Pronóstico del crédito al sector

privado en moneda nacional

(Enero 2001 – Agosto 2016)
Econometría 2
Fuente BCRP
Base de datos (188 meses)
Prueba de raíz unitaria de los
Créditos al sector privado en moneda
nacional
Primera diferencia del crédito al
sector privado en moneda nacional
Prueba de raíz unitaria de los
Créditos al sector privado en moneda
nacional
Gráfica de autocorrelación
Gráfica de autocorrelación parcial
 Criterio de selección
Variable arima1 arima2 arima3 arima4 arima5

credLn
_cons .01539508 .01454842 10.629822 .01564842 .01434742

ARMA
ar
L1. .25495858 .88803624 1.7498309 .28584135 .94756044
L2. .07379812 -.10787573 -.75000846 .08425798
L3. .16756289 .11368929 .20882006
L4. .15232513 .02413087

ma
L1. -.66119922 -.76653606

sigma
_cons .01151865 .0114063 .01357395 .01165693 .01147162

Statistics
aic -1126.3173 -1127.887 -1064.9741 -1123.996 -1131.7306
bic -1106.9307 -1105.2693 -1052.0283 -1107.8404 -1118.8062
ARIMA CRED, ARIMA(2,1,3)
Sample: 2001m2 - 2016m8 Number of obs = 187
Wald chi2(2) = 907.93
Log likelihood = 569.8653 Prob > chi2 = 0.0000

OPG
D.credLn Coef. Std. Err. z P>|z| [95% Conf. Interval]

credLn
_cons .0143474 .0036572 3.92 0.000 .0071795 .0215154

ARMA
ar
L1. .9475604 .0361824 26.19 0.000 .8766442 1.018477

ma
L1. -.7665361 .0636084 -12.05 0.000 -.8912063 -.6418658

/sigma .0114716 .000452 25.38 0.000 .0105857 .0123576

Model Obs ll(null) ll(model) df AIC BIC

. 187 . 569.8653 4 -1131.731 -1118.806

Criterio de selección de SARIMA
Variable sarima1 sarima2 sarima3 sarima4

credLn
_cons .00045657 .00045348 .00027938 .00071535

ARMA
ar
L1. .95680518 .94278862 .79987074 .87906125

ma
L1. -.70685408 -.7368457 -.55819888 -.60229156
L2. .07989755

ARMA12
ar
L1. -.19750165 -.20582321 -.59243407

ma
L1. -.7270133 -.7201578

sigma
_cons .01022625 .01019736 .0139566 .01145287

Statistics
aic -1083.0348 -1081.8916 -990.28687 -1052.3171
bic -1064.0461 -1059.7381 -977.62773 -1036.4931
ARIMA CREDLN,
ARIMA(1,1,1)SARIMA(1,1,1,12)
Sample: 2002m2 - 2016m8 Number of obs
Wald chi2(4)
=
=
175
1108.07
Log likelihood = 547.4577 Prob > chi2 = 0.0000

OPG
DS12.credLn Coef. Std. Err. z P>|z| [95% Conf. Interval]

ARMA
ar
L1. .9583663 .0340802 28.12 0.000 .8915703 1.025162

ma
L1. -.7078681 .0712976 -9.93 0.000 -.8476089 -.5681273

ARMA12
ar
L1. -.1970728 .0794232 -2.48 0.013 -.3527394 -.0414062

ma
L1. -.7270329 .0992952 -7.32 0.000 -.921648 -.5324179

/sigma .0102301 .0005249 19.49 0.000 .0092013 .0112589

Prueba de ruido blanco
 Prueba de ruido blanco
-1 0 1 -1 0 1
LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]

1 -0.0689 -0.0694 .84615 0.3576

2 -0.0205 -0.0265 .92152 0.6308
3 0.0546 0.0555 1.4591 0.6917
4 0.0268 0.0327 1.5889 0.8108
5 0.0405 0.0396 1.8876 0.8645
6 -0.1009 -0.1034 3.7551 0.7098
7 0.0401 0.0289 4.0523 0.7737
8 -0.1458 -0.1433 7.9956 0.4339
9 0.1884 0.1916 14.621 0.1019
10 -0.1556 -0.1612 19.167 0.0382
Portmanteau test for white noise
11 -0.0129 0.0040 19.199 0.0576
12 -0.0291 -0.0749 19.359 0.0802
13 -0.0572 -0.0095 19.985 0.0956
Portmanteau (Q) statistic = 49.4715
14 0.1328 0.0924 23.38 0.0544 Prob > chi2(40) = 0.1449
15 -0.0426 -0.0043 23.731 0.0698
16 -0.0046 -0.0531 23.735 0.0954
17 -0.0212 0.0335 23.824 0.1243
18 0.1619 0.1195 28.996 0.0484
19 -0.0020 0.0415 28.997 0.0660
20 0.0366 0.0478 29.265 0.0827
21 -0.0254 -0.0987 29.394 0.1048
22 -0.1024 -0.0782 31.518 0.0860
23 0.0513 -0.0135 32.053 0.0990
24 -0.0740 -0.0362 33.178 0.1004
25 0.0552 0.1271 33.808 0.1121
26 -0.0516 -0.0504 34.362 0.1261
27 0.0325 0.0261 34.583 0.1497
28 0.0042 -0.0014 34.587 0.1822