()" *h+)" ,-a $i"h .i/" G0i 1 23 45i Bnh lun v vic bt bin khi MH (cu hi l thuyt) V d: Gi s c MH Q=b1+b2K+b3L+b4L^2+u bi hi dnh gi v kin "Khi mc dch chi l dnh gi tc dng ca K ln Q th chi cn hi quy Q theo K m khng cn dua bin L, L^2 vo m hnh"? Theo thay em nen trinh bay 2 y sau: 1) Khang dinh y kien tren la chua co co so. Boi vi: Ngoai K ra co rat nhieu yeu to anh huong den Q trong do L mot trong cac yeu to quan trong thuc su co anh huong den Q (ly thuyet ve ham san xuat trong kinh te vi mo) 2) De bo bien L va L^2 ra khoi MH thi co the lam cho MH thieu bien quan trong vi: L co the tac dong den Q va L co the co tuong quan voi K. Do do de co can cu danh gia y kien tren ta tien hanh kiem dinh gia thuyet thong ke "Bo 2 bien L, L^2 ra khoi MH". Cac buoc kiem dinh: 1) HQ MH tren --> R1^2 2) Thu hep MH bang cach bo 2 bien ra khoi MH va HQ --> R2^2 3) Thiet lap Fqs = ....; tra bang co gia tri toi han F 4) Ket luan: + Neu... + Neu... ngha ca cc hs trong cc MH c dng hm khc nhau C 4 dang hm ca MH thung gp 1) MH tuyn tnh: Y = a + bX + u E(Y/X) = a + bX b = dao hm ca E(Y/X) theo X v c ngha l X tng ln 1 n v th E(Y/X) (hiu theo ngha l trung bnh ca Y) thay di b n v 2) MH loga tuyn tnh: lnY = a + blnX + u E(lnY/lnX) = a + blnX (X, Y>0) b = h s co gin ca E(Y/X) theo X v c ngha l X tng ln 1 % th trung bnh ca Y thay di b % 3) MH bn loga: lnY = a + bX + u E(lnY/X) = a + bX (Y>0) ngha l X tng ln 1 n v th trung bnh ca Y thay di b*100(%) 4) MH bn loga: Y = a + blnX + u E(Y/lnX) = a + blnX (X>0) ngha l X tng ln 1 % th trung bnh ca Y thay di b/100 Gii thch ngha ca MH khi c bin bc 2 Y = beta1 + beta2X + beta3X^2 + beta4Z + U E(Y/X, Z) = beta1 + beta2X + beta3X^2 + beta4Z - Mc dch dua bin bc 2 ca X vo l mun xem xt Quy lut "loi sut cn bin gim dn c tc dng ln mi quan h ca bin X v bin Y hay khng - Gii thch ngha nhu sau: + ao hm bc 1 ca E(Y) theo X = beta2 + 2beta3*X: cho bit khi X tng ln 1 don vj th trung bnh ca Y thay di (beta2 + 2beta3*X) don vj (gi trj thay di ny ty thuc vo gi trj ca bin X) + ao hm bc 2 ca E(Y) theo X = 2beta3: N cho bit khi X tng ln th "gi trj cn bin ca E(Y) theo X thay di nhu th no Nu mqh gia y v X chju su chi phi ca quy lut loi sut cn bin gim dn th 2beta3<0 beta 3 <0 - Ngoi ra nu cho m hnh lnY = a + blnX + u E(lnY/lnX) = a + blnX (X, Y>0) Nu mqh gia y v X chju su chi phi ca quy lut loi sut cn bin gim dn th 0<b3<1 nu phi K th tin hnh kim djnh 2 cp gi thuyt: Cp 1: H0: b = 0; H1: b>0 v cp 2: H0:b=1; H1: b<1 (ch nu phi tnh ton c th th cc beta v b duoc thay bng cc gi trj uc luong dim ca n ly t kt qu ca m hnh) Vn v k vng ca cc hs hi quy Y = beta1 + beta2X + beta3Z + U E(Y/X, Z) = beta1 + beta2X+beta3Z - Sinh vin cn dua vo l thuyt kinh t hoc hiu bit thuc t d dua ra ky vong v cc hs hi quy ca MH. dy l ky vong du ca cc hs trong MH tng th (d sau ny di chiu vi cc gi trj uc luong duoc xem c ph hop vi ky vong hay khng). Mt s trung hop c th ky vong nhiu hon l du. v d m hnh: Chi tiu = a + bThu nhp + U (r rng ban s ky vong 0 < b<1) - ngha ca beta1 = E(Y/X=Z=0): dy l ngha v mt l thuyt. ngha thuc t ty thuc vo tnh hung kinh t (ni dung ca cc bin Y, X, Z) TC = beta1 + beta2Q + beta3Q^2+beta4Q^3 +U Beta1 = E(TC/Q=0) = chi ph c djnh trung bnh Chi tiu = beta1+beta2TN + U beta1 = E(chi tiu/TN = 0) = chi tiu ti thiu ........ Tuy nhin: ni chung khi duoc hi ngha ca cc hs hi quy th nu thy beta1 khng c ngha thuc t th cng khng cn ky vong v cng khng cn gii thch ngha ca beta1^ Vn v cc khuyt tt Khng r khi no th phi vit MH hi quy ph, cch lm th no? 1) Nu cu hi: Kim djnh cc khuyt tt ca MH + Vt cp gi thuyt + xut phuong php Kim djnh (tuong ng vi cc khuyt tt) + Kt lun dua vo kt qu 2) Nu cu hi: Gi trj thng k F-statistic hoc Khi bnh phuong qs duoc tnh t nhu th no, c kt lun g v MH B1: Nu cc buc d tnh Fqs/Khi bnh phuong qs + Vit MH ban du (l MH cn kim djnh khuyt tt) + HQ MH ny thu duoc gi trj phn du/Y^ (ty theo khuyt tt) + HQ m hnh ph (ty theo khuyt tt) + Vit cng thc d tnh Fqs/Khi bnh phuong qs B2: Dua vo kt qu d c K + Vt cp gi thuyt + xut phuong php Kim djnh (tuong ng vi cc khuyt tt) + Kt lun dua vo kt qu Cu hi Cc hs hi quy c lng c c ng tin cy hay khng? Y = beta1 + beta2X + beta3Z + U E(Y/X, Z) = beta1 + beta2X+beta3Z - Khi nim "ng tin cy l mt khi nim cn phi xem xt k dua vo thng tin cho trong bng kt qu (trnh hin tuong suy din kiu nhu "bit du vn c CT, dang hm sai.. - Theo |nh l Gauss-Markov +MH vi s liu cho: tha mn 4 gi thit (GT1 v mu ngu nhin duong nhin tha mn khng cn kim djnh; GT2: E(U)=0 Kim djnh Ramsey; GT3: SSS dng du K hite; MH khng c CT hon ho hn ny thung duoc tha mn v bn thn MH d uc luong duoc th tc l khng c CT hon ho) + MH vi s liu theo thi gian th c thm GT v TTQ (K D vi TTQ bc 1 hoc K BG vi TTQ bc bt ky) NU C T NHT 1 G THT TRNG CC G THT TRN B| V HM V C TH C CC KT QU C LNG C L KHNG NG TN CY - Nu gi thit v + SSS khng phn phi chun + CT khng hon ho mc d cao Mc d khng vi pham gi thit theo L Gauss Markov nhung lai dn dn cc hu qu v vic cc SUY DN THNG K (km djnh v L khong tin cy khng NG TN CY) KT LUN: Vic tr li "NG TN CY cn duoc phn bit nhu 2 trn Vn vi vic hiu chnh MH bng cch a bin gi vo MH - MH ban u Y = beta1 + beta2X + beta3Z + U E(Y/X, Z) = beta1 + beta2X+beta3Z - MH sau khi hiu chnh Y = beta1 + beta2X + beta3Z + beta4D+beta5D*X+beta6D*Z+ U D = 0 vi cc quan st c thuc tnh no D=1 vi cc quan st cn li - Khi duoc yu cu so snh hoc dnh gi tc dng ca Z v/hoc Z dn Y l "khc nhau khi D nhn gi trj khc nhau (quan st c thuc tnh khc nhau) chng thuc hin theo cc buc: + Xc djnh chnh xc ni dung v dt bin gi + oc yu cu d bit dua bin gi vo MH nhu th no MH1: nu ch mun xem Trung bnh ca Y c khc nhau khi D nhn gi tr khc nhau hay khng: E(Y/X,Z,D) = beta1 + beta2X + beta3Z + beta4D MH2: Khi mun nh gi tc ng ca X Y c khc nhau khi D nhn gi tr khc nhau hay khng: E(Y/X,Z,D) = beta1 + beta2X + beta3Z + beta4D*X MH3: Khi mun nh gi tc ng ca Z Y c khc nhau khi D nhn gi tr khc nhau hay khng: E(Y/X,Z,D) = beta1 + beta2X + beta3Z + beta4D*Z .. Cu hi s xoay quan: + ngha ca beta4 + Kim nh lin quan n hs beta4 trong MH M hnh vi s liu theo thi gian Yt = beta1 + beta2Xt +beta3Zt+ Ut - MH c th c bin tr ca bin dc lp Yt = beta1 + beta2Xt +beta3Zt+ beta3Xt-1 +Ut - MH c th c bin tr ca bin ph thuc Yt = beta1 + beta2Xt +beta3Zt+ beta3Yt-1 +Ut (MH ny khng th s dng kim nh TTQ bc 1 bng phng php DW v c bin tr ca bin ph thuc vi vai tr l bin c lp) - ngha hs gn vi bin tr c gii thch mt cch bnh thng nh cc bin c lp khc (v d: gi nm trc; thu nhp thng trc,.) - MH c th c bin xu th Yt = beta1 + beta2Xt +beta3Zt+ beta4T+ Ut Bin T nhn cc gi tr = 1, 2, .n tng ng vi cc quan st theo th t ngha ca beta4 = khi T tng ln 1 n v (c th l sau 1 thi k - sau 1 nm, 1 qu, 1 thng) th TB ca Y tng ln/gim xung beta4 n v trong iu kin cc yu t khc khng thay i - MH c th c yu t ma v: hy xem xt s thay di ca Y khi chuyn t ma nng ma lnh (nhu cu v bia, nc ma,.) + ua bin gi vo d dnh gi su thay di ny + hn tch hs ca bin gi Vn d bo trong MH hi quy - Du bo dua trn uc luong dim + Cho gi trj ca cc bin dc lp + Dua vo SRF: Y^ =beta^+...--> tm duoc Y^ (dy l uc luong cho E(Y/X)- mt gi trj du bo) - Du bo dua trn uc luong khong TC Y^-Se(Y^)T(n-k),a/2<= E(Y)<= Y^+Se(Y^)T(n-k),a/2 Vn d l phi c Se(Y^) (ci ny bi cho)