Escolar Documentos
Profissional Documentos
Cultura Documentos
Econometra
Curso 2012-2013. Segunda parte
Prcticas y cuestiones
Profesores:
Isabel Gmez Valle
Yolanda Gonzlez Gonzlez
Mara Dolores de Prada Moraga
Mercedes Prieto Alaiz
ECONOMETRA
Curso 2012-2013
PROBLEMAS: Temas 7 a 11
PRCTICA 16.- Se sabe que la inversin que realizan una serie de empresas
pertenecientes a un determinado sector se comporta de acuerdo con el modelo
Yi = 0 + 1 X i + i , en el que: Yi es la inversin que realiza las empresa i-sima y Xi
son los beneficios de la empresa i-sima. Se supone que las perturbaciones siguen las
hiptesis clsicas. La informacin disponible viene dada de la siguiente forma:
Sector
N de empresas
encuestadas
16
25
16
25
36
9
9
16
Alimentacin
Elctricas
Construccin
Textil
Minera
Naval
Inmobiliario
Comunicacin
100
105
108
115
120
130
150
180
110
115
125
130
132
140
150
160
donde E ( i ) = 0 ; E ( i j ) = 0 i j ; E ( i2 ) = 2 X i
muestrales:
Y
X
120
4
130
9
150
25
160
36
180
49
200
64
ECONOMETRA
Curso 2012-2013
PRCTICA 18.- Los datos del fichero datos18.wf1 corresponden a la cantidad de trigo
ofertada (qt) y al precio de garanta del trigo (pt) desde 1964 a 1989 en una determinada
rea geogrfica.
Se plantea la siguiente relacin lineal para explicar la cantidad ofertada de trigo,
q t = 0 + 1 pt + 2 t + t
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
T
139.9009
19.54050
3.639084
23.21761
17.41501
1.417651
6.025639
1.122049
2.566982
0.0000
0.2734
0.0172
R-squared
0.808885
Adjusted R-squared 0.792267
S.E. of regression
19.96687
Sum squared resid
9169.549
Log likelihood
-113.1445
Durbin-Watson stat 1.454224
233.4231
43.80837
8.934193
9.079358
48.67332
0.000000
ECONOMETRA
Curso 2012-2013
MODELO II
Dependent Variable: Q
Method: Least Squares
Sample: 1964 1976
Included observations: 13
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
T
121.1745
19.14782
6.885293
44.20106
32.42234
3.004995
2.741439
0.590575
2.291283
0.0208
0.5679
0.0449
R-squared
0.663893
Adjusted R-squared 0.596671
S.E. of regression
25.33063
Sum squared resid
6416.407
Log likelihood
-58.75702
Durbin-Watson stat 1.955168
203.6462
39.88562
9.501080
9.631453
9.876200
0.004289
MODELO III
Dependent Variable: Q
Method: Least Squares
Sample: 1977 1989
Included observations: 13
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
T
137.2942
22.06256
3.257443
14.67813
9.280747
0.994419
9.353663
2.377239
3.275726
0.0000
0.0388
0.0083
R-squared
0.901025
Adjusted R-squared 0.881230
S.E. of regression
7.599905
Sum squared resid
577.5855
Log likelihood
-43.10660
Durbin-Watson stat 1.621032
263.2000
22.05236
7.093323
7.223696
45.51789
0.000009
ECONOMETRA
Curso 2012-2013
MODELO IV
Dependent Variable: Q
Method: Least Squares
Sample: 1964 1989
Included observations: 26
White Heteroskedasticity-Consistent Standard Errors & Covariance
Variable
C
P
T
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
139.9009
19.54050
3.639084
26.13475
20.73594
1.707988
5.353063
0.942349
2.130626
0.0000
0.3558
0.0440
0.808885
0.792267
19.96687
9169.549
-113.1445
1.454224
233.4231
43.80837
8.934193
9.079358
48.67332
0.000000
PESOS=1/Si
i=1,2.
MODELO V. Modelo transformado multiplicando por PESOS y estimado por MCO
Dependent Variable: Q*PESOS
Method: Least Squares
Sample: 1964 1989
Included observations: 26
Variable
PESOS
P*PESOS
T*PESOS
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Coefficient
Std. Error
t-Statistic
Prob.
138.0541
21.71974
3.283439
12.82104
8.924004
0.822641
10.76777
2.433856
3.991337
0.0000
0.0231
0.0006
0.995002
0.994568
1.013476
23.62408
-35.64661
21.33555
13.75089
2.972816
3.117981
1.520418
1.698677
11.55056
Prob. F(8,17)
Prob. Chi-Square(8)
0.170503
0.172411
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Sample: 1964 1989
Included observations: 26
Collinear test regressors dropped from specification
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
PESOS
PESOS*(P*PESOS)
PESOS*(T*PESOS)
P*PESOS
-9.121425
189.1897
488.3635
-235.9451
69.19183
7.006076
177.6848
846.5774
91.63176
48.45183
-1.301931
1.064749
0.576868
-2.574927
1.428054
0.2103
0.3019
0.5716
0.0197
0.1714
ECONOMETRA
Curso 2012-2013
(P*PESOS)^2
(P*PESOS)*(T*PESOS)
T*PESOS
(T*PESOS)^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
-765.9454
155.4955
0.523282
-4.455816
0.444252
0.182724
0.951053
15.37652
-30.06409
2.243237
281.1230
58.40109
4.599402
2.932875
-2.724592
2.662545
0.113772
-1.519266
0.0144
0.0164
0.9108
0.1471
0.908627
1.052011
3.004930
3.440425
1.698677
0.170503
MODELO VI Salida del programa Eviews con la opcin ponderar del mtodo de estimacin de
mnimos cuadrados ordinarios.
Dependent Variable: Q
Method: Least Squares
Sample: 1964 1989
Included observations: 26
Weighting series: PESOS
Variable
C
P
T
12.82104
8.924004
0.822641
10.76777
2.433856
3.991337
Prob.
0.0000
0.0231
0.0006
Weighted Statistics
R-squared
0.995002
Adjusted R-squared
0.994568
S.E. of regression
11.84958
3229.489
Log likelihood
Durbin-Watson stat
-99.57818
1.520418
249.455
7
S.D. dependent var
160.775
7
Akaike info criterion 7.89062
9
Schwarz criterion
8.03579
4
F-statistic
84.2561
4
Prob(F-statistic)
0.00000
0
Unweighted statistics
R-squared
0.806086
Adjusted R-squared
0.789224
S.E. of regression
20.11257
Durbin-Watson stat
1.425144
233.423
1
43.8083
7
9303.85
6
ECONOMETRA
Curso 2012-2013
1.698677
11.55056
Prob. F(8,17)
Prob. Chi-Square(8)
0.170503
0.172411
Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Sample: 1964 1989
Included observations: 26
Collinear test regressors dropped from specification
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
P*WGT
P^2*WGT^2
(P*T)*WGT^2
P*WGT^2
T*WGT
T^2*WGT^2
T*WGT^2
WGT
-1246.905
808.9845
-765.9454
155.4955
488.3635
6.118163
-4.455816
-235.9451
2211.988
957.7354
566.4943
281.1230
58.40109
846.5774
53.77577
2.932875
91.63176
2077.474
-1.301931
1.428054
-2.724592
2.662545
0.576868
0.113772
-1.519266
-2.574927
1.064749
0.2103
0.1714
0.0144
0.0164
0.5716
0.9108
0.1471
0.0197
0.3019
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.444252
0.182724
130.0095
287342.2
-157.9267
2.243237
124.2100
143.8106
12.84052
13.27601
1.698677
0.170503
ECONOMETRA
Curso 2012-2013
PRCTICA 19.- Se dispone de datos del gasto, la renta y el tamao de 100 hogares
espaoles en el ao 1990-1991. Tanto el gasto como la renta vienen medidos en euros.
Se ha estimado por MCO la relacin que liga linealmente el gasto con el resto de las
variables, obtenindose los siguientes resultados:
Dependent Variable: GASTO
Method: Least Squares
Sample: 1 100
Included observations: 100
Variable
C
RENTA
TAM
t-Statistic
Prob.
0.8942
0.0000
0.0000
R-squared
0.734809
Adjusted R-squared 0.729341
S.E. of regression
3.820460
Sum squared resid
1415.804
Log likelihood
-274.4080
Durbin-Watson stat 1.436771
40
40
30
30
GASTO
GASTO
20
10
20
10
0
0
10
20
30
40
RENTA
50
60
70
80
TAM
Curso 2012-2013
240
240
200
200
200
160
160
160
120
120
120
E2
240
E2
E2
ECONOMETRA
80
80
80
40
40
40
0
0
10
20
30
40
VAL_AJUST ADOS
0
0
10
20
30
40
50
60
70
80
R ENTA
Probability
Probability
0.000000
0.000000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Sample: 1 100
Included observations: 100
Variable
C
RENTA
RENTA^2
RENTA*TAM
TAM
TAM^2
R-squared
0.633159
Adjusted R-squared 0.613646
S.E. of regression
20.24586
Sum squared resid
38530.13
Log likelihood
-439.5951
Durbin-Watson stat 2.324634
T AM
Contraste de White
F-statistic
Obs*R-squared
t-Statistic
Prob.
10.30122 -1.279623
0.818892 0.026523
0.010054 5.255886
0.139976 -2.199191
5.239092 1.907688
0.771886 -0.940663
0.2038
0.9789
0.0000
0.0303
0.0595
0.3493
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
RENTA
TAM
0.108249
0.616879
0.531363
1.005430
0.133450
0.306067
0.107664
4.622549
1.736102
0.9149
0.0001
0.0922
R-squared
0.659001
Adjusted R-squared 0.637688
S.E. of regression
1.792774
Sum squared resid
102.8492
Log likelihood
-68.52638
Durbin-Watson stat 2.517276
Coefficien
t
Std. Error
t-Statistic
Prob.
C
RENTA
TAM
4.825714
0.364799
1.305505
3.471062
0.083448
0.568760
1.390270
4.371567
2.295352
0.1740
0.0001
0.0284
R-squared
0.428685
Adjusted R-squared 0.392978
S.E. of regression
5.394783
Sum squared resid
931.3178
Log likelihood
-107.0848
Durbin-Watson stat 1.253968
20.60732
6.924235
6.290558
6.423874
12.00558
0.000129
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
RENTA
TAM
1.876647
0.385843
1.013174
1.722683
0.047875
0.997985
1.089375
8.059336
1.015219
0.2841
0.0000
0.3176
R-squared
0.720309
Adjusted R-squared 0.702828
S.E. of regression
3.318795
Sum squared resid
352.4609
Log likelihood
-90.08070
Durbin-Watson stat 1.689383
9.668284
6.088028
5.318897
5.452213
41.20596
0.000000
Coefficien
t
Std. Error
t-Statistic
Prob.
C
RENTA
TAM
-1.933282
0.727824
0.647159
2.737822 -0.706139
0.068591 10.61101
0.633227 1.022002
0.4852
0.0000
0.3144
R-squared
0.834693
Adjusted R-squared 0.824361
S.E. of regression
3.281588
Sum squared resid
344.6022
Log likelihood
-89.68610
Durbin-Watson stat 1.914029
15.84047
7.830221
5.296348
5.429664
80.78965
0.000000
ECONOMETRA
Curso 2012-2013
R2= 0.3176
R 2 = 0,3176
R2= 0,3671
R 2 = 0,3606
R2= 0,032
R 2 = 0,022
R2= 0,0387
R 2 = 0,0289
R2= 0,330
R 2 = 0,324
F*=48,470
R2= 0,439
R 2 = 0,433
F*=76,894
Modelo VI
RESID2=-3,004+ 0,037888*(RENTA)2
R2= 0,573 R 2 = 0,57 F*=131,2
(11,45)
Modelo VII
RESID2=9,938 1,129*RENTA+0,055*(RENTA)2 R2= 0,589 R 2 = 0,58 F*=69,6
(-1,99)
(5,93)
ECONOMETRA
Curso 2012-2013
Coefficient
Std. Error
t-Statistic
Prob.
C
RENTA
TAM
0.038700
0.635471
0.512375
0.372448
0.043209
0.193765
0.103907
14.70702
2.644315
0.9175
0.0000
0.0095
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.079069
0.060081
2.310736
517.9314
-224.1275
2.211352
10.06332
2.383444
4.542550
4.620705
272.7295
0.000000
0.693247
0.686922
4.108954
1.348938
13.35263
7.343530
1637.700
Unweighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
0.996884
5.035561
Prob. F(5,94)
Prob. Chi-Square(5)
t-Statistic
Prob.
0.4829
0.0000
0.0005
Weighted Statistics
R-squared
0.518659
Adjusted R-squared
0.508734
S.E. of regression
2.668774
690.8683
Log likelihood
Durbin-Watson stat
-238.5328
2.179010
11.5240
6
S.D. dependent var
3.80761
9
Akaike info criterion 4.83065
6
Schwarz criterion
4.90881
1
F-statistic
141.143
6
Prob(F-statistic)
0.00000
0.424055
0.411556
ECONOMETRA
Curso 2012-2013
0
Unweighted Statistics
R-squared
0.706358
Adjusted R-squared
0.700304
S.E. of regression
4.020181
Durbin-Watson stat
1.356072
13.3526
3
7.34353
0
1567.70
0
0.918563
7.471899
Prob. F(8,91)
Prob. Chi-Square(8)
0.505032
0.486676
Coefficient
Std. Error
t-Statistic
Prob.
C
RENTA*WGT
RENTA^2*WGT^2
(RENTA*TAM)*WGT^2
RENTA*WGT^2
TAM*WGT
TAM^2*WGT^2
TAM*WGT^2
WGT
4.734471
0.202187
0.021144
0.197577
-0.602466
-3.618845
-0.753798
5.016289
-3.242817
44.29706
3.636310
0.093306
0.388278
3.121177
8.057282
0.522922
4.052340
41.73629
0.106880
0.055602
0.226604
0.508855
-0.193025
-0.449140
-1.441511
1.237875
-0.077698
0.9151
0.9558
0.8212
0.6121
0.8474
0.6544
0.1529
0.2189
0.9382
ECONOMETRA
Curso 2012-2013
R-squared
0.972690
Adjusted R-squared 0.970984
S.E. of regression
1583.457
Sum squared resid 1.20E+08
Log likelihood
-454.8067
Durbin-Watson stat 1.097095
t-Statistic
Prob.
0.001255 1.235633
0.003800 -1.440226
0.056686 2.392816
354.6794 1.660706
0.2226
0.1563
0.0207
0.1033
Matriz de correlaciones
TRATAMIENTOS POBLACION G_RIESGO RENTA
TRATAMIENTOS
1.000000
0.979275
0.984646 0.983809
POBLACION
0.979275
1.000000
0.997783 0.989643
G_RIESGO
0.984646
0.997783
1.000000 0.994350
RENTA
0.983809
0.989643
0.994350 1.000000
White Heteroskedasticity Test:
F-statistic
Obs*R-squared
4.406440
25.25429
Probability
Probability
0.000426
0.002702
ECONOMETRA
Curso 2012-2013
Modelo 2
Dependent Variable: TRATAMIENTOS/POBLACION
Method: Least Squares
Sample: 1 52
Included observations: 52
Variable
t-Statistic
Prob.
RENTA/POBLACION
G_RIESGO/POBLACION
C
0.0052
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.587790
0.570965
0.001750
0.000150
257.8695
1.677384
Matriz de correlaciones
TRATAM/POBLA
TRATAM/POBLA
1.000000
RENTA/POBLA
0.573342
G.RIESGO/POBLA
0.718272
RENTA/POBLA
0.573342
1.000000
0.468462
G.RIESGO/POBLA
0.718272
0.468462
1.000000
2.038425
9.431759
Probability
Probability
0.090784
0.093033
Analiza los resultados de las estimaciones de ambos modelos argumentando los posibles
problemas que pueden presentar. Justifica adecuadamente con cul te quedaras para
analizar el efecto de la renta sobre el nmero de tratamientos recetados.
ECONOMETRA
Curso 2012-2013
Coefficien
Std. Error
t-Statistic
Prob.
TIENDAS
C
0.428462
3.255909
0.025666
0.580801
16.69376
5.605895
0.0000
0.0000
R-squared
0.855687
Adjusted R-squared 0.852617
S.E. of regression
1.449162
Sum squared resid
98.70326
Log likelihood
-86.68528
Durbin-Watson stat 0.868844
12.31481
3.774791
3.619807
3.697025
278.6817
0.000000
E_1
-2
-2
-4
-4
-2
0
RESID01
-4
94:0194:0795:0195:0796:0196:0797:0197:07
RESID01
ECONOMETRA
Curso 2012-2013
8.631808
13.58606
Probability
Probability
0.000671
0.001122
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
TIENDAS
C
RESID(-1)
RESID(-2)
R-squared
0.277267
Adjusted R-squared 0.229084
S.E. of regression
1.259066
Sum squared resid
71.33615
Log likelihood
-78.72977
Durbin-Watson stat 1.772532
t-Statistic
Prob.
0.022347 -0.191888
0.505260 0.147186
0.152101 3.959088
0.155122 -1.098577
0.8487
0.8836
0.0003
0.2778
R-squared
0.900497
Adjusted R-squared 0.896171
S.E. of regression
1.216333
Sum squared resid
68.05542
Log likelihood
-77.57629
Durbin-Watson stat 1.740563
0.023710
0.108549
0.528211
19.97230
4.551426
4.411554
Prob.
0.0000
0.0000
0.0001
ECONOMETRA
Curso 2012-2013
PRCTICA 22: El fichero datos22.wf1 contiene los datos del consumo de combustible
en una factora (Y) as como de su precio (X) para el perodo 1978-1997.Se plantea la
siguiente relacin lineal para explicar el consumo de combustible:
Yt = o + 1 X t + t
Estima el modelo por mnimos cuadrados ordinarios y analizar las propiedades de
estos estimadores.
Contrasta la presencia de autocorrelacin
Obtn el mejor estimador factible
Obtn el estimador MCO con matriz de varianzas consistente
Predecir el consumo de combustible en el ao 1998 suponiendo un precio de 188
unidades monetarias.
Dependent Variable: Y
Method: Least Squares
Sample: 1978 1997
Included observations: 20
Variable
C
X
t-Statistic
Prob.
0.0000
0.0000
R-squared
0.975198
Adjusted R-squared 0.973821
S.E. of regression
162.9857
Sum squared resid
478157.9
Log likelihood
-129.1984
Durbin-Watson stat 0.166402
33.37486
13.25060
Probability
Probability
0.000022
0.000272
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficien
Std. Error
t-Statistic
Prob.
X
C
RESID(-1)
-0.453986
43.99762
0.892956
0.529284 -0.857735
68.21939 0.644943
0.154568 5.777098
0.4030
0.5276
0.0000
R-squared
0.662530
Adjusted R-squared 0.622828
S.E. of regression
97.42686
Sum squared resid
161363.9
Log likelihood
-118.3356
Durbin-Watson stat 1.080588
-6.08E-13
158.6386
12.13356
12.28292
16.68743
0.000098
ECONOMETRA
Curso 2012-2013
16.67439
13.51554
Probability
Probability
0.000122
0.001162
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
X
C
RESID(-1)
RESID(-2)
R-squared
0.675777
Adjusted R-squared 0.614985
S.E. of regression
98.43453
Sum squared resid
155029.7
Log likelihood
-117.9352
Durbin-Watson stat 1.374418
t-Statistic
Prob.
0.553244 -0.613332
70.27409 0.468417
0.246595 4.246879
0.269413 -0.808533
0.5483
0.6458
0.0006
0.4306
. |****** |
.**| . |
. | . |
. *| . |
. | . |
. *| . |
. *| . |
. *| . |
. *| . |
. | . |
1
2
3
4
5
6
7
8
9
10
AC
PAC
0.742
0.465
0.244
0.029
-0.097
-0.206
-0.324
-0.393
-0.433
-0.416
0.742
-0.191
-0.057
-0.178
0.012
-0.152
-0.170
-0.104
-0.126
-0.055
Q-Stat
12.748
18.028
19.573
19.596
19.872
21.210
24.768
30.438
37.933
45.533
Prob
0.000
0.000
0.000
0.001
0.001
0.002
0.001
0.000
0.000
0.000
ECONOMETRA
Curso 2012-2013
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 1979 1997
Included observations: 19 after adjusting endpoints
Convergence achieved after 46 iterations
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
X
C
AR(1)
-27.43928
5911.882
0.765369
1.754252 -15.64159
297.0666 19.90086
0.070356 10.87847
0.0000
0.0000
0.0000
R-squared
0.997334
Adjusted R-squared 0.997001
S.E. of regression
53.65968
Sum squared resid
46069.78
Log likelihood
-100.9978
Durbin-Watson stat 1.734874
2335.752
979.7976
10.94714
11.09626
2992.676
0.000000
1.74E-05
2.21E-05
Probability
Probability
0.996725
0.996252
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
X
C
AR(1)
RESID(-1)
-0.002618
0.470915
0.000101
-0.001324
2.165749 -0.001209
371.8464 0.001266
0.086224 0.001167
0.332831 -0.003977
0.9991
0.9990
0.9991
0.9969
R-squared
0.000001
Adjusted R-squared -0.199999
S.E. of regression
55.41944
Sum squared resid
46069.72
Log likelihood
-100.9978
Durbin-Watson stat 1.732142
1.12E-05
50.59083
11.05240
11.25123
5.81E-06
1.000000
ECONOMETRA
Curso 2012-2013
0.976323
0.975077
166.4393
526338.5
-136.1541
0.156365
2324.474
1054.272
13.15753
13.25701
783.4601
0.000000
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
V
121.3447
16.03323
0.017106
9.760064
1.802198
0.006727
12.43277
8.896488
2.542787
0.0000
0.0000
0.0160
R-squared
0.991552
Adjusted R-squared 0.991024
S.E. of regression
5.586936
Sum squared resid
998.8435
Log likelihood
-108.3097
Durbin-Watson stat 0.784768
374.0257
58.96968
6.360556
6.493871
1877.909
0.000000
12
10
8
4
)
1
-(
E
0
-4
-5
-8
-10
1975
1980
1985
1990
1995
2000
-12
-10
-5
10
15
ECONOMETRA
Curso 2012-2013
7.102732
11.24728
Probability
Probability
0.002983
0.003611
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
V
RESID(-1)
RESID(-2)
-0.909081
-0.069493
0.000952
0.589572
0.098903
8.351036 -0.108858
1.537827 -0.045189
0.005737 0.166038
0.202434 2.912421
0.207713 0.476155
0.9140
0.9643
0.8692
0.0067
0.6374
R-squared
0.321351
Adjusted R-squared 0.230864
S.E. of regression
4.753470
Sum squared resid
677.8642
Log likelihood
-101.5258
Durbin-Watson stat 1.792845
3.82E-14
5.420124
6.087190
6.309383
3.551366
0.017363
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
V
AR(1)
132.5875
12.39562
0.033612
0.665502
17.53667
3.462645
0.014244
0.158063
7.560585
3.579813
2.359670
4.210349
0.0000
0.0012
0.0250
0.0002
R-squared
0.994398
Adjusted R-squared 0.993837
S.E. of regression
4.591556
Sum squared resid
632.4717
Log likelihood
-97.93958
Durbin-Watson stat 1.931566
Inverted AR Roots
376.1441
58.48908
5.996446
6.176018
1774.935
0.000000
.67
0.245074
0.284921
Probability
Probability
0.624295
0.593494
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
V
AR(1)
RESID(-1)
-2.723617
0.214711
-0.000179
0.072877
-0.142508
18.59419 -0.146477
3.533779 0.060760
0.014432 -0.012402
0.217484 0.335090
0.287866 -0.495050
0.8846
0.9520
0.9902
0.7400
0.6243
R-squared
0.008380
Adjusted R-squared -0.128395
S.E. of regression
4.650442
Sum squared resid
627.1716
Log likelihood
-97.79652
Durbin-Watson stat 1.837566
2.89E-11
4.377877
6.046854
6.271319
0.061269
0.992681
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
V
AR(1)
AR(2)
130.7254
12.41571
0.034128
0.593085
0.058359
18.58506
3.566013
0.014656
0.215180
0.204618
7.033898
3.481679
2.328549
2.756229
0.285211
0.0000
0.0017
0.0273
0.0102
0.7776
R-squared
0.994232
Adjusted R-squared 0.993408
S.E. of regression
4.709785
Sum squared resid
621.0981
Log likelihood
-95.25217
Durbin-Watson stat 1.828816
Inverted AR Roots
.68
378.3000
58.00788
6.075889
6.302632
1206.561
0.000000
-.09
2.839446
3.140197
Probability
Probability
0.103502
0.076385
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
C
P
V
AR(1)
AR(2)
RESID(-1)
8.183053
-3.439512
0.015958
2.764676
-1.806932
-2.778144
18.64794 0.438818
4.012462 -0.857207
0.017067 0.935021
1.653886 1.671624
1.090482 -1.657004
1.648686 -1.685066
0.6643
0.3989
0.3581
0.1062
0.1091
0.1035
0.095157
R-squared
-1.50E08
S.D. dependent var 4.405601
Akaike info criterion 6.036501
Schwarz criterion
6.308593
F-statistic
0.567889
Prob(F-statistic)
0.723788
ECONOMETRA
Curso 2012-2013
2.408058
0.009048
12.94808
Prob.
6.658158
1.890664
9.371638
0.0000
0.0678
0.0000
374.0257
58.96968
6.360556
6.493871
1877.909
0.000000
ECONOMETRA
Curso 2012-2013
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
LPA
LPY
2.969897
1.095169
-0.638824
1.005541 2.953531
0.048297 22.67577
0.155854 -4.098854
0.0059
0.0000
0.0003
R-squared
Adjusted R-squared
S.E. of regression
0.946049
0.942568
0.134154
0.557913
Log likelihood
Durbin-Watson stat
21.62460
0.471041
ECONOMETRA
Curso 2012-2013
38.28836
19.06334
Probability
Probability
0.000001
0.000013
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
C
LPA
LPY
RESID(-1)
0.588107
0.005792
-0.089367
0.756213
0.684131 0.859641
0.032554 0.177922
0.105997 -0.843103
0.122211 6.187759
0.3968
0.8600
0.4058
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.560686
0.516755
0.090388
0.245099
35.60781
1.739750
Coefficien
t
Std. Error
t-Statistic
Prob.
C
LPA
LPY
AR(1)
3.476362
1.060881
-0.686556
0.770129
0.778550 4.465173
0.123258 8.606993
0.069633 -9.859702
0.117305 6.565167
0.0001
0.0000
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.975684
0.973168
0.087138
0.220196
35.83582
1.810982
4.586190
0.531962
-1.929444
-1.748049
387.8720
0.000000
0.387031
0.449924
Probability
Probability
0.538898
0.502371
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
C
LPA
LPY
MA(1)
2.877548
1.072862
-0.607854
0.683673
0.486533 5.914395
0.054389 19.72565
0.065264 -9.313761
0.131864 5.184687
0.0000
0.0000
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.970730
0.967804
0.100445
0.302677
32.02073
1.451767
4.883203
4.898832
Probability
Probability
0.035169
0.026875
Coefficien
t
Std. Error
t-Statistic
Prob.
C
LPA
LPY
LSA(-1)
4.207700
0.684137
-0.767301
0.423919
0.865840 4.859675
0.117470 5.823936
0.128861 -5.954501
0.105460 4.019713
0.0000
0.0000
0.0000
0.0004
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.962696
0.958837
0.107928
0.337806
28.77458
0.913578
4.586190
0.531962
-1.501490
-1.320095
249.4655
0.000000
18.36372
13.07062
Probability
Probability
0.000195
0.000300
ECONOMETRA
Curso 2012-2013
Dependent Variable: E
Method: Least Squares
Sample(adjusted): 1962 1993
Included observations: 32 after adjusting endpoints
Variable
E(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Coefficient
Std. Error
t-Statistic
Prob.
0.481447
0.144355
3.335156
0.0022
0.260811
0.260811
0.083841
0.217907
34.42473
-0.006382
0.097516
-2.089045
-2.043241
1.845311
Coefficient
Std. Error
t-Statistic
Prob.
C
LPA
LPY
LSA(-1)
LPA(-1)
LPY(-1)
1.640927
0.952426
-0.754790
0.775778
-0.672579
0.444443
1.157663
0.151223
0.110519
0.117282
0.179299
0.128281
1.417448
6.298160
-6.829483
6.614664
-3.751165
3.464588
0.1678
0.0000
0.0000
0.0000
0.0009
0.0018
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.977912
0.973821
0.086071
0.200020
37.42148
1.689883
4.586190
0.531962
-1.904332
-1.632240
239.0738
0.000000
0.948634
1.161652
Probability
Probability
0.339042
0.281123
Dependent Variable: E
Method: Least Squares
Sample(adjusted): 1962 1993
Included observations: 32 after adjusting endpoints
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
E(-1)
0.147720
0.176826
0.835401
0.4099
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
0.021637
0.021637
0.078948
0.193215
36.34896
-0.001548
0.079816
-2.209310
-2.163506
1.967410
ECONOMETRA
Curso 2012-2013
Coefficien
t
Std. Error
t-Statistic
Prob.
Y
M
C
4.16E-07
-0.000765
7.054917
6.99E-07 0.595520
0.000650 -1.177376
17.89002 0.394349
0.5598
0.2563
0.6985
R-squared
0.507925
Adjusted R-squared 0.446416
S.E. of regression
2.163875
Sum squared resid
74.91767
Log likelihood
-39.99337
Durbin-Watson stat 1.543944
14.18579
2.908307
4.525617
4.674739
8.257682
0.003438
ECONOMETRA
Curso 2012-2013
Matriz de correlaciones
Y
M
INV
G
Y
1.000000
0.989235
0.926001
0.991070
M
0.989235
1.000000
0.889987
0.991464
INV
0.926001
0.889987
1.000000
0.875907
G
0.991070
0.991464
0.875907
1.000000
0.378937
0.320457
t-Statistic
Prob.
0.7341
0.7316
0.7355
0.3789
R-squared
0.051952
Adjusted R-squared -0.137658
S.E. of regression
2.176014
Sum squared resid
71.02558
Log likelihood
-39.48654
Durbin-Watson stat 1.951619
-1.13E-15
2.040121
4.577531
4.776360
0.273992
0.843218
0.475533
1.208627
Probability
Probability
0.631235
0.546449
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
t-Statistic
Prob.
1.23E-07
-0.000112
-3.139051
0.250522
-0.128940
8.51E-07 0.144254
0.000798 -0.140318
21.74042 -0.144388
0.283909 0.882404
0.308813 -0.417534
0.8874
0.8904
0.8873
0.3925
0.6826
R-squared
0.063612
Adjusted R-squared -0.203928
S.E. of regression
2.238495
Sum squared resid
70.15202
Log likelihood
-39.36897
Durbin-Watson stat 2.025340
-1.13E-15
2.040121
4.670418
4.918955
0.237767
0.912314
Y
M
C
RESID(-1)
RESID(-2)
0.721421 Probability
4.126849 Probability
0.619084
0.531301
ECONOMETRA
Curso 2012-2013
Apartado b
Dependent Variable: Y
Method: Least Squares
Sample: 1977 1995
Included observations: 19
Variable
Coefficient
Std. Error
t-Statistic
Prob.
INV
G
M
C
0.677929
2.546405
78.23446
15220223
0.091570
0.416195
112.0526
1282668.
7.403428
6.118301
0.698194
11.86606
0.0000
0.0000
0.4957
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.996734
0.996081
312192.3
1.46E+12
-265.0903
0.833117
33993589
4987010.
28.32529
28.52412
1526.043
0.000000
Dependent Variable: R
Method: Least Squares
Sample: 1977 1995
Included observations: 19
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
M
YF
C
-3.91E-06
-0.001483
5.11E-06
-12.86388
1.39E-06
0.000549
1.51E-06
15.12380
-2.810116
-2.701419
3.377035
-0.850572
0.0132
0.0164
0.0041
0.4084
R-squared
0.720458 Mean dependent var
Adjusted R-squared
0.664550 S.D. dependent var
S.E. of regression
1.684435 Akaike info criterion
Sum squared resid
42.55983 Schwarz criterion
Log likelihood
-34.62131 F-statistic
Durbin-Watson stat
2.135583 Prob(F-statistic)
YF guarda los valores ajustados de la regresin de Y sobre INV, G y M
14.18579
2.908307
4.065401
4.264231
12.88641
0.000198
Apartado c.1
Dependent Variable: R
Method: Two-Stage Least Squares
Sample: 1977 1995
Included observations: 19
Instrument list: M INV G C
Variable
Coefficient
Std. Error
t-Statistic
Prob.
M
Y
C
-0.001483
1.20E-06
-12.86388
0.000732
7.88E-07
20.16938
-2.025631
1.516989
-0.637793
0.0598
0.1488
0.5326
0.469679
0.403389
2.246394
8.648245
0.002843
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
14.18579
2.908307
80.74056
1.374651
ECONOMETRA
Curso 2012-2013
Apartado c.2
Dependent Variable: R
Method: Two-Stage Least Squares
Sample: 1977 1995
Included observations: 19
Instrument list: M INV C
Variable
Coefficient
Std. Error
t-Statistic
Prob.
M
Y
C
-0.002075
1.84E-06
-29.33376
0.001062
1.15E-06
29.35736
-1.955136
1.603019
-0.999196
0.0683
0.1285
0.3326
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.380284
0.302819
2.428359
7.700905
0.004543
14.18579
2.908307
94.35086
1.192246
Dependent Variable: R
Method: Two-Stage Least Squares
Sample: 1977 1995
Included observations: 19
Instrument list: M G C
Variable
Coefficient
Std. Error
t-Statistic
Prob.
M
Y
C
-0.000572
2.07E-07
12.41395
0.001201
1.30E-06
33.26450
-0.476693
0.158742
0.373189
0.6400
0.8759
0.7139
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.505157
0.443301
2.169953
8.047754
0.003814
14.18579
2.908307
75.33916
1.568118
Apartado c.3
Dependent Variable: R
Method: Two-Stage Least Squares
Sample: 1977 1995
Included observations: 19
Instrument list: M YF C
Variable
Coefficient
Std. Error
t-Statistic
Prob.
M
Y
C
-0.001483
1.20E-06
-12.86388
0.000732
7.88E-07
20.16938
-2.025631
1.516989
-0.637793
0.0598
0.1488
0.5326
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.469679
0.403389
2.246394
8.648245
0.002843
14.18579
2.908307
80.74056
1.374651
ECONOMETRA
Curso 2012-2013
Prob.
M
Y
C
0.0636
0.1574
0.5551
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.472424
0.406477
2.240573
8.637025
0.002858
Apartado d
Correlaciones entre Y y los instrumentos
Y
INV
Y
1.000000
0.926001
INV
0.926001
1.000000
G
0.991070
0.875907
YF
0.998366
0.927516
YF1
0.998313
0.927566
G
0.991070
0.875907
1.000000
0.992692
0.992745
YF
0.998366
0.927516
0.992692
1.000000
0.999947
YF1
0.998313
0.927566
0.992745
0.999947
1.000000
ECONOMETRA
Curso 2012-2013
PRCTICA 26.- Se quiere estimar el consumo privado (CPRIV) como funcin del
producto interior bruto (PIB) suponiendo una relacin lineal. Se dispone de
observaciones de ambas variables para el periodo 1970-1997 (fichero datos26.wf1). As
mismo, se supone que el efecto del PIB sobre el consumo privado se produce no solo en
el periodo corriente sino que se dilata en el tiempo. Para llevar a cabo dicha estimacin,
un econmetra propone un modelo de variables retardadas con estructura de retardo
infinito suponiendo un esquema de Koyck.
a) Plantea el modelo de retardos de estructura infinita y aplica la transformacin de
Koyck. Estima el modelo dinmico que obtienes.
b) Basndote en la informacin disponible, contrasta la posible presencia de
autocorrelacin en el modelo transformado.
c) Son consistentes los estimadores mnimo cuadrtico ordinarios de los parmetros
del modelo transformado? Crees que existe un mtodo de estimacin que
proporcione estimadores con mejores propiedades? En caso afirmativo realiza en el
ordenador dicha estimacin.
Apartado a
Dependent Variable: CPRIV
Method: Least Squares
Sample(adjusted): 1971 1997
Included observations: 27 after adjusting endpoints
Variable
PIB
C
CPRIV(-1)
0.363770 0.046365
1284319. 278139.5
0.383849 0.077091
R-squared
0.995746
Adjusted R-squared 0.995392
S.E. of regression 260944.3
Sum squared resid 1.63E+12
Log likelihood
-373.4669
Durbin-Watson stat 0.942603
7.845837 0.0000
4.617536 0.0001
4.979186 0.0000
ECONOMETRA
Curso 2012-2013
Apartado b
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
12.67349
9.592114
Prob. F(1,23)
0.001665
Prob. Chi-Square(1) 0.001954
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Sample: 1971 1997
Included observations: 27
Presample missing value lagged residuals set to zero.
Variable
PIB
C
CPRIV(-1)
RESID(-1)
t-Statistic
Prob.
0.074991
141852.5
-0.126361
0.684179
0.043474 1.724970
231590.5 0.612514
0.072513 -1.742594
0.192186 3.559984
0.0979
0.5462
0.0948
0.0017
R-squared
0.355263
Adjusted R-squared 0.271167
S.E. of regression
214032.9
Sum squared resid 1.05E+12
Log likelihood
-367.5416
Durbin-Watson stat 2.307913
-1.33E-09
250707.1
27.52160
27.71358
4.224496
0.016162
7.896340
11.28267
Probability
Probability
0.002601
0.003548
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
PIB
CPRIV(-1)
C
RESID(-1)
RESID(-2)
R-squared
0.417877
Adjusted R-squared 0.312036
S.E. of regression
207945.5
Sum squared resid 9.51E+11
Log likelihood
-366.1625
Durbin-Watson stat 2.098676
t-Statistic
Prob.
0.047948 2.292094
0.080192 -2.310565
229116.7 0.909293
0.196983 2.983223
0.218312 1.538285
0.0318
0.0306
0.3730
0.0069
0.1382
ECONOMETRA
Curso 2012-2013
Test de la h de Durbin:
Dependent Variable: E
Method: Least Squares
Sample (adjusted): 1972 1997
Included observations: 26 after adjustments
Variable
E(-1)
R-squared
0.274323
Adjusted R-squared 0.274323
S.E. of regression
215860.1
Sum squared resid 1.16E+12
Log likelihood
-355.7246
0.169011
Prob.
3.077921
0.0050
6422.916
253396.6
27.44035
27.48874
2.014352
h=2,95
Apartado c
Dependent Variable: CPRIV
Method: Two-Stage Least Squares
Sample(adjusted): 1971 1997
Included observations: 27 after adjusting endpoints
Instrument list: PIB PIB(-1) C
Variable
Prob.
PIB
CPRIV(-1)
C
0.421034
0.287220
1396524.
0.052666 7.994349
0.087797 3.271417
290313.0 4.810408
0.0000
0.0032
0.0001
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.995468
0.995090
269350.0
2630.203
0.000000
ECONOMETRA
Curso 2012-2013
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
G(-1)
-37974.96
0.641975
-1.586727
13245.95
0.139382
0.539077
-2.866911
4.605852
-2.943413
0.0085
0.0001
0.0071
0.840042
0.826712
4335.808
4.51E+08
-262.8372
0.243235
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
INV
Y
G(-1)
INV
1.000000
0.884477
0.835855
Y
0.884477
1.000000
0.987629
G(-1)
0.835855
0.987629
1.000000
5
Series: Residuals
Sample 1971 1997
Observations 27
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-3.37E-12
98.63572
6888.616
-7658.922
4165.710
0.002238
1.789645
1
Jarque-Bera
Probability
0
-8000 -6000 -4000 -2000
1.648101
0.438651
45360.23
10415.64
19.69164
19.83562
63.01966
0.000000
ECONOMETRA
Curso 2012-2013
28.60305
19.50058
Probability
Probability
0.000001
0.000058
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
G(-1)
C
RESID(-1)
RESID(-2)
-0.044408
0.148261
767440.3
1.150346
-0.363534
0.077020
0.297744
1218242.
0.208851
0.208555
-0.576578
0.497949
0.629957
5.507969
-1.743107
0.5701
0.6235
0.5352
0.0000
0.0953
0.722244
0.671742
397114.5
3.47E+12
-383.6301
1.689959
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
-2.14E-09
693120.0
28.78741
29.02738
14.30153
0.000007
ECONOMETRA
Curso 2012-2013
Apartado b
Dependent Variable: INV
Method: Least Squares
Sample(adjusted): 1971 1997
Included observations: 27 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
G(-1)
INV(-1)
Y(-1)
-10595.24
0.845330
-0.309555
0.818450
-0.721849
5087.982
0.079167
0.216262
0.063082
0.090766
-2.082404
10.67783
-1.431394
12.97439
-7.952891
0.0491
0.0000
0.1664
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.982816
0.979692
1484.296
48468972
-232.7194
1.575692
45360.23
10415.64
17.60884
17.84881
314.5694
0.000000
Probability
Probability
0.485984
0.426773
0.503002
0.631588
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Presample missing value lagged residuals set to zero.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
G(-1)
INV(-1)
-49.06886
0.003208
-0.008546
-0.013941
5146.910
0.080204
0.219078
0.066766
-0.009534
0.040001
-0.039008
-0.208798
0.9925
0.9685
0.9693
0.8366
Y(-1)
RESID(-1)
0.001299
0.177863
0.091827
0.250784
0.014149
0.709226
0.9888
0.4860
0.023392
-0.209134
R-squared
Adjusted R-squared
1.75E-11
1365.354
ECONOMETRA
Curso 2012-2013
PRCTICA 28.- Se desea estimar el gasto trimestral en capital (Y) efectuado por el
sector manufacturero en el periodo 1968-1989 en funcin de las decisiones de
asignacin de recursos (X) del sector. (Datos disponibles en el fichero datos28.wf1).
a) Plantea y estudia haciendo uso de la informacin que se proporciona, el modelo que
consideres ms adecuado, teniendo en cuenta que las asignaciones de capital
efectuadas por las empresas tienen efectos sobre las inversiones decididas no
solamente en el momento de la toma de decisin, sino que se extiende a lo largo de
varios aos hasta que el proyecto est terminado.
b) Con objeto de reducir el nmero de parmetros a estimar, plantea y estima el modelo
suponiendo que los coeficientes del modelo siguen una estructura polinomial de
Almon. Selecciona la ms adecuada.
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 9 88
Included observations: 80 after adjusting endpoints
Variable
X
X(-1)
X(-2)
X(-3)
X(-4)
X(-5)
X(-6)
X(-7)
X(-8)
C
1.926577
2.064425
1.526187
0.899597
0.864640
0.602963
0.530657
0.501705
0.261569
83.38553
R-squared
0.999903
Adjusted R-squared 0.999890
S.E. of regression
246.0805
Sum squared resid
4238893.
Log likelihood
-548.6265
Durbin-Watson stat 1.924082
N Retardos 7
0.99983
R2
8
0.99989
0.045469
0.089845
0.117178
0.121350
0.122109
0.120344
0.123074
0.123461
0.078463
70.43090
42.37153
22.97773
13.02451
7.413226
7.080877
5.010331
4.311689
4.063654
3.333663
1.183934
Prob.
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0001
0.0014
0.2404
9
0.9998
10
0.999887
11
0.9987
ECONOMETRA
Curso 2012-2013
Matriz de correlaciones
X
X(-1)
X
1
0,9760
X(-1) 0,9760
1
X(-2) 0,9584 0,9883
X(-3) 0,9400 0,9664
X(-4) 0,9063 0,9391
X(-5) 0,8653 0,9019
X(-6) 0,8181 0,8571
X(-7) 0,7733 0,8049
X(-8) 0,7308 0,7568
X(-2)
0,9584
0,9883
1
0,9861
0,9635
0,9318
0,8880
0,8377
0,7863
X(-3)
0,9400
0,9664
0,9861
1
0,9857
0,9597
0,9225
0,8734
0,8233
X(-4)
0,9063
0,9391
0,9635
0,9857
1
0,9838
0,9541
0,9128
0,8617
X(-5)
0,8653
0,9019
0,9318
0,9597
0,9838
1
0,9816
0,9483
0,9050
X(-6)
0,8181
0,8571
0,8880
0,9225
0,9541
0,9816
1
0,9792
0,9440
X(-7)
0,7733
0,8049
0,8377
0,8734
0,9128
0,9483
0,9792
1
0,9780
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 9 88
Included observations: 80 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
PDL01
PDL02
PDL03
35.11327
0.882192
-0.228631
0.020825
84.60083
0.017061
0.002525
0.002585
0.415046
51.70751
-90.52973
8.054988
0.6793
0.0000
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.999842
0.999836
300.3782
6857258.
-567.8667
1.858416
45915.69
23475.85
14.29667
14.41577
160821.1
0.000000
Lag Distribution of
X
Coefficient
Std. Error
T-Statistic
.
*|
.
* |
.
* |
.
*
|
.
*
|
. *
|
. *
|
. *
|
.*
|
0
1
2
3
4
5
6
7
8
2.12991
1.75551
1.42275
1.13165
0.88219
0.67439
0.50823
0.38372
0.30087
0.02423
0.00814
0.00861
0.01498
0.01706
0.01445
0.00849
0.01169
0.02860
87.9024
215.714
165.278
75.5492
51.7075
46.6802
59.8386
32.8263
10.5199
9.18921
0.01825
503.427
Sum of
Lags
X(-8)
0,7308
0,7568
0,7863
0,8233
0,8617
0,9050
0,9440
0,9780
1
ECONOMETRA
Curso 2012-2013
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 9 88
Included observations: 80 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
PDL01
PDL02
PDL03
PDL04
22.90945
0.872946
-0.296165
0.022310
0.005945
81.23898
0.016697
0.024515
0.002536
0.002148
0.282001
52.28283
-12.08083
8.796240
2.768333
0.7787
0.0000
0.0000
0.0000
0.0071
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.999857
0.999849
288.0169
6221528.
-563.9751
1.847797
45915.69
23475.85
14.22438
14.37325
131193.3
0.000000
Lag Distribution of
X
Coefficient
Std. Error
.
*|
.
* |
.
* |
.
*
|
.
*
|
. *
|
. *
|
. *
|
. *
|
0
1
2
3
4
5
6
7
8
2.03409
1.80172
1.50696
1.18548
0.87295
0.60504
0.41742
0.34576
0.42573
0.04169
0.01843
0.03152
0.02417
0.01670
0.02863
0.03380
0.01771
0.05279
48.7935
97.7775
47.8139
49.0400
52.2828
21.1357
12.3496
19.5219
8.06503
9.19513
0.01763
521.497
Sum of Lags
T-Statistic
ECONOMETRA
Curso 2012-2013
Dependent Variable: Y
Method: Least Squares
Sample(adjusted): 9 88
Included observations: 80 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
PDL01
PDL02
PDL03
PDL04
PDL05
67.80170
0.705698
-0.255551
0.114385
0.002365
-0.005696
70.52748
0.035241
0.022521
0.017846
0.001974
0.001096
0.961352
20.02472
-11.34715
6.409721
1.197611
-5.198659
0.3395
0.0000
0.0000
0.0000
0.2349
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.999895
0.999888
248.1600
4557172.
-551.5225
1.999604
Lag Distribution
of X
.
*|
.
*|
.
* |
.
*
|
. *
|
. *
|
. *
|
. *
|
.*
|
Coefficient
Std. Error
0
1
2
3
4
5
6
7
8
1.94861
1.97662
1.56429
1.06757
0.70570
0.56120
0.57992
0.57099
0.20686
0.03950
0.03720
0.02931
0.03079
0.03524
0.02607
0.04272
0.04593
0.06198
49.3280
53.1332
53.3709
34.6700
20.0247
21.5297
13.5741
12.4307
3.33762
9.18176
0.01541
595.899
Sum of Lags
Wald Test:
Equation: Untitled
Null
Hypothesis:
C(5)=0
C(6)=0
F-statistic
Chi-square
18.67456
37.34912
45915.69
23475.85
13.93806
14.11672
141380.8
0.000000
Probability
Probability
0.000000
0.000000
T-Statistic
ECONOMETRA
Curso 2012-2013
Coefficient
Std. Error
t-Statistic
Prob.
Y
G(-1)
C
0.641975
-1.586727
-6318540.
0.139382
0.539077
2203954.
4.605852
-2.943413
-2.866911
0.0001
0.0071
0.0085
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.840042
0.826712
721422.1
1.25E+13
-400.9237
0.243235
7547352.
1733027.
29.92028
30.06426
63.01966
0.000000
ECONOMETRA
INV
Y
G(-1)
Curso 2012-2013
INV
1.000000
0.884477
0.835855
Y
0.884477
1.000000
0.987629
G(-1)
0.835855
0.987629
1.000000
7
Series: Residuals
Sample 1971 1997
Observations 27
6
5
4
3
2
1
0
-1000000
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-6.94e-10
16411.70
1146176.
-1274345.
693120.0
0.002238
1.789645
Jarque-Bera
Probability
1.648101
0.438651
1000000
2.283411
9.509207
Prob. F(5,21)
Prob. Chi-Square(5)
0.083311
0.090398
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/02/08 Time: 12:21
Sample: 1971 1997
Included observations: 27
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
Y^2
Y*G(-1)
G(-1)
G(-1)^2
7.34E+12
-330540.9
-0.008340
0.164086
-115855.2
-0.528195
1.59E+13
2145413.
0.071267
0.557598
8494317.
1.080865
0.460289
-0.154069
-0.117018
0.294273
-0.013639
-0.488678
0.6500
0.8790
0.9080
0.7714
0.9892
0.6301
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.352193
0.197953
3.75E+11
2.96E+24
-754.4866
1.114163
4.63E+11
4.19E+11
56.33234
56.62030
2.283411
0.083311
ECONOMETRA
Curso 2012-2013
28.60305
19.50058
Prob. F(2,22)
Prob. Chi-Square(2)
0.000001
0.000058
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/03/08 Time: 12:24
Sample: 1971 1997
Included observations: 27
Presample missing value lagged residuals set to zero.
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
G(-1)
C
RESID(-1)
RESID(-2)
-0.044408
0.148261
767440.3
1.150346
-0.363534
0.077020
0.297744
1218242.
0.208851
0.208555
-0.576578
0.497949
0.629957
5.507969
-1.743107
0.5701
0.6235
0.5352
0.0000
0.0953
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.722244
0.671742
397114.5
3.47E+12
-383.6301
1.689959
-6.94E-10
693120.0
28.78741
29.02738
14.30153
0.000007
ECONOMETRA
Curso 2012-2013
Apartado 2)
Dependent Variable: INV
Method: Least Squares
Date: 04/03/08 Time: 12:26
Sample (adjusted): 1971 1997
Included observations: 27 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
G(-1)
INV(-1)
Y(-1)
C
0.845330
-0.309555
0.818450
-0.721849
-1762909.
0.079167
0.216262
0.063082
0.090766
846574.1
10.67783
-1.431394
12.97439
-7.952891
-2.082404
0.0000
0.1664
0.0000
0.0000
0.0491
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.982816
0.979692
246967.6
1.34E+12
-370.8059
1.575692
7547352.
1733027.
27.83748
28.07745
314.5694
0.000000
Test Equation:
Dependent Variable: RESID
0.503002
0.631588
Prob. F(1,21)
Prob. Chi-Square(1)
0.485984
0.426773
ECONOMETRA
Curso 2012-2013
Coefficient
Std. Error
t-Statistic
Prob.
Y
G(-1)
INV(-1)
Y(-1)
C
RESID(-1)
0.003208
-0.008546
-0.013941
0.001299
-8164.420
0.177863
0.080204
0.219078
0.066766
0.091827
856379.0
0.250784
0.040001
-0.039008
-0.208798
0.014149
-0.009534
0.709226
0.9685
0.9693
0.8366
0.9888
0.9925
0.4860
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.023392
-0.209134
249805.4
1.31E+12
-370.4864
1.736538
-1.54E-09
227177.1
27.88788
28.17585
0.100600
0.990921
Apartado 3)
1 ecuacin: Exactamente identificada
2 ecuacin: Sobreidentificada
3 ecuacin: Es una identidad
Coefficient
Std. Error
t-Statistic
Prob.
Y
G(-1)
INV(-1)
Y(-1)
C
1.074791
-0.437672
0.811936
-0.916133
-2459486.
0.240458
0.282760
0.074421
0.215932
1201414.
4.469761
-1.547855
10.91003
-4.242690
-2.047160
0.0002
0.1359
0.0000
0.0003
0.0528
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
0.976254
0.971937
290317.0
1.313018
7547352.
1733027.
1.85E+12
6.61E+12
ECONOMETRA
Curso 2012-2013
Rt = 1 M t + 2Yt + u1t
Yt = 1 + 2 Rt + 3 INVt + u 2t
Se dispone de datos de la economa espaola para el periodo 1977-95 de las variables tipo de
inters (Rt), oferta monetaria (Mt), producto nacional bruto a precios de mercado (Yt) e
inversin (INVt) recogidos en el fichero datos30.wf1.
Se pide:
a) Identifica las ecuaciones del sistema
b) Estima el modelo por MC2E de las dos formas que permite Eviews: ecuacin a
ecuacin y estimando directamente el modelo conjunto.
c) Calcula los valores estimados de las variables endgenas del sistema.
d) Representa los valores observados y estimados
SOLUCIN:
a) 1 ecuacin: Sobreidentificada
2 ecuacin: Exactamente identificada
b.1) Ecuacin a ecuacin para la muestra de 1977 a 1995
1 Ecuacin: EQ01
Dependent Variable: R
Method: Two-Stage Least Squares
Sample: 1977 1995
Included observations: 19
Instrument list: M INV
Variable
Coefficient
Std. Error
t-Statistic
Prob.
M
Y
-0.001024
6.94E-07
0.000125
3.83E-08
-8.228325
18.13914
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
0.503011
0.473777
2.109722
1.496218
14.18579
2.908307
75.66576
67.31254
2 Ecuacin: EQ02
Dependent Variable: Y
Method: Two-Stage Least Squares
Sample: 1977 1995
Included observations: 19
Instrument list: M INV
Variable
Coefficient
Std. Error
t-Statistic
Prob.
R
INV
C
-1030960.
1.786928
34996715
264141.5
0.334670
5720352.
-3.903060
5.339368
6.117930
0.0013
0.0001
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
0.862299
0.845087
1962839.
2.021568
33993589
4987010.
6.16E+13
5.11E+12
ECONOMETRA
Curso 2012-2013
17.26271
16.72288
16.42864
16.27959
15.61697
15.61102
15.36397
14.87364
14.52002
14.45263
14.60418
14.54927
14.49495
13.15551
12.20463
12.06769
10.71444
10.23683
10.48742
YF1
29094830
28998850
29056710
29498000
29296510
29756090
29887720
29773130
30301130
31638000
33207820
35299960
37356780
39867430
41059650
40467240
39328090
40348120
41521510
ECONOMETRA
Curso 2012-2013
C(1)
C(2)
C(3)
C(4)
C(5)
Coefficient
Std. Error
t-Statistic
Prob.
-0.001024
6.94E-07
34996715
-1030960.
1.786928
0.000125
3.83E-08
5720352.
264141.5
0.334670
-8.228298
18.13912
6.117930
-3.903060
5.339368
0.0000
0.0000
0.0000
0.0004
0.0000
3.42E+12
14.18579
2.908307
75.66575
33993588
4987010.
6.16E+13
ECONOMETRA
Curso 2012-2013
17.26271
16.72288
16.42864
16.27959
15.61697
15.61102
15.36397
14.87364
14.52002
14.45263
14.60418
14.54927
14.49495
13.15551
12.20463
12.06769
10.71444
10.23683
10.48742
29094830
28998850
29056710
29498000
29296510
29756090
29887720
29773130
30301130
31638000
33207820
35299960
37356780
39867430
41059650
40467240
39328090
40348120
41521510
22
20
18
16
14
12
10
8
6
78
80
82
84
86
R
88
90
92
94
RF2
4.20E+07
4.00E+07
3.80E+07
3.60E+07
3.40E+07
3.20E+07
3.00E+07
2.80E+07
78
80
82
84
Y
86
88
YF2
90
92
94
ECONOMETRA
Curso 2012-2013
PRCTICA 31: Los principales agregados macroeconmicos de una economa abierta pueden
relacionarse segn el siguiente sistema de ecuaciones:
donde:
CONSUMO: Consumo nacional
IMPORT: Importaciones de bienes y servicios
Y: Producto interior bruto
EXPORT: Exportaciones de bienes y servicios
INV: Inversin
En relacin con las variables anteriores se dispone de las observaciones correspondientes al
periodo 1970-97, obtenidas de la Contabilidad Nacional de Espaa y recogidas en el fichero
datos31.wf1.
Se pide:
a) Clasifica las variables del modelo segn su naturaleza
b) Identifica las ecuaciones del modelo
c) Realiza la estimacin del modelo por MC2E y representa grficamente los valores
observados y estimados de las variables endgenas.
SOLUCIN:
b)
1 ecuacin: Sobreidentificada
2 ecuacin: Sobreidentificada
3 ecuacin: Es una identidad
c)
Estimacin y denominacin de cada ecuacin
1 Ecuacin: EQ01
Dependent Variable: CONSUMO
Method: Two-Stage Least Squares
Date: 04/10/08 Time: 13:32
Sample (adjusted): 1972 1997
Included observations: 26 after adjustments
Instrument list: C Y(-1) Y(-2) EXPORT INV
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y
Y(-1)
Y(-2)
C
0.316253
0.556015
-0.020231
-1678233.
0.214468
0.359264
0.167239
378580.0
1.474592
1.547652
-0.120974
-4.432968
0.1545
0.1360
0.9048
0.0002
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
0.996487
0.996008
333280.5
1.091008
26101765
5274911.
2.44E+12
3.65E+12
ECONOMETRA
Curso 2012-2013
2 Ecuacin: EQ02
Dependent Variable: IMPORT
Method: Two-Stage Least Squares
Date: 04/10/08 Time: 13:34
Sample (adjusted): 1972 1997
Included observations: 26 after adjustments
Instrument list: C Y(-2) Y(-1) EXPORT INV
Variable
Coefficient
Std. Error
t-Statistic
Prob.
CONSUMO
Y(-1)
EXPORT
C
2.746687
-2.122519
0.752956
-957011.6
0.677012
0.600251
0.161676
2242289.
4.057072
-3.536051
4.657198
-0.426801
0.0005
0.0019
0.0001
0.6737
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
0.946601
0.939319
953704.0
1.175132
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
CONSUMOF1 IMPORTF1
YF1
15.534.151
2.555.299 20.512.121
16.309.153
2.573.186 21.465.753
17.171.498
2.815.966 23.175.897
18.702.144
3.524.270 25.001.375
20.242.692
3.893.971 26.805.564
21.261.940
3.699.927 27.672.285
21.350.470
3.756.666 27.790.269
22.010.089
4.004.085 28.341.714
22.560.171
4.157.256 28.767.100
22.859.904
4.275.931 29.038.841
22.901.797
4.439.934 29.176.604
23.113.624
4.503.238 29.191.967
7301603.
3871567.
2.00E+13
1.30E+12
ECONOMETRA
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
Curso 2012-2013
23.131.863
23.502.284
23.974.397
24.341.667
25.116.634
26.115.842
27.793.858
29.402.387
30.865.235
32.009.610
32.637.771
32.594.200
32.365.846
33.286.905
34.225.046
35.108.059
4.839.556
5.268.731
5.662.712
5.857.117
6.381.300
7.304.210
8.303.369
9.142.279
9.727.855
10.336.401
10.640.787
10.504.676
12.074.917
13.573.749
14.712.439
16.440.435
3.60E+07
29.363.449
29.733.709
30.107.170
30.534.187
31.611.056
33.059.410
35.223.536
37.327.678
39.074.642
40.328.630
40.849.071
40.285.809
40.403.028
41.734.363
42.810.404
44.009.185
1.80E+07
1.60E+07
3.20E+07
1.40E+07
2.80E+07
1.20E+07
2.40E+07
1.00E+07
8.00E+06
2.00E+07
6.00E+06
1.60E+07
4.00E+06
1.20E+07
2.00E+06
70 72 74 76 78 80 82 84 86 88 90 92 94 96
CONSUMO
CONSUMOf1
4.50E+07
4.00E+07
3.50E+07
3.00E+07
2.50E+07
2.00E+07
70 72 74 76 78 80 82 84 86 88 90 92 94 96
Y
Yf1
70 72 74 76 78 80 82 84 86 88 90 92 94 96
IMPORT
IMPORTf1
ECONOMETRA
Curso 2012-2013
CUESTIONES TEMAS 7 A 11
1) Responde brevemente a las siguientes cuestiones:
a. Por qu es ms frecuente detectar heteroscedasticidad y/o autocorrelacin en un
modelo con un error por omisin?
b. Por qu mnimos cuadrados ordinarios (MCO) puede ser el mtodo preferible para
estimar un modelo de regresin generalizado?
c. Por qu los residuos por MCO se utilizan para detectar si las perturbaciones de un
modelo cumplen las hiptesis clsicas?
d. En un modelo con perturbaciones autocorrelacionadas, el estimador de MCO de es
ineficiente y provoca que el estadstico habitual utilizado para contrastar la
significacin de la regresin no se distribuya como una F?
e. En un modelo con datos de seccin cruzada, las varianzas estimadas de iMCO son,
por lo general, inconsistentes debido a la presencia de hetoscedasticidad?
f. En un MRLG, los residuos ~
e coinciden con los residuos mnimo cuadrticos
ordinarios del modelo transformado?
g. En un modelo de regresin lineal generalizado Y = X + que cumple E [ ] = 0 y
Yi = 144,448 + 0,115 X i
(1,51)
(9,3)
R 2 = 0,776
Yi
1
= 0,121 + 3,803
Xi
Xi
(13,44) (0,832)
R 2 = 0,03
ECONOMETRA
Curso 2012-2013
Dt = 1 + 2Yt + 3 PRt + t
SCR = 125,7
Del mismo modo, y utilizando las 10 ltimas observaciones se obtiene la siguiente ecuacin
estimada:
SCR = 498,94
et = 6,81 625,17
et = 10,23 89,54
1
Yt
1
SCR = 341,8
SCR = 347,91
Yt
et = 2,9 + 0,51ln Yt
SCR = 350,16
60
60
60
40
40
40
20
20
20
5) En Valladolid, se ha obtenido una muestra de 900 hogares para analizar el nmero de das de
vacaciones que el hogar disfruta en un ao (VACACIONES) en funcin de la renta del hogar
(RENTA ), de la edad media de los adultos del hogar (EDAD) y del nmero de miembros
menores a 10 aos (NINOS). Se ha estimado por mnimos cuadrados ordinarios el siguiente
modelo:
VACACIONES i = o + 1 RENTAi + 2 EDADi + 3 NINOS i + i
Los residuos (E) del modelo se presentan en los siguientes grficos:
-20
-20
-20
-40
-40
-40
-60
-60
0
-60
20
30
40
50
60
EDAD
70
80
90
NINOS
a) A la vista de estos grficos consideras que las perturbaciones del modelo que se ha
estimado cumplen las hiptesis clsicas? Justifica la respuesta.
b) Se han ordenado las observaciones de acuerdo con el orden descendente de la renta,
eliminando las 300 observaciones centrales. La suma de los cuadrados de los residuos
del modelo estimado con las 300 primeras observaciones es 138349.6 y la del modelo
estimado con las 300 ltimas es 8398.183. Realiza el contraste ms adecuado para
detectar si las varianzas de las perturbaciones son constantes o no.
ECONOMETRA
Curso 2012-2013
< 1 . Analiza qu
proceso siguen las perturbaciones del modelo transformado ( vt = t t 1 ), para cada uno de
los dos esquemas siguientes de la perturbacin original:
a. Suponiendo que t es un ruido blanco. Es decir, t con t=1T es un conjunto de
variables aleatorias independientes e igualmente distribuidas con E ( ) = 0 y
t
2
2
Var ( ) = ( iid (0, ) )
t
t
b. Suponiendo que
es un MA(2), es decir,
ut iid (0, u2 ) .
7) Un investigador dispone de datos anuales desde 1975-2004 sobre el consumo agregado (Y) y
la renta nacional disponible (X) de un determinado pas. Se ha obtenido la siguiente estimacin:
(0.04)
(0.12)
1 0,6 0,2
Razona si es verdadera o falsa cada una de las siguientes afirmaciones. Justifica adecuadamente
tu respuesta.
a. 1 , 2 , 3 no estn correlacionadas.
b. La perturbacin aleatoria del modelo presenta autocorrelacin, pero es homoscedstica.
c. El coeficiente de correlacin lineal de orden 2 ( 2 ) es igual a 0,2108.
9) Dado el modelo Yt = X ' t + t donde t = u t 0.8 u t 1 . Indica la expresin del
estimador de mnimos cuadrados generalizados especificando cada uno de los elementos de la
matriz .
ECONOMETRA
Curso 2012-2013
et = 0 + 1 X 1t + 2 X 2t + 3 et 1 + 4 et 2 + t
donde e son los residuos MCO del modelo de regresin lineal analizado. Contesta a las
siguientes preguntas justificando tu respuesta.
a. Qu inters tiene realizar esta regresin auxiliar? cmo se interpretaran los
resultados de cara a determinar si hay o no autocorrelacin en el modelo?
b. Si la conclusin del apartado anterior es que no hay autocorrelacin, los residuos
MCO del modelo, e ,estaran incorrelacionados con las variables explicativas X1 y X2?
sera cierto si hay autocorrelacin?
c. En el caso de que los residuos estuvieran incorrelacionados con las X, los estimadores
de 3 y 4 en la regresin auxiliar anterior coincidiran con los de la siguiente
regresin?
et = 0 + 3et 1 + 4 et 2 + t
u t iid (0, u2 ) .
Bajo estas hiptesis, cul sera la mejor prediccin de la variable endgena en el periodo
T+1, en el periodo T+2 y en el periodo T+s con s>2?
12) Indica, cul de los siguientes supuestos no es necesario para garantizar la consistencia de
los estimadores por MCO de en un modelo de regresin mltiple. Justifica adecuadamente
la respuesta suponiendo que en cada caso se cumple el resto de hiptesis clsicas .
a) Las variables explicativas estn medidas sin errores
b) Las perturbaciones del modelo estn incorrelacionadas
c) E ( t / X t ) = 0 , donde X t es aleatoria
d) X no aleatoria
13) Seala si son verdaderas, falsas o imprecisas las siguientes afirmaciones, justificando
adecuadamente la respuesta:
a) En un modelo con regresores estocsticos los estimadores de MCO de siempre son
sesgados.
b) Los estimadores por MCO de de un modelo autorregresivo siempre son consistentes.
14) Un estudiante de econometra tiene que emplear el mtodo de variables instrumentales para
estimar el modelo Yt = 0 + 1 X t + t , donde X es un regresor estocstico. Partiendo de la
siguiente informacin X = (2, 3, 5, 6, 8) y Z = (4, 5, 6, 7, 9), siendo Z un buen instrumento de
X, obtiene el estimador de la siguiente manera:
1
4
1
1
1
9
1
1
5
6
y1
y2
1
y3
9
y4
y
5
ECONOMETRA
Curso 2012-2013
Yt = 0 + 1 X t + 2 Yt 1 + t
t = u t u t 1
donde ut cumple las hiptesis clsicas.
(3)
80.61
(30.33)
0.67
(0.12)
Yt1
(1)
15.21
(18.27)
0.23
(0.03)
0.48
(0.12)
0.19
(0.04)
0.2
1.79
2332.0
1.08
4195.2
constante
Yt
Ct1
d
SCR
0.34
(0.13)
1.53
3582.0
Yt* = X t* + t
t = 1, 2, ..., T
donde X t* es una variable no estocstica y t N (0, 2 ) . Pero solamente se observa (Yt, Xt),
tal que Yt = Yt * + vt y X t = X t* + u t , donde vt N (0, v2 ) y u t N (0, u2 ) , siendo vt, ut y
ECONOMETRA
Curso 2012-2013
Yt = (1 ) + X t + Yt 1 + t t 1
Yt = + a1 z1t + a 2 z 2t + a3 z 3t + vt
siendo z1t =
X t i
i =0
z 2t = iX t i
i =0
z 3t = i 2 X t i
i =0
Y1t = 21 Y2t + 11 X 1t + 21 X 2t + u 1t
Y2t = 12 Y1t + 12 X 1t + u 2t
a) Expresa el sistema en forma reducida.
b) Identifica las ecuaciones del sistema.
c) Es posible obtener estimadores de todos los parmetros de la forma reducida del
sistema?
d) Si se dispusiese de estimaciones de todos los parmetros de la forma reducida sera
posible encontrar un nico estimador de todos los parmetros de la forma estructural?
ECONOMETRA
Curso 2012-2013
Rt = 0 + 1 M t + 2Yt + 1t
Yt = 0 + 1 Rt + 2 I t + 2t
I t = 0 + 1 Rt + 3t
donde Mt es la oferta monetaria, Rt es la tasa de inters, Yt es el PIB e It es la inversin
domstica. Considerando que Mt se determina de forma exgena responde a las siguientes
preguntas:
a) Estn identificadas las ecuaciones del modelo?
b) Qu mtodo sera el ms adecuado para estimar los parmetros de la(s) ecuacin(es)
identificada(s)?Por qu?
c) Supn que se modifica el modelo aadiendo a la primera ecuacin Rt-1 y a la segunda
Yt-1 Qu sucede con la identificacin de las ecuaciones del modelo? En este caso, qu
mtodo(s) utilizaras para estimar los parmetros de la(s) ecuacin(es)
identificada(s)?Por qu?
ECONOMETRA
Curso 2012-2013
Nota: Recuerda que es necesario alcanzar el 30% de la puntuacin tanto en teora como en
prctica para sumar las puntuaciones de estas dos partes.
1. (0,75 puntos) Dado el modelo
informacin:
. Se dispone de la siguiente
3. (1,5 puntos) Como es conocido, la ley de Okun relaciona la tasa de desempleo con la
evolucin del PNB. Para analizar cmo influye el crecimiento del PNB en dicha tasa se ha
estimado un modelo con una muestra trimestral de 100 observaciones que relaciona la tasa
de desempleo (TDESP) con la tasa de crecimiento del PNB (TPNB) mediante la siguiente
ecuacin:
TDESPt = 0 + 1TPNBt + 2TPNBt 1 + 3TPNBt 2 + 4TPNBt 3 + t ,
(0,04)
(0,035)
(0,028)
(0,007)
R2 = 0, 65 dD W = 1, 98
Se pide:
a)
b)
c)
ECONOMETRA
Curso 2012-2013
12
0
a)
b)
c)
d)
21 31 Y1t
1
0
11
0 Y2t + 12
1 Y3t 13
21 31 0 1t u1t
X
0 32 0 2t + u2t = 0
X
23 33 43 3t u3t
X 4t
ECONOMETRA
Curso 2012-2013
, obtenindose los
siguientes resultados:
a) Especifica el modelo restringido resultante de incorporar la restriccin
.
b) Contrasta la restriccin sabiendo que el S2 en el modelo restringido es igual a 0,92.
2. (1
punto)
Dado
el
modelo
de
donde
regresin
lineal
siguiente
cumple las hiptesis clsicas, y
ECONOMETRA
Curso 2012-2013
dando como resultado de su estimacin MCO, con una muestra trimestral de 100
observaciones:
TDESPt = 0,564 0,122 TPNBt 0, 245 TPNBt 1 0,142 TPNBt 2 0,009 TPNBt 3
(0,05)
(0,04)
(0,035)
(0,028)
(0,007)
R2 = 0, 65 dD W = 1, 98
Se pide:
a) Cul sera el efecto inmediato que se producira sobre la tasa de desempleo un
incremento puntual en un trimestre del 2% en el PNB? Y el efecto total? Cmo se
denominan dichos efectos? Cmo se interpretan?
b)
12
0
21 31 Y1t
1
0
11
0 Y2t + 12
1 Y3t 13
21 31 0 1t u1t
X
0 32 0 2t + u2t = 0
X
23 33 43 3t u3t
X 4t
ECONOMETRA
Curso 2012-2013
1) Estima por MCO el modelo que relaciona las importaciones en funcin del consumo, la
renta y la inversin. Analiza en dicha estimacin si las perturbaciones cumple las
hiptesis clsicas utilizando todos los contrastes implementados en Eviews. Cules
con los problemas que has encontrado?
2) Mejora los resultados anteriores si introducimos en el modelo las importaciones
retardadas un periodo? Utiliza para este caso solamente un nico contraste para cada
problema detectado en el apartado anterior. Consideras razonable la introduccin de
esta variable en base al anlisis realizado en el apartado anterior?
3) Suponiendo que la inversin podra ser una variable endgena y sabiendo que las
variables gasto y recaudacin son estrictamente exgenas, analiza si se podran utilizar
como variables instrumentales y contrasta la posible endogeneidad de la inversin.
4) En base al anlisis realizado hasta este momento. Es adecuado el mtodo de
estimacin MCO para analizar las importaciones? En caso afirmativo justifica
claramente tu decisin y en caso negativo propn un mtodo de estimacin alternativo.
5) Comenta las propiedades de los estimadores del vector paramtrico de los dos modelos
estimados
ECONOMETRA
Curso 2012-2013
Apartado 1)
Dependent Variable: LIMP
Method: Least Squares
Date: 06/14/12 Time: 12:39
Sample: 1970 1997
Included observations: 28
LCONS
LRENTA
LINV
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficien
t
Std. Error
t-Statistic
Prob.
-1.043913
2.859365
0.626576
-26.09182
0.900758
0.814410
0.142628
1.456298
-1.158928
3.510967
4.393065
-17.91653
0.2579
0.0018
0.0002
0.0000
0.979817
0.977294
0.080889
0.157033
32.83877
388.3668
0.000000
15.61322
0.536806
-2.059912
-1.869597
-2.001731
0.445098
Series: Residuals
Sample 1970 1997
Observations 28
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-1.52e-15
0.008652
0.131133
-0.117989
0.076263
0.205937
1.705351
Jarque-Bera
Probability
2.153381
0.340721
0
-0.10
-0.05
-0.00
0.05
0.10
0.15
3.794128
14.56453
3.773797
Prob. F(6,21)
Prob. Chi-Square(6)
Prob. Chi-Square(6)
0.0102
0.0239
0.7073
26.17772
14.90464
Prob. F(1,23)
Prob. Chi-Square(1)
0.0000
0.0001
ECONOMETRA
Curso 2012-2013
12.68449
14.99571
Prob. F(2,22)
Prob. Chi-Square(2)
0.0002
0.0006
LCONS
LRENTA
LINV
LIMP(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficien
t
Std. Error
t-Statistic
Prob.
-1.044647
1.711668
0.402084
0.564321
-11.48859
0.665749
0.602180
0.106974
0.123829
3.738121
-1.569130
2.842454
3.758696
4.557240
-3.073360
0.1309
0.0095
0.0011
0.0002
0.0056
0.990252
0.988479
0.055749
0.068376
42.39944
558.7064
0.000000
15.64505
0.519399
-2.770329
-2.530359
-2.698974
1.587944
1.563265
12.22662
5.136698
Prob. F(9,17)
Prob. Chi-Square(9)
Prob. Chi-Square(9)
0.2044
0.2008
0.8222
Con 1 retardo
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
Con 2 retardos
0.957325
1.177182
Prob. F(1,21)
Prob. Chi-Square(1)
0.339000
0.277930
ECONOMETRA
Curso 2012-2013
Prob. F(2,20)
Prob. Chi-Square(2)
0.419902
0.325610
1 etapa
Dependent Variable: LINV
Method: Least Squares
Date: 06/14/12 Time: 12:57
Sample: 1970 1997
Included observations: 28
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
LG
LT
LRENTA
LCONS
C
0.674901
-0.324603
2.071109
-0.124560
-23.56732
0.499016
0.081105
1.131535
0.911710
4.532497
1.352464
-4.002259
1.830354
-0.136622
-5.199633
0.1894
0.0006
0.0802
0.8925
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.902363
0.885383
0.077347
0.137600
34.68821
0.474920
15.80043
0.228465
-2.120586
-1.882693
53.14153
0.000000
2 etapa
Dependent Variable: LIMP
Method: Least Squares
Date: 06/14/12 Time: 12:59
Sample (adjusted): 1971 1997
Included observations: 27 after adjustments
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
LCONS
LRENTA
LINV
LIMP(-1)
E1
C
-1.103601
1.903829
0.552775
0.456168
-0.296057
-14.51566
0.661086
0.617493
0.164432
0.152260
0.247083
4.481577
-1.669376
3.083157
3.361728
2.995974
-1.198209
-3.238963
0.1099
0.0056
0.0030
0.0069
0.2442
0.0039
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
0.990876
0.988703
0.055205
0.064000
43.29222
15.64505
0.519399
-2.762386
-2.474423
456.1043
ECONOMETRA
Durbin-Watson stat
Curso 2012-2013
1.520886
Prob(F-statistic)
0.000000
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
LG
LT
LRENTA
LCONS
LIMP(-1)
C
0.692362
-0.362295
2.614414
0.262407
-0.249304
-35.32531
0.676779
0.120192
1.148616
0.904665
0.224568
9.890480
1.023025
-3.014310
2.276142
0.290060
-1.110146
-3.571648
0.3179
0.0066
0.0334
0.7746
0.2795
0.0018
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.910111
0.888709
0.074767
0.117391
35.10279
0.541466
15.81213
0.224119
-2.155762
-1.867798
42.52449
0.000000
Variable
Coefficien
t
Std. Error
t-Statistic
Prob.
LCONS
LRENTA
LINV
LIMP(-1)
E2
C
-1.206155
1.855552
0.509293
0.524962
-0.248039
-12.33667
0.675241
0.610376
0.140885
0.127502
0.214293
3.781254
-1.786257
3.040017
3.614954
4.117279
-1.157474
-3.262587
0.0885
0.0062
0.0016
0.0005
0.2601
0.0037
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.990836
0.988655
0.055324
0.064275
43.23435
1.527697
15.64505
0.519399
-2.758100
-2.470136
454.1356
0.000000
ECONOMETRA
Curso 2012-2013
ei2 = 0 + 1 X 1i + 2 X 12i + u i
2
Raux
= 0,25
2
Raux
= 0,85
ECONOMETRA
Curso 2012-2013
X
i =0
i i
+ t
ECONOMETRA
Curso 2012-2013
INCOME
PGAS
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
0.003763
1.061039
-49.77438
0.000484
0.087705
4.398752
7.775311
12.09783
-11.31557
0.0000
0.0000
0.0000
0.981596
0.980778
6.601622
1961.164
-157.1513
1200.049
0.000000
60.30208
47.61567
6.672969
6.789919
6.717165
0.151342
ECONOMETRA
Curso 2012-2013
14
Series: Residuals
Sample 1953 2000
Observations 48
12
10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
8
6
4
2
-4.00e-15
-1.855836
23.86266
-9.025184
6.459635
1.149056
5.048455
Jarque-Bera 18.95499
Probability
0.000077
0
-10
-5
10
15
20
25
10.54561
26.71803
47.53422
Prob. F(5,42)
Prob. Chi-Square(5)
Prob. Chi-Square(5)
0.0000
0.0001
0.0000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 06/14/12 Time: 13:17
Sample: 1953 2000
Included observations: 48
C
INCOME
INCOME^2
INCOME*PGAS
PGAS
PGAS^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
152.4116
0.007716
3.36E-08
6.61E-05
-14.10892
0.121997
168.9345
0.036329
1.98E-06
0.000610
5.761982
0.058926
0.902193
0.212382
0.016940
0.108477
-2.448622
2.070357
0.3721
0.8328
0.9866
0.9141
0.0186
0.0446
0.556626
0.503843
58.51923
143829.0
-260.2334
10.54561
0.000001
40.85758
83.07857
11.09306
11.32696
11.18145
0.534950
ECONOMETRA
Curso 2012-2013
299.8653
41.85806
Prob. F(1,44)
Prob. Chi-Square(1)
0.0000
0.0000
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/14/12 Time: 13:18
Sample: 1953 2000
Included observations: 48
Presample missing value lagged residuals set to zero.
INCOME
PGAS
C
RESID(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
5.20E-05
0.032308
-1.786146
1.132837
0.000175
0.031782
1.594601
0.065419
0.296803
1.016555
-1.120121
17.31662
0.7680
0.3149
0.2687
0.0000
0.872043
0.863319
2.388156
250.9448
-107.8058
99.95512
0.000000
-4.00E-15
6.459635
4.658576
4.814509
4.717503
1.688898
ECONOMETRA
Curso 2012-2013
146.8961
41.87159
Prob. F(2,43)
Prob. Chi-Square(2)
0.0000
0.0000
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/14/12 Time: 13:19
Sample: 1953 2000
Included observations: 48
Presample missing value lagged residuals set to zero.
INCOME
PGAS
C
RESID(-1)
RESID(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
5.08E-05
0.034217
-1.836752
1.082102
0.060691
0.000177
0.032706
1.619606
0.177424
0.196962
0.287279
1.046198
-1.134073
6.098947
0.308137
0.7753
0.3013
0.2630
0.0000
0.7595
0.872325
0.860448
2.413103
250.3919
-107.7529
73.44806
0.000000
-4.00E-15
6.459635
4.698037
4.892953
4.771696
1.618057
ECONOMETRA
Curso 2012-2013
INCOME
PGAS
PND
PD
POP
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Coefficient
Std. Error
t-Statistic
Prob.
0.003807
1.244204
0.519397
-1.739185
-0.000250
5.455891
0.000437
0.033188
0.020486
0.085010
5.64E-05
6.642974
8.714836
37.48922
25.35317
-20.45858
-4.439019
0.821302
0.0000
0.0000
0.0000
0.0000
0.0001
0.4161
0.998962
0.998838
1.623173
110.6570
-88.15468
8080.659
60.30208
47.61567
3.923112
4.157012
4.011503
1.239189
ECONOMETRA
Curso 2012-2013
Prob(F-statistic)
0.000000
12
Series: Residuals
Sample 1953 2000
Observations 48
10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
-1.19e-14
-0.036144
2.928299
-2.760995
1.534407
-0.036775
2.210571
Jarque-Bera 1.257215
Probability
0.533334
0
-3
-2
-1
0.507805
13.12014
6.080156
Prob. F(20,27)
Prob. Chi-Square(20)
Prob. Chi-Square(20)
0.9389
0.8722
0.9988
6.306554
6.398999
Prob. F(1,41)
Prob. Chi-Square(1)
0.0161
0.0114
ECONOMETRA
Curso 2012-2013
INCOME
PGAS
PD
PND
POP
C
RESID(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-0.000129
-0.005337
0.003706
0.000507
1.80E-05
-2.024462
0.380765
0.000415
0.031344
0.080114
0.019304
5.37E-05
6.311010
0.151621
-0.311536
-0.170285
0.046258
0.026247
0.336193
-0.320783
2.511285
0.7570
0.8656
0.9633
0.9792
0.7384
0.7500
0.0161
0.133312
0.006480
1.529427
95.90505
-84.72083
1.051092
0.407205
-1.19E-14
1.534407
3.821701
4.094585
3.924824
1.770384
4.356607
8.585643
Prob. F(2,40)
Prob. Chi-Square(2)
0.0194
0.0137
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/14/12 Time: 13:23
Sample: 1953 2000
Included observations: 48
Presample missing value lagged residuals set to zero.
INCOME
PGAS
PD
PND
POP
C
RESID(-1)
RESID(-2)
Coefficient
Std. Error
t-Statistic
Prob.
-7.86E-05
0.005462
-0.007300
0.001741
8.66E-06
-0.755487
0.457096
-0.243942
0.000410
0.031727
0.079294
0.019042
5.32E-05
6.277291
0.157958
0.163755
-0.191655
0.172149
-0.092069
0.091424
0.162582
-0.120352
2.893778
-1.489676
0.8490
0.8642
0.9271
0.9276
0.8717
0.9048
0.0061
0.1442
ECONOMETRA
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Curso 2012-2013
0.178868
0.035169
1.507183
90.86406
-83.42498
1.244745
0.302027
-1.19E-14
1.534407
3.809374
4.121241
3.927229
1.892344
GASEXP
INCOME
PGAS
PD
PND
GASEXP
1.000000
0.960072
0.978198
0.976379
0.979672
INCOME
0.960072
1.000000
0.917556
0.961917
0.963007
PGAS
0.978198
0.917556
1.000000
0.959078
0.943619
PD
0.976379
0.961917
0.959078
1.000000
0.994492
PND
0.979672
0.963007
0.943619
0.994492
1.000000
POP
0.953355
0.991223
0.908395
0.948224
0.953657
Alta correlacin lineal entre los regresores: efectos sobre la estimacin.
POP
0.953355
0.991223
0.908395
0.948224
0.953657
1.000000
4.- Calcula el factor de inflacin de la varianza del estimador que acompaa al ingreso e
interpreta el resultado.
FIV=
1
1
=
= 83.33
2
1 Rincome 1 0.988
5.- Estima una nueva especificacin aadiendo al MODELO 2 entre las explicativas un retardo
de la variable Gasto en gasolina y dos retardos de la variable ndice de precios de la gasolina
(MODELO 3) Resuelve esta especificacin los problemas sobre la perturbacin que tena el
MODELO 2?
MODELO 3
Dependent Variable: GASEXP
Method: Least Squares
Date: 06/04/12 Time: 17:22
Sample (adjusted): 1955 2000
Included observations: 46 after adjustments
INCOME
PGAS
PND
PD
Coefficient
Std. Error
t-Statistic
Prob.
0.002385
1.286055
0.278867
-1.049614
0.000452
0.035540
0.047370
0.154970
5.277057
36.18567
5.887058
-6.773021
0.0000
0.0000
0.0000
0.0000
ECONOMETRA
Curso 2012-2013
POP
GASEXP(-1)
PGAS(-1)
PGAS(-2)
C
-0.000195
0.607287
-0.827094
0.157064
14.28469
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.999449
0.999330
1.224975
55.52083
-69.59786
8389.243
0.000000
5.18E-05
0.113357
0.142160
0.045316
6.582328
-3.758310
5.357294
-5.818051
3.465971
2.170158
0.0006
0.0000
0.0000
0.0014
0.0365
62.59348
47.32024
3.417298
3.775076
3.551324
1.901416
0.006493
0.008295
Prob. F(1,36)
Prob. Chi-Square(1)
0.9362
0.9274
Prob. F(2,35)
Prob. Chi-Square(2)
0.1951
0.1287
1.712922
4.101116
ECONOMETRA
Curso 2012-2013
Value
8.848456
8.848456
df
Probability
(1, 37)
1
0.0051
0.0029
Value
Std. Err.
-0.383976
0.129083
INCOME
PGAS
PND
PD
POP
C
AR(1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
0.003126
1.235214
0.508319
-1.694214
-0.000147
-6.707692
0.485342
0.000663
0.039622
0.031833
0.110788
0.000105
13.46871
0.164271
4.713935
31.17490
15.96805
-15.29244
-1.395616
-0.498020
2.954522
0.0000
0.0000
0.0000
0.0000
0.1705
0.6212
0.0052
0.999096
0.998960
1.531169
93.77911
-82.92378
7365.457
0.000000
Inverted AR Roots
.49
Hay Normalidad, No hay Heteroscedasticidad, No hay autocorrelacin.
8.- Seala las propiedades de los estimadores del MODELOS 3 y del MODELO 4.
61.42766
47.48059
3.826544
4.102098
3.930237
1.712791