ANEXO 1 MODELO CON LM1 NOMINAL DESESTACIONALIZADO. Statistic

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1 ANEXO MODELO CON LM NOMINAL DESESTACIONALIZADO.. Pruebas de Raiz Unitaria Null Hypothesis: D (LM) has a unit root Exogenous: Constant, Linear Trend Lag Length: 2 (Automatic based on AIC, MAXLAG=2) t ElliottRothenbergStock DFGLS test statistic Test critical values: 5% level 0% level % level *ElliottRothenbergStock (996, Table ) Statistic DFGLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID) Method: Least Squares Date: 09/08/0 Time: 0:53 Sample (adjusted): 983Q 2008Q4 Included observations: 04 after adjustments Item Coefficient Std. Error t Prob. Statistic GLSRESID() D(GLSRESID()) D(GLSRESID(2)) Rsquared Mean dependent var Adjusted Rsquared S.D. dependent var S.E. of regression Akaike info criterion Sum squared residuo Schwarz criterion

2 Log likelihood HannanQuinn DurbinWatson stat criterion Criterios de selección del VAR VAR Lag Order Selection Criteria Endogenous variables: LMSA LPPI LPPA Exogenous variables: C Date: 09/08/0 Time: 4:28 Sample: 982Q 2008Q4 Included observations: 00 Lag LogL LR FPE AIC SC HQ 0 NA e * e e e e * 0* * * e e e * 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 2

3 SC: Schwarz information criterion HQ: HannanQuinn information criterion.3. Test de Correlación del VAR VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Date: 09/08/0 Time: 4:29 Sample: 982Q 2008Q4 Included observations: 03 Lags LMStat Prob Probs from chisquare with 9 df. 3

4 .4. Test de Normalidad VAR Residual Normality Tests Orthogonalization: Cholesky (Lutkepohl) Null Hypothesis: residuals are multivariate normal Date: 09/08/0 Time: 4:30 Sample: 982Q 2008Q4 Included observations: 03 Component Skewness Chisq df Prob Joint Component Kurtosis Chisq df Prob Joint

5 Component Jarque df Prob. Bera Joint Test de Heterocedasticidad VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Date: 09/08/0 Time: 4:30 Sample: 982Q 2008Q4 Included observations: 03 Joint test: Chisq df Prob Individual components: Rsquared F(3,7) Prob. Chisq(3) Prob. res*res res2*res res3*res res2*res res3*res res3*res Date: 09/08/0 Time: 4:3 Sample (adjusted): 983Q2 2008Q4 Included observations: 03 after adjustments Trend assumption: No deterministic trend (restricted constant) Series: LMSA LPPI LPPA Lags interval (in first differences): to 4 5

6 .6. Test de la TRAZA Unrestricted Cointegration Rank Test (Trace) Hypothesized No. of CE(s) Eigen Trace 0.05 Prob.** value Statistic Critical Value None * At most At most Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnonHaugMichelis (999) pvalues.7. Test del Maximo Valor Unrestricted Cointegration Rank Test (Maximum Eigen value) Hypothesized No. of CE(s) Eigen Statistic 0.05 Prob.** value Max Eigen Critical Value None * At most At most Max Eigen value test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnonHaugMichelis (999) pvalues 6

7 .8. Cointegración Unrestricted Cointegrating Coefficients (normalized by b'*s*b=i): LMSA LPPI LPPA C Unrestricted Adjustment Coefficients (alpha): D(LMSA) D(LPPI) D(LPPA).92E Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LMSA LPPI LPPA C (.00766) ( ) ( ) 7

8 Adjustment coefficients (standard error in parentheses) D(LMSA) (0.0076) D(LPPI) (0.0065) D(LPPA) (0.0380) 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LMSA LPPI LPPA C (0.3784) (.93403) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(LMSA) D(LPPI) (0.0083) ( ) ( ) (0.0355) D(LPPA) (0.0396) (0.0825) Vector Error Correction Estimates Date: 09/08/0 Time: 4:32 Sample (adjusted): 983Q2 2008Q4 Included observations: 03 after adjustments Standard errors in ( ) & tstatistics in [ ] 8

9 Cointegrating CointEq Eq: LMSA() LPPI() (.00766) [5.0823] LPPA() ( ) [ ] C ( ) [0.487] Error Correction: CointEq D(LMSA( )) D(LMSA( 2)) D(LMSA( 3)) D(LMSA( 4)) D(LPPI()) D(LPPI(2)) D(LPPI(3)) D(LPPI(4)) D(LPPA( )) D(LMSA) D(LPPI) D(LPPA) (0.0076) (0.0065) (0.0380) [ ] [.2903] [0.9946] ( ) ( ) (0.2803) [ ] [ ] [ ] ( ) ( ) (0.2498) [ ] [.34769] [ ] ( ) ( ) (0.980) [ ] [ ] [ ] ( ) (0.0543) (0.250) [.548] [.3900] [ ] (0.6807) (0.0960) (0.255) [.87367] [.53673] [.22749] (0.635) (0.0934) ( ) [2.4899] [.5622] [2.0469] (0.7592) (0.0049) ( ) [.2478] [0.093] [ ] (0.7449) ( ) ( ) [ ] [ ] [ ] ( ) (0.05) (0.473) [.20873] [ ] [ ] 9

10 D(LPPA( 2)) D(LPPA( 3)) D(LPPA( 4)) ( ) ( ) (0.0852) [ ] [.0249] [ ] ( ) ( ) (0.39) [ ] [ ] [ ] E ( ) ( ) (0.0994) [ ] [ ] [.2266] Rsquared Adj. R squared Sum sq resids S.E equation Fstatistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent

11 .9. PRUEBA DE NEUTRALIDAD MONETARIA Y EXOGENEIDAD Vector Error Correction Estimates Date: 09/22/0 Time: 4:56 Sample (adjusted): 983Q2 2008Q4 Included observations: 03 after adjustments Standard errors in ( ) & tstatistics in [ ] Cointegration Restrictions: B(,)= B(,2)= B(,3)= A(,)=0 Convergence achieved after 6 iterations. Restrictions identify all cointegrating vectors LR test for binding restrictions (rank = ): Chisquare(3) Probability Cointegrating CointEq Eq: LMSA() LPPI() LPPA() C ( ) [0.0289]

12 Error Correction: D(LMSA) D(LPPI) D(LPPA) CointEq ( ) (0.0023) ( ) [ NA] [ ] [.38947] D(LMSA()) (0.0496) (0.0585) (0.742) [.7003] [ ] [ ] D(LMSA(2)) (0.0457) (0.0565) (0.698) [ ] [ ] [ ] D(LMSA(3)) (0.0370) (0.0522) (0.600) [ ] [ ] [ ] D(LMSA(4)) (0.0546) (0.0520) (0.798) [0.379] [.3580] [0.973] D(LPPI()) (0.794) ( ) ( ) [ ] [ ] [.4430] D(LPPI(2)) (0.7580) ( ) (0.9667) [ ] [ ] [ ] D(LPPI(3)) (0.744) ( ) (0.948) [.3345] [.4592] [ ] D(LPPI(4)) (0.7473) (0.0863) (0.9546) [ ] [ ] [ ] D(LPPA()) ( ) ( ) (0.0725) [0.5250] [ ] [ ] D(LPPA(2)) ( ) (0.0467) (0.0455) [.45204] [0.745] [0.7453] D(LPPA(3)) ( ) ( ) (0.054) [0.8395] [.38478] [.294] D(LPPA(4)) ( ) ( ) (0.066) [ ] [ ] [.00803] Rsquared Adj. Rsquared Sum sq. resids S.E. equation Fstatistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance 2.04E0 (dof adj.) Determinant resid covariance.36e0 2

13 Log likelihood Akaike information criterion Schwarz criterion Determinant resid covariance.59e0 (dof adj.) Determinant resid covariance.06e0 Log likelihood Akaike information criterion Schwarz criterion RESPUESTAS DE CORTO PLAZO DE LAS VARIABLES LMSA, LPPA y LPPI ANTE SHOCK IGUAL A LA DESVIACIÓN ESTANDAR Response of LPPI: LPPI LPPA LMSA Period

14 Response of LMSA: LPPI LPPA LMSA Perio d Response of LPPA: Period LPPI LPPA LMSA

15 Cholesky Ordering: LMSA LPPI LPPA 5

16 .0. RESPUESTAS ACUMILADAS DE LARGO PLAZO DE LAS VARIABLES LMSA, LPPA y LPPI ANTE SHOCK IGUAL A LA DESVIACIÓN ESTANDAR Accumulated Response of LMSA: LPPI LPPA LMSA Period

17 Accumulated Response of LPPI: Period LPPI LPPA LMSA

18 Accumulated Response of LPPA: LPPI LPPA LMSA Period E Cholesky Ordering: LMSA LPPI LPPA 8

19 ANEXO 2 MODELO CON M3 NOMINAL DESESTACIONALIZADO 2.. Pruebas de Raiz Unitaria Null Hypothesis: D(LM3) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on AIC, MAXLAG=2) ElliottRothenbergStock DFGLS test statistic Test critical values: 5% level 0% level % level *ElliottRothenbergStock (996, Table ) t Statistic DFGLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID) Method: Least Squares Date: 09/08/0 Time: :00 Sample (adjusted): 982Q4 2008Q4 Included observations: 05 after adjustments Item Coefficient Std. Error t Prob. Statistic GLSRESID() D(GLSRESID()) Rsquared Mean dependent var Adjusted Rsquared S.D. dependent var S.E. of regression Akaike info criterion Sum squared Schwarz criterion residuo Log likelihood HannanQuinn criterion. DurbinWatson stat

20 2.2. Criterios de selección del VAR VAR Lag Order Selection Criteria Endogenous variables: LM3SA LPPI LPPA Exogenous variables: C Date: 09/08/0 Time: 4:04 Sample: 982Q 2008Q4 Included observations: 00 Lag LogL LR FPE AIC SC HQ 0 NA 8.0e e *.79e 0.59e 0.80e 0.4e e * * * * e e 0 * 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: HannanQuinn information criterion 20

21 2.3. Test de Correlación VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Date: 09/08/0 Time: 4:08 Sample: 982Q 2008Q4 Included observations: 02 Lags LMStat Prob Probs from chisquare with 9 df. 2

22 2.4. Test de Normalidad VAR Residual Normality Tests Orthogonalization: Cholesky (Lutkepohl) Null Hypothesis: residuals are multivariate normal Date: 09/08/0 Time: 4:09 Sample: 982Q 2008Q4 Included observations: 02 Component Skewness Chisq df Prob Joint Component Kurtosis Chisq df Prob Joint Component Jarque Bera df Joint Prob

23 2.5. Test Heterocedasticidad VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Date: 09/08/0 Time: 4:0 Sample: 982Q 2008Q4 Included observations: 02 Joint test: Chisq df Prob Individual components: Dependent R F(36,65) Prob. Chisq(36) Prob. squared res*res res2*res res3*res res2*res res3*res res3*res Date: 09/08/0 Time: 4:3 Sample (adjusted): 983Q3 2008Q4 Included observations: 02 after adjustments Trend assumption: No deterministic trend (restricted constant) Series: LM3SA LPPI LPPA Lags interval (in first differences): to 5 23

24 2.6. Test de la Traza Unrestricted Cointegration Rank Test (Trace) Hypothesized No. of CE(s) Eigen Statistic 0.05 Prob.** value Trace Critical Value None * At most At most Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnonHaugMichelis (999) pvalues 2.7. Test del Maximo Valor Unrestricted Cointegration Rank Test (Maximum Eigen value) Hypothesized No. of CE(s) Eigen Statistic 0.05 Prob.** value Maximo Valor Critical Value None At most At most Maxeigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnonHaugMichelis (999) pvalues 24

25 2.8. Cointegración Unrestricted Cointegrating Coefficients (normalized by b'*s*b=i): LM3SA LPPI LPPA C Unrestricted Adjustment Coefficients (alpha): D(LM3SA) D(LPPI) D(LPPA) Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LM3SA LPPI LPPA C (2.554) (.5653) (5.7557) Adjustment coefficients (standard error in parentheses) D(LM3SA) D(LPPI) D(LPPA) ( ) ( ) (0.0048) 25

26 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) LM3SA LPPI LPPA C (0.0822) ( ) ( ) (0.3804) Adjustment coefficients (standard error in parentheses) (LM3SA) D(LPPI) ( ) (0.0396) (0.020) ( ) D(LPPA) (0.08) ( ) Vector Error Correction Estimates Date: 09/08/0 Time: 4:7 Sample (adjusted): 983Q3 2008Q4 Included observations: 02 after adjustments Standard errors in ( ) & tstatistics in [ ] Cointegrating CointEq Eq: LM3SA() LPPI() (2.554) [ ] LPPA() (.5653) [ ].3075 C (5.7557) [.96532] 26

27 Error Correction: CointEq D(LM3SA()) D(LM3SA(2)) D(LM3SA(3)) D(LM3SA(4)) D(LM3SA(5)) D(LPPI()) D(LPPI(2)) D(LPPI(3)) D(LPPI(4)) D(LPPI(5)) D(LPPA()) D(LPPA(2)) D(LPPA(3)) D(LM3SA) D(LPPI) D(LPPA) ( ) ( ) (0.0048) [3.5403] [.5750] [0.758] ( ) (0.0792) (0.7702) [ ] [ ] [0.07] (0.0376) ( ) (0.8636) [ ] [.8228] [.78226] (0.0526) ( ) (0.8905) [0.8899] [ ] [.02078] (0.0026) ( ) (0.8007) [ ] [.00769] [.58660] (0.0946) ( ) (0.692) [ 3.973] [ ] [ ] (0.3785) (0.066) ( ) [.53072] [.80453] [.68785] (0.942) ( ) (0.2449) [.37909] [ ] [.3843] (0.54) ( ) ( ) [ ] [ ] [ ] (0.29) ( ) ( ) [ ] [ ] [ ] (0.3872) (0.36) (0.2495) [0.0093] [ ] [0.3675] ( ) (0.0567) (0.562) [.39654] [.40439] [ ] ( ) (0.0545) (0.5) [.6330] [ ] [.43597] (0.0628) ( ) (0.28) [.8704] [.37868] [.5265] 27

28 D(LPPA(4)) ( ) ( ) (0.87) [ ] [ ] [ ] D(LPPA(5)) (0.0677) ( ) (0.094) [ ] [ 0.256] [2.3765] Rsquared Adj. R squared Sum sq resids S.E. equation Fstatistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance 6.43E (dof adj.) Determinant resid covariance 3.85E Log likelihood Akaike information criterion Schwarz criterion PRUEBA DE NEUTRALIDAD MONETARIA Y EXOGENEIDAD Vector Error Correction Estimates Date: 09/22/0 Time: 2:04 Sample (adjusted): 983Q3 2008Q4 Included observations: 02 after adjustments Standard errors in ( ) & tstatistics in [ ] Cointegration Restrictions: B(,2)= B(,3)= B(,)= A(,)=0 Convergence achieved after 5 iterations. Restrictions identify all cointegrating vectors LR test for binding restrictions (rank = ): 28

29 Chisquare(3) Probability Cointegrating CointEq Eq: LM3SA() LPPI() LPPA() C (0.4370) [.9270] Error Correction: CointEq D(LM3SA()) D(LM3SA(2)) D(LM3SA(3)) D(LM3SA(4)) D(LM3SA(5)) D(LPPI()) D(LM3SA) D(LPPI) D(LPPA) ( ) ( ) ( ) [ NA] [2.6439] [ ] (0.073) ( ) (0.782) [ ] [ ] [ 0.60] (0.036) (0.0802) (0.8639) [ 2.498] [.74806] [.90608] (0.27) ( ) (0.8945) [ ] [ ] [.07469] (0.0693) ( ) (0.8060) [ ] [.09035] [.60427] (0.004) (0.0737) (0.6958) [ ] [ ] [ ] (0.4550) (0.0682) ( ) [ ] [.72649] [.88693] 29

30 D(LPPI(2)) (0.204) ( ) ( ) [0.5077] [ ] [ ] D(LPPI(3)) (0.875) (0.0878) ( ) [ ] [0.9957] [ ] D(LPPI(4)) (0.529) ( ) (0.9473) [ ] [ ] [ ] D(LPPI(5)) (0.4400) (0.0572) ( ) [ ] [2.025] [ ] D(LPPA()) ( ) (0.0474) (0.0908) [ ] [.4754] [0.2866] D(LPPA(2)) ( ) (0.0474) (0.0908) [ ] [0.7653] [.7854] D(LPPA(3)) ( ) ( ) (0.0874) [ ] [.7678] [.80507] D(LPPA(4)) ( ) ( ) (0.0874) [ ] [ ] [ ] D(LPPA(5)) ( ) ( ) (0.089) [0.334] [ ] [ ] Rsquared Adj. R squared Sum sq resids S.E. equation

31 Fstatistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance 6.9E (dof adj.) Determinant resid covariance 4.4E Log likelihood Akaike information criterion Schwarz criterion RESPUESTAS DE CORTO PLAZO DE LAS VARIABLES LM3SA, LPPA y LPPI ANTE SHOCK IGUAL A LA DESVIACIÓN ESTANDAR Response of LM3SA: Period LM3SA LPPA LPPI

32

33 Response of LPPA: LPPI: LM3SA LPPA LPPI Period

34 Period E Cholesky Ordering: LM3SA LPPI LPPA 34

35 2.. RESPUESTAS ACUMILADAS DE LARGO PLAZO DE LAS VARIABLES LM3SA, LPPA y LPPI ANTE SHOCK IGUAL A LA DESVIACIÓN ESTANDAR Accumulated Response of LM3SA: LM3SA LPPA LPPI Period

36 Accumulated Response of LPPA: LM3SA LPPA LPPI Period Accumulated Response of LPPI: LM3SA LPPA LPPI Period

37 Cholesky Ordering: LM3SA LPPI LPPA 37