FORMA MATRICIAL DINAMICA ESTRUCTURAL DEL MODELO DE KLEIN

 ESTIMACION POR MINIMOS CUADRADOS ORDINARIOS

System: MCO
Estimation Method: Least Squares
Date: 02/18/19 Time: 19:31
Sample: 1921 1941
Included observations: 21
Total system (balanced) observations 63

Coefficient Std. Error t-Statistic Prob.

C(1) 16.23660 1.302698 12.46382 0.0000

C(2) 0.192934 0.091210 2.115273 0.0393
C(3) 0.089885 0.090648 0.991582 0.3261
C(4) 0.796219 0.039944 19.93342 0.0000
C(5) 10.12579 5.465547 1.852658 0.0697
C(6) 0.479636 0.097115 4.938864 0.0000
C(7) 0.333039 0.100859 3.302015 0.0018
C(8) -0.111795 0.026728 -4.182749 0.0001
C(9) -0.978273 1.581604 -0.618532 0.5390
C(10) 0.467145 0.044683 10.45475 0.0000
C(11) 0.151388 0.052223 2.898861 0.0055
C(12) 0.074428 0.132053 0.563624 0.5755

Determinant residual covariance 0.581604

Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Observations: 21
R-squared 0.981008 Mean dependent var 53.99524
Adjusted R-squared 0.977657 S.D. dependent var 6.860866
S.E. of regression 1.025540 Sum squared resid 17.87945
Durbin-Watson stat 1.367474

Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Observations: 21
R-squared 0.931348 Mean dependent var 1.266667
Adjusted R-squared 0.919233 S.D. dependent var 3.551948
S.E. of regression 1.009447 Sum squared resid 17.32270
Durbin-Watson stat 1.810184

Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Observations: 21
R-squared 0.975537 Mean dependent var 36.36190
Adjusted R-squared 0.971220 S.D. dependent var 6.304401
S.E. of regression 1.069517 Sum squared resid 19.44573
Durbin-Watson stat 1.096979

REPRESENTACION MATRICIAL DINAMICA DEL MODELO

1 0 0 −1 0 0
0 1 0 −1 0 −1
[𝐶𝑜𝑛𝑠 𝐼 𝑊𝑃 𝑋 𝑃 𝐾] ∗ −0.79 0 1 0 −1 0
+[1 𝑊𝑃 𝑇 𝑊 𝐺] ∗
0 0 −0.47 1 −1 0
−0.19 −0.48 0 0 0 0
[ 0 0 0 0 0 −1]
0 0 0 0 0 0
−16.24 −10.13 0.98 0 0
0 0 0 0 0 0
−0.79 0 0 0 0
0 0 0 0 0 0
0 0 −0.07 0 0 +[𝐶𝑜𝑛𝑠(−1) 𝐼(−1) 𝑊𝑃(−1) 𝑋(−1) 𝑃(−1) 𝐾(−1)]*
−0.09 −0.33 −0.15 0 0 0
0 0 0 0 1
[ 0 0 0 0 0 0 0
0 0 −1 0] [ 0 −0.11 0 0 0 −1]
  ESTIMACION POR MINIMOS CUADRADOS DOS ETAPAS (MC2E)

Coefficient Std. Error t-Statistic Prob.

C(1) 16.23115 1.339876 12.11392 0.0000

C(2) 0.102452 0.102258 1.001889 0.3211
C(3) 0.147207 0.096733 1.521788 0.1342
C(4) 0.810563 0.041587 19.49068 0.0000
C(5) 9.050026 5.670282 1.596045 0.1167
C(6) 0.514541 0.108001 4.764227 0.0000
C(7) 0.303062 0.108830 2.784728 0.0075
C(8) -0.106921 0.027603 -3.873543 0.0003
C(9) -0.979671 1.588256 -0.616822 0.5401
C(10) 0.484059 0.045676 10.59777 0.0000
C(11) 0.135068 0.053086 2.544326 0.0140
C(12) 0.064419 0.132705 0.485435 0.6294

Determinant residual covariance 0.599725

Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.979909 Mean dependent var 53.99524
Adjusted R-squared 0.976363 S.D. dependent var 6.860866
S.E. of regression 1.054806 Sum squared resid 18.91447
Durbin-Watson stat 1.450035

Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.930826 Mean dependent var 1.266667
Adjusted R-squared 0.918619 S.D. dependent var 3.551948
S.E. of regression 1.013275 Sum squared resid 17.45434
Durbin-Watson stat 1.746738

Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.975331 Mean dependent var 36.36190
Adjusted R-squared 0.970978 S.D. dependent var 6.304401
S.E. of regression 1.074015 Sum squared resid 19.60964
Durbin-Watson stat 1.016249

REPRESENTACION MATRICIAL DINAMICA DEL MODELO

[𝐶𝑡 𝐼𝑡 𝑊𝑝𝑡 𝑋𝑡 𝑃𝑡 𝐾𝑡]
1 0 0 −1 0 0 −16.231 −9.050 0.979 0 0 0
0 1 0 −1 0 −1
−0.810 0 1 0 1 0 [1 𝑊𝑝𝑢 𝑇 −0.810 0 0 0 0 0
∗ 𝑏 𝐺] 0 0 −0.064 0 0 0 [𝐶𝑡−1 𝐼𝑡−1 𝑊𝑝𝑡−1 𝑋𝑡−1 𝑃𝑡−1 𝐾𝑡−1 ]
0 0 −0.484 1 −1 0
0 1 0 0 0 0 1 0
−0.102 −0.514 0 0 [
[ 0 0 0 0 −1 0 0]
0 0 0 0 1]
0 0 0 0 0 0
0 0 0 0 0 0
0 0 0 0 0 0
∗ + [𝑒1 𝑒2 𝑒3 0 0 0] = 0
0 0 −0.1350 0 0
−0.147 −0.303 0 0 0 0
[ 0 0.106 0 0 0 −1]

1 0 0 −1 0 0
0 1 0 −1 0 −1
−0.810 0 1 0 1 0
Γ=
0 0 −0.484 1 −1 0
−0.102 −0.514 0 0 1 0
[ 0 0 0 0 0 1]

0 0 0 0 0 0
−16.231 −9.050 0.979 0 0 0
0 0 0 0 0 0 0 0 0
−0.810 0 0 0 0 0 0 0 0
∆1 = 0 0 −0.064 0 0 0 ∆2 =
0 1 0 0 0 −0.1350 0 0
0 0 0 −0.147 −0.303 0 0 0 0
[ 0 0 0 −1 0 0] [ 0 0.106 0 0 0 −1]
  ESTIMACION POR MINIMOS CUADRADOS DE TRES ETAPAS (MC3E)
System: MC3E
Estimation Method: Three-Stage Least Squares
Date: 02/18/19 Time: 19:31
Sample: 1921 1941
Included observations: 21
Total system (balanced) observations 63
Linear estimation after one-step weighting matrix

Coefficient Std. Error t-Statistic Prob.

C(1) 15.91190 1.203134 13.22538 0.0000

C(2) 0.080239 0.091364 0.878234 0.3839
C(3) 0.102276 0.085121 1.201539 0.2351
C(4) 0.845043 0.036516 23.14165 0.0000
C(5) 7.186069 5.071117 1.417058 0.1625
C(6) 0.539293 0.096833 5.569286 0.0000
C(7) 0.270730 0.097396 2.779688 0.0076
C(8) -0.097069 0.024666 -3.935386 0.0003
C(9) -0.776363 1.422932 -0.545608 0.5877
C(10) 0.480591 0.040685 11.81237 0.0000
C(11) 0.139999 0.046838 2.988968 0.0043
C(12) 0.023139 0.115537 0.200272 0.8421

Determinant residual covariance 0.562151

Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.978309 Mean dependent var 53.99524
Adjusted R-squared 0.974481 S.D. dependent var 6.860866
S.E. of regression 1.096003 Sum squared resid 20.42079
Durbin-Watson stat 1.371661

Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.929417 Mean dependent var 1.266667
Adjusted R-squared 0.916961 S.D. dependent var 3.551948
S.E. of regression 1.023548 Sum squared resid 17.81007
Durbin-Watson stat 1.711422

Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Instruments: C P(-1) K(-1) X(-1) WG T G W
Observations: 21
R-squared 0.975233 Mean dependent var 36.36190
Adjusted R-squared 0.970862 S.D. dependent var 6.304401
S.E. of regression 1.076150 Sum squared resid 19.68766
Durbin-Watson stat 0.941665

[𝐶𝑡 𝐼𝑡 𝑊𝑝𝑡 𝑋𝑡 𝑃𝑡 𝐾𝑡]

1 0 0 −1 0 0 −15.911 −7.186 0.776 0 0 0
0 1 0 −1 0 −1
0 1 0 1 0 [1 𝑊𝑝𝑢 𝑇 −0.845 0 0 0 0 0
−0.845 𝐼𝑡−1 𝑊𝑝𝑡−1 𝑋𝑡−1 𝑃𝑡−1 𝐾𝑡−1 ]
∗ 𝑏 𝐺] 0 0 −0.023 0 0 0 [𝐶𝑡−1
0 0 −0.481 1 −1 0
0 0 1 0 0 0 0 0 1 0
−0.080 −0.539 [
[ 0 0 0 0 −1 0 0]
0 0 0 0 1]
0 0 0 0 0 0
0 0 0 0 0 0
0 0 0 0 0 0
∗ + [𝑒1 𝑒2 𝑒3 0 0 0] = 0
0 0 −0.1390 0 0
−0.102 −0.271 0 0 0 0
[ 0 0.097 0 0 0 −1]

1 0 0 −1 0 0
0 1 0 −1 0 −1
−0.845 0 1 0 1 0
Γ=
0 0 −0.481 1 −1 0
−0.080 −0.539 0 0 1 0
[ 0 0 0 0 0 1]
0 0 0 0 0 0
−15.911 −7.186 0.776 0 0 0
0 0 0 0 0 0 0 0 0
−0.845 0 0 0 0 0 0 0 0
∆1 = 0 0 −0.023 0 0 0 ∆2 =
0 1 0 0 0 −0.1390 0 0
0 0 0 −0.102 −0.271 0 0 0 0
[ 0 0 0 −1 0 0] [ 0 0.097 0 0 0 −1]
  ESTIMACION POR MAXIMA VEROSIMILITUD

System: MV
Estimation Method: Full Information Maximum Likelihood (BFGS / Marquardt
steps)
Date: 02/18/19 Time: 19:32
Sample: 1921 1941
Included observations: 21
Total system (balanced) observations 63
Convergence achieved after 110 iterations
Coefficient covariance computed using outer product of gradients

Coefficient Std. Error z-Statistic Prob.

C(1) 5.339016 23.83607 0.223989 0.8228

C(2) -1.145528 2.099662 -0.545577 0.5854
C(3) -0.003176 0.520488 -0.006102 0.9951
C(4) 1.640674 1.188351 1.380631 0.1674
C(5) 14.93779 9.500458 1.572323 0.1159
C(6) 0.423556 0.838888 0.504902 0.6136
C(7) 0.381826 0.485692 0.786147 0.4318
C(8) -0.135056 0.068997 -1.957423 0.0503
C(9) 2.476215 6.002693 0.412517 0.6800
C(10) 0.532252 0.115023 4.627360 0.0000
C(11) 0.093030 0.068284 1.362402 0.1731
C(12) -0.510567 0.311912 -1.636893 0.1017

Log likelihood -80.59094 Schwarz criterion 9.415054

Avg. log likelihood -1.279221 Hannan-Quinn criter. 8.947720
Akaike info criterion 8.818184
Determinant residual covariance 0.432443

Equation: CONS=C(1)+C(2)*P+C(3)*P(-1)+C(4)*W
Observations: 21
R-squared 0.396091 Mean dependent var 53.99524
Adjusted R-squared 0.289519 S.D. dependent var 6.860866
S.E. of regression 5.783025 Sum squared resid 568.5375
Durbin-Watson stat 0.336861

Equation: I=C(5)+C(6)*P+C(7)*P(-1)+C(8)*K(-1)
 Observations: 21
R-squared 0.928154 Mean dependent var 1.266667
Adjusted R-squared 0.915475 S.D. dependent var 3.551948
S.E. of regression 1.032665 Sum squared resid 18.12876
Durbin-Watson stat 1.819948

Equation: WP=C(9)+C(10)*X+C(11)*X(-1)+C(12)*T
Observations: 21
R-squared 0.942353 Mean dependent var 36.36190
Adjusted R-squared 0.932180 S.D. dependent var 6.304401
S.E. of regression 1.641814 Sum squared resid 45.82438
Durbin-Watson stat 0.367796

1 0 0 −1 0 0
0 1 0 −1 0 −1
[𝐶𝑜𝑛𝑠 𝐼 𝑊𝑃 𝑋 𝑃 𝐾] ∗ −1.64 0 1 0 −1 0
+[1 𝑊𝑃 𝑇 𝑊 𝐺] ∗
0 0 −2.47 1 −1 0
1.15 −0.42 0 0 0 0
[ 0 0 0 0 0 −1]
0 0 0 0 0 0
−5.34 −14.94 −2.47 0 0
0 0 0 0 0 0
−1.64 0 0 0 0
𝐼(−1) 𝑊𝑃(−1) 𝑋(−1) 𝑃(−1) 𝐾(−1)]* 0 0 0 0 0 0
0 0 0.51 0 0 +[𝐶𝑜𝑛𝑠(−1) +
0.0032 −0.38 −0.093 0 0 0
0 0 0 0 1
[ 0 0 0 0 0 0 0
0 0 −1 0] [ 0 0.14 0 0 0 −1]
+[𝑒1 𝑒2 𝑒3 0 0 0] = 0

1 0 0 −1 0 0
0 1 0 −1 0 −1
−1.64 0 1 0 −1 0
𝛿=
0 0 −2.47 1 −1 0
1.15 −0.42 0 0 0 0
[ 0 0 0 0 0 −1]
 −5.34 −14.94 −2.47 0 0
−1.64 0 0 0 0
∆1 = 0 0 0.51 0 0
0 0 0 0 1
[ 0 0 0 −1 0]
0 0 0 0 0 0
0 0 0 0 0 0
0 0 0 0 0 0
∆2 =
0.0032 −0.38 −0.093 0 0 0
0 0 0 0 0 0
[ 0 0.14 0 0 0 −1]