Piza

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2012 2013 2014 2015 2016 2017 2018 2019 2020

No es estacionaria tiene tendencia

test para modelizar la serie en diferencias
dickey – fiuller
𝑦𝑡 = 𝜇 + 𝜌𝑦𝑡−1 + 𝜀𝑡
Aplicando el test dickey-fiuller para ver
cuantas veces se debe diferenciar o para
detectar el nro de raíces unitarias
Null Hypothesis: PIZA has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic - based on SIC, maxlag=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.770461 0.2086 Aceota la Ho hay rais unitaria y no es estacionaria
Test critical values: 1% level -3.965680
5% level -3.413545
10% level -3.128823

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PIZA)
Method: Least Squares
Date: 12/16/17 Time: 11:12
Sample (adjusted): 3/13/2012 6/30/2015
Included observations: 1205 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

PIZA(-1) -0.005886 0.002125 -2.770461 0.0057

D(PIZA(-1)) -0.403815 0.028737 -14.05227 0.0000
D(PIZA(-2)) -0.010852 0.030518 -0.355601 0.7222
D(PIZA(-3)) 0.213325 0.029768 7.166164 0.0000
D(PIZA(-4)) 0.280483 0.029407 9.537813 0.0000
D(PIZA(-5)) 0.240755 0.029960 8.035970 0.0000
D(PIZA(-6)) 0.202152 0.030686 6.587703 0.0000
D(PIZA(-7)) 0.096518 0.028841 3.346549 0.0008
C 1.098187 0.396612 2.768920 0.0057
@TREND("3/05/2012"
) 9.31E-05 3.56E-05 2.614135 0.0091

R-squared 0.238988 Mean dependent var 0.020148

Adjusted R-squared 0.233257 S.D. dependent var 0.283093
S.E. of regression 0.247887 Akaike info criterion 0.056576
Sum squared resid 73.43024 Schwarz criterion 0.098851
Log likelihood -24.08675 Hannan-Quinn criter. 0.072497
F-statistic 41.69757 Durbin-Watson stat 2.002476
Prob(F-statistic) 0.000000

ahora en difweerencias
Null Hypothesis: D(PIZA) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 6 (Automatic - based on SIC, maxlag=22)

t-Statistic Prob.*

En 1ras dif se rechaza la Ho, entonces es

Augmented Dickey-Fuller test statistic -6.578344 0.0000 estacionaria
Test critical values: 1% level -3.965680 Sil los valores son mayores a -6.578344 se
5% level -3.413545 rechaza la Ho
10% level -3.128823

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PIZA,2)
Method: Least Squares
Date: 12/16/17 Time: 11:18
Sample (adjusted): 3/13/2012 6/30/2015
Included observations: 1205 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PIZA(-1)) -0.416130 0.063258 -6.578344 0.0000

D(PIZA(-1),2) -0.988138 0.063797 -15.48872 0.0000
D(PIZA(-2),2) -0.998780 0.066881 -14.93371 0.0000
D(PIZA(-3),2) -0.787236 0.067625 -11.64120 0.0000
D(PIZA(-4),2) -0.512331 0.062177 -8.239875 0.0000
D(PIZA(-5),2) -0.280535 0.049065 -5.717646 0.0000
D(PIZA(-6),2) -0.088537 0.028777 -3.076694 0.0021
C 0.000115 0.014456 0.007959 0.9937
@TREND("3/05/2012"
) 1.27E-05 2.07E-05 0.614363 0.5391

R-squared 0.696208 Mean dependent var -0.000112

Adjusted R-squared 0.694176 S.D. dependent var 0.449496
S.E. of regression 0.248578 Akaike info criterion 0.061318
Sum squared resid 73.90188 Schwarz criterion 0.099366
Log likelihood -27.94422 Hannan-Quinn criter. 0.075648
F-statistic 342.6124 Durbin-Watson stat 2.000307
Prob(F-statistic) 0.000000

raíz unitaria: indica si es integrada de

orden 1.
PRIMERAS DIFERENCIAS
DPIZA = PIZA – PIZA(-1)
Para que la serie sea estacionaria

Normalmente se pierde el primer dato

Ahora ya no tiene tendencia
SEGUNDA DIFERENCIAS
DDPIZA = DPIZA – DPIZA(-1)

Null Hypothesis: D(DDPIZA) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 11 (Automatic - based on SIC, maxlag=22)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -21.45937 0.0000

Test critical values: 1% level -3.965725
5% level -3.413567
10% level -3.128836

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(DDPIZA,2)
Method: Least Squares
Date: 12/16/17 Time: 11:42
Sample (adjusted): 3/20/2012 6/30/2015
Included observations: 1198 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(DDPIZA(-1)) -30.55555 1.423879 -21.45937 0.0000

D(DDPIZA(-1),2) 27.28169 1.407622 19.38141 0.0000
D(DDPIZA(-2),2) 23.89853 1.357761 17.60142 0.0000
D(DDPIZA(-3),2) 19.81237 1.263952 15.67495 0.0000
D(DDPIZA(-4),2) 15.48426 1.126243 13.74860 0.0000
D(DDPIZA(-5),2) 11.32083 0.952795 11.88170 0.0000
D(DDPIZA(-6),2) 7.666567 0.757383 10.12244 0.0000
D(DDPIZA(-7),2) 4.729877 0.557439 8.485019 0.0000
D(DDPIZA(-8),2) 2.581238 0.371144 6.954819 0.0000
D(DDPIZA(-9),2) 1.186330 0.214266 5.536728 0.0000
D(DDPIZA(-10),2) 0.429200 0.098548 4.355221 0.0000
D(DDPIZA(-11),2) 0.092383 0.028859 3.201197 0.0014
C 0.000114 0.015518 0.007336 0.9941
@TREND("3/05/2012"
) 3.54E-07 2.20E-05 0.016065 0.9872

R-squared 0.970360 Mean dependent var -0.000655

Adjusted R-squared 0.970034 S.D. dependent var 1.523595
S.E. of regression 0.263743 Akaike info criterion 0.183936
Sum squared resid 82.35960 Schwarz criterion 0.243399
Log likelihood -96.17743 Hannan-Quinn criter. 0.206337
F-statistic 2981.673 Durbin-Watson stat 2.007663
Prob(F-statistic) 0.000000

EN 1RA DIF HACIENDO LA SELECCIÓN

O IDENTIFICACIÓN DEL MODELO
AR (1)
MA (1)

ORDEN AR ORDEN MA
Dependent Variable: DPIZA
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 12/16/17 Time: 11:49
Sample: 3/06/2012 6/30/2015
Included observations: 1212
Convergence achieved after 39 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.020038 0.006454 3.104677 0.0019

AR(1) -0.393891 0.095067 -4.143306 0.0000
MA(1) 0.139858 0.099052 1.411962 0.1582 NO SIGN
SIGMASQ 0.074257 0.002944 25.22199 0.0000

R-squared 0.071004 Mean dependent var 0.020059

Adjusted R-squared 0.068697 S.D. dependent var 0.282839
S.E. of regression 0.272951 Akaike info criterion 0.244310
Sum squared resid 89.99889 Schwarz criterion 0.261142
Log likelihood -144.0518 Hannan-Quinn criter. 0.250647
F-statistic 30.77628 Durbin-Watson stat 1.978464
Prob(F-statistic) 0.000000

Inverted AR Roots -.39

Inverted MA Roots -.14

Dependent Variable: DPIZA

Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 12/16/17 Time: 11:50
Sample: 3/06/2012 6/30/2015
Included observations: 1212
Convergence achieved after 7 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.020055 0.006274 3.196540 0.0014

AR(1) -0.260628 0.026349 -9.891458 0.0000
SIGMASQ 0.074499 0.002927 25.45115 0.0000

R-squared 0.067969 Mean dependent var 0.020059

Adjusted R-squared 0.066427 S.D. dependent var 0.282839
S.E. of regression 0.273284 Akaike info criterion 0.245917
Sum squared resid 90.29291 Schwarz criterion 0.258541
Log likelihood -146.0259 Hannan-Quinn criter. 0.250670
F-statistic 44.08378 Durbin-Watson stat 1.950935
Prob(F-statistic) 0.000000

Inverted AR Roots -.26

NO MEJORA EL MODELOS
 PROBANDO CON COMBINACIONES Y
NOS QUEDAMOS CON EL MEJOR
MODELO
U DE THEI ES 0.02 = BUENA CALIDAD
DE PRNOSTICO

SAR(12) ES EL COMPONENTE
ESTACIONAL

LOS RESIDUOS DEL MODELO TIENE

DISTRIB NORMAL

HAY PROBLEMAS DE
HETEROCEDASTICA

ESTACIONARIA EN VARIANZA
LPIZA = LOG(PIZA)

ESTACIONARIA EN MEDIA Y EN
VARIANZA
DLPIZA = LPIZA-LPIZA(-1)