ANEXOS

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ANEXO 1
Dependent Variable: LCP
Method: LeastSquares
Date: 12/04/11 Time: 01:52
Sample: 1990:1 2011:3
Includedobservations: 87
Variable
Coefficient
Std. Error
t-Statistic
C
0.959794
0.090423
10.61452
LPBI
0.874584
0.008705
100.4709
IPC
-2.64E-05
3.11E-05 -0.848224
R-squared
0.992529 Mean dependentvar
Adjusted R-squared
0.992351 S.D. dependentvar
S.E. of regression
0.022780 Akaikeinfocriterion
Sum squaredresid
0.043588 Schwarzcriterion
Log likelihood
207.1036 F-statistic
Durbin-Watson stat
1.814048 Prob(F-statistic)

Null Hypothesis: LCP has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=2)
t-Statistic
Null Hypothesis: LCP has a unit root
Augmented
Dickey-Fuller
test
statistic
-3.805995
Exogenous: Constant, Linear Trend
Test
criticalvalues:
1% using
level Bartlett kernel) -4.069631
Bandwidth:
2 (Newey-West
5% level
-3.463547
Adj. t-Stat
10%
level
-3.158207
Phillips-Perron test statistic
-5.591644
*MacKinnon
(1996) one-sided
p-values.
Test criticalvalues:
1% level
-4.068290
5% level
-3.462912
10% level
-3.157836
Augmented
Test p-values.
Equation
*MacKinnonDickey-Fuller
(1996) one-sided
Dependent Variable: D(LCP)
Method: LeastSquares
Residual variance (no correction)
Date: 12/04/11 Time: 02:16
HAC corrected variance (Bartlett kernel)
Sample(adjusted): 1990:3 2011:3
Included observations: 85 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Phillips-Perron Test Equation
LCP(-1)
-0.428544
0.112597
-3.805995
Dependent Variable: D(LCP)
D(LCP(-1))
0.109387 -2.128059
Method:
LeastSquares -0.232782
C
4.111344
1.078805
3.811019
Date: 12/04/11 Time: 02:24
@TREND(1990:1)
0.004463
0.001147
3.890750
Sample(adjusted): 1990:2 2011:3
R-squared
0.321748
Mean
dependentvar
Included observations: 86 after adjusting endpoints
Adjusted
R-squared
0.296627 S.D.
Variable
Coefficient
Std. dependentvar
Error
t-Statistic
S.E. of regression
0.054235 Akaikeinfocriterion
LCP(-1)
-0.541583
0.095907 -5.646969
Sum squaredresid
0.238255 Schwarzcriterion
C
5.196053
0.919463
5.651181
Log likelihood
129.1656 F-statistic
@TREND(1990:1)
0.005520
0.000987
5.593825
Durbin-Watson stat
1.939697 Prob(F-statistic)
R-squared
0.278998 Mean dependentvar
Adjusted R-squared
0.261625 S.D. dependentvar
S.E. of regression
0.055262 Akaikeinfocriterion

Prob.
0.0000
0.0000
0.3987
10.02580
0.260454
-4.692036
-4.607005
5579.373
0.000000

Prob.*
0.0209
Prob.*
0.0001

0.002947
0.002814
Prob.
0.0003
0.0364
0.0003
0.0002
0.009513
0.064667
Prob.
-2.945072
0.0000
-2.830124
0.0000
12.80819
0.0000
0.000001
0.009317
0.064311
-2.919203

Sum squaredresid
Log likelihood
Durbin-Watson stat

0.253473 Schwarzcriterion
128.5257 F-statistic
2.224669 Prob(F-statistic)

-2.833586
16.05881
0.000001

Null Hypothesis: LCP is stationary

Exogenous: Constant, Linear Trend
Bandwidth: 6 (Newey-West using Bartlett kernel)
Kwiatkowski-Phillips-Schmidt-Shin test statistic
Asymptoticcriticalvalues*:
1% level
5% level
10% level
*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

LM-Stat.
0.174352
0.216000
0.146000
0.119000

Residual variance (no correction)

HAC corrected variance (Bartlett kernel)

0.003836
0.013398

KPSS Test Equation

Dependent Variable: LCP
Method: LeastSquares
Date: 12/04/11 Time: 02:29
Sample: 1990:1 2011:3
Includedobservations: 87
Variable
Coefficient
Std. Error
t-Statistic
C
9.595279
0.013320
720.3636
@TREND(1990:1)
0.010012
0.000267
37.43016
R-squared
0.942800 Mean dependentvar
Adjusted R-squared
0.942127 S.D. dependentvar
S.E. of regression
0.062657 Akaikeinfocriterion
Sum squaredresid
0.333700 Schwarzcriterion
Log likelihood
118.5611 F-statistic
Durbin-Watson stat
1.053633 Prob(F-statistic)

Prob.
0.0000
0.0000
10.02580
0.260454
-2.679566
-2.622879
1401.017
0.000000

Null Hypothesis: D(LCP) is stationary

Exogenous: Constant, Linear Trend
Bandwidth: 14 (Newey-West using Bartlett kernel)
Kwiatkowski-Phillips-Schmidt-Shin test statistic
Asymptoticcriticalvalues*:
1% level
5% level
10% level
*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
Residual variance (no correction)
HAC corrected variance (Bartlett kernel)

LM-Stat.
0.066990
0.216000
0.146000
0.119000

0.004080
0.000667

Null Hypothesis: LPBI has a unit root

Exogenous: Constant, Linear Trend

LagLength: 2 (Fixed)
Augmented Dickey-Fuller test statistic
Test criticalvalues:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

t-Statistic
-2.220620
-4.071006
-3.464198
-3.158586

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LPBI)
Method: LeastSquares
Date: 12/04/11 Time: 02:33
Sample(adjusted): 1990:4 2011:3
Included observations: 84 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
LPBI(-1)
-0.206902
0.093173 -2.220620
D(LPBI(-1))
-0.506909
0.118635 -4.272842
D(LPBI(-2))
0.146398
0.103437
1.415345
C
2.053304
0.918018
2.236671
@TREND(1990:1)
0.002462
0.001079
2.281477
R-squared
0.575841 Mean dependentvar
Adjusted R-squared
0.554364 S.D. dependentvar
S.E. of regression
0.045731 Akaikeinfocriterion
Sum squaredresid
0.165211 Schwarzcriterion
Log likelihood
142.5258 F-statistic
Durbin-Watson stat
1.863484 Prob(F-statistic)

Prob.*
0.4719

Prob.
0.0292
0.0001
0.1609
0.0281
0.0252
0.013109
0.068504
-3.274423
-3.129731
26.81268
0.000000

Null Hypothesis: D(LPBI) is stationary

Exogenous: Constant, Linear Trend
Bandwidth: 14 (Newey-West using Bartlett kernel)
Kwiatkowski-Phillips-Schmidt-Shin test statistic
Asymptoticcriticalvalues*:
1% level
5% level
10% level
*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
Residual variance (no correction)
HAC corrected variance (Bartlett kernel)
KPSS Test Equation
Dependent Variable: D(LPBI)
Method: LeastSquares
Date: 12/04/11 Time: 02:42
Sample(adjusted): 1990:2 2011:3
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
0.004303
0.015430
0.278888

LM-Stat.
0.062474
0.216000
0.146000
0.119000

0.004913
0.000821

Prob.
0.7810

@TREND(1990:1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squaredresid
Log likelihood
Durbin-Watson stat

0.000149
0.000308
0.482144
0.002760 Mean dependentvar
-0.009112 S.D. dependentvar
0.070922 Akaikeinfocriterion
0.422513 Schwarzcriterion
106.5542 F-statistic
3.390206 Prob(F-statistic)

Null Hypothesis: IPC has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 7 (Automatic based on SIC, MAXLAG=10)
t-Statistic
Augmented Dickey-Fuller test statistic
-3.223323
Test criticalvalues:
1% level
-4.078420
5% level
-3.467703
10% level
-3.160627
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IPC)
Method: LeastSquares
Date: 12/04/11 Time: 02:46
Sample(adjusted): 1992:1 2011:3
Included observations: 79 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
IPC(-1)
-0.162510
0.050417 -3.223323
D(IPC(-1))
-0.013103
0.108416 -0.120862
D(IPC(-2))
-0.443117
0.100697 -4.400510
D(IPC(-3))
-0.058958
0.102127 -0.577300
D(IPC(-4))
-0.071318
0.068387 -1.042863
D(IPC(-5))
0.009610
0.006932
1.386213
D(IPC(-6))
0.008584
0.003234
2.654509
D(IPC(-7))
0.002342
0.002038
1.149219
C
-0.041336
0.353527 -0.116925
@TREND(1990:1)
0.002430
0.005682
0.427644
R-squared
0.433546 Mean dependentvar
Adjusted R-squared
0.359661 S.D. dependentvar
S.E. of regression
0.789504 Akaikeinfocriterion
Sum squaredresid
43.00889 Schwarzcriterion
Log likelihood
-88.07852 F-statistic
Durbin-Watson stat
1.962727 Prob(F-statistic)

0.6310
0.010764
0.070601
-2.431493
-2.374416
0.232463
0.630957

Prob.*
0.0874

Prob.
0.0019
0.9042
0.0000
0.5656
0.3007
0.1701
0.0099
0.2544
0.9073
0.6702
-0.169145
0.986619
2.483001
2.782931
5.867825
0.000005

Null Hypothesis: IPC has a unit root

Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West using Bartlett kernel)
Phillips-Perron test statistic
Test criticalvalues:
1% level
5% level

Adj. t-Stat
-7.160397
-4.068290
-3.462912

Prob.*
0.0000

10% level
*MacKinnon (1996) one-sided p-values.

-3.157836

Residual variance (no correction)

HAC corrected variance (Bartlett kernel)

5862.380
5862.380

Phillips-Perron Test Equation

Dependent Variable: D(IPC)
Method: LeastSquares
Date: 12/04/11 Time: 02:47
Sample(adjusted): 1990:2 2011:3
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
IPC(-1)
-0.760088
0.106152 -7.160397
C
40.11122
18.07664
2.218953
@TREND(1990:1)
-0.673591
0.354381 -1.900752
R-squared
0.382083 Mean dependentvar
Adjusted R-squared
0.367193 S.D. dependentvar
S.E. of regression
77.93762 Akaikeinfocriterion
Sum squaredresid
504164.7 Schwarzcriterion
Log likelihood
-495.1101 F-statistic
Durbin-Watson stat
2.061503 Prob(F-statistic)

Prob.
0.0000
0.0292
0.0608
-1.426590
97.97419
11.58396
11.66957
25.66113
0.000000

Null Hypothesis: IPC is stationary

Exogenous: Constant, Linear Trend
Bandwidth: 4 (Newey-West using Bartlett kernel)
Kwiatkowski-Phillips-Schmidt-Shin test statistic
Asymptoticcriticalvalues*:
1% level
5% level
10% level
*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

LM-Stat.
0.165703
0.216000
0.146000
0.119000

Residual variance (no correction)

HAC corrected variance (Bartlett kernel)

6204.733
10040.15

KPSS Test Equation

Dependent Variable: IPC
Method: LeastSquares
Date: 12/04/11 Time: 02:48
Sample: 1990:1 2011:3
Includedobservations: 87
Variable
Coefficient
Std. Error
t-Statistic
C
57.41509
16.94138
3.389044
@TREND(1990:1)
-0.964838
0.340214 -2.835975
R-squared
0.086442 Mean dependentvar
Adjusted R-squared
0.075694 S.D. dependentvar
S.E. of regression
79.69145 Akaikeinfocriterion
Sum squaredresid
539811.8 Schwarzcriterion
Log likelihood
-503.3361 F-statistic
Durbin-Watson stat
1.511505 Prob(F-statistic)

Prob.
0.0011
0.0057
15.92704
82.89031
11.61692
11.67361
8.042756
0.005709

Null Hypothesis: D(IPC) is stationary

Exogenous: Constant, Linear Trend
Bandwidth: 4 (Fixed using Bartlett kernel)
Kwiatkowski-Phillips-Schmidt-Shin test statistic
Asymptoticcriticalvalues*:
1% level
5% level
10% level
*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

LM-Stat.
0.030299
0.216000
0.146000
0.119000

Residual variance (no correction)

HAC corrected variance (Bartlett kernel)

9483.727
2197.886

KPSS Test Equation

Dependent Variable: D(IPC)
Method: LeastSquares
Date: 12/04/11 Time: 02:50
Sample(adjusted): 1990:2 2011:3
Included observations: 86 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
C
-4.751343
21.43771 -0.221635
@TREND(1990:1)
0.076431
0.428027
0.178566
R-squared
0.000379 Mean dependentvar
Adjusted R-squared
-0.011521 S.D. dependentvar
S.E. of regression
98.53695 Akaikeinfocriterion
Sum squaredresid
815600.5 Schwarzcriterion
Log likelihood
-515.7940 F-statistic
Durbin-Watson stat
2.905082 Prob(F-statistic)

Prob.
0.8251
0.8587
-1.426590
97.97419
12.04172
12.09880
0.031886
0.858708

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