QUINTA PRÁCTICA CALIFICADA DE ECONOMETRIA II. Dependent Variable: CREDITOSB Method: Least Squares Sample: 1992M M07 Included observations: 211

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1 UNIVERSIDAD NACIONAL DE PIURA FACULTAD DE ECONOMIA QUINTA PRÁCTICA CALIFICADA DE ECONOMETRIA II 1º Verificar si cointegra el modelo siguiente: CREDITOSB = a + b EMI + U 1.1. Aplicando la prueba alternativa de DWRC. (2 puntos) Dependent Variable: CREDITOSB Method: Least Squares Sample: 1992M1 29M7 Included observations: 211 Variable Coefficient Std. Error t-statistic Prob. C EMI R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 1.9E+9 Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic). Modified: 1992M1 29M7 // eq1.makeresid 1992M M M M Dependent Variable: RESID1 Method: Least Squares Sample (adjusted): 1992M2 29M7 Included observations: 21 after adjustments Variable Coefficient Std. Error t-statistic Prob. RESID1(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 1.6E+8 Schwarz criterion Log likelihood Durbin-Watson stat Wald Test: Test Statistic Value df Probability F-statistic (1, 29).328 Chi-square

2 1.2. Mediante la Metodología de Engle y Granger. (5 puntos) m7") 29m7") CREDITOSB: TENDENCIA, INTERCEPTO, K=11, SIC ADF SI SI PP SI SI GLS SI SI ERS SI SI KPSS SI SI EMI: TENDENCIA, INTERCEPTO, K=11, SIC ADF SI SI PP SI SI GLS SI SI ERS SI SI KPSS SI SI m7") 29m7") Hypothesis Testing for D(CREDITOSB) Sample (adjusted): 1992M2 29M7 Included observations: 21 after adjustments Test of Hypothesis: Mean =. Method Value Probability t-statistic

3 3 D(CREDITOSB): INTERCEPTO, K=11, SIC ADF SI SI PP NO NO GLS SI NO ERS SI SI KPSS SI SI Hypothesis Testing for D(EMI) Sample (adjusted): 1992M2 29M7 Included observations: 21 after adjustments Test of Hypothesis: Mean =. Method Value Probability t-statistic D(EMI): INTERCEPTO, K=11, SIC ADF SI SI PP NO NO GLS NO NO ERS SI SI KPSS SI SI m7") 29m7") D(CREDITOSB,2): NONE, K=11, SIC ADF NO NO PP NO NO GLS NO NO ERS NO NO KPSS NO NO D(EMI,2): NONE, K=11, SIC ADF NO NO PP NO NO GLS NO NO

4 ERS SI SI KPSS NO NO 4 RESID1: NONE, K=11, SIC ADF SI SI PP SI SI GLS SI SI ERS SI SI KPSS NO NO D(RESID1): NONE, K=11, SIC ADF NO NO PP NO NO GLS NO NO ERS NO NO KPSS NO NO 1.3. Estime el modelo de corto plazo. (3 puntos) Dependent Variable: D(CREDITOSB,2) Method: Least Squares Sample (adjusted): 1992M3 29M7 Included observations: 29 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(EMI,2) D(RESID1(-1)) R-squared.7166 Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat º Empleando Johansen analice las series: CREDITOSB, EMI Y TI. (4 puntos) Sample: 1992M1 29M7 Included observations: 25 Series: CREDITOSB EMI TI Lags interval: 1 to 4 Data Trend: None None Linear Linear Quadratic Test Type No Intercept Intercept Intercept Intercept Intercept No Trend No Trend No Trend Trend Trend Trace Max-Eig Information Criteria by Rank and Model Data Trend: None None Linear Linear Quadratic Rank or No Intercept Intercept Intercept Intercept Intercept

5 No. of CEs No Trend No Trend No Trend Trend Trend 5 Log Likelihood by Rank (rows) and Model (columns) Akaike Information Criteria by Rank (rows) and Model (columns) * Schwarz Criteria by Rank (rows) and Model (columns) * Sample (adjusted): 1992M7 29M7 Included observations: 25 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: CREDITOSB EMI TI Lags interval (in first differences): 1 to 4 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace.5 No. Of CE(s) Eigenvalue Statistic Critical Value Prob.** None * At most 1 * At most Trace test indicates 2 cointegrating eqn(s) at the.5 level Sample (adjusted): 1992M7 29M7 Included observations: 25 after adjustments Trend assumption: Quadratic deterministic trend Series: CREDITOSB EMI TI Lags interval (in first differences): 1 to 4 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace.5 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * At most 1 * At most E Trace test indicates 2 cointegrating eqn(s) at the.5 level

6 3º Comente y fundamente su respuesta. (6 puntos) El modelo de corrección de errores es un modelo de largo plazo y nos estima el tiempo que demora en ajustarse la variable exógena El test de Johansen y el Engle y Granger nos conduce a la misma conclusión.