UNIVERSIDAD NACIONAL DE PIURA

FACULTAD DE ECONOMIA

SOLUCIN DE LA SEGUNDA PRCTICA DE ECONOMETRIA II

1

Considere el modelo estructural siguiente:

EMI = a + b*CT + c*EMI(-1) + d*SPREAD + U1
CT = e + f*EMI + g*CT(-1) + h*TA + U2
Se le pide:

1.1.

Estime el crdito total por mnimos cuadrados trietpicos para el periodo 2001:01 - 2009:04 y
determine los multiplicadores de impacto y dinmicos. (6 Puntos)
System: SYS01
Estimation Method: Three-Stage Least Squares
Sample: 2001M02 2009M04
Included observations: 95
Total system (balanced) observations 190
Coefficient

Std. Error

t-Statistic

C(1)

439.5786

256.0881

1.716513

C(2)

0.003937

0.001814

2.170431

0.0313

C(3)

0.827046

0.076014

10.88017

0.0000

C(4)

-1.268965

0.432851

-2.931643

0.0038

C(5)

9610.406

14843.74

0.647439

0.5182

C(6)

2.831510

0.736906

3.842433

0.0002

C(7)

0.955394

0.019673

48.56422

0.0000

C(8)

-412.7446

576.7413

-0.715649

0.4751

Determinant residual covariance

Prob.
0.0878

3.32E+13

Equation: EMI = C(1) + C(2)*CT + C(3)*EMI(-1) + C(4)*SPREAD

Instruments: C EMI(-1) SPREAD CT(-1) TA
Observations: 95
R-squared

0.986080

Mean dependent var

10571.08

Adjusted R-squared

0.985621

S.D. dependent var

5184.013

S.E. of regression

621.6341

Sum squared resid

35165036

Durbin-Watson stat

2.564317

Equation: CT = C(5) + C(6)*EMI + C(7)*CT(-1) + C(8)*TA

Instruments: C EMI(-1) SPREAD CT(-1) TA
Observations: 95
0.997620

Mean dependent var

Adjusted R-squared

0.997541

S.D. dependent var

197718.9

S.E. of regression

9803.930

Sum squared resid

8.75E+09

Durbin-Watson stat

1.424073

R-squared

539090.3

EMI = P1 + P2*EMI(-1) + P3*SPREAD + P4*CT(-1) + P5*TA + V1

CT = P6 + P7*EMI(-1) + P8*SPREAD + P9*CT(-1) + P10*TA + V2
CT = P6 + P7*(P1 + P2*EMI(-2) + P3*SPREAD(-1) + P4*CT(-2) + P5*TA(-1) + V1(-1)) +
P8*SPREAD + P9*( P6 + P7*EMI(-2) + P8*SPREAD(-1) + P9*CT(-2) + P10*TA(-1) + V2(-1)) +

2
P10*TA + V2
CT = (P6+P7*P1+P9*P6) + (P7*P2+ P9*P7)*EMI(-2) + (P7*P4+ P9*P9)*CT(-2) + P8*SPREAD +
(P7*P3+P9*P8)*SPREAD(-1) + P10*TA + (P7*P5+P9*P10)*TA(-1) + ( V2+ P7*V1(-1)+P9*V2(1))
A
R1

1.000000

-0.003937

R2

-2.831510

1.000000
B

R1

439.5786

0.827046

-1.268965

0.000000

0.000000

R2

9610.406

0.000000

0.000000

0.955394

-412.7446

R1

482.7927

0.836368

-1.283269

0.003803

-1.643137

R2

10977.44

2.368185

-3.633589

0.966163

-417.3971

FR

MISPREAD = P8 = -3.633589
MITA = P10 = -417.3971
MD1RSPREAD = P7*P3+P9*P8 = fr(2,2)*fr(1,3)-fr(2,4)*fr(2,3) = 0.471621726384948
MD1RTA = P7*P5+P9*P10 = fr(2,2)*fr(1,5)-fr(2,4)*fr(2,5) = 399.38249428631
MD2RSPREAD = (P7*P2+ P9*P7)*P3 + (P7*P4+ P9*P9)*P8 = (FR(2,2)*FR(1,2) +
FR(2,4)*FR(2,2))*FR(1,3) + (FR(2,2)*FR(1,4) + FR(2,4)^2)*FR(2,3) = -8.90250552937832
MD2RTA = (P7*P2+ P9*P7)*P5 + (P7*P4+ P9*P9)*P10 = (FR(2,2)*FR(1,2)
FR(2,4)*FR(2,2))*FR(1,5) + (FR(2,2)*FR(1,4) + FR(2,4)^2)*FR(2,5) = -400.401960169577
1.2.

Determin si puede obtener la forma final del modelo. (4 puntos)

1 0  
2 4    =  1 + 3  + 5  + 1 

6 + 8  + 10  + 2
0 1

7 9
 

1 0  
2 4    =
0

0
0 1

7 9
 
1 0
2 4! = 0
0 1
7 9

!

! 2

7

4 ! = 0
9

($ 2)($ 9) 4 7 = 0
$ (2 + 9)$ + (2 9 4 7) = 0
(2 + 9) )(2 + 9)' 4(2 9 4 7)
$=
2
'

landa1 = ((fr(1,2)+fr(2,4))+sqr((fr(1,2)+fr(2,4))^2-4*(fr(1,2)*fr(2,4)-fr(1,4)*fr(2,2))))/2
= 1.01623920866038
Landa2 = ((fr(1,2)+fr(2,4))-sqr((fr(1,2)+fr(2,4))^2-4*(fr(1,2)*fr(2,4)-fr(1,4)*fr(2,2))))/2
= 0.786292261830141
1.3.

Verifique la capacidad predictiva del modelo. (3 puntos)

obs

CT

CT_1

EMI

EMI_1

1025155,

1027041.

19322.59

19985.78

2009M06

1031614,

1040374.

19562.38

20510.36

2009M07

1039102,

1054606.

21123.82

21021.44

2009M08

1033057,

1069872.

20230.00

21559.45

2009M09

1020450,

1085997.

20315.00

22097.14

2009M10

1034674,

1103083.

20528.00

22651.55

2009M11

1053592,

1120918.

20823.00

23172.78

2009M12

1071925,

1139395.

23548.00

23697.06

2009M05

Rcrememi = sqr(@sum((emi-emi_1)^2/emi)/8) = 9.99175928420032

Rcremct = sqr(@sum((ct-ct_1)^2/ct)/8) = 48.6099202962821
Epmaemi = @sum(abs(emi-emi_1)/emi)/8 = 0.0579615048775339
Epmact = @sum(abs(ct-ct_1)/ct)/8 = 0.0397604876234572
Uemi
=
sqr(@sumsq(emi-emi_1)/8)/(sqr(@sumsq(emi)/8)+sqr(@sumsq(emi)/8))
=
0.0335631594992726
Uct = sqr(@sumsq(ct-ct__1)/8)/(sqr(@sumsq(ct)/8)+sqr(@sumsq(ct_1)/8)) = 0.0234338171390143

Comente y fundamente su respuesta. (7 puntos)

2.1.

El comportamiento dinmico de la serie depender del signo y magnitud de las races caractersticas
cuando estas son reales. Pero dependern del mdulo y el perodo de ciclos en caso de ser complejas.

2.2.

Los modelos economtricos resultan especialmente tiles cuando se precisa predicciones a medio y
largo plazo, cuando existe un proceso permanente de revisin de predicciones, cuando es importante
poner de manifiesto los condicionantes de la prediccin y siempre que se disponga de informacin
estadstica suficiente de todas las variables implicadas en el modelo.