bai giang ktl
TRANSCRIPT
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KINH T LNG
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Gio trnh kinh t lng -Trng i hc Kinh t TP.H Ch Minh
Bi ging Kinh t lng -Trng i hc Kinh t quc dn -Nh xut bn thng k
Phn mm s dng: Eviews, Mfit, SPSS, STATA
Phng tin hc tp: my vi tnh, my tnh b ti
Bi ging in t
Ti liu tham kho
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Cu trc hc phn
Chng 1: M u
Chng 2: M hnh hi quy hai bin
Chng 4: M hnh hi quy vi bin gi
Chng 6: T tng quan
Chng 5: Phng sai ca sai s thay i
Chng 7: a cng tuyn
Chng 8: Kim nh v la chn m hnh
Chng 3: M hnh hi quy nhiu bin
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Hot ng ca sinh vin
* Ln lp y theo quy ch
* Thc hin bi kim tra iu kin
* Lm ti tho lun theo nhm
* T nghin cu mt s vn trong mn hc
* Thc hnh phn mm Eviews theo hng dn
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Knh lin lc gia ging vin v sinh vin
a ch: [email protected]
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KIN THC B TR
1. TON CAO CP
2. L THUYT XC SUT V THNG K TON
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TON CAO CP
1.1 MA TRN
Cc khi nim v ma trn: vung, i xng, n
v, chuyn v, phn b i s, nghch o, hng,
nh thc
Cc php ton v ma trn: cng, nhn 2 ma trn
Cch xc nh ma trn nghch o.
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TON CAO CP
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TON CAO CP
1.2 CC TR CA HM NHIU BIN
Bi ton: Cho hm s
y= f(x1, x2,,xn)
Tm cc tr ca hm s trn nu c
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TON CAO CP
1.2 CC TR CA HM NHIU BIN
Phng php:
Tm tt c cc o hm ring cp 1 fxi
Gii h {fxi =0} Tm im dng M(x1, x2,,xn)
Xt dng ton phng xc nh m (dng)
cc i ( cc tiu)
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TON CAO CP
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L THUYT XC SUT V
THNG K TON
2.1 I LNG NGU NHIN
K hiu: X, Y, Z,
Cc tham s c trng: E(X), Var(X), Se(X)
Cc quy lut phn phi xc sut quan trng:
N(,2) , 2(n), T(n), F(n1,n2)
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2.1 I LNG NGU NHIN
Cc cng thc xc sut quan trng:
Nu T~T(n), th
(n)
P(T > t )
P(|T|< t(n)/2) = 1-
P(T t(n)/2) =
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Cc cng thc xc sut quan trng:
Nu F~ F(n1,n2), th
1 2(n ,n )
P(F > f )
2.1 I LNG NGU NHIN
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TNG QUAN GIA CC LNN
Hip phng sai ( Covariance)
Cov(X,Y)= 0: X,Y khng tng quan
Cov(X,Y)=Cov(Y,X)
Cov(X,X)=VAR(X)
Cov X,Y E X E X Y E Y
2.1 I LNG NGU NHIN
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TNG QUAN GIA CC LNN
H s tng quan
Ch : ||1
-1 0 1
TQ m Khng TQ TQ dng
xy
Cov X,Y
Se(X).Se(Y)
2.1 I LNG NGU NHIN
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TNG QUAN GIA CC LNN
Ma trn hip phng sai ca cc LNN
2.1 I LNG NGU NHIN
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2.1 I LNG NGU NHIN
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2.2 C LNG THAM S BNG KHONG T.C
Xy dng thng k
Tm khong tin cy ngu nhin
Trn mu, xc nh khong tin cy c th
Kt lun
2.1 I LNG NGU NHIN
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2.3 KIM NH GI THUYT THNG K
PP truyn thng
Xy dng tiu chun kim nh
Tm min bc b H0
Trn mu, xc nh gi tr thc nghim
So snh gttn vi min bc b v kt lun
Kt lun
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Phng php P-value
Tnh P-value
So snh P-value theo 2 trng hp sau:
2.3 KIM NH GI THUYT THNG K
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0.050.01
Bc b H0
Cha c
s bc b H0
Bc b H0 (cha
vng chc)
Phng php P-value
a) Cha bit mc ngha
2.3 KIM NH GI THUYT THNG K
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Phng php P-value
b) bit mc ngha
Bc b H0
Cha c
s bc b H0
2.3 KIM NH GI THUYT THNG K
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CHNG 1: M U
1.1 TNG QUAN V KINH T LNG
1.2 CC KHI NIM C BN
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1.1 TNG QUAN V KINH T LNG
1.1.1 Khi nim
1.1.2 Ni dung nghin cu
1.1.3 Qu trnh phn tch kinh t lng
1.1.4 ngha ca kinh t lng
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1.1.1 Khi nim
Da trn c s ca cc mn khoa hc: Kinh t hc,
Thng k, Thng k ton v Ton hc v Tin hc.
Nhm: nh lng cc mi quan h kinh t;
d bo cc bin s kinh t; phn tch cc
chnh sch kinh t.
Econometrics- o lng kinh t
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1.1.2 Ni dung nghin cu
Thit lp cc m hnh ton hc m t mi quan h
gia cc bin kinh t
o lng mc nh hng ca cc bin kinh t
ny n cc bin kinh t khc
Da vo cc m hnh ton hc d bo cc hin
tng kinh t
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1.1.3 Qu trnh phn tch kinh t lng
Nu gi
thit
D bo v
xut
chnh sch
KGT v
MH
L cc
tham s
ca MH
Thit lp
MH ton
Thu thp
s liu
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1.1.4 ngha
Kim chng c l thuyt kinh t c ph hp
hay khng ra quyt nh ng n trong hot
ng kinh doanh.
Trang b mt phng php lng ha cc mi
quan h kinh t.
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1.2 CC KHI NIM C BN
1.2.1 Phn tch hi quy
1.2.2 M hnh hi quy tng th v MHHQ mu
1.2.3 Sai s ngu nhin
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1.2.1 Phn tch hi quy
Phn tch hi quy l nghin cu s ph thuc ca
mt bin Y( bin ph thuc) vo mt hay
nhiu bin Xj khc ( bin c lp)
Gi thit: Y l bin ngu nhin, Xj l cc bin
phi ngu nhin.
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Phn tch hi quy nhm:
c lng gi tr ca bin ph thuc khi bit
gi tr ca cc bin c lp
Kim nh gi thuyt v s ph thuc
D bo gi tr trung bnh v c bit ca bin
ph thuc.
1.2.1 Phn tch hi quy
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1.2.2 M hnh hi quy tng th v
m hnh hi quy mu
( 1 )
M hnh hi quy tng th (hm tng th - PRF)
l hm c dng tng qut
ji 2i 3i ki2E(Y / X = X ) = f(X ,X ,...X )k
j j
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Y l bin ph thuc
X2 , X3,.., Xk l cc bin c lp
k = 2: (1) l MHHQ n
k > 2: (1) l MHHQ bi
1.2.2 M hnh hi quy tng th v
m hnh hi quy mu
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( 2 )
M hnh hi quy mu (hm mu - SRF) l hm
c dng tng qut
2i 3i kiY = f(X ,X ,...X )
ji 2E(Y / X = X )k
j jY l c lng im ca Yi v
f l hm c lng ca hm f
1.2.2 M hnh hi quy tng th v
m hnh hi quy mu
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1.2.3 Sai s ngu nhin v phn d
( 3 ) ji 2U = Y -E(Y / X = X )k
i i j j
Sai s ngu nhin ( nhiu ngu nhin) ca hm hi
quy tng th:
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1.2.3 Sai s ngu nhin v phn d
Phn d: ( 3 )
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1.2.3 Sai s ngu nhin
Khi hm hi quy tng th (1) c th biu din
di dng
2i 3i ki= f(X ,X ,...X ) + Ui iY
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Chng 3: M HNH HI QUY
TUYN TNH NHIU BIN
3.1. Cc khi nim c bn v MHHQ TT nhiu bin
3.2. Xy dng MHHQ mu bng PPBPNN
3.3 . c lng v KGT v cc h s hi quy tng th
3.4. H s xc nh bi v KGT ng thi
3.5. Phn tch hi quy v d bo
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3.1 Cc khi nim c bn v MHHQ
tuyn tnh nhiu bin
3.1.1. MHHQ TT tng th v mu
3.1.2. Phn d
3.1.3. Dng ma trn ca MHHQ
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3.1.1 MHHQ tng th v MHHQ mu
a) MHHQ tng th
i 1 2 2i k ki iY X ... X U
(3.1)
Hay
kj ji 1 2 2i k kij 2E Y X X X ... X
(3.1*)
Xt k bin Y , X2 , X3, , Xk
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* ngha ca cc h s hi quy
Khi tt c cc bin c lp u nhn gi tr bng
0, th gi tr trung bnh ca bin ph thuc Y l
Khi bin Xj tng ln 1 v, cc bin c lp cn
li khng i, th gi tr trung bnh ca bin ph
thuc Y tng ln (gim xung) v
1 :
:j
j
3.1.1 MHHQ tuyn tnh tng th v mu
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b) MHHQ mu
1 2 ki 2i kiY X ... X (3.2)
3.1.1 MHHQ tuyn tnh tng th v mu
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3.1.2 Phn d
i i ie Y Y (3.3)
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3.1.3 Dng ma trn ca MHHQ
Y
x
u
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3.1.3 Dng ma trn ca MHHQ
Dng ma trn ca (3.1*) l
Dng ma trn ca (3.2) l
(3.4)
(3.5)
(3.6)
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3.2 Xy dng MHHQ mu bng
phng php bnh phng nh nht
3.2.1. Cc gi thit c bn ca MHHQ
3.2.2. Phng php bnh phng nh nht (OLS)
3.2.3. Cc tnh cht ca cc c lng bnh phng
nh nht(LBPNN)
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3.2.1Cc gi thit c bn ca MHHQ
jX j 1,k
iE U 0 i 1,n
Gi thit 1:
~ Ma trn X hon ton xc nh
Gi thit 2:
l cc bin s
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3.2.1Cc gi thit c bn ca MHHQ
2iVar U i 1,2,...,n
Gi thit 6:
Gi thit 5:
Gi thit 3:
1TX X
rg(X) = k
2iU ~ N 0;
Gi thit 4: i jCov U ,U 0 i 1 j
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3.2.2 Phng php bnh phng nh nht
a) Khi nim
L phng php xy dng MHHQ mu sao cho tng
bnh phng cc phn d t gi tr nh nht
2
1 2 k i , ,..., : e min
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3.2.2 Phng php bnh phng nh nht
b) Cng thc xc nh cc h s hi quy mu
(3.7)
T TX X, X Y l hai ma trn c s
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2i 3i ki
2
2i 2i 2i 3i 2i ki
T 2
3i 3i 2i 3i 3i ki
2
ki ki 2i ki 3i ki k k
n X X ... X
X X X X ... X X
X X X X X X ... X X
... ... ... ... ...
X X X X X ... X
i
i 2iT
i ki k 1
Y
YXX Y
...
YX
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3.2.2 Phng php bnh phng nh nht
Cc h s hi quy mu c xc nh trong cng
thc (3.7) gi l cc c lng bnh phng nh
nht ca
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3.2.2 Phng php bnh phng nh nht
Ch :
Trong trng hp MH c 3 bin Y, X, Z, xc
nh hai ma trn c s, ta cn tm 9 tng sau:
2
i i i i
2
i i i i
2
i i i i
Y Y X Z
X X YX
Z Z YZ
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3.2.2 Phng php bnh phng nh nht
V D 3.1
Yi 84 90 92 96 100 108 120 126 130 136
Xi 8 9 10 9 10 12 13 14 14 15
Zi 9 8 8 7 7 8 7 7 6 6
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V D 3.1
Y: doanh s bn ra trong mt thng (triu ng)
X: chi ph dnh cho qung co trong mt thng (triu
ng)
Z: gi bn 1 sn phm (ngn ng)
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V D 3.1
1 2 3
i i i Y X Z
BI TP 3.1 Bng PPBPNN, xy dng hm hi
quy mu di dng sau:
Nu ngha ca cc h s hi quy mu va tm
c
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3.2.3 Tnh cht ca cc LBPNN
Tnh cht 1:
Tnh cht 2: i1 Y = Y = Yn
i
1Y = Y
n j ji
1X = X (j = 2,k)
n
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Tnh cht 3:
Tnh cht 5:
ie 0
i ie Y 0
n
i jii 1
e X 0
Tnh cht 4:
3.2.3 Tnh cht ca cc LBPNN
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Tnh cht 6 (nh l Gauss Markov):
Tuyn tnh:
Khng chch
Phng sai nh nht
n
j ji i
i=1
= t Y
j jE( ) =
' 'j j j
'
j j :E( )=
Var( ) = min Var( )
3.2.3 Tnh cht ca cc LBPNN
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3.3 c lng v KGT v
cc h s hi quy tng th
3.3.1. Ma trn hip phng sai ca cc h s hi quy
mu
3.3.2. c lng cc h s hi quy tng th
3.3.3. Kim nh gi thuyt v cc h s hi quy tng
th
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3.3.1. Ma trn hip phng sai ca
cc h s hi quy mu
a) nh ngha:
1 1 2 1 k
2 1 2 2 k
k 1 k 2 k
Var( ) cov( , ) ... cov( , )
cov( , ) Var( ) ... cov( , )cov() =... ... ... ...
cov( , ) cov( , ) ... Var( )
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b) nh l:
(3.8)
H qu:
cjj l phn t th j nm trn ng cho
chnh ca ma trn (XTX)-1
(3.9)
3.3.1. Ma trn hip phng sai ca
cc h s hi quy mu
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Ch :
1)2
2i
e =
n - k
2
ie2) Cng thc tnh
2 T T T
ie = Y Y- X Y
(3.10)
(3.11)
3.3.1. Ma trn hip phng sai ca
cc h s hi quy mu
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3.3.1. Ma trn hip phng sai ca
cc h s hi quy mu
BI TP 3.2 Lp cng thc tnh trong
trng hp m hnh c 3 bin Y, X, Z
2
ie
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3.3.2. c lng cc h s hi quy tng th
Bi ton: Vi tin cy =1- , hy c lng j
Gii
Chn thng k j j
j
-T = ~ T(n -k) (j =1,k)
se( )
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Vi tin cy =1-, xc nh phn v n k
2
t
n k
2
P T t
3.3.2. c lng cc h s hi quy tng th
Khong tin cy ca j
(3.12)
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3.3.2. c lng cc h s hi quy tng th
Trn mu, tnh cc gi tr ca
Kt lun
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V D 3.2
BI TP 3.3 S dng s liu trong v d 3.1, hy xc
nh khong tin cy 95% ca 2
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3.3.3. Kim nh gi thuyt v
cc h s hi quy tng th
Bi ton: Vi mc ngha .Kim nh gi thuyt
v j theo mt trong 3 bi ton sau:
0
0 j j
0
1 j j
H :
H :
0
0 j j
0
1 j j
H :
H :
0
0 j j
0
1 j j
H :
H :
Bi ton 2:
Bi ton 3:
Bi ton 1:
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Chn tiu chun kim nh:
T~ T n kNu H0 ng th
Vi mc ngha
3.3.3. Kim nh gi thuyt v
cc h s hi quy tng th
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Bi ton 1: xc nh phn v n k
2
t
Ta c: n k
2
P T t
n k
2
W t : t t
3.3.3. Kim nh gi thuyt v
cc h s hi quy tng th
Min bc b H0:
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Bi ton 2: xc nh phn v n kt
Ta c: n kP T t
n k W t :t t
3.3.3. Kim nh gi thuyt v
cc h s hi quy tng th
Min bc b H0:
-
Bi ton 3: xc nh phn v n kt
Ta c: n kP T t
n k W t :t t
3.3.3. Kim nh gi thuyt v
cc h s hi quy tng th
Min bc b H0:
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Tnh gi tr thc nghim:
So snh t vi W kt lun theo quy tc kim nh
Kt lun chung
3.3.3. Kim nh gi thuyt v
cc h s hi quy tng th
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V D 3.3
BI TP 3.4 S dng s liu trong v d 3.1,
a) Vi mc ngha 0,01 hy kim nh gi thuyt:
gi bn khng nh hng ti doanh s bn ra.
b) Vi mc ngha 0,05, liu c th ni rng khi
gi bn khng i, chi ph dnh cho qung co tng
ln 1 triu ng/1 thng, th doanh thu trung bnh
tng cao hn 6 triu hay khng?
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3.4. H s xc nh bi v kim nh
gi thuyt ng thi
3.4.1 Cc k hiu
3.4.2 H s xc nh bi v h s xc nh bi
hiu chnh
3.4.2 Kim nh gi thuyt ng thi
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1. TSS
2. ESS
3. RSS
2( )iY Y
2( )iY Y
2 2( )i i iY Y e
3.4.1 Cc k hiu
TSS= ESS + RSS (3.12)
22
iY nY
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3.4.2 H s xc nh bi v h s xc
nh bi hiu chnh
1ESS RSS
TSS TSS R2 =
nh ngha :
(3.13)
a) H s xc nh bi
2
i2
22
i
eR =1-
Y - nY
Hay
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ngha : o mc ph hp ca hm hi quy
3.4.2 H s xc nh bi v
h s xc nh bi hiu chnh
a) H s xc nh bi
Tnh cht
1. 0 R2 1
2. Nu k1< k2 th R12 R2
2
-
nh ngha : 2
2 n 1R 1 1 Rn k
(3.14)
3.4.2 H s xc nh bi v h s xc
nh bi hiu chnh
b) H s xc nh bi hiu chnh
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ngha :
Dng quyt nh vic c nn a thm bin mi
vo m hnh hay khng
Vic a thm bin mi vo m hnh l cn thit
chng no cn tng, v h s gc ng vi bin
c ngha thng k
2
R
3.4.2 H s xc nh bi v
h s xc nh bi hiu chnh
b) H s xc nh bi hiu chnh
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3.4.3. Kim nh gi thuyt ng thi
Bi ton: Vi mc ngha , kim nh gi thuyt
tt c cc bin c lp X2 ,X3,..,Xk u khng nh
hng ti bin ph thuc Y
-
),(:
...:
kjshmtnhttH
H
j
k
20
0
1
320
Bi ton:
2
0
2
1
: 0
: 0
H R
H R
3.4.3. Kim nh gi thuyt ng thi
-
- Tiu chun kim nh
2
2
R n -kF = .
1-R k -1
Nu gi thit H0 ng th F ~ F(k-1,n-k)
3.4.3. Kim nh gi thuyt ng thi
(3.15)
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Tm min bc b H0 , vi mc ngha , xc nh
k 1,n kP F f k 1,n kf
W = f :f > f (k -1,n -k)
3.4.3. Kim nh gi thuyt ng thi
-
Tnh gi tr thc nghim:
So snh gi tr thc nghim f vi W
Kt lun chung
2
2
R n -kf = .
1-R k -1
3.4.3. Kim nh gi thuyt ng thi
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V D 3.4
BI TP 3.5 S dng s liu trong v d 3.1, vi
mc ngha 0.01, hy kim nh gi thuyt: c hai
yu t chi ph dnh cho qung co v gi bn u
khng nh hng ti doanh s bn ra.
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3.5. Phn tch hi quy v d bo
3.5.1 D bo gi tr trung bnh
3.5.1 D bo gi tr trung bnh
-
Gi s gi tr ca cc bin c lp X2 ,X3 ,,Xk
tng ng l X20 ,X30 ,, Xk0 . K hiu:
X0
20
30
k0
1
X
X
X
3.5. Phn tch hi quy v d bo
-
-12 T T0 0 0 Var Y X X X X (3.17)
(3.16)
-12 2 T T0 0 0 0 0 Var Y - Y = Var Y + 1+X X X X
(3.18)
3.5. Phn tch hi quy v d bo
-
Vi tin cy cho trc, hy d bo gi tr trung
bnh ca Y l
Bi ton
3.5.1 D bo gi tr trung bnh
2 20 3 30 k k0E Y X X ,X X ,...,X X
Hay E(Y/X0)
-
Vi tin cy xc nh phn v
0 00
0
Y - E Y XT = ~ T n - k
Se Y
1 n k
2
t.
Chn thng k
Ta c: n k
0
2
P T t
Gii
3.5.1 D bo gi tr trung bnh
-
0E Y X
n-k n-k0 0 0 02 2
Y - t Se Y ;Y + t Se Y
Vy khong tin cy ca l :
n-k n-k0 0 0 0 02 2
P Y - t Se Y < E Y X < Y + t Se Y =
2.5.1 D bo gi tr trung bnh
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V D 3.5
BI TP 3.6 S dng s liu trong v d 3.1, vi
tin cy 98%, hy d bo doanh s bn ra
trung bnh trong mt thng ca cc ca hng c
chi ph dnh cho qung co l 10 triu ng/ 1
thng v gi bn l 8 ngn ng/ 1 sn phm.
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Vi tin cy cho trc, hy d bo gi tr c
bit Y0 ca Y khi cc bin c lp X2 ,X3 ,,Xk
nhn cc gi tr tng ng l X20 ,X30 ,, Xk0
Bi ton
3.5.2 D bo gi tr c bit
-
Vi tin cy xc nh phn v
0 00
0 0
Y YT = ~ T n - k
Se Y Y
1 n k
2
t.
Chn thng k
Ta c: n k
0
2
P T t
Gi i
3.5.2 D bo gi tr c bit
-
n-k n-k0 0 0 0 0 02 2
Y - t Se Y Y ;Y + t Se Y Y
Vy khong tin cy ca Y0 l :
n-k n-k0 0 0 0 0 0 02 2
P Y - t Se Y Y < Y < Y + t Se Y Y =
3.5.2 D bo gi tr c bit
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V D 3.6
BI TP 3.7 S dng s liu trong v d 3.1,
vi tin cy 98%, hy d bo doanh s bn ra
trong mt thng ca cc ca hng c chi ph
dnh cho qung co l 10 triu ng/ 1 thng v
gi bn l 8 ngn ng/ 1 sn phm.
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BI TP CHNG 3
Y 2 2.1 2.4 2.6 2.9 3 3.2 3.5 3.6 3.8 4 4
X 1.2 1.5 1.6 1.7 1.8 2 2.2 2.3 2.5 2.3 2.5 2.8
Z 0.4 0.4 0.5 0.5 0.6 0.6 0.7 0.7 0.8 0.9 0.8 0.7
iY
iX
iZ
-
Yi : li nhun ca doanh nghip i (t VND/1 nm)
Zi :chi ph hot ng ca doanh nghip i (t VND/1
thng)
Xi : ngun vn huy ng ca doanh nghip i (t VND/1
nm)
BI TP CHNG 3
-
1 2 3
i i i Y X Z
Nu ngha ca cc h s hi quy mu va tm
c
BI TP CHNG 3
1. Bng PPBPNN, hy xy dng m hnh hi quy
mu c dng sau:
-
BI TP CHNG 3
2. Tm khong tin cy 98% ca 3
3. Vi mc ngha 1%, KGT ngun vn khng
nh hng ti li nhun ca DN
4. Vi mc ngha 5%, KGT c hai yu t
ngun vn v chi ph khng nh hng ti li
nhun ca DN
-
BI TP CHNG 3
5. Vi tin cy 95%, d bo li nhun trung
bnh ca DN khi ngun vn huy ng l 3 t
VN/ 1 nm, v chi ph hot ng l1.2 t VN/1
thng.
6. Kim tra kt qu bng Eviews
-
Chng 4:
M HNH HI QUY CHA BIN GI
4.1. Khi nim v bin gi
4.2 . Cc m hnh c cha bin gi
4.3. ng dng ca bin gi
-
4.1. Khi nim v bin gi
4.1.1 Bin s lng (nh lng):
4.1.2 Bin cht lng (nh tnh):
4.1.3 Bin gi:
Bin gi ch nhn hai gi tr : 0, 1
-
4.1. Khi nim v bin gi
4.1.4 K thut bin gi:
1/ Nu bin cht lng c m thuc tnh, lng ho
bin ny ta cn dng m-1 bin gi
3/ Thuc tnh m tt c cc bin gi u nhn gi tr
bng 0 gi l thuc tnh c s
2/ Mi bin gi, gn bng 1 vi mt thuc tnh v bng
0 nu khng c thuc tnh .
-
4.2 . Cc m hnh c cha bin gi
4.2.1 M hnh c mt bin c lp l bin cht
lng c hai thuc tnh
4.2.2 M hnh c mt bin c lp l bin cht
lng c nhiu hn hai thuc tnh
4.2.3 M hnh cha nhiu bin c lp u l
bin cht lng
4.2.4 M hnh hn hp
-
4.2.1 M hnh c mt bin c lp l
bin cht lng c hai thuc tnh
Z=1 nu l A
Z=0 nu l B
Xt mi quan h Y v bin cht lng c hai thuc
tnh l A v B.
Gi s MHHQ c dng:
(4.1) 1 2 iE Y / = + ZiZ Z
-
V d:
Y l nng sut ca x nghip (vsp/ 1 gi)
Z=1 nu s dng cng ngh sn xut l A
Z=0 nu s dng cng ngh sn xut l B
18 3,2i iY Z
4.2.1 M hnh c mt bin c lp l
bin cht lng c hai thuc tnh
-
4.2.2 M hnh c mt bin c lp l bin
cht lng c nhiu hn hai thuc tnh
Xt mi quan h: Y vi bin cht lng c m thuc
tnh (m>2)
lng ho bin cht lng trn cn dng m-1
bin gi: Z2, Z3,, Zm
Zj =1 nu bin cht lng c thuc tnh j
Zj =0 nu bin cht lng khng c thuc tnh j
-
Gi s MHHQ c dng:
1 2 2i 3 3i mi2E Y / = + Z + Z ...+ Zm
j ji mjZ Z
(4.2)
4.2.2 M hnh c mt bin c lp l bin
cht lng c nhiu hn hai thuc tnh
-
V d: iiii ZZZY 432 5.18.46.525
Trong Y l doanh s bn hng trong 1 ngy (triu
ng)
4.2.2 M hnh c mt bin c lp l bin
cht lng c nhiu hn hai thuc tnh
-
+) Z2 = 1 nu l ma xun
Z2 = 0 nu khng l ma xun
+) Z3 = 1 nu l ma h
Z3 = 0 nu khng l ma h
+) Z4 = 1 nu l ma thu
Z4 = 0 nu khng l ma thu
iiii ZZZY 432 5.18.46.525
-
4.2.3 M hnh c nhiu bin c lp u
l cc bin cht lng
Xt m hnh: Y, v k-1 bin c lp u l cc bin
cht lng.
Khi s bin gi cn s dng l:
Bin c lp th j c mj thuc tnh.
( 1)jm
-
4.2.3 M hnh c nhiu bin c lp u
l cc bin cht lng
V d:
iiiiii ZZZZZY 65432 5.32.25.18.16.55
Y : thu nhp 1 thng (triu ng)
Z2 = 1 nu l bc s
= 0 nu khng l bc s
Z3 = 1 nu l cng nhn
= 0 nu khng l CN
Z2 = Z3 = 0 nu l gio vin
-
iiiiii ZZZZZY 65432 5.32.25.18.16.55
Z4 = 1 nu c bng TC
= 0 nu khng c bng TC
Z5 = 1 nu c bng H
= 0 nu khng c bng H
Z4 = Z5 = Z6 = 0 nu c bng C
Z6 = 1 nu c bng sau H
= 0 nu khng c bng sau H
-
4.2.4 M hnh hn hp
cc bin c lp c c bin s lng v bin
cht lng
V d:iiii ZZXY 21 8.31.23.05.6
Y : mc chi tiu ca mi h gia nh 1 thng
(triu ng)
X: thu nhp ca mi h gia nh trong 1 thng
(triu ng)
-
iiii ZZXY 21 8.31.23.05.6
Z1 = 1 nu nng thn
= 0 nu khng nng thn
Z2 = 1 nu min ni
= 0 nu khng min ni
Z1 = Z2 = 0 nu thnh ph
-
4.3. ng dng ca bin gi
4.3.1. Phn tch ma
4.3.2. So snh 2 hi quy
4.3.3. Hi quy tuyn tnh tng khc
-
4.3.1. Phn tch ma
Dng bin gi a yu t ma (thi gian) vo
m hnh hi quy
-
4.3.2. So snh 2 hi quy
Bi ton:
Trn mu s liu 1:
Trn mu s liu 2:
i 1 2 i iY = + X + U (1)
i 1 2 i iY = + X + U (2)
? So snh (1) v (2)
-
Z=1 nu s liu thuc mu 1
=0 nu s liu thuc mu 2
i 1 2 i 3 i 4 i i iY = + X + Z + X Z +U (4.3)
Xt m hnh:
4.3.2. So snh 2 hi quy
-
i 1 2 i 3 i 4 i i iY = + X + Z + X Z +U
Nu quan st i thuc mu s liu 1, th (4.3):
1 2 i= + Xi iY U
1 3 2 4 iY = ( + )+( + )Xi iU (1)
(2)
Nu quan st i thuc mu s liu 2, th (4.3):
(4.3)
4.3.2. So snh 2 hi quy
-
(1) (2) 3 = 4 =0
Trong m hnh (4.1), KGT:
H0 :3 = 4 =0
Nu bc b H0 th hai hi quy khc nhau
(Dng kim nh Wald)
4.3.2. So snh 2 hi quy
-
4.3.3. Hi quy tuyn tnh tng khc
Bi ton:
Gi s c chui thi gian (s liu theo thi gian)
v hai bin Y v X
? ng hi quy c b gp khc khi i qua t0 hay khng
t0 : thi im chuyn i
-
4.3.3. Hi quy tuyn tnh tng khc
O Xt
E(Y/Xt)
Xt0
-
4.3.3. Hi quy tuyn tnh tng khc
Xt bin gi Z
0
t
0
0 t tZ =
1 t > t
0t 1 2 t 3 t t t tY = + X + (X -X )Z +U
Xt MHHQ
(4.4)
-
4.3.3. Hi quy tuyn tnh tng khc
1 2 tY = + Xt tU
01 3 t 2 3 t
- X + + Xt tY U
0t 1 2 t 3 t t t tY = + X + (X -X )Z +U (4.4)
Trc thi im t0 , (4.4):
Sau thi im t0 , (4.4):
-
ng hi quy (4.4) khng b gp khc khi qua t0:
3 =0
Trong m hnh (4.4), KGT:
H0 :3 =0
Nu bc b H0 th ng hi quy b gp khc
4.3.3. Hi quy tuyn tnh tng khc
-
Yi 9 8 9 12 11 10 13 11 13 14 16 18
Xi 16 15 15 14 14 13 13 12 12 12 11 10
Zi 1 0 0 1 1 0 1 0 0 1 0 1
Y: Doanh s bn ra trong mt ngy (triu ng)
X: Gi bn (ngn ng/ . v)
Z= 0: Ca hng thnh ph,
Z= 1: Ca hng nng thn
BI TP CHNG 4
-
1 2 3
i i i Y X Z
Nu ngha ca cc h s hi quy mu va tm
c
BI TP CHNG 4
1. Bng PPBPNN, hy xy dng m hnh hi quy
mu c dng sau:
-
2. Tm khong tin cy 98% ca 2
3. Vi mc ngha 1%, KGT a im khng
nh hng ti doanh s bn ra
4. Vi mc ngha 5%, KGT c hai yu t gi
bn v a im u khng nh hng ti doanh
s bn ra.
BI TP CHNG 4
-
BI TP CHNG 4
5. Vi tin cy 95%, d bo doanh s bn ra ca
nhng ca hng thnh ph c gi bn l 14 ngn
ng/ 1 sn phm.
6. Kim tra kt qu bng Eviews
-
CC KHUYT TT CA MHHQ
Chng 5. Phng sai ca sai s (PSSS) thay i
Chng 6. T tng quan (TTQ)
Chng 7. a cng tuyn
-
5.1. Bn cht, nguyn nhn, hu qu ca hin tng
5.2. Pht hin hin tng
5.3. Khc phc hin tng ( T c sch)
Chng 5
Phng sai ca sai s (PSSS) thay i
-
a) Bn cht:
Vi phm gi thit Var(Ui)=2 (i)
Tc l: Var(Ui) = i2
5.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
b) Nguyn nhn:
-Do bn cht ca s liu
- Do m hnh thiu bin quan trng hoc dng hm sai
5.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
c) Hu qu:
-Cc c lng OLS vn l l khng chch, nhng
phng sai ca chng l l chch
- Kt qu ca bi ton c lng v kim nh gi
thuyt v cc h s hi quy khng cn ng tin cy.
5.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
1.Phng php th:
- V th phn d ei hoc ei2 theo chiu tng ca
mt bin Xj no .
- Nu vi cc gi tr khc nhau ca Xj, rng ca di
th thay i th c th ni m hnh xy ra hin tng
PSSS thay i
5.2. Pht hin hin tng
-
2. Kim nh Park:
gi s
5.2. Pht hin hin tng
2 2
2ln ln lni i iX v
2 2 2ln ln lni i ie X v
-
2. Kim nh Park:
- Hi quy MH gc, thu c ei v
- Hi quy m hnh
nu MH gc c 2 bin
(5.1)
nu MH gc c nhiu bin
5.2. Pht hin hin tng
2 2 2ln ln lni i ie X v
2 2 2ln ln lnYii ie v
-
2. Kim nh Park:
- Kim nh gi thuyt H0: 2= 0 Nu H0 b bc b th
MH khng xy ra hin tng PSSS thay i.
5.2. Pht hin hin tng
-
3. Kim nh Glejser:
Tng t kim nh Park, ch khc MH bc 2 l
mt trong cc MH sau:
5.2. Pht hin hin tng
1 2i i ie X v
1 2
1i i
i
e vX
1 2i i ie X v
1 2
1i i
i
e vX
(5.2)
-
4. Kim nh White:
Ngi ta chng minh c rng:
Nu U khng tng quan vi cc bin c lp, bnh
phng ca cc bin c lp v tch cho gia cc bin
c lp. Th phng sai ca cc l OLS tim cn vi
phng sai ng, khi n ln
5.2. Pht hin hin tng
-
5.2. Pht hin hin tng
-
Dependent Variable: LOG(E^2)
Method: Least Squares
Date: 10/02/13 Time: 05:21
Sample (adjusted): 2 11
Included observations: 10 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C 30.43261 10.58777 2.874316 0.0207
LOG(YMU) -6.499673 2.265440 -2.869056 0.0209 R-squared 0.507131 Mean dependent var 0.074239
Adjusted R-squared 0.445522 S.D. dependent var 1.570787
S.E. of regression 1.169660 Akaike info criterion 3.328159
Sum squared resid 10.94483 Schwarz criterion 3.388676
Log likelihood -14.64079 Hannan-Quinn criter. 3.261772
F-statistic 8.231482 Durbin-Watson stat 3.239316
Prob(F-statistic) 0.020859
= 5%, pht hin hin tng phng sai ca
sai s thay i
-
Dependent Variable: ABS(E)
Method: Least Squares
Date: 10/02/13 Time: 05:24
Sample (adjusted): 2 11
Included observations: 10 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C -5.758154 3.963283 -1.452875 0.1843
1/SQR(X) 23.93605 13.08790 1.828869 0.1048 R-squared 0.294829 Mean dependent var 1.450000
Adjusted R-squared 0.206682 S.D. dependent var 1.479385
S.E. of regression 1.317664 Akaike info criterion 3.566455
Sum squared resid 13.88992 Schwarz criterion 3.626972
Log likelihood -15.83228 Hannan-Quinn criter. 3.500068
F-statistic 3.344762 Durbin-Watson stat 3.096740
Prob(F-statistic) 0.104819
= 5%, pht hin hin tng phng sai ca
sai s thay i
-
Heteroskedasticity Test: White F-statistic 2.559931 Prob. F(3,5) 0.1683
Obs*R-squared 5.451046 Prob. Chi-Square(3) 0.1416
Scaled explained SS 1.399115 Prob. Chi-Square(3) 0.7057
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/02/13 Time: 05:27
Sample (adjusted): 2 10
Included observations: 9 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C 621948.9 891962.7 0.697281 0.5167
(SQR(X))^2 -1991.700 642003.9 -0.003102 0.9976
(ABS(X-Z))^2 240.5713 6369.040 0.037772 0.9713
(LOG(X^2))^2 -22216.80 340723.5 -0.065205 0.9505
= 5%, pht hin hin tng phng sai ca
sai s thay i
-
5.3. Khc phc hin tng
Bi ton: Gi s MH gc Yi = 1+ 2Xi+Ui
C xy ra hin tng PSSS thay i. Khc phc
hin tng trn
-
5.3. Khc phc hin tng
Trng hp 1: 2i bit
? Bin i MH gc v MH no? Ti sao
? Dng phng php no c lng MH sau
khi bin i
? Trng s trong phng php trn l g? Trong
thc t c th thay trng s trn bng gi tr ca
bin no
-
5.3. Khc phc hin tng
Trng hp 2: 2i cha bit
? C th p dng nhng gi thit no khc phc
? Nu cch khc phc tng ng vi mi gi thit?
Gii thch ti sao
-
6.1. Bn cht, nguyn nhn, hu qu ca hin tng
6.2. Pht hin hin tng
6.3. Khc phc hin tng (T c sch)
Chng 6. T tng quan
-
6.1. Bn cht, nguyn nhn, hu qu
ca hin tng
a) Bn cht:
Vi phm gi thit :
Cov(Ui,Uj)=E(UiUj)=0 (ij)
Tc l: Cov(Ui,Uj) 0
-
a) Bn cht:
T tng quan bc 1:
(6.1) AR(1)
T tng quan bc p:
(6.2) AR(p)
ttt UU 1
tptpttt UUUU ...2211
6.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
b) Nguyn nhn:
- Tnh qun tnh ca cc L kinh t theo thi gian
- Hin tng mng nhn
- Tnh tr ca cc bin kinh t
- Phng php thu thp v x l s liu
- Sai lm khi chn m hnh
6.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
6.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
6.2. Pht hin hin tng
1. th phn d:
- V th phn d theo quan st ( theo thi gian)
- Nu th tun theo mt quy lut no th kt
lun c t tng quan
-
2. Kim nh d Durbin- Watson:
Bi ton: Pht hin t tng quan bc 1 trong MH
Phng php:
- Hi quy MH gc, thu c
(5.5)
n
t
t
n
t
tt
e
ee
d
1
2
2
2
1
6.2. Pht hin hin tng
-
2. Kim nh d Durbin- Watson:
Phng php:
- Da vo 3 thng s: n, k=k-1, , tra bng xc
nh dU v dL v biu din trn trc s
- Xc nh khong cha d, v kt lun theo quy tc
kim nh
6.2. Pht hin hin tng
-
2. Kim nh d Durbin- Watson:
Phng php:
0 dl du 2 4-du 4-dl 4
TTQ dng Khng x Khng c TTQ Khng x TTQ m
6.2. Pht hin hin tng
-
3. Kim nh B-G (Breush- Godfrey):
Bi ton: Pht hin t tng quan bc p trong MH
(*)
Phng php:
- Hi quy MH gc (*), thu c ei
- Hi quy m hnh
(6.3)
i 1 2 2i k ki iY X ... X U
i 1 2 2i k ki 1 i 1 p i p ie X ... X e ... e V
6.2. Pht hin hin tng
-
3. Kim nh B-G (Breush- Godfrey):
Phng php:
- Kim nh gi thuyt H0: 1= 2== p=0
Tiu chun kim nh: 2=n.R2
nu H ng th 2~2(p)
Min bc b H0: )}(;{222 pW tntn
6.2. Pht hin hin tng
-
Dependent Variable: ABS(Y-Y(-1))
Method: Least Squares
Date: 09/25/13 Time: 15:11
Sample (adjusted): 2 10
Included observations: 9 after adjustments Variable Coefficient Std. Error t-Statistic Prob. SQR(X) 2.876950 3.710844 0.775282 0.4676
Z^3 -0.004958 0.018560 -0.267137 0.7983
EXP(X/Z) -0.350296 0.983669 -0.356111 0.7339 R-squared 0.128945 Mean dependent var 5.777778
Adjusted R-squared -0.161407 S.D. dependent var 2.905933
S.E. of regression 3.131682 Akaike info criterion 5.382219
Sum squared resid 58.84461 Schwarz criterion 5.447961
Log likelihood -21.21999 Hannan-Quinn criter. 5.240349
Durbin-Watson stat 1.602216
= 5%, pht hin hin tng t tng quan
-
Breusch-Godfrey Serial Correlation LM Test: F-statistic 0.557425 Prob. F(3,3) 0.6784
Obs*R-squared 3.191213 Prob. Chi-Square(3) 0.3631 Variable Coefficient Std. Error t-Statistic Prob. C -22.56983 26.01354 -0.867618 0.4494
X 0.682649 0.900053 0.758454 0.5033
Z 2.016505 2.310685 0.872687 0.4471
RESID(-1) -0.154869 0.527005 -0.293865 0.7880
RESID(-2) -0.608188 0.546628 -1.112617 0.3470
RESID(-3) 0.468176 0.699539 0.669264 0.5512
= 5%, pht hin hin tng t tng quan
-
6.3. Khc phc hin tng
Bi ton: Gi s MH gc Yi = 1+ 2Xi+Ui
C xy ra hin tng TTQ bc 1. Khc phc hin
tng trn
-
6.3. Khc phc hin tng
? Phng php no dng khc phc TTQ bc 1?
Ti sao
? Nu h s t hi quy bc 1 cha bit th c th
dng nhng phng php no c lng
? Xc nh gi tr c lng ca trong mi
phng php
-
7.1. Bn cht, nguyn nhn, hu qu ca hin tng
7.2 . Pht hin hin tng
7.3. Khc phc hin tng (T c sch)
Chng 7. a cng tuyn
-
7.1. Bn cht, nguyn nhn, hu qu
ca hin tng
a) Bn cht:
Vi phm gi thit : cc bin c lp khng
c quan h ph thuc tuyn tnh
1TX X
rg(X) = k
-
a) Bn cht:
a cng tuyn hon ho
a cng tuyn khng hon ho
2
2 2 3 3 ... 0 ( 0)i i k ki iX X X i
2
2 2 3 3 ... 0 ( 0)i i k ki i iX X X V i
7.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
b) Nguyn nhn:
- Do bn cht ca cc mi quan h gia cc bin
c lp
- M hnh dng a thc
- Mu khng mang tnh i din
7.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
7.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
7.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
7.1. Bn cht, nguyn nhn, hu qu
ca hin tng
-
7.2. Pht hin hin tng
7.2.1. R2 cao, t s t thp
7.2.2. Nhn t phng i phng sai (VIF)
7.2.3. Hi quy ph
7.2.4. Tng quan gia cc bin c lp
-
7.2.1. R2 cao, t s t thp
R2 > 0.8
Tn ti |tj|< t(n-k)
/2 hoc P-value >
Kt lun: c xy ra a cng tuyn
Ngc li, nu khng tha mn 1 trong 2 iu kin
trn th khng xy ra HT
-
7.2.2. Nhn t phng i phng sai (VIF)
-
7.2.3. Hi quy ph
Xt MHHQ ca mt bin c lp theo cc bin cn
li, Nu MH ph hp (KGT ng thi) th
Kt lun: c xy ra a cng tuyn
-
7.2.4. Tng quan cp gia cc bin c lp
-
X LOG(X)/SQR(Z) Z(-1)
X 1.000000 0.960269 -0.731193
LOG(X)/SQR(Z) 0.960269 1.000000 -0.737812
Z(-1) -0.731193 -0.737812 1.000000
pht hin hin tng a cng tuyn
-
Dependent Variable: Y^2
Method: Least Squares Date: 09/26/13 Time: 14:16
Sample: 1 10
Included observations: 10 Variable Coefficient Std. Error t-Statistic Prob.
C 5277.625 6313.316 0.835951 0.4352
SQR(X) 6566.296 15295.18 0.429305 0.6827
ABS(X-Z) 1181.473 279.0028 4.234627 0.0055
LOG(X^2) -4227.578 11376.48 -0.371607 0.7230 R-squared 0.994098 Mean dependent var 12017.20
Adjusted R-squared 0.991146 S.D. dependent var 4096.183
S.E. of regression 385.4258 Akaike info criterion 15.03575 Sum squared resid 891318.3 Schwarz criterion 15.15678
Log likelihood -71.17874 Hannan-Quinn criter. 14.90297
F-statistic 336.8429 Durbin-Watson stat 3.438842 Prob(F-statistic) 0.000000
pht hin hin tng a cng tuyn ( bin
ph thuc l Y^2)
-
Dependent Variable: SQR(X)
Method: Least Squares Date: 10/02/13 Time: 05:42
Sample: 1 11
Included observations: 11 Variable Coefficient Std. Error t-Statistic Prob.
C -0.272524 0.104676 -2.603501 0.0314
ABS(X-Z) 0.014708 0.003632 4.049691 0.0037
LOG(X^2) 0.739602 0.024752 29.88082 0.0000
R-squared 0.999504 Mean dependent var 3.340110
Adjusted R-squared 0.999380 S.D. dependent var 0.357814
S.E. of regression 0.008913 Akaike info criterion -6.375713
Sum squared resid 0.000635 Schwarz criterion -6.267196 Log likelihood 38.06642 Hannan-Quinn criter. -6.444118
F-statistic 8055.007 Durbin-Watson stat 1.913985
Prob(F-statistic) 0.000000
pht hin hin tng a cng tuyn ( bin
ph thuc l Y^2)
-
7.3. Khc phc hin tng
Bi ton: Gi s MH gc
Yi = 1+ 2X2i++ k Xki +Ui
xy ra hin tng a cng tuyn. Khc phc hin
tng trn
-
7.3. Khc phc hin tng
? Lit k nhng phng php dng khc phc
hin tng a cng tuyn? Hiu c tng ca
mi phng php ny
-
8.1 Cc thuc tnh ca 1 m hnh tt
8.2 Cc loi sai lm thng mc
8.3 Pht hin v kim nh cc sai lm ch nh
8.4 Mt s m hnh kinh t thng dng
Chng 8CHN M HNH V KIM NH VIC CHN M HNH
-
Chng 8
8.1 Cc thuc tnh ca m hnh tt
Tnh Kim
ng nht
Ph hp
Bn vng v mt l thuyt
C kh nng d bo tt
-
Chng 8
8.2 Cc loi sai lm khi chn m hnh
B st bin thch hp
a vo m hnh bin khng thch hp
Chn dng hm khng ng
-
8.2.1 B st bin gii thch
Chng 8
8.2 Cc loi sai lm khi chn m hnh
Gi s m hnh ng:
Yt = 1 + 2 X2t + 3X3t + Ut
Nhng ta chn m hnh:
Yt = 1 + 2X2t + Vt
-
Chng 8
8.2 Cc loi sai lm khi chn m hnh
2Nu X2 tng quan X3 th , khng phi l UL vng v l c lng chch v ca 1, 2
1
tt XY 221
2Nu X2 khng tng quan X3 th l UL vng v l c lng khng chch v ca 2, nhng
vn l UL chch ca 11
-
Phng sai ca sai s c lng t m hnhng v phng sai ca sai s c lng cam hnh ch nh sai s khng nh nhau.
Chng 8
8.2 Cc loi sai lm khi chn m hnh
Khong tin cy thng thng v cc th tckim nh gi thit khng cn ng tin cna.
-
8.2.2 a bin khng thch hp vo m hnh
Chng 8
8.2 Cc loi sai lm khi chn m hnh
Gi s m hnh ng:
Yt = 1 + 2 X2t + Ut
Nhng ta chn m hnh:
Yt = 1 + 2X2t + 3X3t +Vt
-
Hm hi quy mu ca m hnh sai:
Chng 8
8.2 Cc loi sai lm khi chn m hnh
Cc c lng BPNN l c lng khng chch v vng nhng khng hiu qu dn n khong tin cy s rng hn
ttt XXY 33221
j
c lng ca 2 l c lng vng
-
8.2.3 Chn dng hm khng ng
Chng 8
8.2 Cc loi sai lm khi chn m hnh
Cc kt qu thu c t vic phn tch hi quytrong m hnh sai s khng ng vi thc tv dn n cc kt lun sai lm.
-
8.3.1 Pht hin bin khng cn thit trong MH
Chng 8
8.3 Pht hin v K cc sai lm ch nh
Yi = 1 + 2X2i + 3X3i +4X4i + 5X5i +Ui
H0 : 5 = 0
H0 : 4 = 5 = 0
-
8.3.2 Kim nh cc bin b b st
Chng 8
8.3 Pht hin v K cc sai lm ch nh
Yt = 1 + 2 X2t + Ut
Nu c s liu ca Z ta ch cn UL m hnh
Yt = 1 + 2Xt + 3Zt +Vt
H0: 3 = 0
-
Chng 8
8.3 Pht hin v K cc sai lm ch nh
Nu khng c s liu ca Z ta c th s dng mt trong cc kim nh sau
-
Chng 8
8.3 Pht hin v K cc sai lm ch nh
tY
3tY
2tY
2tY
3tY
Bc 1. Hi quy Yt theo Xt ta c v R2
old
a. Kim nh RESET ca RAMSEY
Bc 2. Hi quy Yt theo Xt, , c R2
new
v kim nh cc h s ca , bng 0
-
Bc 3. Kim nh c iu kin rng buc:
Chng 8
8.4 Pht hin v K cc sai lm ch nh
m : s bin mi c a vo MHk : s h s ca m hnh mi
Khi n ln ta c F ~ F(m,n-k)
)/()1(
/)(2
22
knR
mRRF
new
oldnew
-
b. Kim nh d (Durbin-Watson)
Chng 8
8.4 Pht hin v K cc sai lm ch nh
Bc 1. c lng m hnh :
Yi = 1 + 2X2i + Ui
Bc 2. Sp xp ei theo th t tng dn ca
bin b st Z, nu Z cha c s liu th sp xp
ei theo X
-
Bc 3.
Chng 8
8.4 Pht hin v K cc sai lm ch nh
Bc 4. H0 : Dng hm ng (khng c TTQ)
n
t
te
n
t
tt ee
d
1
2
2
2
1 )(
-
Bc 2. c lng MH sau thu c R2:
Chng 8
8.4 Pht hin v K cc sai lm ch nh
tY
t
p
tpttt VYYXe .....
2
221
c. Phng php nhn t Lagrange(LM)
Bc 1. Hi quy m hnh gc thu c v et
-
Chng 8
8.4 Pht hin v K cc sai lm ch nh
Vi n kh ln 2 = nR2 c phn phi 2(p) t
ta kt lun bi ton.
-
8.3.3 Kim nh tnh PP chun ca sai s NN
Chng 8
8.3 Pht hin v K cc sai lm ch nh
-
8.4.1 Hm sn xut Cobb-Douglas
Chng 88.4 Mt s m hnh kinh t lng thng dng
Yi : sn lngXi : lng lao ng (lng vn)1,2 : cc tham s ca m hnh (2 1)
Hm sn xut vi 1 yu t u vo:
iu
ii eXY2.1
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
Logarit ha (8.1) ta c
lnYi = ln1 + 2lnXi +Ui (8.2)
t Yi = lnYi I = ln1 Xi = lnXi
Yi=I + 2 Xi+Ui (8.3)
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
th ca hm sn xut
-
Hm sn xut vi nhiu yu t u vo
Chng 88.1 Mt s m hnh kinh t lng thng dng
)4.8(. 321iu
iii eLKY
Yi : sn lngKi : lng vnLi : lng lao ng s dngUi : sai s ngu nhin
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
2 : co gin ring ca sn lng i vi vn
3: co gin ring ca sn lng /vi lng
Logarit ha (8.4) ta c
lnYi = ln1 + 2lnKi + 3lnLi + Ui (8.5)
-
Tng (2 + 3) nh gi hiu qu vic tng quy m sn xut
Chng 88.1 Mt s m hnh kinh t lng thng dng
- (2 + 3)< 1 tng quy m km hiu qu
- 2 =0 hoc 3 =0 pht trin khng hiu qu
- (2 + 3)> 1 tng quy m c hiu qu
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
Hm tng trng kinh t c dng:
Yt = Y0(1+r)t
t : thi gian
8.1.2 Hm tng trng kinh t:
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
lnYt = lnYt + t*ln(1+r)
t Yt = lnYt, 1 = lnY0, 2 =ln(1+r)
Yt = 1 + 2t
-
Ta c:
Chng 88.1 Mt s m hnh kinh t lng thng dng
2 : t s thay i tng i ca Y vi thay i tuyt i t
dt
Yd tln2dt
ydy
dt
dyy /)/(
1
-
8.1.3 M hnh Hyperbol (M hnh nghch o)
Chng 88.1 Mt s m hnh kinh t lng thng dng
M hnh phi tuyn vi X, tuyn tnh vi 1 2
i
i
i UX
Y 1
21
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
a. 1,2 >0
Thng dng khi phn tch chi ph X sn xut ra 1 sn phm
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
b. 1 >0, 2
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
c. 1 0
Mi quan h gia t l thay i tin lng v t l tht nghip
-
8.1.4 M hnh hi quy a thc
Chng 88.1 Mt s m hnh kinh t lng thng dng
Yi = 1 + 2 Xi + 3 Xi2 + Ui
Nghin cu mi quan h gia tng chi ph Yi vi tng sn phm sn xut Xi
-
Chng 88.1 Mt s m hnh kinh t lng thng dng
Dng th
Gi tr ti u X0 tng chi ph Y nh nht
-
M hnh hi quy a thc tng qut
Chng 88.1 Mt s m hnh kinh t lng thng dng
i
k
ikiii UXXXY 12
321 ...