APLICACIÓN (23N)REMEDIACIÓN DE HETEROSCEDASICIDAD

1) Estimar el modelo: Yi = B0 +B1X1i+ B2X2i+ B3X3i+ ui con la información siguiente

2) Probar la heteroscedasticidad del modelo estimado por la prueba de Breusch-Pagan-
Godfrey
3) Remediar la heteroscedasticidad del modelo mediante el método HAC
4) Remediar la autocorrelacion del modelo corrigiendo la autocorrelacion del modelo

Y X1 X2 X3
1 65.4 96 49 17.5
2 56 97 55 20
3 55.9 97 55 20
4 49 105 70 20
5 46.5 96 53 20
6 46.2 105 70 20
7 45.4 97 55 20
8 59.2 98 62 22.5
9 53.3 98 62 22.5
10 43.4 107 80 22.5
11 41.1 103 73 22.5
12 40.9 113 92 22.5
13 40.9 113 92 22.5
14 40.4 103 73 22.5
15 39.6 100 66 22.5
16 39.3 103 73 22.5
17 38.9 106 78 22.5
18 38.8 113 92 22.5
19 38.2 106 78 22.5
20 42.2 109 90 25
21 40.9 110 92 25
22 40.7 101 74 25
23 40 111 95 25
24 39.3 105 81 25
25 38.8 111 95 25
26 38.4 110 92 25
27 38.4 110 92 25
28 38.4 11 92 25
29 46.9 90 52 27.5
30 36.3 112 103 27.5
31 36.1 103 84 27.5
32 36.1 103 84 27.5
33 35.4 111 102 27.5
34 35.3 111 102 27.5
35 35.1 102 81 27.5
36 35.1 106 90 27.5
37 35 106 90 27.5
38 33.2 109 102 30
39 32.9 109 102 30
40 32.3 120 130 30
41 32.2 106 95 30
42 32.2 106 95 30
43 32.2 109 102 30
44 32.2 106 95 30
45 31.5 105 93 30
46 31.5 108 100 30
47 31.4 108 100 30
48 31.4 107 98 30
49 31.2 120 130 30
50 33.7 109 115 35
51 32.6 109 115 35
 52 31.3 109 115 35
53 31.3 109 115 35
54 30.4 133 180 35
55 28.9 125 160 35
56 28 115 130 35
57 28 102 96 35
58 28 109 115 35
59 28 104 100 35
60 28 105 100 35
61 27.7 120 145 35
62 25.6 107 120 40
63 25.3 114 140 40
64 23.9 114 140 40
65 23.6 117 150 40
66 23.6 122 165 40
67 23.6 122 165 40
68 23.6 122 165 40
69 23.6 122 165 40
70 23.5 148 245 40
71 23.4 160 280 40
72 23.4 121 162 40
73 23.1 121 162 40
74 22.9 110 140 45
75 22.9 110 140 45
76 19.5 121 175 45
77 18.1 165 322 45
78 18.1 140 238 45
79 17.2 147 263 45
80 17 157 295 45
81 13.2 130 236 45

1) Estimación del modelo:

Dependent Variable: Y
Method: Least Squares
Date: 02/12/23 Time: 11:16
Sample: 1 81
Included observations: 81

Variable Coefficient Std. Error t-Statistic Prob.  

C 68.69601 4.324382 15.88574 0.0000

X1 -0.001848 0.041746 -0.044261 0.9648
X2 -0.018270 0.019198 -0.951661 0.3442
X3 -1.052756 0.106320 -9.901782 0.0000

R-squared 0.839744    Mean dependent var 33.85185

Adjusted R-squared 0.833501    S.D. dependent var 10.02675
S.E. of regression 4.091350    Akaike info criterion 5.703749
Sum squared resid 1288.914    Schwarz criterion 5.821993
Log likelihood -227.0018    Hannan-Quinn criter. 5.751190
F-statistic 134.4941    Durbin-Watson stat 0.701163
Prob(F-statistic) 0.000000
 2) Probar la heteroscedasticidad del modelo mediant la prueba de Breusch-Pagan-Godfrey

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 3.163981    Prob. F(3,77) 0.0292

Obs*R-squared 8.889237    Prob. Chi-Square(3) 0.0308
Scaled explained SS 27.60182    Prob. Chi-Square(3) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 02/12/23 Time: 11:18
Sample: 1 81
Included observations: 81

Variable Coefficient Std. Error t-Statistic Prob.  

C 74.36531 42.66747 1.742904 0.0853

X1 -0.064702 0.411896 -0.157085 0.8756
X2 -0.006360 0.189423 -0.033574 0.9733
X3 -1.636478 1.049028 -1.559994 0.1229

R-squared 0.109744    Mean dependent var 15.91252

Adjusted R-squared 0.075058    S.D. dependent var 41.97419
S.E. of regression 40.36821    Akaike info criterion 10.28208
Sum squared resid 125478.6    Schwarz criterion 10.40033
Log likelihood -412.4244    Hannan-Quinn criter. 10.32953
F-statistic 3.163981    Durbin-Watson stat 1.082641
Prob(F-statistic) 0.029182
3) Remediar mediante el método HAC

Dependent Variable: Y
Method: Least Squares
Date: 02/12/23 Time: 11:20
Sample: 1 81
Included observations: 81
HAC standard errors & covariance (Bartlett kernel, Newey-West fixed
        bandwidth = 4.0000)

Variable Coefficient Std. Error t-Statistic Prob.  

C 68.69601 4.487661 15.30775 0.0000

X1 -0.001848 0.021813 -0.084708 0.9327
X2 -0.018270 0.015159 -1.205232 0.2318
X3 -1.052756 0.143952 -7.313260 0.0000

R-squared 0.839744    Mean dependent var 33.85185

Adjusted R-squared 0.833501    S.D. dependent var 10.02675
S.E. of regression 4.091350    Akaike info criterion 5.703749
Sum squared resid 1288.914    Schwarz criterion 5.821993
Log likelihood -227.0018    Hannan-Quinn criter. 5.751190
F-statistic 134.4941    Durbin-Watson stat 0.701163
Prob(F-statistic) 0.000000    Wald F-statistic 51.38290
Prob(Wald F-statistic) 0.000000

3) Remediar la heteroscedasticidad corrigiendo previamente la autocorrelación

Dependent Variable: Y
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 02/12/23 Time: 11:24
Sample: 1 81
Included observations: 81
Convergence achieved after 66 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.  

C 61.36069 7.114855 8.624306 0.0000

X1 0.044378 0.018116 2.449627 0.0166
X2 -0.039664 0.014832 -2.674187 0.0092
X3 -0.885568 0.198992 -4.450261 0.0000
AR(1) 0.746084 0.128368 5.812064 0.0000
SIGMASQ 9.453409 1.152073 8.205564 0.0000

R-squared 0.904794    Mean dependent var 33.85185

Adjusted R-squared 0.898447    S.D. dependent var 10.02675
S.E. of regression 3.195259    Akaike info criterion 5.242442
Sum squared resid 765.7261    Schwarz criterion 5.419809
Log likelihood -206.3189    Hannan-Quinn criter. 5.313604
F-statistic 142.5536    Durbin-Watson stat 1.979667
Prob(F-statistic) 0.000000

Inverted AR Roots       .75

 4) Probando la heteroscedasticidad del nuevo modelo estimado

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic 1.318252     Prob. F(3,77) 0.2746

Obs*R-squared 3.956965     Prob. Chi-Square(3) 0.2661
Scaled explained SS 20.81532     Prob. Chi-Square(3) 0.0001

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 02/12/23 Time: 11:25
Sample: 1 81
Included observations: 81

Variable Coefficient Std. Error t-Statistic Prob.  

C 51.19879 35.01195 1.462323 0.1477

X1 -0.151739 0.337992 -0.448942 0.6547
X2 0.044136 0.155436 0.283951 0.7772
X3 -0.973666 0.860808 -1.131106 0.2615

R-squared 0.048851     Mean dependent var 9.453409

Adjusted R-squared 0.011794     S.D. dependent var 33.32231
S.E. of regression 33.12523     Akaike info criterion 9.886589
Sum squared resid 84490.64     Schwarz criterion 10.00483
Log likelihood -396.4069     Hannan-Quinn criter. 9.934031
F-statistic 1.318252     Durbin-Watson stat 1.951739
Prob(F-statistic) 0.274565