V CC PHNG PHP CI BIN KIM NH PARK P DNG TRONG M HNH HI QUI BI PGS.TS.

. Nguyn Cao Vn H Kinh t quc dn H ni Kim nh PARK l mt phng php kim nh hin tng phng sai ca sai s thay i trong cc m hnh hi quy. Nh bit, y l mt phng php kim nh cho kt qu kh chnh xc, tuy nhin hn ch ca phng php ny l n ch p dng c i vi m hnh hi quy n. Bi vit ny ngh mt s phng php ci bin kim nh ny khi p dng n cho cc m hnh hi quy bi. Xt m hnh hi quy n: Yi = 1 + 2xi + Ui (1) Nh bit, kim nh cp gi thuyt: H0: phng sai ca sai s ngu nhin Ui l ng u. H1: phng sai ca sai s ngu nhin Ui thay i. PARK gi thit rng nu phng sai ca sai s thay i th n l mt hm ca bin gii thch, c th l hm s sau:
2 v Var(Ui) = i = 1X i e
2 i

Trong l v 2 l cc h s hi quy, cn V i l sai s ngu nhin tho mn mi gi thit ca phng php bnh phng nh nht thng thng (OLS Ordinary least square). y l mt gi thit kh ph hp vi phn ln cc m hnh hi quy v iu gii thch chnh xc cao ca phng php kim nh ny so vi cc kim nh khc cng loi. Gi thit trn c th a v dng tng ng sau: Ln( i2 ) = Lnl + 2LnXi +Vi (2) T th tc kim nh PARK nh sau: Bc 1. Dng OLS hi quy m hnh (1) tm cc phn d Ei Bc 2. Ly E i2 thay cho i2 m hnh (1) v dng OLS hi quy m hnh sau: Ln E i2 =l + 2LnXi + Vi (3) Bc 3. Dng kt qu hi quy thu c bc 2 tin hnh kim nh T vi cp gi thuyt: H0: 2 = 0 (phng sai ca sai s ngu nhin trong m hnh (1) ng u) H1: 2 ? 0 (phng sai ca sai s ngu nhin trong m hnh (1) thay i)

Nh trnh by trn, kim nh ny cho kt lun vi chnh xc cao i vi m hnh hi quy n. V th cn c nhng phng php m rng n cho cc m hnh hi quy bi. Xt m hnh hi quy bi sau: Yi = 1 + 2X2i + .kXki + Ui (4) Theo chng ti kim nh PARK c th m rng p dng cho m hnh (4) theo ba phng php sau: Phng php 1: Tin hnh kim nh theo phng php trnh by trn ln lt vi tng bin gii thch. Tuy nhin hn ch ca phng php ny l nu kt qu kim nh i vi mi bin gii thch u cho kt lun ging nhau (hoc m hnh c hin tng phng sai ca sai s thay i hoc khng) th mi cho php a ra kt lun cui cng, cn nu chng li cho cc kt lun mu thun nhau th khng th a ra c mt kt lun chung cho c m hnh. Phng php 2: Ly k vng ton ca bin ph thuc i din cho tt c cc bin gii thch, v bn thn k vng ton ca bin ph thuc theo gi thit l mt hm ca cc bin gii thch. Lc gi thit (2) c dng sau:
V Var(Ui) = i2 = 1 [E( Yi ) ] E
2 i

Ln( i2 ) = Ln1 + 2Ln[E(Yi)]+ Vi (5) Th tc kim nh nh sau: Bc 1. Dng OLS hi quy m hnh (4) tm cc E i v cc gi tr c lng ca Y l YMUi Bc 2. Ly E i2 v YMUi thay cho i2 v E (Yi) trong m hnh (5) v dng OLS hi quy m hnh sau: Ln( E i2 ) = 1 + 2LnYMUi + Vi (6) Bc 3. Dng kt qu hi quy thu c bc 2 tin hnh kim nh T vi cp gi thuyt: H0: 2 = 0 (phng sai ca sai s ngu nhin trong m hnh (4) ng u) H1: 2 ? 0 (phng sai ca sai s ngu nhin trong m hnh (4) thay i). Tuy nhin theo chng ti phng php trn ch cho kt qu chnh xc khi m hnh (4) c nh dng ng. V vy cng cha th tin cy hon ton vo kt lun ca n. Phng php 3: Gi s phng sai ca sai s ngu nhin l mt hm ca tt c cc bin gii thch, tc l ta gi thit rng:
V Var(Ui) = i2 = 1X 2i X 3i ...X ki E
2 3 k i

 Ln i2 = Lnl + 2LnX2i + ... +kLnXki + Vi (7) Lc th tc kim nh nh sau: Bc 1. Dng OLS hi quy m hnh (4) tm cc Ei Bc 2. Ly E i2 thay cho i2 v dng OLS hi quy m hnh sau: Ln E i2 = 1 + 2LnX2i + ..... + kLnXki + Vi Bc 3. Dng kt qu hi quy thu c bc 2 tin hnh kim nh F vi cp gi thuyt: H0: 2 = 3 = ....= k = 0 (phng sai ca sai s ngu nhin trong m hnh (4) ng u) H1: C t nht 1 h s ? 0 (phng sai ca sai s ngu nhin trong m hnh (4) thay i). Ch rng phng php trn ch cho kt lun ng tin cy khi gi thit (7) l ng, ng thi khng c hin tng a cng tuyn gia cc bin gii thch ca m hnh. V th cc phng php kim nh nu trn cn c kt hp s dng c th thu c mt kt lun chnh xc v hin tng phng sai ca sai s thay i trong m hnh gc. Sau y l kt qu kim nh cho mt tp s liu c th v so snh vi mt s phng php thng dng khc. S dng s liu ca nn kinh t Vit Nam v tng sn phm trong nc (GDP), tng gi tr xut khu (EX), tng gi tr nhp khu (IM), tng sn lng cng nghip (GIP), tng sn lng nng nghip (GAP) t 1980 n 1996 ta hi quy m hnh gi nh sau: GDPt = 1 + 2EXt + 3IMt + 4GIPt + 5GAPt + Ut (8) Trc ht ta dng mt vi phng php thng dng trong thc t kim nh hin tng phng sai ca sai s thay i trong m hnh trn. Nu dng phng php kim nh da trn bin ph thuc th sau khi hi quy m hnh (8) tm c cc phn d Et v cc gi tr c lng GDPMt, hi quy E 2 t 2 GDPM vi t s cho ta hai kt qu sau:
2 qs = 0,47559 [P-value = 0,49]

F(l,15) = 0,43172 [P-value = 0,521]

Nh vy c hai kim nh u cho php kt lun m hnh (8) c phng sai ca sai s ng u. Nu dng kim nh HITE th sau khi tm c cc phn d Et ca m hnh 2 2 2 2 (8) ta hi quy E 2 t vi EX, IM, GIP, GAP, EX , IM , GIP ,GAP , EX*IM, EX*GIP, EX*GAP, IM*GIP, IM*GAP, GIP*GAP s cho ta kt qu l:
2 qs

= 8, 89854 m

2 0,05

(14) = 23,6848

Nh vy kim nh HITE cng cho kt lun m hnh (8) c phng sai ca sai s ng u. By gi ta s dng ba phng php nu trn ca kim nh PARK ci bin kim nh. Phng php 1. + Kim nh ring vi bin gii thch EX cho ta Tqs = -1,0366 [P-value = 0,316] + Kim nh ring vi bin gii thch IM cho ta Tqs = -1,9704 [P-value = 0,068] + Kim nh ring vi bin gii thch GIP cho ta Tqs = -1,2164 [P-value = 0,243] + Kim nh ring vi bin gii thch GAP cho ta Tqs = -1,0622 [P-value = 0,305] Nh vy c bn kim nh u cho php kt lun m hnh (8) c phng sai ca sai s ng u. Phng php 2. Sau khi hi quy m hnh (8) tm c Et v GDPMt ta hi quy LnE 2 vi LnGDPM, t tm c Tqs = -1,1721 [P-value = 0,259] Nh vy kt qu ny cng cho php kt lun m hnh (8) c phng sai ca sai s ng u. Phng php 3. Sau khi hi quy m hnh (8) tm c Et ta hi quy LnE2 vi LnEX, LnIM, LnGIP, LnGAP v tin hnh kim nh F cho ta: F(4,12) = 1,8914 [0,177] Vy kt qu ny cng cho php kt lun m hnh (8) c phng sai ca sai s ng u.

Vi tp s liu trn th mi phng php kim nh u cho kt qu nh nhau, song trong nhiu trng hp thc t chng li cho kt qu khc nhau, v vy cn dng nhiu kim nh khc nhau trc khi a ra kt lun cui cng Ti liu tham kho: 1. V Thiu, Nguyn Quang Dong, Nguyn Khc Minh, Kinh t lng, NXB khoa hc k thut - 2002 2. D. Gujarati, Basic Econometrics, Mc. Graw Hill - 1995 3. Madala. G, Introduction to Econometrics, Macmilan, Publishing Company, New york - 1998 4. Paul Newblod, Statistics Business and Economics, Fourth edition, Prentice Hall, Englewood Cliffs, New Jersey 07632 5. Ramu Ramunathan, Introductory Econometrics with applications, Third edition, the Dryden press - 1989.