Kinh tế lượng bậc cao học

8/2/2019 Kinh t lng bc cao hc

1/85

KINH TLNG

BC CAO HC

ECONOMETRICS


2/85

KINH T LNG CBN

Chng 1, 2, 3

KINH T LNG NNG CAO

Chng 4, 5, 6, 7,8


3/85

TI LIU

1. Nguyn Quang Dong, (2008), Bi ging Kinh tlng, NXB Khoa hc k thut.

2. Nguyn Quang Dong, (2002), Kinh t lng -Chng trnh nng cao + Bi tp Kinh t lng

vi s trgip ca phn mm Eviews, NXB Khoa

hc k thut.

3. Nguyn Khc Minh, (2002), Cc phng php

Phn tch & Dbo trong Kinh t, NXB KHKT.

4. Damodar N.Gujarati,Basic Econometrics, 4th

Edition, Mc Graw - Hill, 2004


4/85

KHI NIM V KINH T LNG

Econometrics = Econo + Metrics o lngkinh t

i tng: cc mi quan h, cc qu trnh kinht x hi

Cng c: cc l thuyt kinh t, cc m hnhTon kinh t, phng php ton, xc sut

thng k, vi sh trca my tnh.

Kt qu: bng s, ty thuc mc ch sdng.


5/85

PHNG PHP LUN

t gi thit v vn nghin cu Xy dng m hnh

- M hnh l thuyt

- M hnh ton hc

Thu thp s liu v c lng tham s Kim nh v mi quan h Phn tch, d bo, minh chng hoc phn

bin l thuyt


6/85

KINH T LNG CBN

Basic Econometrics


7/85

CHNG 1. M HNH KINH T LNG

CHNG 2. C LNG V PHN TCH

M HNH KINH T LNG

CHNG 3. NH GI V M HNH


8/85

CHNG I. M HNH KINH T LNG

Econometrics Model1.1. Phn tch hi qui

1.2. M hnh hi qui tng th

1.3. M hnh hi qui mu

1.4. M hnh hi qui tng qut

1.5. M hnh hi qui trong kinh t


9/85

PHN TCH HI QUY

Nghin cu mi lin h ph thuc gia 1 bin(bin ph thuc) vo mt hoc mt s bin s

khc (bin c lp/bin gii thch).Bin ph thuc, thng k hiu Y, i din choi tng kinh t m ta quan tm nghin cu

s bin ng (dependent, explained, exogenous

variable).

Bin c lp, thng k hiu 1 2X, , ,...X X idin cho i tng kinh t gii thch cho s

bin ng ca bin ph thuc(independent,


10/85

explanatory, regressor)

M HNH HI QUY TNG TH

iX X

Y X= : xc nh Y l bin ngu nhin,

)( / i

Quan h hm s : x ! y[-1 ; 1] H s tng quan : ,YTng th (Population): tt c cc phn t cha

du hiu nghin cu

Phn tch da trn ton b tng th


11/85

thun tin: m hnh mt bin c lp, XY

Xgii thch cho Y, Yph thuc vo X


12/85

M HNH HI QUY TNG TH

iX X i(Y / X )

i

= c quy lut phn phi xcsut

!E(Y / X )

i

: trung bnh (k vng) c iu

kin X X= !E(Y i/ X )

(i

: quan h hm s

)i( / )E Y X f X ) (hoc )( /E Y X f X Gi l hm hi qui tng th

PRF:Population Regression Function


13/85

M HNH HI QUY TNG TH

Dng ca PRF ty thuc m hnh kinh t,gm cc h s (coefficient) cha bit

Nu hm hi quy tng th c dng ngthng:

E Y X X1 2 .( / ) = + 1 0=E Y X ( / )= : h s chn (intercept term)

2=

E Y X( / ) : h s gc (slope coefficient)


14/85

PRF cho bit quan h gia bin ph thuc

v bin gii thch v mt trung bnh trongtng th.

M HNH HI QUY TNG TH

Hm hi quy tng thc gi l tuyn tnh

nu n tuyn tnh theo tham s.

Gi tr c th i)iY Y X( / , thng thngi i). t i i i)Y E Y( /X E Y X( /u Y : l yu t

ngu nhin (nhiu, sai sngu nhin -Random

errors)


15/85

Tnh cht ca yu t ngu nhin :E(ui) = 0 ii din cho tt c nhng yu t khng phibin gii thch trong m hnh nhng cng tc

ng ti bin ph thuc.M HNH HI QUY MU

Khng bit ton b Tng th, nn dng caPRF c th bit nhng gi tr j th khng

bit.Mu : mt b phn mang thng tin ca tng

th. W = {(Xi, Yi), i = 1 n} c gi l mtmu kch thc n, n quan st (observation).


16/85

Trong mu W, tn ti mt hm s m t xu thbin ng ca bin ph thuc theo bin giithch v mt trung bnh, = ) gi l hm

hi qui mu (SRF- Sample RegressionFunction).

Y f X(

Hm hi qui mu c dng ging PRF

Nu PRF c dng i iE Y X X1 2 .+

( / )

th SRF c dng =iY 1 + iX2 . V c v s mu ngu nhin, nn c v s gi

tr ca

j1 v 2 l bin ngu nhin.


17/85

Vi mu c thw kch thc n, j l s c th.

Thng thng iY Yi , t iY v gi l

phn d(residual).i i

e Y=

ie

iu

Bn cht ca phn d ging nhca yu tngu nhin

TM TT

E Y X X1 2 .( / ) = +i

i iY 1 2+ X u. +


18/85

i iY X1= + 2

ie+

i i Y X1 2= +

iY,

1,

2, l cc c lng im tng

ng cai

e

iE(Y / X ) i, , ,u1 2

1 k

M HNH HI QUY TNG QUT

M hnh hi quy k bin, 1 bin ph thuc v) bin gii thch, h s (k c h s

chn).

( k


19/85

i i k ki E(Y ) X X1 2 2 3 31= + + ... X+ + + +k ki i X u

= + + +1 2 2 3 31i iY X X ... + + k ki

... X

+ +k ki i X e

0k

= + +1 2 2 3 31i i Y X X

= + + +1 2 2 3 31i i Y X X ...

1 2 3E(Y / X X ... X )= = = = = :h schnj

j

E(Y )( j 2,k

X

= = ): h shi quy ring-h sgc

M HNH TRONG KINH T

Hm bc nht


20/85

C Y u+ +1 2 D DQ P u+ +1 2 S SuQ P+ +1 2

Hm bc caoTC Q Q Q u + + 2 31 2 3 +4

MC Q Q u' + +2 32 3 +24AD u

Q AD + +1 2 +23 M HNH TRONG KINH T

Dng hm m: v d hm sn xut dng


21/85

Cobb-Douglas LQ K 320 tuyn tnh ha vxy dng m hnh kinh t lng:

Ln( Q ) Ln( K ) Ln( L ) u + +1 2 +3 Hm thhin tnh xu th

T l bin xu th thi gian, T = 0,1,2,

Y X T u + + +1 2 3 M hnh c bin tr: tt tY X X u +1 2 3 1 + M hnh thi quy : tt tY X Y u +1 2 3 1 +


22/85

CHNG II.C LNG V PHN TCH

M HNH KINH T LNG

2.1. c lng m hnh 2 bin

2.2. c lng m hnh tng qut

2.3. Cc gi thit ca phng php OLS

2.4. Cc tham s ca c lng OLS

2.5. c lng khong tin cy ca cc h


23/85

s

CHNG II.C LNG V PHN TCH

M HNH KINH T LNG 2.6. Kim nh gi thuyt v cc h s

2.7. c lng v t hp cc h s hiquy

2.8. Kim nh v t hp cc h s hi

quy

2.9. Sph hp ca hm hi qui


24/85

2.10. Kim nh thu hp hi quy

2.11. Dbo


25/85

C LNG M HNH HI QUY HAI BIN

M hnh hi qui hai bin l m hnh gm mtbin ph thuc (Y) v mt bin gii thch (X).

M hnh c dng: i iE(Y / X ) X1 2u

i i iY X+ +1 2

Vi mu kch thc n : W = {(Xi, Yi), i = 1 n},tm ,1 2, sao cho SRF: i i Y X+1 2 phnnh xu th bin ng v mt trung bnh camu.

Tm ,1i i

(Y Y ) e2sao cho in n

i i= = = 21 1 2 min


26/85

Gii c nghimY X Y

X ( X )

2

=22

Y X1 2

t i ii i

x X Xy Y Y = = n

i i

in

ii

x y

x

==

= 12 21

,1 2 c lng bng phng php bnhphng nh nht - LS, gi l cc c lng

bnh phng nh nht (cc c lng LS) ca

1 v 2.


27/85

C LNG M HNH TNG QUT

Vic c lng m hnh hi quy tng qutcng thc hin nh i vi hi quy n, vi

tiu chun l tm j sao chon n

i ii i

(Y iY ) e= = = 2 2

' X ) X'Y 1

1 1

t cc tiu.

Sdng ngn ngma trn, xc nh c matrn cc h sc lng vi( X=


28/85

k

k

n n

X X ...

X X ..X= .X X .

21 31

22 32

2 3

1

11 kn

X

. X.. X

1

2

n

YY

Y= .

Y

1

2

k

.

=

1

2


29/85

CC GI THIT CA PHNG PHP LS

Gi thit 1: Hm hi quy tuyn tnh theo hs

Gi thit 2: Binc lp l phi ngu nhinGi thit 3: Trung bnh ca sai sngu nhin

bng 0: 0 ( i )iE( u ) =Gi thit 4: Phng sai sai sngu nhinng

nht iVar( u ) 2

( i )


30/85

Gi thit 5: Cc sai s ngu nhin khngtng quan

i jCov( u ,u ) ( i j ) 0 Gi thit 6: SSNN v bin c lp khng

tng quan i iCov( u , X ) ( i )0

Gi thit 7: Squan st nhiu hn shsGi thit 8: Gi trca binc lp c skhc

bitln

Gi thit 9: Hm hi quic xcnhngGi thit 10: Cc bin c lp khng c quan


31/85

h cng tuyn

Gi thit 11: Yu t ngu nhin phn phichun


32/85

NH L

Nu tng th tha mn cc gi thit

trn th c lng OLS sl c lng

tuyn tnh, khng chch, tt nht (trongscc c lng khng chch) ca cc

tham s.

(BLUE: Best Linear Unbias Estimate)


33/85


34/85

CC THAM S CA C LNG LS

Vi hi quy nK vng: j j

E( ) ( j , = 1 2)Phng sai:

n

iin

ii

XVar( )

n x

==

= 2 2112

1

Var( nii

)

x

=

= 222

1

lch chun:j j

Se( ) Var( ) (j = 1,2)


35/85

2 cha bit, c c lng bi : ien

=

222

gil lch chun ca hi qui (Se. ofRegression)

Vi hi quy tng qutj j

E( ) ( j ,k = 1k

k

k

Cov( , )

Cov( , )

Var( )

1

2

)

k k

Var( ) Cov( , ) .

Cov( , ) Var( ) .Cov( )= . . . .

Cov( , ) Cov( , ) .

1 1 2

1 2 2

1 2


36/85

Cov( ) ( X ' X )= 2 1ie

n k= 2 2 vi k l s tham s cn c lng


37/85


38/85

KIM NH GI THIT V CC H S

Cp gi thit Tiu chunkim nh

Min bc b

Gi thit H0

*j j

*j j

H :

H :

= 01 ( n k

qs /T t)> 2

*

j j*

j j

H :H :

>01 *

j jqs

j

T

Se( ) = ( n kqsT t )>


39/85

*j j

*j j

H :

H :

( n k )qsT t

chp nhn H0


41/85

BO CO KT QUC LNG M HNH

BNG PHN MM EVIEWS 4.1Dependent Variable: Q

Method: Least Squares

Date: 12/18/09 Time: 22:55

Sample: 1 20

Included observations: 20

Variable Coefficient Std. Error t-Statistic Prob.

P -113.4178 32.03207 -3.540759 0.0025AD -83.87101 15.27991 -5.488973 0.0000

C 1373.239 171.4084 8.011507 0.0000

R-squared 0.739941 Mean dependent var 460.2000

Adjusted R-squared 0.709346 S.D. dependent var 155.3125S.E. of regression 83.73264 Akaike info criterion 11.83062

Sum squared resid 119189.6 Schwarz criterion 11.97998

Log likelihood -115.3062 F-statistic 24.18486

Durbin-Watson stat 1.938188 Prob(F-statistic) 0.000011


42/85

C LNG PHNG SAI CA

YU T NGU NHIN c lng im

n

ii

e

n k =

2

1=2 = (Se. of Regression)2 c lng khong

( n k )

( n k )

( n k )

( n k )

1

<


43/85

C LNG KHONG T HP TUYN

TNH CC H S HI QUY KTC i xng

( n k )i j i j / i j

( n ki j i j /

( a b ) Se( a b )t ( a b ) Se( a b )t

)

a b


44/85

KIM NH V T HP TUYN TNHCC H S HI QUY

Cp gi thit Tiu chunMin bc

b

i j

i j

H : a b c

H : a b c

+ = + 01

( n k )qs /T t

> 2i j

i j

H : a b c

H : a b c

+ + >01

i jqs

i j

( a b ) cT

Se( a )

b+ =

( n k )qsT t

>


45/85

i j

i j

H : a b c

H : a b c

+ + 1,n k

qsF F < 1): bc b H0

( k ): chp nhn H0

C th sdng gi tr Prob (F-Statistic) thc

hin kim nh

Nu p-value < bc b H0Nu p-value > chp nhn H0


51/85

KIM NH THU HP HI QUY

Nghi ng m bin gii thch Xk-m+1,, Xk khnggii thch cho Y

k m k m

jH : k...H : : ( j k m k )

+ + = =+ 0k

= 0 1 21 0 1 kE(Y ) X X ... X + + +1 2 2 3 3

k m k m

(L)

E(Y ) X X ... X

+ + +1 2 2 3 3

(N)

N L Lqs

L L

NRSS RSS n k RF

R n k

RSS m

= = R m 2 2

21


52/85

Nu )( m ,n k qsF F> : bc b H0

KIM NH THU HP HI QUY

Kim nh thu hp hi quy cho php xem xtc nn bi ng thi 1 s bin ra khi m

hnh hay a thm vo m hnh ng thi 1 s

bin.

C th sdng kim nh v cc rng buctuyn tnh v cc h s hi quy.

Nu cc rng buc tuyn tnh lm thay i


53/85

bin ph thuc ca m hnh th phi tnh Fqs

theo RSS. Khi m = k-1 kim nh sph hp hm HQ

DBO

Vi m hnh hi quy 2 binc lng khong cho gi tr trung bnh ca

bin ph thuc khi bin gii thch nhn gi trxc nhX = X0

( n ) ( n )/ / Y Se(Y )t E(Y / X ) Y Se(Y )t < < +2 20 0 2 0 0 0 2


54/85

vi 0 v0 1 2 Y X+

2Se 00 21i

( X X ) (Y )n x= +

Dbo bngc lngim

DBO

Vi m hnh hi quy tng qut


55/85

c lng khong cho gi tr trung bnh ca

bin ph thuc khi cc bin gii thch nhn gitr xc nh 0 02 31

0 0kX ( , X , X ,...., X )

( n k ) ( n k )/ / Y Se(Y )t E(Y / X ) Y Se(Y )t < < +00 0 2 0 0 2

0'Y X

vi0

0

0 1 0 Se(Y ) X '(X'X) X=vDbo bngc lngim

CHNG III. NH GI V M HNH


56/85

(Diagnostic Tests)

3.1. a cng tuyn (Multicollinearity)

3.2. Phng sai sai s thay i(Heteroscedasticity)

3.3. Ttng quan (Autocorrelation)

3.4. nh dng m hnh (Model specification)

CSNH GI


57/85

nh l Gauss-Markov: Nu m hnh thamn cc gi thit ca phng php LS th ccc lng thu c khi sdng phng php

LS l tuyn tnh, khng chch, tt nht

Cc gi thit khng c tha mn: cc clng khng tt, kt qu khng ng tin cy,

khng dng phn tch c, cn phi khc

phc


58/85

A CNG TUYN

M hnh 1 2 2 3 3 k kE(Y ) X X ... X + + + + Gi thit ca LS: cc bin gii thch khng c

quan h cng tuyn (m hnh c k 3).Nu gi thit b vi phm m hnh c hin

tng a cng tuyn (Multicollinerity).C 2 loi a cng tuyn

-CT hon ho-CT khng hon ho


59/85

PHN LOI A CNG TUYN

a cng tuyn hon hoj 0 (j 1) sao cho

1 + 2 X2i+ + kXki= 0 ia cng tuyn khng hon ho

j 0 (j1) sao cho1 + 2 X2i+ + kXki+ vi= 0

G


60/85

NGUYN NHN V HU QU

CT hon ho thng do lp m hnh sai: tkhi xy ra khng gii c nghim.

CT khng hon ho thng xy ra: do bncht KTXH ca quan h, do thu thp v x l

s liu.

CT khng hon ho vn gii c nghim,tm c cc duy nht, nhng kt qu khng

tt, sai s ca cc c lng ln:

- Cc c lng LS khng cn l c

lng tt nht

Kh i h h


61/85

- Khong tin cy ca cc h s rng hn

- Kim nh T khng ng tin cy, c thcho nhn nh sai lm

CT nng cc kim nh T v F c th cho

kt lun mu thun nhau, cc h sc lng

c c th c du khng ph hp vi l thuyt

kinh t.

CT khng hon ho l hin tng gp vihu ht cc m hnh, nu gy hu qu nghim

trng th cn phi khc phc.


62/85

PHT HIN KHUYT TT Mt s du hiu cho php nghi ngsc mt

ca CT trong m hnh.

Nghi ng bin gii thch jX ph thuc tuyntnh vo cc bi

n gi

i thch khc, h

i qui m

hnh hi qui ph (auxilliary regression)

jj j j jX X ... X X ... v + ++ + + + + +1 2 2 1 1 1 1 (*)

2 2


63/85

2

2

0

0

* =

0

1 *

H : R

H : R

2

2* *

* *1 1qs

R n k

R k

F=

k )qsF F > k )

qsF F <

th bc b H0* *( k ,n1

m hnh ban u c a cng tuyn

cha bc b H0* *( k ,n1

c th ni MH ban u khng c a cng

tuyn

C th c nhiu hi quy ph xem xt vCT ca 1 m hnh nhiu bin ban u.

C th d ki h T h h


64/85

C th dng kim nh T cho cc h s gcca m hnh hi quy ph v kt lun tngt.

C mt s tiu chun khc cng c thcsdng kim nh vCT ca m hnh

KHC PHC KHUYT TT

B bt bin c lp gy a cng tuyn

Ly thm quan st hoc thu thp mu mi

Th i d h h


65/85

Thay i dng m hnh

Sdng thng tin tin nghim bin i m

hnh

PHNG SAI CA SAI S THAY I

Phng sai cc yu t ngu nhin l ngnht, iVar( u ) ( i )2 khng i gi thitca LS

N i thit th Ph i


66/85

Nu gi thit c tha mn Phng saica sai s ng u (khng i -homoscocedasticity).

Khi gi thit khng tha mn: ji m

i jVar( u ) Var( u )

i i)

Phng sai ca sai sthay i (heterscocedasticity).

2 K hiu Var(u

NGUYN NHN V HU QU

Bn cht KTXH ca mi quan h: s dao

bi h th t h i


67/85

ng ca bin ph thuc trong nhng iu

kin khc nhau khng ging nhau. Qu trnh thu thp s liu khng chnh xc, s

liu khng phn nh ng bn cht hin

tng; do vic xl, lm trn s liu.

Cc c lng l khng chch, nhngkhng hiu qu, khng phi l tt nht.

Cc kim nh T, F c th sai, KTC rng.

PHT HIN KHUYT TT

2 h bit h bi


68/85

i2e

2

cha bit, phn on v sbin ng

ca n dng i hoc i i din. Sdng ccm hnh hi quy ph, da trn gi thit v s

bin ng ca

e

i

2

.-Kim nh Glejser: i i ie X v+ +2 21 2

e X

i i iv+2 1 2 + ie X i iv+ +2 1 2 -Kim nh Park: L i i in( e ) ln( X ) v +2 1 2 - K da trn bin ph thuc:

i i ie Y v+ +2 21 2 Dng kim nh T hoc F kim nh

PHT HIN KHUYT TT KIM NH


69/85

PHT HIN KHUYT TT - KIM NH

WHITE Hi qui bnh phng phn d theo t hp

bc cao dn ca cc bin gii thch.

MH ban u i iY X X u + + +1 2 2 3 3iX .X V

MH hi qui ph :

i i i i i i e .X .X .X .X . + + + + +2 2 21 2 2 3 3 4 2 5 3 6 +2 3*RR =2

02

100

qs *

nR

Kim nh gi thit H :H : *- Kim nh 2 : =2 2

N )( k2 2 1 th b b H


70/85

Nu )qs *( k2 2 1 th bc b H0.- Kim nh F: * *qs

* *

R n kFR k 2

*( k ,n k

2

1 1

Nu*)

qsF F 1> th bc b H0.

Nu bc b H0 th m hnh ban u c phng

sai ca sai s thay i v ngc li.M hnh ph thc hin kim nh c th c

hoc khng c tch cho gia cc bin c lpban u, c th c ly tha bc cao hn ca

cc bin c lp v phi c h s chn.

KHC PHC KHUYT TT


71/85

KHC PHC KHUYT TT

Sdng phng php bnh phng nh nhttng qut GLS.

2

i, chia hai v m hnh cho

Nu bit i

i i

i i

Y X ii i

u

= +1 21 +*

i iX u

* *i iY X = +01 2 +

) = 1

khng i*iVar(u

Nu cha bit , da trn gi thit v s thayi ca m c cch khc phc tng ng.


72/85

KHUYT TT TTNG QUANHin tng thng gp vi s liu theo thi

gian nn sdng ch s thay cho ch s .t i

X u

MH ban ukt t t k t t Y X X ... + + + + +1 2 2 3 3

i j )

p )

Gi thit ca phng php LS: cc sai sngu nhin khng tng quan vi nhau

i jCov( u ,u ) ( 0 hoct t p

Nu gi thit b vi phm m hnh c khuytCov( u ,u ) ( = 0 0

tt t tng quan bc p (Autocorrelation Order


73/85

tt ttng quan bc p(Autocorrelation Order

p)

TTNG QUAN BC 1Xt trng hp p 1

)

ttng quan bc 1

t t tu u ( + 1 1 1 tha mn cc gi thit ca phng php LSt

c gi l h s ttng quan bc 11 < 0 : m hnh c ttng quan m0 1: m hnh c ttng quan dng

= 0: m hnh khng c ttng quan

Tng qut: t tng quan bc :p


74/85

Tng qut: ttng quan bc :ppu u u ... ut t t t p t + + +1 1 2 2 pvi 0

NGUYN NHN V HU QU

Do bn cht ca mi quan h Tnh qun tnh trong cc chui s liu Qu trnh xl, ni suy, ngoi suy s liu M hnh thiu bin hoc dng hm sai Cc c lng LS l c lng khng

chch nhng khng phi c lng hiu


75/85

chch nhng khng phi c lng hiu

qu/khng phic lng tt nht.

PHT HIN KHUYT TTKim nh Durbin-Watson

- Dng pht hin ttng quan bc 1- Dng phn d l i din chote tu

- M hnh phi c h s chn v khngcha bin tr bc 1 ca bin ph thuc lm

bin c lp (khng phi m hnh t hi

quy)


76/85

quy)

Cc bc thc hin kim nh- c lng MH ban u thu c phn d

te

- Tnh

nt t

tn

tt

( e e )d (

e

)=

=

=

21

2

2

1

2 1 = DW-Statistic

n


77/85

trong t

t t

n

tt

e e

e

==

=1

2

2

1

l c lng cho

1 1 dnn k' k

0 4

- Vi n l s quan st v = 1d ud

tra bng tm

gi tr v (bng ph lc).L

Quy tc quyt nh

T t Kh Kh Kh T t


78/85

Ttng

quandng

> 0

Khng

c ktlun

Khng c

ttngquan

= 0

Khng

c ktlun

Ttng

quan m < 0

0 dL dU 2 4 dU 4 dL 4

KIM NH BREUSCH-GODFREY(BG)Kim nh v ttng quan bc p bt k.Cc bc thc hin kim nh

- Hi quy m hnh ban u:


79/85

-Hi quy m hnh ban u:t tutY X+ + te

t

thu c phn dl1 2-Hi quy cc m hnh ph:

vt te X+ +1 2p te X e e ... e v

(*)

t pt t t t + + + + + +1 2 1 1 2 2 (**)

- Kim nh gi thit:

H : 0


80/85

p

i

H : ...

H : ( i , p )

= = = =

0 1 2

1 0 1

= 0**( n p ) R

- Kim nh 2 : qs ** ** n R= = 2 2 2( p

Nu )qs 2 2 th bc b H0.- Kim nh F: **

qs **

* ** ** R R nFk

R p

** ** ( p ,n k

= 2 2

21

Nu )qsF F> th bc b H0.

Nu bc b H0 th m hnh ban u c ttng quan bc tng ng, ngc li th m

hnh khng c ttng quan n bc .p


81/85

KHC PHC TTNG QUAN

Sdng phng php bnh phng nh nhttng qut GLS da trn m hnh dng sai

phn.

Bin i m hnh ban u v m hnh mi ccng cc h s tng ng nh m hnh c

nhng khng c khuyt tt ttng quan.

Chi tit tham kho gio trnh.


82/85

NH DNG M HNH Cc thuc tnh ca m hnh tt

-M hnh y

- M hnh ph hp v l thuyt v thng k- Kh nng phn tch v dbo

Cc sai lm thng gp khi nh dng mhnh

- M hnh tha bin c lp- M hnh thiu bin c lp

- Dng hm sai


83/85

Dng hm sai

PHT HIN M HNH THIU BIN C LP

Kim nh Ramsey Reset

- Hi quy m hnh ban u: i i iuY X+ +Y (

1 2 thu c gi trc lng ca bin ph thucl v h s xc nh l )

21

mm i

Y u+ +1R .i

- Hi quy m hnhi i

Y X Y Y ... + + + + + 2 31 2 1 2

thu c h s xc nh l 2R


84/85

thu c h s xc nh l ( )2 R

- Kim nh gi thit:

m...

i

H :H : ( i ,m )

= = = =0 1 21 0 1

0

Kim nh F: ( ) ( ) ( qs( )

)R R n kFR m = 2 22 1221

( ),n k )

2

Nu ( mqsF F > 2 th bc b H0.Nu bc b H0 th m hnh ban u thiu bin

c lp cn thit.

TNG KT PHN I


85/85

TNG KT PHN I

Nu m hnh khng c khuyt tt, cc clng l tt nht, c lng khong, kim

nh gi thit l ng tin cy, kt qu l tt

cho phn tch.

Phn tch s tc ng ca cc bin c lpn sbin ng ca bin ph thuc thngqua cc h s hi quy v h s xc nh.

Documents

Kinh tế lượng bậc cao học