SERIE # 1

Se genera el paseo aleatorio

. set obs 100
obs was 0, now 100
. gen t=_n
. tsset t
time variable: t, 1 to 100
delta: 1 unit
. gen e = rnormal()
. gen y=e
. replace y=1.90*l.y-0.95*l2.y+e if t>2
(98 real changes made)
. gen y1=e
. replace y1=1.90*l.y-0.95*l2.y+e if t>2
(98 real changes made)
. gen Ya=y1+30
. twoway (line Ya t)
end of do-file
. gen dYa=d.Ya
(1 missing value generated)

2.5

lnYa
3

3.5

. corrgram Ya

20

40

60

80

100

En esta grfica no se observa una tendencia determinstica clara. Tampoco

se aprecia una media constante a lo largo del tiempo. Por ello, no nos
atrevemos a afirmar sobre el tipo de tendencia que contiene el modelo y se
correr el correlograma para estar ms seguros sobre el tipo de correlacin
que pueda existir entre un periodo y otro.

-1

1 -1

LAG
AC
PAC
Q
Prob>Q [Autocorrelation] [Partial Autocor]
------------------------------------------------------------------------------1
0.9745 0.9746 97.837 0.0000
|------|------2
0.9048 -0.8948 183.05 0.0000
|------- -------|
3
0.7995 0.0196 250.26 0.0000
|-----|
4
0.6688 0.1348 297.78 0.0000
|----|5
0.5214 -0.1394 326.97 0.0000
|----|
6
0.3658 0.0191 341.49 0.0000
|-|
7
0.2102 0.0302 346.34 0.0000
||
8
0.0621 0.0191 346.76 0.0000
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9
-0.0714 0.0853 347.34 0.0000
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10
-0.1849 0.0087 351.21 0.0000
-|
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11
-0.2749 -0.0771 359.87 0.0000
--|
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12
-0.3407 -0.0618 373.33 0.0000
--|
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13
-0.3826 0.0442 390.49 0.0000
---|
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14
-0.4005 0.1685 409.52 0.0000
---|
|15
-0.3957 -0.0399 428.31 0.0000
---|
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16
-0.3714 -0.1024 445.05 0.0000
--|
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17
-0.3326 -0.0757 458.65 0.0000
--|
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18
-0.2853 -0.0854 468.77 0.0000
--|
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19
-0.2360 -0.1792 475.78 0.0000
-|
-|
20
-0.1889 0.1405 480.33 0.0000
-|
|21
-0.1481 -0.1297 483.17 0.0000
-|
-|
22
-0.1145 0.0908 484.88 0.0000
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-0.0890 0.0464 485.93 0.0000
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-0.0715 -0.1121 486.62 0.0000
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-0.0615 0.1378 487.13 0.0000
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|26
-0.0584 -0.0341 487.6 0.0000
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-0.0600 -0.0601 488.1 0.0000
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-0.0643 0.0549 488.69 0.0000
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-0.0679 0.2241 489.35 0.0000
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|30
-0.0691 -0.1029 490.04 0.0000
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31
-0.0657 0.1495 490.68 0.0000
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|32
-0.0560 0.1410 491.15 0.0000
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|33
-0.0388 0.0419 491.38 0.0000
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34
-0.0140 -0.0092 491.41 0.0000
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35
0.0179 0.2233 491.46 0.0000
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|36
0.0545 -0.1138 491.94 0.0000
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37
0.0941 0.2730 493.37 0.0000
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|-38
0.1343 -0.0213 496.34 0.0000
||
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0.1725 0.0518 501.31 0.0000
||
40
0.2065 0.0472 508.57 0.0000
||

Los correlogramas muestran coeficientes altos tanto en autocorrelacin en

los dos primeros periodos como en la media mvil. Luego, nos inclinamos a
ensayar con un arma (2,2)

. arima Ya t, arima(2,0,2)
(setting optimization to BHHH)
Iteration 0: log likelihood = -148.27538
Iteration 1: log likelihood = -147.14677
Iteration 2: log likelihood = -147.05433
Iteration 3: log likelihood = -147.04059
Iteration 4: log likelihood = -147.03869
(switching optimization to BFGS)
Iteration 5: log likelihood = -147.03843
Iteration 6: log likelihood = -147.03826
Iteration 7: log likelihood = -147.03824
Iteration 8: log likelihood = -147.03824
ARIMA regression
Sample: 1 - 100
Log likelihood = -147.0382

Number of obs
=
Wald chi2(5)
= 5956.21
Prob > chi2
=

100
0.0000

-----------------------------------------------------------------------------|
OPG
Ya |
Coef. Std. Err.
z P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------Ya
|
t | .1210157 .0746972
1.62 0.105
-.025388 .2674195
_cons | 23.82143 4.324212
5.51 0.000
15.34613 32.29673
-------------+---------------------------------------------------------------ARMA
|
ar |
L1. | 1.802441 .0539605 33.40 0.000
1.696681 1.908202
L2. | -.8597106 .0532905 -16.13 0.000 -.9641581 -.755263
|
ma |
L1. | .0450953 .1300244
0.35 0.729 -.2097478 .2999384
L2. | .1280763 .1145557
1.12 0.264 -.0964488 .3526014
-------------+---------------------------------------------------------------/sigma | 1.021421 .0935028 10.92 0.000
.8381585 1.204683
-----------------------------------------------------------------------------Note: The test of the variance against zero is one sided, and the two-sided
confidence interval is truncated at zero.
Este modelo no es estable (la suma de los coeficientes se sale de crculo
unitario) y la regresin indica que ninguno de los procesos de media mvil
son significativos para el modelo. Luego, estos sern eliminados, corriendo
un ARMA (2, 0)
. arima Ya t, arima(2,0,0)

(setting optimization to BHHH)

Iteration 0: log likelihood = -147.64533
Iteration 1: log likelihood = -147.57337
Iteration 2: log likelihood = -147.57058
Iteration 3: log likelihood = -147.57039
Iteration 4: log likelihood = -147.57028
(switching optimization to BFGS)
Iteration 5: log likelihood = -147.57022
Iteration 6: log likelihood = -147.56996
Iteration 7: log likelihood = -147.56996
ARIMA regression
Sample: 1 - 100

Number of obs
=
100
Wald chi2(3)
= 7978.45
Prob > chi2
= 0.0000

Log likelihood = -147.57

-----------------------------------------------------------------------------|
OPG
Ya |
Coef. Std. Err.
z P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------Ya
|
t | .1268199 .0688562
1.84 0.066 -.0081358 .2617757
_cons | 23.52999 3.907744
6.02 0.000
15.87095 31.18903
-------------+---------------------------------------------------------------ARMA
|
ar |
L1. | 1.833912 .0407871 44.96 0.000
1.75397 1.913853
L2. | -.9889332 .041217 -21.57 0.000 -.9697169 -.8081494
-------------+---------------------------------------------------------------/sigma | 1.02722 .089776 11.44 0.000
.8512627 1.203178
-----------------------------------------------------------------------------Note: The test of the variance against zero is one sided, and the two-sided
confidence interval is truncated at zero.
Este modelo ya cumple con las condiciones de estabilidad y significancia de
cada una de las variables usadas. Ahora, se corrern los residuos para ver si
ya son ruido blanco.

. predict res, resid

. corrgram res
-1

1 -1

LAG
AC
PAC
Q
Prob>Q [Autocorrelation] [Partial Autocor]
------------------------------------------------------------------------------1
0.0630 0.0631 .40928 0.5223
|
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0.1258 0.1270 2.0557 0.3578
||3
-0.1827 -0.1907 5.5653 0.1348
-|
-|
4
-0.0504 -0.0528 5.8352 0.2118
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5
-0.0466 -0.0037 6.0685 0.2996
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6
0.0103 -0.0167 6.0799 0.4143
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7
-0.0122 -0.0160 6.0962 0.5286
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8
-0.0025 -0.0095 6.0969 0.6364
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9
-0.0366 -0.0437 6.2474 0.7149
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10
-0.0521 -0.0328 6.5555 0.7666
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11
-0.0035 0.0249 6.5569 0.8337
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12
0.0301 0.0292 6.6618 0.8791
|
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13
-0.0276 -0.0787 6.7511 0.9145
|
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14
-0.0788 -0.1146 7.4867 0.9143
|
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15
-0.1250 -0.0830 9.3618 0.8579
-|
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-0.0830 -0.0742 10.199 0.8560
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-0.0889 -0.1194 11.171 0.8475
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0.0929 0.0957 12.245 0.8343
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-0.0386 -0.0594 12.433 0.8663
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0.1472 0.0941 15.195 0.7652
||
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-0.0189 0.0442 15.241 0.8107
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-0.0746 -0.1663 15.968 0.8175
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-|
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0.0241 0.0921 16.045 0.8533
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-0.1505 -0.2353 19.086 0.7474
-|
-|
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-0.0528 -0.2329 19.466 0.7743
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-|
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-0.0462 -0.0392 19.76 0.8028
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0.0827 0.1018 20.716 0.7994
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-0.0649 -0.1704 21.313 0.8120
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-|
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-0.0112 -0.0950 21.332 0.8468
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-0.0454 -0.0511 21.632 0.8671
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-0.0127 -0.1398 21.655 0.8935
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-|
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0.0263 -0.0850 21.759 0.9137
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0.0783 0.0754 22.693 0.9110
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-0.0767 -0.2785 23.603 0.9091
|
--|
35
0.0874 0.0517 24.803 0.8998
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-0.0576 -0.2286 25.332 0.9079
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-|
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0.0548 -0.0659 25.819 0.9163
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0.0209 -0.1266 25.891 0.9323
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-|
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0.0975 0.0235 27.482 0.9167
|
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40
0.0535 -0.0877 27.968 0.9242
|
|
.
.Los residuos son ruido blanco
SERIE NMERO 2

. set obs 100

obs was 0, now 100
. gen t=_n
. tsset t
time variable: t, 1 to 100
delta: 1 unit
. gen e = rnormal()
. gen y=e
. replace y=0.35*l.y-0.15*2.y+e if
t>2
(98 real changes made)
. gen y1=e
. replace y1=1.00*l.y0.85*7.y+e+15 if t>40
(60 real changes made)
. gen Ya=y1
. twoway (line Ya t)
En el anterior grfico se observa
como la serie tiene un evidente
cambio estructural a partir del peiodo nmero 40. Luego se va a intentar
modelar la tendencia determinstica que aparentemente se encuentra
presente Ya.
Dicho C.E no parece un cambio de pendiente sino de nivel. Pasa de tener
una media aproximada a cero a tener una media prxima a 15. Luego para
poder modelar esta serie se introduce la dummy adecuada que refleje este
cambio de nivel.
. gen d= t>40
end of do-file
Para evaluar si esta dummy es a adecuada se correr la regresin,
esperando que esta resulte significativa.
. reg Ya t d
Source |
SS
df
MS
Number of obs =
100
-------------+-----------------------------F( 2, 97) = 1737.78
Model | 5766.83896
2 2883.41948
Prob > F
= 0.0000
Residual | 160.947383 97 1.65925137
R-squared
= 0.9728
-------------+-----------------------------Adj R-squared = 0.9723
Total | 5927.78634 99 59.8766297
Root MSE
= 1.2881
-----------------------------------------------------------------------------Ya |
Coef. Std. Err.
t P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------t | .0133835 .0084342
1.59 0.116 -.0033561 .0301231
d | 14.82634 .4969667 29.83 0.000
13.84 15.81268
_cons | -.4459516 .2671634 -1.67 0.098 -.9761969 .0842937

-----------------------------------------------------------------------------En el modelo observamos que a dummy s es significativa. Cosa contraria

sucede con la tendencia y la constante. As pues, estas sern eliminadas del
modelo pues no aportan mayor explixacin a la variable Ya.
Para verificar que el modelo generado se ajuste al modelo inicial vamos a
graficar la dummy contra el modelo original.
. predict yest,xb
. twoway (lin Ya t) (scatter yest t)
. graph save Graph "C:\Users\CPE\Documents\Econometra 2\c.e.gph"
(file C:\Users\CPE\Documents\Econometra 2\c.e.gph saved)

-5

10

15

20

. do "C:\Users\CPE\AppData\Local\Temp\STD00000000.tmp"

20

40
Ya

60

80

100

Linear prediction

.
end of do-file
Vemos que la dummy explica perfectamente e cambio estructural. Luego,
vamos agenerar nuevamente el modelo para ver si los residuos son ruido
blanco.

reg Ya t d
Source |
SS
df
MS
Number of obs =
100
-------------+-----------------------------F( 2, 97) = 1737.78
Model | 5766.83896
2 2883.41948
Prob > F
= 0.0000
Residual | 160.947383 97 1.65925137
R-squared
= 0.9728
-------------+-----------------------------Adj R-squared = 0.9723
Total | 5927.78634 99 59.8766297
Root MSE
= 1.2881
-----------------------------------------------------------------------------Ya |
Coef. Std. Err.
t P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------t | .0133835 .0084342
1.59 0.116 -.0033561 .0301231
d | 14.82634 .4969667 29.83 0.000
13.84 15.81268
_cons | -.4459516 .2671634 -1.67 0.098 -.9761969 .0842937
------------------------------------------------------------------------------

.Como la tendencia no resulta significativa entonces el modelo ir sin esta.

reg Ya d
Source |
SS
df
MS
Number of obs =
100
-------------+-----------------------------F( 1, 98) = 3420.07
Model | 5762.66104
1 5762.66104
Prob > F
= 0.0000
Residual | 165.125299 98 1.68495203
R-squared
= 0.9721
-------------+-----------------------------Adj R-squared = 0.9719
Total | 5927.78634 99 59.8766297
Root MSE
= 1.2981
-----------------------------------------------------------------------------Ya |
Coef. Std. Err.
t P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------d | 15.49551 .2649648 58.48 0.000
14.9697 16.02133
_cons | -.1715903 .2052408 -0.84 0.405
-.578884 .2357035
------------------------------------------------------------------------------

. predict res
(option xb assumed; fitted values)
. corrgram res
-1

0
1 -1
0
1
LAG
AC
PAC
Q
Prob>Q [Autocorrelation] [Partial Autocor]
------------------------------------------------------------------------------1
0.9683 0.9750 96.608 0.0000
|------|------2
0.9367 0.0000 187.92 0.0000
|------|

3
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37
38
39
40

0.9050 -0.0000 274.05 0.0000

0.8733 0.0000 355.09 0.0000
0.8417 -0.0000 431.15 0.0000
0.8100 -0.0000 502.34 0.0000
0.7783 0.0000 568.78 0.0000
0.7467 0.0000 630.59 0.0000
0.7150 0.0000 687.9 0.0000
0.6833 0.0000 740.82 0.0000
0.6517 0.0000 789.49 0.0000
0.6200 -0.0000 834.04 0.0000
0.5883 -0.0000 874.62 0.0000
0.5567 -0.0000 911.38 0.0000
0.5250 0.0000 944.45 0.0000
0.4933 0.0000
974 0.0000
0.4617 -0.0000 1000.2 0.0000
0.4300 0.0000 1023.2 0.0000
0.3983 -0.0000 1043.2 0.0000
0.3667 0.0000 1060.3 0.0000
0.3350 0.0000 1074.8 0.0000
0.3033 -0.0000 1086.8 0.0000
0.2717 0.0000 1096.6 0.0000
0.2400 0.0000 1104.3 0.0000
0.2083 -0.0000 1110.3 0.0000
0.1767 0.0000 1114.6 0.0000
0.1450 -0.0000 1117.5 0.0000
0.1133 0.0000 1119.3 0.0000
0.0817 0.0000 1120.3 0.0000
0.0500 0.0000 1120.6 0.0000
0.0183 0.0000 1120.7 0.0000
-0.0133 0.0000 1120.7 0.0000
-0.0450 0.0000
1121 0.0000
-0.0767 -0.0000 1121.9 0.0000
-0.1083 0.0000 1123.8 0.0000
-0.1400 -0.0000 1126.9 0.0000
-0.1717 0.0000 1131.7 0.0000
-0.2033 -0.0000 1138.5 0.0000
-0.2350 0.0000 1147.7 0.0000
-0.2667
. 1159.8 0.0000
--|

|------|-----|-----|-----|-----|----|----|----|----|---|---|---|---|--|--|--|--|-|-|-|-|||||
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Los residuos no son ruido blanco. Se observa una cada lenta en los
correlogramas. Nos inclinamos a pensar que ah existe un proceso ARMA (1,
0) que no ha sido explicado.
. arima Ya t, arima(1,0,0)
(setting optimization to BHHH)
Iteration 0: log likelihood = -210.38156
Iteration 1: log likelihood = -210.25232

Iteration 2: log likelihood = -210.23831

Iteration 3: log likelihood = -210.23569
Iteration 4: log likelihood = -210.22672
(switching optimization to BFGS)
Iteration 5: log likelihood = -210.22628
Iteration 6: log likelihood = -210.22605
Iteration 7: log likelihood = -210.22529
Iteration 8: log likelihood = -210.22516
Iteration 9: log likelihood = -210.22494
Iteration 10: log likelihood = -210.22494

ARIMA regression
Sample: 1 - 100
Log likelihood = -210.2249

Number of obs
=
Wald chi2(2)
= 160.22
Prob > chi2
=

100
0.0000

-----------------------------------------------------------------------------|
OPG
Ya |
Coef. Std. Err.
z P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------Ya
|
t | .2041331 .0861438
2.37 0.018
.0352944 .3729718
_cons | -1.407842 5.313316 -0.26 0.791 -11.82175 9.006066
-------------+---------------------------------------------------------------ARMA
|
ar |
L1. | .8737589 .0808308 10.81 0.000
.7153334 1.032184
-------------+---------------------------------------------------------------/sigma |
1.9662 .0646227 30.43 0.000
1.839542 2.092858
-----------------------------------------------------------------------------Note: The test of the variance against zero is one sided, and the two-sided
confidence interval is truncated at zero.

. predict res, resid

. corrgram res
-1
0
1 -1
0
1
LAG
AC
PAC
Q
Prob>Q [Autocorrelation] [Partial Autocor]
------------------------------------------------------------------------------1
0.0550 0.0551 .31141 0.5768
|
|

2
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40

-0.1033
0.0399
-0.0275
0.0804
-0.0478
0.0474
0.0528
-0.0129
-0.0210
-0.0652
0.1019
0.0486
0.0252
0.0524
-0.0974
0.0208
0.0124
-0.0164
0.0732
0.0238
-0.1273
-0.0927
-0.0239
-0.0715
-0.0057
0.1602
-0.0797
-0.0492
0.0053
-0.0413
-0.0490
-0.0435
0.0245
0.0038
-0.0180
-0.1197
-0.0680
-0.0720
-0.0092

-0.1068
0.0527
-0.0446
0.0986
-0.0734
0.0830
0.0201
0.0121
-0.0381
-0.0507
0.1018
0.0244
0.0538
0.0369
-0.0894
0.0233
-0.0029
-0.0012
0.0563
0.0286
-0.1714
-0.0634
-0.0316
-0.0892
-0.0105
0.1734
-0.1480
0.0066
-0.0320
0.0139
-0.1410
-0.0004
-0.0084
-0.0089
-0.0031
-0.1418
-0.0965
-0.2225
0.0077

1.4214 0.4913
1.5888 0.6619
1.6694 0.7963
2.3628 0.7970
2.611 0.8558
2.8578 0.8978
3.1673 0.9234
3.1859 0.9565
3.236 0.9753
3.7233 0.9773
4.9268 0.9604
5.2038 0.9704
5.2793 0.9815
5.6086 0.9856
6.761 0.9776
6.8143 0.9858
6.8334 0.9915
6.8674 0.9949
7.5501 0.9945
7.6232 0.9965
9.7421 0.9885
10.88 0.9844
10.957 0.9893
11.651 0.9892
11.656 0.9930
15.243 0.9659
16.142 0.9637
16.49 0.9695
16.494 0.9782
16.746 0.9826
17.107 0.9854
17.395 0.9882
17.488 0.9914
17.49 0.9941
17.541 0.9959
19.862 0.9905
20.621 0.9903
21.489 0.9897
21.504 0.9926

.Los residuos son ruido blanco.

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