Trabajo del segundo parcial

Modelos vec

Curva de phillips

VARIABLE DESEMPLEO:

Podemos observa que en primera diferencia tenemos una probabilidad del 99%
que ya eliminamos la raz unitaria, por lo tanto la variable desempleo se vuelve
estacionaria.

VARIABLE INFLACIN :

Podemos observa que en primera diferencia tenemos una probabilidad del 99%
que ya eliminamos la raz unitaria, por lo tanto la variable inflacion se vuelve
estacionaria.

Luego de haber aplicado el test de johansen sabiendo que nuestras variables

tienen un diferencial tenemos la primera tabla donde nos dice que podemos

utilizar AKAIKE segundo diferencial o podemos usar SCHAWARZ de primer

diferencial.

Aplicando el V.E.C tenemos la siguiente tabla

Desempleo = 0.19 0.03 -0.046 inflacion

Podemos observar que a medida que la inflacin disminuye -0.046 el
desempleo aumenta y eso es correcto ya que como sabes la curva de Phillips
explica eso, es inversamente proporcional.

MODELO CONSUMO KEYNESIANO

VARIABLE CONSUMO:
Como podemos observar diferenciando una vez la variable consumo tiene 1
diferencia la cual esta en buena condicin para que nuestro modelo pueda
correr, teniendo asi un 95% de que ya eliminamos la raz unitaria y que el
modelo es estacionario.

VARIABLE INGRESO:

En el siguiente cuadro pordemos observar a la variable ingreso, la cual

diferencindola una vez nos muestra que se corrige aplicndole un diferencial,
teniendo un 99% de que eliminamos la raz unitaria y que la variable es
estacionaria.

Null Hypothesis: D(INGRESO,2) has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=5)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-5.884722
-3.788030
-3.012363
-2.646119

0.0001

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INGRESO,3)
Method: Least Squares
Date: 10/01/16 Time: 10:39
Sample (adjusted): 5 25
Included observations: 21 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(INGRESO(-1),2)
D(INGRESO(-1),3)
C

-1.625464
0.615230
1.54E+08

0.276218
0.195706
2.87E+08

-5.884722
3.143645
0.536592

0.0000
0.0056
0.5981

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.670711
0.634123
1.31E+09
3.11E+19
-469.1004
18.33159
0.000046

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

79767233
2.17E+09
44.96194
45.11116
44.99433
1.889312

Por lo tanto aplicamos lo que es el test de johansen, asi podemos ver cual de
los criterios usamos:

Como podemos observar podemos usar AKAIKE de primer diferencial o

podemos usar SCHWARZ sin diferenciar.
En esta cuadro podemos observar el VEC:

CONSUMO = - 8.40 + 2.24 + 11.18 INGRESO

A medida que nuestro ingreso aumenta consumimos un 11.18, lo
cual es correcto ya que a medida que nuestros ingresos se
incrementen nuestro consumo de igual manera subir.

MODELO PASSTROUGH
Diferencial apertura comercial
Null Hypothesis: DAPERT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)
t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

-6.125961
-3.788030
-3.012363
-2.646119

0.0001

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DAPERT)
Method: Least Squares
Date: 10/01/16 Time: 10:48
Sample (adjusted): 3 23
Included observations: 21 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DAPERT(-1)
C

-1.346423
-0.509314

0.219790
0.445865

-6.125961
-1.142305

0.0000
0.2675

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.663880
0.646189
2.021392
77.63451
-43.52635
37.52740
0.000007

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-0.111216
3.398327
4.335843
4.435321
4.357432
1.705655

Diferencial ndice de precios

Null Hypothesis: IND has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=5)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-3.529248
-3.788030
-3.012363
-2.646119

0.0174

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(IND)
Method: Least Squares
Date: 10/01/16 Time: 10:49
Sample (adjusted): 4 24
Included observations: 21 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

IND(-1)

-1.659006

0.470073

-3.529248

0.0026

D(IND(-1))
D(IND(-2))
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.426692
0.254191
13.53271
0.622814
0.556252
18.33340
5713.931
-88.66218
9.356878
0.000703

0.361641
0.230074
5.508400

1.179876
1.104820
2.456740

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.2543
0.2846
0.0251
0.222720
27.52167
8.824969
9.023926
8.868148
2.083452

Diferencial inflacin
Null Hypothesis: DINFLACION has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-4.414148
-3.788030
-3.012363
-2.646119

0.0026

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DINFLACION)
Method: Least Squares
Date: 10/01/16 Time: 10:50
Sample (adjusted): 3 23
Included observations: 21 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DINFLACION(-1)
C

-1.008067
-2.474036

0.228372
4.124433

-4.414148
-0.599849

0.0003
0.5557

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.506297
0.480313
18.77462
6697.242
-90.32946
19.48470
0.000298

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-0.376144
26.04356
8.793282
8.892760
8.814871
1.980419

Diferencial tc
Null Hypothesis: DTC has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=4)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-4.312550
-3.788030
-3.012363
-2.646119

0.0032

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DTC)
Method: Least Squares
Date: 10/01/16 Time: 10:50
Sample (adjusted): 3 23
Included observations: 21 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DTC(-1)
C

-1.045880
8.414599

0.242520
4.213475

-4.312550
1.997069

0.0004
0.0603

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.494655
0.468058
17.90659
6092.275
-89.33538
18.59808
0.000375

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Aplicando el test de JHOJANSEN

Date: 10/01/16 Time: 10:52
Sample: 1 24
Included observations: 20
Series: DAPERT DINFLACION DTC IND
Lags interval: 1 to 1
Selected
(0.05 level*)
Number of
Cointegrating
Relations by

1.617013
24.55166
8.698608
8.798086
8.720197
1.907996

Model
Data Trend:
Test Type
Trace
Max-Eig

None
No Intercept
No Trend
1
0

None
Intercept
No Trend
1
0

Linear
Intercept
No Trend
2
0

Linear
Intercept
Trend
1
0

Quadratic
Intercept
Trend
2
0

*Critical values based on MacKinnon-Haug-Michelis (1999)

Information
Criteria by
Rank and
Model
Data Trend:
Rank or
No. of CEs

None
No Intercept
No Trend

None
Intercept
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

0
1
2
3
4

Log
Likelihood by
Rank (rows)
and Model
(columns)
-303.3368
-292.2530
-285.2458
-283.0523
-281.6814

-303.3368
-289.5764
-281.3277
-275.0334
-273.5730

-302.9283
-289.1881
-281.0926
-275.0334
-273.5730

-302.9283
-288.4783
-278.1833
-271.6173
-269.9230

-302.6019
-288.1855
-277.9138
-271.4468
-269.9230

0
1
2
3
4

Akaike
Information
Criteria by
Rank (rows)
and Model
(columns)
31.93368
31.62530
31.72458
32.30523
32.96814

31.93368
31.45764*
31.53277
31.80334
32.55730

32.29283
31.71881
31.70926
31.90334
32.55730

32.29283
31.74783
31.61833
31.86173
32.59230

32.66019
32.01855
31.79138
31.94468
32.59230

0
1
2
3
4

Schwarz
Criteria by
Rank (rows)
and Model
(columns)
32.73026
32.82017
33.31775
34.29669
35.35790

32.73026
32.70231*
33.22551
33.94416
35.14620

33.28856
33.11283
33.50157
34.09395
35.14620

33.28856
33.19164
33.51022
34.20170
35.38035

33.85507
33.61173
33.78284
34.33444
35.38035

Vector Autoregression Estimates

Date: 10/01/16 Time: 10:58
Sample (adjusted): 4 23
Included observations: 20 after adjustments
Standard errors in ( ) & t-statistics in [ ]

DTC(-1)

DTC

IND

DINFLACION

DAPERT

0.067135
(0.24224)
[ 0.27714]

0.060719
(0.29346)
[ 0.20691]

0.089977
(0.36343)
[ 0.24758]

0.014956
(0.03219)
[ 0.46466]

DTC(-2)

0.176804
(0.22540)
[ 0.78441]

-0.118122
(0.27305)
[-0.43259]

0.132673
(0.33816)
[ 0.39234]

0.041193
(0.02995)
[ 1.37548]

IND(-1)

0.159128
(0.21072)
[ 0.75516]

-0.174629
(0.25528)
[-0.68408]

0.077225
(0.31614)
[ 0.24427]

0.009926
(0.02800)
[ 0.35451]

IND(-2)

-0.659818
(0.22380)
[-2.94827]

-0.046403
(0.27112)
[-0.17116]

0.206541
(0.33576)
[ 0.61514]

-0.025944
(0.02974)
[-0.87247]

DINFLACION(-1)

0.138904
(0.19529)
[ 0.71128]

-0.081781
(0.23658)
[-0.34568]

-0.064141
(0.29299)
[-0.21892]

0.007613
(0.02595)
[ 0.29338]

DINFLACION(-2)

0.070869
(0.19592)
[ 0.36172]

-0.081910
(0.23735)
[-0.34510]

-0.247541
(0.29394)
[-0.84214]

-0.003922
(0.02603)
[-0.15066]

DAPERT(-1)

-0.611160
(1.89778)
[-0.32204]

-1.619454
(2.29904)
[-0.70440]

-0.816496
(2.84722)
[-0.28677]

-0.318806
(0.25216)
[-1.26432]

DAPERT(-2)

-2.232888
(1.86958)
[-1.19432]

-5.800647
(2.26489)
[-2.56112]

-0.618458
(2.80492)
[-0.22049]

0.042996
(0.24841)
[ 0.17308]

@TREND(1)

11.69509

10.37305
(4.59455)
[ 2.25769]

8.223342
(5.56601)
[ 1.47742]

-6.926040
(6.89316)
[-1.00477]

-0.972750
(0.61047)
[-1.59343]

0.578408
0.271796
2543.401
15.20586
1.886449
-76.83402
8.583402
9.031482
8.527263
17.81905

0.418381
-0.004614
3732.652
18.42097
0.989091
-80.67019
8.967019
9.415098
8.212308
18.37861

0.138849
-0.487443
5724.871
22.81322
0.221700
-84.94720
9.394720
9.842800
-2.113068
18.70537

0.337770
-0.143852
44.90166
2.020388
0.701318
-36.46620
4.546620
4.994699
-0.625004
1.889079

R-squared
Adj. R-squared
Sum sq. Resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

97673187
8937707.
-273.5730
30.95730
32.74962