Alejandro De la Ossa

Carmen Lamadrid

Econometria 2

PROBAR SI LA VARIABLE ES ESTOCASTICA.

PRECIO
3,400

3,300

3,200

3,100

3,000

2,900

2,800

2,700

2,600
10 20 30 40 50 60 70 80 90 100 110 120

CORRELOGRAMA

Date: 10/29/15 Time: 15:05

Sample: 1 120
Included observations: 119

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

.|******| .|******| 1 0.878 0.878 94.089 0.000

.|******| .|. | 2 0.776 0.022 168.23 0.000
.|***** | .|. | 3 0.681 -0.020 225.87 0.000
.|**** | .|. | 4 0.599 0.001 270.73 0.000
.|**** | .|. | 5 0.532 0.028 306.50 0.000
.|*** | *|. | 6 0.451 -0.094 332.46 0.000
.|*** | .|. | 7 0.381 -0.011 351.12 0.000
.|** | .|. | 8 0.315 -0.020 364.02 0.000
.|** | .|. | 9 0.272 0.050 373.68 0.000
.|** | .|* | 10 0.272 0.167 383.46 0.000
.|** | *|. | 11 0.238 -0.123 391.03 0.000
 .|* | .|. | 12 0.211 -0.004 397.01 0.000
.|* | *|. | 13 0.163 -0.094 400.63 0.000
.|* | .|. | 14 0.114 -0.057 402.40 0.000
.|. | .|. | 15 0.069 -0.050 403.06 0.000
.|. | .|* | 16 0.051 0.108 403.42 0.000
.|. | .|* | 17 0.061 0.116 403.94 0.000
.|. | .|. | 18 0.046 -0.062 404.24 0.000
.|. | .|. | 19 0.046 0.065 404.54 0.000
.|. | *|. | 20 0.037 -0.078 404.75 0.000
.|. | .|. | 21 0.031 -0.009 404.89 0.000
.|. | *|. | 22 0.017 -0.104 404.93 0.000
.|. | .|. | 23 -0.013 -0.061 404.95 0.000
.|. | .|. | 24 -0.035 0.019 405.14 0.000
.|. | .|. | 25 -0.061 0.035 405.70 0.000
*|. | .|. | 26 -0.095 -0.060 407.10 0.000
*|. | *|. | 27 -0.128 -0.077 409.65 0.000
*|. | .|* | 28 -0.129 0.141 412.30 0.000
*|. | *|. | 29 -0.135 -0.104 415.21 0.000
*|. | *|. | 30 -0.152 -0.074 418.96 0.000
*|. | .|. | 31 -0.169 -0.045 423.60 0.000
*|. | .|. | 32 -0.191 -0.011 429.66 0.000
*|. | .|. | 33 -0.204 0.012 436.62 0.000
*|. | .|. | 34 -0.204 0.036 443.69 0.000
**|. | *|. | 35 -0.221 -0.074 452.03 0.000
**|. | .|. | 36 -0.228 0.011 461.01 0.000

RAICES UNITARIAS

Null Hypothesis: PRECIO has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.983182 0.0394

Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PRECIO)
Method: Least Squares
Date: 10/29/15 Time: 15:06
Sample (adjusted): 2 119
Included observations: 118 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

PRECIO(-1) -0.119484 0.040053 -2.983182 0.0035

C 347.1530 117.2631 2.960462 0.0037
 R-squared 0.071252 Mean dependent var -2.161017
Adjusted R-squared 0.063246 S.D. dependent var 70.56088
S.E. of regression 68.29309 Akaike info criterion 11.30230
Sum squared resid 541017.7 Schwarz criterion 11.34926
Log likelihood -664.8356 Hannan-Quinn criter. 11.32137
F-statistic 8.899372 Durbin-Watson stat 2.102759
Prob(F-statistic) 0.003478

Null Hypothesis: PRECIO has a unit root

Exogenous: Constant
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.786657 0.0632

Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931

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

Residual variance (no correction) 4584.896

HAC corrected variance (Bartlett kernel) 3536.362

Phillips-Perron Test Equation

Dependent Variable: D(PRECIO)
Method: Least Squares
Date: 10/29/15 Time: 15:06
Sample (adjusted): 2 119
Included observations: 118 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

PRECIO(-1) -0.119484 0.040053 -2.983182 0.0035

C 347.1530 117.2631 2.960462 0.0037

R-squared 0.071252 Mean dependent var -2.161017

Adjusted R-squared 0.063246 S.D. dependent var 70.56088
S.E. of regression 68.29309 Akaike info criterion 11.30230
Sum squared resid 541017.7 Schwarz criterion 11.34926
Log likelihood -664.8356 Hannan-Quinn criter. 11.32137
F-statistic 8.899372 Durbin-Watson stat 2.102759
Prob(F-statistic) 0.003478

Si el valor p es mayor a alfa entonces el proceso estocstico no es estacionario. Si es

menor el valor p a alfa, entonces el proceso estocstico es estacionario

Ho: el proceso estocstico no estacionario

Ha: El proceso estocstico es estacionario

No se acepta la Ho porque el valor de P es menor que 0.05 solo para la prueba de DICKEY
FULLER, pero por la de PHILLIPS PERRON da por encima de este valor.

Se procede a diferenciar para verificar que los p-valores sean menores en

ambas pruebas.
DPRECIO
300

200

100

-100

-200

-300

-400
10 20 30 40 50 60 70 80 90 100 110 120

CORRELOGRAMA

Date: 10/29/15 Time: 15:12

Sample: 1 120
Included observations: 118

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

*|. | *|. | 1 -0.101 -0.101 1.2313 0.267

.|. | .|. | 2 -0.035 -0.045 1.3779 0.502
*|. | *|. | 3 -0.074 -0.083 2.0535 0.561
*|. | *|. | 4 -0.118 -0.139 3.7723 0.438
.|. | .|. | 5 0.050 0.014 4.0805 0.538
.|. | .|. | 6 -0.030 -0.043 4.1917 0.651
.|. | .|. | 7 -0.035 -0.064 4.3440 0.739
.|* | .|. | 8 0.081 0.058 5.1981 0.736
*|. | *|. | 9 -0.166 -0.161 8.7771 0.458
.|* | .|. | 10 0.087 0.043 9.7760 0.460
.|. | .|. | 11 -0.025 -0.028 9.8585 0.543
 .|* | .|* | 12 0.109 0.105 11.435 0.492
.|. | .|. | 13 0.001 -0.016 11.436 0.574
.|. | .|. | 14 -0.028 0.008 11.545 0.643
*|. | *|. | 15 -0.130 -0.140 13.861 0.536
.|. | .|. | 16 0.020 0.008 13.919 0.605
.|. | .|. | 17 0.035 0.039 14.094 0.660
.|. | .|. | 18 0.005 -0.041 14.097 0.723
.|. | .|. | 19 0.038 0.047 14.299 0.766
.|. | .|. | 20 0.002 -0.007 14.300 0.815
.|. | .|* | 21 0.058 0.104 14.786 0.834
.|* | .|* | 22 0.082 0.078 15.769 0.827
.|. | .|. | 23 -0.057 0.007 16.261 0.844
.|. | .|. | 24 0.019 -0.018 16.314 0.876
.|. | .|. | 25 0.003 0.061 16.315 0.905
.|. | .|. | 26 -0.019 0.012 16.372 0.927
*|. | *|. | 27 -0.165 -0.175 20.599 0.805
.|. | .|. | 28 0.049 0.059 20.970 0.827
.|* | .|. | 29 0.098 0.073 22.509 0.799
.|. | .|. | 30 0.030 0.030 22.652 0.829
.|. | .|. | 31 0.027 0.029 22.773 0.857
.|. | .|. | 32 -0.059 -0.026 23.345 0.867
.|. | *|. | 33 -0.063 -0.085 23.996 0.874
.|* | .|* | 34 0.124 0.132 26.597 0.813
.|. | .|. | 35 -0.043 0.006 26.911 0.834
.|. | .|. | 36 0.021 -0.035 26.986 0.861

RAICES UNITARIAS

Null Hypothesis: DPRECIO has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -11.86598 0.0000

Test critical values: 1% level -3.487046
5% level -2.886290
10% level -2.580046

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DPRECIO)
Method: Least Squares
Date: 10/29/15 Time: 15:12
Sample (adjusted): 3 119
Included observations: 117 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DPRECIO(-1) -1.100865 0.092775 -11.86598 0.0000

C -2.399321 6.549375 -0.366344 0.7148
 R-squared 0.550432 Mean dependent var 0.000000
Adjusted R-squared 0.546523 S.D. dependent var 105.1497
S.E. of regression 70.80855 Akaike info criterion 11.37478
Sum squared resid 576592.8 Schwarz criterion 11.42200
Log likelihood -663.4248 Hannan-Quinn criter. 11.39395
F-statistic 140.8014 Durbin-Watson stat 2.009121
Prob(F-statistic) 0.000000

Null Hypothesis: DPRECIO has a unit root

Exogenous: Constant
Bandwidth: 13 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -12.61214 0.0000

Test critical values: 1% level -3.487046
5% level -2.886290
10% level -2.580046

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

Residual variance (no correction) 4928.144

HAC corrected variance (Bartlett kernel) 2859.934

Phillips-Perron Test Equation

Dependent Variable: D(DPRECIO)
Method: Least Squares
Date: 10/29/15 Time: 15:13
Sample (adjusted): 3 119
Included observations: 117 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DPRECIO(-1) -1.100865 0.092775 -11.86598 0.0000

C -2.399321 6.549375 -0.366344 0.7148

R-squared 0.550432 Mean dependent var 0.000000

Adjusted R-squared 0.546523 S.D. dependent var 105.1497
S.E. of regression 70.80855 Akaike info criterion 11.37478
Sum squared resid 576592.8 Schwarz criterion 11.42200
Log likelihood -663.4248 Hannan-Quinn criter. 11.39395
F-statistic 140.8014 Durbin-Watson stat 2.009121
Prob(F-statistic) 0.000000

El primer criterio para determinar si el comportamiento del precio de cierre de la accin de

ISAGEN es estocstico estacionario, es la grfica y en esta se puede observar que sigue una
conducta no estocstica estacional y el correlograma. Para asegurarme realizo las pruebas,
determinando las diferentes hiptesis, por tanto, tengo que la hiptesis nula es que el proceso
estocstico no sea estacionario o que posee races unitarias, y la hiptesis alternativa es que el
proceso estocstico si es estacionario y no posee races unitarias, a partir de esas reglas de decisin
puedo interpretar los resultados que arroja la prueba de (DFA), para este caso, arroja un P value de
0.0394 para DICKEY FULLER y 0.0632 para PHILLIPS PERRON lo cual corrobora que no se
acepta la hiptesis nula. Procedo a diferenciar la varible precio y le vuelvo hacer todos los mtodos
anteriormente mencionadas. Es necesario hacer el mismo test pero incorporando la primera
diferencia al proceso, la prueba de DFA presenta un P value, de 0.0000 para ambas pruebas de
raices unitarias el p valor es inferior al margen de error (5%) no puedo rechazar la hiptesis nula

Ho: el proceso estocstico no estacionario

Ha: El proceso estocstico es estacionario

No se acepta la Ho porque el valor de P es menor que 0.05 para ambas pruebas DE

RAICES UNITARIAS. Por lo tanto es integrada de orden (1). ES ESTACIONARIO DE
ORDEN 1.

MODELO ARIMA (1,1,1)

Dependent Variable: DPRECIO

Method: Least Squares
Date: 10/29/15 Time: 15:14
Sample (adjusted): 3 119
Included observations: 117 after adjustments
Failure to improve SSR after 11 iterations
MA Backcast: 2

Variable Coefficient Std. Error t-Statistic Prob.

C 1.767631 0.785705 2.249739 0.0264

AR(1) 0.875121 0.046919 18.65188 0.0000
MA(1) -0.999948 0.037898 -26.38536 0.0000

R-squared 0.081428 Mean dependent var -2.179487

Adjusted R-squared 0.065312 S.D. dependent var 70.86408
S.E. of regression 68.51086 Akaike info criterion 11.31717
Sum squared resid 535086.1 Schwarz criterion 11.38799
Log likelihood -659.0543 Hannan-Quinn criter. 11.34592
F-statistic 5.052813 Durbin-Watson stat 2.114722
Prob(F-statistic) 0.007897

Inverted AR Roots .88

Inverted MA Roots 1.00

=========================
LS(DERIV=AA) DPRECIO C AR(1) MA(1)
Estimation Equation:
=========================
DPRECIO = C(1) + [AR(1)=C(2),MA(1)=C(3),BACKCAST=3,ESTSMPL="3 119"]

Substituted Coefficients:
=========================
DPRECIO = 1.76763071967 + [AR(1)=0.875120574517,MA(1)=-
0.999947609968,BACKCAST=3,ESTSMPL="3 119"]

En este Modelo Arima (1,1,1) vemos que todas las variables (incluida la constante) son significativas al 5% por
lo que se procede a seguir estimando el Modelo con constante. De otro lado, tenemos que la bondad de
ajuste es del 0.065312.

MODELO ARIMA (2,1,2)

Dependent Variable: DPRECIO

Method: Least Squares
Date: 10/29/15 Time: 15:16
Sample (adjusted): 4 119
Included observations: 116 after adjustments
Failure to improve SSR after 20 iterations
MA Backcast: 2 3

Variable Coefficient Std. Error t-Statistic Prob.

C 2.268256 1.169948 1.938767 0.0551

AR(1) -0.111012 0.044626 -2.487629 0.0143
AR(2) 0.866891 0.044727 19.38162 0.0000
MA(1) 0.001986 0.024242 0.081942 0.9348
MA(2) -0.997985 0.024370 -40.95215 0.0000

R-squared 0.129940 Mean dependent var -2.198276

Adjusted R-squared 0.098587 S.D. dependent var 71.17122
S.E. of regression 67.57194 Akaike info criterion 11.30641
Sum squared resid 506822.3 Schwarz criterion 11.42510
Log likelihood -650.7718 Hannan-Quinn criter. 11.35459
F-statistic 4.144362 Durbin-Watson stat 2.056287
Prob(F-statistic) 0.003626

Inverted AR Roots .88 -.99

Inverted MA Roots 1.00 -1.00

Estimation Command:
=========================
LS(DERIV=AA) DPRECIO C AR(1 TO 2) MA(1 TO 2)

Estimation Equation:
=========================
DPRECIO = C(1) + [AR(1)=C(2),AR(2)=C(3),MA(1)=C(4),MA(2)=C(5),BACKCAST=4,ESTSMPL="4 119"]

Substituted Coefficients:
=========================
DPRECIO = 2.26825609627 + [AR(1)=-
0.111011812788,AR(2)=0.866890976235,MA(1)=0.00198640668398,MA(2)=-
0.997985135368,BACKCAST=4,ESTSMPL="4 119"]

Para el caso de este modelo (2,1,2) la variable MA (1) no es significativa al 5% y las otras si.
La bondad de ajuste es del 0.098587 siendo mayor que el modelo anterior, aun asi se
procede a realizar otro modelo Arima.

MODELO ARIMA (4,1,4)

Dependent Variable: DPRECIO

Method: Least Squares
Date: 10/29/15 Time: 15:17
Sample (adjusted): 6 119
Included observations: 114 after adjustments
Failure to improve SSR after 25 iterations
MA Backcast: 2 5

Variable Coefficient Std. Error t-Statistic Prob.

C -3.145890 5.850510 -0.537712 0.5919

AR(1) -0.191973 0.037241 -5.154845 0.0000
AR(2) -0.138395 0.032133 -4.306974 0.0000
AR(3) -0.221360 0.029604 -7.477259 0.0000
AR(4) -0.802172 0.035593 -22.53710 0.0000
MA(1) 0.172970 0.034508 5.012424 0.0000
MA(2) 0.085682 0.044701 1.916783 0.0580
MA(3) 0.190643 0.032590 5.849678 0.0000
MA(4) 0.986315 0.019585 50.36047 0.0000

R-squared 0.309007 Mean dependent var -2.938596

Adjusted R-squared 0.256360 S.D. dependent var 71.54679
S.E. of regression 61.69805 Akaike info criterion 11.15804
Sum squared resid 399698.2 Schwarz criterion 11.37405
Log likelihood -627.0082 Hannan-Quinn criter. 11.24571
F-statistic 5.869411 Durbin-Watson stat 2.077600
Prob(F-statistic) 0.000003

Inverted AR Roots .60+.75i .60-.75i -.69-.63i -.69+.63i

Inverted MA Roots .65-.76i .65+.76i -.73+.67i -.73-.67i

Estimation Command:
=========================
LS(DERIV=AA) DPRECIO C AR(1 TO 4) MA(1 TO 4)

Estimation Equation:
=========================
DPRECIO = C(1) +
[AR(1)=C(2),AR(2)=C(3),AR(3)=C(4),AR(4)=C(5),MA(1)=C(6),MA(2)=C(7),MA(3)=C(8),MA(4)=C(9),BACKCAS
T=6,ESTSMPL="6 119"]

Substituted Coefficients:
=========================
DPRECIO = -3.14588999909 + [AR(1)=-0.191973190128,AR(2)=-0.138395460489,AR(3)=-
0.221359797732,AR(4)=-
0.802172130288,MA(1)=0.172970273688,MA(2)=0.0856819943557,MA(3)=0.190642511977,MA(4)=0.986315
276766,BACKCAST=6,ESTSMPL="6 119"]
En este Modelo Arima (4,1,4) todas las variables resultan ser significativas, excepto la constante, y
la bondad de ajuste (0.256360) nos da mucho mejor respecto a los dos modelos anteriores. Lo que
nos indica que este podra ser el mejor modelo.

MODELO ARIMA (5,1,5)

Dependent Variable: DPRECIO

Method: Least Squares
Date: 10/29/15 Time: 15:19
Sample (adjusted): 7 119
Included observations: 113 after adjustments
Convergence achieved after 34 iterations
MA Backcast: 2 6

Variable Coefficient Std. Error t-Statistic Prob.

C -3.799944 5.526409 -0.687597 0.4933

AR(1) -0.465897 0.905555 -0.514488 0.6080
AR(2) -0.141279 0.205053 -0.688988 0.4924
AR(3) -0.288060 0.070314 -4.096757 0.0001
AR(4) -0.850435 0.232281 -3.661228 0.0004
AR(5) -0.193184 0.718377 -0.268918 0.7885
MA(1) 0.414531 0.917513 0.451798 0.6524
MA(2) 0.061604 0.243410 0.253087 0.8007
MA(3) 0.253055 0.046092 5.490245 0.0000
MA(4) 1.032203 0.232195 4.445411 0.0000
MA(5) 0.179413 0.919052 0.195215 0.8456

R-squared 0.321045 Mean dependent var -3.318584

Adjusted R-squared 0.254480 S.D. dependent var 71.74985
S.E. of regression 61.95131 Akaike info criterion 11.18285
Sum squared resid 391472.4 Schwarz criterion 11.44835
Log likelihood -620.8310 Hannan-Quinn criter. 11.29059
F-statistic 4.823081 Durbin-Watson stat 1.985139
Prob(F-statistic) 0.000011

Inverted AR Roots .60-.75i .60+.75i -.25 -.71+.60i

-.71-.60i
Inverted MA Roots .65-.76i .65+.76i -.18 -.76+.64i
-.76-.64i
Estimation Command:
=========================
LS(DERIV=AA) DPRECIO C AR(1 TO 5) MA(1 TO 5)

Estimation Equation:
=========================
DPRECIO = C(1) +
[AR(1)=C(2),AR(2)=C(3),AR(3)=C(4),AR(4)=C(5),AR(5)=C(6),MA(1)=C(7),MA(2)=C(8),MA(3)=C(9),MA(4)=C(1
0),MA(5)=C(11),BACKCAST=7,ESTSMPL="7 119"]

Substituted Coefficients:
=========================
DPRECIO = -3.79994368294 + [AR(1)=-0.46589748436,AR(2)=-0.141279355796,AR(3)=-
0.288059748983,AR(4)=-0.850435132344,AR(5)=-
0.193184295556,MA(1)=0.414530630891,MA(2)=0.0616039581326,MA(3)=0.253055447142,MA(4)=1.032202
90413,MA(5)=0.179412653225,BACKCAST=7,ESTSMPL="7 119"]

En este ltimo modelo arima que decidimos correr (5,1,5) gran parte de las variables no
son significativas y la bondad de ajuste se acerca al modelo anterior, pero aun asi es
menor.

En efecto el mejor modelo para nosotros es el Modelo Arima (4,1,4).

PRECIOF
3,400

3,300

3,200

3,100

3,000

2,900

2,800

2,700

2,600
10 20 30 40 50 60 70 80 90 100 110 120

En el grafico anterior predecimos el dato del da posterior al ltimo registrado con el fin de saber
qu valor tendr dicha variable para el da siguiente.