METODOLOGA DE JOHANSEN

Objetivo: tener un modelo ptimo de cointegracin.

TENDECIA DETERMINSTICA
y

Yt =1 y t 1+ e yt X t=1 X t1 +e x t
Y t + X t=et . ( 1 )
Existen variables que son aleatorias pero obedecen una tendencia
determinstica, segn Johansen las variables no solo estn cointegradas por su
comportamiento sino tambin por la tendencia

et +Y t + X t=et
**et: tendencia determinstica.
TENDENCIA ESTOCASTICA
Una variable que no est impuesta

t +Y t + X t=et
** t : Tendencia estocstica, es como si existiera un intercepto.

Existen un conjunto de maneras de encontrar un mismo resultado.

Si se tiene n variables pueden existir, n-1 vectores de cointegracin.

EJEMPLO:
Consumo-Ingresos-Precio
Consumo =f (ingreso)
Ingreso = g (consumo)
** Matemticamente se puede obtener dichas ecuaciones, pero no todas son
de la realidad.
***Por lo tanto se puede dar, modelos de doble causalidad.
PRINCIPIOS DE JOHANSE
** Si se tiene n vectores de cointegracin y n variables, entonces nos e
tiene ningn vector de cointegracin relevante econmicamente.
EVIEWS
TEST DE COINTEGRACION DE JOHANSEN
Views-cointegration tets- johanse
1 no intercepto, con tendencia
2. intercep, no intercepto en var
3. interceptp
Sumary (resumen)
Date: 11/03/15 Time: 09:25
Sample: 1992M01 2004M02
Included observations: 141
Series: IMPORT_SA ITCRM_SA ITI_SA PBI_SA
Lags interval: 1 to 4
Selected
(0.05 level*)
Number of
Cointegrating
Relations by
Model

Data Trend:
Test Type
Trace
Max-Eig

None
No Intercept
No Trend
1
1

None
Intercept
No Trend
2
1

Linear
Intercept
No Trend
0
0

Linear
Intercept
Trend
0
0

Quadratic
Intercept
Trend
0
0

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

Information
Criteria by
Rank and
Model
Data Trend:
Rank or
No. of CEs

None
No Intercept
No Trend

None
Intercept
No Trend

Linear
Intercept
No Trend

Linear
Intercept
Trend

Quadratic
Intercept
Trend

0
1
2
3
4

Log
Likelihood by
Rank (rows)
and Model
(columns)
-2164.705
-2150.339
-2141.681
-2140.481
-2139.604

-2164.705
-2150.287
-2140.991
-2133.829
-2132.629

-2154.816
-2144.748
-2137.538
-2133.401
-2132.629

-2154.816
-2144.195
-2136.944
-2130.941
-2126.808

-2152.356
-2142.149
-2135.071
-2129.300
-2126.808

0
1
2
3
4

Akaike
Information
Criteria by
Rank (rows)
and Model
(columns)
31.61283
31.52253
31.51320
31.60965
31.71070

31.61283
31.53599
31.53179
31.55786
31.66849

31.52930
31.49997*
31.51118
31.56597
31.66849

31.52930
31.50632
31.53112
31.57363
31.64267

31.55115
31.51985
31.53292
31.56454
31.64267

0
1
2
3
4

Schwarz
Criteria by
Rank (rows)
and Model
(columns)
32.95127*
33.02828
33.18626
33.45001
33.71837

32.95127*
33.06265
33.24668
33.46096
33.75981

32.95140
33.08937
33.26789
33.48998
33.75981

32.95140
33.11663
33.32965
33.56038
33.81764

33.05690
33.19291
33.37328
33.57220
33.81764

** Si se agrega un coeficiente, quiere decir que es la tendencia estocstica.

***Segn teora los mejores son los de verde (tipo)
Otra vez johansen, con modelo 2

Date: 11/03/15 Time: 09:31

Sample (adjusted): 1992M06 2004M02
Included observations: 141 after adjustments
Trend assumption: No deterministic trend (restricted constant)
Series: IMPORT_SA ITCRM_SA ITI_SA PBI_SA
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)

Eigenvalue

Trace
Statistic

0.05
Critical Value

Prob.**

None *
At most 1 *
At most 2
At most 3

0.184946
0.123532
0.096603
0.016881

64.15137
35.31679
16.72519
2.400538

54.07904
35.19275
20.26184
9.164546

0.0049
0.0485
0.1431
0.6974

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
No. of CE(s)

Eigenvalue

Max-Eigen
Statistic

0.05
Critical Value

Prob.**

None *
At most 1
At most 2
At most 3

0.184946
0.123532
0.096603
0.016881

28.83457
18.59160
14.32465
2.400538

28.58808
22.29962
15.89210
9.164546

0.0465
0.1523
0.0867
0.6974

Max-eigenvalue 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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
IMPORT_SA
-0.010026
-0.025381
-0.000390
0.010618

ITCRM_SA
-0.069275
-0.078013
-0.292451
-0.017441

ITI_SA
0.037860
0.265404
-0.146400
0.035845

PBI_SA
0.000559
0.002954
-0.000293
-0.000808

C
5.019505
-30.59776
46.53593
0.006085

6.416659
0.203530
-0.182924
-19.84313

-2.375873
0.296212
0.379676
0.016440

-2.198127
0.058666
-0.221972
-0.512702

Log likelihood

-2150.287

Unrestricted Adjustment Coefficients (alpha):

D(IMPORT_SA)
D(ITCRM_SA)
D(ITI_SA)
D(PBI_SA)

12.04678
0.132587
0.005801
78.47823

1 Cointegrating Equation(s):

Normalized cointegrating coefficients (standard error in parentheses)

IMPORT_SA
1.000000

ITCRM_SA
6.909533
(5.71920)

ITI_SA
-3.776138
(3.89804)

PBI_SA
-0.055775
(0.02102)

C
-500.6463
(992.139)

Adjustment coefficients (standard error in parentheses)

D(IMPORT_SA)
-0.120782
(0.03268)
D(ITCRM_SA)
-0.001329
(0.00111)
D(ITI_SA)
-5.82E-05
(0.00195)
D(PBI_SA)
-0.786827
(0.15684)

2 Cointegrating Equation(s):

Log likelihood

-2140.991

Normalized cointegrating coefficients (standard error in parentheses)

IMPORT_SA
ITCRM_SA
ITI_SA
PBI_SA
1.000000
0.000000
-15.81027
-0.164939
(3.61698)
(0.02268)
0.000000
1.000000
1.741670
0.015799
(0.87375)
(0.00548)

C
2572.741
(486.312)
-444.8039
(117.478)

Adjustment coefficients (standard error in parentheses)

D(IMPORT_SA)
-0.283641
-1.335125
(0.08755)
(0.33473)
D(ITCRM_SA)
-0.006495
-0.025063
(0.00298)
(0.01141)
D(ITI_SA)
0.004585
0.013869
(0.00528)
(0.02020)
D(PBI_SA)
-0.283193
-3.888589
(0.42412)
(1.62148)

3 Cointegrating Equation(s):

Log likelihood

-2133.829

Normalized cointegrating coefficients (standard error in parentheses)

IMPORT_SA
ITCRM_SA
ITI_SA
PBI_SA
1.000000
0.000000
0.000000
0.023961
(0.04550)
0.000000
1.000000
0.000000
-0.005010
(0.00234)
0.000000
0.000000
1.000000
0.011948
(0.00399)
Adjustment coefficients (standard error in parentheses)
D(IMPORT_SA)
-0.282714
-0.640298
2.506923
(0.08737)
(0.99398)
(0.97783)
D(ITCRM_SA)
-0.006611
-0.111690
0.015672
(0.00290)
(0.03294)
(0.03241)
D(ITI_SA)
0.004436
-0.097168
-0.103914
(0.00520)
(0.05918)
(0.05822)
D(PBI_SA)
-0.283200
-3.893397
-2.297687
(0.42416)
(4.82573)
(4.74734)

C
-1085.026
(434.884)
-41.86171
(22.3825)
-231.3539
(38.0901)

*NONE: no tiene ningn vector de cointegracin. =0.0045, entonces se rechaza la hiptesis nula
Ho: no tiene ningn vector
Ha: tiene algn vector
*AL MOST 1: 0.0475 (rechaza Ho)
Ho: a lo ms tiene un vector de cointegracin.
Ha: tiene ms de un vector de cointegracin.
*AL MOST 2: 0.1497 (Acepta Ho)
*** trabaja con 2 vectores de cointegracin