Embed Size (px)
Citation preview
UNAM - Facultad de Economía
Licenciatura en Economía
Guía para el segundo examen parcial
Juan Francisco Islas Aguirre
Profesor:
Abril 2018
Ejercicio 5.25 POE4
. regress ly lk ll le lm
Source | SS df MS Number of obs = 25
-------------+------------------------------ F( 4, 20) = 98.55
Model | 1.35653583 4 .339133958 Prob > F = 0.0000
Residual | .068824823 20 .003441241 R-squared = 0.9517
-------------+------------------------------ Adj R-squared = 0.9421
Total | 1.42536065 24 .059390027 Root MSE = .05866
------------------------------------------------------------------------------
ly | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lk | .0560703 .2592688 0.22 0.831 -.4847548 .5968955
ll | .2263141 .442694 0.51 0.615 -.6971294 1.149757
le | .0435834 .3898913 0.11 0.912 -.7697155 .8568823
lm | .6696218 .3610573 1.85 0.078 -.0835306 1.422774
_cons | .0351631 .0439319 0.80 0.433 -.0564774 .1268035
------------------------------------------------------------------------------
* Ejercicio 5.25 POE4
use "F:\POE4\manuf.dta", clear
gen lk=ln(k)
gen ll=ln(l)
gen le=ln(e)
gen lm=ln(m)
gen ly=ln(y)
regress ly lk ll le lm
Ejercicio 5.25 POE4
Los errores estándar grandes sugieren que las estimaciones no son confiables.
Ejercicio 6.9 POE4
Ejercicio 6.9 POE4
test lk=0
( 1) lk = 0
F( 1, 20) = 0.05
Prob > F = 0.8310
test ll=0, accum
( 1) lk = 0
( 2) ll = 0
F( 2, 20) = 0.15
Prob > F = 0.8616
display "F crítica = ", invFtail(1,20,.05)
F crítica = 4.3512435
display "F crítica = ", invFtail(2,20,.05)
F crítica = 3.4928285
Se rechaza Ho
Se rechaza Ho
Ejercicio 6.9 POE4
test lk=0
( 1) lk = 0
F( 1, 20) = 0.05
Prob > F = 0.8310
test le, accum
( 1) lk = 0
( 2) le = 0
F( 2, 20) = 0.13
Prob > F = 0.8811
display "F crítica = ", invFtail(2,20,.05)
F crítica = 3.4928285
Se rechaza Ho
Ejercicio 6.9 POE4
test lk=0
( 1) lk = 0
F( 1, 20) = 0.05
Prob > F = 0.8310
test ll, accum
( 1) lk = 0
( 2) ll = 0
F( 2, 20) = 0.15
Prob > F = 0.8616
test le, accum
( 1) lk = 0
( 2) ll = 0
( 3) le = 0
F( 3, 20) = 0.18
Prob > F = 0.9078display "F crítica = ", invFtail(3,20,.05)
F crítica = 3.0983912
Se rechaza Ho
Ejercicio 6.9 POE4
test lk+ll+le+lm=1
( 1) lk + ll + le + lm = 1
F( 1, 20) = 0.00
Prob > F = 0.9800
display "F crítica = ", invFtail(4,20,.05)
F crítica = 2.8660814
Se rechaza Ho
Ejercicio 6.9 POE4
Tarea:
ii) Obtenga los factores de inflación de varianza (VIF) de los regresores
iii) Cómo corregiría el problema de multicolinealidad en la regresión.
Para resolver esta tarea se sugiere apoyarse en las diapositivas 12 a 14
de esta presentación y en lo visto en clase.
i) Compruebe lo siguiente
Ejemplo 6.17 POE5
Función producción de arroz en Filipinas
use "F:\POE4\rice.dta", clear
gen lprod=log(prod)
gen larea=log(area)
gen llabor=log(labor)
gen lfert=log(fert)
tab year
reg lprod larea llabor lfert if year==1994
. reg lprod larea llabor lfert if year==1994
Source | SS df MS Number of obs = 44
-------------+------------------------------ F( 3, 40) = 92.91
Model | 27.3469024 3 9.11563413 Prob > F = 0.0000
Residual | 3.92452618 40 .098113154 R-squared = 0.8745
-------------+------------------------------ Adj R-squared = 0.8651
Total | 31.2714286 43 .727242524 Root MSE = .31323
------------------------------------------------------------------------------
lprod | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
larea | .2106069 .1820736 1.16 0.254 -.1573777 .5785914
llabor | .377584 .2550577 1.48 0.147 -.1379068 .8930747
lfert | .3433348 .1279984 2.68 0.011 .0846404 .6020292
_cons | -1.947286 .7384865 -2.64 0.012 -3.439823 -.4547494
------------------------------------------------------------------------------
La R2 del modelo es alta.
Ejemplo 6.17 POE5
Estimación e inferencia para una Función de producción de arroz en Filipinas
test larea = 0
( 1) larea = 0
F( 1, 40) = 1.34
Prob > F = 0.2543
test llabor = 0, accum
( 1) larea = 0
( 2) llabor = 0
F( 2, 40) = 7.19
Prob > F = 0.0021 Se rechaza Ho de no
significancia conjunta
Ejemplo 6.17 POE5
Regresiones auxiliares para obtener el VIF
. regress larea llabor lfert if year==1994
Source | SS df MS Number of obs = 44
-------------+------------------------------ F( 2, 41) = 167.06
Model | 24.1188976 2 12.0594488 Prob > F = 0.0000
Residual | 2.95960028 41 .072185373 R-squared = 0.8907
-------------+------------------------------ Adj R-squared = 0.8854
Total | 27.0784979 43 .629732509 Root MSE = .26867
------------------------------------------------------------------------------
larea | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
llabor | 1.061499 .14276 7.44 0.000 .7731896 1.349809
lfert | -.0924089 .108838 -0.85 0.401 -.3122117 .1273939
_cons | -3.749004 .2417377 -15.51 0.000 -4.237203 -3.260804
------------------------------------------------------------------------------
Factor de inflación de varianza
VIF = -------------- =1
1 – R2aux
VIF = ------------------------------------- = 9.14937671
1 – 0.8907029373981484
display "VIF = ", 1/(1-0.8907)
VIF = 9.1491308
ereturn list
Ejemplo 6.17 POE5
Regresiones auxiliares para obtener el VIF
. regress llabor larea lfert if year==1994
Source | SS df MS Number of obs = 44
-------------+------------------------------ F( 2, 41) = 343.04
Model | 25.2374997 2 12.6187499 Prob > F = 0.0000
Residual | 1.50817054 41 .036784647 R-squared = 0.9436
-------------+------------------------------ Adj R-squared = 0.9409
Total | 26.7456703 43 .621992331 Root MSE = .19179
------------------------------------------------------------------------------
llabor | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
larea | .540925 .0727485 7.44 0.000 .3940065 .6878436
lfert | .3523579 .0558063 6.31 0.000 .2396547 .4650611
_cons | 2.460675 .2382994 10.33 0.000 1.979419 2.94193
------------------------------------------------------------------------------
Factor de inflación de varianza
VIF = -------------- =1
1 – R2aux
VIF = ------------------------------------- = 17.733851
1 – 0.9436106658043277
display "VIF = ", 1/(1-0.9436)
VIF = 17.730496
ereturn list
Ejemplo 6.17 POE5
Regresiones auxiliares para obtener el VIF
. regress lfert llabor larea if year==1994
Source | SS df MS Number of obs = 44
-------------+------------------------------ F( 2, 41) = 137.02
Model | 40.0271164 2 20.0135582 Prob > F = 0.0000
Residual | 5.98850289 41 .146061046 R-squared = 0.8699
-------------+------------------------------ Adj R-squared = 0.8635
Total | 46.0156193 43 1.07013068 Root MSE = .38218
------------------------------------------------------------------------------
lfert | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
llabor | 1.39911 .2215906 6.31 0.000 .9515984 1.846621
larea | -.1869817 .2202246 -0.85 0.401 -.6317343 .257771
_cons | -1.299942 .8778753 -1.48 0.146 -3.072847 .4729628
------------------------------------------------------------------------------
Factor de inflación de varianza
VIF = -------------- =1
1 – R2aux
VIF = ------------------------------------- = 7.68399381
1 – 0.8698593438012948
display "VIF = ", 1/(1-0.8699)
VIF = 7.6863951
ereturn list
Ejemplo 6.17 POE5
Ejemplo 6.17 POE5
use "F:\POE4\rice.dta", clear
keep if year==1994
gen lprod=log(prod)
gen larea=log(area)
gen llabor=log(labor)
gen lfert=log(fert)
constraint define 1 larea + llabor + lfert=1
cnsreg lprod larea llabor lfert, constraints(1)
. cnsreg lprod larea llabor lfert, constraints(1)
Constrained linear regression Number of obs = 44
Root MSE = 0.3134
( 1) larea + llabor + lfert = 1
------------------------------------------------------------------------------
lprod | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
larea | .2262278 .1815276 1.25 0.220 -.1403746 .5928303
llabor | .4834192 .2332 2.07 0.044 .0124623 .954376
lfert | .290353 .1170861 2.48 0.017 .0538929 .5268131
_cons | -2.168297 .7064722 -3.07 0.004 -3.595047 -.7415474
------------------------------------------------------------------------------
Mínimos Cuadrados Restringidos
Ejercicios Guía para el Segundo Examen Parcial
Ejercicios Guía para Segundo Examen Parcial
5.25,
6.9,
6.11,
8.11,
8.14,
8.15,
8.19,
8.20 y
8.21
de POE4
