UNIVERSIDAD NACIONAL DEL ALTIPLANOESCUELA DE POST GRADO

DOCTORADO EN ECONOMIA Y POLITICAS PÚBLICASCurso: Métodos Cuantitativos para políticas públicas

Profesor: Dr. Alfredo Pelayo Calatayud Mendoza

Taller práctico N 2

Modelo de regresión lineal

Se pide:

Con la base de datos adjunto. Estimar el mejor modelo de regresión lineal por el método de Mínimos Cuadrados Ordinarios (MCO) y Máxima Verosimilitud (MV), para ello debe estimar un portafolio de modelos (mínimo 8 modelos).

Nota: “el mejor modelo no es, aquel que incluye muchas variables independientes” “En la práctica no hay modelo perfecto”

Seleccione el mejor modelo, tomando los siguientes criterios:

1. Que los signos de las variables tengan los signos esperados.2. Que los coeficientes de las variables independientes sean significativos a un cierto nivel

aceptable de confiabilidad3. Que los coeficientes sean significativos en forma conjunta (F).4. Que el logaritmo de máxima verosimilitud del modelo (log-likelihood) sea grande5. Que los criterios de información (AIC y BIC) sean bajos.6. Que el coeficiente de determinación R2 sea grande.

Signos esperados de acuerdo a la hipótesis:

0000000

BASE DE DATOS DE CORTE TRANSVERSAL (n=50)

Obs x1 x2 x3 x4 x5 x6 x7 y

1 19.2494 59.7779 99.7253 8.84286 9.87238 512.732 1 9387.252 20.1316 -3.64958 100.125 9.56626 9.43053 512.752 0 9237.383 21.555 32.072 100.238 9.22897 13.988 513.284 1 9418.774 20.7056 0.103627 99.4649 8.95155 4.52793 507.471 0 9217.655 20.3248 -52.8101 99.8386 9.22852 11.5171 510.149 1 9075.936 20.6381 50.8245 100.375 9.03763 4.66895 508.458 1 9370.047 19.5144 -23.0738 100.316 9.04199 9.85725 509.489 1 9185.968 20.1556 -5.99682 99.6159 8.85625 11.0027 510.643 0 9207.529 20.79 2.82576 100.348 8.93804 13.1155 508.258 1 9280.23

10 20.894 35.205 99.971 8.9873 22.5702 510.849 0 9372.6111 18.8363 -2.93835 100.304 8.78955 11.3409 506.659 1 9278.1612 21.004 8.67808 100.422 9.11847 5.9873 510.084 1 9266.0313 20.6728 15.5841 99.9954 9.18361 7.47685 510.837 0 9235.6514 20.441 -0.355704 100.054 8.34725 9.03879 512.261 1 9239.2415 17.9312 62.6863 99.7505 9.26346 6.32777 508.359 1 9452.2416 18.9241 -3.22889 100.018 8.36686 14.0717 508.713 0 9197.0217 20.137 84.4848 100.074 9.00655 5.334 512.458 1 9492.1518 20.6565 -25.9252 100.521 9.00895 11.2977 507.042 0 9072.9919 19.9902 15.725 100.003 9.04817 12.3428 511.705 1 9254.720 20.4434 -39.2124 100.134 9.35609 9.13206 509.903 1 9039.6621 20.7128 -37.9396 100.441 8.99721 2.2596 507.967 0 9075.8122 18.9076 34.8503 99.8286 9.14272 5.04792 509.413 1 9252.6823 20.7112 13.8726 100.095 9.23482 2.22709 508.504 0 9275.4824 18.4413 -2.29201 100.166 8.92515 12.2118 510.549 1 9194.9325 21.7816 -12.3358 99.9499 8.91923 12.2223 509.678 1 9185.1826 19.8461 -46.9525 100.015 8.76301 1.65362 508.854 0 9017.1727 21.277 13.2785 100.264 9.13069 17.3595 510.48 1 9309.328 19.3366 -34.0971 100.218 9.02229 11.8236 511.301 0 9112.4729 19.9435 -8.52649 99.7211 8.52898 8.38682 510.209 1 9148.3430 20.1816 -6.17298 100.16 9.18206 4.47793 506.311 1 9206.4831 19.4621 4.93954 99.8641 9.3932 6.78894 510.057 0 9270.8232 19.0889 -7.56124 100.322 9.24217 12.9948 511.913 1 9195.5733 20.1104 5.34767 99.8645 9.16224 12.2719 510.922 0 9250.6934 21.554 -8.62969 100.228 9.21927 12.8671 509.768 1 9166.6435 19.607 -52.5199 99.6307 8.85782 8.7271 511.891 1 9013.2636 19.3732 38.8413 100.294 9.12062 10.1828 508.036 1 9339.6637 18.8368 31.565 100.042 9.27055 7.97878 509.403 0 9313.0238 20.5088 -12.1849 100.115 8.40756 15.632 511.816 1 9176.8639 18.5428 0.702081 99.6181 8.75913 14.6083 507.381 0 9193.5740 20.5514 13.6342 99.7202 8.92237 12.9682 509.562 1 9289.5941 20.2449 -8.54598 99.3884 9.27676 16.0225 512.248 0 9196.5142 20.2021 -21.3028 100.127 9.08113 15.5702 511.663 1 9206.4343 20.217 -5.36392 100.107 8.68776 15.2039 508.703 0 9267.8144 21.6364 71.38 100.046 9.08264 6.87367 510.689 1 9479.2445 20.6034 -30.4754 100.046 8.35789 13.3568 511.458 1 9082.0846 21.1371 49.4482 100.174 9.04099 11.51 509.26 1 9433.247 21.443 -21.3813 100.041 8.63265 1.84534 509.662 0 9181.0548 20.4484 36.8 100.389 9.28741 7.47516 510.645 1 9344.0949 20.7085 -16.8449 99.9257 8.97575 12.6709 513.63 0 9158.2250 20.8064 56.9161 99.8013 9.26244 5.90857 509.291 1 9433

DO – FILE EDITOR

use "C:\Users\I3\Desktop\Doctorado_Economía_1\Do-files\Datos\datos.dta", clear

regre y x1 x2 x3 x4 x5 x6 x7est store Modelo1

regre y x1 x2 x3 x4 x5 x6est store Modelo2

regre y x1 x2 x3 x4 x5est store Modelo3

regre y x1 x2 x3 x4est store Modelo4

regre y x1 x2 x3est store Modelo5

regre y x1 x2est store Modelo6

regre y x1 x6

est store Modelo7

regre y x1 x5 x6est store Modelo8

*PORTAFOLIO DE MODELOS*estimates table Modelo1 Modelo2 Modelo3 Modelo4 Modelo5 Modelo6 Modelo7 Modelo8, stats(N F r2 aic ll) star(.05 .01 .1) style(oneline)

PORTAFOLIO DE MODELOS DE REGRESION LINEAL

-------------------------------------------------------------------------------------------------------------- Variable | Modelo1 Modelo2 Modelo3 Modelo4 Modelo5 Modelo6 -------------+------------------------------------------------------------------------------------------------ x1 | 8.8425191 8.8434462 8.3260961 8.7390557 8.7996271 9.763918* x2 | 3.4934049*** 3.4926838*** 3.4883379*** 3.4623453*** 3.4845819*** 3.4818676*** x3 | 15.140458 15.056215 16.99475 15.512551 16.713784 x4 | 17.335647 17.367157 16.624438 10.806374 x5 | 2.8533646** 2.8528071** 2.6683927** x6 | -1.4421405 -1.4482462 x7 | -.16832106 _cons | 8081.4973*** 8092.6416*** 7179.0121*** 7398.2437*** 7374.0106*** 9026.5734*** -------------+------------------------------------------------------------------------------------------------ N | 50 50 50 50 50 50 F | 77.001954 91.973982 112.28375 125.25715 169.39215 255.24382 r2 | .92771255 .92771213 .92732303 .91758674 .91699395 .9156932 aic | 502.49407 500.49436 498.76276 503.04886 501.40721 500.18466 ll | -243.24703 -243.24718 -243.38138 -246.52443 -246.70361 -247.09233 -------------------------------------------------------------------------------------------------------------- legend: * p<.1; ** p<.05; *** p<.01

---------------------------------------------- Variable | Modelo7 Modelo8 -------------+-------------------------------- x1 | 7.1073929 7.0198321 x2 | x3 | x4 | x5 | -.6488448 x6 | 3.4411623 3.9607533 x7 | _cons | 7342.3241 7085.5798 -------------+-------------------------------- N | 50 50 F | .15060048 .10657278 r2 | .00636772 .00690242 aic | 623.5299 625.50298 ll | -308.76495 -308.75149 ---------------------------------------------- legend: * p<.1; ** p<.05; *** p<.01