MODELOS ARIMA

1. Estacionariedad, PIB

Método gráfico

GRAPH_PIB
500,000

450,000

400,000

350,000

300,000

250,000

200,000

150,000

100,000
1975 1980 1985 1990 1995 2000 2005 2010

Correlogramas

Date: 09/18/19 Time: 20:00

Sample: 1975 2013
Included observations: 39

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.902 0.902 34.229 0.000

2 0.807 -0.03... 62.395 0.000
3 0.715 -0.04... 85.084 0.000
4 0.633 0.005 103.39 0.000
5 0.555 -0.02... 117.89 0.000
6 0.476 -0.05... 128.88 0.000
7 0.399 -0.04... 136.83 0.000
8 0.330 -0.00... 142.45 0.000
9 0.269 -0.00... 146.31 0.000
1... 0.213 -0.02... 148.82 0.000
1... 0.163 -0.01... 150.34 0.000
1... 0.118 -0.01... 151.16 0.000
1... 0.077 -0.02... 151.53 0.000
1... 0.037 -0.03... 151.61 0.000
1... -0.00... -0.02... 151.61 0.000
1... -0.04... -0.09... 151.78 0.000
Test Dick – Fuller, con tendencia e intercepto
Null Hypothesis: GRAPH_PIB has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.084206 0.9933

Test critical values: 1% level -4.226815
5% level -3.536601
10% level -3.200320

Ho: S =0 la serie tiene raíz unitaria

HA: S<0 l serie no tiene raíz unitaria

Se acepta Ho por tanto la serie no es estacionaria.

…. Igual para solo intercepto y ninguna

Segundas diferencias

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

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.246014 0.0000

Test critical values: 1% level -4.243644
5% level -3.544284
10% level -3.204699
ARIMA (1,2,0)

Dependent Variable: D(D(PIB))

Method: ARMA Maximum Likelihood (BFGS)
Date: 09/18/19 Time: 20:11
Sample: 1977 2013
Included observations: 37
Convergence achieved after 2 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 457.4829 978.5470 0.467512 0.6431

AR(1) -0.249198 0.120591 -2.066468 0.0465
SIGMASQ 43531036 7695213. 5.656898 0.0000

R-squared 0.064692 Mean dependent var 477.5247

Adjusted R-squared 0.009674 S.D. dependent var 6916.269
S.E. of regression 6882.733 Akaike info criterion 20.59076
Sum squared resid 1.61E+09 Schwarz criterion 20.72137
Log likelihood -377.9290 Hannan-Quinn criter. 20.63680
F-statistic 1.175838 Durbin-Watson stat 2.160850
Prob(F-statistic) 0.320794

Inverted AR Roots -.25

ARIMA (0,2,1)

Dependent Variable: D(D(PIB))

Method: ARMA Maximum Likelihood (BFGS)
Date: 09/19/19 Time: 00:00
Sample: 1977 2013
Included observations: 37
Convergence achieved after 4 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 438.2635 694.3484 0.631187 0.5321

MA(1) -0.455394 0.111019 -4.101931 0.0002
SIGMASQ 40871201 7593263. 5.382561 0.0000

R-squared 0.121842 Mean dependent var 477.5247

Adjusted R-squared 0.070185 S.D. dependent var 6916.269
S.E. of regression 6669.144 Akaike info criterion 20.53226
Sum squared resid 1.51E+09 Schwarz criterion 20.66287
Log likelihood -376.8468 Hannan-Quinn criter. 20.57830
F-statistic 2.358694 Durbin-Watson stat 1.845861
Prob(F-statistic) 0.109834

Inverted MA Roots .46

 ARIMA (1,2,1)
Dependent Variable: D(D(PIB))
Method: ARMA Maximum Likelihood (BFGS)
Date: 09/19/19 Time: 00:16
Sample: 1977 2013
Included observations: 37
Convergence achieved after 33 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 379.6726 264.6759 1.434481 0.1608

AR(1) 0.489907 0.230629 2.124226 0.0412
MA(1) -0.999987 3884.802 -0.000257 0.9998
SIGMASQ 34406335 1.11E+10 0.003109 0.9975

R-squared 0.260746 Mean dependent var 477.5247

Adjusted R-squared 0.193541 S.D. dependent var 6916.269
S.E. of regression 6211.022 Akaike info criterion 20.47851
Sum squared resid 1.27E+09 Schwarz criterion 20.65266
Log likelihood -374.8524 Hannan-Quinn criter. 20.53991
F-statistic 3.879858 Durbin-Watson stat 2.005463
Prob(F-statistic) 0.017613

Inverted AR Roots .49

Inverted MA Roots 1.00

3. DIAGNOSTICO

Supuestos ARIMA (1,2,0) ARIMA (0,2,1) ARIMA (1,2,1)

Estacionariedad si si si
Completitud si si si
No autocorrelación si si si
Homocedasticidad no si si
Normalidad si no no
Significancia Individual B1 (C) no significativo B1 (C) no significativo B1(C) no significativo
B2 si significativo (5% Y 10%) B2 (MA) si significativo B2 (AR) si significativo (5% Y 10%)
B3 (MA) no significativo

Criterios de Akaike 20,59 Akaike 20,53 Akaike 20,47

Información Schwars 20,72 Schwars 20,66 Schwars 20,65
Hannan 20,63 Hannan 20,57 Hannan 20,53
4. Pronóstico

Modelo ARIMA (1,2,1)

700,000

600,000

500,000

400,000

300,000

200,000

100,000
1975 1980 1985 1990 1995 2000 2005 2010 2015

PIBFORECAST3 PIB

700,000

600,000

500,000

400,000

300,000

200,000

100,000
1975 1980 1985 1990 1995 2000 2005 2010 2015

PIBFORECAST3
PIBFORECAST2
PIB