Laboratorio 2

Econometría ll

Ratzel Gissella Palma Palma

#(1) Opciones y generación de los valores de ven y ben

> options(scipen=999,digits=4)

>

>
ven=c(148,135.37,109.35,101.97,127.73,174.07,142.62,102.82,113.26,109.24,120.4,104.69
,66.38,110.54,151.81,152.66,85.4,111.69,116.72,141.4,160.6,118.13,160.54,80.03,129.93,8
2.22,102.21,126.44,123.99,77.13)

>
ben=c(12.2976,25.3227,1.8745,0.7579,1.1456,39.604,18.312,6.743,8.3155,22.4568,17.038
1,16.8013,1.9336,3.1372,4.5819,9.6395,4.6201,20.9046,13.5548,28.952,7.1542,6.075,6.74
54,5.2981,21.7531,14.1775,3.7271,4.6861,17.7992,5.8374)

> cbind(ven,ben)

ven ben

[1,] 148.00 12.2976

[2,] 135.37 25.3227

[3,] 109.35 1.8745

[4,] 101.97 0.7579

[5,] 127.73 1.1456

[6,] 174.07 39.6040

[7,] 142.62 18.3120

[8,] 102.82 6.7430

[9,] 113.26 8.3155

[10,] 109.24 22.4568

[11,] 120.40 17.0381

[12,] 104.69 16.8013

[13,] 66.38 1.9336

[14,] 110.54 3.1372

[15,] 151.81 4.5819

[16,] 152.66 9.6395

[17,] 85.40 4.6201

[18,] 111.69 20.9046

[19,] 116.72 13.5548

[20,] 141.40 28.9520

[21,] 160.60 7.1542

[22,] 118.13 6.0750

[23,] 160.54 6.7454

[24,] 80.03 5.2981

[25,] 129.93 21.7531

[26,] 82.22 14.1775

[27,] 102.21 3.7271

[28,] 126.44 4.6861

[29,] 123.99 17.7992

[30,] 77.13 5.8374

> (3) estimar modelo y evaluar su significancia

Error: unexpected symbol en " (3) estimar"

> modelo1=lm(ben~ven)

> summary(modelo1)

Call:

lm(formula = ben ~ ven)

Residuals:

Min 1Q Median 3Q Max

-11.91 -7.17 -1.95 6.84 19.81

Coefficients:

Estimate Std. Error t value Pr(>|t|)

(Intercept) -6.0356 7.3935 -0.82 0.42

ven 0.1484 0.0604 2.46 0.02 *

---

Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 8.76 on 28 degrees of freedom

Multiple R-squared: 0.177, Adjusted R-squared: 0.148

F-statistic: 6.04 on 1 and 28 DF, p-value: 0.0204

# (6) Realizar la prueba de White de heteroscedasticidad

> # Asume que el proceso de heterocedasticidad es una función de una o más

> # de sus variables independientes, y generalmente se aplica asumiendo que

> # la heterocedasticidad puede ser una función lineal de todas las variables

> # independientes en el modelo.

> res2_2=resid(modelo1)^2

> pred=fitted(modelo1)

> pred_2=fitted(modelo1)^2

> white.test=lm(res2_2~pred+pred_2)

> summary(white.test)

Call:

lm(formula = res2_2 ~ pred + pred_2)

Residuals:

Min 1Q Median 3Q Max

-111.4 -32.7 -10.6 37.4 162.3

Coefficients:

Estimate Std. Error t value Pr(>|t|)

(Intercept) 85.439 86.156 0.99 0.330

pred -17.537 15.226 -1.15 0.260

pred_2 1.255 0.635 1.98 0.058 .

---

Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 63.4 on 27 degrees of freedom

Multiple R-squared: 0.432, Adjusted R-squared: 0.39

F-statistic: 10.3 on 2 and 27 DF, p-value: 0.000478

> r2=summary(white.test)$adj.r.squared

> lm_test=r2*length(pred)

> lm_test

[1] 11.71

> #pchisq(q, df, ncp = 0, lower.tail = TRUE, log.p = FALSE)

> pchisq(lm_test,2, ncp = 0, lower.tail = FALSE, log.p = FALSE)

[1] 0.002865

Dado que el p. value es 0.002865 es menor que 0.05, por ende, rechazamos la hipótesis
nula y se concluye que el modelo original es heteroskedasticidad

> # (7) corregir heteroskedasticidad

> hccm(modelo1,type=c( "hc3"), singular.ok=TRUE)

(Intercept) ven

(Intercept) 75.443 -0.68797

ven -0.688 0.00643

> hccm(modelo1)

(Intercept) ven

(Intercept) 75.443 -0.68797

ven -0.688 0.00643

> modelo1

Call:

lm(formula = ben ~ ven)

Coefficients:

(Intercept) ven

-6.036 0.148

> # (8) comparar resultados

> summary(modelo1)

Call:

lm(formula = ben ~ ven)

Residuals:

Min 1Q Median 3Q Max

-11.91 -7.17 -1.95 6.84 19.81

Coefficients:

Estimate Std. Error t value Pr(>|t|)

(Intercept) -6.0356 7.3935 -0.82 0.42

ven 0.1484 0.0604 2.46 0.02 *

---

Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 8.76 on 28 degrees of freedom

Multiple R-squared: 0.177, Adjusted R-squared: 0.148

F-statistic: 6.04 on 1 and 28 DF, p-value: 0.0204