Practica de Heterocedasticidad.

1.- Modelo Cobb-Douglas.

Empleo =F (PIB, (CapitalFijo).

Log (empleo) c log (pib) log (capitalfijo).

Dependent Variable: LOG(EMPLEO)

Method: Least Squares
Date: 11/09/10 Time: 17:18
Sample: 1980 2009
Included observations: 30

Variable Coefficient Std. Error t-Statistic Prob.  

C 3.513649 0.178382 19.69729 0.0000

LOG(PIB) 0.713218 0.172594 4.132348 0.0003
LOG(CAPITALFIJO) -0.231410 0.173753 -1.331836 0.1940

R-squared 0.983637     Mean dependent var 9.411504

Adjusted R-squared 0.982425     S.D. dependent var 0.220732
S.E. of regression 0.029263     Akaike info criterion -4.130377
Sum squared resid 0.023120     Schwarz criterion -3.990257
Log likelihood 64.95565     F-statistic 811.5371
Durbin-Watson stat 1.776159     Prob(F-statistic) 0.000000

prueba “f”= 0 y la R2 ajustada =98.24%. En la DW no existe mucha correlación de primer orden.

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 0.265218     Probability 0.769170

Obs*R-squared 0.623298     Probability 0.732238

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/09/10 Time: 17:36
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.  

C 0.005765 0.183617 0.031399 0.9752

LOG(PIB) 0.009443 0.178180 0.052995 0.9582
LOG(CAPITALFIJO) -0.009563 0.179362 -0.053319 0.9579
RESID(-1) 0.115253 0.201429 0.572175 0.5723
RESID(-2) -0.101975 0.200749 -0.507972 0.6159
R-squared 0.020777     Mean dependent var 9.48E-16
Adjusted R-squared -0.135899     S.D. dependent var 0.028235
S.E. of regression 0.030093     Akaike info criterion -4.018039
Sum squared resid 0.022640     Schwarz criterion -3.784506
Log likelihood 65.27058     F-statistic 0.132609
Durbin-Watson stat 2.019727     Prob(F-statistic) 0.968929

Mientras la LM: la R2 es de 2.0%.

Hay Multicolinelidad: pib vs capitalfijo.

PIB CAPITALFIJO
1 0.995972186938425
0.995972186938425 1

Prueba White:

La R2 es de 6.3% no significativa.

Prueba Chow o de estabilidad estructural:

Chow Breakpoint Test: 1998 

F-statistic 7.791947     Probability 0.000839

Log likelihood ratio 20.40176     Probability 0.000140

Hay estabilidad estructural porque la probabilidad esta entre 0 y 5% mas de eso no la tendría.

2.- Modelo Guerra

-Suponiendo la relación funcional

GM = F (DN, EM, PIBN)

LOG (GM) C LOG (DN) LOG (EM) LOG (PIBN)

Dependent Variable: LOG(GM)

Method: Least Squares
Date: 11/09/10 Time: 18:11
Sample: 1986 2002
Included observations: 17

Variable Coefficient Std. Error t-Statistic Prob.  

C -58.61512 14.77364 -3.967547 0.0016

LOG(DN) 0.011116 0.075940 0.146384 0.8859
LOG(EM) 5.788535 1.381194 4.190965 0.0011
 LOG(PIBN) -0.267409 0.177656 -1.505205 0.1562

R-squared 0.919157     Mean dependent var 8.602042

Adjusted R-squared 0.900500     S.D. dependent var 0.486423
S.E. of regression 0.153435     Akaike info criterion -0.708754
Sum squared resid 0.306050     Schwarz criterion -0.512703
Log likelihood 10.02441     F-statistic 49.26819
Durbin-Watson stat 1.052910     Prob(F-statistic) 0.000000

La prueba LM:

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 2.101406     Probability 0.168686

Obs*R-squared 4.699644     Probability 0.095386

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 11/09/10 Time: 18:33
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.  

C 10.70949 17.81257 0.601232 0.5599

LOG(DN) -0.004524 0.070296 -0.064353 0.9498
LOG(EM) -1.019582 1.675153 -0.608650 0.5551
LOG(PIBN) 0.127499 0.209596 0.608307 0.5553
RESID(-1) 0.598379 0.298043 2.007695 0.0699
RESID(-2) -0.074952 0.356116 -0.210470 0.8371

R-squared 0.276450     Mean dependent var -6.40E-15

Adjusted R-squared -0.052437     S.D. dependent var 0.138305
S.E. of regression 0.141884     Akaike info criterion -0.797045
Sum squared resid 0.221443     Schwarz criterion -0.502969
Log likelihood 12.77488     F-statistic 0.840562
Durbin-Watson stat 1.886983     Prob(F-statistic) 0.548118

Multicolinealidad: Como se ve existe multicolinealidad entre las tres variables.

PIBN DN EM
PIBN 1 0.654912544016352 0.854798310950427
DN 0.654912544016352 1 0.645757198170626
EM 0.854798310950427 0.645757198170626 1
Prueba White:

La R2 es de 38.66%, no es significativa, hay homocedasticidad.

Prueba Chow: Hay estabilidad estructural porque la probabilidad esta entre 0 y 5% mas de eso no
la tendría.

Chow Breakpoint Test: 1994 

F-statistic 15.30703     Probability 0.000475

Log likelihood ratio 34.92691     Probability 0.000000