Trabajo Final Final de econometria-II EXAMAN PRACTICA-2021-I

Cañari Becerra José Antonio 18120005
PBI UNIÓN EUROPEA

Gráfico:
Podemos observar una tendencia

creciente en el PBI UE. Por lo cual se podría decir que el proceso
estocástico no es estacionario en la media.
Correlograma:
Date: 11/07/18 Time: 17:53

Sample: 1995Q1 2017Q4
Included observations: 92
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
. |******* . |******* 1 0.941 0.941 84.095 0.000

. |******* . |** | 2 0.919 0.293 165.19 0.000
. |******| . |. | 3 0.889 0.024 242.01 0.000
. |******| . |* | 4 0.875 0.125 317.31 0.000
. |******| .*|. | 5 0.839 -0.140 387.21 0.000
. |******| . |. | 6 0.812 -0.028 453.52 0.000
. |******| . |. | 7 0.785 0.019 516.28 0.000
. |***** | . |. | 8 0.760 -0.023 575.80 0.000
. |***** | .*|. | 9 0.719 -0.133 629.73 0.000
. |***** | . |. | 10 0.690 -0.001 679.92 0.000
. |***** | . |* | 11 0.668 0.084 727.53 0.000
. |***** | . |* | 12 0.657 0.137 774.18 0.000
. |**** | .*|. | 13 0.616 -0.184 815.65 0.000
. |**** | . |. | 14 0.592 0.004 854.52 0.000
. |**** | .*|. | 15 0.552 -0.147 888.72 0.000
. |**** | . |. | 16 0.524 -0.044 919.93 0.000
. |*** | . |. | 17 0.482 -0.033 946.71 0.000
. |*** | . |. | 18 0.450 -0.036 970.40 0.000
. |*** | . |. | 19 0.414 -0.034 990.70 0.000
. |*** | . |. | 20 0.387 0.039 1008.7 0.000
. |** | .*|. | 21 0.340 -0.096 1022.7 0.000
. |** | . |. | 22 0.306 0.001 1034.3 0.000
. |** | . |. | 23 0.267 -0.044 1043.3 0.000
. |** | . |. | 24 0.247 0.073 1051.0 0.000
. |* | . |. | 25 0.209 -0.037 1056.6 0.000
. |* | . |. | 26 0.187 0.018 1061.2 0.000
. |* | .*|. | 27 0.146 -0.092 1064.0 0.000
. |* | . |. | 28 0.126 0.038 1066.2 0.000
. |* | . |. | 29 0.089 -0.032 1067.3 0.000
. |. | . |. | 30 0.062 -0.020 1067.8 0.000
. |. | . |. | 31 0.031 -0.026 1067.9 0.000
. |. | . |. | 32 0.012 0.023 1068.0 0.000
. |. | . |. | 33 -0.018 0.004 1068.0 0.000
. |. | .*|. | 34 -0.049 -0.092 1068.4 0.000
.*|. | . |. | 35 -0.076 0.047 1069.2 0.000
.*|. | . |. | 36 -0.092 0.012 1070.6 0.000
Se podría decir que la función de autocorrelación tiene una memoria infinita y la FAP (la función de
autocorrelación parcial) tiene memoria finita con dos picos claramente identificados. Además, no presenta
un componente estacional. Por otro lado, también se podría decir que esta serie se comporta como un
proceso AR(2).
Dickey Fuller Aumentada:
Null Hypothesis: PBI_UE has a unit root

Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.954632 0.9958

Test critical values: 1% level -3.506484
5% level -2.894716
10% level -2.584529
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PBI_UE)
Method: Least Squares
Date: 11/07/18 Time: 17:55
Sample (adjusted): 1996Q1 2017Q4
Included observations: 88 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
PBI_UE(-1) 0.022534 0.023605 0.954632 0.3425

D(PBI_UE(-1)) -0.743095 0.107371 -6.920805 0.0000
D(PBI_UE(-2)) -0.460646 0.124052 -3.713322 0.0004
D(PBI_UE(-3)) -0.340751 0.105505 -3.229697 0.0018
C 5.66E+08 1.95E+09 0.290319 0.7723
R-squared 0.388216 Mean dependent var 9.80E+08

Adjusted R-squared 0.358732 S.D. dependent var 7.63E+09
S.E. of regression 6.11E+09 Akaike info criterion 47.96039
Sum squared resid 3.10E+21 Schwarz criterion 48.10115
Log likelihood -2105.257 Hannan-Quinn criter. 48.01710
F-statistic 13.16719 Durbin-Watson stat 2.040124
Prob(F-statistic) 0.000000
Los valores críticos para el nivel de significancia de 1% es -3.5 y 3.5.
Ho: La serie no es estacionaria cuando el estadístico de Dickey-Fuller está entre -3.5 y
3.5.
H1: La serie es estacionaria cuando el estadístico de Dickey Fuller es menor a -3.5 y
mayor a 3.5.
Dado que el estadístico Dickey Fuller es de 0.95 entonces cae dentro del rango de -3.5
y 3.5. Por lo tanto, se acepta la hipótesis nula de que la serie no es estacionaria.
EN LOGARITMO:
Gráfico:
Correlograma:
Date: 11/07/18 Time: 18:58

Sample: 1995Q1 2017Q4
. |******* . |******* 1 0.904 0.904 77.745 0.000

. |******| . |*** | 2 0.885 0.366 152.96 0.000
. |******| . |* | 3 0.861 0.145 225.03 0.000
. |******| . |* | 4 0.841 0.074 294.52 0.000
. |******| . |. | 5 0.817 0.009 360.82 0.000
. |******| . |. | 6 0.788 -0.043 423.23 0.000
. |******| . |. | 7 0.777 0.069 484.58 0.000
. |***** | .*|. | 8 0.736 -0.117 540.36 0.000
. |***** | .*|. | 9 0.702 -0.099 591.65 0.000
. |***** | .*|. | 10 0.660 -0.110 637.65 0.000
. |***** | . |* | 11 0.659 0.169 684.00 0.000
. |***** | . |* | 12 0.656 0.192 730.49 0.000
. |**** | .*|. | 13 0.615 -0.120 771.88 0.000
. |**** | . |. | 14 0.597 -0.044 811.38 0.000
. |**** | .*|. | 15 0.556 -0.145 846.08 0.000
. |**** | .*|. | 16 0.513 -0.174 875.97 0.000
. |*** | . |. | 17 0.481 -0.002 902.67 0.000
. |*** | . |. | 18 0.446 -0.061 925.95 0.000
. |*** | . |. | 19 0.417 -0.057 946.51 0.000
. |*** | . |. | 20 0.382 0.019 964.08 0.000
. |** | .*|. | 21 0.333 -0.075 977.57 0.000
. |** | . |. | 22 0.296 0.044 988.38 0.000
. |** | . |. | 23 0.259 -0.032 996.82 0.000
. |** | . |. | 24 0.237 0.035 1004.0 0.000
. |* | . |. | 25 0.204 -0.029 1009.3 0.000
. |* | . |. | 26 0.192 0.046 1014.2 0.000
. |* | .*|. | 27 0.144 -0.129 1016.9 0.000
. |* | . |. | 28 0.123 0.067 1019.0 0.000
. |* | . |. | 29 0.088 -0.053 1020.0 0.000
. |. | . |. | 30 0.059 0.017 1020.5 0.000
. |. | . |. | 31 0.032 -0.064 1020.7 0.000
. |. | . |. | 32 0.011 0.037 1020.7 0.000
. |. | . |. | 33 -0.016 0.001 1020.7 0.000
. |. | . |. | 34 -0.054 -0.044 1021.1 0.000
.*|. | . |. | 35 -0.078 0.007 1022.1 0.000
.*|. | . |* | 36 -0.096 0.075 1023.5 0.000
Null Hypothesis: LPBI_UE has a unit root

Exogenous: Constant
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.800926 0.8138

5% level -2.893956
10% level -2.584126

Dependent Variable: D(LPBI_UE)
Date: 11/07/18 Time: 18:59
LPBI_UE(-1) -0.030060 0.037531 -0.800926 0.4254

D(LPBI_UE(-1)) -0.473131 0.095211 -4.969297 0.0000
C 0.768436 0.939075 0.818289 0.4154
R-squared 0.245250 Mean dependent var 0.010866

Adjusted R-squared 0.227899 S.D. dependent var 0.151062
S.E. of regression 0.132737 Akaike info criterion -1.168131
Sum squared resid 1.532859 Schwarz criterion -1.084804
Log likelihood 55.56590 Hannan-Quinn criter. -1.134529
Ho:
H1:
Primera diferencia
Gráfico:
En este caso podemos observar que la serie del PBI UE en primera diferencia es
estacionaria en media.
Correlograma:
Date: 11/08/18 Time: 12:03
Sample: 1995Q1 2017Q4
****|. | ****|. | 1 -0.489 -0.489 22.494 0.000

. |. | **|. | 2 0.016 -0.293 22.519 0.000
. |. | .*|. | 3 -0.009 -0.204 22.526 0.000
. |. | .*|. | 4 -0.009 -0.163 22.535 0.000
. |. | .*|. | 5 0.024 -0.095 22.592 0.000
.*|. | .*|. | 6 -0.072 -0.163 23.111 0.001
. |. | .*|. | 7 0.032 -0.147 23.215 0.002
. |* | . |. | 8 0.078 -0.003 23.837 0.002
. |* | . |** | 9 0.079 0.213 24.489 0.004
**|. | .*|. | 10 -0.280 -0.135 32.705 0.000
. |. | **|. | 11 0.029 -0.308 32.791 0.001
. |* | . |. | 12 0.213 0.002 37.642 0.000
.*|. | . |. | 13 -0.134 -0.013 39.591 0.000
. |* | . |. | 14 0.081 0.063 40.320 0.000
. |. | . |* | 15 0.026 0.184 40.395 0.000
.*|. | .*|. | 16 -0.125 -0.077 42.151 0.000
. |* | . |. | 17 0.113 -0.019 43.619 0.000
.*|. | . |* | 18 -0.078 0.102 44.324 0.001
. |. | . |* | 19 -0.013 0.092 44.345 0.001
. |* | . |. | 20 0.109 0.068 45.758 0.001
.*|. | .*|. | 21 -0.068 -0.078 46.315 0.001
. |. | . |. | 22 -0.021 -0.044 46.368 0.002
. |. | . |. | 23 -0.013 -0.048 46.388 0.003
0.03 0.03 46.51
. |. | . |. | 24 1 4 3 0.004
.*|. | .*|. | 25 -0.108 -0.089 48.003 0.004
. |** | . |. | 26 0.237 0.065 55.286 0.001
.*|. | .*|. | 27 -0.202 -0.111 60.661 0.000
. |* | . |. | 28 0.102 0.024 62.058 0.000
. |. | . |. | 29 -0.012 0.031 62.078 0.000
. |. | . |. | 30 -0.027 0.067 62.178 0.000
. |. | . |. | 31 -0.008 -0.025 62.186 0.001
. |. | .*|. | 32 0.004 -0.091 62.188 0.001
. |. | . |. | 33 0.026 -0.009 62.289 0.002
. |. | . |. | 34 -0.030 -0.029 62.424 0.002
. |. | .*|. | 35 -0.015 -0.124 62.459 0.003
. |. | . |. | 36 0.018 0.044 62.508 0.004
En este caso el correlograma como la FAP presentan comportamiento regular,

es decir, no estacional. Además que existen dos picos claramente identificados
en el periodo uno para los dos casos.
Dickey Fuller:
Null Hypothesis: DLPBI_UE has a unit root
Exogenous: Constant
t-Statistic Prob.*

5% level -2.893956
10% level -2.584126

Dependent Variable: D(DLPBI_UE)
Date: 11/08/18 Time: 12:04
DLPBI_UE(-1) -1.489207 0.092881 -16.03344 0.0000

C 0.016389 0.014002 1.170445 0.2450
R-squared 0.744980 Mean dependent var -0.000425


3.5.
H1: La serie es estacionaria cuando el estadístico de Dickey Fuller es menor a -3.5 y
mayor a 3.5.
Dado que el estadístico Dickey Fuller es de -16.03 entonces está fuera del rango de -3.5
y 3.5. Por lo tanto, se rechaza la hipótesis nula y la serie sería estacionaria.
EXPORTACIONES NO TRADICIONALES
Gráfico:
Podríamos decir que la serie de Exportaciones NT presenta una clara tendencia

creciente. También se podría decir que la serie no es estacionaria en media.
Correlograma:
Date: 11/05/18 Time: 19:06

Sample: 1995Q1 2017Q4
. |******* . |******* 1 0.967 0.967 88.928 0.000

. |******* . |. | 2 0.935 -0.010 172.95 0.000
. |******* . |* | 3 0.911 0.110 253.58 0.000
. |******| . |. | 4 0.887 -0.002 330.97 0.000
. |******| .*|. | 5 0.853 -0.169 403.29 0.000
. |******| . |. | 6 0.819 -0.005 470.80 0.000
. |******| . |* | 7 0.798 0.146 535.62 0.000
. |******| . |. | 8 0.781 0.051 598.37 0.000
. |***** | .*|. | 9 0.754 -0.101 657.61 0.000
. |***** | . |. | 10 0.726 -0.035 713.15 0.000
. |***** | . |. | 11 0.707 0.065 766.45 0.000
. |***** | . |. | 12 0.686 -0.045 817.39 0.000
. |***** | .*|. | 13 0.655 -0.121 864.35 0.000
. |**** | .*|. | 14 0.619 -0.075 906.83 0.000
. |**** | . |. | 15 0.590 0.017 945.98 0.000
. |**** | . |. | 16 0.561 -0.056 981.77 0.000
. |**** | .*|. | 17 0.520 -0.119 1013.0 0.000
. |*** | . |. | 18 0.480 -0.003 1039.9 0.000
. |*** | . |. | 19 0.450 0.038 1063.9 0.000
. |*** | . |. | 20 0.421 -0.027 1085.2 0.000
. |*** | .*|. | 21 0.384 -0.070 1103.1 0.000
. |** | . |. | 22 0.344 -0.056 1117.8 0.000
. |** | . |. | 23 0.314 0.022 1130.2 0.000
. |** | . |. | 24 0.284 -0.045 1140.5 0.000
. |** | .*|. | 25 0.244 -0.089 1148.1 0.000
. |* | . |. | 26 0.206 0.049 1153.7 0.000
. |* | .*|. | 27 0.171 -0.101 1157.6 0.000
. |* | . |. | 28 0.137 -0.013 1160.2 0.000
. |* | . |. | 29 0.097 -0.049 1161.4 0.000
. |. | . |. | 30 0.055 -0.033 1161.9 0.000
. |. | . |. | 31 0.024 0.042 1162.0 0.000
. |. | . |. | 32 -0.006 -0.027 1162.0 0.000
. |. | . |. | 33 -0.042 -0.025 1162.2 0.000
.*|. | . |. | 34 -0.075 -0.001 1163.1 0.000
.*|. | . |. | 35 -0.101 0.017 1164.6 0.000
.*|. | . |. | 36 -0.122 0.046 1166.9 0.000
Según el correlograma esta tiene una memoria infinita con un comportamiento

amortiguado tendiente a cero. Sin embargo, la FAP tiene una memoria finita con un
solo pico identificable en el primer periodo. Por lo tanto se podría decir que este
proceso se comporta como un proceso AR(1).

Null Hypothesis: EXPORTACIONES_NT has a unit root
Exogenous: Constant
t-Statistic Prob.*

5% level -2.895109
10% level -2.584738

Dependent Variable: D(EXPORTACIONES_NT)
Date: 11/05/18 Time: 19:16
EXPORTACIONES_NT(-1) -0.012677 0.011773 -1.076730 0.2848

D(EXPORTACIONES_NT(-1)) -0.083413 0.090922 -0.917414 0.3616
D(EXPORTACIONES_NT(-4)) 0.559936 0.090410 6.193311 0.0000
C 0.110623 0.084437 1.310123 0.1939


3.5.
H1: La serie es estacionaria cuando el estadístico de Dickey-Fuller es menor a -3.5 y
mayor a 3.5. AR (1) estacionario.
Dado que el estadístico Dickey Fuller es de -1.07 entonces está dentro del rango de
-3.5 y 3.5. Por lo tanto, se acepta la hipótesis nula de que la serie no es estacionaria.
EN LOGARITMO:
Correlograma:
Date: 11/05/18 Time: 20:52

Sample: 1995Q1 2017Q4
. |******* . |******* 1 0.967 0.967 88.829 0.000

. |******* . |. | 2 0.934 -0.005 172.73 0.000
. |******* . |* | 3 0.910 0.098 253.11 0.000
. |******| . |. | 4 0.884 -0.017 329.95 0.000
. |******| .*|. | 5 0.849 -0.156 401.58 0.000
. |******| . |. | 6 0.815 0.007 468.45 0.000
. |******| . |* | 7 0.794 0.140 532.60 0.000
. |******| . |. | 8 0.776 0.055 594.61 0.000
. |***** | .*|. | 9 0.750 -0.092 653.18 0.000
. |***** | . |. | 10 0.722 -0.036 708.20 0.000
. |***** | . |. | 11 0.704 0.059 761.06 0.000
. |***** | . |. | 12 0.683 -0.047 811.47 0.000
. |***** | .*|. | 13 0.652 -0.108 857.98 0.000
. |**** | .*|. | 14 0.616 -0.085 900.10 0.000
. |**** | . |. | 15 0.588 0.023 938.94 0.000
. |**** | . |. | 16 0.558 -0.061 974.32 0.000
. |**** | .*|. | 17 0.517 -0.116 1005.1 0.000
. |*** | . |. | 18 0.477 -0.004 1031.7 0.000
. |*** | . |. | 19 0.447 0.040 1055.4 0.000
. |*** | . |. | 20 0.418 -0.023 1076.4 0.000
. |*** | .*|. | 21 0.380 -0.079 1094.0 0.000
. |** | . |. | 22 0.342 -0.058 1108.4 0.000
. |** | . |. | 23 0.312 0.034 1120.7 0.000
. |** | . |. | 24 0.282 -0.043 1130.8 0.000
. |** | .*|. | 25 0.242 -0.089 1138.4 0.000
. |* | . |. | 26 0.206 0.048 1143.9 0.000
. |* | .*|. | 27 0.171 -0.099 1147.8 0.000
. |* | . |. | 28 0.137 -0.015 1150.4 0.000
. |* | . |. | 29 0.097 -0.049 1151.6 0.000
. |. | . |. | 30 0.056 -0.040 1152.1 0.000
. |. | . |. | 31 0.025 0.041 1152.2 0.000
. |. | . |. | 32 -0.006 -0.026 1152.2 0.000
. |. | . |. | 33 -0.042 -0.030 1152.4 0.000
.*|. | . |. | 34 -0.076 -0.008 1153.3 0.000
.*|. | . |. | 35 -0.101 0.017 1154.8 0.000
.*|. | . |. | 36 -0.123 0.049 1157.2 0.000
Null Hypothesis: LEXPORTACIONES_NT has a unit root

Exogenous: Constant
t-Statistic Prob.*

5% level -2.895109
10% level -2.584738

Dependent Variable: D(LEXPORTACIONES_NT)
Date: 11/05/18 Time: 20:55
LEXPORTACIONES_NT(-1) -0.015091 0.011925 -1.265502 0.2093

D(LEXPORTACIONES_NT(-1)) -0.090058 0.092126 -0.977553 0.3312
D(LEXPORTACIONES_NT(-4)) 0.532865 0.091020 5.854381 0.0000
C 0.032572 0.023426 1.390424 0.1682

Ho:
H1:
EN PRIMERA DIFERENCIA:
Gráfico:
Podemos afirmar, según la gráfica, que la serie de DLEXPORTACIONES_NT
es estacionaria en media, pero no se podría afirmar los mismo con
respecto a la estacionariedad en varianza.
Correlograma:
Date: 11/05/18 Time: 20:58

Sample: 1995Q1 2017Q4
.*|. | .*|. | 1 -0.145 -0.145 1.9834 0.159

**|. | **|. | 2 -0.228 -0.255 6.9366 0.031
.*|. | **|. | 3 -0.149 -0.249 9.0701 0.028
. |**** | . |**** | 4 0.584 0.516 42.261 0.000
.*|. | .*|. | 5 -0.145 -0.080 44.319 0.000
**|. | **|. | 6 -0.297 -0.214 53.122 0.000
.*|. | .*|. | 7 -0.163 -0.143 55.804 0.000
. |**** | . |* | 8 0.517 0.195 83.071 0.000
.*|. | .*|. | 9 -0.195 -0.176 87.000 0.000
**|. | . |. | 10 -0.255 -0.064 93.772 0.000
.*|. | . |. | 11 -0.117 -0.018 95.222 0.000
. |**** | . |* | 12 0.545 0.196 127.10 0.000
.*|. | . |* | 13 -0.083 0.107 127.85 0.000
**|. | . |. | 14 -0.257 -0.054 135.09 0.000
.*|. | .*|. | 15 -0.140 -0.118 137.27 0.000
. |**** | . |* | 16 0.504 0.077 165.97 0.000
.*|. | . |. | 17 -0.088 0.013 166.86 0.000
**|. | . |. | 18 -0.258 -0.040 174.58 0.000
.*|. | .*|. | 19 -0.184 -0.103 178.56 0.000
. |*** | .*|. | 20 0.368 -0.148 194.72 0.000
.*|. | . |. | 21 -0.098 -0.049 195.88 0.000
**|. | .*|. | 22 -0.285 -0.074 205.83 0.000
. |. | . |* | 23 -0.060 0.124 206.27 0.000
. |*** | . |. | 24 0.391 0.021 225.56 0.000
.*|. | .*|. | 25 -0.099 -0.117 226.82 0.000
.*|. | . |* | 26 -0.173 0.107 230.70 0.000
.*|. | .*|. | 27 -0.114 -0.086 232.42 0.000
. |*** | . |* | 28 0.473 0.155 262.54 0.000
. |. | . |. | 29 -0.061 0.021 263.04 0.000
.*|. | . |. | 30 -0.184 -0.006 267.73 0.000
.*|. | . |. | 31 -0.138 -0.057 270.44 0.000
. |*** | . |* | 32 0.392 0.092 292.45 0.000
.*|. | .*|. | 33 -0.119 -0.085 294.51 0.000
.*|. | . |. | 34 -0.195 -0.048 300.14 0.000
.*|. | . |* | 35 -0.091 0.099 301.40 0.000
. |** | .*|. | 36 0.301 -0.170 315.37 0.000
Podemos observar que el correlograma presenta un componente

estacional, con un periodo estacional de 4.
Dickey fuller Aumentada:
Null Hypothesis: DLEXPORTACIONES_NT has a unit root

Exogenous: Constant
t-Statistic Prob.*

5% level -2.895109
10% level -2.584738

Dependent Variable: D(DLEXPORTACIONES_NT)
Date: 11/05/18 Time: 21:00
DLEXPORTACIONES_NT(-1) -0.819127 0.244951 -3.344044 0.0012

D(DLEXPORTACIONES_NT(-1)) -0.269696 0.195100 -1.382350 0.1706
C 0.001561 0.000778 2.007569 0.0480
R-squared 0.728464 Mean dependent var -8.90E-05


3.5.
TIPO DE CAMBIO REAL

Gráfico:
Según la gráfica, podemos afirmar, que la serie no es estacionaria en la
media y tampoco en la varianza.
Correlograma:
Date: 11/05/18 Time: 19:08
Sample: 1995Q1 2017Q4
. |******* . |******* 1 0.970 0.970 89.355 0.000

. |******* .*|. | 2 0.931 -0.162 172.57 0.000
. |******| . |. | 3 0.889 -0.047 249.32 0.000
. |******| . |. | 4 0.844 -0.057 319.36 0.000
. |******| . |. | 5 0.805 0.073 383.71 0.000
. |***** | .*|. | 6 0.760 -0.125 441.86 0.000
. |***** | .*|. | 7 0.710 -0.118 493.09 0.000
. |***** | . |. | 8 0.660 0.013 537.91 0.000
. |**** | .*|. | 9 0.605 -0.104 576.05 0.000
. |**** | .*|. | 10 0.548 -0.072 607.68 0.000
. |**** | . |. | 11 0.491 -0.021 633.43 0.000
. |*** | .*|. | 12 0.431 -0.088 653.47 0.000
. |*** | .*|. | 13 0.366 -0.115 668.12 0.000
. |** | .*|. | 14 0.294 -0.168 677.68 0.000
. |** | . |. | 15 0.225 0.060 683.36 0.000
. |* | . |. | 16 0.162 0.035 686.36 0.000
. |* | . |* | 17 0.109 0.078 687.74 0.000
. |. | . |. | 18 0.064 0.057 688.21 0.000
. |. | .*|. | 19 0.011 -0.183 688.23 0.000
. |. | .*|. | 20 -0.045 -0.074 688.47 0.000
.*|. | . |. | 21 -0.098 0.020 689.63 0.000
.*|. | . |. | 22 -0.147 0.036 692.29 0.000
.*|. | . |. | 23 -0.190 -0.030 696.81 0.000
**|. | . |* | 24 -0.222 0.120 703.07 0.000
**|. | .*|. | 25 -0.257 -0.120 711.63 0.000
**|. | . |. | 26 -0.287 0.031 722.46 0.000
**|. | .*|. | 27 -0.319 -0.120 736.00 0.000
***|. | .*|. | 28 -0.358 -0.182 753.30 0.000
***|. | . |. | 29 -0.388 0.029 773.99 0.000
***|. | . |. | 30 -0.414 -0.024 797.92 0.000
***|. | . |. | 31 -0.438 -0.009 825.17 0.000
***|. | . |. | 32 -0.456 0.060 855.18 0.000
***|. | . |. | 33 -0.474 -0.015 888.12 0.000
****|. | . |. | 34 -0.487 -0.000 923.54 0.000
****|. | . |. | 35 -0.490 0.018 960.03 0.000
****|. | . |. | 36 -0.490 -0.027 997.12 0.000
Se podría decir que el correlograma tiene un comportamiento sinusoidal

tendiente a cero. Esto se produce cuando las raíces del operador de
retardos son complejas. Por otro lado, la FAP presenta un pico claramente
identificable en el primer periodo, es decir, de memoria finita. Por lo que
podría decirse que el proceso de la serie es un AR(1) con raíces complejas.
Null Hypothesis: TCR has a unit root

Exogenous: Constant
t-Statistic Prob.*

5% level -2.893589
10% level -2.583931

Dependent Variable: D(TCR)
Date: 11/05/18 Time: 19:19
TCR(-1) -0.028212 0.023624 -1.194179 0.2356

C 2.937857 2.432572 1.207716 0.2304

S.E. of regression 2.477876 Akaike info criterion 4.674414
Sum squared resid 546.4486 Schwarz criterion 4.729598
Log likelihood -210.6858 Hannan-Quinn criter. 4.696677

3.5.
Ho: La serie no es estacionaria
H1: La serie es estacionaria
EN LOGARITMO:
Gráfico:
Correlograma:
Date: 11/05/18 Time: 21:06

Sample: 1995Q1 2017Q4

. |******* . |******* 1 0.970 0.970 89.341 0.000
. |******* .*|. | 2 0.930 -0.166 172.48 0.000
. |******| . |. | 3 0.887 -0.055 248.99 0.000
. |******| . |. | 4 0.842 -0.059 318.62 0.000
. |******| . |. | 5 0.801 0.074 382.40 0.000
. |***** | .*|. | 6 0.755 -0.129 439.78 0.000
. |***** | .*|. | 7 0.704 -0.098 490.27 0.000
. |***** | . |. | 8 0.654 0.003 534.32 0.000
. |**** | .*|. | 9 0.598 -0.110 571.63 0.000
. |**** | .*|. | 10 0.540 -0.077 602.34 0.000
. |*** | . |. | 11 0.481 -0.036 627.00 0.000
. |*** | .*|. | 12 0.418 -0.077 645.90 0.000
. |*** | .*|. | 13 0.353 -0.084 659.58 0.000
. |** | .*|. | 14 0.282 -0.159 668.42 0.000
. |** | . |. | 15 0.215 0.069 673.63 0.000
. |* | . |. | 16 0.156 0.062 676.41 0.000
. |* | . |. | 17 0.105 0.068 677.69 0.000
. |. | . |. | 18 0.062 0.033 678.13 0.000
. |. | .*|. | 19 0.011 -0.175 678.15 0.000
. |. | .*|. | 20 -0.045 -0.095 678.39 0.000
.*|. | . |. | 21 -0.098 0.008 679.55 0.000
.*|. | . |. | 22 -0.146 0.049 682.18 0.000
.*|. | . |. | 23 -0.189 -0.029 686.65 0.000
**|. | . |* | 24 -0.221 0.107 692.85 0.000
**|. | .*|. | 25 -0.255 -0.126 701.26 0.000
**|. | . |. | 26 -0.285 0.018 711.89 0.000
**|. | .*|. | 27 -0.316 -0.116 725.14 0.000
***|. | .*|. | 28 -0.353 -0.164 741.98 0.000
***|. | . |. | 29 -0.382 0.050 762.03 0.000
***|. | . |. | 30 -0.407 -0.010 785.14 0.000
***|. | . |. | 31 -0.431 -0.026 811.43 0.000
***|. | . |. | 32 -0.449 0.053 840.45 0.000
***|. | . |. | 33 -0.467 -0.021 872.35 0.000
****|. | . |. | 34 -0.480 -0.024 906.75 0.000
****|. | . |. | 35 -0.484 0.021 942.30 0.000
****|. | . |. | 36 -0.484 -0.018 978.55 0.000
Null Hypothesis: LTCR has a unit root

Exogenous: Constant
t-Statistic Prob.*

5% level -2.893589
10% level -2.583931

Dependent Variable: D(LTCR)
Date: 11/05/18 Time: 21:07
LTCR(-1) -0.028660 0.023779 -1.205269 0.2313

C 0.133012 0.109956 1.209682 0.2296

Ho: La serie no es estacionaria

H1: La serie es estacionaria
En primera diferencia:
Gráfico:
Según el gráfico, podría afirmarse que la serie es estacionaria en media,
pero no en varianza.
Correlograma:
Date: 11/05/18 Time: 21:13

Sample: 1995Q1 2017Q4
. |* | . |* | 1 0.185 0.185 3.2072 0.073

. |. | . |. | 2 0.009 -0.025 3.2158 0.200
. |* | . |* | 3 0.084 0.090 3.9014 0.272
. |. | .*|. | 4 -0.058 -0.095 4.2326 0.375
. |. | . |* | 5 0.046 0.082 4.4412 0.488
. |* | . |* | 6 0.125 0.094 5.9957 0.424
. |. | . |. | 7 0.073 0.050 6.5318 0.479
. |* | . |. | 8 0.092 0.061 7.3941 0.495
. |. | . |. | 9 0.053 0.017 7.6843 0.566
. |. | . |. | 10 -0.056 -0.064 8.0071 0.628
. |. | . |. | 11 0.048 0.062 8.2552 0.690
. |. | . |. | 12 0.052 0.019 8.5464 0.741
. |* | . |* | 13 0.101 0.097 9.6607 0.721
. |. | .*|. | 14 -0.037 -0.123 9.8082 0.776
. |. | . |. | 15 -0.056 -0.030 10.160 0.810
.*|. | .*|. | 16 -0.070 -0.079 10.709 0.827
.*|. | . |. | 17 -0.082 -0.042 11.485 0.830
. |. | . |* | 18 0.065 0.076 11.969 0.849
. |* | . |* | 19 0.168 0.141 15.274 0.705
. |. | .*|. | 20 -0.029 -0.099 15.376 0.755
.*|. | .*|. | 21 -0.088 -0.079 16.312 0.752
.*|. | . |. | 22 -0.081 -0.059 17.111 0.757
.*|. | .*|. | 23 -0.203 -0.121 22.227 0.507
. |* | . |* | 24 0.083 0.148 23.091 0.514
. |. | .*|. | 25 -0.055 -0.138 23.482 0.549
. |. | . |* | 26 0.030 0.103 23.598 0.599
. |* | . |. | 27 0.101 0.031 24.944 0.578
.*|. | .*|. | 28 -0.143 -0.113 27.707 0.480
.*|. | . |. | 29 -0.080 0.029 28.586 0.487
. |. | . |. | 30 0.038 0.036 28.788 0.529
.*|. | .*|. | 31 -0.075 -0.083 29.573 0.539
. |. | . |. | 32 -0.044 -0.053 29.847 0.576
. |. | .*|. | 33 -0.065 -0.081 30.465 0.594
.*|. | . |. | 34 -0.171 -0.063 34.823 0.429
. |. | . |. | 35 -0.048 0.009 35.176 0.460
. |. | . |. | 36 -0.027 0.034 35.286 0.502
En este caso tanto el correlograma como la FAP no presentan un

comportamiento definido.
Null Hypothesis: DLTCR has a unit root

Exogenous: Constant
t-Statistic Prob.*

5% level -2.893956
10% level -2.584126

Dependent Variable: D(DLTCR)
Date: 11/05/18 Time: 21:14
DLTCR(-1) -0.815204 0.104745 -7.782728 0.0000

C 0.000355 0.002553 0.139137 0.8897
R-squared 0.407690 Mean dependent var -1.56E-05


3.5.
Dado que el estadístico Dickey Fuller es de -7.78 entonces está fuera del rango de -3.5
y 3.5. Por lo tanto, se rechaza la hipótesis nula, y podría decirse que la serie es
estacionaria.
Granger para las tres variables:
Pairwise Granger Causality Tests

Date: 11/08/18 Time: 12:13
Sample: 1995Q1 2017Q4
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
PBI_UE does not Granger Cause TCR 90 1.40776 0.2503

TCR does not Granger Cause PBI_UE 0.17530 0.8395
EXPORTACIONES_NT does not Granger Cause TCR 90 1.73032 0.1834

TCR does not Granger Cause EXPORTACIONES_NT 1.45775 0.2385
EXPORTACIONES_NT does not Granger Cause PBI_UE 90 9.86836 0.0001

PBI_UE does not Granger Cause EXPORTACIONES_NT 0.46463 0.6300
Johansen para las tres variables
Date: 11/05/18 Time: 21:23

Trend assumption: No deterministic trend
Series: LPBI_UE LTCR LEXPORTACIONES_NT
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.191479 27.67691 24.27596 0.0179

At most 1 0.093515 8.760038 12.32090 0.1835
At most 2 0.000246 0.021941 4.129906 0.9036
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.191479 18.91688 17.79730 0.0338

At most 1 0.093515 8.738097 11.22480 0.1326
At most 2 0.000246 0.021941 4.129906 0.9036
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LEXPORTACION
LPBI_UE LTCR ES_NT
0.391144 -3.356003 1.611692
2.349536 -9.868988 -11.55959
-0.370070 4.519124 -5.422096
Unrestricted Adjustment Coefficients (alpha):
D(LPBI_UE) -0.040273 -0.010277 -0.001169

D(LTCR) -0.001153 0.007033 -4.32E-05
D(LEXPORTACI
ONES_NT) -0.005535 -0.001059 1.68E-05
1 Cointegrating Equation(s): Log likelihood 573.6944
Normalized cointegrating coefficients (standard error in parentheses)

LEXPORTACION
LPBI_UE LTCR ES_NT
1.000000 -8.579963 4.120454
(1.94037) (4.57255)
Adjustment coefficients (standard error in parentheses)

D(LPBI_UE) -0.015753
(0.00502)
D(LTCR) -0.000451
(0.00101)
D(LEXPORTACI
ONES_NT) -0.002165
(0.00052)
2 Cointegrating Equation(s): Log likelihood 578.0634
Normalized cointegrating coefficients (standard error in parentheses)

LEXPORTACION
LPBI_UE LTCR ES_NT
1.000000 0.000000 -13.59051
(0.35094)
0.000000 1.000000 -2.064224
(0.07660)
Adjustment coefficients (standard error in parentheses)

D(LPBI_UE) -0.039899 0.236582
(0.03047) (0.13336)
D(LTCR) 0.016074 -0.065544
(0.00584) (0.02555)
D(LEXPORTACI
ONES_NT) -0.004654 0.029028
(0.00313) (0.01369)
VAR
VAR CON UNA VARIABLE:
Vector Autoregression Estimates

Date: 11/08/18 Time: 12:20
Standard errors in ( ) & t-statistics in [ ]
EXPORTACIO
TCR NES_NT PBI_UE
TCR(-1) 0.951866 0.001169 -70713474

(0.02729) (0.00114) (7.6E+07)
[ 34.8768] [ 1.02321] [-0.92636]
EXPORTACIONES_NT(-
1) -1.185317 0.955452 1.39E+10
(1.08023) (0.04520) (3.0E+09)
[-1.09728] [ 21.1377] [ 4.60258]
PBI_UE(-1) 1.13E-11 1.05E-12 0.624266

(2.9E-11) (1.2E-12) (0.08191)
[ 0.38687] [ 0.85743] [ 7.62159]
C 12.44674 0.135802 -6.03E+10

(5.98322) (0.25036) (1.7E+10)
[ 2.08027] [ 0.54242] [-3.60305]
R-squared 0.952494 0.981927 0.947418

Adj. R-squared 0.950856 0.981304 0.945605
Sum sq. resids 519.5071 0.909631 4.06E+21
S.E. equation 2.443634 0.102252 6.83E+09
F-statistic 581.4497 1575.646 522.5235
Log likelihood -208.3854 80.43028 -2187.798
Akaike AIC 4.667810 -1.679786 48.17139
Schwarz SC 4.778178 -1.569419 48.28176
Mean dependent 102.4294 7.078423 7.97E+10
S.D. dependent 11.02302 0.747829 2.93E+10
Determinant resid covariance (dof adj.) 2.75E+18

Determinant resid covariance 2.40E+18
Log likelihood -2313.109
Akaike information criterion 51.10130
Schwarz criterion 51.43240
VAR CON DOS VARIABLES:

Date: 11/08/18 Time: 12:21
EXPORTACIO
TCR NES_NT PBI_UE
TCR(-1) 1.107558 -0.005472 4.02E+08

(0.11071) (0.00460) (2.7E+08)
[ 10.0046] [-1.18948] [ 1.50840]
TCR(-2) -0.157782 0.006625 -4.13E+08

(0.10960) (0.00455) (2.6E+08)
[-1.43963] [ 1.45476] [-1.56886]
EXPORTACIONES_NT(-
1) -1.041927 0.813433 2.70E+10
(2.67080) (0.11098) (6.4E+09)
[-0.39012] [ 7.32967] [ 4.20930]
EXPORTACIONES_NT(-
2) -0.071045 0.156356 -1.88E+10
(2.74453) (0.11404) (6.6E+09)
[-0.02589] [ 1.37105] [-2.84459]
PBI_UE(-1) -6.31E-12 1.54E-12 0.353741

(3.9E-11) (1.6E-12) (0.09426)
[-0.16096] [ 0.94782] [ 3.75298]
PBI_UE(-2) 1.76E-11 -9.96E-13 0.451064

(3.8E-11) (1.6E-12) (0.09190)
[ 0.45986] [-0.62708] [ 4.90811]
C 12.17158 0.079273 -4.08E+10

(6.67941) (0.27754) (1.6E+10)
[ 1.82225] [ 0.28562] [-2.54299]
R-squared 0.953626 0.982220 0.961916

Adj. R-squared 0.950274 0.980934 0.959163
Sum sq. resids 503.4831 0.869310 2.91E+21
S.E. equation 2.462937 0.102341 5.92E+09
F-statistic 284.4680 764.1805 349.3992
Log likelihood -205.1828 81.08948 -2149.241
Akaike AIC 4.715173 -1.646433 47.91647
Schwarz SC 4.909603 -1.452003 48.11090
Mean dependent 102.5274 7.091686 8.01E+10
S.D. dependent 11.04490 0.741178 2.93E+10

VAR CON 3 VARIABLES

Date: 11/08/18 Time: 12:22
EXPORTACIO
TCR NES_NT PBI_UE
TCR(-1) 1.104804 -0.006840 3.41E+08

(0.11185) (0.00432) (2.6E+08)
[ 9.87763] [-1.58311] [ 1.32337]
TCR(-2) -0.197679 0.009305 -3.49E+08

(0.16649) (0.00643) (3.8E+08)
[-1.18731] [ 1.44674] [-0.90997]
TCR(-3) 0.038691 -0.000895 21902214

(0.11414) (0.00441) (2.6E+08)
[ 0.33897] [-0.20291] [ 0.08328]
EXPORTACIONES_NT(-
1) -0.884078 0.797182 2.67E+10
(2.75938) (0.10660) (6.4E+09)
[-0.32039] [ 7.47859] [ 4.19720]
EXPORTACIONES_NT(-
2) 1.084352 -0.131956 -3.14E+10
(3.53404) (0.13652) (8.1E+09)
[ 0.30683] [-0.96656] [-3.86173]
EXPORTACIONES_NT(-
3) -2.162328 0.328326 1.36E+10
(2.94914) (0.11393) (6.8E+09)
[-0.73321] [ 2.88193] [ 1.99758]
PBI_UE(-1) -1.55E-11 7.29E-13 0.288432

(4.7E-11) (1.8E-12) (0.10812)
[-0.32964] [ 0.40205] [ 2.66766]
PBI_UE(-2) 1.60E-11 -3.76E-12 0.307627

(4.2E-11) (1.6E-12) (0.09770)
[ 0.37743] [-2.29629] [ 3.14857]
PBI_UE(-3) 3.02E-11 3.15E-12 0.205511

(4.4E-11) (1.7E-12) (0.10141)
[ 0.68666] [ 1.85351] [ 2.02662]
C 17.06777 -0.086079 -4.66E+10

(7.11271) (0.27477) (1.6E+10)
[ 2.39961] [-0.31328] [-2.84253]
R-squared 0.955509 0.985056 0.966442

Adj. R-squared 0.950440 0.983353 0.962619
Sum sq. resids 476.9234 0.711708 2.53E+21
S.E. equation 2.457032 0.094916 5.66E+09
F-statistic 188.5151 578.5926 252.7906
Log likelihood -200.9886 88.59267 -2119.651
Akaike AIC 4.741316 -1.766127 47.85733
Schwarz SC 5.020938 -1.486505 48.13695
Mean dependent 102.6584 7.104264 8.04E+10
S.D. dependent 11.03688 0.735654 2.93E+10

VAR CON 4 VARIABLES

Date: 11/08/18 Time: 12:23
EXPORTACIO
TCR NES_NT PBI_UE
TCR(-1) 1.086165 -0.008474 2.73E+08

(0.11611) (0.00435) (2.6E+08)
[ 9.35474] [-1.94838] [ 1.04458]
TCR(-2) -0.200907 0.009560 -2.54E+08

(0.17093) (0.00640) (3.8E+08)
[-1.17537] [ 1.49307] [-0.66147]
TCR(-3) 0.105194 0.003422 -3.09E+08

(0.17392) (0.00651) (3.9E+08)
[ 0.60484] [ 0.52527] [-0.79026]
TCR(-4) -0.046720 -0.003188 3.37E+08

(0.11677) (0.00437) (2.6E+08)
[-0.40011] [-0.72886] [ 1.28324]
EXPORTACIONES_NT(-
1) -2.319064 0.716424 2.36E+10
(3.00677) (0.11263) (6.8E+09)
[-0.77128] [ 6.36087] [ 3.48736]
EXPORTACIONES_NT(-
2) 2.309857 -0.062011 -2.70E+10
(3.83410) (0.14362) (8.6E+09)
[ 0.60245] [-0.43177] [-3.13491]
EXPORTACIONES_NT(-
3) -5.433322 0.147409 1.06E+10
(3.89904) (0.14605) (8.8E+09)
[-1.39350] [ 1.00928] [ 1.20348]
EXPORTACIONES_NT(-
4) 3.872322 0.207052 3.89E+08
(3.20418) (0.12002) (7.2E+09)
[ 1.20852] [ 1.72508] [ 0.05398]
PBI_UE(-1) -3.33E-11 -2.72E-13 0.233138
(5.0E-11) (1.9E-12) (0.11237)
[-0.66678] [-0.14530] [ 2.07467]
PBI_UE(-2) 2.68E-11 -3.22E-12 0.248717

(5.0E-11) (1.9E-12) (0.11155)
[ 0.54010] [-1.73162] [ 2.22967]
PBI_UE(-3) 1.31E-11 2.16E-12 0.142828

(4.7E-11) (1.8E-12) (0.10612)
[ 0.27759] [ 1.21983] [ 1.34588]
PBI_UE(-4) 1.24E-11 9.11E-13 0.220606

(4.7E-11) (1.8E-12) (0.10527)
[ 0.26416] [ 0.51966] [ 2.09565]
C 15.62045 -0.115562 -4.36E+10

(7.84340) (0.29380) (1.8E+10)
[ 1.99154] [-0.39333] [-2.47247]
R-squared 0.956374 0.985927 0.968657

Adj. R-squared 0.949394 0.983675 0.963642
Sum sq. resids 461.5430 0.647617 2.33E+21
S.E. equation 2.480707 0.092924 5.58E+09
F-statistic 137.0144 437.8488 193.1581
Log likelihood -197.7851 91.25230 -2092.733
Akaike AIC 4.790570 -1.778461 47.85757
Schwarz SC 5.156540 -1.412491 48.22354
Mean dependent 102.7921 7.118591 8.08E+10
S.D. dependent 11.02746 0.727276 2.93E+10

VAR CON 5 VARIABLES

Date: 11/08/18 Time: 12:24
EXPORTACIO
TCR NES_NT PBI_UE
TCR(-1) 1.033192 -0.003977 3.45E+08

(0.11724) (0.00384) (2.7E+08)
[ 8.81233] [-1.03669] [ 1.27630]
TCR(-2) -0.182153 0.005833 -2.76E+08

(0.16866) (0.00552) (3.9E+08)
[-1.08002] [ 1.05687] [-0.71036]
TCR(-3) 0.137680 0.004307 -3.63E+08

(0.17198) (0.00563) (4.0E+08)
[ 0.80055] [ 0.76538] [-0.91470]
TCR(-4) -0.214824 -0.007550 4.48E+08

(0.17169) (0.00562) (4.0E+08)
[-1.25122] [-1.34385] [ 1.13162]
TCR(-5) 0.178787 0.002771 -90536787

(0.11654) (0.00381) (2.7E+08)
[ 1.53416] [ 0.72662] [-0.33685]
EXPORTACIONES_NT(-
1) -3.975313 0.866795 2.65E+10
(3.13148) (0.10247) (7.2E+09)
[-1.26947] [ 8.45865] [ 3.66569]
EXPORTACIONES_NT(-
2) 1.726579 -0.006136 -2.78E+10
(3.79280) (0.12412) (8.7E+09)
[ 0.45523] [-0.04944] [-3.17964]
EXPORTACIONES_NT(-
3) -4.769938 0.054525 1.22E+10
(3.98532) (0.13042) (9.2E+09)
[-1.19688] [ 0.41809] [ 1.32303]
EXPORTACIONES_NT(-
4) -1.571174 0.607750 6.14E+09
(3.90048) (0.12764) (9.0E+09)
[-0.40282] [ 4.76146] [ 0.68232]
EXPORTACIONES_NT(-
5) 6.962311 -0.583179 -9.47E+09
(3.26416) (0.10682) (7.5E+09)
[ 2.13296] [-5.45965] [-1.25761]
PBI_UE(-1) -5.34E-11 -6.62E-13 0.206588

(5.1E-11) (1.7E-12) (0.11670)
[-1.05460] [-0.40001] [ 1.77028]
PBI_UE(-2) 1.30E-12 -1.23E-12 0.255782

(5.0E-11) (1.7E-12) (0.11641)
[ 0.02575] [-0.74198] [ 2.19730]
PBI_UE(-3) 4.30E-11 8.69E-14 0.064972

(5.1E-11) (1.7E-12) (0.11816)
[ 0.83954] [ 0.05185] [ 0.54986]
PBI_UE(-4) -1.05E-11 1.89E-12 0.210102

(4.7E-11) (1.5E-12) (0.10914)
[-0.22230] [ 1.21931] [ 1.92515]
PBI_UE(-5) 3.76E-11 1.62E-12 0.125026

(4.8E-11) (1.6E-12) (0.11034)
[ 0.78634] [ 1.03257] [ 1.13307]
C 15.61584 0.175225 -4.70E+10

(8.24869) (0.26993) (1.9E+10)
[ 1.89313] [ 0.64915] [-2.46914]
R-squared 0.960184 0.989968 0.969781

Adj. R-squared 0.951772 0.987848 0.963397
Sum sq. resids 416.7291 0.446257 2.22E+21
S.E. equation 2.422689 0.079280 5.59E+09
F-statistic 114.1462 467.0735 151.9021
Log likelihood -191.5916 105.9177 -2067.219
Akaike AIC 4.772221 -2.067075 47.89008
Schwarz SC 5.225722 -1.613574 48.34358
Mean dependent 102.9137 7.132751 8.12E+10
S.D. dependent 11.03183 0.719187 2.92E+10
COMPARACIÓN:
Schwarz
VAR Akaike Information Criterion Criterion
1 VARIABLE 51.1013 51.4324
2 VARIABLES 50.89262 51.47591
3 VARIABLES 50.78233 51.6212
4 VARIABLES 50.78459 51.8825
5 VARIABLES 50.550881 51.91131
En este caso, cuando el VAR considera un rezago, el criterio de

información Schwarz toma su valor mínimo. Sin embargo, el criterio de
información Akaike toma su valor mínimo cuando el VAR considera 5
rezagos. Por lo que el rezago óptimo podría ser el punto medio, es decir, el
rezago 3.
Comente brevemente los gráficos, tablas, correlogramas, pruebas de

DFA y el modelo Var con el n° óptimo de rezagos.
Los apellidos A – M toma α=1%
Los apellidos N – Z toma α=5%
2.- Estimar la función Yt= αXβ+ μt aplicando el algoritmo de:

Los apellidos A – M toma algoritmo de Gauss Newton
Los apellidos N – Z toma algortimo de Newton Raphson.
Proponer sus valores iniciales.
Prof. Del curso 16 de julio del 2021.
- La gradiente de la función objetivo:

T
^ 2
F ( θ^ )=∑ ( Y t −α^ x t β )
1
T T
( 1
^
1
^
∇ F ( x t , α^ , ^β )= 2 ∑ u^ t (−xt β ) , 2 ∑ u^ t (−^α ^β x t β−1 ) )
T
[( ]
^
2 ∑ u^ t (−x tβ )
∑
T
1
T
1
^
2 ∑ u^ t (−α^ β^ xt β −1)
1
)( T
1
^
T
1
^
2 ∑ u^ t (−x t β ) ,2 ∑ u^ t (−^α β^ xt β −1) )
−1
T T
[( ][( )]
β^ ^
∑ u^ t (−x tβ )
)
T 2 ∑ u^ t (−xt ) T T T
α^
=1+
() ()
β^ n 2
∑
1
T
1
2 ∑ u^ t ( −α^ ^β xt
^β −1
)
( 1
^
1
^
2 ∑ u^ t (−x t β ) ,2 ∑ u^ t (−^α ^β x t β −1) ) ∑
1
T
1
β^ −1
∑ u^ t (−α^ β^ xt )
u^ t
n−1
1 1
Valores iniciales en n-1: α =1 , β=1

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Cañari Becerra José Antonio 18120005

PBI UNIÓN EUROPEA

Podemos observar una tendencia

Date: 11/07/18 Time: 17:53

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |******* . |******* 1 0.941 0.941 84.095 0.000

Dickey Fuller Aumentada:

Null Hypothesis: PBI_UE has a unit root

Augmented Dickey-Fuller test statistic 0.954632 0.9958

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

Augmented Dickey-Fuller Test Equation

Variable Coefficient Std. Error t-Statistic Prob.

PBI_UE(-1) 0.022534 0.023605 0.954632 0.3425

R-squared 0.388216 Mean dependent var 9.80E+08

Date: 11/07/18 Time: 18:58

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |******* . |******* 1 0.904 0.904 77.745 0.000

Dickey Fuller Aumentada:

Null Hypothesis: LPBI_UE has a unit root

Augmented Dickey-Fuller test statistic -0.800926 0.8138

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

Variable Coefficient Std. Error t-Statistic Prob.

LPBI_UE(-1) -0.030060 0.037531 -0.800926 0.4254

R-squared 0.245250 Mean dependent var 0.010866

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

****|. | ****|. | 1 -0.489 -0.489 22.494 0.000

En este caso el correlograma como la FAP presentan comportamiento regular,

Augmented Dickey-Fuller test statistic -16.03344 0.0001

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

Augmented Dickey-Fuller Test Equation

Variable Coefficient Std. Error t-Statistic Prob.

DLPBI_UE(-1) -1.489207 0.092881 -16.03344 0.0000

R-squared 0.744980 Mean dependent var -0.000425

Los valores críticos para el nivel de significancia de 1% es -3.5 y 3.5.

Podríamos decir que la serie de Exportaciones NT presenta una clara tendencia

Date: 11/05/18 Time: 19:06

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |******* . |******* 1 0.967 0.967 88.928 0.000

Según el correlograma esta tiene una memoria infinita con un comportamiento

Dickey Fuller Aumentada:

Augmented Dickey-Fuller test statistic -1.076730 0.7219

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

Variable Coefficient Std. Error t-Statistic Prob.

EXPORTACIONES_NT(-1) -0.012677 0.011773 -1.076730 0.2848

R-squared 0.443011 Mean dependent var 0.024876

Los valores críticos para el nivel de significancia de 1% es -3.5 y 3.5.

Date: 11/05/18 Time: 20:52

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

. |******* . |******* 1 0.967 0.967 88.829 0.000

Dickey Fuller Aumentada:

Null Hypothesis: LEXPORTACIONES_NT has a unit root

Augmented Dickey-Fuller test statistic -1.265502 0.6424

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

Augmented Dickey-Fuller Test Equation

Variable Coefficient Std. Error t-Statistic Prob.

LEXPORTACIONES_NT(-1) -0.015091 0.011925 -1.265502 0.2093

R-squared 0.416203 Mean dependent var 0.003599

Date: 11/05/18 Time: 20:58

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

.*|. | .*|. | 1 -0.145 -0.145 1.9834 0.159

Podemos observar que el correlograma presenta un componente

Dickey fuller Aumentada:

. |* . |* 1 0.941 0.941 84.095 0.000

. |* . |* 1 0.904 0.904 77.745 0.000

|. | |. | 1 -0.489 -0.489 22.494 0.000

. |* . |* 1 0.967 0.967 88.928 0.000

. |* . |* 1 0.967 0.967 88.829 0.000

.|. | .|. | 1 -0.145 -0.145 1.9834 0.159

. |* . |* 1 0.970 0.970 89.355 0.000

Unrestricted Cointegrating Coefficients (normalized by b'S11b=I):