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program1.prg
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program1.prg
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wf m 2000.1 2013.1
read(b3) "C:\Users\PC2\Desktop\Clase3\datos.xls" 7
group g1 circulantesb ipc liquidezsb pbi tahorr tcsoldolar tpmn
g1.line(m)
' M/P=kY^a e^(-bi) ===> LN(M/P) =bo+a*Ln(y) -b*i
' Desestacionalización mediante media movil
series cirsa=@movav(circulantesb, 12)
series pbisa=@movav(pbi, 12)
' Desestacionalizar mediante census x12
pbi.x12(save="d10 d11") pbi
circulantesb.x12(save="d10 d11") circulantesb
series ly=log(pbi_sa)
series lcir=log(circulantesb_sa)
equation eq1.ls lcir c ly tpmn
'Testeando Autocorrelación
eq1.correl(16)
eq1.auto(8)
'Testeando Heterocedasticidad
eq1.white(c)
eq1.hettest(type="harvey") tpmn ly
eq1.hettest(type="Glejser") tpmn ly
eq1.hettest tpmn ly
eq1.archtest(1)
'Testeando Normalidad
eq1.hist
'No linealidades
'Test de Ramsey
eq1.reset(1)
'Test graficos
eq1.rls(r) 'residuos recursivos
eq1.rls(q) 'cusum
eq1.rls(v) 'cusum2
eq1.rls(n) 'chow en n-etapas
eq1.rls(o) 'chow en 1 etapa
eq1.rls(c) 'coeficientes recursivos
include tchow
group gg1 ly tpmn
table resultado
scalar k1=0
call tchow(gg1, lcir, resultado, k1)
series d1003=0
smpl 2003.11 @last
d1003=1
smpl @all
equation eq2.ls lcir c ly tpmn d1003 d1003*ly d1003*tpmn
group gg1 ly tpmn
table resultado1
scalar k2=46
call tchow(gg1, lcir, resultado1, k2)
series d0106=0
smpl 2006.1 @last
d0106=1
smpl @all
equation eq3.ls lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn
group gg1 ly tpmn
table resultado2
scalar k3=73
call tchow(gg1, lcir, resultado2, k3)
series d1008=0
smpl 2008.11 @last
d1008=1
smpl @all
equation eq4.ls lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008 d1008*ly d1008*tpmn
equation eq4.ls lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008*ly d1008*tpmn
equation eq4.ls lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008*tpmn
'Suponiendo que hay autocorrelación
equation eq5.ls lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008*tpmn ar(1)
equation eq6.ls(n) lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008*tpmn
'Suponiendo que hay heterocedasticidad
equation eq7.ls(w=1/ly) lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008*tpmn
equation eq8.ls(h) lcir c ly tpmn d1003 d1003*ly d1003*tpmn d0106 d0106*ly d0106*tpmn d1008*tpmn