METODOLOGIA DE COINTEGRACION DE JOHANSEN:

Date: 01/24/17 Time: 12:52

Sample (adjusted): 6 150
Included observations: 145 after adjustments
Trend assumption: Linear deterministic trend
Series: LNMR LNPBI R
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)

Eigenvalue

Trace
Statistic

0.05
Critical Value

Prob.**

None *
At most 1
At most 2

0.272083
0.076052
0.004440

58.16205
12.11456
0.645164

29.79707
15.49471
3.841466

0.0000
0.1515
0.4218

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
No. of CE(s)

Eigenvalue

Max-Eigen
Statistic

0.05
Critical Value

Prob.**

None *
At most 1
At most 2

0.272083
0.076052
0.004440

46.04749
11.46939
0.645164

21.13162
14.26460
3.841466

0.0000
0.1322
0.4218

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LNMR
27.25464
8.946303
0.474812

LNPBI
-54.63418
-20.19151
3.776267

R
0.885775
-1.821167
0.021855

Unrestricted Adjustment Coefficients (alpha):

D(LNMR)
D(LNPBI)
D(R)

-0.003863
0.007283
-0.014438

1 Cointegrating Equation(s):

-0.001693
0.000981
0.016890

-0.000781
-0.002204
0.000731

Log likelihood

910.3744

Normalized cointegrating coefficients (standard error in parentheses)

LNMR
LNPBI
R
1.000000
-2.004583
0.032500
(0.02728)
(0.01052)
Adjustment coefficients (standard error in parentheses)
D(LNMR)
-0.105283
(0.03492)

D(LNPBI)
D(R)

0.198503
(0.08416)
-0.393490
(0.15848)

2 Cointegrating Equation(s):

Log likelihood

916.1091

Normalized cointegrating coefficients (standard error in parentheses)

LNMR
LNPBI
R
1.000000
0.000000
1.907476
(0.49965)
0.000000
1.000000
0.935345
(0.24848)
Adjustment coefficients (standard error in parentheses)
D(LNMR)
-0.120429
0.245232
(0.03651)
(0.07413)
D(LNPBI)
0.207283
-0.417732
(0.08855)
(0.17979)
D(R)
-0.242384
0.447742
(0.16134)
(0.32760)

ADF:
Null Hypothesis: LNMR has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=13)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

6.694197
-2.580574
-1.942982
-1.615289

1.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNMR)
Method: Least Squares
Date: 01/24/17 Time: 12:05
Sample (adjusted): 2 150
Included observations: 149 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNMR(-1)

0.001267

0.000189

6.694197

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

-0.004012
-0.004012
0.015977
0.037777
405.4381
2.033320

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.008819
0.015945
-5.428699
-5.408538
-5.420508

PP
Null Hypothesis: LNMR has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel

Phillips-Perron test statistic

Test critical values:
1% level
5% level
10% level

Adj. t-Stat

Prob.*

-1.676495
-4.020822
-3.440263
-3.144585

0.7570

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction)
HAC corrected variance (Bartlett kernel)

0.000248
0.000249

Phillips-Perron Test Equation

Dependent Variable: D(LNMR)
Method: Least Squares
Date: 01/24/17 Time: 12:10
Sample (adjusted): 2 150
Included observations: 149 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNMR(-1)
C
@TREND("1")

-0.046094
0.292226
0.000463

0.027597
0.169297
0.000284

-1.670223
1.726112
1.628955

0.0970
0.0864
0.1055

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.019334
0.005900
0.015898
0.036899
407.1908
1.439180
0.240466

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.008819
0.015945
-5.425380
-5.364898
-5.400807
1.985515

ECUACION DE L-P
Dependent Variable: LNMR
Method: Least Squares
Date: 01/24/17 Time: 12:15
Sample: 1 150
Included observations: 150
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LNPBI
R

-2.158323
1.940939
-0.017014

0.181577
0.035157
0.013025

-11.88657
55.20766
-1.306275

0.0000
0.0000
0.1935

R-squared
Adjusted R-squared
S.E. of regression

0.961711
0.961190
0.087830

Mean dependent var

S.D. dependent var
Akaike info criterion

6.905682
0.445832
-2.007032

Sum squared resid

Log likelihood
F-statistic
Prob(F-statistic)

1.133972
153.5274
1846.112
0.000000

Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-1.946819
-1.982570
1.126983

WHITE
Heteroskedasticity Test: White
F-statistic
Obs*R-squared
Scaled explained SS

1.688588
8.307638
8.384523

Prob. F(5,144)
Prob. Chi-Square(5)
Prob. Chi-Square(5)

0.1410
0.1401
0.1363

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 01/24/17 Time: 12:17
Sample: 1 150
Included observations: 150
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
LNPBI^2
LNPBI*R
LNPBI
R^2
R

-0.477874
-0.016353
-0.013625
0.184557
0.003401
0.046756

0.695927
0.027022
0.014027
0.271926
0.002361
0.071512

-0.686673
-0.605165
-0.971367
0.678703
1.440938
0.653820

0.4934
0.5460
0.3330
0.4984
0.1518
0.5143

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.055384
0.022585
0.010872
0.017020
468.4615
1.688588
0.140990

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.007560
0.010996
-6.166153
-6.045728
-6.117228
1.179687

GREUSH GODFREY
Heteroskedasticity Test: Breusch-Pagan-Godfrey
F-statistic
Obs*R-squared
Scaled explained SS

0.996041
2.005558
2.024119

Prob. F(2,147)
Prob. Chi-Square(2)
Prob. Chi-Square(2)

0.3718
0.3669
0.3635

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 01/24/17 Time: 12:17
Sample: 1 150
Included observations: 150
Variable

Coefficient

Std. Error

t-Statistic

Prob.

0.017129

0.022734

0.753463

0.4524

LNPBI
R
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

-0.002856
0.001454
0.013370
-0.000053
0.010997
0.017776
465.1978
0.996041
0.371817

0.004402
0.001631

-0.648917
0.891433

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.5174
0.3742
0.007560
0.010996
-6.162637
-6.102424
-6.138174
1.163304

ARDL:
Dependent Variable: D(LNMR)
Method: Least Squares
Date: 01/24/17 Time: 12:24
Sample (adjusted): 6 150
Included observations: 145 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
D(LNMR(-2))
D(LNMR(-3))
D(LNMR(-4))
D(LNPBI(-1))
D(LNPBI(-2))
D(LNPBI(-3))
D(LNPBI(-4))
D(R(-1))
TIE
LNMR(-1)
LNPBI(-1)
R(-1)

-0.250032
-0.152363
-0.083093
0.208635
-0.213170
-0.076515
-0.052793
-0.104181
0.008977
2.76E-06
-0.110315
0.218726
-0.001450

0.232891
0.100544
0.102959
0.102739
0.063212
0.054507
0.042721
0.036729
0.013704
0.000329
0.041284
0.073695
0.002501

-1.073603
-1.515389
-0.807042
2.030730
-3.372318
-1.403757
-1.235768
-2.836514
0.655087
0.008363
-2.672127
2.967987
-0.579709

0.2850
0.1321
0.4211
0.0443
0.0010
0.1627
0.2187
0.0053
0.5136
0.9933
0.0085
0.0036
0.5631

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.163318
0.087256
0.015375
0.031203
406.4427
2.147176
0.017892

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

WALD
Wald Test:
Equation: Untitled
Test Statistic
F-statistic
Chi-square

Value

df

Probability

3.202517
9.607550

(3, 132)
3

0.0255
0.0222

0.009037
0.016093
-5.426796
-5.159916
-5.318354
2.043914

Null Hypothesis: C(11)=0, C(12)=0, C(13)=0

Null Hypothesis Summary:
Normalized Restriction (= 0)
C(11)
C(12)
C(13)

Value

Std. Err.

-0.110315
0.218726
-0.001450

0.041284
0.073695
0.002501

Restrictions are linear in coefficients.

Roots of Characteristic Polynomial

Endogenous variables: LNMR LNPBI R
Exogenous variables: C
Lag specification: 1 2
Date: 01/24/17 Time: 12:46
Root
0.998004
0.854600 - 0.080156i
0.854600 + 0.080156i
0.323057 - 0.529809i
0.323057 + 0.529809i
-0.193702

Modulus
0.998004
0.858351
0.858351
0.620535
0.620535
0.193702

No root lies outside the unit circle.

VECCCCC
Vector Error Correction Estimates
Date: 01/24/17 Time: 12:57
Sample (adjusted): 4 150
Included observations: 147 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq:

CointEq1

LNMR(-1)

1.000000

LNPBI(-1)

-2.046099
(0.02991)
[-68.3989]

R(-1)

0.007721
(0.01099)
[ 0.70271]

2.678736

Error Correction:

D(LNMR)

D(LNPBI)

D(R)

CointEq1

-0.039785
(0.02464)
[-1.61433]

0.377786
(0.06155)
[ 6.13757]

-0.009696
(0.11623)
[-0.08342]

D(LNMR(-1))

0.039187
(0.09571)
[ 0.40943]

-0.623722
(0.23905)
[-2.60921]

0.580284
(0.45138)
[ 1.28556]

D(LNMR(-2))

-0.220208
(0.09670)
[-2.27715]

-0.712817
(0.24153)
[-2.95130]

1.204497
(0.45607)
[ 2.64105]

D(LNPBI(-1))

-0.099356
(0.03948)
[-2.51680]

0.221526
(0.09860)
[ 2.24677]

0.014822
(0.18618)
[ 0.07961]

D(LNPBI(-2))

0.030223
(0.03631)
[ 0.83232]

0.178743
(0.09069)
[ 1.97089]

0.133738
(0.17125)
[ 0.78096]

D(R(-1))

0.022504
(0.01807)
[ 1.24527]

0.145836
(0.04514)
[ 3.23107]

0.619755
(0.08523)
[ 7.27174]

D(R(-2))

-0.008374
(0.01813)
[-0.46197]

-0.042830
(0.04527)
[-0.94606]

0.076905
(0.08549)
[ 0.89962]

0.010990
(0.00171)
[ 6.41011]

0.015511
(0.00428)
[ 3.62218]

-0.018796
(0.00809)
[-2.32456]

0.101395
0.056141
0.033686
0.015567
2.240592
407.4275
-5.434387
-5.271643
0.008903
0.016024

0.435993
0.407590
0.210133
0.038881
15.35011
272.8739
-3.603726
-3.440982
0.004805
0.050516

0.506080
0.481206
0.749242
0.073418
20.34602
179.4317
-2.332405
-2.169660
-0.007930
0.101931

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood

1.24E-09
1.05E-09
893.8579

Akaike information criterion

Schwarz criterion

-11.79399
-11.24472

CUADRO:5 PG 18
VAR Lag Order Selection Criteria
Endogenous variables: LNMR LNPBI R
Exogenous variables: C
Date: 01/24/17 Time: 13:08
Sample: 1 150
Included observations: 142
Lag

LogL

LR

FPE

AIC

SC

HQ

0
1
2
3
4
5
6
7
8

47.73988
780.7112
855.4152
865.4620
873.8348
896.1015
906.5172
925.1895
940.1494

NA
1424.649
142.0428
18.67851
15.21263
39.51553
18.04403
31.55877
24.65223*

0.000107
3.99e-09
1.58e-09
1.56e-09
1.57e-09
1.31e-09
1.28e-09
1.12e-09
1.04e-09*

-0.630139
-10.82692
-11.75233
-11.76707
-11.75824
-11.94509
-11.96503
-12.10126
-12.18520*

-0.567692
-10.57713
-11.31520*
-11.14260
-10.94643
-10.94594
-10.77854
-10.72742
-10.62403

-0.604763
-10.72542
-11.57470*
-11.51331
-11.42835
-11.53908
-11.48289
-11.54299
-11.55080

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
CUADRO 3
Estimation Proc:
===============================
LS 1 2 LNMR LNPBI R @ C
VAR Model:
===============================
LNMR = C(1,1)*LNMR(-1) + C(1,2)*LNMR(-2) + C(1,3)*LNPBI(-1) + C(1,4)*LNPBI(-2) + C(1,5)*R(-1) +
C(1,6)*R(-2) + C(1,7)
LNPBI = C(2,1)*LNMR(-1) + C(2,2)*LNMR(-2) + C(2,3)*LNPBI(-1) + C(2,4)*LNPBI(-2) + C(2,5)*R(-1) +
C(2,6)*R(-2) + C(2,7)
R = C(3,1)*LNMR(-1) + C(3,2)*LNMR(-2) + C(3,3)*LNPBI(-1) + C(3,4)*LNPBI(-2) + C(3,5)*R(-1) + C(3,6)*R(-2)
+ C(3,7)
VAR Model - Substituted Coefficients:
===============================
LNMR = 0.935272773222*LNMR(-1) + 0.015790122736*LNMR(-2) + 0.0155882280515*LNPBI(-1) +
0.0804296545772*LNPBI(-2) + 0.0138944255638*R(-1) - 0.0143492077002*R(-2) - 0.102035167644
LNPBI = - 0.554645341232*LNMR(-1) + 0.867964673499*LNMR(-2) + 0.579974230227*LNPBI(-1) 0.231242211045*LNPBI(-2) + 0.102246006345*R(-1) - 0.10219755071*R(-2) + 0.90540911492

R = 0.583271414545*LNMR(-1) - 0.712264002601*LNMR(-2) - 0.030548838717*LNPBI(-1) +

0.266710586067*LNPBI(-2) + 1.64436862319*R(-1) - 0.674058845744*R(-2) - 0.146967809663