ECONOMETRIA Ejercicios PDF

Econometría
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
FEDERICO PALACIOS GONZÁLEZ

PROFESOR DE MÉTODOS CUANTITATIVOS PARA LA ECONOMÍA Y LA EMPRESA
Econometría
Ejercicios resueltos
EDICIONES PIRÁMIDE
COLECCIÓN «ECONOMÍA Y EMPRESA»
Director:
Miguel Santesmases Mestre
Catedrático de la Universidad de Alcalá
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© Rosa María García Fernández y José Manuel Herrerías Velasco, 2017

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ISBN digital: 978-84-368-3827-5
Índice
Introducción ........................................................................................................ 11
1. El modelo lineal I .......................................................................................... 13
1.1. Sobre los errores de redondeo .................................................................. 13

1.1.1. Ejercicio ....................................................................................... 14
1.2. Sobre la notación usada ........................................................................... 15
1.3. Estimación de los parámetros de posición ................................................ 16
1.3.1. Ejercicio ....................................................................................... 16
1.3.2. Ejercicio ....................................................................................... 17
1.3.3. Ejercicio ....................................................................................... 18
1.3.4. Ejercicio ....................................................................................... 19
1.3.5. Ejercicio ....................................................................................... 19
1.3.6. Ejercicio ....................................................................................... 20
1.4. Estimación de los parámetros de dispersión ............................................. 21
1.4.1. Ejercicio ....................................................................................... 21
1.4.2. Ejercicio ....................................................................................... 22
1.5. Bondad de ajuste. Coeficiente de determinación ...................................... 23
1.5.1. Ejercicio ....................................................................................... 23
1.5.2. Ejercicio ....................................................................................... 25
1.5.3. Ejercicio ....................................................................................... 26
1.6. Coeficiente de determinación corregido y criterios de información de
Akaike y Schwarz ..................................................................................... 28
1.6.1. Ejercicio ....................................................................................... 28
1.6.2. Ejercicio ....................................................................................... 34
1.6.3. Ejercicio ....................................................................................... 40
1.7. Algunos ejercicios con variables económicas y empresariales ................... 47
1.7.1. Ejercicio ....................................................................................... 47
1.7.2. Ejercicio ....................................................................................... 49
1.7.3. Ejercicio ....................................................................................... 51
© Ediciones Pirámide 7
Índice
1.7.4. Ejercicio ..................................................................................... 53

1.7.5. Ejercicio ..................................................................................... 55
1.7.6. Ejercicio ..................................................................................... 57
1.7.7. Ejercicio ..................................................................................... 59
1.7.8. Ejercicio ..................................................................................... 61
1.7.9. Ejercicio ..................................................................................... 67
1.7.10. Ejercicio ..................................................................................... 73
2. El modelo lineal II ........................................................................................ 81
2.1. Intervalos de confianza .......................................................................... 81

2.1.1. Ejercicio ..................................................................................... 81
2.1.2. Ejercicio ..................................................................................... 83
2.1.3. Ejercicio ..................................................................................... 85
2.2. Contrastes .............................................................................................. 87
2.2.1. Ejercicio ..................................................................................... 87
2.2.2. Ejercicio ..................................................................................... 91
2.2.3. Ejercicio ..................................................................................... 94
2.3. Explotación del modelo: predicción ....................................................... 98
2.3.1. Ejercicio ..................................................................................... 98
2.3.2. Ejercicio ..................................................................................... 100
2.3.3. Ejercicio ..................................................................................... 102
2.4. Ejemplos de tipo económico y empresarial ............................................ 104
2.4.1. Ejercicio ..................................................................................... 104
2.4.2. Ejercicio ..................................................................................... 108
2.4.3. Ejercicio ..................................................................................... 111
2.4.4. Ejercicio ..................................................................................... 115
3. Multicolinealidad ......................................................................................... 121
3.1. Multicolinealidad exacta ........................................................................ 121

3.1.1. Ejercicio ..................................................................................... 121
3.1.2. Ejercicio ..................................................................................... 122
3.1.3. Ejercicio ..................................................................................... 122
3.1.4. Ejercicio ..................................................................................... 124
3.1.5. Ejercicio ..................................................................................... 126
3.1.6. Ejercicio ..................................................................................... 131
3.1.7. Ejercicio ..................................................................................... 135
3.2. Variables ficticias .................................................................................... 147
3.2.1. Ejercicio ..................................................................................... 149
3.2.2. Ejercicio ..................................................................................... 153
3.2.3. Ejercicio ..................................................................................... 157
3.2.4. Ejercicio ..................................................................................... 162
3.2.5. Ejercicio ..................................................................................... 166
3.2.6. Ejercicio ..................................................................................... 171
3.2.7. Ejercicio ..................................................................................... 176
8 © Ediciones Pirámide
Índice
3.3. Multicolinealidad aproximada ................................................................. 190

3.3.1. Ejercicio ....................................................................................... 190
3.3.2. Ejercicio ....................................................................................... 191
3.3.3. Ejercicio ....................................................................................... 193
3.3.4. Ejercicio ....................................................................................... 196
4. Heterocedasticidad ...................................................................................... 199

4.1. Detección de la heterocedasticidad ........................................................... 199
4.1.1. Ejercicio ....................................................................................... 199
4.1.2. Ejercicio ....................................................................................... 201
4.1.3. Ejercicio ....................................................................................... 202
4.2. Estimación baja heterocedasticidad ......................................................... 204
4.2.1. Ejercicio ....................................................................................... 204
4.2.2. Ejercicio ....................................................................................... 207
4.2.3. Ejercicio ....................................................................................... 212
4.2.4. Ejercicio ....................................................................................... 216
4.2.5. Ejercicio ....................................................................................... 221
4.2.6. Ejercicio ....................................................................................... 226
4.2.7. Ejercicio ....................................................................................... 229
5. Autocorrelación ............................................................................................ 235
5.1. Contraste de Durbin-Watson ................................................................... 235

5.1.1. Ejercicio ....................................................................................... 235
5.1.2. Ejercicio ....................................................................................... 237
5.1.3. Ejercicio ....................................................................................... 240
5.2. Contraste de Ljung-Box ........................................................................... 242
5.2.1. Ejercicio ....................................................................................... 242
5.2.2. Ejercicio ....................................................................................... 244
5.2.3. Ejercicio ....................................................................................... 246
5.3. Prueba h de Durbin .................................................................................. 248
5.3.1. Ejercicio ....................................................................................... 249
5.3.2. Ejercicio ....................................................................................... 251
5.3.3. Ejercicio ....................................................................................... 254
5.3.4. Ejercicio ....................................................................................... 256
5.4. Estimación por mínimos cuadrados generalizados ................................... 258
5.4.1. Ejercicio ....................................................................................... 260
5.4.2. Ejercicio ....................................................................................... 262
5.4.3. Ejercicio ....................................................................................... 267
6. Ejercicios con datos reales ......................................................................... 273
6.1. Comprobando si los EMCO son los más eficientes .................................. 273
6.1.1. Ejercicio ....................................................................................... 273
6.1.2. Ejercicio ....................................................................................... 277
Índice
6.1.3. Ejercicio ....................................................................................... 278

6.1.4. Ejercicio ....................................................................................... 279
6.1.5. Ejercicio ....................................................................................... 280
6.1.6. Ejercicio ....................................................................................... 285
6.1.7. Ejercicio ....................................................................................... 286
6.1.8. Ejercicio ....................................................................................... 292
6.2. Estimación y análisis estructural .............................................................. 295
6.2.1. Ejercicio ....................................................................................... 295
6.2.2. Ejercicio ....................................................................................... 298
6.2.3. Ejercicio ....................................................................................... 301
6.2.4. Ejercicio ....................................................................................... 304
6.2.5. Ejercicio ....................................................................................... 307
6.2.6. Ejercicio ....................................................................................... 311
6.2.7. Ejercicio ....................................................................................... 315
6.3. Explotación del modelo ........................................................................... 320
6.3.1. Ejercicio ....................................................................................... 320
6.3.2. Ejercicio ....................................................................................... 322
6.3.3. Ejercicio ....................................................................................... 324
Bibliografía ........................................................................................................... 329
Introducción
1 1
El modelo lineal I
EL MODELO LINEAL I
1.1. SOBRE
1.1 LOS ERRORES
Sobre DE REDONDEO
los errores de redondeo
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
M̂ = 108, 85 + 2, 22O + 8, 64N
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
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
1.2. SOBRE LA NOTACIÓN USADA
 
β1
 β2 
β= 
 .... 
βk
β βi ∀i = 1, 2, ..., k
Econometría EL MODELO LINEAL I
 ˆ 
β1
 βˆ2 
β̂ = 
 ....


β̂k
1.3. ESTIMACIÓN DE LOSde

1.3 Estimación PARÁMETROS DE de
los parámetros POSICIÓN
posición
1.3.1. Ejercicio
β̂
Y X2 X3
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
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
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
Q̂ = 42, 361957 − 0, 04003X + 7, 936946Z
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
Â = 38, 149415 + 5, 215172B + 8, 643418C
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
Â = 122, 568943 + 4, 56845B + 5, 258033C
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

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
Â = −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
1.4. ESTIMACIÓN DE LOS PARÁMETROS DISPERSIÓN

1.4.1. Ejercicio
M O N
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

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 =
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
Ŷ = 108, 85335 + 6, 096048X2 + 3, 97045X3
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
1.5. BONDAD DE AJUSTE. COEFICIENTE DE DETERMINACIÓN

1.5.1. Ejercicio
C = β1 + β 2 S + β 3 W + u
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

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
Ĉ = −51, 717168 + 4, 987249S + 1, 262734W
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
= 65810, 550542 − 10 × 73, 12 = 12374, 450542

10

SCR = Ct2 − β̂ = SCT − SCE =
t=1
= 14950, 9 − 12374, 450542 = 2576, 449458
SCE SCR
R2 = =1− =
SCT SCT

Bondad de ajuste. Coeficiente de determinación El modelo lineal I
12374, 450542 2576, 449458

= =1− = 0, 827673
14950, 9 14950, 9
82, 7673 %
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

= 191562 − 9 × 115, 3333332 = 71846, 000692
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
= 71846, 000692 − 31491, 041303 = 40354, 959389
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 =

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
= 1486408 − 28 × 207, 6428572 = 279172, 430233
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
Econometría
1.6. COEFICIENTE DE DETERMINACIÓN CORREGIDO

Y CRITERIOS DE INFORMACION DE AKAIKE
Y SCHWARZ
1.6.1. Ejercicio
R2
Q
X Z
21
21
21

Xt = 392 Zt = 427 Qt = 2325
t=1 t=1 t=1
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
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
= 556935 − 21 × 110, 7142862 = 299524, 284386
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
Econometría
= 299524, 284386 − 56361, 809803 = 243162, 474583
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
SCR 2k 243162, 474583 2 × 3

AIC = Ln + = Ln + = 9, 642677
n n 21 21
SCR k 243162, 474583 3

BIC = Ln + Ln(n) = Ln + Ln(21) = 9, 791894
n n 21 21

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
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
= 556935 − 21 × 110, 7142862 = 299524, 284386
21
21

SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1

4, 735907 2325
= − 21 × 110, 7142862 =
5, 677413 53203
= 313066, 387614 − 21 × 110, 7142862 = 55655, 672
21

t=1
= 299524, 284386 − 55655, 672 = 243868, 612386
SCE SCR
R2 =
=1− =
SCT SCT
55655, 672 243868, 612386
= =1− = 0, 185814
299524, 284386 299524, 284386

EL MODELO LINEAL I
Econometría
(n − 1)σ̂ 2 (21 − 1)12835, 190126

Rc2 = 1 − =1− = 0, 142962
SCT 299524, 284386
SCR 2k 243868, 612386 2 × 2

AIC = Ln + = Ln + = 9, 550339
n n 21 21
SCR k 243868, 612386 2

BIC = Ln + Ln(n) = Ln + Ln(21) = 9, 649817
n n 21 21

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
Q̂ = 101, 248768 + 0, 465517Z
n
n

2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1
32
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
= 556935 − 21 × 110, 7142862 = 299524, 284386

21
21

SCE = (Q̂t − Q̄)2 = Q̂2t − nQ̄2 = β̂ − nQ̄2 =
t=1 t=1

101, 248768 2325
= − 21 × 110, 7142862 =
0, 465517 48130
= 257808, 71881 − 21 × 110, 7142862 = 398, 003196
21

t=1
= 299524, 284386 − 398, 003196 = 299126, 28119
SCE SCR
R2 =
=1− =
SCT SCT
398, 003196 299126, 28119
= =1− = 0, 001329
299524, 284386 299524, 284386
(n − 1)σ̂ 2 (21 − 1)15743, 488484

Rc2 = 1 − =1− = −0, 051233
SCT 299524, 284386
Econometría
SCR 2k 299126, 28119 2 × 2

AIC = Ln + = Ln + = 9, 754575
n n 21 21
SCR k 299126, 28119 2

BIC = Ln + Ln(n) = Ln + Ln(21) = 9, 854053
n n 21 21
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
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
B̂ = −15, 960698 + 4, 113765D + 3, 25808A
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
= 573596 − 30 × 112, 2666672 = 195481, 864421
30
30

SCE = 2
(B̂t − B̄) = B̂t2 − nB̄ 2 = β̂ − nB̄ 2 =
t=1 t=1

35
   
−15, 960698 3368
= 4, 113765   68829  − 30 × 112, 2666672 =
3, 25808 54697
= 407597, 902081 − 30 × 112, 2666672 = 29483, 766502
30

t=1
= 195481, 864421 − 29483, 766502 = 165998, 097919
SCE SCR
R2 = =1− =
SCT SCT
29483, 766502 165998, 097919
= =1− = 0, 150826
195481, 864421 195481, 864421
(n − 1)σ̂ 2 (30 − 1)6148, 077701

Rc2 = 1 − =1− = 0, 087924
SCT 195481, 864421
SCR 2k 165998, 097919 2 × 3

AIC = Ln + = Ln + = 8, 818534
n n 30 30
SCR k 165998, 097919 3

BIC = Ln + Ln(n) = Ln + Ln(30) = 8, 958654
n n 30 30

30 570 3368
= =
570 12066 68829

El modelo lineal I
β̂ = (X X)−1 X Y =

1 12066 −570 3368
=
37080 −570 30 68829

37, 911489
β̂ =
3, 91343
B̂ = 37, 911489 + 3, 91343D
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
= 573596 − 30 × 112, 2666672 = 195481, 864421
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
= 397043, 368422 − 30 × 112, 2666672 = 18929, 232843
Econometría
30

t=1
= 195481, 864421 − 18929, 232843 = 176552, 631578
SCE SCR
R2 = =1− =
SCT SCT
18929, 232843 176552, 631578
= =1− = 0, 096834
195481, 864421 195481, 864421
(n − 1)σ̂ 2 (30 − 1)6305, 451128

Rc2 = 1 − =1− = 0, 064578
SCT 195481, 864421
SCR 2k 176552, 631578 2 × 2

AIC = Ln + = Ln + = 8, 81351
n n 30 30
SCR k 176552, 631578 2

BIC = Ln + Ln(n) = Ln + Ln(30) = 8, 906923
n n 30 30

30 461 3368
= =
461 8083 54697
β̂ = (X X)−1 X Y =

1 8083 −461 3368
=
29969 −461 30 54697
El modelo lineal I

67, 010144
β̂ =
2, 94511
B̂ = 67, 010144 + 2, 94511A
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
= 573596 − 30 × 112, 2666672 = 195481, 864421
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
= 386778, 846662 − 30 × 112, 2666672 = 8664, 711083
30

t=1
= 195481, 864421 − 8664, 711083 = 186817, 153338
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
SCR 2k 186817, 153338 2 × 2

AIC = Ln + = Ln + = 8, 870022
n n 30 30
SCR k 186817, 153338 2

BIC = Ln + Ln(n) = Ln + Ln(30) = 8, 963435
n n 30 30
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
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
EL MODELO LINEAL I
Econometría
11
11

SCT = (Qt − Q̄)2 = Q2t − nQ̄2 =
t=1 t=1
= 323998 − 11 × 134, 1818182 = 125945, 6369
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
= 207190, 298554 − 11 × 134, 1818182 = 9137, 935454
11

t=1
= 125945, 6369 − 9137, 935454 = 116807, 701446
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
SCR 2k 116807, 701446 2 × 3

AIC = Ln + = Ln + = 9, 815844
n n 11 11
El modelo lineal I
SCR k 116807, 701446 3

BIC = Ln + Ln(n) = Ln + Ln(11) = 9, 92436
n n 11 11

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
Q̂ = 198, 574221 − 3, 264131X
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
SCR 122278, 533018

σ̂ 2 = = = 13586, 503669
n−k 11 − 2
1476
Q̄ = = 134, 181818
11
Econometría
11
11

2
SCT = (Qt − Q̄) = Q2t − nQ̄2 =
t=1 t=1
= 323998 − 11 × 134, 1818182 = 125945, 6369
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

t=1
= 125945, 6369 − 3667, 103882 = 122278, 533018
SCE SCR
R2 = =1− =
SCT SCT
3667, 103882 122278, 533018
= =1− = 0, 029117
125945, 6369 125945, 6369
(n − 1)σ̂ 2 (11 − 1)13586, 503669

Rc2 = 1 − =1− = −0, 078759
SCT 125945, 6369
SCR 2k 122278, 533018 2 × 2

AIC = Ln + = Ln + = 9, 679798
n n 11 11
SCR k 122278, 533018 2

BIC = Ln + Ln(n) = Ln + Ln(11) = 9, 752142
n n 11 11
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
Q̂ = 78, 169715 + 2, 702338Z
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
SCR 118904, 581398

σ̂ 2 = = = 13211, 620155
n−k 11 − 2
1476
Q̄ = = 134, 181818
11
11
11

2
SCT = (Qt − Q̄) = Q2t − nQ̄2 =
t=1 t=1
= 323998 − 11 × 134, 1818182 = 125945, 6369
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

t=1
= 125945, 6369 − 7041, 055502 = 118904, 581398
SCE SCR
R2 = =1− =
SCT SCT
7041, 055502 118904, 581398
= =1− = 0, 055906
125945, 6369 125945, 6369
(n − 1)σ̂ 2 (11 − 1)13211, 620155

Rc2 = 1 − =1− = −0, 048994
SCT 125945, 6369
SCR 2k 118904, 581398 2 × 2

AIC = Ln + = Ln + = 9, 651818
n n 11 11
SCR k 118904, 581398 2

BIC = Ln + Ln(n) = Ln + Ln(11) = 9, 724162
n n 11 11
R2
46 c© Ediciones
Pirámide
Ediciones Pirámide
El modelo lineal I
Rc2 Rc2
1.7. ALGUNOS EJERCICIOS CON VARIABLES

ECONÓMICAS Y EMPRESARIALES
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
EL MODELO LINEAL I
Econometría
 
−45, 883077
β̂ =  12, 539933 
−0, 510435
D̂ = −45, 883077 + 12, 539933H − 0, 510435S
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
SCR 2551, 446579

σ̂ 2 = = = 115, 974845
n−k 25 − 3
55331
D̄ = = 2213, 24
25
25
25

SCT = (Dt − D̄)2 = Dt2 − nD̄2 =
t=1 t=1
= 152288873 − 25 × 2213, 242 = 29828090, 56
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
= 152286321, 553421 − 25 × 2213, 242 = 29825539, 113421
48 c© Ediciones
EdicionesPirámide
Pirámide
Algunos ejercicios con variables económicas y empresariales
El modelo lineal I
25

SCR = Dt2 − β̂ = SCT − SCE =
t=1
= 29828090, 56 − 29825539, 113421 = 2551, 446579
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
Econometría
Ô = 17, 860189 + 0, 096026N + 1, 177198E
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
= 57195 − 26 × 45, 4230772 = 3550, 345972
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
= 3550, 345972 − 3267, 614999 = 282, 730973
SCE SCR
R2 = =1− =
SCT SCT
El modelo lineal I
3267, 614999 282, 730973

= =1− = 0, 920365
3550, 345972 3550, 345972
92, 0365 %
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
Econometría
V̂ = −1825, 146294 − 0, 757011G + 0, 493108N
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
= 72225689 − 23 × 1631, 0869572 = 11035461, 790203
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
= 11035461, 790203 − 10985310, 131727 = 50151, 658476
SCE SCR
R2 = =1− =
SCT SCT
El modelo lineal I
10985310, 131727 50151, 658476

= =1− = 0, 995455
11035461, 790203 11035461, 790203
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
Econometría
V̂ = 200, 713596 − 1, 56881P + 0, 300511G
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
= 2838439 − 23 × 316, 4782612 = 534793, 737232
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

t=1
= 534793, 737232 − 533401, 335307 = 1392, 401925
SCE SCR
R2 = =1− =
SCT SCT
Algunos ejercicios con variables económicas y empresariales El modelo lineal I
533401, 335307 1392, 401925

= =1− = 0, 997396
534793, 737232 534793, 737232
99, 7396 %
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
Iˆ = 426, 573214 + 99, 750487C + 69, 831107V
n
n

2
SCR = û û = ût2 = Y Y − β̂ = t − β̂ =
t=1 t=1

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
= 520457068 − 9 × 7181, 1111112 = 56341856, 903251
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
El modelo lineal I
= 56341856, 903251 − 56341009, 644906 = 847, 258345
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
C = β1 +β2 F +β3 A+u

C F
A
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
Ĉ = −8718, 575589 + 18, 339753F + 20, 932647A
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
= 63976271 − 15 × 2018, 22 = 2879302, 4
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
= 63965297, 77569 − 15 × 2018, 22 = 2868329, 17569
15

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

Econometría
ˆ = 86127, 592075 + 12246, 846301C − 1640, 340897IP C

P IB
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
= 14103694300577 − 19 × 859266, 7894742 = 75245406210, 8457
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
   
86127, 592075 16326069
=  12246, 846301   1223316195  − 19 × 859266, 7894742 =
−1640, 340897 1418640028
= 14060837172659, 8 − 19 × 859266, 7894742 = 32388278293, 6465
19

SCR = P IBt2 − β̂ = SCT − SCE =
t=1
= 75245406210, 8457 − 32388278293, 6465 = 42857127917, 1992
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
P 340 222 288 384 609 326 431 522 292

S 54 38 47 96 184 84 93 142 43
V 6 4 5 2 1 1 6 3 6
   
9 781 34 3414

=  781 87359 2413  =  343399 
34 2413 164 11975
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
P̂ = 60, 590858 + 2, 896419S + 17, 840559V
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
= 1415950 − 9 × 379, 3333332 = 120906, 002276
9
9

SCE = (P̂t − P̄ ) = 2
P̂t2 − nP̄ 2 = β̂ − nP̄ 2 =
t=1 t=1
62
   
60, 590858 3414
=  2, 896419   343399  − 9 × 379, 3333332 =
17, 840559 11975
= 1415125, 271418 − 9 × 379, 3333332 = 120081, 273694
9

SCR = Pt2 − β̂ = SCT − SCE =
t=1
= 120906, 002276 − 120081, 273694 = 824, 728582
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
SCR 2k 824, 728582 2 × 3

AIC = Ln + = Ln + = 5, 184496
n n 9 9
SCR k 824, 728582 3

BIC = Ln + Ln(n) = Ln + Ln(9) = 5, 250238
n n 9 9

9 781 3414
= =
781 87359 343399

Econometría
β̂ = (X X)−1 X Y =

1 87359 −781 3414
=
176270 −781 9 343399

170, 471476
β̂ =
2, 406859
P̂ = 170, 471476 + 2, 406859S
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
= 1415950 − 9 × 379, 3333332 = 120906, 002276
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
= 1408502, 592805 − 9 × 379, 3333332 = 113458, 595081
El modelo lineal I
9

t=1
= 120906, 002276 − 113458, 595081 = 7447, 407195
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
SCR 2k 7447, 407195 2 × 2

AIC = Ln + = Ln + = 7, 162841
n n 9 9
SCR k 7447, 407195 2

BIC = Ln + Ln(n) = Ln + Ln(9) = 7, 206669
n n 9 9

9 34 3414
= =
34 164 11975
β̂ = (X X)−1 X Y =

1 164 −34 3414
=
320 −34 9 11975
EL MODELO LINEAL I
Econometría

477, 33125
β̂ =
−25, 940625
P̂ = 477, 33125 − 25, 940625V
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
= 1415950 − 9 × 379, 3333332 = 120906, 002276
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
= 1318969, 903125 − 9 × 379, 3333332 = 23925, 905401
9

t=1
= 120906, 002276 − 23925, 905401 = 96980, 096875
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
SCR 2k 96980, 096875 2 × 2

AIC = Ln + = Ln + = 9, 729481
n n 9 9
SCR k 96980, 096875 2

BIC = Ln + Ln(n) = Ln + Ln(9) = 9, 773309
n n 9 9
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
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
Ŝ = −250, 482429 + 200, 084749E + 100, 106558A
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
SCR 654, 412972

σ̂ 2 = = = 109, 068829
n−k 9−3
23265
S̄ = = 2585
9
El modelo lineal I
9
9

SCT = (St − S̄)2 = St2 − nS̄ 2 =
t=1 t=1
= 66065681 − 9 × 25852 = 5925656
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
= 66065026, 587028 − 9 × 25852 = 5925001, 587028
9

SCR = St2 − β̂ = SCT − SCE =
t=1
= 5925656 − 5925001, 587028 = 654, 412972
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
SCR 2k 654, 412972 2 × 3

AIC = Ln + = Ln + = 4, 953181
n n 9 9
SCR k 654, 412972 3

BIC = Ln + Ln(n) = Ln + Ln(9) = 5, 018922
n n 9 9
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
Ŝ = 1426, 078105 + 170, 988476E
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
= 66065681 − 9 × 25852 = 5925656
70
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

t=1
= 5925656 − 5074253, 964661 = 851402, 035339
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
SCR 2k 851402, 035339 2 × 2

AIC = Ln + = Ln + = 11, 90186
n n 9 9
SCR k 851402, 035339 2

BIC = Ln + Ln(n) = Ln + Ln(9) = 11, 945687
n n 9 9

9 133 23265
= =
133 2065 343678
EL MODELO LINEAL I
Econometría
β̂ = (X X)−1 X Y =

1 2065 −133 23265
=
896 −133 9 343678

2603, 851563
β̂ =
−1, 27567
Ŝ = 2603, 851563 − 1, 27567A
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
= 66065681 − 9 × 25852 = 5925656
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
72
El modelo lineal I
9

t=1
= 5925656 − 161, 898935 = 5925494, 101065
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
SCR 2k 5925494, 101065 2 × 2

AIC = Ln + = Ln + = 13, 841995
n n 9 9
SCR k 5925494, 101065 2

BIC = Ln + Ln(n) = Ln + Ln(9) = 13, 885822
n n 9 9
Rc2
Rc2
1.7.10. Ejercicio
   
24 5508 616 4906

==  5508 1354678 138870  =  1218978 
616 138870 19606 120016

= 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
B̂ = −2, 670196 + 1, 002427I − 0, 89494T
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
El modelo lineal I
SCR 486, 64101

σ̂ 2 = = = 23, 173381
n−k 24 − 3
4906
B̄ = = 204, 416667
24
24
24

SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
= 1101916 − 24 × 204, 4166672 = 99047, 830063
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
= 1101429, 35899 − 24 × 204, 4166672 = 98561, 189053
24

t=1
= 99047, 830063 − 98561, 189053 = 486, 64101
SCE SCR
R2 = =1− =
SCT SCT
98561, 189053 486, 64101
= =1− = 0, 995087
99047, 830063 99047, 830063
(n − 1)σ̂ 2 (24 − 1)23, 173381

Rc2 = 1 − =1− = 0, 994619
SCT 99047, 830063
Econometría
SCR 2k 486, 64101 2 × 3

AIC = Ln + = Ln + = 3, 259473
n n 24 24
SCR k 486, 64101 3

BIC = Ln + Ln(n) = Ln + Ln(24) = 3, 40673
n n 24 24

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
El modelo lineal I
24
24

SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
= 1101916 − 24 × 204, 4166672 = 99047, 830063
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

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
SCR 2k 3470, 69231 2 × 2

AIC = Ln + = Ln + = 5, 140722
n n 24 24
SCR k 3470, 69231 2

BIC = Ln + Ln(n) = Ln + Ln(24) = 5, 238893
n n 24 24
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
B̂ = 244, 348103 − 1, 55577T
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
SCR 89861, 499002

σ̂ 2 = = = 4084, 613591
n−k 24 − 2
4906
B̄ = = 204, 416667
24
24
24

SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
= 1101916 − 24 × 204, 4166672 = 99047, 830063
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

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
SCR 2k 89861, 499002 2 × 2

AIC = Ln + = Ln + = 8, 394638
n n 24 24
SCR k 89861, 499002 2

BIC = Ln + Ln(n) = Ln + Ln(24) = 8, 492809
n n 24 24
Rc2 Rc2
2 El modelo lineal II
2.1. INTERVALOS DE CONFIANZA

2.1.1. Ejercicio
β̂i σ2
Q X
Z
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
Econometría
Q̂ = −88, 783009 + 5, 839936X + 3, 653834Z
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
El modelo lineal II
α = 0, 05 χ20,025 = 1, 690 χ20,975 = 16, 013
SCR SCR 9998, 689077 9998, 689077

< σ2 < 2 < σ2 <
χ20,975 χ0,025 16, 013 1, 690
624, 410734 < σ 2 < 5916, 384069
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
t=1 t=1
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
β̂i − t0 D̂(β̂i ) < βi < β̂i + t0 D̂(β̂i )
−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
−178, 434493 < β1 < 165, 286687

2, 255868 < β2 < 9, 531186
−1, 466388 < β3 < 15, 12033
α = 0, 01 χ20,005 = 5, 142 χ20,995 = 34, 267
El modelo lineal II
SCR SCR 34786, 487409 34786, 487409

< σ2 < 2 < σ2 <
χ20,995 χ0,005 34, 267 5, 142
1015, 159991 < σ 2 < 6765, 166746
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
El modelo lineal II
Econometría
 
25, 753637
β̂ =  5, 889126 
7, 183285
Ŵ = 25, 753637 + 5, 889126V + 7, 183285Z
σ̂ 2
n
n

2
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
β̂i − t0 D̂(β̂i ) < βi < β̂i + t0 D̂(β̂i )
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
−19, 88355 < β1 < 71, 390824

3, 757642 < β2 < 8, 02061
5, 068671 < β3 < 9, 297899
α = 0, 01 χ20,005 = 11, 808 χ20,995 = 49, 645
SCR SCR 35027, 941317 35027, 941317

2 < σ2 < 2 < σ2 <
χ0,995 χ0,005 49, 645 11, 808
705, 568362 < σ 2 < 2966, 458445
2.2. CONTRASTES
2.2.1. Ejercicio
B = β 1 + β 2 D + β3 A + u
βi
B 116 139 144 122 13 126 147 157

A 14 0 24 14 −5 16 15 18
D 1 24 18 15 17 23 24 20
α
   
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
Econometría
 
46, 613405
β̂ =  1, 7746 
3, 532286
B̂ = 46, 613405 + 1, 7746D + 3, 532286A
σ2
n
n

2
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
El modelo lineal II
= 130700 − 8 × 120, 52 = 14538
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

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 
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
F exp = 3, 784 < 8, 434
H0 p − valor = 9, 98E − 02
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
P̂ = −0, 337099 + 6, 403084R + 9, 302922S
σ2
n
n

2
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) =
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
= 1718428 − 19 × 276, 5263162 = 265558, 73463
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

t=1
= 265558, 73463 − 170650, 912584 = 94907, 822046
SCE SCR
R2 = =1− =
SCT SCT
El modelo lineal II
170650, 912584 94907, 822046

= =1− = 0, 642611
265558, 73463 265558, 73463
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
Econometría
p − valor = 2, 66E − 04
F exp = 14, 385 > 6, 226

Se rechaza H0 ; 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 =
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
Ĉ = 23, 410122 + 3, 494143S + 7, 603012W
σ̂ 2
n
n

2
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
 2232, 002417 −91, 810733 −38, 428172 

=  −91, 810733 4, 819081 0, 638973 
−38, 428172 0, 638973 1, 899569
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
Econometría
15
15

SCT = (Ct − C̄)2 = Ct2 − nC̄ 2 =
t=1 t=1
= 626163 − 15 × 193, 2666672 = 65882, 931401
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

t=1
= 65882, 931401 − 47333, 755031 = 18549, 17637
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
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 

W
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
F exp = 15, 311 > 3, 885
Econometría
2.3. EXPLOTACIÓN DEL MODELO: PREDICCIÓN

2.3.1. Ejercicio
A = β1 + β2 B + β3 C + u
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
Â = −134, 229139 + 5, 880048B + 9, 775426C

σ̂ 2
n
n

2
t=1 t=1
   
−134, 229139 1773
= 371575 −  5, 880048   34770  = 24566, 435733
9, 775426 38929
El modelo lineal II
SCR 24566, 435733

σ̂ 2 = = = 3509, 490819
n−k 10 − 3
Bf = 29 Cf = 22
Âf = βˆ1 + β̂2 Bf + β̂3 Cf
Âf = −134, 229139 + 5, 880048 × 29 + 9, 775426 × 22 = 251, 351625
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
163, 001024 < E[Af ] < 339, 702226
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
Ĉ = −8, 73829 + 2, 37586S + 10, 250738W
σ2
n
n

2
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

El modelo lineal II
Sf = 20 Wf = 14
Ĉf = βˆ1 + β̂2 Sf + β̂3 Wf
Ĉf = −8, 73829 + 2, 37586 × 20 + 10, 250738 × 14 = 182, 289242
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
−101, 32764 < Cf < 465, 906124
Cf = 1012

El modelo lineal II
Econometría
|Cf − Ĉf | |1012 − 182, 289242|

tExp. =
= = 10, 845 > 3, 707
σ̂ 1+ c ( )−1 c 51, 890202 × 1 + 328055
279447
Se rechaza la hipótesis de permanencia estructural
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 =

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
t=1 t=1
   
−36, 880415 2799
= 609911 −  9, 281232   69443  = 35863, 034974
0, 613879 53365
SCR 35863, 034974

σ̂ 2 = = = 2988, 586248
n−k 15 − 3
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

El modelo lineal II
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
19, 428811 < Wf < 272, 856419
Wf = 976
|Wf − Ŵf | |976 − 146, 142615|

tExp. =
= = 14, 270 > 2, 179
σ̂ 1 + c ( )−1 c 1318755
54, 667964 × 1 + 10025965

p − valor = 6, 87E − 09
2.4. EJEMPLOS DE TIPOde

2.4 Ejemplos ECONÓMICO Y EMPRESARIAL
tipo económico y empresarial
2.4.1. Ejercicio
βi
R2
D = β1 + β2 I + β3 P IB + u D
I P IB
   
22 63 18534 127

= 63 235 53490  = 318 
18534 53490 15809866 108379

= Dt2 = 821
t=1
If = 4 P IBf = 920

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
D̂ = 0, 778889 − 0, 905319I + 0, 009005P IB
σ2
n
n

2
t=1 t=1
   
0, 778889 127
= 821 −  −0, 905319   318  = 34, 019644
0, 009005 108379
SCR 34, 019644

σ̂ 2 = = = 1, 790508
n−k 22 − 3
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

Econometría
β̂i
√
D̂(β̂1 ) = 6, 609757 = 2, 570945
√
D̂(β̂2 ) = 0, 033337 = 0, 182584
√
D̂(β̂3 ) = 0, 000009 = 0, 003
α = 0, 025 g.l. = n − k = 22 − 3 = 19 t0 = 2, 433

β̂i − t0 D̂(β̂i ) < βi < β̂i + t0 D̂(β̂i )
0, 778889 − 2, 433 × 2, 570945 < β1 < 0, 778889 + 2, 433 × 2, 570945

−0, 905319 − 2, 433 × 0, 182584 < β2 < −0, 905319 + 2, 433 × 0, 182584
0, 009005 − 2, 433 × 0, 003 < β3 < 0, 009005 + 2, 433 × 0, 003
−5, 47622 < β1 < 7, 033998

−1, 349546 < β2 < −0, 461092
0, 001706 < β3 < 0, 016304
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

El modelo lineal II
= 87, 863706 − 53, 844062 = 34, 019644
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
α = 0, 025 g.l. = n − k = 22 − 3 t0 = 2, 433

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

Econometría

21691482
< 5, 442213 + 2, 433 × 1, 338099 × 1+
231376366
2, 037431 < Df < 8, 846995
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
t=1 t=1

El modelo lineal II
   
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 )
5, 191523 − 2, 845 × 3, 300439 < β1 < 5, 191523 + 2, 845 × 3, 300439

0, 984032 − 2, 845 × 0, 011045 < β2 < 0, 984032 + 2, 845 × 0, 011045
−1, 050082 − 2, 845 × 0, 060836 < β3 < −1, 050082 + 2, 845 × 0, 060836
−4, 198226 < β1 < 14, 581272

0, 952609 < β2 < 1, 015455
−1, 22316 < β3 < −0, 877004
4644
B̄ = = 201, 913043
23

El modelo lineal II
Econometría
23
23

SCT = (Bt − B̄)2 = Bt2 − nB̄ 2 =
t=1 t=1
= 1059666 − 23 × 201, 9130432 = 121981, 830529
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
= 1059372, 496814 − 23 × 201, 9130432 = 121688, 327343
23

t=1
= 121981, 830529 − 121688, 327343 = 293, 503186
SCE SCR
R2 = =1− =
SCT SCT
121688, 327343 293, 503186
= =1− = 0, 997594
121981, 830529 121981, 830529
If = 127 Tf = 23
B̂f = βˆ1 + β̂2 If + β̂3 Tf

B̂f = 5, 191523 + 0, 984032 × 127 − 1, 050082 × 23 = 106, 011701
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
94, 31575 < Bf < 117, 707652
2.4.3. Ejercicio
β̂
βi

Econometría
   
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
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) =

El modelo lineal II
 
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
= 2034805 − 22 × 276, 2272732 = 356171, 860322
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

t=1
= 356171, 860322 − 354930, 454842 = 1241, 40548
SCE SCR
R2 = =1− =
SCT SCT

Econometría El modelo lineal II
354930, 454842 1241, 40548

= =1− = 0, 996515
356171, 860322 356171, 860322
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 
H0 : β2 = 0
H1 : β2 = 0
 
 β̂    −1, 55844 

 2 
|tExp. | =  =  = 43, 475 > 2, 861
 D̂(β̂2 )   0, 035847 
P
H0 : β3 = 0
H1 : β3 = 0
 
 β̂   
 0, 296571 
 3 
|tExp. | =  =  = 68, 036 > 2, 861
 D̂(β̂3 )   0, 004359 
G
Pf = 124 Gf = 773
V̂f = βˆ1 + β̂2 Pf + β̂3 Gf
V̂f = 173, 218312 − 1, 55844 × 124 + 0, 296571 × 773 = 209, 221135

El modelo lineal II
α = 0, 01 g.l. = n − k = 22 − 3 t0 = 2, 861 Vf = 258

c ( )−1 c =

= 1 124 773 ×
 
3606366445209 −11246457884 −1118221949
1  −11246457884 79345312 −2202108  ×
4034539079512
−1118221949 −2202108 1179769
 
1
×  124  =
773
591280552904
=
4034539079512
|Vf − V̂f | |258 − 209, 221135|

tExp. =
= = 5, 636 > 2, 861
σ̂ 1+ c ( )−1 c 591280552904
8, 083139 × 1 + 4034539079512

p − valor = 1, 96E − 05
2.4.4. Ejercicio
   
29 66301 8082 25356

=  66301 173728725 19928593  =  64070023 
8082 19928593 2723168 6723616

= G2t = 25321776
t=1
Rf = 2574 Hf = 318 Gf = 551

Econometría
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
Ĝ = 499, 408331 + 0, 404903R − 1, 976282H
σ2
n
n

2
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

El modelo lineal II
 
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
= 25321776 − 29 × 874, 3448282 = 3151888, 53074
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
= 25317380, 887893 − 29 × 874, 3448282 = 3147493, 418633
29

SCR = G2t − β̂ = SCT − SCE =
t=1
= 3151888, 53074 − 3147493, 418633 = 4395, 112107
SCE SCR
R2 = =1− =
SCT SCT
3147493, 418633 4395, 112107
= =1− = 0, 998606
3151888, 53074 3151888, 53074

El modelo lineal II
Econometría
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 
H0 : β2 = 0
H1 : β2 = 0
  
 β̂   0, 404903  
 2 
|tExp. | =  =

 = 128, 053 > 2, 056
 D̂(β̂2 )  0, 003162 
R
H0 : β3 = 0
H1 : β3 = 0
  
 β̂   −1, 976282  
 3 
|tExp. | =  =

 = 93, 164 > 2, 056
 D̂(β̂3 )  0, 021213 
H
Rf = 2574 Hf = 318
Ĝf = βˆ1 + β̂2 Rf + β̂3 Hf
Ĝf = 499, 408331 + 0, 404903 × 2574 − 1, 976282 × 318 = 913, 170977


El modelo lineal II
α = 0, 05 g.l. = n − k = 29 − 3 t0 = 2, 056 Gf = 551

c ( )−1 c =

= 1 2574 318 ×
 
75943685641151 −19485872942 −82789910957
1  −19485872942 13653148 −42084515  ×
241325961311363
−82789910957 −42084515 642310424
 
1
 2574  =
318
9492587618147
=
241325961311363
|Gf − Ĝf | |551 − 913, 170977|

tExp.=
= = 27, 324 > 2, 056
σ̂ 1 + c ( )−1 c 9492587618147
13, 001645 × 1 + 241325961311363

p − valor = 1, 12E − 20

3 Multicolinealidad
3.1. MULTICOLINEALIDAD EXACTA

3.1.1. Ejercicio
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
W = (β1 − 4β3 − 4β4 ) + (β2 − 3β3 + 4β4 )X + u
δ2 = β2 − 3β3 + 4β4 δ1 = β1 − 4β3 − 4β4
que n
W = δ1 + δ2 X + u

Econometría
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
W = (β1 − β4 ) + (β2 − 3β4 )X + (β3 + 2β4 )Y + 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

Multicolinealidad
 
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
B = (β1 ) + (β2 + 4β3 )D + u
δ 1 = β1
δ2 = β2 + 4β3
B = δ1 + δ2 D + u

Econometría
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


Multicolinealidad

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

Econometría
M = β1 + β 2 O + β 3 N + u
M = β1 + β2 O + β3 (−3) + u
M = (β1 − 3β3 ) + (β2 )O + 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

Multicolinealidad
 
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

Econometría
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
Y = (β1 + 3β4 ) + (β2 − 2β4 )X2 + (β3 )X3 + u
δ1 = β1 + 3β4
δ2 = β2 − 2β4
δ 3 = β3
Y = δ1 + δ2 X2 + δ3 X3 + u
−1
δ̂ = ( r r) r =

Multicolinealidad
 −1  
13 173 31 −307
=  173 3211 −151   −5903 
31 −151 1165 395
 
79, 878191
δ̂ =  −2, 949736 
−0, 971360
Ŷ = 79, 878191 − 2, 949736X2 − 0, 97136X3
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

Econometría
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 
H0 : δ2 = 0
H1 : δ2 = 0
 
 δ̂   
 2   −2, 949736 
|tExp. | =  =  = 75, 191 > 2, 228
 D̂(δ̂2 )   0, 039230 
H0 : δ3 = 0
H1 : δ3 = 0
 
 δ̂   
 3   −0, 971360 
|tExp. | =  =  = 27, 129 > 2, 228
 D̂(δ̂3 )   0, 035805 
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

Multicolinealidad
SCE 5707,260671
k−1 3−1
FExp = SCR
= 9,508866 = 3001, 019 > 4, 103
n−k 13−3
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

Econometría Multicolinealidad.
 
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

Multicolinealidad
r
X2 s X3 X4
X3 = 2 − 4X2
X4 = +3X2
Y = β 1 + β 2 X2 + β 3 X3 + β 4 X4 + u
Y = β1 + β2 X2 + β3 (+2 − 4X2 ) + β4 (+3X2 ) + u
Y = (β1 + 2β3 ) + (β2 − 4β3 + 3β4 )X2 + 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
Ŷ = 68, 567183 + 11, 0454X2
n
n

SCR = ˆ ˆ = ût2 =
− δ̂
r = 2
t − δ̂
r =
t=1 t=1

Econometría

68, 567183 −542 429
= 630814 − = 13, 018736
11, 045400 −10982 8451
SCR 13, 018736

σ̂ 2 = = = 1, 001441
n−k 15 − 2
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 
H0 : δ2 = 0
H1 : δ2 = 0
  
 δ̂   11, 045400  
 2    = 420, 793 > 2, 160
|tExp. | =  =
 D̂(δ̂2 )  0, 026249 
δ2

Multicolinealidad
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


Econometría
   
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

Multicolinealidad
W = β1 + β 2 X + β 3 Y + β 4 Z + u
W = β1 + β2 X + β3 Y + β4 (+2 − 2X + Y ) + u
W = (β1 + 2β4 ) + (β2 − 2β4 )X + (β3 + β4 )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
Ŵ = 206, 412943 − 5, 939106X + 7, 025796Y
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

Econometría
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 
H0 : δ2 = 0
H1 : δ2 = 0
 
 δ̂   
 2   −5, 939106 
|tExp. | =  =  = 147, 15 > 2, 262
 D̂(δ̂2 )   0, 040361 

Multicolinealidad exacta
Multicolinealidad
H0 : δ 3 = 0
H1 : δ3 = 0
 
 δ̂   
 3   7, 025796 
|tExp. | =  =  = 377, 163 > 2, 262
 D̂(δ̂3 )   0, 018628 
   
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

139
Econometría
W = (β1 − 2β3 ) + (β2 + 2β3 )X + (β4 + β3 )Z + u
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
Ŵ = 192, 361351 + 8, 112485X + 7, 025796Y
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) =

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 
H0 : δ3 = 0
H1 : δ3 = 0
  
 δ̂   7, 025796  
 3    = 376, 617 > 2, 262
|tExp. | =  =
 D̂(δ̂3 )  0, 018655 

Multicolinealidad.
Econometría
   
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
W = (β1 + β2 ) + (β3 + 0, 5β2 )Y + (β4 − 0, 5β2 )Z + u
δ 1 = β1 + β 2
δ2 = β3 + 0, 5β2
δ3 = β4 − 0, 5β2
W = δ1 + δ2 Y + δ3 Z + u
142
Multicolinealidad
−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
Ŵ = 200, 473837 + 4, 056243X + 2, 969553Y
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

Econometría
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

Multicolinealidad exacta Multicolinealidad
 −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
W = (β2 + β1 )X + (β3 − 0, 5β1 )Y + (β4 + 0, 5β1 )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
Ŵ = 200, 473837X − 96, 180676Y + 103, 206471Z

145
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

Variables ficticias. Multicolinealidad
3.2. VARIABLES FICTICIAS
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
147
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

Multicolinealidad
C = (β1 + β2 )F + (β1 + β3 )G + (β1 + β4 )H + u
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
−

Variables ficticias.
Multicolinealidad
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
SCR 29, 833297

σ̂ 2 = = = 3, 729162
n−k 10 − 2


Multicolinealidad.
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 
H0 : δ 2 = 0
H1 : δ2 = 0
  
 δ̂   9, 666667  
 2    = 7, 755 > 2, 306
|tExp. | =  =
 D̂(δ̂2 )   1, 246522 
δ2
δ2 = 0 δ̂2 > 0 β 2 > β3
152
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

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
Ŝ = 788, 625 + 1203, 517857I
788, 63 + 1203, 52 = 1991, 98
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
SCR 11774, 734135

σ̂ 2 = = = 905, 748780
n−k 15 − 2

Multicolinealidad.
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
156
Multicolinealidad
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

Econometría
   
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
Y = (β1 + β4 ) + (β2 − β4 )P + (β3 − β4 )S
δ 1 = β1 + β 4

Multicolinealidad
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
Ŷ = 1926, 333333 − 1433, 933333P − 959, 333333S
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
SCR 49417, 868593

σ̂ 2 = = = 7059, 695513
n−k 10 − 3
δ̂i
−1
V̂ (δ̂) = σ̂ 2 ( r r) =

Econometría
 −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

Multicolinealidad
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 
δ2 δ2 = 0 δ̂2 < 0 β 2 < β4
H0 : δ 3 = 0
H1 : δ3 = 0
 
 δ̂   
 3    −959, 333333 
 = 12, 507 > 2, 365
|tExp. | =   =
 D̂(δ̂3 )   76, 701236 
δ3 δ3 = 0 δ̂3 < 0 β 3 < β4

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

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
C = (β1 + β4 ) + (β2 − β4 )R + (β3 − β4 )S

Econometría
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
SCR 13, 300000

σ̂ 2 = = = 1, 900000
n−k 10 − 3

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

165
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

Multicolinealidad
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

Econometría
   
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
G = (β1 + β4 ) + (β2 − β4 )M + (β3 − β4 )P
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
Ĝ = 603, 8 − 451, 085714M − 348, 8P
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
SCR 1678, 228266

σ̂ 2 = = = 167, 822827
n−k 13 − 3
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


Econometría
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 
H0 : δ 2 = 0
H1 : δ2 = 0
 
 δ̂   
 −451, 085714 
 2    = 59, 467 > 2, 228
|tExp. | =  =
 D̂(δ̂2 )  7, 585463 

Multicolinealidad
δ2 δ2 = 0 δ̂2 < 0 β 2 < β4
H0 : δ 3 = 0
H1 : δ3 = 0
 
 δ̂   
 3   −348, 800000 
|tExp. | =  =  = 24, 579 > 2, 228
 D̂(δ̂3 )   14, 191103 
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

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
T m = (β1 + β4 ) + (β2 − β4 )A + (β3 − β4 )B
δ 1 = β1 + β 4
δ 2 = β2 − β 4
δ 3 = β3 − β 4
T m = δ1 + δ2 A + δ3 B

Econometría
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
Tˆm = 12 − 3, 666667A − 0, 428571B
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
SCR 44, 380926

σ̂ 2 = = = 3, 698411
n−k 15 − 3
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 
δ2 δ2 = 0 δ̂2 < 0 β 2 < β4
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

Econometría
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
C = (β1 + β4 ) + (β2 − β4 )U + (β3 − β4 )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

Multicolinealidad
C = β1 + β 2 U + β 3 M + β 4 A + u
C = β1 + β2 U + β3 (+1 − U − A) + β4 A + u
C = (β1 + β3 ) + (β2 − β3 )U + (β4 − β3 )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

Econometría
 −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
C = (β1 + β2 ) + (β3 − β2 )M + (β4 − β2 )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
Ĉ = 3, 333333 + 3, 166667U + 4, 866667M

Multicolinealidad
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

Econometría
C = (β2 + β1 )U + (β3 + β1 )M + (β4 + β1 )A + 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
3.3. MULTICOLINEALIDAD APROXIMADA

3.3.1. Ejercicio
Y X2 X3
Y
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

Multicolinealidad aproximada Multicolinealidad
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
V̂ = 122, 029263 − 3, 922604W RV2 = 0, 958308

2
Ŵ = 29, 698538 − 0, 244304V RW = 0, 958308
1 1
F IV (β̂2 ) = = = 23, 99
1 − RV2 1 − 0, 958308
F IV (β̂2 ) > 10
V
1 1
F IV (β̂3 ) = 2 = = 23, 99
1 − RW 1 − 0, 958308
F IV (β̂3 ) > 10
W
T ol(β̂2 ) = 1/F IV (β̂2 ) = 1 − RV2 = 0, 041692

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

Multicolinealidad aproximada
Multicolinealidad
(V −ˆ τV ) = −0, 000013 − 0, 744419(W − τW ) 2

R(V −τV ) = 0, 108060
ˆ τW ) = −0, 000022 − 0, 145090(V − τV )

(W − 2
R(W −τW ) = 0, 107955
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

Multicolinealidad.
Econometría
V̂ = 27, 418662 − 0, 382931Z RV2 = 0, 978648
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(β̂2 ) = 1/F IV (β̂2 ) = 1 − RV2 = 0, 021352
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

Multicolinealidad aproximada
Multicolinealidad
∆(V ) ∆(Z) ∆(W )

1 31 180
3 −2 −1
4 4 27
12 2 120
12 −44 −148
16 −48 −92
22 −46 −7
26 −67 −154
31 −93 −221
37 −97 −204
40 −145 −406
ˆ ) = 7, 135536 − 0, 248533∆(Z)
∆(V 2
R∆(V ) = 0, 912641
ˆ = 22, 191823 − 3, 672108∆(V )

∆(Z) 2
R∆(Z) = 0, 912640
1 1
F IV (β̂2 ) = 2 = = 11, 45
1 − R∆(V ) 1 − 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

Multicolinealidad
C
Yt
∆(Yt ) = Yt − Yt−1
∆2 (Yt ) = ∆(∆(Yt ).
∆2 (B) ∆2 (C) ∆2 (A)

0 −2 −151
1 6 322
2 −1 −300
1 5 173
3 1 −58
2 5 75
3 3 −107
3 7 276
3 3 −153
4 7 140
5 6 −39
4 9 156
∆2ˆ(B) = 1, 654436 + 0, 227485∆2 (C) 2

R∆ 2 (B) = 0, 282081
∆2ˆ(C) = 0, 880000 + 1, 240000∆2 (B) 2

R∆ 2 (C) = 0, 282081
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)

4 Heterocedasticidad
4.1. DETECCIÓN DE LA 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
Ŷ = 51, 971534 − 1, 042172X2

Econometría Heterocedasticidad.
   
−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
α = 0, 05 g.l. = p − 1 = 2 χ2T ablas = 5, 991
χ2Exp. > χ2T ablas
X3 X4

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
SCR1 = 11, 058434 SCR2 = 999, 608175
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

Detección de la heterocedasticidad Heterocedasticidad
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
Ŵ = −106017, 498939 + 1778, 488548V + 2142, 044215Z
 
−495, 527352
 404, 917571 
 
 −2240, 421210 
ˆ= − β̂ = 



 ...... 
 −813, 686087 
1004, 140829
|ût | = δ1 + δ2 Vth + t h = −2, −1, −1/2, 1/2, 1, 2
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

R12 = 0, 532393 R 22 = 0, 505029

R32 = 0, 459646 R42 = 0, 490380 R52 = 0, 443770 R62 = 0, 411525
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 
4.2. ESTIMACIÓN BAJO HETEROCEDASTICIDAD
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

Estimación bajo heterocedasticidad Heterocedasticidad
 
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


Estimación bajo heterocedasticidad
Heterocedasticidad
   
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

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
χ2Exp. = n × R2 = 16 × 0, 141746 = 2, 126

α = 0, 05 g.l. = p − 1 = 1 χ2T ablas = 3, 841
χ2Exp. <= χ2T ablas .
Z

û2 = eη1 +η2 Z
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
© Ediciones Pirámide Ediciones Pirámide 211

c
Heterocedasticidad.
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

   
−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
χ2Exp. = n × R2 = 16 × 0, 035341 = 0, 565
α = 0, 05 g.l. = p − 1 = 1 χ2T ablas = 3, 841

X
û2 = eη1 +η2 X
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
   
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

Heterocedasticidad
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
χ2Exp. = n × R2 = 17 × 0, 464933 = 7, 439
α = 0, 05 g.l. = p − 1 = 1 χ2T ablas = 3, 841

χ2Exp. > χ2T ablas .
X4
û2 = eη1 +η2 X4
lnû2 = η1 + η2 X4
−1
16 54 113, 969633 6, 469787
η̂ = =
54 1116 565, 397939 0, 193575
σ̂u2 = e6,469787+0,193575X4

Heterocedasticidad.
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

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


Heterocedasticidad.
Econometría
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
χ2Exp. = n × R2 = 15 × 0, 242119 = 3, 632
α = 0, 05 g.l. = p − 1 = 3 χ2T ablas = 7, 815
X2 X3 X4
û2 = eη1 +η2 X2 +η3 X3 +η4 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

σ̂u2 = e24,299899+0,074986X2 −0,009060X3 −0,055779X4
   
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

   
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
Ŷ = −333123, 974371 − 4579, 036422X2 + 11810, 069344X3 + 9104, 31727X4
 
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
|ût | = δ1 + δ2 Vth + t , h = −2, −1, −1/2, 1/2, 1, 2

Ediciones Pirámide
c
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
R12 = 0, 017225 R22 = 0, 019821

R32 = 0, 024002 R42 = 0, 021180 R52 = 0, 025456 R62 = 0, 028421
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
Ẑ = −42079, 305146 + 1228, 762866V + 914, 073408W
 
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
|ût | = δ1 + δ2 Xth + t , h = −2, −1, −1/2, 1/2, 1, 2
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
R 12 = 0, 007544 R22 = 0, 011589

R32 = 0, 018742 R42 = 0, 013861 R52 = 0, 021275 R62 = 0, 026339
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


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
Ẑ = −15544, 601843 + 254, 451472X + 506, 615819V
 
−0, 1150
D̂(β̂i ) − D̂(β̂i∗ )
=  −0, 0991 
D̂(β̂i ) i=1,..,3 0, 0154


5 5 Autocorrelación Autocorrelación
5.1 Contraste de Durbin-Watson
5.1. CONTRASTE DE DURBIN-WATSON
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


Autocorrelación
Econometría
   
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

Contraste de Durbin-Watson Autocorrelación
Σn2 (uˆt − ût−1 )2 77496, 939026

DW = n 2 = = 0, 771
Σ1 ût 100520, 241287
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


Econometría Autocorrelación
   
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
Σn2 (uˆt − ût−1 )2 4329565, 336488

DW = n 2 = = 3, 239
Σ1 ût 1336821, 33864
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
Σn2 (uˆt − ût−1 )2 1327981, 845484

DW = = = 3, 719
Σn1 û2t 357050, 979067
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. CONTRASTE DE LJUNG-BOX
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

Contraste de Ljung-Box Autocorrelación
 
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
r1 = −0, 731725 r2 = 0, 634641 r3 = −0, 570847 r4 = 0, 627711 r5 = −0, 516370.
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

Contraste de Ljung-Box
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
r1 = 0, 625266 r2 = 0, 373635 r3 = 0, 095541 r4 = −0, 007973
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

Contraste de Ljung-Box
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
r1 = −0, 563045 r2 = 0, 403133 r3 = −0, 371156 r4 = 0, 195483
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
Q = 14, 027 > Q0 = 9, 488
5.3. PRUEBA H DE DURBIN
Yt = β1 + β2 Xt,2 + β3 Xt,3 + β4 Yt−1 + u
n
n−1 Xt,2
Xt,3
Yt−1
n−1
Y Yt
Yt−1

Prueba h de Durbin Autocorrelación
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


Autocorrelación
Econometría
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
SCR 672, 614351

σ̂ 2 = = = 42, 038397
n−k 19 − 3
−1
V (β̂) = σ̂ 2 (Xr Xr ) =
 −1
19 171 67
= 42, 038397  171 3585 812  =
67 812 5243

Prueba h de Durbin
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
σβ2 = 0, 008432 V (β̂)

n 19
h = r1 = −0, 027539 × = −0, 131
1 − nσβ2 1 − 19 × 0, 008432
α = 0, 05
z0 = −1, 645
h = −0, 131 ≮ z0 = −1, 645
5.3.2. Ejercicio
h
Zt Vt
Zt−1
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

Prueba h de Durbin
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
SCR 994, 673711

σ̂ 2 = = = 62, 167107
n−k 19 − 3
−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
h = 2, 446 > z0 = 1, 645
5.3.3. Ejercicio
Yt = β1 + β2 Xt,2 + β3 Xt,3 + β4 Yt−1 + u
h
Xt,2 Xt,3 Yt Xt,2 Xt,3 Yt Xt,2 Xt,3 Yt

19 21 172 17 18 172 17 14 144
15 25 189 16 19 127 7 17 118
20 25 216 24 24 222 19 14 157
20 13 98 12 11 82 14 18 107
16 13 134 16 25 208
16 21 141 11 15 102
   
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

Prueba h de Durbin
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
SCR 3855, 665881

σ̂ 2 = = = 350, 515080
n−k 15 − 4
−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

Autocorrelación
Econometría
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
h = −1, 666 < 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

Prueba h de Durbin
Autocorrelación
   
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

Autocorrelación
Econometría
SCR 57688, 722020

σ̂ 2 = = = 5244, 429275
n−k 15 − 4
−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
h = −1, 463 ≮ z0 = −1, 645
5.4. ESTIMACIÓN POR MÍNIMOS CUADRADOS

GENERALIZADOS
σ2
Ω
β̂ = (X X)−1 X Y

Estimación por mínimos cuadrados generalizados Autocorrelación

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

Econometría
Autocorrelación
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

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
Q̂ = 14, 640866 + 7, 305957X + 1, 846288Z

SCR = Y∗ Y∗ − βˆ∗ X∗ Y∗ =
   
14, 640866 9904, 895100
= 1850001, 4681 −  7, 305957   183576, 059600  = 124784, 290309
1, 846288 194103, 216000
SCR 124784, 290309

σ̂ 2 = = = 9598, 791562
n−k 16 − 3

Autocorrelación
Econometría
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
Ẑ = −59, 130362 + 6, 144077X + 4, 156535V

Autocorrelación
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
SCR 157741, 615181

σ̂ 2 = = = 9858, 850949
n−k 19 − 3
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
Σn2 uˆt ût−1 110719, 190343

ϕ̂ = = = 0, 701902
Σn1 û2t 157741, 60987
 
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

∗ = ∗ =
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
Ẑ = −35, 081081 + 5, 61641X + 2, 087145V

SCR = ∗ ∗ − βˆ∗ ∗ ∗ =
   
−35, 081081 193, 551725
= 123453, 579198802 −  5, 616410   9272, 243352  = 190538, 860340
2, 087145 6242, 553535
SCR 190538, 860340

σ̂ 2 = = = 11908, 678771
n−k 19 − 3

Autocorrelación
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
Ẑ = −48, 337249 + 5, 322507V + 4, 823483W

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
t=1 t=1
   
−48, 337249 2418
= 677396 −  5, 322507   54770  = 306238, 591823
4, 823483 40743
SCR 306238, 591823

σ̂ 2 = = = 21874, 185130
n−k 17 − 3
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

269
Autocorrelación
Econometría
β̂i

D̂(β̂1 ) = 30469, 990257 = 174, 556553

D̂(β̂2 ) = 32, 679848 = 5, 716629

D̂(β̂3 ) = 34, 968890 = 5, 913450
Σn2 (uˆt − ût−1 )2 96711, 89245

DW = = = 0, 316
Σn1 û2t 306238, 550363
α = 0, 05 n = 17 k = 2.
dL = 1, 02 dU = 1, 54
DW = 0, 316 < dL = 1, 02
Σn2 uˆt ût−1 226705, 350273

ϕ̂ = = = 0, 74029
Σn1 û2t 306238, 550363
 
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

Autocorrelación

∗ = ∗ =
   
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
Ẑ = −118, 300436 + 8, 615776V + 5, 264092W

SCR =
∗ ∗ − βˆ∗
∗ ∗ =
   
−118, 300436 227, 115187
= 214288, 936102557 −  8, 615776   13086, 536224  = 277085, 502372
5, 264092 6751, 362713
SCR 277085, 502372

σ̂ 2 = = = 19791, 821598
n−k 17 − 3
Autocorrelación
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


6 6
Ejercicios con datos reales
Ejercicios con datos reales.
6.1. COMPROBANDO SI LOSsiEMCO

6.1 Comprobando SON son
los EMCO LOS los
MÁS EFICIENTES
más eficientes
6.1.1. Ejercicio
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

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
SCR1 = 267591170, 019501 SCR2 = 38687305870, 350100
38687305870, 350100
FExp. = = 144, 576
267591170, 019501
α = 0, 05 g.l.num. = 2 g.l.den. = 2 FT ablas = 19, 000
X

Comprobando si los EMCO son los más eficientesEjercicios con datos reales
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
Ŷ = 7055, 272869 + 0, 779627X

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
r1 = 0, 096472 r2 = −0, 374289

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
278 c© Ediciones

Pirámide
Ediciones Pirámide
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
α = 0, 05 g.l. = p − 1 = 2 χ2T ablas = 5, 991
X1 X2
6.1.5. Ejercicio

Comprobando si los EMCO son los más eficientes
   
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
Ŷ = 21724, 257272 + 0, 081003X1 − 253, 092087X2

   
59670, 610260 198, 201740
 63454, 764588   −923, 384588 
   
 67753, 879102   −922, 611102 
   
 73043, 581024   −2414, 556024 
   
 78807, 645449   3048, 254551 
   
 84135, 319076   288, 113924 
   
 86830, 708194   −3831, 831194 
ˆ = β̂ =  85312, 842173 
 ˆ= − ˆ =  −8172, 526173


   
 85971, 230216   −4082, 360216 
   
 85135, 888531   231, 087469 
   
 82748, 929083   213, 551917 
   
 81728, 863604   2092, 055396 
   
 82335, 199015   5479, 329985 
84420, 293684 8796, 674316

Econometría
n
n

2
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
Σn2 uˆt ût−1 119205272, 875235

ϕ̂ = = = 0, 525209
Σn1 û2t 226967097, 518486


 
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
Econometría
Ŷ = −7291, 928389 + 0, 078394X1 + 89, 536465X2

β3∗ β3

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
ˆ = 10, 731866 + 0, 130012IP C

P IB 2
RP IB = 0, 749032
IPˆC = −41, 773787 + 5, 761273P IB 2

RIP C = 0, 749032
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
χ2Exp. = n × R2 = 26 × 0, 221301 = 5, 754
α = 0, 05 g.l. = p − 1 = 2 χ2T ablas = 5, 991


P IB IP C

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
σ̂u2 = e3,273021−0,047810P IB−0,037543IP C

   
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

   
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
TˆD = 64, 5005 − 4, 330949P IB + 0, 55527IP C
 
−0, 1308
D̂(β̂i ) − D̂(β̂i∗ )
=  0, 1620 
D̂(β̂i ) i=1,..,3 0, 2770

6.1.8. Ejercicio
Σn2 (uˆt − ût−1 )2 24, 043669

DW = = = 0, 527
Σn1 û2t 45, 615354
α = 0, 05 n = 26 k = 2.
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
r1 = 0, 683885 r2 = 0, 289593 r3 = −0, 037282 r4 = −0, 195288.
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
Σn2 uˆt ût−1 31, 195645

ϕ̂ = n 2 = = 0, 683885
Σ1 ût 45, 615354
ϕ̂ r1
 
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
TˆD = 61, 482249 − 4, 298475P IB + 0, 58107IP C

SCR = ∗ ∗ − βˆ∗ ∗ ∗ =
   
61, 482249 53, 194482
= 1116, 52725190768 −  −4, 298475   1084, 499640  = 21, 838180
0, 581070 4278, 086796
SCR 21, 838180

σ̂ 2 = = = 0, 949486
n−k 26 − 3
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

Estimación y análisis estructural.
6.2. ESTIMACIÓN Y ANÁLISIS ESTRUCTURAL

6.2 Estimación y análisis estructural.
6.2.1. Ejercicio
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
Ŷ = −7931, 65512 + 0, 828072X
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
−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
= 3093478861638 − 11 × 371036, 5454552 = 1579129562943, 02
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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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 
X
β1 = 0
Y = β2 X
β1 = 0
Ŷ = 0, 8192X.
R2 = 0, 9517
6.2.2. Ejercicio
 
21724, 257272
β̂ = (X X)−1 X Y =  0, 081003 
−253, 092087
Ŷ = 21724, 257272 + 0, 081003X1 − 253, 092087X2

X1 P IB
Y
P IB
0, 081003 × 1000 = 81
253, 092087 × 1000 = 253092, 087
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

Estimación y análisis estructural. Ejercicios con datos reales
= 226967097, 416809
SCR 226967097, 416809

σ̂ 2 = = = 20633372, 492437
n−k 14 − 3
−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
= 87919293993, 636900 − 14 × 78667, 8395712 = 1278488233, 932510
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
= 87692326896, 220100 − 14 × 78667, 8395712 = 1051521136, 515700
Econometría
14

t=1
= 1278488233, 932510 − 1051521136, 515700 = 226967097, 416809
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
X 12752 13685 14526 15265 16038 16829 17618 18614

Y 438096 468164 497276 529317 573791 621004 668085 717201
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
Ŷ = −206563, 902694 + 49, 194868X

Econometría
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
SCR 857687630, 339844

σ̂ 2 = = = 142947938, 389974
n−k 8−2
−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
= 2614162464100 − 8 × 564116, 752 = 68340803055, 5
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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
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 
H0 : β2 = 0
H1 : β2 = 0
 
 β̂   
 49, 194868 
 2 
|tExp. | =  =  = 21, 727 > 2, 447
 D̂(β̂2 )   2, 264181 

Econometría
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
TˆD = 61, 733151 − 4, 24147P IB + 0, 564852IP C
304 c© Ediciones
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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
= 8577, 119169 − 26 × 17, 2860382 = 808, 134316
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
= 808, 134316 − 762, 518254 = 45, 616062
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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P IB
H0 : β3 = 0
H1 : β3 = 0
  
 β̂   0, 564852  
 3 
|tExp. | =  =
 = 17, 366 > 2, 069
 D̂(β̂3 )  0, 032527 
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 .
δ̂ = (Xr Xr )−1 Xr Y =

1 2387 −2387 5632116, 20000012
=
1814120 −2387 3147 4672243, 51000008

1262, 990382
δ̂ =
694, 380171
Ŷ = 1262, 990382 + 694, 380171P
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
= 13534907143, 262 − 3147 × 1789, 6778522 = 3455233519, 79489

SCE = β̂ − nȲ 2 =
r

1262, 990382 5632116, 20000012
= − 3147 × 1789, 6778522 =
694, 380171 4672243, 51000008
= 10357621838, 334 − 3147 × 1789, 6778522 = 277948214, 86692
SCR = SCT − SCE =

= 3455233519, 79489 − 277948214, 86692 = 3177285304, 92797
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 
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
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
Y = (β1 + β3 + β6 ) + (β2 − β3 )H + (β4 − β6 )P + (β5 − β6 )S + β7 A + u

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
SCR 2267687994, 18817

σ̂ 2 = = = 746195, 45712
n−k 3044 − 5
−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
= 13127155572, 216 − 3044 × 1793, 3530352 = 3337301183, 02652
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
= 10859467578, 0278 − 3044 × 1793, 3530352 = 1069613188, 83835
SCR = SCT − SCE =

= 3337301183, 02652 − 1069613188, 83835 = 2267687994, 18817

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 
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 

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 

δ4 = β 5 − β 6
H0 : δ 5 = 0
H1 : δ5 = 0
  
 δ̂   28, 544862  
 5    = 20, 431 > 1, 961
|tExp. | =  =
 D̂(δ̂5 )   1, 397154 

δ 5 = β7
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
δ̂ = (Xr Xr )−1 Xr Y =

 
137180498 −137180498 −137180498
1  −137180498
= 226716728 137180498  ×
1586492459370
−137180498 137180498 342100733
 
629560855, 422717
×  338576148, 83918 
122400894, 63284
 
14577, 069775
δ̂ =  4531, 014701 
1232, 914032
Ŷ = 14577, 069775 + 4531, 014701F1 + 1232, 914032F2
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
= 15738785265365, 5 − 37026 × 17003, 2100532 = 5034229799472, 45

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
= 5034229799472, 45 − 157600339533, 04 = 4876629459939, 41
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 
Se rechaza H0 p − valor = 0, 00E + 00
H0 : δ 2 = 0

H1 : δ2 = 0
  
 δ̂   4531, 014701  
 2    = 33, 025 > 1, 960
|tExp. | =  =
 D̂(δ̂2 )  137, 197707 

δ 2 = β2 − β 4 β 2 − β4
H0 : δ 3 = 0
H1 : δ3 = 0
  
 δ̂   1232, 914032  
 3    = 7, 316 > 1, 960
|tExp. | =  =
 D̂(δ̂3 )  168, 531882 

δ 3 = β3 − β 4 β 3 − β4
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
p − valor = 1, 97E − 256
H0 : R 2 = 0

6.3. EXPLOTACIÓN DEL MODELO

6.3 Explotación del modelo.
6.3.1. Ejercicio

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
Ŷ = −7931, 65512 + 0, 828072X
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
Ŷf = βˆ1 + β̂2 Xf
Ŷf = −7931, 65512 + 0, 828072 × 150000 = 116279, 14488

Explotación del modelo. Ejercicios con datos reales
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
−104998, 361461 < Yf < 337556, 651221

R2 = 0, 951908
P (Y < 0)
Y N (µ, σ 2 ) σ 1/5
µ
P (Y < 0) < P (Y < µ − 5σ)

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
Ŷ = 1071, 755278 + 0, 077829X

Explotación del modelo. Ejercicios con datos reales
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
75006, 474269 < Yf < 95247, 676287

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
TˆD = 59, 434362 − 5, 081419P IB + 0, 849917IP C
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
SCR 10, 991470

σ̂ 2 = = = 0, 999225
n−k 14 − 3
P IBf = 23 IP Cf = 100
TˆDf = βˆ1 + β̂2 P IBf + β̂3 IP Cf
TˆDf = 59, 434362 − 5, 081419 × 23 + 0, 849917 × 100 = 27, 553378

Explotación del modelo.
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
23, 201656 < T Df < 31, 905099
T Df = 25
tExp. = |T D − TˆDf | |25 − 27, 553378|

f = = 1, 291 < 2, 201
σ̂ 1 + c ( )−1 c 0, 999612 × 1 + 347498,456276
119325,792260
p − valor = 2, 23E − 01

Bibliografía
[1] Alonso, A., Fernández, J. y Gallastegui, I. (2005). Econometría. Prentice-

Hall.
[2] Caridad, J. M. (1998). Econometría: modelos econométricos uniecuacionales.
Reverte.
[3] Greene, W. (1999). Análisis Eeconométrico. Prentice-Hall.
[4] Guisan, M. C. (1997). Econometría. McGraw-Hill.
[5] Gujarati, D. (2010). Econometría. McGraw-Hill.
[6] Johnston, J. (1987). Econometría. McGraw-Hill.
[7] Johnston, J. y Dinardo, J. (2001). Métodos de econometría. Vicens-Vives.
[8] Maddala, G. S. (2001). Econometría. McGraw-Hill.
[9] Martín, G., Labeaga, J. M. y Mochón, F. (1997). Introducción a la econome-
tría. Prentice-Hall.
[10] Novales, A. (2014). Estadística y econometría. McGraw-Hill.
[11] Palacios, F., García, R. M. y Herrerías, J. M. (2011). Ejercicios de econometría
1. Pirámide.
[12] Pindyck, R. S. y Rubinfeld, D. L. (2001). Econometría, modelos y pronósticos.
McGraw-Hill.
[13] Pulido, A. y Pérez, J. (2001). Modelos econométricos. Pirámide.
[14] Schmidt, S. J. (2005). Econometría. McGraw-Hill.
[15] Sánchez, C. (1999). Métodos econométricos. Ariel Economía.
[16] Stewart, M. B. y Wallis, K. F. (1984). Introducción a la econometría. Alianza
Universidad.
[17] Stock, J. H. y Watson, M. M. (2012). Introducción a la econometría (3.ª ed.).
Pearson.
[18] Wooldridge, J. M. (2013). Introductory Econometrics: a modern approach (5.ª
ed.). South-Western.
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[21] González, S. (Coord.) (2007). Ejercicios resueltos de econometría. El modelo

de regresión múltiple. Delta Publicaciones.
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Econometría

FEDERICO PALACIOS GONZÁLEZ

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© Rosa María García Fernández y José Manuel Herrerías Velasco, 2017

1. El modelo lineal I .......................................................................................... 13

1.1. Sobre los errores de redondeo .................................................................. 13

1.7.4. Ejercicio ..................................................................................... 53

2. El modelo lineal II ........................................................................................ 81

2.1. Intervalos de confianza .......................................................................... 81

3. Multicolinealidad ......................................................................................... 121

3.1. Multicolinealidad exacta ........................................................................ 121

3.3. Multicolinealidad aproximada ................................................................. 190

4. Heterocedasticidad ...................................................................................... 199

5. Autocorrelación ............................................................................................ 235

5.1. Contraste de Durbin-Watson ................................................................... 235

6. Ejercicios con datos reales ......................................................................... 273

6.1.3. Ejercicio ....................................................................................... 278

Bibliografía ........................................................................................................... 329

M̂ = 108, 85 + 2, 22O + 8, 64N

1.2. SOBRE LA NOTACIÓN USADA

1.3. ESTIMACIÓN DE LOSde

Q̂ = 42, 361957 − 0, 04003X + 7, 936946Z

Â = 38, 149415 + 5, 215172B + 8, 643418C

Â = 122, 568943 + 4, 56845B + 5, 258033C

1.4. ESTIMACIÓN DE LOS PARÁMETROS DISPERSIÓN

Ŷ = 108, 85335 + 6, 096048X2 + 3, 97045X3

1.5. BONDAD DE AJUSTE. COEFICIENTE DE DETERMINACIÓN

Ĉ = −51, 717168 + 4, 987249S + 1, 262734W

= 65810, 550542 − 10 × 73, 12 = 12374, 450542

= 14950, 9 − 12374, 450542 = 2576, 449458

12374, 450542 2576, 449458

= 191562 − 9 × 115, 3333332 = 71846, 000692

= 71846, 000692 − 31491, 041303 = 40354, 959389

= 1486408 − 28 × 207, 6428572 = 279172, 430233

1.6. COEFICIENTE DE DETERMINACIÓN CORREGIDO

= 556935 − 21 × 110, 7142862 = 299524, 284386

= 299524, 284386 − 56361, 809803 = 243162, 474583

SCR 2k 243162, 474583 2 × 3

SCR k 243162, 474583 3

= 556935 − 21 × 110, 7142862 = 299524, 284386

= 313066, 387614 − 21 × 110, 7142862 = 55655, 672

= 299524, 284386 − 55655, 672 = 243868, 612386

(n − 1)σ̂ 2 (21 − 1)12835, 190126

SCR 2k 243868, 612386 2 × 2

SCR k 243868, 612386 2

Q̂ = 101, 248768 + 0, 465517Z

= 556935 − 21 × 110, 7142862 = 299524, 284386

= 299524, 284386 − 398, 003196 = 299126, 28119

(n − 1)σ̂ 2 (21 − 1)15743, 488484

SCR 2k 299126, 28119 2 × 2

SCR k 299126, 28119 2

B̂ = −15, 960698 + 4, 113765D + 3, 25808A

= 573596 − 30 × 112, 2666672 = 195481, 864421

= 407597, 902081 − 30 × 112, 2666672 = 29483, 766502

= 195481, 864421 − 29483, 766502 = 165998, 097919

(n − 1)σ̂ 2 (30 − 1)6148, 077701

SCR 2k 165998, 097919 2 × 3

SCR k 165998, 097919 3

B̂ = 37, 911489 + 3, 91343D

= 573596 − 30 × 112, 2666672 = 195481, 864421

= 397043, 368422 − 30 × 112, 2666672 = 18929, 232843

= 195481, 864421 − 18929, 232843 = 176552, 631578

3. Multicolinealidad ......................................................................................... 121