (c th phn nh nh hng ca tt c cc bin b b qua)
c c lng gn ng bng 53.16 t la nm 1958. Nh lu trc y, trong hu ht cc
trng hp, s hng tung gc khng c ngha kinh t. H s hi quy ring phn 0.7266 ngha l
khi gi cho tt c cc bin khc khng i (X
3
trong trng hp ny), v thu nhp kh dng c nhn
tng, cho l 1$, mc chi tiu tiu dng c nhn trung bnh s tng, vo khong 73 xu. Cng nh vy,
nu X
2
c gi khng i, mc chi tiu tiu dng c nhn trung bnh c c lng tng mc 2.7
t la mi nm. Gi tr R
2
bng 0.9988 ni ln rng hai bin gii thch c th gii thch c khong
99.9% bin thin trong chi tiu tiu dng c nhn M vo giai on 1956-1970. Gi tr R
2
c
hiu chnh cho thy rng sau khi ch n bc t do df, X
2
v X
3
vn gii thch c khong 99.8
phn trm ca bin thin ca Y.

8.3. KIM NH GI THIT TRONG HI QUY A BIN: NHN XT TNG
QUT
Khi ra khi th gii n gin ca m hnh hi quy tuyn tnh hai bin, kim nh gi thit gi
nh mt vi dng th v, nh l cc dng sau y:
1. Kim nh cc gi thit v h s hi quy ring phn ring bit (Phn 8.4)
2. Kim nh ngha ton din ca m hnh hi quy a bin c lng, ngha l tm ra xem c
phi tt c cc h s d dc ring phn ng thi bng 0 hay khng. (Phn 8.5)
3. Kim nh hai hay nhiu hn cc h s bng vi mt h s khc (Phn 8.6)
4. Kim nh cc h s hi quy ring phn c tha mn cc gii hn nht nh khng (Phn
8.7).
5. Kim nh tnh n nh ca m hnh hi quy c lng theo thi gian hay l trong cc n v
cho (cross-sectional units) khc nhau. (Phn 8.8)
6. Kim nh dng hm s ca cc m hnh hi quy (Phn 8.9)
V vic kim nh mt hay nhiu dng ny rt thng xy ra trong phn tch thc nghim nh
vy, ta s dnh ring mt phn cho mi dng.


Cc phng php nh lng
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Kinh t lng c s - 3
rd
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Vn suy lun

Hiu nh: Cao Ho Thi
5
8.4. KIM NH GI THIT V CC H S HI QUY RING PHN RING BIT
Nu ta dn chng gi thit cho rng u
i
~ N(0,o
2
), v sau , nh lu phn 8.1, ta c th s
dng kim nh t kim nh gi thit v h s hi quy ring phn ring bit bt k. minh
ha c ch ny, xt v d bng s . Ta hy t rng:
H
0
:b
2
= 0 v H
1
:b
2
= 0
Gi thit khng khng nh: Khi gi cho X
3
khng i, thu nhp kh dng c nhn sau
thu khng c nh hng (tuyn tnh) ln mc chi tiu tiu dng c nhn
4
. kim nh gi
thit khng, ta s dng kim nh t cho trong (8.1.2). Theo Chng 5, nu gi tr t tnh c
vt qu gi tr ti hn t ti mc ngha chn, ta c th bc b gi thit, ngc li, ta khng
th bc b n. i vi v d ca ta, s dng (8.12.2) v lu rng b
2
= 0 theo gi thit khng, ta
c:

9060 . 14
0487 . 0
7266 . 0
= = t (8.4.1)

Nu ta cho a = 0.05, t
o/2
= 2.179 i 12 bc t do [lu : Chng ta ang s dng kim
nh t hai pha.(V sao?)]. Do gi tr t tnh c bng 14.9060 vt xa gi tr t ti hn l 2.179, ta
c th bc b gi thit khng v ni rng
2
| c ngha thng k, ngha l khc 0. Thc ra nh

(8.2.2) ch r, gi tr xc sut p ca tr thng k t c gi tr hoc bng hoc ln hn 14.9060 l
qu nh. Bng th ta thy r bi cnh ny trong hnh 8.1
Trong Chng 5, ta thy s gn b cht ch gia kim nh gi thit v cch c
lng khong tin cy. i vi v d ca ta, khong tin cy 95% i vi b
2
l:
)
2 2 / 2 2 2 2 / 2
| | | | |
o o
se se t t + s s
trong trng hp ca ta n tr thnh:
0.7266 2.179 (0.0487) s b
2
s 0.7266 + 2.179(0.0487)
ngha l
0.6205 s b s 0.8327 (8.4.2)
ngha l b
2
nm gia 0.6205 v 0.8327 vi h s tin cy 95 phn trm. Do , nu 100
mu c c mu l 15 c chn v 100 khong tin cy ging nh )
2 2 / 2
| |
o
se t c xy
dng, ta k vng 95 trong chng cha ng thng s tng th thc b
2
. Do gi tr c gi thit
bng 0 khng c trong khong (8.4.2), ta c th bc b gi thit khng cho rng b
2
= 0 vi h s
tin cy 95%. Do khi s dng kim nh t v tnh ngha nh trong (8.4.1) hay l php c
lng khong tin cy nh trong (8.4.2), ta cng t c kt lun . Nhng iu ny cng
khng c g l trong cch nhn v mi kt ni gn gi gia c lng khong tin cy v php
kim nh gi thit.
Theo qu trnh va m t, ta c th kim nh cc gi thit v cc thng s khc ca m hnh
(8.2.1) t cc thng tin c trnh by trong phng trnh (8.2.2). Nu nh, v d, ta cho rng o

4
Trong hu ht cc iu tra thc nghim, gi thit khng c khng nh di dng ny, ngha l ly v tr cc tr
sao cho khng c lin quan no gia bin ph thuc v bin gii thch xem. tng y l tm xem lin quan
gia hai bin ny c phi l khng ng k hay khng bt u.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
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Vn suy lun

Hiu nh: Cao Ho Thi
6
= 0.05 v gi thit rng mi h s hi quy ring phn c gi tr mt cch ring bit bng 0, th,
r rng [t (8.2.2)] mi h s hi quy ring phn c lng l c ngha thng k, ngha l khc
bit vi 0 v ngha v gi tr t tnh c trong mi trng hp u vt qu gi tr t ti hn; ta
c th bc b mt cch ring bit gi thit khng (ring bit ).
Nhn y xin lu rng cc gi tr p ca cc h s hi quy khc nhau trong (8.2.2) l cc
thp, iu gi rng mi h s hi quy ring phn c ngha thng k ti mc ngha thp
hn nhiu so vi mc 1 hay 5 phn trm quy c.

HNH 8.1 Khong tin cy 95 % cho t (12 bc t do)

8.5. VIC KIM NH NGHA TON DIN CA HI QUY MU
Trong sut phn trc, ta cp n vic kim nh ngha cc h s hi quy ring phn c
lng mt cch ring bit, ngha l theo gi thit ring rng mi h s hi quy ring phn tng
th thc bng 0. Nhng by gi ta xt gi thit sau:
H
0 :
b
2
= b
3
= 0 (8.5.1)
Gi thit khng ny l gi thit lin kt v b
2
v b
3
cng hay l ng thi bng 0. Mt
kim nh gi thit nh th ny gi l s kim nh ngha ton din ca ng hi quy c
lng c hay quan st c, ngha l xem Y c tng quan tuyn tnh vi c X
2
v X
3
hay
khng .
Gi thit lin kt trong (8.5.1) c th c kim nh bng cch kim nh ring bit
ngha ca b
2
v
3
| nh trong phn 8.4 khng? Cu tr li l khng vi cc l do sau:

Trong cch kim nh ngha ring bit ca h s hi quy ring phn c quan st
trong Phn 8.4, ta gi thit mt cch ng rng mi php kim nh ngha da trn mt
mu khc nhau ( ngha l mu c lp ). V vy, trong cch kim nh ngha ca
2
| theo gi
thit b
2
= 0, n c gi thit ngm rng, php kim nh da trn mu khc vi mu s
dng kim nh ngha ca
3
| theo gi thit khng rng b

3
= 0. Nhng kim nh gi thit
lin kt ca (8.5.1), nu ta vn s dng d liu mu (Bng 8.1), ta s ph v gi thit nn tng
ca quy trnh kim nh
5
. S vic c th c sp t khc i: Trong (8.4.2) ta thit lp
khong tin cy 95% cho b
2
. Nhng nu ta s dng d liu mu nh th thit lp khong tin

5
Trong mt mu cho bt k,
)
cov(
3 2
| |
c th khng bng 0, ngha l
2
| v
3
|
c th c tng quan. Xem
(7.4.17).

Cc phng php nh lng
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Kinh t lng c s - 3
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Vn suy lun

Hiu nh: Cao Ho Thi
7
cy cho b
3
, cho l, vi h s tin cy 95%, ta khng th khng nh rng c b
2
v b
3
nm trong cc
khong tin cy tng ng ca chng vi xc sut (1-o)(1-o) = (0.95)(0.95).
Ni cch khc mc d cc pht biu :

o | | | | |
o o
= + s s 1 )]
Pr[
2 2 / 2 2 2 2 / 2
se t se t
o | | | | |
o o
= + s s 1 )]
Pr[
3 2 / 3 3 3 2 / 3
se t se t

l ng mt cch ring bit, iu s khng ng nu cho rng xc sut b
2
v b
3
cng nm
trong cc khong )]
),
[
3 2 / 3 2 2 / 2
| | | |
o o
se t se t l ( 1-o )
2
, bi v cc khong c th khng
phi l c lp khi m vn s dng cng d liu tm ra cc khong y. Pht biu vn
ny mt cch khc l:
... kim nh mt chui cc gi thit n l (ring bit ) khng tng ng vi kim nh lin
kt ca chnh cc gi thit y. L do trc gic ca iu ny l: trong kim nh lin kt nhiu gi
thit, bt k gi thit n l no cng b nh hng bi thng tin trong cc gi thit khc
6
.
Kt lun ca lun im trn l i vi mt v d (mu) cho trc, ch thu c mt
khong tin cy hay l ch mt kim nh ngha m thi. Th th, ta kim nh gi thit khng
cho rng b
2
= b
3
= 0 nh th no? Cu tr li s l nh sau:
Phng php Phn tch Phng sai i vi
Kim nh ngha Ton din ca
Hi quy a bin Quan st :
Kim nh F.
Vi cc l do va gii thch trn y, ta khng th s dng php kim nh t thng thng
kim nh gi thit lin kt cho rng cc h s dc ring phn s ng thi bng 0. Tuy nhin,
gi thit lin kt ny s c th c kim nh bi php phn tch phng sai (ANOVA), k
thut c gii thiu ln u Phn 5.9, v c th c biu din nh sau:
Nhc li ng nht thc:

RSS ESS TSS + =
+ + =

2
3 2 2
2

i i i i i i
u x y x y y | |
(8.5.2)

TSS, nh thng l, c n-1 bc t do (df), RSS c n -3 bc t do, l do v sao th ta bit. ESS
c 2 bc t do v n l hm ca
2
| v
3
| . Do , theo quy trnh phn tch phng sai

(ANOVA) tho lun phn 5.9, ta c th lp Bng.8.2.
By gi n c th c ch r
7
rng theo gi thit v phn phi chun cho i lng u
i
v
gi thit khng b
2
= b
3
= 0, bin

6
Thomas B.Fomby, R.Carter Hill, and Stanley R., Johnson, Advanced Econometric Methods, (Cc phng php
kinh t lng cao cp), Springer Verlag, New York, 1984, trang 37.
7
Xem K.A. Brownlee, Statistical Theory and Methodology in Science and Engineering, John Wiley & Sons, New
York, 1960, trang 278-280.

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8

RSS/df
ESS/df
=
+
=

) 3 /(
2 / )

(
2
3 3 2 2
n u
x y x y
F
i
i i i i
| |
(8.5.3)

c phn phi nh l phn phi F vi 2 v n-3 bc t do.

BNG 8.2
Bng ANOVA cho hi quy ba bin
Ngun ca bin i SS df MSS
Do hi quy (ESS)

+
i i
i
i
x y x y
3 3
2
2

| |
2
2

3 3
2
2
+
i i
i
i
x y x y | |

Do phn d
i
u
n 3
3
2
2
n
u
i
o
Tng cng
2
i
y
n - 1

ng dng no c th c lp ra t t s F trn? N c th c chng minh
8
rng theo
gi thit u
i
~ N( 0,o
2
),

2 2
2
) (
3
o o = =
E
n
u
E
i
(8.5.4)
Vi gi thit b sung b
2
= b
3
= 0, n c th c ch rng:

2 3 3 2 2
2
)

(
o
| |
=
+
i i i i
x y x y E
(8.5.5)
V vy, nu gi thit khng l ng, c hai biu thc (8.5.4) v (8.5.5) cho cc c lng ng
nht ca o
2
thc. Khng nh ny c th khng c g mi m v nu c lin quan khng ng k
gia Y v X
2
v X
3
, ngun bin thin duy nht trong Y l do nh hng ngu nhin vi u
i
l i
din. Tuy nhin nu gi thit khng l sai , ngha l X
2
v X
3
nh hng mt cch r rng n Y,
du bng gia biu thc (8.5.4) v (8.5.5) s khng thc hin c . Trong trng hp ny, ESS
s tng i ln hn RSS, do c k n cc bc t do tng ng ca chng. V vy, gi tr F ca
(8.5.3) cho ta kim nh v gi thit khng rng cc h s dc thc ng thi bng 0. Nu gi
tr F c tnh t (8.5.3) vt qu gi tr ti hn ca F trong Bng F ti mc ngha a phn
trm, ta bc b H
0
; ngc li ta khng th bc b n . Ni cch khc, nu gi tr p ca F quan st
l nh, ta c th bc b H
0
.
Tr li v d ca ta , ta c Bng 8.3, s dng (8.5.3) ta thu c:

8781 . 5128
4308 . 6
5502 . 32982
= = F (8.5.6)

8
Nh sch trn.

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9

BNG 8.3
Bng ANOVA cho v d minh ha
Do hi quy 65,965.1003 2 32,982.5502
Do phn d 77.1690 12 6.4308
Tng cng 66,042.2693 14

Nu ta s dng mc ngha 5%, gi tr ti hn ca F i vi 2 v 12 bc t do F
0.05
(2,12), s
bng 3.89. R rng gi tr F xc nh c l c ngha, v do ta c th bc b gi thit
khng. (Nu gi thit khng l ng, xc sut c gi tr F vo khong 5129 s nh hn 5 trong
100.) Nu mc ngha c gi thit l 1 phn trm F
0.01
(2,12) = 6.93. F tnh c vn vt gi
tr ti hn bi mt khong ln. Ta vn bc b c gi thit khng; nu gi thit khng m
ng, c hi tnh c gi tr F l 5129 s nh hn 1 trong 100
9
. Hay l gi tr p ca F quan
st c s cc nh.
Ta c th khi qut quy trnh trn v kim nh F nh sau.

Kim nh Ngha Ton Din ca Hi Quy a Bin: Kim nh -F

Qui tc quyt nh. Cho trc m hnh hi quy k bin :

i ki k i i i
u X X X Y + + + + + = | | | | ....
3 3 2 2 1

kim nh gi thit
H
0
:b
2
= b
3
=... = b
k
= 0
(ngha l: tt c cc h s dc ng thi bng 0) i li
H
1
: khng phi tt c cc h s dc ng thi bng 0,
hy tnh

) /(
) 1 /(
/
/
k n RSS
k ESS
df RSS
df ESS
F
= = (8.5.7)

Nu F > F
o
( k-1, n-k ), bc b H
0
; ngc li ta khng th bc b H
0
, trong
F
o
( k-1, n-k ) l gi tr ti hn ca F ti mc ngha o v (k-1) ca bc t do t s v
(n-k) bc t do mu s. Mt cch khc, nu gi tr p thu c t cch tnh F trong (8.5.7)
l nh, ngi ta c th bc b H
0
.
Cn thit nhc li rng trong trng hp 3 bin (Y v X
2
, X
3
) , k l 3, trong trng hp 4
bin, k l 4, v.v...

9
Theo quy c, trong trng hp ny, ta ni rng gi tr F tnh c c ngha cao bi v xc sut gy ra sai lm
loi 1 (nghi l mc ngha) rt thp: 1 trong 100.

Cc phng php nh lng
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10
Nhn y lu hu ht cc phn mm hi quy u quen tnh gi tr F ( cho trong
bng phn tch phng sai) cng vi cc kt qu hi quy thng thng, nh l cc h s c
lng, cc sai s chun ca chng, cc gi tr t ... Gi thit khng i vi vic tnh ton t thng
xuyn c coi l b
i
=0.

Kim nh Ring so vi Kim nh lin kt cc Gi thit . Trong phn 8.4 ta tho lun cch
kim nh ngha ca h s hi quy n v trong Phn 8.5 ta tho lun php kim nh lin
kt hay kim nh ngha ton din ca hi quy c lng (ngha l tt c cc h s dc u
ng thi bng 0). Chng ti lp li rng cc kim nh ny khc bit nhau. Do , trn c
s kim nh t hay l khong tin cy (ca Phn 8.4) c th chp nhn gi thit cho rng h s
dc c th b
k
bng 0, khi m bc b gi thit lin kt rng tt c cc h s dc bng 0.

Bi hc cn hiu r l thng ip lin kt v cc khong tin cy ring bit khng thay th c vng tin
cy lin kt [c ng bi kim nh F] trong vic hnh thnh cc kim nh gi thit lin kt v to ra
cc pht biu tin cy lin kt
10

Mt mi lin h quan trng gia R
2
v F
C mi lin quan gn gi gia h s xc nh R
2
v kim nh F c s dng trong php
phn tch phng sai. Gi thit phn phi chun i vi nhiu u
i
v gi thit khng cho rng b
2

= b
3
= 0, ta thy:

) 3 /(
2 /
=
n RSS
ESS
F (8.5.8)

c phn phi nh l phn phi F vi 2 v n-3 bc t do.
Khi qut hn, trong trng hp k bin (bao gm c tung gc) nu ta tha nhn cc
nhiu phn phi chun v gi thit khng l
H
0
: b
2
= b
3
= ... = b
k
= 0 (8.5.9)
th

) /(
) 1 /(
k n RSS
k ESS
F
= (8.5.10)

tun theo phn phi F vi k-1 v n-k bc t do. (Lu : s lng tng cng cc thng s cn
c lng l k, trong c mt thng s l s hng tung gc).
Ta hy bin i (8.5.10) nh sau:

10
Fomby et al., op., cit., trang 42

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11

) /( ) 1 (
) 1 /(
1 1
) / ( 1
/
1
1
1
2
2
2
2
k n R
k R
R
R
k
k n
TSS ESS
TSS ESS
k
k n
ESS TSS
ESS
k
k n
RSS
ESS
k
k n
F

=

=

trong s dng nh ngha R
2
= ESS/TSS. Phng trnh (8.5.11) cho thy F v R
2
lin quan
nh th no i vi nhau. Hai i lng ny bin i trc tip. Khi R
2
= 0 , F bng 0. R
2
cng ln
th gi tr F cng ln. Trong gii hn, khi R
2
= 1, F l v hn. V vy kim nh F l thc o
ngha ton din ca hi quy c lng, cng l kim nh ngha ca R
2
. Ni cch khc, vic
kim nh gi thit khng (8.5.9) l tng ng vi vic kim nh gi thit khng cho rng R
2

(tng th) bng 0.
Vi trng hp ba bin , (8.5.11) tr thnh

) 3 /( ) 1 (
2 /
2
2

=
n R
R
F (8.5.12)

Do tc dng ca mi lin kt gn gia F v R
2
, Bng ANOVA 8.2 c th c vit li nh Bng
8.4.
i vi v d minh ha ca chng ta, bn c cn kim chng rng F trong (8.5.12) l
4994, gn bng vi gi tr F trong (8.5.6), khc bit nh kia l do cc sai s lm trn. Nh trc
y, gi tr F c nghi rt cao v ta c th bc b gi thit khng cho rng Y khng c quan h
tuyn tnh vi X
2
v X
3
.
Mt li th ca kim nh F c biu din qua i lng R
2
l n rt d tnh ton: tt c
nhng g m ngi ta cn bit l gi tr R
2
. Do , kim nh ngha ton din ca F cho
trong (8.5.7) c th c vit li qua s hng R
2
nh ch trong Bng 8.4.

BNG 8.4
Bng ANOVA qua s hng R
2

*
Do hi quy
) (
2 2
i
y R
2
2 / ) (
2 2
i
y R
Do s d
) )( 1 (
2 2
i
y R
2
i
y
n 3
) 3 /( ) )( 1 (
2 2

n y R
i

Tng cng n - 1

*Lu rng khi tnh gi tr F, ta khng cn phi nhn R
2
v (1-R
2
) vi
2
i
y
bi v n trit tiu, nh
c ch ra trong (8.5.12)

(8.5.11)

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12
Kim nh ngha Ton din ca Hi quy a bin qua cc S hng R
2

Quy tc quyt nh. Kim nh ngha ton din ca hi quy qua cc s hng R
2
: l kim nh
thay th nhng tng ng vi kim nh trong (8.5.7)
Cho trc m hnh hi quy k bin:
Y
i
= b
1
+b
2
X
2i
+b
3
X
3i
+ ... +b
k
X
ki
+u
i
kim nh gi thit
H
0
: b
2
= b
3
= ... = b
k
= 0
i li vi
H
1
: khng phi tt c cc h s dc l ng thi bng 0, hy tnh:

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

= (8.5.13)
Nu F >F
o (k-1,n-k)
, hy bc b H
0
; ngc li bn c th chp nhn H
0
trong F
o ( k-1,n-k )
l gi tr
ti hn ca F ti mc ngha a v (k-1) bc t do t s v (n-k) bc t do mu s. Mt cch
khc, nu gi tr p ca F c tnh t phng trnh (8.5.13) l nh, hy bc b H
0
.

ng gp Gia tng hay l ng gp Bin t ca mt Bin gii thch.
Cho php chng ti quay v vi v d minh ha. T biu thc (8.2.2), ta bit rng h s ca
X
2
(thu nhp) v X
3
(xu hng) l khc 0 v ngha thng k trn c s cc kim nh t ring
bit. Ta cng thy rng, ng hi quy thu c l t n c ngha trn c s kim nh F
cho trong (8.5.7) hay l (8.5.13). By gi, gi s rng ta gii thiu X
2
v X
3
mt cch lin tip;
ngha l, u tin ta hi quy Y trn X
2
v nh gi ngha ca n, ri thm X
3
vo m hnh tm
xem liu n c ng gp g hay khng (ng nhin, th t X
2
v X
3
gia nhp c th b o
ngc). Bng s ng gp, ta mun bit xem s b sung bin vo m hnh c lm tng ESS (v
do tng R
2
) mt cch c ngha trong tng quan vi RSS hay khng. ng gp ny c
th c gi mt cch thch hp l ng gp gia tng hay l ng gp bin t ca bin gii
thch.
ti ng gp gia tng l mt ti quan trng trong thc tin. Trong hu ht cc iu
tra thc nghim, nh nghin cu c th khng hon ton chc chn liu vic a thm bin X
vo m hnh l c ng gi hay khng khi bit rng c mt s bin X khc trong m hnh.
Ngi ta khng mong mun a (cc) bin mi c ng gp rt nh vo ESS. Cng v vy,
ngi ta khng mun bc b (cc) bin lm tng ESS mt cch ng k. Nhng lm th no
ngi ta quyt nh c bin X c gim mt cch ngha RSS khng? K thut phn tch
phng sai c th d dng c m rng tr li cu hi ny.
Gi s rng, trc tin ta hi quy Y (chi tiu tiu dng c nhn) trn X
2
(thu nhp kh
dng c nhn) v thu c hi quy sau:

i
Y
=
1
| +
i
X
2 12
|
= 12.762 + 0.8812X
2i
(4.6818) (0.0114)
t = (2.7259) (77.2982) r
2
= 0.9978 (8.5.14)
r
2
iu chnh = 0.9977

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13
Theo gi thit khng b
12
= 0 ,cho thy rng gi tr t c lung bng 77.2982 (= 0.8812 / 0.0114)
c ngha r rng v mt thng k c mc 5 hay 1 phn trm. V vy X
2
nh hng mt cch
c ngha ln Y. Bng ANOVA i vi hi quy (8.5.14) c cho trong Bng 8.5.
Gi thit rng cc nhiu u
i
c phn phi chun v gi thit khng b
12
= 0 ta bit rng
494 . 5947
080 . 11
235 . 65898
= = F (8.5.15)

tun theo phn phi F vi 1 v 13 bc t do. Gi tr F ny r rng c ngha ti mc ngha
thng thng. V vy, nh trc y, ta c th bc b gi thit cho rng b
12
= 0. Nhn y, lu
rng t
2
= (77.2982)
2
= 5975.012, bng vi gi tr F ca (8.5.15) vi sai s lm trn. Nhng kt
qu ny khng c g ng ngc nhin v, nh ni Chng 5, theo cng gi thit khng v
cng mc ngha, bnh phng ca gi tr t vi n-2 bc t do bng vi gi tr F vi 1 v n-2
bc t do.
Khi thc hin hi quy (8.5.14), chng ta gi s rng ta quyt nh thm X
3
vo m hnh
v thu c hi quy bi (8.2.2). Ta mun tr li cc cu hi sau: (1) Th no l ng gp gia
tng hay l ng gp bin t ca X
3
bit rng X
2
c trong m hnh v n c quan h mt cch
ngha i vi Y ? (2) ng gp gia tng c ngha thng k khng? (3) Tiu chun no
thm cc bin vo m hnh? Cc cu hi ny c th uc tr li bi k thut phn tch phng
sai. thy r iu ny, ta hy xy dng Bng 8.6. i vi v d bng s ca ta, Bng 8.6 tr
thnh Bng 8.7.

BNG 8.5
Bng ANOVA cho hi quy (8.5.14)
Ngun bin thin SS df MSS
ESS (do X
2
) 65898.2353 1 65898.2353
RSS 144.0340 13 11.0800
Tng cng 66042.2693 14

BNG 8.6
Bng ANOVA nh gi ng gp gia tng ca cc bin
Ngun bin thin SS df MSS
ESS ch do X
2

=
2
2
2
12 1
x Q | 1
1
1
Q

ESS do thm X
3

1 3 2
Q Q Q = 1
1
2
Q

ESS do c X
2
v X
3

+ =
i i i i
x y x y Q
3 3 2 2 3

| | 2
1
3
Q


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14
RSS
3 5 4
Q Q Q = n 3
3
4
n
Q

Tng cng
=
2
5 i
y Q n 1

nh gi ng gp gia tng ca X
3
sau khi tha nhn ng gp ca X
2
, ta t:
12 /
1 /
) ( /
/
/
/
4
2
4
2 '
Q
Q
n df
df Q
df Q
F
=
=

=
=
RSS
ESS ESS

trong ESS
mi
= ESS ca m hnh mi (ngha l sau khi thm bin hi quy c lp mi= Q
3
),
ESS
c
= ESS ca m hnh c (= Q
1
) v RSS
mi
=RSS ca m hnh mi (ngha l sau khi lu
rng tt c cc bin hi quy c lp = Q
4
).
i vi v d minh ha ca ta, ta thu c:

3973 . 10
12 / 1693 . 77
1 / 865 . 66
=
= F
(8.5.17)

BNG 8.7
Bng ANOVA cho v d minh ha: Php phn tch gia tng.
Ngun bin thin SS df WSS
ESS ch do X
2
Q
1
= 65898.2353 1 65898.2353
ESS do thm X
3
Q
2
= 66.8647 1 66.8647
ESS do thm X
2
v X
3
Q
3
= 65965.1000 2 32982.5500
RSS Q
4
= 77.1693 12 6.4302
Tng cng Q
5
= 66042.2693 14

By gi, theo gi thit thng thng v qui lut chun ca u
i
, v gi thit khng cho rng
b
3
= 0, n c th cho thy rng F ca biu thc (8.5.16) tun theo phn phi F vi 1 v 12 bc t
do. T bng F, r rng gi tr F bng 10.3973 l c ngha ngoi mc ngha 1 %, gi tr p l
0.0073.
Nhn y, t s F ca (8.5.16) c th c vit li khi ta ch s dng cc gi tr R
2
, nh
ta lm trong (8.5.13). Nh bi tp (8.2) ch r, t s F ca (8.5.16) tng ng vi t s F
(8.5.16)
mi
mi
c
s cc bin hi quy c lp mi
s cc thng s trong m hnh mi
cho v d ca chng ta

Cc phng php nh lng
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Hiu nh: Cao Ho Thi
15
sau y
11
:

df R
R R
df R
df R R
F
moi
cu moi
moi
cu moi
/ ) 1 (
/ ) (
/ ) 1 (
/ ) (
2
2 2
2
2 2

=

(8.5.18)
T s F ny cng tun theo phn phi F vi df t s v mu s thch hp, tng ng l 1 v 12
trong v d trn.
i vi v d ca ta, R
2
mi
= 0.9988 [t (8.2.2)] v R
2
c
=0.9978 [t (8.5.14)]. V vy:

3978 . 10
12 / ) 9988 . 0 1 (
1 / ) 9978 . 0 9988 . 0 (
=

= F

cng gn bng vi gi tr ca F ca (8.5.17), ngoi tr i vi sai s do xp x.
Do , da trn kim nh F, ta c th bc b gi thit khng v kt lun rng vic b
sung X
3
vo m hnh lm tng mt cch ngha ESS, v t c gi tr R
2
. V vy bin xu
hng X
3
cn c thm vo m hnh.
Nhc li l trong (8.2.2) ta thu c gi tr t bng 3.2246 cho h s ca X
3
theo H
0
: b
3
=
0. By gi t
2
= (3.2246)
2
= 10.3980 = gi tr F cho trong (8.5.17) vi cc sai s do lm trn.
Nhng kt qu ny c d bo trc do dng lin quan gn gia F v t
2
nh lu trc
y.

Khi no th Thm Bin Mi. Qui trnh kim nh F va c trnh by cung cp phng php
chnh thc cho quyt nh c nn thm bin vo m hnh hi quy hay khng. Cc nh nghin cu
thng xuyn phi i mt vi cng tc la chn t mt s m hnh cnh tranh lin quan n
bin ph thuc ging nhau nhng vi cc bin gii thch khc nhau. Nh mt vn ca s la
chn c bit (do nn tng l thuyt ca php phn tch thng rt yu) cc nh nghin cu
thng chn m hnh no c gi tr R
2
hiu chnh cao nht. Do , nu vic a thm bin m
tng
2
R th n s c gi trong m hnh mc d n khng lm gim RSS mt cch ng k
theo cm nhn thng k. Khi , cu hi tr thnh: khi no th R
2
hiu chnh s tng? N c th
cho thy rng
2
R s tng nu gi tr t ca h s ca bin mi b sung c tr tuyt i ln hn 1,
trong gi tr t c tnh theo gi thit cho rng gi tr tng th ca h s ni l 0 (ngha l
gi tr t tnh t (5.3.2) theo gi thit cho rng gi tr b = 0)
12
. Tiu chun trn cng c th c
pht biu theo cch khc:
2
R s tng vi s b sung ca bin gii thch thm vo nu gi tr F
(= t
2
) ca bin vt qu 1.
p dng tiu chun trn, bin xu hng X
3
ca ta vi gi tr t = 3.2246 hay l gi tr F =
10.3973 s lm tng
2
R , v ng nh vy, khi X
3
c thm vo m hnh,
2
R tng t 0.9977
ln 0.9986. ng nhin, X
3
tr thnh c ngha thng k.

11
S tun theo kim nh F l trng hp c bit ca kim nh F khi qut hn cho trong (8.7.9) hay l
(8.7.10) trong Phn 8.7.
12
c dn chng, xem Dennis J. Aigner, Basic Econometrics, Prentice Hall, Englewood Clifts, New Jersey,
1971,trang 91-92.
s cc bin hi quy c lp mi
(= n - s cc thng s trong m hnh mi)
Mi
mi
mi
mi
c
c
(8.5.19)

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16

Khi no Thm Nhm cc Bin. Ta c th pht trin qui tc tng t cho quyt nh vic b
sung (hay l b i) mt nhm cc bin t m hnh hay khng? Cu tr li r rng t (8.5.18) :
Nu vic b sung (hay b bt) mt nhm cc bin i vi m hnh cho gi tr F ln (hay nh)
hn 1, R
2
s tng (hay gim). ng nhin, t (8.5.18), ngi ta c th d dng tm ra vic b
sung (hay b bt ) mt nhm bin c lm tng (hay gim) mt cch ng k nng lc gii thch
ca m hnh hi quy hay khng.

8.6 KIM NH S BNG NHAU CA HAI H S HI QUY
Gi s rng trong hi quy a bin:

Y
i
= b
1
+b
2
X
2i
+

b
3
X
3i
+b
4
X
4i
+u
i
(8.6.1)

ta mun kim nh cc gi thit
H
0
:b
3
= b
4
hay (b
3
- b
4
) = 0
H
1
:b
3
= b
4
hay (b
3
- b
4)
= 0 (8.6.2)
ngha l hai h s dc b
3
v b
4
l bng nhau.
Gi thit khng nh vy rt quan trng trong thc t. V d, xem (8.6.1) i din hm
nhu cu v hng ha trong Y = s lng hng ha yu cu, X
2
= gi hng ha, X
3
= thu nhp
ca ngi tiu dng, v X
4
= ca ci ca ngi tiu dng. Gi thit khng trong trng hp ny
l h s thu nhp ca ca ci l nh nhau. Hay l, nu Y
i
v cc X c biu th dng logarit,
gi thit khng trong (8.6.2) ng rng cc co gin v thu nhp v ca ci trong tiu dng nh
nhau (V sao?)
Lm th no kim nh gi thit khng ny? Theo cc gi thit c in, n c th cho
thy rng

) 4 3
4 3 4 3

(
) ( )

(
| |
| | | |

=
se
t (8.6.3)

tun theo phn phi t vi n-4 bc t do v (8.6.1) l m hnh bn bin, hay l khi qut hn, vi
n-k bc t do df, trong k l s lng tng cng cc thng s c lng, bao gm c s hng
hng s.. i lng se(
3
| -
4
| ) c tnh t cng thc quen thuc sau (xem Ph lc thng k

bit thm chi tit).

)
cov( 2 )
var( )
var( )

(
4 3 4 3 4 3
| | | | | | + = se (8.6.4)

Nu ta th gi thit khng v biu thc i vi se(
3
| -
4
| ) vo (8.6.3) , tr thng k kim

nh ca ta tr thnh

)
cov( 2 )
var( )
var(

4 3 4 3
4 3
| | | |
| |
+

= t (8.6.5)

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
17

By gi qui trnh kim nh bao gm nhng bc sau:

1. c lng
3
| v
4
| . Bt k chng trnh vi tnh chun no nh SAS, SPSS, hay l

SHAZAM u c th lm c iu ny.
2. Hu ht cc chng tnh vi tnh chun u quen tnh cc phng sai v ng phng sai ca
cc thng s c lng.
13
T cc c lng ny, sai s chun trong mu s ca (8.6.5) c th
tnh c d dng.
3. Tm t s t t (8.6.5) . Lu gi thit khng trong trng hp ny l (|
3
- |
4
) = 0.
4. Nu bin t tnh c t (8.6.5) vt qu gi tr ti hn t ti mc ngha t i vi bc
t do df cho, th bn c th bc b gi thit khng, nu khng, bn khng th bc b n.
Mt cch khc, nu gi tr p ca tr thng k t t (8.6.5) l thp, ngi ta c th bc b
gi thit khng.

V d 8.2 : Hm Chi ph Bc Ba Sa i
Nhc li hm chi ph tng cng bc ba tnh phn 7.11, thun tin c tin hnh li nh sau:

3 2
9396 . 0 9615 . 12 4777 . 63 7667 . 141
i i i i
X X X Y + + =
se = (6.3753) (4.7786) (0.9857) (0.0591) (7.11.6)
9983 . 0 ; 0576 . 0 )
cov(
2
4 3
= = R | |

trong Y l tng chi ph, X l sn lng, cc s trong ngoc n l cc sai s chun.
Gi s ta mun kim nh gi thit cho rng cc h s ca s hng X
2
v X
3
trong hm chi ph
bc ba l nh nhau, ngha l b
3
= b
4
hay l (b
3
- b
4
)= 0. Trong hi quy (7.11.6) ta c tt c sn lng
cn thit tin hnh kim nh t t (8.6.5). Cc c ch thc t s nh sau:
0442 . 1
9011 . 13
) 0576 ( 2 ) 0591 . 0 ( ) 9867 . 0 (
9396 . 0 9615 . 12
)
cov( 2 )
var( )
var(

2 2
4 3 4 3
4 3
=
+

=
+

=
| | | |
| |
t

= -13.3130 (8.6.6)

Bn c c th kim tra rng vi 6 bc t do (V sao?), gi tr quan st t vt qu gi tr ti hn
t thm ch ti mc ngha 0.002 (hay l 0.2%) (kim nh hai pha); gi tr p th cc nh, l
0.000006. Do , ta c th bc b gi thit cho rng cc h s ca X
2
v X
3
trong hm chi ph bc ba
l ng nht.

13
Dng biu th i s cho cng thc ng phng sai t c ni n. Chng 9 cung cp biu thc gn v n, tuy
nhin s dng di dng ma trn.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
18
8.7. CC BNH PHNG TI THIU C GII HN: KIM NH CC GII HN
NG THC TUYN TNH
C nhng trng hp m l thuyt Kinh t c th gi rng cc h s trong m hnh hi quy
tha mn vi gii hn ng thc tuyn tnh. minh ha, ta xt hm sn xut Cobb-Douglas:

i
u
i i i
e X X Y
3 2
3 2 1
| |
| = (7.10.1) = (8.7.1)
trong Y = sn lng, X
2
= nhp lng lao ng, X
3
= nhp lng vn. Vit di dng logarit,
phng trnh tr thnh:
lnY
i
= b
0
+b
2
lnX
2i
+b
3
lnX
3i
+ u
i
(8.7.2.)
trong b
0
= lnb
1
.
By gi, nu sinh li khng i theo qui m (thay i theo t l trong sn lng i vi
thay i theo t l trong nhp lng), l thuyt Kinh t gi rng:
b
2
+b
3
= 1 (8.7.3)
l v d v gii hn ng thc tuyn tnh
14
.
Lm th no ngi ta c th bit rng c sinh li khng i theo qui m, ngha l khi no
th gii hn (8.7.3) l ng? C hai phng php.
Phng php kim nh t
Qui trnh n gin nht l c lng (8.7.2) bng cch thng thng, khng cn n gii
hn (8.7.3). Qu trnh ny c tn gi l hi quy khng gii hn, hay l hi quy khng rng
buc. Khi c b
2
v b
3
c lng (cho l bi phng php bnh phng ti thiu thng thng),
kim nh gi thit hay gii hn c th c thc hin bi kim nh t ca (8.6.3), nh sau:

)

cov( 2 )
var( )
var(
1 )

(
)

(
) ( )

(
3 2 3 2
3 2
3 2
3 2 3 2
| | | |
| |
| |
| | | |
+ +
+
=
+
+ +
=
se
t
(8.7.4)

trong (b
2
+b
3
) = 1 theo gi thit khng v trong mu s l sai s chun ca (
2
| +
3
| ) . Sau
, theo nh phn 8.6, nu gi tr t tnh c t (8.7.4) vt qu ti hn ca t ti mc ngha
chn th ta bc b gi thit v sinh li khng i theo qui m; ngc li, ta khng bc b n
c.

Phng php kim nh F: Cc Bnh phng ti thiu Gii hn
Kim nh t trn l mt kiu kim tra khi s vic ri v ta c tm xem gii hn tuyn tnh c
c tha mn hay khng sau khi c lng hi quy khng gii hn. Cch tnh trc tip c
th kt hp gii hn (8.7.3) vo qu trnh c lng ngay t u. Trong v d hin thi, qu trnh
ny c th c thc hin d dng. T (8.7.3) ta thy rng:

14
Nu ta c b
2
+b
3
< 1, tng quan ny c th l v d v gii hn bt ng thc tuyn tnh. gi ng cc gii
hn ny, ngi ta cn s dng cc k thut lp trnh ton.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
19
b
2
= 1 - b
3
(8.7.5)
hay l
b
3
= 1 - b
2
(8.7.6)
Do , s dng mt trong cc ng thc trn, ta c th loi tr mt trong cc h s b
trong (8.7.2) v c lng phng trnh kt qu. V vy, nu ta s dng (8.7.5), ta c th vit
hm sn xut Cobb-Douglas nh sau:

lnY
i
= b
0
+ (1- b
3
)lnX
2i
+ b
3
lnX
3i
+ u
i
= b
0
+ lnX
2i
+ b
3
(lnX
3i
lnX
2i
) + u
i
hay l
(lnY
i
lnX
2i
) = b
0
+ b
3
(lnX
3i
lnX
2i
) + u
i
(8.7.7)
hay l
ln(Y
i
/X
2i
) = b
0
+ b
3
ln(X
3i
/X
2i
) + u
i
(8.7.8)
trong (Y
i
/ X
2i
) = t s sn lng / lao ng v (X
3i
/ X
2i
) = t s vn /lao ng, cc i lng
quan trng ln v kinh t.
Lu : phng trnh nguyn thy (8.7.2) c bin i nh th no. Mt khi ta c
lng b
3
t (8.7.7) hay l (8.7.8), b
2
c th c c lng t quan h (8.7.5). Cng cn ni
thm, qu trnh ny s bo m rng tng ca cc h s c lng ca hai nhp lng s bng 1.
Qu trnh ny c vch r (8.7.7) hay (8.7.8) c bit n nh cc bnh phng ti thiu
gii hn (RLS). Qu trnh ny c th c khi qut ha cho cc m hnh cha s lng bt k
cc bin gii thch nhiu hn mt gii hn ng thc tuyn tnh. S khi qut ny c th tm thy
Theil
15
. (Xem kim nh F khi qut di y).
Ta c th so snh cc hi quy bnh phng ti thiu gii hn v khng gii hn nh th
no? Ni cch khc, ta lm sao bit rng, v d nh, gii hn (8.7.3) l ng? Cu hi ny c
th c kim nh bng cch p dng kim nh F nh sau. Ta xem:

UR
u = RSS ca hi quy khng gii hn (8.7.2)

R
u = RSS ca hi quy gii hn (8.7.7)
m = s lng cc gii hn tuyn tnh (l 1 trong v d ang xt)
k = s lng cc thng s trong hi quy khng gii hn
n = s lng cc quan st.
Th,

=
) /(
/ ) (
) /(
/ ) (
2
2 2
k n u
m u u
k n RSS
m RSS RSS
F
UR
UR R
UR
UR R
(8.7.9)

tun theo phn phi F vi m, (n-k) bc t do (Lu UR v R i din tng ng cho khng gii

15
Henry Theil, Principles of Econometrics, (Nguyn l ca kinh t lng) John Wiley & Sons, New york, 1971,
trang 43 - 45

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
20
hn v gii hn).
Kim nh F trn y cng c th biu th theo R
2
nh sau:

) /( ) 1 (
/ ) (
2
2 2
k n R
m R R
F
UR
R UR

= (8.7.10)

trong
2
UR
R v
2
R
R tng ng l cc gi tr R
2
thu c t cc hi quy khng gii hn v c
gii hn, ngha l t cc hi quy (8.7.2) v (8.7.7). Cn lu rng:

2 2
R UR
R R > (8.7.11)
v

s
2 2

R UR
u u (8.7.12)
Trong bi tp 8.4 bn s c c yu cu nh gi pht biu ny.
Lu c bit: Khi s dng (8.7.10), ta nh rng nu bin ph thuc trong cc m hnh gii hn
v khng gii hn l khng ging nhau,
2
UR
R v
2
R
R khng th so snh trc tip c. Trong
trng hp , hy s dng qui trnh m t Chng 7 tr li kh nng so snh cho hai gi tr
R
2
(Xem v d 8.3 di y).
Cng cn c b sung rng ta c lu ng qu nhn mnh R
2
; cch s dng
n trong (8.7.10) ch l cho tin li trong trng hp cc gi tr RSS khng c sn .

V d 8.3: Hm sn xut Cobb-Douglas i vi Khu vc Nng nghip i loan cho nhng
nm 1958 1972
Bng cch minh ha cho nhng iu tho lun trn, cho php chng ti tham kho d liu trong
Bng 7.3 v hm sn xut kt qu Cobb-Douglas cho trong (7.10.4). y l hi quy khng gii
hn v khng c gii hn no c n nh cho cc thng s. By gi gi s rng ta mun t gii
hn b
2
+b
3
= 1, ngha l sinh li khng i theo qui m trong khu vc Nng nghip i loan, cho chu
k thi gian nu. Khi t gii hn ny, ta c lng hi quy (8.7.8), ta c kt qu sau:

ln(Y
i
/X
2i
) = 1.7086 + 0.61298 ln(X
3i
/X
2i
)
(0.4159) (0.0933) (8.7.13)
R
2
= 0.7685

2
R = 0.7507

trong cc s trong ngoc n l cc sai s chun c lng.
Lu : Cc gi tr R
2
ca hi quy khng gii hn (7.10.4) v (8.7.13) khng th so snh trc tip
c v bin ph thuc trong hai m hnh khng ging nhau. Bng cch s dng phng php so
snh 2 gi tr R
2
tho lun trong phn 7.6, ta thu c gi tr R
2
l 0.8489 cho m hnh (8.7.13),
by gi n c th c so snh vi gi tr R
2
l 0.8890 ca hi quy khng gii hn (7.10.4).
T hi quy khng gii hn (7.10.4), ta thu c
2
UR
R khng gii hn c gi tr l 0.8890 trong
khi hi quy gii hn (8.7.13) cho
2
R
R gii hn l 0.8489. Do , ta s dng c kim nh F trong
(8.7.10) kim nh tnh hiu lc ca gi thit v sinh li khng i theo qui m p t ln hm
sn xut.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
21

3587 . 4
0092 . 0
0401 . 0
12 / ) 8890 . 0 1 (
1 / ) 8489 . 0 8890 . 0 (
) /( ) 1 (
/ ) (
2
2 2
=
=

=

=
k n R
m R R
F
UR
R UR

c phn phi F tng ng vi 1 v 12 bc t do. T bng F ta thy rng F
0.05
(1,12) = 4.75 nhng
F
0.10
(1,12) = 3.18. Ngha l gi tr F quan st 4.3587 khng c ngha ti mc 5 % nhng c ngha
ti mc 10%. Nu ta quyt nh gi mc ngha 5%, th gi tr F quan st khng c ngha, iu
ng rng ta c th chp nhn gi thit sinh li khng i theo qui m trong vng Nng nghip i
loan cho thi k 1958 1972; gi tr sinh li theo qui m c quan st l 1.9887 thy trong hi
quy (7.10.4) khng khc bit so vi 1v thng k. V d ny minh ha v sao iu thit yu l ngi ta
cn xem xt kim nh chnh thng i vi cc gi thit v khng ch da vo cc h s c lng. V
d ny cng nhc ta rng ta nn xc nh mc ngha trc khi thc s kim nh gi thit thng k
v khng chn n sau khi hi quy c c lng. Nh lu trong mt s trng hp, tt hn
l ta nn nh gi tr p t thng k c lng, trong v d ny i lng l 0.0588. V vy gi tr
F quan st 4.3587 l c ngha ti mc xp x 0.06.
Nhn y, hy thy rng h s dc c lng 0.61298 l
3
| v do , t phng trnh
(8.7.5), ta c th tnh d dng gi tr
2
| 1 0.38702. Nh lu , tng ca h s ny c bo m
bng 1.

Kim nh F Khi qut.
16

Kim nh F cho trong (8.7.10) hay l php tng ng vi n trong (8.7.9) cung cp
phng php chung kim nh gi thit v mt hay nhiu thng s ca m hnh hi quy k bin
Y
i
= b
1
+ b
2
X
2i
+ b
3
X
3i
+ ... +b
k
X
ki
+u
i
(8.7.15)
Kim nh F ca (8.5.16) hay kim nh t ca (8.6.3) cng l cch p dng chi tit ca
(8.7.10). V vy, cc gi thit nh l:
H
0:
b
2
= b
3
(8.7.16)
H
0:
b
3 +
b
4
+ b
5
= 3 (8.7.17)
lin quan n mt vi gii hn tuyn tnh theo cc thng s ca m hnh k bin, hay cc gi thit
nh l
H
0
: b
3
= b
4 =
b
5
= b
6
= 0 (8.7.18)
ng rng vi bin hi quy c lp s khng c trong m hnh, tt c c th c kim nh bi
kim nh F ca biu thc (8.7.10).
T cc ni dung tho lun trong Phn 8.5 v 8.7, bn c hy lu rng chin lc
chung ca kim nh F nh sau: c mt m hnh ln hn, mt m hnh khng rng buc

16
Nu ngi ta s dng phng php thch hp ti a i vi cc c lng, th kim nh tng t vi n tho
lun tm tt l kim nh t t l thch hp, n ch c nhc s qua v do , c tho lun trong Ph lc ca
Chng. bit thm xin xem Theil,op. cit., trang 179 184.
(8.7.14)

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
22
(8.7.15), th cng c mt m hnh nh hn, m hnh gii hn hay l m hnh rng buc, c
tnh t m hnh ln hn bng cch trit tiu mt vi bin trong , v d, (8.7.18), hay l bng
cch t vi gii hn tuyn tnh ln mt hay nhiu hn cc h s ca m hnh ln hn, v d,
(8.7.16) hay (8.7.17).
Sau . ta lm cho cc m hnh rng buc v khng rng buc thch hp vi d liu v
thu c cc h s xc nh tng ng, gi l
2
UR
R v
2
R
R .Ta lu : bc t do trong m hnh
khng rng buc ( = n-k) v cng lu bc t do trong m hnh rng buc ( = m), m l s lng
gii hn tuyn tnh [v d, l 1 trong (8.7.6) hay (8.7.18) ], hay l s lng cc bin hi quy c
lp b b i t m hnh [v d, m = 4 nu (8.7.18) l ng,v 4 bin hi quy c lp c
gi thit l khng c trong m hnh]. Sau , ta tnh t s F nh ch trong (8.7.10) v s
dng Qui tc Quyt nh ny: Nu F tnh c vt qu F
o
(m, n-k), trong F
o
(m, n-k) l
F ti hn ti mc ngha a, ta bc b gi thit khng , ngc li, ta khng bc b n .
Ta hy minh ha:

V d 8.4: Nhu cu v G M, nm 1960 1982. Trong bi tp 7.2.3, trong s cc vn khc,
bn c yu cu xem xt hm nhu cu sau y v g:

ln Y
t
= b
1
+

b
2
ln X
2t
+

b
3
ln X
3t
+ b
4
ln X
4t
+

b
5
ln X
5t
+ u
i
(8.7.19)

trong Y = mc s dng g bnh qun cho mi ngi, n v cn Anh, X
2
= thu nhp thc t kh dng
bnh qun cho mi ngi, tnh bng $, X
3
= gi bn l thc t 1 cn Anh g, tnh bng xu, X
4
= gi bn l
thc t 1 cn Anh tht heo, tnh bng xu, v X
5
= gi bn l thc t 1 cn Anh tht b, tnh bng xu.
Trong m hnh ny, b
2
, b
3
, b
4
v b
5
tng ng l cc h s co gin thu nhp, gi tht g, gi cho
(tht heo), v gi cho (tht b). (V sao?). Theo l thuyt Kinh t,

b
2

> 0
b
3
< 0
b
4
> 0, nu g v heo l cc sn phm cnh tranh
< 0, nu g v heo l cc sn phm b tr
= 0, nu g v heo l cc sn phm khng lin quan (8.7.20)
b
5
> 0, nu g v b l cc sn phm cnh tranh
< 0, nu g v b l cc sn phm b tr
= 0, nu g v b l cc sn phm khng lin quan

Gi s rng c ai cho rng g, b, heo l cc sn phm khng lin quan, v h cm thy mc
tiu th g khng b nh hng bi gi tht b v heo. Ngn gn hn,

H
0
: b
4
= b
5
= 0 (8.7.21)

Do hi quy rng buc tr thnh:
lnY
t
= b
1 +
b
2
lnX
2t
+ b
3
lnX
3t
+ u
i
(8.7.22)
ng nhin phng trnh (8.7.19) l hi quy khng rng buc.
S dng d liu cho trong bi tp 7.23, ta thu c nh sau:

Hi quy khng rng buc

lnY
t
= 2.1898 + 0.3425 lnX
2t
- 0.5046 lnX
3t
+ 0.1485 lnX
4t
+ 0.0911 lnX
5t

(0.1557) (0.0883) (0.1109) (0.0997) (0.1007)

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
23
9823 . 0
2
=
UR
R (8.7.23)
Hi quy rng buc
lnY
t
= 2.0328 + 0.4515 lnX
2t
- 0.3772 lnX
3t
(8.7.24)
(0.1162) (0.0247) (0.0635)
9801 . 0
2
=
R
R

trong cc s trong ngoc n l cc sai s chun c lng. Lu : cc gi tr R
2
ca (8.7.23) v
(8.7.24) c th so snh c v bin ph thuc trong hai m hnh ny ging nhau.
By gi t s F kim nh gi thit (8.7.1) l:

) /( ) 1 (
/ ) (
2
2 2
k n R
m R R
F
UR
R UR

= (8.7.10)

Gi tr m trong trng hp ny l 2, v c hai gii hn lin quan : b
4
= 0 v b
5
= 0. Bc t do mu
s, ( n-k) l 18, v n= 23, k = 5 (5 h s b).
Do t s F l

18 / ) 9823 . 0 1 (
2 / ) 9801 . 0 9823 . 0 (

= F
= 1.1224 (8.7.25)
c phn phi F vi 2 v 18 bc t do.
Ti mc 5%, r rng gi tr F ny khng c ngha thng k [F
0.5
(2,18) = 3.55]. Gi tr
p l 0.3472. Do , khng c l do bc b gi thit khng nhu cu v g khng ph thuc
vo gi tht heo v b. Ngn gn hn, ta c th chp nhn hi quy rng buc (8.7.24) nh i
din cho hm nhu cu i vi g.
Lu rng hm nhu cu tha mn cc k vng kinh t tin nghim, m trong co
gin ca gi tht g l m v co gin v thu nhp l dng. Tuy nhin co gin gi c lng,
tnh theo gi tr tuyt i, nh hn 1 v mt thng k, ng rng nhu cu v g l khng co gin
theo gi (V sao?). Cng vy, mc d c gi tr dng, co gin theo thu nhp cng nh hn 1 v
mt thng k, n gi rng g khng phi l hng ha cao cp; theo qui c, hng ha c coi
l cao cp nu co gin theo thu nhp ca chng ln hn 1.

8.8. SO SNH HAI HI QUI: KIM NH N NH CU TRC CA CC M
HNH HI QUY
Bng 8.8 cho d liu v mc tit kim c nhn v thu nhp c nhn Vng quc Anh trong
thi k 1946 1963.
Gi s rng ta mun tm xem mc tit kim c nhn s bin i nh th no trong tng
quan vi thu nhp c nhn, ngha l ta mun c lng hm tit kim. Nhn thong qua, d liu
cho trong Bng 8.8 ch r ng bin i ca mc tit kim c nhn trong tng quan vi thu
nhp thi k 1946 1954, thi k ngay sau Chin tranh Th gii II (gi l thi k Ti thit),
hnh nh khc vi thi k 1955 1963 (gi l thi k Hu Ti thit). biu din n bng cch
khc, hm tit kim tri qua s thay i cu trc gia 2 thi k, ngha l cc thng s ca hm
tit kim thay i.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
24

BNG 8.8
D liu mc tit kim v thu nhp, Vng quc Anh,
1946 1963 ( triu bng Anh)
Thi k I:1946-1954 Tit kim Thu nhp Thi k II:1955-1963 Tit kim Thu nhp
1946 0.36 8.8 1955 0.59 15.5
1947 0.21 9.4 1956 0.90 16.7
1948 0.08 10.0 1957 0.95 17.7
1949 0.20 10.6 1958 0.82 18.6
1950 0.10 11.0 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 0.50 13.5 1962 1.75 23.9
1954 0.43 14.3 1963 1.99 25.2
Ngun: Vn phng Thng k Trung ng, Vng quc Anh.

thy c s thay i ny c thc t hay khng, ta hy gi s rng cc hm tit kim
cho hai k c dng nh sau :
Thi k Ti thit : Y
t
= o
1
+ o
2
x
t
+ u
1t
(8.8.1)
t = 1, 2,..., n
1

Thi k Hu Ti thit Y
t
= b
1
+ b
2
x
t
+ u
2t
(8.8.2)
t = 1, 2,..., n
2

trong Y l tit kim c nhn, X l thu nhp c nhn , cc u l cc s hng nhiu trong hai
phng trnh, v n
1
v n
2
l s lng cc quan st trong hai thi k. Lu rng cc s lng cc
quan st trong hai thi k c th ging nhau hoc khc nhau.
By gi s thay i c th c ngha l hai tung gc khc nhau, hay l hai h s dc
khc nhau, hay l c tung gc v h s dc u khc nhau, hay l s kt hp ca cc thng
s. ng nhin, nu khng c thay i cu trc (ngha l tnh n nh cu trc), ta c th kt
hp tt c n
1
v n
2
quan st v tm ngay hm tit kim nh l:
Y
t
=
1
+
2
X
t
+ u
t
(8.8.3)

Ta lm th no xc nh c thay i cu trc trong mi tng quan tit kim thu nhp gia
hai thi k hay khng? Kim nh thng c s dng ph bin tr li cu hi ny c bit
nh l kim nh Chow, mang tn Gregory Chow
17
, mc d n ch n gin l kim nh F
tho lun trc y.
Cc gi thit nn tng ca kim nh Chow l hai mt:
(a) u
1t
~ N( 0,o
2
) v u
2t
~ N( 0,o
2
)
ngha l hai s hng sai s u phn phi chun vi phung sai o
2
ging nhau (phng sai c

17
Gregory C. Chow, Tests of Equality between Sets of Coefficients in Two Linear Regressions,. Econometrica,
(Kim nh s bng nhau gia cc tp h s trong hai hi quy tuyn tnh, Kinh t lng), Bn 28, s 3, 1960, trang
591 605.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
25
iu kin khng i), v
(b) u
1t
v u
2t
c phn phi c lp .
18

Vi cc gi thit ny, kim nh Chow tin hnh nh sau:
Bc I: Kt hp tt c n
1
v n
2
quan st, ta c lng (8.8.3) v tm c tng
bnh phng ca cc phn d ca n (RSS), gi l S
1
vi bc t do df =
(n
1
+n
2
-k), trong k l s cc thng s c lng, trong trng hp ny l
2.
Bc II: c lng (8.8.1) v (8.8.2) ring bit v tm RSS ca chng, gi l S
2
, S
3

vi bc t do df = (n
1
-k) v (n
2
-k) tng ng. Cng hai i lng RSS ny,
gi l S
4
= S
2
+ S
3
vi bc t do df= (n
1
+n
2
-2k)
Bc III: Tm S
5
= S
1
-S
4

Bc IV: Cho cc gi thit ca kim nh Chow, n c th cho thy rng

) 2 /(
/
2 1 4
5
k n n S
k S
F
+
= (8.8.4)
tun theo phn phi F vi bc t do df = (k, n
1
+n
2
-2k). Nu F tnh c t
(8.8.4) vt qu gi tr F ti hn ti mc ngha o chn, ta bc b gi
thit rng cc hi quy (8.8.1) v (8.8.2) l ging nhau, ngha l, ta bc b
gi thit v n nh cu trc. Mt cch khc, nu gi tr p ca F tnh t
(8.4.8) c gi tr nh, ta bc b gi thit khng v n nh cu trc.
Quay v v d ca ta, kt qu s nh sau: Lu rng, trong v d ca ta n
1
= n
2
= 9 .
Bc I:
t
Y
= -1.0821 + 0.1178 X
t
(0.1452) (0.0088)
t = (-7.4548) (13.4316) r
2
= 0.9185 (8.8.5)
S
1
= 0.5722 df = 16
Bc II: Thi k ti thit 1946-1954
t
Y
= -0.2622 + 0.0470 X
t
(0.3054) (0.0266)
t = (-0.8719) (1.7700) r
2
= 0.3092 (8.8.6)
S
2
= 0.1396; df = 7
Thi k hu ti thit 1955-1963
t
Y
= -1.7502 + 0.1504 X
t

(0.3576) (0.0175)
t = (-4.8948) (8.5749) r
2
= 0.9131 (8.8.7)
S
3
= 0.1931; df = 7

Bc III:

18
Trong Chng 11, v phng sai c iu kin khng i, ta s ch ra lm cch no ngi ta bit hai (hay nhiu
hn) phng sai c ging nhau hay khng. Kim nh Chow c bin i ch n phng sai ca sai s
thay i. Xem W.A. Jayatissa, Tests of Equality between Sets of Coefficents in Two Linear Regressions When
Disturbance Variances Are Unequal, Econometica, (Kim nh s bng nhau gia cc tp h s trong hai hi quy
tuyn tnh khi phng sai ca nhiu khng bng nhau, Kinh t lng) Tp 45, 1977, trang 1291-1292.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
26
S
4
= (S
2
+ S
3
) = 0.3327
S
5
=( S
1
S
4)
= 0.2395
Bc IV:
14 / 3327 . 0
2 / 2395 . 0
= F
= 5.04
Nu a c nh ti mc 5 %, gi tr ti hn F
2,14
= 3.74. V v gi tr F c lng 5.04
vt qu gi tr ti hn ny, ta c th bc b gi thit rng hm tit kim trong hai thi k trn l
nh nhau. R hn, gi tr p ca F quan st l 0.0224.
Nu ta chp nhn kt lun cho rng cc hm tit kim trong hai thi k l khc nhau, th
s khc bit l do khc bit trong cc gi tr tung gc hay l cc gi tr h s dc, hay l c
hai? Tuy kim nh Chow c th c la chn tr li cc cu hi ny, Chng v cc bin
gi (xem Chng 15) ta s trnh by mt cch khc so vi kim nh Chow, m c th tr li cho
cc cu hi mt cch d dng hn.

*
8.9 KIM NH DNG HM HI QUY: S LA CHN GIA CC M HNH HI
QUY TUYN TNH V TUYN TNH LGARIT
S la chn gia m hnh hi quy tuyn tnh (bin hi quy ph thuc l hm tuyn tnh ca bin
hi quy c lp) hay l m hnh hi quy tuyn tnh lgarit (lgarit ca bin hi quy ph thuc l
hm ca cc lgarit ca bin hi quy c lp) l cu hi mun thu trong php phn tch thc
nghim. Ta c th s dng kim nh do Mackinnon, White v Davidson ngh, cch kim
nh ny gi gn l php kim nh MWD la chn gia 2 m hnh
19
.
minh ha php kim nh ny, gi thit nh sau:

H
0
: M hnh tuyn tnh : Y l hm tuyn tnh ca cc bin hi quy c lp, cc X.
H
1
: M hnh tuyn tnh lgarit: ln Y l hm tuyn tnh ca cc lgarit ca cc bin
hi quy c lp, cc lgarit ca cc bin X.

trong , nh thng l, H
0
v H
1
biu din cc gi thit khng v gi thit thay th.
Php th MWD bao gm cc bc sau
20
:

Bc I: c lng m hnh tuyn tnh v tnh cc gi tr Y c lng. Gi chng l
Yf (ngha l Y
).
Bc II: c lng m hnh lgarit tuyn tnh v tm cc gi tr lnY; gi chng l lnf
(ngha l, ln Y) .
Bc III: Tnh Z
1
= ( lnYf - lnf).

*
T chn.
19
J. Mackinnon, H. White, v R. Davidson. Tests for Model Specification in the Presence of Alternative
Hypothesis; Some Further Results.(Cc kim nh c trng m hnh trong s hin din ca cc gi thit thay th;
Mt vi kt qu khc, Tp ch kinh t lng) Journal of Econometrics ,tp 21, 1983, trang 53 70. Mt php th
tng t c a ra bi A. K. Bera v C. M. Jarque Model Specification Tests: A Simultaneous Approach. (Cc
kim nh c trng m hnh: Mt phng php ng thi). Journal of Econometrics, tp 20, 1982, trang 245
246.
20
Ni dung ny da trn William H. Greene, ET: Econometrics toolkit Version 3, phn mm Kinh t lng, Belport,
New York, 1992, trang 245 246.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
27
Bc IV: Hi quy Y theo cc X v Z
1
tnh c t bc III. Bc b H
0
nu h s ca
Z
1
c ngha thng k bi kim nh t thng thng.
Bc V: Tnh Z
2
= ( i logarit ca lnf - Yf ).
Bc VI: Hi quy lgarit ca Y theo cc lgarit ca cc X v Z
2.
Bc b H
1
nu

h s
ca Z
2
c ngha thng k bi kim nh t thng thng.

Mc d kim nh MWD c v rc ri, lgc ca n rt n gin. Nu m hnh tuyn tnh trong
thc t l m hnh ng, bin Z
1
c xy dng c th khng cn c ngha thng k trong bc
IV, v trong trng hp cc gi tr Y c lng t m hnh tuyn tnh v cc gi tr c
lng t m hnh tuyn tnh lgarit (sau khi ly cc gi tr i lgarit so snh) c th khng
khc bit nhau. Cc bin lun nh vy cng ng dng i vi gi thit thay th H
1
.

V d 8.5: Nhu cu v hoa hng
Hy tham kho v d 7.20 trong chng ti gii thiu d liu v nhu cu hoa hng vng th t
Detroit trong thi k qu II nm 1971 qu II nm 1975. Vi mc ch minh ha, ta s xem xt nhu
cu hoa hng nh l mt hm ch ca gi hoa hng v gi cm chng, v b qua bin thu nhp i
vi thi gian. By gi ta hy xt cc m hnh sau y:

M hnh tuyn tnh : Y
t
= o
1
+ o
2
X
2t
+ o
3
X
3t
+u
t
(8.9.1)
M hnh tuyn tnh lgarit: ln Y
t
= b
1
+ b
2
lnX
2t
+b
3
ln X
3t
+ u
t
(8.9.2)

trong Y l s lng hoa hng theo n v t, X
2
l gi s trung bnh ca hoa hng ($/ t) X
3
l gi
s trung bnh ca cm chng ( $ / t). Mt tin nghim, o
2
v b
2
c k

vng l c du m.(V
sao?), v o
3
v b
3
l du dng (V sao?). Nh ta bit, cc h s dc trong cc m hnh tuyn
tnh lgarit l cc h s ca co gin.
Cc kt qu hi quy l nh sau:

t
Y
= 0.9734.2176 3782.1956X
2t
+ 2815.2515 lnX
3t

t = (3.3705) (-6.6069) (2.9712) (8.9.3)
F = 21.84; R
2
= 0.77096

t
Y ln = 9.2278 - 1.7607 ln X
2t
+ 1.3398 X
3t

t = (16.2349) (-5.9044) (2.5407) (8.9.4)
F = 17.50; R
2
= 0.7292

Nh cc kt qu ny cho thy, c hai m hnh tuyn tnh v tuyn tnh lgarit c v ha hp tt vi
d liu: cc thng s c du k vng v cc gi tr t v R
2
c ngha thng k.
Da trn kim nh MWD, la chn gia hai m hnh, u tin ta kim nh gi thit rng
m hnh thc l tuyn tnh. Sau , lm theo bc IV ca kim nh, thu c cc hi quy sau:

t
Y
= 9727.5685 - 3783.0623 X
2t
+ 2817.7157 X
3t
+ 85.1239 Z
1t
(8.9.5)
t = (3.2178) (-6.3337) (2.8366) (0.0207)
F = 13.44; R
2
= 0.7707

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
28

V h s ca Z
1
khng c ngha thng k, (gi tr p ca t c lng l 0.98) ta khng th bc b
gi thit rng m hnh thc l tuyn tnh.
Gi s ta chuyn i c cu, v cho rng m hnh thc l tuyn tnh lgarit. Lm theo bc
VI ca kim nh MWD, ta thu c cc kt qu hi quy sau:

lnY
t
= 9.1486 - 1.9699 ln X
t
+ 1.5891 ln X
2t
- 0.0013Z
2t

t = (17.0825) (-6.4189) (3.0728) (-1.6612) (8.9.6)
F = 14. 17; R
2
= 0.7798

H s ca Z
2
c ngha thng k ti mc khong 12% (gi tr p l 0.1225) . V vy, ta c th bc b
gi thit cho rng m hnh thc l tuyn tnh lgarit ti mc ngha ny. ng nhin, nu ngi ta
nh v vo mc ngha qui c 1 hay 5% th ngi ta khng th bc b gi thit cho rng m hnh
thc l tuyn tnh lgarit. Nh v d ny, trong mt tnh hung cho, hon ton c kh nng chng
ta khng th bc b bt c chi tit no.

8.10. D BO VI HI QUY A BIN
Phn 5.10, chng ti trnh by, mt m hnh hi quy hai bin c lng c th c s
dng nh th no i vi (a) d bo trung bnh, ngha l d bo mt im da trn hm hi quy
tng th (PRF) cng nh (b) d bo ring bit, ngha l d bo gi tr ring bit ca Y, khi cho
trc gi tr ca bin hi quy c lp X = X
0
,trong , X
0
l gi tr bng s xc nh ca X.
Hi quy a bin c lng cng c th c s dng cho cc mc ch tng t v qui
trnh thc hin l mt s m rng khng kh khn ca trng hp hai bin, ngoi tr cc cng
thc c lng phng sai v sai s chun ca cc gi tr d bo [c th so snh vi (5.10.2) v
(5.10.6) ca m hnh hai bin] thnh thong c cp v lm tt hn bng phng php ma
trn tho lun Chng 9 (xem Phn 9.9).
minh ha cc c ch d bo trung bnh v ring bit, ta hy nhc li hi quy chi tiu
tiu dng c nhn c lng trc y i vi Hoa k cho giai on 1956 1970.

i
Y
= 53.1603 + 0.7266 X
2i
+ 2.7363 X
3i

(13.0261) (0.0487) (0.8486) (8.10.1)
R
2
= 0.9988 = (8.2.2)

trong Y = chi tiu tiu dng c nhn, X
2
= thu nhp kh dng c nhn sau thu, v X
3
= xu
hng thi gian.

i
Y
nh ta bit, l hm c lng ca E(Y , X

2
, X
3
), ngha l trung bnh ng ca Y khi
bit X
2
v X
3
.
By gi, ta gi s rng d liu cho nm 1971 nh sau : X
2
= 567 t la v X
3
= 16. t
cc gi tr ny vo (8.10.1), ta c:

9297 . 508 ) 16 ( 7363 . 2 ) 567 ( 7266 . 0 1603 . 53
) 16 , 567
(
3 2 1971
= + + =
= = X X Y
(8.10.2)

V vy, cho nm 1971, chi tiu tiu dng c nhn trung bnh (PCE) vo khong 509 t la.
Theo cc l do nu Phn 5.10, 509 t la cng l gi tr d bo ring bit cho nm 1971,

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
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Vn suy lun

Hiu nh: Cao Ho Thi
29
Y
1971.
Tuy nhin cc phng sai ca
1971
Y v Y
1971
khc bit nhau. T cc cng thc cho
Chng 9, c th c ch ra rng:

var (
1971
Y , X
2
, X
3
) = 3.6580 v se(
1971
Y , X
2
, X
3
) = 1.9126 (8.10.3)
var (Y
1971
, X
2
, X
3
) = 10.0887 v se (Y
1971
, X
2
, X
3
) = 3.1763 (8.10.4)

trong var(Y
1971
, X
2
, X
3
) i din cho E (Y
1971
-
1971
Y ,X
2
, X
3
)
2
. Nh k vng trc,var(Y
1971
) >
var(
1971
Y ). (v sao?). Lu : varY
1971
l vit tt ca )
var(
1971 1971
Y Y .
Theo cc gi thit ca m hnh c in, v tip theo ni dung tho lun phn 5.10,
chng ta c th thit lp khong tin cy 100(1 - a) i vi d bo trung bnh nh sau

[
1971
Y - t
o/2
se (
1971
Y ) s E (Y
1971
) s
1971
Y + t
o/2
se(
1971
Y ) ] (8.10.5)

trong se(
1971
Y ) c c t (8.10.3) v trong , ngi ta gi s rng d bo ny da trn cc

gi tr cho ca X
2
v X
3
i vi nm 1971. Cng cn ni rng, qui trnh nh th c th c
lp li i vi gi tr bt k no khc ca X
2
vX
3.

Khong tin cy tng ng th 100(1 - a) i vi d bo ring bit Y
1971
l
[
1971
Y - t
o/2
se(Y
1971
) s
1971
Y s
1971
Y + t
o/2
se(Y
1971
)]
trong se(Y
1971
) , l vit tt ca se(Y
1971
-

1971
Y ) c tnh t (8.10.4).
i vi v d minh ha ca chng ta, bn c c th kim chng rng cc khong tin cy
ny s nh sau:
D bo trung bnh :
508 9297 2 179(1 9126) s E(Y
1971
) s 508 9297 + 2 179(1 9126)
ngha l,
504 7518 s E(Y
1971
) s 513 0868 (8.10.6)

D bo ring bit:
508 9297 2 179(3 1763) s Y
1971
s 508 9297 + 2 179(3 1763)
501 9988 s Y
1971
s 515 8412 (8.10.7)

Ghi nh rng bc t do df i vi gi tr t l (n-3) cho m hnh 3 bin, (n-4) cho m
hnh 4 bin, hay l (n-k) cho m hnh k bin.


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
30
*
8.11 B BA CC KIM NH GI THIT: CC KIM NH T L THCH HP
(LR), WALD (W), V NHN T LAGRANGE (LM)
21

Trong chng ny v chng trc, ta s dng rng ri cc kim nh t, F v Chi-bnh
phng kim nh s a dng ca cc gi thit trong trng hp cc m hnh hi quy tuyn
tnh (theo thng s). Nhng mt khi i ra ngoi th gii hi tin nghi ca cc m hnh hi quy
tuyn tnh, ta cn (cc) phng php kim nh cc gi thit; c th lm nn cc m hnh hi
quy, c tuyn tnh hay khng.
B ba cc kim nh thch hp, Wald v Nhn t Lagrange ni ting c th thc thi
c mc ch trn. Yu t th v m chng ti mun lu l tt c ba php kim nh u
tng ng tim cn (ngha tng ng khi c mu ln) trong tr thng k ca kim nh
trong mi kim nh ny u tun theo phn phi Chi-bnh phng.
Mc d s tho lun kim nh t l thch hp trong Ph lc ca Chng ny, nhng
ni chung, ta s khng dng cc kim nh ny trong cun sch v l do ring bit rng trong cc
mu nh, hay l mu gii hn,m hu ht cc nh khoa hc cp, kim nh F m ta
dng cho ti nay l . Nh Davidson v Mackinnon lu :

i vi cc m hnh hi quy tuyn tnh, c hoc khng c cc sai s chun, tt nhin khng cn
thit nhn vo cc LM, W, LR na, bi v khng c thng tin no t c t vic lm qu mc
nh vy v v nhng iu cha ng trong F.
22

8.12 TM TT V CC KT LUN

1. Chng ny m rng v lm hon thin hn cc tng v cc c lng
khong v kim nh gi thit c gii thiu u tin Chng 5 cho trng
hp m hnh hi quy tuyn tnh hai bin.
2. Trong hi quy a bin, cch kim nh ngha ring bit ca h s hi quy ring
phn (s dng kim nh t ) v kim nh ngha ton din ca hi quy (ngha l H
0

: tt c cc h s dc ring phn bng 0 hay R
2
= 0) khng phi l cc khi nim
ging nhau.
3. Ni ring, vic tm ra mt hay nhiu hn cc h s hi quy ring phn khng c
ngha thng k da trn c s kim nh t ring bit khng c ngha l tt c cc h
s hi quy ring phn cng u khng c ngha mt cch tp th v thng k (c
tp th). Gi thit sau c th c kim nh ch bi kim nh F.
4. Kim nh F c cho l a nng v n c th kim nh s a dng ca cc gi
thit, nh l (1) h s hi quy ring bit l c ngha thng k hay khng, (2) tt c
cc h s dc ring phn c bng 0 hay khng, (3) hai hay l nhiu hn cc h s
l bng nhau v thng k (4) cc h s c tha mn vi gii hn tuyn tnh hay
khng v (5) c tnh n nh cu trc ca m hnh hi quy khng.
5. Nh trong trng hp hai bin, m hnh hi quy a bin c th c dng cho mc
ch d bo trung bnh hay ring bit.

*
t chn.
21
i vi ni dung gn ng nh vy, xem A. Buse, The Likelihood Ratio, Wald and Lagrange Multiplier Tests:
An Expository Note, American Statisticians, tp 36, 1982, trang 153 157.
22
Russell Davidson v James G. MacKinnon, Estimation and Inference in Econometrics, Oxford University Press,
New York, 1993, trang 456

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
31
NI DUNG TIP THEO

Vi chng ny, ta kt thc phn tho lun ca chng ta v m hnh hi quy tuyn tnh c in
bt u Chng 2. Nh ta ch ra dn dn, m hnh c in da trn cc gi thit cht
ch hay l tng no . Nhng n cung cp cho ta khun mu hay l tiu chun i vi n,
ta c th cn nhc cc m hnh hi quy khc, nhng ci ang c xen vo ch ngha thc t
bng cch ni lng mt hay nhiu hn cc gi thit ca m hnh c in. Nhim v ca chng ta
trong phn cn li ca quyn sch ny l tm ra iu g s xy ra nu mt hay nhiu hn gi thit
ca m hnh c in b ni lng. Ta mun bit m hnh c in mnh nh th no trong
trng hp ta chp nhn cc gi thit t cht ch hn. Ta mun bit, v d, iu g s xy ra nu
gi thit mang tnh khun mu b ni lng, hay nu ta cho php c phng sai ca sai s thay i
hay tng quan chui, hay l cc sai s c trng.
Nhng trc khi quay v vi yu cu ny, chng ti gii thiu trong Chng 9 m hnh
c in trong cch vit bng ma trn. Chng ny khng ch trnh by phn tm tt thun li t
Chng 1 n 8 m cn cho thy i s ma trn l mt cng c hu ch nh th no mt khi ta
i xa hn cc m hnh hi quy hai hay ba bin; khng c n vic tnh ton m hnh hi quy k
bin s l cng vic phin toi kinh khng.
Cng cn lu rng Chng 9 khng phi l thit yu hiu phn cn li ca sch ny.
N ch yu hng ti li ch cho cc sinh vin thin v Ton hc. Cn i vi cc nguyn tc c
s v i s ma trn cho trong Ph lc B, bn c cha c kin thc trc v i s ma trn
s thy gia tr khi c k Chng ny. Nhng cho php ti lp li, Chng ny khng phi l
ch cht hiu phn cn li ca sch ny; n c th c b qua m khng mt i tnh lin
tc.

CC BI TP
Cc cu hi
8.1 Gi s bn mun nghin cu hnh vi ca vic bn sn phm, nh l, s lng xe hi
trong mt s nm v gi s c ngi gi bn hy th cc m hnh sau:

Y
t
= b
0
+ b
1
t
Y
t
= o
0

+ o
1
t + o
2
t
2

trong : Y
t
= mc bn ti thi gian t, c tnh bng nm. M hnh th nht gi nh
rng mc bn l hm tuyn tnh ca thi gian, trong khi m hnh th hai khng nh rng
l hm bc hai ca thi gian.
(a) Hy tho lun cc tnh cht ca cc m hnh ny.
(b) Bn quyt nh nh th no gia hai phng trnh?
(c) Trong bi cnh no th m hnh bc hai l c ch?
(d) Th thu thp d liu v mc bn xe hi M cho 20 nm qua v xem m hnh no
hp tt vi d liu.
8.2. Hy chng t rng t s F trong (8.5.16) bng vi t s F trong (8.5.18) (Gi : ESS /
TSS = R
2
)
8.3. Hy chng t rng cc kim nh F ca (8.5.18) v (8.7.10) l tng ng.
8.4. Hy thit lp cc pht biu (8.7.11) v (8.7.12).
8.5. Hy xem xt hm sn xut Cobb-Douglas

(1)
3 2
1
| |
| K L Y =

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
32

trong Y = sn lng, L = nhp lng lao ng, v K = nhp lng vn. Chia (1) cho K
ta c
(2)
Ly logarit t nhin ca (2) ta thu c
ln(Y/K) = b
0

+ b
2
ln (L/K) + (b
2
+ b
3
1) lnK (3)
trong b
0
= ln b
1

(a) Gi s bn c d liu thc hin hi quy (3). Bn lm th no kim nh gi
thit cho rng sinh li khng i theo qui m, ngha l (b
2
+ b
3
) = 1 ?
(b) Nu c li ch khng i theo qui m, bn gii thch hi quy (3) nh th no?
(c) C khc bit g khng nu ta chia (1) cho L ch khng phi K?

8.6. Cc gi tr ti hn ca R
2
khi R
2
thc = 0. Phng trnh (8.5.11) cho mi lin quan gia
F v R
2
di gi thit rng tt c cc h s dc ring phn l ng thi bng 0 (ngha l
R
2
= 0). Ch cn ta tm c gi tr ti hn ca F ti mc ngha a t Bng F, ta c th
tm ra gi tr ti hn ca R
2
t quan h sau :

trong k l s cc thng s trong m hnh hi quy bao gm c tung gc v trong F
l gi tr ti hn ca F ti mc ngha a. Nu R
2
quan st c vt qu ti hn R
2
thu
c t cng thc trn, ta c th bc b gi thit rng R
2
thc = 0.
Hy thit lp cng thc trn v tm ra gi tr ti hn ca R
2
(ti a = 5%) i vi hi
quy (8.2.2)
8.7. Tun theo qui trnh loi b thnh phn xu hng cc chui thi gian tho lun trong
Phn 8.2, hy kim chng rng i vi d kin cho trong Bng 8.1, h s dc trong
hi quy ca Y loi b thnh phn xu hng theo X
2
loi b thnh phn xu hng
ng bng b
2
c trong (8.2.2)
8.8. R
2
thu c trong (8.2.2) c ging nh i lng thu c t hi quy ca detrended Y
trn detrended X
2
khng? Hy gii thch.
8.9. Tip theo Phn 8.2, hy xt cc hi quy sau:
(1)
trong = (tuyn tnh) Y loi b thnh phn xu hng, = (tuyn tnh) X
2
loi
b thnh phn xu hng v w
1i
= phn d (tt c cc w trong cc hi quy sau u l cc
phn d).

(2)
(X
3
l thi gian ) (3)
(4)
Hy chng t rng a
2
= b
2
= c
2
= d
2
. Bn c th rt ra kt lun tng qut g? (Lu : a
2
=
b
2
)
8.10. Da trn d liu hng nm cho thi k 1968 1987, cc kt qu hi quy sau y c tnh
1
1
3 2 2
) / ( ) / (
+
=
| | |
| K K L K y
) ( ) 1 (
) 1 ( 2
k n F k
F k
R
+

=
i i i
w u a a u
1 2 2 1 1
+ + =
i
u
1
i
u
2
i i i
w u b b Y
2 2 2 1
+ + =
i i i i
w X c X c c u
3 3 3 2 2 1 1
+ + + =
i i i i
w X d u d d Y
4 3 3 2 2 1
+ + + =

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
33
bng:
R
2
= 0.9776 (1)
R
2
= 0.9388 (2)

trong Y = mc chi tiu cho hng nhp M, t la nm 1982, X
2
= thu nhp kh dng
c nhn sau thu, t la nm 1982 v X
3
= bin xu hng.
Cho bit pht biu sau ng hay sai: Sai s chun ca X
3
trong (1) l 4.2750. Hy trnh
by cc tnh ton ca bn. ( Gi : s dng lin quan gia R
2
, F v t)

8.11. Gi s rng trong hi quy :
ln(Y
i
/X
2i
) =o
1
+o
2
lnX
2i
+o
3
lnX
3i
+ u
i

cc gi tr ca cc h s hi quy v cc sai s chun ca chng bit.
*
T kin thc ny,
bng cch no bn c lng cc thng s v cc sai s chun ca m hnh hi quy sau:

lnY
i
= b
1
+b
2
lnX
2i
+b
3
lnX
3i
+ u
i

8.12. Gi s nh sau:

Y
i
=b
1
+b
2
X
2i
+b
3
X
3i
+b
4
X
2i
X
3i
+ u
i

trong Y l mc chi tiu tiu dng c nhn, X
2
l thu nhp c nhn , X
3
l ca ci c
nhn
T
. S hng (X
2i
X
3i
) c bit nh l s hng tng tc.Biu thc ny c ngha g ?
Bn lm th no kim nh gi thit cho rng thin hng tiu dng bin t (MPC)
(ngha l b
2
) l c lp vi ca ci ca ngi tiu dng ?
8.13. Bn c cho trc cc kt qu hi quy sau y:

= 16899 - 2978.5 X
2t
R
2
= 0.6149
t = (8.5152) (-4.7280)
= 9734.2 - 3782.2 X
2t
+ 2815 X
3t
R
2
= 0.7706
t = (3.3705) (-6.6070) (2.9712)

Bn c th tm ra c c mu nn tng ca cc kt qu ny khng?
( Gi : nhc li mi lin quan gia cc gi tr R
2
, F v t).
8.14. Cn c vo tho lun ca ta v cc php kim nh ring bit v lin kt ca cc gi thit
tng ng da trn cc kim nh t v F , bi cnh no trong nhng bi cnh sau y l
c kh nng xy ra:
1. Bc b gi thit khng lin kt da trn c s thng k F, nhng khng bc b mi gi
thit khng ring bit da trn c s cc kim nh t ring bit;
2. bc b gi thit khng lin kt da trn c s thng k F, bc b mt gi thit ring bit

*
chp nhn t Peter Kennedy, A Guide to Econometrics,(Hng dn kinh t lng), NXB MIT, bn 3,
Cambridge, Massachusetts, 1992, trang 310.
T
Nh sch trn trang 327 .
t t t
X X Y
3 2
195 . 23 6470 . 0 92 . 859
+ =
t t
X Y
2
2452 . 0 09 . 261
+ =
t
Y
t
Y

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
34
trn c s kim nh t, v khng bc b gi thit ring bit khc trn c s kim nh t
ring bit.
3. Bc b gi thit khng lin kt da trn c s tr thng k F, v bc b mi gi thit khng
ring bit da trn c s cc kim nh t ring bit;
4. Khng bc b gi thit khng lin kt da trn c s tr thng k F, v khng bc b mi
gi thit khng ring da trn c s cc kim nh t ring bit;
5. Khng bc b gi thit khng lin kt da trn c s tr thng k F , bc b mt gi thit
ring bit da trn c s kim nh t, v khng bc b gi thit ring bit khc trn c s
kim nh t;
6. Khng bc b gi thit khng lin kt da trn c s tr thng k F, nhng bc b mi
gi thit khng ring bit da trn c s cc kim nh t ring bit.
**

Cc vn

8.15. Tham kho bi tp 7.18.
(a) v c ngha thng k ring bit khng?
(b) Chng c khc 1 v mt thng k khng?
(c) v c ngha thng k ring bit khng?
(d) D liu c h tr gi thit cho rng b
2
= b
3
= 0 hay khng?

(e) Hy kim nh gi thit cho rng o
2
= o
3
= 0.
(f) Bn tnh cc co gin ca sn lng theo lao ng v vn cho m hnh th nht
nh th no? Cho m hnh th hai nh th no?
(g) Bn thch chn m hnh no? V sao?
(h) Hy so snh cc gi tr R
2
ca hai m hnh. Bn c th s dng mc ngha 5%.
(a) Hy kim nh ngha ton din ca hm hi quy c lng.
(b) ng gp gia tng ca X
2
i
l g?
(c) Bn c gi c X
2
t
trong m hnh trn c s ca kim nh F khng? Trn c s ca
R
2
?
(a) Th no l cc co gin trong thu nhp v trong li sut thc ca cc cn bng tin
mt thc?
(b) Cc co gin trn c ngha thng k ring bit khng?
(c) Hy kim nh ngha ton din ca hi quy c lng.
(d) co gin trong thu nhp ca nhu cu i vi cc cn bng tin mt thc c khc
bit so vi 1 khng?
(e) Bin li sut c cn c gi trong m hnh khng? V sao?
8.18. Tip tc vi bi tp 7.25. Gi thit rng ta thc hin hi quy sau y:

trong = tng cn bng tin mt danh ngha ti thi gian t. Y
t
= ton b thu nhp
thc ti thi gian t , r
t
= li sut di hn ti thi gian t v P
t
= yu t gim lm pht gi n
ti thi gian t (nh l i lng ca mc gi chung).

**
Trch dn t Ernst R. Berndt, The Practice of Econometrics: Classic and Contemporary, (Thc hnh kinh t
lng: C in v ng thi), Addison-Wesley, Reading, massachusetts, 1991, trang 79.
2
|
3
|
2
o
3
o
3 2 1
0
o o o
o
t t t
n
t
P r Y M =
n
t
M

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
35
(a) Hy chy hi quy trn v gii thch cc kt qu.
(b) So snh cc kt qu ca hi quy ny vi cc kt qu thu c t hi quy ca bi tp
7.25.
(c) Mt tin nghim, gi tr a
3
s nh th no? V sao?
(d) Bn c th ni g v o tng v trong Kinh t n cho thi k 1948 1965?
8.19. Tip tc vi bi tp 8.18, hy xt nhu cu sau cho hm tin t:

trong , b sung cho cc nh ngha cho trong bi tp 8.18, i din cho ton
b thu nhp quc dn rng danh ngha.
(a) Hy chy hi quy trn v bnh lun cc kt qu ca bn.
(b) So snh cc kt qu ca hi quy ny vi cc kt qu thu c t cc bi tp 7.25 v
8.18.
(c) Tng quan gia a
1
v
1
l g (nu c) ?

8.20. Gi s rng Y v X
2
,X
3
,...,X
k
l phn phi chun lin kt da bnh thng v gi s rng
gi thit khng rng cc tng quan ring phn tng th bng 0 mt cch ring bit, R. A.
Fisher chng t :

tun theo phn phi t vi n-k-2 bc t do, trong k l h s tng quan ring phn bc k
v trong n l s lng tng cng cc quan st. (Lu r
12. 3
l h s tng quan ring
phn bc 1, r
12. 34
l h s tng quan ring phn bc 2 v.v...). Tham kho bi tp 7.2. Gi
thit rng Y v X
2
v X
3
c phn phi chun lin kt. Hy tnh 3 tng quan ring phn
r
12. 3
, r
13. 2
, r
23. 1
v kim nh ngha chung ca chng di gi thit rng cc tng quan
tng th tng ng u bng 0 mt cch ring bit.
8.21. Trong nghin cu nhu cu my ko nng nghip M cho thi k 1921

- 1941 v 1948 -
1957, Griliches
*
thu c cc kt qu sau:

logY
t
= hng s 0.519 logX
2t
4.933 log X
3t
R
2
= 0.793
(0.231) (0.477)

trong Y
t
= gi tr d tr ca my ko trn cc trang tri vo ngy 1 thng 1, tnh bng
la nm 1935 - 1939, X
2
= ch s cc gi tr cho cc my ko chia cho t s cc gi
nhn cho tt c cc ma ti thi gian (t-1), X
3
= li sut thnh hnh trong nm (t-1), v
trong cc sai s chun c lng c cho trong ngoc n.
(a) Hy gii thch hi quy trn.
(b) Cc h s dc c lng c ngha thng k ring bit khng? Chng c khc 1
mt cch ng k khng ?
(c) Hy s dng k thut phn tch phng sai kim nh ngha ca hi quy ton
din . Gi : S dng R
2
khc nhau ca ANOVA.

*
Z. Griliches , The Demand for a Durable Input: Farm Tractors in the United States, 1921 1957, (Nhu cu i
vi nhp lng lu di: my ko nng nghip M), trong The demand for Durable Goods,Arnold C. Harberger
(ed.), NXB University of Chicago, 1960, Bng 1, trang 192.
3 2 1
) (
0

t t
n
t
n
t
P r Y M =
n
t
Y
2
... 34 . 12
... 34 . 12
1
2
k
k
r
k n r
t

=

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
36
(d) Bn tnh co gin li sut ca nhu cu my ko nng nghip nh th no?
(e) Bn kim nh ngha ca R
2
c lng nh th no?

8.22. Hy xt phng trnh xc nh lng sau y i vi nn kinh t Anh
T
cho thi k 1950 -
1969:

= 8.582 + 0.364(PF)
t
+ 0.004 (PF)
t-1
- 2.560 U
t

(1.129) (0.080) (0.072) (0.568)
R
2
= 0.873; df = 15.

trong W = tin lng cho mi cng nhn, PF = gi ca u ra sn lng cui cng
mc chi ph, U = tht nghip Anh nh l phn trm ca tng s cc cng nhn Anh, v
t = thi gian. (cc s trong cc ngoc n l cc sai s chun c lng ).
(a) Gii thch phng trnh trn.
(b) Cc h s c lng c ngha ring bit khng?
(c) L do cn bn a (PF)
t -1
vo m hnh l g?
(d) Bin (PF)
t -1
c cn phi b ra khi m hnh khng? V sao?
(e) Bn tnh co gin ca tin lng cho mi cng nhn nh th no vi trng s n
t l tht nghip U?
8.23. bin thin ca phng trnh xc nh lng cho trc trong bi tp 8.22 nh sau
*
:

= 1.073 + 5.288 V
t
- 0.116X
t
+ 0.054M
t
+ 0.046M
t-1

(0.797) (0.812) (0.111) (0.022) (0.019)
R
2
= 0.934; df = 14
trong W ging nh trc, V = ch lm vic cn trng Anh nh l phn trm ca tng
s cng nhn Anh, X = tng sn phm ni a tnh cho mi cng nhn c tuyn dng,
M = gi nhp khu, v M
t -1
= gi nhp khu nm trc (hay l nm b tr) (cc sai s
chun c lng c cho trong ngoc n).
(a) Gii thch phng trnh trn,
(b) Cc h s c lng no l c ngha thng k ring bit?
(c) L do c bn a bin X vo m hnh l g? Mt tin nghim, du k vng ca
X c phi l m khng?
(d) Mc ch a c M
t
v M
t -1
vo trong m hnh l g?
(e) Cc bin no c th b ra khi m hnh? V sao?
(f) Hy kim nh ngha ton din ca hi quy quan st.
8.24. Tham kho hi quy ng cong b sung k vng Phillips (7.6.2). H s ca X
3
, t l lm
pht k vng, v mt thng k c bng 1 nh l theo l thuyt hay khng? Trnh by cc
tnh ton ca bn.
8.25. i vi hm nhu cu v g, ta c lng trong (8.7.24), co gin ca thu nhp c
lng c bng 1 khng? co gin ca gi c bng -1 khng?
8.26. i vi hm nhu cu (8.7.24) bn lm th no kim nh gi thit cho rng co gin
v thu nhp bng v gi tr nhng ngc du vi co gin v gi ca nhu cu? Trnh by

T
Ly t Prices and Earning in 1951 - 1969 : An Econometric assessment, Dept. of Employment, HMSO, 1971,
phng trnh (19), trang 35.
*
Sch trn, phng trnh (67), trang 37.
t
W
t
W

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
37
cc tnh ton cn thit. ( Lu : cov( ) = -0.00142)
8.27. Tham kho hm nhu cu hoa hng ca bi tp 7.20. Hn ch xem xt ca bn trong c
trng Logarit.
(a) co gin gi-ch c lng ca nhu cu l g (ngha l co gin ng vi gi ca
hoa hng)?
(b) N c ngha thng k khng?
(c) Nu c, n c khc 1 mt cch ang k hay khng?
(d) Mt tin nghim, du mong i ca X
3
(gi cm chng) v X
4
(thu nhp) s nh th
no? Cc kt qu thc nghim c theo ng cc k vng ny khng?
(e) Nu cc h s ca X
3
v X
4
l khng c ngha v thng k, cc nguyn nhn c th
l g?
8.28. Tham kho bi tp 7.21 lin quan n hot ng ca khai thc du.
(a) Mi h s dc c lng c ngha thng k ring bit ti mc 5% hay khng?
(b) Bn c th bc b gi thit cho rng R
2
= 0 hay khng?
(c) T l tng trng tc thi ca hot ng ca khai thc du cho thi k 1948-1978 l
nh th no? T l tng trng ly tin tng ng?
8.29. Tham kho hi quy ph tn ngn sch quc phng c lng trong bi tp 7.22.
(a) Bnh lun chung v cc kt qu hi quy c lng.
(b) Lp bng ANOVA v kim nh gi thit cho rng tt c cc h s dc ring phn
bng 0.
8.30. Dng sau y c bit nh l hm sn xut siu vit (TPF), l s khi qut ho hm sn
xut Cobb-Douglas ni ting:

trong Y= sn lng, L= nhp lng lao ng v K= nhp lng vn.
Sau khi ly logarit v thm s hng nhiu ngu nhin, ta thu c hm sn xut siu vit
nh l:
lnY
i
= b
0
+b
2
lnL
i
+ b
3
lnK
i
+ b
4
L
i
+b
5
K
i
+ u
i

trong b
0
= lnb
1

(a) Cc tnh cht ca hm ny l g?
(b) i vi hm TPF, gim thnh hm sn xut Cobb-Douglas, cc gi tr ca b
4
v
b
5
s phi nh th no?
(c) Nu bn c d liu, bn c th tin hnh nh th no tm ra rng hm TPF c
gim thnh hm sn xut Cobb-Douglas hay khng? Bn nn s dng quy trnh
kim nh no?
(d) Hy xem hm TPF c thch hp vi d liu cho trong bi tp 7.18 hay khng?
Trnh by cc tnh ton ca bn.

8.31. Cc gi nng lng v s hnh thnh vn M, 1948-1978. kim nh gi thit rng
s tng gi nng lng lin quan n sn lng dn n s suy gim trong hiu sut vn
tn ti v ngun lc lao ng, John A.Tatom c lng hm sn xut sau y i vi
Hoa K cho thi k tnh theo qu t qu1-1948 n qu 2-1978:
*

*
Xem sch ca ng Energy Prices and Capital Formation:(Cc gi nng lng v s hnh thnh gi) 1972-1977,,
Review, Federal Reserve Bank of St. Louis, tp 61, s 5, thng 5/1979, trang 4.
3 2
| |
K L
i
e k L Y
5 4 3 2
1
| | | |
|
+
=

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
38
ln(y/k) = 1.5492 + 0.7135ln(h/k) - 0.1081ln(P
e
/P)
(16.33) (21.69) (-6.42)
+ 0.0045t R
2
= 0.98
(15.86)

trong , y = sn lng thc trong khu vc kinh doanh t nhn, k = i lng o lu
lng ca cc dch v vn, h = gi cng (person hours) trong khu vc kinh doanh t nhn,
P
e
= ch s gi ngi sn xut i vi nhin liu v cc sn phm lin quan, P = ch s
gim lm pht gi trong khu vc kinh doanh t nhn, v t = thi gian. Cc s trong ngoc
n l cc tr s thng k t.
(a) Cc kt qu c ng h gi thit ca tc gi khng?
(b) Gia nm 1972 v 1977 , gi lin quan ca nng lng, (P
e
/P) tng trong khong
60%. T hi quy c lng, s tn tht v hiu sut l bao nhiu?
(c) Sau khi tun theo cc thay i trong (h/k) v (P
e
/P), t l xu hng ca s tng
trng hiu sut cho thi k mu l nh th no?
(d) Bn c th gii thch nh th no v gi tr h s 0.7135?
(e) C phi thc t rng mi h s dc ring phn c lng l c ngha v mt thng
k mt cch ring bit khng?(V sao?), c ngha l ta c th bc b gi thit rng
R
2
= 0 hay khng? V sao c v v sao khng?

8.32 Nhu cu v cp . Bng trang sau cho d liu c s dng bi cc nh sn xut cp in
thoi d bo mc bn cho khch hng chnh trong thi k 1968-1983.
T

Cc bin trong bng c xc nh nh sau:
Y = mc bn hng nm trong MPF, tnh bng triu feet i
X
2
= tng sn phm quc gia (GNP), t la
X
3
= Thng k nh , ngn n v
X
4
= t l tht nghip, phn trm
X
5
= t l chm 6 thng trc
X
6
= mc li gii hn ca ngi tiu dng, phn trm

Cc bin hi quy
X
2
, X
3
, X
4
, X
5
, X
6
, Y,
Nm GNP Thng k
nh
Tht
nghip %
T l chm 6
thng trc
Mc li gii
hn ca ngi
tiu dng %
Mc mua
cht do
tng cng
(MPF)
1968 1,051.8 1,503.6 3.6 5.8 5.9 5,873
1969 1,078.8 1,486.7 3.5 6.7 4.5 7,852
1970 1,075.3 1,434.8 5.0 8.4 4.2 8,189
1971 1,107.5 2,035.6 6.0 6.2 4.2 7,497
1972 1,171.1 2,360.8 5.6 5.4 4.9 8,534
1973 1,235.0 2,043.9 4.9 5.9 5.0 8,688
1974 1,217.8 1,331.9 5.6 9.4 4.1 7,270
1975 1,202.3 1,160.0 8.5 9.4 3.4 5,020
1976 1,271.0 1,535.0 7.7 7.2 4.2 6,035
1977 1,332.7 1,961.8 7.0 6.6 4.5 7,425

T
Ti bit n Daniel J.Reardon v thu thp v x l d liu.

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
39
1978 1,399.2 2,009.3 6.0 7.6 3.9 9,400
1979 1,431.6 1,721.9 6.0 10.6 4.4 9,350
1980 1,480.7 1,298.0 7.2 14.9 3.9 6,540
1981 1,510.3 1,100.0 7.6 16.6 3.1 7,675
1982 1,492.2 1,039.0 9.2 17.5 0.6 7,419
1983 1,535.4 1,200.0 8.8 16.0 1.5 7,923
Bn phi xem xt m hnh sau y:
Y
i
= b
1
+ b
2
X
2t
+ b
3
X
3t
+ b
4
X
4t
+ b
5
X
5t
+ b
6
X
6t
+ u
t
(a) Hy c lng hi quy trn.
(b) Du k vng ca cc h s ca m hnh ny nh th no?
(c) Cc kt qu thc nghim c tun theo cc k vng tin nghim khng ?
(d) Cc h s hi quy ring phn c lng c ngha thng k ring bit ti mc
ngha 5% khng ?
(e) Gi s rng: u tin bn ch hi quy Y trn X
2
, X
3
v X
4
, sau bn quyt nh thm
cc bin X
5
v X
6
. Bn lm th no tm ra rng vic thm cc bin X
5
v X
6
c
xng ng hay khng? Bn s dng php kim nh no? Trnh by cc tnh ton cn
thit.

8.33. Marc Nerlove c lng hm chi ph sau cho vic pht in
*

(1)
trong Y = tng chi ph sn xut, X= cng sut tnh bng Kwh, P
1
= gi nhp lng lao
ng, P
2
= gi nhp lng vn, P
3
= gi nhin liu v u = s hng nhiu. Ni mt cch l
thuyt, tng ca cc co gin v gi c d tnh l 1, ngha l ( o
1
+ o
2
+ o
3
)=1.
Bng vic n nh gii hn ny, hm chi ph trn c th c vit nh l:
(2)
Ni cch khc, (1) l hm chi ph khng gii hn v (2) l hm chi ph gii hn.
Trn c s mu ca 29 hng c quy m va, v sau khi bin i logarit, Nerlove thu
c cc kt qu sau:

lnY
i
= -4.93 + 0.94 lnX
i
+ 0.31 ln P
1
(3)
se = (1.96) (0.11) (0.23)
- 0.26lnP
2
+ 0.44lnP
3

(0.29)
.
(0.07) RSS = 0.336

ln(Y/P
3
) = - 6.65 + 0.91 ln X + 0.51 ln (P
1
/P
3
) + 0.09 ln(P
2
/P
3
)
se = (0.16) (0.11) (0.19) (0.16) RSS = 0.364 (4)

(a) Hy gii thch cc phng trnh (3) v (4).
(b) Bn lm th no tm ra rng gii hn ( o
1
+o
2
+o
3
) =1 c hiu lc hay khng?
Trnh by cc tnh ton ca bn.

*
Marc Nerlove, Return to Scale in Electric Supply, (Sinh li theo qui m trong cung cp in),, in Carl Christ,
Ed., Measurement in Economics, NXB Standford University, Palo Alto, California, 1963. Cch vit c thay i.
u P P P AX Y
3 2 1
o o o |
=
u P P P P AX P Y
2 1
) / ( ) / ( ) / (
3 2 3 1 3
o o |
=

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
40

8.34. S c lng m hnh nh gi vn ti sn (CAPM). Trong phn 6.1 ta xt ngn gn
m hnh nh gi vn ti sn ni ting ca L thuyt tp danh mc u t hin i. Trong
phn tch thc nghim, CAPM c c lng bi hai giai on.

Giai on I (Hi quy chui thi gian). i vi mi trong N chng khon bao gm trong
mu, ta tin hnh hi quy sau y theo thi gian:
(1)
trong R
it
v R
mt
l cc t l sinh li ca chng khon th i v v ca c danh mc u t
th trng (cho l S & P 500) trong nm t; b
i
, nh lu mi ni, l Beta hay l h s
bin thin trn th trng ca chng khon th i , v e
it
l cc phn d. Tt c c N hi quy
nh th, mt hi quy i vi mi chng khon, do cho ta N c lng ca b
i
.

Giai on II (Hi quy i chiu). Trong giai on ny, ta tin hnh hi quy sau y theo
N chng khon:
(2)
trong l trung bnh ca t l sinh li i v chng khon i tnh theo thi k mu
c bao ph bi giai on I, b
i
l h s Beta c lng t hi quy giai on 1, v u
i
l s
hng phn d.
So snh hi quy giai on II (2) vi phng trnh CAPM (6.1.2) c vit nh l:
ER
i
= r
f
+ b
i
(ER
m
- r
f
) (3)
trong r
f
l t l ri ro t nhin ca sut sinh li khng c ri ro, ta thy rng l c
lng ca r
f
v l c

lng ca (ER
m -
r
f
), ph bo him ri ro th trng.
V vy, trong kim nh thc nghim ca CAPM, v |
i
^
c s dng nh cc hm c
lng tng ng ca ER
i
v b
i
. By gi, nu CAPM c tha mn, theo ngha thng k,

= R
m
r
f
, hm c lng ca (ER
m
- r
f
).

Tip theo, hy xem xt m hnh thay th:
(4)
trong l phng sai d ca chng khon th i t hi quy giai on I. Sau , nu
CAPM c hiu lc, khng cn phi khc 0 mt cch ng k.
lm kim nh CAPM, Levy tin hnh cc hi quy (2) v (4) trn mu ca
101 c phiu cho thi k 1948 1968 v thu c cc kt qu sau
*
:

*
H. Levy, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio, (S can
bng trog mt th trng khng hon ho: Mt s rng buc v s chng khon trong tp danh mc u t),
American Economic Review , tp 68, s 4, thng 9, 1978, trang 643 658.
it mt i i it
e R R + + = | o
i i i
u R + + = |

2 1
i
R
1

2

i
R
f
r =
1

2

i e i i
u s R
i
+ + + =
2
3 2 1
|
2
i
e
s
3


Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
41

= 0.109 + 0.037b
i

(0.009) (0.008) (2)
t = (12.0) (5.1) R
2
= 0.21
= 0.106 + 0.0024 + 0.201
(0.008) (0.007) (0.038) (4)
t = (13.2) (3.3) (5.3) R
2
= 0.39
(a) Cc kt qu ny c ng h CAPM khng?
(b) Liu c ng b sung bin vo m hnh khng?
(c) Nu CAPM c tha mn, trong (2) cn xp x gi tr trung bnh ca t l khng ri
ro r
f
. Gi tr c lng l 10.9 phn trm. Gi tr ny c th coi gn nh l c lng
chp nhn c ca t l sinh li khng c ri ro trong sut thi k quan st 1948 1968
khng? (Bn c th xt t l sinh li trn Ngn phiu Kho bc hay l ti sn khng ri ro
so snh tng t.
(d) Nu CAPM c tha mn, ph bo him ri ro th trng t (2) bng vo
khong 3.7 phn trm. Nu r
f
c cho l 10.9 phn trm, n ng i vi thi k
mu bng khong 14.6 phn trm. Liu y c phi l c lng c v chp nhn c?
(e) Bn c th ni chung g v CAPM?

8.35. Bng km theo y cho d liu v tit kim c nhn (Y) v thu nhp c nhn (X), c hai
tnh bng t la cho cc nm 1970 1991.

Tit kim c nhn (Y) v thu nhp c nhn (X),
Hoa k ,1970 1991, d liu tnh bng t la
Nm Tit kim Y Thu nhp X
1970 57.5 831.0
1971 65.4 893.5
1972 59.7 980.5
1973 86.1 1,098.7
1974 93.4 1,205.7
1975 100.3 1,307.3
1976 93.0 1,446.3
1977 87.9 1,601.3
1978 107.8 1,807.9
1979 123.3 2,033.1
1980 153.8 2,265.4
1981 191.8 2,534.7
1982 199.5 2,690.9
1983 168.7 2,862.5
1984 222.0 3,154.6
1985 189.3 3,379.8
1986 187.5 3,590.4
1987 142.0 3,802.0
1988 155.7 4,075.9
1989 152.1 4,380.3
i
R
i
R
i
|
2
i
e
s
2
i
e
s
1

f m
r R
m
R

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
42
1990 175.6 4,664.2
1991 199.6 4,828.3
Ngun : Bo co kinh t ca Tng thng, 1993, Bng B-24, trang 376

thy c c s thay i ngha hay khng trong lin quan tit kim-thu nhp cho thi
k 1970 1980 v 1981 1991 (thi k cc Tng thng Reagan v Bush), Hy tin hnh
kim nh Chow. Bn c th dng m hnh tuyn tnh hay tuyn tnh logarit lin quan
gia tit kim v thu nhp. Hy trnh by cc tnh ton ca bn tht r rng. Bn c th rt
ra kt lun chung g t php phn tch ny? Mt cch trc gic, lm th no bn tm ra rng
cc gi thit ca php kim nh Chow c c thc hin hay khng?

*
PH LC 8A.
KIM NH T L THCH HP (LR)

Kim nh LR c da trn nguyn tc thch hp ti a (ML) tho lun trong Ph lc 4A,
trong ta cho thy ngi ta thu c cc hm c lng ML ca m hnh hi quy hai bin
nh th no. Nguyn tc c th c m rng mt cch khng kh khn i vi m hnh hi
quy a bin. Theo gi thit cho rng cc nhiu u
i
c phn phi chun, ta ch ra rng i vi
m hnh hi quy hai bin cc hm c lng OLS v ML ca cc h s hi quy l ng nht,
nhng cc phng sai sai s c lng th khc nhau. Hm c lng bnh phng ti thiu
thng thng (OLS) ca o
2
l , nhng hm c lng ML l , i lng
trc l khng thin lch cn i lng sau l thin lch, tuy rng trong cc mu ln s thin
lch s bin mt.
Thc s cng ng nh vy trong trng hp hi quy a bin. minh ha, hy xt hm
nhu cu tuyn tnh i vi hoa hng cho trong phng trnh (8.9.1). Tng ng vi phng
trnh (5) ca Ph lc 4A, hm thch hp logarit i vi (8.9.1) c th c vit nh l:

ln LF
=
3 2 2 1
2
(
2
1
) 2 ln(
2 2
i i
X Y
n n
o o o t o
(1)

Nh thy ra Ph lc 4A, ly vi phn ca hm ny theo o
1
, o
2
, o
3
v o
2
, cho biu
thc kt qu bng 0, v gii, ta thu c cc hm c lng ML ca o
1
,

o
2
, o
3
s l ng nht
vi cc hm c lng OLS c cho trong phng trnh (8.9.3), nhng phng sai sai s s
khc bit trong tng bnh phng ca cc phn d (RSS) s c chia cho n ch khng phi
(n-3) nh trong trng hp ca OLS.
By gi, cho php chng ti gi thit rng gi thit khng H
0
ca ta l: o
3
, h s ca bin
gi cm chng, X
3
, bng 0. Trong trng hp ny, hm thch hp logarit ca ta cho trong (1)
s tr thnh:

ln LF (2)

Phng trnh (2) c bit nh hm thch hp logarit gii hn (RLLF), bi v n c

*
T chn
) 2 /(
2
n u
i
n u
i
/
2
=
2
2 2 1
2
) (
2
1
) 2 ln(
2
ln
2
i i
X Y
n n
o o t o

Cc phng php nh lng
Bi c

Kinh t lng c s - 3
rd
ed.
Vn suy lun

Hiu nh: Cao Ho Thi
43
c lng vi gii hn rng o
3
tin nghim bng 0, trong khi phng trnh (1) c bit nh l
hm thch hp (LF) logarit khng gii hn (ULLF) bi v khng c mt gii hn tin nghim
no c n nh cho cc thng s. kim tra hiu lc ca gii hn tin nghim rng o
3
bng
0, kim nh LR thu c tr thng k kim nh sau:

= 2(ULLF - RLLF) (3)
*

trong ULLF v RLLF tng ng l hm thch hp logarit khng gii hn [phng trnh (1)]
v hm thch hp logarit gii hn [phng trnh (2)]. Nu c mu ln, n c th cho thy rng tr
thng k kim nh cho trong (3) tun theo phn phi Chi-bnh phng (_
2
) vi bc t do
bng s cc gii hn c t bi gi thit khng, tc l bng 1 trong trng hp ny.
T tng c s ng sau kim nh LR tht n gin: Nu (cc) gii hn tin nghim
hiu lc, cc hm LF gii hn v khng gii hn logarit khng cn khc bit nhau, trong trng
hp , trong (3) s bng 0. Nhng nu khng phi trng hp , hai hm LF s i chch
nhau. V v trong mu ln ta bit rng tun theo phn phi Chi-bnh phng, ta c th tm ra
rng chnh lch ny c ngha thng k, cho l ti mc ngha 1 hoc 5%, hay khng. Hay
khc i, ta c th tm ra gi tr p ca c c lng.
tip tc vi v d ca chng ta, s dng MICRO TSP loi 7.0, ta thu c d liu sau:

ULLF = -132.3601 v RLLF = -136.5061

Do ,

= 2[-132.3601 (-136.50610)] = 8.2992

Ni theo cch tim cn, n c phn phi nh l phn phi chi-bnh phng vi 1
bc t do (v ta ch c 1 gii hn t)
T
. Gi tr p t cch tnh gi tr chi-bnh phng
8.2992 hay ln hn l vo khong 0.004 l xc sut nh. Do , ngi ta c th bc b gi
thit khng rng gi cm chung khng c nh hng n nhu cu v hoa hng, ngha l,
trong phng trnh (8.9.3) bin X
3
cn c gi li. Th th, khng c g ng ngc nhin
rng gi tr t ca h s ca X
3
c ngha trong phng trnh ny.
Do tnh phc tp ton hc ca cc kim nh Wald v LM, ta s khng tho lun chng
y. Nhng nh lu trong bi, ni theo cch tim cn, cc kim nh LR, Wald v LM cho
cc cu tr li ng nht, s la chn kim nh ph thuc vo tnh thun tin ca vic tnh ton.

*
Biu thc ny cng c th biu din nh l -2(RLLF - ULLF) hay l -2 ln(RLF/ULF).
T
trong v d ny, kch thc mu l kh nh. Do , ngi ta cn thn trng trong s dng cc kt qu tim cn. V
d ca ta ch l, ng nhin, i vi khoa s phm.

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Nin kha 2011-2013

| chnh chng tun theo phn phi chun vi

| l cc hm c lng phng sai cc tiu

| c ngha thng k, ngha l khc 0. Thc ra nh

| nh trong phn 8.4 khng? Cu tr li l khng vi cc l do sau:

| theo gi thit khng rng b

| . Do , theo quy trnh phn tch phng sai

| ) c tnh t cng thc quen thuc sau (xem Ph lc thng k

| ) vo (8.6.3) , tr thng k kim

| . Bt k chng trnh vi tnh chun no nh SAS, SPSS, hay l

nh ta bit, l hm c lng ca E(Y , X

Y ) c c t (8.10.3) v trong , ngi ta gi s rng d bo ny da trn cc

Chng trnh ging dy kinh t Fulbright

Chng trnh ging dy kinh t Fulbright

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