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- A A A F = JAHE H I L= HAI @A ; I= =HE  AIJ=>= @EIJHE>KE@ I @A B H = IE JHE?= A J H = L= H FH A@E F=H= ?=@= L= H : @AI@A =D H= =IK EHA I GKA AIJ IE IA ?K F A J= ? F @A I =FHA?E=H A = .ECKH= !

Figura 3: Ingreso semanal y Gasto semanal. Distribucin simtrica

- AIJA A A F IA LA = HA =?E A JHA E CHAI IA = = O C=IJ A ? IK IA = = F=H= ?=@= ELA @A E CHAI IA JEA A K H= C @A C=IJ GKA IA @EIJHE>KOA A B H = IE JHE?= A J H = L= H FH A@E ? @E?E = @A C=IJ

#

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

.K ?E

@A HACHAIE
A@E= ?

F > =?E
@E?E

= .42
@A :i @ @A   E A=

,A = JAHE H AI ? =H GKA = :i AI K L= H @=@ @A :

= -; :i  AI BK ?E

E (Y |Xi ) = f (Xi )
@ @A B AI K = BK ?E ?K= GKEAH= A A A A F = JAHE H AH= K = BK ?E = A?K=?E   IA @A E = 4ACHAIE 2 > =?E =

3KA B H = JEA A B AI K = FHACK J= A F HE?= =K GKA K?D=I LA?AI = JA H = I FKA@A =OK@=H >=IJ= JA 5KF C= I GKA A KAIJH A A F = JAHE H A I= =HE AIJ= HA =?E =@ E A= A JA ? = A@K?=?E =I F @A I IKF AH GKA = BK ?E @A HACHAIE F > =?E = -; :i  AI K = BK ?E E A= @A :i AI @A?EH

E (Y |Xi ) = 1 + 2 Xi
@ @A 1 O 2 IA @A E = ? A ?EA JAI @A HACHAIE 1 O 2 = F=HJEH @A @=J I @A : A ; )I A

> AJEL AI AIJE =H

-IFA?E ?=?E F > =?E =

AIJ ? IJE?= @A = BK ?E

@A HACHAIE

I @ I A A F I = JAHE HAI LA = I GKA = A@E@= GKA IA E ?HA A J= = L=HE => A ANF E?=JEL= A@K?=?E E CHAI  A L= H FH A@E @A = L=HE=> A @AFA @E A JA I= =HE C=IJ  J= >E IA E ?HA A J=>= 5E A >=HC AIJA F=JH IA @= I = ELA @A FH A@E I ) ELA E @ELE@K= AIJ AI A?AI=HE= A JA ?EAHJ - = 6=> =  F @A I LAH GKA A E @ELE@K GKA C= = A I E CHAI ? ' = I @A A@K?=?E C= = A I GKA A E @ELE@K ? & = I @A A@K?=?E ? =O H I= =HE -NEIJA K = @EIFAHIE @A I L= HAI E @ELE@K= AI @A ;i A J H ? @E?E = @A AIJ= L=HE=> A ,A AIJ= B H = F @A I @A EH = FH A@E

ui = Yi E (Y |Xi )

Yi = E (Y |Xi ) + ui
@ @A ui AI K = L=HE=> A = A=J HE= =JEL I -IJA J H E IKHCA FKAI

 !

>IAHL=> A GKA J = L= HAI F IEJEL I AC IA FKA@A AIFAH=H GKA J @=I =I >IAHL=?E AI $

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Yi IA= ECK= = FH

A@E ?

@E?E

= = Xi

4A? H@A I GKA = HACHAIE AI K = HA =?E AIJ=@ IJE?= = FAI=H @A ? ?AH I L= HAI @A Xi AIJ I FAH EJA FHA@A?EH A B H = AN=?J= Yi GKA F @A I ANF E?=H @A>E@ = GKA JEA A =JKH= A = = A=J HE= IA HAFHAIA J= = JH=L I @A ui @A E =@ J H E @A AHH H AIJ ? IJE? - J ?AI IECKEA @ A A A F @A = .ECKH= ! F @A I @A?EH GKA A C=IJ @A K = B= E E= E @ELE@K= Yi  ? HHAIF @A = = IK = @A @ I ? F A JAI -; :i  GKA ? HHAIF @A = = EI ELA @A E CHAI I + A@E= @A C=IJ @A J @=I =I B= E E=I ? A

A JA ,AJAH E IJE?

ui +

A JA ) A=J HE
:i F @A I AI?HE>EH = A?K=?E  ! @A = IECKEA JA

5E -; :i  AI E A= A B H =

Yi = E (Y |Xi ) + ui = 1 + 2 Xi + ui
6 = @ A L= H AIFAH=@ ? @E?E = A :i = = A?K=?E  "

 "

E (Yi |Xi ) = E [E (Y |Xi )|Xi ] + E (ui |Xi ) = E (Y |Xi ) + E (ui |Xi )

,A>E@ = GKA E (Yi |Xi ) = E (Y |Xi ) E F E?= GKA

 #

E (ui |Xi ) = 0
)I A IKFKAIJ @A GKA = HA?J= @A HACHAIE ?E = AI @A ; E F E?= GKA = A@E= ? @E?E F=I= = JH=L I @A =I = @A ui AI ?AH A@E=I ?

 $ @E

%

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

.K ?E

@A HACHAIE

KAIJH=
@EIF A D=IJ= =D I L= HAI GKA AIJE I H= @A =H @A =I - = ; GKA = BK

- = =O H = @A I BA A I A? E? I = AIJK@E=H >IAHL=?E AI J J= AI @A = F > =?E ? DA I IKFKAIJ FH ?JE?= IA JEA A = ?= ?A =@= I GKA = K = KAIJH= @A ? HHAIF @A = K I L= HAI I @A : - AIJA ?=I JA A I ?E @A HACHAIE F > =?E = A >=IA = E B H =?E KAIJH= I @=J I F > =?E = AI =I ?E=@ I = = .ECKH= ! I
1 CHAI B= &  ## $# $ % $# %" % & %# &# && $# %% E E=H   %' &" ' '" '& : O " & '! '# ! & ! # &'  /=IJ A ? $ &   % #    $ ! & !#  # " !  #

I IECKEA JAI
IK ;     !# !$ !% " " "" # "# #% $ $ !% "' " !% "# ## $# %# &' $ $ # # %# %& & &# ' %!

6=> = ;: /=IJ A ? IK B= E E=H IA = = ; A@E= + @E?E =

5KF C= I GKA I JH I ? ?A I AIJ I @=J I AI @A?EH JA A I =??AI = =I >IAHL=?E AI ? HHAIF @EA JAI = = F > =?E J J= 6A A I = KAIJH= @EI F IE?E I K = KAIJH= 6=> = ! = GKA D= IE@ >JA E@= @A B H = = A=J HE= @A = F > =?E -I E F HJ= JA J=H GKA = F=HJEH @A K = F > =?E F @A I I=?=H K = CH= ?= JE@=@ @A KAIJH=I A B H = = A=J HE= O A = HA= E@=@ I JH I >IAHL= I I K = @A A =I ,A>E@ = AIJ= L=HE=>E E@=@ A =I KAIJH=I F @HA I AIJE =H = .42 FAH @A = AH= FHA?EI= 2=H= A A F E ?=H AIJ IKF C= I GKA =@A I @A = KAIJH= A = 6=> = ! IA I=? JH= KAIJH= 6=> = " = F=HJEH @A = E B H =?E F > =?E =
6=> = ! KAIJH= = A=J HE= @A = F > =?E A J=> = ; : % & $#  '   '# "  $ # &    "  ## " # $ 6=> = " KAIJH= = A=J HE= @A = F > =?E A J=> = ; : ## & &&  '   & " & $   & "#  !#  "# " %# $

&

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

) CH= ?=H I @=J I @A =I 6=> =I ! O " >JA A I I @E=CH= =I @A @EIFAHIE A = .ECKH= " - AIJA @E=CH= = IA D= JH= =@ @ I HA?J=I @A HACHAIE KAI JH= .4 1 ? HHAIF @A = = FHE AH= KAIJH= O .4 2 ? HHAIF @A = = IACK @= + LA I AI F IE> A =IACKH=H ?K= @A =I @ I HA?J=I KAIJH= AI HAFHAIA J= A H = HA?J= @A HACHAIE F > =?E = - J ?AI AI E F HJ= JA JA AH A A JA GKA =I HA?J=I @A HACHAIE HAIA J= = HA?J= @A HACHAIE F > =?E = FAH @A>E@ = K?JK=?E FKA@A IAH ? IE@AH=@=I I ? K = =FH NE =?E + ? ? JH=F=HJA KAIJH= = BK ?E KAIJH= HAF AI KAIJH= AI

@A HACHAIE

KAIJH= FKA@A AI?HE>EHIA

 %

1 + 2 Xi i = Y

1 AI A AIJE =@ H @A 1 O 2 AI A AIJE =@ H i AI A AIJE =@ H @A -; :i  @ @A Y @A 2

Figura 4: Rectas de Regresin basadas en dos muestras distintas

,A

E =H A F=H KAIJH= @EIF

E?E

7 AIJE =@ H AI K = HAC = B H K = J @ GKA @E?A ? @AJAH AJH F > =?E = = F=HJEH @A = E B H =?E IK E EIJH=@= F H = E> A = = BK ?E @A HACHAIE KAIJH=

,A ECK=

= AH= GKA F=H= A ?=I F > =?E '

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

J= >E

JEA A K = HAFHAIA J=?E

AIJ ? IJE?=  & @A HACHAIE  '

1 + 2 Xi + u Yi = i
- J ?AI A F > =?E = > AJEL @A ) EIEI @A 4ACHAIE AI AIJE =H = .K ?E

Yi = 1 + 2 Xi + ui
? >=IA A = .K ?E @A HACHAIE KAIJH=

1 + 2 Xi + u Yi = i
-IJ= =FH NE =?E IA FKA@A LAH A = .ECKH= #

 

Figura 5: Rectas de Regresin muestral y poblacional

- J H E I @A = BK ?E FHAI=@= ?

@A HACHAIE

KAIJH=

= Yi >IAHL=@= FKA@A IAH AN   = FKA@A IAH ANFHAI=@= ?   

i + u Yi = Y i
OA J H E I @A = BK ?E @A HACHAIE F > =?E

Yi = E (Y |Xi ) + ui


+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

i - = CKH= # F @A I J=H GKA F=H= J @ :i = = @AHA?D= @A FK J ) Y I >HAAIJE = E (Y |Xi ) ,A ECK= = AH= F=H= ?K= GKEAH FK J = = E GKEAH@= @A ) i IK>AIJE = E (Y |Xi ) -IJ= I >HAAIJE =?E O IK>AIJE =?E @A Y @A F > = ?E = AI E ALEJ=> A @A>E@ = =I K?JK=?E AI KAIJH= AI 1 + IA FKA@A ? IJHKEH = BK ?E @A HACHAIE KAIJH= F=H= O 2 GKA AIJA I ?AH?= @A I L= HAI LAH@=@AH I F > =?E = AI @A 1 O 2

"

2H FEA@=@AI @A K -IJE =@ H
KAIJH= AI K = L=HE=> A = A=J HE= O JEA A IK =I IECKEA JAI

7 AIJE =@ H IEA @ BK ?E @A = FH FE= @EIJHE>K?E @A FH >=>E E@=@ =I FH FEA@=@AI @A I AIJE =@ HAI I

 5A @A E = IAIC = = @EBAHA ?E= A JHA A L= H AIFAH=@ @A AIJE =@ H O ) ,A AIJ= B H = IA @E?A GKA AI K AIJE =@ H IK LAH@=@AH L= H E ( ) = E IAIC=@ IE E ( - AIJE =@ H AI A ?EA JA @A E = L=HE= = IE D=O E C JH AIJE - CA AH= IA JH=J= @A =@ H E IAIC=@ GKA JA C= K = L=HE= = A H GKA KJE E =H AIJE =@ HAI @A L=HE= = FAGKA = FKAI @A AIJA @ = AIJE =?E AI I FHA?EI= ! - -HH H +K=@H JE? A@E -+  AI K = FH FEA@=@ @A I AIJE =@ HAI GKA IA @A A A ? = I ? ?AFJ I @A A ?EA ?E= A E IAIC= EA J - -+ @A ?

) = E [( )2 ] ECM (
GKA IA FKA@A ANFHAI=H AGKEL= A JA A JA @A = IECKEA JA = AH=

) = V ar( ) + [Sesgo( )]2 ECM (

"

= JE = FH FEA@=@ @A K AIJE =@ H AI = ? IEIJA ?E= - AIJE =@ H AI ? IEIJA JA IE ? LAHCA A A E EJA = LAH@=@AH L= H @A F=H AJH 5A @E?A GKA = IK?AIE @A L=HE=> AI = A=J HE=I X1 X2 Xn ? LAHCA A FH >=>E E@=@ = = L=HE=> A = A=J HE=  ? IJ= JA : IE > 0,
-IJ IA @A
n

l m P r[|Xn X | < ] = 1

J= plim Xn = X , I HAC =I JE AI = HAIFA?J I 

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

plim

X Y

plimX plimY

plim (X Y ) plimX plimY

-A F
F

A JA

6A A I K = L=HE=> A yi GKA AIJ= ? FKAIJ= F H = IK = @A K ? @AJAH E IJE? c O K ? F A JA = A=J HE ui 

yi =
2 ) A J 5E ui N (0, u

c
componente f ijo

ui
componente aleatorio

?AI

= E (yi ) = c 2 V (yi ) = E [(yi E (yi ))2 ] = E [u2 i ] = u

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

)D H= ? JH=

IE@AHA

I A IECKEA JA AIJE =@ H @A = AIFAH=

= @A yi =

A@E=

KAI

1 1 = Y = (y1 + y2 + ... + yn ) = n n
8A= I GKA FH FEA@=@AI JEA A AIJA AIJE =@ H

yi
i=1

1 IAIC= EA J

E ( ) = E ( ) = E Y 1 = E (y1 + y2 + ... + yn ) n 1 = (E (y1 ) + E (y2 ) + ... + E (yn )) n

@=@ GKA E (yi ) = E (c) + E (ui ) = c

0

E ( ) = c =

- ?EA ?E= V ar( ) V ar( 1 )

+ F=HA I A AIJE =@ H FH A@E F A A JA ?K= GKEAH L= H @A yi

KAIJH= ?

K AIJE =@ H GKA AI IE
2

=Y 1 = yi
- J ?AI F=H= = = GKA 1

E (Y ) = c E (yi ) = c

u V ar(Y ) n 2 V ar(yi ) = u

 IEA FHA IA ?K F A GKA AI

I A ?EA JA  A

H L=HE

+ AI K AIJE =@ H E IAIC=@ @A = ECK= GKA 1 A AHH H ?K=@H JE? A@E @A = > I AIJE =@ HAI AI ECK= = = L=HE= = @A AIJE =@ H @A AIJ= B H = JEA A A H AHH H ?K=@H JE? A@E GKA 1

-HH H +K=@H JE?

A@E

IEIJA ?E= AI K AIJE =@ H ? IEIJA JA @=@ GKA

plim( ) = plim(Y ) = c

;= GKA IE l mn V ar(Y ) = 0 plim(Y ) = c

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!
!
,A = IA??E

@A

@A HACHAIE
E

@ I L=HE=> AI
H@E =HE I

J @ @A
= JAHE H JA =

I +K=@H=@ I

I GKA A AHH H AIJE =@ AH=

i u i = Yi Y 1 2 Xi = Yi
AI @A?EH I HAIE@K I I AIJE =@ I @A ; IE F A A JA = @EBAHA ?E= A JHA

 ! I L= HAI LAH@=@AH I O

5E GKAHA I GKA = BK ?E @A HACHAIE KAIJH= IA= I ?AH?= = F IE> A = = F > =?E = @A>A I JH=J=H @A AI? CAH I ? A ?EA JAI @A HACHAIE  I I @A B H = J= GKA I AHH HAI IA= I FAGKA I F IE> A ,A =?KAH@ = AIJ K ?HEJAHE F=H= AI? CAH = BK ?E @A HACHAIE KAIJH= F @H = IAH E E E =H = IK = @A I I AHH HAI u i = (Yi Yi ) IE A >=HC AIJA ?HEJAHE AI KO >KA >IAHLA I = .ECKH= $ ANEIJA K = CH= @EBAHA ?E= A = =C EJK@ @A I AHH HAI IE A >=HC A = IK = @A I AHH HAI J @ I HA?E>A A EI FAI ,A>E@ = AIJ AI F IE> A GKA = IK = @A I AHH HAI IA= KO FAGKA = ?AH?= = = ?AH E ? KI ?K= @ = @EIFAHIE @A I AHH HAI A J H = = BK ?E @A HACHAIE KAIJH= AI = J=

Figura 6: Mnimos Cuadrados Ordinarios

"

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

-IJA FH > A = FKA@A IAH I K?E =@ = ? IE@AH=H = IK = @A I AHH HAI = ?K=@H=@ ? ?HEJAHE = E E E =H A AIJA ?=I I AHH HAI I A I HA?E>A K =O H FAI

u 2 i = =

i )2 (Yi Y 1 2 Xi )2 (Yi
 "

1 O 2 @A J @ @A E I +K=@H=@ I H@E =HE I  +  AI? CA I FAGKA F IE> A B H = J= GKA F=H= K = KAIJH= @=@= u 2 i IA=
- J ?AI A FH > A = GKA AIJA
1 , 2

J @ FH F

A HAI LAH AI A IECKEA JA  #

m n

1 2 Xi )2 (Yi

=I ?

@E?E

AI @A FHE AH H@A @A AIJA FH > A = I

= 2 1 u 2 i = 2 2

u 2 i

1 2 Xi ) = 2 ( Yi 1 2 Xi )Xi = 2 ( Yi
I =I A?K=?E

u i = 0 u i Xi = 0

 $  %

5E F E ?= @  $ O  % >JA A

AI

H = AI
 &

1 + 2 Yi = n 1 Yi Xi =
,A>A I HAI LAH K IEIJA = ? 1  & F @A I @AIFA =H

Xi Xi2

2 Xi +

 '

@ I A?K=?E

AI O @ I E ? C EJ=I ,A = A?K=?E

1 =
HAA F = = @   A  '

2 Yi n

Xi



Yi X i =

2 Yi n

Xi

2 Xi +

Xi2



,A AIJ= B H = A AIJE =@ H @A 2 AI

2 = n Yi Xi Xi Yi n Xi2 ( Xi )2
#

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

- GKA FKA@A IAH AI?HEJ @A = IECKEA JA B H = D=?AH 

2 =
@ @A xi = Xi X A yi = Yi Y ? A  

xi y i x2 i X=
1 n n i=1

!

Xi A Y =

1 n

n i=1

Yi

4AA F = = @ 

1 =

Xi2 Yi Xi Xi Yi n Xi2 ( Xi )2 2 X = Y

 

" #

I HAIK J=@ I  ! O  # F @H = D=>AH IE@ >JA E@ I @A ECK= B H = ANFHA I= @ E E?E= A JA A @A @A HACHAIE A @AILE=?E AI ? HAIFA?J = = A@E= @A @A HACHAIE HECE = AI

1 + 2 Xi + u Yi = i
IE A HAIJ= I A FH A@E @A AIJ=

1 + 2 X + u Y = i

$

O HA? H@= @ GKA A L= H AIFAH=@ @A J H E @A AHH H AI  JA A I A IECKEA JA @A @A HACHAIE E A= ANFHAI=@ A @AILE=?E AI ? HAIFA?J = = A@E=

2 (Xi X ) + u (Yi Y ) = i 2 xi + u yi = i
)I A FH > A = @A E I +K=@H=@ I H@E =HE I AI

m n
2

2 xi )2 (yi

=?

@E?E

@A FHE AH H@A @A AIJA FH > A = AI

u 2 i 2

= 2

2 xi )xi = 0 (yi
JH=@ A  ! O 1 IA >JEA A

)I >JA A I A EI AIJE =@ H @A 2 A ? IE F A A JA @AIFA = @ = A?K=?E  $

1 = Y 2 X
$

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

GKA ? HHAIF

@A =

EI

= A?K=?E

#

7 = LA AIJE =@ I I ? A ?EA JAI @A HACHAIE A@E= JA + O KJE E = @ = 1 + 2 Xi  FKA@A IAH i = E B H =?E KAIJH= = HA?J= @A HACHAIE KAIJH= Y >JA E@= B ?E A JA

-A F

= HA= E = A ? F= =

 ,EIF A

I @=J I @A K = A FHAI= GK E?= I >HA A C=IJ GKA A 1 LAIJEC=?E O ,AI=HH 1 , O =I C= = ?E=I = K= AI @A AIJ=

) '' '' '' ''! ''" ''#

/=IJ A 1 ,  E AI @A @ =HAI ! # "  #

/= = ?E= ) K=  E AI @A @ =HAI  # !" ! " !

)D H= @A>A I @A>A I @AJAH E =H @A GKA B H = ? ?= >E= A FH ? @E?E = @A = L=HE=> A @AFA @EA JA /= = ?E=I ?K= @ ?= >E= A L= H = L=HE=> A ANF E?=JEL= /=IJ A 1 ,

A@E @A

1 + 2 Xi HAGKEAHA @AJAH = B H = KAIJH= @A = HA?J= @A HACHAIE E (Yi |Xi ) = E =H A L= H AIJE =@ @A AIJ I F=H AJH I F=H= ?K= KJE E =HA I A J @
%

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E A=

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@A

I ?K=@H=@ I H@E =HE I

2 = n Yi Xi Xi Yi n Xi2 ( Xi )2
7JE E?A I I @=J I F=H= >JA AH =@ H @A 2 ) /=IJ A 1 , X   E AI @A @ =HAI ! # "  # X !

2 =

Yi Xi nXY Xi2 n(X )2

FKJ=H A AIJE

I ? ?K I A?AI=HE I F=H= ?

 $ '' '' '' ''! ''" ''# 5K =

/= = ?E= ) K= Y   E AI @A @ =HAI  # !" ! " ! Y &

XY " %# %   "" ## XY 

X2 " ' # $   # 2 X 

X = nX X = 30 6 X=5 Y = nY Y = 180 6 Y = 30
,A AIJ= B H =

A@E= @A

I L= HAI @A = L=HE=> A @AFA @EA JA

A@E= @A

I L= HAI @A = L=HE=> A E @AFA @EA JA

2 = 1000 6 5 30 200 6 (5)2 1000 900 = 200 150 100 = 50 2 = 2 1 = Y 2 X = 30 2 5 = 30 10 1 = 20

,A AIJ= B H = = HA?J= @A HACHAIE KAIJH= AIJE =@= AI

= 20 + 2 X Y
&

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E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

+ AIJ= A?K=?E A = A CAHA JA @A 1 , @A AIJ= ? F= = FKA@A FHA@A?EH A FH A@E A C= = ?E=I BKJKH=I = K= AI = F=HJEH @A = ?= JE@=@ FHAIKFKAIJ=@= @A C=IJ A 1 LAIJEC=?E O ,AI=HH 2 H A A F IE = ? F= = FHAIKFKAIJ= C=IJ=H & E AI @A @ =HAI A 1 , A FH NE = A J ?AI @A>A C= =H =FH N E =@= A JA !$ E AI @A @ =HAI @KH= JA AIJA = GKAHA
AOL Yahoo Lycos Cnet Juno Web NBC Internet Earthlink El sitio Promedio Suma 1 2

-A F

6A A I I IECKEA JAI @=J I @A F HJ= AI @A E JAH AJ ? I ?K= AI I LAH A E F=?J FH A@E @A AH @A LEIEJ=I A A L= H @A = A FHAI=
visitas 50 38 28 8 8 16 5 2 19.4 y-ybar 108787.6 29469.6 -20523.4 -21989.4 -25445.4 -21606.4 -23861.4 -24831.4 x-xbar 30.6 18.6 8.6 -11.4 -11.4 -3.4 -14.4 -17.4 (y-ybar)*(x-xbar) 3331621.0 548871.8 -177014.1 250129.1 289441.1 72921.5 343007.3 431445.1 5090422.9 (x-xbar)^2 937.9 346.9 74.4 129.4 129.4 11.4 206.6 301.9 2137.9 ygorro 98976.5 70403.7 46593.1 -1028.3 -1028.3 18020.3 -8171.5 -15314.7 26056.4 ugorro 35867.5 -14877.7 -41060.1 5095.3 1639.3 -13570.3 10366.5 16539.7 0

vempresa 134844 55526 5533 4067 611 4450 2195 1225 26056.4 2381.1 -20076.8

'

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

7JE E = @ AIJ I @=J I JA A

n

(Xi X )2 = 2137,9
i=1 n

(Yi Y )(Xi X ) = 5090422,9

i=1

2 = 5090422,9 = 2381,1 2137,9 1 = 26056,4 2381,1 19,4 = 20076,8

!

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

5KFKAIJ I @AJH I @A

J @

1 O - A = EIEI @A HACHAIE KAIJH > AJEL AI I >JA AH I L= HAI @A 2 IE J= >E D=?AH E BAHA ?E= I >HA I LAH@=@AH I 1 O 2 I E JAHAI= I=>AH i GKA J= ?AH?= AIJ 1 O 2 @A IKI ? JH=F=HJA F > =?E = GKA J= ?AH?= AIJ= Y @A = LAH@=@AH= -; :i  = .K ?E @A HACHAIE F > =?E = Yi = 1 + 2 Xi + ui I KAIJH= GKA Yi @AFA @A @A Xi O ui )I I IKFKAIJ I DA?D I F=H= AIJ=I @ I L=HE=> AI I BK @= A J= AI F=H= CH=H K = E JAHFHAJ=?E L E@= @A I L= HAI AIJE =@ I @A = HACHAIE EA JH=I IA AIFA?E GKA = B H = ? IA CA AH= Xi O ui D=O B H = @A D=?AH E BAHA ?E= AIJ=@ IJE?= I >HA Yi E I >HA 1 O 2

5KFKAIJ 
F=H

AJH I

@A

@A HACHAIE

E A= A

@A

@A HACHAIE

AI E A= A

Yi = 1 + 2 Xi + ui

5KFKAIJ

I L= HAI @A : I I : IA IKF A AIJ ? IJE?= -IJ E F E?= GKA A = EIEI @A HACHAIE AI K = EIEI @A HACHAIE ? @E?E = ? @E?E =@ = I L= HAI @=@ I @A HACHAI H :
: A L= H AIFAH=@ @A J H E

5KFKAIJ ! - L= H

A@E @A AHH H ui AI ECK= = ?AH

@A AHH H ui AI ?AH

,=@ A L= H @A

E (ui |Xi ) = 0
GKA I @E?A AIJA IKFKAIJ AI GKA I B=?J HAI GKA AIJ ? A A @A O GKA AIJ HAFHAIA J=@ I = JH=L I @A ui =BA?J= ?= A JA A L= H @A = A@E= @A ; -I @A?EH I L= HAI F IEJEL ?= ?A = ? I L= HAI AC=JEL I @A ui ,A AIJ= B H = A ABA?J @A ui I >HA ; AI ?AH 8AH .ECKH= % IE@AH=@ I IEIJA JE I @A ui IA FH A@E

!

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Figura 7: Distribucin condicional del trmino de error ui

5KFKAIJ " 0
: = L=HE=

= @A ui AI =

?A@=IJE?E@=@

ECK= L=HE= = @A ui ,=@ A L= H @A EI = F=H= J @=I =I >IAHL=?E AI

var(ui |Xi ) = E [ui E (ui )|Xi ]2 = E (u2 supuesto 3 i |Xi ) por 2 =

- = .ECKH= & F @A I =FHA?E=H A IEC E ?=@ @A IKFKAIJ @A D ?A@=I JE?E@=@ = L=HE=?E = HA@A@ H @A = HA?J= @A HACHAIE AI = EI = F=H= J @ I I L= HAI @A : -IJ E F E?= GKA = BK ?E @A @A IE@=@ @A J H E @A AHH H ui AI = EI =

Figura 8: Homocedasticidad

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2 H A ? JH=HE A = .ECKH= ' >IAHL= I A ?=I ?K= @ = L=HE= = @A J H E @A AHH H L=HE= F=H= ?=@= Xi A AIJA ?=I F=HJE?K =H = L=HE= = @A AHH H =K A J= A = A@E@= GKA Xi ?HA?A

Figura 9: Heterocedasticidad

-IJ IA ? ?A ? 0AJAH ?A@=IJE?E@=@ ANFHAI= @A = IECKEA JA = AH=

2 var(ui |Xi ) = i

L=HE=

= @AIECK=

GKA IA  %

5KFKAIJ #

@A : Xi O Xj ?

ANEIJA =KJ ? HHA =?E

E=

= ? HHA =?E

A JHA

I AHH HAI ,=@ @ I L= HAI A JHA ui O uj AI ?AH

cov (ui , uj |Xi , Xj ) = E {[ui E (ui )]|Xi }{[uj E (uj )]|Xj } = E (ui |Xi )(uj |Xj ) = 0
5E A = .K ?E @A HACHAIE F > =?E = Yi = 1 + 2 Xi + ui ui AIJ= ? HHA =?E =@ ? uj A J ?AI Yi @AFA @A I = A JA @A Xi IE J= >E @A uj ) E F AH A IKFKAIJ # AIJ= I @E?EA @ GKA I IA ? IE@AH=H A ABA?J IEIJA JE? @A Xi I >HA Yi IE FHA ?KF=HIA @A JH I B=?J HAI GKA FKA@A AIJ=H =BA?J= @ = ; ? = ? HHA =?E A JHA I uI

5KFKAIJ $

= ? L=HE=

= A JHA ui O Xi AI ?AH E (ui Xi ) = 0

cov (ui , Xi ) = = = = =

E [ui E (ui )][Xi E (Xi )] E [ui (Xi E (Xi )] por supuesto E (ui ) = 0 E (ui Xi ) E (ui )E (Xi ) por supuesto E (Xi ) no estocastica E (ui Xi ) por supuesto E (ui ) = 0 0
!!

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

+ A ?E = I A = IA??E IA IKF A GKA : O u JEA A K = E KA ?E= IAF=H=@= I >HA ; @AJAH E IJE?= O AIJ ? IJE?= HAIFA?JEL= A JA =D H= IE : O u AIJ ? HHA =?E =@=I AI F IE> A @AJAH E =H I ABA?J I E @ELE@K= AI I >HA ; -IJA IKFKAIJ IA ?K F A =KJ JE?= A JA IE : AI AIJ ? IJE?= O A IKFKAIJ ! IA ?K F A

5KFKAIJ % AH @A >IAHL=?E @A F=H AJH I F H AIJE =H -

AH @A >IAHL=?E AI JEA A GKA IAH =O H GKA A AH @A L=HE=> AI ANF E?=JEL=I @A JH= B H = IA FKA@A HAI LAH A IEIJA = @A A?K=?E AI 5KF C= I GKA JA A I K = I = >IAH L=?E F=H= KAIJH= L=HE=> A @AFA @EA JA O KAIJH= L=HE=> A ANF E?=JEL= Y1 O X1  A @A @A HACHAIE AI J= GKA JEA A E JAH?AFJ AI @A?EH

AI @A>A IAH

=O H GKA A

AH

Y1 = 1 + 2 X1 + u1
A AIJE =@ H + @A 2 AI

2 =

xi yi x2 i

@ @A xi = Xi X A yi = Yi Y IE A >=HC ? K = >IAHL=?E X1 = X A Y1 = Y =I 2 AIJ= @AJAH E =@ O =I J= F ? F @A I @AJAH E =H 1

5KFKAIJ & 8=HE=>E E@=@ A

I L= HAI @A : A K = KAIJH= @A>A IAH ECK= AI L=H: @A>A IAH K AH EJ F IEJEL 5E =I : I =I EI =I Xi = X @A AIJ= B H = E 2 E 1 FKA@A IAH AIJE =@ I

I L= HAI @A :

J @ I

5KFKAIJ ' -

-IJ AI KO E F HJ= JA O= GKA F H A A F = EIE @A L=HE=> AI E F H J= JAI A A @A = A A??E @A = B H = BK ?E = E =@A?K=@= = ? IE@AH=?E @A IKFKAIJ I AIJ ? IJE? I AGKEL ?=@ I I >HA =I L=HE=> AI @A @A D=H ?KAIJE => A = L= E@A @A = E JAHFHAJ=?E @A = HACHAIE AIJE =@= )IFA?J I GKA LAHA I I =@A = JA

@A

@A HACHAIE

AIJ= ? HHA?J= A JA AIFA?E ?=@

!"

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!!
+

-HH HAI AIJ @=H @A I -IJE =@ HAI @ I H@E =HE I

I +K=@H=

LE I A = IA??E !  I L= HAI AIJE =@ I F=H= 1 O 2 @AFA @A @A I @=J I KAIJH= AI IE A >=HC I @=J I ?= >E= @A K = KAIJH= = JH= O =I I L= HAI AIJE =@ I J= >E F H AI AI A?AI=HE JA AH K = A@E@= GKA I FAH EJ= @A?EH GKA J= ?AH?= I I L= HAI AIJE =@ I = I L= HAI F > =?E = AI @A I F=H AJH I = A@E@= GKA KJE E =HA I F=H= A@EH = FHA?EIE @A AIJE =@ H AI A AHH H AI J @=H GKA AI = @AILE=?E AIJ @=H @A = @EIJHE>K?E KAIJH= @A AIJE =@ H = GKA = IK LA AI = @EIJHE>K?E @A ? K J @A L= HAI @A AIJE =@ H >JA E@ I @A J @=I =I KAIJH=I F IE> AI @A ECK= J= = @A K = F > =?E @=@= 4A? H@A I A AIJE =@ H + @A 2

2 =

xi y i x2 i
HAIFA?J = = A@E=

@ @A yi = 2 xi + ui  @A F > =?E = A @AILE=?E AI ? ,A AIJ= B H = HAA F = = @ yi A A AIJE =@ H @A 2

2 =

xi (2 xi + ui ) x2 i x2 ui x i i = 2 + 2 xi x2 i ui x i = 2 + x2 i
= JAHE H

)F E?= @ L= H AIFAH=@ = = ANFHAIE

2 ) = 2 + E E (

ui x i x2 i E (ui )xi = 2 + por x2 i = 2 por supuesto 3

supuesto 2
 &

= A?K=?E  & I @E?A GKA A L= H AIFAH=@ A AIJE =@ H + ECK= = IK LAH@=@AH L= H -IJ= FH FEA@=@ @A AIJE =@ H + IA ?

E IAIC= EA J

2 AI @A ?A ?

!#

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

)D H= FH ?A@=

I = ?= ?K =H = L=HE= = @A A AIJE =@ H 2 ) = E [ 2 E ( 2 )]2 var( 2 2 )2 = E ( [ xi ui ]2 = E 2 [ x2 i]

@A 2

2 2 H IKFKAIJ " E (u2 i ) = O F H IKFKAIJ $ E (ui uj ) = 0 AIJ E F E?= GKA

2 ) = var(

2 x2 i

'

!"

-IJE =@ H

+K=@H=@

H@E =HE @A 2
@A =

)D H= @A>A I AIJE =H A F=H AJH F > =?E = 2 ? AIJA ? HHAIF 2 L= H AIFAH=@ @A ui O u i AI K = AIJE =?E @A ui F H = = C =

n F=HA?EAH= IAH K AIJE =@ H H= => A 2AH I AHH HAI @A + AIJ AIJE =@ I E FAHBA?J= A JA IE I ? F=H= I ? I AHH HAI F > =?E = AI O= GKA @AFA @A @A K = AIJE =?E @A 1 O 2 8A= I AIJ ? I @AJ= A
2=HJEA @ @A 4ACHAIE = A@E= O HA? H@= @ J= >E F > =?E = ANFHAI=@ A @AILE=?E AI ? HAIFA?J =  !  !

n i=1

u 2 i

y i = 2 x i + ( ui u)
GKA

2 xi u i = yi
) IKIJEJKEH  ! A  ! IA >JEA A

2 xi u i = 2 x i + ( ui u)
- AL= @ = ?K=@H=@ AIFAH=@ = ANFHAIE = JAHE H =F E?= @ IK =J HE= O J = @ L= H

u 2 i

2 2 )2 = E (

x2 i +E

2 2 ) (ui u)2 2 E (
(i) (ii)

xi (ui u)

2 ) = var(

x2 i + (n 1)var (ui ) 2E

x i ui x2 i

xi (ui u)

= 2 + (n 1) 2 2 2 = (n 2) 2
!$

+=FEJK

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@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

(i) E

(ui u)2

= E = E = E = E = E = E = n 2

2 (u2 i 2ui u + u )

u2 i 2u u2 i 2u

ui + nu2

n ui + nu2 n 2 ui 2nu2 + nu2

2 u2 i nu

u2 i

ui n

n 2 n = (n 1) 2

2 2 ) (ii) E (

xi (ui u)

2 2 ) = E ( = E

xi (ui u)

x i ui xi (ui u) x2 i ( xi ui )2 x i ui x i = E u 2 xi x2 i = 2
2 H J= J IA @A A A AIJE =@ H @A = L=HE= = 2 ?  ! 

2 =

u 2 i n2

,A B H = J= GKA 2 AI K AIJE =@ H E IAIC=@ @A 2

2 =

1 E n2

u 2 = 2 i

!%

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@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

"

@A

@A 4ACHAIE

L=HE=> AI

)D H= =>= @ A I = IE F E ?=?E @A I = JA CA AH= E =HA I A @A @A HACHAIE L=HE=> AI ANF E?=JEL=I

KI=H @ I L=HE=> AI @A =D H= A =@A E A= F=H= GKA FKA@= JA AH D=IJ=

)? =H=?E D=HA I K ?= >E @A J=?E ?=@= >IAHL=?E E @A = L=HE=> A @AFA @EA JA IAH @A J=@= F H yi O ?=@= >IAHL=?E E @A K = L=HE=> A ANF E?=JE L= F H A A F X1 IAH @A J=@= F H x1i )D H= =I L=HE=> AI A E I?K = IEC E ?= GKA AIJ A @AIL I @A @A 4ACHAIE 2 > =?E = A AIJA ?=I AI

yi = 1 + 2 x2i + 3 x3i + ... + k xki + ui

i = 1, ..., n

"

4AFHAIA J=?E E A=

=JHE?E= @A

@A

@A 4ACHAIE
J=?E =JHE?E= LA?J H ? K = @A @A AHH H ,A AIJA

@A ? L=HE=> AI ANF E?=JEL=I FKA@A IAH ANFHAI=@ A - ABA?J ?=@= L=HE=> A ANF E?=JEL= xj ?  AI K @E A IE = ECK= GKA = L=HE=> A @AFA @EA JA O A J H E @ A @A FKA@A IAH HAAI?HEJ @A = IECKEA JA B H = y1 1 x21 x31 xk 1 y2 1 x22 x32 xk 2 = 1 + 2 + 3 + ... + yn 1 x2 n x3n xkn

u1 u2 k + un

, @A =I L=HE=> AI ANF E?=JEL=I IA FKA@A =CHKF=H A K = I = =JHE @A @E A IE GKA @A J=HA I IE F A A JA ? : @A AIJ= = AH= A @A IA ANFHAI= @A = IECKEA JA B H = u1 1 1 x21 x31 xk1 y1 y2 1 x22 x32 xk2 2 u2 Y = X + u !! + = un k 1 x2n x3n xkn yn @ @A Y AI K LA?J H @A @E A IE  X AI = =JHE @A L=HE=> AI ANF E?=JEL=I @A @E A IE O u AI K LA?J H ? HHAIF @EA JA = J H E @A AHH H ? @E A IE  !&

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

E (u1 ) E (u2 ) E (u) = =  n1 E (un ) E (u2 E (u1 u2 ) 1) E (u2 u1 ) E (u2 ) 2 E (uu ) = E (un u1 ) E (un u2 )
,A I IKFKAIJ I ! " O # JA A IECKEA JA @EIJHE>K?E

)D H= @A>A JHE?E= AI

I ANFHAI=H = @EIJHE>K?E

@A J H E

@A AHH H A J H E

E (u1 un ) 2 0 E (u2 un ) 0 2 = 2 E (un ) 0 0

?AI GKA A J H E

0 0 = 2 I nn 2

I A J

@A AHH H JEA A =

n1

 , 2 I

nn

 !"

"
-

-IJE =@ H

+K=@H=@ I

H@E =HE I

J @ @A + F = JA= GKA I F=H AJH I @A @A FKA@A IAH AIJE =@ I  = GKA A J H E I E E E = @ = IK = @A I AHH HAI = ?K=@H=@ SE  =JHE?E= AI AGKEL= A =
n

) = SE (
i=1

u 2 u i = u
E E E =H = IK = @A I AHH HAI =

- J ?AI A FH > A = @A @ @A u = Y X ?K=@H=@ IA ANFHAI= @A = IECKEA JA B H =

) = m ) (Y X ) n (Y X m n SE ( X Y + X X = m n Y Y 2

) SE ( =0 = 2X Y + 2X X = (X X )1 X Y
!'

 !#

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E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

,A  !# JA A

) = 0 X u X (Y X =0
 !$ AI = ? @E?E @A HJ C = E@=@

 !$

IA >JEA A @A HAI LAH A ,A AIJ= B H = A LA?J H @A F=H AJH I AIJE =@ I IECKEA JA IEIJA = @A A?K=?E AI H = AI =XY X X 1 1 1 x2,1 x2,2 x2,3 x3,1 x3,2 x3,3 xk,1 xk,2 xk,3 1 x2,n x3,n xk,n 1 x2,1 x3,1 1 x2,2 x3,2 1 x2,3 x3,3 1 x2,n x3,n
n i=1

1 1 1 x2,1 x2,2 x2,3 = x3,1 x3,2 x3,3 xk,1 xk,2 xk,3 n x2,i x2 2,i n x x2,i 3 ,i i=1
n i=1 n i=1 n i=1

1 2 3 k xk,n 1 y1 x2,n y2 x3,n y3 xk,n yn xk,1 xk,2 xk,3 1 2 3 k

?K= @

n i=1 n i=1 n i=1

x2,i x3,i xk,i

x3,i n i=1 x2,i x3,i n 2 i=1 x3,i

n i=1

n i=1

xk,i n i=1 x2,i xk,i n i=1 x3,i xk,i

n i=1

=
= =JHE

yi n y i=1 i x2,i n i=1 yi x3,i

n i=1

n i=1

xk,i x2,i

xk,i x3,i

x2 k,i

yi xk,i

-I E F HJ= JA HA? H@=H GKA A AIJE =@ H + AIJ= @A :: AI E LAHJE> A GKA ?KHHA IEA FHA O ?K= @  =I ? K =I @A = =JHE : IA= E A=

E@ I

A JA E @AFA @EA JAI AI ? L=HE=> AI ANF E?=JEL=I

5A @EIF C= = A I @A J= J=I >IAHL=?E AI @A?EH k 5KFKAIJ %

2 C= I =JA ?E A A IACK @ IKFKAIJ ?K= @ = =JHE : JEA A @E A IE F H J= J I= L GKA IA ?K F = A IKFKAIJ & : AI E LAHJE> A O @A 1 1 1 AIJ= B H = (X X ) = X (X ) O F H J= J

= (X X )1 X Y = X 1 (X )1 X Y = X 1 Y
"

 !%

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@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

= Y X (X 1 Y ) = Y Y = 0n @A AIJ= B H = A LA?J H @A HAIE@K I u = Y X A = KIJA AI FAHBA?J O= GKA J @ I I HAIE@K I I ?AH = IK = HAIE@K= @A ECK= B H =J =A E L= H F IE> A ?AH 5E A >=HC AIJ= AI K = ?=H=?JAH IJE?= @AIA=> A A = KIJA FAHBA?J ?KHHA F HGKA JA A I K = KAIJH= KO HA@K?E@= -IJ JH=A ? ? IA?KA ?E= F ? H >KIJA A E FHA?EIE A =I AIJE =?E AI 5E AI? CA I K = KAL= KAIJH= @A ? IK = HAIE@K= EI J= = GKA = = JAHE H >JA @HA I JH AIJE =@ H  GKA FKA@A @EBAHEH A B H = =H>EJH=HE= @A = JAHE H
2=H= CH=H AIJE =?E AI FHA?EI=I @A I F=H AJH I AI A?AI=HE JA AH K AH @A >IAHL=?E AI J=> A A JA IKFAHE H = @A =I L=HE=> AI ANF E?=JEL=I = @EBAH A ?E= IA ? ?A ? A AH @A CH=@ I @A E>AHJ=@ @A = AIJE =?E

2H FEA@=@AI @A AIJE =@ H

AI K LA?J H = A=J HE JA I GKA A LA?J H AHH HAI

O= GKA @AFA @A @A LA?J H @A

= (X X )1 X Y = (X X )1 X (X + u) = + (X X )1 X u ) = E ( ) + E [(X X )1 X u] E ( = + (X X )1 X E (u)
= AIFAH= = @A AI A EI F > =?E =  O F H IKFKAIJ I AI ?AH

 !&

F=H AJH O= GKA AIJA AI K ? IJ= JA L= H O ! A IACK @ J H E @A = ANFHAIE = JAHE H

) = E (
-I @A?EH A AIJE =@ H A?K=?E  & ,A  !& F @A I @A + AI E IAIC=@ J= ? D=> = I

 !' IJH=@ A =

EH A AHH H @A AIJE =?E

IAIC ?

= (X X )1 X u

"

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@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

)D H= ?= ?K A

I = L=HE=

= @A E ( )) ( E ( )) ] E [( ) ( ) ] E [( E [(X X )1 X uu X (X X )1 ] (X X )1 X E (uu )X (X X )1 (X X )1 X ( 2 In )X (X X )1 2 (X X )1

) = var( = = = = =
2=H= F @AH AIJE =H = L=HE= AIJE =@ H E IAIC=@

 "

A?AIEJ= = @A uu nk

I HAA F = =H 2 A  " F H IK

2 =

#

2H FEA@=@ @A

A H AIJE =@ H E A= E IAIC=@

AI A 5A @E?A GKA IECKEA JA

A H AIJE =@ H E A= E IAIC=@  - 1 @A IE IA ?K F A

 - E A= AI @A?EH AI K = BK ?E E A= @A K = L=HE=> A = A=J HE= ? L=HE=> A y A A @A @A HACHAIE -I E IAIC=@ L= H AI @A?EH IK L= H AIFAH=@

) AI ECK= = A LAH@=@AH E (
I AIJE =@ HAI E A= AI E = AI ? ?E@ ?

! 6EA A L=HE= = E = @A JH @A = ? =IA @A J @ I E IAIC=@ I K AIJE =@ H E IAIC=@ ? L=HE= = K AIJE =@ H A ?EA JA

6A HA = @A /=KII

=H L

2H F IE?E

- AIJE =@ H + AI A AIJE =@ H E A= E IAIC=@ FJE A A IA JE@ @A GKA ?K= GKEAH JH AIJE =@ H E A= A E IAIC=@ JEA A K = =JHE @A ? L=HE= = =O H GKA = @A AIJE =@ H + -I @A?EH A AIJE =@ H + AI - 1

,A

IJH=?E

5A= = Ay K AIJE =@ H E A= @A @

@A A AI K =

=JHE

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

,A

JA

I A = A (X X )1 X @A

@ GKA

= [A + (X X )1 X ]Y = [A + (X X )1 X ](X + u) = AX + + [A + (X X )1 X ]u
)F E?= @ AIFAH= = = = ANFHAIE = JAHE H

E ( ) = AX + + [A + (X X )1 X ]E (u) = AX +
- AIJE =@ H IAH E IAIC=@ I B H = IE = =JHE ) AI J= GKA ): 0kk ,A AIJ=

= + [A + (X X )1 X ]u
O IK =JHE @A ? L=HE= = IAH

cov ( ) = E [( )( ) ] = E {([A + (X X )1 X ]u)([A + (X X )1 X ]u) } = 2 AA + 2 (X X )1

) cov (

+ = =JHE AA AI IA E@A E@= F IEJEL= IA ? ? KOA = @EBAHA ?E= A JHA = AI K = =JHE IA E@A E@= F IEJEL= ? ? L=HE= = @A O GKA = ? L=HE= = @A AI =O H ECK= = = ? L=HE= = @A

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

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4A? H@A

/A
I GKA A

AJH = @A -IJE =@ H
@A @A HACHAIE

KAIJH= JEA A = IECKEA JA ANFHAIE

+u Y = X
= GKA FKA@A IAH HAAI?HEJ= @A = IECKEA JA B H =

Y = P Y + MY
@ @A 2 IA @A E =

 " A @A = IECKEA JA = AH=

=JHE @A FH OA??E

O IA @A

P = X (X X )1 X
)@A I IA JEA A GKA 1 2 ,A =?KAH@ = = A?K=?E  !$ A AIJE =@ H + AI J= GKA I AHH HAI I HJ C = AI = =I : AI @A?EH IA @A>A AI? CAH I F=H AJ H I @A B H = J= GKA A LA?J H @A AHH HAI IA= HJ C = = AIF=?E B H =@ I F H =I L=HE=> AI ANF E?=JEL=I )I A AIJE =@ H + I FAH EJA @AI? F AH Y A @ I J H E I HJ C = AI A JHA IE A FHE AH ? F A JA FKA@A IAH AI?HEJ ? K = ? >E =?E E A= @A =I ? K =I N O A IACK @ AI K ? F A JA HJ C = = : A J H E @A AHH H J= ? KAIJH=  " -IJ IA HAFHAIA J= CH ?= A JA A = .ECKH= 
Y

MY

x1

PY 0
x2

Col X

Figura 10: Descomposicin Ortogonal de Y

- J H E P Y = JAH =JEL= A JA IA FKA@A LAH ? AIF=?E >=HHE@ F H =I :I O M Y ? = FH OA??E = =I :I ""

= FH OA??E @A Y A A @A Y AI A AIF=?E HJ C =

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%
IE =

@=@ @A ) KIJA O )

EIEI @A 8=HE= =

> AJEL @A AIJ= IA??E AI E JH @K?EH K ?HEJAHE @A = KIJA @A KAIJH= HACHA AI @A?EH K ?HEJAHE GKA I E @EGKA ?K= >EA IA = KIJ= KAIJH @A = KAIJH=

- FHE ?EFE F @H = I FA I=H GKA = IK = @A I HAIE@K I ?K=@H=@ I AI @A ?EH KAIJH ?HEJAHE HECE = @A = KIJA AI K = >KA = F?E = A H IA= IJA A H AI KAIJH = KIJA 5E A >=HC = IK = @A I HAIE@K I ?K=@H=@ I FKA@A IAH =H>EJH=HE= A JA AI?= =@= = K JEF E?=H = L=HE=> A @AFA @EA JA ; F H A B=? J H @A AI?= = @AIA=@ ?K= E L= E@= IK KI ? ?HEJAHE @A = KIJA 2 H A IA D= @AI=HH =@ K ?HEJAHE GKA A E E A A FH > A = = JAHE H ,E ?D AIJ=@ IJE? O= IA >=I=H A = =C EJK@ @A K L= H ? = IK = @A I ?K=@H=@ I @A I HAIE@K I IE GKA E JA J=H FHACK J=HIA IE = L=HE=?E @A =I L=HE=> AI E @AFA @EA JAI : ANF E?= = L=HE=?E @A = L=HE=> A E @AFA @E A JA ? LAHA I I =@A = JA 2=H= A = = E =HA I ? K F ? I @A FH BK @E@=@ A @A @A HACHAIE E A= A @AIL I ? HAIFA?J = = A@E= O FHAIA J=HA I = = =@= @AI? F IE?E @A L=HE= =  = EIEI @A L=HE= = = > I E IK I BK @= A J= AI F=H= >JA AH KAIJH AIJ=@ IJE? @A > @=@ @A = KIJA

%
5A= A @A

@A

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= KIK= ?

E A= A ,AIL I
L=HE=> AI  " 

F > =?E

yi = 1 + 2 x2i + 3 x3i + + k xki + ui

@ @A i = 1 . . . n O ?KO= ? JH=F=HJA AIJE =@= AI

1 + 2 x2i + 3 x3i + + k xki + u yi = i

KAC IE IK = I F=H= J @=I =I >IAHL=?E A J= = KAIJH= JA A I AI O @ELE@E

 "! I = = > I =@ I F H  ""

1 + 2 x 3 x k x = Y 2 + 3 + + k
F H ?K=

1 = Y 2 x 3 x k x 2 + 3 + + k
"#

 "#

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

= A?K=?E  "# KAIJH= GKA A J H E E @AFA @EA JA @A K = HACHAIE GKA@= @AJAH E =@ F H A HAIJ @A I  ? A ?EA JAI E L K?H=@ I .E = A JA JA GKA HAIJ= @ =I A?K=?E AI  "! O  "" >JA A I

2 (x2i x 3 (x3i x k (xki x = yi Y 2 ) + 3 ) + + k ) + u i

 "$

= ?K= AI K = ANFHAIE IE E =H =  "! AN?AFJ F H @ I E F HJ= JAI @EBAHA ?E=I 2HE AH A @A F IAA ? IJ= JA O IACK @ =I L=HE=> AI IA A ?KA JH= ANFHAI=@=I A @AIL I ? HAIFA?J = = A@E= ) FAI=H @A A JA GKA I ? A ?EA JAI O I HAIE@K I I I EI I A = > I @A I ,A = JAHE H IKHCA K E F HJ= JA ? H =HE HAIFA?J @A J H E ? KAIJH @A - CA AH= A E JAH I @A E LAIJEC=@ H IA ?A JH= A A E I HACHAI HAI I >HA = L=HE=> A @AFA @EA JA F H ?K= A J H E ? AI I GKA K = ? HHA??E GKA C=H= JE = GKA I FH A@E I KAIJH= AI EA >H I @A @A A? JHE? ? E ?E@= 2=H= JH= IB H =H A @AIL I ? HAIFA?J = JHE?E= AI E JH @K?EHA I K = =JHE BK @= ,A J=HA I F H M 0 K = =JHE @A n n 1 0 0 1 ii 0 1 0 1 1 M0 = I = nn n n 0 0 1 1 IJ= JA @A F=?J @A IJ= JA @A = > I

= A@E= K @A A J H E I = A J= F=H= A = EIEI @A AIJ= IA??E @A E@= ? 1 1 1 1 1 n n 1 n 1 1 1 1 1 n 1 n n = 1 1 1 n 1 n 1 1 n

@ @A 1 AI = E@A JE@=@   A E ? HHAIF @A = LA?J H K EJ=HE @A @E A IE ,E?D= =JHE AI IE CK =H IE JHE?= M 0  M 0  A E@A F JA JA M 0 M 0 M 0  CA AH= M 0 AI ? ?E@= ? =JHE @A @AIL I O= GKA HAIJ= = ?=@= ? K = @A = =JHE E L K?H=@= IK A@E= =HEJ JE?= 2 H A A F AI B ?E ? FH >=H GKA n y Y y y1 1 i i=1 y2 1 n yi y2 Y 1 i=1 0 M Y = Y ii Y = = n n n yn Y yn i=1 yi 2 H J= J KAIJH @A ANFHAI=@ A E I @A @AIL ? HAIFA?J = = A@E= ? =JHE?AI FKA@A IAH ANFHAI=@ A J H  "%

M 0 Y = M 0 X + M 0 u

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5KF

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C= A J

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?AI A IECKEA JA @A

=
F > =?E =

Y = X + u
@ @A ; ? HHAIF @A = K = LA?J H n 1 : ? HHAIF @A = KAIJH= =JHE @A HA CHAI HAI GKA E ? KOA K J H E ? IJ= JA J= GKA : AI @A n k O K ? HHAIF @A = KAIJH LA?J H @A AHH HAI @A n 1 *KI?= I A J ?AI @A EH = L=HE=?E ! ?K=@H=@ I J J= AI 655 ?
n

@A = L=HE=> A @AFA @EA JA 5K = @A

T SS =
i=1

)2 (Yi Y

 "& I

2=H= A ? JH=H A J ?AI K = ANFHAIE F=H=  "& @A = A?K=?E  "% JA A GKA KAIJH @A AIJE =@ A @AIL I ? HAIFA?J = = A@E= AI

+ M 0u M 0Y = M 0X
? ?K= = F=HJE?E =H KAIJH= =JHE : A X = [i X2 ] KAIJH LA?J H @A F=H AJH I A = [1 2 ] O ? IE@AH= @ GKA M 0 i = 0 O GKA M 0 u = u JA A I GKA

M 0Y

1 + M 0 X2 2 + M 0 u = M 0 i 0 = M X2 2 + u

 "'

KAC F=H= B H =H = 655IK = @A I ?K=@H=@ I J J= AI = IK = @A I ?K=@H= @ I @A =I @AILE=?E AI @A ; ? HAIFA?J = IK A@E= @A = A?K=?E  "& K JEF E?= I F H ; = A?K=?E  "'

Y M 0Y

= = = 0 Y M Y = T SS =

2 + u Y (M 0 X2 ) 0 2 + u +u ) (X ) (M X2 0 2 + u 2 + X u X M X2 u +u M 0 X2 0 u 2 X2 M X2 2 + u ESS + RSS

 #  #

@ @A A IACK @ O A JAH?AH J H E @AI=F=HA?A CH=?E=I = GKA I HAIE@K I AIJE = @ II F H ? IJHK??E HJ C = AI = =I L=HE=> AI ANF E?=JEL=I " = ECK= @=@
JA GKA F=H= @E?D= @A E?E KJE E = I I ?K=@H=@ I @A = @AILE=?E @A =I @AILE=?E AI AI IEA FHA ?AH " ;= GKA X u ) = X Y X Y = 0 = X (Y X
!

AI O= GKA = IK =

"%

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

= JAHE H AI ? ?E@= ? = @AI? F IE?E @A L=HE= = - J H E @A = E GKEAH@= ? HHAIF @A = 655 = IK = @A I ?K=@H=@ I @A =I @AILE=?E AI @A = L=HE=> A @AFA @EA JA - JH=I F= =>H=I = L=HE=>E E@=@ @A ; - = @AHA?D= IA A ?KA JH= = L=HE=>E E@=@ @A =I L=HE=> AI E @AFA @EA JAI HACHAI HAI O = L=HE=>E E@=@ @A I AHH HAI +K AI A J ?AI A > AJEL @AI? F AH = L=HE= = @A = L=HE=> A @AFA @EA JA =GKA = F=HJA GKA AI ANF E?=@= F H = HACHAIE -55 @A =GKA = F=HJA ANF E?=@= F H I HAIE@K I 455 2 H GK F HGKA E JKEJEL= A JA = HACHAIE IA = KIJ= A H IE =I @AILE=?E AI @A ; IA ANF E?= A IK =O H F=HJA F H @AILE=?E AI @A : O F H @AILE=?E AI @A I HAIE@K I

%!

2 @=@ @A ) KIJA R2 O R
= JH=L I @A IECKEA JA AIJ=@

,A E I A J ?AI = > @=@ @A = KIJA @A @A CH=B = =@ J= >E ? A ?EA JA @A @AJAH E =?E

R2 =
AI @A?EH ? @A = HACHAIE

ESS T SS

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= FH F H?E @A = L=HE= ) JAH =JEL= A JA

= @A ; GKA AI ANF E?=@= F H = L=HE=

R2 = 1

RSS T SS

 #!

JA GKA
 - ? A ?EA JA @A @AJAH E =?E T SS O F H J= J RSS 1 T SS AI IEA FHA A H= F HGKA RSS

- = EIEI @A L=HE= = = JAHE H BKA @AHEL=@ >= A IKFKAIJ GKA A @A 0 E ? K = K = ? IJ= JA F H A KJE E >= I = =JHE M  - @E?D ?=I A?AI=HE= A JA R2 0 - ?=I @A GKA A @A E ? KO= K = ? IJ= JA IA @A>A KJE E =H = B H K =  #  KJE E = @ 655 ;; IE @AIL I ! ) =CHAC=H HACHAI HAI = IJ= JA =K A J=H  " AI ? =H ?K= >KA JE FK J @A IA= ? IKF A R2 K ?= @A?HA?AH IA FHA@E?J H @A = KIJA @A F >= = JA @H ?

2=H= LAH AIJA ?E =

C= GKA KIJA@ F IAA A IECKEA JA

Y = 1 + 2 X + u
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@ @A : AI K LA?J H n 1 5KF C= =D H= GKA HAIJ= KAIJH @A >JA A I A J ?AI

I : = = > I =@ I @A

Y X = 1 + X + u
5E 2 1 A J  EA JH=I GKA I =JA JE?= 2 A R AI = F E= ?AI AI B ?E LAHE ?=H GKA A R2 @A FHE AH @A IAH ?AH?= = A @A IACK @ IAH= ?AH?= = ?AH = FAI=H @A GKA I @A I A JA AGKEL= A JAI ) FAI=H @A = JAHE H A JH=>= I =F E?=@ I A JA KJE E =@ F H ?K= IA HA? EA @= IK FK> E?=?E

4AJH ?A@= I =D H= = FK J JHAI I @E?A GKA A ? A ?EA JA @A @AJAH E =?E FH >=> A A JA ?HA?AH = E ? KEH HACHAI HAI - F = JA= E ?A JEL I = E ? KEH HA CHAI HAI HA AL= JAI F=H= KAIJH @A ? A @A >JA AH K A H = KIJA 2 HGK IK?A@A AIJ O= GKA = E ? KEH HACHAI HAI = 455 A?AI=HE= A JA @A?HA?A  A A A H @A I ?=I I IA = JEA A EA JH=I GKA = 655 FAH = A?A ? IJ= JA 2 H AIJ= H= IA ?HA A ? A ?EA JA @A @AJAH E =?E = KIJ=@ A ?K= ? HHECA A 2 R HECE = F H I CH=@ I @A E>AHJ=@ @A K AH=@ H O A @A E =@ H - J ?AI 2 ? @A E I A R2 = KIJ=@ R

u /(n k ) 2 = 1 u R Y M Y /(n 1)
AGKEL= A JA A JA

 #"

2 = 1 (1 R2 ) (n 1) R (n k )

 ##

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1 BAHA ?E=

7 = LA GKA DA I AIJE =@ KAIJH= HACHAIE KAIJH= AI A?AI=HE FHACK J=HIA ?K= >KA = =FH NE =?E AI @E?D= HACHAIE @A = F > =?E = 2=H= GKA = =FH N E =?E IA= ?AH?= = AI ? @E?E A?AI=HE= GKA I F=H AJH I E ? KE@ I A = HACHAIE KAIJH= IA= AIJ=@ IJE?= A JA @EIJE J I @A ?AH A ?=I ? JH=HE FAHJA A?A = = HACHAIE F > =?E =  )I K @A KAIJH I > AJEL I FKA@A IAH A JAIJA=H = IEC E ?= ?E= E @ELE@K= @A I F=H AJH I 2AH = JAHE H AI I K = @A =I FHACK J=I GKA ? E LAIJEC=@ HAI F @A I AIJ=H E JAHAI=@ I A HAIF @AH 2 H A A F A = AIJE =?E @A = BK ?E @A FH @K??E @A K = H = GKA =IK E I + >> , KC =I Y = AK L eu A C= HEJ ln Y = ln A + ln K + ln L + u F @A I AIJ=H E JAHAI=@ I A @AI?K>HEH IE = H = FHAIA J= HA @E EA J I ? IJ= JAI ?HA?EA JAI @A?HA?EA JAI = = AI?= = ?K= IA HA A =H A GKA + > o 1 2 H J= J A F @H = IAH JH= DEF JAIEI E JAHAI= JA @A F = JA=HIA 6= >E F @H = IAH E JAHAI= JA @AI?K>HEH IE J @ I I F=H AJH I = = LA I @EIJE J I @A ?AH @A = C L= H @AJAH E =@ = C= = @A FHACK J=I F IE> AI HAIFA?J @A L= H @A I F=H AJH I AI I =? J=@= F H = FHACK J= GKA A E LAIJEC=@ H @AIAA HAIF @AH KAIJH > AJEL AI F H J= J @AI=HH =H I J @ I @A E BAHA ?E= O ? JH=IJA @A DEF JAIEI GKA I FAH EJ= HAIF @AH A A ? JANJ @A K = HACHAIE KAIJH= F=HJE?K =H =I FHACK J=I = JAHE HAI , I J=I FHA?=KJ HE=I - AIJ= IA??E I ?KF=HA I @A HAIJHE??E AI DEF JA IEI E A= AI I >HA I ? A ?EA JAI 4AIJHE??E AI E A= AI I I AI?=I=I A A? AJH = =F E?=@= O IA @AI=HH = A ? JANJ @A K @A F=HJE?K =H 5A CK @ A J @ GKA IA HA AHA = AIJA =F=HJ=@ =IK EHA I GKA I AHH HAI @A KAIJH= HACHAIE KAIJH= IECKA K = @EIJHE>K?E H = O= LAHA I F HGK  - J ?AI IA= KAIJH @A F > =?E =

Y = X + u
@ @A : AI K = k 1  5A= A J =JHE @A n k  K A ; I LA?J HAI n 1 O AI LA?J H @A

?AI =I IECKEA JAI DEF JAIEI F IAA E I= ? KA ?E= = CK = I >HA ; JAIJ @A IEC E ?= ?E=

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H0 i = i0 2 = JA= GKA A HACHAI H Xi F IAA K E F=?J @AJAH E =@ F H i0 I >HA ;

! H0 i + j  2 = JA= GKA = IK = @A E F=?J ? K J @A =C EJK@  " H0 i = j 2 = JA= GKA I >HA ; I HACHAI HAI Xi O Xj F IAA K EI E F=?J K J= A JA

I HACHAI HAI Xi O Xj F IAA A I HACHAI HAI ?

# H0 i  E . . . 2 = JA= GKA J @ I AN?AFJ = ? IJ= JA I ?AH

$ H0 l  @ @A A LA?J H D= IE@ F=HJE?E =@ A @ I l O p  ? @E A IE AI (kl 1) O (kp 1) HAIFA?JEL= A JA J= GKA kl + kp = k 2 = JA= A J ?AI GKA K IK>? K J @A F=H AJH I I AIJ=@ IJE?= A JA IEC E ?=JEL I 6 @=I =I DEF JAIEI = JAHE HAI FKA@A IAH HAIK E@=I A = IECKEA JA ANFHAIE

R = r
@ @A 4 AI K = =JHE @A G k  ? IJ= JAI ? ?E@=I ?AH I K I ?KO > A JEL IAH IA A??E =H I F=H AJH I = JAIJA=H ?KO AH @A =I G HAFHAIA J= A AH @A HAIJHE??E AI ) IK LA H AI K LA?J H @A @E A IE G O ? JEA A A HA= = ?K= AI HAIJHE CE@ ?=@= F=H AJH 8A= I ? IAH =I =JHE?AI R O r A ?=@= K = @A KAIJH=I DEF JAIEI  4    H  G  @ @A  IA A ?KA JH= A = E IE = F IE?E

4    H i0 G  @ @A  IA A ?KA JH= A = E IE = F IE?E

! 4     H  G  @ @A  IA A ?KA JH= A = E IE = F IE?E " 4      H  G  @ @A  IA A ?KA JH= A = E IE = F IE?E # 4 $ 4 OA OA = = IE = F IE?E IE = F IE?E

q1 Ik1 H  G k 1 ki kj Iki H  G ki

#

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?AI

KAIJH= DEF JAIEI K = ? HHAIF

@A =  #$

H0 : R = r
?

?K= I I HAIJ= @AHEL=H A JAIJ GKA I FAH EJ= HA?D= =H HA?D= =H KAIJH= K = = ? IJHK??E @A AIJ=@ CH=B AI ? IECKA ,=@ GKA + ) = F H J= J >= I IKFKAIJ I HA AL= JAI AI E IAIC=@ JA A I GKA E ( ) = R EA JH=I GKA = L=HE= = @A R ? HHAIF @A = E (R

] = E [R( )( ) R ] V [R )R = RV ar( = 2 R(X X )1 R

A?AIEJ= I = K IKFKAIJ I F=H= @AJAH E =H = @EIJHE>K?E KAIJH= @A 2 KAIJH= K = ,=@ GKA AI BK ?E @A K O u N (0, ) A J ?AI N (, 2 (X X )1 ) N (r, 2 R(X X )1 R ) A J ?AI O F H J= J R

N [, 2 (X X )1 ]
O

 #%

N [R, 2 R(X X )1 R ] R
O IE = K = R = r AI ?EAHJ=

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KAC AIJ= @=HE = I ?

r) N [0, 2 R(X X )1 R ] (R
?K=

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r) (R 2 R(X X )1 R
)@A I IA FKA@A @A

N [0, 1]

 $

IJH=H GKA D=?AH #

u u 2 (nk) 2
KAC IA FKA@A @A IJH=H GKA D=?AH $

 $

r) [ 2 R(X X )1 R ]1 (R r) 2 (R q
? HA? H@=H GKA IE N ? HHAIF @A = K ?K= x N (0, 2 I ) O ) ? HHAIF @A = K = =JHE 1 2 A JA HA?KAH@A GKA u = MY 2 x Ax n .E = A E@A F JA JA AI IK JH= = $ *=IJ= ? HA? H@AH GKA IE A LA?J H N @A @E x 1 x 2 n
# *=IJ=

 $ 

LA?J H @A HA= E =?E AI H = AI   F H IE JHE?= A E@A F JA JA @A H= C A J ?AI = M u O GKA A H= C @A K = =JHE IE JHE?= A IE AI J= GKA x N (0, ) A J ?AI

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

KAC %

>E = @

I @ I HAIK J=@ I = JAHE HAI IA FKA@A @A

IJH=H GKA D=?AH

r) [R(X X )1 R ]1 (R r)]/q [(R F(q,nk) u u /(n k )

 $!

- JAIJ ANFKAIJ A  $! ? HHAIF @A = = B H = CA AH= @A JAIJ . ,E?D JAIJ AI @A KJE E@=@ F=H= JAIJA=H ?K= GKEAH DEF JAIEI @A = B H = ANFKAIJ= A  #$ ) ? JE K=?E LAHA I IK>?=I I @A @E?D JAIJ CA AH=

&

6AIJ J 7 = DEF JAIEI E A= 

r) [RV ar( )R ]1 (R r)] F(q,nk) [(R

4AAI?HE>EA @ A JAIJ . ?

O D=?EA @ A HAA F = HAIFA?JEL @A 4 O H ? HHAIF H0 i = 0 = i0  AC=HA I =

@EA JAI = =I DEF JAIEI 

F =

i0 )2 ( V ar(i )

F (1, n k )

 $" K CH=@ @A E>AHJ=@ A

4A? H@= @ GKA t2 AI K = ?=I F=HJE?K =H @A K = . ? A K AH=@ H JA A I GKA

t=
= JAHE H AI ? KJE E =@= ? HHAIF

i0 V ar(i )

tnk

 $#

?E@ ? A JAIJ J JAIJ @A IEC E ?= ?E= O A IK LAHIE I @A = t = @ @A IA >KI?= JAIJA=H = DEF JAIEI K = @A
V ar(i )

GKA A F=H AJH AI ?AH - JAIJ J J= >E ?K>HA I ?=I I ! O " - A ?=I ! F H A A F A AIJ=@ CH=B ? HHAIF @AH =

H0 i + j 

t=

i + j 1 i ) + 2Cov ( i , j ) + V ar( j ) V ar(

JHE?= O IA =FH NE = = =

tnk

 $$

= @EIJHE>K?E
%5

J AI IE

H = F=H= J= =

I @A

KAIJH=I
 = F=HJEH E =@ H

K F GKEJ @A CA>H= O HA? H@=H ? IA ? IJHKOA K = @EIJHE>K?E .G @A = @ELEIE @A @ I 2 ? CH=@ I @A E>AHJ=@ G A A K AH=@ H O A A @A

#!

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

CH= @AI IE A >=HC = J F IAA ? =I I CHKAI=I GKA = H =  ?K= AI I FH K ?E=@ A KAIJH=I FAGKA =I ! = IECKEA JA CKH= ANF A = HA =?E A JHA = @EIJHE>K?E J O = H =
Probabilidad

Distribucin Normal

Distribucin t

J= FHA?=KJ HE=
6 @= = @AHEL=?E = JAHE H IA >=I= A A AIJHE?J IKFKAIJ @A H = E@=@ @A I AHH HAI - ?=I @A GKA I EI I @EIJHE>KO= H = = @EIJHE>K?E @A JAIJ . O F H J= J A @A J AI @AI? ?E@= A KAIJH=I EJ=I 5E A a >=HC AI F IE> A @A IJH=H GKA t N (0, 1) AI @A?EH GKA A JAIJ J @EIJHE>KOA =IE J JE?= A JA H = KAC I L= HAI ?H JE? I @A J O  H = AIJ @=H IA A ?KA JH= IK = A JA ?AH?= IE ! F H ?K= A J H E I FH ?JE? I E F HJ= K?D ?K= @A A =I AI? = I F=H= I L= HAI ?H JE? I = A I GKA = KAIJH= IA= AIFA?E= A JA FAGKA = .E = A JA I GKA@= AN= E =H I ?HEJAHE I @A HA?D= @A JAIJ O I ELA AI @A ? = = + KIJA@ HA? H@=H @A IKI ? =IAI @A AIJ=@ IJE?= = JAHE H @A FA @A @A ? AIFA?E GKA I = DEF JAIEI = JAH =JEL= ) ? JE K=?E F=I= I = HALEI=H AIJA FK J #"

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

+HEJAHE @A 4A?D=

ELA @A +

= =

7 = LA GKA DA I ?= ?K =@ A L= H @A JAIJ F=H= KAIJH= K = F=HJE?K =H  L= H ?= ?K =@  HAIJ= ?= ?K =H A L= H ?H JE? A L= H GKA I E @E?= = J=> = J ,E?D L= H ?H JE? I @EH IE KAIJH= K = AI B= I= IE F @A I = H =H GKA AI = A A??E @A @E?D L= H ?H JE? IA J = @AI@A = J=> = @A @EIJHE>K?E J O A AH @A>A IAH AI? CE@ J =@ A ?KA J= A ELA @A IEC E ?= ?E= AI? CE@   #    A ?K= = IK LA @AJAH E = A ELA @A ? = = @A JAIJ ''  '#  '  HAIFA?JEL= A JA - ELA @A ? = = F IAA K = ANF E?=?E E JKEJEL= KAIJH AIJ=@ CH=B AI BK ?E @A = KAIJH= ? GKA AIJ= I JH=>= = @ F H ?K= IE ? J H= I ? K = CH= AH @A A =I O ? ?=@= K = FK@E IA I ?= ?K =H KAIJH AIJ=@ CH=B A ELA @A ? = = E @E?= A F H?A J= A @A LA?AI GKA ?= ?K = I KAIJH AIJ=@ CH=B A GKA HA= A JA HA?D= = I ?EAHJ HA?D= = I ? HHA?J= A JA B= I = B H = A GKA IA @EIJHE>KO= = FH >=>E E@=@ @A HA?D= AI @A?EH A ELA @A IEC E ?= ?E= @AFA @A @A KAIJH= DEF JAIEI = JAH =JEL= ) ? JE K=?E HALEI= I @E?D =IK J 6AIJ @A K = ? = 5KF C= I GKA KAIJH= DEF JAIEI AI

H0 : i = io H1 : i > io
@ @A i0 R - @E?D ?=I A AIJ=@ CH=B AI ?= ?K =@ IAC FH FKAIJ A = IA??E = JAHE H - FK J AIJ A ? =?K K = I = FH >=>E E@=@ @A HA?D= - AIJA ?=I A J J= @A = FH >=>E E@=@ @A HA?D= IA =?K K = A = ? = @AHA?D= @A = @EIJHE>K?E ? KAIJH= = IECKEA JA CKH=&
2 H GK A = ? = @AHA?D= 2 HGKA = FH >=>E E@=@ @A HA?D= AI @A?EH A ELA @A IEC E ?= ?E= I E @E?= D=IJ= @ @A FKA@ J AH=H K L= H =O H = io F H ?K= ?=HA?AH = @A IA JE@ GKA = = @A HA?D= IA A ?KA JHA A = ? = E GKEAH@= @A = @EIJHE>K?E 2 HAA F IE io  = @EIJHE>K?E @A KAIJH AIJ=@ CH=B IA ?A JH= A ?AH LA= = B H K = F H ?K= = DEF JAIEI = JAH =JEL= ? HHAIF @AH = = GKA A F=H AJH AI F IEJEL A FK J AI ?K F IEJEL FKA@ =?AFJ=H GKA IA=
&

##

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Probabilidad

Se Rechaza (5%) No se Rechaza

F H J= J HA?D= =HA I KAIJH= DEF JAIEI K = @A GKA A ? A ?EA JA AI ?AH ? JH= = DEF JAIEI = JAH =JEL= GKA A F=H AJH AI =O H GKA io IE A L= H ?= ?K =@ @A JAIJ AI =O H = L= H ?H JE? @A = J=> = J - A ?=I GKA H1 IA= GKA A F=H AJH AI A H = io A J ?AI = FH >=>E E@=@ @A HA?D= IA ? ?A JH= A = ? = E GKEAH@= O IA HA?D= = = K = A A ?=I GKA A L= H ?= ?K =@ IA= A H GKA A L= H ?H JE? @A = J=> = J

6AIJ @A @ I ? =I
5KF C= I GKA KAIJH= DEF JAIEI AI

H0 : i = io H1 : i = io
- AIJA ?=I AIJ= I HAF=HJEA @ K EB H A A JA = FH >=>E E@=@ @A HA?D= A = >=I ? =I @A = @EIJHE>K?E ? KAIJH= = IECKEA JA CKH= = '#  @A ? = =

#$

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Probabilidad

Se Rechaza (2,5%)) No se Rechaza

Se Rechaza (2,5%)

2 H J= J HA?D= =HA I = K = IE A L= H ?= ?K =@ AI A @K =O H GKA A L= H ?H JE? @A J=> = JA GKA A AIJA ?=I = FH >=>E E@=@ @A HA?D= IA HAF=HJA K F=HJAI ECK= AI A = >=I ? =I - IA KIJE ?= A GKA = @EIJHE>K?E J ? HHAIF @A = K = @EIJHE>K?E IE JHE?=

-HH H @A 6EF 1 -HH H @A 6EF 11 6= =

) JAI @A ? JE K=H LAHA I ?K=JH ? E @E?= ?=H=?JAH IJE?=I @A KAIJH JAIJ

O 2 JA ?E= @A K JAIJ
I

?AFJ I AIJ=@ IJE? I E F HJ= JAI GKA

 -HH H @A 6EF 1 -61 + HHAIF K = ?K= @ AI ?EAHJ= K = ?K= @ AI B= I=

@A = = FH >=>E E@=@ @A HA?D= =H =

-HH H @A 6EF 11 -611 + HHAIF @A = = FH >=>E E@=@ @A =?AFJ=H =

! 6= = ? A

ELA @A IEC E ?= ?E= @A JAIJ 

@A 6AIJ + HHAIF @A = FH >=>E E@=@ @A ?

AJAH -61 5A @A

A K=

" 2 JA ?E= @A 6AIJ + HHAIF @A = = FH >=>E E@=@ @A HA?D= =H = ?K= @ AI B= I= 5A @A A ? 2 JA ?E=  -611

- FJE F=H= A E LAIJEC=@ H IAH = E E E =H = > I JEF I @A AHH HAI O JA AH K JAIJ ? K A H J= = O =O H F JA ?E= F IE> AI IE A >=HC JA GKA A #%

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

J= = @A JAIJ O F H J= J A -61 AI K = L=HE=> A A @ CA = = E LAIJEC=@ H A J= J GKA @A?E@A ? GKA ELA @A ? = = JH=>= =H KAC A > AJEL IA JH= IB H = A @=@ K ELA @A ? = = E E E =H = ?KHHA ?E= @A -611 1 JKEJEL= A JA IE KIJA@ AI? CA K ELA @A IEC E ?= ?E= FAGKA   F H A A F  IKI =I @A HA?D= IAH FAGKA =I ? ?K= E ALEJ=> A A JA = = @A HA?D= ?HA?A ?K= E F E?= GKA F H E E E =H A -61 D= =K A J=@ A -611

2 L= KA
JH= B H = = JAH =JEL= = L= H ?H JE? @A J=> = F=H= HA?D= =H HA?D= =H KAI JH= K = ? HHAIF @A = KI @A I = =@ I F L= KAI I ?K= AI I HAF HJ=@ I A ?K= GKEAH F=GKAJA AIJ=@ IJE? - F L= KA F IA @A A ?

p = p(tcalculado ) = P (|Z | |tcalculado |) = 2(1 (|tcalculado |))

 $%

AI @A?EH A F L= KA HAFHAIA J= = FH >=>E E@=@ @A GKA A L= H ?H JE? J @A J=> = A KAIJH ?=I  IA= =O H = L= H J ?= ?K =@ AI @A?EH @AI?HE>A A ELA @A IEC EB E?= ?E= AN=?J =I ?E=@ = K HAIK J=@ A? JHE? A F=HJE?K =H 2 H A A F K F L= KA @A  % E @E?= GKA K ? A ?EA JA AI AIJ=@EIJE?= A JA IEC E ?=JEL A K ELA @A  %  ? K '!  @A ? = =

-A F
5KF C= A IECKEA JA @A @A 4ACHAIE E A= 5E F A

Yi = 1 + 2 Xi + ui
)@A I F IAA = IECKEA JA E B H =?E ; : - AIJE =@ H +

para i = 1, ..., N
KAIJH= @A : A ; #  $ & % 

@A 1 O 2 AI A IECKEA JA

=
= =JHE @A L=HE=

1 2

4 48 48 824

20 298

2,1935 0,2338

=I O ? L=HE=

AI =I @A
1

2 ) = ( (X X )1 V u

0,436 = 2

4 48 48 824

=
#&

0,180866 0,010536 0,010536 0,000878

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2HE AH LA= I A = KIJA @A AIJA @A AI @A?EH A GKA CH=@ 2 ANF E?= = = L=HE=> A y F=H= ?K= ?= ?K A I A R2 O R

= L=HE=> A x

R2 = 1 R
+
2

RSS =1 T SS

u 2 0,436 i =1 = 0,969 4 2 14 ( Y Y ) i i=1 u 2 i /2 = 0,953 4 2 i=1 (Yi Y ) /3

4 i=1

4 i=1

RSS/2 = 1 =1 T SS/3

F @A I LAH A CH=@ @A = KIJA @A @A AI >=IJ= JA >KA ? A @A E ? KOA ? IJ= JA A R2 IA FKA@A E JAHFHAJ=H ? = FH F H?E @A = L=HE=>E E@=@ @A = L=HE=> A E @AFA @EA JA GKA AI ANF E?=@= F H = L=HE=>E E@=@ @A = L=HE=> A @AFA @EA JA = GKA A AIJA ?=I = ?= = K '%  )D H= LA= I IE AIJ I F=H AJH I AIJE =@ I I IEC E ?=JEL I = K '#  @A ? = = F=H= ?K= HA= E =HA I K JAIJ t @A IEC E ?= ?E= = ?=@= K @A A I

1  6AIJ @A IEC E ?= ?E= @A

1 = 0 H0 : 1 = 0 H1 : t= 1 1 ) V ar( t2

,A AIJ= B H = A L= H ?= ?K =@ F=H= A AIJ=@ IJE? t AI 2,193548387 tc = = 5,157850523 0,180866 - L= H @A J=> = @A AIJ=@ IJE? t = K '#  @A ? @A E>AHJ=@ AI " !!
Probabilidad

=O?

@ I CH=@ I

Se Rechaza (2,5%))

No se Rechaza

Se Rechaza (2,5%)

t(2)=4,303

t(2)=4,303

tc=5,158

#'

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

1  O F H ,A AIJ= B H = IA HA?D= = = DEF JAIEI K = @A GKA F=H AJH AIJE =@ HAIK J= IAH AIJ=@ IJE?= A JA IEC E ?=JEL 2 6AIJ @A IEC E ?= ?E= @A 2 = 0 H0 : 2 = 0 H1 : t= 2 2 ) V ar( t2

J= J A

,A AIJ= B H = A L= H ?= ?K =@ F=H= A AIJ=@ IJE? t AI

0,233870968 = 7,892762865 tc = 0,000878

- L= H @A J=> = @A AIJ=@ IJE? t = K '#  @A ? @A E>AHJ=@ AI " !!
Probabilidad

=O?

@ I CH=@ I

Se Rechaza (2,5%))

No se Rechaza

Se Rechaza (2,5%)

t(2)=4,303

t(2)=4,303

tc=7,893

2  O F H ,A AIJ= B H = IA HA?D= = = DEF JAIEI K = @A GKA F=H AJH AIJE =@ HAIK J= IAH AIJ=@ IJE?= A JA IEC E ?=JEL

J= J A

! 6)4-) 6AIJAA = IECKEA JA DEF JAIEI K =

1 2 = 2 H0 : 1 2 = 2 H1 :

$

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

&

6AIJ . +

K J @A DEF JAIEI E A= AI

- A ?=I GKA A ?=I IJ= JA I ?HEJAHE I

I ?=I I $ O # ? HHAIF @A = K ? K J @A DEF JAIEI = JAIJA=H # ? HHAIF @ = = K IK>? K J F=HJE?K =H @A F=H AJH I EA JH=I $ ? HHAIF @ = = = K = @A GKA J @ I A I AH= ?AH A I = ? @E?D I ?=I I IA =F E?= = B H K = @A JAIJ . IAC = A?K=?E  $! O @A HA?D= IECKA ANFKAIJ A = IA??E = JAHE H 5E A >=HC IJH JAIJ A = > I ?=I I F @A I @AHEL=H ANFHAIE

AI = JAH =JEL=I F=H= KA

6 @=I =I FA @EA JAI @A

@A

IJH=H GKA A JAIJ . FKA@A ANFHAI=HIA ?

@A

?AH

AIJA ?=I

IA FKA@A

F =

ESS/(k 1) F(k1,nk) RSS/(n k )

= @A E?E @A R2

 $&

= JAH =JEL= A JA KJE E = @

F =

R2 /(k 1) F(k1,nk) (1 R2 )/(n k )

 $'

?=I

IK>?

IA FKA@A @A

K J @A =I FA @EA JAI @A
F =

IJH=H GKA A JAIJ . FKA@A ANFHAI=HIA ?

@A

?AH

AIJA

( u u u u )/k2 F (k2 , n k ) u u /(n k )

 %

@A u @A J= I HAIE@K I + HAIJHE CE@ I @ @A k2 HAFHAIA J= A AH @A HACHAI HAI GKA D= IE@ HAIJHE CE@ I = ?AH  EA JH=I GKA u HAFHAIA J= I HAIE@K I @A @A + HECE =

&!

1 JAHL= I @A +

7 = B H = = JAH =JEL=  A H @E?D ? F A A J=HE= @A AN= E =H = IEC E ?= ?E= AIJ=@ IJE?= @A K F=H AJH  K ? K J @A A I AI = JH=L I @A E JAHL= I @A ? = = 1+ - I I E @E?= @=@ K ELA @A ? = = A H= C @A L= HAI =@ EIE> AI @A ? A ?EA JA GKA IA AIJE = I ELA AI @A ? = = CA AH= A JA KJE E =@ I I ''  '#  O '  = ECK= GKA A I JAIJ @A DEF JAIEI $

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

@A A J= =

@A

EI

I AI A?AI=HE= A JA @A?HA?EA JA'

7 = ?E=@

i AI = JH=L I @A JAIJ J =I = AH= =JKH= @A >JA AH A 1+ =I ?E=@ = 8E I A J ?AI GKA ? HHAIF @A = i i0 i ) V ar( tnk

A J ?AI IE @AIA= I K 1+ @A    @A ? = = AI @A?EH @A  @A IEC E ?= ?E= F=H= A F=H AJH i >=IJ= >JA AH @A =I J=> =I @A @EIJHE>K?E A L= H ? HHAIF @EA JA AI @A?EH i i0 1 = P r Z/2 Z1/2 i ) V ar( i i0 = P r Z1/2 Z1/2 V ar(i )

i Z1/2 = Pr

i ) i0 i + Z1/2 V ar(

i ) V ar(

@ @A = JAH?AH= ANFHAIE IA >JEA A @A @AIFA =H i0 @A = IACK @= JA GKA A E JAHL= D= IE@ ? IJHKE@ A >=IA = K = @EIJHE>K?E IE JHE?= ? =J = H =  F H ?K= A L= H @A J=> = = AI? CAH @A>A ? HHAIF @AH = /2 JA =@A I GKA @E?D E JAHL= AIJ ? IJHKE@ I A >=IA = ? IJ= JAI ? ?E@=I 7 = LA ? IJHKE@ IA FKA@A ? JH=IJ=H = K = H0 i = i0  = ELA @A IEC E ?= ?E= IA ?E = A JA >IAHL= @ IE i0 FAHJA A?A = E JAHL= A ?KO ?=I HA?D= = I = K = IA A ?KA JH= BKAH= @A A ?KO ?=I HA?D= = I  = K = KAL= A JA = L= E@A @A @E?D E JAHL= @A ? = = @AFA @A ?H JE ?= A JA @A IKFKAIJ @A @EIJHE>K?E @A I AHH HAI - A ?=I GKA A L= H Z IA >JA C= @A = J=> = J ? O= I=>A I AIJ= I IKF EA @ GKA I AHH HAI IECKA K = @EIJHE>K?E H = 7 ?=I I CA AH= AI KJE E =H I L= HAI ?H JE? I @A = @EIJHE>K?E H = AIJ @=H 6= >E AI F IE> A @AHEL=H HACE AI @A ? = = AI @A?EH 1+ @A ? K J A I F=H= K = ? K J @A F=H AJH I IE A >=HC IK KJE E =?E
'1

= = IE AI AI?=I=

JKEJEL= A JA O= GKA = I AN=?J= AI E AIJE =?E @A H= C F IE> A ? A I? = = FKA@ = H =H AIJ=H A ? HHA?J  7 = B H = B ?E @A LAH AI FA I= @ A i0  AI @A?EH GKA = L=HE=> A xi =OK@= = ANF E?=H y

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

A A? .E = 5=>A

AJH = =F E?=@=  =

I GKA IK FHACK J= FK JK= = = F=H= = L=HE=

HAGKEAH= = @A I AHH HAI

A JA @AHEL=HA I A E JAHL= @A ? I @A = A?K=?E  $ GKA

u u 2 nk 2 (n k ) 2 2 nk 2
7JE E = @ = EI = CE?= GKA KJE E = GKA A 1+ F=H= 2 ? HHAIF @A = I F=H= A 1+ @A K F=H  %

JA A AJH

(n k ) 2 (n k ) 2 2 2 2 nk, nk,1

= (1 )

 % 

2 JA GKA I L= HAI ?H JE? I KJE E =@ I ? HHAIF @A = 2 nk,1 O nk, O= GKA 2 = @EIJHE>K?E AI K = @EIJHE>K?E =IE JHE?=

&"

6AIJ @A

H = E@=@ 6AIJ @A =HGKA *AH=

+ IE@AH= I =D H= A FH > A = @A KJE E =H I A J I @A I HAIE@K I + F=H= D=?AH E BAHA ?E= I >HA = @EIJHE>K?E @A I AHH HAI F > =?E = AI ,=@ GKA = CK =I @A =I FH FEA@=@AI @A + O @A = E BAHA ?E= @AFA @A @A IKFKAIJ @A H = E@=@ A I AHH HAI AI E F HJ= JA F IAAH K ? JH=IJA F=H= @E?D IKFKAIJ + AI I=>E@ = @EIJHE>K?E H = AI IE JHE?= O AI ? HJE?= = IE AJH = E F E?= GKA A JAH?AH A J F > =?E = E (u3 ) A J H = = A@E= AI ?AH DA?D GKA IA= AI ? HJE?= E F E?= GKA = KHJ IEI AI ! AI @A?EH A = ?D @A =I ? =I @A = @EIJHE>K?E A ?K= IA E@A KJE E = @ A ?K=HJ A J A J H = = A@E= 4A? H@A I A J ?AI GKA A ? A ?EA JA @A IE AJH = F > =?E = IA @A A ? E (u3 ) S= 3 ( 2 ) 2 EA JH=I GKA = KHJ IEI  ? A ?EA JA @A

E (u4 ) K= ( 2 )2

$!

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

- >=IA = I = JAHE HAI *AH= O =H A '& FH FKIEAH ? IJHKE@ >= = K = @A H = E@=@

A IECKEA JA AIJ=@ CH=B

JB = n

(K 3)2 S + 6 24

2 (2)

, @A I AIJE =@ HAI KAIJH= AI @A ? A ?EA JA @A =IE AJH = O KHJ IEI IA > JEA A = ? IE@AH=H GKA K AIJE =@ H =JKH= @A

r = E [ ur ]
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0 ,A =?KAH@ ? A @A A? JHE? IA JEA A GKA y 0 = 1 +x0 2 2 +.....+xk k +u0 0 2=H= FHA@A?EH A L= H @A y F @A I KJE E =H = AIJE =?E + @A @A 0 0 y =x

,A AIJ= B H = A AHH H @A FHA@E??E - @

AIJ=H @=@ F H

e0 = y 0 y 0 = x0 ( ) + u0
@A IA @EIJE CKA @ I BKA JAI @A AHH H @A FHA@E??E - AHH H A = AIJE =?E @A LA?J H @A

- AHH H AIJ ? IJE? E DAHA JA =

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V ar(e0 ) = E [x0 ( )( ) x 0 + 2x0 ( )u0 + u0 u 0 ]

2 0 2 x (X X )1 x 0 + V ar(e0 ) =

= L=HE= = @A AHH H @A FHA@E??E @AFA @AH @A = =JHE @A HACHAI HAI : @A @E A IE n k GKA IA KJE E F=H= >JA AH =I AIJE =?E AI @A 5=>A I GKA = =O H @EIFAHIE @A =I L=HE=> AI ANF E?=JEL=I A H L=HE= = JA @H KAI JH=I AIJE =?E AI +  )@A I @AFA @AH @A LA?J H x0 GKA DA I =IK E@
F IE> A O IA HA? EA @= @AHEL=H K = ANFHAIE F=H= = L=HE= = @A AHH H @A FHA@E??E KJE E = @ K @A ? HACHAI HAI - AIJ ANFHAIE IA =FHA?E= ? =H= A JA = @AFA @A ?E= @A = L=HE= = @A AHH H @A FHA@E??E ? = @EIFAHIE A J H = = A@E= @A =I L=HE=> AI ANF E?=JEL=I
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*= IKFKAIJ I @A H = E@=@ @A J H E @A AHH H A AHH H @A FHA@E??E AI K = ? >E =?E E A= @A @ I L=HE=> AI H = AI F H J= J JEA A K = @EIJHE>K 2 ) 2 H J= J F H K = H= = EA J = C = @A =I IA??E AI ?E H = (0, e = JAHE HAI IA JEA A GKA

y0 y0
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N (0, 1)

y0 y0
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tnk

2 H J= J @=@= K = FHA@E??E FK JK= y 0 O K = AIJE =?E @A = @AILE=?E AIJ @=H @A AHH H @A FHA@E??E F @A I ? IJHKEH K E JAHL= @A ? = = F=H= 0 A L= H @A y

P r[y 0 t1/2,nk

V ar(e0 ) y 0 y 0 + t1/2,T k

V ar(e0 )] = 1

+ IE@AHA I =D H= GKA A E LAIJEC=@ H AIJ E JAHAI=@ A FHA@A?EH A L= H 0 @A = L=HE=> A A @ CA = y IE J= I IK L= H AIFAH=@ E (y 0 ) = x0 = FHA@E??E = ECK= GKA A A ?=I = JAHE H IAH x0 = @EBAHA ?E= AI GKA A AHH H @A FHA@E??E A AIJA ?=I AIJ=H @A E@ F H e = E [y 0 ] x0 = x0 x0 = x0 ( ) += ?K = @ A J ?AI = L=HE= = 0=?AH  @A AIJA KAL AHH H @A FHA@E??E F @A I ? IJHKEH =D H= K E JAHL= @A ? = = F=H= E (y 0 ) @A = EI = B H = GKA = JAI

E [y 0 ] y 0
2 (x0 (X X )1 x 0 )

N (0, 1)

E [y 0 ] y 0
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tnk

P r[y 0 t1/2,nk
, @A KJE E =

V ar(e0 ) E [y 0 ] y 0 + t1/2,T k

V ar(e0 )] = 1

2 0 x (X X )1 x 0 . I V ar(y 0 ) = V ar(x0 ) = x0 V ar( )x 0 =

= IECKEA JA CKH= A A F E ?= =I FHA@E??E @A L=HE=> AI E @AFA @EA JAI

AI @A y 0 O E [y 0 /x0 ] A K

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yi = 1 + 2 x2i + 3 x3i + 4 x4i + i

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AI @A L= H @A K

yi = 1 + 2 x2i + 3 x3i + 4 x4i

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L(; y )

f (y ; )

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@A LAH IE E EJK@ =I ?E=@= = ?=@= >IAHL=?E

eyi (yi )xi li (|yi , xi ) = ln xi ! = ln yi + xi (ln + ln yi ) ln(xi !)

,A AIJ= B H = =F E?= @ IK =J HE= = = A?K=?E ? K J=
n n

= JAHE H >JA C
n n

= LAH IE E EJK@

L(|O, N) = n ln
i=1

yi + ln
i=1

xi +
i=1

xi ln yi
i=1

ln(xi !)
I A AIJE =@ H N

=NE E = @ = ANFHAIE E 8AH I E

= JAHE H ?
n

HAIFA?J = >JA A
n i=1

L n =

yi +
i=1 n

xi

= 0

n
i=1

yi +
i=1

xi = 0 = n+
n i=1 n i=1

xi

yi

= 1+x y
)D H= IKF C= GKA @EIF A I @A O N

I IECKEA JAI @=J I @A = L=HE=> A x A y #  %& $ & % 

"

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

- AIJA ?=I A AIJE =@ H

NE

8AH I

E @A AI

= 1+x y 1 + 13 = = 2,8 5

%'

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A


 

1 BAHA ?E= A A ?
6AIJ @A 4=

JANJ

@A 8AH IE E EJK@  4

- L= H @A = BK ?E @A LAH IE E EJK@ L(, 2 ) ? HHAIF @A = L= H @A = LAH IE E EJK@ EHHAIJHE?J= AI @A?EH IE E F AH E CK = HAIJHE??E I >HA I F=H AJH I @A @A 5KF EA @ A J ?AI GKA KAIJH E JAH I IA ?A JH= A K = IAHEA @A HAIJHE??E AI E A= AI @A JEF R = r @ @A 4 O H IA @A A ? A = IA??E & A J ?AI A @A HECE = AI AIJE => A A IK LAHIE HAIJHE CE @= = =NE E =H = BK ?E @A LAH IE E EJK@ IK AJ= = R = r ?KO HAIK J=@ I 2 KAC  2  ? HHAIF @A = L= H @A = LAH IE E EJK@ O I AIJE =@ HAI

HAIJHE CE@=

- L= H @A = LAH IE E EJK@ HAIJHE CE@= FKA@A IAH IKFAHE H = @A = @= IE A >=HC F @H = AIFAH=HIA GKA IE =I HAIJHE??E AI E FKAIJ=I I A L= H @A = FHE AH= AIJ ?AH?= @A @A = IACK @= - J ?AI @A E @A LAH IE E EJK@  ? 2 ) L(, = L(, 2) - JAIJ 4 IA @A AA J ?AI ?

HAIJHE CE ? HHA?J=I I = H=

2 )] a 2 (q ) LR = 2 ln = 2[ln L(, 2 ) ln L(,

@ @A G ? HHAIF =I @A 4 @A = AH @A HAIJHE??E AI E FKAIJ=I AI @A?EH A

 &' AH @A

1 JKEJEL= A JA A L= H @A AIJ=@ CH=B ?HA?AH = =O H IA= = @EI?HAF= ?E= A JHA I L= HAI @A = LAH IE E EJK@ HAIJHE CE@= O = HAIJHE CE@= ?K= I = A = @A = F IE>E E@=@ GKA =I HAIJHE??E AI E FKAIJ=I IA= L E@=I  HA?D= @A = K = - A ?=I GKA I AHH HAI @EIJHE>KO= H = AI F IE> A @AHEL=H K = LAHIE 2 M V A M V O = JAH =JEL= @A AIJ=@ CH=B KJE E = @ I HAIE@K I 4AA F = = @ AI F IE> A @A IJH=H

2 ) n 2 ) = (2e) n 2 ( 2 = L(,
KAC IE @A E HAA F = = @ A I ? = @A

2e n

n 2

( uu ) 2

 '

u N R I HAIE@K I @A E?E @A JAIJ >JA A I

@A

EHHAIJHE?J O ?

u R
 '

LR = n(ln u R u R ln u N R u N R )
&

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A



6AIJ @A 9= @ 9

7 IACK @ JAIJ =IE J JE? A A ? JANJ 8 ? HHAIF @A = = =@ 6AIJ @A 9= @ ,E?D JAIJ IA >=I= A AL= K=H = DEF JAIEI K = A I ? A ?EA JAI AIJE =@ I O AL= K=H ?K= ?AH?= AI A HAIK J=@ ? FH=@ = FH FKAIJ F H = K = 7 = @A =I LA J= =I @A JAIJ @A 9= @ AI GKA I A?AIEJ= @A = AIJE =?E HAIJHE CE @= )I K = LA >JA E@ K LA?J H (R r) ?AH?= = ?AH JA @AH = = =F O=H = DEF JAIEI K = 5ECKEA @ A J A J = EI = CE?= @A = @A IJH=?E @A JAIJ . IE  '   '!  '"

a (, I ( )1 )

?AI >=

= DEF JAIEI K =
a r) (R (0, RI ( )1 R )

?AI IA FKA@A @A

IJH=H GKA

a r) [RI ( )1 R ]1 (R r) (R 2 q

@ @A G AI A AH @A =I @A 4 O F H J= J A AH @A HAIJHE??E AI IAC = @A E I A = IA??E & KAC ? I AIJE =@ HAI 8 @EIJHE>KOA =IE J JE?= A JA H = AI A J ?AI = =JHE @A E B H =?E ANFKAIJ= A = A?K=?E  && AI L E@= A KAIJH=I CH= @AI JA A I GKA A AIJ=@ IJE? @A 9= @ IA @A A " ? r) [R(X X )1 R ]1 (R r) a (R W =  '# 2 q 2 7 = J= ,E E I GKA A JAIJ AH= L E@ =IE J JE?= A JA @ @A DA I KJE E =@ A HAIK J=@ @A H = E@=@ =IE J JE?= @A 8 - ?=I @A GKA I AHH HAI ABA?JE L= A JA @EIJHE>KO= H = A KAIJH= EJ= A JAIJ  CE?= A JA = JEA A IK @EIJHE>K?E

 !

6AIJ @A

K JEF E?=@ H @A =CH= CA 

7 JAH?AH JAIJ ? HHAIF @A = JAIJ A ?K= J= >E AI ? ?E@ ? A JAIJ @A 5? HA HA? H@A I GKA A 5? HA ? HHAIF @A = = =JHE @A FHE AH=I @AHEL=@=I
JA GKA DA I KJE E =@ I A > GKA IKFAHE H E GKEAH@ @A = E LAHI= @A = =JHE @A E B H =?E - F HGKA A JAIJ ? HHAIF @A = I F=H AJH I =I ?E=@ I = I ? A ?EA JAI @A = HACHAIE )@A I A AI F IE> A F HGKA = =JHE AI @E=C = ?K= E F E?= GKA ANEIJA ? HHA =?E A JHA I AHH HAI O I HACHAI HAI
"

&

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

@A = BK ?E

@A 8AH IE E EJK@

s() =

ln L l =

+ LE I A AIJE =@ H HAIJHE K LA?J H @EBAHA =H = I >JA AH

) = 0 F H = E JH @K??E s( ?K= = AL= K=H A I? HA A A  CA AH= A JA >JA @HA I CE@ >= = K = R r = 0  JA @A ?AH IE A >=HC IE = K = IA FKA@A HA?D= =H AIFAH K LA?J H ?AH?= = ?AH
A@E= ?AH O L=HE= = ECK= = = I GKA = B H = ?K=@H JE?=
a

5A FKA@A @A IJH=H GKA A I? HA F IAA E B H =?E I () 2 H J= J JA A

=JHE @A

s ()I ()1 s() 2

? ?K= = AL= K=H A A LA?J H @A F=H = K = A JAIJ IA @A A O @EIJHE>KOA ? AJH I HAIJHE CE@ JA A I GKA >=  '$

)I ( )1 s( ) a 2 LM = s ( q

JA GKA ? JH=F IE?E = JAIJ @A 9= @ I A?AIEJ= I ?= ?K =H A AIJE =@ H HAIJHE CE@ ,A DA?D IK F FK =HE@=@ HAIE@A A GKA K?D=I LA?AI AI I B ?E ?= ?K =H A AIJE =@ H HAIJHE CE@ GKA A EHHAIJHE?J ,=@= = H = E@=@ =IE J JE?= @A I AIJE =@ HAI 8 F @A I HA@K?EH A AI J=@ CH=B = K = B H = K?D I IE F A 2=H= LAH = JAHE H ? IE@AHA K = J=?E =JHE?E= @A I? HA

s() =

l l 2

1 Xu 2 n uu 22 + 2 4

A J ?AI F=H= AL= K=H A I? HA A = AIJE =?E HAIJHE CE@ I I ?K= AI @A J=HA I F H

HAIJHE CE@= KJE E =

I HAIE@K I

u = Y X
OF H ? J= J

2 =
?K=

u u n u

) = s(

1 X 2

 '%

&

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

- J ?AI J =@ A ?KA J= = @A E?E @A I ()1 @=@= A  &% O AL= K A A AIJE =@ H HAIJHE CE@ JA A I GKA KAIJH JAIJ A  '$ GKA@= ?

@ =

LM =

2 (X X )1 0 u X (X X )1 X u = 2 u X (X X )1 X u = n u u 2 a 2 = nR q
1 uX 2

0
2 4 n

1 uX 2

 '&  '' =KNE E=H A JHA u

@ @A A R2 ? HHAIF O: 4AIK EA @

@A = = >

@=@ @A = KIJA @A = HACHAIE

A JAIJ IA E F A A J= A JHAI IE F AI F=I I @A HAIJHE CE@ O >JA AH IKI HAIE@K I @A A I? JH= : >JA AH A R2

 -IJE =H A + ! + A

I ? HHAH K = HACHAIE

IJHKEH A AIJ=@ IJE? 5ECKEA @ ? A AA F = JAHE H JAIJAA = DEF JAIEI K = @A GKA = 5 I GKA A AIJ=@ IJE? @A AIJA JAIJ AI @A = LAH IE E EJK@ A A F=H
n n n

-A F

E 6AIJ @A 4=

@A 8AH IE E EJK@ HA? H@A C=HEJ

n

) ln L( )] a 2 (q ) LR = 2[ln L(
2HE AH @A>A I AL= K=H A HAIJHE CE@ AIJE =@  AJH

|O, N) = n ln L(
i=1

yi + ln
i=1

xi +
i=1

xi ln yi
i=1

ln(xi !)

= 4 ln(2,8) 2,8 20 + ln(2,8) 52 + 90,04 97,014 = 5,317999436

- IECKEA JA F=I AI ? FKJ=H A C=HEJ @A = BK ?E @A LAH IE E EJK@ = 5 HAIJHE CE@= AI @A?EH AL= K=@= A A L= H @A >= = DEF JAIEI K = 
n n n n

|O, N) = n ln L(
i=1

yi + ln
i=1

xi +
i=1

xi ln yi
i=1

ln(xi !)

= 4 ln(5) 5 20 + ln(5) 52 + 90,04 97,014 = 16,8481637

&!

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

KAC @A>A I ? FKJ=H A AIJ=@ IJE? HAIJ= @ = >=I LAH IE E EJK@AI A C=HEJ I O K JEF E?=H AIJ= @EBAHA ?E= F H

) ln L( )] LR = 2[ln L( = 2[5,317999436 + 16,8481637] = 23,06032853

.E = A JA @A>A I ? F=H=H A L= H @A AIJA AIJ=@ IJE? ? A L= H @A J=> = @A K = 2 ?  CH=@ @A E>AHJ=@ I AIJ= I JAIJA= @ K = DEF JA IEI - L= H @A = 2 ? K CH=@ @A E>AHJ=@ = K #  @A IEC E ?= ?E= AI @A ! &" F H J= J IA HA?D= = = DEF JAIEI K = @A GKA IA= ECK= = #

EE 6AIJ @A 9= @ F=H= F @AH HA= E =H AIJA JAIJ FHE AH

A?AIEJ= I ? =JHE @A L=HE= =I O ? L=HE= =I @A AIJE =@ H A E LAHI @A = E B H =?E 4A? H@A I = B H = @A AIJ= =JHE

FKJ=H = =JHE @A

I () = E

= E
C=HEJ
n

2l
@A = BK ?E
n i=1

- I? HA  FHE AH= @AHEL=@= @A A AH=

@A LAH IE E EJK@

lnL n =

yi +
i=1

xi

)D H= = IACK @= @AHEL=@=  0AIIE=

 AI

n xi lnL2 n = 2 i=1 2 n 2 (n + i=1 xi ) lnL = 2

+ ?E

= L=HE=> A x AI = A L= H AIFAH=@ @A DAIIE= EI = ANFHAIE KAC A AC=JEL @A AIJ ? IJEJKOA =

? HHAIF @A = = =JHE @A E B H =

I () = I () =

(n +

n i=1 2

xi )

(4 + 52) 2 56 I () = 2
IJHKOA @A = IECKEA JA B H =

)D H= A AIJ=@ IJE? @A 9= @ IA ?

5) I ( )( 5) 2 W = ( 1
&"

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

F H 4AA F = = @

&

W c = (2,8 5) W c = 34,6

56 (2,8)2

(2,8 5)

+ A L= H ?= ?K =@ @A AIJ=@ IJE? @A 9= @ HAIK J= IAH =O H = L= H @A J=> = @A K = 2 ? K CH=@ @A E>AHJ=@ IA HA?D= = = DEF JAIEI K = @A =5 GKA

EEE 6AIJ @A K JEF E?=@ H @A =CH= CA F=H= ? IJHKEH AIJA AIJ=@ IJE?
I AL= K=H A I? HA O = =JHE @A E B H =?E  GKA A AIJA ?=I AI ECK= = #

A?AIEJ= A A AIJE =@ H HAIJHE CKE@

i=1 56 I () = = 2,24 (5)2

4AA F = = @ A A AIJ=@ IJE?

s() =

yi +

n i=1

4 52 20 + = 8,8 5 5

LM = s() I ()1 s() LM = (8,8)(2,24)1 (8,8) = 34,6

+

=5 ?K= IA HA?D= = = DEF JAIEI K = @A GKA




) CK =I =? J=?E AI HAIFA?J = = AIJE =?E O = E BAHA ?E= 8

= IA??E  =IK A GKA = @EIJHE>K?E @A I AHH HAI IECKA K = @EI JHE>K?E H = 5E A >=HC IKF AH AHH HAI H = AI AI I K @A I F IE> AI IKFKAIJ I HAIFA?J = = @EIJHE>K?E @A I AHH HAI -NEIJA K = CH= ?= JE@=@ @A F IE>E E@=@AI = HAIFA?J KJE E @ IA JH=I ? = @EIJHE>K?E C IJE?= O = ANF A ?E= KO HACK =H A JA A JH I J FE? I A? JHE? I = JAHE H AI K = LA J= = @A = AIJE =?E 8 @=@ GKA IKI FH FEA@=@AI =IE J JE?=I IA = JEA A E @AFA @EA JA A JA @A = @EIJHE>K?E KJE E =@= JH= LA J= = ? HHAIF @A = = F IE>E E@=@ @A KJE E =H @A I E A= AI + J= O ? DA I AIJK@E=@  I FAH EJA AIJE =H @A I E A= AI A F=H AJH I EA JH=I GKA 8 FAH EJA E A= E@=@AI =K GKA A E F EGKA = E F IE>E E@=@ @A >JA AH @A >JA AH B H =I BK ?E = AI ?AHH=@=I &#

+=FEJK

@A

@A 4ACHAIE

E A=

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

F=H= KAIJH I AIJE =@ HAI ?K= E F E?= A?AI=HE= A JA KJE E =H K HE? I F=H= FJE E =H = BK ?E > AJEL  !

J @ I

JH= LA J= = HAIE@A A = E BAHA ?E= 6 @= = E BAHA ?E= LEIJ= A + F IA = @EIJHE>K?E AN=?J= >= A IKFKAIJ @A H = E@=@ I JAIJ =IE J JE? I LEIJ A = E BAHA ?E= 8 I L E@ I >= ?K= GKEAH @EIJHE>K?E IKFKAIJ= =K GKA =IE J JE?= A JA

" )@E?E = A JA I JHAI JAIJ LEIJ I I ?=F=?AI @A E@E=H ? HAIJHE??E AI E A= AI 2 H GK 2 HGKA 8 AI ?=F= @A E@E=H ? @A I E A= AI# # -I F IE> A @A IJH=H GKA W LR LM = IAH =F E?=@ I = K E A= I JHAI I =IE J JE?= A JA AGKEL= A JAI IE A >=HC A EJ=I =HH =H HAIK J=@ I @EBAHA JAI $ +K @ AI HA? =IE J JE? A @=> A KJE E =H K JAIJ J @A KAIJH=I

K JAIJ . F H I >HA K JAIJ

% 6 @ I I F=GKAJAI AIJ=@ IJE? I HAF HJ= A L= H @A = BK ?E @A LAH IE E E JK@ AI @A?EH = BK ?E AL= K=@= A I F=H AJH I AIJE =@ I K?D=I LA?AI AI KJE E =@ ? K ?HEJAHE @A IA A??E A JHA @A I HA?KAH@A GKA KAIJH > AJEL AI =NE E =H = BK ?E @A LAH IE E EJK@

A A F @A HAIJHE??E A @A HAIJHE CE@ >=IJ= ? =NE E =@= F H J @ I K

# 7

2 E A= ? HHAIF @A = H0 : ln(3 ) = 0,1+ ln(2 ) 2=H= AIJE =H =EI =H 2 A E JH @K?EH A = BK ?E @A LAH IE E EJK@ GKA IAH HE? I

&$

+=F JK

! = O -IFA?E ?=?E
@A @A 4A

. H = .K ?E
!

4ACHAI HAI -IJ ? IJE? I A A CHAIE E A=

- A @AI=HH @A @A @A HACHAIE E A= HA= E =@ A = IA??E " =IK E I GKA KAIJH=I L=HE=> AI ANF E?=JEL=I AH= @AJAH E IJE?=I 5KFKAIJ  AIA ? JANJ ?=@= LA GKA J >= I K = KAIJH= @EBAHA JA I HACHAI HAI FAH = A? = I O I = L=HE=> A @AFA @EA JA ?= >E=>= D=?EA @ A J ?AI GKA = HACHAIE KAIJH= BKAH= K = =FH NE =?E = = HACHAIE F > =?E = - AIJ IA??E FH ?A@AHA I = A E E =H AIJA IKFKAIJ  O LAHA I ?K= AI I =I ? IA?KA ?E=I @A =IK EH HACHAI HAI AIJ ? IJE? I A =I AIJE =?E AI @A @A @A HACHAIE E A= -I @A?EH =IK EHA I =D H= GKA : AI >JA E@= = A=J HE= A JA = F=HJEH @A = CK = @EIJHE>K?E @A FH >=>E E@=@ 5E : AI AIJ ? IJE? : @A>A IAH E @AFA @EA JA @A K IE GKAHA I = JA AH =I FH FEA@=@AI AIJ=@ IJE?=I @A I AIJE =@ HAI + 7 J @ =@A?K=@ F=H= >JA AH =I FH FEA@=@AI AIJ=@ IJE?=I @A ? IEIJA A >JA AH FHE AH I HAIK J= @ I ? @E?E =@ I A : -IJ AGKEL= A = ?=I @A I HACHAI HAI AIJ ? IJE? I ,AIFK I >KI?= I I HAIK J=@ I E ? @E?E = AI FH A@E= @ F H A A F F H E JACH=?E J J=  =I @EIJHE>K?E AI ? @E?E =@=I = ? =LA @A AIJA H= = EA J AI GKA IE F @A I AIJ=> A?AH E IAIC= EA J ? @E?E =@ A K : =H>EJH=HE F @A I FH A@E=H =I : F=H= >JA AH K HAIK J=@ E ? @E?E =@ = JA EA @
6

I IKFKAIJ I ! O " @=@ I F H E (u|x) E (u)  V ar(u|X ) = V ar(u) =

= JEA A

@ I

I JH I IKFKAIJ I HA= E =@ I = JAHE H A JA IA

&%

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2 F @A

I = ECK= GKA = JAI AIJK@E=H IE

AI E IAIC=@

= + (X X )1 X u E [ |X ] = + (X X )1 X E [u|X ] =
;= GKA F H IKFKAIJ ! E [u|X ] = 0 2 @A I =D H= ?= ?K =H A L= H AIFAH=@ E ? @E?E = =F E?= @ AIFAH= = I >HA J @ A AIF=?E F IE> A @A I HACHAI HAI

E [ ] = Ex [E [ |X ]] E [ ] = + Ex [(X X )1 X E [u|X ]] =
2 H J= J J= >E AI E IAIC=@ E ? - E IAIC= EA J @A I F=H AJH I + : + HAIFA?J = = L=HE= FA @EA JAI JA A I = @A ? @E?E @E?E = A JA E [ ] = Ex [E [ |X ]] = AI H >KIJ = I IKFKAIJ I @A = =JHE =@= A = =JHE @A L=HE=> AI E @A

V [ |X ] = 2 (X X )1
5E A >=HC = L=HE= =E ? @E?E = @A AIJ= @=@= F H

V [ ] = Ex [V [ |X ]] + Vx [E [ |X ]] V [ ] = Ex [V [ |X ]] + Vx [ ] V [ ] = Ex [V [ |X ]] = E [ 2 (X X )1 ] = 2 E [(X X )1 ]
KAIJH= ? ? KIE E E?E= IA = JAH= K F ? JA A I GKA IKIJEJKEH (X X )1 F H IK L= H AIFAH=@ F=H= >JA AH = =JHE @A ? L=HE= =I =FH FE=@=I = L=HE= = E ? @E?E =@= @A I FKA@A IAH @AI?HEJ= A J H E I @A ? F HJ= EA J A@E @A : 5E A >=HC A JA HA = @A /=KII =H L IACKEH =F E?= @ ;= GKA IE F=H= ?=@= : F=HJE?K =H A AIJE =@ H + AI A A H AIJE =@ H E A= E IAIC=@ J= >E IAH F=H= I L= HAI A@E I @A I HACHAI HAI

)F E?= @ @AI?

F IE?E

@A = L=HE=

=8AH

&&

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

? KIE

AI ?AI IA ?K F EH A 6A HA = = EI = @EIJHE>K?E

5E I AHH HAI I E @AFA @EA JAI @A =I : A J @A /=KII =H L

*= H = E@=@ @A AHH H I JAIJ AIJ=@ IJE? I JEA A GKA A A ?=I @A =I : AIJ ? IJE?=I

!
-

1 ? HF H=?E

@A

E A= E@=@AI

= IA??E =IK E I GKA A @A @A HACHAIE @A> = IAH E A= 5E A >=HC K?D=I @A =I HA =?E AI A? E?=I I E A= AI 8A= I A IECKEA JA A A F @A = HA =?E A JHA =I LA J=I @A I F HJ= AI @A 1 JAH AJ O A AH @A LEIEJ=I = F HJ=

+ =H= A JA = HA =?E AI E A= AI EI A J H E I @A LA J=I =K A J=H @AI@A " LEIEJ=I = # GKA @A  LEIEJ=I =  2AH + F @A I E ? HF H=H E A= E@=@ A JHA ; O : A KAIJH @A @A HACHAIE * IE?= A JA GKA D=HA I AI KJE E =H = CK I JEF I @A JH= IB H =?E @A L=HE=> AI -IJ I FAH E JEH JA AH K @A E A= O = F=HJEH @A = =F E?=?E @A =I JH= IB H =?E AI JA AH K @A @A HACHAIE E A= F=H= A GKA IA ?K F A J @=I =I ? I=I GKA DA I LEIJ

&'

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

6H= IB H =?E 5KF C= K 5E =F E?= I EA JA B H =

C=H J E?= C=HEJ

@A

HECE =

E A= @A = IECKEA JA B H = Yi = 1 Xi2 ui I GKA@=H K @A JH= IB H =@ @A = IECK

ln(Yi ) = ln(1 ) + 2 ln(Xi ) + ln(ui )

Y X - @ @A 2 = X ? HHAIF @A = = A =IJE?E@=@ : @A ; -IJA JEF @A Y JH= IB H =?E AI AI KO JE A @A I @A @A = @= O @A FH @K??E

6H= IB H =?E 5KF C= K 5E =F E?= I EA JA B H =

5A E C=H J E?= C=HEJ

@A

HECE =

E A= @A = IECKEA JA B H = Yi = 1 e2 Xi ui I GKA@=H K @A JH= IB H =@ @A = IECK

ln(Yi ) = ln(1 ) + 2 Xi + ln(ui )

Y 1 - @ @A 2 = X ? HHAIF @A = = IA E A =IJE?E@=@ : @A ; 7 = KJE Y E =?E ? @A = B H K =?E IA E C=H J E?= IA @= A I ?=I I @A ln(Y ) ?HA?E EA J ANF A ?E= 5E : AI A JEA F J A J ?AI t = 2 =6=I= A@E= @A ?HA?E EA J @A ;

6H= IB H =?E

4A? FH ?=

5KF C= K @A HECE = E A= @A = IECKEA JA B H = Yi = 1 + 1 2 Xi + ui - ?K= F @A I ANFHAI=H ? K @A JH= IB H =@ @A = IECKEA JA B H =

Yi = 1 + 2 Zi + u i
- @ @A 2 =
Y X

? HHAIF

@A = F=H

AJH KIK=

5E IA ? ?A = FHE HE = B H = BK ?E = ANEIJA = CK I J @ I GKA F @H = E@A JE ?=H = ANEIJA ?E= @A = CK = E A= E@=@ ) ? JE K=?E LAHA I K @A A I

6AIJ @A

E A= E@=@AI

EJE@=I 6AIJ @A 4AIAJ

7 = FHACK J= E JAHAI= JA @A F = JA=HIA AI IE KAIJH @A D= EJE@ E A= E@=@AI A ?EAHJ I HACHAI HAI! 4= IAO '$' E JH @K A IECKEA JA JAIJ *=
E F HJ= JA ? BK @EH = E A= E@=@ A HACHAI HAI 8I E A= E@=@AI A F=H AJH I KAIJH A B GKA IA >=I= A A FHE AH JEF @A A =I - IACK @ AI @A =O H ? F A E@=@ A J= J
! -I

'

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

= K= A

@A

F > =?E

= ? HHAIF

@A =

Y = X + u 4= IAO FH FKI AIJE =H A IECK = X KAC @A J= I ? O= AI KIK= Y EA JA @A =KNE E=H = JH=L I @A + 1 + Z 2 + u Y = X

@ @A

Z =
KAC = K=

2 Y 3 ... Y

m Y

H0

-NEIJA

E A= E@=@AI

EJE@=I

H0 2 
FKA@A IAH JAIJA=@= KJE E = @ K JAIJ @A 9= @ I >HA 2 -I F IE> A @A IJH=H GKA >= = K = 9a 2 J= J = K = IA HA?D= = =  @A IEC E ?= ?E= IE m1 2 H A AIJ=@ CH=B AI =O H GKA A L= H ?H JE? ? HHAIF @EA JA 2=H= E F A A J=H A JAIJ AI @A?EH A AH @A F JA ?E=I @A ; = E ? KEH A = HACHAIE =KNE E=H @A>A IAH IA A??E =@ FHALE= A JA 6 FE?= A JA L= HAI FAGKA I ? ! " F=HA?A BK ?E =H A H

GKA = @AHEL=H = BK ?E > AJEL ? HAIFA?J = I F=H AJH I @A E JAH I F @A I >JA AH K = B H = BK ?E = ?AHH=@= F=H= KAIJH AIJE =@ H I AL=H CA AH= A JA = KJE E =H J @ I K HE? I F=H= =NE E =H E E E =H KAIJH= BK ?E > AJEL = ?K= E ? KI FKA@A @A =H @A IAH AIJHE?J= A JA ? ?=L=

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+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!!

8=HE=> AI ,K

EAI

?K= EJ=JEL=I

- A = EIEI @A HACHAIE = L=HE=> A @AFA @EA JA AIJ= E KE@= BHA?KA JA A JA I F H L=HE=> AI ? JE K=I ? I A E CHAI FH @K??E FHA?E I ? IJ I AIJ=JKH= JA FAH=JKH= AJ? IE J= >E F H L=HE=> AI GKA I AIA ?E= A JA ?K= EJ=JEL=I AIJ I I HACHAI HAI >E =HE I AI @A?EH L=HE=> AI GKA I J = A L= H   ,E?D=I L=HE=> AI I = =@=I L=HE=> AI @K EAI L=HE=> AI @E? J E?=I L=HE=> AI ?JE?E=I K?D=I LA?AI A HACHAI H AI >E =HE F HGKA =I BKA HA? CE@ A = A ?KAIJ= 5E A >=HC A JH I ?=I I A HACHAI H >E =HE D= IE@ ? IJHKE@ = F=HJEH @A JH=I L=HE=> AI @A I @=J I ) CK I A A F I @A L=HE=> A @K EAI I C AH H= = HA ECE =?E = E@=@ HACE CA CH ?= AJ? + HAIFA?J = =I @ I FHE AH=I L=HE=> AI A ?E =@=I F H A A F IA D= A ? JH=@ GKA = JA EA @ J @ I I @A I B=?J HAI ? IJ= JAI =I JH=>= =@ H=I K AHAI C= = A I GKA IKI ? AC=I D >HAI O GKA =I FAHI =I @A ? H C= = A I GKA =I > = ?=I -IJA F=JH FKA@A HAIK J=H @A @EI?HE E =?E IANK= H=?E= FAH ?K= GKEAH= IA= = H= =I L=HE=> AI ?K= EJ= JEL=I J= AI ? C AH H= = I E KOA I >HA = L=HE=> A @AFA @EA JA 2 H A A F ? IE@AHA I = IECKEA JA L=HE=> A @K O F=H= C AH  K AH D >HA @A E @ELE@K - J ?AI = L=HE=> A @K O ? IEIJEH A K LA?J H (n 1) ? A A A J I   IAC ? HHAIF @= -I @A?EH

d1i =

1 K AH 0 D >HA

!  AH 

) @ @A A A F FA IA I A K = A?K=?E = ?K= E F E?= A IECKEA JA @A

IE F A @A I= =HE I -5= =HE 9 / !  O JA A I GKA

Wi = 0 + 1 d1i + ui
A J ?AI @=@= = AIFA?E ?=?E AI? CE@= F=H= = @K

0 = E (W/hombre) 0 + 1 = E (W/mujer)
) JAH =JEL= A JA F @H = I D=>AH @A E@ = @K O @A = IECKEA JA B H = ! !

d2i =

0 K AH 1 D >HA
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! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

OA A J

@A

Wi = 0 + 1 d2i + ui
?AI A AIJ= IACK @= AIFA?E ?=?E AI? CE@= F=H= = @K O JA A I GKA

0 + 1 = E (W/hombre) 0 = E (W/mujer)
7 = JAH?AH= B H = @A @A EH A @A IAH = E ? KOA @ = >=I @K EAI

Wi = 1 d1i + 2 d2i + ui
? A ?K= JA @H = I GKA I HAJ H I== > IC AH I IAH =

2 = E (W/hombre) 1 = E (W/mujer)

@A I = JAHE HAI I AGKEL= A JAI JA GKA A A JAH?AH @A E ? KE I J H E ? IJ= JA O= GKA A D=H = GKA = =JHE : BKAIA IE CK =H O F H J= J E LAHJE> A ,E?D AHH H @A AIFA?E ?=?E AI = =@ A = EJAH=JK H= 6H= F= @A =I ,K EAI O ? HHAIF @A = K AHH H AJ= A JA @A E LAIJEC=@ H @A I @=J I
7 @A @A HACHAIE L= A JA @E? J E?=I FKA@A ? JA AH L=HE=> AI ANF E?=JEL=I GKA I AN? KIE ?K= EJ=JEL=I J= AI @A I IA @A E =I @A I @A = EIEI @A L=HE= = ) 8) AIJ I @A I I KJE E =@ I F=H= @AJAH E =H = IEC E ?= ?E= AIJ=@ IJE?= @A = @EBAHA ?E=I @A A@E=I A JHA CHKF I F H A A F IAHLEH = F=H= @AJAH E =H IE ANEIJA @EBAHA ?E= IEC E ?=JEL= A JHA I E CHAI I A@E I @A I D >HAI O K AHAI

I JHAI

-A F

+ J= I ? @=J I @A E CHAI FH LA EA JA @A = ?KF=?E FHE ?EF= F=H= A =  @A =?KAH@ = = CA CH ?= @A +DE A HJA @A = FHE AH= = = ?K=HJ= HACE  +A JH GKE J= HACE IANJ= HACE O HACE AJH F EJ= = O 5KH @A = I FJE = = = @K @ ?E = HACE  5KF C= GKA @AIA= I =LAHECK=H IE A I= =HE FH A@E @E AHA A JHA =I @EIJE J=I =I CA CH ?=I IE J = I A FH A@E @A I I= =HE I @A I E @ELE@K I A ?=@= K = @A =I =I >JA A I IECKEA JA
= /A CH BE?= 5= =HE 2H A@E

HJA +A JH 5KH '!

 % #"  '$ &#% &  " !& '

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

-IJ I AH I I ? =H= A JA @EBAHA JAI A JHA I FAH GKA I E JAHAI= I=>AH AI IE AIJ= @EBAHA ?E= AI AIJ=@ IJE?= A JA IEC E ?=JEL= F=H= AIJ KJE E =HA I K @A ) 8) + @ IE@AHA @A I A IECKEA JA @A @A HACHAIE

Yi = 0 + 1 D1i + 2 D2i + ui

Yi 5= =HE @A E @ELE@K E D1i AI K = L=HE=> A @K O GKA J = L= H  IE = FAHI = E LELA A A HJA O ?AH IE D2i AI K = L=HE=> A @K O GKA J = L= H  IE = FAHI = E LELA A A IKH O ?AH IE
-IJA @A AI ? ?K= GKEAH JH @A @A HACHAIE E A= = E?= @EBAH A ?E= GKA =D H= J @ KAIJH=I L=HE=> AI ANF E?=JEL=I I >E =HE=I ,A AIJ= B H = A I= =HE FH A@E @A I E @ELE@K I GKA LELA A A HJA AI

E (Yi |D1i = 1, D2i = 0) = 0 + 1

@A ECK= B H = A I= =HE FH OF H JE A I= =HE FH A@E @A A@E @A I E @ELE@K I GKA LELA A A IKH AI I E @ELE@K I GKA LELA A A ?A JH AI H A E JAH @EA JA @A I @A AIJ=@ IJE

E (Yi |D1i = 0, D2i = 1) = 0 + 2 E (Yi |D1i = 0, D2i = 0) = 0

)I A I= =HE FH A@E @A I E @ELE@K I @A = = ?A JH AIJ= @=@ F ?AFJ @A = A?K=?E @A HACHAIE =@A I I ? A ?EA JAI 1 O 2 FA E @E?= = ?= JE@=@ A GKA I I= =HE I FH A@E I @A HJA O IKH @E AHA ?A JH HAIFA?JEL= A JA )D H= A?AIEJ= I LAH IE AIJ=I @EBAHA ?E=I I ?= A JA IEC E ?=JEL=I @A AIJE =@ AI

'"

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

+ I JHAI ? A ?EA JAI AIJE =@ I HAIK J= IAH AIJ=@ IJE?= A JA IEC E ?=JEL I = @EBAHA ?E= A I I= =HE I FH A@E I A JHA HACE AI AI AIJ=@ IJE?= A JA IEC E ?=JEL= ,A AIJ= B H = IA FKA@A ? ? KEH GKA I I= =HE I A = = ?A JH I AIJ=@ IJE?= A JA =O HAI = I @A = = HJA O IKH O GKA I @A = = HJA I AIJ=@ IJE?= A JA IKFAHE H = I @A = = IKH -I E F HJ= JA JA AH ? =H GKA =I L=HE=> AI @E? J E?=I IE F A A JA IA = =H= =I @EBAHA ?E=I IE AI GKA AIJ=I ANEIJA FAH IKCEAHA H= AI F H =I ?K= AI AIJ=I IA FHAIA J= ,AI@A =D H= = =HA I = = ?=JAC H = GKA IA A =IEC = @K O A KAIJH AA F = = ?A JH  ? ?=JAC H = >=IA J @=I =I ? F=H=?E AI IA D=H HAIFA?J = AIJ= ?=JAC H = I ? A ?EA JAI ? HHAIF @EA JAI = =I L=HE=> AI @E ? J E?=I I = =HA I ? A ?EA JAI @A E JAH=??E @EBAHA ?E= I I @A I ) 8) GKA =?=>= I @A = = E =H I IA KJE E = F=H= JAIJA=H @EBAHA ?E=I @A A@E=I KO BHA?KA JAI A A? =

I @A I A? JHE? I CA AH= A JA I I = F E I A E JH @K?A J= J L=HE => AI ANF E?=JEL=I ? JE K=I ? @E? J E?=I 2 H A A F AI H= => A IKF AH GKA =@A I @A C AH ANEIJA JH I B=?J HAI GKA ANF E?= A I= =HE A@K?=?E O ANFAHEA ?E= A JHA JH I IECKEA @ = E ?AH '%" -IFA?E GKA I KAL= A JA A @A A !  ? -5= =HE 9 -@K?=?E - / AH  Wi = 0 + 1 d2i + 2 Ei + ui ,E?D @A FHAIA J= K ABA?J E JAH?AFJ F=H= A C AH AI @A?EH D >HAI O K AHAI F IAA @EBAHA JA E JAH?AFJ FAH ECK= FA @EA JA 2  A A@K?=?E HAJ H = = A@K?=?E 

W
0+ 1

Hombres Mujeres
2

E
Salario y Educacin, diferencia de intercepto entre hombres y mujeres

'#

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

)D H= IE GKEIE H= I AIFA?E ?=H K @A A GKA =@A I =I FA @EA JAI L=H A ? A C AH HAJ H I = = A@K?=?E @EBAHA ?E=@ I JA @H = I A IECKEA JA @A Wi = 0 + 1 d2i + 2 Ei + 3 d2i Ei + ui @ @A - 0 >HA 0 1 2 E 3 E - K AH 0 2 E

-5= =HE 9 -@K?=?E -5= =HE 9 -@K?=?E

E (Salario(W )/Educacin(E ),Hombre) E E (Salario(W )/Educacin(E ),M ujer) E

= 2 + 3

= 2

- A ?=I GKA ANEIJ= JH I HACHAI HAI ? JE K I ANFAHEA ?E= F H A A F  F @H = IAH @AIA=> A F IAAH ABA?J I @EBAHA ?E=@ I A = FA @EA JA I F=H= = CK I @A A I

W 2+
3

Hombres Mujeres

0+ 1

E
Salario y Educacin, diferencia de intercepto y pendiente entre hombres y mujeres

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! . H = .K ?E

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!!

2 IE> AI KI I @A =I L=HE=> AI ,K

EAI

+ DA I A ?E =@ =I L=HE=> A @K EAI FKA@A HA A =H ?=H=?JAH IJE?=I E @ELE@K= AI ? C AH IJ=JKI =HEJ= H= = AJ? O @A AIJ= B H = =I D=>E= I = =@ L=HE=> A ?K= EJ=JEL=I 5E A >=HC AIJA AI A E? JEL F=H= E ? KEH @K EAI A K = HACHAIE -NEIJA =@A I =GKA =I @K EAI = =@=I @K EAI AIJ=?E = AI ?KO > AJEL AI ? JH =H F H B=?J HAI JA F H= AI @A I @=J I 2 H A A F AIJE = @ = @A = @= @A DA =@ I AI F IE> A GKA AN EIJ= K ABA?J LAH= F H ?K= = @A = @= =K A JA A = CK I JHE AIJHAI >E AIJHAI @A AIJ= B H = F=H= ? JH =H @E?D ABA?J IA @A>A E ? KEH " @K EAI ?=@= K = ? HHAIF @EA JA = K JHE AIJHA @A =  $ A A ?=I @A >E AIJHA A A ?=I @A IA AIJHA AJ?  4A?KAH@A GKA A ?=I @A E ? KEH K = ? IJ= JA @A>A HAJEH=H @EI?HA?E = A JA = CK = @A A =I = ?K= IAHLEH ? JHE AIJHA @A HAB AHA ?E= =I @K EAI J= >E FKA@A IAH JE AI F=H= ?=FJ=H ABA?J I K >H= AI 5ECKEA @ ? KAIJH A A F @A A@K?=?E F @H = I JA AH GKA A = A ?KAIJ= = L=HE=> A -@K?=?E BKA HA? CE@= A B H = ? JE K= IE @EI?HAJ= AI @A?EH IE = FAHI = F IAA -@K?=?E * IE?= & = I -@K?=?E A@E=  = I -@K ?=?E 7 ELAHIEJ=HE= % = I -@K?=?E K ELAHIEJ=HE= ? F IJCH=@ ' = I ,A EA @ K = @K O F H ?=@= ELA @A A@K?=?E A ? A ?EA JA =I ?E=@ = ?= @= K = @A A =I I IJH=H = A HAJ H = ?=@= JEF @A A@K?=?E .E = A JA =I @K EAI FKA@A IAH @A KJE E@=@ F=H= ?K= JE ?=H ABA?J I ? @E?E = AI ;= D=> = I A K ?E=@ IJ=I ?K= @ LE I -9 - C AH  A GKA FAH EJE I GKA = FA @EA JA L=H A A JHA C AH I ,E?D=I @K EAI I @A E JAH I ?K= @ GKAHA I ?=FJ=H = C ABA?J ? @E?E = = = CK = ?=H=?JAH IJE?= 2 H A A F A HAJ H = = A@K?=?E @=@ GKA IA AI K AH GKA IA AI ?=I=@ GKA IA AI > = ? AJ? - @E?D ?=I >=IJ= E JH @K?EH = @K O GKA E@A JE ?= A AIJ=@ ? @E?E = K JEF E?=@= F H = L=HE=> A @A E JAH I + ? KOA @ = B H = A GKA IA E ? KO= =I L=HE=> AI >E =HE=I A A @A @A HACHAIE @AFA @A @A = FHACK J= GKA A E LAIJEC=@ H @AIAA HAIF @AH @A > AJEL GKA JA C= F=H= E ? KEH =I +HA=JELE@=@ O JA H = ,AI@A A FK J @A LEIJ= @A = JA H = @A HACHAIE di ? HHAIF @A = K L=HE => A = A=J HE= @A EI FH ?AI @A KAIJH GKA CA AH A HAIJ @A =I L=HE=> AI 8A= I A J ?AI ? = A =H =I = CA>H=E?= A JA 5A= A @A IE F A

Wi = 1 d1i + 2 d2i + ui
A KAIJH= J=?E =JHE?E= KIK=

Y = X + u
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+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

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@A = (1 2 ) O X = [D1 D2 ] A J

?AI
1

= (X X )1 X Y = = = = D1 D1 D1 D2 D2 D1 D2 D2 d2 1i n d i=1 1i d2i n1 0 0 n2 y 1 y 2
1 n i=1

D1 Y D2 Y
1 n i=1 n i=1

n i=1 d1i d2i n 2 i=1 d2i n i=1 d1i yi n i=1 d2i yi

d1i yi d2i yi

@ @A n1 O n2 I A AH @A >IAHL=?E AI ? d1i  O d2i  HAIFA?JEL= A JA Oy @A = =I A@E=I KAIJH= AI A JHA =I HAIFA?JEL=I >IAHL=?E AI 1 Oy 2 ? HHAIF ;? HAIFA?J = = L=HE= = @A I AIJE =@ HAI

V ( ) = (X X )1 2 =
@ @A
2 n1

0
2 n2

0
n

1 = n
2

u 2 i
i=1

AI A AIJE =@ H >=I=@ A

KAIJH= ?

F AJ=

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-A F

) ? JE K=?E LAHA I = =F E?=?E @A = = =@= -?K=?E @A E ?AHF=H= AIJE =H A HAJ H = = A@K?=?E I @=J I ? HHAIF @A = K CHKF @A LA AI ?DE A I ACHAI=@ I @A = A@K?=?E A@E= J ? E?= I GKA BKAH A JHALEIJ=@ I A ''% = FHE AH= CKH= KAIJH= = AIJE =?E @A = A?K=?E @A E ?AH A IK LAHIE HECE = '%"

11

ln(Salario)i = + 1 Educacioni + ui

+ IE@AHA I =D H= K = LAHIE ANFAHEA ?E= O K = @K O GKA J

I ? F AJ= @A @A A GKA E ? KE = A L= H  IE A E @ELE@K AI K = K AH

I =

JA GKA A HAJ H = = A@K?=?E IECKA IEA @ F IEJEL EA JH=I GKA = @K O F=H= K AH AI AC=JEL=  3K IEC E ?= GKA A F=H AJH IA= AC=JEL  8A= I = ? JE K=?E = EI = AIFA?E ?=?E I GKA AIJ= LA = @K O IA @A A ?  IE A E @ELE@K AI D >HA

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+ AI A F=H AJH @A = @K K AH 3K F=I= ? = AIJE =?E

O F=H= A D >HA ? F=H=@ ? @A HAIJ @A I F=H AJH I

A @A =



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8=HE=> A ,AFA @EA JA 4A =C=@=

+K= @ JH=>= = I ? IAHEAI @A JEA F AI F IE> A GKA IA= @A KAIJH E JAH I E ? KEH HA =C I @A = L=HE=> A @AFA @EA JA ? L=HE=> AI ANF E?=JEL=I - FKA@A ?KHHEH ?K= @ ?HAA I GKA ANEIJA ?EAHJ= FAHIEIJA ?E= @A KAIJH= L=HE=> A @AFA @EA JA 2 H A A F F=H= JH=J=H @A ANF E?=H A ? F HJ= EA J @A = E =?E t  JA @H = IA JE@ E JH @K?EH ? L=HE=> AI ANF E?=JEL=I K J ? = J=I= @A ?HA?E EA J @A @E AH mt  HA =C I @A = FH FE= J=I= @A E =?E

t = 0 + 1 t1 + 2 mt + ut
5KF C= IA @A I IE F A F IE> A

yt = 1 yt1 + ut

con |1 | < 1

! "

)@A = J @ I = = JA H = @A IAHEAI @A JEA F A @A = JAHE H HA?E>A A >HA @A 2H ?AI )KJ HHACHAIEL @A 2HE AH H@A )4 @ @A A >HA @A =KJ HHACHAIEL IA @A>A = GKA = L=HE=> A IA ANF E?= F H HA =C I @A A = EI = O @A FHE AH H@A F HGKA @AFA @A I @A FHE AH HA =C A H@A E @E?= A AH NE @A HA =C I E ? KE@ I

= (X X )1 X Y @ @A : E Yt1 = AIJE =?E + @A @A = JAHE H AI ? = @EBAHA ?E= GKA AIJ= LA F IAA I  @=J I = A I GKA IKF C= I K L= H E E?E= F=H= Y0 - AIJA ?=I @A = @A ?K F EHIA K @A I IKFKAIJ I >= I ?K= AI LE I =I FH FEA@=@AI @A AIJE =@ H + O = E BAHA ?E= =I ?E=@= =K GKA ? JE KA I D=?EA @ I IKFKAIJ I FAHJE A JAI F=H= A J H E @A AHH H A @A LE = A IKFKAIJ @A HACHAI HAI I  AIJ ? IJE? I
) = E?A I AIJ ? I @AJ= A A AIJE =@ H + @A 1 A ! " AI

1 = = =

T t=2 yt yt1 T t=2 yt12 T t=2 (1 yt1 + ut )yt1 T 2 t=2 yt1 T =2 ut yt1 1 + tT t=2 yt12

F=H= GKA AIJA AIJE =@ H IA= E IAIC=@ IA HAGKEAHA GKA

T t=2 ut yt1 T t=2 yt12

=0

! #



+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

?K= IA ?K F EH A

A@E@= GKA ys O ut IA= E @AFA @EA JAI F=H= J @ t s IA @A A HAFAJE@=I

2=H= AN= E =H AIJA FK J ? I @AJ= A IK>IJEJKO= ?=IE AI D=IJ= AC=H = K = B H = CA AH=

y1 = 1 y0 + u1 2 y 0 + ( u2 + 1 u1 ) y2 = 1 y1 + u2 y2 = 1 (1 y0 + u1 ) + u2 = 1 2 3 2 y3 = 1 y2 + u3 y3 = 1 (1 y0 + u2 + 1 u1 ) + u3 = 1 y0 + 1 u1 + 1 u2 + u3

t 2 t 1 yt = 1 y0 + (ut + 1 ut1 + 1 ut2 + + 1 u1 )

KAC GKA

K JEF E?= @ yt F H ut ut1 ut2 AJ? O J

= @ AIFAH=

= JA A

E (yt ut ) = 2 E (yt ut1 ) = 1 2 2 2 E (yt ut2 ) = 1

2 H J= J A L= H =?JK= @A y IA A ?KA JH= ? HHA =?E =@ ? A AHH H =?JK= O F=I=@  ? I BKJKH I ,A = EI = B H = HA =C= @ = ANFHAIE = F=H= yt K JEF E?= @ F H ut ut1 ut2 AJ? IA FKA@A LAHE ?=H GKA A HACHAI H yt1 IA A ?KA JH= ? HHA =?E =@ ? A L= H =?JK= @A AHH H FAH IE ? IKI L= HAI F=I=@ I - E F E?= GKA KAIJH IKFKAIJ E (ui Xi ) = 0 O= AI L E@ F H ?K= = =JHE @A L=HE= =I O ? L=HE= =I E L K?H=@=I O= IAH K = =JHE @A ?AH I ?K= IA JH=@K?EH A GKA I AIJE =@ HAI + O= IAH E IAIC=@ I FAH IE ? IEIJA JAI ,A IJH=H  JA GKA = JAHE H AI L E@ F=H= HA =C I @A = L=HE=> A @AFA @EA JA FAH F=H= HA =C I @A L=HE=> AI ANF E?=JEL=I A ?K= J AIJ I JE I FKA@A IAH = E JAHFHAJ=@ I ? I E? FH > A = GKA FKA@A FHAIA J=H A E ? KEH AIJA JEF @A HACHAI HAI AI = = J= ? HHA =?E GKA ANEIJA JA A JHA A L= H FHAIA JA @A HACHAI H O @A IK IKI HA =C I E ? KE@ I A A @A - @= HECA = FH > A =I @A K JE? E A= E@=@



+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!"

- A F O =@LAHJA ?E=I I >HA A KI @A L=HE=> A @A FA @EA JA HA =C=@= ? HACHAI H

6A A I = IECKEA JA E B H =?E I >HA @E?A @A 2HA?E I = + IK E@ H 12+ @AI@A '& = !" ) F=HJEH @A AIJ= E B H =?E F @A I ? IJHKEH = E =?E ?= >E F H?A JK= A A @E?A @A FHA?E I

t =

IP Ct IP Ct1 IP Ct1

8A=

I GKA HAIK J=@ I >JA A

I = HA= E =H = IECKEA JA HACHAIE

IP Ct = 0 + 1 IP Ct1 + ut

"1

B H =?E

>JA E@= @A *= ? +A JH= @A +DE A MMM >?A JH= ?

!

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

+K= @ A ? A ?EA JA @A = L=HE=> A @AFA @EA JA HA =C=@= AI KO ?AH?= =  IA @E?A GKA = IAHEA JEA A H=E K EJ=HE=# 5E A >=HC AIJA AI A ?=I 5E JA HE?= A JA IEA FHA IA AIFAH= GKA = E =?E IA= FAGKA = FAH F IEJEL= @A>AHE= I AIFAH=H GKA A @E?A @A FHA?E I IEA FHA BKAH= ?HA?EA @ O F H J= J AIJ= IAHEA I GKA JA AH K = H=E K EJ=HE= JEA A K = JA @A ?E=

= FAHIEIJA ?E= A A @E?A @A FHA?E I = ? IK E@ H AI ?=IE >LE= GKA I E JAHAI= AI @AJAH E =H IE ANEIJA FAHIEIJA ?E= A = E =?E = GKA @A>AH = I AIFAH=H BKAH= AIJ=> A A A JEA F O ? L= HAI HA =JEL= A JA >= I O F IEJEL I 8A I GKA IK?A@A = AIJE =H A IECKEA JA @A

t = 0 + 1 t1 + ut

- ? A ?EA JA 1 AI IEC E ?=JEL O @A

# +K=

H@A @A  & 3KA IEC E ?= AIJ

@ K = IAHEA JEA A H=E K EJ=HE= AIJ= AI AIJ=?E =HE= GKA IEC E ?= GKA K?J = A J H = IK L= H FH A@E - JAIJ J @A IEC E ?= ?E= @A F=H AJH GKA =? F= = = = L=HE=> A @AFA @EA JA IEHLA F=H= AL= K=H = DEF JAIEI @A H=E K EJ=HE= + A JA AHH H JEF 1

"

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!#

5A A??E

@A

@A I

7 = FHACK J= ?HK?E= GKA IA A BHA J= A A? AJH = =F E?=@= AI ? AI? CAH A JHA @ELAHI=I AIFA?E ?=?E AI F = JA=@=I F=H= HAIF @AH K = EI = FHACK J= ANEIJA K HAIFKAIJ= E?= = FH > A = = JAHE H IE A >=HC = CK =I HA? A @=?E AI I - ACEH A @A I F=HIE E I  I FAGKA F IE> A

3KA F IA= K >KA = KIJA 3KA IA= ? IEIJA JA ? I @=J I >IAHL=@ I

5E A >=HC A ?=I @A JA AH GKA A ACEH A JHA @A I = E@=@ I AI F IE> A KJE E =H I = =@ I +HEJAHE I @A 1 B H =?E 5KF C= GKA KIJA@ @AIA= AI? CAH A JHA = CK @A I IECKEA JAI @A I

Y = 0 + 1 x1 + 2 x2 + 3 x3 + u (1) Y = 0 + 1 x1 + 3 x3 + v Y = 0 + (x1 + x2 ) + (2) (3)

@ @A IA @E?A GKA A @A  A ? F=I= =   O = ! O= GKA I @ I IACK @ I I A LAHIE AI HAIJHE CE@=I @A FHE AH KAC IA @E?A   O ! I = E@=@ I A  = FHACK J= HA AL= JA AI +K @A =I JHAI AIFA?E ?=?E AI = JAHE HAI AI A H I ?HEJAHE I @A E B H =?E I =OK@= = HAIF @AH @E?D= FHACK J= - FHE AH ?HEJAHE @A E B H =?E AI A +HEJAHE @A ) =E A )+1 O IA @A A ?

ACI =

2 ln L k + n n
A?

EA JH=I GKA A +HEJAHE @A 5?DM=H *1+ IA @A

BIC =

ln(n) 2 ln L +k n n

KAC A ?HEJAHE @A IA A??E A JHA @A I = E@=@ I ? HHAIF @A = A ACEH A @A ? A H ?HEJAHE @A E B H =?E JA GKA F=H= GKA I ?HEJAHE I IA= ? FH=> AI @A>A F IAAH A EI J= = @A KAIJH=

#

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!#

- A F 4AJ H I = = A@K?=?E D >HAI O K AHAI

@EBAHA ?E=I A JHA

4A? H@A I =FHA @E@ A = IA??E ! ! @A ?KHI 8A = I GKA F=H= AIJE =H A HAJ H = = A@K?=?E AI @A?EH ?K= J E CHAI =@E?E = A CA AH= K = I @A A@K?=?E F @ = I ? IE@AH=H = A I JHAI AIFA?E ?=?E AI

M odelo I : M odelo II : M odelo III :

Wi = 0 + 1 d2i + 2 Ei + 3 Ei d2i + ui Wi = 0 + 1 d2i + 2 Ei + ui Wi = 0 + 2 Ei + ui

@ @A Wi AH= A C=HEJ =JKH= @A I= =HE @A E @ELE@K i d2i AH= K = L=HE=> A @K O GKA J =>= A L= H  IE = FAHI = i AH= D >HA O  IE Ei AH= I = I @A A@K?=?E @A E @ELE@K i O Ei d2i AH= K = L=HE=> A E JAH=?JEL= )@A I JA A I GKA A @A 11 = E@= = @A 111 O A @A 1 = E@= = I @A I 11 O 111 ,A AIJ= B H = F @A I KJE E =H I ?HEJAHE I @A E B H =?E @A ) =E A O 5?DM=H F=H= @AJAH E =H ? GKA AIFA?E ?=?E I GKA@= I

-IJE =?E

@A

@A

Wi = 0 + 1 d2i + 2 Ei + 3 Ei d2i + ui

$

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

-IJE =?E

@A

@A

11

Wi = 0 + 1 d2i + 2 Ei + ui

-IJE =?E

@A

@A

111
Wi = 0 + 2 Ei + ui

%

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

- HAIK A @A 1 11 11 ) =E A %& %' !!& 5?DM=H $&$' &"% $&$%$ #! $%$#" &"# @A =?KAH

+ @A>A I A ACEH A @A GKA E E E A A ?HEJAHE @A E B H =?E @ = = > I ?HEJAHE I @A>A I A ACEH A @A 1

&

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!$

4ACHAIE
@A

2=HJE?E
@A HACHAIE

=@=
E A= ?

5A= A IECKEA JA

k HACHAI HAI

Y = X + u
= =JHEN X @A @E A IE n k FKA@A IAH F=HJE?E =@= A @ I IK> =JHE?AI @A @E A IE AI n k1 O n k2 GKA = =HA I HAIFA?JEL= A JA X1 O X2 ,A ECK= B H = A LA?J H @A F=H AJH I @A>A IAH F=HJE?E =@ A @ I IK>LA?J HAI 1 O 2 =I ?E=@ = ?=@= K = @A =I IK> =JHE?AI @A L=HE=> AI ANF E?=JEL=I ,A AIJ= B H = A @A = JAHE H FKA@A IAH HAAI?HEJ ?

Y = X1 1 + X2 2 + u
- J H E I =JHE?E= AI AIJ= I D=?EA @ IECKEA JA 1 = k1 1 tal que 2 k 1
k2 1

nk

X =

X1 nk1

X2 nk2

k = k1 + k2

4A? H@= @ GKA = AIJE =?E E I ?K=@H=@ I H@E =HE= E F E?= @AIFA =H A = X Y F @A I LA?J H @A F=H AJH I @A IEIJA = @A A?K=?E AI H = AI X X AI?HE>EH AIJ A BK ?E @A =I =JHE?AI F=HJE?E =@=I

X1 X2

X1 X2

X1 X1 X1 X2 X2 X1 X2 X2

1 2 1 2

= =

X1 Y X2 Y X1 Y X2 Y

GKA FKA@A IAH ANFHAI=@ @A = IECKEA JA B H =

1 + X X2 2 = X Y X1 X1 1 1 X2 X1 1 + X2 X2 2 = X2 Y
,A (ii) F @A

(i) (ii)

2 I @AIFA =H 1 2 = X Y X X1 X2 X2 2 2 1 ) 2 = X (Y X1 X2 X2 2 1 1 ) (iii) 2 = (X X2 ) X (Y X1 2 2

'

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

4AA F = = @ (iii) A (i)

1 + X X2 (X X2 )1 X (Y X1 1 ) X1 Y = X1 X1 1 2 2
P2

1 + X P2 Y X P2 X1 1 X1 Y = X1 X1 1 1 1 X P2 X1 1 X1 Y X1 P2 Y = X1 X1 1 1 X1 (I P2 ) Y = X1 (I P2 ) X1
M2 M2

)I >JA A I A AIJE =@ H F=HJE?E =@=

@A 1 O 2 A B H = =

C= @A K = HACHAIE

1 = (X M2 X1 )1 X M2 Y 1 1 1 2 = (X2 M1 X2 ) X2 M1 Y
6= >E IA FKA@A @A AIJE =@ HAI I IJH=H GKA =I =JHE?AI @A L=HE= =I O ? L=HE= =I @A = > I

1 ) = 2 (X M2 X1 )1 ( V 1 2 V (2 ) = (X2 M1 X2 )1
, @A 2 IA >JEA A KJE E = @ = KAIJH= ? F AJ=

!%
!%
+ = 5KF

EIE

@A 8=HE=> AI 4A AL= JAI

1 F=?J I >HA A 1 IAIC= EA J

@A F > =?E = ANFHAI=@ A @AIL I ? HAIFA?J =

IE@AHA A IECKEA JA A@E=

Y = X1 1 + X2 2 + u
C= =D H= GKA A E LAIJEC=@ H IA AGKEL ?= O AIJE = A IECKEA JA @A

Y = X1 1 + u
-IJE = @ A @A
E ? HHA?J  >JA A I

1 = (X X1 )1 X Y 1 1 = 1 + (X1 X1 )1 X1 X2 2 + (X1 X1 )1 X1 u


+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

F H

?K=

1 ) = 1 + (X X1 )1 X X2 2 E ( 1 1 = 1 + Z2
E F E?= GKA F H CA AH= = EIE @A L=HE=> AI HA AL= JAI GKA FAHJA A?A @A F > =?E =  ?=KI=H GKA I F=H AJH I AIJE =@ I IA= IAIC=@ I IK?A@AH I A A ?=I GKA  AI @A?EH GKA X1 O X2 IA= HJ C = AI IE 2  =K GKA @E?D ?=I AI ? JH=@E?J HE @=@ GKA E F E?=H = GKA = L=HE=> A FAHJA A?A = @A F > =?E =  = @EHA??E @A IAIC AI @EB ?E @A >JA AH IE A >=HC ?= IE FA I= I A 1 O 2 ? AI?= =HAI - @E?D ?=I A = EIEI IA IE F E =

1 ) = 1 + Cov (X1 , X2 ) 2 E ( V (X1 )

,A = JAHE H IA @AIFHA @A GKA = @EHA??E @A IAIC @AFA @A @A ? ? L=HEA =I L=HE=> AI E ? KE@=I ? HAIFA?J = =I AN? KE@=I O @A IEC @A F=H AJH EJE@

!%

1 F=?J I >HA = 8=HE=

@A

=
= IAH

-IJE = @ A

E ? HHA?J  A AIJE =@ H @A = L=HE=

1 /X1 ) = 2 (X X1 )1 V ( 1
EA JH=I GKA IE DK>E H= I AIJE =@ A @A ? HHA?J IA FKA@A @A  ? HHAIF @AH = = = L=HE= = @A AIJE =@ H E IAIC=@ @A 1  1 IJH=H GKA

/X1 , X2 ) = 2 (X M2 X1 )1 V ( 1 1
@ @A M2 = I X2 (X2 X2 )1 X2 JHE?AI KAC ? F=H= I =I E LAHI=I @A = >=I =

1 /X1 ))1 (V ( /X1 , X2 ))1 = 2 (X X2 (X X2 )1 X X1 ) (V ( 2 2 1 1

J= GKA IA FKA@A @A IJH=H GKA @E?D= =JHE AI @A E@= F IEJEL=

2 H J= J A EJEH L=HE=> AI HA AL= JAI E F E?= GKA I F=H AJH I AIJE =@ I IAH IAIC=@ I O GKA IKI L=HE= =I IAH A HAI I= J= >E AI F IE> A 2 @A IJH=H GKA A AIJE =@ H @A = L=HE= = @A I AHH HAI   AI IAIC=@ D=?E= =HHE>=  = L=HE= = F > =?E = AI A H 

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!%!

-A F
O GKA A

5KF C= GKA K E LAIJEC=@ H GKEAHA AIJE =H A HAJ H = = A@K?=?E @A LAH@=@AH  >LE= A JA AI K ?=I E KIJH=JEL  AIJ @=@ F H

Wi = 1 Ei + 2 EXPi + ui
,

(1)

@A Wi ? HHAIF @A = C=HEJ @A I= =HE @A E @ELE@K E Ei ? HHAIF @A = I = I @A A@K?=?E @A E @ELE@K E EXPi ? HHAIF @A = I = I @A ANFAHEA ?E= => H= @A E @ELE@K E$ O ui ? HHAIF @A = K J H E @A AHH H >EA ? F HJ=@ @A F=H= IK AIJE =?E

5E A >=HC AIJA E LAIJEC=@ H KJE E = A IECKEA JA

Wi = 1 Ei + ui
I HAIK J=@ I @A @A LAH@=@AH I

(1)

I HAIK J=@ I A

@A

AIJE =@ I

= ?K= AIJ= @A

E@= ?

EXPi = Edadi Ei 6



+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2 @A I LAH A F=H AJH GKA =? F= = = = L=HE=> A = I @A A@K?=?E AI A H A A @A AIJE =@ GKA A A @A LAH@=@AH -IJ= @EHA??E @A IAIC IA FKA@A ANF E?=H F H A IEC @A F=H AJH GKA =? F= = = = L=HE=> A ANFAHEA ?E= A A @A LAH@=@AH O = = HA =?E ANEIJA JA A JHA A@K?=?E O ANFAHEA ?E= A A AH?=@ => H=

!

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!&
!&
+

1 ? KIE

@A 8=HE=> A 1HHA AL= JAI

1 F=?J I >HA 1 IAIC= EA J

@A F > =?E =

IE@AHA =D H= A IECKEA JA

Y = X1 1 + u
5KF C= =D H= GKA A E LAIJEC=@ H IA AGKEL ?= O AIJE = A IECKEA JA @A

Y = X1 1 + X2 2 + u
-IJE = @ A @A
E ? HHA?J  >JA A I

1 = (X M2 X1 )1 X M2 Y 1 1 = 1 + (X1 M2 X1 )1 X1 M2 u
@ @A M2 IA @A A ECK= GKA A = IA??E = JAHE H - J ?AI

1 ) = 1 E (
O? A EI H= = EA J IA FKA@A @A IJH=H GKA

E ( 2) = E = 2

u u T k1 k2
A I F=H AJH I @E?D I HAIK J=@ I @A 5E A >=HC I AIJE =@ I

AI @A?EH = E ? KIE @A L=HE=> A EHHA AL= JAI ?=KI= IAIC AIJE =@ I E A = L=HE= = @A I AHH HAI AIJE =@ I *= F=HA?EAH= GKA AI A H F AH K?D I HACHAI HAI A KAIJH I B= J= AIJK@E=H GKA IK?A@A ? = L=HE= = @A I F=H AJH

!&

1 F=?J I >HA 8=HE=

I GKA

4A? H@A

1 = 1 + (X M2 X1 )1 X M2 u 1 1
? ?K= = L=HE= = AIJE =@=

1 /X1 , X2 ) = 2 (X M2 X1 )1 V ( 1
"

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

EA JH=I GKA = L=HE=

= LAH@=@AH=

1 /X1 ) = 2 (X X1 )1 V ( 1
A J ?AI = L=HE= = L=HE= A IA ? FH >= I ? = JAHE HE@=@ = L=HE= = LAH@=@AH= AI A H GKA = AIJE =@= - E F E?= GKA A E ? KEH HACHAI HAI =@E?E = AI =K A J= = @A KAIJH I F=H AJH I AIJE =@ I ?K= IA JH=@K?A A F=H AJH I ?EA JAI

!&!

-A F
O GKA A

5KF C= GKA K E LAIJEC=@ H GKEAHA AIJE =H A HAJ H = = A@K?=?E @A LAH@=@AH  >LE= A JA AI K ?=I E KIJH=JEL  AIJ @=@ F H

Wi = 1 + 2 Ei + ui
,

(1)

@A Wi ? HHAIF @A = C=HEJ @A I= =HE @A E @ELE@K E Ei ? HHAIF @A = I = I @A A@K?=?E @A E @ELE@K E O ui ? HHAIF @A = K J H E @A AHH H >EA ? F HJ=@ 5E A >=HC AIJA E LAIJEC=@ H KJE E = A IECKEA JA @A F=H= IK AIJE =?E

Wi = 1 + 2 Ei + 3 Di + ui
, @A Di ? HHAIF LE@K BK = O  IE I HAIK J=@ I @A @A = K = L=HE=> A @E? J BK = @A LAH@=@AH I

(1)
= A L= H  IE A E @E

E?= GKA J

I HAIK J=@ I A

@A

AIJE =@ I #

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2 @A I LAH ANEIJA K = L=HE=?E E F HJ= JA A I F=H AJH I @A @A AIJE =@ O A @A LAH@=@AH 5E A >=HC J= ? D=> = I @A IJH=@ = L=HE= = @A I F=H AJH I =K A J= @EI E KOA @ A J ?AI = A ?EA ?E=

$

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! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

!'

2AHJKH>=?E

AI

-IB HE?=I

7 IKFKAIJ E F HJ= JA A A @A ? IE? @A HACHAIE E A= 5KFKAIJ " AI GKA I AHH HAI ui I D ?A@ IJE? I AI @A?EH = L=HE= = AI ? IJ= JA F=H= J @ L= H @A Xi

V ar(ui ) = V ar(uj ) para i = j

Figura 8: Homocedasticidad

+K= @ A IKFKAIJ "

IA ?K F A

I AHH HAI I

0AJAH ?A@=IJE? I

Figura 9: Heterocedasticidad

)@A I IA IKF 5KFKAIJ #

= GKA

IJ H E

I @A AHH H

AIJ=>= ? HHA =?E

=@ I A JHA IE

Cov (ui uj ) = 0 para i = j

%

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! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

-I @A?EH JA = I GKA E [uu ] 2 In =D H= IE A J H E @A AHH H ?K F A ? 2 I IKFKAIJ I @A @A @A HACHAIE E A= JA A I GKA E [uu ] , @A AI K = =JHE @A E@= F IEJEL=

!'
4A? H@A

IA?KA ?E=I @A AIJE =?E

+ AI

F H

I GKA A AIJE =@ H

= (X X )1 X Y = + (X X )1 X u
+ F H

|X ] = O A IKFKAIJ @A GKA E [u|X ] = 0 IA = JEA A JA A I GKA = E [ J= J E [ ]  ,A AIJ= B H = A AIJE =@ H + ? FAHJKH>=?E AI AIB HE?=I IECKA IEA @ E IAIC=@ O ? IEIJA JA 2AH IAH A ?EA JA @=@ AI E [uu ] 2 A J ?AI = L=HE= = @A ) = E V ar(

= E (X X )1 X uu X (X X )1 = 2 (X X )1 (X X )(X X )1 IAH ECK= = 2 (X X )1 ,A AIJ= B H = I IE = In = =JHE @A ? L=HE= =I @A F H J= J A AIJE =@ H + A FHAIA ?E= @A FAHJKH>=?E AI AIB HE?=I JA @H L=HE= = E = AI @A?EH IAH A ?EA JA - J ?AI ?K= GKEAH E BAHA ?E= >=I=@= A 2 (X X )1 AL=H = ? ? KIE AI AHH A=I

!'

-IJE =?E E =@ I

- ?EA JA

I +K=@H=@ I /A AH=

= AIJE =?E A ?EA JA @A A A @A CA AH= E =@ @ @A I AHH HAI FKA@A IAH AIB HE? I HAGKEAHA A ? ?E EA J @A 2=H= ? A =H IKF @HA I GKA AI K = =JHE ? ?E@= IE JHE?= O @A E@= F IEJEL= *= AIJ=I ? @E?E AI A J @ @A FAH EJA AIJE =H @A = AH= A ?EA JA ,=@ GKA AI K = =JHE IE I F=H

I +K=@H=@ I /A AH= E =@ I
AJH I E@= F IEJEL= FKA@A IAH @AI?

JHE?= @A

FKAI

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! . H = .K ?E

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J= @A = IECKEA JA

= AH= %

= C C
@ @A =I ? K =I @A C I I LA?J HAI FH FE I @A O I L= HAI FH FE I j  @A IA A ?KA JH= A = @E=C = @A - J ?AI IA= 1/2 = =JHE @E=C = ? A IE A A A J ECK= = j O IA= T = C 1/2 ,A AIJ= B H = = T T )@A I IA= P = C 1/2 O F H J= J 1 = P P & 5E FHA K JEF E?= I Y = X + u F H P >JA A I ! $

P Y = P X + P u o Y = X + u
JA I GKA ! $ AI K @A JH= IB H =@ @A B H = J= GKA

V ar(u ) = E [u u ] = 2 P P = 2 In
2 H J= J @A HACHAIE A @A JH= IB H =@ ?K F A ? I IKFKAIJ I @A @A O IA FKA@A KJE E =H + F=H= AIJE =H A F=H AJH

! % ? IE?

M CG = (X X )1 X Y 1 = (X P P X ) X P P Y = (X 1 X )1 X 1 Y
+ A AIJE =@ H +/ @A AI E@ JE? = AIJE =@ H + =F E?=@ = M CG AI - 1 JH= IB H =@ ! $ O GKA ?K F A ? I IKFKAIJ I @A

!'!

6AIJ @A 0EF JAIEI

KAL= A JA ? A AIJE =@ H +/ AI ECK= = AIJE =@ H + I GKA IA =F E?= = @A JH= IB H =@ J @ I I FH ?AI I F=H= JAIJA=H DEF JAIEI O ? IJHKEH E JAHL= I @A ? = = IA = JEA A 2 H A A F IE GKAHA I JAIJA=H G DEF JAIEI E A= AI H0 : Q = c IA JEA A A
% -IJ & -IJ

C = C 1

IA ? ?A ? ,AI? F IE?E -IFA?JH= @A K = =JHE LEA A @A = HJ C = E@=@ @A + GKA E F E?= GKA I = C C = CC O A J

?AI

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1 1 M CG c [Q 2 M CG c Q Q M CG (X X ) Q]

Fq,nk

M CG c M CG c [Q (X X )1 Q]1 Q Q 1 Fq,nk 2 q M CG
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AI

2 M CG

M CG 1 Y X M CG Y X u u = = nk nk

!'"

-IJE =?E ?K= @ AI @AI? E I +K=@H=@ I .=?JE> AI

?E@=

) JAHE H A JA =IK E I GKA AH= ? ?E@= A AIJA ?=I K = IE F A JH= IB H =?E @A @A @A HACHAIE E A= AL= = K = =JHE @A ? L=HE= = AIB HE?= - = FH ?JE?= AI @AI? ?E@= O AI A?AI=HE AIJE =H I F=H AJH I = E JAHE H @A AIJ= =JHE

-I - J ?AI GKA @A>A I D=?AH AI IKIJEJKEH F H K AIJE =@ H @A A = J IA @A E = AIJE =@ H E I +K=@H=@ I .=?JE> AI  +. @ @A A AIJE =@ H @A IA @A A @A = IECKEA JA B H = M CF = X 1 X
1

1 y X

- FH > A = AI GKA JA A I I E ? C EJ=I     A GKA >IAHL=?E AI F=H=  - = FH ?JE?= F=H= CH=H = AIJE =?E @A @A>A I =IK EH GKA AI BK ?E @A K AH O HA@K?E@ @A F=H AJH I - FH > A = IA HA@K?A = O KI=H F=H= ? FKJ=H ) = ( A ? JH=H

 

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!'#

0AJAH ?A@=IJE?E@=@
=I

= 0AJAH ?A@=IJE?E@=@ IKHCA ?K= @ = FAI=H @A GKA + Lui uj   F=H= E= 2 L=HE= =I @A ?=@= >IAHL=?E I @EBAHA JAI AI @A?EH V ar(uj ) = j F=H=  = =JHE @A ? L=HE= =I A AIJA ?=I AI 2 1 0 1 0 2 E [uu ] = 2 = = 2 0 n 0 n
4000000 salario 2000000 3000000

Recta de regesin poblacional (RRP)

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x
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x
10

12
Escolaridad

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Figura 2: Distribucin de los salarios para distintos niveles de educacin.

= DAJAH ?A@=IJE?E@=@ AI K FH > A = >=IJ= JA HA?KHHA JA AIFA?E= A JA = JH= >= =H ? @=J I @A ? HJA JH= ILAHI= ) CK =I H= AI F H =I GKA ui FKA@A L=HE=H I =I IECKEA JAI IKI =K AHH I @A I @A =FHA @E = A I >HA AHH HAI = A@E@= GKA = CA JA =FHA @A AHH HAI @A ? F HJ= EA J I A HAI =I A AIJA ?=I = A@E@= GKA A J= =I D H=I @A FH ?JE?= @A K = ?EAHJ= =?JELE@=@ = L=HE= = @A I HAI IA HA@K?A

) A@E@= GKA =K A J= I E CHAI I = CA JA JEA A I F IE>E E@=@AI @A @EIF AH @A F=HJA @A AIA E CHAI @A = B H = GKA @AIAA )I A K = HACHAIE 2 @A =D HH ? JH= E CHAI AI F IE> A GKA i =K A JA A = A@E@= GKA A E CHAI =K A J= = 0AJAH ?A@=IJE?E@=@ J= >E FKA@A IKHCEH F H = FHAIA ?E= @A B=?J HAI =J FE? I GKA AI KO @EBAHA JA = =I HAIJ= JAI >IAHL=?E AI  

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) EJEH L=HE=> AI HA AL= JAI = F=HJA @A IAIC GKA IA FH @K?A A =I AIJE = ?E AI F H AIJ IA FH @K?A 0AJAH ?A@=IJE?E@=@ O= GKA AIJA L=HE=> A AIJ=H A A J H E @A AHH H O F H J= J = L=HE= = @AFA @AH @A A = JH= BKA JA @A 0AJAH ?A@=IJE?E@=@ AI = =IE AJH = A I L=HE=> AI ANF E?=JEL=I E ? KE@=I A A @A HEGKA = O A@K?=?E = @EIJHE>K?E @A K = F H A A F E CHAI

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! . H = .K ?E

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

+ A ?E = I = JAHE H A JA A FHAIA ?E= @A 0AJAH ?A@=IJE?E@=@ A AI JE =@ H + IACKEH IEA @ E IAIC=@ FAH JA @H L=HE= = E = - AI JE =@ H GKA IE ?K F A ? = FH FEA@=@ @A - 1 AI A @A +/ -IJA JE AIJE =@ H HAGKEAHA ? ?E EA J @A = =JHE 5E A >=HC 9DEJA '& D= FH FKAIJ K = =FH NE =?E = = =JHE @A ? L=HE= =I @A AIJE =@ H +

|X ) = (X X )1 (X 2 X )(X X )1 V ar(
GKA HAGKEAHA K = HAFHAIA J=?E AIFA?E ?= @A = B H = BK ?E = GKA =@ FJ= = DAJAH ?A@=IJE?E@=@ F H GKA JA @HA I HEAIC @A =IK EH K = B H = BK ?E = E ? HHA?J= = IKCAHA ?E= @A 9DEJA AI GKA = L=HE= = IECKEA JA B H =

M CO IA ANFHAIA @A = @A AIJE =@ H

|X ) = n(X X )1 V ar(
IA @A A

1 2 X X (X X )1 n

= n1 2 X X
n

= n
= GKA IA AIJE = @A = IECKEA JA B H =

1 i=1

2 i xi xi

= n1
i=1

u i 2 xi xi

9DEJA @A KAIJH= >=

@E?E

AI CA AH= AI GKA
n

= n1
i=1

u i 2 xi xi
IEIJA JA @A = =JHE @A ? L=HE= =I AI ! &

,A AIJ= B H = K = AIJE =?E

|X ) = n(X X )1 ( X X )1 V ar(
IK ? F=H=?E ?

2 (X X )1 FKA@A @=H

?E

@A CH=@ @A DAJAH ?A@=IJE?E@=@

= AIJE =?E @A 9DEJA @A K = =JHE ? IEIJA JA ? 0AJAH ?A@=IJE?E@=@ AI K HAIK J=@ KO JE O= GKA IA A?AIEJ= I=>AH = =JKH= A = @A = 0AJAH ?A@=IJE?E@=@ ) JA = @K@= @A FHAIA ?E= @A AIJA FH > A = AI A H ?KF=H AIJA AIJE =@ H O= GKA FH @K?A = JAH=?E AI O I FAH EJA D=?AH E BAHA ?E= ? HHA?J= ? IE = FHAIA ?E= @A 0AJAH ?A@=IJE?E@=@  !

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! . H = .K ?E

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-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

JH=IJAI @A 0AJAH ?A@=IJE?E@=@

 - ? JH=IJA @A 9DEJA = DEF JAIEI K = AI @A 0 ?A@=IJE?E@=@ = 2 ECK= GKA A J @ I I ? JH=IJAI GKA AIJK@E=HA I -IJ AI H0 i = 2 AI E >= = DEF JAIEI K = A AIJE =@ H @A = =JHE @A ? L=HE= =I @A 2 1 V ar( |X ) = (X X ) FAH >= = DEF JAIEI = JAH =JEL= AI ! & *=I= @ A = >IAHL=?E @A AIJ 9DEJA FH F A K JAIJ GKA FKA@A >JA AHIA = ?= ?K =H 42 @A K = HACHAIE @A u 2 JH= J @ I I FH @K?J I F IE> AI i ? A JHA =I L=HE=> AI ANF E?=JEL=I ,A KAIJH= GKA R2 2 @A AI A J 1 @ AH @A HACHAI HAI @A AIJ= A?K=?E + IE@AHA I A IECKEA JA @A

yi = 0 + 1 xi + 2 zi + ui
I F=I I F=H= HA= E =H A JAIJ @A 9DEJA I

=

O >JA AH {u i }n i=1

I HAIE@K I @A = AIJE =?E @A u 2 i I >HA K = ? = JAHE H

@A

@A

= JAHE H F H

>  + HHAH K = HACHAIE ? +

2 IJ= JA xi zi x2 i zi O xi zi

FKJ=H 42 @A = HACHAIE

@  2=H= A ELA @A IEC E ?= ?E= AI? CE@ ? F=H=H 42 ? A L= H ?H JE ? @A K = @EIJHE>K?E ?DE ?K=@H=@ ? # CH=@ I @A E>AHJ=@ 5E 42 AN?A@A A L= H ?H JE? IA HA?D= = = DEF JAIEI K = @A 0 ?A@=IJE?E @=@

- ?

2 GKA = =C EJK@ @A i @AFA @A @A ?EAHJ= L=HE=> A zi = GKA CA AH= A JA AI K = L=HE=> A ANF E?=JEL= FAH AI A?AI=HE 5KF C= I GKA @E?D= 2 HA =?E AI F IEJEL= AI @A?EH F=H= L= HAI I = J I @A zi =O H AI i =I >IAHL=?E AI IA @ELE@A A @ I CHKF I >= = DEF JAIEI K = = > I CHKF I JEA A = EI = L=HE= = FAH >= = = JAH =JEL= =I L=HE= =I @E AHA IEC E ?=JEL= A JA - J ?AI A ? JH=IJA ? IEIJA A

JH=IJA @A / @BA @ O 3K= @J AIJA ? JH=IJA F=HJA @A IKFKAIJ @A

= >

H@A =H =I >IAHL=?E =O H

AI F H

I L= HAI @A = L=HE=> A zi @A

H=

EJEH F >IAHL=?E AI A = EJ=@ @A = KAIJH= IA IKCEAHA I @A = JAH?AH= F=HJA @A =I >IAHL=?E AI

A E E =H

p ?  -IJE =H @ I LA?AI A @A HECE = K = ? =I n FHE AH=I > 2 n p IAHL=?E AI KAIJH= AI O JH= ? =I 2 JE =I >IAHL=?E AI A = KAIJH= J=H GKA F @A>A IAH IK ?EA JA A JA FAGKA @A = AH= p IA= =O H = AH @A F=H AJH I GKA T 2

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@  5A ?= ?K = AI AIJ=@ IJE?

u 2 u 2 Fm,m u 1 u 1

con m =

np k 2

5E IA I IFA?D= GKA = L=HE= = @A AHH H @AFA @A E LAHI= A JA @A zi A J ?AI =I >IAHL=?E AI IA @A>A H@A =H @A =O H = A H 5E IA AC= = = ? ? KIE @A GKA A J H E @A AHH H @A @A FHAIA J= DAJAH ?A@=IJE?E@=@ F @H = @A>AHIA = GKA DA I ? A =@ ? K = = = 2 AIFA?E ?=?E @A F=H AJH i GKA GKE I @AFA @A @A K L=HE=> A @EBAHA JA = = GKA DA I IKFKAIJ 2 H AIJ= H= A ? JH=IJA @A>AH = HA= E =HIA L=HE=I LA?AI ? @EIJE J=I L=HE=> AI @A =I GKA JA C= I I IFA?D=I FKA@= @AFA @AH = L=HE= = @A J H E @A AHH H ! - ? JH=IJA @A *HAKI?D O 2=C= IKF C= I GKA = L=HE= = @A J H E @A AHH H @A ?=@= >IAHL=?E @AFA @A @A K LA?J H @A L=HE=> AI zi @A @E A IE F AI @A?EH
2 i = h(zi ) = h(0 + 1 z1i + 2 z2i + ... + p zpi )

JA I GKA IE J @ I I ? A ?EA JAI I AN?AFJ A ? HHAIF @EA JA = 0 BKAIA ?AH JA @H = I K = IEJK=?E @A 0 ?A@=IJE?E@=@ 2 H J= J IE FKA@EAH= I AIJE =H I ? A ?EA JAI 0 1 p K ? JH=IJA F=H= = DEF JAIEI K = @A 0 ?A@=IJE?E@=@ AI

H0 :

1 = 2 = ... = p = 0
JH=IJA I @A HECE = O IA >JEA A H = E =@ I = ?K=@H=@
n i=1

I F=I I F=H= HA= E =H AIJA ?

=  5A AIJE = F H HAIF @EA JAI

I HAIE@K I ? H

>  5A >JEA A = IAHEA @A HAIE@K I

e 2 i =

u 2 i 2 u

2 i = 1, ..., n donde u =

u 2 i

IJ= JA O =I L=HE=> AI z1i ?  5A AIJE = K = HACHAIE @A e 2 i I >HA K = ? z2i zpi O IA >JEA A = IK = ANF E?=@= 5- @A @E?D= HACHAIE '

@  *= = DEF JAIEI K = @A 0 ?A@=IJE?E@=@ O @=@ A IKFKAIJ @A SE IA @EIJHE>KOA 2 H = E@=@ @A J H E @A AHH H = H= p 2

H@A I GKA = IK = ANF E?=@= @A K = HACHAIE = L=HE=> A @AFA @EA JA
' 4A?

AI ECK= =

n yi i=1 (

y )2 ?K= @ yi AI

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" - ? JH=IJA @A / AI AH AIJA ? JH=IJA AI I = >E?E I GKA A = JAHE H O= GKA JH=J= @A AIJE =H = LAH@=@AH= AIJHK?JKH= @A 0AJAH ?A@=IJE?E@=@ E EJ @ IA = K = AIJHK?JKH= E A= 5E A >=HC K = E EJ=?E @A ? JH=IJA @A / AI AH AI GKA I HAIK J= JE ?K= @ IA ?HAA GKA @E?D= AIJHK?JKH= FKA@A ANF E?=HIA I ? K = L=HE=> A -IJA ? JH=IJA IA D=?A A JHAI AJ=F=I

=  -IJE =H A

@A

F H

O >JA AH

I HAIE@K I ? HHAIF

@EA JAI

>  -IJE =H K = HACHAIE @A L= H =>I KJ @A u i K = F JA ?E= @A = L=HE=> A zi AI @A?EH

IK ?K=@H=@ u 2 I >HA

|u i | = 0 + 1 zih + i
1 1 , 2 -I? CAH A F=H= @EIJE J I L= HAI @A ANF A JA h h = 1, 1, 2 L= H @A h GKA FH F H?E A K = A H HACHAIE ? A ?EA JA 1 IEC E ?=JEL O K = IK = HAIE@K= FAGKA =

?  7 = LA IA A??E =@ h IA @ELE@A A LA?J H @A @E A IE   B H =@ 0 + 1 z h IE IA AIJE F H =I >IAHL=?E AI yi xi  @A ?=@= FAHE @ F H = i 0 + 1 z h IE IA AIJE u 2 HACHAIE @A u i O F H @A i O IA AIJE = A i @A KAL F H + FAH =D H= ? =I L=HE=> AI JH= IB H =@=I

-A F

2H @K??E

O- FA F H?

K E@=@AI =KJ

=I @A -IF= =

+ A A F AIJE A I = HA =?E GKA ANEIJA A JHA A F A O 2E> A =I ? K E@=@AI =KJ =I AIF= =I 5A @EIF A @=J I @A 21* A E AI @A E AI @A FAIAJ=I O @A ?KF=@ I A E AI @A FAHI =I F=H= '&' I GKA IA KAIJH= A = IECKEA JA J=> =

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Estimador de la desviacin estandar del error ~2 u

= = =

SEC/(n-k) 4307097.27/16 269193.56 518.84

u=

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- AIJE =@ H @A F=H AJH =I ?E=@ = A F A HAIK J= IAH IEC E ?=JEL F H ?=@=   A F A=@ H A 21* =K A J= A ! %$ E AI @A FAIAJ=I 5E A >=HC = AIJE =?E @A = ? IJ= JA AI >=IJ= JA E FHA?EI= O F H A HAIK J= IAH IEC E ?=JEL= -NEIJA = F IE>E E@=@ @A GKA = L=HE= = @A ? F A JA @A 21* ANF E?=@ F H A A F A =K A JA ? AIJA AI @A?EH JA C= I K FH > A = @A 2 DAJAH ?A@=IJE?E@=@ @ @A i @AFA @A @A empleoi O @A AIJ= B H = i @AFA @A + AIJ= I IFA?D= AI A?AI=HE JAIJA=H 0AJAH ?A@=IJE?E@=@ @A empleo2 i

 6AIJ *HAKI?D 2=C=

F=H= HA= E =H AIJA JAIJ FHE AH @A = AIJE =?E + @A @A @A E JAH I IA >JEA A I HAIE@K I KAC IA ? FKJ= I HAIE@K I H = E =@ I @ELE@EH ?=@= HAIE@K = ?K=@H=@ F H A AIJE =@ H @A = L=HE= = @A AHH H 5A AIJE = K = HACHAIE A JHA I HAIE@K I CA AH= E =@ I O A A F A = ?K=@H=@

SE

= 7,64 GKA HAIK J= 7 = LA HA= E =@= = AIJE =?E IA ? IJHKOA A AIJ=@ IJE? SE 2 2 = = ! &" @A AIJ= B H = IAH =O H = L= H @A J=> = @A K = 1 = '#  @A ? IA HA?D= = = DEF JAIEI K = @A D ?A@=IJE?E@=@

6AIJ / @BA @ O 3K= @J AI @A AIFAH=H GKA = L=HE= = @AFA @= F IEJEL= A JA @A ELA @A A F A @A AIJ= B H = H@A = I =I >IAHL=?E AI @A A H = =O H ELA @A A F A O EJE I =I $ >IAHL=?E AI GKA ?KF= I KC=HAI ?A JH= AI KAC AIJE = I @ I @A I ?=@= K ? $ >IAHL=?E AI O IA ? FKJ= A AIJ=@ IJE? ECK= = = @ELEIE @A = IK = HAIE@K=
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= 93.2

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!'$

)KJ ? HHA =?E

) ? EA @A AIJ= IA??E AN= E = I A ?=I CA AH= ?K= @ = =JHE @A L=HE = =I O ? L=HE= =I @A AHH H @A =>= @A ?K F EH I IKFKAIJ I " O # A AIJA ?=I = =JHE O= AH= 2 In IE GKA AH= ECK= = 2 = B H = GKA J A AIJ= =JHE @AFA @AH @A ?K= @A I @ I IKFKAIJ I IA AIJ=>= H FEA @ - = IA??E ! & # LE I GKA B H = J = = =JHE IE IA H FA A IKFKAIJ " @A 0 ?A@=IJE?E@=@ A A J H E @A AHH H A AIJA ?=I = =JHE @A L=HE= =I O ? L=HE= =I @A AHH H AI AI?= =H  AIB HE?= F HGKA I A A A J I @A = @E=C = AH= @EIJE J I F=H= ?=@= >IAHL=?E i 2 H JH= F=HJA = =KJ ? HHA =?E IKFKAIJ # @A =KJ ? HHA =?E AI K FH > A = GKA IKHCA ?K= @ H A I AHH HAI - E F E?= GKA FA IA

Cov (ui uj ) = 0 para i = j

= =KJ ? HHA =?E A A J H E @A AHH H IA @= A @ @A AI K FH > A = >=IJ= JA ? I @=J I IA IAHEA @A JEA F = =JHE ? DAJ ? IEC JA A I

KAC KAIJH= =JHE @A L=HE= =I O ? L=HE= =I @A AHH H O= IAH K @E=C = ? A A ?=I @A L=HE= =I AIB HE?=I O AIB HE?= FAH I AH ?A@=IJE?E@=@ O= GKA A J H E @A AHH H IA A ?KA JH= ? HHA =?E =@ EI = JH=L I @A JEA F = B H = GKA J = = =JHE ?K= @ I =KJ ? HHA =?E FAH I AHH HAI I D ?A@ IJE? I 2 1,2 1,3 1,T 2,1 2 2,3 2,T 3,1 3,2 2 3,T 2 E [uu ] = = 2 T,1 T,2 T,3 @ @A t,q = cov (ut uq ) KAIJH @A =D H= IAH

yt = Xt + ut t = 1, 2, ..., T. ut = ut1 + t
@ @A ? LE IA = IA??E ! " A AHH H IECKA K FH ?AI )4

! '

!

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

=JHE @A 8=HE=
- AIJA ?=I A J H E

=I O + L=HE=

=I ?K= @ ut AI K )4

@A AHH H JEA A = B H = IA = =@= A ! '

ut = ut1 + t
2  V (ut ) = V (ut1 + t ) 2 V (ut1 ) + @A AIJ= B H = V (ut ) =
2 12

+ E (ut ) = 0 Cov (ut ut1 ) = E (ut ut1 ) += ?K A = =

I AIJ=

JE = AIFAH

ut ut1 = ut1 (ut1 + t ) = u2 /E () t1 + ut1 t 2 E (ut ut1 ) = E (ut1 ) + E (ut1 t )

2 0

E (ut ut1 ) =
! 5ECKEA @ B H = = EI =

CE?= = JAHE H E (ut , ut2 ) IA ?= ?K = @A = IECKEA JA

ut ut2 = ut2 (ut1 + t ) = ut1 ut2 + ut2 t /E () E (ut ut2 ) = E (ut1 ut2 ) + E (ut2 t )
2 0

E (ut ut2 ) = 2 2
" )I IA FKA@A @AHEL=H = IECKEA JA ANFHAIE CA HE?=

E (ut ut(T 1) ) = T 1 2

!

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

- J

?AI

E [uu ] = 2 = =

2 1,2 1,3 2,1 2 2,3 3,1 3,2 2 T,1 T,2 T,3 2 2 2 2 2 2 2

1,T 2,T 3,T 2

T 1 2 T 2 2 T 3 2 2

2 2 2 2

T 1 2 T 2 2 1 2 1 2 1 = 2 T 1 T 2 T 3

T 3 2 T 1 T 2 T 3 1

=JKH= A = O ?=KI=I @A = =KJ ? HHA =?E

-NEIJA =KJ ? HHA =?E ?K= @ A J H E @A AHH H @A K @A A? JHE? AIJ ? HHA =?E =@ ? IEC EI = JH=L I @A JEA F 2 H IKFKAIJ AI A?AI=HE GKA ut AIJA ? HHA =?E =@ ? IEC EI I K FAHE @ =JH I AIJ= ? HHA =?E FKA@A IAH @A ?K= GKEAH H@A AI @A?EH ut FKA@A IAH K )4 )4  )4G AJ? )I @AFA @EA @ @A ?K= IA= A H@A @A = =KJ ? HHA =?E A A J H E @A AHH H = =JHE @A L=HE= =I O ? L=HE= =I EH= J = @ @EIJE J=I B H =I = =KJ ? HHA =?E A A J H E @A AHH H FKA@A IAH FH @K?E@= F H L=HE=I ?=KI=I

-NEIJA ?E= @A ?E? I O JA @A ?E=I 5E = =KJ ? HHA =?E AI F IEJEL= AI @A?EH A ! ' A ? A ?EA JA AI F IEJEL  K L= H = J @A ut GKA CA AH= K L= H @A yt F H I >HA IK A@E= ? @E?E = JA @H K = FH >=>E E@=@ A AL=@= @A EH IACKE@ F H K L= H = J @A ut+1 O F H A @A K L= H @A yt+1 F H A ?E = @A FH A@E EI ?KHH = F=H= yt @A>= @A FH A@E 5E A >=HC IE ANEIJA =KJ ? HHA =?E AC=JEL= L= HAI @A yt F H I >HA IK L= H FH A@E ? @E?E = EH IACKE@ I ? = J= FH >=>E E@=@ @A L= HAI @A yt+1 F H @A>= @A IK FH A@E 2 H J= J = =KJ ? HHA =?E F IEJEL= AIJ= =I ?E=@= = = ANEIJA ?E= @A H=?D=I @A L= HAI = J I O >= I @A yt
!

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Autocorrelacin Positiva

Autocorrelacin Negativa

- J ?AI IE @A>E@ = = E AH?E= FHAIA JA A = =O H = @A =I L=HE=> AI =?H A? E?=I = L=HE=> A A @ CA = FHAIA J= ?E? I O AIJ I I >EA ANF E?=@ I F H = L=HE=> AI AN CA =I @A @A A J H E @A AHH H JA @H =KJ ? HHA =?E 2 H JH= F=HJA J= >E AI ?EAHJ GKA = =O H = @A =I L=HE=> AI A? E?=I O AIFA?E= A JA =I L=HE=> AI A@E@=I A J H E I E = AI JEA A K = JA @A ?E= CA AH= A JA ?HA?EA JA 5E A ? K J @A L=HE=> AI ANF E?=JEL=I @A @A ANF E?= =@A?K=@= A JA @E?D ? F HJ= EA J A J ?AI A J H E @A AHH H E ? HF H=H @E?D= JA @A ?E= GKA ? @K?A = ANEIJA ?E= @A =KJ ? HHA =?E F IEJEL= K = FHE AH= H=?D= @A HAIE@K I AC=JEL I IACKE@ I F H JH= H=?D= @A HAIE@K I F IEJEL I

X Modelo verdadero XX X Modelo X XX X estimado X X X X XX X X X X X X X X

Autocorrelacin producida por una tendencia

8=HE=> AI EJE@=I EIE J= J @A L=HE=> AI HA AL= JAI @A E A= E @=@AI O @A HA =?E AI @E E?=I HA =C I @A = L=HE=> A @AFA @EA JA IAH
!!

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

E ? HF H=@=I = J H E @A AHH H ?=KI= @ F IE> A =KJ ? HHA =?E =@A @A =I @E ?K =J@AI GKA KIJA@ O= ? ?A @A =I IA??E AI ! " O ! $

+ H =HE
HALEIA IK KIJA@ AIJ

5E KIJA@ A ?KA JH= =KJ ? HHA =?E A IKI HAIE@K I A J ?AI @A O= GKA A AHH H AIJ ?=FJ= @ E B H =?E HA AL= JA GKA EJEA @

6 @ @E?D A =I IA??E AI ! &  D=IJ= ! & " =F E?= A AIJA ? JANJ HA?KAH@A GKA = =JHE IA F = JA A J H E I CA AH= AI ,A AIJ= B H = + IECKA IEA @ E IAIC=@ FAH FEAH@A A ?EA ?E= F H ?K= O= AI - 1 - AIJE =@ H @A E = L=HE= = A AIJA ? JANJ AI +/ O A ?=I @A @AI? ?AHIA = B H = @A = =KJ ? HHA =?E IA @A>A KJE E =H +. 5E A >=HC O IECKEA @ A AIF HEJK @A = ? HHA??E @A 9DEJA AMAO O 9AIJ '&% FH FKIEAH K = ? HHA??E F=H= = =JHE @A L=HE= =I O ? L=HE= =I @A + 4A? H@A I GKA A AIJA ? JANJ IA ?K F A GKA

M CO /X ) = 2 (X X )1 X X (X X )1 V ar(
EA JH=I GKA A AIJE =@ H @A AMAO 9AIJ ? HHAIF @A = ! 

M CO /X ) = n(X X )1 S (X X )1 V ar(
@ @A A AIJE =@ H ? IEIJA JA @A 5 AI

= 1 S n t=1
@ @A GKA

w(t s) ut u s xt xs

! 

s=1 |ts|<L

? HHAIF @A = H@A NE @A =KJ ? HHA =?E IEA FHA AI B ?E @A @AJAH E =H

@A J H E

@A AHH H

!"

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

JH=IJAI @A )KJ ? HHA =?E

 6AIJ @A ,KH>E 9=JI @ A I A JAIJ I KJE E =@ F=H= @AJA?J=H =KJ ? HHA =?E @A I HAIE@K I AI A JAIJ FH FKAIJ A '# F H ,KH>E O / 5 9=JI - JAIJ AIJ @EIA =@ F=H= @AJA?J=H =KJ ? HHA =?E A I HAIE@K I @A = B H = ut = ut1 + t )4 @ @A AI HKE@ > = ?  A@E= ?AH O L=HE= = ? IJ= JA = K = ? HHAIF @A = =KJ ? HHA =?E @A I HAIE@K I H0 : = 0 H1 : = 0O A JAIJ IA @A A ?

d=

n ut u t1 )2 t=2 ( n 2 t t=1 u

!  

5E > 0 I L= HAI @A u FH >=> A A JA IAH KO ?AH?= I F H ?K= A K AH=@ H IAH KO FAGKA A ? F=H=?E = HAIE@K EI - E F E?= GKA @ IAH FAGKA 5E < 0 A J ?AI A K AH=@ H FH >=> A A JA IAH CH= @A I CH= @A GKA A HAIE@K I IE EI - E F E?= GKA @ IAH CH= @A 5A FKA@A @A IJH=H GKA F=H= KAIJH= CH= @AI @ ? LAHCA = ! !

d
?

2(1 )

=
@

n t u t1 t=2 u n 2 t t=1 u

@A FKA@A IAH >JA E@ @A = IECKEA JA HACHAIE

u t = u t1 + ut

! "

4AIFA?J = I L= HAI ?H JE? I @A JAIJ = @EIJHE>K?E A KAIJH=I EJ=I @AFA @A @A IKFKAIJ @A H = E@=@ @A I AHH HAI O @A = =JHE : F H ?K= ,KH>E O 9=JI @AHEL=H =I J=> =I @A L= HAI @A ?H JE? I F=H= B=?E EJ=H = =F E?=?E @A JAIJ 5E A >=HC @E?D I L= HAI F IAA H= C I E @AJAH E =@ I A I ?K= AI F @A I J =H K = @A?EIE HAIFA?J = = K = - JAIJ @EIJHE>KOA ? @ I ? =I O IA FHAIA J= A = IECKEA JA CKH=
H ? HHA =?E
 2

J= J =KJ ? HHA =?E F IEJEL= JA @AH = =HH =H K FAGKA AC=JEL= JA @AH = =HH =H K @ CH= @A

EA JH=I GKA =KJ

!#

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2 H A A F A JAIJ HA?D= = = K = @A =KJ ? HHA =?E A B=L H @A = = JAH =JEL= @A ? HHA =?E F IEJEL= IE DW < dl O HA?D= = = JA = = JAH = JEL= @A ? HHA =?E AC=JEL= @A I AHH HAI IE DW > 4 dl - JAIJ F IAA @ I =I CHEIAI GKA IA FHAIA J= A I E JAHL= I @ @K O " @K " @  A =I ?K= AI F @A I @A?EH =@= HAIFA?J @A = K = .E = A JA IE ,9 ?=A @A JH @A E JAHL= @K " @K IA HA?D= = = K = @A =KJ ? HHA =?E 5E A >=HC =I J=> =I @A L= HAI ?H JE? I I H=H= A JA KJE E =@=I = JAHE H @A>E@ = GKA IE ANEIJA =KJ ? HHA =?E F H = A?K=?E ! ! I=>A I GKA A L= H @A @ IAH ?AH?= = @ I EA JH=I GKA IE D=O ALE@A ?E= @A =KJ ? HHA =?E F IEJEL= @ IAH KO FAGKA O IE ANEIJA ALE@A ?E= @A =KJ ? HHA =?E AC=JEL= @ IAH CH= @A - JAIJ F IAA @ I CH= @AI EIE AI 2HE AH I IEHLA F=H= @AJA?J=H =K J ? HHA =?E @A H@A  A I AHH HAI O IACK @ FKA@A IAH =F E?=@ IE IA E ? KOA HACHAI HAI @A = L=HE=> A @AFA @EA JA A A @A F HGKA IA ? IJHKOA >= A IKFKAIJ @A HACHAI HAI @AJAH E IJE? I )@A I IA @A>A JA AH FHAIA JA GKA A JAIJ AIJ ? IJHKE@ >= H = E@=@ @A I AHH HAI O GKA ANEIJA =I =I CHEIAI E @AJAH E =@=I @A =I GKA D=> >= I ? = JAHE HE@=@

6AIJ @A D ,KH>E

@A JAIJ ,9 FKA@A IAH =F E?=@= ?K= @ ANEIJA L=HE=> AI HA =C=@=I @A = L=HE=> A @AFA @EA JA A KAIJH

D 7 = L=HE=?E

!$

+=FEJK

! . H = .K ?E

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@A

-IJ= L=HE=?E

IA ?

?A ?

JAIJ @A D ,KH>E

- AIJ=@ CH=B AI ! #

h =

DW 2

n a N (0, 1) 2 1 n

2 @ @A AJH =I ?E=@ = FHE AH HA =C @A = L=HE=> A = = L=HE= = @A F=H @AFA @EA JA E ? KE@ A A @A ) CK =I J=I HAIFA?J = JAIJ 2HE AH E F HJ= ?K= J I HA =C I @A ; IA D= = E ? KE@ A A @A I I E JAHAI= = L=HE= = @A FHE AH @A A I 5ACK @ A JAIJ AI =F E?=> A 2 ?K= @ n =I FH FEA@=@AI @A JAIJ I I ? ?E@=I =I > 1 O JAH?AH E J JE?= A JA F H ?K= @A>A IAH E F A A J=@ ? ?KE@=@ A KAIJH=I FAGKA =I

! 6AIJ @A *HAKI?D O / @BHAO -IJA JAIJ AI K = = JAH =JEL= F=H= JAIJA=H =KJ ? HHA =?E AI @A H@A AI IKFAHE HAI =  O IA >=I= A A JAIJ E JH @K?E@ A = IA??E  ! = K = = ECK= GKA A J @ I I JAIJ @A =KJ ? HHA =?E AI GKA I HAIE@K I IA A ?KA JH= ? HHA =?E =@ I + IE@AHA I F=H= @EIJE J I L= HAI @A A IECKEA JA ? K J @A AIJ=@ IJE? I

rk =

n t u tk t=1 u n 2 t t=1 u

! $

JA GKA IE  A J ?AI AIJ= I A K = ?=I F=HA?E@ = AIJ=@ IJE? ,9 I F=I I F=H= HA= E =H A JAIJ I

=  -IJE =H A @A F H + O >JA AH I HAIE@K I u E ? KEH HA =C I @A = L=HE=> A @AFA @EA JA

@A

FKA@A

>  -IJE =H K = HACHAIE =KNE E=H @A u t I >HA F HA =C I u t1 , . . . , u tp E ? KOA @ =I L=HE=> AI AN CA =I : @A @A HECE = JA GKA @A>AH AN? KEH F >IAHL=?E AI ?  += ?K =H A R2 @A = HACHAIE @ +
2

=KNE E=H

IJHKEH A AIJ=@ CH=B nR 2 p

= CE?= @A JAIJ IA >=I= A GKA IE ANEIJA =KJ ? HHA =?E A J ?AI I HAIE@K I + @A>AH = IAH ANF E?=@ I F H IKI HAJ=H@ I F H ?K= A 2 R @A = HACHAIE =KNE E=H @A>AH = IAH ?AH?= = ?AH ?K= I AL=H = = K >= L= H @A AIJ=@ CH=B O = K HA?D= @A = K = " 6AIJ @A * N 2EAH?A K C 3 5J=J -IJA JAIJ IA >=I= A A ?K=@H=@ @A =I FHE AH=I F =KJ ? HHA =?E AI @A I HAIE@K I + - AIJ=@ CH=B IA @A A ?
p

Q=n
j =1

2 rj

! %

!%

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! . H = .K ?E

= O -IFA?E ?=?E

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@A

rj =

n t=j +1

u t u tj 2 t t=1 u

= @EIJHE>K?E @A AIJ=@ CH=B >= = K = @A =KJ ? HHA =?E AI 2 ? CH=@ I @A E>AHJ=@ ECK= = F A I A AH @A HA =C I @A AHH H E ? KE@ I A = AIFA?E ?=?E =KJ HHACHAIEL= @A AHH H ,A A IA @A@K?A GKA A JAIJ FAH EJA @AJA?J=H =KJ ? HHA =?E @A H@A AI IKFAHE HAI = 

-IJE =?E
+ LE

@A

@A I ?

)KJ ? HHA =?E

=JHE A FHAIA ?E= @A =KJ ? HHA =?E 1 2 T 1 1 T 2 2 1 T 3 T 1 T 2 T 3 1 AI

I = JAHE H A JA =

=
5A FKA@A @A IJH=H GKA =

=JHE P A AIJA ?=I AI 1 2 0 0 1 0 0 1 P = 0 0

0 0 0 1

E I

- J ?AI KJE E = @ AIJ= =JHE 2 F @A I JH= IB H =H A @A O =F E?=H I +K=@H=@ I /A AH= E =@ I ) FHA K JEF E?=H X A Y F H = =JHE P JA @HA GKA = FHE AH= >IAHL=?E IA JH= IB H = @A = IECKEA JA B H =

1 2 y1 = (

1 2 )x1 + (

1 2 )u1

! & AI = IECKEA JA ! '

; F=H= A HAIJ @A =I (T 1) >IAHL=?E

AI = JH= IB H =?E

yt yt1 = (xt xt1 ) + ut ut1

t

- GKA = FHE AH= >IAHL=?E @A = KAIJH= JA C= K JH=J AIFA?E= AI F HGKA F=H= A = ANEIJA K = >IAHL=?E = JAHE H O F H J= J AI E F IE> A =F E?=H = JH= IB H =?E A ! '

!&

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! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

 -IJE =?E

+. -

J @ @A + ?DH= A

H?KJJ

= =JHE 2 GKA JH= IB H = KAIJH @A A K E>HA @A =KJ ? HHA =?E A A AHH H AI J= GKA ?=@= >IAHL=?E @A =I L=HE=> AI @AFA @EA JAI AN F E?=JEL=I O J H E @A AHH H IA @A>A JH= IB H =H @A =?KAH@ = ! ' 5E AI GKA KAIJH @A AI A IECKEA JA

y t = x t + ut ut = ut1 + t
@A JH= IB H =@ AI @A = IECKEA JA B H =

yt yt1 = (xt xt1 ) + ut ut1

yt

x t yt

x t

+ t

J @ @A + ?DH= A = AIJE =?E @A O

H?KJJ AI K FH ?A@E EA J EJAH=JEL F=H= >JA AH

=  -IJE =H F H E I +K=@H=@ I H@E =HE I = HACHAIE @A E JAH I EC H= @ = FHAIA ?E= ? ?E@= @A =KJ ? HHA =?E @A FHE AH H@A A A J H E @A AHH H >  7JE E =H I HAIE@K I + F=H= AIJE =H A F=H AJH -IJ FKA@A D=?AHIA A@E= JA K = HACHAIE @A u t ? JH= u t1 = F=HJEH @A AI J=@ IJE? ,9 @A = AIJE =?E = JAHE H ?  7JE E =H AIJA F=H O x t
AJH F=H= JH= IB H =H =I L=HE=> AI O >JA AH yt

@  -IJE =H F H + K @A ? =I L=HE=> AI JH= IB H =@=I F=H= >JA AH K KAL LA?J H @A ? A ?EA JAI A  7JE E =H AIJ= KAL= AIJE =?E F=H= ? FKJ=H JH LA?J H @A HAIE@K I O KJE E =H AIJ I HAIE@K I F=H= >JA AH K = KAL= AIJE =?E @A B  4AFAJEH AIJA FH ?A@E EA J D=IJ= GKA
-IJA J @ FKA@A IAH B ?E IKFAHE H I? LAHC=


A JA CA AH= E =@ ?

=KJ ? HHA =?E

@A H@A

-IJE =?E
 -IJ

F H

NE = 8AH IE E EJK@
AJH I @E AHA E EJAIE = A JA

IK?A@A ?K= @ = @EBAHA ?E= A JHA A LA?J H @A F=H @A >JA E@ A = LKA J= = JAHE H

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= O -IFA?E ?=?E

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5KF C= I GKA IA FHAJA @A AIJE =H A @A @A HACHAIE ? =KJ ? HHA =?E @A FHE AH H@A )@A I @A>A I =IK EH = CK = @EIJHE>K?E F=H= t HA?KAH@A GKA AIJA AI K HAGKEIEJ F=H= F @AH AIJE =H F H NE = 2 LAH IE E EJK@ 5KF C= I GKA t IA @EIJHE>KOA N (0, ) )I = BK ?E @A LAH IE E EJK@ AI

L=

exp

T 2 t=1 t 2 2

! 

4A? H@A I GKA P AI = =JHE GKA JH= IB H = ut A t AI @A?EH t = P ut = BK ?E @A LAH IE E EJK@ A !  IA FKA@A ANFHAI=H A BK ?E @A  J H E @A AHH H ut )4 ?

L=

exp

(1 2 )u2 1

T t=2 (ut 2 2

ut1 )2

@=@ GKA A AIJA ?=I A @AJAH E = JA @A P |P | AI .E = A JA = BK ?E HECE = =KJ ? HHA =?E @A LAH IE E EJK@ A =@ AI
T

1 2
@A J H E @A AHH H

BK ?E

L=
= LA J= = @A AIJA
8AH /HAA A ) L=HE=> A t AI


1 2 exp

u 1 u 2 2
A= A JA O
@A @A IE@=@ ?

! 

J @ AI GKA FKA@ AIJE =H IE K J

EIEI -? JHE? F CE = $' 5E = BK ?E

K J= @A =

f () =
AGKEL= A JA A JA

exp

T 2 t=2 t 2 2

f () =
= BK ?E @A @A IE@=@ @A ?

exp

2 2

K J= @A P ut = t AI

f (u) =

|P | exp

u P Pu 2 2

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C=HEJ

@A = 8AH IE E EJK@ +

@E?E

= ! A J H E

I @A >IAHL=> AI AI

lnL =

T 1 2

ln(2 )

T 1 2

2 ln( )

1 2 2

[(yt xt ) (yt1 xt1 )]2

t=2

=I ?

@E?E

AI @A FHE AH H@A @A FH > A = @A

NE = 8AH IE E EJK@ I ! 

lnL 1 = 2 lnL 1 = 2

t x t = 0 (k
t=2 T

ecuaciones)

( ut u t1 ) ut1 = 0 (1 ecuacion)
t=2 T 2 t t=2 4

! ! ! " I >IAHL=H

lnL (T 1) 1 2+ = 2 2
,A !  F @A I A ? JH=H A AIJE =@ H ? E ?E@A ? A AIJE =@ H +. ,A ! ! IA @AJAH E = A AIJE =@ H

= 0 (1 ecuacion)
F @A

8 @A GKA ?

8 @A
T t=2

=
GKA ? HHAIF @A AN=?J= A JA =

u t u t 1
J @ @A + ?DH= A H?KJJ

u t1
IKCAHE@ F H A

-A F
5KF

-IJE =?E

@A .K ?E

IK
+ IK ! #

C= AIJ=

I E JAHAI=@ I A AIJE =H K = BK ?E

Ct = 0 + 1 Yt + ut

@ @A Ct AI A ? IK A Yt AI A 1 CHAI 2=H= AIJ ? J= I ? E B H =?E @A ? IK =CHAC=@ @A IA?J H F > E? O FHEL=@ O @A 21* @A -IF= = F=H= I = I '#" '&& -IJ=I IAHEAI IA KAIJH= A A IECKEA JA CH ?
= AIJE =?E ? @E?E = J AIJE =?E AI @A?EH IA AIJE = ?
!

= = FHE AH= >IAHL=?E 6  >IAHL=?E AI

@=@= O AI A E E =@= @A =

"

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

20000

16000

12000

8000

4000

0 1955 1960 1980 1965 1970 1975 CONSUMO PIB 1985

)D H= AIJE A

I ! # KJE E = @

= E B H =?E

@EIF

E> A

"

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Dependent Variable: CONSUMO Method: Least Squares Date: 11/09/04 Time: 15:51 Sample: 1954 1988 Included observations: 35 CONSUMO=C(1)+C(2)*PIB Coefficient C(1) C(2) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood 76.53412 0.768971 0.997394 0.997315 180.8607 1079450. -230.5536 Std. Error 81.89808 0.006842 t-Statistic 0.934504 112.3909 Prob. 0.3568 0.0000 8615.809 3490.620 13.28878 13.37765 0.338818

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

5E ? F=H= I A L= H @A ,9  !" ? A L= H @A J=> =    O !# = '#  @A ? = = @E  " O @I  #  JA A I GKA IA HA?D= = = DEF JAIEI K = @A =KJ ? HHA =?E = B=L H @A =KJ ? HHA =?E F IEJEL= )@A I F @A I =FHA?E=H CH ?= A JA = B H = =KJ HHACHAIEL= @A I HAIE@K I
16000 12000 8000 400 4000 200 0 0 -200 -400 1955 1960 1965 1970 1975 Residual Actual 1980 1985 Fitted

8A= I GKA IK?A@A ? KAIJH I F=H @A AMAO 9AIJ = KAIJH= AIJE =?E

AJH I AIJE =@ I IE =F E?= + "!

I = ? HHA??E

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

Dependent Variable: CONSUMO Method: Least Squares Date: 11/09/04 Time: 15:59 Sample: 1954 1988 Included observations: 35 Newey-West HAC Standard Errors & Covariance (lag truncation=3) CONSUMO=C(1)+C(2)*PIB Coefficient C(1) C(2) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood 76.53412 0.768971 0.997394 0.997315 180.8607 1079450. -230.5536 Std. Error 105.8340 0.008968 t-Statistic 0.723152 85.75039 Prob. 0.4747 0.0000 8615.809 3490.620 13.28878 13.37765 0.338818

Mean dependent var S.D. dependent var Akaike info criterio Schwarz criterion Durbin-Watson sat

""

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2=H= HA= E =H = AIJE =?E +. @A = FH FA IE =HCE = = ? IK EH GKA AI AGKEL= A JA = = AIJE =?E NE 8AH I E  @A>A I FHE AH AIJE =H = BK ?E =KJ HHACHAIEL= @A AHH H 2=H= AIJ @AJAH E A I FHE AH A LA?J H @A HAIE@K I @A = AIJE =?E + @A KAIJH @A @A E JAH I

; KAC AIJE =

I A IECKEA JA

@A

"#

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

7 = LA AIJE =@ F @A I JH= IB H =H A @A HECE = @A =?KAH@ = = A?K=?E ! ' @A B H = GKA A AHH H JH= IB H =@ t  ?K F A ? I HAGKEIEJ I F=H= GKA + IA= - 1

"$

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

= AIJE =?E

@A

@A

JH= IB H =@ =HH =

I IECKEA JAI HAIK J=@ I

"%

+=FEJK

! . H = .K ?E

= O -IFA?E ?=?E

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2HE AH F @A I J=H GKA A ,9 AI  & =O H = EJA IKFAHE H @A J=> =  #  O A H = (4 ds) = 2,48 F H J= J IA FKA@A HA?D= =H = K = @A =KJ ? HHA =?E - F=H AJH @A = FH FA IE =HCE = = ? IK EH AI AN=?J= A JA A EI GKA A >JA E@ @A = AIJE =?E + @A @A HECE =

"&

+=F JK

" I @=J I

2H > A =I ?
" K JE? E A= E@=@

-I FH ?JE?= A JA E F IE> A A ? JH=H @ I L=HE=> AI A? E?=I ?KO ? A ?EA JA @A ? HHA =?E AI K = @AJAH E =@= KAIJH= IA= K HE?= A JA ?AH @E?D ? A ?EA JA FKA@A J =H L= HAI FAGKA I FAH K ?= AC=H = IAH ?AH /H= CAH O AM> @ '%" A JHA JH I =KJ HAI D= E KIJH=@ ? A I DA?D @A E JH @K?EH K = JA @A ?E= E A= A @ I IAHEAI @A JEA F E @AFA @EA JAI =K A J= IK ? HHA =?E J=> A A JA

K JE? E A= E@=@ =F=HA?A ?K= @ =I L=HE=> AI ANF E?=JEL=I A @A A? JHE ? AIJ ? HHA =?E =@=I A JHA IE AIJ JEA A ABA?J I AC=JEL=I ?K= @ IA GKEHA AI JE =H I F=H AJH I @A @A F H +
= -NEIJA @ELAHI=I BKA JAI @A = K JE? E A= E@=@ KAIJH=I

J @ @A HA? A??E @A E B H =?E A F A=@ >JA ?E @A A K E JAHL= E EJ=@ @A L= HAI @A I HACHAI HAI A = F > =?E 4AIJHE??E -IFA?E ?=?E
+ IE@AHA

A A @A

@A @A
@A

= F > =?E

> AJ @A

KAIJHA

I A IECKEA JA

yi = 1 + 2 x2i + ... + k xki + ui

"'

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

5E ANEIJA = E LAHI= @A :: A AIJE =@ H + @A AIJA @A LEA A @=@ F H 1 2 M CO = (X X ) X y O IK =JHE @A ? L=HE= =I AI 8=H  u (X X )1 5KF C= I GKA = xji JEA A K = J CH=@ @A ? HHA =?E ? => AI ANF E?=JEL=I @A @A AI @A?EH GKA = HACHAIE E A= =I @A I L=HE " 

xji = 1 + 2 x2i + ... + j 1 xj 1,i + j +1 xj +1,i + ... + k1 xki + i

JEA A K ? A ?EA JA @A @AJAH E =?E =J

- AIJ=I ? @E?E AI = L=HE=> A xji FKA@A AI?HE>EHIA =FH NE =@= A JA ? K = ? >E =?E E A= @A HAIJ @A =I L=HE=> AI ANF E?=JEL=I @A @A GKA IA FKA@A =FHA?E=H A = A?K=?E "  + ? IA?KA ?E= K = @A =I ? K =I @A = =JHE : = ? HHAIF @EA JA = xji FKA@A AI?HE>EHIA ? K = ? >E =?E EA = =FH NE =@= @A =I @A I ? K =I @A : O @A AIJ= B H = :: IAH =FH N E =@= A JA IE CK =H - = A@E@= GKA A @AJAH E = JA @A :: IA= @EIJE J @A ?AH ANEIJEH ::1 O F H J= J J= >E ANEIJEH AI A AIJE =@ H + O IECKA ?K F EA @ ? = FH FEA@=@ @A - 1 FAH IA JEA A =I IECKEA JAI ? IA?KA ?E=I  = I K?E @A IEIJA = @A A?K=?E AI H = AI AIJ = @A E@ EA JH=I = @AFA @A ?E= @A xji IA= = A=J HE= ? KAIJH= = A?K=?E "  O AN=?J= :: IAH AN=?J= A JA IE CK =H O ANEIJEH K E? AIJE =@ H + O= GKA ANEIJA K = E?= I K?E = IEIJA = @A A?K=?E AI H = AI FAH J= >E D=>H K AH @A LA?J HAI 1 2 GKA = IKIJEJKEH I A A IEIJA = @A A?K=?E AI H = AI IAH = =FH NE =@= A JA K = I K?E = EI 2AGKA =I L=HE=?E AI KAIJH= AI F H E ? HF H=H IKIJH=AH K AH HA @K?E@ @A >IAHL=?E AI KAIJH= AI E JH @K?EH ECAH I ?= >E I A :: O @A IEIJA = :O FAH F @H = CA AH=H E F HJ= JAI ?= >E I A = I K?E @A A?K=?E AI H = AI ! ) IAH = =JHE :: ?=IE IE CK =H AI KO FAGKA = + ? IA?KA ?E= = =JHE @A ? L=HE= =I IAH KO CH= @A F H J= J A AIJE =@ H + AI F ? FHA?EI A AIJA ?=I

#

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

"

K JE? E A= E@=@ -N=?J= O E =@=

K JE? E A= E@=@ A K @A

K JE? E A= E@=@ )FH N

@A HACHAIE E A= FKA@A IAH @A

= FHAIA ?E= @A @ I B H =I

>E =?E

K JE? E A= E@=@ -N=?J= K = @A =I L=HE=> AI ANF E?=JEL=I AI K = ?

E A= @AJAH E IJE?= @A J @=I =I @A I  = CK =I @A A =I

=FH NE =@= A JA ECK= = K = ? = A?K=?E ! 

K JE? E A= E@=@ )FH NE =@=

?KHHA ?K= @ K = @A =I L=HE=> AI AI >E =?E E A= @A =I HAIJ= JAI ? A

- = FH ?JE?= ? JH=HE = GKA IA FK@EAH= AIFAH=H= AI JE? E A= E@=@ =FH NE =@= GKA = AN=?J=

I?

F E?=@

"

,AJA??E

@A

K JE? E A= E@=@
= KAIJH= GKA IKHCA H = @A = E B H =?E E?= @A IAH @AJA?J=@= JE K=?E A JA IEC E ?=

2KAIJ GKA = K JE? E A= E@=@ AI K FH > A = @A =JKH= A FHE ?EF= A JA F H A ?=H ?JAH ANFAHE A J= @A = =O HA? FE =@= A =I +EA ?E=I 5 ?E= AI JEA A K = = AH= GKA IA JEA A I = CK =I HAC =I FH ?JE?=I @AJ= =@=I = ?  - 42 AI = J JEL I 2 HAA F FAH + I F=H IE@AHA AJH I

HAIK J= IAH E @ELE@K=

I IECKEA JAI @=J I 6=> = $ K JE? E 2AHE @ yi x2i   #  ! & % " $ $ # " " $ " & % $ ! A= E@=@ x3i x4i   & $  $ "  $ & " " $ "

=I L=HE=> AI x3 O x4 JEA A =I EI =I >IAHL=?E AI K HE?=I I GKA A @EIJE J H@A @A B H = J= GKA = ? HHA =?E A JHA x2 O AIJ=I @ I L=HE=> AI #

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

I 23 = 0,32 O 24 = 0,93 = J= A JA @EBAHA JAI A JHA I 7 = HACHAIE @A yi I >HA x2i x3i O K = ? IJ= JA CA AH AIJE =?E AI +

=I IECKEA JAI " 

yt = 10,81 + 2,92x2i 0,54x3i + u i

(2,6) (0,42) (0,21) 2 = 2,09 R2 = 0,92 u

7 = HACHAIE AIJE =?E AI

@A y ?

JH= K = ?

IJ= JA x2 O x4 FH @K

=I IECKEA JAI " !

yi = 6,67 + 1,33x2i + 0,67x4i + u i

(3,27) (1,61) (0,81) 2 R2 = 0,83 u = 3,16

) >=I HACHAIE AI E ? KOA =I EI =I L=HE=> AI ANF E?=JEL=I O F H J= J I ? F=H=> AI 5E A >=HC A A IACK @ @A @ @A A CH= @ @A ? HHA =?E A JHA =I L=HE=> AI ANF E?=JEL=I AI = J F @A I =FHA?E=H GKA = FAI=H @A GKA A 42 AI = J I F=H AJH I HAIK J= IAH E IEC E ?=JEL I E @ELE@K= A JA t4 %& #

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

2AGKA I ?= >E I A I @=J I FH @K?A E F HJ= JAI L=HE=?E JE =?E AI E ?K=@H JE?=I ! I ? A ?EA JAI FKA@A JA AH IEC JK@ F ? ?HA > A I FKAIJ I = I AIFAH=@ I

AI A K =

=I AI =C E

"!
=

JH I

J @ I @A @AJA??E

@A

K JE? E A= E@=@

J @ I >=I=@ I A = ? HHA =?E A JHA L=HE=> AI ANF E?=JEL=I K = @A =I ? IA?KA ?E=I @A = K JE? E A= E@=@ AH= L=HE= =I @A I AIJE =@ HAI >=IJ= JA = J=I - J ?AI + = AI = HA =?E A JHA = L=HE= = AIJE =@= O A CH=@ @A ? HHA =?E A JHA =I L=HE=> AI ANF E?=JEL=I 5E @AI? F A I = =JHE : @A = IECKEA JA B H =
X = [xj ; Xj ]
@ @A xj AI K LA?J H ? K = ? HHAIF @EA JA = = F E?=JEL= O Xj K = =JHE @A   ? =I >IAHL=?E L=HE=> AI - J ?AI :: FKA@A AI?HE>EHIA ? IE = L=HE=> A AN AI @A =I HAIJ= JAI

XX=

xj xj xj X j Xj xj Xj Xj
IJH=H 


,A AIJ= B H = A A A A J   @A (X X )1 AI ,A

[(xj xj ) xj Xj (Xj Xj )1 (Xj xj )]1 = (xj Mj xj )1

@A Mj = In Xj (Xj Xj )1 Xj O @ @A xj Mj xj ? HHAIF @A = = IK = @A I HAIE@K I = ?K=@H=@ @A K = HACHAIE @A xj I >HA Xj @A AIJ= B H = IA JEA A GKA @

j ) = V ar(
GKA JEA A = IECKEA JA ANFHAIE

2 u xj Mj xj

" "

j ) = V ar(
 4A?

2 u 2 STj (1 Rj )

" #

H@=H GKA = E LAHI= @A K =

=JHE F=HJE?E

=@= AI
1 A 11 A12 F2 F2

A11 A21
@

A12 A22

1 1 A 11 (I + A12 F2 A21 A11 ) 1 F2 A21 A11

1 @A F2 A22 A21 A 11 A12 

#!

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

n @ @A STj AI = IK = J J= @A = HACHAIE A JHA xj O Xj STj i=1 (xji 2 2 xj )  O 4j AI A ? A ?EA JA @A @AJAH E =?E @A AIJ= EI = HACHAIE

= L=HE=

j @AFA @A @A JHAI ? I=I = @A

= @A J H E @A AHH H GKA AI E @AFA @EA JA @A CH=@ @A A JHA =I NI = GKA @AFA @A I @A AIJ=

= L=HE= ? HHA =?E

= IK = J J= FH FE= @A = L=HE=> A xj L=HE=> A

- ? A ?EA JA @A @AJAH E =?E 42 j A GKA IE @AFA @A @A CH=@ @A CH= @ @A ? HHA =?E A JHA = L=HE=> A xj O =I HAIJ= JAI AI @A?EH @AFA @A @A CH=@ @A K JE? E A= E@=@ = ? J= E BAHE H F=H= = L=HE=

j ?K= @ 42  AI = @A j
2 u STj

0 ) = V ar( j

2 H GKA = HA =?E A JHA =I L=HE= =I @A = AIJE =?E @A j A K ?=I @A ? HHA =?E A JHA L=HE=> AI ANF E?=JEL=I O A ?=I @A E @AFA @A ?E= E A= AI

j ) V ar( 1 = 2 0 ) 1 Rj V ar( j

#"

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

,A =?KAH@ ? AIJA = EIEI I ? A ?EA JAI @A @AJAH E =?E A =I HACHAIE AI @A ?=@= L=HE=> A ANF E?=JEL= ? A HAIJ I E @E?=@ H @A K = F IE> A IEJK=?E @A K JE? E A= E@=@

>JA E@ I K >KA

>

J @ I >=I=@ I A A J= = @A = =JHE :: ?K= @ JA A I K JE? E A= E@=@ = =JHE :: AI ?=IE IE CK =H @A AIJ= = AH= K = A@E@= @A J= = @A AIJ= =JHE I FAH EJA @AJA?J=H = FHAIA ?E= @A K JE? E A= E @=@ - @AJAH E = JA AI K = A@E@= >KA = O= GKA JEA A FH > A =I @A IA IE>E E@=@ = I ?= >E I @A K E@=@AI 2AH I=>A I GKA A @AJAH E = JA @A K = =JHE IE JHE?= AI ECK= = FH @K?J @A IKI L= HAI FH FE I O F H J= J A AN= A @A AIJ I L= HAI I @= K = E@A= @A J= = @A = =JHE ,A AIJ= B H = *A I AO FH F A = IECKEA JA A@E@= F=H= LAH A CH=@ @A K JE? E A= E@=@
= max min
@E?E @A = =JHE : O AH I IE@AH=HIA FH > A JE? I FE I @A = =JHE B = S (X X )S

-IJ= A@E@= IA @A E = AH @A ? @A AIJA E @E?=@ H =O HAI # IKA A ? I I ? HHAIF @A = I L= HAI FH @ @A S AI = IECKEA JA =JHE @E=C = 1 0 x2 x2 1 0 x3 x3 S= 0 0

0 0

0 1

xk xk

-IJ= =JHE I FAH EJA E>H=H I @A FH > A = @A K E@=@ A A J= = @A I L= HAI FH FE I O= GKA H = E = ?=@= K = @A =I L=HE=> AI = @ELE@EH J @=I =I >IAHL=?E AI F H IK @AILE=?E AIJ @=H AH @A ? @E?E @A = =JHE :   E F E?= GKA EA JH=I =O H AI AIJA L= H A L= H @A min AI HA= A JA FAGKA = ? F=H=H ? max E @E?= @ A F JA ?E= FH > A = @A K JE? E A= E@=@

""

4A A@E I ?

JH= =

K JE? E A= E@=@

5A D= FH FKAIJ L=HE I J @ I F=H= D=?AH BHA JA = = K JE? E A= E@=@ = I K?E I IA ?E = AI A E E =H @A = HACHAIE =I L=HE=> AI GKA IA I IFA?DA I = ?=KI= @A FH > A = >LE= A JA @A AIJA J @ IKHCA FH > A =I @A AIFA?E ?=?E ? = EIE @A L=HE=> AI HA AL= JAI -I A?AI=HE HA? H@=H GKA A ##

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

AIJE =@ H + IECKA IEA @ A A H AIJE =@ H E A= E IAIC=@ @A H I - FH > A = AI GKA ?K= @ D=O K JE? E A= E@=@ A A H KO >KA

I F=H AJ HAIK J= IAH

=I I K?E AI FH FKAIJ=I A = EJAH=JKH= AIJE =@ H @A HE@CA AIJE =@ H ?HAIJ= O AIJE =@ H @A ? F A JAI FHE ?EF= AI JEA A ? ?=H=?JAH IJE?= >KI?=H K AIJE =@ H ECAH= A JA IAIC=@ FAH ?KO= L=HE= = IA= K?D A H AI @A?EH K AIJE =@ H ? A H AHH H ?K=@H JE? A@E ANEIJA K = AJ @ C = GKA FAH EJ= A E E =H A FH > A = @A = J= K JE? E A= E@=@ IE = JAH=H =I FH FEA@=@AI O = E JAHFHAJ=?E @A I F=H AJH I -IJ=I AJ @ C =I JEA A F ? HAIF= @ E JKEJEL F H J= J = E JAHFHAJ=?E @A I F=H AJH I AI @AI? ?E@=

#$

+=FEJK

" 2H > A =I ?

I @=J I

-? AJH = 1 .)+-) 7 ELAHIE@=@ @A +DE A

"

-HH H @A

A@E?E

7 = @E ?K J=@ A J @ JH=>= A F HE? A -? = AI = E F IE>E E@=@ @A @EIF AH @A =I >IAHL=?E AI KAIJH= AI @A =I L=HE=> AI @A E JAH I 2 H A A F =I L=HE=> AI @A ? J=>E E@=@ =?E = ? A 21* IJ ? @A ?=FEJ= ? IK I I AIJE =?E AI @A ? ?AFJ I JA HE? I GKA IA >IAHL= A = HA= E@=@ JH I ?=I I ? = 4A J= 2AH = A JA E JA ECA ?E= D=>E E@=@ @A K JH=>= =@ H @EIF A I E IEGKEAH= AIJE =?E AI O @A>A I KJE E =H L=HE=> AI 2H NEAI GKA =FH NE = I ? ?AFJ I GKA IA GKEAHA KJE E =H )I F H A A F IA KJE E = = I @A ANFAHEA ?E= @A JH=>= =@ H F=H= =FH NE =H IK D=>E E@=@ 2 @A I =@A = J=H GKA A AHH H @A A@E?E A KI @A L=HE=> AI FH NEAI CA AH=H IAIC I A =I AIJE =?E AI F H + A GKA IAH A H ?K= J @A I IA =FH NE A = LAH@=@AH= L=HE=> A GKA @A>AH = E ? KEHIA A A GKA GKA E ? KO ABA?JEL= A JA A@E@= @A =I HAIJ= JAI L=HE=> AI

?K= J I E @AFA @EA JA IA= A AHH H @A @A @A + IE@AHA I A IECKEA JA @A E A= IE F A

yi = xi + ui
A A GKA = L=HE=> A @AFA @EA JA yi AIJ I
yi = yi + i

i = 1, ..., n
A@E@= ? AHH H AI @A?EH I

" $ >IAHL= " %

i = 1, ..., n

@A =IK E

2 I GKA i N (0, ) O AI E @AFA @EA JA @A xi O ui

4AA F = = @ " % A " $

yi = xi + (ui + i ) = xi + i

" &

*= I IKFKAIJ I A ?E =@ I AI B ?E @=HIA ?KA J= GKA A AIJE =@ H @A IAH A EI GKA IE >IAHL H= I A LAH@=@AH L= H @A yi - ? IA?KA ?E= I AHH HAI @A A@E@= A = L=HE=> A A @ CA = FH @K?A E C FH > A = E F HJ= JA = AIJE =H F H + )D H= IKF C= I GKA = L=HE=> A xi AIJ= A@E@= ? AHH H AI @A?EH " '

x i = xi + i

i = 1, ..., n
#%

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2 @A i N (0, ) O AI E @AFA @EA JA @A ui xi O @A yi

@A

A J H E

I @A =I L=HE=> AI >IAHL=> AI AI
yi = x i + (ui i ) = xi + i

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JH=HE = GKA ?KHH = A " & A AIJA ?=I JA A I @E ?K J=@ = AIJE =H F H GKA L= A ? JH= + O= GKA A J H E @A AHH H i AIJ= HA =?E =@ ? x i @A IKFKAIJ $ LA= I

Cov (i , x i ) = Cov (ui i , xi + i ) = Cov (ui , xi ) Cov (i , xi ) + Cov (ui , i ) Cov (i , i ) 2 = 0 0 + 0

-IJ D=?A GKA A AIJE =@ H + @A A A @A "  IA= IAIC=@

= = = plim = plim = plim = plim = plim = plim

@
1 2 = plim n @A Sx n i=1

N 1/N i=1 xi yi N 2 1/N i=1 xi N 1 i=1 xi yi N plim N 1 2 x i i=1 N 1 plim N N i=1 xi yi N 1 2 plim N i=1 xi N 1 plim N i=1 (xi + i )(xi + ui ) N 1 2 plim N i=1 (xi + i ) N 1 plim N i=1 (xi + i )(xi + ui + i N 1 2 plim N i=1 (xi + i ) N 1 plim N i=1 (xi + i )(ui i ) + N 1 2 plim N i=1 (xi + i ) 2 + 2 2 Sx +

i )

1+
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x2 i GKA IKF

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@ @A J @=I =I L=HE=> AI FKA@A AIJ=H H =@ = JAHE H A JA A@E@=I ? AHH H -NJA @EA @ @AI=H " 

M CO = [xx + ]1 plim
@ @A xx = plim
X X n

O = plim

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E (zi i ) = 0 E (zi x i) = 0
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n i=1 zi yi n i=1 zi xi

V I =

- K @A @A HACHAIE JEF A JA A I GKA A ? JH=H K = =JHE GKA ? JA C= I E IJHK A J I @A =I L=HE=> AI A@E@=I ? AHH H - AIJE =@ H @A 8=HE=> AI 1 IJHK A J= AI IA >JEA A @A K = HACHAIE + A @ I AJ=F=I #'

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X = Z + = (Z Z )1 Z X = Z (Z Z )1 Z X X

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V I = (X X )1 X y = [X Z (Z Z )1 Z X ]1 X Z (Z Z )1 Z y
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AHH H ?=@= K = @A A =I IA = ECK= GKA X A AIJA

V I = (Z X )1 Z y
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6AIJ @A 0=KI =

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= DEF JAIEI K = AI GKA

ANEIJA AHH H @A

A@E@= AI @A?EH " !

H0 :

M CO V I = 0

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