CHỌN MÔ HÌNH VÀ KIỂM ĐỊNH CHỌN MÔ HÌNH

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CHN M HNH V KIM NH CHN M HNH. CHNG 9. CHN M HNH. Bit c ch tip cn la chn m hnh Bit cch k im nh vic chn m hnh. MC TIU. NI DUNG. Chn m hnh- Cc sai lm khi chn m hnh. 1. 2. Cch tip cn l a chn m hnh. 3. Kim nh vic chn m hnh. - PowerPoint PPT Presentation

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  • CHNG 9CHN M HNH V KIM NH CHN M HNH

  • *CHN M HNH

  • NI DUNG*Chn m hnh- Cc sai lm khi chn m hnh1234Kim nh vic chn m hnhCch tip cn la chn m hnh

  • *1. Chn m hnh- Tit kim: M hnh n gin nhng phi cha cc bin ch yu nh hng n bin ph thuc nhm gii thch bn cht ca vn nghin cu.- Tnh ng nht: Vi mt tp d liu cho, cc tham s c lng phi duy nht.Tnh thch hp (R2): M hnh c R2 ( hoc cng gn 1 c coi cng thch hp.- Tnh bn vng v mt l thuyt: m hnh phi ph hp vi l thuyt nn tng.- Kh nng d bo caoChn m hnh v kim nh chn m hnh

  • *B st bin thch hp: dn n mt s hu qu nhCc tham s c lng s b chch v khng vng.Khong tin cy v cc kim nh khng chnh xc.D bo da trn m hnh sai s khng ng tin cy.

    2. Cc sai lm khi chn m hnh- Hu qu

  • *a vo m hnh nhng bin khng ph hp: cc c lng thu c t m hnh tha bin khng hiu qu, khong tin cy rng.2. Cc sai lm khi chn m hnh- Hu qu

  • *La chn m hnh khng chnh xc:c lng chch cc h s hi quy, thm ch du ca h s hi quy c th sai.C t h s hi quy c lng c c ngha thng kR2 khng caoPhn d cc quan st ln v biu th s bin thin c tnh h thng.2. Cc sai lm khi chn m hnh- Hu qu

  • V dV hm chi ph ca doanh nghip, dng hm ng Yi = b1 + b2Xi + b3Xi2 + b4Xi3 + u1iB st bin quan trng (Xi3): Yi = a1 + a2Xi + a3Xi2 + u2ia bin khng lin quan vo m hnh (Xi4):Yi = l1 + l2Xi + l3Xi2 + l4Xi3 + l5Xi4 + u3iDng hm sai. lnY = g1 + g2Xi + g3Xi2 + g4Xi3 + u4i*

  • *Cch tip cn la chn m hnhXc nh s bin c lp: c hai hng tip cn:T n gin n tng qut: b sung bin c lp t t vo m hnhT tng qut n n gin: Xt m hnh hi quy c y cc bin c lp c xc nh, sau loi tr nhng bin khng quan trng ra khi m hnh2. Kim nh m hnh c vi phm gi thit nh a cng tuyn, phng sai thay i, t tng quan. Nu m hnh vi phm th cn c bin php khc phc.3. Chn dng hm; da voCc l thuyt kinh tCc kt qu nghin cu thc nghim4. S dng cc tiu chun thng dng chn m hnh

  • *Kim nh vic chn m hnha. Kim nh tha bin (kim nh Wald)Xt hai m hnh:

    (U): m hnh khng b rng buc (Unrestricted model)(R): m hnh b rng buc (Restricted model). iu kin rng buc l cc h s hi quy ca cc bin Xm , Xm+1 , Xk ng thi bng 0

  • *a. Kim nh WaldXy dng gi thit kim nh k rng buc H1: c t nht mt khc 0B1: Hi quy m hnh (U) c k tham s, tnh RSSU c n-k bc t doB2: Hi quy m hnh (R) c m tham s, tnh RSSR c n-m bc t doB3: Tnh F

  • *B4: Tra bng F vi mc ngha c gi tr F (k-m, n-k) Quy tc quyt nh:Nu F> F (k-m, n-k): bc b Ho, tc m hnh (U) khng tha bin.Nu dng kt qu p-value th quy tc quyt nh nh sau:Nu p : Bc b H0Nu p > : Chp nhn H0

    a. Kim nh Wald

  • * kim nh cc bin gii thch b st, ta dng kim nh Reset ca Ramsey, gm cc bc:Bc 1: Dng OLS c lng m hnh Yi = 1 + 2X2i + uiT ta tnh v R2oldBc 2: dng OLS c lng m hnh

    Tnh R2newKim nh gi thit H0: 3 = 4 = = k = 0b. Kim nh b st bin gii thch

  • *Bc 3: Tnh

    n: s quan st, k: s tham s trong m hnh mi; m: s bin a thm vo.Bc 4: Nu F > F(m,n-k): Bc b H0, tc cc h s 3,4,k khng ng thi bng 0, m hnh c b st bin. Nu dng kt qu p-value th quy tc quyt nh nh sau: Nu p : Bc b H0 Nu p > : Chp nhn H0

    b. Kim nh b st bin gii thch

  • * kim nh phn phi chun ca Ui, ta dng kim nh 2, hay kim nh Jarque-Bera: Kim nh gi thit H0: ui c phn phi chunNu JB > 2, Bc b H0, ngc li, chp nhn H0c. Kim nh gi thit phn phi chun ca ui

  • Tiu chun la chn m hnhR2, R2 iu chnh, Gi tr ca hm hp l log-likelihood (L),Tiu chun thng tin Akaike (AIC), Tiu chun thng tin Schwarz (SIC)*

  • Tiu chun R2R2 o lng % bin ng ca Y c gii thch bi cc Xi trong m hnh.R2 cng gn 1, m hnh cng ph hp.Lu :N ch o lng s ph hp trong muKhi so snh R2 gia cc m hnh khc nhau, cc bin ph thuc phi ging nhau.R2 khng gim khi tng thm bin c lp.*

  • Tiu chun R2 iu chnh (R2)Ta thyR2 R2.R2 ch tng khi gi tr tuyt i ca gi tr t ca bin c thm vo m hnh ln hn 1.Do vy,R2 l tiu chun tt hn R2.Lu , cc bin ph thuc cng phi ging nhau. *

  • Gi tr ca hm hp l log-likelihood (L)

    Gi tr L cng ln chng t m hnh cng ph hp*

  • Tiu chun thng tin Akaike (AIC)Trong k l s bin c c lng (gm c h s t do) v n l c mu.Gi tr AIC cng nh chng t m hnh cng ph hp. *hay

  • Tiu chun thng tin Schwarz (SC)SC cn kht khe hn AIC.SC cng nh, m hnh cng tt.*hay

  • 6. Cc ch tiu nh gi m hnh d bo

    Sai s d bo

    Mu chia thnh hai phnMu khi ng: gm cc quan st t=1,2,3...S-1Mu kim tra: gm cc quan st t=S, S+1,S+h

    *

  • 6.1 Trung bnh sai s bnh phngMean Squared Error

    *

  • 6.2 Cn bc hai ca trung bnh sai s bnh phngRoot Mean Squared Error

    *

  • 6.3 Trung bnh sai s tuyt iMean Absolute Error

    Cc ch tiu MSE, RMSE, MAE ph thuc n v o ca bin d bo.*

  • 6.4 Trung bnh ca phn trm sai s tuyt iMean Absolute Percentage Error

    *

  • 6.5 H s bt ng thc Theil Mean Absolute Error

    TIC thuc [0;1]TIC =0: hm hi quy d bo chnh xc*

  • 6.6 T l chchBias Proportion: trung bnh ca gi tr d bo khc so vi trung bnh gi tr thc t

    *

  • 6.7 T l phng saiVariance Proportion: cho bit mc bin thin ca gi tr d bo khc mc bin thin ca gi tr thic t

    *

  • 6.8 T l hip phng saiCovariance Proportion: cho bit t l phn sai s ca d bo khng mang tnh h thng

    BP+VP+CP=1M hnh d bo tt: BP v VP nh

    *

  • V d 1Cho Y: lng hng bn c ca mt hng A (kg/thng)X2: gi bn mt hng A (ngn ng/kg)X3: gi bn ca mt hng B (ngn ng/kg)Z= 0 nu khu vc kho st nng thn, Z=1 nu kv kho st thnh ph S dng Eviews, hy kim nh Wald pht hin tha bin*

  • *

    X2X3ZY214120313019315118416018411117316117410016417116513115512115514014615114613013714112712012516115415016718112816010820111

  • B1. Chy m hnh U*

  • B2 Chy m hnh R*

  • B3 Tnh F

    B4 Tra bng F (, k-m, n-k) v quyt nh bc b hoc chp nhn Ho.Ho: Tha binH1: Khng tha bin*

  • V d 1Gi s m hnh hi quy

    B1: Chy m hnh hi quy muB2: Xc nh h s hi quy khng c ngha thng k (c p>). Lp gi thuyt HoB3: Chy kim nh Wald, xem gi tr F v p ca F quyt nh bc b hay chp nhn Ho*

  • B1: Chy hi quy*

  • Gi s =5%, ta thy h s hi quy ca bin X3 v Z c p > nn bin X3 v Z khc 0 khng c ngha. B2: Chy kim nh Wald cho gi thitH0: 3=4 =0 , ta c kt qu*

  • *

  • Ta c F= 0.082219, p=0.9215> nn ta chp nhn gi thuyt H0: 3=4 =0. Tc bin X3, Z khng cn thit a vo m hnh.Kt lun: Lng hng trung bnh bn c ca mt hng A ch ph thuc vo gi bn ca mt hng A, khng ph thuc vo gi bn mt hng B v khu vc bn.*

    *