PRACTICA CAUSALIDAD DE GRANGER

CASO: PBI-CONSUMO

La información del cuadro siguiente nos muestra la relación entre el PBI-

consumo y el consumo-PBI.

Consumo
PBI (mill. S/. de privado (mill.
Año 1994) S/. de 1994)
1992 83400,56 62787,78
1993 87374,59 64934,69
1994 98577,44 71306,27
1995 107063,89 78223,23
1996 109759,99 80635,45
1997 117293,99 84266,00
1998 116522,25 83502,34
1999 117587,42 83163,62
2000 121056,94 86202,07
2001 121317,09 87456,35
2002 127402,01 91769,37
2003 132543,84 94860,38
2004 139141,24 98312,52
2005 148639,98 102856,74
2006 160145,45 109482,74
2007 174406,87 118617,53
2008 191505,21 128960,71
2009 193155,17 131992,37
Fuente:BCRP
A. Probaremos si PBI causa a CONSUMO

1. Eligiendo m= 2; la ecuación restringida es:

Ct = a0 +a1 Ct-1 + a2 Ct-2 +µt

Dependent Variable: CP
Method: Least Squares
Date: 02/09/11 Time: 19:00
Sample (adjusted): 1994 2009
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

C 1626.730 4602.057 0.353502 0.7294

CP(-1) 1.447266 0.279072 5.186135 0.0002
CP(-2) -0.439134 0.311589 -1.409335 0.1822

R-squared 0.977641    Mean dependent var 95725.48

Adjusted R-squared 0.974201    S.D. dependent var 18138.46
S.E. of regression 2913.431    Akaike info criterion 18.95941
Sum squared resid 1.10E+08    Schwarz criterion 19.10427
Log likelihood -148.6753    Hannan-Quinn criter. 18.96683
F-statistic 284.2052    Durbin-Watson stat 1.602936
Prob(F-statistic) 0.000000

El modelo estimado: Ct = 1626.730+1.447266Ct-1 -0.439091Ct-2

su SCRR= 1.10E+08 y su R2= 0.977640

2. La ecuación no restringida:
Ct = a0 +a1 Ct-1 + a2 Ct-2 +b1 PBIt-1 + b2 PBIt-2 +µt

La ecuacion. Estimada:
Ct = 12254.53+0.404864Ct-1 -0.282839Ct-2 +0.594832PBIt-1
-0.047597PBIt-2
su SCRNR = 1.00E+08 y su R2= 0.979706

3. H0 : PBI no es causa de C
HA: PBI causa a C

4. F = [SCRR- SCRNR/ 2 ]/ [SCRNR/ 16- 5]

F=  0.55994

F= [R2NR – R2R / m ]/ [1- R2NR / N -K]=

 = [(0.977640 -0.979706)/2] / [ (1-0.977640)(16-5) ]= 0.55991

5. Para 5% de significación F( 2,16-5) =3.98

6. Como F calculado= 0.55994< F(2,11)=3.98 =>

Se acepta la H0 y se rechaza la HA quiere que decir PBI no es causa de
C

En el software Eview, el resultado de la prueba de causalidad de Granger

aparece en la siguiente forma:

Pairwise Granger Causality Tests

Date: 02/08/11 Time: 22:47
Sample: 1992 2009
Lags: 2

F-
 Null Hypothesis: Obs Statistic Prob. 

 PBI does not Granger Cause

CONSUMO  16  0.55994 0.5867
 CONSUMO does not Granger Cause PBI  0.07613 0.9272

B. Probaremos si CONSUMO causa a PBI

1. Eligiendo m= 2; la ecuación restringida es:

PBIt = a0 +a1 PBIt-1 + a2 PBIt-2 +µt

Dependent Variable: PBI

Method: Least Squares
Date: 02/09/11 Time: 18:53
Sample (adjusted): 1994 2009
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

C 2860.980 7239.383 0.395224 0.6991

PBI(-1) 1.331768 0.319226 4.171870 0.0011
PBI(-2) -0.319467 0.360319 -0.886623 0.3914

R-squared 0.973140    Mean dependent var 136007.4

Adjusted R-squared 0.969008    S.D. dependent var 29546.15
S.E. of regression 5201.498    Akaike info criterion 20.11864
Sum squared resid 3.52E+08    Schwarz criterion 20.26350
Log likelihood -157.9491    Hannan-Quinn criter. 20.12606
F-statistic 235.4949    Durbin-Watson stat 1.651127
Prob(F-statistic) 0.000000

El modelo estimado: PBIt = 2860.980+1.331771PBIt-1 -0.319469PBIt-2

su SCRR= 3.52E+08 y su R2= 0.973140

2. La ecuación no restringida:
PBIt = a0 +a1 PBIt-1 + a2 PBIt-2 +b1 Ct-1 + b2 Ct-2 +µt

Dependent Variable: PBI

Method: Least Squares
Date: 02/09/11 Time: 19:09
Sample (adjusted): 1994 2009
Included observations: 16 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.  

C 6645.939 24023.64 0.276780 0.7871

PBI(-1) 1.779040 1.196804 1.486459 0.1652
PBI(-2) -0.579237 1.349599 -0.429047 0.6762
CP(-1) -0.784062 2.024579 -0.387263 0.7059
CP(-2) 0.480174 1.984506 0.241825 0.8134

R-squared 0.973507    Mean dependent var 136007.4

Adjusted R-squared 0.963873    S.D. dependent var 29546.15
S.E. of regression 5615.875    Akaike info criterion 20.35489
Sum squared resid 3.47E+08    Schwarz criterion 20.59632
Log likelihood -157.8391    Hannan-Quinn criter. 20.36725
F-statistic 101.0502    Durbin-Watson stat 1.682295
Prob(F-statistic) 0.000000

La ecuacion Estimada:
PBIt = 6645.939+1.779040PBIt-1 -0.579237PBIt-2 -0.784062Ct-1
+0.480174Ct-2
su SCRNR = 3.47E+08 y su R2= 0.973507
3. H0 : C no es causa de PBI
HA: C causa a PBI

4. F = [SCRR- SCRNR/ 2 ]/ [SCRNR/ 16- 5]

F=   0.07613

F= [R2NR – R2R / m ]/ [1- R2NR / N -K]=

 = [(0.973507-0.973140)/2] / [ (1-0.973507)/(16-5) ]= 0.0762

5. Para 5% de significación F( 2,16-5) =3.98

6. Como F calculado= 0.07613< F(2,11)= 3.98=> se acepta la H0 y se

rechaza la HA quiere decir que C no es causa de PBI