a partir de la información suministrada en las siguientes hojas

A PARTIR DE LA INFORMACIÓN SUMINISTRADA
EN LAS SIGUIENTES HOJAS, CONTRASTAR EL
CUMPLIMIENTO DE LAS HIPÓTESIS DEL MBRL Y
JUSTIFICAR LAS SUCESIVAS ELECCIONES DE LAS
REGRESIONES 1ª, 2ª, 3ª Y DEFINITIVA.
DETERMINAR LA VALIDEZ
FINALMENTE SELECCIONADO
DEL
MODELO
Econometría I. 3º LADE
Prof. Rafael de Arce
Enero 2003
[email protected]
Regresión inicial:
Dependent Variable: @PCH(FBCK)
Method: Least Squares
Sample(adjusted): 1981:1 2002:1
Included observations: 85 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(-1))
@PCH(EBEF)
MIBOR3M(-4)
@PCH(FBCK(-1))
-0.000849
-0.082837
0.003012
0.000145
0.966078
0.003030
0.222276
0.106613
0.000159
0.073065
-0.280249
-0.372675
0.028247
0.912442
13.22216
0.7800
0.7104
0.9775
0.3643
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.872550
0.866177
0.005968
0.002849
317.2840
0.602030
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.010078
0.016314
-7.347858
-7.204172
136.9238
0.000000
2ª Regresión propuesta
Dependent Variable: @PCH(FBCK)
Method: Least Squares
Sample(adjusted): 1981:1 2002:1
Included observations: 85 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(-1)+FBCK(-1))
@PCH(EBEF)
MIBOR3M(-4)
-0.012515
1.866697
0.385611
6.88E-05
0.003183
0.112127
0.114533
0.000201
-3.932263
16.64812
3.366813
0.341568
0.0002
0.0000
0.0012
0.7336
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.793133
0.785472
0.007556
0.004625
296.6992
0.466342
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.010078
0.016314
-6.887040
-6.772092
103.5189
0.000000
3ª Regresión propuesta
Dependent Variable: @PCH(FBCK)
Method: Least Squares
Sample(adjusted): 1981:1 2002:2
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(-1)+FBCK(-1))
@PCH(EBEF)
MIBOR3M(-4)
FIC923
-0.040247
2.276896
0.556332
0.001323
0.014296
0.007098
0.139777
0.110873
0.000346
0.003306
-5.670539
16.28946
5.017732
3.824841
4.324401
0.0000
0.0000
0.0000
0.0003
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.830869
0.822517
0.006833
0.003781
309.3484
0.726528
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.010059
0.016218
-7.077869
-6.935174
99.47968
0.000000
INFORMACIÓN DE APOYO PARA LA TOMA DE DECISIONES
A. Correlación entre las variables explicativas:
@PCH(FBCK)
@PCH(FBCK)
@PCH(GTOHOGK(-1))
@PCH(EBEF)
MIBOR3M(-4)
@PCH(FBCK(-1))
@PCH(GTOHOG
K(-1))
0.709218
1.000000
-0.359500
-0.402549
0.778941
1.000000
0.709218
0.020301
-0.250831
0.931744
@PCH(EBEF)
MIBOR3M(-4)
@PCH(FBCK(-1))
0.020301
-0.359500
1.000000
0.428392
-0.006646
-0.250831
-0.402549
0.428392
1.000000
-0.307170
0.931744
0.778941
-0.006646
-0.307170
1.000000
B. Gráficos de ajuste y de residuos:
1ª Regresión propuesta
2ª Regresión propuesta
0.04
0.04
0.02
0.02
0.00
0.00
-0.02
0.02
-0.02
0.02
0.01
-0.04
-0.04
0.01
0.00
0.00
-0.01
-0.01
-0.02
-0.02
-0.03
82
84
86
88
90
92
Residual
94
Actual
96
98
00
02
82
84
Fitted
86
88
90
Residual
92
94
Actual
96
98
00
02
Fitted
C. Regresión parcial 1
Dependent Variable: @PCH(GTOHOGK(-1))
Method: Least Squares
Sample(adjusted): 1981:1 2002:2
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(EBEF)
MIBOR3M(-4)
@PCH(FBCK(-1))
0.009105
-0.246827
-1.96E-05
0.266731
0.001109
0.045424
7.80E-05
0.020973
8.209129
-5.433812
-0.251240
12.71762
0.0000
0.0000
0.8023
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.732506
0.722720
0.002967
0.000722
380.5656
0.454711
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.006011
0.005634
-8.757339
-8.643184
74.84976
0.000000
D. Regresión parcial 2
Dependent Variable: @PCH(FBCK(-1))
Method: Least Squares
Sample(adjusted): 1981:1 2002:2
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(-1))
@PCH(EBEF)
MIBOR3M(-4)
-0.016824
2.487796
0.719925
-0.000373
0.004177
0.195618
0.140904
0.000235
-4.027306
12.71762
5.109325
-1.587571
0.0001
0.0000
0.0000
0.1162
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.701748
0.690837
0.009060
0.006731
284.5504
0.435285
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.009906
0.016295
-6.524429
-6.410273
64.31190
0.000000
E. Regresión parcial 3
Dependent Variable: @PCH(FBCK)
Method: Least Squares
Sample(adjusted): 1981:1 1992:2
Included observations: 46 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(1)+FBCK(-1))
@PCH(EBEF)
MIBOR3M(-4)
-0.053147
2.622747
0.010536
0.199072
-5.044215
13.17484
0.0000
0.0000
0.646715
0.001849
0.133171
0.000519
4.856264
3.563080
0.0000
0.0009
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.862086
0.852235
0.006348
0.001693
169.5614
0.619415
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.011589
0.016515
-7.198321
-7.039309
87.51244
0.000000
F. Regresión parcial 4
Dependent Variable: @PCH(FBCK)
Method: Least Squares
Sample: 1992:3 2002:2
Included observations: 40
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(1)+FBCK(-1))
@PCH(EBEF)
MIBOR3M(-4)
-0.025198
1.765159
0.005754
0.223043
-4.379188
7.913980
0.0001
0.0000
0.985561
0.000598
0.268364
0.000473
3.672480
1.265389
0.0008
0.2139
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.829528
0.815322
0.006831
0.001680
144.8036
0.919089
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.008300
0.015895
-7.040179
-6.871291
58.39261
0.000000
G. Tabla F-Snedecor (para el 95% de confianza)
Grados libertad
4,77
Valor de tablas
13,65
H. Descripción de las variables
@PCH(FBCK)
@PCH(GTOHOGK(-1))
@PCH(EBEF)
MIBOR3M(-4)
@PCH(FBCK(-1))
FIC923
FICJUN92
Cto. Intertrimestral Form Bta. Capital Fijo
Cto. Intertrimestral Consumo privado período precedente
Cto. Intertrimestral Excedente Bruto de Explotación
Tipo de Interés MIBOR 3 meses hace cuatro trimestres
Endógena desplazada un período
Ficticia de escalón: unos desde 1992:3 y ceros resto
Ficticia de impacto: todo ceros y un uno en 1992:2: EXPO Y
BARCELONA
REGRESIÓN SELECCIONADA DEFINITIVAMENTE
Dependent Variable: @PCH(FBCK)
Method: Least Squares
Sample(adjusted): 1981:1 2002:2
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@PCH(GTOHOGK(-1)+FBCK(-1))
@PCH(EBEF)
MIBOR3M(-4)
FIC923
FICJUN92
-0.026858
2.054360
0.213218
0.001191
0.010534
-0.019206
0.006780
0.130507
0.119023
0.000305
0.002998
0.003834
-3.961215
15.74133
1.791407
3.906844
3.513836
-5.009263
0.0002
0.0000
0.0770
0.0002
0.0007
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.871252
0.863205
0.005998
0.002878
321.0795
0.716334
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.010059
0.016218
-7.327429
-7.156196
108.2737
0.000000