UNIVERSIDAD NACIONAL DEL CALLAO

FACULTAD DE CIENCIAS ECONÓMICAS

ESCUELA PROFESIONAL DE ECONOMÍA

ECONOMETRÍA II

TRABAJO DE INVESTIGACION

“EL NIVEL DE DESEMPLEO INFLUYE EN EL CRECIMIENTO DEL PBI DEL PERU EN LOS AÑOS”

PROFESOR

Mg. Milton Oroche Carbajal

INTEGRANTES

Alvarez Garcia Kevin

Gutierrez Renteria Kimberly

Mercado Ramirez Denys

Bellavista - Callao

2018
1) Hipótesis

2) formalización de la hipótesis mediante el modelo econométrico:

𝑁𝑇 = 𝛼0 + 𝜃𝑃𝐵𝐼𝑡
𝑃𝐵𝐼𝑡 = 𝛽0 + 𝛼𝑁𝑡

3) formalización de la hipótesis aplicando el modelo VAR:

PONLO CMO EN EL CUADERNO

4) estimación
Vector Autoregression Estimates
Date: 11/27/18 Time: 20:39
Sample (adjusted): 1988 2015
Included observations: 28 after adjustments
Standard errors in ( ) & t-statistics in [ ]

PBI M

PBI(-1) 1.730315 0.144942

(0.26142) (0.08187)
[ 6.61889] [ 1.77038]

PBI(-2) -1.054463 -0.171249

(0.43266) (0.13550)
[-2.43714] [-1.26385]

PBI(-3) 0.478105 0.103786

(0.27900) (0.08738)
[ 1.71363] [ 1.18781]

M(-1) -1.286696 0.503098

(0.93892) (0.29405)
[-1.37039] [ 1.71095]

M(-2) 1.982814 0.174522

(1.15269) (0.36099)
[ 1.72016] [ 0.48345]

M(-3) -1.460921 -0.242777

(0.95771) (0.29993)
[-1.52543] [-0.80944]

C -21655.70 -11101.13
(18505.7) (5795.50)
[-1.17022] [-1.91547]

R-squared 0.992041 0.953008

Adj. R-squared 0.989767 0.939581
Sum sq. resids 2.37E+09 2.33E+08
S.E. equation 10629.42 3328.855
F-statistic 436.2673 70.98021
Log likelihood -295.3014 -262.7935
Akaike AIC 21.59296 19.27096
Schwarz SC 21.92601 19.60401
Mean dependent 270944.5 15287.36
S.D. dependent 105078.7 13542.82

Determinant resid covariance (dof adj.) 7.70E+14

Determinant resid covariance 4.33E+14
Log likelihood -551.2836
Akaike information criterion 40.37740
Schwarz criterion 41.04350

*luego hallamos el número de rezagos óptimos:

VAR Lag Order Selection Criteria
Endogenous variables: PBI M
Exogenous variables: C
Date: 11/27/18 Time: 20:40
Sample: 1985 2015
Included observations: 27

Lag LogL LR FPE AIC SC HQ

0 -604.7515 NA 1.13e+17 44.94456 45.04054 44.97310

1 -532.9725 127.6072 7.49e+14 39.92389 40.21185 40.00951
2 -525.6140 11.99167* 5.88e+14* 39.67511* 40.15505* 39.81782*
3 -522.7854 4.190411 6.52e+14 39.76188 40.43380 39.96168
4 -521.3328 1.936838 8.10e+14 39.95058 40.81447 40.20746

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

El modelo VAR para nuestra información debe tener 2 rezagos de acuerdo a todos
los criterios de selección de variables rezagadas del VAR.
*estimando el modelo para el rezago 2 :

Vector Autoregression Estimates

Date: 11/27/18 Time: 20:42
Sample (adjusted): 1987 2015
Included observations: 29 after adjustments
Standard errors in ( ) & t-statistics in [ ]

PBI M

PBI(-1) 1.578837 0.095570

(0.23193) (0.06929)
[ 6.80741] [ 1.37926]

PBI(-2) -0.520737 -0.035502

(0.25180) (0.07523)
[-2.06803] [-0.47192]

M(-1) -0.992968 0.603580

(0.91560) (0.27354)
[-1.08450] [ 2.20653]

M(-2) 0.830475 -0.057816

(0.92272) (0.27567)
[ 0.90003] [-0.20973]

C -6715.507 -8547.136
(17075.0) (5101.26)
[-0.39330] [-1.67549]

R-squared 0.990734 0.950817

Adj. R-squared 0.989190 0.942620
Sum sq. resids 2.81E+09 2.50E+08
S.E. equation 10813.36 3230.564
F-statistic 641.5632 115.9927
Log likelihood -307.7728 -272.7372
Akaike AIC 21.57054 19.15429
Schwarz SC 21.80628 19.39003
Mean dependent 268525.0 14871.08
S.D. dependent 104004.6 13486.41

Determinant resid covariance (dof adj.) 7.38E+14

Determinant resid covariance 5.06E+14
Log likelihood -573.2205
Akaike information criterion 40.22210
Schwarz criterion 40.69358

*Determinando el impulso respuesta para el modelo var estimado:

 Response to Cholesky One S.D. Innovations ± 2 S.E.
Response of PBI to PBI Response of PBI to M
60,000 60,000

40,000 40,000

20,000 20,000

0 0

-20,000 -20,000

-40,000 -40,000
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of M to PBI Response of M to M

8,000 8,000

6,000 6,000

4,000 4,000

2,000 2,000

0 0

-2,000 -2,000

-4,000 -4,000
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
*tabla de impulso respuesta:

Response of
PBI:
Period PBI M

1 10813.36 0.000000
(1419.86) (0.00000)
2 15056.13 -2494.872
(2888.63) (2323.70)
3 17583.47 -3358.249
(4316.04) (3963.35)
4 19512.31 -3271.428
(5415.37) (5548.93)
5 21174.11 -2975.602
(6279.69) (6916.63)
6 22725.71 -2771.658
(7027.06) (8000.12)
7 24261.96 -2711.087
(7759.04) (8869.39)
8 25840.73 -2761.873
(8549.46) (9623.44)
9 27495.82 -2882.757
(9447.49) (10337.8)
10 29246.91 -3044.622
(10485.1) (11058.4)

Response of M:
Period PBI M

1 2030.685 2512.542
(537.385) (329.913)
2 2259.109 1516.521
(737.605) (715.553)
3 2301.161 531.6440
(793.115) (848.834)
4 2404.247 0.837482
(788.405) (980.706)
5 2558.649 -223.6567
(820.601) (1022.90)
6 2736.224 -303.2783
(889.186) (1045.27)
7 2923.766 -329.3687
(977.291) (1095.17)
8 3118.431 -341.9645
(1078.06) (1167.06)
9 3321.426 -355.0627
(1192.38) (1248.94)
10 3534.822 -371.9901
(1323.20) (1336.18)

Cholesky
Ordering: PBI M
Standard
Errors: Analytic
5) validación del modelo

5.1) estacionariedad de las variables x e y

5.1.1 pruebas de raíz unitaria de dickey-fuller

PARA EL PBI:

Null Hypothesis: PBI has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 3.090493 1.0000

Test critical values: 1% level -3.670170
5% level -2.963972
10% level -2.621007

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PBI)
Method: Least Squares
Date: 11/27/18 Time: 21:02
Sample (adjusted): 1986 2015
Included observations: 30 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

PBI(-1) 0.066712 0.021586 3.090493 0.0045

C -6512.346 5875.456 -1.108398 0.2771

R-squared 0.254350 Mean dependent var 10510.10

Adjusted R-squared 0.227720 S.D. dependent var 12747.08
S.E. of regression 11202.06 Akaike info criterion 21.54992
Sum squared resid 3.51E+09 Schwarz criterion 21.64334
Log likelihood -321.2489 Hannan-Quinn criter. 21.57981
F-statistic 9.551145 Durbin-Watson stat 1.251683
Prob(F-statistic) 0.004485

AL 5% DE SIGNIFICNCIA 3.09>2.96 ES UNA SERIE ESTACIONARIA

PARA LAS IMPORTACIONES:

Null Hypothesis: M has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.216900 0.9692

Test critical values: 1% level -3.670170
5% level -2.963972
10% level -2.621007

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M)
Method: Least Squares
Date: 11/27/18 Time: 21:09
Sample (adjusted): 1986 2015
Included observations: 30 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

M(-1) 0.010300 0.047486 0.216900 0.8299

C 1046.824 872.2861 1.200093 0.2402

R-squared 0.001677 Mean dependent var 1183.606

Adjusted R-squared -0.033977 S.D. dependent var 3246.210
S.E. of regression 3300.898 Akaike info criterion 19.10612
Sum squared resid 3.05E+08 Schwarz criterion 19.19953
Log likelihood -284.5918 Hannan-Quinn criter. 19.13600
F-statistic 0.047045 Durbin-Watson stat 1.911101
Prob(F-statistic) 0.829859

al 5%de significancia y 0.21<2.96 es una serie no estacionaria

5.2) autocorrelacion:

Prueba de breusch-godfrey o ML(MULTIPLICADOR DE LAGRANGE)

VAR Residual Serial Correlation LM
Tests
Null Hypothesis: no serial correlation at
lag order h
Date: 11/27/18 Time: 21:15
Sample: 1985 2015
Included observations: 29

Lags LM-Stat Prob

1 1.771900 0.7776
2 1.011088 0.9081
3 2.648215 0.6183
4 0.760130 0.9437
5 1.768622 0.7782
6 3.318450 0.5060
7 7.874482 0.0963
8 6.094390 0.1922
9 10.39269 0.0343
10 2.393521 0.6638
11 7.325759 0.1196
12 4.612306 0.3294

Probs from chi-square with 4 df.

EXISTE AUTOCORRELACION

5.3) heterocedasticidad

Test de White: CON TERMINOS CRUZADOS

VAR Residual Heteroskedasticity Tests: Includes Cross Terms

Date: 11/27/18 Time: 21:28
Sample: 1985 2015
Included observations: 29

Joint test:

Chi-sq df Prob.

60.54476 42 0.0318

Individual components:

Dependent R-squared F(14,14) Prob. Chi-sq(14) Prob.

res1*res1 0.486874 0.948839 0.5384 14.11935 0.4409

res2*res2 0.904176 9.435796 0.0001 26.22110 0.0243
res2*res1 0.607455 1.547477 0.2121 17.61619 0.2248
5.4) prueba de normalidad de los errores

VAR Residual Normality Tests

Orthogonalization: Cholesky (Lutkepohl)
Null Hypothesis: residuals are multivariate normal
Date: 11/27/18 Time: 21:32
Sample: 1985 2015
Included observations: 29

Component Skewness Chi-sq df Prob.

1 -1.295715 8.114570 1 0.0044

2 -0.288146 0.401303 1 0.5264

Joint 8.515873 2 0.0142

Component Kurtosis Chi-sq df Prob.

1 4.858237 4.172429 1 0.0411

2 3.265287 0.085039 1 0.7706

Joint 4.257468 2 0.1190

Component Jarque-Bera df Prob.

1 12.28700 2 0.0021
2 0.486342 2 0.7841

Joint 12.77334 4 0.0124

6) efectuar la prueba de hipótesis t – t student o del p-valor :

PRUEBA T-STUDENT:
Dependent Variable: PBI
Method: Least Squares
Date: 11/27/18 Time: 21:45
Sample: 1985 2015
Included observations: 31

Variable Coefficient Std. Error t-Statistic Prob.

M 7.508477 0.313389 23.95897 0.0000

C 156959.1 6040.335 25.98516 0.0000

R-squared 0.951910 Mean dependent var 262497.5

Adjusted R-squared 0.950251 S.D. dependent var 103171.3
S.E. of regression 23011.72 Akaike info criterion 22.98774
Sum squared resid 1.54E+10 Schwarz criterion 23.08025
Log likelihood -354.3099 Hannan-Quinn criter. 23.01789
F-statistic 574.0322 Durbin-Watson stat 0.753212
Prob(F-statistic) 0.000000

si pv ≤ α, aceptar H1

si pv > α, aceptar H0

Podemos observar que el P-valor es menor a 0.05, entonces rechazamos la H0 entonces

aceptamos la H1 por lo tanto si Existe multicolinealidad.

7) efectuar la prueba f, y la interpretación del coeficiente de determinación

Dependent Variable: PBI

Method: Least Squares
Date: 11/27/18 Time: 21:45
Sample: 1985 2015
Included observations: 31

Variable Coefficient Std. Error t-Statistic Prob.

M 7.508477 0.313389 23.95897 0.0000

C 156959.1 6040.335 25.98516 0.0000

R-squared 0.951910 Mean dependent var 262497.5

Adjusted R-squared 0.950251 S.D. dependent var 103171.3
S.E. of regression 23011.72 Akaike info criterion 22.98774
Sum squared resid 1.54E+10 Schwarz criterion 23.08025
Log likelihood -354.3099 Hannan-Quinn criter. 23.01789
F-statistic 574.0322 Durbin-Watson stat 0.753212
Prob(F-statistic) 0.000000

Se observa que Prob (F-statistic) es menor a 0.05 por ello rechazamos la hipótesis de no
significancia, es decir la variable regresora afecta al modelo de forma conjunta.
INTERPRETACION DEL COEFICIENTE DE DETERMINACION