TEST DE COINTEGRACION DE JOHANSEN

Date: 07/05/18 Time: 22:16

Sample (adjusted): 1962 2016
Included observations: 55 after adjustments
Trend assumption: Linear deterministic trend
Series: PBI CREDITO
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.304300 22.00687 15.49471 0.0045

At most 1 0.036602 2.050871 3.841466 0.1521

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.304300 19.95600 14.26460 0.0057

At most 1 0.036602 2.050871 3.841466 0.1521

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

PBI CREDITO
-1.40E-05 1.31E-05
6.25E-06 6.66E-06

Unrestricted Adjustment Coefficients (alpha):

D(PBI) -3340.620 1255.028

D(CREDITO) -34668.66 -15872.51

1 Cointegrating Equation(s): Log likelihood -1280.981

Normalized cointegrating coefficients (standard error in parentheses)

PBI CREDITO
1.000000 -0.934544
(0.17305)

Adjustment coefficients (standard error in parentheses)

D(PBI) 0.046662
(0.01619)
D(CREDITO) 0.484253
(0.19195)
700,000

600,000

500,000

400,000

300,000

200,000

100,000

0
60 65 70 75 80 85 90 95 00 05 10 15

PBI CREDITO

Date: 07/05/18 Time: 22:40

Series: PBI CREDITO
Sample: 1960 2016
Included observations: 57
Null hypothesis: Series are not cointegrated
Cointegrating equation deterministics: C
Automatic lags specification based on Schwarz criterion (maxlag=10)

Dependent tau-statistic Prob.* z-statistic Prob.*

PBI 0.193779 0.9927 0.387540 0.9924
CREDITO -2.960405 0.1366 -18.44737 0.0508

*MacKinnon (1996) p-values.

Intermediate Results:
PBI CREDITO
Rho - 1 0.012012 -0.499832
Rho S.E. 0.061988 0.168839
Residual variance 1.73E+09 1.01E+10
Long-run residual variance 5.97E+08 4.54E+09
Number of lags 1 1
Number of observations 55 55
Number of stochastic trends** 2 2

**Number of stochastic trends in asymptotic distribution

Método de Vector de Corrección de Errores

Vector Error Correction Estimates

Date: 07/05/18 Time: 22:25
Sample (adjusted): 1963 2016
Included observations: 54 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

CREDITO(-1) 1.000000

PBI(-1) -1.316902
(0.22644)
[-5.81558]

C 214111.8

Error Correction: D(CREDITO) D(PBI)

CointEq1 -0.344106 -0.047711

(0.19670) (0.01585)
[-1.74942] [-3.01065]

D(CREDITO(-1)) -0.646374 0.015685

(0.19411) (0.01564)
[-3.32995] [ 1.00295]

D(CREDITO(-2)) -0.094045 -0.008777

(0.14438) (0.01163)
[-0.65136] [-0.75452]

D(PBI(-1)) -0.633774 0.228511

(1.97874) (0.15942)
[-0.32029] [ 1.43338]

D(PBI(-2)) -0.157672 -0.169966

(1.99641) (0.16085)
[-0.07898] [-1.05670]

C 13332.97 7264.208
(24142.1) (1945.06)
[ 0.55227] [ 3.73469]

R-squared 0.610381 0.443662

Adj. R-squared 0.569796 0.385710
Sum sq. resids 5.37E+11 3.49E+09
S.E. equation 105817.2 8525.405
F-statistic 15.03946 7.655694
Log likelihood -698.1938 -562.1861
Akaike AIC 26.08125 21.04393
Schwarz SC 26.30225 21.26493
Mean dependent 4347.975 7772.617
S.D. dependent 161331.4 10877.48

Determinant resid covariance (dof adj.) 7.03E+17

Determinant resid covariance 5.56E+17
Log likelihood -1256.443
Akaike information criterion 47.05346
Schwarz criterion 47.56912
Graficos de impulso respuesta
Response to Cholesky One S.D. Innovations
Response of CREDITO to CREDITO Response of CREDITO to PBI
120,000 120,000

80,000 80,000

40,000 40,000

0 0

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of PBI to CREDITO Response of PBI to PBI

20,000 20,000

10,000 10,000

0 0

-10,000 -10,000

-20,000 -20,000

-30,000 -30,000
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10