Ejercicio 1

Diplomado de Econometra: Aplicaciones de Datos de Panel

Alumno: Miguel Angel Bernuy Allpocc

1. Los datos de indicadores financieros para el periodo 2006-2013 de las principales Cajas
Municipales del Per se encuentran en el archivo ebitda.dta. Las variables disponibles en este
archivo son:
Variable Dependiente: Margen Ebitda (mg_ebitda)
Variables Independientes:
i. Rentabilidad de activos (roa)
ii. Cobertura de crditos deteriorados (provcd)
iii. Tasa de crditos atrasados (mora)
iv. Tasa de crditos deteriorados (comprende atrasados y refinanciados, cd)
v. Razn deuda-capital (dc)
vi. Costo de deuda (gfp)
vii. Razn de ingresos financieros entre crditos totales (ifcb)
viii. Spread financiero (diferencial entre rendimiento de activos y costo de pasivos,
spread)

RESPUESTAS
A) Realizar un breve (resumen) anlisis estadstico de las variables por cada unidad transversal.

Antes de comenzar con el anlisis estadstico de las variables por cada unidad transversal, se procedi a
escribir los comandos siguientes en la siguiente imagen para que el STATA12 entienda que se est tratando
con variables tipo Panel.

IMAGEN N1: Comandos para programar los datos como PANEL en el STATA12

Una vez programado los datos del STATA12 se obtuvo los siguientes resultados

CUADRO N1: Descripcin estadsticas de las variables

Variable Mean Std. Dev. Min Max Observaciones

roa overall 3.615797 1.582021 0.2761 7.3425 N = 576
between 1.056093 2.014968 4.890191 n = 6
within 1.253686 1.20557 6.603796 T = 96
provcd overall 110.578 16.37021 76.536 155.2948 N = 576
between 13.42344 92.88645 128.8864 n = 6
within 10.84275 73.39343 151.9819 T = 96
mora overall 5.107943 1.478669 1.8436 9.0618 N = 576
between 0.90955 4.077801 6.527984 n = 6
within 1.223054 1.454624 8.672824 T = 96
cd overall 6.724249 2.099696 3.0825 12.773 N = 576
 between 1.556969 5.126662 8.912002 n = 6
within 1.544371 2.758763 12.12096 T = 96
dc overall 5.588123 1.218499 3.2868 8.6803 N = 576
between 1.023425 4.074608 7.017281 n = 6
within 0.7812743 3.836606 7.698906 T = 96
gfp overall 6.233583 1.139238 4.0943 11.047 N = 576
between 0.8955255 4.777584 7.302668 n = 6
within 0.7927148 4.210916 9.977915 T = 96
ifcb overall 24.49482 2.707592 18.09 32.3504 N = 576
between 1.416915 22.20924 26.13233 n = 6
within 2.378046 19.76293 30.71289 T = 96
spread overall 15.52022 2.071176 11.7 21.1731 N = 576
between 1.29614 13.95804 17.1198 n = 6
within 1.699221 11.68041 20.66842 T = 96
mg_ebi~a overall 0.3038837 0.1013623 0.113 0.559 N = 576
between 0.0738917 0.2179062 0.4225208 n = 6
within 0.0756071 0.1666337 0.4631754 T = 96

A continuacin se muestran los grficos por unidad transversal,

GRAFICO N2: Comportamiento de las variables PROVCD IFCB y SPREAD

 GRAFICO N3: Comportamiento de las variables ROA y CD

GRAFICO N4: Comportamiento de las variables MORA y GFP

 GRAFICO N5: Comportamiento de las variables DC

GRAFICO N6: Comportamiento de las variables DC

Como se puede en el CUADRO N1 y los GRAFICO N 2 al 6, que Cusco y Arequipa poseen comportamiento
similares a comparacin de las otras cajas municipales, ello puede deberse al nivel socioeconmico de las
ciudades y la cantidad de poblacin que tienen.
B) Realizar las pruebas de races unitarias a las variables. Interprete sus resultados.

Se utiliz el comando xtunitroot en cada variable dependiente e independiente del modelo propuesto
demostrando

xtunitroot llc roa

Levin-Lin-Chu unit-root test for roa

------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -16.4290
Adjusted t* -14.2312 0.0000
------------------------------------------------------------------------------

xtunitroot llc provcd

Levin-Lin-Chu unit-root test for provcd

---------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -20.8612
Adjusted t* -19.2728 0.0000
------------------------------------------------------------------------------

xtunitroot llc mora

Levin-Lin-Chu unit-root test for mora

-------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -19.4668
Adjusted t* -17.6925 0.0000
------------------------------------------------------------------------------
xtunitroot llc cd

Levin-Lin-Chu unit-root test for cd

-----------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -21.0548
Adjusted t* -20.0318 0.0000
------------------------------------------------------------------------------

xtunitroot llc dc

Levin-Lin-Chu unit-root test for dc

-----------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -17.3645
Adjusted t* -16.1340 0.0000
------------------------------------------------------------------------------

xtunitroot llc gfp

Levin-Lin-Chu unit-root test for gfp

------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -18.0175
Adjusted t* -17.2455 0.0000
------------------------------------------------------------------------------

xtunitroot llc ifcb

Levin-Lin-Chu unit-root test for ifcb

-------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
 Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -18.7917
Adjusted t* -16.6909 0.0000
------------------------------------------------------------------------------

xtunitroot llc spread

Levin-Lin-Chu unit-root test for spread

---------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -17.6424
Adjusted t* -15.3864 0.0000
------------------------------------------------------------------------------

xtunitroot llc mg_ebitda

Levin-Lin-Chu unit-root test for mg_ebitda

------------------------------------------
Ho: Panels contain unit roots Number of panels = 6
Ha: Panels are stationary Number of periods = 96

AR parameter: Common Asymptotics: N/T -> 0

Panel means: Included
Time trend: Not included

ADF regressions: 1 lag

LR variance: Bartlett kernel, 14.00 lags average (chosen by LLC)
------------------------------------------------------------------------------
Statistic p-value
------------------------------------------------------------------------------
Unadjusted t -17.5614
Adjusted t* -15.8619 0.0000
------------------------------------------------------------------------------

Como se puede apreciar en todas las variables no hay raz unitaria, demostrando que las variables son
estacionarias.

C) Justificar la eleccin de un modelo agrupado, de efectos aleatorios o de efectos fijos a travs de las
pruebas vistas en clase.

Primero se estimara el modelo con efectos fijos

xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread, fe

Fixed-effects (within) regression Number of obs = 576

Group variable: unidad1 Number of groups = 6

R-sq: within = 0.9703 Obs per group: min = 96

between = 0.8922 avg = 96.0
overall = 0.9341 max = 96

F(8,562) = 2296.09
corr(u_i, Xb) = -0.1599 Prob > F = 0.0000
mg_ebitda Coef. Std. Err. t P>t [95% Conf. Interval]

roa 0.0635408 0.0011922 53.3 0.000 0.061 0.066

provcd 0.0000335 0.00007 0.48 0.632 0.000 0.000
mora 0.0075994 0.0014857 5.12 0.000 0.005 0.011
cd -0.0041903 0.0014107 -2.97 0.003 -0.007 -0.001
dc 0.0032237 0.0012628 2.55 0.011 0.001 0.006
gfp -0.0100357 0.0009974 -10.06 0.000 -0.012 -0.008
ifcb -0.0019272 0.0005186 -3.72 0.000 -0.003 -0.001
spread 0.0018558 0.0006214 2.99 0.003 0.001 0.003
_cons 0.1227324 0.0212316 5.78 0.000 0.081 0.164

sigma_u 0.02496353
sigma_e 0.01317689
rho 0.78209253 (fraction of variance due to u_i)

Segundo se realiza el modelo con efectos aleatorios

xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread, re

Random-effects GLS regression Number of obs = 576

Group variable: unidad1 Number of groups = 6

R-sq: within = 0.9563 Obs per group: min = 96

between = 0.9505 avg = 96.0
overall = 0.9532 max = 96
Wald chi2(8) = 11544.42
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

mg_ebitda Coef. Std. Err. z P>z [95% Conf. Interval]

roa 0.057198 0.0016651 34.35 0 0.0539344 0.0604616

provcd -0.0006272 0.0000951 -6.59 0 -0.0008136 -0.0004408
mora 0.0124131 0.0021722 5.71 0 0.0081557 0.0166705
cd -0.0132904 0.0019133 -6.95 0 -0.0170404 -0.0095403
dc -0.0050907 0.0013085 -3.89 0 -0.0076553 -0.0025261
gfp -0.0146072 0.0013493 -10.83 0 -0.0172519 -0.0119626
ifcb 0.0023754 0.0007808 3.04 0.002 0.000845 0.0039058
spread -0.0042855 0.0008384 -5.11 0 -0.0059287 -0.0026422
_cons 0.3202133 0.0183722 17.43 0 0.2842046 0.3562221

sigma_u 0
sigma_e 0.01317689
rho 0 (fraction of variance due to u_i)
Despus se realiza el test de Hausman para elegir el mejor modelo

---- Coefficients ----

(b) (B) (b-B) sqrt(diag(V_b-V_B))
fe re Difference S.E.

roa 0.0635408 0.057198 0.0063428 .

provcd 0.0000335 -0.0006272 0.0006607 .
mora 0.0075994 0.0124131 -0.0048137 .
cd -0.0041903 -0.0132904 0.0091001 .
dc 0.0032237 -0.0050907 0.0083144 .
gfp -0.0100357 -0.0146072 0.0045715 .
ifcb -0.0019272 0.0023754 -0.0043026 .
spread 0.0018558 -0.0042855 0.0061412 .
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic

chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 3980.47
Prob>chi2 = 0.0000
(V_b-V_B is not positive definite)

En la prueba de Hausman se demuestra que la probabilidad 0.000, lo cual quiere decir que el modelo es
travs de los efectos fijos.

D) Realizar pruebas de autocorrelacin y heteroscedasticidad.

Prueba de Heteroscedasticidad

Modified Wald test for groupwise heteroskedasticity

in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i

chi2 (6) = 629.36
Prob>chi2 = 0.0000

Con esta prueba se puede evidenciar que se rechaza la hiptesis nula, demostrando que el modelo tiene
heteroscedasticidad, pero para corroborar el test se realiza la siguiente la tabla

Pesaran's test of cross sectional independence = -1.036, Pr = 1.6996

Average absolute value of the off-diagonal elements = 0.224

Tambin se corrobora la informacin de que el modelo presenta heteroscedasticidad con un valor de 0.224.

Prueba de Autocorrelacion

Wooldridge test for autocorrelation in panel data

H0: no first-order autocorrelation
F( 1, 5) = 7.000
Prob > F = 0.0457

Con ello se rechaza la hiptesis nula, es decir existe autocorrelacin de primer orden.

E) De ser necesario estimar un modelo corregido.

A continuacin se estima la ecuacin:

xtgls mg_ebitda roa provcd mora cd dc gfp ifcb spread, panels(correlated) corr(ar1)

Cross-sectional time-series FGLS regression

Coefficients: generalized least squares
Panels: heteroskedastic with cross-sectional correlation
Correlation: common AR (1) coefficient for all panels (0.5909)

Estimated covariances = 21 Number of obs = 576

Estimated autocorrelations = 1 Number of groups = 6
Estimated coefficients = 9 Time periods = 96
Wald chi2(8) = 31699.94 Prob > chi2 = 0.0000

mg_ebitda Coef. Std. Err. z P>z [95% Conf. Interval]

roa 0.0586 0.0010 60 0.0000 0.057 0.061

provcd -0.0001 0.0001 -2.85 0.0040 0.000 0.000
mora 0.0081 0.0011 7.48 0.0000 0.006 0.010
cd -0.0074 0.0010 -7.6 0.0000 -0.009 -0.005
dc -0.0029 0.0009 -3.27 0.0010 -0.005 -0.001
gfp -0.0124 0.0008 -15.42 0.0000 -0.014 -0.011
ifcb -0.0005 0.0004 -1.38 0.1680 -0.001 0.000
spread -0.0008 0.0005 -1.47 0.1420 -0.002 0.000
_cons 0.2351 0.0124 18.98 0.0000 0.211 0.259

F) En caso se encuentre variables integradas de orden 1, probar la existencia de una ecuacin de

cointegracin. En caso exista, estimar dicha ecuacin.

A continuacin se desarrolla la siguiente ecuacin para tener los siguientes resultados:

xtpcse mg_ebitda roa provcd mora cd dc gfp ifcb spread, correlation(psar1) hetonly

Prais-Winsten regression, heteroskedastic panels corrected standard errors

Group variable: unidad1 Number of obs = 576

Time variable: year1 Number of groups = 6
Panels: heteroskedastic (balanced) Obs per group: min = 96
Autocorrelation: panel-specific AR(1) avg = 96
max = 96
Estimated covariances = 6 R-squared = 0.9758
Estimated autocorrelations = 6 Wald chi2(8) = 16396.23
Estimated coefficients = 9 Prob > chi2 = 0.0000

Het-corrected
mg_ebitda Coef. Std. Err. z P>z [95% Conf. Interva]
roa 0.060148 0.0013977 43.03 0 0.0574085 0.0628875
provcd -0.0002083 0.0000733 -2.84 0.004 -0.0003519 -0.0000647
mora 0.0098989 0.0015156 6.53 0 0.0069284 0.0128694
cd -0.0076249 0.0014047 -5.43 0 -0.010378 -0.0048717
dc -0.0007315 0.0011941 -0.61 0.54 -0.0030718 0.0016088
gfp -0.0120899 0.0011144 -10.85 0 -0.0142741 -0.0099058
ifcb -0.0009385 0.000573 -1.64 0.101 -0.0020615 0.0001845
spread 0.0002577 0.0007161 0.36 0.719 -0.0011459 0.0016613
_cons 0.2117442 0.0175192 12.09 0 0.1774073 0.2460812
rhos = 0.8925453 0.713158 0.2947408 0.5861805 0.4720969 0.5868901
Anexos

Comandos para el do.

******para que el Stata lo lea como Panel

gen unidad=substr(entidad,1,6)
encode unidad, gen(unidad1)
gen year=substr(mes,1,6)
encode year, gen(year1)
xtset unidad1 year1

*RESPUESTAS
*a) Realizar un breve (resumen) analisis estadistico de las variables
*por cada unidad

xtsum roa provcd mora cd dc gfp ifcb spread mg_ebitda

xtline provcd ifcb spread

xtline roa cd
xtline mora gfp
xtline dc
xtline mg_ebitda

*b) Realizar las pruebas de raices unitarias a las variables.

*Interprete sus resultados

xtunitroot llc roa

xtunitroot llc provcd
xtunitroot llc mora
xtunitroot llc cd
xtunitroot llc dc
xtunitroot llc gfp
xtunitroot llc ifcb
xtunitroot llc spread
xtunitroot llc mg_ebitda

*c) Justificar la eleccion de un modelo agrupado de un modelo de

*efectos aleatorios o de efectos fijos a traves de las pruebas vistas en clase

xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread, fe

estimate store fe
xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread, re
estimate store re

hausman fe re

*d) Realizar pruebas de autocorrelacin y heteroscedasticidad.

xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread, fe

xttest3
xtcsd, pesaran abs
xtserial mg_ebitda roa provcd mora cd dc gfp ifcb spread

*e) De ser necesario estimar un modelo corregido.

xtgls mg_ebitda roa provcd mora cd dc gfp ifcb spread, panels(correlated) corr(ar1)
xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread, fe vce(robust)
xtreg mg_ebitda roa provcd mora cd dc gfp ifcb spread i.year1, fe
testparm i.year1
*f) En caso se encuentre variables integradas de orden 1, probar la
*existencia de una ecuacin de cointegracin. En caso exista, estimar dicha ecuacin.

xtpcse mg_ebitda roa provcd mora cd dc gfp ifcb spread, correlation(psar1) hetonly