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Econometría I
Análisis de quiebre estructural
Dependent Variable: Y
Method: Least Squares
Date: 10/20/05 Time: 13:42
Sample: 1995:01 2000:12
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 3.356233 0.287831 11.66044 0.0000
X1 1.753084 0.037037 47.33313 0.0000
X2 -2.240608 0.053920 -41.55407 0.0000
R-squared 0.980512 Mean dependent var -7.079737
Adjusted R-squared 0.979947 S.D. dependent var 11.01909
S.E. of regression 1.560413 Akaike info criterion 3.768552
Sum squared resid 168.0074 Schwarz criterion 3.863413
Log likelihood -132.6679 F-statistic 1735.775
Durbin-Watson stat 0.971545 Prob(F-statistic) 0.000000
Análisis recursivos
1) Residuos recursivos (et);
et
Residuos normalizados w t ; t k 1, ..., T
1 x t' ( X t' 1 X t 1 ) x t
-2
-4
-6
1 996 1997 1 998 1999 2000
Re c urs i ve Re s i dual s ± 2 S .E .
20
-20
-40
1996 1997 1998 1999 2000
t
w r2
r k 1
St T
; t k 1, ..., T
w r2
r k 1
1.2
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
1996 1997 1998 1999 2000
0.05
0.10
Nivel de
significancia
0.15
Prueba T 1996 1997 1998 1999 2000
4
2
0
-2
-4
0.00
-6
0.05
Nivel de
significancia
0.10
Prueba F
0.15
1996 1997 1998 1999 2000
Menor significancia implica mayor discrepancia entre el modelo para la primera muestra
(T1) con el modelo para la muestra total (T)
6) Recusive coeficcients
4 .4 1 .95
1 .90
4 .0
1 .85
3 .6
1 .80
3 .2
1 .75
2 .8
1 .70
2 .4 1 .65
1996 19 9 7 1998 1 9 99 2000 1 9 96 19 9 7 1998 1999 2000
-1 .7
-1 .8
-1 .9
-2 .0
-2 .1
-2 .2
-2 .3
-2 .4
1996 1 9 97 1998 1999 2000
Re c u rs i v e C(3 ) Es ti m a te s ± 2 S.E.
Análisis Estructural
Test de Chow
1) Breakpoint test Chow
Test Equation:
Dependent Variable: Y
Method: Least Squares
Date: 10/20/05 Time: 13:15
Sample: 1995:01 1998:05
Included observations: 41
Variable Coefficient Std. Error t-Statistic Prob.
C 3.686182 0.157822 23.35658 0.0000
X1 1.794730 0.023126 77.60822 0.0000
X2 -1.982900 0.037100 -53.44779 0.0000
R-squared 0.995229 Mean dependent var -3.855100
Adjusted R-squared 0.994978 S.D. dependent var 10.74572
S.E. of regression 0.761511 Akaike info criterion 2.363332
Sum squared resid 22.03618 Schwarz criterion 2.488715
Log likelihood -45.44831 F-statistic 3963.430
Durbin-Watson stat 2.197207 Prob(F-statistic) 0.000000
smpl @all
Genr Dum=0
smpl 1998:06 2000:12
Genr Dum=1
Smpl @all
Dependent Variable: Y
Method: Least Squares
Date: 10/20/05 Time: 13:36
Sample: 1995:01 2000:12
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 3.686182 0.183916 20.04277 0.0000
DUM -1.890307 0.420154 -4.499079 0.0000
X1 1.794730 0.026949 66.59726 0.0000
X1*DUM -0.077557 0.043362 -1.788608 0.0783
X2 -1.982900 0.043234 -45.86468 0.0000
X2*DUM -0.202322 0.072589 -2.787219 0.0069
R-squared 0.993971 Mean dependent var -7.079737
Adjusted R-squared 0.993514 S.D. dependent var 11.01909
S.E. of regression 0.887417 Akaike info criterion 2.678652
Sum squared resid 51.97560 Schwarz criterion 2.868374
Log likelihood -90.43147 F-statistic 2176.197
Durbin-Watson stat 2.247042 Prob(F-statistic) 0.000000
Dependent Variable: Y
Method: Least Squares
Date: 10/20/05 Time: 13:37
Sample: 1995:01 2000:12
Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 3.628573 0.184021 19.71824 0.0000
DUM -1.800852 0.423958 -4.247716 0.0001
X1 1.764773 0.021456 82.25039 0.0000
X2 -1.976588 0.043791 -45.13698 0.0000
X2*DUM -0.212556 0.073541 -2.890293 0.0052
R-squared 0.993679 Mean dependent var -7.079737
Adjusted R-squared 0.993301 S.D. dependent var 11.01909
S.E. of regression 0.901863 Akaike info criterion 2.698207
Sum squared resid 54.49493 Schwarz criterion 2.856309
Log likelihood -92.13547 F-statistic 2633.023
Durbin-Watson stat 2.338142 Prob(F-statistic) 0.000000