Tavi IX

Hheteroskedasturoba

$ 9.1. wrfivi mravlobiTi regresiis ganzogadebuli modeli da

ganzogadebuli umcires kvadratTa meTodi

wrfivi mravlobiTi regresiis ganzogadebuli modeli

regresiis wrfivi modelis analizisas aqamde cxadi Tu aracxadi saxiT

vgulisxmobdiT, rom gaus-markovis pirobebis yvela moTxovna daculi iyo. magram
praqtikaSi zogjer vawydebiT situacias, roca aRniSnuli pirobebis nawili ar
sruldeba. magaliTad, didia albaToba, rom sxvadasxva masStabis mqone firmebis
erTobliobisaTvis mTliani mogebis sididis dasaqmebulTa raodenobis maCvenebelze
damokidebulebis amsaxveli regresiis gantolebisaTvis gaus-markovis pirobebidan
SeiZleba ar Sesruldes me-3 daSveba - SemTxveviTi wevris dispersiis dakvirvebis
nomrisagan damoukideblobis, anu homoskedasturobis moTxovna. mocemul
SemTxvevaSi gaus-markovis me-3 pirobis SesaZlo darRvevis mizezi masStabis
TvalsazrisiT firmebis araerTgvarovnebaa. dakvirvebis obieqtTa araerTgvarovnebiT
warmoqmnili problema SeiZleba Tavidan aviciloT Tu analogiuri regresiuli
damokidebulebis asagebad ganvixilavT ara sxvadasxva, aramed erTi da igive firmis
mTliani mogebisa da dasaqmebulTa ricxvis monacemebs drois sxvadasxva Suale-
disaTvis (momentisasTvis). magram am SemTxvevaSi mosalodnelia gaus-markovis me-
4 pirobis Seusrulebloba. saqme isaa, rom drois mocemuli momentis an
Sualedis Sesabamisi Sedegobrivi cvladis mniSvneloba xSirad wina periodebis
mniSvnelobebTan korelirebaSi imyofeba. amis gamo SemTxveviTi wevris sxvadasxva
dakvirvebaSi damoukideblobis piroba irRveva. praqtikaSi iseTi situaciac
gvxvdeba, roca regresiuli modelis agebisaTvis sivrcobriv-droiTi SerCeva
gamoiyeneba. rogorc wesi, aseT pirobebSi regresiis gantolebis SemTxveviTi
wevrisaTvis heteroskedasturobisa da sxvadasxva dakvirvebaSi erTmaneTisagan
damoukideblobis pirobebis Sesruleba ararealuri xdeba.

1
 aRniSnulidan gamomdinare, garkveul interess iwvevs regresiis wrfivi
klasikuri modelis ganzogadeba im SemTxvevaze, roca ar sruldeba dakvirvebebSi
SemTxveviTi wevris arakorelirebisa da dispersiis mudmivobis daSvebebi:

D(ui )  E (ui2 )   u2 , i  1,2,, n ,

cov(ui , u j )  E(ui  u j )  0 , i  j ,
romlebsac gaerTianebulad Semdegi matriculi Canaweri Seesabameba

cov(U )  E (UU T )   u2 I n ,
sadac U - SemTxveviTi u i , i  1,2,, n , wevrebis veqtor-svetia, I n - erTeulovani

matricaa. aseTi ganzogadebis Sedegad miiReba regresiis wrfivi modeli, romelsac

mravlobiTi regresiis ganzogadebuli wrfivi modeli ewodeba. maSasadame,
aRniSnuli modeli Semdegi saxisaa
Y  X  U , (9.1)
sadac Y ASedegobrivi cvladebis n 1 veqtoria;  - regresiis koeficientebis
( m  1)  1 veqtor-sveti; X - damoukidebeli cvladebis mniSvnelobaTa n  ( m  1)
matrica; m - modelSi Semavali faqtorebis ricxvi; n - dakvirvebis ricxvi.
amasTan, igulisxmeba, rom daculia Semdegi pirobebi:
daSveba I. X araSemTxveviTi (determinirebuli) matricaa;
daSveba II. E (U )  0 ;

daSveba III. cov(U )  E(UU T )   2  , sadac  - dadebiTad gansazRvruli

matricaa,   In ; 2- parametria, romelsac mocemul SemTxvevaSi cxadi

albaTuri Sinaarsi ar gaaCnia;

daSveba IV. r ( X )  m  1  n .
rogorc vxedavT, klasikuri da ganzogadebuli modelebi erTmaneTisagan
SemTxveviTi wevrebis U veqtoris kovariaciuli cov (U ) matricis struqturiT
gansxvavdeba. klasikur modelSi cov (U ) diagonaluri matricaa erTi da igive

diagonaluri  u2 elementebiT, ganzogadebul modelSi ki cov (U ) matricis

elementebis mniSvneloba SeiZleba nebismieri iyos.

ganzogadebuli (9.1) modelis Sefaseba SeiZleba Cveulebrivi umcires
kvadratTa meTodiT movaxdinoT. Tu amas gavakeTebT, miviRebT regresiis

koeficientebis Sefasebebis B veqtors:

2
 
B  X T X  X TY
1
(9.2)

da narCenebis e  Y  Yˆ  Y  XB  (e1 e2  en ) T veqtors.

SeiZleba vaCvenoT, rom B , romelic ganzogadebuli modelisTvisac wrfivad

aris gansazRvruli, SefasebaTa gadauadgileblobis Tvisebas E (B )   akmayo-
filebs (daamtkiceT savarjiSos saxiT). amis miuxedavad Cveulebrivi umcires
kvadratTa meTodis gamoyenebisas ori saxis problemas vawydebiT. jer-erTi,

miRebuli B -s elementebi gadauadgilebel SefasebaTa Soris efeqturs ar
warmoadgens, anu Sesabamisi klasis Sefasebebs Soris minimaluri dispersiebiT ar

gamoirCeva. meore, mocemul SemTxvevaSi B -s kovariaciul matricas Semdegi saxe
gaaCnia1

cov( B)   2 ( X T X ) 1 X T X ( X T X ) 1 , (9.3)
maSin, roca klasikur modelisaTvis analogiuri matrica ganisazRvreba formuliT

cov( B)   u2 ( X T X ) 1 . (9.4)

aseT pirobebSi kovariaciuli matricis Cveulebrivi Sefaseba

 1
Cov( B)  S e2 ( X T X ) 1 , sadac S e2  eTe ,
n  m 1
(9.3)-saTvis gadaadgilebuls da araZalmosils warmoadgens. aqedan gamomdinare,

gadaadgilebuli da araZalmosilia B veqtoris elementebis standartuli
Secdomebi da regresiis koeficientebis mniSvnelovnebis dasadgenad Catarebuli
testebiT araswori daskvnebi miiReba. rogorc wesi, regresiis koeficientebis
standartuli Secdomebi qvemoTaa gadaadgilebuli da Cveulebrivi umcires
kvadratTa meTodiT miRebuli Sefasebebi `optimisturad~ gamoiyureba.
aRniSnuli mizezebis gamo ganzogadebuli wrfivi regresiuli modelis
parametrebis Sesafaseblad Cveulebrivi umcires kvadratTa meTodis nacvlad unda
gamoviyenoT ganzogadebuli umcires kvadratTa meTodi, romelic gaus-markovis
Teoremis TvalsazrisiT efeqtur Sefasebebs iZleva.

 
1
radganac E (B )   , E (UU T )   2  da B  ( X T X ) 1 X TY    ( X T X ) 1 X TU , amitom
  
cov( B)  E[( B  )( B  )T ]  E[( X T X ) 1 X TUU T X ( X T X ) 1 ] 
 ( X T X ) 1 X T E(UU T ) X ( X T X ) 1   2 ( X T X ) 1 X T X ( X T X ) 1 .

3
 ganzogadebuli umcires kvadratTa meTodi

davuSvaT, (9.1) mravlobiTi regresiis ganzogadebuli modelia, romlis Sefa-

sebac unda ganvaxorcieloT. vidre uSualod ganzogadebuli umcires kvadratTa
meTodis arss ganvixilavT, am meTodiT Sefasebuli regresiis koeficientebis

veqtori B * -iT aRvniSnoT. maSin (9.1)-is Sefasebul variants Semdegi saxe eqneba

Y  XB*  e , (9.5)
 
sadac e- narCenebis veqtoria: e  Y  Y  Y  XB* . ganzogadebuli umcires

kvadratTa meTodi B * -s iseTi mniSvnelobis moZebnas gulisxmobs, romlisTvisac
minimalur mniSvnelobas miiRebs Ggamosaxuleba
   
G*  eT 1e  (Y  Y ) T 1 (Y  Y )  (Y  XB* ) T 1 (Y  XB* ) . (9.7)
*
Tu (9.7)-s B veqtoris elementebiT gavawarmoebT, warmoebulebs nuls
gavutolebT da miRebul sistemas amovxsniT, sabolood gveqneba

B*  ( X T 1 X ) 1 X T 1Y . (9.8)

vaCvenoT, rom aseTnairad gansazRvruli B* gadauadgilebel SefasebaTa
klass miekuTvneba. gvaqvs:

B*  ( X T 1 X ) 1 X T 1Y  ( X T 1 X ) 1 X T 1 ( X  U ) 

   ( X T 1 X ) 1 X T 1U . (9.9)

ganzogadebuli modelis erT-erTi daSvebis Tanaxmad E (U )  0 . maSasadame,

E( B* )    ( X T 1 X ) 1 X T 1 E(U )   .
visargebloT moyvanili TvisebiT, (9.9) tolobiT da gamovTvaloT (9.8) Sefase-
bebis kovariaciuli matricis mniSvneloba:
      
cov( B* )  E[( B*  E( B* ))(B*  E( B* )) T ]  E[( B*  )( B*  ) T ] 

 E[( X T 1 X ) 1 X T 1UU T 1 X ( X T 1 X ) 1 ] 

 ( X T 1 X ) 1 X T 1 E(UU T )1 X ( X T 1 X ) 1 .

radganac E (UU )    , amitom sabolood CavwerT

T 2


cov( B* )   2 ( X T 1 X ) 1 . (9.10)
aitkenis Teorema. ganzogadebuli regresiuli modelis wrfiv gadauadgilebel

Sefasebebs Soris (9.8)-iT gansazRvruli B * gaus-markovis Teoremis Tvalsaz-

risiT optimalurs warmoadgens, anu B * -s Sesabamisi kovariaciuli matricis

4
(9.10) mniSvneloba sxva gadauadgilebeli Sefasebebis kovariaciuli matricebis
mniSvnelobebs Soris minimaluria.

davamtkicoT moyvanili debulebis samarTlianoba. B * Sefasebebis gadauadgi-
leblobis Tviseba zemoT ukve davamtkiceT. rac Seexeba optimalurobis Tvisebas,
mis dasamtkiceblad visargebloT matriculi algebris erT-erTi cnobili SedegiT,
romelic dadebiTad gansazRvruli simetriuli matricebisaTvisaa miRebuli. am
Sedegis Tanaxmad nebismieri dadebiTad gansazRvruli gadaugvarebeli simetriuli
n n matrica, maT Soris  -c rogorc aseTi Tvisebebis mqone, Semdegi saxiT
SeiZleba warmovadginoT

  CC T , (9.11)
sadac C- raime gadaugvarebeli n n matricaa. aRsaniSnavia, rom aseTi
warmodgena calsaxad ar aris gansazRvruli, Tumca am garemoebas Cveni Semdgomi
msjelobisaTvis raime gansakuTrebuli mniSvneloba ar aqvs. mniSvnelovania (9.11)-
dan gamomdinare Semdegi ori Sedegi, romelic matricebis Sebrunebisa da transpo-
nirebis Tvisebebis gaTvaliswinebiT miiReba:

C 1(C 1 ) T  I n , (9.12)

(C 1 ) T C 1  1 . (9.13)
davubrundeT ganzogadebuli modelis (9.1) gantolebas. misi orive mxare

marcxnidan C 1 -ze gavamravloT. miviRebT gardaqmnili modelis gantolebas:

~ ~ ~
Y  X  U , (9.14)
~ ~ ~ ~
sadac Y  C 1Y , X  C 1 X , U  C 1U . amasTan, E (U )  C 1 E (U )  0 , da
~ ~~
cov(U )  E (UU T )  E [C 1UU T (C 1 ) T ]  C 1 E (UU T )(C 1 ) T 

  2C 1(C 1 ) T   2 I n .
ukanaskneli gamosaxulebis gamoyvanisas gaviTvaliswineT ganzogadebuli modelis

me-3 daSveba E (UU T )   2  da (9.12) toloba. rogorc vxedavT, gardaqmnili

~
(9.14) modelisaTvis gaus-markovis yvela piroba (maT Soris cov(U )   2 I n -
SemTxveviTi wevrebis heteroskedasturobisa da sxvadasxva dakvirvebaSi
erTmaneTisagan damoukideblobis piroba) daculia. amitom Tu (9.14)-is
SefasebisaTvis Cveulebriv umcires kvadratTa meTods gamoviyenebT, miviRebT
regresiis koeficientebis Sefasebebis veqtors

5
 

~ ~
B  XTX  1 ~ ~
X TY , (9.15)
romelic, CvenTvis cnobili gaus-markovis Teoremis Tanaxmad, wrfiv gadauadgi-
lebel Sefasebebs Soris yvelaze efeqturia, anu yvelaze mcire kovariaciuli
matriciT xasiaTdeba. es ukanaskneli (kovariaciuli matrica) ki, rogorc
klasikuri modelis ganxilvisas davadgineT, Semdegi saxiT ganisazRvreba
 ~ ~
cov( B)   2 ( X T X ) 1 . (9.16)
 
(9.14)-dan miRebuli B sxva araferia, Tu ara (9.8)-iT gansazRvruli B * ,
xolo (9.16)-Si mocemuli kovariaciuli matrica ki mTlianad (9.10)-s emTxveva.
~ ~
marTlac, (9.15)-Si da (9.16)-Si Semavali gardaqmnili X da Y maxasiaTeblebidan
gadavideT sawyis X da Y maxasiaTeblebze da gaviTvaliswinoT (9.13). miviRebT:
 ~ ~ ~ ~
B  ( X T X ) 1 X TY  [ X T (C 1 ) T C 1 X ]1 X T (C 1 ) T C 1Y 

 [ X T 1 X ]1 X T 1Y  B* ;
 ~ ~ 
cov( B)   2 ( X T X ) 1   2 [ X T (C 1 )T C 1 X ]1   2 ( X T  1 X ) 1  cov( B* ) .
Teorema damtkicebulia.
maSasadame, davadgineT, rom (9.1) modelis ganzogadebuli umcires kvadratTa
meTodiT Sefaseba gadauadgilebel, Zalmosil (marTalia es Tviseba gaus-markovis
TeoremaSi ar moixsenieba, magram igi samarTliania) da efeqtur Sefasebebs
gvaZlevs.
regresiis wrfivi klasikuri modelis msgavsad ganzogadebuli modelic
Sefasebis Semdeg mniSvnelovnebis Sesaxeb testebis Catarebas saWiroebs. magram
klasikuri modelisagan gansxvavebiT ganzogadebuli modelis mniSvnelovnebis
Sefasebisas garkveul sirTules vawydebiT. es exeba determinaciis koeficients,
romelic ganzogadebuli modelisaTvis Semdegi formuliT gamoiTvleba
 
(Y  Y ) T  1 (Y  Y )
R  1
2
, (9.17)
(Y  Y ) T  1 (Y  Y )
 
sadac Y  XB . saqme isaa, rom (9.17)-iT gansazRvruli R , zogad SemTxvevaSi,
* 2

SeiZleba [0,1] intervalSi ar imyofebodes, radganac ganzogadebuli modelisaTvis

samarTlians ar warmoadgens dispersiuli analizis mniSvnelovani toloba
   
(Y  Y )T 1 (Y  Y )  (Y  Y )T 1 (Y  Y )  (Y  Y )T 1 (Y  Y ) .

6
garda amisa, modelSi damatebiTi cvladis CarTva yovelTvis ar iwvevs R 2 -is
gadidebas, xolo modelidan cvladis amogdeba - R 2 -is Semcirebas, rogorc es
klasikuri modelis dros Sesabamisi determinaciis koeficientisaTvis xdeba.
aRniSnuli garemoebebis gamo determinaciis koeficienti ganzogadebuli modelis
dakvirvebis monacemebTan misadagebis xarisxis damakmayofilebel sazoms ar
warmoadgens. igi gamoiyeneba mxolod rogorc miaxloebiTi evristikuli
maxasiaTebeli.
rac Seexeba regresiis koeficientebis mniSvnelovnebis analizs, igi iseve
xorcieldeba, rogorc klasikur modelSi. Sesabamisi t testis Sesasruleblad,
mocemul SemTxvevaSi, winaswar saWiroa (9.10) kovariaciul matricaSi Semavali

ucnobi  2 parametris Sefaseba. marTalia, ganzogadebul modelSi  2 Sinaarsob-

rivad ar SeiZleba SemTxveviTi wevrebis dipersiis rolSi ganvixiloT, magram, amis
miuxedavad, misi Sefaseba narCenobiTi wevrebis safuZvelze xorcieldeba.
mtkicdeba, rom
1  
S2  (Y  Y ) T  1 (Y  Y ) (9.18)
n  m 1
ucnobi  2 parametris gadauadgilebeli Sefasebaa. ufro metic, SemTxveviTi

sidide (n  m  1)S 2 /  2 eqvemdebareba n  m  1 Tavisuflebis mqone  2

*
ganawilebas da S 2 da B Sefasebebi erTmaneTisagan damoukidebeli SemTxveviTi
sidideebia.
dasasruls ganzogadebuli umcires kvadratTa meTodis erT seriozul
naklze gvinda mivuTiToT. rogorc zemoT vnaxeT, aRniSnuli meTodis gamoyeneba
gulisxmobs, rom cnobilia SemTxveviTi wevrebis kovariaciuli matrica .
magram, rogorc ekonometrikuli modelirebis praqtika gviCvenebs,  matrica
winaswar TiTqmis yovelTvis ucnobia da misi elementebi iseve Sesafasebelia,
rogorc regresiis koeficientebi. amasTan,  matricis simetriulobis
miuxedavad, ucnobi elementebis ricxvi n(n  1) / 2 Cvens gankargulebaSi arsebul
dakvirvebis monacemTa raodenobas mniSvnelovnad aRemateba, rac  -s yvela
elementis Sefasebas statistikurad aragadawyvetad amocanad xdis. aqedan
gamomdinare, rom SevZloT umcires kvadratTa ganzogadebuli meTodis gamoyeneba,
 matricis struqturas damatebiTi aprioruli SezRudvebi unda davadoT. am

7
gzas e.w. xelmisawvdom (praqtikulad realizebad) umcires kvadratTa meTodamde
mivyevarT. mtkicdeba, rom garkveuli daSvebebis (SezRudvebis) pirobebSi
xelmisawvdomi meTodiT miRebuli regresiis koeficientebis Sefasebebi Zalmosilia
da asimtoturad ufro efeqturia, vidre Cveulebrivi umcires kvadratTa meTodiT
miRebuli Sefasebebi. am meTodis arss mogvianebiT ganvixilavT.

$ 9.2. heteroskedasturobis arsi da Sedegebi

heteroskedasturobis movlenas adgili aqvs maSin, rodesac wrfivi regresiiis

modelisaTvis
Y  X  U (9.1)
gaus-markovis pirobebidan ar sruldeba mxolod homoskedasturobis moTxovna, anu
rodesac u SemTxveviTi wevris dispersia yvela dakvirvebisaTvis mudmivi sidide
ar aris da

D(ui )   i2 , i  1,2,, n .
aseT situaciaSi saqme gvaqvs ganzogadebuli wrfivi regresiuli modelis erT-erT
kerZo SemTxvevasTan, saxeldobr, regresiul modelTan, romelSic SemTxveviTi
wevrebis kovariaciuli matricis cov (U ) -s aradiagonaluri elementebi nulis
tolia, diagonaluri elementebi ki aranulovania da ramdenime maTgani mainc
erTmaneTisagan gansxvavebuli sididea:

  12 0  0   1 0  0 
   
 0  22  0  20 2  0 
cov(U )  E (UU )        2 ,
T
 
         
0 0   2  0 0   
 n   n

sadac  i2 aris u i SemTxveviTi wevris dispersia;  2 - parametri, romelsac,

mocemul SemTxvevaSi, cxadi albaTuri Sinaarsi ar gaaCnia;  i -  matricis

diagonaluri elementi: i   i2 /  2 .

cxadia, roca sruldeba homoskedasturobis moTxovna, maSin 2 cxad

albaTur Sinaars Rebulobs – warmoadgens u SemTxveviTi wevris dispersias,
romelic yvela dakvirvebaSi mudmivia,  erTeulovan matricad gardaiqmneba da,
maSasadame, ganzogadebuli modelis kerZo SemTxvevidan (heteroskedasturi
modelidan) klasikur wrfiv regresiul modelze gadavdivarT.

8
 heteroskedasturoba gansakuTrebiT or SemTxvevaSi warmoiSveba. erTi, roca
regresiis gantolebis ageba droiTi mwkrivebis safuZvelze xdeba. aseT situaciaSi
zogjer faqtoruli da Sedegobrivi cvladebi drosTan erTad izrdeba rac
SemTxveviTi u wevris gafantulobis zrdas da heteroskedasturobis movlenis
warmoqmnas iwvevs. meore, roca saqme dakvirvebis araerTgvarovan obieqtebTan
gvaqvs. magaliTad, mniSvnelovnad gansxvavebuli Semosavlebis mqone ojaxebisaTvis
moxmarebis Semosavlebis sidideze Ddamokidebulebis ganxilvisas heteroskedas-
turobas unda velodoT, radganac, rogorc wesi, maRali Semosavlebis mqoneni
mets xarjaven moxmarebaze da dabalSemosavliani ojaxebis moxmarebasTan
SedarebiT maTi moxmarebis dispersiac F ufro maRalia.


y  
  

  
    
  
   


nax. 9.1
aqve unda aRiniSnos, rom heteroskedasturobis problema ufro metad
sivrcobrivi (jvaredini) monacemebisaTvisaa damaxasiaTebeli, vidre droiTi
mwkrivebisaTvis. amas sakmarisad martivi axsna Seesabameba. saqme isaa, rom
sivrcobrivi (jvaredini) monacemebis ganxilvisas Sesaswavli ekonomikuri obieq-
tebi (momxmareblebi, Sinameurneobebi, firmebi, qveynebi da a.S.) xSirad `zomaSi~
erTmaneTisagan mniSvnelovnad gansxvavdeba da maT Sesabamis maxasiaTeblebs
masStabTan dakavSirebuli efeqti gaaCnia. aseTi efeqti droiT mwkrivebSi naklebad
SeimCneva, radganac, am SemTxvevaSi, rogorc wesi, saqme gvaqvs erTi da igive
obieqtis an movlenis maxasiaTeblebTan, romlebic drois sxvadasxva momentSi
sxvadasxva mniSvnelobas Rebulobs. magram roca am maxasiaTebelTa cvlileba
xangrZlivad zrdis an Semcirebis tendenciiT xasiaTdeba, maSin heteroskedas-
turobis movlena droiT mwrivebSic warmoiqmneba.
nax 9.1-ze naCvenebia heteroskedasturobis erT-erTi tipi. rogorc vxedavT,
mocemul SemTxvevaSi igulisxmeba, rom x faqtoruli cvladis mniSvnelobis
zrdis kvalobaze y -is da, Sesabamisad, u -s gafantulobis xarisxi izrdeba. magram

9
heteroskedasturoba savaldebulo ar aris nax. 9.1-ze warmodgenis tips miekuT-
vnebodes. misi arsebobisaTvis mTavaria, rom sxvadasxva dakvirvebaSi u -s sxvadasxva
dispersia gaaCndes.
heteroskedasturobis SemTxvevaSi wrfivi regresiis (9.1) modelis Sefasebi-
saTvis SeiZleba Cveulebrivi umcires kvadratTa meTodi gamoviyenoT.
ganzogadebuli modelis msgavsad mocemul SemTxvevaSic am meTodiT miRebuli
regresiis koeficientebis Sefasebebi

B  ( X T X ) 1 X TY  ( X T X ) 1 X T ( X  U )    ( X T X ) 1 X TU (9.19)
gadauadgilebelobis, Zalmosilebisa da araefeqturobis TvisebebiT xasiaTdeba da
maTi Sesabamisi kovariaciuli matrica aris

cov( B)   2 ( X T X ) 1 X T X ( X T X ) 1 . (9.20)
gadauadgilebelobisa da Zalmosilebis Tvisebis gamo umcires kvadratTa
meTodiT Sefasebuli heteroskedasturi modeli SeiZleba Sedegobrivi cvladis
ucnobi mniSvnelobebis prognozirebisaTvis gamoviyenoT. magram Tu regresiuli
modelis ageba ekonomikuri analizis Catarebasa da kanonzomierebebis dadgenas
emsaxureba, maSin aRniSnuli meTodiT heteroskedasturi modelis Sefaseba
aramizanSewonilia, radganac, rogorc aRvniSneT, (9.19) Sefasebebi araefeqturia.
Cveulebrivi umcires kvadratTa meTodis gamoyenebas kidev ufro arTulebs is
garemoeba, rom gadaadgilebuli da araZalmosilia regresiis koeficientebis

kovariaciuli matricis (9.20)-is Sefaseba Cov( B)  S e2 ( X T T ) 1 , romlis diago-

naluri elementebi hipoTezebis SemowmebisaTvis gamoiyeneba, sadac S e2 narCenobiTi

wevris dispersiaa: S e2  eT e /(n  m  1) . es garemoeba t da F testebis

saSualebiT regresiis miRebuli modelis sizustis Sefasebas SeuZlebels xdis.

$ 9.3. heteroskedasturobis gamovlenis testebi

sawyis monacemTa specifikis codna, zogierT SemTxvevaSi, saSualebas gvaZlevs

regresiuli modelis agebamde ganvWvritoT heteroskedasturobis arseboba da misi
uaryofiTi Sedegebis Tavidan asacileblad Sesabamisi zomebi miviRoT. magram,
umetes SemTxvevaSi, heteroskedasturobis gamovlena specialuri testebis saSua-
lebiT xorcieldeba. amJamad ramdenime aseTi efeqturi testia SemuSavebuli.

10
maTi mizania daadginos aris Tu ara SemTxveviTi u i wevris dispersia D(ui )   i2

romelime amxsnel cvladze an amxsnel cvladTa erTobliobaze damokidebuli2.

amis Sesabamisad testebis ori tipi arsebobs. pirveli tipis testebSi SemTxveviTi
wevris dispersis erT calke aRebul cvladze damokidebulebis arsebobis
SesaZlebloba mowmdeba. aseTi testebis Sedegebi advilad interpretirebadia,
xolo maTi saSualebiT gamovlenili heteroskedasturoba ki martivad aRmof-
xvradia. magram SedarebiT ufro universaluri da saimedoa meore tipis testebi,
romlebSic ukve SemTxveviTi wevris dispersis amxsnel cvladebis garkveul
erTobliobaze damokidebulebis arseboba mowmdeba. aseTi testebi heteros-
kedasturobis gamovlenasTan erTad modelis specifikaciis sisworis Semowmebis
saSualebasac iZleva.
qvemoT orive tipis testis ramdenime mniSvnelovan saxes ganvixilavT. yvela

maTganSi ZiriTadi Sesamowmebeli hipoTezaa H 0 :  12   22     n2 , xolo alter-

natiul hipoTezas ki H1 : ara H 0 warmoadgens.

konkretuli Sedegobrivi cvladis mimarT heteroskedasturobis

Semowmebis testebi

spirmenis ranguli korelaciis testi. am testis Sesrulebas safuZvlad

udevs daSveba imis Sesaxeb, rom heteroskedasturobis SemTxvevaSi faqtoruli x
cvladis zrdis kvalobaze SemTxveviTi wevris dispersia unda izrdebodes an unda
mcirdebodes, amitom umcires kvadraTa meTodiT Sefasebul regresiaSi narCenebis
absoluturi sidide | e | da faqtoruli cvladis mniSvneloba x erTmaneTTan
korelirebaSia. aRniSnuli korelaciuri damokidebulebis gamosavlenad saWiroa
x -isa da | e | -s ranJireba ( x -sa da | e | -s rangi eniWebaT sididis Sesabamisad –
maRal mniSvnelobas maRali rangi Seesabameba) da spirmenis ranguli korelaciis
koeficientis rex -is gamoTvla Semdegi formulis saSualebiT

2
vinaidan  i2 aradakvirvebadi sididea, amitom testebis umravlesoba mis Sefasebad
iyenebs Cveulebrivi umcires kvadratTa meTodiT agebuli regresiis gantolebis
narCenobiTi wevris mniSvnelobis kvadrats ei2 -s.

11
 n
6 d i2
i 1
rex  1  , (9.21)
n n
3

sadac d i aris sxvaoba xi -sa da | ei | -s rangebs Soris; n - dakvirvebis ricxvi.

magaliTad, Tu x -is yvela dakvirvebad mniSvnelobebs Soris x15 rangiT (sididiT)

me-20-a, xolo | e | -s gamoTvlil mniSvnelobebs Soris | e15 | aris rangiT (sididiT)

me-18, maSin d15  20  18  2 .

cnobilia, rom Tu ranguli korelaciis Teoriuli mniSvneloba  ex

generalur erTobliobaSi nulis tolia, maSin statistikas

| rex | n  2
t (9.22)
1  rex2
gaaCnia stiudentis ganawileba Tavisuflebis n  2 xarisxiT. maSasadame, Tu (9.22)
formuliT gamoTvlili t -s mniSvneloba stiudentis ganawilebis cxrilidan
mniSvnelovnebis  doniTa da Tavisuflebis n  2 xarisxiT SerCeul tkr -s
aRemateba, maSin SegviZlia uarvyoT nulovani hipoTeza korelaciis ranguli
koeficientis  ex -is nulTan tolobis Sesaxeb. es ki TavisTavad heteroskedas-

turobis ar arsebobis Sesaxeb nulovani hipoTezis uaryofas niSnavs (unda

CavTvaloT, rom adgili aqvs heteroskedasturobas).
roca regresiis modelSi erTze meti amxsneli cvladia, maSin hipoTezis
Semowmeba SeiZleba nebismieri maTganis mimarT ganxorcieldes.

 magaliTi 9.1. cxril 9.1-Si moyvanilia monacemebi 25 firmis mier wlis

ganmavlobaSi miRebuli mogebis sididisa ( x ) da misi gaunawilebeli nawilis ( y ) Sesaxeb.

spirmenis ranguli korelaciis gamoyenebiT SevamowmoT, xom ar arsebobs heteroskedas-

turobis problema am monacemebis safuZvelze asageb modelSi y   0  1 x  u , romelic

gaunawilebeli mogebis mTlian mogebaze damokidebulebis regresias ganixilavs.

amoxsna. Cveulebrivi umcires kvadratTa meTodiT SevafasoT wrfivi regresiis
gantoleba (frCxilebSi miTiTebulia standartuli Secdomebi)

y   5,45386 0,30394 x , R 2  0,9448, F  393,7
( 4, 2127) (0,01532)

12
 
da gamovTvaloT narCenobiTi wevris ei  yi  yi mniSvnelobebi. SevadginoT cxrili 9.2,

romelSic mTliani mogebis sidide zrdis mixedviTaa mowesrigebuli. amave cxrilSi

moyvanilia xi -isa da ei -s Sesabamisi rangebis sxvaobiTi mniSvnelobebi d i . am monacemebis

cxrili 9.1
firmis mTliani gaunawi- firmis mTliani gaunawi- firmis mTliani gaunawi-
# wminda lebeli # wminda lebeli # wminda lebeli
mogeba mogeba mogeba mogeba mogeba mogeba
x y x y x y
1 211 70 10 140 32 19 192 62
2 160 47 11 335 80 20 79 14
3 312 92 12 530 167 21 50 12
4 103 23 13 232 51 22 274 89
5 380 125 14 152 43 23 353 110
6 183 59 15 130 25 24 80 22
7 63 19 16 290 65 25 480 120
8 450 140 17 175 40
9 255 73 18 400 110

safuZvelze gamoTvlili ranguli korelaciis koeficienti tolia

n
6 d i2
i 1 6  1107
rex  1   1  0,57423.
n n
3
24  624
SevamowmoT miRebuli rex -is mniSvnelovneba, risTvisac (9.22)-iT gamovTvaloT t
statistika: t  3,364 . es ukanaskneli aRemateba tkr -s, romelic 5%-iani mniSvnelovnebis

donisaTvis 2.069-s Seadgens. maSasadame, mocemuli testis mixedviT unda CavTvaloT, rom
ganxilul magaliTSi heteroskedasturobas aqvs adgili. 
cxrili 9.2
x rangi |e | rangi d x rangi |e | rangi d
50 1 2,2571 3 -1 232 14 14,0591 21 -7
63 2 5,3059 10 -8 255 15 0,9504 1 14
79 3 4,5570 8 -5 274 16 11,1756 18 -2
80 4 3,1390 6 -2 290 17 17,6873 24 -7
103 5 2,8515 5 0 312 18 2,6261 4 14
130 6 9,0577 16 -10 335 19 16,3644 23 -4
140 7 5,0971 9 -2 353 20 8,1647 13 7
152 8 2,2557 2 6 380 21 14,9585 22 -1
160 9 3,8242 7 2 400 22 6,1202 11 11
175 10 7,7348 12 -2 450 23 8,6830 14 9
183 11 8,8337 15 -4 480 24 20,4350 25 -1
192 12 9,0983 17 -5 530 25 11,3682 20 5
211 13 11,3235 19 -6

golfeld-kvandtis testi. am testis Catarebas safuZvlad ori daSveba

udevs: 1) igulisxmeba, rom SemTxveviTi u i , i  1,2,, n , wevri normaluradaa

13
ganawilebuli da avtokorelacias ar eqvemdebareba; 2) mocemul dakvirvebaSi
SemTxveviTi wevris standartuli gadaxra i faqtoruli xj cvladis x ij

mniSvnelobis proporciulia.
davuSvaT, garkveuli mosazrebidan gamomdinare migvaCnia, rom  i dadebiTad

korelirebs x ij -sTan: rac didia mocemuli faqtoruli cvladis mniSvneloba, miT

didia SemTxveviTi wevris standartuli gadaxra. aseT pirobebSi golfeld-

kvandtis testis Sesasruleblad saWiroa Semdegi operaciebis ganxorcieleba.
1. dakvirvebis n wertilisagan Semdgari mTel erTobliobas x j faqtoruli

cvladis zrdis mixedviT vawesrigebT;

2. mowesrigebul mTel erTobliobaSi gamovyofT pirveli n  dakvirvebisagan,
bolo n  dakvirvebisagan da danarCeni n  2n dakvirvebisagan Semdgar nawilebs;
3. pirveli n  da bolo n  dakvirvebebisaTvis calk-calke, Cveulebrivi
umcires kvadratTa meTodis gamoyenebiT, vafasebT regresiis models
y   0  1 x1     m xm  u . Sua n  2n dakvirvebebi mxedvelobaSi ar miiReba.
sawyis da bolo n  dakvirvebebisaTvis Sefasebuli modelebisaTvis gamoTvlili
narCenebis safuZvelze vangariSobT SemTxveviTi wevris dispersiebis Sefasebebs
n n
1 1
S I2 


n  m  i i 1
ei2 , S II2 

 ei2
n  m  1 i nn1

4. pirveli n  da bolo n  dakvirvebebis Sesabamisi SemTxveviTi wevrebis  I2

da  II2 dispersiebis tolobis Sesamowmeblad vagebT statistikas

F  S II2 S I2 .

roca samarTliania hipoTeza H 0 :  I2   II2 , maSin moyvanil F SemTxveviT sidides

fiSeris F (n  m  1; n  m  1) ganawileba Seesabameba. amitom Tu (n  m  1) da

(n  m  1) Tavisuflebis xarisxebiTa da mniSvnelovnebis  DdoniT fiSeris

ganawilebis cxrilidan SerCeuli Fkr -saTvis sruldeba piroba F > Fkr , maSin

uarvyofT nulovan hipoTezas da vRebulobT mis alternativas H1 :  I2   II2 .

maSasadame, aseT situaciaSi testi gviCvenebs, rom adgili aqvs heteroskedas-
turobas.

14
 testis simZlavre, anu heteroskedasturobis uaryofis albaToba, roca igi
realurad ar arsebobs, damokidebulia n  -is SerCevaze. es albaToba maqsimaluria
maSin, roca n  n / 3 [kremeri, putko, gv. 160]. testis avtorebis rekomendaciiT
[dougerti, gv. 208] mizanSewonilia, rom n  -is mniSvneloba aRebul iqnas
daaxloebiT 3 n /8-is doneze. amasTan, adgili unda hqondes utolobas n  m  1 ,
sadac m regresiis modelSi Semaval amxsnel cvladTa ricxvia.

 magaliTi 9.2. cxril 9.1-Si moyvanili monacemebis safuZvelze agebuli regresiis

y   0  1 x  u modelisaTvis golfeld-kvandtis testis gamoyenebiT SevamowmoT

heteroskedasturobis arsebobis SesaZlebloba.

amoxsna. pirvel rigSi davadginoT n  -is mniSvneloba. n  3n / 8 formulis

gaTvaliswinebiT n  -is mniSvnelobad SeiZleba miviRoT 10. x -is zrdis mixedviT
movawesrigoT monacemebi da Cveulebrivi umcires kvadratTa meTodiT pirveli 10 da
bolo 10 dakvirvebis monacemisaTvis avagoT wrfivi wyviluri regresiis modelebi.
miviRebT (frCxilebSi miTiTebulia standartuli Secdomebi):

yi   1,3167 0,25633 xi R 2  0,84834, F  44,75 , i  1,2,,10 ;
( 4,62285) (0,03813)

yi   11,0838 0,3178 xi R 2  0,798, F  31,6 , i  16,17,,25 .
( 21,97528) (0,05652)

narCenebis kvadratebis jami pirveli gantolebisaTvis Seadgens 204,45-s, meore

gantolebisaTvis ki – 1648.84-s. amitom aseT pirobebSi F statistika tolia
F  1648.84 / 204,45  8,065 . Ees mniSvneloba aRemateba 5%-iani mniSvnelovnebis donis da
Tavisuflebis 8 da 8 xarisxebis Sesabamis kritikul mniSvnelobas Fkr  3,44 . maSasadame,

9.1 cxrilis monacemebisaTvis golfeld-kvandtis testiTac sabuTdeba heteroskedastu-

robis arseboba. 

parkis testi. mocemul testSi gamoiyeneba daSveba imis Sesaxeb, rom

heteroskedasturobis dros SemTxveviTi wevris dispersia  i2 amxsneli xj

cvladis x ij mniSvnelobasTan SeiZleba ara proporciul, rogorc es golfeld-

kvandtis testSi igulisxmeba, aramed regresiul damokidebulebaSi imyofebodes.

am damokidebulebis saxed parki ganixilavs

 i2   2 xij exp( i ) , i  1,2,, n ,

15
sadac  da  2 - regresiis parametrebia, romelebic unda SevafasoT;  i -
SemTxveviTi sididea. moyvanili gamosaxulebis galogariTmebiT miiReba wrfivi
regresiuli modeli:

ln  i2  ln  2   ln xij   i , i  1,2,, n .

am sistemaSi  i2 aradakvirvebadi sididea. amitom, rom SevafasoT moyvanili mode-

li, heteroskedasturobis sxva testebis msgavsad, mocemul SemTxvevaSic  i2 -is

nacvlad aiReba misi Sefaseba ei2 - narCenobiTi wevris kvadrati, romelic

regresiis y   0  1 x1     m xm  u gantolebis Cveulebrivi umcires

kvadratTa meTodiT Sefasebis Semdeg miiReba.

sabolood parkis testis mixedviT unda SevafasoT regresiis gantoleba

ln ei2     ln xij   i , (7.23)

sadac   ln  2 . Tu miRebul Sefasebul modelSi  koeficientis Sefasebuli


mniSvneloba  statistikurad mniSvnelovania (mniSvnelovnebis Semowmeba xorci-
eldeba standartulad, t kriteriumis gamoyenebiT), maSin iTvleba, rom regresiis
sawyis y   0  1 x1     m xm  u modelSi adgili aqvs heteroskedasturobas,

romelic  i2 -is amxsnel x ij cvladze damokidebulebiTaa gamowveuli.

gleizeris testi. heteroskedasturobis gamovlenis am tests parkis

testisagan ori garemoeba ganasxvavebs. erTi, rom SemTxveviTi wevris dispersiisa
da amxsneli cvladis SesaZlo kavSiris dasaxasiaTeblad logariTmulis nacvlad
sxva saxis arawrfivi (SesaZlebelia wrfivic) regresiuli damokidebuleba ganixi-

leba. meore, aRniSnul regresiaSi Sedegobrivi cvladis rolSi  i2 dispersiis

nacvlad aRebulia sdandartuli gadaxra  i , romlis Sefasebas narCenobiTi

wevris absuluturi mniSvneloba | ei | warmoadgens.

testis Sesasruleblad dasawyisSi Cveulebrivi umcires kvadratTa meTodiT

regresiis y   0  1 x1     m xm  u gantolebas vafasebT da mis safuZvelze
miRebuli narCenobiTi ei wevrebis gamoyenebiT glaizeris mier SemoTavazebuli

Semdegi variantebidan:
| ei |    xij   i , i  1,2,, n ; (9.24a)

16
 | ei |    xij   i , i  1,2,, n ; (9.24b)

1
| ei |      i , i  1,2,, n ; (9.24g)
xij

1
| ei |      i , i  1,2,, n . (9.24d)
xij

erT an ramdenime models vagebT. Tu Sefasebis Semdeg aRmoCndeba, rom romelime


gantolebis regresiis  koeficienti statistikurad mniSvnelovania, maSin
nulovan hipoTezas heteroskedasturobis ar arsebobis Sesaxeb uarvyofT. rodesac

mniSvnelovani  ramdenime funqciisaTvis miiReba, maSin heteroskedasturobis
xasiaTis gansazRvrisaTvis orientiri maT Soris saukeTeso Sefasebaze unda
aviRoT. magaliTad, davuSvaT, rom mocemuli dakvirvebis monacemebisaTvis  -s
statistikurad mniSvnelovani Sefaseba oTxive gantolebisaTvis miviReT, magram t -
s yvelaze didi mniSvneloba (9.24b) gantolebis koeficients Seesabameba. maSin
SeiZleba CavTvaloT, rom mocemuli dakvirvebis monacemebisaTvis heteroske-
dasturoba (9.24b) gantolebiT aproqsimirdeba. sxva sityvebiT, vuSvebT, rom u
SemTxveviTi sididis ganawilebis standartuli gadaxra x j faqtoruli cvladis

zrdis Sedegad izrdeba, magram ara iseTi siCqariT, rogoriTac x j izrdeba.

 magaliTi 9.3. kvlav mivmarToT cxril 9.1-Si moyvanil monacemebs da regresiis

wrfivi y   0  1 x  u modelisaTvis heteroskedasturobis sakiTxis garkveva amjerad

gleizeris testis gamoyenebiT vcadoT.

amoxsna. ganvixiloT (9.24a)_(9.24d) tipis gantolebebi da TiToeuli maTgani
Cveulebrivi umcires kvadratTa meTodiT SevafasoT. miviRebT (frCxilebSi mocemulia
Sesabamisi t statistikis mniSvneloba):

| e |  2,89132 0,02257 x , R 2  0,33444, F  11,56 ;
(t ) (1,82612) ( 3,39960)


| e |   2,04236 0,69711 x , R 2  0,3486, F  12,3 ;
(t ) ( 0, 66303) ( 3, 5086)

1
 
| e |  16,89021 115,07 x 2 R 2  0,31998, F  10,8 ;
(t ) ( 6 ,12839) ( 3, 28974)


| e |  12,09491 608,507 x 1 R 2  0,28093, F  8,99 .
(t ) ( 7 , 7445) ( 2 , 99762)

17
 
oTxive gantolebisaTvis regresiis  koeficientis t statistikis mniSvneloba

aRemateba tkr -s, romelic 5%-iani mniSvnelovnebis donisaTvis da Tavisuflebis 23

xarisxisaTvis 2,09-s Seadgens. maSasadame, nulovani hipoTeza heteroskedasturobis ar
arsebobis Sesaxeb uaryofilia. amasTan, radganac t -s SedarebiT maRali mniSvneloba meore

gantolebis  -s gaaCnia, amitom cxril 9.1-is monacemebis pirobebSi heteroskedasturobis
formis ganmsazRvrelad SeiZleba es gantoleba CavTvaloT. 

gleizeris testis, iseve, rogorc parkis testis dadebiTi momentia

gamoyenebis simartive da gasagebi logika – vixilavT dispersiis Sefasebis im
faqtorze damokidebulebas, romelmac SeiZleba gviCvenos, rom sxvadasxva
dakvirvebisaTvis dispersia sxvadasxvaa. magram, rogorc sxva yvelaferi martivi,
es testebic rigi naklovanebebiT xasiaTdeba. pirvel rigSi aRsaniSnavia, rom am
testebiT ufro metad vamowmebT SemTxveviTi u i sididis amxsnel x ij cvladTan

damoukideblobis sakiTxs, vidre heteroskedasturobis arsebobis an ar arsebobis

hipoTezas. meore, gamoricxuli ar aris, rom TviTon testis Sesasrulebel (9.23)
da (9.24) gantolebebSi gaus-markovis pirobebi, maT Soris homoskedasturobis
piroba iyos darRveuli. rogorc cnobilia, es garemoeba ganapirobebs imas, rom
(9.23) da (9.24) gantolebebSi Sefasebuli regresiis statistikurad aramniS-

vnelovani koeficienti  zogjer mniSvnelonad warmogvidgeba. cxadia aseT
pirobebSi parkisa da gleizeris testebiT miRebuli daskvnebis samarTlianoba
eWvis qveS dgeba. aRniSnulis gamo iTvleba, rom zogadad gleizerisa da parkis
testebi mizanSewonilia gamoviyenoT amxsneli cvladis (cvladebis) dasadgenad,

romelzec damokidebulia  i2 , agreTve, gamovlenil amxsnel cvladze  i2 -is

damokidebulebis formis gansazRvrisaTvis.

testebi nebismieri formis heteroskedasturobis SemowmebisaTvis

breuS-paganis testi. mocemuli testi efuZneba daSvebas imis Sesaxeb, rom

heteroskedasturobis dros SemTxveviTi wevris dispersia wrfivad aris
damokidebuli faqtorTa z1 , z 2 , , z k erTobliobaze, romelTa Sorisac regresiis

y   0  1 x1     m xm  u gantolebaSi Semaval amxsnel faqtorebTan erTad

18
nebismieri sxva faqtoric SeiZleba iyos warmodgenili. maSasadame, aRniSnulis
Tanaxmad,

 i2   0   1 zi1     k zik  i , i  1,2,, n ,

sadac  j , j  0,1,, k , regresiis ucnobi koeficientebia; zi1 , zi 2 ,, zik dakvir-

vebadi sidideebia;  i SemTxveviTi wevria. heteroskedasturobis sxva testebis

msgavsad mocemul testSic  i2 -is Sefasebis rolSi ei2 ganixileba, amitom testis

erT-erT `samuSao~ gantolebaa

ei2   0   1 zi1     k zik  i , i  1,2,, n . (9.25a)

zogjer ganixileba `samuSao~ gantolebis meore variantic

qi   0   1 zi1     k zik  i , i  1,2,, n , (9.25b)

sadac qi  ei2 e 2 ; e2- narCenebis kvadratebis saSualo ariTmetikulia:

1 n 2
e2   ei . aqedan gamomdinare, breuS-paganis testi or variantad SeiZleba
n i 1
Sesruldes.
pirveli varianti Semdegi operaciebis Catarebas gulisxmobs:
1. Cveulebrivi umcires kvadratTa meTodiT regresiis
y   0  1 x1     m xm  u gantolebas vafasebT da narCenobiTi wevris ei ,
i  1,2,, n , mniSvnelobebs vsazRvravT;
2. viTvaliswinebT ei , i  1,2,, n , mniSvnelobebs (9.25a)-Si da am ukanasknels

Cveulebrivi umcires kvadratTa meTodiT vafasebT. vTqvaT, am gziT miRebuli

gantolebaa
  
ei2   0   1 zi1     k zik   i , i  1,2,, n , (9.26a)

sadac  i narCenobiTi wevria;

3. (9.26a)-saTvis viTvliT determinaciis Re2 koeficients da vixilavT

statistikas nRe2 . am ukanasknels lagranJis mamravlebis testis statistika

ewodeba. mtkicdeba, rom Tu samarTliania nulovani hipoTeza
  
H 0 :  1   2     k , maSin nRe2 ~  2 (k ) , sadac  2 ( k ) - xi-kvadrat ganawilebaa
Tavisuflebis k xarisxiT.

19
 4. mniSvnelovnebis  donisa da Tavisulebis k xarisxis mixedviT xi-

kvadrat ganawilebis cxrilidan vsazRvravT kritikul mniSvnelobas. Tu nRe2

kritikul mniSvnelobas aRemateba, maSin nulovan hipoTezas uarvyofT da vTvliT,
rom z1 , z 2 , , z k cvladebis mimarT adgili aqvs heteroskedasturobas.

meore variantSi `samuSao~ gantolebad (9.25a)-s nacvlad (9.25b) ganixileba.

es testis Catarebis Tanmimdebrobas arsebiTad ar scvlis. gansxvaveba imaSia, rom
  
nulovani hipoTezis H 0 :  1   2     k Sesamowmeblad zemoT ganxiluli nRe2

statistikis nacvlad am SemTxvevaSi gamoiyeneba ukve asimtoturad  2 (k )

ganawilebis mqone RSS / 2 statistika, romelSic RSS aris (9.25b)-is
SefasebiT miRebul
  
qi   0   1 zi1     k zik   i , i  1,2,, n (9.26b)
n

gantolebaSi regresiiT axsnili gafantuloba RSS   (qi  q ) 2 , sadac q
i

1 n 
saSualo ariTmetikulia: q   qi ;
n i 1
qi  qi   i .

uaitis testi. es aris yvelaze universaluri da xSirad gamoyenebadi testi.

misi Sinaarsobrivi mxare or garemoebas efuZneba. erTi, rom Tu modelSi
heteroskedasturobas aqvs adgili, maSin igi raRaca formiT Cveulebrivi sawyisi
regresiis narCenobiT ei wevrebSi aisaxeba; meore, heteroskedasturoba xSirad

imiTaa gamowveuli, rom regresiis modelis SemTxveviT wevris dispersiebi amxsnel

cvladebzea raime saxiT damokidebuli. amasTan, am damokidebulebis saxe SeiZleba
sakmarisad rTuli iyos. am garemoebebis gaTvaliswinebiT uaitma SemogvTavaza
SevamowmoT heteroskedasturobis mxolod is formebi, romlebsac SeuZlia
Cveulebrivi umcires kvadratTa meTodiT miRebuli daskvnebi araswori gaxados.
testis algoriTmi ganvixiloT orfaqtoriani modelis magaliTze. vTqvaT
sawyisi modelis saxea yi   0  1 xi1   2 xi 2  ui . maSin Semdeg moqmedebebs aqvs
adgili.
1. sawyisi regresisaTvis Cveulebrivi umcires kvadratTa meTodiT
vRebulobT Sefasebul models yi  b0  b1 xi1  b2 xi 2  ei ;

2. vagebT testis gantolebas, romelSic yvela faqtoruli cvladi pirvel

xarisxSi, kvadratebSi da wyvil-wyvilad namravlis saxiT Sedis:

20
 ei2   0   1 xi1   2 xi 2  11 xi21   22 xi22  12 xi1 xi 2  i , (9.27)

sadac ei sawyisi regresiiuli modelis narCenobiTi wevria; j da  jl

Sesafasebeli parametrebia;  i SemTxveviTi wevria;

3. umcires kvadratTa meTodiT vafasebT (9.27) gantolebas da miRebuli

     
ei2   0   1 xi1   2 xi 2  11 xi21   22 xi22  12 xi1 xi 2   i (9.28)

modelis adekvaturobis Sesaxeb hipoTezas vamowmebT. amisaTvis SeiZleba

gamoviyenoT rogorc F statistika, aseve lagranJis mamravlebis testis

statistika nRe2 ~  2 (5) , sadac Re2 - (9.28) gantolebis determinaciis koefici-

entia; 5 -  2 ganawilebis Tavisuflebis xarisxia, romelic, mocemul SemTxvevaSi,

(9.28) gantolebaSi amxsneli cvladebis ricxvs Seesabameba.

4. roca aRniSnuli kriteriumebiT Re2 -is mniSvnelovneba ((9.28) gantolebis

adeqvaturoba) ar sabuTdeba, vakeTebT daskvnas heteroskedasturobis ar arsebobis

Sesaxeb.
yuradReba mivaqcioT im garemoebas, rom orfaqtoriani regresiis modelis
SemTxvevaSi testis (9.27) gantoleba 5 amxsnel cvlads Seicavs. roca sawyis
modelSi faqtorebis raodenoba ors aRemateba, es ricxvi imdenad izrdeba, rom
dakvirvebis monacemebis raodenoba zogjer saSualebas ar iZleva aseTi ganzomi-
lebis testis gantoleba SevafasoT. amitom xSirad uaitis testis gantolebas
2
Sekvecili saxiT ganixilaven – masSi mxolod x j da x j tipis cvladebs toveben.

$ 9.4. heteroskedasturobis problemis gadalaxvis meTodebi

davuSvaT, rom erT-erTi zemoT ganxiluli testis safuZvelze wrfivi

regresiis
yi   0  1 xi1     m xim  ui , i  1,2,, n
modelSi, romlis matriculi Canaweria
Y  X  U , (9.29)
SemTxveviTi wevrebisaTvis gamovlenil iqna heteroskedasturoba. maSasadame, Tu
moyvanili modelis Sefasebis procesSi Cveulebrivi umcires kvadratTa meTodiT
SemovifarglebiT, regresiis koeficientebis araefeqtur Sefasebebs miviRebT da,

21
rac Zalze mniSvnelovania, modelis mniSvnelovnebis gamokvlevas ver SevZlebT,
radganac koeficientebis kovariaciuli matricis Sefaseba gadaadgilebuli da
araZaldebulia. am SemTxvevaSi ra SeiZleba gavakeToT? pasuxi martivia: heteros-
kedasturoba unda aRmovfxvraT. magram vidre amas formaluri (teqnikuri)
saSualebebis gamoyenebiT gavakeTebT, pirvel rigSi, unda gavarkvioT ratom
warmoiqmna igi da misi gadawyveta saRi azrisa da ekonomikuri logikis safu-
Zvelze xom ar SeiZleba. aq mxedvelobaSi gvaqvs is garemoeba, rom xSirad
heteroskedasturobis warmoqmnis mizezi regresiuli modelis araswori specifi-
kaciaa. magaliTad, rodesac Sedegobriv da faqtorul cvladebs Soris WeSmariti
damokidebuleba xarisxovani, logariTmuli an sxva arawrfivi saxisaa, magram mis
nacvlad zemoT moyvanili wrfivi modeli gamoiyeneba, maSin didia imis albaToba,
rom saqme heteroskedasturobasTan gveqneba. heteroskedasturobis warmoqmnis
kidev erTi mizezi araerTgvarovan monacemTa gamoyenebaa, romelic zogjer
monacemebis masStabirebis gziT advilad aRmofxvradia. magaliTad, davuSvaT, rom
sxvadasxva qveynisaTvis arsebuli monacemebis gamoyenebiT mTliani Siga produqtis
sidideze ganaTlebaze gaweuli danaxarjebis regresiuli damokidebuleba gvinda
davadginoT. radganac qveynebi erTmaneTisagan mniSvnelovnad gansxvavdeba mTliani
Siga produqtisa da ganaTlebaze gaweuli danaxarjebis doniT, amitom regresiul
modelSi aRniSnuli maCveneblebis absulutur gamosaxulebaSi ganxilva savara-
udod heteroskedasturobis movlenamde migviyvans. magram es movlena SeiZleba
acilebul iqnas Tu masStabirebas movaxdenT da orive maCvenebels erT sul
mosaxleze gadaviangariSebT.
samwuxarod, modelis specifikaciis srulyofiT, sawyisi monacemebis masStabi-
rebiT an sxva gaazrebuli moqmedebiT heteroskedasturobis problemas daZleva
yovelTvis ar xerxdeba. aseTi situaciisaTvis ki SemuSavebulia am problemis
koreqciis specialuri teqnikuri meTodebi, romelTa nawilsac qvemoT ganvixilavT.

Sewonil umcires kvadratTa meTodi

heteroskedasturobis koreqciis es wesi ganzogadebuli umcires kvadratTa

meTodis kerZo SemTxvevaa da heteroskedasturobis mqone (9.29) regresiuli
modelisaTvis maSin gamoiyeneba, roca SemTxveviTi u i , i  1,2,, n , wevrebis

kovariaciuli matrica

22
   12 0  0   1 0  0 
   
 0  2
 0   0   0 
cov(U )  E (UU T )        2
2 2 2
 (9.30)
        
 
0 0   2     
 n   0 0 n

mTlianad an 2 mudmivis sizustiT mocemulad iTvleba. ganvixiloT orive

SemTxveva.
dasawyisSi SevCerdeT SemTxvevaze, roca cov (U ) mTlianad cnobilia. maSin igi
Semdegi saxiT SegviZlia warmovadginoT cov (U )  1   . maSasadame, am SemTxvevaSi

vTvliT, rom (9.30)-Si  2  1 , xolo  mTlianad cov (U ) -s emTxveva.

gavixsenoT aitkenis Teoremis damtkicebisas gamoyenebuli mniSvnelovani matri-
culi toloba

1  (C 1 ) T C 1 . (9.13)
radganac Cvens SemTxvevaSi  diagonaluri matricaa, am tolobis damakmayo-
1
filebeli  -is da C 1 -is gamoTvla sirTules ar warmoadgens. aSkaraa, rom

 1   1 
 2 0  0   0  0 
 1    12 
 
   ,
1  C 1         .
 
 1   1 
0 0   2  0 0  
 n 
  n2 
 
visargebloT C 1 -is moyvanili mniSvnelobiT da (9.29) Semdegi saxiT gardavqmnaT

C 1Y  C 1 X  C 1U . (9.31)

am matriculi gantolebis gaSlili Canaweria
~
yi   0 ~
xi 0  1 ~
xi1     m ~
xim  u~i , i  1,2,, n , (9.31a)

sadac

y 1 xij u
~
yi  i , ~
xi 0  , ~
xij  , j  1,2,, m , u~i  i . (9.32)
 i2  i2  i2  i2
rogorc vxedavT, Catarebuli gardaqmnis Sedegad miRebul gantolebaSi
Tavisufali wevri aRar arsebobs. sawyisi modelis Tavisufali wevri  0 garda-

iqmna regresiis parametrad, romelsac axali cvladi xi 0  1  i2 Seesabameba.

imavdroulad, SeiZleba vaCvenoT, rom (9.31) an, rac igivea, (9.31a) modelisaTvis

23
gaus-markovis yvela piroba, maT Soris homoskedasturobis piroba sruldeba. am
ukanasknelis Sesamowmeblad ganvixiloT

 u  1
D(ui )  D i 
~ 1
D(ui )  2  i2  1 i .
 2  i 2
i
 i 
maSasadame, (9.31a) modelis SemTxveviT wevris dispersia D (u~i ) yvela dakvirvebaSi

mudmivia da 1-s Seadgens. gaus-markovis Teoremis Tanaxmad Tu (9.31a) models

Cveulebrivi umcires kvadratTa meTodiT SevafasebT, regresiis  0 , 1 ,,  m
koeficientebis gadauadgilebel da efeqtur Sefasebebs miviRebT. narCenebis
kvadratebis jami, romlis minimizirebac unda moxdes am procesSi, Semdegi saxisaa
n n
 e~i 2  ( ~yi   0 ~xi 0  1 ~xi1     m ~xim ) 2 
i 1 i 1

n n
1 1
 ( yi   0  1 xi1     m xim ) 2  ei2 . (9.33)
i 1 i 2
i 1  i
2

moyvanili gamosaxuleba saintereso daskvnis gakeTebis saSualebas iZleva. kerZod,

igi gviCvenebs, rom heteroskedasturobis pirobebSi sawyisi (9.29) modelis
umcires kvadratTa meTodiT Sefasebisas SeiZleba gadauadgilebeli da efeqturi
Sefasebebi miviRoT, Tuki narCenebis kvadratebis jamis minimizirebisas winaswar

 i2 dispersiebis Sebrunebuli mniSvnelobebiT narCenebis kvadratebis Sewonvas

movaxdenT. swored am garemoebiT aixsneba ganxiluli meTodis saxelwodeba -
`Sewonil umcires kvadratTa meTodi~.

axla ganvixiloT meore SemTxveva, roca kovariaciuli matrica cov (U )   2 

mocemulia  2 parametris sizustiT e.i. viciT  matrica, romlis diaginaluri

elementebia 1 ,  2 ,,  n , magram ar viciT  2 -is mniSvneloba. aseT pirobebSi

zemoT ganxilulisagan raime arsebiTad gansxvavebuli situacia ar warmoiqmneba,

1
Tu ar CavTvliT imas, rom (9.13) tolobis damakmayofilebel  da C 1
matricebs Semdegi saxe aqvs

24
  1   1 
 0  0   0  0 
 1   1 
 1           , C 1         ,
   
0 0  1   1 
 n  0 0  
   n 
xolo (9.31a) gantolebaSi (9.32)-is nacvlad gvaqvs

~ y 1 xij u
yi  i , ~
xi 0  , ~
xij  , j  1,2,, m , u~i  i . (9.34)
i i i i
Sesabamisad icvleba narCenebis kvadratebis jamis (9.33) formulac. masSi

narCenebis kvadratebis Semwonav sidideebad 1  i2 -is nacvlad 1 i sidideebia

warmodgenili. kidev erTi garemoebaa aRsaniSnavi. (9.34) formulebiT sawyisi

modelis monacemebis gardaqmnis Sedegad miRebuli SemTxveviTi u~i wevris dispesia

yvela dakvirvebisaTvis ucvleli sididea da Seadgens

 u  1 1 1
D (u~i )  D i   D (u i )   i2   2i   2 .
   i i i
 i 

marTalia  2 parametris mniSvneloba CvenTvis ucnobia, magram radganac ganxilul

situaciaSi igi Sinaarsobrivad dispersias gamosaxavs, standartuli wesiT misi

Sefasebis dadgena SesaZlebelia. kerZod  2 -is gadauadgilebeli Sefasebaa

n n
1 1 1 2
S ~e2  
n  m  1 i 1
~2 
ei 
n  m  1 i 1 i
ei .

rac Seexeba regresiis  0 , 1 ,,  m koeficientebis gadauadgilebel da efeqtur,


xolo kovariaciuli cov(B) matricis gadauadgilebel Sefasebebs, isini Semdegi
saxiT gamoiTvleba
 ~ ~ ~ ~
B  ( X T X ) 1 X TY  ( X T  1 X ) 1 X T  1Y ;
 ~ ~
Var ( B )  S ~e2 ( X T X ) 1  S ~e2 ( X T  1 X ) 1 .

umcires kvadratTa ganzogadebuli xelmisawvdomi meTodi

praqtikaSi heteroskedasturobis gadalaxvis zemoT ganxiluli meTodi

pirdapiri saxiT naklebad gamoyenebadia, radganac SemTxveviTi wevrebis
kovariaciuli matrica cov (U ) TiTqmis arasodes ar aris cnobili arc mTlianad

25
da arc  2 parametris sizustiT. amitom saWiro xdeba umcires kvadratTa
ganzogadebuli xelmisawvdomi meTodis gamoyeneba, romelic ori etapisagan Sedgeba.

pirvel etapze  i2 , i  1,2,, n , dispersiebis mimarT garkveuli daSvebebi, anu

SezRudvebi miiReba Dda maT gaTvaliswinebiT mTlianad kovariaciuli cov (U )

matricis an misi Semadgeneli  matricis damakmayofilebel Sefasebas vaxdenT.

meore etapze CvenTvis ucnob  i2 , i  1,2,, n , maxasiaTeblebis nacvlad wina

etapze miRebul Sefasebebs vixilavT da regresiis sawyis (9.29) models

Sewonil umcires kvadratTa meTodiT vafasebT.

umcires kvadratTa ganzogadebuli xelmisawvdomi meTodis realizaciisas  i2

dispersiebis Sesafaseblad sxvadasxva midgoma (daSveba) gamoiyeneba. es imazea

damokidebuli, Tu ra saxis heteroskedasturobasTan gvaqvs saqme. magaliTad, Tu

heteroskedasturobis savaraudo mizezad amxsneli x j cvladis  i2 dispersiaze

gavlena iTvleba, maSin SeiZleba davuSvaT, rom  i   f ( xij ) , sadac f ( xij ) aris
2 2

x j -ze gansazRvruli raime funqcia. am funqciis saxisa da parametrebis

konkretuli mniSvnelobebis dasadgenad mizanSewonilia parkis an gleizeris tests

mivmarToT. xSir SemTxvevaSi f ( xij ) -is gamartivebuli varianti f ( xij )  xijq

gamoiyeneba. amitom qvemoT Cvenc masze SevCerdebiT.

vTqvaT, heteroskedasturobis gamovlenis romelime testis safuZvelze

SerCeul iqna q  2 . maSin zemoT moyvanili daSveba  i   xij , i  1,2,, n , saxes

2 2 2

miiRebs ris Sedegadac (9.30)-Si  matricis diaginaluri 1 ,  2 ,,  n

elementebis rolSi SeiZleba x12j , x22 j ,..., xnj2 ganvixiloT. maSasadame, miviReT

situacia, rodesac kovariaciuli matrica cov (U )   2  mocemulia 2

parametris sizustiT. aseT pirobebSi ukve SesaZlebelia Sewonil umcires
kvadratTa meTodis gamoyeneba. mocemul SemTxvevaSi aRniSnuli meTodi regresiis
sawyisi (9.29) modelis Semdegi saxiT gardaqmnas
yi 1 xi1 xim ui
 0  1  m  , i  1,2,, n (9.35)
xij2 xij2 xij2 xij2 xij2

da am ukanasknelis Cveulebrivi umcires kvadratTa meTodiT Sefasebas

gulisxmobs. regresiis (9.29) modelis  0 , 1 ,,  m koeficientebisaTvis aseTi

26
gziT miRebuli b0 , b1 ,, bm swored umcires kvadratTa ganzogadebuli

xelmisawvdomi meTodiT miRebuli Sefasebebia. es Sefasebebi Zalmosili da

asimtoturad efeqturia, radganac gardaqmnis Sedegad miRebul (9.35)-s SerCevis
didi moculobis pirobebSi mravlobiTi regresiis wrfivi klasikuri modelis
Tvisebebi gaaCnia.

 magaliTi 9.4. cxril 9.1-Si moyvanili monacemebis safuZvelze umcires kvadratTa

ganzogadebuli meTodiT SevafasoT regresiis y   0  1 x  u gantolebis koefici-
entebi.
amoxsna. magaliT 9.3-Si gleizeris testis gamoyenebisas davadgineT, rom heteros-
kedasturobis aproqsimireba SeiZleba Semdegi sistemiT movaxdinoT:

| ei |   2,04236 0,69711 xi , i  1,2,  ,25
(t ) ( 0 , 66303) ( 3, 5086)

visargebloT am SedegiT da  matricis 1 ,  2 ,,  n diaginaluri elementebis

Sefasebebis rolSi ganvixiloT


i  ei2   2,04236  0,69711 xi , i  1,2, ,25 . 
2
(*)

cxrili 9.3
~y ~
xi 0 ~
xi1 ~y ~
xi 0 ~
xi1 ~y ~
xi 0 ~
xi1
i i i

4,1566 0,3464 17,3193 5,5714 0,1393 24,3748 7,4649 0,0933 31,2592

5,4429 0,2865 18,0476 7,9860 0,1354 24,7700 9,9501 0,0905 31,9308
3,3705 0,2406 19,0192 8,1396 0,1313 25,2065 10,8255 0,0866 32,9095
5,2471 0,2385 19,0804 8,6593 0,1237 26,1017 9,2438 0,0810 33,6139
4,5703 0,1987 20,4668 5,9470 0,1166 27,0532 10,9842 0,0785 35,3064
4,2330 0,1693 22,0118 8,0312 0,1100 28,0540 9,0699 0,0756 36,2796
5,1563 0,1611 22,5590 9,3715 0,1053 28,8516 11,9232 0,0714 37,8400
6,5627 0,1526 23,1983 6,6131 0,1017 29,5045
6,9368 0,1476 23,6146 8,9572 0,0974 30,3766

maSasdame, saZiebeli modelis asagebad vuSvebT, rom SemTxveviTi wevris  i2 dispersia

Semdegi damokidebulebiT ganisazRvreba


 i2   2  2,04236 0,69711 xi , i  1,2, ,25 .  2

aseT pirobebSi sawyisi modelis gardaqmnili saxe iqneba

~
yi   0 ~
xi 0  1 ~
xi1  u~i , i  1,2,  ,25 ,

27
 ~ y 1 x u
sadac yi  i , ~
xi 0  , ~
xi1  i1 , u~i  i , xolo  i ki (*) formuliT
i i i i
aris gansazRvruli. cxrili 9.3-Si gardaqmnili ~
y, ~
x0 , ~
x1 cvladebis mniSvnelobebia
moyvanili. maT gamoyenebiT heteroskedasturobisagan koreqtirebuli regresiuli modelis
Semdegi Sefasebuli varianti miiReba:

~
yi   4,02108 ~
xi 0  0,29776 ~
xi1 ; R 2  0,9801 F  566,54 . 
( 2,3817 ) ( 0, 01383 )

unda aRiniSnos, rom umcires kvadratTa ganzogadebul xelmisawvdom meTods,

iseve rogorc Sewonil umcires kvadratTa meTods, ori uaryofiTi momenti
axlavs Tan. erTi, rom gardaqmnili gantoleba (9.35) Tavisufal wevrs ar Seicavs
da amis gamo determinaciis koeficienti identificirebuli modelis xarisxis
Sesafaseblad naklebad gamosadegi xdeba. meore, gardaqmnis procesSi modelis
gantolebis yvela wevrs erTi da igive ricxvze ((9.35)-Si i dakvirvebis Sesabamisi

gantolebisaTvis aseTi ricxvia xij2 ) vyofT. aRniSnulma qmedebam SeiZleba cru

kavSirebisa da multikoliniarobis warmoqmna gamoiwvios, radganac ori

damoukidebeli sididis erTi da igive ricxvze gayofiT xSirad korelirebuli
sidideebi miiReba. kidev erT garemoebas unda gaesvas xazi. praqtikaSi umcires
kvadratTa ganzogadebuli xelmisawvdomi meTodis efeqtianoba imazea

damokidebuli, ramdenad zustad SevZlebT SemTxveviTi wevris  i2 , i  1,2,, n ,

dispersiebis Sefasebas.

regresiis koeficientebis kovariaciuli matricis

heteroskedasturobis mimarT mdgradi Sfaseba

rodesac heteroskedasturobis zusti saxe cnobili ar aris da Sewonil

umcires kvadratTa meTodis (an ganzogadebuli xelmisawvdomi meTodis) gamoyeneba
ar xerxdeba, maSin Cveulebrivi umcires kvadratTa meTodiT Sefasebuli regresiis
koeficientebis ganxilviT unda SemovifargloT, magram, imavdroulad, am koefici-
entebisaTvis miRebuli Sesabamisi kovariaciuli matricis koreqtireba unda
movaxdinoT. sxvanairod rom vTqvaT, ori problemidan, romelsac heteroskedas-
turobis dros Cveulebriv umcires kvadratTa meTodis gamoyenebisas vawydebiT,

28
erTi-erTis gadawyvetas vcdilobT.3 marTalia, aseT SemTxvevaSi regresiis
Sefasebuli koeficientebis sizuste naklebi iqneba, magram, rogorc zemoT
araerTxel aRvniSneT, Cveulebrivi umcires kvadratTa meTodiT miRebuli
Sefasebebi gadauadgileblobisa da Zalmosilebis Tvisebas inarCunebs.
vTqvaT, vixilavT (9.29) models, romlisTvisac SemTxveviT wevrebis
kovariacul matricas cov (U ) -s (9.30)-Si moyvanili saxe gaaCnia. zemoT ukve
aRvniSneT, rom aseTi modelisaTvis Cveulebrivi umcires kvadratTa meTodis
gamoyeneba iZleva:

B  ( X T X ) 1 X T Y ,

cov( B)  ( X T X ) 1 X T cov(U ) X ( X T X ) 1 ,
sadac cov (U )   2  . uaitma daasabuTa, rom Tu ucnob kovariaciul matricas

cov (U )   2  -s Semdegi saxiT SevafasebT

 12 0  0   e12 0  0 
   

 0  2  0   0 e2  0 
2 2
Cov (U )    ,
                 
 0 0   2   0 0  e 2 
 n   n 

maSin miiReba regresiis koeficientebis koreqtirebuli kovariaciuli matrica


Cov( B)  ( X T X ) 1 X T Cov(U ) X ( X T X ) 1 , (9.36)

romelic cov ( B ) -saTvis Zalmosili Sefasebaa, e.i. didi SerCevis dros karg
Sefasebebs iZleva. (9.36)-s uaitis Sefaseba, anu heteroskedasturobis mimarT
mdgradi Sefaseba ewodeba. ariTmetikuli fesvebi am matricis diagonaluri
elementebidan regresiis koeficientebis Zalmosili standartuli Secdomebia.
amitom koeficientebis mniSvnelovnebis Sesamowmeblad maTi gamoyenebiT SeiZleba
heteroskedasturobis mimarT mdgradi t statistikebi gamovTvaloT. aRsaniSnavia,
rom (9.36) matricis formidan gamomdinare ekonometrikul literaturaSi
ixmareba saxelwodeba `sendviC-Sefaseba~.

3
SegaxsenebT. rom heteroskedasturobis pirobebSi Cveulebrivi umcires kvadratTa

meTodis gamoyenebisas warmoqnili problemebia: 1) Sefasebuli regresiis B
koeficientebi araefeqturia; 2) kovariaciuli matricis standartuli Sefaseba

Var ( B)  S e2 ( X T X ) 1 ,
romliTac vsargeblobT regresiis koeficientebis statistikuri mniSvnelovnebis
dasadgenad, gadagvarebuli da araZalmosilia.

29
 kiTxvebi TviTSemowmebisaTvis

1. raSi mdgomareobs mravlobiTi regresiis ganzogadebuli wrfivi modelis arsi?

2. ratom ar aris mizanSewonili ganzogadebuli wrfivi modelis Sesafaseblad
Cveulebrivi umcires kvadratTa meTodis gamoyeneba?
3. CamoayalibeT aitkenas Teorema. aRwereT zogadi sqema, romelsac aitkenas
Teoremis damtkiceba efuZneba.
4. ganzogadebuli wrfivi modelis mniSvnelovnebis Semowmebisas ra sirTulesTan
aris dakavSirebuli determinaciis koeficientis gamoyeneba?
5. raSi mdgomareobs heteroskedasturobis problemas arsi? ZiriTadad ra
SemTxvevaSi warmoiqmneba es problema?
6. ra problemebi warmoiqmneba heteroskedasturobis dros regresiuli modelis
Cveulebrivi umcires kvadratTa meTodiT Sefasebisas?
7. CamoayalibeT ZiriTadi hipoteza, romlis Semowmebac heteroskedasturobis
gamovlenis testebSi xdeba.
8. daaxasiaTeT parkisa da gleizeris testebis arsi. kidev ra saxis testebi
gamoiyeneba heteroskedasturobis gamosavlenad?
9. rodis gamoiyeneba heteroskedasturobis koreqtirebisaTvis Sewonili umcires
kvadratTa meTodi? raSi mdgomareobs misi arsi?
10. ras niSnavs umcires kvadratTa ganzogadebuli xelmisawvdomi meTodi da ra
SemTxvevaSi gamoiyeneba igi?

amocanebi da savarjiSoebi

9.1 ganzogadebuli wrfivi regresiuli modelisaTvis yi   0  1 xi  ui ,

i  1,2,, n , mocemulia dakvirvebis 10 wertili (ix. cxrili 9.4 )
cxrili 9.4
xi 8 10 12 16 20
yi 6,8 6,9 7,3 7,4 8,4
xi 20 24 28 30 36
yi 8,0 8,8 8,0 9,9 10,3

a) ganzogadebuli umcires kvadratTa meTodiT gansazRvreT moyvanili

modelis koeficientebis Sefasebebi, Tu cnobilia, rom adgili aqvs `wminda~

30
heteroskedasturobas da mocemulia SemTxveviTi wevris dispersiebi:
0,04, roca 5  xi  15;

  0,16, roca 15  xi  25;
i
2

1, roca 25  xi  40.


b) gamoTvaleT a) punqtSi mocemuli situaciisaTvis ganzogadebuli umcires
kvadratTa meTodiT miRebuli parametrebis kovariaciuli matrica;
g) SeafaseT modelis parametrebi Cveulebrivi umcires kvadratTa meTodiT.
gamoTvaleT miRebuli parametrebis kovariaciuli matrica. SeadareT miRebuli
Sedegebi a) da b) punqtebSi miRebul Sedegebs da gaakeTeT Sesabamisi daskvnebi.

9.2. cxril 9.5-Si moyvanilia monacemebi sivrcobrivi SerCevis modelis 18

dakvirvebisaTvis. CaTvaleT, regresiis SemTxveviTi wevri normaluri ganawilebis
mqoned da golfeld-kvandtis testis gamoyenebiT SeamowmeT hipoTeza heteroske-
dasturobis arsebobis Sesaxeb
cxrili 9.5
i xi ei2 i xi ei2 i xi ei2
1 21,3 2,3 7 56,9 24,0 13 78,9 56,9
2 22,6 5,6 8 59,7 21,9 14 79,8 56,8
3 32,7 12,8 9 67,8 19,7 15 80,7 49,8
4 41,9 10,1 10 71,5 23,8 16 80,8 58,9
5 43,8 14,6 11 75,7 45,7 17 96,9 87,8
6 49,7 13,9 12 76,0 34,7 18 97,0 87,5


9.3. ganixileba regresiuli modeli Y  X  U . vTqvaT, B  AY aris  -s
nebismieri gadauadgilebeli Sefaseba. CaTvaleT, rom E(UU T )   2  da aCveneT,

rom B -s kvariaciuli matrica raime dadebiTad naxevrad gansazRvruli matriciT
aRemateba ganzogadebuli umcires kvadratTa meTodiT miRebul
*
B  ( X T 1 X ) 1 X T 1Y Sefasebis kovariaciul matricas.

9.4. sivrcobrivi SerCevis monacemebisaTvis Cveulebrivi umcires kvadratTa

meTodiT regresiis modelis Sefasebisas miRebul iqna gantoleba:

y  2  3,5 x1  1,6 x2 .
amxsneli faqtorebis mimarT narCenebis kvadratebis regresiis gantolebas Semdegi
saxe aqvs

31
 
e 2  1,2  1,18x12  0,13x22 R 2  0,3 .
SerCevis moculoba Seadgens 200-s. uaitis testis gamoyenebiT SeamowmeT hipoTeza
modelis heteroskedasturobis Sesaxeb.

9.5. davuSvaT, rom yi     xi  ui , i  1,2,, n sistemisaTvis sruldeba norma-

luri klasikuri modelis yvela piroba erTi gamonaklisis garda: SemTxveviTi u i

wevris dispersia Semdegi damokidebulebiT aRiwereba:  i2    xi , sadac  da

 CvenTvis ucnobi parametrebia. ganixileT  da  parametrebis Sefasebis
umcires kvadratTa ganzogadebuli xelmisawvdomi meTodi.

9.6. universitetis xarisxis samsaxurma Caatara gamokvleva imis dasadgenad Tu ra

gavlenas axdens ekonometrikis Seswavlis xarisxze auditoriis sidide (stude-
ntTa raodenoba auditoriaSi). SemTxveviT SerCeul 36 studentur jgufze
dakvirvebis Sedegad miRebul iqna Sedegebi, romelic cxril 9.6 -Sia mocemuli.
cxrili 9.6
studenTa raodenoba moswrebis maCvenebeli (kursis erTi
auditoriaSi x mosmeniT CambarebelTa ricxvi) y
20 15 16 16 17 17 19
30 22 23 24 25 26 27
40 28 29 31 32 33 34
50 37 38 40 41 42 43
60 42 44 45 48 50 51
70 52 53 54 55 56 58

a) aageT y -is regresia x -ze da SeafaseT misi xarisxi;

b) mosalodnelia Tu ara mocemul SemTxvevaSi heteroskedasturoba? pasuxi
daasabuTeT;
g) SeamowmeT heteroskedasturobis arseboba golfeld-kvandtis da gleizeris
testebis gamoyenebiT;
d) Tu davuSvebT, rom adgili aqvs heteroskedasturobas, ra gardaqmnas
gamoiyenebT gadauadgilebeli, efeqturi da Zalmosili Sefasebebis misaRebad?
e) aageT gardaqmnili gantoleba da SeafaseT misi xarisxi;
v) SeadareT a) da e) punqtebSi miRebuli Sedegebi da gaakeTeT daskvna.

32
9.7. mocemulia `wminda~ heteroskedasturi wrfivi erTfaqtoriani modeli
yi     xi  ui , i  1,2,, n .
u i normaluri da damoukideblad ganawilebuli SemTxveviTi sididea, romlisaTvis

E (ui )  0 , E (ui2 )   i2   2 xi2 .

a) gansazRvreT mocemuli modelis kovariaciuli matrica cov (U ) , agreTve,

C 1 matrica, romlis daxmarebiTac moyvanili modeli klasikurSi gardaiqmneba;

b) CawereT gardaqmnili modeli da mis safuZvelze gansazRvreT  -s da  -s
Sefasebebi;
g) gansazRvreT gardaqmnili modelisaTvis  2 -is Sefaseba.

9.8. ganixileba modeli yi     xi  ui , i  1,2,,5 , sadac u i normaluri da

damoukideblad ganawilebuli SemTxveviTi sididea, romlisaTvis E (ui )  0 ,

E (ui2 )   i2  exp( zi ) . mocemulia: Y  (4 8 6 2 9) ,

1 1 1 1 1  1 1 1 1 1
XT  , ZT  .
 2 5 2 1 10   2 3 1 0 2
a) gansazRvreT  -s da  -s Sefasebebi Cveulebrivi umcires kvadratTa
meTodiT;
b) gansazRvreT  -s da  -s Sefasebebi ganzogadebuli umcires kvadratTa
meTodiT;
d) aageT  -s 95%-iani ndobis intervali: araswori, dafuZnebuli
Cveulebrivi umcires kvadratTa meTodis Sedegebze, swori, dafuZnebuli
ganzogadebuli umcires kvadratTa meTodis Sedegebze;
e) SeamowmeT hipoTeza   0 .

9.9. mocemulia regresia yt   t  ut , t  1,2,,5 , sadac E (ut )  0 ,

E (ut2 )   t2   2 t 2 , E (ut ui )  0, t  i . cnobilia, rom Y  6 4 9 8 7  .

T

a) gansazRvreT Cveulebrivi umcires kvadratTa meTodiT  -s Sefaseba da

dispersia;
b) gansazRvreT ganzogadebuli umcires kvadratTa meTodiT  -s Sefaseba da
dispersia;
g) SeadareT erTmaneTs orive meTodiT miRebuli Sefasebebi da gaakeTeT
daskvna.

33