Anexos. Pruebas de estacionariedad. Null Hypothesis: TES has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=9)
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1 Anexos Pruebas de estacionariedad Null Hypothesis: TES has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(TES) Date: 01/23/18 Time: 16:28 Sample (adjusted): 2008Q1 2017Q3 Included observations: 39 after adjustments TES(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(TES) has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level
2 Dependent Variable: D(TES,2) Date: 01/23/18 Time: 16:29 Sample (adjusted): 2008Q2 2017Q3 Included observations: 38 after adjustments D(TES(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: EMBI has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(EMBI) Date: 01/23/18 Time: 16:33 Sample (adjusted): 2008Q1 2017Q3 Included observations: 39 after adjustments EMBI(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion
3 Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(EMBI) has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(EMBI,2) Date: 01/23/18 Time: 16:33 Sample (adjusted): 2008Q2 2017Q3 Included observations: 38 after adjustments D(EMBI(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: INF has a unit root Lag Length: 1 (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level
4 Dependent Variable: D(INF) Date: 01/23/18 Time: 16:34 Sample (adjusted): 2008Q2 2017Q3 Included observations: 38 after adjustments INF(-1) D(INF(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(INF) has a unit root Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(INF,2) Date: 01/23/18 Time: 16:34 Sample (adjusted): 2008Q2 2017Q3 Included observations: 38 after adjustments D(INF(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat
5 Prob(F-statistic) Examen de residuales de las estimaciones de regresión por MCO de la metodología Engle- Granger Examen de residuales de EQ03 Null Hypothesis: RESIDDEEQ03 has a unit root Lag Length: 1 (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(RESIDDEEQ03) Date: 01/29/18 Time: 10:14 Sample (adjusted): 2008Q2 2017Q3 Included observations: 38 after adjustments RESIDDEEQ03(-1) D(RESIDDEEQ03(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Examen de residuales de EQ04 Null Hypothesis: RESIDDEEQ04 has a unit root
6 Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Dependent Variable: D(RESIDDEEQ04) Date: 01/29/18 Time: 10:23 Sample (adjusted): 2008Q1 2017Q3 Included observations: 39 after adjustments RESIDDEEQ04(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Prueba de cointegración de Johansen Date: 01/25/18 Time: 17:32 Sample (adjusted): 2008Q3 2017Q3 Included observations: 37 after adjustments Trend assumption: Linear deterministic trend Series: INF TES EMBI Lags interval (in first differences): 1 to 2 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value * None * At most At most 2 * 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
7 Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No. of CE(s) Eigenvalue Statistic Critical Value * None * At most At most 2 * 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): INF TES EMBI Unrestricted Adjustment Coefficients (alpha): D(INF) D(TES) D(EMBI) Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) INF TES EMBI ( ) ( ) Adjustment coefficients (standard error in parentheses) D(INF) ( ) D(TES) ( ) D(EMBI) ( ) 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) INF TES EMBI ( ) ( ) Adjustment coefficients (standard error in parentheses) D(INF) ( ) ( )
8 D(TES) ( ) ( ) D(EMBI) ( ) ( ) El modelo MCE Vector Error Correction Estimates Date: 01/25/18 Time: 17:33 Sample (adjusted): 2008Q3 2017Q3 Included observations: 37 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 INF(-1) TES(-1) ( ) [ ] EMBI(-1) ( ) [ ] C Error Correction: D(INF) D(TES) D(EMBI) CointEq ( ) ( ) ( ) [ ] [ ] [ ] D(INF(-1)) ( ) ( ) ( ) [ ] [ ] [ ] D(INF(-2)) ( ) ( ) ( ) [ ] [ ] [ ] D(TES(-1)) ( ) ( ) ( ) [ ] [ ] [ ] D(TES(-2)) ( ) ( ) ( ) [ ] [ ] [ ] D(EMBI(-1)) ( ) ( ) ( ) [ ] [ ] [ ]
9 D(EMBI(-2)) ( ) ( ) ( ) [ ] [ ] [ ] C ( ) ( ) ( ) [ ] [ ] [ ] 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 Prueba de normalidad residual del MCE VEC Residual Normality Tests Orthogonalization: Cholesky (Lutkepohl) Null Hypothesis: residuals are multivariate normal Date: 01/30/18 Time: 09:00 Sample: 2007Q4 2017Q3 Included observations: 37 Component Skewness Chi-sq df Prob Joint Component Kurtosis Chi-sq df Prob Joint
10 Component Jarque-Bera df Prob Joint No existen problemas de no normalidad con ninguna de las ecuaciones, ya que las probabilidades resultan ser mayores que 0,05 en todos los casos (0,7958; 0,1507; 0,4923 y 0,4624), y por tanto, se puede aceptar la normalidad de los errores. Prueba de Autocorrelación VEC Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Date: 01/30/18 Time: 09:04 Sample: 2007Q4 2017Q3 Included observations: 37 Lags LM-Stat Prob Probs from chi-square with 9 df. No hay problema de autocorrelación, ya que 0,5703 > 0,05 y se acepta la hipótesis Ho: No correlación serial. Prueba de Heteroscedasticidad VEC Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Date: 01/30/18 Time: 09:05 Sample: 2007Q4 2017Q3 Included observations: 37 Joint test: Chi-sq df Prob
11 Individual components: Dependent R-squared F(14,22) Prob. Chi-sq(14) Prob. res1*res res2*res res3*res res2*res res3*res res3*res No hay problemas de heteroscedasticidad por cuanto 0,3130 > 0,05, es decir, se acepta la Ho: la varianza de los errores es homoscedástica.
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