kinh tế lượng bậc cao học
TRANSCRIPT
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KINH TLNG
BC CAO HC
ECONOMETRICS
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KINH T LNG CBN
Chng 1, 2, 3
KINH T LNG NNG CAO
Chng 4, 5, 6, 7,8
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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
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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.
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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
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KINH T LNG CBN
Basic Econometrics
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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
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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
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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,
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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
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thun tin: m hnh mt bin c lp, XY
Xgii thch cho Y, Yph thuc vo X
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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
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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)
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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)
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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).
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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.
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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. +
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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
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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
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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
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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 +
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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
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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
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2.10. Kim nh thu hp hi quy
2.11. Dbo
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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
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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.
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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=
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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
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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 )
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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
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h cng tuyn
Gi thit 11: Yu t ngu nhin phn phichun
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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)
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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)
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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
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Cov( ) ( X ' X )= 2 1ie
n k= 2 2 vi k l s tham s cn c lng
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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 )>
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*j j
*j j
H :
H :
( n k )qsT t
chp nhn H0
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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
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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
<
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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
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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
>
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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
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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
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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
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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
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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
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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
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(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
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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
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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
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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
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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
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- 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.
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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.
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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
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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
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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
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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)
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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
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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
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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:
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-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
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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
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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.
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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
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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
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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
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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.