Practica 6 ARIMAS

Universidad de la República, Facultad de Ciencias Económicas y Administración.
ECONOMETRÍA II - CURSO 2004
PRACTICO 6
MODELOS DE SERIES DE TIEMPO (III)
EJERCICIO 1
Para una muestra “suficientemente grande”, un estudiante de Econometría II intenta ajustar un
modelo a la serie Y. A continuación les presenta distintas salidas referidas a la variable Y y a su
primera diferencia (DIFY).
IDENT Y
==========================================================================
Autocorrelations
Partial Autocorrelations
ac
pac
==========================================================================
|
. |************ |
. |************ | 1 0.889 0.889
|
. |*********** |
. |*****
| 2 0.864 0.353
|
. |*********** |
. |*.
| 3 0.828 0.095
|
. |*********** |
. |*.
| 4 0.811 0.115
|
. |**********
|
. |*.
| 5 0.793 0.077
|
. |**********
|
. | .
| 6 0.768 -0.002
|
. |**********
|
. | .
| 7 0.743 -0.019
|
. |*********
|
**| .
| 8 0.696 -0.136
|
. |*********
|
.*| .
| 9 0.666 -0.042
|
. |********
|
. | .
| 10 0.632 -0.036
==========================================================================
Box-Pierce Q-Stat 2202.49
Prob
0.0000
SE of Correlations 0.058
Ljung-Box Q-Stat 2266.47
Prob
0.0000
==========================================================================
IDENT DIFY
==========================================================================
Autocorrelations
Partial Autocorrelations
ac
pac
==========================================================================
|
*****| .
|
*****| .
| 1 -0.392 -0.392
|
. | .
|
**| .
| 2 0.033 -0.143
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.*| .
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**| .
| 3 -0.075 -0.140
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. | .
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.*| .
| 4 0.004 -0.098
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. | .
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. | .
| 5 0.033 -0.017
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. | .
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. | .
| 6 -0.000 -0.001
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. |*.
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. |*.
| 7 0.089 0.112
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.*| .
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. | .
| 8 -0.086 0.007
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. | .
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. | .
| 9 0.025 0.012
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. | .
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. | .
| 10 0.009 0.037
==========================================================================
Box-Pierce Q-Stat
58.51
Prob
0.0000
SE of Correlations 0.058
Ljung-Box Q-Stat
59.49
Prob
0.0000
==========================================================================
LS // Dependent Variable is DIFY
Convergence achieved after 2 iterations
========================================================================
VARIABLE
COEFFICIENT
STD. ERROR
T-STAT.
2-TAIL SIG.
========================================================================
C
-0.0017799
0.0431089
-0.0412888
0.9671
-----------------------------------------------------------------------AR(1)
-0.3941970
0.0535663
-7.3590503
0.0000
========================================================================
R-squared
0.155105
Mean of dependent var
-0.001551
Adjusted R-squared
0.152240
S.D. of dependent var
1.124949
S.E. of regression
1.035784
Sum of squared resid
316.4903
Log likelihood
-430.8635
F-statistic
54.15562
Durbin-Watson stat
2.110991
Prob(F-statistic)
0.000000
========================================================================
1
Autocorrelograma de los residuos del modelo ARIMA(1,1,0)
IDENT RESID
==========================================================================
Autocorrelations
Partial Autocorrelations
ac
pac
==========================================================================
|
.*| .
|
.*| .
| 1 -0.057 -0.057
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**| .
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**| .
| 2 -0.173 -0.177
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.*| .
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.*| .
| 3 -0.085 -0.110
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. | .
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.*| .
| 4 -0.014 -0.062
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. |*.
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. | .
| 5 0.046 0.005
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. |*.
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. | .
| 6 0.053 0.036
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. |*.
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. |*.
| 7 0.083 0.100
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.*| .
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. | .
| 8 -0.064 -0.028
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. | .
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. |*.
| 9 0.002 0.041
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. | .
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. | .
| 10 0.014 0.021
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. | .
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. | .
| 11 -0.024 -0.022
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. |*.
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. | .
| 12 0.042 0.038
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. | .
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. | .
| 13 0.031 0.029
|
.*| .
|
.*| .
| 14 -0.092 -0.088
|
. | .
|
. | .
| 15 0.015 0.023
==========================================================================
Box-Pierce Q-Stat
20.54
Prob
0.1521
SE of Correlations 0.058
Ljung-Box Q-Stat
21.05
Prob
0.1351
==========================================================================
LS // Dependent Variable is DIFY
Convergence achieved after 6 iterations
========================================================================
VARIABLE
COEFFICIENT
STD. ERROR
T-STAT.
2-TAIL SIG.
========================================================================
C
-0.0009002
0.0587045
-0.0153350
0.9878
-----------------------------------------------------------------------MA(1)
-0.4982870
0.0509748
-9.7751604
0.0000
========================================================================
R-squared
0.192413
Mean of dependent var
0.002868
Adjusted R-squared
0.189684
S.D. of dependent var
1.125642
S.E. of regression
1.013275
Sum of squared resid
303.9110
Log likelihood
-425.7702
F-statistic
70.52377
Durbin-Watson stat
1.967445
Prob(F-statistic)
0.000000
========================================================================
Autocorrelograma de los residuos del modelo ARIMA(0,1,1)
IDENT RESID
==========================================================================
Autocorrelations
Partial Autocorrelations
ac
pac
==========================================================================
|
. | .
|
. | .
| 1 0.010 0.010
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. | .
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. | .
| 2 0.009 0.009
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.*| .
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.*| .
| 3 -0.072 -0.073
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. | .
| 4 -0.003 -0.002
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. |*.
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. |*.
| 5 0.054 0.056
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. |*.
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. |*.
| 6 0.055 0.049
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. |*.
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. |*.
| 7 0.098 0.097
|
.*| .
|
. | .
| 8 -0.039 -0.034
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. | .
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. | .
| 9 0.018 0.024
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. | .
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. | .
| 10 0.016 0.028
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. | .
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. | .
| 11 -0.010 -0.022
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. | .
| 12 0.028 0.018
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. | .
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. | .
| 13 0.025 0.023
|
.*| .
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.*| .
| 14 -0.092 -0.106
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. | .
|
. | .
| 15 0.004 0.011
==========================================================================
Box-Pierce Q-Stat
9.88
Prob
0.8274
SE of Correlations 0.058
Ljung-Box Q-Stat
10.23
Prob
0.8053
==========================================================================
2
Estimación del modelo ARIMA(1,1,1)
LS // Dependent Variable is DIFY
Convergence achieved after 12 iterations
========================================================================
VARIABLE
COEFFICIENT
STD. ERROR
T-STAT.
2-TAIL SIG.
========================================================================
C
-0.0042050
0.0593219
-0.0708850
0.9435
---------------------------------------------------------------------------MA(1)
-0.5013408
0.0627838
-7.9851903
0.0000
AR(1)
0.0074790
0.0647810
0.1154511
0.9082
============================================================================
R-squared
0.191942
Mean of dependent var
-0.001551
Adjusted R-squared
0.186445
S.D. of dependent var
1.124949
S.E. of regression
1.014674
Sum of squared resid
302.6913
Log likelihood
-424.2435
F-statistic
34.91765
Durbin-Watson stat
1.980789
Prob(F-statistic)
0.000000
========================================================================
Se pide:
1. Analice la estacionariedad de la serie Y mediante la inspección visual del autocorrelograma.
Qué cree que concluyó el estudiante al respecto?
2. De los modelos que estimó alguno de ellos representa adecuadamente la evolución de la serie
que se pretende modelizar?. ¿ Con la información proporcionada está en condiciones de elegir
con cuál se quedaría? De no poder hacerlo qué otras pruebas realizaría?
EJERCICIO 2
Se desea testear la estacionariedad de la serie Tasa de actividad de las mujeres para el Total del
País. Se dispone de información para el período 1986.01 2002.03.
56
54
52
50
48
46
44
86
88
90
92
94
96
98
00
02
TAM
El autocorrelograma de la serie es
Sample: 1986:1 2002:3
Included observations: 67
Autocorrelation
.
.
.
.
.
.
.
.
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.
.
.
|******
|******
|******
|*****
|*****
|****
|****
|****
|****
|****
|***
|***
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Partial Correlation
. |******
. |**
. |*.
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.*| .
. |*.
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.*| .
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AC
1
2
3
4
5
6
7
8
9
10
11
12
0.829
0.778
0.726
0.662
0.592
0.570
0.534
0.511
0.494
0.480
0.421
0.383
PAC
0.829
0.290
0.098
-0.021
-0.073
0.100
0.040
0.050
0.039
0.023
-0.133
-0.055
Q-Stat Prob
48.084
91.082
129.15
161.34
187.45
212.05
234.01
254.44
273.93
292.63
307.25
319.61
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
3
ADF Test Statistic
-6.460227
1%
Critical Value*
5%
Critical Value
10% Critical Value
-4.1013
-3.4779
-3.1663
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(TAM)
Method: Least Squares
Sample(adjusted): 1986:2 2002:3
Included observations: 66 after adjusting endpoints
Variable
Coefficien
t
TAM(-1)
C
@TREND(1986:1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Std. Error t-Statistic
Prob.
-0.801490
36.15257
0.108037
0.124065
5.571610
0.018808
-6.460227
6.488711
5.744088
0.0000
0.0000
0.0000
0.399044
0.379966
1.211060
92.39996
-104.7535
2.040512
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.129242
1.538005
3.265258
3.364788
20.91645
0.000000
Autocorrelograma de los residuos
Sample: 1986:1 2002:3
Included observations: 66
Autocorrelation
Partial Correlation
. | .
. |*.
. | .
. | .
**| .
.*| .
.*| .
. | .
.*| .
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.*| .
.*| .
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. |*.
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1
2
3
4
5
6
7
8
9
10
11
12
AC
PAC
-0.029
0.119
0.056
-0.021
-0.196
-0.059
-0.076
-0.025
-0.083
0.062
-0.071
-0.077
-0.029
0.118
0.064
-0.032
-0.216
-0.076
-0.027
0.019
-0.075
0.019
-0.082
-0.117
Q-Stat Prob
0.0573
1.0430
1.2698
1.3013
4.1183
4.3823
4.8174
4.8640
5.4066
5.7119
6.1212
6.6107
0.811
0.594
0.736
0.861
0.533
0.625
0.682
0.772
0.798
0.839
0.865
0.882
Si se ajusta a la Tasa de Actividad de las mujeres un modelo con constante y tendencia
determinística y otro modelo ARIMA(2,0,0) con constante , resulta:
Dependent Variable: TAM
Method: Least Squares
Sample: 1986:1 2002:3
Included observations: 67
Variable
C
@TREND
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficien
t
45.01435
0.136304
0.828165
0.825522
1.219052
96.59575
-107.3246
1.591769
Std. Error
0.294558
0.007701
t-Statistic
Prob.
152.8198
17.69946
0.0000
0.0000
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
49.51239
2.918447
3.263421
3.329232
313.2709
0.000000
4
Autocorrelograma de los residuos
Sample: 1986:1 2002:3
Included observations: 67
Autocorrelation
Partial Correlation
. |*.
. |*.
. |*.
. | .
**| .
.*| .
.*| .
.*| .
.*| .
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.*| .
.*| .
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**| .
.*| .
. |*.
. |*.
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
AC
PAC
0.196
0.161
0.068
-0.050
-0.215
-0.125
-0.105
-0.076
-0.077
0.034
-0.066
-0.072
0.065
0.034
-0.240
-0.070
0.196
0.128
0.016
-0.089
-0.217
-0.043
-0.010
-0.010
-0.065
0.022
-0.100
-0.091
0.088
0.021
-0.304
-0.072
Q-Stat Prob
2.6794
4.5249
4.8557
5.0359
8.4982
9.6810
10.537
10.984
11.458
11.555
11.917
12.350
12.713
12.815
17.955
18.403
0.102
0.104
0.183
0.284
0.131
0.139
0.160
0.203
0.246
0.316
0.370
0.418
0.470
0.541
0.265
0.301
Dependent Variable: TAM
Method: Least Squares
Sample(adjusted): 1986:3 2002:3
Included observations: 65 after adjusting endpoints
Convergence achieved after 3 iterations
Variable
Coefficien
t
C
AR(1)
AR(2)
Std. Error t-Statistic
51.49393
0.470026
0.430885
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots
2.120730
0.114617
0.114340
0.776158
0.768937
1.356820
114.1395
-110.5296
2.189846
Prob.
24.28123
4.100848
3.768458
0.0000
0.0001
0.0004
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
49.66723
2.822653
3.493219
3.593576
107.4906
0.000000
.93
-.46
Autocorrelograma de los residuos
Sample: 1986:1 2002:3
Included observations: 65
Autocorrelation
Partial Correlation
.*| .
.*| .
. |*.
. | .
.*| .
. | .
. | .
. | .
. | .
. |*.
.*| .
.*| .
. |**
. |*.
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.*| .
.*| .
. |*.
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.*| .
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. |*.
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. |*.
.*| .
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
AC
PAC
-0.097
-0.176
0.111
0.007
-0.164
0.006
0.051
0.002
-0.029
0.119
-0.060
-0.083
0.232
0.137
-0.244
0.036
-0.097
-0.187
0.075
-0.007
-0.138
-0.034
-0.002
0.028
-0.018
0.101
-0.056
-0.053
0.208
0.185
-0.128
-0.002
Q-Stat Prob
0.6441
2.7799
3.6394
3.6425
5.5917
5.5945
5.7885
5.7888
5.8520
6.9766
7.2699
7.8421
12.349
13.962
19.136
19.251
0.422
0.249
0.303
0.457
0.348
0.470
0.565
0.671
0.755
0.728
0.777
0.797
0.499
0.453
0.208
0.256
Se pide:
1. Analice si la Tasa de actividad de las mujeres el total del país es estacionaria mediante el test
Dickey Fuller aumentado . Evalúe el procedimiento seguido para la realización del test ADF.
2. ¿De los modelos estimados cuál seleccionaría?
3. ¿Se puede afirmar que la serie proviene de un proceso TS?.
5
EJERCICIO 3
Se desea testear mediante el test ADF la estacionariedad de la serie Tasa de desempleo total para el
Total del País. Se dispone de información para el período 1986.01 2002.03.
20
18
16
14
12
10
8
6
86
88
90
92
94
96
98
00
02
TDTP
A continuación se presenta el autocorrelograma de la serie original y de la primera diferencia
Tasa de desempleo Total País
Sample: 1986:1 2002:3
Included observations: 67
Autocorrelation
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
|******
|*****
|*****
|*****
|****
|***
|**
|**
|**
|*.
|*.
|*.
|*.
|*.
|*.
Partial Correlation
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. |******
. |*.
. |*.
. |*.
.*| .
**| .
**| .
. |*.
. |*.
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. |*.
. |*.
.*| .
. |*.
. |*.
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AC
PAC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
0.798
0.690
0.639
0.613
0.542
0.418
0.274
0.251
0.251
0.182
0.134
0.119
0.103
0.145
0.154
0.798
0.147
0.148
0.121
-0.059
-0.199
-0.250
0.118
0.146
-0.039
0.079
0.066
-0.091
0.099
0.066
AC
PAC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
-0.075
-0.200
-0.139
0.148
0.192
0.218
-0.197
-0.129
0.002
0.160
0.028
0.019
-0.261
-0.002
0.008
-0.075
-0.207
-0.182
0.078
0.166
0.317
-0.022
-0.044
-0.084
-0.029
-0.052
0.062
-0.155
-0.027
-0.121
Q-Stat Prob
44.558
78.389
107.90
135.49
157.42
170.68
176.47
181.39
186.44
189.13
190.60
191.80
192.70
194.53
196.63
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Sample: 1986:1 2002:3
Included observations: 66
Autocorrelation
Partial Correlation
.*| .
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. |*.
. |*.
. |**
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Q-Stat Prob
0.3922
3.2083
4.5878
6.1825
8.8962
12.446
15.413
16.704
16.704
18.750
18.814
18.844
24.613
24.613
24.618
0.531
0.201
0.205
0.186
0.113
0.053
0.031
0.033
0.054
0.044
0.065
0.092
0.026
0.039
0.055
6
ADF Test Statistic
-2.266172
1%
Critical Value* -4.1219
5%
Critical Value -3.4875
10% Critical Value
-3.1718
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(TDTP)
Method: Least Squares
Sample(adjusted): 1988:2 2002:3
Included observations: 58 after adjusting endpoints
Variable
TDTP(-1)
D(TDTP(-1))
D(TDTP(-2))
D(TDTP(-3))
D(TDTP(-4))
D(TDTP(-5))
D(TDTP(-6))
D(TDTP(-7))
D(TDTP(-8))
C
@TREND(1986:1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
ADF Test Statistic
Coefficien Std. Error
t
t-Statistic Prob.
-0.376414
-0.081293
-0.138248
0.084078
0.361979
0.509756
0.616905
0.131654
-0.089346
2.380735
0.040812
0.166101
0.178262
0.176950
0.183194
0.181671
0.190597
0.187672
0.190088
0.164785
1.223495
0.014825
-2.266172
-0.456029
-0.781281
0.458957
1.992495
2.674522
3.287138
0.692595
-0.542197
1.945848
2.752884
0.0281
0.6505
0.4386
0.6484
0.0521
0.0103
0.0019
0.4920
0.5902
0.0577
0.0084
0.423476
0.300811
0.913628
39.23166
-70.96063
1.999649
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.172718
1.092628
2.826228
3.217002
3.452307
0.001843
1%
Critical Value*
5%
Critical Value
10% Critical Value
-4.1162
-3.4849
-3.1703
-1.808501
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(TDTP)
Method: Least Squares
Sample(adjusted): 1987:4 2002:3
Included observations: 60 after adjusting endpoints
Variable
TDTP(-1)
D(TDTP(-1))
D(TDTP(-2))
D(TDTP(-3))
D(TDTP(-4))
D(TDTP(-5))
D(TDTP(-6))
C
@TREND(1986:1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficien
t
Std. Error t-Statistic
Prob.
-0.241345
-0.130672
-0.227856
-0.012674
0.243525
0.373701
0.500400
1.561011
0.028065
0.133450
0.169070
0.167902
0.174945
0.165471
0.157030
0.144121
1.014361
0.012505
-1.808501
-0.772890
-1.357071
-0.072446
1.471708
2.379802
3.472079
1.538911
2.244330
0.0764
0.4432
0.1807
0.9425
0.1472
0.0211
0.0011
0.1300
0.0292
0.379788
0.282499
0.912112
42.42937
-74.74120
2.021776
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.163880
1.076805
2.791373
3.105525
3.903737
0.001174
7
Autocorrelograma de los residuos:
Sample: 1986:1 2002:3
Included observations: 60
Autocorrelation
. | .
. | .
. |*.
. | .
. |*.
. | .
. | .
.*| .
. | .
. | .
. | .
.*| .
Partial Correlation
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ADF Test Statistic
. | .
. | .
. |*.
. |*.
. |*.
. | .
. | .
.*| .
. | .
. | .
. | .
.*| .
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-0.118545
AC
1
2
3
4
5
6
7
8
9
10
11
12
-0.056
0.017
0.076
0.062
0.068
-0.044
0.061
-0.073
-0.004
-0.013
-0.055
-0.108
PAC
-0.056
0.014
0.078
0.072
0.074
-0.045
0.043
-0.083
-0.018
-0.021
-0.046
-0.114
Q-Stat Prob
0.2004
0.2182
0.5991
0.8581
1.1694
1.3057
1.5676
1.9514
1.9524
1.9656
2.1912
3.0930
1%
Critical Value*
5%
Critical Value
10% Critical Value
0.654
0.897
0.897
0.930
0.948
0.971
0.980
0.982
0.992
0.997
0.998
0.995
-3.5417
-2.9101
-2.5923
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(TDTP)
Method: Least Squares
Sample(adjusted): 1987:4 2002:3
Included observations: 60 after adjusting endpoints
Variable
Coefficien
t
TDTP(-1)
D(TDTP(-1))
D(TDTP(-2))
D(TDTP(-3))
D(TDTP(-4))
D(TDTP(-5))
D(TDTP(-6))
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Std. Error t-Statistic
Prob.
-0.010461
-0.272743
-0.339046
-0.106705
0.186981
0.324667
0.463969
0.261616
0.088243
0.162744
0.166538
0.176324
0.169772
0.161426
0.148659
0.864628
-0.118545
-1.675904
-2.035848
-0.605162
1.101370
2.011239
3.121026
0.302577
0.9061
0.0998
0.0469
0.5477
0.2758
0.0495
0.0029
0.7634
0.318532
0.226796
0.946856
46.61991
-77.56680
1.975712
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.163880
1.076805
2.852227
3.131473
3.472271
0.003987
Autocorrelograma de los residuos
Sample: 1986:1 2002:3
Included observations: 60
Autocorrelation
. | .
. | .
. |*.
. | .
. | .
.*| .
. | .
.*| .
.*| .
.*| .
.*| .
.*| .
Partial Correlation
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. | .
. | .
. |*.
. |*.
. | .
.*| .
. | .
.*| .
.*| .
.*| .
.*| .
.*| .
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AC
1
2
3
4
5
6
7
8
9
10
11
12
-0.014
0.048
0.113
0.065
0.042
-0.083
-0.005
-0.117
-0.094
-0.081
-0.116
-0.143
PAC
-0.014
0.048
0.115
0.068
0.035
-0.103
-0.030
-0.127
-0.086
-0.065
-0.080
-0.121
Q-Stat Prob
0.0126
0.1635
1.0003
1.2829
1.4027
1.8796
1.8816
2.8686
3.5076
3.9961
5.0159
6.5952
0.910
0.922
0.801
0.864
0.924
0.930
0.966
0.942
0.941
0.948
0.930
0.883
8
ADF Test Statistic
1.212864
1%
Critical Value*
5%
Critical Value
10% Critical Value
-2.6013
-1.9459
-1.6186
*MacKinnon critical values for rejection of hypothesis of a unit
root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(TDTP)
Method: Least Squares
Sample(adjusted): 1987:4 2002:3
Included observations: 60 after adjusting endpoints
Variable
Coefficien
t
TDTP(-1)
D(TDTP(-1))
D(TDTP(-2))
D(TDTP(-3))
D(TDTP(-4))
D(TDTP(-5))
D(TDTP(-6))
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Std. Error t-Statistic
Prob.
0.015937
-0.297871
-0.366186
-0.136859
0.159228
0.299655
0.444884
0.013140
0.138755
0.139111
0.144208
0.141630
0.137461
0.133457
1.212864
-2.146741
-2.632321
-0.949038
1.124247
2.179930
3.333540
0.2306
0.0364
0.0111
0.3469
0.2660
0.0337
0.0016
0.317333
0.240049
0.938706
46.70199
-77.61958
1.969083
Mean dependent var
S.D. dependent var
Akaikeinfo criterion
Schwarz criterion
F-statistic
Prob(F-statistic)
0.163880
1.076805
2.820653
3.064993
4.106104
0.001863
Autocorrelograma de los residuos:
Sample: 1986:1 2002:3
Included observations: 60
Autocorrelation
Partial Correlation
. | .
. | .
. |*.
. | .
. | .
.*| .
. | .
.*| .
.*| .
.*| .
.*| .
.*| .
. | .
. | .
. |*.
. | .
. | .
.*| .
. | .
.*| .
.*| .
.*| .
.*| .
.*| .
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1
2
3
4
5
6
7
8
9
10
11
12
AC
PAC
-0.008
0.052
0.115
0.062
0.034
-0.091
-0.024
-0.131
-0.114
-0.097
-0.131
-0.155
-0.008
0.052
0.116
0.063
0.025
-0.112
-0.047
-0.138
-0.103
-0.076
-0.091
-0.131
Q-Stat Prob
0.0044
0.1755
1.0405
1.2971
1.3758
1.9471
1.9881
3.2166
4.1726
4.8771
6.1875
8.0496
0.947
0.916
0.791
0.862
0.927
0.924
0.960
0.920
0.900
0.899
0.861
0.781
Se pide:
1. ¿De acuerdo al test ADF la Tasa de desempleo para el total del país es estacionaria?.
2. Evalúe el procedimiento seguido para la realización del test de Dickey-Fuller aumentado.
9