6.

Elabore un modelo multivariado de series de tiempo mediante un modelo VAR entre

las series Pcoffee, Pcocoa y Ptea.

Vector Autoregression Estimates

Date: 03/04/21 Time: 17:32
Sample (adjusted): 1978M03 2020M09
Included observations: 511 after adjustments
Standard errors in ( ) & t-statistics in [ ]

LNPCOCOA LNPCOFFEE LNPTEA

LNPCOCOA(-1)  1.300388  0.065951  0.038788

 (0.04256)  (0.04351)  (0.05090)
[ 30.5539] [ 1.51579] [ 0.76198]

LNPCOCOA(-2) -0.325103 -0.030910 -0.020224

 (0.04307)  (0.04403)  (0.05151)
[-7.54843] [-0.70204] [-0.39261]

LNPCOFFEE(-1)  0.049611  1.254067  0.131646

 (0.04220)  (0.04314)  (0.05048)
[ 1.17554] [ 29.0673] [ 2.60808]

LNPCOFFEE(-2) -0.032453 -0.286635 -0.124112

 (0.04255)  (0.04350)  (0.05089)
[-0.76268] [-6.58932] [-2.43867]

LNPTEA(-1)  0.026670  0.035639  1.159683

 (0.03615)  (0.03695)  (0.04323)
[ 0.73785] [ 0.96450] [ 26.8252]

LNPTEA(-2) -0.022500 -0.060921 -0.228993

 (0.03609)  (0.03690)  (0.04317)
[-0.62339] [-1.65108] [-5.30460]

C -0.004304  0.188278  0.409128

 (0.07558)  (0.07727)  (0.09040)
[-0.05695] [ 2.43666] [ 4.52569]

R-squared  0.989263  0.988494  0.943293

Adj. R-squared  0.989136  0.988357  0.942618
Sum sq. resids  1.991574  2.081350  2.848942
S.E. equation  0.062861  0.064262  0.075184