PASOS: EQUATION -> ARDL -> FIXED (2,2) -> @EXPAND(@QUARTER, @DROPLAST)

Dependent Variable: CONSUMO

Method: ARDL
Date: 12/05/22 Time: 16:48
Sample (adjusted): 1992 2020
Included observations: 29 after adjustments
Dependent lags: 2 (Fixed)
Dynamic regressors (2 lags, fixed): RENTA
Fixed regressors: @EXPAND(@QUARTER, @DROPLAST) C

Variable Coefficient Std. Error t-Statistic Prob.*

CONSUMO(-1) 1.049937 0.323746 3.243092 0.0036

CONSUMO(-2) -0.234265 0.318385 -0.735792 0.4693
RENTA 0.377525 0.063445 5.950435 0.0000
RENTA(-1) -0.219693 0.101353 -2.167601 0.0408
RENTA(-2) -0.040582 0.088485 -0.458637 0.6508
C 2463.544 4077.865 0.604126 0.5517

R-squared 0.994829 Mean dependent var 209865.8

Adjusted R-squared 0.993705 S.D. dependent var 79878.24
S.E. of regression 6337.644 Akaike info criterion 20.52839
Sum squared resid 9.24E+08 Schwarz criterion 20.81128
Log likelihood -291.6617 Hannan-Quinn criter. 20.61699
F-statistic 884.9888 Durbin-Watson stat 1.881564
Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model
selection.
PASOS:
1. EQUATION -> ARDL -> FIXED (2,2) -> @EXPAND(@QUARTER, @DROPLAST)
2. VIEW -> COEFFICIENT DIAGNOSTICS -> LONG LONG RUN FORM AND BOUNDS TEST
ARDL Long Run Form and Bounds Test
Dependent Variable: D(CONSUMO)
Selected Model: ARDL(2, 2)
Case 2: Restricted Constant and No Trend
Date: 12/03/22 Time: 20:01
Sample: 1990 2020
Included observations: 29

Conditional Error Correction Regression

Variable Coefficient Std. Error t-Statistic Prob.

C 2463.544 4077.865 0.604126 0.5517

CONSUMO(-1)* -0.184328 0.082644 -2.230394 0.0358
RENTA(-1) 0.117250 0.050867 2.305050 0.0305
D(CONSUMO(-1)) 0.234265 0.318385 0.735792 0.4693
D(RENTA) 0.377525 0.063445 5.950435 0.0000
D(RENTA(-1)) 0.040582 0.088485 0.458637 0.6508

* p-value incompatible with t-Bounds distribution.

Levels Equation
Case 2: Restricted Constant and No Trend

Variable Coefficient Std. Error t-Statistic Prob.

RENTA 0.636098 0.072874 8.728788 0.0000

C 13365.03 19530.47 0.684317 0.5006

EC = CONSUMO - (0.6361*RENTA + 13365.0304)

F-Bounds Test Null Hypothesis: No levels relationship

Test Statistic Value Signif. I(0) I(1)

Asymptotic: n=1000
F-statistic 1.832172 10% 3.02 3.51
k 1 5% 3.62 4.16
2.5% 4.18 4.79
1% 4.94 5.58

Actual Sample Size 29 Finite Sample: n=35

10% 3.223 3.757
5% 3.957 4.53
1% 5.763 6.48

Finite Sample: n=30

10% 3.303 3.797
5% 4.09 4.663
1% 6.027 6.76
CON 1 REZAGO

1. VAR -> (1,1) -> LAG STRUCTURE -> AR ROOTS TABLE (IMAGEN 1)
2. LAG STRUCTURE -> LAGS EXCLUSION WALD TESTS (IMAGEN 2)
3. LAG STRUCTURE -> GRANGER CAUSALITY (BLOCK EXOGENEITY WALD TESTS
(IMAGEN 3)

Roots of Characteristic Polynomial VAR Granger Causality/Block Exogeneity Wald Tests

Endogenous variables: BC DEMINT Date: 12/03/22 Time: 20:16
Sample: 1994Q1 2004Q4
Exogenous variables: C
Included observations: 43
Lag specification: 1 1
Date: 12/03/22 Time: 20:11
Dependent variable: BC
Root Modulus
Excluded Chi-sq df Prob.
0.993136 0.993136
DEMINT 0.007436 1 0.9313
0.419232 0.419232
All 0.007436 1 0.9313
No root lies outside the unit circle.
VAR satisfies the stability condition.
Dependent variable: DEMINT
VAR Lag Exclusion Wald Tests
Date: 12/03/22 Time: 20:36 Excluded Chi-sq df Prob.
Sample (adjusted): 1994Q2 2004Q4
Included observations: 43 after adjustments BC 0.797273 1 0.3719

Chi-squared test statistics for lag exclusion: All 0.797273 1 0.3719

Numbers in [ ] are p-values

BC DEMINT Joint
Ambas probabilidades son mayores al 5%
Lag 1 198.5354 163.0795 221.9975 No hay causalidad.
[ 0.0000] [ 0.0000] [ 0.0000]

df 2 2 4
CON 2 REZAGOS
1. VAR -> (2,2) -> LAG STRUCTURE -> AR ROOTS TABLE (IMAGEN 1)

Roots of Characteristic Polynomial

Endogenous variables: BC DEMINT
Exogenous variables: C
Lag specification: 2 2
Date: 12/03/22 Time: 20:15

Root Modulus

-1.001962 1.001962
1.001962 1.001962
0.188971 0.188971
-0.188971 0.188971

Warning: At least one root outside the unit circle.

VAR does not satisfy the stability condition.

1. VAR -> (1,1) -> (IMAGEN 1)

2. VIEW -> RESIDUAL TESTS -> AUTOCORRELATION LM TEST
3. VIEW -> RESIDUAL TESTS -> CORRELOGRAMS (IMAGEN 2)
Vector Autoregression Estimates
Date: 12/03/22 Time: 20:42
Sample (adjusted): 1994Q2 2004Q4
Included observations: 43 after adjustments
Standard errors in ( ) & t-statistics in [ ]

BC DEMINT

BC(-1) 0.950367 -0.003522

(0.52648) (0.00394)
[ 1.80513] [-0.89290]

DEMINT(-1) -6.449419 0.462000

(74.7888) (0.56035)
[-0.08624] [ 0.82448]

C 677.5181 54.41055
(7582.09) (56.8085)
[ 0.08936] [ 0.95779]

R-squared 0.832310 0.803033

Adj. R-squared 0.823925 0.793184
Sum sq. resids 1095686. 61.50848
S.E. equation 165.5058 1.240045
F-statistic 99.26769 81.53976
Log likelihood -279.1467 -68.71082
Akaike AIC 13.12310 3.335387
Schwarz SC 13.24598 3.458261
Mean dependent -151.4860 102.4348
S.D. dependent 394.4254 2.726754

Determinant resid covariance (dof adj.) 2507.003

Determinant resid covariance 2169.391
Log likelihood -287.1961
Akaike information criterion 13.63703
Schwarz criterion 13.88277
Number of coefficients 6

1. OPEN -> EQUATION -> LS -> PROC -> MAKE RESIDUALS SERIES -> VIEW -> UNIT ROOT
TESTS -> STANDAR -> LEVEL (O PRIMERA DIFERENCIA), NONE
Null Hypothesis: D(RESID03) has a unit root
Exogenous: None
Lag Length: 2 (Automatic - based on SIC, maxlag=9)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.094032 0.0000

Test critical values: 1% level -2.624057
5% level -1.949319
10% level -1.611711

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID03,2)
Method: Least Squares
Date: 12/03/22 Time: 21:15
Sample (adjusted): 1995Q1 2004Q4
Included observations: 40 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(RESID03(-1)) -2.305244 0.324955 -7.094032 0.0000

D(RESID03(-1),2) 0.869371 0.225345 3.857961 0.0004
D(RESID03(-2),2) 0.373812 0.145933 2.561526 0.0146

R-squared 0.711697 Mean dependent var 0.326910

Adjusted R-squared 0.696113 S.D. dependent var 79.44510
S.E. of regression 43.79484 Akaike info criterion 10.46895
Sum squared resid 70965.56 Schwarz criterion 10.59561
Log likelihood -206.3790 Hannan-Quinn criter. 10.51475
Durbin-Watson stat 1.892537

1. OPEN -> EQUATION -> COINTEGR -> VIEW -> COINTEGRATIO TEST -> ENGLE-GRANGER
Cointegration Test - Engle-Granger
Date: 12/03/22 Time: 21:21
Equation: UNTITLED
Specification: BC TCR C
Cointegrating equation deterministics: C
Null hypothesis: Series are not cointegrated
Automatic lag specification (lag=0 based on Schwarz info criterion,
maxlag=9)

Value Prob.*
Engle-Granger tau-statistic -0.778806 0.9357
Engle-Granger z-statistic -3.775117 0.8203

*MacKinnon (1996) p-values.

Intermediate Results:
Rho - 1 -0.087793
Rho S.E. 0.112728
Residual variance 27012.31
Long-run residual variance 27012.31
Number of lags 0
Number of observations 43
Number of stochastic trends** 2

**Number of stochastic trends in asymptotic distribution.

Engle-Granger Test Equation:

Dependent Variable: D(RESID)
Method: Least Squares
Date: 12/03/22 Time: 21:21
Sample (adjusted): 1994Q2 2004Q4
Included observations: 43 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.087793 0.112728 -0.778806 0.4405

R-squared 0.002175 Mean dependent var 17.98670

Adjusted R-squared 0.002175 S.D. dependent var 164.5332
S.E. of regression 164.3542 Akaike info criterion 13.06491
Sum squared resid 1134517. Schwarz criterion 13.10586
Log likelihood -279.8955 Hannan-Quinn criter. 13.08001
Durbin-Watson stat 2.109703

EQUATION -> ARDL -> AUTOMATIC

Dependent Variable: CONSUMO
Method: ARDL
Date: 12/03/22 Time: 21:23
Sample (adjusted): 1994 2020
Included observations: 27 after adjustments
Maximum dependent lags: 4 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (4 lags, automatic): RENTA
Fixed regressors: @EXPAND(@QUARTER, @DROPLAST) C
Number of models evalulated: 20
Selected Model: ARDL(3, 4)

Variable Coefficient Std. Error t-Statistic Prob.*

CONSUMO(-1) 0.118050 0.158770 0.743530 0.4668

CONSUMO(-2) -0.025707 0.221621 -0.115993 0.9089
CONSUMO(-3) 0.220913 0.151915 1.454189 0.1631
RENTA 0.628054 0.033841 18.55920 0.0000
RENTA(-1) 0.012456 0.043916 0.283639 0.7799
RENTA(-2) -0.037255 0.042612 -0.874292 0.3935
RENTA(-3) -0.053640 0.042157 -1.272387 0.2194
RENTA(-4) -0.074373 0.030612 -2.429553 0.0258
C -6619.478 1962.112 -3.373650 0.0034

R-squared 0.999350 Mean dependent var 217169.5

Adjusted R-squared 0.999061 S.D. dependent var 77895.18
S.E. of regression 2387.360 Akaike info criterion 18.65497
Sum squared resid 1.03E+08 Schwarz criterion 19.08691
Log likelihood -242.8420 Hannan-Quinn criter. 18.78341
F-statistic 3457.692 Durbin-Watson stat 1.294430
Prob(F-statistic) 0.000000

*Note: p-values and any subsequent tests do not account for model
selection.