MINIMOS CUADRADOS POR TRES ETAPAS

Estimar el modelo multiecuacional por mínimos cuadraos por tres etapas; object-
sistema: inst c y(-1) y(-2) g
cn =c(1)+c(2)*y(-1)
i=C(3)+C(4)*(y(-1)-y(-2))

System: MC3E
Estimation Method: Three-Stage Least Squares
Date: 10/07/17 Time: 16:09
Sample: 1950Q1 1985Q4
Included observations: 144
Total system (balanced) observations 288
Linear estimation after one-step weighting matrix

Coefficient Std. Error t-Statistic Prob.

- - 2.56822239
180.28239614 11.503546143 15.671897508 4068913e-
C(1) 02073 08894 62317 40
0.6937220215 0.0034459460 201.31540540
C(2) 915136 27870621 12246 0
3.30837302
394.96350624 18.208503803 21.691156533 2985423e-
C(3) 72944 60782 63219 62
0.00025471
1.3794391462 0.3723892912 3.7042932720 219606161
C(4) 55664 776105 29977 48

67105698.104
Determinant residual covariance 40661

Equation: CN =C(1)+C(2)*Y(-1)
Instruments: C Y(-1) Y(-2) G
Observations: 144
0.9964106082 2003.93957
R-squared 91626 Mean dependent var 5195313
0.9963853359 769.666564
Adjusted R-squared 222412 S.D. dependent var 9414062
46.273826599 304059.906
S.E. of regression 1211 Sum squared resid 25
0.4194376468
Durbin-Watson stat 658448

Equation: I=C(3)+C(4)*(Y(-1)-Y(-2))
Instruments: C Y(-1) Y(-2) G
Observations: 144
0.0851971209 433.433715
R-squared 0492249 Mean dependent var 8203125
0.0787548497 188.304565
Adjusted R-squared 3192215 S.D. dependent var 4296875
180.73757934
S.E. of regression 57031 Sum squared resid 4638582.5
0.1085402965
Durbin-Watson stat 545654
1. EVALUACION ECONOMICA DEL MODELO

𝑑𝑐𝑛
𝑑𝑦𝑡−1
=0.693722

Un incremento en el 1% en `PBI no contemporáneo el consumo nacional en el periodo

actual es de 0.69 (la propensión marginal a consumir), según la teoría económica se
encuentra entre 0 y 1.
𝑑𝐼
𝑑(𝑦𝑡−1 −𝑦𝑡−2 )
=1.379439146255664

Un incremento en el 1% en `el multiplicador incrementa la inversión en 1.38, con la cual

la política económica deben estar destinados aumentar el ahorro de la inversión.

2. EVALUACION ESTADISTICA
2.1 Significancia individual ecuación del consumo
𝐻0 : 𝛼 = 0 (No significativo)
𝐻1 : 𝛼 ≠ 0 (Significativo)
Scalar tt =@qtdist(0.975,143)
Tt= 1.976692
Tc=201.3154054012246; entonces como: Tc>tt, se acepta 𝐻1 ; por lo tanto el
coeficiente asociado al PBI no contemporáneo es altamente significativo.
2.2 Significancia individual ecuación de la inversión
𝐻0 : 𝛽 = 0 (No significativo)
𝐻1 : 𝛽 ≠ 0 (Significativo)
Scalar tt =@qtdist(0.975,143)
Tt= 1.976692
Tc=3.70; entonces como: Tc>tt, se acepta 𝐻1 ; por lo tanto el coeficiente asociado al
multiplicador de la inversión es altamente significativo.
2.3 Significancia global del consumo
𝐻0 : 𝛼 = 0 (No significativo)
𝐻1 : 𝛼 ≠ 0 (Significativo)
Scalar fc_cn=scalar fc_cn=((0.996422602513193/1)/((1-0.996422602513193)/142))

Scalar ft=@qfdist(.95,1,142)

acepta 𝐻1 ; por lo tanto el coeficiente asociado al PBI no

Fc=39419.02 >Ft=3.90 se
contemporáneo es altamente significativo.
2.4 Significancia global de la inversión
𝐻0 : 𝛽 = 0 (No significativo)
𝐻1 : 𝛽 ≠ 0 (Significativo)
Scalar fc_i=((0.08519712090492249/1)/((1-0.08519712090492249)/142))
Scalar ft=@qfdist(.95,1,142)

acepta 𝐻1 ; por lo tanto el coeficiente asociado al multiplicador de la

Fc=13.22 >Ft=3.90 se
inversión es altamente significativo.

3. EVALUACION ECONOMETRICA
3.1 Test de normalidad de los residuos para la ecuación de consumo
𝐻0 : Los residuos se aproximan a una distribución normal.
𝐻1 : Los residuos no se aproximan a una distribución normal.
Proc, make, residual; Reisid01 (viw, distr stadis, histograma)
24
Series: RESID01
Sample 1950Q1 1985Q4
20 Observations 144

16 Mean -9.25e-14
Median -5.328827
Maximum 131.3574
12 Minimum -110.7950
Std. Dev. 46.11175
Skewness 0.522265
8
Kurtosis 2.910203

4 Jarque-Bera 6.594630
Probability 0.036982
0
-120 -80 -40 0 40 80 120

JB: 6.594630~𝑥 2 2=5.99; por lo tanto JB>𝑥 2 2 acepto 𝐻1 : Los residuos no se aproximan
a una distribución normal.

3.2 Test de normalidad de los residuos para la ecuación de la inversión

𝐻0 : Los residuos se aproximan a una distribución normal.

𝐻1 : Los residuos no se aproximan a una distribución normal.
Proc, make, residual; Reisid01 (viw, distr stadis, histograma)
16
Series: RESID02
14 Sample 1950Q1 1985Q4
Observations 144
12
Mean 9.36e-13
10 Median -23.87537
Maximum 391.3002
8 Minimum -266.0284
Std. Dev. 180.1045
6 Skewness 0.472920
Kurtosis 2.040908
4
Jarque-Bera 10.88683
2 Probability 0.004325
0
-200 -100 0 100 200 300 400

JB: 10.88683~𝑥 2 2=5.99; por lo tanto JB>𝑥 2 2 acepto 𝐻1 : Los residuos no se aproximan
a una distribución normal.
3.3 Test de herteroscedasticidad de primer orden (prueba de heteroscedasticidad
autorregresiva: Arch); para la ecuación del consumo
Ls resid01^2 c resid01 (-1) ^2

Dependent Variable: RESID01^2

Method: Least Squares
Date: 10/07/17 Time: 17:04
Sample (adjusted): 1950Q2 1985Q4
Included observations: 143 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

0.00012876
971.0711834 246.60265643 3.9377969298 632980041
C 158202 69723 72126 37
1.03241421
0.506544689 0.0683138883 7.4149591214 8392909e-
RESID01(-1)^2 2213044 0676528 4032 11

0.280544773 2040.20635
R-squared 1116976 Mean dependent var 4777393
0.275442253 2810.52460
Adjusted R-squared 7720642 S.D. dependent var 8222588
2392.345466 18.4118234
S.E. of regression 630105 Akaike info criterion 1548127
806987673.2 18.4532618
Sum squared resid 704921 Schwarz criterion 0191848
-
1314.445374 18.4286619
Log likelihood 206911 Hannan-Quinn criter. 9143948
54.98161877 2.13701731
F-statistic 263097 Durbin-Watson stat 4003216
1.032414218
Prob(F-statistic) 392936e-11

Scalar tr2_arch1_cn=143* 0.2805447731116976= 40.11790> 𝑥 21=3.84 acepto 𝐻1 : Los residuos

son heteroscedasticos.
3.4 Test de herteroscedasticidad de segundo orden (prueba de
heteroscedasticidad autorregresiva: Arch); para el consumo

Ls resid01^2 c resid01 (-1) ^2 resid01 (-2) ^2

Dependent Variable: RESID01^2

Method: Least Squares
Date: 10/07/17 Time: 17:08
Sample (adjusted): 1950Q3 1985Q4
Included observations: 142 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

0.00156096
839.5432308 260.17340014 3.2268603568 626085661
C 203984 09998 44365 4
7.29620488
0.436595811 0.0841197819 5.1901681337 5860018e-
RESID01(-1)^2 4796779 0785952 91674 07
0.129686169 0.0805900358 1.6092084907 0.10983960
RESID01(-2)^2 9283241 3273542 05819 401626

0.277818765 2005.30342
R-squared 990808 Mean dependent var 5171653
0.267427669 2789.19881
Adjusted R-squared 0985894 S.D. dependent var 4639344
2387.287519 18.4146036
S.E. of regression 939508 Akaike info criterion 0608644
792180696.6 18.4770506
Sum squared resid 973911 Schwarz criterion 5659914
-
1304.436856 18.4399795
Log likelihood 032137 Hannan-Quinn criter. 5260464
26.73623091 1.91245519
F-statistic 695485 Durbin-Watson stat 6202105
1.499376958
Prob(F-statistic) 068838e-10

Scalar tr2_arch2_cn=142*0.277818765990808= 39.45>𝑥 2 2 =5.99acepto 𝐻1 : Los residuos son

heteroscedasticos.
3.5 Test de White Simplificado para el consumo
Ls resid01^2 c y(-1)^2

Dependent Variable: RESID01^2

Method: Least Squares
Date: 10/07/17 Time: 17:16
Sample: 1950Q1 1985Q4
Included observations: 144

Variable Coefficient Std. Error t-Statistic Prob.

0.00993079
1133.984721 433.91396086 2.6133861179 006140669
C 726002 86074 66787 2
0.00781067
8.775170965 3.2518943909 2.6984796891 431335707
Y(-1)^2 217696e-05 71051e-05 25862 5
 0.048778839 2111.52718
R-squared 69778518 Mean dependent var 2579729
0.042080099 2928.53027
Adjusted R-squared 13227662 S.D. dependent var 6504544
2866.251640 18.7731894
S.E. of regression 151869 Akaike info criterion 1501463
1166586581. 18.8144368
Sum squared resid 983605 Schwarz criterion 2195318
-
1349.669637 18.7899500
Log likelihood 881053 Hannan-Quinn criter. 3373478
7.281792632 0.94933190
F-statistic 624819 Durbin-Watson stat 76587179
0.007810674
Prob(F-statistic) 313357075

Scalar tr2_whs_cn=144*0.04877883969778518=7.02415339.45>𝑥 21=3.84, acepto 𝐻1 : Los

residuos son heteroscedasticos.

3.6 Test de White global para el consumo

Ls resid01^2 c y(-1)^2 y(-1)

Dependent Variable: RESID01^2

Method: Least Squares
Date: 10/07/17 Time: 17:27
Sample: 1950Q1 1985Q4
Included observations: 144

Variable Coefficient Std. Error t-Statistic Prob.

1997.445513 2265.5447165 0.8816623652 0.37945990

C 37845 70955 442005 94126694
0.000174406 0.0002255000 0.7734193751 0.44056894
Y(-1)^2 0860353519 218963267 676656 586617
- -
0.580831235 1.4955980670 0.3883605149 0.69833501
Y(-1) 4439079 96408 153131 42878139

0.049795248 2111.52718
R-squared 04214564 Mean dependent var 2579729
0.036317166 2928.53027
Adjusted R-squared 45409111 S.D. dependent var 6504544
2874.860526 18.7860092
S.E. of regression 034919 Akaike info criterion 0262051
1165340049. 18.8478803
Sum squared resid 225682 Schwarz criterion 1302834
-
1349.592662 18.8111501
Log likelihood 588677 Hannan-Quinn criter. 3070073
3.694535288 0.95001291
F-statistic 039662 Durbin-Watson stat 3171499
0.027296845
Prob(F-statistic) 27992169

Scalar tr2_whg_cn=144*0.04979524804214564=7.170516>𝑥 2 2 =5.99, acepto 𝐻1 : Los residuos

son heteroscedasticos.
3.7 Test de herteroscedasticidad de primer orden (prueba de heteroscedasticidad
autorregresiva: Arch); para la inversión
ls resid02^2 c resid02(-1)^2

Dependent Variable: RESID02^2

Method: Least Squares
Date: 10/07/17 Time: 17:40
Sample: 1950Q1 1985Q4
Included observations: 144

Variable Coefficient Std. Error t-Statistic Prob.

1.15293781
32015.06217 3395.8056146 9.4278253261 8828125e-
C 62834 43099 11372 16
0.00882856
2.426240634 0.9136369879 2.6555849498 042651659
(Y(-1)-Y(-2))^2 693706 05244 34954 5
- -
200.4390393 81.296643072 2.4655266409 0.01488151
Y(-1)-Y(-2) 137213 10135 45722 095798754

0.056342125 32212.3776
R-squared 76705344 Mean dependent var 8842192
0.042956907 32979.3571
Adjusted R-squared 69282723 S.D. dependent var 9163392
32263.23659 23.6218576
S.E. of regression 478297 Akaike info criterion 7400859
1467692174 23.6837287
Sum squared resid 15.503 Schwarz criterion 8441643
-
1697.773752 23.6469986
Log likelihood 528619 Hannan-Quinn criter. 0208882
4.209279628 0.44347113
F-statistic 812516 Durbin-Watson stat 0355077
0.016765907
Prob(F-statistic) 12472701

scalar tr2_arch1_i=143* 0.5933719688565781=84.85219>𝑥 21=3.84, acepto 𝐻1 : Los residuos son

heteroscedasticos.

3.8 Test de herteroscedasticidad de segundo orden (prueba de

heteroscedasticidad autorregresiva: Arch); para la inversión
ls resid02^2 c resid02(-1)^2 resid02(-2)^2

Dependent Variable: RESID02^2

Method: Least Squares
Date: 10/07/17 Time: 17:32
Sample (adjusted): 1950Q3 1985Q4
Included observations: 142 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

4114.070513 2392.2099550 1.7197781930 0.08769849

C 991266 53912 88637 358098066
 1.10504679
0.514438023 0.0786958705 6.5370396134 0825755e-
RESID02(-1)^2 497395 9598819 05335 09
0.373393386 0.0806033234 4.6324812690 8.22243054
RESID02(-2)^2 339929 9994121 90613 71921e-06

0.650696972 31900.4126
R-squared 5910392 Mean dependent var 2496251
0.645671029 33048.2868
Adjusted R-squared 7506225 S.D. dependent var 8723695
19672.17064 22.6326979
S.E. of regression 798338 Akaike info criterion 8010965
5379220742 22.6951450
Sum squared resid 2.46965 Schwarz criterion 3062235
-
1603.921556 22.6580739
Log likelihood 587785 Hannan-Quinn criter. 2662785
129.4676428 2.12368338
F-statistic 387494 Durbin-Watson stat 2920072
1.788806247
Prob(F-statistic) 566964e-32

scalar tr2_arch2_i=142*0.6506969725910392=92.39>𝑥 2 2 =5.99, acepto 𝐻1 : Los residuos son

heteroscedasticos.

3.9 Test de White Simplificado para la inversión

ls resid02^2 c (Y(-1)-Y(-2))^2

Dependent Variable: RESID02^2

Method: Least Squares
Date: 10/07/17 Time: 17:36
Sample: 1950Q1 1985Q4
Included observations: 144

Variable Coefficient Std. Error t-Statistic Prob.

C 29462.77 3291.502 8.951163 0.0000

(Y(-1)-Y(-2))^2 1.152750 0.766977 1.502978 0.1351

R-squared 0.015659 Mean dependent var 32212.38

Adjusted R-squared 0.008727 S.D. dependent var 32979.36
S.E. of regression 32835.14 Akaike info criterion 23.65018
Sum squared resid 1.53E+11 Schwarz criterion 23.69142
Log likelihood -1700.813 Hannan-Quinn criter. 23.66694
F-statistic 2.258943 Durbin-Watson stat 0.502039
Prob(F-statistic) 0.135065

scalar tr2_whs_i=144*0.01565894927669498=2.25<𝑥 21=3.84, acepto 𝐻0 : Los residuos son

heteroscedasticos.
3.10 Test de White general de la inversión
ls resid02^2 c (Y(-1)-Y(-2))^2 Y(-1)-Y(-2)

Dependent Variable: RESID02^2

Method: Least Squares
Date: 10/07/17 Time: 17:40
Sample: 1950Q1 1985Q4
Included observations: 144

Variable Coefficient Std. Error t-Statistic Prob.

C 32015.06 3395.806 9.427825 0.0000

(Y(-1)-Y(-2))^2 2.426241 0.913637 2.655585 0.0088
Y(-1)-Y(-2) -200.4390 81.29664 -2.465527 0.0149

R-squared 0.056342 Mean dependent var 32212.38

Adjusted R-squared 0.042957 S.D. dependent var 32979.36
S.E. of regression 32263.24 Akaike info criterion 23.62186
Sum squared resid 1.47E+11 Schwarz criterion 23.68373
Log likelihood -1697.774 Hannan-Quinn criter. 23.64700
F-statistic 4.209280 Durbin-Watson stat 0.443471
Prob(F-statistic) 0.016766

scalar tr2_whg_i=144*0.05634212576705344=8.11>𝑥 2 2 =5.99, acepto 𝐻1 : Los residuos son

heteroscedasticos.
3.11 Autocorrelacion (prueba de Durbin Watson) para la ecuación del consumo
𝐻0 : 𝜌 = 0
𝐻1 : 𝜌 ≠ 0

Autocorrelacion positiva

DW=0.41 dl=1.71 d=1.74

Por lo tanto acepto 𝐻1 : 𝜌 ≠ 0 existe autocorrelacion positiva.

3.12 Test de Box Pearce (primer orden) ecuación del consumo

𝐻0 : No existe autocorrelacion
𝐻1 : existe autocorrelacion
Residuo01, Viw, correlograma.
scalar qbp1_cn=144*(0.7663577284189785)^2=84.57>𝑥 21 (3.84); por lo tanto se acepta la 𝐻1 :
existe autocorrelacion.

3.13 Test de Box Pearce (segundo orden) ecuación del consumo

scalar qbp2_cn=144*((0.7663577284189785)^2+(0.5801591429125654)^2)=133> 𝑥 2 2 (3.84); por lo

tanto se acepta 𝐻1 : existe autocorrelacion.

3.14 Test de Breush Godfrey (primer orden) ecuación del consumo

ls resid01 C Y(-1) RESID01(-1)

Dependent Variable: RESID01

Method: Least Squares
Date: 10/07/17 Time: 17:58
Sample (adjusted): 1950Q2 1985Q4
Included observations: 143 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.797946 7.175664 0.111202 0.9116

Y(-1) -0.000579 0.002144 -0.269969 0.7876
RESID01(-1) 0.771879 0.051416 15.01243 0.0000

R-squared 0.617232 Mean dependent var -0.775890

Adjusted R-squared 0.611763 S.D. dependent var 45.32072
S.E. of regression 28.23872 Akaike info criterion 9.540021
Sum squared resid 111639.6 Schwarz criterion 9.602179
Log likelihood -679.1115 Hannan-Quinn criter. 9.565279
F-statistic 112.8782 Durbin-Watson stat 1.935651
Prob(F-statistic) 0.000000

Scalar tr2_lm1_cn=143*0.6172315582185212=88.26>𝑥 2 1(3.84); por lo tanto acepto 𝐻1 : existe

autocorrelacion.
3.15 Test de Breush Godfrey (segundo orden) ecuación del consumo
ls resid01 C Y(-1) RESID01(-1) RESID01(-2)

Dependent Variable: RESID01

Method: Least Squares
Date: 10/07/17 Time: 18:01
Sample (adjusted): 1950Q3 1985Q4
Included observations: 142 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.916674 7.303324 0.125515 0.9003

Y(-1) -0.000605 0.002176 -0.278058 0.7814
RESID01(-1) 0.796475 0.085756 9.287716 0.0000
RESID01(-2) -0.029658 0.083992 -0.353106 0.7245

R-squared 0.607943 Mean dependent var -1.370401

Adjusted R-squared 0.599420 S.D. dependent var 44.91808
S.E. of regression 28.42926 Akaike info criterion 9.560480
Sum squared resid 111534.8 Schwarz criterion 9.643743
Log likelihood -674.7941 Hannan-Quinn criter. 9.594314
F-statistic 71.32999 Durbin-Watson stat 1.972253
Prob(F-statistic) 0.000000

scalar tr2_lm2_cn=142*0.6079433779383214=86.3226>𝑥 2 2 (5.99); por lo tanto acepto 𝐻1 : existe

autocorrelacion.

3.16 Autocorrelacion (prueba de Durbin Watson) para la ecuación para la inversión

𝐻0 : 𝜌 = 0
𝐻1 : 𝜌 ≠ 0

Autocorrelacion positiva

DW=0.10 dl=1.71 d=1.74

Por lo tanto acepto 𝐻1 : 𝜌 ≠ 0 existe autocorrelacion positiva.

3.17 Test de Box Pearce (primer orden) ecuación para la inversión

𝐻0 : No existe autocorrelacion
𝐻1 : existe autocorrelacion
Resid02, view, correlograma
scalar qbp1_i=144*(0.9282390694634899)^2=124.07>𝑥 2 1(3.84); por lo tanto acepto 𝐻1 : existe
autocorrelacion.
3.18 Test de Box Pearce (primer orden) ecuación para la inversión

𝐻0 : No existe autocorrelacion
𝐻1 : existe autocorrelacion
Resid02, view, correlograma

scalar qbp2_i=144*((0.9282390694634899)^2+(0.9073323970926178)^2)=242.6227> 𝑥 2 2 (5.99); por lo

tanto acepto 𝐻1 : existe autocorrelacion.
3.19 Test de Breush Godfrey (primer orden) ecuación de la inversión
𝐻0 : No existe autocorrelacion
𝐻1 : existe autocorrelacion
ls resid02 C (Y(-1)-Y(-2)) RESID02(-1)

Dependent Variable: RESID02

Method: Least Squares
Date: 10/07/17 Time: 18:11
Sample (adjusted): 1950Q2 1985Q4
Included observations: 143 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 18.94659 5.647391 3.354928 0.0010

Y(-1)-Y(-2) -0.540292 0.115666 -4.671147 0.0000
RESID02(-1) 0.968266 0.026128 37.05869 0.0000

R-squared 0.907498 Mean dependent var 1.362339

Adjusted R-squared 0.906177 S.D. dependent var 179.9915
S.E. of regression 55.13246 Akaike info criterion 10.87811
Sum squared resid 425542.3 Schwarz criterion 10.94027
Log likelihood -774.7849 Hannan-Quinn criter. 10.90337
F-statistic 686.7414 Durbin-Watson stat 2.295506
Prob(F-statistic) 0.000000

scalar tr2_lm1_i=143*0.9074981200255454=129.77>𝑥 21 (3.84); por lo tanto acepto 𝐻1 : existe

autocorrelacion.

3.20 Test de Breush Godfrey (primer orden) ecuación de la inversión

𝐻0 : No existe autocorrelacion
𝐻1 : existe autocorrelacion
ls resid02 C (Y(-1)-Y(-2)) RESID02(-1) RESID02(-2)

Dependent Variable: RESID02

Method: Least Squares
Date: 10/07/17 Time: 18:14
Sample (adjusted): 1950Q3 1985Q4
Included observations: 142 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 18.31264 5.007147 3.657301 0.0004

Y(-1)-Y(-2) -0.441286 0.103802 -4.251244 0.0000
RESID02(-1) 0.550427 0.070733 7.781753 0.0000
RESID02(-2) 0.440947 0.071008 6.209841 0.0000

R-squared 0.927262 Mean dependent var 3.245372

Adjusted R-squared 0.925681 S.D. dependent var 179.2095
S.E. of regression 48.85532 Akaike info criterion 10.64337
Sum squared resid 329384.3 Schwarz criterion 10.72663
Log likelihood -751.6792 Hannan-Quinn criter. 10.67720
F-statistic 586.4063 Durbin-Watson stat 1.626731
Prob(F-statistic) 0.000000

scalar tr2_lm2_i=142*0.9272619561207652=131.67>𝑥 2 2 (5.99); por lo tanto acepto 𝐻1 : existe

autocorrelacion.