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2.

Estimacin del modelo


Modelo lineal : mediante EVIEWS
Dependent Variable: T_C
Method: Least Squares
Date: 03/05/16 Time: 21:32
Sample: 1 50
Included observations: 50
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
P_COB
IPC
T_INT
EXP01
IND_DJONES

606.5832
-37.62028
13.48422
-13.10892
-0.004379
0.005623

25.55407
4.445780
1.718799
1.626671
0.002853
0.001225

23.73725
-8.462020
7.845141
-8.058736
-1.534826
4.590008

0.0000
0.0000
0.0000
0.0000
0.1320
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.840687
0.822583
9.657518
4103.777
-181.1379
46.43709
0.000000

Mean dependent var


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

495.9872
22.92809
7.485517
7.714960
7.572890
0.869978

Modelo lineal : T_C = 606.583216657 - 37.6202798986*P_COB + 13.484221093*IPC 13.1089156626*T_INT - 0.00437867166704*EXP01 + 0.00562297691783*IND_DJONES


Modelo log-lineal :
Dependent Variable: LN_T_C_
Method: Least Squares
Date: 03/08/16 Time: 10:51
Sample: 1 50
Included observations: 50
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LN_P_COB_
_IPC_
T_INT
LN_EXP_
LN_IND_DJONES_

5.817523
-0.290418
0.026818
-0.025378
-0.057756
0.137530

0.448856
0.031942
0.003403
0.003361
0.036104
0.032436

12.96079
-9.092018
7.880027
-7.550710
-1.599720
4.240044

0.0000
0.0000
0.0000
0.0000
0.1168
0.0001

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.844966
0.827348
0.018978
0.015848
130.4721
47.96174
0.000000

Mean dependent var


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

6.205520
0.045674
-4.978886
-4.749443
-4.891512
0.875745

Modelo log-lineal : LN_T_C_ = 5.81752288845 - 0.290417602434*LN_P_COB_ +


0.0268177459483*_IPC_ - 0.0253778374484*T_INT - 0.0577564006185*LN_EXP_ +
0.137529838146*LN_IND_DJONES_

3.Valoracin y contraste del modelo


3.1.PRUEBAS PRELIMINARES
Para escoger entre el modelo lineal y log-lineal , hacemos la prueba MWD

Obtenemos el siguiente cuadro para poder hacer el test MWD

Yt

Yest

estilny

antilny

lnyt

lnyesti

Z1=lnyestlnyt
0.01377652
0.01790616
0.01917691
0.00123683
0.01033548

Z2=antilnyyest
-0.8438775

500.66

493.809939

6.20044033

492.966062

6.21592723

6.20215071

532.56

523.108767

6.26196775

524.249518

6.27769557

6.25978941

523.16

513.222993

6.23793029

511.798142

6.25988734

6.24071044

520.62

519.976478

6.25113574

518.601487

6.25502041

6.25378358

533.21

538.74956

6.29244565

540.473524

6.27891534

6.28925083

536.67

535.966981

6.29008261

539.197871

6.28538338

6.28407256

3.23089005

6.2857408

0.00131082
0.00962377

531.72

536.861853

6.28905002

538.641389

6.27611703

509.32

524.55368

6.26107195

523.780108

6.2330765

6.26254777

0.02947126

6.20239381

6.22179256

0.01939875

488.90393

6.18216755

6.19596709

0.01379954

6.19439683

489.995807

6.17860779

6.19811049

0.01950269

479.964234

6.17263213

479.446411

6.16285154

6.17371159

0.01086005

489.44

475.705415

6.16485927

475.734188

6.19326188

6.16479879

475.69

472.650927

6.1605458

473.686544

6.16476638

6.15835712

479.65

474.744094

6.16398322

475.317603

6.17305667

6.16277591

471.32

469.976511

6.15430842

470.741173

6.15553727

6.15268272

467.73

473.686068

6.16080896

473.811214

6.14789121

6.1605448

0.02846309
0.00640926
0.01028076
0.00285455
0.01265359

0.77357201
1.82224855
1.86189976
1.82305757
0.51782277
0.02877365

493.93

503.605166

6.21816759

501.782917

484.04

490.76583

6.19216601

482.32

491.818865

474.78

469.41

470.171092

6.15387746

470.53835

6.15147659

6.15309665

0.00162007

0.36725813

462.94

455.362637

6.12614178

457.666969

6.13759746

6.1210941

2.30433232

466.79

462.026544

6.1373939

462.845774

6.14587948

6.13562234

483.69

474.35756

6.16137665

474.080271

6.18144421

6.16196138

511.74

497.478258

6.21080316

498.101146

6.23781668

6.20955185

508.44

498.534047

6.21197629

498.685827

6.23134721

6.21167188

517.17

505.456392

6.22597817

505.717478

6.24837164

6.22546177

501.34

502.723456

6.21867485

502.037516

6.21728451

6.22004023

0.01650335
0.01025713
0.01948282
0.02826483
0.01967533
0.02290987
0.00275572

481.49

501.894249

6.21639716

500.895334

6.17688546

6.21838944

0.04150398

1.14075128
1.42485086
1.37499101
1.72396402

1.77953649

1.03561704
0.57350938
0.76466198
0.12514641

0.81922952
0.27728928
0.62288791
0.15178058
0.26108572
0.68593999
0.99891571

485.40

490.385163

6.19342594

489.520304

6.18497329

6.19519113

0.01021784

486.00

491.89135

6.19650486

491.029819

6.18620862

6.19825786

0.01204923

497.09

491.449666

6.19652048

491.037492

6.2087711

6.19735953

505.63

490.765409

6.19708698

491.315741

6.22580518

6.19596623

491.93

491.763181

6.19858589

492.05273

6.19833643

6.19799726

480.99

496.838583

6.20907259

497.239893

6.17584648

6.20826519

0.01141157
0.02983895
0.00033917
0.03241871

474.97

492.132881

6.19768325

491.608784

6.16325164

6.19874876

0.03549712

475.36

485.564964

6.18429064

485.068752

6.16407241

6.18531309

0.02124068

480.57

482.278401

6.17888781

482.455078

6.1749729

6.17852154

0.00354864

477.13

468.259854

6.15013178

468.77916

6.16778899

6.14902338

472.67

471.776656

6.15638119

471.717927

6.15839747

6.15650569

472.34

474.851404

6.16282497

474.767386

6.15769907

6.16300192

0.01876561
0.00189178
0.00530286

472.48

484.789759

6.18241949

484.161964

6.15799542

6.18371531

0.02571989

472.14

484.132822

6.18289865

484.39401

6.15727555

6.18235929

0.02508374

479.58

484.988295

6.18354744

484.708382

6.17291072

6.18412476

0.01121404

502.89

503.779954

6.2227082

504.0665

6.22037146

6.22213957

0.00176811

0.27991362
0.28654612

504.96

510.864277

6.23690466

511.273495

6.22447922

6.23610395

0.01162473

0.40921805

512.59

505.394476

6.22432853

504.883915

6.23947631

6.22533927

504.57

505.64614

6.22526347

505.356173

6.22370658

6.2258371

0.01413704
0.00213052

500.10

495.623081

6.20467228

495.056687

6.21480808

6.20581572

519.25

520.028011

6.25257114

519.34642

6.25238546

6.25388268

529.45

528.155724

6.26701493

526.902189

6.27183873

6.26939117

0.51056132
0.28996697
0.56639397
0.68159112
-1.2535344

537.03

528.195388

6.26699892

526.893755

6.28605396

6.26946627

554.41

532.632966

6.27665359

532.005374

6.31790449

6.27783257

0.00899236
0.00149722
0.00244756
0.01658769
0.04007192

0.86485904
0.86153017
0.41217408
0.5503328
0.28954943
0.40131002
0.52409744
0.49621166
0.17667645
0.51930582
0.05872899
0.08401875
0.62779516
0.26118804

1.30163345
0.62759201

Ahora efectuamos la regresin de Y sobre las X y Z1 , obtenemos mediante


EVIEWS
Dependent Variable: T_C
Method: Least Squares
Date: 03/08/16 Time: 12:14
Sample: 1 50
Included observations: 50
Variable

Coefficient

Std. Error

t-Statistic

Prob.

606.0982

0.955305

634.4554

0.0000

P_COB
IPC
T_INT
EXP01
IND_DJONES
Z1

-37.76971
13.56389
-13.18338
-0.004414
0.005735
-498.5026

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.999782
0.999752
0.361032
5.604794
-16.23691
32930.24
0.000000

0.166201
0.064256
0.060812
0.000107
4.58E-05
2.811370

-227.2532
211.0904
-216.7887
-41.38943
125.2128
-177.3166

Mean dependent var


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

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
495.9872
22.92809
0.929476
1.197160
1.031412
1.095208

Como el coeficiente de z1 es estadsticamente significativo (el valor de


p=0.0000) a un nivel de significancia de 0.05 , por lo tanto rechazamos la
H0 de que el modelo es lineal y aceptamos la H1 de que el modelo es no
lineal.
Ahora efectuamos la regresin de logaritmo de Y sobre las X y Z2 ,
obtenemos mediante EVIEWS
Dependent Variable: LN_T_C_
Method: Least Squares
Date: 03/08/16 Time: 12:17
Sample: 1 50
Included observations: 50
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LN_P_COB_
_IPC_
T_INT
LN_EXP_
LN_IND_DJONES_
Z2

5.732540
-0.287085
0.027012
-0.025921
-0.057058
0.145631
0.002118

0.464730
0.032396
0.003429
0.003452
0.036291
0.034297
0.002791

12.33521
-8.861730
7.876693
-7.508181
-1.572245
4.246145
0.758848

0.0000
0.0000
0.0000
0.0000
0.1232
0.0001
0.4521

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.847015
0.825668
0.019070
0.015638
130.8047
39.67881
0.000000

Mean dependent var


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

6.205520
0.045674
-4.952189
-4.684505
-4.850253
0.880654

como el coeficiente de z2 no es estadsticamente significativo a un nivel de


significancia de 0.05 ( el valor de p=0.4521) por lo tanto aceptamos la H0 de que el
verdadero modelo es log-lineal y rechazamos la H1 de que el modelo es no log-lineal
En conclusin trabajaremos con el modelo Log-lineal

Dependent Variable: LN_T_C_


Method: Least Squares
Date: 03/08/16 Time: 10:51
Sample: 1 50
Included observations: 50
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LN_P_COB_
_IPC_
T_INT
LN_EXP_
LN_IND_DJONES_

5.817523
-0.290418
0.026818
-0.025378
-0.057756
0.137530

0.448856
0.031942
0.003403
0.003361
0.036104
0.032436

12.96079
-9.092018
7.880027
-7.550710
-1.599720
4.240044

0.0000
0.0000
0.0000
0.0000
0.1168
0.0001

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.844966
0.827348
0.018978
0.015848
130.4721
47.96174
0.000000

3.2 analisis de significancia (t)

Mean dependent var


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

6.205520
0.045674
-4.978886
-4.749443
-4.891512
0.875745