TAREA Pronostico Arima

Realizar un pronostico para el ao 2015 con ARIMA para el sector Alimentos

1 dif es estacionario caminata aleatoria (alimentos)

critero Ar(2) Ma(2) Ar(5) Ma(4) Ar(8) Ma(11) Arima(212) Arima(214) Arima(215) Arima(21,11) Ar(6) Ma(5)

R2 0.20 0.27 0.14 0.18 0.12 0.013 0.28 0.29 2.28 0.20 0.26 0.07
F 2.82 4.32 1.81 2.47 1.60 0.15 2.90 3.03 2.85 1.82 4.03 1.09
AK - -4.23 - -4.16 - -4.04 -4.26 -4.26 -4.25 -4.16 - -4.11
4.23 4.15 4.12 4.27
SW - -4.09 - -4.01 - -3.88 -4.06 -4.07 -4.06 -3.97 - -3.96
4.09 4.09 3.98 4.12
HQ - -4.19 - -4.12 - -3.99 -4.20 -4.21 -2.20 -4.10 - -4.07
4.19 4.19 4.08 4.22
Dependent Variable: D(LALIMENTOS)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 17:34
Sample: 1989 2014
Included observations: 26
Convergence achieved after 4 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042789 0.003427 12.48738 0.0000

MA(4) -0.591751 0.317020 -1.866602 0.0748
SIGMASQ 0.000679 0.000261 2.600540 0.0160

R-squared 0.176700 Mean dependent var 0.043165

Adjusted R-squared 0.105109 S.D. dependent var 0.029294
S.E. of regression 0.027712 Akaike info criterion -4.159516
Sum squared resid 0.017662 Schwarz criterion -4.014351
Log likelihood 57.07370 Hannan-Quinn criter. -4.117713
F-statistic 2.468182 Durbin-Watson stat 1.842314
Prob(F-statistic) 0.106885

Inverted MA Roots .88 .00+.88i -.00-.88i -.88

Dependent Variable: D(LALIMENTOS)

Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 17:43
Sample: 1989 2014
Included observations: 26
Convergence achieved after 3 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042817 0.005205 8.225627 0.0000

AR(8) -0.338657 0.182682 -1.853803 0.0766
SIGMASQ 0.000724 0.000265 2.734666 0.0118

R-squared 0.122209 Mean dependent var 0.043165

Adjusted R-squared 0.045880 S.D. dependent var 0.029294
S.E. of regression 0.028614 Akaike info criterion -4.124193
Sum squared resid 0.018831 Schwarz criterion -3.979028
Log likelihood 56.61451 Hannan-Quinn criter. -4.082391
F-statistic 1.601073 Durbin-Watson stat 2.286424
Prob(F-statistic) 0.223355

Inverted AR Roots .81-.33i .81+.33i .33+.81i .33-.81i

-.33+.81i -.33-.81i -.81-.33i -.81+.33i
Dependent Variable: D(LALIMENTOS)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 17:44
Sample: 1989 2014
Included observations: 26
Convergence achieved after 8 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.043170 0.007691 5.613116 0.0000

MA(11) 0.101181 0.378568 0.267273 0.7916
SIGMASQ 0.000814 0.000287 2.840546 0.0093

R-squared 0.013067 Mean dependent var 0.043165

Adjusted R-squared -0.072754 S.D. dependent var 0.029294
S.E. of regression 0.030341 Akaike info criterion -4.040127
Sum squared resid 0.021173 Schwarz criterion -3.894962
Log likelihood 55.52165 Hannan-Quinn criter. -3.998325
F-statistic 0.152256 Durbin-Watson stat 2.081185
Prob(F-statistic) 0.859627

Inverted MA Roots .78+.23i .78-.23i .53+.61i .53-.61i

.12+.80i .12-.80i -.34+.74i -.34-.74i
-.68+.44i -.68-.44i -.81

Dependent Variable: D(LALIMENTOS)

Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 17:50
Sample: 1989 2014
Included observations: 26
Convergence achieved after 5 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.043562 0.009552 4.560665 0.0001

AR(6) 0.503198 0.224655 2.239864 0.0351
SIGMASQ 0.000611 0.000178 3.437697 0.0022

R-squared 0.259572 Mean dependent var 0.043165

Adjusted R-squared 0.195187 S.D. dependent var 0.029294
S.E. of regression 0.026280 Akaike info criterion -4.264478
Sum squared resid 0.015885 Schwarz criterion -4.119313
Log likelihood 58.43821 Hannan-Quinn criter. -4.222675
F-statistic 4.031562 Durbin-Watson stat 2.301524
Prob(F-statistic) 0.031554

Inverted AR Roots .89 .45-.77i .45+.77i -.45-.77i

-.45+.77i -.89
Dependent Variable: D(LALIMENTOS)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 18:00
Sample: 1989 2014
Included observations: 26
Convergence achieved after 4 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042830 0.007704 5.559285 0.0000

MA(5) 0.250445 0.291361 0.859570 0.3989
SIGMASQ 0.000754 0.000271 2.779313 0.0107

R-squared 0.086438 Mean dependent var 0.043165

Adjusted R-squared 0.006998 S.D. dependent var 0.029294
S.E. of regression 0.029191 Akaike info criterion -4.109275
Sum squared resid 0.019599 Schwarz criterion -3.964110
Log likelihood 56.42058 Hannan-Quinn criter. -4.067473
F-statistic 1.088092 Durbin-Watson stat 2.140560
Prob(F-statistic) 0.353579

Inverted MA Roots .61-.45i .61+.45i -.23+.72i -.23-.72i

-.76

Dependent Variable: D(LALIMENTOS)

Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 18:06
Sample: 1989 2014
Included observations: 26
Convergence achieved after 9 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042662 0.002664 16.01574 0.0000

AR(2) -0.156326 0.388408 -0.402480 0.6912
MA(2) -0.454386 0.388034 -1.170994 0.2541
SIGMASQ 0.000592 0.000254 2.327527 0.0295

R-squared 0.283064 Mean dependent var 0.043165

Adjusted R-squared 0.185300 S.D. dependent var 0.029294
S.E. of regression 0.026441 Akaike info criterion -4.256923
Sum squared resid 0.015381 Schwarz criterion -4.063370
Log likelihood 59.34000 Hannan-Quinn criter. -4.201187
F-statistic 2.895377 Durbin-Watson stat 2.123028
Prob(F-statistic) 0.058085

Inverted AR Roots -.00+.40i -.00-.40i

Inverted MA Roots .67 -.67
Dependent Variable: D(LALIMENTOS)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 18:11
Sample: 1989 2014
Included observations: 26
Convergence achieved after 7 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042670 0.002424 17.60204 0.0000

AR(2) -0.461145 0.218230 -2.113121 0.0462
MA(4) -0.439391 0.286342 -1.534498 0.1392
SIGMASQ 0.000584 0.000245 2.386399 0.0260

R-squared 0.292332 Mean dependent var 0.043165

Adjusted R-squared 0.195832 S.D. dependent var 0.029294
S.E. of regression 0.026269 Akaike info criterion -4.263885
Sum squared resid 0.015182 Schwarz criterion -4.070332
Log likelihood 59.43050 Hannan-Quinn criter. -4.208149
F-statistic 3.029348 Durbin-Watson stat 1.986880
Prob(F-statistic) 0.050969

Inverted AR Roots -.00+.68i -.00-.68i

Inverted MA Roots .81 .00-.81i -.00+.81i -.81

Dependent Variable: D(LALIMENTOS)

Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 18:16
Sample: 1989 2014
Included observations: 26
Convergence achieved after 6 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042393 0.004604 9.207242 0.0000

AR(2) -0.452177 0.179060 -2.525282 0.0193
MA(5) 0.267439 0.243722 1.097311 0.2844
SIGMASQ 0.000594 0.000270 2.200475 0.0386

R-squared 0.280073 Mean dependent var 0.043165

Adjusted R-squared 0.181902 S.D. dependent var 0.029294
S.E. of regression 0.026496 Akaike info criterion -4.251040
Sum squared resid 0.015445 Schwarz criterion -4.057487
Log likelihood 59.26352 Hannan-Quinn criter. -4.195304
F-statistic 2.852889 Durbin-Watson stat 2.260708
Prob(F-statistic) 0.060558

Inverted AR Roots -.00+.67i -.00-.67i

Inverted MA Roots .62-.45i .62+.45i -.24+.73i -.24-.73i
-.77
Dependent Variable: D(LALIMENTOS)
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/19/17 Time: 18:21
Sample: 1989 2014
Included observations: 26
Convergence achieved after 8 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.042760 0.004782 8.942181 0.0000

AR(2) -0.432504 0.174002 -2.485626 0.0210
MA(11) 0.046307 0.371594 0.124618 0.9020
SIGMASQ 0.000661 0.000269 2.460301 0.0222

R-squared 0.198692 Mean dependent var 0.043165

Adjusted R-squared 0.089423 S.D. dependent var 0.029294
S.E. of regression 0.027953 Akaike info criterion -4.159076
Sum squared resid 0.017191 Schwarz criterion -3.965522
Log likelihood 58.06798 Hannan-Quinn criter. -4.103339
F-statistic 1.818369 Durbin-Watson stat 2.216986
Prob(F-statistic) 0.173276

Inverted AR Roots -.00+.66i -.00-.66i

Inverted MA Roots .73+.21i .73-.21i .50+.57i .50-.57i
.11-.75i .11+.75i -.31-.69i -.31+.69i
-.64+.41i -.64-.41i -.76

PRONOSTICO ARIMA

PRONOSTICO ALOG(alimentos) 2015 2016

AR(6) 5,0473 2,9040
MA(2) 4,4023 5,6817
ARIMA(2.1.4) 4,3299 5,6515