Pruebas de Dickey - Fuller Aumentada (ADF)

Ho: la serie presenta raiz unitaria

T.Stat prob. DW α=5% Conclusión

TPIB -0.653 0.8522 -2.584 I(0)

TCRED -5.337 0.000 -2.893 Raíz unitaria

ΔTCRED I(2)

TDEPO -1.831 0.363 -2.893 Raíz unitaria

ΔTDEPO I(2)

TFBKF Raíz unitaria

ΔTFBKF -9.66 0.000 -2.894 I(1)

VAR Lag Order Selection Criteria

Endogenous variables: TPBI TCRED TDEPO TFBKF
Exogenous variables: C
Date: 06/21/19 Time: 01:42
Sample: 1 76
Included observations: 69

Lag LogL LR FPE AIC SC HQ

0 394.6848 NA 1.42e-10 -11.32420 -11.19468 -11.27282

1 568.5480 322.5288 1.46e-12 -15.89994 -15.25238* -15.64303
2 583.4923 25.99005 1.52e-12 -15.86934 -14.70372 -15.40690
3 591.7477 13.40000 1.92e-12 -15.64486 -13.96119 -14.97689
4 620.6091 43.50136 1.35e-12 -16.01766 -13.81593 -15.14416
5 661.1246 56.36928* 6.91e-13* -16.72825* -14.00847 -15.64922*
6 676.7490 19.92683 7.41e-13 -16.71736 -13.47953 -15.43280
7 681.5572 5.574677 1.11e-12 -16.39296 -12.63707 -14.90287

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
VAR Residual Serial Correlation LM
Tests
Null Hypothesis: no serial correlation at
lag order h
Date: 06/21/19 Time: 01:47
Sample: 1 76
Included observations: 74

Lags LM-Stat Prob

1 9.488061 0.8920
2 11.76097 0.7603
3 22.74919 0.1206
4 57.08641 0.8589
5 17.05176 0.3823
6 15.62594 0.4794
7 16.10062 0.4460

Probs from chi-square with 16 df.

Date: 06/21/19 Time: 02:07

Sample: 1 76
Included observations: 70
Series: TPBI TCRED TDEPO TFBKF
Lags interval: 1 to 5

Selected
(0.05 level*)
Number of
Cointegratin
g Relations
by Model

Data Trend: None None Linear Linear Quadratic

Test Type No Intercept Intercept Intercept Intercept Intercept
No Trend No Trend No Trend Trend Trend
Trace 0 0 0 0 1
Max-Eig 0 0 0 0 0

*Critical values based on MacKinnon-Haug-Michelis (1999)

TEST DE JOHANSEN
Date: 06/21/19 Time: 02:10
Sample (adjusted): 7 76
Included observations: 70 after adjustments
Trend assumption: Quadratic deterministic trend
Series: TPBI TCRED TDEPO TFBKF
Lags interval (in first differences): 1 to 5

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.344370 58.11350 55.24578 0.0274

At most 1 0.203417 28.56235 35.01090 0.2071
At most 2 0.094861 12.64266 18.39771 0.2639
At most 3 * 0.077754 5.666000 3.841466 0.0173

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Inverse Roots of AR Characteristic Polynomial

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
VAR Granger Causality/Block Exogeneity Wald Tests
Date: 06/21/19 Time: 02:21
Sample: 1 76
Included observations: 71

Dependent variable: TPBI

Excluded Chi-sq df Prob.

TCRED 6.846303 5 0.2323

TDEPO 6.857081 5 0.2315
TFBKF 15.41113 5 0.0087

All 32.40507 15 0.0057

Dependent variable: TCRED

Excluded Chi-sq df Prob.

TPBI 9.360839 5 0.0955

TDEPO 7.109706 5 0.2126
TFBKF 6.882847 5 0.2295

All 32.73071 15 0.0051

Dependent variable: TDEPO

Excluded Chi-sq df Prob.

TPBI 6.578274 5 0.2539

TCRED 14.09444 5 0.0150
TFBKF 2.036921 5 0.8440

All 27.71444 15 0.0234

Dependent variable: TFBKF

Excluded Chi-sq df Prob.

TPBI 8.380362 5 0.1365

TCRED 7.494263 5 0.1864
TDEPO 8.828555 5 0.1161

All 26.71313 15 0.0312

 Response to Cholesky One S.D. Innovations ± 2 S.E.
Response of TPBI to TCRED Response of TPBI to TDEPO Response of TCRED to TFBKF

.020 .020 .12

.015 .015 .08

.010 .010
.04
.005 .005
.00
.000 .000
-.04
-.005 -.005

-.010 -.010 -.08

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
Response of TPBI to TFBKF
Response of TCRED to TPBI .020 Response of TCRED to TDEPO
.12 .12
.015

.08 .010 .08

.04 .005 .04

.000
.00 .00
-.005
-.04 -.04
-.010
1 2 3 4 5 6 7 8 9 10
-.08 -.08
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of TDEPO to TFBKF

Response of TDEPO to TPBI Response of TDEPO to TCRED
.08
.08 .08

.04
.04 .04

.00
.00 .00

-.04
-.04 -.04

-.08
-.08 -.08 1 2 3 4 5 6 7 8 9 10
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of TFBKF to TPBI Response of TFBKF to TCRED Response of TFBKF to TDEPO

.06 .06 .06

.04 .04 .04

.02 .02 .02

.00 .00 .00

-.02 -.02 -.02

-.04 -.04 -.04

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
 Variance Decomposition
Percent T PBI variance due to T PBI Percent T PBI variance due to T CRED Percent T PBI variance due to T DEPO Percent T PBI variance due to T FBKF
100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Percent T CRED variance due to T PBI Percent T CRED variance due to T CRED Percent T CRED variance due to T DEPO Percent T CRED variance due to T FBKF
100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Percent T DEPO variance due to T PBI Percent T DEPO variance due to T CRED Percent T DEPO variance due to T DEPO Percent T DEPO variance due to T FBKF
80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Percent T FBKF variance due to T PBI Percent T FBKF variance due to T CRED Percent T FBKF variance due to T DEPO Percent T FBKF variance due to T FBKF
80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

1.6

1.2

0.8

0.4

0.0

-0.4
T100
T400
T301
T202
T103
T403
T304
T205
T106
T406
T307
T208
T109
T409
T310
T211
T112
T412
T313
T214
T115
T415
T316
T217
T118
T418

TPBI TCRED
TDEPO TFBKF