Se seleccionan las variables :

Exp_mineras
Export_totales
Pbi
Term_intercambio
Tipo_cambio

Click derecho > open > as VAR

Se especifican las variables endógenas en logaritmo > click en aceptar

Nos da como resultado el cuadro de estimación del modelo VAR

Rezago optimo
Para determinar la estabilidad del modelo
En la estimación del modelo VAR hacemos click en view > lag estructure > AR Roots Graph

Nos da el siguiente gráfico

Si queremos determinar la estabilidad en una tabla en lugar de AR Roots Graph , damos click en AR
Roots Table.

Al final de la tabla se menciona de que ninguna raíz sale del circulo , por lo tanto el modelo VAR satisface
la condición de estabilidad.

Autocorrelacion
View > residual test > autocorrelation test
Normalidad
View > residual test > normality test
Se elige la opción cholesky

Arrojando como resultado esta tabla

Heterocedasticidad
View > residual test > heterocedasticity (no cross terms)
View > impulse response
View > variance descomposition

Para impulso respuesta , click multiple graphs y en ok

Para descomposición de la varianza click en table y aceptar
Estimaciones

Vector Autoregression Estimates

Date: 12/23/19 Time: 01:26
Sample (adjusted): 2001Q3 2018Q4
Included observations: 70 after adjustments
Standard errors in ( ) & t-statistics in [ ]

LOG(EXP_MIN LOG(EXPORT_ LOG(TERM_IN LOG(TIPO_CA

ERAS) TOTALES) LOG(PBI) TERCAMBIO) MBIO)

LOG(EXP_MINERAS(-1)) 1.142712 0.624639 0.241581 0.245157 -0.016169

(0.38811) (0.30417) (0.13150) (0.17988) (0.07571)
[ 2.94428] [ 2.05358] [ 1.83705] [ 1.36286] [-0.21357]

LOG(EXP_MINERAS(-2)) 0.133283 0.437725 -0.152821 -0.069099 0.043982

(0.42883) (0.33608) (0.14530) (0.19876) (0.08365)
[ 0.31081] [ 1.30243] [-1.05175] [-0.34766] [ 0.52578]

LOG(EXP_MINERAS(-3)) 0.966037 0.624748 0.161932 0.185113 -0.220463

(0.40459) (0.31709) (0.13709) (0.18752) (0.07892)
[ 2.38766] [ 1.97027] [ 1.18122] [ 0.98714] [-2.79338]

LOG(EXP_MINERAS(-4)) -0.197181 0.001544 -0.089777 -0.196313 0.064353

(0.39515) (0.30968) (0.13389) (0.18314) (0.07708)
[-0.49901] [ 0.00499] [-0.67053] [-1.07190] [ 0.83488]

LOG(EXP_MINERAS(-5)) 0.111303 -0.032923 0.090064 -0.003377 -0.174364

(0.37950) (0.29742) (0.12859) (0.17589) (0.07403)
[ 0.29329] [-0.11069] [ 0.70041] [-0.01920] [-2.35535]

LOG(EXP_MINERAS(-6)) 0.132830 0.156552 0.026055 0.061257 0.120646

(0.35728) (0.28001) (0.12106) (0.16560) (0.06969)
[ 0.37178] [ 0.55910] [ 0.21522] [ 0.36992] [ 1.73107]

LOG(EXPORT_TOTALES(-
1)) -0.706686 -0.168951 -0.202727 -0.188724 0.106448
(0.43828) (0.34349) (0.14850) (0.20314) (0.08549)
[-1.61240] [-0.49187] [-1.36513] [-0.92904] [ 1.24508]

LOG(EXPORT_TOTALES(-
2)) 0.096717 -0.368560 0.198754 0.182677 -0.110202
(0.45677) (0.35798) (0.15477) (0.21171) (0.08910)
[ 0.21174] [-1.02957] [ 1.28421] [ 0.86288] [-1.23683]

LOG(EXPORT_TOTALES(-
3)) -0.858447 -0.407774 -0.224918 -0.230945 0.210839
(0.48401) (0.37933) (0.16400) (0.22433) (0.09442)
[-1.77360] [-1.07499] [-1.37146] [-1.02947] [ 2.23310]

LOG(EXPORT_TOTALES(-
4)) 0.626808 0.238073 0.109467 0.238191 -0.035126
(0.48984) (0.38389) (0.16597) (0.22703) (0.09555)
[ 1.27962] [ 0.62015] [ 0.65955] [ 1.04914] [-0.36762]

LOG(EXPORT_TOTALES(-
5)) -0.360710 -0.216476 -0.228193 0.050960 0.176843
(0.45939) (0.36003) (0.15565) (0.21292) (0.08961)
[-0.78520] [-0.60128] [-1.46602] [ 0.23934] [ 1.97344]
LOG(EXPORT_TOTALES(-
6)) -0.387433 -0.429842 0.031397 -0.004697 -0.067932
(0.39772) (0.31170) (0.13476) (0.18434) (0.07758)
[-0.97415] [-1.37904] [ 0.23299] [-0.02548] [-0.87562]

LOG(PBI(-1)) 0.317702 0.544962 0.732879 -0.114524 -0.336095

(0.64996) (0.50939) (0.22023) (0.30125) (0.12679)
[ 0.48880] [ 1.06984] [ 3.32783] [-0.38017] [-2.65087]

LOG(PBI(-2)) -1.106900 -0.993715 -0.405226 -0.239979 0.311220

(0.64031) (0.50182) (0.21696) (0.29678) (0.12490)
[-1.72869] [-1.98021] [-1.86777] [-0.80862] [ 2.49167]

LOG(PBI(-3)) -0.387335 -0.295243 -0.226575 -0.068263 0.152909

(0.38963) (0.30536) (0.13202) (0.18059) (0.07601)
[-0.99410] [-0.96686] [-1.71622] [-0.37800] [ 2.01182]

LOG(PBI(-4)) 0.278967 0.310677 0.952343 0.125748 -0.020813

(0.37004) (0.29001) (0.12538) (0.17151) (0.07218)
[ 0.75388] [ 1.07127] [ 7.59555] [ 0.73319] [-0.28833]

LOG(PBI(-5)) -0.520472 -0.435092 -0.622832 -0.044220 0.283344

(0.66386) (0.52028) (0.22494) (0.30769) (0.12950)
[-0.78401] [-0.83627] [-2.76892] [-0.14372] [ 2.18802]

LOG(PBI(-6)) 1.504598 1.084536 0.513781 0.121484 -0.426269

(0.60629) (0.47516) (0.20543) (0.28101) (0.11827)
[ 2.48164] [ 2.28246] [ 2.50100] [ 0.43232] [-3.60427]

LOG(TERM_INTERCAMBI
O(-1)) 0.225539 0.074895 0.161029 0.924383 -0.112246
(0.51395) (0.40279) (0.17414) (0.23821) (0.10025)
[ 0.43884] [ 0.18594] [ 0.92471] [ 3.88060] [-1.11961]

LOG(TERM_INTERCAMBI
O(-2)) 0.554968 0.521291 0.004612 -0.170467 0.115480
(0.65206) (0.51103) (0.22094) (0.30222) (0.12720)
[ 0.85110] [ 1.02008] [ 0.02087] [-0.56405] [ 0.90789]

LOG(TERM_INTERCAMBI
O(-3)) -0.951471 -0.768850 0.051754 -0.167438 0.025649
(0.64190) (0.50307) (0.21750) (0.29751) (0.12521)
[-1.48228] [-1.52832] [ 0.23795] [-0.56280] [ 0.20484]

LOG(TERM_INTERCAMBI
O(-4)) 0.339329 0.142293 -0.175017 0.284470 -0.179563
(0.63736) (0.49951) (0.21596) (0.29541) (0.12433)
[ 0.53240] [ 0.28487] [-0.81043] [ 0.96298] [-1.44427]

LOG(TERM_INTERCAMBI
O(-5)) 0.153849 0.456857 0.355563 -0.137437 0.068708
(0.67267) (0.52718) (0.22792) (0.31177) (0.13122)
[ 0.22871] [ 0.86660] [ 1.56002] [-0.44082] [ 0.52363]

LOG(TERM_INTERCAMBI
O(-6)) -0.265470 -0.204782 -0.243447 -0.314498 -0.091986
(0.51767) (0.40570) (0.17540) (0.23993) (0.10098)
[-0.51282] [-0.50476] [-1.38794] [-1.31078] [-0.91093]

LOG(TIPO_CAMBIO(-1)) -0.314313 0.104297 -0.407601 -0.218108 0.858784

(0.91263) (0.71524) (0.30923) (0.42299) (0.17802)
[-0.34440] [ 0.14582] [-1.31813] [-0.51563] [ 4.82397]
 LOG(TIPO_CAMBIO(-2)) 0.716239 0.167787 0.195511 0.149930 0.052528
(1.01681) (0.79689) (0.34453) (0.47128) (0.19835)
[ 0.70440] [ 0.21055] [ 0.56748] [ 0.31813] [ 0.26483]

LOG(TIPO_CAMBIO(-3)) -0.951475 -0.891739 -0.245915 -0.248657 0.217720

(0.99197) (0.77742) (0.33611) (0.45976) (0.19350)
[-0.95918] [-1.14704] [-0.73165] [-0.54084] [ 1.12516]

LOG(TIPO_CAMBIO(-4)) -0.197863 0.107907 0.643026 0.144415 -0.069455

(0.94518) (0.74075) (0.32026) (0.43808) (0.18437)
[-0.20934] [ 0.14567] [ 2.00785] [ 0.32966] [-0.37671]

LOG(TIPO_CAMBIO(-5)) -0.330363 -0.699714 -0.646336 -0.211166 0.202043

(0.96111) (0.75324) (0.32565) (0.44546) (0.18748)
[-0.34373] [-0.92894] [-1.98473] [-0.47404] [ 1.07767]

LOG(TIPO_CAMBIO(-6)) 0.723776 0.454541 0.416929 -0.005632 -0.281976

(0.78971) (0.61891) (0.26758) (0.36602) (0.15405)
[ 0.91651] [ 0.73442] [ 1.55816] [-0.01539] [-1.83046]

C 3.970970 6.133104 0.647514 4.440059 0.259617

(3.93910) (3.08714) (1.33469) (1.82572) (0.76839)
[ 1.00809] [ 1.98666] [ 0.48514] [ 2.43195] [ 0.33787]

R-squared 0.989440 0.992411 0.997914 0.976576 0.983980

Adj. R-squared 0.981317 0.986573 0.996310 0.958557 0.971657
Sum sq. resids 0.317117 0.194777 0.036407 0.068123 0.012067
S.E. equation 0.090173 0.070670 0.030553 0.041794 0.017590
F-statistic 121.8075 169.9939 622.0268 54.19755 79.84792
Log likelihood 89.56855 106.6281 165.3263 143.3972 203.9772
Akaike AIC -1.673387 -2.160803 -3.837895 -3.211348 -4.942205
Schwarz SC -0.677625 -1.165041 -2.842133 -2.215585 -3.946443
Mean dependent 8.235990 8.799878 10.35308 4.466032 4.625677
S.D. dependent 0.659715 0.609879 0.502985 0.205299 0.104481

Determinant resid covariance (dof adj.) 7.60E-16

Determinant resid covariance 4.08E-17
Log likelihood 824.2113
Akaike information criterion -19.12032
Schwarz criterion -14.14151

VAR Residual Serial Correlation LM Tests

Null Hypothesis: no serial correlation at lag
order h
Date: 12/23/19 Time: 01:45
Sample: 2000Q1 2018Q4
Included observations: 70

Lags LM-Stat Prob

1 30.60843 0.2023
2 30.40635 0.2094
3 14.88293 0.9441
4 36.71057 0.0615
5 33.18621 0.1265
6 20.99562 0.6929
7 17.48864 0.8633
8 27.08438 0.3517
Probs from chi-square with 25 df.

Varian
ce
Decom
position
of
LOG(E
XP_MI
NERAS
):
LOG(TERM_I
LOG(EXP_MI LOG(EXPORT NTERCAMBIO LOG(TIPO_C
Period S.E. NERAS) _TOTALES) LOG(PBI) ) AMBIO)

1 0.090173 100.0000 0.000000 0.000000 0.000000 0.000000

2 0.117401 95.14694 3.265866 1.199488 0.243421 0.144282
3 0.149432 86.77082 8.220449 1.492193 3.402870 0.113673
4 0.176319 75.46542 14.89208 6.650314 2.641668 0.350515
5 0.195563 72.24199 15.10749 9.969702 2.182967 0.497852
6 0.208860 69.86616 16.40647 11.21193 1.940046 0.575391
7 0.223020 67.54523 19.49267 10.70072 1.702356 0.559027
8 0.235812 67.18705 19.27904 10.82673 1.812479 0.894698
9 0.244584 65.79453 18.31241 11.58536 3.417106 0.890595
10 0.252185 63.29169 18.55992 13.00027 4.310274 0.837845

Varian
ce
Decom
position
of
LOG(E
XPORT
_TOTA
LES):
LOG(TERM_I
LOG(EXP_MI LOG(EXPORT NTERCAMBIO LOG(TIPO_C
Period S.E. NERAS) _TOTALES) LOG(PBI) ) AMBIO)

1 0.070670 78.82150 21.17850 0.000000 0.000000 0.000000

2 0.090861 84.87705 12.83476 2.217869 0.043803 0.026523
3 0.122810 78.84374 16.80304 1.527197 2.760729 0.065299
4 0.148220 71.52387 20.63675 4.682042 2.298821 0.858512
5 0.164196 70.03369 20.17059 6.912005 1.951448 0.932270
6 0.176522 68.37926 21.33004 7.264148 1.865444 1.161115
7 0.192437 65.05751 24.89225 6.391676 1.922553 1.736017
8 0.205487 64.62559 24.64300 6.322619 1.686112 2.722672
9 0.212590 63.88565 23.54817 6.873890 2.729915 2.962378
10 0.217880 62.29604 23.77040 7.497359 3.510621 2.925574

Varian
ce
Decom
position
of
LOG(P
BI):
LOG(TERM_I
LOG(EXP_MI LOG(EXPORT NTERCAMBIO LOG(TIPO_C
Period S.E. NERAS) _TOTALES) LOG(PBI) ) AMBIO)
 1 0.030553 19.85738 8.057281 72.08534 0.000000 0.000000
2 0.046663 36.42836 3.476922 57.76611 0.792748 1.535867
3 0.056198 44.55150 3.118290 45.88015 3.206608 3.243457
4 0.063253 45.76124 6.541178 36.28003 6.281526 5.136029
5 0.066573 48.28749 7.808218 33.13444 6.022397 4.747452
6 0.073737 48.44102 12.15758 27.08863 6.349307 5.963461
7 0.081150 49.47210 14.83003 22.70247 6.370678 6.624726
8 0.086946 50.91559 15.17084 19.77879 6.579257 7.555526
9 0.090157 53.18075 14.25481 18.74539 6.546515 7.272529
10 0.093684 53.97643 14.77721 17.37447 6.094078 7.777812

Varian
ce
Decom
position
of
LOG(T
ERM_I
NTERC
AMBIO)
:
LOG(TERM_I
LOG(EXP_MI LOG(EXPORT NTERCAMBIO LOG(TIPO_C
Period S.E. NERAS) _TOTALES) LOG(PBI) ) AMBIO)

1 0.041794 58.26189 2.213633 2.191856 37.33262 0.000000

2 0.063058 62.77191 4.959828 1.587518 30.43993 0.240821
3 0.076423 65.89216 5.762521 1.180111 26.71329 0.451920
4 0.083989 65.00439 8.172166 2.543034 23.53838 0.742028
5 0.089788 63.64425 9.689762 4.316262 21.54133 0.808394
6 0.094904 64.12210 9.429065 5.561051 19.61856 1.269226
7 0.099270 64.32590 9.097511 6.229088 18.29683 2.050668
8 0.103131 62.88384 9.014991 6.417924 18.56048 3.122771
9 0.107093 60.12651 9.474190 6.474328 19.89381 4.031158
10 0.111029 57.32659 10.44018 6.674708 20.58198 4.976545

Varian
ce
Decom
position
of
LOG(TI
PO_CA
MBIO):
LOG(TERM_I
LOG(EXP_MI LOG(EXPORT NTERCAMBIO LOG(TIPO_C
Period S.E. NERAS) _TOTALES) LOG(PBI) ) AMBIO)

1 0.017590 0.438019 0.560655 33.93904 0.003535 65.05876

2 0.028528 2.069845 0.214748 53.66435 1.075134 42.97593
3 0.035710 4.446133 0.142852 51.53536 1.666120 42.20954
4 0.041194 6.079278 1.559993 44.08416 1.474944 46.80163
5 0.046716 5.956930 5.813464 36.17748 3.469105 48.58302
6 0.052635 5.810036 13.07926 28.74804 4.233970 48.12870
7 0.058018 5.354659 16.90041 24.81374 5.378635 47.55255
8 0.062632 6.262828 17.04598 22.52048 6.364494 47.80621
9 0.066184 6.754884 17.32884 21.10914 6.797034 48.01009
10 0.069244 7.498227 17.36240 19.58028 7.409769 48.14932

Choles
ky
Orderin
g:
LOG(E
XP_MI
NERAS
)
LOG(E
XPORT
_TOTA
LES)
LOG(P
BI)
LOG(T
ERM_I
NTERC
AMBIO)
LOG(TI
PO_CA
MBIO)

Inverse Roots of AR Characteristic Polynomial

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Roots of Characteristic Polynomial
Endogenous variables: LOG(EXP_MINERAS)
LOG(EXPORT_TOTALES) LOG(PBI)
LOG(TERM_INTERCAMBIO) LOG(TIPO_CAMBIO)
Exogenous variables: C
Lag specification: 1 6
Date: 12/23/19 Time: 01:27

Root Modulus

0.998688 0.998688
-0.992051 0.992051
0.971494 - 0.089152i 0.975576
0.971494 + 0.089152i 0.975576
-0.000561 + 0.969989i 0.969990
-0.000561 - 0.969989i 0.969990
-0.083900 + 0.934407i 0.938167
-0.083900 - 0.934407i 0.938167
0.877507 - 0.300024i 0.927380
0.877507 + 0.300024i 0.927380
0.824992 - 0.421037i 0.926220
0.824992 + 0.421037i 0.926220
0.196883 - 0.818148i 0.841504
0.196883 + 0.818148i 0.841504
0.482148 - 0.681214i 0.834577
0.482148 + 0.681214i 0.834577
-0.722320 - 0.378105i 0.815298
-0.722320 + 0.378105i 0.815298
-0.391236 - 0.689648i 0.792893
-0.391236 + 0.689648i 0.792893
0.436878 + 0.597152i 0.739901
0.436878 - 0.597152i 0.739901
-0.584694 - 0.387451i 0.701417
-0.584694 + 0.387451i 0.701417
0.645871 0.645871
-0.594629 - 0.170203i 0.618508
-0.594629 + 0.170203i 0.618508
-0.073924 + 0.613216i 0.617656
-0.073924 - 0.613216i 0.617656
0.160023 0.160023

No root lies outside the unit circle.

VAR satisfies the stability condition.
VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares)
Date: 12/23/19 Time: 01:49
Sample: 2000Q1 2018Q4
Included observations: 70

Joint test:

Chi-sq df Prob.

926.2703 900 0.2647

Individual components:

Dependent R-squared F(60,9) Prob. Chi-sq(60) Prob.

res1*res1 0.811050 0.643859 0.8495 56.77347 0.5944

res2*res2 0.848822 0.842208 0.6803 59.41755 0.4970
res3*res3 0.877221 1.071708 0.4964 61.40547 0.4254
res4*res4 0.792174 0.571758 0.9024 55.45218 0.6424
res5*res5 0.900039 1.350584 0.3295 63.00272 0.3706
res2*res1 0.833856 0.752831 0.7582 58.36991 0.5355
res3*res1 0.870943 1.012280 0.5405 60.96603 0.4410
res3*res2 0.889726 1.210244 0.4054 62.28080 0.3950
res4*res1 0.765643 0.490050 0.9501 53.59503 0.7073
res4*res2 0.828172 0.722965 0.7840 57.97202 0.5502
res4*res3 0.820987 0.687930 0.8136 57.46912 0.5688
res5*res1 0.958982 3.506975 0.0236 67.12877 0.2461
res5*res2 0.962253 3.823795 0.0176 67.35769 0.2400
res5*res3 0.947635 2.714508 0.0543 66.33445 0.2678
res5*res4 0.878975 1.089410 0.4839 61.52823 0.4211

EXPORT_TOT TERM_INTERC
EXP_MINERAS ALES PBI AMBIO TIPO_CAMBIO

EXP_MINERAS 1.000000 0.992767 0.920354 0.925283 -0.859089

EXPORT_TOT
ALES 0.992767 1.000000 0.945465 0.909947 -0.889081
PBI 0.920354 0.945465 1.000000 0.785037 -0.883769
TERM_INTERC
AMBIO 0.925283 0.909947 0.785037 1.000000 -0.817369
TIPO_CAMBIO -0.859089 -0.889081 -0.883769 -0.817369 1.000000
VAR Residual Normality Tests
Orthogonalization: Cholesky (Lutkepohl)
Null Hypothesis: residuals are multivariate normal
Date: 12/23/19 Time: 01:47
Sample: 2000Q1 2018Q4
Included observations: 70

Component Skewness Chi-sq df Prob.

1 -0.371120 1.606850 1 0.2049

2 -0.278467 0.904678 1 0.3415
3 0.008948 0.000934 1 0.9756
4 -0.295983 1.022067 1 0.3120
5 -0.356234 1.480534 1 0.2237

Joint 5.015062 5 0.4140

Component Kurtosis Chi-sq df Prob.

1 2.881746 0.040787 1 0.8400

2 3.552051 0.888884 1 0.3458
3 3.136628 0.054446 1 0.8155
4 2.177837 1.971527 1 0.1603
5 4.026551 3.073603 1 0.0796

Joint 6.029248 5 0.3034

Component Jarque-Bera df Prob.

1 1.647637
2 1.793562
3 0.055380
4 2.993594
5 4.554137
2 0.4388
2 0.4079
2 0.9727
2 0.2238
2 0.1026

Joint 11.04431 10 0.3541

VAR Lag Order Selection Criteria
Endogenous variables: LOG(EXP_MINERAS) LOG(EXPORT_TOTALES) LOG(PBI)
LOG(TERM_INTERCAMBIO) LOG(TIPO_CAMBIO)
Exogenous variables: C
Date: 12/23/19 Time: 01:24
Sample: 2000Q1 2018Q4
Included observations: 68

Lag LogL LR FPE AIC SC HQ

0 286.6671 NA 1.74e-10 -8.284328 -8.121129 -8.219663

1 595.5914 563.3324 4.11e-14 -16.63504 -15.65585 -16.24705
2 652.9633 96.18236 1.61e-14 -17.58716 -15.79197* -16.87585
3 682.5596 45.26494 1.45e-14 -17.72234 -15.11116 -16.68771
4 741.8299 81.93239 5.60e-15 -18.73029 -15.30311 -17.37234*
5 768.2538 32.64128 5.94e-15 -18.77217 -14.52899 -17.09089
6 803.6147 38.48101* 5.13e-15* -19.07690 -14.01773 -17.07230
7 831.7826 26.51096 5.92e-15 -19.17008 -13.29491 -16.84215
8 869.3866 29.86202 5.79e-15 -19.54078* -12.84962 -16.88954

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion