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ˆ            ˆ                                                                0            1ˆ    1ˆ    0             ˆ    ...
tn   k     2         tn   k              2                  ˆ        0          t           1                             ...
f .(k 1)                                                                         R2                                       ...
Cov( U t , U t 1 )         Cov( U t , U t 1 )    Var ( U t ) . Var ( U t 1 )     Var ( U t )    etet    1ˆ     e i2       ...
U* tYt*         *            0                    *                    1                          *                       ...
ˆ                                                                               Yi2                                      2...
e i2                ˆ                    Yi2                   R2 ˆ1                     D                                ...
R2                        (k 1)               f                2                                  ;f                   f (...
ˆ Var (Y0 / X 0 )   X 0 . ˆ 2 (X.X) 1 .X 0 X 0 .Cov( ˆ ).X 0     RSSˆ2     n k     1 (1 R 2 ).(n 1)R2         (n k )
ˆ                Yi          ˆ       ˆ       ˆ                                0       1       2                        2  ...
ˆ               ˆ            1               2ˆI       e 0 .Y 1 .R 2 .e u t                    ˆ           ˆ           ˆ  ...
ˆ        *                   j               Se( ˆ j )ˆ          *                       0,98339 1    jSe( ˆ j )          ...
ˆ                                           Yi   ˆ       ˆ           ˆ                                                    ...
≠                    ˆ               *                        j                    Se( ˆ j )                              ...
CN                        e 0 .TL 1 .VL 2 KH 3 .e u tln CN                         ˆ           ˆ               ˆ       ˆ  ...
ˆ        *                   j               Se( ˆ j )ˆ          *                       0,38846 0,5    jSe( ˆ j )        ...
Docx 20111212 tai_lieu_kinh_te_luong_03
Docx 20111212 tai_lieu_kinh_te_luong_03
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Docx 20111212 tai_lieu_kinh_te_luong_03

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Docx 20111212 tai_lieu_kinh_te_luong_03

  1. 1. ˆ ˆ 0 1ˆ 1ˆ 0 ˆ tn k Se( ˆ 1 ) 1ˆ tn k Se( ˆ 1 ) ˆ tn k Se( ˆ 1 ) 1 1 2 2 ˆ 0 t 1 ;t tn k ˆ ) Se( 1 2tn k 2 tn k 2 ˆ 0,6 t 1 ;t tn k Se( ˆ ) 1 2
  2. 2. tn k 2 tn k 2 ˆ 0 t 1 ;t tn k Se( ˆ 1 ) tn k 2 ˆ 0 t 1 ;t tn k ˆ ) Se( 1 tn k 2 ˆ 0 t 1 ;t tn k ˆ ) Se( 1 tn k 2 R2 (k 1) f 2 ;f f (k 1, n k ) (1 R ) (n k )
  3. 3. f .(k 1) R2 f .(k 1) (n k )f (k 1, n k ) f (k 1, n k )ˆY0 tn k ˆ Se(Y0 ) ˆ Y0 tn k ˆ Se(Y0 ) 2 2 Y ˆ 0X ˆ 1 ˆ 1 (X 0 X ) 2Se(Y0 ) ˆ 2( n (X i X ) 2 ˆ2 (X i X) 2 Se 2 ( ˆ 1 )ˆY0 tn k Se(Y0 ) ˆ Y0 tn k Se(Y0 ) 2 2 ˆ 1 (X 0 X ) 2Se(Y0 ) ˆ 2 (1 n (X i X ) 2 2 (1) f (k 1, n k 1)
  4. 4. Cov( U t , U t 1 ) Cov( U t , U t 1 ) Var ( U t ) . Var ( U t 1 ) Var ( U t ) etet 1ˆ e i2 ˆ ˆ ˆ ˆ ˆ d n h (1 ). U2 2 (1 n ).Var ( ˆ ) 2 2 2 R1 R1 2 2 (1) R1 (RSS 2 RSS1 ) / 1 f ;f f (1,n k 1) RSS1 /(n k 1)
  5. 5. U* tYt* * 0 * 1 * X 1t ... * k 1 X* k 1, t U* t ˆ* ˆ* ˆ* 0 1 k 1 ˆ *ˆ 0 ˆ ˆ* 0 j j (1 )ˆY ˆ ˆ X ... ˆ X 0 1 1 k 1 k 1 ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ Y 0 1 2 e2 t e2 t e2 1 t t ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ Y 0 1 2 ˆ ˆ ˆ Y ˆ ˆ Y2 Y3 ˆ Ym ˆ 2 ˆ 3 Y Y ˆ Ym ˆ Y 2 ˆ Y 3 ˆ Yim i i R2 2 2 ( m 1) R2 2 ˆ Y2 ˆ Y
  6. 6. ˆ Yi2 2 2 (R 3 R1 ) f 1 ;f f (1,n k 1) 2 (1 R 3 ) (n k 1) 2 ( 2) S2 (k 3) 2 2 (1) n 6 24 2 i a.X b ji e i2 2 ie i2 a.X b .e vi jiln e i2 ln a b. ln X ji Vi 1ei 0 1 . Vi X jiei 0 1 . X ji Vi 1ei 0 1 . Vi X jie i2 0 1 X 1i 2 X 2i 3 X 1i X 2i 4 2 X 1i 5 X 2i 2 Vi 2 R w 2 ( k w 1) R2 w
  7. 7. e i2 ˆ Yi2 R2 ˆ1 D ˆ1 2 (1) R2 D 2 ˆ1 f ;f f (1, n 2) Se( ˆ 1) 2 2 i i 2 i 2 2 i .X ji X ji ˆ Yi ˆ Yi 2 R* 2 R* 2 R* (k * 1) f ;f 2 f ( k* 1, n k * ) (1 R ) * (n k * ) RSS e i2ˆ2 (n k ) (n k ) ˆ ˆ 0 t 1 2 ;t tn k Se( ˆ 1 ˆ ) 2Se( ˆ 1 ˆ ) 2 Se 2 ( ˆ 1 ) Se 2 ( ˆ 2 ) 2Cov( ˆ 1 , ˆ 2 )
  8. 8. R2 (k 1) f 2 ;f f (k 1, n k ) (1 R ) (n k ) 2 (R 1 R2) 2 f m ;f f ( m ,n k) 2 (1 R 1 ) (n k ) 2 2 (R nb R ib ) f m ;f f ( m ,n k) 2 (1 R ) nb (n k ) (RSS 2 RSS1 ) f m ;f f ( m ,n k) RSS1 (n k ) (RSS ib RSS nb ) f m ;f f ( m ,n k) RSS nb (n k )ˆY0 ˆ ˆ X0 ˆ X0 ˆ X0 0 1 1 1 2 k 1 k 1ˆY0 tn k ˆ Se(Y0 ) X1 X 0 0 X0 ˆ Y0 tn k ˆ Se(Y0 ) 2 k 1 2 2 ˆ Y0 ˆ Var (Y0 / X 0 )
  9. 9. ˆ Var (Y0 / X 0 ) X 0 . ˆ 2 (X.X) 1 .X 0 X 0 .Cov( ˆ ).X 0 RSSˆ2 n k 1 (1 R 2 ).(n 1)R2 (n k )
  10. 10. ˆ Yi ˆ ˆ ˆ 0 1 2 2 ˆ1 Se( ˆ 1 )ˆ ˆ j j
  11. 11. ˆ ˆ 1 2ˆI e 0 .Y 1 .R 2 .e u t ˆ ˆ ˆ 0 1 2ˆ 1ˆ 2ˆ 1ˆ 2 ˆ ˆ j j 29 t 0 , 05 ˆ * 0,12708 0 j Se( ˆ j ) 0,06068
  12. 12. ˆ * j Se( ˆ j )ˆ * 0,98339 1 jSe( ˆ j ) 0,02991 29 t 0, 025
  13. 13. ˆ Yi ˆ ˆ ˆ 0 1 2ˆYiˆYi ˆ * j Se( ˆ j ) ˆ * j Se( ˆ j ) ˆ ˆ j j ˆ * 8,9353 0 j ˆ j Se( ˆ j ) Se( ˆ j ) > -10) ˆ * j Se( ˆ j ) ˆ * j Se( ˆ j )
  14. 14. ≠ ˆ * j Se( ˆ j ) ˆ ˆ 0 1 ˆ ˆ 0 1 ˆ 0 ≠ ˆ * j Se( ˆ j )ˆ * jSe( ˆ j )
  15. 15. CN e 0 .TL 1 .VL 2 KH 3 .e u tln CN ˆ ˆ ˆ ˆ 0 1 2 3ˆ 1ˆ 2ˆ 3ˆ 1ˆ 2ˆ 3 R 2 /(k 1) f (k 1, n k ) (1 R 2 ) /(n k ) R 2 /(k 1) 0,99790 /( 4 1) (1 R 2 ) /(n k ) (1 0,99790) /(16 4)f (k 1, n k ) f 0(,305 ) ,13 f (k 1, n k ) ˆ ˆ j j 12 t 0 , 05 ˆ * 0,595124 0 j ˆ j Se( ˆ j ) Se( ˆ ) j ˆ ˆ ˆ 1 2 3
  16. 16. ˆ * j Se( ˆ j )ˆ * 0,38846 0,5 jSe( ˆ j ) 0,088688 t 12025 0, 2 2 R* (1) (RSS** RSS* ) / 1 f (1,n k 1) RSS* /(n k 1) ˆ * j Se( ˆ j )ˆ * 0,9252 0 jSe( ˆ j ) 0,152 t 12025 0,

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