a) ANLISIS DEL PBI Y CONSUMO DE FORMA CONJUNTA:

Al haber analizado por separado cada serie: PBI y CONSUMO, al utilizar el Test de
Dickey-Fuller ambas son no estacionarias; este problema se solucion mediante la
aplicacin de una primera diferencia. Es as que ambas son Integradas de Orden Uno, I(1),
lo cual abre la posibilidad a la existencia de cointegracin de dichas series.
500,000

400,000

300,000

200,000

100,000

0
50

55

60

65

70

75

80

85

CONSUMO

90

95

00

05

10

PBI

Se plantea el modelo siguiente, para ir esbozando alguna relacin existente entre ambas
variables, y descartar la existencia de una relacin espuria entre las variables; es decir, que
sea una regresin que a pesar de cumplir con la significancia del modelo, sea ficticia en la
relacin real.
Dependent Variable: PBI
Method: Least Squares
Date: 12/03/14 Time: 17:02
Sample: 1950 2013
Included observations: 64
Variable

Coefficient

Std. Error

C
CONSUMO

-18439.52
1.689206

2348.908 -7.850255
0.018666 90.49407

R-squared
0.992486
Adjusted R-squared 0.992365
S.E. of regression
8560.165
Sum squared resid 4.54E+09
Log likelihood
-669.3081

t-Statistic

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

Prob.
0.0000
0.0000
170786.6
97964.74
20.97838
21.04584
21.00496

F-statistic
Prob(F-statistic)

8189.176
0.000000

Durbin-Watson stat

0.228538

b) ANLISIS DE LOS RESIDUOS:

El enfoque sobre los residuos radica para descartar la existencia de autocorrelacin o

heteroscedasticidad en los residuos, lo cual generara inconsistencia e ineficiencia en la
estimacin y posterior uso de los estimados.
Para descartar la existencia de estacionariedad, se utiliza una vez ms el Test de DickeyFuller, por lo tanto:
Null Hypothesis: RESID01 has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic
Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level

-7.724893
-2.603423
-1.946253
-1.613346

Prob.*
0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RESID01)
Method: Least Squares
Date: 12/03/14 Time: 09:19
Sample (adjusted): 1953 2013
Included observations: 61 after adjustments
Variable

Coefficient Std. Error

t-Statistic

RESID01(-1)

-1.005954 0.130222

-7.724893 0.0000

R-squared
0.498532
Adjusted R-squared 0.498532
S.E. of regression
8525.790
Sum squared resid 4.36E+09
Log likelihood
-638.1530
Durbin-Watson stat 1.982688

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

Prob.

173.3945
12039.63
20.95584
20.99044
20.96940

El Test de Dickey-Fuller rechaza la existencia de Raz unitaria, es decir, la serie de

Residuos es estacionaria o I(0).

c) PRUEBA DE COINTEGRACIN:

Habiendo cumplido los requerimientos necesarios: Estacionariedad de los residuos y series

I(1) para las variables; podemos ubicar algn grado de cointegracin entre las series PBI y
CONSUMO.
Es as que utilizamos el Mtodo de Johansen para determinar el nmero de vectores de
cointegracin.
Date: 12/03/14 Time: 11:22
Sample: 1950 2013
Included observations: 61
Series: PBI CONSUMO
Lags interval: 1 to 2
Selected
(0.05 level*)
Number of
Cointegratin
g Relations
by Model
Data Trend:
None
Test Type
No Intercept
No Trend
Trace
1
Max-Eig
1

None
Intercept
No Trend
0
0

Linear
Intercept
No Trend
0
0

Linear
Intercept
Trend
0
0

Quadratic
Intercept
Trend
0
0

*Critical values based on MacKinnon-Haug-Michelis (1999)

Information
Criteria by
Rank and
Model
Data Trend:
None
None
Rank or
No Intercept Intercept
No. of CEs No Trend
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

-1189.557
-1185.719
-1183.240

-1189.557
-1185.589
-1182.993

-1187.055
-1183.446
-1182.993

Log
Likelihood by
Rank (rows)
and Model
(columns)
0
1
2

-1192.103
-1186.018
-1185.509
Akaike
Information
Criteria by
Rank (rows)

-1192.103
-1185.821
-1183.240

and Model
(columns)
0
1
2

39.34764
39.27927*
39.39375

39.34764
39.30561
39.38492

39.32973
39.33505
39.38492

39.32973
39.36358
39.44240

39.31329
39.32610
39.44240

39.62448*
39.75546
40.00780

39.67577
39.81951
40.00780

39.67577
39.88264
40.13449

39.72855
39.87977
40.13449

Schwarz
Criteria by
Rank (rows)
and Model
(columns)
0
1
2

39.62448*
39.69452
39.94742

Se identifica la existencia de una ecuacin de cointegracin, dado el supuesto de Intercepto

sin tendencia en la CE y VAR.
As el testeo indica que existe una ecuacin de cointegracin cuando no se considera
intercepto y tendencia.
Date: 12/03/14 Time: 11:26
Sample (adjusted): 1953 2013
Included observations: 61 after adjustments
Trend assumption: No deterministic trend
Series: PBI CONSUMO
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)

Eigenvalue

Trace
Statistic

0.05
Critical Value

Prob.**

None *
At most 1

0.180879
0.016525

13.18738
1.016471

12.32090
4.129906

0.0357
0.3638

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
No. of CE(s)

Eigenvalue

Max-Eigen
Statistic

0.05
Critical Value

Prob.**

None *
At most 1

0.180879
0.016525

12.17091
1.016471

11.22480
4.129906

0.0340
0.3638

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

PBI
-4.67E-05
9.13E-05

CONSUMO
5.90E-05
-0.000143

Unrestricted Adjustment Coefficients (alpha):

D(PBI)
D(CONSUMO)

-3339.554
-1967.082

1 Cointegrating Equation(s):

48.40742
322.8753

Log likelihood

-1186.018

Normalized cointegrating coefficients (standard error in parentheses)

PBI
CONSUMO
1.000000
-1.263292
(0.07565)
Adjustment coefficients (standard error in parentheses)
D(PBI)
0.155959
(0.04441)
D(CONSUMO)
0.091864
(0.03046)

Tanto para los Test de Traza y Mximo Valor, se identifica la existencia de un vector
de cointegracin para la mnima probabilidad de 0.05. Sin embargo, es necesario
comprobar los signos de los Coeficientes Alfa, para as notar si los residuos
afectarn en la relacin de largo plazo (o tambin llamada Normalized
cointegrating coefficients).

Test de Traza:
Se divide en dos subtests: None y At Most 1, la segunda es la comprobacin de la
primera.
o Para None, se maneja el siguiente criterio de decisin, donde:
H o :r=0 no existen vectores de cointegracin
H 1 :r =1, si existen vectores de cointegracin
o Para At most 1, se maneja el siguiente criterio de decisin, donde:
H o :r 0, cuando ms existeun vector de cointegracin
H 1 :r =1, existe ms de un vector de cointegracin

None :
13.18738 > 12.32090
Entonces la hiptesis nula se rechaza a favor de la alterna, comprobando la
existencia de un vector de integracin.

At Most 1:
1.016471 > 4.129906
Aqu, en cambio, la hiptesis nula es aceptada, indicando la existencia de cuanto
ms un vector de cointegracin.
Test del Mximo autovalor:
Se divide en dos subtests: None y At Most 1, la segunda es la comprobacin de la
primera.
o Para None, se maneja el siguiente criterio de decisin, donde:
H o :rango de cointegracin r=0
-

H 1 :r =1, rango de cointegracin es igual a r +1

o Para At most 1, se maneja el siguiente criterio de decisin, donde:
H o :el rango de cointegracin es r 1
H 1 : elrango de cointegracin es r +2
-

Para None : 12.17091 > 11.22480

Se rechaza la hiptesis nula, es decir el rango de cointegracin es igual a r+1

Para At Most 1:

1.016471 > 4.129906

Se acepta la hiptesis nula, indicando que el rango de cointegracin es r 1

Entonces, luego de analizar los Test de Traza y Mximo autovalor, ambos indican la
existencia de cointegracin de por lo menos segundo orden. Es as que se comprueba la
existencia de una relacin razonable entre el PBI y el CONSUMO.
ECUACIN DE COINTEGRACIN
Normalized cointegrating coefficients (standard error in parentheses)
PBI
CONSUMO
1.000000
-1.263292
(0.07565)
Adjustment coefficients (standard error in parentheses)
D(PBI)
0.155959
(0.04441)
D(CONSUMO)
0.091864
(0.03046)

PBI1.263292 CONSUMO=0
PBI=1.263292 CONSUMO

Se ha especificado la relacin de largo plazo (ecuacin anterior), sin embargo, al analizar

los coeficientes alfa de correccin, sus valores son positivos, lo cual afecta negativamente

la relacin de largo plazo (equilibrio). Por lo tanto, este modelo no es pertinente, al menos
como se calcula, es decir, sin haber sido transformado.
Por lo tanto, para recobrar la estacionariedad en los residuos, es necesaria la transformacin
en diferencias, y as estimar el modelo VAR.

MODELO VAR PARA LAS SERIES EN DIFERENCIA: PBI Y CONSUMO.

La especificacin del modelo VAR, no es terica, pero es un reflejo de ecuaciones

simultneas para series de tiempo, es por ello que la estimacin se basa en criterios lgicos
basados sobre el Akkaike y Schwarz, para numerosos modelos para varios retrasos, para as
verificar cul es el mejor.
Empezamos estimando un VAR(2):
Vector Autoregression Estimates
Date: 12/03/14 Time: 16:53
Sample (adjusted): 1953 2013
Included observations: 61 after adjustments
Standard errors in ( ) & t-statistics in [ ]
DCONSUMO

DPBI

DCONSUMO(-1)

0.374329
(0.28762)
[ 1.30147]

0.295675
(0.42578)
[ 0.69444]

DCONSUMO(-2)

-1.039537
(0.28595)
[-3.63544]

-1.561879
(0.42330)
[-3.68979]

DPBI(-1)

0.171948
(0.19543)
[ 0.87984]

0.377685
(0.28931)
[ 1.30549]

DPBI(-2)

0.590417
(0.19745)
[ 2.99020]

0.999886
(0.29230)
[ 3.42081]

1651.972
(848.183)
[ 1.94766]

2771.713
(1255.60)
[ 2.20748]

0.434408
0.394009
1.58E+09
5315.984
10.75285
-607.2337
20.07324
20.24626
3981.639
6828.897

0.441748
0.401873
3.47E+09
7869.484
11.07830
-631.1624
20.85778
21.03081
6700.918
10175.36

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

3.53E+14
2.97E+14
-1189.557
39.32973
39.67577

Luego un VAR(3):

Vector Autoregression Estimates

Date: 12/03/14 Time: 16:53
Sample (adjusted): 1954 2013
Included observations: 60 after adjustments
Standard errors in ( ) & t-statistics in [ ]
DCONSUMO

DPBI

DCONSUMO(-1)

0.434107
(0.30370)
[ 1.42937]

0.437978
(0.44706)
[ 0.97968]

DCONSUMO(-2)

-1.107630
(0.30036)
[-3.68771]

-1.663523
(0.44213)
[-3.76248]

DCONSUMO(-3)

0.262508
(0.32641)
[ 0.80423]

0.201607
(0.48048)
[ 0.41959]

DPBI(-1)

0.167966
(0.20574)
[ 0.81641]

0.314510
(0.30285)
[ 1.03850]

DPBI(-2)

0.590084
(0.20300)
[ 2.90682]

0.971282
(0.29882)
[ 3.25037]

DPBI(-3)

-0.119442
(0.22205)
[-0.53790]

0.026841
(0.32687)
[ 0.08212]

1472.022
(905.353)
[ 1.62591]

2328.876
(1332.70)
[ 1.74748]

0.442933
0.379869
1.56E+09
5418.418
7.023536
-597.2683
20.14228
20.38662

0.455848
0.394246
3.37E+09
7976.062
7.399887
-620.4667
20.91556
21.15990

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC

Mean dependent
S.D. dependent

4017.683
6880.672

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

6766.967
10248.03
3.66E+14
2.85E+14
-1168.827
39.42756
39.91624

VAR(4):

Vector Autoregression Estimates

Date: 12/03/14 Time: 16:53
Sample (adjusted): 1955 2013
Included observations: 59 after adjustments
Standard errors in ( ) & t-statistics in [ ]
DCONSUMO

DPBI

DCONSUMO(-1)

0.385041
(0.31711)
[ 1.21421]

0.342945
(0.46431)
[ 0.73860]

DCONSUMO(-2)

-1.126515
(0.31834)
[-3.53872]

-1.695949
(0.46611)
[-3.63851]

DCONSUMO(-3)

0.256222
(0.34809)
[ 0.73608]

0.184342
(0.50967)
[ 0.36169]

DCONSUMO(-4)

0.212745
(0.33816)
[ 0.62912]

0.419334
(0.49514)
[ 0.84690]

DPBI(-1)

0.201562
(0.21558)
[ 0.93497]

0.379049
(0.31565)
[ 1.20085]

DPBI(-2)

0.627328
(0.21244)
[ 2.95292]

1.042392
(0.31106)
[ 3.35111]

DPBI(-3)

-0.112344
(0.22789)
[-0.49298]

0.041822
(0.33367)
[ 0.12534]

DPBI(-4)

-0.182682
(0.23100)
[-0.79083]

-0.355283
(0.33823)
[-1.05043]

1594.889
(962.714)
[ 1.65666]

2550.282
(1409.60)
[ 1.80922]

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

0.450660
0.362766
1.53E+09
5535.258
5.127297
-587.3494
20.21523
20.53215
4053.559
6934.073

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

0.468499
0.383459
3.28E+09
8104.689
5.509160
-609.8464
20.97784
21.29476
6836.288
10321.80
4.00E+14
2.87E+14
-1149.496
39.57614
40.20997

VAR(6):
Vector Autoregression Estimates
Date: 12/03/14 Time: 16:54
Sample (adjusted): 1957 2013
Included observations: 57 after adjustments
Standard errors in ( ) & t-statistics in [ ]
DCONSUMO

DPBI

DCONSUMO(-1)

0.347969
(0.30196)
[ 1.15237]

0.289917
(0.44887)
[ 0.64588]

DCONSUMO(-2)

-0.980205
(0.30444)
[-3.21969]

-1.458888
(0.45256)
[-3.22364]

DCONSUMO(-3)

0.326502
(0.34238)
[ 0.95362]

0.356177
(0.50896)
[ 0.69981]

DCONSUMO(-4)

0.468389
(0.35556)
[ 1.31734]

0.670725
(0.52854)
[ 1.26900]

DCONSUMO(-5)

-0.781198
(0.34048)
[-2.29442]

-1.136013
(0.50613)
[-2.24452]

DCONSUMO(-6)

-0.462779
(0.35520)
[-1.30286]

-0.437793
(0.52802)
[-0.82913]

DPBI(-1)

0.178196
(0.20869)

0.383753
(0.31023)

[ 0.85387]

[ 1.23701]

DPBI(-2)

0.586183
(0.21098)
[ 2.77838]

0.917739
(0.31363)
[ 2.92621]

DPBI(-3)

-0.300919
(0.22491)
[-1.33796]

-0.252756
(0.33433)
[-0.75601]

DPBI(-4)

-0.384766
(0.23054)
[-1.66900]

-0.590238
(0.34270)
[-1.72233]

DPBI(-5)

0.538821
(0.24289)
[ 2.21836]

0.877162
(0.36107)
[ 2.42937]

DPBI(-6)

0.481155
(0.25757)
[ 1.86808]

0.474845
(0.38288)
[ 1.24020]

1253.126
(984.374)
[ 1.27302]

2004.421
(1463.29)
[ 1.36980]

0.570872
0.453836
1.19E+09
5205.946
4.877783
-561.2827
20.15027
20.61623
4122.333
7044.307

0.571284
0.454361
2.64E+09
7738.762
4.886000
-583.8798
20.94315
21.40911
6975.772
10476.56

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

3.80E+14
2.26E+14
-1103.785
39.64159
40.57350

Se ha estimado modelos VAR desde dos hasta seis rezagos, el criterio de eleccin sera aquel modelo que
presenta el Akkaike y Schwarz menores. Sin embargo, existe un Test de Rezagos ptimos en Eviews, que
provee una serie de estadsticos basados sobre la razn de verosimilitud:
VAR Lag Order Selection Criteria
Endogenous variables: DCONSUMO DPBI
Exogenous variables: C
Date: 12/03/14 Time: 16:55
Sample: 1950 2013
Included observations: 58
Lag

LogL

LR

FPE

AIC

SC

HQ

0
1
2
3
4
5

-1153.527
-1142.182
-1133.717
-1131.568
-1130.814
-1125.292

NA
21.51716
15.46931*
3.779459
1.273391
8.950868

6.92e+14
5.37e+14
4.61e+14*
4.92e+14
5.51e+14
5.25e+14

39.84576
39.59247
39.43852*
39.50235
39.61429
39.56178

39.91681
39.80562
39.79377*
39.99970
40.25374
40.34333

39.87343
39.67549
39.57690*
39.69608
39.86337
39.86621

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

Por lo tanto, bajo este criterio, los rezagos ptimos para el modelo VAR entre PBI y
CONSUMO, estara bajo la especificacin de un VAR(2).

Response to Cholesky One S.D. Innovations 2 S.E.

Response of DCONSUMO to DCONSUMO

Response of DCONSUMO to DPBI

8,000

8,000

6,000

6,000

4,000

4,000

2,000

2,000

-2,000

-2,000

-4,000

-4,000
1

10

Response of DPBI to DCONSUMO

10

10

Response of DPBI to DPBI

8,000

8,000

4,000

4,000

-4,000

-4,000
1

10

Es notorio el carcter convergente de las series ante las respuestas al impulso, es decir, su
comportamiento indica que ante innovaciones externas su recuperacin es progresiva.