Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
Ejercicios resueltos
ROSA MARÍA GARCÍA FERNÁNDEZ JOSÉ MANUEL HERRERÍAS VELASCO
PROFESORA CONTRATADA DOCTORA DEL DEPARTAMENTO PROFESOR TITULAR DEL DEPARTAMENTO DE MÉTODOS CUANTITATIVOS
DE MÉTODOS CUANTITATIVOS PARA LA ECONOMÍA Y LA EMPRESA PARA LA ECONOMÍA Y LA EMPRESA DE LA UNIVERSIDAD DE GRANADA
DE LA UNIVERSIDAD DE GRANADA
Econometría
Ejercicios resueltos
EDICIONES PIRÁMIDE
COLECCIÓN «ECONOMÍA Y EMPRESA»
Director:
Miguel Santesmases Mestre
Catedrático de la Universidad de Alcalá
Introducción ........................................................................................................ 11
© Ediciones Pirámide 7
Índice
8 © Ediciones Pirámide
Índice
6.1. Comprobando si los EMCO son los más eficientes .................................. 273
6.1.1. Ejercicio ....................................................................................... 273
6.1.2. Ejercicio ....................................................................................... 277
© Ediciones Pirámide 9
Índice
10 © Ediciones Pirámide
Introducción
© Ediciones Pirámide 11
1 1
El modelo lineal I
EL MODELO LINEAL I
1.1. SOBRE
1.1 LOS ERRORES
Sobre DE REDONDEO
los errores de redondeo
© Ediciones Pirámide 13
Econometría
1.1.1. Ejercicio
M O N
M βi
O N M O N M
22, 38 25, 49 431, 28 22, 43 16, 54 255, 86
22, 29 26, 56 207, 90 8, 44 12, 62 302, 70
27, 78 0, 95 182, 73 26, 75 28, 29 375, 91
14, 73 12, 98 320, 80 24, 65 35, 03 654, 65
21, 76 11, 34 322, 58 20, 07 17, 62 246, 26
13, 96 22, 54 211, 65
β̂ = (X X)−1 X Y =
−1
11, 00 225, 24 209, 96 3512, 32
= 225, 24 4955, 12 4392, 88 73490, 62
209, 96 4392, 88 4931, 93 75239, 36
108, 85
β̂ = 2, 22
8, 64
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
108, 85 3512, 32
= 1301991, 89 − 2, 22 73490, 62 = 106138, 73
8, 64 75239, 36
SCR 106138, 73
σ̂ 2 = = = 13267, 34
n−k 11 − 3
14 © Ediciones Pirámide
El modelo lineal I
108, 85 3512, 32
SCR = 1301991, 89 − 2, 22 73490, 62 = 106138, 73
8, 64 75239, 36
SCR = 106458, 61 SCR = 106138, 73
SCR
β1
β2
β=
....
βk
β βi ∀i = 1, 2, ..., k
© Ediciones Pirámide 15
Econometría EL MODELO LINEAL I
ˆ
β1
βˆ2
β̂ =
....
β̂k
X2 17 20 23 9 8 4 3 12 11
X3 25 12 16 24 10 22 33 17 14
Y 134 −2 19 46 201 85 118 74 63
1 17 25 134
1 20 12 −2
1 23 16 19
1 9 24 46
1 8 10 201
1 4 22 85
1 3 33 118
1 12 17 74
1 11 14 63
9 107 173 738
= 107 1653 1874 = 6972
173 1874 3759 14648
β̂ = (X X)−1 X Y =
2701751 −78011 −85451 738
1 −78011
= 3902 1645 6972
1185559
−85451 1645 3428 14648
16 © Ediciones Pirámide
c Ediciones Pirámide
El modelo lineal I
2701751 −78011 −85451 738
−78011 3902 1645 6972
−85451 1645 3428 14648
| | = 1185559
167, 274086
β̂ = −5, 289837
−1, 164475
Ŷ = 167, 274086 − 5, 289837X2 − 1, 164475X3
1.3.2. Ejercicio
Q = β1 + β2 X + β 3 Z + u β̂
X 35 29 29 21 17 12 19 26 35
Q 257 376 57 418 251 187 343 313 226
Z 34 26 18 36 18 35 33 35 24
1 35 34 257
1 29 26 376
1 29 18 57
1 21 36 418
1 17 18 251
1 12 35 187
1 19 33 343
1 26 35 313
1 35 24 226
9 223 259 2428
= 223 6043 6325 = 59406
259 6325 7891 73349
© Ediciones Pirámide 17
EL MODELO LINEAL I
Econometría
β̂ = (X X)−1 X Y =
7679688 −121518 −154662 2428
1 −121518
= 3938 832 59406
1961220
−154662 832 4658 73349
42, 361957
β̂ = −0, 04003
7, 936946
1.3.3. Ejercicio
:
17 387 336 5571
= 387 9263 7712 = 129730
336 7712 7066 114112
= A2t = 1911355
t=1
A = β1 + β2 B + β3 C + u
β̂ = (X X)−1 X Y =
5977414 −143310 −127824 5571
1 −143310
= 7226 −1072 129730
3206204
−127824 −1072 7702 114112
38, 149415
β̂ = 5, 215172
8, 643418
18 c Ediciones Pirámide
© Ediciones Pirámide
Estimación de los parámetros de posición El modelo lineal I
1.3.4. Ejercicio
β̂ A = β1 + β2 B + β3 C + u
25 644 491 8588
= 644 17768 12837 = 227604
491 12837 10357 173284
= A2t = 3069160
t=1
β̂ = (X X)−1 X Y =
19234607 −366941 −457060 8588
1 −366941
= 17844 −4721 227604
20138711
−457060 −4721 29464 173284
122, 568943
β̂ = 4, 56845
5, 258033
1.3.5. Ejercicio
A = β 1 + β2 B + β3 C + u
15
15
15
Bt = 380 Ct = 284 At = 5192
t=1 t=1 t=1
15
15
15
Bt2 = 9926 Bt × Ct = 7164 Bt × At = 134307
t=1 t=1 t=1
15
15
Ct2 = 6000 Ct × At = 101892
t=1 t=1
© Ediciones Pirámide 19
c Ediciones Pirámide
EL MODELO LINEAL I
Econometría
15
A2t = 1886250
t=1
15 380 284 5192
= 380 9926 7164 = 134307
284 7164 6000 101892
β̂ = (X X)−1 X Y =
8233104 −245424 −96664 5192
1 −245424
= 9344 460 134307
2782864
−96664 460 4490 101892
−23, 419574
β̂ = 9, 915512
6, 251406
 = −23, 419574 + 9, 915512B + 6, 251406C
1.3.6. Ejercicio
βi
P R S
28
28
28
Rt = 448 St = 623 Pt = 5364
t=1 t=1 t=1
28
28
28
Rt2 = 7824 Rt × St = 9891 Rt × Pt = 85709
t=1 t=1 t=1
28
28
St2 = 14283 St × Pt = 121564
t=1 t=1
28
Pt2 = 1290670
t=1
20 c© Ediciones
EdicionesPirámide
Pirámide
Estimación de los parámetros dispersión
El modelo lineal I
28 448 623 5364
= 448 7824 9891 = 85709
623 9891 14283 121564
β̂ = (X X)−1 X Y =
13918311 −236691 −443184 5364
1 −236691
= 11795 2156 85709
7571508
−443184 2156 18368 121564
65, 51555
β̂ = 0, 451576
5, 340704
P̂ = 65, 51555 + 0, 451576R + 5, 340704S
O N M O N M
18 20 224 10 25 343
33 39 359 0 30 255
22 26 438 28 15 203
20 22 384 5 22 215
32 23 252 22 29 343
10 190 251 3016
= 190 4714 4813 = 58994
251 4813 6685 78060
c Ediciones Pirámide
© Ediciones Pirámide 21
Econometría
β̂ = (X X)−1 X Y =
8348121 −62087 −268744 3016
1 −62087
= 3849 −440 58994
4229936
−268744 −440 11040 78060
126, 956015
β̂ = 1, 292481
5, 979555
M̂ = 126, 956015 + 1, 292481O + 5, 979555N
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
126, 956015 3016
= 969618 − 1, 292481 58994 = 43705, 971346
5, 979555 78060
SCR 43705, 971346
σ̂ 2 = = = 6243, 710192
n−k 10 − 3
1.4.2. Ejercicio
Y X2 X3
Y
X2 23 33 16 7 12 12 14 22 7
X3 27 15 14 20 28 23 24 17 25
Y 401 378 137 371 283 298 93 410 265
9 146 193 2636
= 146 2940 2977 = 45635
193 2977 4353 56440
β̂ = (X X)−1 X Y =
22 © Ediciones Pirámide
Bondad de ajuste. Coeficiente de determinación El modelo lineal I
3935291 −60977 −132778 2636
1 −60977
= 1928 1385 45635
888823
−132778 1385 5144 56440
108, 85335
β̂ = 6, 096048
3, 97045
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
108, 85335 2636
= 875962 − 6, 096048 45635 = 86739, 22092
3, 97045 56440
SCR 86739, 22092
σ̂ 2 = = = 14456, 53682
n−k 9−3
S C W S C W
17 103 31 25 106 14
23 69 17 15 43 24
24 83 27 24 99 18
16 82 28 0 −29 25
23 101 39 22 74 19
10 189 242 731
= 189 4089 4471 = 16264
242 4471 6366 17821
© Ediciones Pirámide 23
c Ediciones Pirámide
Econometría EL MODELO LINEAL I
β̂ = (X X)−1 X Y =
6040733 −121192 −144519 731
1 −121192
= 5096 1028 16264
2528444
−144519 1028 5169 17821
−51, 717168
β̂ = 4, 987249
1, 262734
731
C̄ = = 73, 1
10
10
10
SCT = (Ct − C̄)2 = Ct2 − nC̄ 2 =
t=1 t=1
2
= 68387 − 10 × 73, 1 = 14950, 9
10
10
SCE = (Ĉt − C̄)2 = Ĉt2 − nC̄ 2 = β̂ − nC̄ 2 =
t=1 t=1
−51, 717168 731
= 4, 987249 16264 − 10 × 73, 12 =
1, 262734 17821
SCE SCR
R2 = =1− =
SCT SCT
24 © Ediciones Pirámide
c Ediciones Pirámide
Bondad de ajuste. Coeficiente de determinación El modelo lineal I
1.5.2. Ejercicio
B D A
D 19 26 24 11 23 25 23 24 14
A 24 22 14 14 17 10 14 18 21
B 275 197 72 161 93 −52 159 83 50
9 189 154 1038
= 189 4189 3207 = 21034
154 3207 2802 20027
β̂ = (X X)−1 X Y =
1452729 −35700 −38983 1038
1 −35700
= 1502 243 21034
323879
−38983 243 1980 20027
−73, 155836
β̂ = −1, 843191
13, 277699
B̂ = −73, 155836 − 1, 843191D + 13, 277699A
1038
B̄ = = 115, 333333
9
9
9
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
© Ediciones Pirámide 25
c Ediciones Pirámide
Econometría EL MODELO LINEAL I
9
9
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
−73, 155836 1038
= −1, 843191 21034 − 9 × 115, 3333332 =
13, 277699 20027
= 151207, 040611 − 9 × 115, 3333332 = 31491, 041303
9
SCR = Bt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 ==1− =
SCT SCT
31491, 041303 40354, 959389
= =1− = 0, 438313
71846, 000692 71846, 000692
43, 8313 %
1.5.3. Ejercicio
28 629 228 5814
= 629 16813 4472 = 148544
228 4472 4072 47800
= Wt2 = 1486408
t=1
R2 W = β1 + β 2 V + β 3 Z + u
β̂ = (X X)−1 X Y =
26 © Ediciones Pirámide
c Ediciones Pirámide
El modelo lineal I
48463752 −1541672 −1020476 5814
1 −1541672
= 62032 18196 148544
154604840
−1020476 18196 75123 47800
25, 764884
β̂ = 7, 250544
2, 333294
Ŵ = 25, 764884 + 7, 250544V + 2, 333294Z
5814
W̄ = = 207, 642857
28
28
28
SCT = (Wt − W̄ )2 = Wt2 − nW̄ 2 =
t=1 t=1
28
28
SCE = (Ŵt − W̄ )2 = Ŵt2 − nW̄ 2 = β̂ − nW̄ 2 =
t=1 t=1
25, 764884 5814
= 7, 250544 148544 − 28 × 207, 6428572 =
2, 333294 47800
= 1338353, 296712 − 28 × 207, 6428572 = 131117, 726945
28
SCR = Wt2 − β̂ = SCT − SCE =
t=1
= 279172, 430233 − 131117, 726945 = 148054, 703288
SCE SCR
R2 = =1− =
SCT SCT
131117, 726945 148054, 703288
= =1− = 0, 469666
279172, 430233 279172, 430233
© Ediciones Pirámide 27
Econometría
21
21
21
Xt2 = 9044 Xt × Zt = 8318 Xt × Qt = 53203
t=1 t=1 t=1
21
21
Zt2 = 10519 Zt × Qt = 48130
t=1 t=1
21
Q2t = 556935
t=1
21 392 427 2325
= 392 9044 8318 = 53203
427 8318 10519 48130
β̂ = (X X)−1 X Y =
25944712 −571662 −601132 2325
1 −571662
= 38570 −7294 53203
64064084
−601132 −7294 36260 48130
28 © Ediciones Pirámide
El modelo lineal I
15, 216621
β̂ = 5, 804584
−0, 632192
Q̂ = 15, 216621 + 5, 804584X − 0, 632192Z
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
15, 216621 2325
= 556935 − 5, 804584 53203 = 243162, 474583
−0, 632192 48130
SCR 243162, 474583
σ̂ 2 = = = 13509, 026366
n−k 21 − 3
2325
Q̄ = = 110, 714286
21
21
21
SCT = (Qt − Q̄)2 = Q2t − nQ̄2 =
t=1 t=1
21
21
SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1
15, 216621 2325
= 5, 804584 53203 − 21 × 110, 7142862 =
−0, 632192 48130
= 313772, 525417 − 21 × 110, 7142862 = 56361, 809803
21
SCR = Q2t − β̂ = SCT − SCE =
t=1
© Ediciones Pirámide 29
Econometría
SCE SCR
R2 =
=1− =
SCT SCT
56361, 809803 243162, 474583
= =1− = 0, 188171
299524, 284386 299524, 284386
SCR 243162,474583
n−k 21−3
Rc2 = 1 − SCT
=1− 299524,284386 = 0, 097968
n−1 21−1
21 392 2325
= =
392 9044 53203
β̂ = (X X)−1 X Y =
1 9044 −392 2325
=
36260 −392 21 53203
4, 735907
β̂ =
5, 677413
Q̂ = 4, 735907 + 5, 677413X
30 © Ediciones Pirámide
Criterios para la selección de modelos
El modelo lineal I
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
4, 735907 2325
= 556935 − = 243868, 612386
5, 677413 53203
SCR 243868, 612386
σ̂ 2 = = = 12835, 190126
n−k 21 − 2
2325
Q̄ = = 110, 714286
21
21
21
SCT = (Qt − Q̄)2 = Q2t − nQ̄2 =
t=1 t=1
21
21
SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1
4, 735907 2325
= − 21 × 110, 7142862 =
5, 677413 53203
21
SCR = Q2t − β̂ = SCT − SCE =
t=1
SCE SCR
R2 =
=1− =
SCT SCT
55655, 672 243868, 612386
= =1− = 0, 185814
299524, 284386 299524, 284386
c Ediciones Pirámide
© Ediciones Pirámide 31
EL MODELO LINEAL I
Econometría
21 427 2325
= =
427 10519 48130
β̂ = (X X)−1 X Y =
1 10519 −427 2325
=
38570 −427 21 48130
101, 248768
β̂ =
0, 465517
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
c Ediciones Pirámide
32
© Ediciones Pirámide
El modelo lineal I
101, 248768 2325
= 556935 − = 299126, 28119
0, 465517 48130
SCR 299126, 28119
σ̂ 2 = = = 15743, 488484
n−k 21 − 2
2325
Q̄ = = 110, 714286
21
21
21
SCT = (Qt − Q̄)2 = Q2t − nQ̄2 =
t=1 t=1
21
SCR = Q2t − β̂ = SCT − SCE =
t=1
SCE SCR
R2 =
=1− =
SCT SCT
398, 003196 299126, 28119
= =1− = 0, 001329
299524, 284386 299524, 284386
© Ediciones Pirámide 33
Econometría
Rc2 X
Rc2 Rc2
1.6.2. Ejercicio
R2
B
D A
30 570 461 3368
= 570 12066 8683 = 68829
461 8683 8083 54697
= Bt2 = 573596
t=1
30 570 461 3368
= 570 12066 8683 = 68829
461 8683 8083 54697
34 © Ediciones Pirámide
Criterios para la selección de modelos
El modelo lineal I
β̂ = (X X)−1 X Y =
22134989 −604447 −613116 3368
1 −604447
= 29969 2280 68829
36868404
−613116 2280 37080 54697
−15, 960698
β̂ = 4, 113765
3, 25808
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−15, 960698 3368
= 573596 − 4, 113765 68829 = 165998, 097919
3, 25808 54697
SCR 165998, 097919
σ̂ 2 = = = 6148, 077701
n−k 30 − 3
3368
B̄ = = 112, 266667
30
30
30
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
30
30
SCE = 2
(B̂t − B̄) = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
c Ediciones Pirámide
© Ediciones Pirámide
35
Econometría EL MODELO LINEAL I
−15, 960698 3368
= 4, 113765 68829 − 30 × 112, 2666672 =
3, 25808 54697
30
SCR = Bt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
29483, 766502 165998, 097919
= =1− = 0, 150826
195481, 864421 195481, 864421
30 570 3368
= =
570 12066 68829
36 © Ediciones Pirámide
c Ediciones Pirámide
El modelo lineal I
β̂ = (X X)−1 X Y =
1 12066 −570 3368
=
37080 −570 30 68829
37, 911489
β̂ =
3, 91343
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
37, 911489 3368
= 573596 − = 176552, 631578
3, 91343 68829
SCR 176552, 631578
σ̂ 2 = = = 6305, 451128
n−k 30 − 2
3368
B̄ = = 112, 266667
30
30
30
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
30
30
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
37, 911489 3368
= − 30 × 112, 2666672 =
3, 91343 68829
© Ediciones Pirámide 37
Econometría
30
SCR = Bt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
18929, 232843 176552, 631578
= =1− = 0, 096834
195481, 864421 195481, 864421
30 461 3368
= =
461 8083 54697
β̂ = (X X)−1 X Y =
1 8083 −461 3368
=
29969 −461 30 54697
38 © Ediciones Pirámide
Criterios para la selección de modelos
El modelo lineal I
67, 010144
β̂ =
2, 94511
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
67, 010144 3368
= 573596 − = 186817, 153338
2, 94511 54697
SCR 186817, 153338
σ̂ 2 = = = 6672, 041191
n−k 30 − 2
3368
B̄ = = 112, 266667
30
30
30
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
30
30
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
67, 010144 3368
= − 30 × 112, 2666672 =
2, 94511 54697
30
SCR = Bt2 − β̂ = SCT − SCE =
t=1
c Ediciones Pirámide
© Ediciones Pirámide 39
EL MODELO LINEAL I
Econometría
SCE SCR
R2 = =1− =
SCT SCT
8664, 711083 186817, 153338
= =1− = 0, 044325
195481, 864421 195481, 864421
n−1 30 − 1
Rc2 = 1 − (1 − R2 ) = 1 − (1 − 0, 044325) = 0, 010194
n−k 30 − 2
R2
Rc2
Rc2
D
1.6.3. Ejercicio
R2
Q
X Z
X Z Q X Z Q
24 25 271 25 29 59
18 9 −3 21 11 250
16 25 220 19 6 54
29 20 −69 16 16 142
10 40 137 13 23 166
26 24 249
40 © Ediciones Pirámide
El modelo lineal I
11 217 228 1476
= 217 4625 4391 = 27994
228 4391 5690 33199
β̂ = (X X)−1 X Y =
7035369 −233582 −101653 1476
1 −233582
= 10606 1175 27994
3524881
−101653 1175 3786 33199
133, 488815
β̂ = −2, 511813
2, 424064
Q̂ = 133, 488815 − 2, 511813X + 2, 424064Z
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
133, 488815 1476
= 323998 − −2, 511813 27994 = 116807, 701446
2, 424064 33199
SCR 116807, 701446
σ̂ 2 = = = 14600, 962681
n−k 11 − 3
1476
Q̄ = = 134, 181818
11
© Ediciones Pirámide 41
EL MODELO LINEAL I
Econometría
11
11
SCT = (Qt − Q̄)2 = Q2t − nQ̄2 =
t=1 t=1
11
11
SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1
133, 488815 1476
= −2, 511813 27994 − 11 × 134, 1818182 =
2, 424064 33199
11
SCR = Q2t − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
9137, 935454 116807, 701446
= =1− = 0, 072555
125945, 6369 125945, 6369
SCR 116807,701446
n−k 11−3
Rc2 = 1 − SCT
=1− 125945,6369 = −0, 159307
n−1 11−1
R2
42 © Ediciones Pirámide
El modelo lineal I
11 217 1476
= =
217 4625 27994
β̂ = (X X)−1 X Y =
1 4625 −217 1476
=
3786 −217 11 27994
198, 574221
β̂ =
−3, 264131
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
198, 574221 1476
= 323998 − = 122278, 533018
−3, 264131 27994
1476
Q̄ = = 134, 181818
11
© Ediciones Pirámide 43
Econometría
11
11
2
SCT = (Qt − Q̄) = Q2t − nQ̄2 =
t=1 t=1
11
11
SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1
198, 574221 1476
= − 11 × 134, 1818182 =
−3, 264131 27994
= 201719, 466982 − 11 × 134, 1818182 = 3667, 103882
11
SCR = Q2t − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
3667, 103882 122278, 533018
= =1− = 0, 029117
125945, 6369 125945, 6369
44 © Ediciones Pirámide
El modelo lineal I
11 228 1476
= =
228 5690 33199
β̂ = (X X)−1 X Y =
1 5690 −228 1476
=
10606 −228 11 33199
78, 169715
β̂ =
2, 702338
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
78, 169715 1476
= 323998 − = 118904, 581398
2, 702338 33199
1476
Q̄ = = 134, 181818
11
11
11
2
SCT = (Qt − Q̄) = Q2t − nQ̄2 =
t=1 t=1
© Ediciones Pirámide 45
EL MODELO LINEAL I
Econometría
11
11
SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1
78, 169715 1476
= − 11 × 134, 1818182 =
2, 702338 33199
= 205093, 418602 − 11 × 134, 1818182 = 7041, 055502
11
SCR = Q2t − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
7041, 055502 118904, 581398
= =1− = 0, 055906
125945, 6369 125945, 6369
R2
46 c© Ediciones
Pirámide
Ediciones Pirámide
El modelo lineal I
Rc2 Rc2
1.7.1. Ejercicio
25 4586 2018 55331
= 4586 1030398 364545 = 12524626
2018 364545 204312 4374490
= Dt2 = 152288873
t=1
β̂ = (X X)−1 X Y =
77629619151 −201323022 −407539794 55331
1 −201323022
= 1035476 140923 12524626
195057795591
−407539794 140923 4728554 4374490
© Ediciones Pirámide 47
EL MODELO LINEAL I
Econometría
−45, 883077
β̂ = 12, 539933
−0, 510435
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−45, 883077 55331
= 152288873 − 12, 539933 12524626 = 2551, 446579
−0, 510435 4374490
55331
D̄ = = 2213, 24
25
25
25
SCT = (Dt − D̄)2 = Dt2 − nD̄2 =
t=1 t=1
25
25
SCE = (D̂t − D̄)2 = D̂t2 − nD̄2 = β̂ − nD̄2 =
t=1 t=1
−45, 883077 55331
= 12, 539933 12524626 − 25 × 2213, 242 =
−0, 510435 4374490
48 c© Ediciones
EdicionesPirámide
Pirámide
Algunos ejercicios con variables económicas y empresariales
El modelo lineal I
25
SCR = Dt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 ==1− =
SCT SCT
29825539, 113421 2551, 446579
= =1− = 0, 999914
29828090, 56 29828090, 56
1.7.2. Ejercicio
26 5857 131 1181
= 5857 1675143 28173 = 298629
131 28173 869 6068
26
= Ot2 = 57195
t=1
O = β1 + β2 N + β3 E + u O
N E
β̂ = (X X)−1 X Y =
661981338 −1399070 −54434472 1181
1 −1399070
= 5433 34769 298629
1886245966
−54434472 34769 9249269 6068
17, 860189
β̂ = 0, 096026
1, 177198
c Ediciones Pirámide
© Ediciones Pirámide 49
Econometría
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
17, 860189 1181
= 57195 − 0, 096026 298629 = 282, 730973
1, 177198 6068
SCR 282, 730973
σ̂ 2 = = = 12, 292651
n−k 26 − 3
1181
Ō = = 45, 423077
26
26
26
SCT = (Ot − Ō)2 = Ot2 − nŌ2 =
t=1 t=1
26
26
SCE = (Ôt − Ō) = 2
Ôt2 − nŌ2 = β̂ − nŌ2 =
t=1 t=1
17, 860189 1181
= 0, 096026 298629 − 26 × 45, 4230772 =
1, 177198 6068
= 56912, 269027 − 26 × 45, 4230772 = 3267, 614999
26
SCR = Ot2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
50 © Ediciones Pirámide
El modelo lineal I
1.7.3. Ejercicio
V = β1 + β2 G + β3 N + u V
G
N
β̂ σ2
23
23
23
Gt = 2790 Nt = 165492 Vt = 37515
t=1 t=1 t=1
23
23
23
G2t = 345662 Gt × Nt = 20469087 Gt × Vt = 4739642
t=1 t=1 t=1
23
23
Nt2 = 1237136690 Nt × Vt = 292499537
t=1 t=1
23
Vt2 = 72225689
t=1
23 2790 165492 37515
= 2790 345662 20469087 = 4739642
165492 20469087 1237136690 292499537
β̂ = (X X)−1 X Y =
8647619925211 −64141219296 −95542974 37515
1 −64141219296 1066541806 −9066321 4739642
=
4129658590805
−95542974 −9066321 166126 292499537
−1825, 146294
β̂ = −0, 757011
0, 493108
© Ediciones Pirámide 51
Econometría
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−1825, 146294 37515
= 72225689 − −0, 757011 4739642 = 50151, 658476
0, 493108 292499537
SCR 50151, 658476
σ̂ 2 = = = 2507, 582924
n−k 23 − 3
37515
V̄ = = 1631, 086957
23
23
23
2
SCT = (Vt − V̄ ) = Vt2 − nV̄ 2 =
t=1 t=1
23
23
SCE = (V̂t − V̄ )2 = V̂t2 − nV̄ 2 = β̂ − nV̄ 2 =
t=1 t=1
−1825, 146294 37515
= −0, 757011 4739642 − 23 × 1631, 0869572 =
0, 493108 292499537
= 72175537, 341524 − 23 × 1631, 0869572 = 10985310, 131727
23
SCR = Vt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
52 © Ediciones Pirámide
El modelo lineal I
99, 5455 % V
1.7.4. Ejercicio
βi
R2
23
23
23
Pt = 3632 Gt = 27821 Vt = 7279
t=1 t=1 t=1
23
23
23
Pt2 = 619994 Pt × Gt = 4364515 Pt × Vt = 1067922
t=1 t=1 t=1
23
23
G2t = 37992481 Gt × Vt = 10154101
t=1 t=1
23
Vt2 = 2838439
t=1
23 3632 27821 7279
= 3632 619994 4364515 = 1067922
27821 4364515 37992481 10154101
β̂ = (X X)−1 X Y =
4506119079889 −16563519177 −1396934594 7279
1 −16563519177
= 99819022 662027 1067922
4617919846909
−1396934594 662027 1068438 10154101
200, 713596
β̂ = −1, 56881
0, 300511
© Ediciones Pirámide 53
Econometría
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
200, 713596 7279
= 2838439 − −1, 56881 1067922 = 1392, 401925
0, 300511 10154101
SCR 1392, 401925
σ̂ 2 = = = 69, 620096
n−k 23 − 3
7279
V̄ = = 316, 478261
23
23
23
2
SCT = (Vt − V̄ ) = Vt2 − nV̄ 2 =
t=1 t=1
23
23
SCE = (V̂t − V̄ )2 = V̂t2 − nV̄ 2 = β̂ − nV̄ 2 =
t=1 t=1
200, 713596 7279
= −1, 56881 1067922 − 23 × 316, 4782612 =
0, 300511 10154101
= 2837046, 598075 − 23 × 316, 4782612 = 533401, 335307
23
SCR = Vt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
54 © Ediciones Pirámide
Algunos ejercicios con variables económicas y empresariales El modelo lineal I
1.7.5. Ejercicio
βi
β̂i
R2
I
C V
C 14 10 29 30 49 22 18 38 48
V 86 35 30 68 81 15 53 91 43
I 7836 3869 5398 8159 10966 3668 5931 10567 8236
9 258 502 64630
= 258 8994 15239 = 2071368
502 15239 33870 4099417
β̂ = (X X)−1 X Y =
72399659 −1088482 −583326 64630
1 −1088482
= 52826 −7635 2071368
77938923
−583326 −7635 14382 4099417
426, 573214
β̂ = 99, 750487
69, 831107
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
© Ediciones Pirámide 55
c Ediciones Pirámide
Econometría
426, 573214 64630
= 520457068 − 99, 750487 2071368 = 847, 258345
69, 831107 4099417
SCR 847, 258345
σ̂ 2 = = = 141, 209724
n−k 9−3
−1
V (β̂) = σ̂ 2 (Xr Xr ) =
72399659 −1088482 −583326
141, 209724
= −1088482 52826 −7635 =
77938923
−583326 −7635 14382
131, 173687 −1, 972111 −1, 05687
= −1, 972111 0, 09571 −0, 013833
−1, 05687 −0, 013833 0, 026057
64630
I¯ = = 7181, 111111
9
9
9
SCT = ¯2=
(It − I) It2 − nI¯2 =
t=1 t=1
9
9
SCE = (Iˆt − I)
¯2= Iˆt2 − nI¯2 = β̂
− nI¯2 =
t=1 t=1
426, 573214 64630
= 99, 750487 2071368 − 9 × 7181, 1111112 =
69, 831107 4099417
= 520456220, 741655 − 9 × 7181, 1111112 = 56341009, 644906
9
SCR = It2 − β̂ = SCT − SCE =
t=1
56 © Ediciones Pirámide
El modelo lineal I
SCE SCR
R2 = =1− =
SCT SCT
56341009, 644906 847, 258345
= =1− = 0, 999985
56341856, 903251 56341856, 903251
1.7.6. Ejercicio
15 8220 492 30273
= 8220 4516646 267467 = 16766274
492 267467 17172 975195
= Ct2 = 63976271
t=1
β̂ = (X X)−1 X Y =
6021249023 −9560076 −23611092 30273
1 −9560076
= 15516 32235 16766274
118253361
−23611092 32235 181290 975195
−8718, 575589
β̂ = 18, 339753
20, 932647
© Ediciones Pirámide 57
Econometría
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−8718, 575589 30273
= 63976271 − 18, 339753 16766274 = 10973, 22431
20, 932647 975195
SCR 10973, 22431
σ̂ 2 = = = 914, 435359
n−k 15 − 3
−1
V (β̂) = σ̂ 2 (X X) =
6021249023 −9560076 −23611092
914, 435359
= −9560076 15516 32235 =
118253361
−23611092 32235 181290
46561, 408195 −73, 926622 −182, 581004
= −73, 926622 0, 119983 0, 249268
−182, 581004 0, 249268 1, 401888
30273
C̄ = = 2018, 2
15
15
15
SCT = (Ct − C̄)2 = Ct2 − nC̄ 2 =
t=1 t=1
15
15
SCE = (Ĉt − C̄)2 = Ĉt2 − nC̄ 2 = β̂ − nC̄ 2 =
t=1 t=1
−8718, 575589 30273
= 18, 339753 16766274 − 15 × 2018, 22 =
20, 932647 975195
58 © Ediciones Pirámide
Algunos ejercicios con variables económicas y empresariales El modelo lineal I
15
SCR = Ct2 − β̂ = SCT − SCE =
t=1
= 2879302, 4 − 2868329, 17569 = 10973, 22431
SCE SCR
R2 ==1− =
SCT SCT
2868329, 17569 10973, 22431
= =1− = 0, 996189
2879302, 4 2879302, 4
99, 6189 %
1.7.7. Ejercicio
19 1421 1654 16326069
== 1421 106467 123728 = 1223316195
1654 123728 145758 1418640028
19
= P IBt2 = 14103694300577
t=1
β̂ σ2 V̂ (β̂)
P IB = β1 + β2 C + β3 IP C + u P IB
C
IP C
β̂ = (X X)−1 X Y =
209799002 −2476006 −278930 16326069
1 −2476006
= 33686 −498 1223316195
6426292
−278930 −498 3632 1418640028
86127, 592075
β̂ = 12246, 846301
−1640, 340897
© Ediciones Pirámide 59
c Ediciones Pirámide
Econometría
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
86127, 592075 16326069
= 14103694300577 − 12246, 846301 1223316195 = 42857127917, 1992
−1640, 340897 1418640028
SCR 42857127917, 1992
σ̂ 2 = = = 2678570494, 82495
n−k 19 − 3
−1
V (β̂) = σ̂ 2 (X X) =
209799002 −2476006 −278930
2678570494, 82495
= −2476006 33686 −498 =
6426292
−278930 −498 3632
87447227203, 6421 −1032034743, 6142 −116262016, 746435
= −1032034743, 6142 14040806, 998605 −207573, 528626
−116262016, 746435 −207573, 528626 1513869, 590303
¯ = 16326069
P IB = 859266, 789474
19
19
19
¯ 2= ¯ 2
SCT = (P IBt − P IB) P IBt2 − nP IB =
t=1 t=1
19
19
SCE = ˆ t − P IB)
(P IB ¯ 2= ˆ 2t − nP IB
P IB ¯ 2 = β̂ ¯ 2=
− nP IB
t=1 t=1
60 © Ediciones Pirámide
Algunos ejercicios con variables económicas y empresariales El modelo lineal I
86127, 592075 16326069
= 12246, 846301 1223316195 − 19 × 859266, 7894742 =
−1640, 340897 1418640028
19
SCR = P IBt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 ==1− =
SCT SCT
32388278293, 6465 42857127917, 1992
= =1− = 0, 430435
75245406210, 8457 75245406210, 8457
43, 0435 %
1.7.8. Ejercicio
P = β1 + β 2 S + β3 V + u P
S V
R2
9 781 34 3414
= 781 87359 2413 = 343399
34 2413 164 11975
© Ediciones Pirámide 61
EL MODELO LINEAL I
Econometría
β̂ = (X X)−1 X Y =
8504307 −46042 −1085653 3414
1
= −46042 320 4837 343399
3667759
−1085653 4837 176270 11975
60, 590858
β̂ = 2, 896419
17, 840559
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
60, 590858 3414
= 1415950 − 2, 896419 343399 = 824, 728582
17, 840559 11975
SCR 824, 728582
σ̂ 2 = = = 137, 454764
n−k 9−3
3414
P̄ = = 379, 333333
9
9
9
SCT = (Pt − P̄ )2 = Pt2 − nP̄ 2 =
t=1 t=1
9
9
SCE = (P̂t − P̄ ) = 2
P̂t2 − nP̄ 2 = β̂ − nP̄ 2 =
t=1 t=1
c Ediciones Pirámide
62
© Ediciones Pirámide
Algunos ejercicios con variables económicas y empresariales El modelo lineal I
60, 590858 3414
= 2, 896419 343399 − 9 × 379, 3333332 =
17, 840559 11975
9
SCR = Pt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 =
=1− =
SCT SCT
120081, 273694 824, 728582
= =1− = 0, 993179
120906, 002276 120906, 002276
SCR 824,728582
n−k 9−3
Rc2 = 1 − SCT
=1− 120906,002276 = 0, 990905
n−1 9−1
9 781 3414
= =
781 87359 343399
© Ediciones Pirámide 63
c Ediciones Pirámide
Econometría
β̂ = (X X)−1 X Y =
1 87359 −781 3414
=
176270 −781 9 343399
170, 471476
β̂ =
2, 406859
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
170, 471476 3414
= 1415950 − = 7447, 407195
2, 406859 343399
SCR 7447, 407195
σ̂ 2 = = = 1063, 915314
n−k 9−2
3414
P̄ = = 379, 333333
9
9
9
SCT = (Pt − P̄ )2 = Pt2 − nP̄ 2 =
t=1 t=1
9
9
SCE = (P̂t − P̄ )2 = P̂t2 − nP̄ 2 = β̂ − nP̄ 2 =
t=1 t=1
170, 471476 3414
= − 9 × 379, 3333332 =
2, 406859 343399
64 © Ediciones Pirámide
El modelo lineal I
9
SCR = Pt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 =
=1− =
SCT SCT
113458, 595081 7447, 407195
= =1− = 0, 938403
120906, 002276 120906, 002276
SCR 7447,407195
n−k 9−2
Rc2 = 1 − SCT
=1− 120906,002276 = 0, 929604
n−1 9−1
9 34 3414
= =
34 164 11975
β̂ = (X X)−1 X Y =
1 164 −34 3414
=
320 −34 9 11975
© Ediciones Pirámide 65
EL MODELO LINEAL I
Econometría
477, 33125
β̂ =
−25, 940625
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
477, 33125 3414
= 1415950 − = 96980, 096875
−25, 940625 11975
SCR 96980, 096875
σ̂ 2 = = = 13854, 299554
n−k 9−2
3414
P̄ = = 379, 333333
9
9
9
SCT = (Pt − P̄ )2 = Pt2 − nP̄ 2 =
t=1 t=1
9
9
SCE = (P̂t − P̄ )2 = P̂t2 − nP̄ 2 = β̂ − nP̄ 2 =
t=1 t=1
477, 33125 3414
= − 9 × 379, 3333332 =
−25, 940625 11975
9
SCR = Pt2 − β̂ = SCT − SCE =
t=1
66 c © Ediciones
EdicionesPirámide
Pirámide
El modelo lineal I
SCE SCR
R2 = =1− =
SCT SCT
23925, 905401 96980, 096875
= =1− = 0, 197888
120906, 002276 120906, 002276
n−1 9−1
Rc2 = 1 − (1 − R2 ) = 1 − (1 − 0, 197888) = 0, 083301
n−k 9−2
Rc2
Rc2
1.7.9. Ejercicio
R2
S
E A
E 1 7 14 6 13 4 4 10 2
A 15 20 13 19 12 11 17 10 16
S 1462 3144 3857 2844 3561 1639 2260 2743 1755
© Ediciones Pirámide 67
EL MODELO LINEAL I
Econometría
9 61 133 23265
= 61 587 851 = 187361
133 851 2065 343678
β̂ = (X X)−1 X Y =
487954 −12782 −26160 23265
1 −12782
= 896 454 187361
132604
−26160 454 1562 343678
−250, 482429
β̂ = 200, 084749
100, 106558
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−250, 482429 23265
= 66065681 − 200, 084749 187361 = 654, 412972
100, 106558 343678
23265
S̄ = = 2585
9
68 © Ediciones Pirámide
El modelo lineal I
9
9
SCT = (St − S̄)2 = St2 − nS̄ 2 =
t=1 t=1
9
9
SCE = (Ŝt − S̄)2 = Ŝt2 − nS̄ 2 = β̂ − nS̄ 2 =
t=1 t=1
−250, 482429 23265
= 200, 084749 187361 − 9 × 25852 =
100, 106558 343678
9
SCR = St2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 ==1− =
SCT SCT
5925001, 587028 654, 412972
= =1− = 0, 99989
5925656 5925656
SCR 654,412972
n−k 9−3
Rc2 =1− SCT
=1− 5925656 = 0, 999853
n−1 9−1
© Ediciones Pirámide 69
EL MODELO LINEAL I
Econometría
9 61 23265
= =
61 587 187361
β̂ = (X X)−1 X Y =
1 587 −61 23265
=
1562 −61 9 187361
1426, 078105
β̂ =
170, 988476
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
1426, 078105 23265
= 66065681 − = 851402, 035339
170, 988476 187361
SCR 851402, 035339
σ̂ 2 = = = 121628, 862191
n−k 9−2
23265
S̄ = = 2585
9
9
9
2
SCT = (St − S̄) = St2 − nS̄ 2 =
t=1 t=1
c Ediciones Pirámide
70
© Ediciones Pirámide
Algunos ejercicios con variables económicas y empresariales
El modelo lineal I
9
9
SCE = 2
(Ŝt − S̄) = Ŝt2 − nS̄ 2 = β̂ − nS̄ 2 =
t=1 t=1
1426, 078105 23265
= − 9 × 25852 =
170, 988476 187361
= 65214278, 964661 − 9 × 25852 = 5074253, 964661
9
SCR = St2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 =
=1− =
SCT SCT
5074253, 964661 851402, 035339
= =1− = 0, 856319
5925656 5925656
n−1 9−1
Rc2 = 1 − (1 − R2 ) = 1 − (1 − 0, 856319) = 0, 835794
n−k 9−2
9 133 23265
= =
133 2065 343678
© Ediciones Pirámide 71
EL MODELO LINEAL I
Econometría
β̂ = (X X)−1 X Y =
1 2065 −133 23265
=
896 −133 9 343678
2603, 851563
β̂ =
−1, 27567
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
2603, 851563 23265
= 66065681 − = 5925494, 101065
−1, 27567 343678
SCR 5925494, 101065
σ̂ 2 = = = 846499, 157295
n−k 9−2
23265
S̄ = = 2585
9
9
9
SCT = (St − S̄)2 = St2 − nS̄ 2 =
t=1 t=1
9
9
SCE = (Ŝt − S̄) = 2
Ŝt2 − nS̄ 2 = β̂ − nS̄ 2 =
t=1 t=1
2603, 851563 23265
= − 9 × 25852 =
−1, 27567 343678
= 60140186, 898935 − 9 × 25852 = 161, 898935
c Ediciones Pirámide
72
© Ediciones Pirámide
El modelo lineal I
9
SCR = St2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
161, 898935 5925494, 101065
= =1− = 0, 000027
5925656 5925656
SCR 5925494,101065
n−k 9−2
Rc2 = 1 − SCT
=1− 5925656 = −0, 142826
n−1 9−1
Rc2
Rc2
1.7.10. Ejercicio
24 5508 616 4906
== 5508 1354678 138870 = 1218978
616 138870 19606 120016
© Ediciones Pirámide 73
Econometría EL MODELO LINEAL I
= Bt2 = 1101916
t=1
R2
B = β1 + β2 I + β 3 T + u B
I
T
24 5508 616 4906
= 5508 1354678 138870 = 1218978
616 138870 19606 120016
β̂ = (X X)−1 X Y =
7274939968 −22445928 −69585688 4906
1 −22445928
= 91088 60048 1218978
8101604000
−69585688 60048 2174208 120016
−2, 670196
β̂ = 1, 002427
−0, 89494
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−2, 670196 4906
= 1101916 − 1, 002427 1218978 = 486, 64101
−0, 89494 120016
74 © Ediciones Pirámide
El modelo lineal I
4906
B̄ = = 204, 416667
24
24
24
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
24
24
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
−2, 670196 4906
= 1, 002427 1218978 − 24 × 204, 4166672 =
−0, 89494 120016
24
SCR = Bt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
98561, 189053 486, 64101
= =1− = 0, 995087
99047, 830063 99047, 830063
© Ediciones Pirámide 75
Econometría
24 5508 4906
= =
5508 1354678 1218978
β̂ = (X X)−1 X Y =
1 1354678 −5508 4906
=
2174208 −5508 24 1218978
−31, 312807
β̂ =
1, 027144
B̂ = −31, 312807 + 1, 027144I
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−31, 312807 4906
= 1101916 − = 3470, 69231
1, 027144 1218978
SCR 3470, 69231
σ̂ 2 = = = 157, 758741
n−k 24 − 2
4906
B̄ = = 204, 416667
24
76 © Ediciones Pirámide
El modelo lineal I
24
24
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
24
24
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
−31, 312807 4906
= − 24 × 204, 4166672 =
1, 027144 1218978
= 1098445, 30769 − 24 × 204, 4166672 = 95577, 137753
24
SCR = Bt2 − β̂ = SCT − SCE =
t=1
= 99047, 830063 − 95577, 137753 = 3470, 69231
SCE SCR
R2 =
=1− =
SCT SCT
95577, 137753 3470, 69231
= =1− = 0, 964959
99047, 830063 99047, 830063
SCR 3470,69231
n−k 24−2
Rc2 = 1 − SCT
=1− 99047,830063 = 0, 963367
n−1 24−1
© Ediciones Pirámide 77
Econometría
24 616 4906
= =
616 19606 120016
β̂ = (X X)−1 X Y =
1 19606 −616 4906
=
91088 −616 24 120016
244, 348103
β̂ =
−1, 55577
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
244, 348103 4906
= 1101916 − = 89861, 499002
−1, 55577 120016
4906
B̄ = = 204, 416667
24
24
24
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
78 © Ediciones Pirámide
Algunos ejercicios con variables económicas y empresariales
El modelo lineal I
24
24
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
244, 348103 4906
= − 24 × 204, 4166672 =
−1, 55577 120016
= 1012054, 500998 − 24 × 204, 4166672 = 9186, 331061
24
SCR = Bt2 − β̂ = SCT − SCE =
t=1
= 99047, 830063 − 9186, 331061 = 89861, 499002
SCE SCR
R2 =
=1− =
SCT SCT
9186, 331061 89861, 499002
= =1− = 0, 092746
99047, 830063 99047, 830063
n−1 24 − 1
Rc2 = 1 − (1 − R2 ) = 1 − (1 − 0, 092746) = 0, 051508
n−k 24 − 2
Rc2 Rc2
c Ediciones Pirámide
© Ediciones Pirámide 79
2 El modelo lineal II
X Z Q X Z Q
31 −4 67 20 13 116
21 5 94 15 15 61
29 7 124 32 10 124
31 19 135 36 11 193
25 7 28 16 10 5
α
10 256 93 947
= 256 7030 2309 = 26763
93 2309 1215 9667
βi
β̂ = (X X)−1 X Y =
3209969 −96303 −62686 947
1 −96303
= 3501 718 26763
1616324
−62686 718 4764 9667
−88, 783009
β̂ = 5, 839936
3, 653834
© Ediciones Pirámide 81
Econometría
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
−88, 783009 947
= 117537 − 5, 839936 26763 = 9998, 689077
3, 653834 9667
SCR 9998, 689077
σ̂ 2 = = = 1428, 384154
n−k 10 − 3
V̂ (β̂
−1
V̂ (β̂) = σ̂ 2 (X X) =
3209969 −96303 −62686
1428, 384154
= −96303 3501 718 =
1616324
−62686 718 4764
2836, 726334 −85, 105263 −55, 397117
= −85, 105263 3, 093917 0, 634514
−55, 397117 0, 634514 4, 210061
D̂(β̂i )
√
D̂(β̂1 ) = 2836, 726334 = 53, 260927
√
D̂(β̂2 ) = 3, 093917 = 1, 758953
√
D̂(β̂3 ) = 4, 210061 = 2, 051843
α = 0, 05 g.l. = n − k = 10 − 3 = 7 t0 = 2, 365
β̂i − t0 D̂(β̂i ) < βi < β̂i + t0 D̂(β̂i )
−88, 783009 − 2, 365 × 53, 260927 < β1 < −88, 783009 + 2, 365 × 53, 260927
5, 839936 − 2, 365 × 1, 758953 < β2 < 5, 839936 + 2, 365 × 1, 758953
3, 653834 − 2, 365 × 2, 051843 < β3 < 3, 653834 + 2, 365 × 2, 051843
−214, 745101 < β1 < 37, 179083
1, 680012 < β2 < 9, 99986
−1, 198775 < β3 < 8, 506443
82 © Ediciones Pirámide
El modelo lineal II
2.1.2. Ejercicio
19 484 298 4762
= 484 13754 7512 = 129162
298 7512 4948 76093
= Wt2 = 1284186
t=1
σ2 W = β1 + β 2 V + β 3 Z + u α
β̂
β̂ = (X X)−1 X Y =
11624648 −156256 −462884 4762
1 −156256
= 5208 1504 129162
7300976
−462884 1504 27070 76093
−6, 573903
β̂ = 5, 893527
6, 826971
Ŵ = −6, 573903 + 5, 893527V + 6, 826971Z
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
© Ediciones Pirámide 83
Econometría
−6, 573903 4762
= 1284186 − 5, 893527 129162 = 34786, 487409
6, 826971 76093
SCR 34786, 487409
σ̂ 2 = = = 2174, 155463
n−k 19 − 3
V̂ (β̂
−1
V̂ (β̂) = σ̂ 2 (X X) =
11624648 −156256 −462884
2174, 155463
= −156256 5208 1504 =
7300976
−462884 1504 27070
3461, 700457 −46, 531428 −137, 842088
= −46, 531428 1, 550889 0, 447876
−137, 842088 0, 447876 8, 061167
β̂i
√
D̂(β̂1 ) = 3461, 700457 = 58, 836217
√
D̂(β̂2 ) = 1, 550889 = 1, 245347
√
D̂(β̂3 ) = 8, 061167 = 2, 839219
α = 0, 01 g.l. = n − k = 19 − 3 = 16 t0 = 2, 921
−6, 573903 − 2, 921 × 58, 836217 < β1 < −6, 573903 + 2, 921 × 58, 836217
5, 893527 − 2, 921 × 1, 245347 < β2 < 5, 893527 + 2, 921 × 1, 245347
6, 826971 − 2, 921 × 2, 839219 < β3 < 6, 826971 + 2, 921 × 2, 839219
84 © Ediciones Pirámide
El modelo lineal II
2.1.3. Ejercicio
W = β1 +β2 V +β3 Z +u
30
30
30
Vt = 368 Zt = 503 Wt = 6553
t=1 t=1 t=1
30
30
30
Vt2 = 6730 Vt × Zt = 6399 Vt × Wt = 95077
t=1 t=1 t=1
30
30
Zt2 = 10685 Zt × Wt = 127392
t=1 t=1
30
Wt2 = 1678805
t=1
30 368 503 6553
= 368 6730 6399 = 95077
503 6399 10685 127392
β̂
β̂ = (X X)−1 X Y =
30962849 −713383 −1030358 6553
1 −713383
= 67541 −6866 95077
148090452
−1030358 −6866 66476 127392
© Ediciones Pirámide 85
El modelo lineal II
Econometría
25, 753637
β̂ = 5, 889126
7, 183285
σ̂ 2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
25, 753637 6553
= 1678805 − 5, 889126 95077 = 35027, 941317
7, 183285 127392
SCR 35027, 941317
σ̂ 2 = = = 1297, 33116
n−k 30 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
30962849 −713383 −1030358
1297, 33116
= −713383 67541 −6866 =
148090452
−1030358 −6866 66476
271, 246851 −6, 249518 −9, 026345
= −6, 249518 0, 591686 −0, 060149
−9, 026345 −0, 060149 0, 582356
β̂i
√
D̂(β̂1 ) = 271, 246851 = 16, 469573
√
D̂(β̂2 ) = 0, 591686 = 0, 769211
√
D̂(β̂3 ) = 0, 582356 = 0, 763123
α = 0, 01 g.l. = n − k = 30 − 3 = 27 t0 = 2, 771
86 c © Ediciones
EdicionesPirámide
Pirámide
El modelo lineal II
25, 753637 − 2, 771 × 16, 469573 < β1 < 25, 753637 + 2, 771 × 16, 469573
5, 889126 − 2, 771 × 0, 769211 < β2 < 5, 889126 + 2, 771 × 0, 769211
7, 183285 − 2, 771 × 0, 763123 < β3 < 7, 183285 + 2, 771 × 0, 763123
2.2. CONTRASTES
2.2.1. Ejercicio
B = β 1 + β 2 D + β3 A + u
βi
8 142 96 964
= 142 2920 1659 = 17661
96 1659 1798 13770
β̂ = (X X)−1 X Y =
2497879 −96052 −44742 964
1 −96052
= 5168 360 17661
2048416
−44742 360 3196 13770
© Ediciones Pirámide 87
Econometría
46, 613405
β̂ = 1, 7746
3, 532286
B̂ = 46, 613405 + 1, 7746D + 3, 532286A
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
46, 613405 964
= 130700 − 1, 7746 17661 = 5783, 88876
3, 532286 13770
SCR 5783, 88876
σ̂ 2 = = = 1156, 777752
n−k 8−3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
2497879 −96052 −44742
1156, 777752
= −96052 5168 360 =
2048416
−44742 360 3196
1410, 597679 −54, 24231 −25, 266621
= −54, 24231 2, 918464 0, 203299
−25, 266621 0, 203299 1, 804839
β̂i
√
D̂(β̂1 ) = 1410, 597679 = 37, 557924
√
D̂(β̂2 ) = 2, 918464 = 1, 708351
√
D̂(β̂3 ) = 1, 804839 = 1, 343443
R2
964
B̄ = = 120, 5
8
8
8
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
88 © Ediciones Pirámide
El modelo lineal II
8
8
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
46, 613405 964
= 1, 7746 17661 − 8 × 120, 52 =
3, 532286 13770
= 124916, 11124 − 8 × 120, 52 = 8754, 11124
8
SCR = Bt2 − β̂ = SCT − SCE =
t=1
= 14538 − 8754, 11124 = 5783, 88876
SCE SCR
R2 = =1− =
SCT SCT
8754, 11124 5783, 88876
= =1− = 0, 602154
14538 14538
α = 0, 025 t0 = 3, 163
H0 : β1 = 0
H1 : β1 = 0
β̂
46, 613405
1 = 1, 241 < 3, 163
|tExp. | = =
D̂(β̂1 ) 37, 557924
H0 p − valor = 2, 70E − 01
H0 : β2 = 0
H1 : β2 = 0
β̂ 1, 7746
2
|tExp. | = =
= 1, 039 < 3, 163
D̂(β̂2 ) 1, 708351
© Ediciones Pirámide 89
Econometría
H0 p − valor = 3, 47E − 01
H0 : β3 = 0
H1 : β3 = 0
β̂
3, 532286
3 = 2, 629 < 3, 163
|tExp. | = =
D̂(β̂3 ) 1, 343443
H0 p − valor = 4, 66E − 02
H 0 : β 2 = β3 = 0
SCE 8754,11124
k−1 3−1
FExp = SCR
= 5783,88876 = 3, 784 < 8, 434
n−k 8−3
H0 p − valor = 9, 98E − 02
H0 p − valor = 9, 98E − 02
90 © Ediciones Pirámide
El modelo lineal II
2.2.2. Ejercicio
19 422 275 5254
= 422 10114 6320 = 123413
275 6320 5309 89764
= Pt2 = 1718428
t=1
P = β1 + β2 R + β3 S + u
β̂ = (X X)−1 X Y =
13752826 −502398 −114310 5254
1 −502398
= 25246 −4030 123413
17856488
−114310 −4030 14082 89764
−0, 337099
β̂ = 6, 403084
9, 302922
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
−0, 337099 5254
= 1718428 − 6, 403084 123413 = 94907, 822046
9, 302922 89764
SCR 94907, 822046
σ̂ 2 = = = 5931, 738878
n−k 19 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
© Ediciones Pirámide 91
Econometría
13752826 −502398 −114310
5931, 738878
= −502398 25246 −4030 =
17856488
−114310 −4030 14082
4568, 545207 −166, 89137 −37, 972589
= −166, 89137 8, 386458 −1, 338724
−37, 972589 −1, 338724 4, 677893
D̂(β̂i )
√
D̂(β̂1 ) = 4568, 545207 = 67, 591014
√
D̂(β̂2 ) = 8, 386458 = 2, 895938
√
D̂(β̂3 ) = 4, 677893 = 2, 162844
R2
5254
P̄ = = 276, 526316
19
19
19
SCT = (Pt − P̄ )2 = Pt2 − nP̄ 2 =
t=1 t=1
19
19
SCE = (P̂t − P̄ )2 = P̂t2 − nP̄ 2 = β̂ − nP̄ 2 =
t=1 t=1
−0, 337099 5254
= 6, 403084 123413 − 19 × 276, 5263162 =
9, 302922 89764
= 1623520, 177954 − 19 × 276, 5263162 = 170650, 912584
19
SCR = Pt2 − β̂ = SCT − SCE =
t=1
= 265558, 73463 − 170650, 912584 = 94907, 822046
SCE SCR
R2 = =1− =
SCT SCT
92 © Ediciones Pirámide
El modelo lineal II
α = 0, 01 t0 = 2, 921
H0 : β1 = 0
H1 : β1 = 0
β̂ −0, 337099
1
|tExp. | = =
= 0, 005 < 2, 921
D̂(β̂1 ) 67, 591014
H0 p − valor = 9, 96E − 01
H0 : β2 = 0
H1 : β2 = 0
β̂
6, 403084
2 = 2, 211 < 2, 921
|tExp. | = =
D̂(β̂2 ) 2, 895938
H0 p − valor = 4, 19E − 02
R
H0 : β3 = 0
H1 : β3 = 0
β̂ 9, 302922
3
|tExp. | = = = 4, 301 > 2, 921
D̂(β̂3 ) 2, 162844
Se rechaza H0 p − valor = 5, 49E − 04
S
H 0 : β 2 = β3 = 0
SCE 170650,912584
k−1 3−1
FExp = SCR
= 94907,822046 = 14, 385 > 6, 226
n−k 19−3
© Ediciones Pirámide 93
Econometría
p − valor = 2, 66E − 04
2.2.3. Ejercicio
C = β1 + β 2 S + β 3 W + u
βi
15
15
15
St = 257 Wt = 217 Ct = 2899
t=1 t=1 t=1
15
15
15
St2 = 4739 St × Wt = 3605 St × Ct = 49984
t=1 t=1 t=1
15
15
Wt2 = 3991 Wt × Ct = 48020
t=1 t=1
15
Ct2 = 626163
t=1
15 257 217 2899
= 257 4739 3605 = 49984
217 3605 3991 48020
β̂ = (X X)−1 X Y =
94 © Ediciones Pirámide
El modelo lineal II
5917324 −243402 −101878 2899
1 −243402
= 12776 1694 49984
4098020
−101878 1694 5036 48020
23, 410122
β̂ = 3, 494143
7, 603012
σ̂ 2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
23, 410122 2899
= 626163 − 3, 494143 49984 = 18549, 17637
7, 603012 48020
SCR 18549, 17637
σ̂ 2 = = = 1545, 764698
n−k 15 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
5917324 −243402 −101878
1545, 764698
= −243402 12776 1694 =
4098020
−101878 1694 5036
β̂i
√
D̂(β̂1 ) = 2232, 002417 = 47, 244073
√
D̂(β̂2 ) = 4, 819081 = 2, 195241
√
D̂(β̂3 ) = 1, 899569 = 1, 378249
R2
2899
C̄ = = 193, 266667
15
© Ediciones Pirámide 95
Econometría
15
15
SCT = (Ct − C̄)2 = Ct2 − nC̄ 2 =
t=1 t=1
15
15
SCE = (Ĉt − C̄)2 = Ĉt2 − nC̄ 2 = β̂ − nC̄ 2 =
t=1 t=1
23, 410122 2899
= 3, 494143 49984 − 15 × 193, 2666672 =
7, 603012 48020
= 607613, 82363 − 15 × 193, 2666672 = 47333, 755031
15
SCR = Ct2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
47333, 755031 18549, 17637
= =1− = 0, 718452
65882, 931401 65882, 931401
βi
α = 0, 05 t0 = 2, 179
H0 : β1 = 0
H1 : β1 = 0
β̂ 23, 410122
1
|tExp. | = =
= 0, 496 < 2, 179
D̂(β̂1 ) 47, 244073
H0 p − valor = 6, 29E − 01
H0 : β2 = 0
96 © Ediciones Pirámide
El modelo lineal II
H1 : β2 = 0
β̂ 3, 494143
2
|tExp. | = =
= 1, 592 < 2, 179
D̂(β̂2 ) 2, 195241
H0 p − valor = 1, 37E − 01
H0 : β3 = 0
H1 : β3 = 0
β̂ 7, 603012
3
|tExp. | = =
= 5, 516 > 2, 179
D̂(β̂3 ) 1, 378249
H 0 : β 2 = β3 = 0
SCE 47333,755031
k−1 3−1
FExp = SCR
= 18549,17637 = 15, 311 > 3, 885
n−k 15−3
© Ediciones Pirámide 97
Econometría
A B C A B C
224 12 26 245 15 29
88 22 15 165 31 15
72 13 20 124 12 12
256 30 18 94 17 17
297 22 23 208 15 30
Bf = 29 Cf = 22
α
10 189 205 1773
= 189 4025 3731 = 34770
205 3731 4553 38929
β̂
β̂ = (X X)−1 X Y =
4405464 −95662 −119966 1773
1 −95662
= 3505 1435 34770
1381492
−119966 1435 4529 38929
−134, 229139
β̂ = 5, 880048
9, 775426
98 © Ediciones Pirámide
El modelo lineal II
Bf = 29 Cf = 22
α = 0, 05 g.l. = n − k = 10 − 3 t0 = 2, 365
c ( )−1 c =
= 1 29 22 ×
4405464 −95662 −119966
1 −95662
× 3505 1435 ×
1381492
−119966 1435 4529
1
× 29 =
22
549365
=
1381492
Âf − t0 σ̂ c ( )−1 c < E[Af ] < Âf + t0 σ̂ c ( )−1 c
549365
251, 351625 − 2, 365 × 59, 240956 × < E[Af ] <
1381492
549365
< 251, 351625 + 2, 365 × 59, 240956 ×
1381492
© Ediciones Pirámide 99
Econometría
2.3.2. Ejercicio
C S W C
S −3 8 4 14 5 1 9 12 4
W 10 15 11 19 21 10 16 11 20
C 32 143 114 165 222 125 147 192 273
Sf = 20 Wf = 14 Cf = 1012
α
9 54 133 1413
= 54 552 871 = 9768
133 871 2125 22690
β
β̂ = (X X)−1 X Y =
414359 1093 −26382 1413
1
= 1093 1436 −657 9768
279447
−26382 −657 2052 22690
−8, 73829
β̂ = 2, 37586
10, 250738
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
−8, 73829 1413
= 259605 − 2, 37586 9768 = 16155, 55807
10, 250738 22690
SCR 16155, 55807
σ̂ 2 = = = 2692, 593012
n−k 9−3
Sf = 20 Wf = 14
α = 0, 01 g.l. = n − k = 9 − 3 t0 = 3, 707
c ( )−1 c =
414359 1093 −26382 1
1
= 1 20 14 × 1093 1436 −657 × 20 =
279447
−26382 −657 2052 14
328055
=
279447
Ĉf − t0 σ̂ 1 + c ( )−1 c < Cf < Ĉf + t0 σ̂ 1 + c ( )−1 c
328055
182, 289242 − 3, 707 × 51, 890202 × 1+ < Cf <
279447
328055
< 182, 289242 + 3, 707 × 51, 890202 × 1+
279447
Cf = 1012
Econometría
p − valor = 3, 64E − 05
2.3.3. Ejercicio
W = β1 + β 2 V + β 3 Z + u
15
15
15
Vt = 342 Zt = 290 Wt = 2799
t=1 t=1 t=1
15
15
15
Vt2 = 8414 Vt × Zt = 6457 Vt × Wt = 69443
t=1 t=1 t=1
15
15
Zt2 = 6730 Zt × Wt = 53365
t=1 t=1
15
Wt2 = 609911
t=1
Vf = 18 Zf = 26 Wf = 976
α
15 342 290 2799
= 342 8414 6457 = 69443
290 6457 6730 53365
β̂i
β̂ = (X X)−1 X Y =
c Ediciones Pirámide
102 © Ediciones Pirámide
El modelo lineal II
14933371 −429130 −231766 2799
1 −429130
= 16850 2325 69443
10025965
−231766 2325 9246 53365
−36, 880415
β̂ = 9, 281232
0, 613879
Ŵ = −36, 880415 + 9, 281232V + 0, 613879Z
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
−36, 880415 2799
= 609911 − 9, 281232 69443 = 35863, 034974
0, 613879 53365
Vf = 18 Zf = 26
Ŵf = βˆ1 + β̂2 Vf + β̂3 Zf
Ŵf = −36, 880415 + 9, 281232 × 18 + 0, 613879 × 26 = 146, 142615
α = 0, 05 g.l. = n − k = 15 − 3 t0 = 2, 179
c ( )−1 c =
14933371 −429130 −231766 1
1 −429130
= 1 18 26 × 16850 2325 × 18 =
10025965
−231766 2325 9246 26
1318755
=
10025965
Econometría
Ŵf − t0 σ̂ 1 + c ( )−1 c < Wf < Ŵf + t0 σ̂ 1 + c ( )−1 c
1318755
146, 142615 − 2, 179 × 54, 667964 × < Wf < 1+
10025965
1318755
< 146, 142615 + 2, 179 × 54, 667964 × 1 +
10025965
Wf = 976
22 63 18534 127
= 63 235 53490 = 318
18534 53490 15809866 108379
= Dt2 = 821
t=1
If = 4 P IBf = 920
c Ediciones Pirámide
104 © Ediciones Pirámide
El modelo lineal II
β̂i
β̂ = (X X)−1 X Y =
854138410 −4637898 −985620 127
1 −4637898
= 4307896 −9138 318
231376366
−985620 −9138 1201 108379
0, 778889
β̂ = −0, 905319
0, 009005
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
0, 778889 127
= 821 − −0, 905319 318 = 34, 019644
0, 009005 108379
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
854138410 −4637898 −985620
1, 790508
= −4637898 4307896 −9138 =
231376366
−985620 −9138 1201
6, 609757 −0, 03589 −0, 007627
= −0, 03589 0, 033337 −0, 000071
−0, 007627 −0, 000071 0, 000009
β̂i
√
D̂(β̂1 ) = 6, 609757 = 2, 570945
√
D̂(β̂2 ) = 0, 033337 = 0, 182584
√
D̂(β̂3 ) = 0, 000009 = 0, 003
R2
127
D̄ = = 5, 772727
22
22
22
SCT = (Dt − D̄)2 = Dt2 − nD̄2 =
t=1 t=1
2
= 821 − 22 × 5, 772727 = 87, 863706
22
22
SCE = (D̂t − D̄)2 = D̂t2 − nD̄2 = β̂ − nD̄2 =
t=1 t=1
0, 778889 127
= −0, 905319 318 − 22 × 5, 7727272 =
0, 009005 108379
= 786, 980356 − 22 × 5, 7727272 = 53, 844062
22
SCR = Dt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 =
=1− =
SCT SCT
53, 844062 34, 019644
= =1− = 0, 612813
87, 863706 87, 863706
If = 4 P IBf = 920
D̂f = βˆ1 + β̂2 If + β̂3 P IBf
D̂f = 0, 778889 − 0, 905319 × 4 + 0, 009005 × 920 = 5, 442213
c ( )−1 c =
= 1 4 920 ×
854138410 −4637898 −985620
1 −4637898
× 4307896 −9138 ×
231376366
−985620 −9138 1201
1
× 4 =
920
21691482
=
231376366
D̂f − t0 σ̂ 1 + c ( )−1 c < Df < D̂f + t0 σ̂ 1 + c ( )−1 c
21691482
5, 442213 − 2, 433 × 1, 338099 × 1+ < Df <
231376366
21691482
< 5, 442213 + 2, 433 × 1, 338099 × 1+
231376366
2.4.2. Ejercicio
β̂ β̂i
23 5345 700 4644
= 5345 1362195 162164 = 1197907
700 162164 25272 136671
= Bt2 = 1059666
t=1
If = 127 Tf = 23
α
β̂ = (X X)−1 X Y =
8128229144 −21564040 −86769920 4644
1 −21564040
= 91256 11728 1197907
10950532512
−86769920 11728 2761460 136671
5, 191523
β̂ = 0, 984032
−1, 050082
B̂ = 5, 191523 + 0, 984032I − 1, 050082T
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
5, 191523 4644
= 1059666 − 0, 984032 1197907 = 293, 503186
−1, 050082 136671
SCR 293, 503186
σ̂ 2 = = = 14, 675159
n−k 23 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
8128229144 −21564040 −86769920
14, 675159
= −21564040 91256 11728 =
10950532512
−86769920 11728 2761460
10, 8929 −0, 028899 −0, 116283
= −0, 028899 0, 000122 0, 000016
−0, 116283 0, 000016 0, 003701
β̂i
√
D̂(β̂1 ) = 10, 8929 = 3, 300439
√
D̂(β̂2 ) = 0, 000122 = 0, 011045
√
D̂(β̂3 ) = 0, 003701 = 0, 060836
βi
α = 0, 01 g.l. = n − k = 23 − 3 = 20 t0 = 2, 845
β̂i − t0 D̂(β̂i ) < βi < β̂i + t0 D̂(β̂i )
4644
B̄ = = 201, 913043
23
Econometría
23
23
SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
23
23
SCE = (B̂t − B̄)2 = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1
5, 191523 4644
= 0, 984032 1197907 − 23 × 201, 9130432 =
−1, 050082 136671
23
SCR = Bt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
121688, 327343 293, 503186
= =1− = 0, 997594
121981, 830529 121981, 830529
If = 127 Tf = 23
110 c © Ediciones
EdicionesPirámide
Pirámide
El modelo lineal II
α = 0, 01 g.l. = n − k = 23 − 3 t0 = 2, 845
c ( )−1 c =
= 1 127 23 ×
8128229144 −21564040 −86769920
1 −21564040
× 91256 11728 ×
10950532512
−86769920 11728 2761460
1
× 127 =
23
1660742004
=
10950532512
B̂f − t0 σ̂ 1 + c ( )−1 c < Bf < B̂f + t0 σ̂ 1 + c ( )−1 c
1660742004
106, 011701 − 2, 845 × 3, 830817 × < Bf < 1+
10950532512
1660742004
< 106, 011701 + 2, 845 × 3, 830817 × 1 +
10950532512
2.4.3. Ejercicio
β̂
βi
22 3899 28130 6077
= 3899 744635 5085499 = 1023123
28130 5085499 39574646 8683896
= Vt2 = 2034805
t=1
Pf = 124 Gf = 773 Vf = 258
α
βi
β̂ = (X X)−1 X Y =
3606366445209 −11246457884 −1118221949
1 −11246457884
= 79345312 −2202108 ×
4034539079512
−1118221949 −2202108 1179769
6077
× 1023123
8683896
173, 218312
β̂ = −1, 55844
0, 296571
V̂ = 173, 218312 − 1, 55844P + 0, 296571G
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
173, 218312 6077
= 2034805 − −1, 55844 1023123 = 1241, 40548
0, 296571 8683896
SCR 1241, 40548
σ̂ 2 = = = 65, 337131
n−k 22 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
3606366445209 −11246457884 −1118221949
65, 337131
= −11246457884 79345312 −2202108 =
4034539079512
−1118221949 −2202108 1179769
58, 403112 −0, 18213 −0, 018109
= −0, 18213 0, 001285 −0, 000036
−0, 018109 −0, 000036 0, 000019
β̂i
√
D̂(β̂1 ) = 58, 403112 = 7, 642193
√
D̂(β̂2 ) = 0, 001285 = 0, 035847
√
D̂(β̂3 ) = 0, 000019 = 0, 004359
R2
6077
V̄ = = 276, 227273
22
22
22
SCT = (Vt − V̄ )2 = Vt2 − nV̄ 2 =
t=1 t=1
22
22
SCE = (V̂t − V̄ )2 = V̂t2 − nV̄ 2 = β̂ − nV̄ 2 =
t=1 t=1
173, 218312 6077
= −1, 55844 1023123 − 22 × 276, 2272732 =
0, 296571 8683896
= 2033563, 59452 − 22 × 276, 2272732 = 354930, 454842
22
SCR = Vt2 − β̂ = SCT − SCE =
t=1
= 356171, 860322 − 354930, 454842 = 1241, 40548
SCE SCR
R2 = =1− =
SCT SCT
βi
α = 0, 01 t0 = 2, 861
H0 : β1 = 0
H1 : β1 = 0
β̂
173, 218312
1
|tExp. | = = = 22, 666 > 2, 861
D̂(β̂1 ) 7, 642193
Se rechaza H0 p − valor = 3, 24E − 15
H0 : β2 = 0
H1 : β2 = 0
β̂ −1, 55844
2
|tExp. | = = = 43, 475 > 2, 861
D̂(β̂2 ) 0, 035847
Se rechaza H0 p − valor = 1, 73E − 20
P
H0 : β3 = 0
H1 : β3 = 0
β̂
0, 296571
3
|tExp. | = = = 68, 036 > 2, 861
D̂(β̂3 ) 0, 004359
Se rechaza H0 p − valor = 3, 69E − 24
G
Pf = 124 Gf = 773
V̂f = βˆ1 + β̂2 Pf + β̂3 Gf
V̂f = 173, 218312 − 1, 55844 × 124 + 0, 296571 × 773 = 209, 221135
c Ediciones Pirámide
El modelo lineal II
c ( )−1 c =
= 1 124 773 ×
3606366445209 −11246457884 −1118221949
1 −11246457884 79345312 −2202108 ×
4034539079512
−1118221949 −2202108 1179769
1
× 124 =
773
591280552904
=
4034539079512
2.4.4. Ejercicio
29 66301 8082 25356
= 66301 173728725 19928593 = 64070023
8082 19928593 2723168 6723616
= G2t = 25321776
t=1
βi
G = β1 + β 2 R + β 3 H + u G
R H
β̂ = (X X)−1 X Y =
75943685641151 −19485872942 −82789910957
1 −19485872942
= 13653148 −42084515 ×
241325961311363
−82789910957 −42084515 642310424
25356
× 64070023
6723616
499, 408331
β̂ = 0, 404903
−1, 976282
σ2
n
n
2
SCR = û û = û2t = Y Y − β̂ X Y = t − β̂ X Y =
t=1 t=1
499, 408331 25356
= 25321776 − 0, 404903 64070023 = 4395, 112107
−1, 976282 6723616
SCR 4395, 112107
σ̂ 2 = = = 169, 042773
n−k 29 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
75943685641151 −19485872942 −82789910957
169, 042773 −19485872942
= 13653148 −42084515 =
241325961311363
−82789910957 −42084515 642310424
53, 196644 −0, 013649 −0, 057992
= −0, 013649 0, 00001 −0, 000029
−0, 057992 −0, 000029 0, 00045
D̂(β̂i )
√
D̂(β̂1 ) = 53, 196644 = 7, 293603
√
D̂(β̂2 ) = 0, 00001 = 0, 003162
√
D̂(β̂3 ) = 0, 00045 = 0, 021213
R2
25356
Ḡ = = 874, 344828
29
29
29
SCT = (Gt − Ḡ)2 = G2t − nḠ2 =
t=1 t=1
29
29
SCE = (Ĝt − Ḡ)2 = Ĝ2t − nḠ2 = β̂ − nḠ2 =
t=1 t=1
499, 408331 25356
= 0, 404903 64070023 − 29 × 874, 3448282 =
−1, 976282 6723616
29
SCR = G2t − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
3147493, 418633 4395, 112107
= =1− = 0, 998606
3151888, 53074 3151888, 53074
βi
α = 0, 05 t0 = 2, 056
H0 : β1 = 0
H1 : β1 = 0
β̂
499, 408331
1
|tExp. | = = = 68, 472 > 2, 056
D̂(β̂1 ) 7, 293603
Se rechaza H0 p − valor = 6, 78E − 31
H0 : β2 = 0
H1 : β2 = 0
β̂ 0, 404903
2
|tExp. | = =
= 128, 053 > 2, 056
D̂(β̂2 ) 0, 003162
Se rechaza H0 p − valor = 6, 08E − 38
R
H0 : β3 = 0
H1 : β3 = 0
β̂ −1, 976282
3
|tExp. | = =
= 93, 164 > 2, 056
D̂(β̂3 ) 0, 021213
Se rechaza H0 p − valor = 2, 33E − 34
H
Rf = 2574 Hf = 318
Ĝf = βˆ1 + β̂2 Rf + β̂3 Hf
Ĝf = 499, 408331 + 0, 404903 × 2574 − 1, 976282 × 318 = 913, 170977
c ( )−1 c =
= 1 2574 318 ×
75943685641151 −19485872942 −82789910957
1 −19485872942 13653148 −42084515 ×
241325961311363
−82789910957 −42084515 642310424
1
2574 =
318
9492587618147
=
241325961311363
W X Y Z
W
Z = −4 + 4X Y = −4 − 3X
W = β1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 + β2 X + β3 (−4 − 3X) + β4 (−4 + 4X) + u
que n
W = δ1 + δ2 X + u
3.1.2. Ejercicio
W X Y Z
W
Z = −1 − 3X + 2Y
W = β1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 + β2 X + β3 Y + β4 (−1 − 3X + 2Y ) + u
δ 1 = β1 − β 4
δ2 = β2 − 3β4
δ3 = β3 + 2β4
W = δ1 + δ2 X + δ3 Y + u
3.1.3. Ejercicio
B D
A
D A B D A B
25 100 178 18 72 196
10 40 105 24 96 300
21 84 258 28 112 182
10 40 14 16 64 235
12 48 49 24 96 211
1 25 100
1 10 40
1 21 84
1 10 40
1 12 48
=
1 18 72
1 24 96
1 28 112
1 16 64
1 24 96
A = 4D
B = β1 + β2 D + β3 A + u
B = β1 + β2 D + β3 (+4D) + u
δ 1 = β1
δ2 = β2 + 4β3
B = δ1 + δ2 D + u
3.1.4. Ejercicio
M O N
M
O N M O N M
19 −3 162 22 −3 180
4 −3 57 10 −3 170
15 −3 133 18 −3 30
4 −3 56 17 −3 137
6 −3 126 29 −3 192
12 −3 142 4 −3 52
18 −3 179 15 −3 102
1 19 −3
1 4 −3
1 15 −3
1 4 −3
1 6 −3
1 12 −3
1 18 −3
=
1 22 −3
1 10 −3
1 18 −3
1 17 −3
1 29 −3
1 4 −3
1 15 −3
14 193 −42
= 193 3401 −579
−42 −579 126
r s
1 19 −3
1 4 −3
1 15 −3
1 4 −3
1 6 −3
1 12 −3
1 18 −3
r =
s =
1 22 −3
1 10 −3
1 18 −3
1 17 −3
1 29 −3
1 4 −3
1 15 −3
r
s r
s = r ×
r
r s = r r ×
−1
=( r r) r s
−1
14 193 −42 −3
= =
193 3401 −579 0
r
O s N
N = −3
M = β1 + β 2 O + β 3 N + u
M = β1 + β2 O + β3 (−3) + u
δ1 = β1 − 3β3
δ 2 = β2
M = δ1 + δ2 O + u
3.1.5. Ejercicio
Y X2 X3 X4
Y
r s
X2 X3 X4 Y X2 X3 X4 Y
23 −4 −43 16 14 5 −25 35
24 −13 −45 21 8 13 −13 45
3 1 −3 71 12 14 −21 31
25 −13 −47 19 11 13 −19 33
13 −1 −23 42 13 4 −23 38
23 −3 −43 15 −4 0 11 91
8 15 −13 41
1 23 −4 −43
1 24 −13 −45
1 3 1 −3
1 25 −13 −47
1 13 −1 −23
1 23 −3 −43
=
1 8 15 −13
1 14 5 −25
1 8 13 −13
1 12 14 −21
1 11 13 −19
1 13 4 −23
1 −4 0 11
13 173 31 −307
173 3211 −151 −5903
=
31 −151 1165 395
−307 −5903 395 10885
r s
1 23 −4 −43
1 24 −13 −45
1 3 1 −3
1 25 −13 −47
1 13 −1 −23
1 23 −3 −43
r =
1 8 15
s =
−13
1 14 5 −25
1 8 13 −13
1 12 14 −21
1 11 13 −19
1 13 4 −23
1 −4 0 11
s r
s = r ×
r s = r r ×
−1
=( r r) r s
−1
13 173 31 −307 3
= 173 3211 −151 −5903 = −2
31 −151 1165 395 0
r
X2 X3 s X4
X4 = 3 − 2X2
Y = β 1 + β 2 X 2 + β 3 X3 + β 4 X4 + u
Y = β1 + β2 X2 + β3 X3 + β4 (+3 − 2X2 ) + u
δ1 = β1 + 3β4
δ2 = β2 − 2β4
δ 3 = β3
Y = δ1 + δ2 X2 + δ3 X3 + u
−1
δ̂ = ( r r) r =
−1
13 173 31 −307
= 173 3211 −151 −5903
31 −151 1165 395
79, 878191
δ̂ = −2, 949736
−0, 971360
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
79, 878191 −307
= 24794 − −2, 949736 −5903 = 9, 508866
−0, 971360 395
SCR 9, 508866
σ̂ 2 = = = 0, 950887
n−k 13 − 3
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
13 173 31
= 0, 950887 173 3211 −151 =
31 −151 1165
0, 403517 −0, 022382 −0, 013638
= −0, 022382 0, 001539 0, 000795
−0, 013638 0, 000795 0, 001282
δ̂i
D̂(δ̂1 ) = 0, 403517 = 0, 635230
D̂(δ̂2 ) = 0, 001539 = 0, 039230
D̂(δ̂3 ) = 0, 001282 = 0, 035805
α = 0, 05 t0 = 2, 228
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂
1 79, 878191
|tExp. | = = = 125, 747 > 2, 228
D̂(δ̂1 ) 0, 635230
Se rechaza H0 p − valor = 2, 48E − 17
H0 : δ2 = 0
H1 : δ2 = 0
δ̂
2 −2, 949736
|tExp. | = = = 75, 191 > 2, 228
D̂(δ̂2 ) 0, 039230
Se rechaza H0 p − valor = 4, 23E − 15
H0 : δ3 = 0
H1 : δ3 = 0
δ̂
3 −0, 971360
|tExp. | = = = 27, 129 > 2, 228
D̂(δ̂3 ) 0, 035805
Se rechaza H0 p − valor = 1, 07E − 10
n
1
Ȳ = Yt = 38, 307692
n t=1
SCE = δ − nY¯2 =
79, 878191 498
= −2, 949736 4494 − 13 × 38, 3076922 = 5707, 260671
−0, 97136 1790
H0 : δ2 = δ3 = 0
SCE 5707,260671
k−1 3−1
FExp = SCR
= 9,508866 = 3001, 019 > 4, 103
n−k 13−3
Se rechaza H0 p − valor = 1, 27E − 14
δi i = 2, 3
3.1.6. Ejercicio
Y X2 X3 X4 Y
X2 X3 X4 Y X2 X3 X4 Y
19 −74 57 277 23 −90 69 321
2 −6 6 92 17 −66 51 257
3 −10 9 101 −3 14 −9 35
4 −14 12 112 10 −38 30 180
13 −50 39 213 9 −34 27 167
19 −74 57 279 8 −30 24 157
28 −110 84 379 −4 18 −12 24
−5 22 −15 14
1 19 −74 57
1 2 −6 6
1 3 −10 9
1 4 −14 12
1 13 −50 39
1 19 −74 57
1 28 −110 84
=
1 −5 22 −15
1 23 −90 69
1 17 −66 51
1 −3 14 −9
1 10 −38 30
1 9 −34 27
1 8 −30 24
1 −4 18 −12
15 143 −542 429
143 2817 −10982 8451
=
−542 −10982
42844 −32946
429 8451 −32946 25353
1 19 −74 57
1 2 −6 6
1 3 −10 9
1 4 −14 12
1 13 −50 39
1 19 −74 57
1 28 −110 84
r =
1 −5
s =
22 −15
1 23 −90 69
1 17 −66 51
1 −3 14 −9
1 10 −38 30
1 9 −34 27
1 8 −30 24
1 −4 18 −12
s r
s = r ×
r
r s = r r ×
−1
=( r r) r s
−1
15 143 −542 429 2 0
= =
143 2817 −10982 8451 −4 3
r
X2 s X3 X4
X3 = 2 − 4X2
X4 = +3X2
Y = β 1 + β 2 X2 + β 3 X3 + β 4 X4 + u
δ1 = β1 + 2β3
δ2 = β2 − 4β3 + 3β4
Y = δ 1 + δ2 X 2 + u
−1
δ̂ = ( r r) r =
−1
15 143 −542 429
=
143 2817 −10982 8451
68, 567183
δ̂ =
11, 045400
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
68, 567183 −542 429
= 630814 − = 13, 018736
11, 045400 −10982 8451
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
15 143
= 1, 001441 =
143 2817
0, 129371 −0, 006567
=
−0, 006567 0, 000689
δ̂i
D̂(δ̂1 ) = 0, 129371 = 0, 359682
D̂(δ̂2 ) = 0, 000689 = 0, 026249
α = 0, 05 t0 = 2, 160
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂
1 68, 567183
|tExp. | = = = 190, 633 > 2, 160
D̂(δ̂1 ) 0, 359682
Se rechaza H0 p − valor = 8, 59E − 24
H0 : δ2 = 0
H1 : δ2 = 0
δ̂ 11, 045400
2 = 420, 793 > 2, 160
|tExp. | = =
D̂(δ̂2 ) 0, 026249
Se rechaza H0 p − valor = 2, 91E − 28
δ2
3.1.7. Ejercicio
W X Y Z W
X Y Z W X Y Z W
8 15 1 265 9 15 −1 257
1 11 11 278 4 7 1 231
7 −13 −25 73 17 −14 −46 7
0 −5 −3 172 8 2 −12 174
11 31 11 359 2 1 −1 201
18 8 −26 156 4 5 −1 218
1 8 15 1
1 1 11 11
1 7 −13 −25
1 0 −5 −3
1 11 31 11
1 18 8 −26
=
1 9 15 −1
1 4 7 1
1 17 −14 −46
1 8 2 −12
1 2 1 −1
1 4 5 −1
12 89 63 −91
89 1029 488 −1392
=
63
488 2065 1215
−91 −1392 1215 3817
1 8 15 1
1 1 11 11
1 7 −13 −25
1 0 −5 −3
1 11 31 11
1 18 8 −26
=
=
r
1 9 15
s
−1
1 4 7 1
1 17 −14 −46
1 8 2 −12
1 2 1 −1
1 4 5 −1
s r
s = r ×
r
r s = r r ×
−1
=( r r) r s
−1
12 89 63 −91 2
= 89 1029 488 −1392 = −2
63 488 2065 1215 1
r
X Y s Z
Z = +2 − 2X + Y
W = β1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 + β2 X + β3 Y + β4 (+2 − 2X + Y ) + u
δ1 = β1 + 2β4
δ2 = β2 − 2β4
δ 3 = β3 + β 4
W = δ1 + δ2 X + δ3 Y + u
Y
W
−1
δ̂ = ( r r) =
r
−1
12 89 63 −91
= 89 1029 488 −1392
63 488 2065 1215
206, 412943
δ̂ = −5, 939106
7, 025796
n
n
2
SCR = ˆ ˆ = ût2 = − δ̂ r = t − δ̂ r =
t=1 t=1
206, 412943 −91
= 573299 − −5, 939106 −1392 = 5, 405471
7, 025796 1215
SCR 5, 405471
σ̂ 2 = = = 0, 600608
n−k 12 − 3
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
12 89 63
= 0, 600608 89 1029 488 =
63 488 2065
0, 147698 −0, 011980 −0, 001675
= −0, 011980 0, 001629 −0, 000019
−0, 001675 −0, 000019 0, 000347
δ̂i
D̂(δ̂1 ) = 0, 147698 = 0, 384315
D̂(δ̂2 ) = 0, 001629 = 0, 040361
D̂(δ̂3 ) = 0, 000347 = 0, 018628
α = 0, 05 t0 = 2, 262
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 206, 412943
1 = 537, 093 > 2, 262
|tExp. | = =
D̂(δ̂1 ) 0, 384315
Se rechaza H0 p − valor = 1, 37E − 21
H0 : δ2 = 0
H1 : δ2 = 0
δ̂
2 −5, 939106
|tExp. | = = = 147, 15 > 2, 262
D̂(δ̂2 ) 0, 040361
Multicolinealidad
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂
3 7, 025796
|tExp. | = = = 377, 163 > 2, 262
D̂(δ̂3 ) 0, 018628
Se rechaza H0 p − valor = 3, 30E − 20
1 8 1 15
1 1 11 11
1 7 −25 −13
1 0 −3 −5
1 11 11 31
1 18 −26 8
r =
s =
1 9 −1 15
1 4 1 7
1 17 −46 −14
1 8 −12 2
1 2 −1 1
1 4 −1 5
−1
=( r r) r s
−1
12 89 −91 63 −2
= 89 1029 −1392 488 = 2
−91 −1392 3817 1215 1
r
X Z s Y
Y = −2 + 2X + Z
W = β1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 + β2 X + β3 (−2 + 2X + Z) + β4 Z + u
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Econometría
δ1 = β1 − 2β3
δ2 = β2 + 2β3
δ 3 = β4 + β 3
W = δ1 + δ2 X + δ3 Z + u
−1
δ̂ = ( r r) r =
−1
12 89 −91 63
= 89 1029 −1392 488
−91 −1392 3817 1215
192, 361351
δ̂ = 8, 112485
7, 025796
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
192, 361351 63
= 573299 − 8, 112485 488 = 5, 421159
7, 025796 1215
SCR 5, 421159
σ̂ 2 = = = 0, 602351
n−k 12 − 3
δ̂i
−1
V̂ (δ̂) = σ̂ 2 ( r r) =
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Multicolinealidad
−1
12 89 −91
= 0, 602351 89 1029 −1392 =
−91 −1392 3817
0, 156236 −0, 016726 −0, 002375
= −0, 016726 0, 002946 0, 000676
−0, 002375 0, 000676 0, 000348
δ̂i
D̂(δ̂1 ) = 0, 156236 = 0, 395267
D̂(δ̂2 ) = 0, 002946 = 0, 054277
D̂(δ̂3 ) = 0, 000348 = 0, 018655
α = 0, 05 t0 = 2, 262
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂
1 192, 361351
|tExp. | = = = 486, 662 > 2, 262
D̂(δ̂1 ) 0, 395267
H0 : δ2 = 0
H1 : δ2 = 0
δ̂ 8, 112485
2 = 149, 465 > 2, 262
|tExp. | = =
D̂(δ̂2 ) 0, 054277
Se rechaza H0 p − valor = 1, 37E − 16
H0 : δ3 = 0
H1 : δ3 = 0
δ̂ 7, 025796
3 = 376, 617 > 2, 262
|tExp. | = =
D̂(δ̂3 ) 0, 018655
Se rechaza H0 p − valor = 3, 34E − 20
1 15 1 8
1 11 11 1
1 −13 −25 7
1 −5 −3 0
1 31 11 11
1 8 −26 18
r =
s =
1 15 −1 9
1 7 1 4
1 −14 −46 17
1 2 −12 8
1 1 −1 2
1 5 −1 4
−1
12 63 −91 89 1
= 63 2065 1215 488 = 0, 5
−91 1215 3817 −1392 −0, 5
r
Y Z s X
X = +1 + 0, 5Y − 0, 5Z
W = β1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 + β2 (+1 + 0, 5Y − 0, 5Z) + β3 Y + β4 Z + u
δ 1 = β1 + β 2
δ2 = β3 + 0, 5β2
δ3 = β4 − 0, 5β2
W = δ1 + δ2 Y + δ3 Z + u
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−1
δ̂ = ( r r) = r
−1
12 63 −91 89
= 63 2065 1215 488
−91 1215 3817 −1392
200, 473837
δ̂ = 4, 056243
2, 969553
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
200, 473837 89
= 573299 − 4, 056243 488 = 5, 405471
2, 969553 −1392
SCR 5, 405471
σ̂ 2 = = = 0, 600608
n−k 12 − 3
δ̂i
V̂ (δ̂) = σ̂ ( r r )−1 =
−1
12 63 −91
= 0, 600608 63 2065 1215 =
−91 1215 3817
0, 125366 −0, 006870 0, 005176
= −0, 006870 0, 000734 −0, 000398
0, 005176 −0, 000398 0, 000407
δ̂i
D̂(δ̂1 ) = 0, 125366 = 0, 354071
D̂(δ̂2 ) = 0, 000734 = 0, 027092
D̂(δ̂3 ) = 0, 000407 = 0, 020174
α = 0, 05 t0 = 2, 262
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 200, 473837
1 = 566, 197 > 2, 262
|tExp. | = =
D̂(δ̂1 ) 0, 354071
H0 : δ2 = 0
H1 : δ2 = 0
δ̂ 4, 056243
2 = 149, 721 > 2, 262
|tExp. | = =
D̂(δ̂2 ) 0, 027092
H0 : δ3 = 0
H1 : δ3 = 0
δ̂ 2, 969553
3 = 147, 197 > 2, 262
|tExp. | = =
D̂(δ̂3 ) 0, 020174
8 15 1 1
1 11 11 1
7 −13 −25 1
0 −5 −3 1
11 31 11 1
18 8 −26 1
r =
s =
9 15 −1 1
4 7 1 1
17 −14 −46 1
8 2 −12 1
2 1 −1 1
4 5 −1 1
−1
1029 488 −1392 89 1
= 488 2065 1215 63 = −0, 5
−1392 1215 3817 −91 0, 5
r s
1 = +X − 0, 5Y + 0, 5Z
W = β1 × 1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 (+X − 0, 5Y + 0, 5Z) + β2 X + β3 Y + β4 Z + u
δ 1 = β2 + β 1
δ2 = β3 − 0, 5β1
δ3 = β4 + 0, 5β1
W = δ1 X + δ2 Y + δ3 Z + u
−1
δ̂ = ( r r) r =
−1
1029 488 −1392 89
= 488 2065 1215 63
−1392 1215 3817 −91
200, 473837
δ̂ = −96, 180676
103, 206471
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Multicolinealidad.
Econometría
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
200, 473837 89
= 573299 − −96, 180676 63 = 5, 416788
103, 206471 −91
SCR 5, 416788
σ̂ 2 = = = 0, 601865
n−k 12 − 3
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
1029 488 −1392
= 0, 601865 488 2065 1215 =
−1392 1215 3817
0, 125629 −0, 069699 0, 068001
= −0, 069699 0, 039027 −0, 037841
0, 068001 −0, 037841 0, 037002
δ̂i
D̂(δ̂1 ) = 0, 125629 = 0, 354442
D̂(δ̂2 ) = 0, 039027 = 0, 197553
D̂(δ̂3 ) = 0, 037002 = 0, 192359
SCR
F G
H F
G H
F +G+H =1
C = β1 + β 2 F + β 3 G + β 4 H + u
H =1−F −G
C = β1 + β2 F + β3 G + β4 (1 − F − G) + u
C = β1 + β4 + (β2 − β4 )F + (β3 − β4 )G + u
© Ediciones Pirámide
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Econometría
F =1 G=0 H=0
C = β1 + β4 + (β2 − β4 ) × 1 + (β3 − β4 ) × 0 + u = β1 + β2 + u
E[u] = 0
E[C] = β1 + β2
F =0 G=1 H=0
C = β1 + β 3 + u
F =0 G=0 H=1
C = β1 + β 4 + u
β1
βi i = 2, 3, 4
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
c = δ1 + δ2 F + δ3 H + u
F =1 G=0 H=0
C = δ1 + δ2 + u
δ 1 + δ 2 = β1 + β 2
Ĉ = δ̂1 + δ̂2
C = β1 × 1 + β 2 F + β 3 G + β 4 H + u
1=F +G+H
δ 1 = β1 + β 2
δ 2 = β1 + β 3
δ 3 = β1 + β 4
C = δ1 F + δ2 G + δ3 H + u
C = δ1 + u =
= β1 + β2 + u C = δ2 + u = β1 + β3 + u
C = δ3 + u = β1 + β4 + u
3.2.1. Ejercicio
N = β1 + β 2 β3 u
1 1 0 17
1 0 1 9
1 1 0 16
1 0 1 9
1 1 0 18
=
=
1 0 1 9
1 1 0 21
1 1 0 16
1 0 1 7
1 1 0 21
1 1 0
1 0 1
1 1 0
1 0 1
1 1 0
r =
s =
1 0 1
1 1 0
1 1 0
1 0 1
1 1 0
r
−
N = β1 + β 2 β3 u
N = β1 + β 2 β3 (1− ) + u
N = (β1 + β3 ) + (β2 − β3 )
δ 1 = β1 + β 3
δ 2 = β2 − β 3
N = δ1 + δ 2
−1
δ̂ = ( r r) r =
−1
10 6 143
=
6 6 109
8, 500000
δ̂ =
9, 666667
N̂ = 8, 5 + 9, 666667
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
8, 500000 143
= 2299 − = 29, 833297
9, 666667 109
Econometría
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
10 6
= 3, 729162 =
6 6
0, 932291 −0, 932291
=
−0, 932291 1, 553818
δ̂i
D̂(δ̂1 ) = 0, 932291 = 0, 965552
D̂(δ̂2 ) = 1, 553818 = 1, 246522
α = 0, 05 t0 = 2, 306
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 8, 500000
1 = 8, 803 > 2, 306
|tExp. | = =
D̂(δ̂1 ) 0, 965552
Se rechaza H0 p − valor = 2, 18E − 05
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ 9, 666667
2 = 7, 755 > 2, 306
|tExp. | = =
D̂(δ̂2 ) 1, 246522
Se rechaza H0 p − valor = 5, 46E − 05
δ2
δ2 = 0 δ̂2 > 0 β 2 > β3
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Multicolinealidad
3.2.2. Ejercicio
T S T S
intelectual 2043 intelectual 1993
intelectual 1949 manual 835
manual 782 manual 772
intelectual 1957 manual 777
manual 785 intelectual 1966
manual 811 manual 763
manual 784 intelectual 2008
intelectual 2029
I M S I M S
1 0 2043 1 0 1993
1 0 1949 0 1 835
0 1 782 0 1 772
1 0 1957 0 1 777
0 1 785 1 0 1966
0 1 811 0 1 763
0 1 784 1 0 2008
1 0 2029
S = β1 + β2 I + β3 M + u
1 1 0 2043
1 1 0 1949
1 0 1 782
1 1 0 1957
1 0 1 785
1 0 1 811
1 0 1 784
=
1 1 0
=
2029
1 1 0 1993
1 0 1 835
1 0 1 772
1 0 1 777
1 1 0 1966
1 0 1 763
1 1 0 2008
1 1 0
1 1 0
1 0 1
1 1 0
1 0 1
1 0 1
1 0 1
r =
1 1
s =
0
1 1 0
1 0 1
1 0 1
1 0 1
1 1 0
1 0 1
1 1 0
M =1−I
c Ediciones Pirámide
Multicolinealidad
S = β1 + β2 I + β3 M + u
S = β1 + β2 I + β3 (+1 − I) + u
S = (β1 + β3 ) + (β2 − β3 )I
δ 1 = β1 + β 3
δ 2 = β2 − β 3
S = δ1 + δ2 I
δ̂ = ( r r )−1 r =
−1
15 7 20254
=
7 7 13945
788, 625000
δ̂ =
1203, 517857
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
788, 625000 20254
= 32767642 − = 11774, 734135
1203, 517857 13945
Econometría
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
15 7
= 905, 748780 =
7 7
113, 218598 −113, 218598
=
−113, 218598 242, 611280
δ̂i
D̂(δ̂1 ) = 113, 218598 = 10, 640423
D̂(δ̂2 ) = 242, 611280 = 15, 575984
α = 0, 05 t0 = 2, 160
H 0 : δ1 = 0
H1 : δ1 = 0
δ̂
1 788, 625000
|tExp. | = = = 74, 116 > 2, 160
D̂(δ̂1 ) 10, 640423
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ 1203, 517857
2 = 77, 268 > 2, 160
|tExp. | = =
D̂(δ̂2 ) 15, 575984
δ2 δ2 = 0 δ̂2 > 0
β 2 > β3
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3.2.3. Ejercicio
N Y N Y
terciarios 1870 terciarios 1818
primarios 421 primarios 515
primarios 483 secundarios 966
primarios 521 terciarios 2091
secundarios 968 primarios 522
P S T Y P S T Y
0 0 1 1870 0 0 1 1818
1 0 0 421 1 0 0 515
1 0 0 483 0 1 0 966
1 0 0 521 0 0 1 2091
0 1 0 968 1 0 0 522
Y = β1 + β2 P + β3 S + β4 T + u
1 0 0 1 1870
1 1 0 0 421
1 1 0 0 483
1 1 0 0 521
1 0 1 0 968
=
=
1 0 0 1 1818
1 1 0 0 515
1 0 1 0 966
1 0 0 1 2091
1 1 0 0 522
1 0 0 1
1 1 0 0
1 1 0 0
1 1 0 0
1 0 1 0
r =
s =
1 0 0 1
1 1 0 0
1 0 1 0
1 0 0 1
1 1 0 0
T =1−P −S
Y = β1 + β2 P + β3 S + β4 T + u
Y = β1 + β2 P + β3 S + β4 (+1 − P − S) + u
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
Y = δ1 + δ2 P + δ3 S
−1
δ̂ = ( r r) r =
−1
10 5 2
10175
= 5 5 0
2462
2 0 21934
1926, 333333
δ̂ = −1433, 933333
−959, 333333
1926, 33 − 1433, 93 =
492, 4
1926, 33 − 959, 33 = 967
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
1926, 333333 10175
= 14264165 − −1433, 933333 2462 = 49417, 868593
−959, 333333 1934
δ̂i
−1
V̂ (δ̂) = σ̂ 2 ( r r) =
−1
10 5 2
= 7059, 695513 5 5 0 =
2 0 2
2353, 231838 −2353, 231838 −2353, 231838
= −2353, 231838 3765, 170940 2353, 231838
−2353, 231838 2353, 231838 5883, 079594
δ̂i
D̂(δ̂1 ) = 2353, 231838 = 48, 510121
D̂(δ̂2 ) = 3765, 170940 = 61, 360989
D̂(δ̂3 ) = 5883, 079594 = 76, 701236
n
1
Ŷt = Yt = 1017, 500000
n t=1
SCE = δ r − nY¯2 =
1926, 333333 10175
= −1433, 933333 2462 − 10 × 1017, 5000002 = 3861684, 631516
−959, 333333 1934
H0 : δ2 = δ3 = 0
SCE 3861684,631516
k−1 3−1
FExp = SCR
= 49417,868593 = 273, 502 > 4, 737
n−k 10−3
α = 0, 05 t0 = 2, 365
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂
1 1926, 333333
|tExp. | = = = 39, 71 > 2, 365
D̂(δ̂1 ) 48, 510121
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂
2 −1433, 933333
= 23, 369 > 2, 365
|tExp. | = =
D̂(δ̂2 ) 61, 360989
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂
3 −959, 333333
= 12, 507 > 2, 365
|tExp. | = =
D̂(δ̂3 ) 76, 701236
3.2.4. Ejercicio
C = β1 + β2 R + β3 S + β4 O + u
M arca C M arca C
Renault 8 Seat 8
Opel 7 Opel 7
Renault 5 Renault 5
Opel 4 Seat 7
Renault 6 Renault 7
R S O C R S O C
1 0 0 8 0 1 0 8
0 0 1 7 0 0 1 7
1 0 0 5 1 0 0 5
0 0 1 4 0 1 0 7
1 0 0 6 1 0 0 7
C = β1 + β 2 R + β 3 S + β 4 O + u
c Ediciones Pirámide
Multicolinealidad
1 1 0 0 8
1 0 0 1 7
1 1 0 0 5
1 0 0 1 4
1 1 0 0 6
=
=
1 0 1 0 8
1 0 0 1 7
1 1 0 0 5
1 0 1 0 7
1 1 0 0 7
1 1 0 0
1 0 0 1
1 1 0 0
1 0 0 1
1 1 0 0
r =
s =
1 0 1 0
1 0 0 1
1 1 0 0
1 0 1 0
1 1 0 0
O =1−R−S
C = β1 + β 2 R + β 3 S + β 4 O + u
C = β1 + β2 R + β3 S + β4 (+1 − R − S) + u
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
C = δ1 + δ2 R + δ3 S
δ̂ = ( r r )−1 r =
−1
10 5 2 64
= 5 5 0 31
2 0 2 15
6, 000000
δ̂ = 0, 200000
1, 500000
Ĉ = 6 + 0, 2R + 1, 5S
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
6, 000000 64
= 426 − 0, 200000 31 = 13, 3
1, 500000 15
Multicolinealidad
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
10 5 2
= 1, 900000 5 5 0 =
2 0 2
0, 633333 −0, 633333 −0, 633333
= −0, 633333 1, 013333 0, 633333
−0, 633333 0, 633333 1, 583333
δ̂i
D̂(δ̂1 ) = 0, 633333 = 0, 795822
D̂(δ̂2 ) = 1, 013333 = 1, 006644
D̂(δ̂3 ) = 1, 583333 = 1, 258306
α = 0, 05 t0 = 2, 365
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 6, 000000
1 = 7, 539 > 2, 365
|tExp. | = =
D̂(δ̂1 ) 0, 795822
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂
2 0, 200000
|tExp. | = = = 0, 199 ≤ 2, 365
D̂(δ̂2 ) 1, 006644
H0 p − valor = 8, 48E − 01
c Ediciones Pirámide
© Ediciones Pirámide
165
Econometría Multicolinealidad.
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ 1, 500000
3 = 1, 192 ≤ 2, 365
|tExp. | = =
D̂(δ̂3 ) 1, 258306
H0 p − valor = 2, 72E − 01
3.2.5. Ejercicio
D G D G
ninguna 596 mucha 148
ninguna 595 mucha 183
mucha 141 ninguna 613
ninguna 598 ninguna 617
mucha 152 mucha 144
poca 255 mucha 144
mucha 157
M P N G M P N G
0 0 1 596 1 0 0 148
0 0 1 595 1 0 0 183
1 0 0 141 0 0 1 613
0 0 1 598 0 0 1 617
1 0 0 152 1 0 0 144
0 1 0 255 1 0 0 144
1 0 0 157
G = β1 + β 2 M + β 3 P + β 4 N + u
1 0 0 1 596
1 0 0 1 595
1 1 0 0 141
1 0 0 1 598
1 1 0 0 152
1 0 1 0 255
=
1 1 0 0
=
157
1 1 0 0 148
1 1 0 0 183
1 0 0 1 613
1 0 0 1 617
1 1 0 0 144
1 1 0 0 144
1 0 0 1
1 0 0 1
1 1 0 0
1 0 0 1
1 1 0 0
1 0 1 0
r =
1 1 0
s =
0
1 1 0 0
1 1 0 0
1 0 0 1
1 0 0 1
1 1 0 0
1 1 0 0
N =1−M −P
G = β1 + β 2 M + β 3 P + β 4 N + u
G = β1 + β2 M + β3 P + β4 (+1 − M − P ) + u
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
G = δ1 + δ2 M + δ3 P
−1
δ̂ = ( r r) r =
−1
13 7 1 4343
= 7 7 0 1069
1 0 1 255
603, 800000
δ̂ = −451, 085714
−348, 800000
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
603, 800000 4343
= 2052827 − −451, 085714 1069 = 1678, 228266
−348, 800000 255
δ̂i
−1
V̂ (δ̂) = σ̂ 2 ( r r) =
−1
13 7 1
= 167, 822827 7 7 0 =
1 0 1
33, 564565 −33, 564565 −33, 564565
= −33, 564565 57, 539255 33, 564565
−33, 564565 33, 564565 201, 387392
δ̂i
D̂(δ̂1 ) = 33, 564565 = 5, 793493
D̂(δ̂2 ) = 57, 539255 = 7, 585463
D̂(δ̂3 ) = 201, 387392 = 14, 191103
n
1
Ĝt = Gt = 334, 076923
n t=1
SCE = δ r − nḠ2 =
603, 8 4343
= −451, 085714 1069 − 13 × 334, 0769232 = 600252, 693780
−348, 8 255
H0 : δ2 = δ3 = 0
SCE 600252,693780
k−1 3−1
FExp = SCR
= 1678,228266 = 1788, 352 > 4, 103
n−k 13−3
δi i > 1
α = 0, 05 t0 = 2, 228
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 603, 800000
1 = 104, 22 > 2, 228
|tExp. | = =
D̂(δ̂1 ) 5, 793493
Se rechaza H0 p − valor = 1, 62E − 16
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂
−451, 085714
2 = 59, 467 > 2, 228
|tExp. | = =
D̂(δ̂2 ) 7, 585463
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂
3 −348, 800000
|tExp. | = = = 24, 579 > 2, 228
D̂(δ̂3 ) 14, 191103
Se rechaza H0 p − valor = 2, 84E − 10
δ3
δ3 = 0 δ̂3 < 0 β 3 < β4
3.2.6. Ejercicio
T Tm T Tm
tipo 3 14 tipo 2 14
tipo 3 13 tipo 1 9
tipo 2 10 tipo 3 9
tipo 3 13 tipo 1 7
tipo 2 15 tipo 2 10
tipo 3 11 tipo 1 9
tipo 2 11 tipo 2 10
tipo 2 11
T m = β1 + β 2 A + β 3 B + β 4 C + u
A B C Tm A B C Tm
0 0 1 14 0 1 0 14
0 0 1 13 1 0 0 9
0 1 0 10 0 0 1 9
0 0 1 13 1 0 0 7
0 1 0 15 0 1 0 10
0 0 1 11 1 0 0 9
0 1 0 11 0 1 0 10
0 1 0 11
T m = β1 + β 2 A + β 3 B + β 4 C + u
1 0 0 1 14
1 0 0 1 13
1 0 1 0 10
1 0 0 1 13
1 0 1 0 15
1 0 0 1 11
1 0 1 0 11
=
1 0 1 0
=
11
1 0 1 0 14
1 1 0 0 9
1 0 0 1 9
1 1 0 0 7
1 0 1 0 10
1 1 0 0 9
1 0 1 0 10
c Ediciones Pirámide
Multicolinealidad
1 0 0 1
1 0 0 1
1 0 1 0
1 0 0 1
1 0 1 0
1 0 0 1
1 0 1 0
r =
1 0 1
s =
0
1 0 1 0
1 1 0 0
1 0 0 1
1 1 0 0
1 0 1 0
1 1 0 0
1 0 1 0
C =1−A−B
T m = β1 + β 2 A + β 3 B + β 4 C + u
T m = β1 + β2 A + β3 B + β4 (+1 − A − B) + u
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
T m = δ1 + δ2 A + δ3 B
δ̂ = ( r r )−1 r =
−1
15 3 7 166
= 3 3 0 25
7 0 7 81
12, 000000
δ̂ = −3, 666667
−0, 428571
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
12, 000000 166
= 1910 − −3, 666667 25 = 44, 380926
−0, 428571 81
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
15 3 7
= 3, 698411 3 3 0 =
7 0 7
0, 739682 −0, 739682 −0, 739682
= −0, 739682 1, 972486 0, 739682
−0, 739682 0, 739682 1, 268027
δ̂i
D̂(δ̂1 ) = 0, 739682 = 0, 860048
D̂(δ̂2 ) = 1, 972486 = 1, 404452
D̂(δ̂3 ) = 1, 268027 = 1, 126067
α = 0, 05 t0 = 2, 179
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 12, 000000
1 = 13, 953 > 2, 179
|tExp. | = =
D̂(δ̂1 ) 0, 860048
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ −3, 666667
2 = 2, 611 > 2, 179
|tExp. | = =
D̂(δ̂2 ) 1, 404452
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ −0, 428571
3 = 0, 381 ≤ 2, 179
|tExp. | = =
D̂(δ̂3 ) 1, 126067
H0 p − valor = 7, 10E − 01
3.2.7. Ejercicio
T C T C
utilitario 4 gama intermedia 6
gama intermedia 7 gama alta 7
utilitario 3 gama alta 8
gama alta 10 gama alta 7
utilitario 3 gama alta 9
C = β1 + β 2 U + β 3 M + β 4 A + u
U M A C U M A C
1 0 0 4 0 1 0 6
0 1 0 7 0 0 1 7
1 0 0 3 0 0 1 8
0 0 1 10 0 0 1 7
1 0 0 3 0 0 1 9
r s
1 1 0 0
1 0 1 0
1 1 0 0
1 0 0 1
1 1 0 0
r =
s =
1 0 1 0
1 0 0 1
1 0 0 1
1 0 0 1
1 0 0 1
r s
s = r ×
r
r r = r r ×
−1
=( r r) r r
−1
10 3 2 5 1
= 3 3 0 0 = −1
2 0 2 0 −1
r
U M s A
A = +1 − U − M
C = β1 + β 2 U + β 3 M + β 4 A + u
C = β1 + β2 U + β3 M + β4 (+1 − U − M ) + u
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
C = δ1 + δ2 U + δ3 M + u
−1
δ̂ = ( r r) r =
−1
10 3
2 64
= 3 0 10
3
2 0
2 13
8, 200000
δ̂ = −4, 866667
−1, 700000
Ĉ = 8, 2 − 4, 866667U − 1, 7M
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
8, 200000 64
= 462 − −4, 866667 10 = 7, 96667
−1, 700000 13
SCR 7, 966670
σ̂ 2 = = = 1, 138096
n−k 10 − 3
δ̂i
−1
10 3 2
V̂ (δ̂) = σ̂ 2 ( r r)
−1
= 1, 138096 3 3 0 =
2 0 2
0, 227619 −0, 227619 −0, 227619
= −0, 227619 0, 606985 0, 227619
−0, 227619 0, 227619 0, 796667
δ̂i
D̂(δ̂1 ) = 0, 227619 = 0, 477094
D̂(δ̂2 ) = 0, 606985 = 0, 779092
D̂(δ̂3 ) = 0, 796667 = 0, 892562
α = 0, 05 t0 = 2, 365
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 8, 200000
1 = 17, 187 > 2, 365
|tExp. | = =
D̂(δ̂1 ) 0, 477094
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ −4, 866667
2 = 6, 247 > 2, 365
|tExp. | = =
D̂(δ̂2 ) 0, 779092
δ2 = 0 δ̂2 < 0
β 2 < β4 δ2
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ −1, 700000
3 = 1, 905 ≤ 2, 365
|tExp. | = =
D̂(δ̂3 ) 0, 892562
H0 p − valor = 9, 85E − 02
n
1
C̄ = Ct = 6, 400000
n t=1
SCE = δ r − nC¯2 =
8, 200000 64
= −4, 866667 10 − 10 × 6, 4000002 = 44, 433330
−1, 700000 13
H0 : δ2 = δ3 = 0
SCE 44,433330
k−1 3−1
FExp = SCR
= 7,966670 = 19, 521 > 4, 737
n−k 10−3
1 1 0 0
1 0 0 1
1 1 0 0
1 0 1 0
1 1 0 0
r =
s =
1 0 0 1
1 0 1 0
1 0 1 0
1 0 1 0
1 0 1 0
−1
=( r r) r s
−1
10 3 5 2 1
= 3 3 0 0 = −1
5 0 5 0 −1
r
U A s M
M = +1 − U − A
C = β1 + β 2 U + β 3 M + β 4 A + u
C = β1 + β2 U + β3 (+1 − U − A) + β4 A + u
δ 1 = β1 + β 3
δ 2 = β2 − β 3
δ 3 = β4 − β 3
C = δ1 + δ2 U + δ3 A + u
δ̂ = ( r r )−1 r =
−1
10 3 5 64
= 3 3 0 10
5 0 5 41
6, 500000
δ̂ = −3, 166667
1, 700000
Ĉ = 6, 5 − 3, 166667U + 1, 7M
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
6, 500000 64
= 462 − −3, 166667 10 = 7, 96667
1, 700000 41
SCR 7, 966670
σ̂ 2 = = = 1, 138096
n−k 10 − 3
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
10 3 5
= 1, 138096 3 3 0 =
5 0 5
0, 569048 −0, 569048 −0, 569048
= −0, 569048 0, 948413 0, 569048
−0, 569048 0, 569048 0, 796667
δ̂i
D̂(δ̂1 ) = 0, 569048 = 0, 754353
D̂(δ̂2 ) = 0, 948413 = 0, 973865
D̂(δ̂3 ) = 0, 796667 = 0, 892562
α = 0, 05 t0 = 2, 365
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 6, 500000
1 = 8, 617 > 2, 365
|tExp. | = =
D̂(δ̂1 ) 0, 754353
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ −3, 166667
2 = 3, 252 > 2, 365
|tExp. | = =
D̂(δ̂2 ) 0, 973865
δ2 = 0 δ̂2 < 0
β 2 < β3 δ2
Multicolinealidad
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ 1, 700000
3 = 1, 905 ≤ 2, 365
|tExp. | = =
D̂(δ̂3 ) 0, 892562
H0 p − valor = 9, 85E − 02
n
1
C̄ = Ct = 6, 400000
n t=1
SCE = δ r − nC¯2 =
6, 500000 64
= −3, 166667 10 − 10 × 6, 4000002 = 44, 433330
1, 700000 41
H0 : δ2 = δ3 = 0
SCE 44,433330
k−1 3−1
FExp = SCR
= 7,966670 = 19, 521 > 4, 737
n−k 10−3
1 0 0 1
1 1 0 0
1 0 0 1
1 0 1 0
1 0 0 1
r =
s =
1 1 0 0
1 0 1 0
1 0 1 0
1 0 1 0
1 0 1 0
−1
10 2 5 3 1
= 2 2 0 0 = −1
5 0 5 0 −1
r
M A s U
U = +1 − M − A
C = β1 + β 2 U + β 3 M + β 4 A + u
C = β1 + β2 (+1 − M − A) + β3 M + β4 A + u
δ 1 = β1 + β 2
δ 2 = β3 − β 2
δ 3 = β4 − β 2
C = δ1 + δ2 M + δ3 A + u
δ̂ = ( r r )−1 r =
−1
10 2 5 64
= 2 2 0 13
5 0 5 41
3, 333333
δ̂ = 3, 166667
4, 866667
n
n
2
SCR = ˆ ˆ = ût2 = − δ̂ r = t − δ̂ r =
t=1 t=1
3, 333333 64
= 462 − 3, 166667 13 = 7, 96667
4, 866667 41
SCR 7, 966670
σ̂ 2 = = = 1, 138096
n−k 10 − 3
δ̂i
V̂ (δ̂) = σ̂ 2 ( r r )−1 =
−1
10 2 5
= 1, 138096 2 2 0 =
5 0 5
0, 379365 −0, 379365 −0, 379365
= −0, 379365 0, 948413 0, 379365
−0, 379365 0, 379365 0, 606985
δ̂i
D̂(δ̂1 ) = 0, 379365 = 0, 615926
D̂(δ̂2 ) = 0, 948413 = 0, 973865
D̂(δ̂3 ) = 0, 606985 = 0, 779092
α = 0, 05 t0 = 2, 365
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂ 3, 333333
1 = 5, 412 > 2, 365
|tExp. | = =
D̂(δ̂1 ) 0, 615926
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ 3, 166667
2 = 3, 252 > 2, 365
|tExp. | = =
D̂(δ̂2 ) 0, 973865
δ2 = 0 δ̂2 > 0
β 3 > β2 δ2
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ 4, 866667
3 = 6, 247 > 2, 365
|tExp. | = =
D̂(δ̂3 ) 0, 779092
δ3 = 0 δ̂3 > 0
β 4 > β2 δ3
n
1
C̄ = Ct = 6, 400000
n t=1
SCE = δ r − nC¯2 =
3, 333333 64
= 3, 166667 13 − 10 × 6, 4000002 = 44, 433330
4, 866667 41
H0 : δ2 = δ3 = 0
SCE 44,433330
k−1 3−1
FExp = SCR
= 7,966670 = 19, 521 > 4, 737
n−k 10−3
1 0 0 1
0 1 0 1
1 0 0 1
0 0 1 1
1 0 0 1
r =
s =
0 1 0 1
0 0 1 1
0 0 1 1
0 0 1 1
0 0 1 1
−1
3 0 0 3 1
= 0 2 0 2 = 1
0 0 5 5 1
r U M A
s cte
1 = +U + M + A
C = β1 × 1 + β 2 U + β 3 M + β 4 A + u
C = β1(+U + M + A) + β2U + β3M + β4A + u
δ 1 = β2 + β 1
δ 2 = β3 + β 1
δ 3 = β4 + β 1
C = δ1 U + δ2 M + δ3 A + u
δ̂ = ( r r )−1 r =
−1
3 0 0 10
= 0 2 0 13
0 0 5 41
3, 333333
δ̂ = 6, 500000
8, 200000
Ĉ = 3, 333333 + 6, 5U + 8, 2M
n
n
SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1
3, 333333 10
= 462 − 6, 500000 13 = 7, 96667
8, 200000 41
SCR 7, 966670
σ̂ 2 = = = 1, 138096
n−k 10 − 3
δ̂i
−1
V̂ (δ̂) = σ̂ 2 ( r r) =
−1
3 0 0
= 1, 138096 0 2 0 =
0 0 5
0, 379365 0, 000000 0, 000000
= 0, 000000 0, 569048 0, 000000
0, 000000 0, 000000 0, 227619
δ̂i
D̂(δ̂1 ) = 0, 379365 = 0, 615926
D̂(δ̂2 ) = 0, 569048 = 0, 754353
D̂(δ̂3 ) = 0, 227619 = 0, 477094
δi
n
1
C̄ = Ct = 6, 400000
n t=1
SCE = δ r − nC¯2 =
3, 333333 10
= 6, 500000 13 − 10 × 6, 4000002 = 44, 433330
8, 200000 41
H0 : δ1 = δ2 = δ3 = 0
SCE 44,433330
k−1 3−1
FExp = SCR
= 7,966670 = 19, 521 > 4, 737
n−k 10−3
δi
X2 X3 Y X2 X3 Y
264 134 1476 167 87 959
260 134 1441 119 63 640
256 130 1436 56 33 373
241 125 1346 −22 −3 −85
224 117 1246 −115 −48 −637
200 104 1112 −222 −100 −1246
2
X̂2 = −14, 673376 + 2, 067114X3 RX 2
= 0, 999814
2
X̂3 = 7, 109173 + 0, 483676X2 RX 3
= 0, 999813
1 1
F AV (β̂2 ) = 2 = = 5376, 34
1 − RX 2
1 − 0, 999814
1 1
F AV (β̂3 ) = 2 = = 5347, 59
1 − RX 3
1 − 0, 999813
F AV
F AV
2
X̂2 = −14, 673375939183 + 2, 067114060915X3 RX 2
= 0, 999814324020
2
X̂3 = 7, 109172956931 + 0, 483676417729X2 RX 3
= 0, 999814324021
1 1
F AV (β̂2 ) = 2 = = 5385, 73
1 − RX 2
1 − 0, 999814324020
1 1
F AV (β̂3 ) = 2 = = 5385, 73
1 − RX 3
1 − 0, 999814324021
3.3.2. Ejercicio
Z = β1 +β2 V +β3 W +u
V W Z V W Z
313 −63 2221 149 −4 1207
300 −56 2239 84 19 673
309 −54 2294 −25 34 −123
289 −23 2427 −132 62 −874
274 −27 2106 −281 93 −1826
180 −11 1407
F IV (β̂3 ) > 10
W
T OL(βˆ1 ) < 0, 1
V
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − RW = 0, 041692
T OL(βˆ2 ) < 0, 1
W
t t2
Para t = 1, 2, ..., 11
τV (t) = 271, 575758 + 36, 199301t − 7, 740093t2
τW (t) = −63, 406061 + 1, 901399t + 1, 071096t2
τZ (t) = 1955, 484848 + 303, 758741t − 58, 907925t2
τV τW τZ
300, 034966 −60, 433566 2200, 335664
313, 013988 −55, 318879 2327, 370630
310, 512824 −48, 062000 2336, 589746
292, 531474 −38, 662929 2227, 993012
259, 069938 −27, 121666 2001, 580428
210, 128216 −13, 438211 1657, 351994
145, 706308 2, 387436 1195, 307710
65, 804214 20, 355275 615, 447576
−29, 578066 40, 465306 −82, 228408
−140, 440532 62, 717529 −897, 720242
−266, 783184 87, 111944 −1831, 027926
V − τV W − τW Z − τZ
12, 965034 −2, 566434 20, 664336
−13, 013988 −0, 681121 −88, 370630
−1, 512824 −5, 938000 −42, 589746
−3, 531474 15, 662929 199, 006988
14, 930062 0, 121666 104, 419572
−30, 128216 2, 438211 −250, 351994
3, 293692 −6, 387436 11, 692290
18, 195786 −1, 355275 57, 552424
4, 578066 −6, 465306 −40, 771592
8, 440532 −0, 717529 23, 720242
−14, 216816 5, 888056 5, 027926
1 1
F IV (β̂2 ) = 2 = = 1, 12
1 − R(V −τV ) 1 − 0, 108060
F IV (β̂2 ) < 10
(V − τV )
1 1
F IV (β̂3 ) = 2 = = 1, 12
1− R(W −τW ) 1 − 0, 107955
F IV (β̂3 ) < 10
(W − τW )
2
T ol(β̂2 ) = 1/F IV (β̂2 ) = 1 − R(V −τV ) = 0, 891940
T OL(βˆ1 ) > 0, 1
(V − τV )
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − R(W −τW ) = 0, 892045
T OL(βˆ2 ) > 0, 1
(W −τW )
3.3.3. Ejercicio
W V Z
W
V Z W V Z W
−92 255 546 −44 198 632
−91 286 726 −22 152 625
−88 284 725 4 85 471
−84 288 752 35 −8 250
−72 290 872 72 −105 46
−60 246 724 112 −250 −360
2
Ẑ = 73, 135551 − 2, 555677V RZ = 0, 978648
1 1
F IV (β̂2 ) = = = 46, 83
1 − RV2 1 − 0, 978648
F IV (β̂2 ) > 10
1 1
F IV (β̂3 ) = 2 = 1 − 0, 978648 = 46, 83
1 − RZ
F IV (β̂3 ) > 10
T OL(βˆ1 ) < 0, 1
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − RZ = 0, 021352
T OL(βˆ2 ) < 0, 1
Yt
∆(Yt ) = Yt − Yt−1
ˆ ) = 7, 135536 − 0, 248533∆(Z)
∆(V 2
R∆(V ) = 0, 912641
F IV (β̂2 ) > 10
∆(V )
1 1
F IV (β̂3 ) = 2 = = 11, 45
1 − R∆(Z) 1 − 0, 912640
F IV (β̂3 ) > 10
∆(Z)
2
T ol(β̂2 ) = 1/F IV (β̂2 ) = 1 − R∆(V ) = 0, 087359
T OL(βˆ1 ) < 0, 1
∆(V )
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − R∆(Z) = 0, 087360
T OL(βˆ2 ) < 0, 1
∆(Z)
3.3.4. Ejercicio
A B C A
B C A B C A
−70 −102 −596 −39 −59 −334
−69 −101 −556 −26 −41 −340
−68 −102 −667 −10 −16 −70
−66 −97 −456 9 12 47
−62 −93 −545 32 47 304
−57 −84 −461 60 88 522
−49 −74 −435 92 138 896
2
B̂ = 0, 248296 + 0, 674537C RB = 0, 999714
2
Ĉ = −0, 377838 + 1, 482075B RC = 0, 999715
1 1
F IV (β̂2 ) = 2 = 1 − 0, 999714 = 3496, 5
1 − RB
F IV (β̂2 ) > 10
B
1 1
F IV (β̂3 ) = 2 = 1 − 0, 999715 = 3508, 77
1 − RC
F IV (β̂3 ) > 10
C
2
T ol(β̂2 ) = 1/F IV (β̂2 ) = 1 − RB = 0, 000286
T OL(βˆ1 ) < 0, 1
B
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − RC = 0, 000285
T OL(βˆ2 ) < 0, 1
C
Yt
∆(Yt ) = Yt − Yt−1
∆2 (Yt ) = ∆(∆(Yt ).
1 1
F IV (β̂2 ) = 2 = = 1, 39
1 − R∆ 2 (B) 1 − 0, 282081
F IV (β̂2 ) < 10
∆2 (B)
1 1
F IV (β̂3 ) = 2 = = 1, 39
1 − R∆ 2 (C) 1 − 0, 282081
F IV (β̂3 ) < 10
∆2 (C)
2
T ol(β̂2 ) = 1/F IV (β̂2 ) = 1 − R∆ 2 (B) = 0, 717919
T OL(βˆ1 ) > 0, 1
∆2 (B)
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − R∆ 2 (C) = 0, 717919
T OL(βˆ2 ) > 0, 1
∆2 (C)
c Ediciones Pirámide
4 Heterocedasticidad
4.1.1. Ejercicio
Y X2 X3 X4
Y X2
X3 X4
X2 X3 X4 Y X2 X 3 X 4 Y
11 −8 3 −3 8 13 19 154
20 3 4 −5 10 8 7 −36
28 13 7 16 8 7 −4 19
12 7 2 53 26 −8 7 −24
31 7 11 59 15 4 5 54
13 5 7 −10 23 −5 8 56
4 4 11 3 13 10 10 121
5 2 10 86
β̂ = (X X)−1 X Y =
−1
15 227 543
=
227 4447 7163
51, 971534
β̂ =
−1, 042172
−43, 507642 1892, 914912
−36, 128094 1305, 239176
−6, 790718 46, 113851
ˆ= − β̂ =
ˆ =
2
...... ......
27, 998422 783, 911634
82, 576702 6818, 911713
1 n 2
σ̃ 2 = Σ u = 2664, 768933
n t=1 t
0, 710349
0, 489813
u2 0, 017305
=
σ̃ 2 ......
0, 294176
2, 558913
u2
= γ1 + γ 2 X 3 + γ 3 X 4
σ̃ 2
−1
15 62 107 15, 000001 −0, 235862
γ̂ = 62 872 568 105, 612455 = 0, 040210
107 568 1133 167, 498206 0, 149953
R2 = 0, 509362
χ2Exp. = n × R2 = 16 × 0, 509362 = 7, 64
X3 X4
c Ediciones Pirámide
Detección de la heterocedasticidad Heterocedasticidad
4.1.2. Ejercicio
B D A
B 2
D
D A B D A B
16 29 227 19 15 258
4 22 227 29 −3 251
3 16 227 14 40 257
5 30 234 22 26 260
19 11 244 23 24 267
20 6 247 32 26 296
16 18 243 24 22 301
10 14 248
D A B
3 16 227
4 22 227
5 30 234
10 14 248
14 40 257
16 29 227
16 18 243
19 15 258
19 11 244
20 6 247
22 26 260
23 24 267
24 22 301
29 −3 251
32 26 296
D A B D A B
3 16 227 22 26 260
4 22 227 23 24 267
5 30 234 24 22 301
10 14 248 29 −3 251
14 40 257 32 26 296
B = β 1 + β2 D + β3 A + u
999, 608175
FExp. = = 90, 393
11, 058434
α = 0, 05 g.l.num. = 2 g.l.den. = 2 FT ablas = 19, 000
4.1.3. Ejercicio
W V Z
W 2
V
V Z W V Z W
107 17 120200 89 36 127386
101 28 133992 99 25 123140
83 31 105760 75 17 67640
99 30 134387 88 22 96980
104 26 135269 105 23 130290
103 35 154471 99 23 118802
97 25 119343 103 32 147437
95 18 100802 98 23 116896
99 26 125482 97 18 104239
94 23 109571 100 34 145665
β̂ = (X X)−1 X Y =
−1
20 1935 512 2417752
= 1935 188375 49648 236227131
512 49648 13774 63521957
−106017, 498939
β̂ = 1778, 488548
2142, 044215
−495, 527352
404, 917571
−2240, 421210
ˆ= − β̂ =
......
−813, 686087
1004, 140829
ˆt |
|û = −2449, 000013 + 31879747, 734729 V12
t
ˆt |
|û = −6219, 663638 + 696735, 202070 V1t
ˆt |
|û = −13732, 286074 + 144854, 764765 √1V
t
√
ˆt |
|û = 16249, 259030 − 1548, 297267 Vt
ˆt |
|û = 8734, 886903 − 79, 611141Vt
ˆt |
|û = 4957, 298107 − 0, 416700Vt2
α = 0, 05 t0 = 2, 101
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ 31879747, 734729
2 = 4, 527 > 2, 101
|tExp. | = =
D̂(δ̂2 ) 7042109, 870030
Se rechaza H0 p − valor = 2, 61E − 04
4.2.1. Ejercicio
Z = β1 +β2 X +β3 V +u
X V Z X V Z
24 23 274 14 24 255
18 34 275 9 30 260
30 10 270 14 10 245
23 24 270 18 33 231
14 14 277 19 30 224
16 34 267 2 23 222
13 27 269 18 28 227
11 24 273 18 29 232
32 35 264 10 18 229
25 27 252 29 26 215
13, 226462
17, 617302
9, 656985
13, 71351
14, 57077
18, 418019
17, 857713
17, 904812
13, 087839
13, 677436
σ̂u =
16, 749987
20, 351314
13, 780651
17, 373456
16, 295769
21, 566636
16, 203925
16, 431357
16, 838459
12, 340833
1 24 23 274
1 18 34 275
1 30 10 270
1 23 24 270
1 14 14 277
1 16 34 267
1 13 27 269
1 11 24 273
1 32 35 264
1 25 27 252
1 14 24 255
1 9 30 260
1 14 10 245
1 18 33 231
1 19 30 224
1 2 23 222
1 18 28 227
1 18 29 232
1 10 18 229
1 29 26 215
0, 075606 1, 814544 1, 738938 20, 716046
0, 056762 1, 021723 1, 929921 15, 609655
0, 103552 3, 10656 1, 03552 27, 959037
0, 072921 1, 677178 1, 750099 19, 688614
0, 068631 0, 960828 0, 960828 19, 010663
0, 054295 0, 868714 1, 846018 14, 496673
0, 055998 0, 727977 1, 511952 15, 063519
0, 055851 0, 61436 1, 340422 15, 247298
0, 076407 2, 445018 2, 674238 20, 171397
0, 073113 1, 827828 1, 974054 18, 424506
∗ =
∗ =
0, 059702 0, 835822 1, 432837 15, 223892
0, 049137 0, 442232 1, 474106 12, 775588
0, 072566 1, 015917 0, 725655 17, 778551
0, 057559 1, 036063 1, 899449 13, 296146
0, 061366 1, 165947 1, 840969 13, 745899
0, 046368 0, 092736 1, 066462 10, 293678
0, 061713 1, 110842 1, 727976 14, 008952
0, 060859 1, 095466 1, 764918 14, 119345
0, 059388 0, 593879 1, 068981 13, 599819
0, 081032 2, 349922 2, 106827 17, 421839
258, 677415 20, 073097
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = 0, 352718 D̂(β̂∗ ) = 0, 642529
−0, 538319 0, 599869
Z = β1 + β 2 X + β 3 V + u
−1
20 357 503 5031 251, 781153
β̂ = 357 7471 9082 90219 = 0, 406389
503 9082 13691 126262 −0, 297622
20, 664508
D̂(β̂) = 0, 669898
0, 688315
0, 0286
D̂(β̂i ) − D̂(β̂i∗ )
= 0, 0409
D̂(β̂i ) i=1,..,3 0, 1285
4.2.2. Ejercicio
W X Y Z
W 2
X Y Z W X Y Z W
6 6 13 −140 3 8 10 −26
12 8 9 184 3 1 1 10
−11 10 23 −429 −8 24 −14 57
1 8 0 27 1 5 −3 18
15 15 22 574 4 28 5 101
11 10 −4 53 8 −3 19 37
6 3 −10 22 13 23 7 62
12 19 7 123
W = β1 + β 2 X + β 3 Y + u
−1
15 76 165 673 −108, 952798
β̂ = 76 1160 838 17935 = 18, 729896
165 838 2947 13504 5, 356484
68, 272681
D̂(β̂) = 5, 39795
4, 466196
−175, 565482 30823, 23847
25, 342174 642, 225783
−167, 583186 28084, 12423
74, 37103 5531, 050103
321, 657098 103463, 288694
−97, 640898 9533, 744962
2, 50397 6, 269866
ˆ=
−94, 57915
ˆ =
2
8945, 215615
−16, 088762 258, 848263
57, 406626 3295, 520709
187, 23635 35057, 450761
81, 440482 6632, 552108
−14, 948338 223, 452809
12, 183082 148, 427487
−195, 734982 38312, 183179
c Ediciones Pirámide
Estimación bajo heterocedasticidad Heterocedasticidad
1 n 2
σ̃ 2 = Σ u = 18063, 839536
n t=1 t
1, 70635
0, 035553
1, 554715
0, 306195
5, 727647
0, 527781
0, 000347
u 2
= 0, 4952
σ̃ 2
0, 01433
0, 182437
1, 940753
0, 367173
0, 01237
0, 008217
2, 120932
u2
= γ1 + γ 2 Z
σ̃ 2
−1
15 85 15 0, 705341
γ̂ = =
85 2169 172, 739185 0, 051999
R2 = 0, 141746
lnû2 = η1 + η2 Z
−1
15 85 121, 190121 7, 774423
η̂ = =
85 2169 777, 538026 0, 053809
σ̂u2 = e7,774423+0,053809Z
4788, 344429 69, 197864
3861, 086888 62, 137645
8201, 152728 90, 560216
2378, 970238 48, 774688
7771, 519624 88, 156223
1918, 285313 43, 798234
1388, 99119 37, 269172
σ̂u =
2
3467, 142338
σ̂u =
58, 882445
4074, 539446 63, 832119
2510, 486907 50, 104759
1120, 0146 33, 466619
2024, 333926 44, 992599
3113, 391732 55, 797775
6613, 008678 81, 320408
3467, 142338 58, 882445
1 6 6 −140
1 12 8 184
1 −11 10 −429
1 1 8 27
1 15 15 574
1 11 10 53
1 6 3 22
1 12 19 123
1 3 8 −26
1 3 1 10
1 −8 24 57
1 1 5 18
1 4 28 101
1 8 −3 37
1 13 23 62
0, 014451 0, 086708 0, 086708 −2, 023184
0, 016093 0, 19312 0, 128746 2, 961168
0, 011042 −0, 121466 0, 110424 −4, 73718
0, 020502 0, 020502 0, 16402 0, 553566
0, 011343 0, 170152 0, 170152 6, 511168
0, 022832 0, 251152 0, 22832 1, 210094
0, 026832 0, 160991 0, 080495 0, 5903
∗ =
0, 016983 0, 203796 0, 322677
∗ =
2, 088908
0, 015666 0, 046998 0, 125329 −0, 407318
0, 019958 0, 059875 0, 019958 0, 199582
0, 029881 −0, 239044 0, 717132 1, 70319
0, 022226 0, 022226 0, 111129 0, 400066
0, 017922 0, 071687 0, 501812 1, 810108
0, 012297 0, 098376 −0, 036891 0, 45499
0, 016983 0, 220779 0, 390609 1, 052945
−53, 810235 53, 926442
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = 9, 342673 D̂(β̂∗ ) = 4, 24801
5, 406146 3, 290488
Econometría
0, 2101
D̂(β̂i ) − D̂(β̂i∗ )
= 0, 2130
D̂(β̂i ) i=1,..,3 0, 2632
4.2.3. Ejercicio
Z X V Z
2
X
X V Z X V Z
17 16 184 24 21 204
18 29 183 6 26 207
25 28 196 19 28 202
8 28 200 29 36 192
22 29 193 29 28 202
37 22 191 16 19 214
21 17 185 23 18 218
5 20 183 32 13 222
Z = β1 + β 2 X + β 3 V + u
−1
16 331 378 3176 207, 011135
β̂ = 331 8085 7809 65979 = 0, 217795
378 7809 9514 74709 −0, 550975
14, 825913
D̂(β̂) = 0, 358879
0, 522512
c Ediciones Pirámide
212 © Ediciones Pirámide
Estimación bajo heterocedasticidad Heterocedasticidad
−17, 89805 320, 340194
−11, 95317 142, 878273
−1, 02871 1, 058244
6, 673805 44, 539673
−2, 82435 7, 976953
−11, 9481 142, 757094
−17, 218255 296, 468305
−14, 08061 198, 263578
ˆ=
ˆ =
2
3, 33226 11, 103957
13, 007445 169, 193625
6, 27806 39, 414037
−1, 49209 2, 226333
4, 10011 16, 810902
13, 97267 195, 235507
15, 89713 252, 718742
15, 1821 230, 49616
1 n 2
σ̃ 2 = Σ u = 129, 467599
n t=1 t
2, 474289
1, 103583
0, 008174
0, 344022
0, 061614
1, 102647
2, 289903
u2 1, 531376
=
σ̃ 2
0, 085766
1, 306841
0, 304432
0, 017196
0, 129846
1, 507987
1, 951984
1, 780339
u2
= γ1 + γ 2 X
σ̃ 2
−1
16 331 15, 999999 1, 372404
γ̂ = =
331 8085 308, 724351 −0, 018001
R2 = 0, 035341
lnû2 = η1 + η2 X
−1
16 331 63, 685175 5, 216519
η̂ = =
331 8085 1243, 543147 −0, 059756
σ̂u2 = e5,216519−0,059756X
Heterocedasticidad
66, 730826 8, 168894
62, 860061 7, 928434
41, 372607 6, 432154
114, 259365 10, 689217
49, 49576 7, 035322
20, 197261 4, 494136
52, 543584 7, 248695
136, 6932 11, 691587
σ̂u =
2
σ̂u =
43, 920229 6, 627234
128, 764223 11, 347432
59, 213822 7, 695052
32, 576625 5, 707594
32, 576625 5, 707594
70, 839942 8, 416647
46, 624726 6, 82823
27, 230209 5, 218257
1 17 16 184
1 18 29 183
1 25 28 196
1 8 28 200
1 22 29 193
1 37 22 191
1 21 17 185
1 5 20 183
1 24 21 204
1 6 26 207
1 19 28 202
1 29 36 192
1 29 28 202
1 16 19 214
1 23 18 218
1 32 13 222
c Ediciones Pirámide
© Ediciones Pirámide 215
Econometría Heterocedasticidad.
0, 122416 2, 081065 1, 958649 22, 524469
0, 126128 2, 27031 3, 657721 23, 081481
0, 155469 3, 886723 4, 35313 30, 471907
0, 093552 0, 748418 2, 619462 18, 710444
0, 14214 3, 127078 4, 122057 27, 433002
0, 222512 8, 232951 4, 895268 42, 499826
0, 137956 2, 897073 2, 34525 25, 521835
0, 085532 0, 427658 1, 710632 15, 652281
∗ =
∗ =
0, 150893 3, 62142 3, 168743 30, 782073
0, 088126 0, 528754 2, 291267 18, 242013
0, 129954 2, 469119 3, 638702 26, 250635
0, 175205 5, 08095 6, 307386 33, 639393
0, 175205 5, 08095 4, 905745 35, 391445
0, 118812 1, 900995 2, 257431 25, 425802
0, 146451 3, 368369 2, 636115 31, 926283
0, 191635 6, 132316 2, 491253 42, 542941
215, 919057 15, 03936
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = 0, 116106 D̂(β̂∗ ) = 0, 372555
−0, 827491 0, 460897
−0, 0144
D̂(β̂i ) − D̂(β̂i∗ )
= −0, 0381
D̂(β̂i ) i=1,..,3 0, 1179
4.2.4. Ejercicio
Y X2 X3 X4
Y 2
X2 X3 X4 Y X2 X 3 X 4 Y
10 0 10 −64 23 16 9 27
22 13 0 10 7 7 0 0
20 5 −4 15 13 −3 14 −137
11 3 1 8 20 2 −1 18
18 −2 20 384 14 0 4 22
0 9 2 −8 13 16 −6 −3
18 1 −4 17 4 12 2 −7
7 −4 14 −152 3 3 −7 0
X4
Y = β1 + β2 X2 + β3 X3 + u
−1
16 203 78 130 −55, 671408
β̂ = 203 3339 1056 5563 = 5, 154989
78 1056 1032 761 −0, 329747
62, 980366
D̂(β̂) = 4, 212708
4, 559399
−59, 878482 3585, 432607
−43, 451639 1888, 044932
−30, 779637 947, 386054
7, 95577 63, 294276
346, 222112 119869, 750838
50, 639131 2564, 321588
−19, 788647 391, 59055
−133, 732503 17884, 382359
ˆ=
ˆ =
2
−30, 617387 937, 424387
21, 894714 479, 378501
−149, 33269 22300, 252303
−28, 768878 827, 648341
5, 501562 30, 267184
−9, 067497 82, 219502
32, 008416 1024, 538695
41, 195682 1697, 084215
1 n 2
σ̃ 2 = Σ u = 10910, 813521
n t=1 t
0, 328613
0, 173043
0, 08683
0, 005801
10, 986326
0, 235026
0, 03589
u 2 1, 639143
=
σ̃ 2 0, 085917
0, 043936
2, 043867
0, 075856
0, 002774
0, 007536
0, 093901
0, 155541
u2
= γ1 + γ 2 X 4
σ̃ 2
−1
16 54 16 0, 203655
γ̂ = =
54 1116 274, 322055 0, 235954
R2 = 0, 464933
lnû2 = η1 + η2 X4
−1
16 54 113, 969633 6, 469787
η̂ = =
54 1116 565, 397939 0, 193575
σ̂u2 = e6,469787+0,193575X4
Econometría
4471, 758452 66, 871208
645, 346254 25, 403666
297, 521651 17, 248816
783, 179566 27, 985346
30985, 883228 176, 028075
950, 451372 30, 829391
297, 521651 17, 248816
9699, 571614 98, 486403
σ̂u2 =
σ̂u =
3684, 764887 60, 702264
645, 346254 25, 403666
9699, 571614 98, 486403
531, 770497 23, 06015
1399, 803292 37, 413945
202, 014 14, 213163
950, 451372 30, 829391
166, 461159 12, 901983
1 10 0 −64
1 22 13 10
1 20 5 15
1 11 3 8
1 18 −2 384
1 0 9 −8
1 18 1 17
1 7 −4 −152
1 23 16 27
1 7 7 0
1 13 −3 −137
1 20 2 18
1 14 0 22
1 13 16 −3
1 4 12 −7
1 3 3 0
c Ediciones Pirámide
220 © Ediciones Pirámide
Estimación bajo heterocedasticidad
Heterocedasticidad
0, 014954 0, 149541 0 −0, 957064
0, 039364 0, 866017 0, 511737 0, 393644
0, 057975 1, 1595 0, 289875 0, 869625
0, 035733 0, 393063 0, 107199 0, 285864
0, 005681 0, 102256 −0, 011362 2, 18147
0, 032437 0 0, 291929 −0, 259493
0, 057975 1, 04355 0, 057975 0, 985575
0, 010154 0, 071076 −0, 040615 −1, 54336
=
=
∗
0, 016474 0, 378899 0, 263582
∗
0, 444794
0, 039364 0, 275551 0, 275551 0
0, 010154 0, 131998 −0, 030461 −1, 391055
0, 043365 0, 867297 0, 08673 0, 780567
0, 026728 0, 374192 0 0, 588016
0, 070357 0, 914645 1, 125717 −0, 211072
0, 032437 0, 129746 0, 389239 −0, 227056
0, 077507 0, 232522 0, 232522 0
−5, 367226 12, 196809
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = 1, 151454 D̂(β̂∗ ) = 0, 764086
−0, 588896 0, 96757
0, 8063
D̂(β̂i ) − D̂(β̂i∗ )
= 0, 8186
D̂(β̂i ) i=1,..,3 0, 7878
4.2.5. Ejercicio
Y X2 X3 X4
Y 3
X2 X3 X4
X2 X3 X4 Y X2 X3 X4 Y
4 11 1 −44 6 3 10 −93853
26 5 −2 −764768 21 9 −7 155159
14 1 4 −773382 7 14 5 155325
14 5 12 −773410 20 −2 10 −35322
11 7 6 −773353 8 12 20 −35296
10 −3 −4 −773299 11 4 5 −36861
25 1 12 −83986 −6 18 10 −36861
16 0 23 −93823
Y = β1 + β2 X2 + β3 X3 + β4 X4 + u
−1
15 187 85 105 −3963774 −555515, 329291
187 3333 627 1173 −58770540 4428, 689398
β̂ =
85
=
627 1005 588 −9516744 28538, 451823
105 1173 588 1689 −18417712 10619, 263020
319974, 779448
15188, 564506
D̂(β̂) =
20810, 426096
12480, 022831
213214, 338626 45460354195, 722600
−445852, 328132 198784298500, 725000
−350883, 826184 123119459477, 524000
ˆ= − β̂ =
ˆ =
2
...... ......
302688, 623521 91620402809, 037700
−74658, 297335 5573861360, 961270
1 n 2
σ̃ 2 = Σ u = 105387322828, 462
n t=1 t
0, 431365
1, 886226
u 2 1, 168257
=
σ̃ 2 ......
0, 869368
0, 052889
u2
= γ1 + γ 2 X 2 + γ 3 X 3 + γ 4 X 4
σ̃ 2
−1
15 187 85 105 15, 000001 0, 331675
187 3333 627 1173 233, 470653 0, 054539
γ̂ =
85
=
627 1005 588 75, 170757 0, 026005
105 1173 588 1689 75, 737273 −0, 022708
R2 = 0, 242119
X2 X3 X4
lnû2 = η1 + η2 X2 + η3 X3 + η4 X4
−1
15 187 85 105 371, 893988 24, 299899
187 3333 627 1173 4722, 900217 0, 074986
η̂ = =
85 627 1005 588 2070, 604289 −0, 009060
105 1173 588 1689 2539, 910550 −0, 055779
41311386454, 817100 203252, 026939
268413086954, 451000 518085, 984132
80984774110, 087500 284578, 238996
49988309248, 221900 223580, 654906
54783286855, 801400 234058, 297985
97201793510, 822300 311772, 021693
118258766869, 308000 343887, 724220
σ̂u =
2
32900641730, 044900
σ̂u =
181385, 340450
31236246367, 211200 176737, 789867
235156714724, 762000 484929, 597699
40277788495, 497700 200693, 269682
93380557808, 104200 305582, 325746
19148438331, 905600 138377, 882380
59521891130, 954400 243971, 086670
11087819495, 549000 105298, 715546
1 4 11 1 −44
1 26 5 −2 −764768
1 14 1 4 −773382
1 14 5 12 −773410
1 11 7 6 −773353
1 10 −3 −4 −773299
1 25 1 12 −83986
1 16 0 23 −93823
1 6 3 10 −93853
1 21 9 −7 155159
1 7 14 5 155325
1 20 −2 10 −35322
1 8 12 20 −35296
1 11 4 5 −36861
1 −6 18 10 −36861
c Ediciones Pirámide
Estimación bajo heterocedasticidad Heterocedasticidad
0, 000005 0, 000020 0, 000054 0, 000005 −0, 000216
0, 000002 0, 000050 0, 000010 −0, 000004 −1, 476141
0, 000004 0, 000049 0, 000004 0, 000014 −2, 717643
0, 000004 0, 000063 0, 000022 0, 000054 −3, 459199
0, 000004 0, 000047 0, 000030 0, 000026 −3, 304104
0, 000003 0, 000032 −0, 000010 −0, 000013 −2, 480335
0, 000003 0, 000073 0, 000003 0, 000035 −0, 244225
∗ =
0, 000006 0, 000088 0, 000000 0, 000127
∗ =
−0, 517258
0, 000006 0, 000034 0, 000017 0, 000057 −0, 531030
0, 000002 0, 000043 0, 000019 −0, 000014 0, 319962
0, 000005 0, 000035 0, 000070 0, 000025 0, 773942
0, 000003 0, 000065 −0, 000007 0, 000033 −0, 115589
0, 000007 0, 000058 0, 000087 0, 000145 −0, 255070
0, 000004 0, 000045 0, 000016 0, 000020 −0, 151088
0, 000009 −0, 000057 0, 000171 0, 000095 −0, 350061
−333123, 974371 292312, 591255
−4579, 036422 16091, 445091
β̂∗ = (
∗)
−1
∗ =
D̂(β̂∗ ) =
∗ ∗ 11810, 069344 19086, 259479
9104, 317270 11264, 339014
0, 0865
D̂(β̂i ) − D̂(β̂i∗ ) −0, 0594
=
0, 0829
D̂(β̂i ) i=1,..,4
0, 0974
4.2.6. Ejercicio
Z = β1 + β 2 V + β 3 W + u
V
V W Z V W Z
61 27 58095 56 32 56376
60 12 41098 51 34 51399
60 28 57815 49 6 24435
47 29 41618
Z = β1 + β 2 V + β 3 W + u
−1
7 384 168 330836 −42113, 785554
β̂ = 384 21268 9230 18410341 = 1226, 095911
168 9230 4714 8585691 921, 498031
3996, 718954
D̂(β̂) = 71, 148893
38, 803519
536, 488146 287819, 530799
−1411, 945478 1993590, 032845
561, 086026 314817, 528572
ˆ= − β̂ =
−618, 165162
ˆ =
2
382128, 167510
340, 477546 115924, 959330
−349, 038961 121828, 196296
941, 097729 885664, 935529
ˆt |
|û = 907, 547749 − 665267, 752576 V12
t
ˆt |
|û = 1171, 512627 − 26709, 980348 V1t
ˆt |
|û = 1701, 430441 − 7539, 099084 √1V
t
√
ˆt |
|û = −422, 414102 + 148, 992144 Vt
ˆt |
|û = 107, 473306 + 10, 432255Vt
ˆt |
|û = 371, 319415 + 0, 101517Vt2
α = 0, 05 t0 = 2, 571
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ 0, 101517
2 = 0, 382 < 2, 571
|tExp. | = =
D̂(δ̂2 ) 0, 265446
H0 p − valor = 7, 18E − 01
û2 = eη1 +η2 V +
lnû2 = η1 + η2 V +
−1
7 384 89, 653956 11, 758256
η̂ = =
384 21268 4922, 040659 0, 019131
σ̂u2 = e11,758256+0,019131V
410547, 535420 640, 739834
402768, 002909 634, 640058
402768, 002909 634, 640058
σ̂u =
2
314083, 137829
σ̂u =
560, 431207
373096, 358857 610, 816142
339061, 572614 582, 289939
326333, 453148 571, 256031
1 61 27 58095
1 60 12 41098
1 60 28 57815
1 47 29 41618
1 56 32 56376
1 51 34 51399
1 49 6 24435
0, 001561 0, 095202 0, 042139 90, 668625
0, 001576 0, 094542 0, 018908 64, 757967
0, 001576 0, 094542 0, 044119 91, 098882
∗ =
0, 001784 0, 083864 0, 051746
∗ =
74, 260675
0, 001637 0, 091681 0, 052389 92, 296186
0, 001717 0, 087585 0, 058390 88, 270459
0, 001751 0, 085776 0, 010503 42, 774165
−42079, 305146 3875, 775540
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = 1228, 762866 D̂(β̂∗ ) = 69, 911139
914, 073408 37, 546668
228 c© Ediciones
EdicionesPirámide
Pirámide
Estimación bajo heterocedasticidad Heterocedasticidad
0, 0303
D̂(β̂i ) − D̂(β̂i∗ )
= 0, 0174
D̂(β̂i ) i=1,..,3 0, 0324
4.2.7. Ejercicio
Z X V
Z 2
X V Z X V Z
88 29 21607 80 25 17059
77 24 15728 83 15 13054
80 32 20926 84 10 10960
91 24 19492 78 39 24607
61 27 13319 71 30 17402
70 14 9722 76 4 7047
78 28 18040 87 19 15916
90 33 24493 84 37 25174
81 17 13350 89 28 21222
81 31 20616
Z = β1 + β 2 X + β 3 V + u
−1
19 1529 466 329734 −15653, 639368
β̂ = 1529 124073 37627 26863427 = 258, 098672
466 37627 12966 8886535 498, 970556
1196, 404057
D̂(β̂) = 14, 717837
12, 041938
77, 810108 6054, 412907
−467, 251720 218324, 169843
−35, 312184 1246, 950339
ˆ= − β̂ =
ˆ =
2
...... ......
685, 440348 469828, 470666
−66, 318008 4398, 078185
ˆt |
|û = 243, 955178 + 648413, 441162 X12
t
ˆt |
|û = 75, 787443 + 21624, 624952 X1t
ˆt |
|û = −263, 132164 + 5454, 705962 √1X
t
√
ˆt |
|û = 1094, 399060 − 83, 407046 Xt
ˆt |
|û = 754, 803814 − 5, 067575Xt
ˆt |
|û = 584, 005429 − 0, 036294Xt2
α = 0, 05 t0 = 2, 110
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ −0, 036294
2 = 0, 678 < 2, 110
|tExp. | = =
D̂(δ̂2 ) 0, 053520
N o se rechaza H0 p − valor = 5, 07E − 01
X
c Ediciones Pirámide
Estimación bajo heterocedasticidad Heterocedasticidad
û2 = eη1 +η2 X+
lnû2 = η1 + η2 X +
−1
19 1529 209, 529930 15, 010526
η̂ = =
1529 124073 16810, 733326 −0, 049490
σ̂u2 = e15,010526−0,049490X
42421, 305363 205, 964330
73115, 524745 270, 398825
63027, 473650 251, 052731
36568, 262559 191, 228300
161399, 187382 401, 745177
103386, 120406 321, 537121
69585, 117887 263, 789912
38423, 556461 196, 019276
59984, 171616 244, 916663
σ̂u =
2
59984, 171616
σ̂u =
244, 916663
63027, 473650 251, 052731
54331, 312653 233, 090782
51707, 907577 227, 393728
69585, 117887 263, 789912
98394, 088006 313, 678319
76825, 047094 277, 173316
44573, 553889 211, 124499
51707, 907577 227, 393728
40372, 978857 200, 930284
1 88 29 21607
1 77 24 15728
1 80 32 20926
1 91 24 19492
1 61 27 13319
1 70 14 9722
1 78 28 18040
1 90 33 24493
1 81 17 13350
1 81 31 20616
1 80 25 17059
1 83 15 13054
1 84 10 10960
1 78 39 24607
1 71 30 17402
1 76 4 7047
1 87 19 15916
1 84 37 25174
1 89 28 21222
0, 004855 0, 427258 0, 140801 104, 906515
0, 003698 0, 284765 0, 088758 58, 165933
0, 003983 0, 318658 0, 127463 83, 353007
0, 005229 0, 475871 0, 125504 101, 930520
0, 002489 0, 151838 0, 067207 33, 152856
0, 003110 0, 217704 0, 043541 30, 236011
0, 003791 0, 295690 0, 106145 68, 387755
0, 005102 0, 459139 0, 168351 124, 951997
0, 004083 0, 330725 0, 069411 54, 508337
∗ =
0, 004083 0, 330725 0, 126574
∗ =
84, 175571
0, 003983 0, 318658 0, 099581 67, 949868
0, 004290 0, 356084 0, 064353 56, 003931
0, 004398 0, 369403 0, 043977 48, 198339
0, 003791 0, 295690 0, 147845 93, 282566
0, 003188 0, 226347 0, 095639 55, 477216
0, 003608 0, 274197 0, 014431 25, 424525
0, 004737 0, 412079 0, 089994 75, 386798
0, 004398 0, 369403 0, 162713 110, 706659
0, 004977 0, 442940 0, 139352 105, 618723
−15544, 601843 1333, 957470
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = 254, 451472 D̂(β̂∗ ) = 16, 176898
506, 615819 11, 856348
−0, 1150
D̂(β̂i ) − D̂(β̂i∗ )
= −0, 0991
D̂(β̂i ) i=1,..,3 0, 0154
5.1.1. Ejercicio
Z = β1 + β 2 V + β 3 W + u
V W Z V W Z V W Z
10 30 134 22 5 157 11 7 −28
27 19 52 28 29 317 21 17 47
19 14 −17 23 10 231 12 6 17
12 18 20 32 5 189 7 22 −4
32 9 62 5 20 156
17 21 146 22 6 44
c Ediciones Pirámide
1 10 30 134
1 27 19 52
1 19 14 −17
1 12 18 20
1 32 9 62
1 17 21 146
1 22 5 157
1 28 29 317
=
=
1 23 10 231
1 32 5 189
1 5 20 156
1 22 6 44
1 11 7 −28
1 21 17 47
1 12 6 17
1 7 22 −4
β̂ = (X X)−1 X Y =
−1
16 300 238 1523
= 300 6732 4144 33421
238 4144 4588 25988
−87, 550621
β̂ = 5, 818805
4, 950288
119, 146069 14, 853931
163, 612586 −111, 612586
92, 310706 −109, 310706
71, 380223 −51, 380223
143, 203731 −81, 203731
115, 325112 30, 674888
65, 214529 91, 785471
218, 934271 98, 065729
ˆ = β̂ =
ˆ= − ˆ = 135, 215226
95, 784774
123, 402579 65, 597421
40, 549164 115, 450836
70, 164817 −26, 164817
11, 108250 −39, 108250
118, 799180 −71, 799180
11, 976767 5, 023233
62, 087350 −66, 087350
c Ediciones Pirámide
Contraste de Durbin-Watson Autocorrelación
α = 0, 05 n = 16 k = 2.
dL = 0, 98 dU = 1, 54
DW = 0, 771 < dL = 0, 98
5.1.2. Ejercicio
Y = β1 + β 2 X 2 + β 3 X 3 + u
X2 X3 Y X2 X 3 Y X2 X 3 Y
24 34 107 24 28 325 24 35 −143
22 18 430 27 19 93 22 20 644
17 15 −48 11 33 369 31 22 −205
16 21 228 26 21 −12 20 17 647
11 32 301 22 19 356 4 29 −324
14 25 47 26 20 −57
19 37 269 21 15 550
1 24 34 107
1 22 18 430
1 17 15 −48
1 16 21 228
1 11 32 301
1 14 25 47
1 19 37 269
1 24 28 325
1 27 19 93
=
1 11 33
=
369
1 26 21 −12
1 22 19 356
1 26 20 −57
1 21 15 550
1 24 35 −143
1 22 20 644
1 31 22 −205
1 20 17 647
1 4 29 −324
β̂ = (X X)−1 X Y =
−1
19 381 460 3577
= 381 8423 8973 71923
460 8973 12064 77840
498, 154826
β̂ = −3, 048113
−10, 275241
75, 641920 31, 358080
246, 142002 183, 857998
292, 208290 −340, 208290
233, 604957 −5, 604957
135, 817871 165, 182129
198, 600219 −151, 600219
60, 056762 208, 943238
137, 293366 187, 706634
220, 626196 −127, 626196
ˆ = β̂ =
125, 542630
ˆ= − ˆ =
243, 457370
203, 123827 −215, 123827
235, 866761 120, 133239
213, 399068 −270, 399068
280, 015838 269, 984162
65, 366679 −208, 366679
225, 591520 418, 408480
177, 608021 −382, 608021
262, 513469 384, 486531
187, 980385 −511, 980385
α = 0, 05 n = 19 k = 2.
dL = 1, 08 dU = 1, 53
DW − 2 = 1, 239.
dL < DW − 2 < dU
DW > 2
5.1.3. Ejercicio
A
B C
B C A B C A B C A
38 20 71 16 24 316 21 15 141
16 12 237 29 9 −126 17 19 10
35 26 113 20 18 329 25 13 252
29 32 207 16 24 −63 14 23 −28
35 19 181 19 25 308 29 27 307
10 25 −31 14 28 18 31 35 57
1 38 20 71
1 16 12 237
1 35 26 113
1 29 32 207
1 35 19 181
1 10 25 −31
1 16 24 316
1 29 9 −126
1 20 18 329
=
=
1 16 24 −63
1 19 25 308
1 14 28 18
1 21 15 141
1 17 19 10
1 25 13 252
1 14 23 −28
1 29 27 307
1 31 35 57
β̂ = (X X)−1 X Y =
−1
18 414 394 2299
= 414 10754 9114 55260
394 9114 9434 50775
74, 120393
β̂ = 1, 915863
0, 435699
155, 637167 −84, 637167
110, 002589 126, 997411
152, 503772 −39, 503772
143, 622788 63, 377212
149, 453879 31, 546121
104, 171498 −135, 171498
115, 230977 200, 769023
133, 601711 −259, 601711
120, 280235 208, 719765
ˆ = β̂ =
ˆ= − =
ˆ
115, 230977 −178, 230977
121, 414265 186, 585735
113, 142047 −95, 142047
120, 889001 20, 110999
114, 968345 −104, 968345
127, 681055 124, 318945
110, 963552 −138, 963552
141, 444293 165, 555707
148, 761611 −91, 761611
α = 0, 05 n = 18 k = 2.
dL = 1, 05 dU = 1, 53
DW − 2 = 1, 719.
DW − 2 = 1, 719 > dU = 1, 53
5.2.1. Ejercicio
M O N
M
O N M O N M O N M
3 24 172 8 37 214 30 36 272
20 26 341 13 41 440 18 26 359
9 19 138 13 16 103 18 29 218
12 22 350 25 8 265 24 26 376
−3 26 35 9 27 114 15 24 235
30 40 495 10 13 270
L=5
1 3 24 172
1 20 26 341
1 9 19 138
1 12 22 350
1 −3 26 35
1 30 40 495
1 8 37 214
1 13 41 440
=
1 13 16
=
103
1 25 8 265
1 9 27 114
1 10 13 270
1 30 36 272
1 18 26 359
1 18 29 218
1 24 26 376
1 15 24 235
β̂ = (X X)−1 X Y =
−1
17 254 440 4397
= 254 5100 6813 77740
440 6813 12706 121204
26, 373489
β̂ = 8, 482880
4, 077271
149, 676633 22, 323367
302, 040135 38, 959865
180, 187558 −42, 187558
217, 868011 132, 131989
106, 933895 −71, 933895
443, 950729 51, 049271
245, 095556 −31, 095556
303, 819040 136, 180960
ˆ = β̂ =
201, 887265 ˆ= − ˆ = −98, 887265
271, 063657 −6, 063657
212, 805726 −98, 805726
164, 206812 105, 793188
427, 641645 −155, 641645
285, 074375 73, 925625
297, 306188 −79, 306188
335, 971655 40, 028345
251, 471193 −16, 471193
j
n
t=j+1 ût ût−j
rj = n 2
t=1 ût
L
rj2
Q = n(n + 2)
j=1
n−j
5
rj2
Q = 17(17 + 2) = 43, 967
j=1
17 − j
1−α
χ2
α = 0, 05 Q0 = 11, 070
Q = 43, 967 > Q0 = 11, 070
5.2.2. Ejercicio
C S W
C
S W C S W C S W C
14 15 90 37 22 167 6 11 126
21 10 103 29 23 156 17 16 190
13 14 108 13 14 75 8 9 133
15 12 139 13 16 88 25 21 212
22 22 169 18 8 129 19 17 154
18 21 150 14 16 142 24 8 127
16 7 99 21 7 142
L=4
1 14 15 90
1 21 10 103
1 13 14 108
1 15 12 139
1 22 22 169
1 18 21 150
1 16 7 99
1 37 22 167
1 29 23 156
1 13 14 75
=
=
1 13 16 88
1 18 8 129
1 14 16 142
1 21 7 142
1 6 11 126
1 17 16 190
1 8 9 133
1 25 21 212
1 19 17 154
1 24 8 127
Autocorrelación
β̂ = (X X)−1 X Y =
−1
20 363 289 2699
= 363 7555 5592 51352
289 5592 4725 40848
71, 851762
β̂ = 1, 603061
2, 353127
129, 591521 −39, 591521
129, 047313 −26, 047313
125, 635333 −17, 635333
124, 135201 14, 864799
158, 887898 10, 112102
150, 122527 −0, 122527
113, 972627 −14, 972627
182, 933813 −15, 933813
172, 462452 −16, 462452
125, 635333 −50, 635333
ˆ = β̂ =
130, 341587
ˆ = − ˆ =
−42, 341587
119, 531876 9, 468124
131, 944648 10, 055352
121, 987932 20, 012068
107, 354525 18, 645475
136, 753831 53, 246169
105, 854393 27, 145607
161, 343954 50, 656046
142, 313080 11, 686920
129, 150242 −2, 150242
j
n
t=j+1 ût ût−j
rj = n 2
t=1 ût
L
rj2
Q = n(n + 2)
j=1
n−j
4
rj2
Q = 20(20 + 2) = 12, 704
j=1
20 − j
1−α
χ2 α = 0, 05
Q0 = 9, 488
Q = 12, 704 > Q0 = 9, 488
5.2.3. Ejercicio
P R S P
R S P R S P R S P
9 14 227 16 20 472 12 2 317
24 −3 −4 23 2 −143 27 24 101
10 18 277 18 5 331 17 12 306
22 21 84 21 5 −14 24 0 −109
20 6 192 12 −4 187 12 7 454
16 12 −162 17 17 −33
L=4
1 9 14 227
1 24 −3 −4
1 10 18 277
1 22 21 84
1 20 6 192
1 16 12 −162
1 16 20 472
1 23 2 −143
=
1 18 5
=
331
1 21 5 −14
1 12 −4 187
1 17 17 −33
1 12 2 317
1 27 24 101
1 17 12 306
1 24 0 −109
1 12 7 454
Autocorrelación
β̂ = (X X)−1 X Y =
−1
17 300 158 2483
= 300 5762 2770 33988
158 2770 2682 28486
475, 439992
β̂ = −20, 847302
4, 143739
345, 826620 −118, 826620
−37, 326473 33, 326473
341, 554274 −64, 554274
103, 817867 −19, 817867
83, 356386 108, 643614
191, 608028 −353, 608028
224, 757940 247, 242060
4, 239524 −147, 239524
ˆ = β̂ =
120, 907251
ˆ = − ˆ =
210, 092749
58, 365345 −72, 365345
208, 697412 −21, 697412
191, 479421 −224, 479421
233, 559846 83, 440154
12, 012574 88, 987426
170, 760726 135, 239274
−24, 895256 −84, 104744
254, 278541 199, 721459
j
n
t=j+1 ût ût−j
rj = n 2
t=1 ût
L
rj2
Q = n(n + 2)
j=1
n−j
4
rj2
Q = 17(17 + 2) = 14, 027
j=1
17 − j
1−α
χ2 α = 0, 05
Q0 = 9, 488
n
n−1 Xt,2
Xt,3
Yt−1
n−1
Y Yt
Yt−1
5.3.1. Ejercicio
Yt = β1 + β2 Vt + β3 Yt−1 + u h
Vt Yt Vt Yt Vt Y t
5 10 11 −24 5 13
16 −4 1 22 31 2
−7 10 −4 −15 5 8
11 −6 3 25 28 12
13 13 −5 −26 18 −1
9 −11 20 22 −4 7
9 32 11 −15
1 16 10 −4
1 −7 −4 10
1 11 10 −6
1 13 −6 13
1 9 13 −11
1 9 −11 32
1 11 32 −24
1 1 −24 22
1 −4 22 −15
=
1 3 −15
=
25
1 −5 25 −26
1 20 −26 22
1 11 22 −15
1 5 −15 13
1 31 13 2
1 5 2 8
1 28 8 12
1 18 12 −1
1 −4 −1 7
β̂ = (X X)−1 X Y =
−1
19 171 67 64
= 171 3585 812 913
67 812 5243 −4342
4, 292553
β̂ = 0, 259009
−0, 923120
−0, 794503 −3, 205497
6, 171970 3, 828030
−2, 089548 −3, 910452
13, 198390 −0, 198390
−5, 376926 −5, 623074
16, 777954 15, 222046
−22, 398188 −1, 601812
26, 706442 −4, 706442
−17, 052123 2, 052123
ˆ = β̂ =
18, 916380
ˆ= − =
ˆ
6, 083620
−20, 080492 −5, 919508
33, 473853 −11, 473853
−13, 166988 −1, 833012
19, 434398 −6, 434398
0, 321272 1, 678728
3, 741358 4, 258642
4, 159845 7, 840155
−2, 122725 1, 122725
4, 179637 2, 820363
−1
V (β̂) = σ̂ 2 (Xr Xr ) =
−1
19 171 67
= 42, 038397 171 3585 812 =
67 812 5243
Autocorrelación
3, 934132 −0, 182674 −0, 021983
= −0, 182674 0, 020635 −0, 000861
−0, 021983 −0, 000861 0, 008432
n
t=2 ût ût−1
r1 = n 2 = −0, 027539
t=1 ût
n 19
h = r1 = −0, 027539 × = −0, 131
1 − nσβ2 1 − 19 × 0, 008432
α = 0, 05
z0 = −1, 645
5.3.2. Ejercicio
h
Zt Vt
Zt−1
c Ediciones Pirámide
© Ediciones Pirámide 251
Autocorrelación
Econometría
Vt Zt Vt Zt Vt Zt
34 233 21 145 −6 −32
10 60 18 137 35 260
21 148 −9 −52 28 217
21 152 17 132 10 83
41 287 3 24 13 101
27 189 5 42 25 184
−5 −39 13 101
1 10 233 60
1 21 60 148
1 21 148 152
1 41 152 287
1 27 287 189
1 −5 189 −39
1 21 −39 145
1 18 145 137
1 −9 137 −52
=
1 17 −52
=
132
1 3 132 24
1 5 24 42
1 13 42 101
1 −6 101 −32
1 35 −32 260
1 28 260 217
1 10 217 83
1 13 83 101
1 25 101 184
β̂ = (X X)−1 X Y =
−1
19 288 2188 2139
= 288 7694 31798 55894
2188 31798 427774 234338
7, 314471
β̂ = 7, 046058
−0, 013364
Autocorrelación
74, 661239 −14, 661239
154, 479849 −6, 479849
153, 303817 −1, 303817
294, 171521 −7, 171521
193, 722569 −4, 722569
−30, 441615 −8, 558385
155, 802885 −10, 802885
132, 205735 4, 794265
−57, 930919 5, 930919
ˆ = β̂ =
127, 792385
ˆ= − ˆ =
4, 207615
26, 688597 −2, 688597
42, 224025 −0, 224025
98, 351937 2, 648063
−36, 311641 4, 311641
254, 354149 5, 645851
201, 129455 15, 870545
74, 875063 8, 124937
97, 804013 3, 195987
182, 116157 1, 883843
−1
V (β̂) = σ̂ 2 (Xr Xr ) =
−1
19 288 2188
= 62, 167107 288 7694 31798 =
2188 31798 427774
12, 790112 −0, 300796 −0, 043060
= −0, 300796 0, 018737 0, 000146
−0, 043060 0, 000146 0, 000355
n
t=2 ût ût−1
r1 = n 2 = 0, 559156
t=1 ût
σβ2 = 0, 000355
h
n 19
h = r1 = 0, 559156 × = 2, 446
1 − nσβ2 1 − 19 × 0, 000355
α = 0, 05
z0 = 1, 645
5.3.3. Ejercicio
Yt = β1 + β2 Xt,2 + β3 Xt,3 + β4 Yt−1 + u
h
1 15 25 172 189
1 20 25 189 216
1 20 13 216 98
1 16 13 98 134
1 16 21 134 141
1 17 18 141 172
1 16 19 172 127
=
1 24 24 127
=
222
1 12 11 222 82
1 16 25 82 208
1 11 15 208 102
1 17 14 102 144
1 7 17 144 118
1 19 14 118 157
1 14 18 157 107
Autocorrelación
β̂ = (X X)−1 X Y =
−1
15 240 272 2282 2217
240 4074 4437 36035 36988
=
272
4437 5266 40741 42717
2282 36035 40741 374100 324297
19, 645006
3, 719516
β̂ =
6, 068548
−0, 272131
180, 344914 8, 655086
194, 316267 21, 683733
114, 146154 −16, 146154
131, 379548 2, 620452
170, 131216 −29, 131216
153, 740171 18, 259829
147, 653142 −20, 653142
ˆ = β̂ =
219, 997905
ˆ= − =
ˆ
2, 002095
70, 620144 11, 379856
208, 556220 −0, 556220
94, 984654 7, 015346
140, 079088 3, 920912
109, 660070 8, 339930
143, 164024 13, 835976
138, 227527 −31, 227527
−1
V (β̂) = σ̂ 2 (Xr Xr ) =
−1
15 240 272 2282
240 4074 4437 36035
= 350, 515080
272
=
4437 5266 40741
2282 36035 40741 374100
1158, 764676 −22, 971978 −18, 612663 −2, 828675
−22, 971978 1, 681037 −0, 388797 0, 020545
=
−18, 612663 −0, 388797 1, 190236 0, 021366
−2, 828675 0, 020545 0, 021366 0, 013886
n
t=2 ût ût−1
r1 = n 2 = −0, 382642
t=1 ût
σβ2 = 0, 013886
n 15
h = r1 = −0, 382642 × = −1, 666
1 − nσβ2 1 − 15 × 0, 013886
α = 0, 05
z0 = −1, 645
5.3.4. Ejercicio
Z t Vt Wt Zt−1
Zt h
Vt W t Zt Vt W t Zt Vt Wt Zt
6 21 156 27 14 211 24 14 79
40 28 474 26 12 135 38 28 375
21 22 100 22 18 236 11 12 91
17 32 344 18 27 188 24 36 240
13 30 40 14 33 215
18 17 266 18 12 203
1 40 28 156 474
1 21 22 474 100
1 17 32 100 344
1 13 30 344 40
1 18 17 40 266
1 27 14 266 211
1 26 12 211 135
=
1 22 18 135
=
236
1 18 27 236 188
1 14 33 188 215
1 18 12 215 203
1 24 14 203 79
1 38 28 79 375
1 11 12 375 91
1 24 36 91 240
β̂ = (X X)−1 X Y =
−1
15 331 335 3113 3197
331 8273 7468 63657 79570
= 335
7468 8527 65668 76969
3113 63657 65668 846071 526675
88, 688636
6, 704375
β̂ =
3, 167577
−0, 454101
374, 716036 99, 283964
83, 923331 16, 076669
258, 615375 85, 384625
114, 662077 −74, 662077
245, 052155 20, 947845
193, 261973 17, 738027
205, 197999 −70, 197999
ˆ = β̂ = 231, 897637 ˆ= − = ˆ 4, 102363
187, 724129 0, 275871
201, 708939 13, 291061
149, 746595 53, 253405
201, 757211 −122, 757211
396, 273063 −21, 273063
30, 159810 60, 840190
322, 303217 −82, 303217
Econometría
−1
V (β̂) = σ̂ 2 (Xr Xr ) =
−1
15 331 335 3113
331 8273 7468 63657
= 5244, 429275
335
=
7468 8527 65668
3113 63657 65668 846071
10065, 497544 −173, 684162 −146, 060522 −12, 630357
−173, 684162 6, 231202 0, 137455 0, 159552
=
−146, 060522
0, 137455 5, 404037 0, 107632
−12, 630357 0, 159552 0, 107632 0, 032312
h
n
t=2 ût ût−1
r1 = n 2 = −0, 271224
t=1 ût
σβ2 = 0, 032312
n 15
h = r1 = −0, 271224 × = −1, 463
1 − nσβ2 1 − 15 × 0, 032312
α = 0, 05
z0 = −1, 645
β̂ = (X X)−1 X Y
β̂∗ = (X Ω−1 X)−1 X Ω−1 Y = ( ∗ ∗)
−1
∗ ∗
∗ = ∗ =
P Ω−1 = PP
Ω
ϕ = 0 Ω
1 − ϕ2 0 .... .... 0
1 −ϕ .... .... 0
=
0 1 −ϕ .... 0
.... .... .... .... ....
0 .... .... 1 −ϕ
Ω−1 = PP
Ω
P Ω
5.4.1. Ejercicio
Q = β1 + β2 X + β3 Z + u ϕ = −0, 93
X Z Q X Z Q X Z Q
11 21 189 14 11 224 18 26 282
21 27 154 19 18 101 19 4 79
16 37 260 20 21 306 17 28 244
9 7 −10 34 19 202 16 20 120
14 30 295 24 17 305
6 7 −27 16 15 84
1 − ϕ2 0 .... .... 0
1 −ϕ .... .... 0
=
0 1 −ϕ .... 0 =
.... .... .... .... ....
0 .... .... 1 −ϕ
1 − (−0, 93)2 0 .... .... 0
1 0, 93 .... .... 0
=
0 1 0, 93 .... 0
.... .... .... .... ....
0 .... .... 1 0, 93
c Ediciones Pirámide
Estimación por mínimos cuadrados generalizados
Autocorrelación
∗ = ∗ =
0, 367560 4, 043155 7, 718750 69, 468749
1, 930000 31, 230000 46, 530000 329, 770000
1, 930000 35, 530000 62, 110000 403, 220000
1, 930000 23, 880000 41, 410000 231, 800000
1, 930000 22, 370000 36, 510000 285, 700000
1, 930000 19, 020000 34, 900000 247, 350000
1, 930000 19, 580000 17, 510000 198, 890000
1, 930000 32, 020000 28, 230000 309, 320000
∗ =
∗ =
1, 930000 37, 670000 37, 740000 399, 930000
1, 930000 52, 600000 38, 530000 486, 580000
1, 930000 55, 620000 34, 670000 492, 860000
1, 930000 38, 320000 30, 810000 367, 650000
1, 930000 32, 880000 39, 950000 360, 120000
1, 930000 35, 740000 28, 180000 341, 260000
1, 930000 34, 670000 31, 720000 317, 470000
1, 930000 31, 810000 46, 040000 346, 920000
−1
β̂∗ = ( ∗ ∗) ∗ ∗ =
−1
56, 008600 972, 160300 1073, 678300 9904, 895100
= 972, 160300 18415, 252100 18849, 578600 183576, 059600
1073, 678300 18849, 578600 22027, 671700 194103, 216000
14, 640866
β̂∗ = 7, 305957
1, 846288
SCR = Y∗ Y∗ − βˆ∗ X∗ Y∗ =
14, 640866 9904, 895100
= 1850001, 4681 − 7, 305957 183576, 059600 = 124784, 290309
1, 846288 194103, 216000
β̂i∗
−1
V̂ (β̂∗ ) = σ̂ 2 ( ∗ ∗) =
−1
56, 008600 972, 160300 1073, 678300
= 9598, 791562 972, 160300 18415, 252100 18849, 578600 =
1073, 678300 18849, 578600 22027, 671700
3953, 729936 −92, 369871 −113, 670702
= −92, 369871 6, 358354 −0, 938673
−113, 670702 −0, 938673 6, 779570
β̂i∗
D̂(β̂1∗ ) = 3953, 729936 = 62, 878692
D̂(β̂2∗ ) = 6, 358354 = 2, 521578
D̂(β̂3∗ ) = 6, 779570 = 2, 603761
5.4.2. Ejercicio
Z = β1 + β 2 X + β 3 V + u
β̂i
X V Z X V Z X V Z
15 5 99 37 24 235 10 3 −151
24 8 196 18 24 194 23 2 −25
21 8 209 19 13 190 19 15 −42
20 24 252 18 7 143 25 8 111
16 3 115 7 3 68 22 11 0
16 11 166 7 15 19
23 10 180 16 18 −14
Autocorrelación
1 15 5 99
1 24 8 196
1 21 8 209
1 20 24 252
1 16 3 115
1 16 11 166
1 23 10 180
1 37 24 235
1 18 24 194
=
1 19 13
=
190
1 18 7 143
1 7 3 68
1 7 15 19
1 16 18 −14
1 10 3 −151
1 23 2 −25
1 19 15 −42
1 25 8 111
1 22 11 0
β̂ = (X X)−1 X Y =
−1
19 356 212 1945
= 356 7514 4279 42902
212 4279 3310 27513
−59, 130362
β̂ = 6, 144077
4, 156535
Econometría
53, 813468 45, 186532
121, 579766 74, 420234
103, 147535 105, 852465
163, 508018 88, 491982
51, 644475 63, 355525
84, 896755 81, 103245
123, 748759 56, 251241
267, 957327 −32, 957327
151, 219864 42, 780136
ˆ = β̂ =
111, 642056
ˆ= − ˆ =
78, 357944
80, 558769 62, 441231
−3, 652218 71, 652218
46, 226202 −27, 226202
113, 992500 −127, 992500
14, 780013 −165, 780013
90, 496479 −115, 496479
119, 955126 −161, 955126
127, 723843 −16, 723843
121, 761217 −121, 761217
n
n
2
SCR = û û = ût2 = Y Y − δ̂ Xr Y = t − δ̂ Xr Y =
t=1 t=1
−59, 130362 1945
= 420685 − 6, 144077 42902 = 157741, 615181
4, 156535 27513
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
−1
19 356 212
= 9858, 850949 356 7514 4279 =
212 4279 3310
Autocorrelación
4844, 705688 −200, 250327 −51, 421890
= −200, 250327 13, 250492 −4, 303862
−51, 421890 −4, 303862 11, 835806
β̂i
D̂(β̂1 ) = 4844, 705688 = 69, 603920
D̂(β̂2 ) = 13, 250492 = 3, 640123
D̂(β̂3 ) = 11, 835806 = 3, 440321
1 − ϕ̂2 0 .... .... 0
1 −ϕ̂ .... .... 0
=
0 1 −ϕ̂ .... 0 =
.... .... .... .... ....
0 .... .... 1 −ϕ̂
1 − (0, 701902)2 0 .... .... 0
1 −0, 701902 .... .... 0
=
0 1 −0, 701902 .... 0
.... .... .... .... ....
0 .... .... 1 −0, 701902
∗ = ∗ =
c Ediciones Pirámide
© Ediciones Pirámide 265
Econometría
0, 712274 10, 684103 3, 561368 70, 515080
0, 298098 13, 471470 4, 490490 126, 511702
0, 298098 4, 154352 2, 384784 71, 427208
0, 298098 5, 260058 18, 384784 105, 302482
0, 298098 1, 961960 −13, 845648 −61, 879304
0, 298098 4, 769568 8, 894294 85, 281270
0, 298098 11, 769568 2, 279078 63, 484268
0, 298098 20, 856254 16, 980980 108, 657640
0, 298098 −7, 970374 7, 154352 29, 053030
∗ =
0, 298098 6, 365764 −3, 845648
∗ =
53, 831012
0, 298098 4, 663862 −2, 124726 9, 638620
0, 298098 −5, 634236 −1, 913314 −32, 371986
0, 298098 2, 086686 12, 894294 −28, 729336
0, 298098 11, 086686 7, 471470 −27, 336138
0, 298098 −1, 230432 −9, 634236 −141, 173372
0, 298098 15, 980980 −0, 105706 80, 987202
0, 298098 2, 856254 13, 596196 −24, 452450
0, 298098 11, 663862 −2, 528530 140, 479884
0, 298098 4, 452450 5, 384784 −77, 911122
−1
β̂∗ = ( ∗ ∗) ∗ ∗ =
−1
2, 106857 39, 376737 22, 186602 193, 551725
= 39, 376737 1646, 410300 673, 986213 9272, 243352
22, 186602 673, 986213 1550, 203889 6242, 553535
−35, 081081
β̂∗ = 5, 616410
2, 087145
SCR = ∗ ∗ − βˆ∗ ∗ ∗ =
−35, 081081 193, 551725
= 123453, 579198802 − 5, 616410 9272, 243352 = 190538, 860340
2, 087145 6242, 553535
β̂i∗
−1
V̂ (β̂∗ ) = σ̂ 2 ( ∗ ∗) =
−1
2, 106857 39, 376737 22, 186602
= 11908, 678771 39, 376737 1646, 410300 673, 986213 =
22, 186602 673, 986213 1550, 203889
10481, 066387 −230, 244723 −49, 901486
= −230, 244723 13, 857158 −2, 729438
−49, 901486 −2, 729438 9, 582886
β̂i∗
D̂(β̂1∗ ) = 10481, 066387 = 102, 377079
D̂(β̂2∗ ) = 13, 857158 = 3, 722520
D̂(β̂3∗ ) = 9, 582886 = 3, 095624
−0, 470852
D̂(β̂i ) − D̂(β̂i∗ )
= −0, 022636
D̂(β̂i ) i=1,..,3 0, 100193
5.4.3. Ejercicio
Z V W
Z
V W Z V W Z V W Z
26 17 378 26 21 257 24 5 −81
21 15 317 17 24 310 38 14 99
20 19 258 21 7 186 19 26 −2
11 16 54 29 8 269 24 22 9
13 24 158 12 11 58 19 9 −45
25 13 219 19 19 −26
1 26 17 378
1 21 15 317
1 20 19 258
1 11 16 54
1 13 24 158
1 25 13 219
1 26 21 257
1 17 24 310
=
1 21 7
=
186
1 29 8 269
1 12 11 58
1 19 19 −26
1 24 5 −81
1 38 14 99
1 19 26 −2
1 24 22 9
1 19 9 −45
β̂ = (X X)−1 X Y =
−1
17 364 270 2418
= 364 8502 5621 54770
270 5621 4950 40743
−48, 337249
β̂ = 5, 322507
4, 823483
c Ediciones Pirámide
Estimación por mínimos cuadrados generalizados
Autocorrelación
172, 047144 205, 952856
135, 787643 181, 212357
149, 759068 108, 240932
87, 386056 −33, 386056
136, 618934 21, 381066
147, 430705 71, 569295
191, 341076 65, 658924
157, 908962 152, 091038
ˆ = β̂ =
97, 199779
ˆ= − ˆ =
88, 800221
144, 603318 124, 396682
68, 591148 −10, 591148
144, 436561 −170, 436561
103, 520334 −184, 520334
221, 446779 −122, 446779
178, 200942 −180, 200942
185, 519545 −176, 519545
96, 201731 −141, 201731
n
n
2
SCR = û û = ût2 = Y Y − δ̂ Xr Y = t − δ̂ Xr Y =
t=1 t=1
−48, 337249 2418
= 677396 − 5, 322507 54770 = 306238, 591823
4, 823483 40743
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
−1
17 364 270
= 21874, 185130 364 8502 5621 =
270 5621 4950
30469, 990257 −825, 362243 −724, 754789
= −825, 362243 32, 679848 7, 909976
−724, 754789 7, 909976 34, 968890
c Ediciones Pirámide
© Ediciones Pirámide
269
Autocorrelación
Econometría
β̂i
D̂(β̂1 ) = 30469, 990257 = 174, 556553
D̂(β̂2 ) = 32, 679848 = 5, 716629
D̂(β̂3 ) = 34, 968890 = 5, 913450
dL = 1, 02 dU = 1, 54
DW = 0, 316 < dL = 1, 02
1 − ϕ̂2 0 .... .... 0
1 −ϕ̂ .... .... 0
=
0 1 −ϕ̂ .... 0 =
.... .... .... .... ....
0 .... .... 1 −ϕ̂
1 − (0, 74029)2 0 .... .... 0
1 −0, 74029 .... .... 0
=
0 1 −0, 74029 .... 0
.... .... .... .... ....
0 .... .... 1 −0, 74029
∗ = ∗ =
0, 672288 17, 479480 11, 428890 254, 124741
0, 259710 1, 752460 2, 415070 37, 170380
0, 259710 4, 453910 7, 895650 23, 328070
0, 259710 −3, 805800 1, 934490 −136, 994820
0, 259710 4, 856810 12, 155360 118, 024340
0, 259710 15, 376230 −4, 766960 102, 034180
0, 259710 7, 492750 11, 376230 94, 876490
0, 259710 −2, 247540 8, 453910 119, 745470
∗ =
0, 259710 8, 415070 −10, 766960
∗ =
−43, 489900
0, 259710 13, 453910 2, 817970 131, 306060
0, 259710 −9, 468410 5, 077680 −141, 138010
0, 259710 10, 116520 10, 856810 −68, 936820
0, 259710 9, 934490 −9, 065510 −61, 752460
0, 259710 20, 233040 10, 298550 158, 963490
0, 259710 −9, 131020 15, 635940 −75, 288710
0, 259710 9, 934490 2, 752460 10, 480580
0, 259710 1, 233040 −7, 286380 −51, 662610
−1
β̂∗ = ( ∗ ∗) ∗ ∗ =
−1
1, 531159 33, 203272 23, 210085 227, 115187
= 33, 203272 1799, 610406 286, 745885 13086, 536224
23, 210085 286, 745885 1334, 814661 6751, 362713
−118, 300436
β̂∗ = 8, 615776
5, 264092
SCR =
∗ ∗ − βˆ∗
∗ ∗ =
−118, 300436 227, 115187
= 214288, 936102557 − 8, 615776 13086, 536224 = 277085, 502372
5, 264092 6751, 362713
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Econometría
β̂i∗
−1
V̂ (β̂∗ ) = σ̂ 2 ( ∗ ∗) =
−1
1, 531159 33, 203272 23, 210085
= 19791, 821598 33, 203272 1799, 610406 286, 745885 =
23, 210085 286, 745885 1334, 814661
29563, 912915 −479, 981149 −410, 954673
= −479, 981149 19, 180297 4, 225704
−410, 954673 4, 225704 21, 065405
β̂i∗
D̂(β̂1∗ ) = 29563, 912915 = 171, 941597
D̂(β̂2∗ ) = 19, 180297 = 4, 379532
D̂(β̂3∗ ) = 21, 065405 = 4, 589706
0, 014981
D̂(β̂i ) − D̂(β̂i∗ )
= 0, 233896
D̂(β̂i ) i=1,..,3 0, 223853
X
Y
X Y X Y
43455 27053 35879 14951
294590 316065 120984 104543
1183444 1113684 377755 292528
1412446 1145319 417258 251274
781078 453375 211937 250754
155335 111856
c Ediciones Pirámide
Econometría Ejercicios con datos reales.
X Y
35879 14951
43455 27053
120984 104543
155335 111856
211937 250754
294590 316065
377755 292528
417258 251274
781078 453375
1183444 1113684
1412446 1145319
X Y X Y
35879 14951 417258 251274
43455 27053 781078 453375
120984 104543 1183444 1113684
155335 111856 1412446 1145319
Y = β1 + β2 X + u
38687305870, 350100
FExp. = = 144, 576
267591170, 019501
α = 0, 05 g.l.num. = 2 g.l.den. = 2 FT ablas = 19, 000
X
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Y = β1 + β2 X + u
−1
11 5034161 4081402 −7931, 655120
β̂ = =
5034161 4496071614941 3683143963516 0, 828072
39664, 664010
D̂(β̂) =
0, 062040
−999, 213640 998427, 898362
80054, 924640 6408790959, 116080
141638, 815152 20061553957, 662400
ˆ= − β̂ =
ˆ =
2
...... ......
−86314, 011456 7450108573, 626500
83186, 559656 6920003707, 401250
û2 = eη1 +η2 X+
lnû2 = η1 + η2 X +
−1
11 5034161 222, 679964 18, 800106
η̂ = =
5034161 4496071614941 108824311, 874701 0, 000003
σ̂u2 = e18,800106+0,000003X
166494194, 681644 12903, 262947
353670412, 755616 18806, 127000
5089462180, 795500 71340, 466643
10116605301, 339900 100581, 336745
1522074433, 120660 39013, 772352
σ̂u =
2
232897965, 661255
σ̂u =
15260, 994911
162752792, 968097 12757, 460287
210092401, 699621 14494, 564557
453892525, 496567 21304, 753589
510999924, 286169 22605, 307436
276001539, 068218 16613, 294046
1 43455 27053
1 294590 316065
1 1183444 1113684
1 1412446 1145319
1 781078 453375
1 155335 111856
1 35879 14951
1 120984 104543
1 377755 292528
1 417258 251274
1 211937 250754
0, 000077 3, 367753 2, 096601
0, 000053 15, 664576 16, 806491
0, 000014 16, 588678 15, 610831
0, 000010 14, 042824 11, 386993
0, 000026 20, 020571 11, 620896
∗ =
0, 000066 10, 178563
∗ =
7, 329535
0, 000078 2, 812394 1, 171942
0, 000069 8, 346853 7, 212566
0, 000047 17, 731019 13, 730645
0, 000044 18, 458409 11, 115708
0, 000060 12, 757073 15, 093575
−1 7055, 272869 23506, 233849
β̂∗ = ( ∗ ∗) ∗ ∗ = D̂(β̂∗ ) =
0, 779627 0, 092060
D̂(β̂i ) − D̂(β̂i∗ ) 0, 4074
=
D̂(β̂i ) −0, 4839
i=1,..,2
β2
β2
6.1.2. Ejercicio
L=2
j
n
t=j+1 ût ût−j
rj = n 2
t=1 ût
L
rj2
Q = n(n + 2)
j=1
n−j
2
rj2
Q = 11(11 + 2) = 2, 359
j=1
11 − j
1−α
χ2
α = 0, 05 Q0 = 5, 991
Q = 2, 359 ≯ Q0 = 5, 991
6.1.3. Ejercicio
(Y )
(X1 ) (X2 )
Y
X1 X2 Y X1 X2 Y
749288 89, 88 59868, 812 1079034 94, 1 77140, 316
803472 92, 27 62531, 38 1080913 92, 1 81888, 87
861420 93, 83 66831, 268 1070413 92, 04 85366, 976
930566 95, 06 70629, 025 1039758 91, 66 82962, 481
1007974 97, 06 81855, 9 1025634 91, 17 83820, 919
1080807 99, 32 84423, 433 1037025 92, 42 87814, 529
1116207 100 82998, 877 1075639 96, 54 93216, 968
2
X̂1 = −637477, 008396 + 17369, 029654X2 RX 1
= 0, 217714
2
X̂2 = 81, 606410 + 0, 000013X1 RX 2
= 0, 217714
1 1
F IV (β̂2 ) = 2 = = 1, 28
1 − RX 1
1 − 0, 217714
F IV (β̂2 ) < 10
1 1
F IV (β̂3 ) = 2 = = 1, 28
1 − RX 2
1 − 0, 217714
F IV (β̂3 ) < 10
6.1.4. Ejercicio
X1 X2
Y = β 1 + β 2 X1 + β 3 X2 + u
−1
14 13958150 1317, 45 1101349, 754
β̂ = 13958150 14088983868018 1315674725, 96 1111487784002, 66 =
1317, 45 1315674725, 96 124101, 2799 103784633, 15589
21724, 257272
= 0, 081003
−253, 092087
59670, 916356 197, 895644
63455, 092821 −923, 712821
67754, 231009 −922, 963009
ˆ = β̂ =
ˆ= − =
ˆ
...... ......
82335, 622666 5478, 906334
84420, 733110 8796, 234890
1 n 2
σ̃ 2 = Σ û = 16211935, 539078
n t=1 t
0, 002416
0, 052631
û2 0, 052545
=
σ̃ 2
......
1, 851624
4, 772641
û2
= γ1 + γ 2 X 1 + γ 3 X 2 +
σ̃ 2
−1
14 13958150 1317, 45 14, 000001
γ̂ = 13958150 14088983868018 1315674725, 96 14912696, 782082 =
1317, 45 1315674725, 96 124101, 2799 1330, 366081
−5, 311916
= 0, 000005
0, 009763
R2 = 0, 143589
χ2Exp. = n × R2 = 14 × 0, 143589 = 2, 01
X1 X2
6.1.5. Ejercicio
1 749288 89, 88 59868, 812
1 803472 92, 27 62531, 38
1 861420 93, 83 66831, 268
1 930566 95, 06 70629, 025
1 1007974 97, 06 81855, 9
1 1080807 99, 32 84423, 433
1 1116207 100 82998, 877
=
=
1 1079034 94, 1 77140, 316
1 1080913 92, 1 81888, 87
1 1070413 92, 04 85366, 976
1 1039758 91, 66 82962, 481
1 1025634 91, 17 83820, 919
1 1037025 92, 42 87814, 529
1 1075639 96, 54 93216, 968
β̂ = (X X)−1 X Y =
−1
14 13958150 1317, 45 1101349, 754
= 13958150 14088983868018 1315674725, 96 1111487784002, 66
1317, 45 1315674725, 96 124101, 2799 103784633, 15589
21724, 257272
β̂ = 0, 081003
−253, 092087
n
n
2
SCR = û û = ût2 = Y Y − δ̂ Xr Y = t − δ̂ Xr Y =
t=1 t=1
21724, 257272 1101349, 754
= 87919293993, 6369 − 0, 081003 1111487784002, 66 =
−253, 092087 103784633, 15589
= 226967097, 520203
SCR 226967097, 520203
σ̂ 2 = = = 20633372, 501837
n−k 14 − 3
β̂i
−1
V̂ (β̂) = σ̂ 2 (X X) =
−1
14 13958150 1317, 45
= 20633372, 501837 13958150 14088983868018 1315674725, 96 =
1317, 45 1315674725, 96 124101, 2799
1530856763, 135200 97, 438899 −17284472, 332770
= 97, 438899 0, 000153 −2, 654871
−17284472, 332770 −2, 654871 211802, 875301
β̂i
D̂(β̂1 ) = 1530856763, 135200 = 39126, 164687
D̂(β̂2 ) = 0, 000153 = 0, 012363
D̂(β̂3 ) = 211802, 875301 = 460, 220464
1 − ϕ̂2 0 .... .... 0
1 −ϕ̂ .... .... 0
=
0 1 −ϕ̂ .... 0 =
.... .... .... .... ....
0 .... .... 1 −ϕ̂
1 − (0, 525209)2 0 .... .... 0
1 −0, 525209 .... .... 0
=
0 1 −0, 525209 .... 0
.... .... .... .... ....
0 .... .... 1 −0, 525209
∗ = ∗ =
0, 850973 637623, 834303 76, 485450 50946, 740723
0, 474791 409938, 833833 45, 064171 31087, 711956
0, 474791 439428, 882984 45, 368921 33989, 193983
0, 474791 478140, 043626 45, 779594 35528, 609012
0, 474791 519231, 908432 47, 133586 44760, 866006
0, 474791 551409, 492454 48, 343167 41431, 937745
0, 474791 548556, 909881 47, 836194 38658, 889055
∗ =
∗ =
0, 474791 492791, 494038 41, 579051 33548, 518381
0, 474791 514194, 106301 42, 677787 41374, 044199
0, 474791 502707, 237675 43, 668206 42358, 164588
0, 474791 477566, 937290 43, 319719 38126, 935320
0, 474791 479543, 234117 43, 029298 40248, 236906
0, 474791 498352, 292912 44, 536651 43790, 987124
0, 474791 530983, 631645 48, 000139 47095, 944264
−1
β̂∗ = ( ∗ ∗) ∗ ∗ =
−1
3, 654693 3601602, 332220 343, 474051
3601602, 332220 3619182652822, 080000 339830486, 518861 ×
343, 474051 339830486, 518861 32354, 620509
286447, 060140
× 287886152997, 404000
27032940, 657407
−7291, 928389
β̂∗ = 0, 078394
89, 536465
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Ejercicios con datos reales.
Econometría
SCR = ∗ ∗ − βˆ∗ ∗ ∗ =
−7291, 928389 286447, 060140
= 23035004901, 4352 − 0, 078394 287886152997, 404000 =
89, 536465 27032940, 657407
= 134826718, 523800
SCR 134826718, 523800
σ̂ 2 = = = 12256974, 411255
n−k 14 − 3
β̂i∗
−1
V̂ (β̂∗ ) = σ̂ 2 ( ∗ ∗) = 12256974, 411255×
−1
3, 654693 3601602, 332220 343, 474051
× 3601602, 332220 3619182652822, 080000 339830486, 518861 =
343, 474051 339830486, 518861 32354, 620509
1596887549, 852740 192, 591767 −18975280, 213257
= 192, 591767 0, 000269 −4, 871597
−18975280, 213257 −4, 871597 252986, 752129
β̂i∗
D̂(β̂1∗ ) = 1596887549, 852740 = 39961, 075434
D̂(β̂2∗ ) = 0, 000269 = 0, 016406
D̂(β̂3∗ ) = 252986, 752129 = 502, 977884
−0, 021339
D̂(β̂i ) − D̂(β̂i∗ )
= −0, 326998
D̂(β̂i ) i=1,..,3 −0, 092906
β2
β3
6.1.6. Ejercicio
(T D)
(P IB)
(IP C) TD
P IB IP C TD P IB IP C TD
16, 807 49, 537 16, 238 22, 709 80, 922 11, 5
17, 186 52, 477 16, 313 23, 066 83, 387 10, 95
17, 275 56, 227 18, 353 23, 484 86, 204 9, 15
16, 995 58, 796 22, 64 24, 08 89, 236 8, 45
17, 345 61, 57 24, 118 24, 504 91, 718 8, 225
18, 018 64, 447 22, 9 24, 375 95, 458 11, 25
18, 412 66, 767 22, 08 23, 308 95, 187 17, 875
19, 073 68, 02 20, 61 23, 215 96, 899 19, 85
19, 856 69, 219 18, 605 22, 897 99, 992 21, 4
20, 691 70, 767 15, 64 22, 283 102, 435 24, 8
21, 555 73, 232 13, 857 21, 991 103, 882 26, 1
22, 166 75, 86 10, 54 22, 356 103, 731 24, 443
22, 418 78, 535 11, 475 23, 091 103, 214 22, 075
1 1
F IV (β̂2 ) = 2 = = 3, 98
1 − RP IB 1 − 0, 749032
F IV (β̂2 ) < 10
P IB
1 1
F IV (β̂3 ) = 2 = = 3, 98
1 − RIP C 1 − 0, 749032
F IV (β̂3 ) < 10
IP C
2
T ol(β̂2 ) = 1/F IV (β̂2 ) = 1 − RP IB = 0, 250968
T OL(βˆ1 ) > 0, 1
P IB
2
T ol(β̂3 ) = 1/F IV (β̂3 ) = 1 − RIP C = 0, 250968
T OL(βˆ2 ) > 0, 1
IP C
β̂i
6.1.7. Ejercicio
T D = β1 + β2 P IB + β3 IP C + u
−1
26 549, 156 2077, 719 449, 437
β̂ = 549, 156 11767, 525658 44855, 598357 9326, 298537
2077, 719 44855, 598357 173506, 085333 36015, 72868
61, 733151 2, 677738
β̂ = −4, 241470 D̂(β̂) = 0, 216506
0, 564852 0, 032527
−2, 189838 4, 795390
−2, 167986 4, 700163
−1, 868690 3, 492002
ˆ= − β̂ =
ˆ =
2
...... ......
−1, 060510 1, 124681
−0, 019002 0, 000361
1 n 2
σ̃ 2 = Σ û = 1, 754437
n t=1 t
2, 733293
2, 679015
2
û 1, 990384
=
σ̃ 2 ......
0, 641051
0, 000206
û2
= γ1 + γ2 P IB + γ3 IP C +
σ̃ 2
−1
26, 000000 549, 156000 2077, 719000 25, 999998
γ̂ = 549, 156000 11767, 525658 44855, 598357 529, 413113
2077, 719000 44855, 598357 173506, 085333 1896, 112680 =
1, 961452
= 0, 091420
−0, 036194
R2 = 0, 221301
û2 = eη1 +η2 P IB+η3 IP C+
lnû2 = η1 + η2 P IB + η3 IP C +
−1
26, 000000 549, 156000 2077, 719000 −19, 159775
η̂ = 549, 156000 11767, 525658 44855, 598357 −449, 206413 =
2077, 719000 44855, 598357 173506, 085333 −1858, 014906
3, 273021
= −0, 047810
−0, 037543
c Ediciones Pirámide
Comprobando si los EMCO son los más eficientes
Ejercicios con datos reales
1, 839899 1, 356429
1, 618038 1, 272021
1, 399581 1, 183039
1, 288027 1, 134913
1, 141375 1, 068352
0, 992078 0, 996031
0, 892356 0, 944646
0, 824866 0, 908221
0, 759585 0, 871542
0, 688651 0, 829850
0, 602377 0, 776129
0, 530069 0, 728058
0, 473680 0, 688244
σ̂u =
2
σ̂u =
0, 427094 0, 653524
0, 382754 0, 618671
0, 337528 0, 580972
0, 292752 0, 541066
0, 261353 0, 511227
0, 228521 0, 478039
0, 242940 0, 492889
0, 228832 0, 478364
0, 206866 0, 454825
0, 194359 0, 440862
0, 186670 0, 432053
0, 184484 0, 429516
0, 181605 0, 426151
1 16, 807 49, 537 16, 238
1 17, 186 52, 477 16, 313
1 17, 275 56, 227 18, 353
1 16, 995 58, 796 22, 64
1 17, 345 61, 57 24, 118
1 18, 018 64, 447 22, 9
1 18, 412 66, 767 22, 08
1 19, 073 68, 02 20, 61
1 19, 856 69, 219 18, 605
1 20, 691 70, 767 15, 64
1 21, 555 73, 232 13, 857
1 22, 166 75, 86 10, 54
1 22, 418 78, 535 11, 475
1 22, 709 80, 922 11, 5
1 23, 066 83, 387 10, 95
1 23, 484 86, 204 9, 15
1 24, 08 89, 236 8, 45
1 24, 504 91, 718 8, 225
1 24, 375 95, 458 11, 25
1 23, 308 95, 187 17, 875
1 23, 215 96, 899 19, 85
1 22, 897 99, 992 21, 4
1 22, 283 102, 435 24, 8
1 21, 991 103, 882 26, 1
1 22, 356 103, 731 24, 443
1 23, 091 103, 214 22, 075
c Ediciones Pirámide
Comprobando si los EMCO son los más eficientes
0, 737230 12, 390623 36, 520157 11, 971139
0, 786151 13, 510783 41, 254822 12, 824474
0, 845281 14, 602224 47, 527596 15, 513436
0, 881125 14, 974716 51, 806614 19, 948666
0, 936021 16, 235286 57, 630818 22, 574957
1, 003985 18, 089798 64, 703809 22, 991252
1, 058598 19, 490899 70, 679387 23, 373835
1, 101054 21, 000395 74, 893666 22, 692715
1, 147392 22, 782608 79, 421302 21, 347221
1, 205037 24, 933422 85, 276857 18, 846780
1, 288446 27, 772445 94, 355449 17, 853991
1, 373517 30, 445377 104, 194995 14, 476869
1, 452973 32, 572750 114, 109240 16, 672866
∗ =
∗ =
1, 530166 34, 748533 123, 824068 17, 596905
1, 616368 37, 283144 134, 784077 17, 699229
1, 721253 40, 421914 148, 378924 15, 749468
1, 848203 44, 504737 164, 926275 15, 617318
1, 956078 47, 931741 179, 407582 16, 088743
2, 091880 50, 989564 199, 686636 23, 533645
2, 028854 47, 288538 193, 120561 36, 265772
2, 090458 48, 529990 202, 563320 41, 495597
2, 198648 50, 342439 219, 847194 47, 051064
2, 268283 50, 544161 232, 351620 56, 253431
2, 314531 50, 898848 240, 438094 60, 409255
2, 328202 52, 049283 241, 506719 56, 908241
2, 346586 54, 185019 242, 200535 51, 800887
64, 500500 3, 028024
β̂∗ = ( ∗ ∗)
−1
∗ ∗ = −4, 330949 D̂(β̂∗ ) = 0, 181428
0, 555270 0, 023516
−0, 1308
D̂(β̂i ) − D̂(β̂i∗ )
= 0, 1620
D̂(β̂i ) i=1,..,3 0, 2770
6.1.8. Ejercicio
dL = 1, 22 dU = 1, 55
DW = 0, 527 < dL = 1, 22
j
n
t=j+1 ût ût−j
rj = n 2
t=1 ût
L
rj2
Q = n(n + 2)
j=1
n−j
4
rj2
Q = 26(26 + 2) = 17, 469
j=1
26 − j
1−α
χ2 α = 0, 05
Q0 = 9, 488
Q = 17, 469 > Q0 = 9, 488
1 − ϕ̂2 0 .... .... 0
1 −ϕ̂ .... .... 0
=
0 1 −ϕ̂ .... 0 =
.... .... .... .... ....
0 .... .... 1 −ϕ̂
1 − (0, 683885)2 0 .... .... 0
1 −0, 683885 .... .... 0
=
0 1 −0, 683885 .... 0
.... .... .... .... ....
0 .... .... 1 −0, 683885
∗ = = ∗
0, 729590 12, 262216 36, 141691 11, 847080
0, 316115 5, 691945 18, 599389 5, 208075
0, 316115 5, 521752 20, 338767 7, 196784
=
=
∗
...... ...... ......
∗
......
0, 316115 7, 316685 32, 687658 6, 593602
0, 316115 7, 802067 32, 273925 5, 358799
−1
β̂∗ = ( ∗ ∗) ∗ ∗ =
−1
3, 030519 63, 501843 240, 646419 53, 194398
= 63, 501843 1357, 183346 5187, 122416 1084, 497895
240, 646419 5187, 122416 20271, 767574 4278, 080081
61, 482249
β̂∗ = −4, 298475
0, 581070
SCR = ∗ ∗ − βˆ∗ ∗ ∗ =
61, 482249 53, 194482
= 1116, 52725190768 − −4, 298475 1084, 499640 = 21, 838180
0, 581070 4278, 086796
β̂i∗
−1
V̂ (β̂∗ ) = σ̂ 2 ( ∗ ∗) =
−1
3, 030523 63, 501944 240, 646804
= 0, 949486 63, 501944 1357, 185520 5187, 130718 =
240, 646804 5187, 130718 20271, 799728
19, 050895 −1, 226520 0, 087687
= −1, 226520 0, 110713 −0, 013769
0, 087687 −0, 013769 0, 002529
β̂i∗
D̂(β̂1∗ ) = 19, 050895 = 4, 364733
D̂(β̂2∗ ) = 0, 110713 = 0, 332735
D̂(β̂3∗ ) = 0, 002529 = 0, 050290
−0, 630020
D̂(β̂i ) − D̂(β̂i∗ )
= −0, 536856
D̂(β̂i ) i=1,..,3 −0, 546276
c Ediciones Pirámide
Ejercicios con datos reales
Estimación y análisis estructural.
X
Y
X Y X Y
43455 27053 35879 14951
294590 316065 120984 104543
1183444 1113684 377755 292528
1412446 1145319 417258 251274
781078 453375 211937 250754
155335 111856
α
11 5034161 4081402
= =
5034161 4496071614941 3683143963516
β̂ = (X X)−1 X Y =
1 4496071614941 −5034161 4081402
=
24114010790430 −5034161 11 3683143963516
−7931, 65512
β̂ =
0, 828072
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
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Econometría Ejercicios con datos reales.
−7931, 65512 4081402
= 3093478861638 − = 75942746551, 46
0, 828072 3683143963516
SCR 75942746551, 46
σ̂ 2 = = = 8438082950, 16222
n−k 11 − 2
−1
V̂ (β̂) = σ̂ 2 (X X) =
8438082950, 16222 4496071614941 −5034161
= =
24114010790430 −5034161 11
1573285571, 0506 −1761, 576225
=
−1761, 576225 0, 003849
D̂(β̂1 ) = 1573285571, 0506 = 39664, 66401
D̂(β̂2 ) = 0, 003849 = 0, 06204
4081402
Ȳ = = 371036, 545455
11
11
11
SCT = (Yt − Ȳ )2 = Yt2 − nȲ 2 =
t=1 t=1
11
11
SCE = (Ŷt − Ȳ )2 = Ŷt2 − nȲ 2 = β̂ − nȲ 2 =
t=1 t=1
−7931, 65512 4081402
= − 11 × 371036, 5454552 =
0, 828072 3683143963516
= 3017536115086, 54 − 11 × 371036, 5454552 = 1503186816391, 56
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Estimación y análisis estructural.
11
SCR = Yt2 − β̂ = SCT − SCE =
t=1
= 1579129562943, 02 − 1503186816391, 56 = 75942746551, 46
SCE SCR
R2 = =1− =
SCT SCT
1503186816391, 56 75942746551, 46
= =1− = 0, 951908
1579129562943, 02 1579129562943, 02
α = 0, 05 t0 = 2, 262
H0 : β1 = 0
H1 : β1 = 0
β̂ −7931, 65512
1
|tExp. | = =
= 0, 2 < 2, 262
D̂(β̂1 ) 39664, 66401
H0 p − valor = 8, 46E − 01
H0 : β2 = 0
H1 : β2 = 0
β̂ 0, 828072
2
|tExp. | = =
= 13, 347 > 2, 262
D̂(β̂2 ) 0, 06204
Se rechaza H0 p − valor = 3, 10E − 07
X
β1 = 0
Y = β2 X
β1 = 0
Ŷ = 0, 8192X.
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Econometría Ejercicios con datos reales.
R2 = 0, 9517
6.2.2. Ejercicio
21724, 257272
β̂ = (X X)−1 X Y = 0, 081003
−253, 092087
β̂3
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
21724, 257272 1101349, 754000
= 87919293993, 636900 − 0, 081003 1111487784002, 660000 =
−253, 092087 103784633, 155890
= 226967097, 416809
−1
V̂ (δ̂) = σ̂ 2 (X X) =
1530856762, 438190 97, 438899 −17284472, 324901
= 97, 438899 0, 000153 −2, 654871
−17284472, 324901 −2, 654871 211802, 875205
D̂(β̂1 ) = 1530856762, 438190 = 39126, 164678
D̂(β̂2 ) = 0, 000153 = 0, 012363
D̂(β̂3 ) = 211802, 875205 = 460, 220464
1101349, 754
Ȳ = = 78667, 839571
14
14
14
SCT = (Yt − Ȳ )2 = Yt2 − nȲ 2 =
t=1 t=1
14
14
SCE = (Ŷt − Ȳ )2 = Ŷt2 − nȲ 2 = β̂ − nȲ 2 =
t=1 t=1
21724, 257272 1101349, 754000
= 0, 081003 1111487784002, 660000 − 14 × 78667, 8395712 =
−253, 092087 103784633, 155890
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Ejercicios con datos reales.
Econometría
14
SCR = Yt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
1051521136, 515700 226967097, 416809
= =1− = 0, 822472
1278488233, 932510 1278488233, 932510
α = 0, 05 t0 = 2, 201
H0 : β1 = 0
H1 : β1 = 0
β̂ 21724, 257272
1
|tExp. | = = = 0, 555 < 2, 201
D̂(β̂1 ) 39126, 164678
H0 p − valor = 5, 90E − 01
H0 : β2 = 0
H1 : β2 = 0
β̂ 0, 081003
2
|tExp. | = = = 6, 552 > 2, 201
D̂(β̂2 ) 0, 012363
H0 : β3 = 0
H1 : β3 = 0
β̂ −253, 092087
3
|tExp. | = = = 0, 55 < 2, 201
D̂(β̂3 ) 460, 220464
H0 p − valor = 5, 93E − 01
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6.2.3. Ejercicio
Y
X
Y X
βi
α
8 125327 4512934
= =
125327 1991241145 72070811047
β̂ = (X X)−1 X Y =
1 1991241145 −125327 4512934
=
223072231 −125327 8 72070811047
−206563, 902694
β̂ =
49, 194868
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−206563, 902694 4512934
= 2614162464100 − =
49, 194868 72070811047
= 857687630, 339844
−1
V̂ (β̂) = σ̂ 2 (X X) =
142947938, 389974 1991241145 −125327
= =
223072231 −125327 8
1276016361, 33293 −80311, 369077
=
−80311, 369077 5, 126517
D̂(β̂1 ) = 1276016361, 33293 = 35721, 371213
D̂(β̂2 ) = 5, 126517 = 2, 264181
4512934
Ȳ = = 564116, 75
8
8
8
SCT = (Yt − Ȳ )2 = Yt2 − nȲ 2 =
t=1 t=1
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Estimación y análisis estructural. Ejercicios con datos reales
8
8
SCE = (Ŷt − Ȳ )2 = Ŷt2 − nȲ 2 = β̂ − nȲ 2 =
t=1 t=1
−206563, 902694 4512934
= − 8 × 564116, 752 =
49, 194868 72070811047
= 2613304776469, 66 − 8 × 564116, 752 = 67483115425, 1602
8
SCR = Yt2 − β̂ = SCT − SCE =
t=1
= 68340803055, 5 − 67483115425, 1602 = 857687630, 339844
SCE SCR
R2 = =1− =
SCT SCT
67483115425, 1602 857687630, 339844
= =1− = 0, 98745
68340803055, 5 68340803055, 5
α = 0, 05 t0 = 2, 447
H0 : β1 = 0
H1 : β1 = 0
β̂
−206563, 902694
1
|tExp. | = = = 5, 783 > 2, 447
D̂(β̂1 ) 35721, 371213
Se rechaza H0 p − valor = 1, 17E − 03
H0 : β2 = 0
H1 : β2 = 0
β̂
49, 194868
2
|tExp. | = = = 21, 727 > 2, 447
D̂(β̂2 ) 2, 264181
Se rechaza H0 p − valor = 6, 21E − 07
6.2.4. Ejercicio
βi
TD
P IB
IP C
P IB IP C TD P IB IP C TD
16, 807 49, 537 16, 238 22, 709 80, 922 11, 5
17, 186 52, 477 16, 313 23, 066 83, 387 10, 95
17, 275 56, 227 18, 353 23, 484 86, 204 9, 15
16, 995 58, 796 22, 64 24, 08 89, 236 8, 45
17, 345 61, 57 24, 118 24, 504 91, 718 8, 225
18, 018 64, 447 22, 9 24, 375 95, 458 11, 25
18, 412 66, 767 22, 08 23, 308 95, 187 17, 875
19, 073 68, 02 20, 61 23, 215 96, 899 19, 85
19, 856 69, 219 18, 605 22, 897 99, 992 21, 4
20, 691 70, 767 15, 64 22, 283 102, 435 24, 8
21, 555 73, 232 13, 857 21, 991 103, 882 26, 1
22, 166 75, 86 10, 54 22, 356 103, 731 24, 443
22, 418 78, 535 11, 475 23, 091 103, 214 22, 075
α
β̂ = (X X)−1 X Y =
−1
26, 000000 549, 156000 2077, 719000 449, 437000
= 549, 156000 11767, 525658 44855, 598357 9326, 298537
2077, 719000 44855, 598357 173506, 085333 36015, 728680
61, 733151
β̂ = −4, 241470
0, 564852
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Estimación y análisis estructural.
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
61, 733151 449, 437000
= 8577, 119169 − −4, 241470 9326, 298537 = 45, 616062
0, 564852 36015, 728680
SCR 45, 616062
σ̂ 2 = = = 1, 983307
n−k 26 − 3
−1
V̂ (δ̂) = σ̂ 2 (X X) =
−1
26, 000000 549, 156000 2077, 719000
= 1, 983307 549, 156000 11767, 525658 44855, 598357 =
2077, 719000 44855, 598357 173506, 085333
7, 170279 −0, 503053 0, 044188
= −0, 503053 0, 046875 −0, 006094
0, 044188 −0, 006094 0, 001058
D̂(β̂1 ) = 7, 170279 = 2, 677738
D̂(β̂2 ) = 0, 046875 = 0, 216506
D̂(β̂3 ) = 0, 001058 = 0, 032527
449, 437
T¯D = = 17, 286038
26
26
26
2
SCT = (T Dt − T¯D)2 = T Dt2 − nT¯D =
t=1 t=1
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Ejercicios con datos reales.
Econometría
26
26
2 2 2
SCE = (TˆDt − T¯D)2 = TˆDt − nT¯D = β̂
− nT¯D =
t=1 t=1
61, 733151 449, 437000
= −4, 241470 9326, 298537 − 26 × 17, 2860382 =
0, 564852 36015, 728680
= 8531, 503107 − 26 × 17, 2860382 = 762, 518254
26
SCR = T Dt2 − β̂ = SCT − SCE =
t=1
SCE SCR
R2 = =1− =
SCT SCT
762, 518254 45, 616062
= =1− = 0, 943554
808, 134316 808, 134316
P IB IP C
α = 0, 05 t0 = 2, 069
H0 : β1 = 0
H1 : β1 = 0
β̂
61, 733151
1
|tExp. | = = = 23, 054 > 2, 069
D̂(β̂1 ) 2, 677738
H0 : β2 = 0
H1 : β2 = 0
β̂ −4, 241470
2
|tExp. | = = = 19, 591 > 2, 069
D̂(β̂2 ) 0, 216506
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H0 : β3 = 0
H1 : β3 = 0
β̂ 0, 564852
3
|tExp. | = =
= 17, 366 > 2, 069
D̂(β̂3 ) 0, 032527
Se rechaza H0 p − valor = 1, 03E − 14
IP C
IP C P IB
6.2.5. Ejercicio
Y
P
T
Y = β1 + β2 P + β3 T + u
Y = δ1 + δ2 P + u
3147 2387 5632116, 20000012
r r = r =
2387 2387 4672243, 51000008
= Yt2 = 13534907143, 262
t=1
δ̂
δ2
Y = δ1 + δ2 P + u
R2
P +T =1
T P
Y = β1 + β2 P + β3 T + u
Y = (β1 + β3 ) + (β2 − β3 )P + u
Y = δ1 + δ2 P + u
δ 1 = β1 + β 3 δ 2 = β2 − β 3 .
SCR = Y Y − δ̂ Xr Y =
1262, 990382 5632116, 20000012
= 13534907143, 262 − =
694, 380171 4672243, 51000008
= 3177285304, 92797
SCR 3177285304, 92797
σ̂ 2 = = = 1010265, 597751
n−k 3147 − 2
−1 1010265, 597751 2387 −2387
V̂ (δ̂) = σ̂ 2
(Xr Xr ) = =
1814120 −2387 3147
1329, 296839 −1329, 296839
=
−1329, 296839 1752, 533369
D̂(δ̂1 ) = 1329, 296839 = 36, 459523
D̂(δ̂2 ) = 1752, 533369 = 41, 86327
5632116, 20000012
Ȳ = = 1789, 677852
3147
3147
3147
SCT = (Yt − Ȳ )2 = Yt2 − nȲ 2 =
t=1 t=1
SCE = β̂ − nȲ 2 =
r
1262, 990382 5632116, 20000012
= − 3147 × 1789, 6778522 =
694, 380171 4672243, 51000008
SCE SCR
R2 ==1− =
SCT SCT
277948214, 86692 3177285304, 92797
= =1− = 0, 080443
3455233519, 79489 3455233519, 79489
δ2
H0 : δ 2 = 0
H1 : δ2 = 0
β̂
694, 380171
2 = 16, 587 > 1, 961
|tExp. | = =
D̂(β̂2 ) 41, 86327
Se rechaza H0 p − valor = 2, 67E − 59
δˆ2 = β
2 − β3 =
694, 38
H0 : β2 = 0
SCE 277948214,86692
k−1 2−1
FExp = SCR
= 3177285304,92797 = 275, 124 > 3, 844
n−k 3147−2
Se rechaza H0 ; p − valor = 2, 67E − 59
R2
SCE
k−1 SCE n−k R2 n−k
FExp = SCR
= × = 2
×
n−k
SCR k−1 1−R n−1
SCE = SCT × R2
SCR = SCT × (1 − R2 )
R2 n−k
FExp = 2
× > 3, 844
1−R k−1
k−1
3, 844 n−k
R2 > k−1
1 + 3, 844 n−k
H0 : R 2 = 0
2
H1 : R > 0
2−1
3, 844 3147−2
R2 = 0, 080443 > 2−1 = 0, 001221
1 + 3, 844 3147−2
6.2.6. Ejercicio
Y H
P S
T A
3044 1603 1064 729 57685
1603 1603 649 376 33612
r r =
1064 649 1064 0 23343
729 376 0 729 13186
57685 33612 23343 13186 1501157
5458966, 64000012
3210276, 54000003
r =
1443157, 19
1161601, 37
113397566, 31
= Yt2 = 13127155572, 216
t=1
Y = β 1 + β 2 H + β3 M + β 4 P + β 5 S + β 6 T + β 7 A + u
H +M =1
P +S+T =1
M T
δ1 = β1 + β 3 + β 6
δ2 = β2 − β 3
δ3 = β4 − β 6
δ4 = β5 − β 6
δ5 = β7
Y = δ 1 + δ 2 H + δ3 P + δ 4 S + δ 5 A + u
1593, 055325
445, 330039
δ̂ = (Xr Xr )−1 Xr Y =
−1134, 582322
−745, 641441
28, 544862
Ŷ = 1593, 055325 + 445, 330039H − 1134, 582322P − 745, 641441S + 28, 544862A
SCR = Y Y − δ̂ Xr Y =
1593, 055325 5458966, 64000012
445, 330039
3210276, 54000003
= 13127155572, 216 −
−1134, 582322 1443157, 19 =
−745, 641441 1161601, 37
28, 544862 113397566, 31
= 2267687994, 18817
−1
V̂ (δ̂) = σ̂ 2 (Xr Xr ) =
1259, 702616 −350, 953777 −395, 595566 −542, 757603 −29, 629478
−350, 953777 1027, 509531 −115, 200345 −46, 611274 −7, 319783
=
−395, 595566 −115, 200345 1358, 730399 612, 943151 −8, 731311
−542, 757603 −46, 611274 612, 943151 1624, 811191 −1, 903213
−29, 629478 −7, 319783 −8, 731311 −1, 903213 1, 952038
D̂(δ̂1 ) = 1259, 702616 = 35, 49229
D̂(δ̂2 ) = 1027, 509531 = 32, 05479
D̂(δ̂3 ) = 1358, 730399 = 36, 86096
D̂(δ̂4 ) = 1624, 811191 = 40, 308947
D̂(δ̂5 ) = 1, 952038 = 1, 397154
5458966, 64000012
Ȳ = = 1793, 353035
3044
3044
3044
SCT = (Yt − Ȳ )2 = Yt2 − nȲ 2 =
t=1 t=1
SCE = δ̂ r − nȲ 2 =
1593, 055325 5458966, 64000012
445, 330039 3210276, 54000003
=
−1134, 582322
1443157, 19 2
− 3044 × 1793, 353035 =
−745, 641441 1161601, 37
28, 544862 113397566, 31
Econometría
SCE SCR
R2 = =1− =
SCT SCT
1069613188, 83835 2267687994, 18817
= =1− = 0, 320502
3337301183, 02652 3337301183, 02652
α = 0, 05 t0 = 1, 961
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂
1 1593, 055325
= 44, 885 > 1, 961
|tExp. | = =
D̂(δ̂1 ) 35, 49229
Se rechaza H0 p − valor = 0, 00E + 00
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂
2 445, 330039
|tExp. | = = = 13, 893 > 1, 961
D̂(δ̂2 ) 32, 05479
Se rechaza H0 p − valor = 1, 37E − 42
δ 2 = β2 − β 3
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ −1134, 582322
3 = 30, 78 > 1, 961
|tExp. | = =
D̂(δ̂3 ) 36, 86096
Se rechaza H0 p − valor = 2, 49E − 181
δ 3 = β 4 − β6
H0 : δ 4 = 0
H1 : δ4 = 0
δ̂ −745, 641441
4 = 18, 498 > 1, 961
|tExp. | = =
D̂(δ̂4 ) 40, 308947
H0 : δ 5 = 0
H1 : δ5 = 0
δ̂ 28, 544862
5 = 20, 431 > 1, 961
|tExp. | = =
D̂(δ̂5 ) 1, 397154
6.2.7. Ejercicio
Y
F1 F2 F3
Y = β 1 + β 2 F1 + β 3 F2 + β 4 F3 + u
F3
Y = δ1 + δ2 F1 + δ3 F2 + u
δ 1 = β 1 + β4 δ i = β i − β4 i = 2 y 3
37026 17719 7742 629560855, 422717
r r = 17719 17719 0 r = 338576148, 83918
7742 0 7742 122400894, 63284
= Yt2 = 15738785265365, 5
t=1
δ̂
δi
Y = δ1 + δ2 F1 + δ3 F2 + u
14577, 069775
δ̂ = 4531, 014701
1232, 914032
n
n
2
SCR = û û = ût2 = Y Y − δ̂ Xr Y = t − β̂ r =
t=1 t=1
14577, 069775 629560855, 422717
= 15738785265365, 5 − 4531, 014701 338576148, 83918 =
1232, 914032 122400894, 63284
= 4876629459939, 41
SCR 4876629459939, 41
σ̂ 2 = = = 131718916, 887865
n−k 37026 − 3
−1
V̂ (δ̂) = σ̂ 2 (Xr Xr ) =
137180498 −137180498 −137180498
131718916, 887865
= −137180498 226716728 137180498 =
1586492459370
−137180498 137180498 342100733
11389, 443743 −11389, 443743 −11389, 443743
= −11389, 443743 18823, 21071 11389, 443743
−11389, 443743 11389, 443743 28402, 995395
D̂(δ̂1 ) = 11389, 443743 = 106, 721337
D̂(δ̂2 ) = 18823, 21071 = 137, 197707
D̂(δ̂3 ) = 28402, 995395 = 168, 531882
629560855, 422717
Ȳ = = 17003, 210053
37026
37026
37026
SCT = (Yt − Ȳ )2 = Yt2 − nȲ 2 =
t=1 t=1
Econometría
37026
37026
SCE = (Ŷt − Ȳ )2 = Ŷt2 − nȲ 2 = β̂ r − nȲ 2 =
t=1 t=1
14577, 069775 629560855, 422717
= 4531, 014701 338576148, 83918 − 37026 × 17003, 2100532 =
1232, 914032 122400894, 63284
= 10862155805426, 1 − 37026 × 17003, 2100532 = 157600339533, 04
37026
SCR = Yt2 − β̂ r = SCT − SCE =
t=1
SCE SCR
R2 ==1− =
SCT SCT
157600339533, 04 4876629459939, 41
= =1− = 0, 031306
5034229799472, 45 5034229799472, 45
α = 0, 05 t0 = 1, 960
H0 : δ 1 = 0
H1 : δ1 = 0
δ̂
1 14577, 069775
|tExp. | = = = 136, 59 > 1, 960
D̂(δ̂1 ) 106, 721337
H0 : δ 2 = 0
H1 : δ2 = 0
δ̂ 4531, 014701
2 = 33, 025 > 1, 960
|tExp. | = =
D̂(δ̂2 ) 137, 197707
H0 : δ 3 = 0
H1 : δ3 = 0
δ̂ 1232, 914032
3 = 7, 316 > 1, 960
|tExp. | = =
D̂(δ̂3 ) 168, 531882
H0 : δ2 = δ3 = 0
SCE 157600339533,04
k−1 3−1
FExp = SCR
= 4876629459939,41 = 598, 245 > 2, 996
n−k 37026−3
Se rechaza H0
H0 : R 2 = 0
11 5034161 4081402
= =
5034161 4496071614941 3683143963516
β̂ = (X X)−1 X Y =
1 4496071614941 −5034161 4081402
=
24114010790430 −5034161 11 3683143963516
−7931, 65512
β̂ =
0, 828072
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
−7931, 65512 4081402
= 3093478861638 − = 75942746551, 46
0, 828072 3683143963516
SCR 75942746551, 46
σ̂ 2 = = = 8438082950, 16222
n−k 11 − 2
Xf = 150000
α = 0, 05 g.l. = n − k = 11 − 2 t0 = 2, 262
c ( )−1 c = 1 × 150000
1 4496071614941 −5034161 1
× × =
24114010790430 −5034161 11 150000
3233323314941
=
24114010790430
Ŷf − t0 σ̂ 1 + c ( )−1 c < Yf < Ŷf + t0 σ̂ 1 + c ( )−1 c
3233323314941
116279, 14488 − 2, 262 × 91859, 038478 × < Yf <
1+
24114010790430
3233323314941
< 116279, 14488 + 2, 262 × 91859, 038478 × 1 +
24114010790430
P (Y < 0)
Y N (µ, σ 2 ) σ 1/5
µ
Y −µ
P (Y < µ − 5σ) = P < −5 = P (Z < −5) 0
σ
Z N (0, 1)
σ2
β1
β2 Y = β1 + β2 X + u
X
6.3.2. Ejercicio
Y X
Yf Xf = 1080000
X Y X Y
749288 59869 1079034 77140
803472 62531 1080913 81889
861420 66831 1070413 85367
930566 70629 1039758 82962
1007974 81856 1025634 83821
1080807 84423 1037025 87815
1116207 82999 1075639 93217
14 13958150 1101350
= =
13958150 14088983868018 1111487784003
β̂ = (X X)−1 X Y =
1 14088983868018 −13958150 1101350
=
2415822729752 −13958150 14 1111487784003
1071, 755278
β̂ =
0, 077829
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
1071, 755278 1101350
= 87919293994 − = 232933577, 405197
0, 077829 1111487784003
SCR 232933577, 405197
σ̂ 2 = = = 19411131, 450433
n−k 14 − 2
Xf = 1080000
Ŷf = βˆ1 + β̂2 Xf
Ŷf = 1071, 755278 + 0, 077829 × 1080000 = 85127, 075278
α = 0, 05 g.l. = n − k = 14 − 2 t0 = 2, 179
c ( )−1 c = 1 1080000 ×
1 14088983868018 −13958150 1
=× × =
2415822729752 −13958150 14 1080000
268979868018
=
2415822729752
Ŷf − t0 σ̂ 1+ c ( )−1 c < Yf < Ŷf + t0 σ̂ 1 + c ( )−1 c
268979868018
85127, 075278 − 2, 179 × 4405, 806561 × < Yf <1+
2415822729752
268979868018
< 85127, 075278 + 2, 179 × 4405, 806561 × 1 +
2415822729752
6.3.3. Ejercicio
P IBf = 23 IP Cf = 100 T Df = 25
β̂ = (X X)−1 X Y =
−1
14, 000000 270, 506000 926, 376000 244, 869000
= 270, 506000 5289, 961120 18157, 730995 4629, 398004
926, 376000 18157, 730995 62488, 048424 15901, 151522
59, 434362
β̂ = −5, 081419
0, 849917
n
n
2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
59, 434362 244, 869000
= 4555, 364545 − −5, 081419 4629, 398004 = 10, 991470
0, 849917 15901, 151522
P IBf = 23 IP Cf = 100
TD
α = 0, 05 g.l. = n − k = 14 − 3 t0 = 2, 201
c ( )−1 c =
1
= 1 23 100 × ×
119325, 792260
856151, 740854 −82505, 818758 11282, 158032 1
× −82505, 818758 16660, 184560 −3617, 967674 × 23 =
11282, 158032 −3617, 967674 885, 959644 100
347498, 456276058
=
119325, 792260
TˆDf − t0 σ̂ 1 + c (
)−1 c < T Df < TˆDf + t0 σ̂ 1 + c (
)−1 c
347498, 456276
27, 553378 − 2, 201 × 0, 999612 × < T Df <
1+
119325, 792260
347498, 456276
< 27, 553378 + 2, 201 × 0, 999612 × 1 +
119325, 792260
T Df = 25
p − valor = 2, 23E − 01