Anexos Variable inflacion

Null Hypothesis: INFLACION has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.534249 0.5024

Test critical values: 1% level -3.679322 5% level -2.967767 10% level -2.622989 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLACION) Method: Least Squares Date: 02/06/17 Time: 13:34 Sample (adjusted): 1970 1998 Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. INFLACION(-1) -0.180357 0.117554 -1.534249 0.1366

C 2.385241 1.910053 1.248782 0.2225 R-squared 0.080191 Mean dependent var -0.161589

Adjusted R-squared 0.046124 S.D. dependent var 5.209781 S.E. of regression 5.088215 Akaike info criterion 6.158203 Sum squared resid 699.0281 Schwarz criterion 6.252500 Log likelihood -87.29395 Hannan-Quinn criter. 6.187736 F-statistic 2.353921 Durbin-Watson stat 2.016792 Prob(F-statistic) 0.136604

Podemos observar que si tiene raíz unitaria

Null Hypothesis: D(INFLACION,2) has a unit root Exogenous: Constant Lag Length: 5 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.260737 0.0034

Test critical values: 1% level -3.769597 5% level -3.004861 10% level -2.642242 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLACION,3) Method: Least Squares Date: 02/06/17 Time: 13:35 Sample (adjusted): 1977 1998 Included observations: 22 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. D(INFLACION(-1),2) -4.447550 1.043845 -4.260737 0.0007

D(INFLACION(-1),3) 2.837699 0.924915 3.068064 0.0078 D(INFLACION(-2),3) 2.014599 0.735858 2.737757 0.0153 D(INFLACION(-3),3) 1.448888 0.541830 2.674063 0.0173 D(INFLACION(-4),3) 0.730943 0.337954 2.162850 0.0471 D(INFLACION(-5),3) 0.390376 0.159862 2.441962 0.0275

C -0.611728 0.924113 -0.661962 0.5180 R-squared 0.873680 Mean dependent var -0.176731

Adjusted R-squared 0.823152 S.D. dependent var 9.944189 S.E. of regression 4.181859 Akaike info criterion 5.952760 Sum squared resid 262.3192 Schwarz criterion 6.299910 Log likelihood -58.48036 Hannan-Quinn criter. 6.034538 F-statistic 17.29101 Durbin-Watson stat 1.863730 Prob(F-statistic) 0.000006

Para corregir las raíces unitarias aplicamos 2 diferenciales

Variable pib

Null Hypothesis: PIB has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic 0.831304 0.9929

Test critical values: 1% level -3.679322 5% level -2.967767 10% level -2.622989 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(PIB) Method: Least Squares Date: 02/06/17 Time: 13:36 Sample (adjusted): 1970 1998 Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. PIB(-1) 0.028805 0.034650 0.831304 0.4131

C 2.66E+09 2.10E+09 1.265221 0.2166 R-squared 0.024956 Mean dependent var 4.03E+09

Adjusted R-squared -0.011156 S.D. dependent var 6.92E+09 S.E. of regression 6.96E+09 Akaike info criterion 48.23054 Sum squared resid 1.31E+21 Schwarz criterion 48.32484 Log likelihood -697.3429 Hannan-Quinn criter. 48.26007 F-statistic 0.691067 Durbin-Watson stat 1.902802 Prob(F-statistic) 0.413093

Observamos que si tiene raíz unitariaNull Hypothesis: D(PIB,2) has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.184991 0.0000

Test critical values: 1% level -3.724070 5% level -2.986225 10% level -2.632604 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(PIB,3) Method: Least Squares Date: 02/06/17 Time: 13:37 Sample (adjusted): 1974 1998 Included observations: 25 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. D(PIB(-1),2) -3.068783 0.496166 -6.184991 0.0000

D(PIB(-1),3) 1.317580 0.375915 3.504999 0.0021 D(PIB(-2),3) 0.566816 0.212403 2.668590 0.0144

C 3.89E+08 1.55E+09 0.250180 0.8049 R-squared 0.807339 Mean dependent var 4.28E+08

Adjusted R-squared 0.779816 S.D. dependent var 1.65E+10 S.E. of regression 7.73E+09 Akaike info criterion 48.52059 Sum squared resid 1.26E+21 Schwarz criterion 48.71561 Log likelihood -602.5074 Hannan-Quinn criter. 48.57468 F-statistic 29.33322 Durbin-Watson stat 2.038860 Prob(F-statistic) 0.000000

Variable Apertura comercialNull Hypothesis: APERTURA_COMERCIAL has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.439588 0.5492

Test critical values: 1% level -3.679322 5% level -2.967767 10% level -2.622989 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(APERTURA_COMERCIAL) Method: Least Squares Date: 02/06/17 Time: 13:39 Sample (adjusted): 1970 1998 Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. APERTURA_COMERCIAL(-1) -0.140861 0.097848 -1.439588 0.1615

C 0.082520 0.053184 1.551588 0.1324 R-squared 0.071285 Mean dependent var 0.006826

Adjusted R-squared 0.036888 S.D. dependent var 0.043851 S.E. of regression 0.043034 Akaike info criterion -3.387158 Sum squared resid 0.050003 Schwarz criterion -3.292862 Log likelihood 51.11379 Hannan-Quinn criter. -3.357626 F-statistic 2.072415 Durbin-Watson stat 1.739361 Prob(F-statistic) 0.161478

Si tiene raíz unitaria

Null Hypothesis: D(APERTURA_COMERCIAL,2) has a unit root Exogenous: Constant Lag Length: 3 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.072207 0.0004

Test critical values: 1% level -3.737853 5% level -2.991878 10% level -2.635542 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(APERTURA_COMERCIAL,3) Method: Least Squares Date: 02/06/17 Time: 13:40 Sample (adjusted): 1975 1998 Included observations: 24 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. D(APERTURA_COMERCIAL(-1),2) -3.113628 0.613861 -5.072207 0.0001

D(APERTURA_COMERCIAL(-1),3) 1.527495 0.506232 3.017382 0.0071 D(APERTURA_COMERCIAL(-2),3) 0.886154 0.353403 2.507489 0.0214 D(APERTURA_COMERCIAL(-3),3) 0.482765 0.195174 2.473512 0.0230

C -0.001251 0.010879 -0.115000 0.9097 R-squared 0.794745 Mean dependent var -0.002606

Adjusted R-squared 0.751534 S.D. dependent var 0.106866 S.E. of regression 0.053269 Akaike info criterion -2.843886 Sum squared resid 0.053913 Schwarz criterion -2.598458 Log likelihood 39.12664 Hannan-Quinn criter. -2.778774 F-statistic 18.39199 Durbin-Watson stat 1.371538 Prob(F-statistic) 0.000003

Aplicamos 2 diferenciales para corregir las raíces unitarias Variable Tipo de cambio nominal

Null Hypothesis: TC_NOMINAL has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.394835 0.8975

Test critical values: 1% level -3.679322 5% level -2.967767 10% level -2.622989 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(TC_NOMINAL) Method: Least Squares Date: 02/06/17 Time: 13:41 Sample (adjusted): 1970 1998 Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. TC_NOMINAL(-1) -0.017314 0.043850 -0.394835 0.6961

C 6.884673 4.919944 1.399340 0.1731 R-squared 0.005741 Mean dependent var 5.219120

Adjusted R-squared -0.031084 S.D. dependent var 13.42847 S.E. of regression 13.63558 Akaike info criterion 8.129714 Sum squared resid 5020.082 Schwarz criterion 8.224010 Log likelihood -115.8809 Hannan-Quinn criter. 8.159246 F-statistic 0.155895 Durbin-Watson stat 1.401140 Prob(F-statistic) 0.696067

si tiene raíz unitaria Null Hypothesis: D(TC_NOMINAL,2) has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.658234 0.0001

Test critical values: 1% level -3.724070 5% level -2.986225 10% level -2.632604 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(TC_NOMINAL,3) Method: Least Squares Date: 02/06/17 Time: 13:41 Sample (adjusted): 1974 1998 Included observations: 25 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. D(TC_NOMINAL(-1),2) -2.400492 0.424248 -5.658234 0.0000

D(TC_NOMINAL(-1),3) 0.979623 0.324145 3.022173 0.0065 D(TC_NOMINAL(-2),3) 0.530534 0.202443 2.620654 0.0160

C 0.417346 2.995822 0.139309 0.8905 R-squared 0.729158 Mean dependent var -0.601810

Adjusted R-squared 0.690467 S.D. dependent var 26.87168 S.E. of regression 14.95026 Akaike info criterion 8.392981 Sum squared resid 4693.714 Schwarz criterion 8.588001 Log likelihood -100.9123 Hannan-Quinn criter. 8.447071 F-statistic 18.84535 Durbin-Watson stat 1.904244 Prob(F-statistic) 0.000004

Corregimos el modelo aplicando 2 diferenciales

Variable Tipo de cambio real

Null Hypothesis: TC_REAL has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.251009 0.1940

Test critical values: 1% level -3.689194 5% level -2.971853 10% level -2.625121 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(TC_REAL) Method: Least Squares Date: 02/06/17 Time: 13:42 Sample (adjusted): 1971 1998 Included observations: 28 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. TC_REAL(-1) -0.194355 0.086341 -2.251009 0.0334

D(TC_REAL(-1)) 0.574658 0.169743 3.385467 0.0024 C 16.42369 7.200691 2.280848 0.0313 R-squared 0.343510 Mean dependent var 0.469466

Adjusted R-squared 0.290991 S.D. dependent var 4.064351 S.E. of regression 3.422293 Akaike info criterion 5.399456 Sum squared resid 292.8022 Schwarz criterion 5.542192 Log likelihood -72.59238 Hannan-Quinn criter. 5.443091 F-statistic 6.540651 Durbin-Watson stat 1.735862 Prob(F-statistic) 0.005192

Si se tiene raíz unitaria Null Hypothesis: D(TC_REAL,2) has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.629244 0.0011

Test critical values: 1% level -3.711457 5% level -2.981038 10% level -2.629906 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(TC_REAL,3) Method: Least Squares Date: 02/06/17 Time: 13:43 Sample (adjusted): 1973 1998 Included observations: 26 after adjustments

Variable Coefficient Std. Error t-Statistic Prob. D(TC_REAL(-1),2) -1.299734 0.280766 -4.629244 0.0001

D(TC_REAL(-1),3) 0.308134 0.200512 1.536734 0.1380 C 0.034697 0.854817 0.040590 0.9680 R-squared 0.542526 Mean dependent var 0.097455

Adjusted R-squared 0.502746 S.D. dependent var 6.178752 S.E. of regression 4.357024 Akaike info criterion 5.889622 Sum squared resid 436.6241 Schwarz criterion 6.034787 Log likelihood -73.56509 Hannan-Quinn criter. 5.931425 F-statistic 13.63806 Durbin-Watson stat 2.127313 Prob(F-statistic) 0.000124

aplicamos 2 diferenciales

Agrupamos las variables y aplicamos johansen system cointegration test Date: 02/06/17 Time: 14:00 Sample: 1969 1998 Included observations: 28 Series: INFLACION LOGPIB TC_NOMINAL TC_REAL APERTURA_COMERCIAL Lags interval: 1 to 1

Selected

(0.05 level*) Number of

Cointegrating 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 2 2 1 1 1 Max-Eig 0 0 0 1 1

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

Information Criteria by Rank and

Model Data Trend: None None Linear Linear Quadratic

Rank or No Intercept Intercept Intercept Intercept Intercept No. of CEs No Trend No Trend No Trend Trend Trend

Log Likelihood by Rank (rows) and Model (columns)

0 -141.8255 -141.8255 -134.3084 -134.3084 -130.3067 1 -129.0128 -126.1740 -121.1838 -113.9697 -110.0278 2 -119.4899 -116.4271 -111.4413 -103.6480 -99.70622 3 -111.3163 -108.1512 -105.4812 -96.14485 -92.69743 4 -107.5599 -102.2132 -101.0310 -91.05528 -88.08935 5 -107.5476 -98.90329 -98.90329 -87.62850 -87.62850

Akaike Information Criteria by

Rank (rows) and Model (columns)

0 11.91611 11.91611 11.73632 11.73632 11.80762 1 11.71520 11.58385 11.51313 11.06926 11.07341 2 11.74928 11.67337 11.53152 11.11771 11.05044* 3 11.87973 11.86794 11.82009 11.36749 11.26410 4 12.32571 12.22952 12.21650 11.78966 11.64924 5 13.03911 12.77881 12.77881 12.33061 12.33061

Schwarz Criteria by

Rank (rows) and Model (columns)

0 13.10558 13.10558 13.16368 13.16368 13.47288 1 13.38045 13.29669 13.41628 13.01999* 13.21446 2 13.89032 13.90957 13.91046 13.59181 13.66727 3 14.49656 14.62751 14.67481 14.36495 14.35672 4 15.41832 15.51245 15.54701 15.31049 15.21764

Observando mis resultados usare el criterio Schwarz donde me indica que esta en el 4 modelo y se tiene un Lag.

Según el test de cointegracion de

johansen el criterio TRACE cumple con no tener valores de

cero en sus filas.

Vector Error Correction Estimates Date: 02/06/17 Time: 14:54 Sample (adjusted): 1971 1998 Included observations: 28 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1 INFLACION(-1) 1.000000

TC_NOMINAL(-1) -0.396986 (0.30395) [-1.30607]

TC_REAL(-1) -5.518382 (0.90982) [-6.06535]

LOGPIB(-1) -156.6862 (35.6326) [-4.39727]

APERTURA_COMERCIAL(-1) -1229.925

(164.945) [-7.45656]

@TREND(69) 28.97539 (6.09255) [ 4.75587]

C 4511.144

Error Correction: D(INFLACION) D(TC_NOMINA

L) D(TC_REAL) D(LOGPIB) D(APERTURA_COMERCIAL)

CointEq1 -0.090453 -0.055169 -0.081728 0.000920 0.000159 (0.05807) (0.14405) (0.02918) (0.00115) (0.00034) [-1.55766] [-0.38299] [-2.80037] [ 0.79888] [ 0.46266]

D(INFLACION(-1)) -0.232168 0.010917 -0.400428 0.003308 -0.001839 (0.31906) (0.79146) (0.16035) (0.00633) (0.00188) [-0.72766] [ 0.01379] [-2.49716] [ 0.52293] [-0.97625]

D(TC_NOMINAL(-1)) -0.092239 -0.437195 0.111703 0.008702 -0.001092 (0.18245) (0.45259) (0.09170) (0.00362) (0.00108) [-0.50555] [-0.96599] [ 1.21818] [ 2.40522] [-1.01368]

D(TC_REAL(-1)) -1.317417 -0.571201 -0.461629 0.005941 -0.005615 (0.75446) (1.87151) (0.37917) (0.01496) (0.00446) [-1.74617] [-0.30521] [-1.21746] [ 0.39711] [-1.26036]

D(LOGPIB(-1)) 0.952580 -88.97842 19.27051 1.296613 -0.049193 (20.6053) (51.1135) (10.3558) (0.40859) (0.12169) [ 0.04623] [-1.74080] [ 1.86085] [ 3.17338] [-0.40427]

D(APERTURA_COMERCIAL(-1)) -24.46424 22.68439 25.15122 -0.041766 0.190544

(32.4582) (80.5158) (16.3128) (0.64363) (0.19168) [-0.75371] [ 0.28174] [ 1.54181] [-0.06489] [ 0.99406]

C 0.980859 16.74816 -2.105700 -0.080344 0.018757 (3.17029) (7.86423) (1.59332) (0.06287) (0.01872) [ 0.30939] [ 2.12966] [-1.32158] [-1.27804] [ 1.00187] R-squared 0.160292 0.225717 0.642212 0.359485 0.589015

Adj. R-squared -0.079624 0.004494 0.539987 0.176481 0.471591 Sum sq. resids 631.7779 3887.561 159.5774 0.248418 0.022033

Grafica impulso respuesta del vector de cointegracion

En el primer cuadro podemos observar que la inflacion tiene pendiente positiva

va mas o menos fluctuando de manera a largo plazo luego en el segundo

cuadro vemos que tiene pendiente negativa y asi vamos observando en los

demás cuadros que cambia de manera constante pasando de manera positiva

y de manera negativa.

En la inflacion aplicando dos rezagos podemos ver que mi grafica sufre cambio

en su comportamiento económico teniendo fluctuaciones crecientes y

decrecientes de manera constante.