Gi thit ca

OLS
Y = beta1 +
beta2*X + U (1)
E(U)0

Bn cht

Nguyn nhn

Hu qu

Pht hin

Khc phc

- SSNN (U) i din

cho tt c cc yu t
ngoi X c nh hng
n Y
- GT ca PP OLS l
E(U) = 0, tc l ng
vi gi tr X=Xi, c
nhiu gi tr U khc
nhau nhng trung bnh
bng 0 (tc l v s
cc yu t trong U
khng nh hng mt
cch h thng ln Y)
- Khi E(U) 0 tc l
gi thit ca PP OLS
b vi phm

2 nguyn nhn c bn
- M hnh thiu bin
quan trng (c bin Z
no c tc ng n
bin Y v c tng
quan vi X)

Nu E(U)0 th cc
c lng thu c
bng PP OLS s l cc
c lng chch do
cc suy din thng k
s khng cn ng tin
cy (cc thng k T
khng phn phi
Student)

C nhiu kim nh pht hin ra MH thiu

bin quan trng v dng hm sai nhng Kim
nh Ramsey l mt kim nh ph bin v
hiu qu
- Cp gi thuyt
H0: M hnh c ch nh ng (Dng hm
ng/MH khng thiu bin)
H1: MH c ch nh sai (dng hm
sai/thiu bin)
- Cc bc kim nh
+ Hi quy MH (1) thu c Y^
+ Hi quy MH
Y=beta1+beta2*X+beta3*(Y^)^2+
beta4*(Y^)^3+v
+ Kim nh cp gi thuyt
H0: beta3=beta4=0 (M hnh c dng hm
ng v khng thiu bin)
H1: c t nht 1 hs khc 0 (MH c dng hm
sai, thiu bin)
+ S dng kim nh F-Statistic hoc gi tr
P-value

Ty theo nguyn nhn m c

cch khc phc ph hp
- Nu thiu bin c sn s liu
th b sung thm vo MH
- Nu dng hm sai th i
dng hm ph hp (cn c vo
l thuyt kinh t, vo kinh
nghim,.)
- Nu thiu bin m khng c
s liu th s dng bin i
din (Proxy variable) thay
th (cn c vo thc th, kinh
nghim, v d: sd bin
lng thay th cho bin thu
nhp khng c s liu)

- Dng hm ca MH
sai (c th c bc cao
hn ca X trong MH
hoc mt dng hm
khc phn nh MQH
gia y v X)

Y = beta1 +
beta2*X +
beta3*Z+ U (2)
Var(U/Xi)
Var(U/Xj)

Y = beta1 +
beta2*X + U (3)
U khng phn
phi chun

- SSNN (U) i din

cho tt c cc yu t
ngoi X, Z c nh
hng n Y
- GT ca PP OLS l
Var(U) = sigma^2 (l
mt hng s), tc l
Phng sai l mt
hng s vi cc gi tr
khc nhau ca Xi
- Khi Var(U/Xi)
Var(U/Xj) tc l gi
thit ca PP OLS b vi
phm

- Do bn cht ca s
liu (s liu cho
thng c hin tng
PSSS thay i)
- Do m hnh thiu
bin quan trng hoc
dng hm sai (kim
nh Ramsey pht hin
ra vn ny)

- Cc c lng OLS
vn l cc c lng
khng chch nhng
khng phi l cc c
lng tt nht (Phng
sai ca cc c lng
khng phi l nh
nht). Do KTC v
kim nh gi thuyt v
cc hs hi quy khng
cn gi tr sd (khng
cn hiu lc)

pht hin s dng gi tr phn d. C

nhiu kim nh nhng kim nh white l
kim nh ph bin v hiu qu
- Cp gi thuyt
H0: MH c PSSS ng u
H1: MH c PSSS thay i
- Cc bc kim nh
+ HQ (1) thu c phn d (E)
+ HQ 1 trong 2 m hnh sau:
MH1: E^2 = = beta1 + beta2*X + beta3*Z +
beta4X^2+beta5Z^2+beta6X*Z+ U
MH2: E^2 = = beta1 + beta2*X + beta3*Z +
beta4X^2+beta5Z^2+ V
+ Kim nh
H0:beta2=beta6=0
H1: c t nht 1 hs khc 0
+ Sd kim nh F-Statistic hoc P-Value (nu
c)

- Ty thuc nhn nh v vic

PSSS thay i ph thuc vo
cc bin c l nh th no m
ta c cch khc phc tng
ng
- Gi s Var(U)=a*X^2, khi
khc phc bng vic chia c 2
v ca MH (1) cho X ta c
MH mi
(Y/X) = beta1/X + beta2*X/X
+ beta3*Z/X+ U/X (2)
Khi MH (2) c Var(U/X) =
a (l mt hng s, tc l PSSS
ng u)
- Nh vy, thay v L MH(2)
l MH c PSSS thay i
(khng tt) tm cc c
lng cho cc beta, ta L MH
(2) l MH c PSSS ng
u (tt hn)
(Phng php ny gi l PP
sai phn tng qut)

- SSNN phn phi

chun l gi thit v
phn phi ca U
lm c s cho gi thit
cc beta^ phn phi
chun v do c
thng k (T, F phn
phi student v Fisher)
- Nu U phn phi
khng chun th gi
thit ca OLS b vi
phm

- C th do dng hm
sai, m hnh thiu bin
quan trng (kim nh
Ramsey)
- Do bn cht ca s
liu sn c SSNN
khng phn phi
chun

Do SSNN khng phn

phi chun nn cc
beta^ cng khng phn
phi chun nn cc suy
din thng k khng
ng tin cy (khi kch
thc mu l khng
ln)

S dng thng tin t phn d v tin hnh

kim nh Jacque Bare
- Cp gi thuyt
H0: SSNN phn phi chun
H1: SSNN khng phn phi chun
- Cc bc
+ HQ MH(3) thu c phn d (E)
+ Sd phn d tnh cc hs bt i xng
(Skewness) v hs nhn (Kurtosis)
+ Tnh thng k
JB=n(S^2/6 + (K-3)^2/24)
+ Vi mc ngha anpha cho trc tm c
gi tr thng k Khi bnh phng vi 2 bc
t do
+ Kt lun v vic bc b hay chp chn H0

Thng th nu khc phc

c hin tng dng hm sai,
Mh thiu bin th SSNN cng
phn phi chun

Y = beta1 +
beta2*X +
beta3*Z+ U (4)
X = a + bZ+v

Y = beta1 +
beta2*X + U (5)
Cov(U, U(-P))0

- CT l hin tng
xy ra vi MH hi quy
bi (c hn 1 bin c
lp) khi cc bin c
lp c quan h tuyn
tnh vi nhau
- CT l hin tng
xy ra ph bin cc
MH do ngi ta
thng quan nim
CT mc no

- Do bn cht ca cc
bin s vn c quan
h (s ngi v thu
nhp;)
- Mu khng mang tn
i din

MH c CT cao lm
cho cc phng sai ca
c hs beta^ ln do
cc KTC v K v cc
hs beta khng ng tin
cy

- TTQ l hin tng

xy ra khi HQ MH vi
S liu theo thi gian,
trong gi tr ca
SSNN ti cc thi k
khc nhau c quan h
tng quan vi nhau
- Bc ca TTQ
+ Nu U v U(-1) c
quan h TQ vi nhau
th gi l TTQ bc 1
+ Nu U v U(-p) c
quan h TQ vi nhau
th gi l TTQ bc p

- Do bn cht ca s
liu
- Do dng hm sai,
MH thiu bin

Cc kt lun t bi ton
L KTC v K khng
ng tin cy

- S dng hs tng quan cp gia cc bin

c lp
- S dng MH hi quy ph (p dng khi MH
c nhiu bin c lp) v xem xt hs xc nh
ca MH hi quy ph ny
- CH :
Trong MH m kim nh F-statistic cho thy
MH Hi quy ph hp nhng cc kim nh T
cho thy cc hs beta^ c lng c l
khng c ngha thng k. Y L DU
HIU CA MH C HIN TNG CT
TRM TRNG
- TTQ bc 1, s dng K DW
+ iu kin p dng: (1) MH khng c tr
ca bin ph thuc vi vai tr l bin c lp
trong MH; (2) MH khng b mt quan st
+ Cc bc
(1) HQ MH (5) thu c phn d (E)
(2) Sd gi tr phn d tnh gi tr DW (gi
tr ny Eviews tnh t ng)
(3) vi mc ngha cho trc, kch thc
mu, v s hs ca MH ta xc nh c 1
lc v TTQ
(4) So snh gi tr DW vi lc a ra
kt lun
- TTQ bc p, s dng K BG
(1) HQ MH (5) thu c cc phn d (E)
(2) HQ MH: E = beta1 + beta2*X +a1*E(1)+a2*E(-2)++apE(-p)+V
(3) K: H0: a1==ap = 0
(4) kt lun (sd KDD F-Statistic hoc PValue)

- B bt bin nu c th (y
l phng php cc oan)
- Tng kch thc mu (thu
thp thm quan st)
- i dng hm

Phng php sai phn tng

qut
+ Xc nh c lng hs TTQ
t thng k DW
+ Phng php L hs TTQ
theo nhiu bc
(GT trang 309 317)

3 CU HI THNG GP I VI PHN KIM NH V LA CHN M HNH

Gi tr F-Statistic/Khi bnh phng tng ng vi cc K (Ramsey; JB; White; BG) c xc nh ntn?

Cn nu cc bc theo phn pht hin

Gi tr ny cho sn trong bng kt qu

Da vo gi tr F-Statistic/Khi bnh phng tng ng vi cc K (Ramsey; JB; White; BG) kt lun g v MH

Vit cp gi thuyt tng ng

Kt lun v hin tng

Cc k qu v vic tm KTC, K gi thuyt da trn cc hs hi quy c lng c t MH c ng tin cy hay khng?

Ch da vo nhng thng tin trong bng kim nh cc khuyt tt ca MH (khng suy din t nhng thng tin khng c
trong bng)

Ch cn c t nht 1 gi thit OLS khng c tha mn th a ra kt lun theo hu qu li ca gi thit b vi phm nh

phn trn

M HNH VI S LIU THEO THI GIAN V D BO

MH c th c bin tr ca bin ph thuc v bin c lp vi vai tr l bin c lp ca m hnh

MH c th c bin xu th (trend) thng k hiu l bin T, bin ny nhn cc gi tr theo th t t 1 ng vi quan st u

tin v n vi quan st th n

D bo

Da vo gi tr Y^ (y l gi tr tnh c khi bit gi tr ca cc bin c lp bng cch thay vo hm SRF). Y^ l gi tr

c lng im ca E(Y/X)

Da vo KTC ca E(Y/X) v Y theo cng thc ti trang 158, 159 gio trnh KTL