CHNG 6

CHNG 6
KIM NH V LA CHN M HNH
KIM NH V LA CHN M HNH

Cc loi sai st ca dng m hnh hi

Cc loi sai st ca dng m hnh hi
qui
qui

H
H
u qu ca sai st m hnh
u qu ca sai st m hnh

Phng php pht hin cc sai st ca

Phng php pht hin cc sai st ca
dng m hnh hi qui
dng m hnh hi qui

Tiu chun lua chon m hnh

Tiu chun lua chon m hnh

Cc loi sai s c!a "#$ %&
Cc loi sai s c!a "#$ %&
'(#' ')i *+i
'(#' ')i *+i
Cc dng sai st ca dng m hnh nh
Cc dng sai st ca dng m hnh nh
sau:
sau:

B st bin quan trong,

B st bin quan trong,

a bin khng lin quan vo m hnh,

a bin khng lin quan vo m hnh,

S dung dng hm s khng dng,

S dung dng hm s khng dng,

Sai s trong do lng, v

Sai s trong do lng, v

Xc djnh dng ca phn sai s khng

Xc djnh dng ca phn sai s khng
dng.
dng.

V du v hm chi ph ca doanh nghip,

V du v hm chi ph ca doanh nghip,
dng hm dng s l:
dng hm dng s l:
Y
Y
i i
= b
= b
1 1
+ b
+ b
2 2
X
X
i i
+ b
+ b
3 3
X
X
i i
2 2
+ b
+ b
4 4
X
X
i i
3 3
+ u
+ u
1i 1i
(6.1)
(6.1)

B st bin quan trng

B st bin quan trng
(
(
X
X
i3 i3
):
):


Y
Y
i i
= a
= a
1 1
+ a
+ a
2 2
X
X
i i
+ a
+ a
3 3
X
X
i i
2 2
+ u
+ u
2i 2i
(6.2)
(6.2)

a bin khng lin quan v! " h#nh $X

a bin khng lin quan v! " h#nh $X
i4 i4
%
%
:
:
Y
Y
i i
= l
= l
1 1
+ l
+ l
2 2
X
X
i i
+ l
+ l
3 3
X
X
i i
2 2
+ l
+ l
4 4
X
X
i i
3 3
+ l
+ l
& &
X
X
i i
4 4
+ u
+ u
3i 3i
(6.4)
(6.4)

Dng hm sai.
Dng hm sai.


lnY = g
lnY = g
1 1
+ g
+ g
2 2
X
X
i i
+ g
+ g
3 3
X
X
i i
2 2
+ g
+ g
4 4
X
X
i i
3 3
+ u
+ u
4i 4i
(6.6)
(6.6)

'ai l()h v* +! l,ng

'ai l()h v* +! l,ng
.
.
Y
Y
i i
- = b
- = b
1 1
- + b
- + b
2 2
-X
-X
i i
- + b
- + b
3 3
-X
-X
i i
-
-
2 2
+ b
+ b
4 4
-X
-X
i i
-
-
3 3
+ u
+ u
i i
-
-

trong d
trong d
Y
Y
i i
- = Y
- = Y
i i
+
+
.
.
i i
v
v
X
X
i i
- = X
- = X
i i
+ /
+ /
i i
0
0
.
.
i i
v /
v /
i i

l sai s ca php do lng. Nh vy,
l sai s ca php do lng. Nh vy,
thay v s dung cc bin s dng l
thay v s dung cc bin s dng l
Y
Y
i i
v
v
X
X
i i
, chng ta li s dung cc bin thay th
, chng ta li s dung cc bin thay th
l
l
Y
Y
i i
-
-
v
v
X
X
i i
-
-
c cha cc sai s.
c cha cc sai s.

dng ngu nhin khng thch hop ca

dng ngu nhin khng thch hop ca
phn sai s:
phn sai s:
Y
Y
i i
=
=

X
X
i i
u
u
i i
khc vi
khc vi
Y
Y
i i
=
=

X
X
i i
+ u
+ u
i i
,
,

Theo trng phi trong tin, su thay di

Theo trng phi trong tin, su thay di
ca GDP ca nn kinh t chju nh hng
ca GDP ca nn kinh t chju nh hng
bi su thay
bi su thay
i
i
ca long cung tin, trong
ca long cung tin, trong
khi d, theo Keynes, su thay di ca
khi d, theo Keynes, su thay di ca
long chi mua hng ha djch vu ca
long chi mua hng ha djch vu ca
chnh ph s nh hng ln dn GDP.
chnh ph s nh hng ln dn GDP.

khi c su sai st, kt qu ca php c

khi c su sai st, kt qu ca php c
long s khng tha mn cc dc dim
long s khng tha mn cc dc dim
ca "c long khng chch tuyn tnh
ca "c long khng chch tuyn tnh
tt nht (BLUE).
tt nht (BLUE).

chng ti chi tp trung pht hin hai loi

chng ti chi tp trung pht hin hai loi
sai st du tin.
sai st du tin.

Hu qu ca sai st m hnh
Hu qu ca sai st m hnh

minh ha, ta dng m hnh 3

minh ha, ta dng m hnh 3
bin v xem xt 2 loai sai st u
bin v xem xt 2 loai sai st u
tin:
tin:
1. 1.
B st bin c lin quan:
B st bin c lin quan:
Gi s dang ng ca m hnh l:
Gi s dang ng ca m hnh l:
Y
Y
i i
=
=

1 1
+
+

2 2
X
X
2i 2i
+
+

3 3
X
X
3i 3i
+ u
+ u
i i
(1)
(1)
Nhung ta lai s dung m hnh:
Nhung ta lai s dung m hnh:
Y
Y
i i
=
=

1 1
+
+

2 2
X
X
2i 2i
+ v
+ v
i i
(2)
(2)

Hu qu ca sai st m hnh
Hu qu ca sai st m hnh

Ta gp nhng hu qu sau:
Ta gp nhng hu qu sau:
1. 1.
Nu bin bi b st c tuong quan vi bin sn c
Nu bin bi b st c tuong quan vi bin sn c
trong m hnh, tc l r
trong m hnh, tc l r
23 23

0,
0,

1 1
v
v

2 2
s bi
s bi
chch
chch
v khng vng.
v khng vng.
2. 2.
Thm ch nu X
Thm ch nu X
2 2
v X
v X
3 3
khng c tuong quan th
khng c tuong quan th

1 1

cng bi chch, mc d
cng bi chch, mc d

2 2
khng chch.
khng chch.
3. 3.
Var(u
Var(u
i i
) =
) =

2 2
bi uc luong sai.
bi uc luong sai.
4. 4.
Var(
Var(

2 2
) l uc luong chch ca var(
) l uc luong chch ca var(

2 2
).
).
5. 5.
Do vy, khong tin cy v cc kim inh khng
Do vy, khong tin cy v cc kim inh khng
chnh xc.
chnh xc.
6. 6.
Du bo dua trn m hnh sai s khng ng tin
Du bo dua trn m hnh sai s khng ng tin
cy.
cy.

Hu qu ca sai st m hnh
Hu qu ca sai st m hnh

ua vo m hnh bin khng c lin quan

ua vo m hnh bin khng c lin quan
Gi s m hnh ng nhu sau:
Gi s m hnh ng nhu sau:
Y
Y
i i
=
=

1 1
+
+

2 2
X
X
2i 2i
+ u
+ u
i i
(3)
(3)
Nh
Nh
ung ta lai uc luong m hnh:
ung ta lai uc luong m hnh:
Y
Y
i i
=
=

1 1
+
+

2 2
X
X
2i 2i
+
+

3 3
X
X
3i 3i
+ v
+ v
i i
(4)
(4)
Nhng hu qu:
Nhng hu qu:
1. 1.
Cc uc luong OLS s khng chch v
Cc uc luong OLS s khng chch v
vng, tc l: E(
vng, tc l: E(

1 1
)=
)=

1 1
;
;
E(
E(

2 2
)=
)=

2 2
; v
; v


E(
E(

3 3
)=
)=
0;
0;

Hu qu ca sai st m hnh
Hu qu ca sai st m hnh

Phuong sai sai s,

Phuong sai sai s,

2 2
, uoc uc
, uoc uc
luong ng;
luong ng;

Khong tin cy v cc kim inh

Khong tin cy v cc kim inh
vn ng tin cy;
vn ng tin cy;

Tuy nhin, cc uc luong

Tuy nhin, cc uc luong

khng
khng
hiu qu, tc l, phuong sai ca
hiu qu, tc l, phuong sai ca
chng c th ln hon phuong sai
chng c th ln hon phuong sai
ca
ca

.
.

,'-.#$ /'/ /' 'i0# cc sai
,'-.#$ /'/ /' 'i0# cc sai
s c!a "#$ %& '(#' ')i *+i
s c!a "#$ %& '(#' ')i *+i
12 ,' 'i0# s3 'i0# "i0# c!a cc 4i5#
12 ,' 'i0# s3 'i0# "i0# c!a cc 4i5#
6'&#$ li7# *+a#
6'&#$ li7# *+a#
Y
Y
i i
= b
= b
1 1
+ b
+ b
2 2
X
X
2i 2i
+ 1+ b
+ 1+ b
k k
X
X
ki ki
+ u
+ u
i i

X
X
k k
c thuc su nm trong m hnh hay khng,
c thuc su nm trong m hnh hay khng,
dng kim djnh
dng kim djnh
t2
t2
=>
=>
khai th3) 45 li(u
khai th3) 45 li(u
=>
=>
c th dn ti sai
c th dn ti sai
lm sau
lm sau
)

( se /

t
k k
=

khai thc d liu (data mining)
khai thc d liu (data mining)

chng ta lua ra
chng ta lua ra
k
k
bin (
bin (
k
k
6
6
)
)
)
)

mc ngha thuc su (
mc ngha thuc su (

-
-
) t mc ngha
) t mc ngha
danh ngha (
danh ngha (

) c th doc tnh theo cng

) c th doc tnh theo cng
thc sau:
thc sau:

*
*
=
=
(c/k).
(c/k).

nu
nu
)
)
= 15,
= 15,
k
k
= 5, v
= 5, v

= 5%, ta c th tnh
= 5%, ta c th tnh
doc mc ngha thuc su l (15/5).(5) =
doc mc ngha thuc su l (15/5).(5) =
15%.
15%.

lu rng khi
lu rng khi
) = k
) = k
th s khng c hin
th s khng c hin
tong
tong
khai th3) 45 li(u
khai th3) 45 li(u
.
.

82 Ki9% :;#' 4i5# 4; 4< s =>
82 Ki9% :;#' 4i5# 4; 4< s =>
"#$ '>% s? 6'&#$ :@#$
"#$ '>% s? 6'&#$ :@#$
821 Ki9% Aa /'B# "-
821 Ki9% Aa /'B# "-

hm chi ph ca doanh nghip:

hm chi ph ca doanh nghip:
Y
Y
i i
= b
= b
1 1
+ b
+ b
2 2
X
X
i i
+ b
+ b
3 3
X
X
i i
2 2
+ b
+ b
4 4
X
X
i i
3 3
+ u
+ u
1i 1i
(1)
(1)
Y
Y
i i
= a
= a
1 1
+ a
+ a
2 2
X
X
i i
+ a
+ a
3 3
X
X
i i
2 2
+ u
+ u
2i 2i
(2)
(2)
Y
Y
i i
= a
= a
1 1
+ a
+ a
2 2
X
X
i i
+ u
+ u
3i 3i
(3)
(3)

-
4
0
0
-
2
0
0
0
2
0
0
4
0
0
R
e
s
i
d
u
a
l
s
0 2 4 6 8 10
sanluong
3 2
1

828 Ki9% :;#' C+A4i#DEaso# "
828 Ki9% :;#' C+A4i#DEaso# "

H
H
0 0
: m hnh khng c tu tng quan
: m hnh khng c tu tng quan

H
H
0 0
:
:

= 0; H
= 0; H
1 1
:
:

0. Nu d < d
0. Nu d < d
U U
hoc (4 - d) < d
hoc (4 - d) < d
U U
th
th
bc b gi thuyt H
bc b gi thuyt H
0 0
, chp nhn H
, chp nhn H
1 1
, tc c tu tng
, tc c tu tng
quan (dng hoc m).
quan (dng hoc m).
Gi thuyt H Gi thuyt H
0 0
Quyt djnh Quyt djnh nu nu
Khng c tu tng quan dng Khng c tu tng quan dng
Khng c tu tng quan dng Khng c tu tng quan dng
Khng c tu tng quan m Khng c tu tng quan m
Khng c tu tng quan m Khng c tu tng quan m
Khng c tu tng quan m hoc Khng c tu tng quan m hoc
dng dng
Bc b Bc b
Khng qd Khng qd
Bc b Bc b
Khng qd Khng qd
Chp nhn Chp nhn
0 < d < d 0 < d < d
L L
d d
L L
d d d d
U U
4 - d 4 - d
L L
< d <4 < d <4
4 -d 4 -d
U U
d d 4 - d 4 - d
L L
d d
U U
d d 4 - d 4 - d
U U

82F Ki9% :;#' GHIHJ c!a Ga%sKL
82F Ki9% :;#' GHIHJ c!a Ga%sKL

minh ha, ta tr lai hm chi ph

minh ha, ta tr lai hm chi ph
tuyn tnh theo sn luong:
tuyn tnh theo sn luong:
Y
Y
i i
=
=

1 1
+
+

2 2
X
X
i i
+ u
+ u
3i 3i
(*)
(*)

Uc luong m hnh ny bng OLS v

Uc luong m hnh ny bng OLS v
v thi ca sai s theo gi tri,
v thi ca sai s theo gi tri,
Y
Y
i i
.
.

H
H
nh v s cho ta thy mi quan h
nh v s cho ta thy mi quan h
c h thng gia e
c h thng gia e
i i
v
v
Y
Y
i i
.
.

C
C
c buc tin hnh:
c buc tin hnh:

Ki9% :;#' GHIHJ c!a
Ki9% :;#' GHIHJ c!a
Ga%sKL
Ga%sKL

Chay hi quy m hnh (*), v tnh

Chay hi quy m hnh (*), v tnh
ton uc luong ca Y
ton uc luong ca Y
i i
, Y
, Y
i i
.
.

Chay lai (*) v ua thm bin Y

Chay lai (*) v ua thm bin Y
i i

vo m hnh dui dang mt bin
vo m hnh dui dang mt bin
no , chng han, Y
no , chng han, Y
i i
2 2
v Y
v Y
i i
3 3
.
.
Y
Y
i i
=
=

1 1
+
+

2 2
X
X
i i
+
+

3 3
Y
Y
i i
2 2
+
+

4 4
Y
Y
i i
3 3
+ u
+ u
i i
(**)
(**)

t R
t R
2 2
t (**) l R
t (**) l R
new new
2 2
v t (*) l
v t (*) l
R
R
old old
2 2
. Chng ta dng kim inh F
. Chng ta dng kim inh F
theo cng thc:
theo cng thc:

Ki9% :;#' GHIHJ c!a
Ki9% :;#' GHIHJ c!a
Ga%sKL
Ga%sKL
Nu F > F tra bng mt mc ngha no d, ta chp
nhn c vic b st bin.
V du:

Ki9% :;#' GHIHJ c!a
Ki9% :;#' GHIHJ c!a
Ga%sKLM =
Ga%sKLM =
N "O
N "O

V du:
V du:

H
H
0 0
: m hnh khng b st bin
: m hnh khng b st bin

Gi trj kim djnh F thu doc truc tip t

Gi trj kim djnh F thu doc truc tip t
phn mm Stata
phn mm Stata

ovtest ovtest

Ramsey RESET test using powers of the Ramsey RESET test using powers of the
fitted values of chiphi fitted values of chiphi
Ho: model has no omitted variables Ho: model has no omitted variables
F(3 !" # $%&' F(3 !" # $%&'
(rob ) F # *%33+* (rob ) F # *%33+*

2.3 Kim djnh RESET ca
2.3 Kim djnh RESET ca
Ramsey
Ramsey

Mt thun loi ca phng php RESET l

Mt thun loi ca phng php RESET l
n d p dung bi v n khng di hi
n d p dung bi v n khng di hi
chng ta phi bit r cc dng m hnh
chng ta phi bit r cc dng m hnh
lin quan.
lin quan.

Tuy nhin, d cng li l bt loi ca

Tuy nhin, d cng li l bt loi ca
phng php ny bi v khi chng ta bit
phng php ny bi v khi chng ta bit
m hnh c sai st, chng ta khng c
m hnh c sai st, chng ta khng c
dng m hnh tt hn d thay th.
dng m hnh tt hn d thay th.

82P Ki9% :;#' '0 s? La$Aa#$K QLMR :?i
82P Ki9% :;#' '0 s? La$Aa#$K QLMR :?i
=Si 4i5# '7% =>o
=Si 4i5# '7% =>o

Nu chng ta so snh hm chi ph tuyn

Nu chng ta so snh hm chi ph tuyn
tnh vi hm chi ph bc ba th hm tuyn
tnh vi hm chi ph bc ba th hm tuyn
tnh chnh l mt
tnh chnh l mt
7hin b8n b9 gi:i h;n
7hin b8n b9 gi:i h;n
ca
ca
hm bc ba.
hm bc ba.

H
H
0 0
: h s ca bin sn long bnh phng
: h s ca bin sn long bnh phng
v lp phng du bng khng.
v lp phng du bng khng.

C
C
c bin tin hnh:
c bin tin hnh:

Ki9% :;#' '0 s? La$Aa#$K
Ki9% :;#' '0 s? La$Aa#$K

Uc luong "phin bn bi gii han

Uc luong "phin bn bi gii han
bng OLS v thu thp sai s, e
bng OLS v thu thp sai s, e
i i
.
.

Nu "phin bn khng bi gii han l

Nu "phin bn khng bi gii han l
ng th e
ng th e
i i
trn s c tuong quan
trn s c tuong quan
vi X
vi X
2 2

v X
v X
3 3
.
.

Chay hi quy e
Chay hi quy e
i i
theo tt c cc bin:
theo tt c cc bin:
e
e
i i
=
=

1 1
+
+

2 2
X
X
i i
+
+

3 3
X
X
i i
2 2
+
+

4 4
X
X
3 3
+ v
+ v
i i
v
v
i i
tha cc gi inh ca m hnh CLRM.
tha cc gi inh ca m hnh CLRM.

Khi c mu ln,
Khi c mu ln,

Ki9% :;#' '0 s? La$Aa#$K
Ki9% :;#' '0 s? La$Aa#$K

Nu nR
Nu nR
2 2
>
>

2 2
tra bng, ta bc b H
tra bng, ta bc b H
0 0
: cc h s ca
: cc h s ca
X
X
2 2
v X
v X
3 3
bng khng; tc l chng khc 0, hay m
bng khng; tc l chng khc 0, hay m
hnh b st bin.
hnh b st bin.

V du: ta tr lai hm chi ph tuyn tnh:

V du: ta tr lai hm chi ph tuyn tnh:
nR
2
= 10.(0,9896)=9,896 >

2 2 tra bng = 9,2. Kt qu ny

ging nh kim djnh RESET.

F2 Iai s? c!a /'T/ :o l-U#$
F2 Iai s? c!a /'T/ :o l-U#$

d liu c th thi
d liu c th thi
u
u
chnh xc do mt s l
chnh xc do mt s l
do nh:
do nh:

sai s khi cung cp thng tin,

sai s khi cung cp thng tin,

sai s khi bo co
sai s khi bo co

hay sai s tnh ton.

hay sai s tnh ton.

gy ra nhng m hnh sai lch

gy ra nhng m hnh sai lch
.
.

Chng ta c th xem xt hu qu
Chng ta c th xem xt hu qu
ca vic ny trong 2 trung hop:
ca vic ny trong 2 trung hop:
3.1. Sai s trong bin phu thuc Y:
3.1. Sai s trong bin phu thuc Y:

3.1. Sai s trong bin phu thuc Y:
3.1. Sai s trong bin phu thuc Y:

Gi s ta c m hnh:
Gi s ta c m hnh:
Y
Y
i i
* *
=
=

+
+

X
X
i i
+ u
+ u
i i
(1)
(1)
Y
Y
i i
* *
: tiu dng thung xuyn ca h; X
: tiu dng thung xuyn ca h; X
i i
: thu nhp
: thu nhp
hin hnh v u
hin hnh v u
i i
: sai s ngu nhin.
: sai s ngu nhin.
Do Y
Do Y
i i
* *
khng th o lung truc tip uoc nn ta quan
khng th o lung truc tip uoc nn ta quan
st:
st:
Y
Y
i i
= Y
= Y
i i
* *
+
+

i i
(2)
(2)
Ta vit lai (1):
Ta vit lai (1):
Y
Y
i i
= (
= (

+
+

X
X
i i
+ u
+ u
i i
) +
) +

i i
=
=

+
+

X
X
i i
+ (u
+ (u
i i
+
+

i i
)
)
=
=

+
+

X
X
i i
+ v
+ v
i i
(3)
(3)
Nu u
Nu u
i i
v
v

i i
tha mn cc gi inh ca CLRM th cc
tha mn cc gi inh ca CLRM th cc
uc luong OLS vn khng chch nhung phuong sai
uc luong OLS vn khng chch nhung phuong sai
ca uc luong
ca uc luong

s thay i
s thay i

3.1. Sai s trong bin phu thuc Y:
3.1. Sai s trong bin phu thuc Y:

Ta thy phuong sai, v do sai s chun

Ta thy phuong sai, v do sai s chun
s tng ln khi c sai s trong o lung Y
s tng ln khi c sai s trong o lung Y
i i
.
.

3.2 Sai s trong do lng bin dc
3.2 Sai s trong do lng bin dc
lp X
lp X
i i
:
:

Gi s ta c m hnh:
Gi s ta c m hnh:
Y
Y
i i
=
=

+
+

X
X
i i
* *
+ u
+ u
i i
(4)
(4)

Thay v quan st uoc X

Thay v quan st uoc X
i i
* *
, ta quan st X
, ta quan st X
i i
:
:
X
X
i i
= X
= X
i i
* *
+ w
+ w
i i
(5)
(5)

Do vy, thay v uc luong (4), ta lai uc luong:

Do vy, thay v uc luong (4), ta lai uc luong:
Y
Y
i i
=
=

+
+

(X
(X
i i
- w
- w
i i
) + u
) + u
i i
=
=

+
+

X
X
i i
+ (u
+ (u
i i
-
-

w
w
i i
)
)


=
=

+
+

X
X
i i
+ z
+ z
i i
(6)
(6)

By gi, thm ch w
By gi, thm ch w
i i
c trung bnh bng 0, c lp
c trung bnh bng 0, c lp
v khng tuong quan vi u
v khng tuong quan vi u
i i
, chng ta cng khng
, chng ta cng khng
th c z
th c z
i i
c lp vi X
c lp vi X
i i
.
.

3.2 Sai s trong do lng bin dc lp X
3.2 Sai s trong do lng bin dc lp X
i i
:
:

Cov(z
Cov(z
i i
, X
, X
i i
) = E[z
) = E[z
i i
- E(z
- E(z
i i
)][X
)][X
i i
- E(X
- E(X
i i
- E(X
- E(X
i i
)]
)]


= E(u
= E(u
i i
-
-

w
w
i i
)w
)w
i i
=E(-
=E(-

w
w
i i
2 2
)=-
)=-

w w
2 2

0
0

Do v
Do v
y, X
y, X
i i
v z
v z
i i
c tuong quan v vi pham
c tuong quan v vi pham
cc gi inh ca CLRM. Cc uc luong OLS
cc gi inh ca CLRM. Cc uc luong OLS
chng nhng bi chch m cn khng
chng nhng bi chch m cn khng
vng.
vng.

Hu qu ca loai sai st nghim trng

Hu qu ca loai sai st nghim trng
nhung kh c th khc phuc n v ta
nhung kh c th khc phuc n v ta
khng bit X
khng bit X
i i
uoc nhu th no cho ng.
uoc nhu th no cho ng.

Ta c th gi inh
Ta c th gi inh

w w
2 2
r
r
t nh nn xem nhu
t nh nn xem nhu
khng c sai s ny v dng OLS bnh
khng c sai s ny v dng OLS bnh
thung.
thung.

P2 Vc :;#' "#$ c!a /'B# sai s?
P2 Vc :;#' "#$ c!a /'B# sai s?
6'&#$ :@#$
6'&#$ :@#$

Do chng ta khng th quan st truc tip

Do chng ta khng th quan st truc tip
phn sai s nn d djnh dng cho n
phn sai s nn d djnh dng cho n
khng phi l vic d dng.
khng phi l vic d dng.

Chng ta xem lai phn sai s sau:

Chng ta xem lai phn sai s sau:
Y
Y
i i
=
=

X
X
i i
u
u
i i
(*)
(*)
v
v
Y
Y
i i
=
=

X
X
i i
+ u
+ u
i i
(**)
(**)

N
N
u (*) ng nhung lai uc luong
u (*) ng nhung lai uc luong
(**), th uc luong
(**), th uc luong

s
s
chch.
chch.

Ji7+ c'+W# l3a c'X# %& '(#'
Ji7+ c'+W# l3a c'X# %& '(#'

<
<
2 2
,
,

<
<
2 2
diu chinh,
diu chinh,

Tiu chun thng tin Akaike (AC),

Tiu chun thng tin Akaike (AC),

Tiu chun thng tin Schar (SC),

Tiu chun thng tin Schar (SC),

Tiu chun
Tiu chun
=
=
7 7
ca Mallos,
ca Mallos,

v du bo
v du bo
>
>
2 2
.
.

MaAi# YKl"sKi#M
MaAi# YKl"sKi#M
"
"
Nh kinh t long ng dung, ging nh
Nh kinh t long ng dung, ging nh
cc nh l thuyt, nhanh chng pht hin
cc nh l thuyt, nhanh chng pht hin
ra rng mt m hnh hu ch khng phi l
ra rng mt m hnh hu ch khng phi l
mt m hnh "dng hay "thuc t m l
mt m hnh "dng hay "thuc t m l
mt m hnh tit kim, dng tin cy v
mt m hnh tit kim, dng tin cy v
cung cp nhiu thng tin.
cung cp nhiu thng tin.

Tiu chun R
Tiu chun R
2 2

R
R
2 2
o lung % bin ng ca Y uoc gii
o lung % bin ng ca Y uoc gii
thch bi cc X
thch bi cc X
i i
trong m hnh.
trong m hnh.

R
R
2 2
cng gn 1, m hnh cnh ph hop.
cng gn 1, m hnh cnh ph hop.

Luu :
Luu :
-
N ch o lung su ph hop "trong mu
N ch o lung su ph hop "trong mu
-
Khi so snh R
Khi so snh R
2 2
gia cc m hnh khc nhau, cc
gia cc m hnh khc nhau, cc
bin phu thuc phi ging nhau.
bin phu thuc phi ging nhau.
-
R
R
2 2
khng gim khi tng thm bin c lp.
khng gim khi tng thm bin c lp.

Tiu chun R
Tiu chun R
2 2
diu chinh (
diu chinh (

R
R
2 2
)
)

Ta thy
Ta thy

R
R
2 2

R
R
2 2
.
.

R
R
2 2
ch tng khi gi tri
ch tng khi gi tri
tuyt i ca gi tri t ca bin uoc
tuyt i ca gi tri t ca bin uoc
thm vo m hnh ln hon 1.
thm vo m hnh ln hon 1.

Do vy,
Do vy,

R
R
2 2
l tiu chun tt hon R
l tiu chun tt hon R
2 2
.
.

Luu , cc bin phu thuc cng phi

Luu , cc bin phu thuc cng phi
ging nhau.
ging nhau.

Tiu chun thng tin Akaike (AC)
Tiu chun thng tin Akaike (AC)

Trong k l s bin uoc uc luong (gm c h s

Trong k l s bin uoc uc luong (gm c h s
tu do) v n l c mu.
tu do) v n l c mu.

Ta thy AC pht hin sai st kht khe hon cc tiu

Ta thy AC pht hin sai st kht khe hon cc tiu
chun trn khi tng thm s bin.
chun trn khi tng thm s bin.

M
M
hnh no AC thp hon th tt hon
hnh no AC thp hon th tt hon
tin loi cho
vic tnh ton, ta
ly log:

Tiu chun thng tin Schar (SC)
Tiu chun thng tin Schar (SC)

SC cn kht khe hon AC.

SC cn kht khe hon AC.

SC cng nh, m hnh cng tt.

SC cng nh, m hnh cng tt.
hay

Tiu chun C
Tiu chun C
p p
ca Mallos
ca Mallos