ECONOMETRIA II
Enviado por Nathaly Acosta • 8 de Noviembre de 2018 • Documentos de Investigación • 481 Palabras (2 Páginas) • 132 Visitas
TAREA N° 10 – MULTIPLICADORES DINAMICOS
ECONOMETRIA II
COD: 0402008025
MODELO DE MULTIPLICADOR – ACELERADOR
FORMA ESTRUCTURAL
[pic 1]
-[pic 2][pic 3]
[pic 4]
[pic 5]
-[pic 6][pic 7]
[pic 8]
Variables endógenas:, , [pic 9][pic 10][pic 11]
Variables exógenas: 1, [pic 12]
Variables endógenas rezagadas: [pic 13]
FORMA ALGEBRAICA
[pic 14]
+[pic 15][pic 16]
[pic 17]
FORMA MATRICIAL DINÁMICO
[pic 18]
FORMA ESTRUCTURAL MATRICIAL
[pic 19]
FORMA REDUCIDA
[pic 20]
[pic 21]
FORMA MATRICIAL REDUCIDA DINAMICA
[pic 22]
Donde:
[pic 23]
[pic 24]
[pic 25]
La forma reducida es transformada a la forma final por sustitución repetida:
…………………(1)[pic 26]
Rezagamos un periodo y(-1)
[pic 27]
Reemplazamos y(-1) en la ecuación 1
[pic 28]
[pic 29]
……….(2)[pic 30]
Rezagamos un periodo y(-2)
[pic 31]
Reemplazamos y(-2) en la ecuación 2
[pic 32]
[pic 33]
[pic 34]
Sustituyendo s veces tenemos:
[pic 35]
Si s→ ∞ y asumiendo que , la forma final es: [pic 36]
[pic 37]
[pic 38]
, la matriz de multiplicador de impacto[pic 39]
, la matriz de multiplicador intermedio de rezago t=1,2,3…..[pic 40]
Por lo tanto, la matriz del multiplicador total (de equilibrio) es:
[pic 41]
ESTIMACION POR MC3E
System: MC3E | ||||
Estimation Method: Three-Stage Least Squares | ||||
Date: 06/12/18 Time: 16:59 | ||||
Sample: 1950Q1 1985Q4 | ||||
Included observations: 144 | ||||
Total system (balanced) observations 288 | ||||
Linear estimation after one-step weighting matrix | ||||
Coefficient | Std. Error | t-Statistic | Prob. | |
C(1) | -128.2794 | 11.03041 | -11.62962 | 0.0000 |
C(2) | 0.673000 | 0.004598 | 146.3744 | 0.0000 |
C(3) | -870.2560 | 536.3158 | -1.622656 | 0.1058 |
C(4) | 67.19347 | 28.31495 | 2.373074 | 0.0183 |
Determinant residual covariance | 4.67E+09 | |||
Equation: CN=C(1)+C(2)*GNP(-1) | ||||
Instruments: C GNP(-1) G | ||||
Observations: 144 | ||||
R-squared | 0.993224 | Mean dependent var | 1411.162 | |
Adjusted R-squared | 0.993176 | S.D. dependent var | 486.7321 | |
S.E. of regression | 40.20748 | Sum squared resid | 229563.1 | |
Durbin-Watson stat | 0.258870 | |||
Equation: I=C(3)+C(4)*(GNP-GNP(-1)) | ||||
Instruments: C GNP(-1) G | ||||
Observations: 144 | ||||
R-squared | -210.969055 | Mean dependent var | 383.8354 | |
Adjusted R-squared | -212.461792 | S.D. dependent var | 131.0940 | |
S.E. of regression | 1915.327 | Sum squared resid | 5.21E+08 | |
Durbin-Watson stat | 1.148655 | |||
Generar la matriz: gamma, delta1 y delta2
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