Professional Documents
Culture Documents
Cibele Borges
Tabiner Domingues Marques
N USP
7600972
7185351
MODELO VAR
Estime o modelo VAR para a 1 diferena das variveis.
1.
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
938.9536
968.3784
991.6521
1005.995
1042.216
1057.197
1062.115
1073.064
1078.231
1096.982
1121.735
1138.535
1210.833
1226.652
1240.955
1242.432
NA
57.77957
45.13684
27.46883
68.49041
27.96536
9.061359
19.90691
9.268938
33.18402
43.20459
28.91567
122.6889
26.46003
23.57873*
2.398885
4.01e-08
2.94e-08
2.33e-08
2.06e-08
1.39e-08
1.22e-08
1.21e-08
1.11e-08
1.09e-08
9.15e-09
7.12e-09
6.10e-09
2.67e-09
2.32e-09
2.05e-09*
2.11e-09
-11.35701
-11.66519
-11.89881
-12.02418
-12.41474
-12.54785
-12.55898
-12.64320
-12.65735
-12.83615
-13.08770
-13.24284
-14.07071
-14.21396
-14.33885*
-14.30827
-11.31937
-11.55225
-11.71057
-11.76065
-12.07591
-12.13372
-12.06955
-12.07849
-12.01733
-12.12084
-12.29709
-12.37694
-13.12951
-13.19747
-13.24706*
-13.14118
-11.34173
-11.61934
-11.82240
-11.91720
-12.27719
-12.37974
-12.36030
-12.41397
-12.39754
-12.54578
-12.76676
-12.89134
-13.68864
-13.80133
-13.89566*
-13.83451
D_LEMPREGO
D_LPIB
D_LEMPREGO(-1)
0.420236
(0.08122)
[ 5.17379]
2.246863
(0.76895)
[ 2.92200]
D_LEMPREGO(-2)
0.306223
(0.08690)
[ 3.52392]
2.505688
(0.82267)
[ 3.04580]
D_LEMPREGO(-3)
0.038839
(0.05931)
[ 0.65485]
-0.130295
(0.56149)
[-0.23205]
D_LEMPREGO(-4)
-0.005670
(0.05791)
[-0.09791]
-0.233854
(0.54823)
[-0.42656]
D_LEMPREGO(-5)
-0.117758
(0.05607)
[-2.10025]
-1.701452
(0.53080)
[-3.20544]
D_LEMPREGO(-6)
0.013786
(0.05501)
[ 0.25063]
0.468603
(0.52075)
[ 0.89987]
D_LEMPREGO(-7)
-0.148551
(0.05449)
[-2.72645]
-0.377702
(0.51581)
[-0.73225]
D_LEMPREGO(-8)
0.045778
(0.05471)
[ 0.83667]
0.046825
(0.51798)
[ 0.09040]
D_LEMPREGO(-9)
0.036897
(0.05415)
[ 0.68136]
0.984093
(0.51266)
[ 1.91959]
D_LEMPREGO(-10)
-0.097806
(0.05474)
[-1.78683]
-1.038063
(0.51820)
[-2.00322]
D_LEMPREGO(-11)
-0.009019
(0.05575)
[-0.16176]
-0.857626
(0.52783)
[-1.62481]
D_LEMPREGO(-12)
0.832191
(0.05356)
[ 15.5363]
-1.023265
(0.50709)
[-2.01790]
D_LEMPREGO(-13)
-0.277164
(0.08832)
[-3.13801]
0.468138
(0.83617)
[ 0.55986]
D_LEMPREGO(-14)
-0.317496
(0.08796)
[-3.60941]
-0.428567
(0.83275)
[-0.51464]
D_LPIB(-1)
0.007137
(0.00919)
[ 0.77696]
-0.459094
(0.08697)
[-5.27900]
D_LPIB(-2)
-0.001386
(0.01007)
[-0.13766]
-0.487328
(0.09534)
[-5.11161]
D_LPIB(-3)
0.003999
(0.01091)
[ 0.36665]
-0.175721
(0.10327)
[-1.70164]
D_LPIB(-4)
0.003167
(0.01086)
[ 0.29175]
-0.367107
(0.10277)
[-3.57212]
D_LPIB(-5)
0.006581
(0.01108)
[ 0.59414]
-0.136939
(0.10487)
[-1.30583]
D_LPIB(-6)
0.009150
(0.01094)
[ 0.83627]
-0.136934
(0.10358)
[-1.32203]
D_LPIB(-7)
-0.001904
(0.01091)
[-0.17458]
-0.168424
(0.10325)
[-1.63124]
D_LPIB(-8)
0.004720
(0.01078)
[ 0.43782]
-0.167270
(0.10207)
[-1.63878]
D_LPIB(-9)
-0.004296
(0.01068)
[-0.40229]
-0.151663
(0.10109)
[-1.50023]
D_LPIB(-10)
0.021374
(0.01016)
[ 2.10429]
-0.029377
(0.09616)
[-0.30551]
D_LPIB(-11)
-0.006412
(0.00987)
[-0.64946]
-0.060416
(0.09347)
[-0.64635]
D_LPIB(-12)
-0.019425
(0.00949)
[-2.04720]
0.101941
(0.08983)
[ 1.13484]
D_LPIB(-13)
-0.006397
(0.00871)
[-0.73409]
-0.005593
(0.08250)
[-0.06779]
D_LPIB(-14)
-0.018809
(0.00836)
[-2.25021]
0.106902
(0.07913)
[ 1.35094]
0.000901
(0.00065)
[ 1.37712]
0.024382
(0.00619)
[ 3.93586]
0.886523
0.863330
0.000574
0.002046
38.22459
808.2400
0.766663
0.718974
0.051401
0.019370
16.07624
435.1031
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
-9.388434
-8.844773
0.003161
0.005534
-4.892808
-4.349148
0.008489
0.036539
1.46E-09
9.98E-10
1249.149
-14.35119
-13.26387
-1.0
-0.5
0.0
0.5
1.0
1.5
O teste LM nos indicou que h autocorrelao nos lags 12 e 14. Ainda que para a determinao da
ordem do modelo VAR seja necessrio que no haja correlao dos resduos, observa-se que
frequente a autocorelao no lag 12, indicando que pode ser uma caracterstica da srie, devido
provavelmente a sazonalidade.
Teste LM
VAR Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag
order h
Date: 05/29/15 Time: 12:38
Sample: 2000M01 2015M01
Included observations: 166
Lags
LM-Stat
Prob
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
2.739160
1.017119
3.485724
2.296139
4.218203
2.232825
2.291728
5.156654
6.674486
1.832180
1.598092
29.61953
3.892808
15.43059
0.621210
1.245522
0.6024
0.9072
0.4801
0.6815
0.3773
0.6930
0.6823
0.2716
0.1541
0.7666
0.8091
0.0000
0.4207
0.0039
0.9607
0.8705
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Jarque-Bera
Probability
RESID03
RESID04
8.45E-19
1.17E-05
0.004682
-0.006572
0.001864
-0.357963
3.834424
3.70E-18
0.002744
0.049746
-0.072923
0.017650
-1.070157
6.147632
8.360970
0.015291
100.2123
0.000000
Sum
Sum Sq. Dev.
1.46E-16
0.000574
6.09E-16
0.051401
Observations
166
166
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
6
7
8
9
10
11
939.1218
969.0234
997.6203
1012.782
1052.735
1067.126
1071.983
1086.371
1091.478
1113.816
1140.189
1156.409
NA
58.34444
55.10148
28.84387
75.03439
26.67607
8.883874
25.96861
9.094038
39.22695
45.67038
27.69273
3.82e-08
2.79e-08
2.07e-08
1.80e-08
1.16e-08
1.02e-08
1.01e-08
8.94e-09
8.83e-09
7.06e-09
5.38e-09
4.64e-09
-11.40392
-11.71980
-12.01976
-12.15588
-12.59433
-12.72105
-12.73150
-12.85818
-12.87169
-13.09532
-13.36816
-13.51718
-11.32832
-11.56858
-11.79294
-11.85345
-12.21630
-12.26741
-12.20225
-12.25333
-12.19123
-12.33925
-12.53649
-12.60991
-11.37323
-11.65841
-11.92768
-12.03310
-12.44087
-12.53689
-12.51664
-12.61263
-12.59545
-12.78838
-13.03053
-13.14886
12
13
14
15
16
1232.561
1248.033
1263.387
1264.134
1267.393
128.1588
25.65988
25.09078*
1.203222
5.166906
1.93e-09
1.68e-09
1.46e-09*
1.52e-09
1.54e-09
VAR(14)
D_LPIB
D_LEMPREGO(-1)
0.372426
(0.07588)
[ 4.90832]
1.669449
(0.67797)
[ 2.46243]
D_LEMPREGO(-2)
0.313236
(0.08051)
[ 3.89081]
2.590380
(0.71934)
[ 3.60105]
D_LEMPREGO(-3)
0.043880
(0.05495)
[ 0.79856]
-0.069420
(0.49097)
[-0.14139]
D_LEMPREGO(-4)
0.012029
(0.05376)
[ 0.22374]
-0.020094
(0.48040)
[-0.04183]
D_LEMPREGO(-5)
-0.112723
(0.05195)
[-2.16999]
-1.640642
(0.46415)
[-3.53473]
D_LEMPREGO(-6)
-0.003677
(0.05108)
[-0.07199]
0.257690
(0.45640)
[ 0.56462]
D_LEMPREGO(-7)
-0.169634
(0.05066)
[-3.34880]
-0.632319
(0.45261)
[-1.39705]
D_LEMPREGO(-8)
0.039077
(0.05070)
[ 0.77074]
-0.034110
(0.45302)
[-0.07530]
D_LEMPREGO(-9)
0.044003
1.069918
-14.39709
-14.53698
-14.67545*
-14.63578
-14.62675
-13.41420
-13.47849
-13.54135*
-13.42608
-13.34144
-13.99808
-14.10728
-14.21505*
-14.14469
-14.10496
(0.05018)
[ 0.87687]
(0.44839)
[ 2.38616]
D_LEMPREGO(-10)
-0.094483
(0.05071)
[-1.86329]
-0.997930
(0.45308)
[-2.20256]
D_LEMPREGO(-11)
-0.011121
(0.05165)
[-0.21532]
-0.883014
(0.46148)
[-1.91346]
D_LEMPREGO(-12)
0.823949
(0.04965)
[ 16.5967]
-1.122804
(0.44359)
[-2.53118]
D_LEMPREGO(-13)
-0.238415
(0.08220)
[-2.90037]
0.936119
(0.73449)
[ 1.27452]
D_LEMPREGO(-14)
-0.317002
(0.08148)
[-3.89053]
-0.422591
(0.72804)
[-0.58045]
D_LPIB(-1)
0.012753
(0.00859)
[ 1.48513]
-0.391274
(0.07673)
[-5.09956]
D_LPIB(-2)
0.001998
(0.00935)
[ 0.21361]
-0.446453
(0.08358)
[-5.34157]
D_LPIB(-3)
0.006080
(0.01011)
[ 0.60118]
-0.150596
(0.09036)
[-1.66659]
D_LPIB(-4)
0.008109
(0.01011)
[ 0.80238]
-0.307418
(0.09030)
[-3.40422]
D_LPIB(-5)
0.015221
(0.01041)
[ 1.46168]
-0.032598
(0.09304)
[-0.35035]
D_LPIB(-6)
0.017275
(0.01027)
[ 1.68183]
-0.038808
(0.09178)
[-0.42285]
D_LPIB(-7)
0.006014
(0.01023)
[ 0.58775]
-0.072793
(0.09143)
[-0.79616]
D_LPIB(-8)
0.012159
(0.01010)
[ 1.20349]
-0.077428
(0.09028)
[-0.85769]
D_LPIB(-9)
-0.000152
(0.00993)
[-0.01528]
-0.101612
(0.08871)
[-1.14546]
D_LPIB(-10)
0.026706
(0.00947)
[ 2.81938]
0.035018
(0.08464)
[ 0.41375]
D_LPIB(-11)
-0.001538
(0.00920)
[-0.16716]
-0.001545
(0.08221)
[-0.01880]
D_LPIB(-12)
-0.015330
(0.00883)
[-1.73625]
0.151396
(0.07889)
[ 1.91902]
D_LPIB(-13)
-0.009285
(0.00809)
[-1.14717]
-0.040470
(0.07232)
[-0.55960]
D_LPIB(-14)
-0.019362
(0.00774)
[-2.50050]
0.100215
(0.06919)
[ 1.44843]
0.000554
(0.00061)
[ 0.90771]
0.020190
(0.00545)
[ 3.70227]
DUMMY
-0.004089
(0.00084)
[-4.86512]
-0.049388
(0.00751)
[-6.57594]
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
0.903344
0.882734
0.000489
0.001895
43.82960
821.5574
-9.536836
-8.974428
0.003161
0.005534
0.822957
0.785205
0.039000
0.016934
21.79910
458.0184
-5.156848
-4.594441
0.008489
0.036539
1.02E-09
6.86E-10
1280.222
-14.70147
-13.57666
-1.0
-0.5
0.0
0.5
1.0
1.5
LM-Stat
Prob
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
4.094171
1.299602
1.577665
2.747469
5.886443
3.024785
3.015841
5.447861
1.854571
9.187050
3.618950
26.38967
5.759368
9.107141
0.938917
0.3934
0.8614
0.8128
0.6009
0.2078
0.5537
0.5552
0.2444
0.7625
0.0566
0.4600
0.0000
0.2179
0.0585
0.9189
Date: 05/29/15
Time: 12:49
Sample: 2000M01 2015M01
RESID01
RESID02
9.63E-19
-8.12E-05
0.004528
-0.005584
0.001721
0.100624
3.140401
9.88E-18
0.001707
0.051058
-0.040425
0.015374
-0.036962
3.367766
Jarque-Bera
Probability
0.416474
0.812015
0.973289
0.614686
Sum
Sum Sq. Dev.
1.77E-16
0.000489
1.65E-15
0.039000
Observations
166
166
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
O teste de normalidade nos revela que a incluso de dummies no modelo corrigiu o problema de no
normalidade dos resduos. As variveis revelaram com a transformao caractersticas de
normalidade. Apresentam, agora, simetria, curtose prxima de 3, e a probabilidade Jarque-Bera
reafirma ao rejeitar a hiptese de no normalidade do modelo. De fato, a normalidade no uma
caracterstica necessria, entretanto desejvel nas estimaes do modelo.
.0025
.0025
.0020
.0020
.0015
.0015
.0010
.0010
.0005
.0005
.0000
.0000
-.0005
-.0005
1
10
10
10
.020
.020
.015
.015
.010
.010
.005
.005
.000
.000
-.005
-.005
-.010
-.010
1
10
120
120
80
80
40
40
10
80
80
40
40
10
120
10
Varianc
e
Decom
position
of
D_LEM
PREGO
:
Period
S.E.
D_LEMPREGO
D_LPIB
0.001895
0.002040
0.002230
0.002345
100.0000
(0.00000)
98.88853
(1.58510)
99.05186
(1.65798)
98.92521
(2.04193)
0.000000
(0.00000)
1.111471
(1.58510)
0.948139
(1.65798)
1.074792
(2.04193)
10
0.002438
98.44377
(3.12383)
97.48740
(4.44950)
95.88393
(5.80896)
95.54370
(6.59126)
94.80685
(7.30815)
94.75811
(7.69807)
1.556226
(3.12383)
2.512605
(4.44950)
4.116067
(5.80896)
4.456295
(6.59126)
5.193149
(7.30815)
5.241889
(7.69807)
0.002479
0.002528
0.002533
0.002545
10
0.002546
Varianc
e
Decom
position
of
D_LPIB
:
Period
S.E.
D_LEMPREGO
D_LPIB
0.016934
0.018357
0.019437
0.019639
0.019875
0.020158
0.020211
0.020302
0.020330
10
0.020387
0.775669
(1.29621)
2.636003
(2.39536)
7.578593
(3.02419)
7.427772
(2.97218)
7.330811
(2.98615)
8.158403
(3.14475)
8.187925
(3.13310)
8.244094
(3.08374)
8.396510
(3.11406)
8.696930
(3.16301)
99.22433
(1.29621)
97.36400
(2.39536)
92.42141
(3.02419)
92.57223
(2.97218)
92.66919
(2.98615)
91.84160
(3.14475)
91.81208
(3.13310)
91.75591
(3.08374)
91.60349
(3.11406)
91.30307
(3.16301)
Choles
ky
Orderin
g:
D_LEM
PREGO
D_LPIB
Standa
rd
Errors:
Monte
Carlo
(100
repetitio
ns)
Chi-sq
df
Prob.
D_LPIB
37.85585
14
0.0005
All
37.85585
14
0.0005
Chi-sq
df
Prob.
D_LEMPREGO
105.0184
14
0.0000
All
105.0184
14
0.0000