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Proceso Estocástico No Estacionario

The document analyzes the stationarity of a time series model of gross domestic product (PBI) in Argentina from 1951 to 2012. It performs least squares regressions including lags of PBI as independent variables and tests for unit roots in the autoregressive terms, finding evidence of a nonstationary process.

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Jisselita Llaja Bueno
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29 views4 pages

Proceso Estocástico No Estacionario

The document analyzes the stationarity of a time series model of gross domestic product (PBI) in Argentina from 1951 to 2012. It performs least squares regressions including lags of PBI as independent variables and tests for unit roots in the autoregressive terms, finding evidence of a nonstationary process.

Uploaded by

Jisselita Llaja Bueno
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Proceso estocstico no estacionario

a)

genr pbi1=pbi(-1)
ls pbi pbi1

Dependent Variable: PBI


Method: Least Squares
Date: 06/05/13 Time: 11:20
Sample (adjusted): 1951 2012
Included observations: 62 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

PBI1

1.043666

0.006349

164.3889

0.0000

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

0.990205
0.990205
4984.923
1.52E+09
-615.3489
1.168202

Mean dependent var


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

91430.05
50368.17
19.88222
19.91653
19.89569

genr pbi2=pbi(-2)
ls pbi pbi1 pbi2

Dependent Variable: PBI


Method: Least Squares
Date: 06/05/13 Time: 11:30
Sample (adjusted): 1952 2012
Included observations: 61 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

PBI1
PBI2

1.457876
-0.432682

0.119363
0.124523

12.21383
-3.474732

0.0000
0.0010

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

0.991625
0.991483
4616.310
1.26E+09
-600.2169
1.905526

Mean dependent var


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

92535.67
50021.83
19.74482
19.81403
19.77194

ls pbi ar(1) ar(2)


iguales
ls pbi pbi(-1) pbi(-2)

b)

MCA CON VARIACIONES

ls pbi c ar(1) ar(2)

Dependent Variable: PBI


Method: Least Squares
Date: 06/05/13 Time: 11:45
Sample (adjusted): 1952 2012
Included observations: 61 after adjustments
Convergence achieved after 9 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
AR(2)

23714.49
1.449266
-0.416545

31375.85
0.120903
0.128146

0.755820
11.98701
-3.250557

0.4528
0.0000
0.0019

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

0.991676
0.991389
4641.930

Mean dependent var


S.D. dependent var
Akaike info criterion

92535.67
50021.83
19.77158

Sum squared resid


Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots

1.25E+09
-600.0331
3454.721
0.000000

Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

19.87539
19.81226
1.902997

1.05
.40
Estimated AR process is nonstationary

LS PBI C PBI(-1) PBI(-2)

Dependent Variable: PBI


Method: Least Squares
Date: 06/05/13 Time: 11:49
Sample (adjusted): 1952 2012
Included observations: 61 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
PBI(-1)
PBI(-2)

-775.9516
1.449266
-0.416545

1310.601
0.120903
0.128146

-0.592058
11.98701
-3.250557

0.5561
0.0000
0.0019

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

LOS 2

0.991676
0.991389
4641.930
1.25E+09
-600.0331
3454.721
0.000000

Mean dependent var


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

92535.67
50021.83
19.77158
19.87539
19.81226
1.902997

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