MODELACION:
5.32
Series: PBI
Sample 2001 2009
Observations 9
5.28
3
5.24
5.20
5.16
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
5.182357
5.172136
5.285906
5.083922
0.075455
0.195658
1.611337
Jarque-Bera
Probability
0.780568
0.676865
1
5.12
5.08
2001
2002
2003
2004
2005
2006
2007
2008
5.05
2009
5.10
5.15
5.20
5.25
5.30
PBI CONSTRUCCION
PBI_C
3
4.10
Series: PBI_C
Sample 2001 2009
Observations 9
4.05
4.00
3.95
3.90
1
3.85
3.80
3.75
2001
2002
2003
2004
PBI FINANCIERO
2005
2006
2007
2008
2009
3.75
3.80
3.85
3.90
3.95
4.00
4.05
4.10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
3.898303
3.861873
4.080495
3.755860
0.119128
0.407969
1.691392
Jarque-Bera
Probability
0.891829
0.640238
PBI_F
6.75
6.70
6.65
6.60
6.55
6.50
6.45
6.40
6.35
2001
2002
2003
2004
2005
2006
2007
2008
2009
Series: PBI_F
Sample 2001 2009
Observations 9
3
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
6.538078
6.505097
6.741780
6.400523
0.121337
0.488593
1.825391
Jarque-Bera
Probability
0.875475
0.645495
0
6.40
6.45
6.50
6.55
6.60
6.65
6.70
6.75
FIDE
7.72
7.68
7.64
7.60
7.56
7.52
7.48
7.44
7.40
7.36
7.32
2001
2002
2003
2004
2005
2006
2007
2008
2009
Series: FIDE
Sample 2001 2009
Observations 9
2
0
7.30
7.35
7.40
7.45
7.50
7.55
7.60
7.65
7.70
7.75
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
7.522710
7.503714
7.701277
7.330027
0.117181
0.157090
2.304252
Jarque-Bera
Probability
0.218541
0.896488
C_PRI
4.7
4.6
4.5
4.4
4.3
4.2
4.1
4.0
3.9
2001
2002
2003
2004
2005
2006
2007
2008
2009
Series: C_PRI
Sample 2001 2009
Observations 9
2
0
3.9
4.0
4.1
4.2
4.3
4.4
A.
Resultados de la estimacin
4.5
4.6
4.7
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
4.247851
4.186136
4.668120
3.956715
0.276192
0.444683
1.657519
Jarque-Bera
Probability
0.972460
0.614940
M1=C(1)+C(2)*TAMN+C(3)*PBISA(-1)+C(4)*IPC
TAMN=C(5)+C(6)*M1+C(7)*TAMN(-1)+C(8)*IPC(-1)
Todos los posibles instrumentos son: PBISA(-1), IPC TAMN(-1), IPC(-1)
(variables predeterminadas)
System: SYS02
Estimation Method: Two-Stage Least Squares
Date: 12/05/10 Time: 19:45
Sample: 2001 2009
Included observations: 9
Total system (balanced) observations 18
C(2)
C(3)
C(5)
C(6)
Coefficient
Std. Error
t-Statistic
Prob.
1.053617
-0.437697
0.527583
0.272379
0.079528
0.133346
0.092009
0.073361
13.24839
-3.282419
5.734015
3.712865
0.0000
0.0054
0.0001
0.0023
5.49E-07
Equation: PBI=C(2)*PBI_F+C(3)*PBI_C
Instruments: C FIDE C_PRI PBI_C
Observations: 9
R-squared
0.951514 Mean dependent var
Adjusted R-squared
0.944588 S.D. dependent var
S.E. of regression
0.017762 Sum squared resid
Durbin-Watson stat
1.502295
Equation: PBI_F=C(5)*FIDE+C(6)*C_PRI+C(6)*PBI
Instruments: C FIDE C_PRI PBI_C
Observations: 9
R-squared
0.819528 Mean dependent var
Adjusted R-squared
0.793746 S.D. dependent var
S.E. of regression
0.055106 Sum squared resid
Durbin-Watson stat
2.138547
5.182357
0.075455
0.002208
6.538078
0.121337
0.021256
B.
Interpretacin del sistema
Se observa una muy buena significatividad de los coeficientes estimados,
buenos coeficientes de determinacin (0.977 para la primera ecuacin y
0.934 para la segunda ecuacin). Los estadsticos Durbin Watson cercanos a
dos para las 2 ecuaciones, lo que indica que se tendr que realizar pruebas
para saber si hay problemas de autocorrelacin serial.
El sistema estimado ser el siguiente:
M1=-57319.11-3952.527*TAMN+196.0114*PBISA(-1)+449.6008*IPC+U1
TAMN=-1.078800-9.98E-06*M1+0.832122*TAMN(-1)+0.014045*IPC(-1)+U2
Adems los signos esperados de los parmetros de la primera ecuacin son
positivos tanto para el PBISA como para el IPC y negativo para el TAMN y
en la segunda ecuacin es negativo para M1, positivos para TAMN(-1) y
IPC(-1).
El t- estadstico nos permite contrastar la hiptesis nula de que el verdadero
parmetro
es
igual
cero,
evaluando
cada
coeficiente
de
manera
independiente. Entonces:
H0 : i = 0 (el coeficiente no es significativo, dado el nivel de confianza)
Nivel de confianza: 95%
Adems, como trabajamos con el Eviews y ste trabaja con la probabilidad
asociada al t-calculado, notamos que la probabilidad asociada es menor a
0.05, por tanto, cabe afirmar que no existe suficiente evidencia para aceptar
la hiptesis nula, dado un nivel de significancia de 0.05, entonces para
nuestro caso rechazamos la hiptesis nula diciendo que los coeficientes
asociados a nuestras variables son significativos.
2.081217
4.997741
2.898732
Prob. F(3,5)
Prob. Chi-Square(3)
Prob. Chi-Square(3)
0.2214
0.1720
0.4075
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/05/10 Time: 19:52
Sample: 2001 2009
Included observations: 9
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
PBI_F^2
PBI_F*PBI_C
PBI_C^2
-0.022046
0.020319
-0.064257
0.052076
0.013110
0.023421
0.078395
0.065637
-1.681564
0.867532
-0.819654
0.793392
0.1535
0.4253
0.4497
0.4635
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.555305
0.288487
0.000300
4.51E-07
62.86608
2.081217
0.221404
0.000243
0.000356
-13.08135
-12.99369
-13.27051
1.857338
2.660193
7.343656
1.986998
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/05/10 Time: 19:55
Sample: 2001 2009
Included observations: 9
Prob. F(5,3)
Prob. Chi-Square(5)
Prob. Chi-Square(5)
0.2252
0.1963
0.8509
Coefficient
Std. Error
t-Statistic
Prob.
C
FIDE^2
FIDE*C_PRI
FIDE*PBI
C_PRI^2
C_PRI*PBI
0.002661
-0.002774
0.002885
0.005808
0.004181
-0.010885
0.021730
0.002769
0.006509
0.004518
0.004501
0.007253
0.122442
-1.001734
0.443235
1.285558
0.928867
-1.500785
0.9103
0.3903
0.6876
0.2888
0.4215
0.2304
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.815962
0.509231
0.000206
1.27E-07
68.56294
2.660193
0.225161
0.000251
0.000294
-13.90288
-13.77139
-14.18662
2.288760