Departamento de Estadstica y Econometra

Curso 2011/2012

MTODOS ECONOMTRICOS APLICADOS

A LA EMPRESA I

EJERCICIO DEL TEMA 2

En este ejercicio se plantea un anlisis de series temporales bajo el enfoque clsico,

utilizando la variable correspondiente al nmero de viviendas hipotecadas con
prstamos bancarios (hipotecas) para el periodo comprendido entre enero del 2006 y
diciembre del 2010.
a) Comente las caractersticas de la serie temporal desde un punto de vista grfico
View/ Graph/ Line:

60000

50000

40000

30000

20000
2006

2007

2008

2009

2010

HIPOTECAS

b) Interprete las tasas de variacin que se presentan a continuacin. Cal es la

adecuada para cuantificar la evolucin a medio y largo plazo de la variable? Justifique
la respuesta.
Tasas de variacin intermensual:

50
40
30
20
10
0
-10
-20
-30
-40
2006

2007

2008

2009

2010

HIPOTECA1

Tasa de variacin interanual:

10

-10

-20

-30

-40
2006

2007

2008

2009

2010

HIPOTECA2

c) Obtenga predicciones de la variable hipotecas para el periodo 2011:01-2011:4,

mediante todos los mtodos que se presentan a continuacin e interprete los ndices de
estacionalidad en cada caso:
(c.1) Proc/Seasonal/Adjustment/Moving Average:

Sample: 2006M01 2010M12

Included observations: 60
Ratio to Moving Average
Original Series: HIPOTECAS
Adjusted Series: HIPOTECSA
Scaling Factors:
1
2
3
4
5
6
7
8
9
10
11
12

1.019512
1.011180
0.980244
0.951986
1.096547
1.074482
1.048147
0.911641
1.112637
1.016350
0.973113
0.839039

60000

50000

40000

30000

20000
2006

2007

2008

HIPOTECAS

2009

2010

HIPOTECSA

1.15
1.10
1.05
1.00
0.95
0.90
0.85
0.80
2006

2007

2008

2009

2010

IGVE

Dependent Variable: HIPOTECSA

Method: Least Squares
Sample: 2006M01 2010M12
Included observations: 60
Variable

Coefficient Std. Error

t-Statistic

Prob.

C
T
T^2

56529.78 1227.527
-827.1669 92.85234
5.655305 1.475384

46.05178
-8.908412
3.833108

0.0000
0.0000
0.0003

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.889802
0.885935
3064.398
5.35E+08
-565.2539
1.803606

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

38258.15
9073.389
18.94180
19.04651
230.1251
0.000000

Nota: t es igual a 1 para 2006M1

(c.2) Proc/Seasonal/Adjustment/Moving Average:

Sample: 2006M01 2010M12

Included observations: 60
Difference from Moving Average
Original Series: HIPOTECAS
Adjusted Series: HIPOTECSA
Scaling Factors:
1
2
3
4
5
6
7
8
9
10
11
12

1297.597
381.3889
-644.6944
-1971.184
3486.951
2433.889
1319.764
-3678.455
3877.618
688.6597
-687.4653
-6504.069

Dependent Variable: HIPOTECSA

Method: Least Squares
Sample: 2006M01 2010M12
Included observations: 60
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
T^2

56840.88
-840.4250
5.847391

1258.812
95.21884
1.512987

45.15438
-8.826247
3.864800

0.0000
0.0000
0.0003

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.885619
0.881606
3142.500
5.63E+08
-566.7639
1.877236

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

38401.18
9132.920
18.99213
19.09685
220.6672
0.000000

Nota: t es igual a 1 para 2006M1

(c.3) Proc/Seasonal/Adjustment/ X11:

Indices estacionales predichos

2011M01
2011M02
2011M03
2011M04
2011M05
2011M06
2011M07
2011M08
2011M09
2011M10
2011M11
2011M12

99.120
100.332
99.873
92.406
107.775
106.061
107.958
90.824
115.379
99.925
90.645
89.626

Dependent Variable: HIPOTECSA

Method: Least Squares
Sample: 2006M01 2010M12
Included observations: 60
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
T^2

56536.75
-815.3274
5.426245

1131.995
85.62614
1.360563

49.94436
-9.521946
3.988236

0.0000
0.0000
0.0002

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.905235
0.901910
2825.912
4.55E+08
-560.3927
1.675008

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

38344.45
9022.887
18.77976
18.88447
272.2431
0.000000

Nota: t es igual a 1 para 2006M1

d) El comando @seas(j) genera una variable ficticia con valor 1 en el mes j y 0 para el
resto de observaciones, a partir de la siguiente estimacin comente el comportamiento
estacional de la variable.
Dependent Variable: HIPOTECAS
Method: Least Squares
Sample: 2006M01 2010M12
Included observations: 60
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
T
T^2
@SEAS(2)
@SEAS(3)
@SEAS(4)
@SEAS(5)
@SEAS(6)
@SEAS(7)
@SEAS(8)
@SEAS(9)
@SEAS(10)
@SEAS(11)
@SEAS(12)

57960.07
-839.9306
5.855420
-727.6958
-733.5024
-4395.620
2705.752
1763.013
222.7626
-3941.398
2667.930
-1774.252
-2514.546
-7002.150

1929.883
103.0747
1.635846
2147.437
2148.042
2148.975
2150.191
2151.659
2153.363
2155.303
2157.494
2159.965
2162.758
2165.932

30.03294
-8.148754
3.579445
-0.338867
-0.341475
-2.045449
1.258377
0.819374
0.103449
-1.828698
1.236587
-0.821427
-1.162657
-3.232858

0.0000
0.0000
0.0008
0.7363
0.7343
0.0466
0.2146
0.4168
0.9181
0.0739
0.2225
0.4156
0.2510
0.0023

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.904519
0.877535
3395.052
5.30E+08
-564.9697
1.859126

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

38401.18
9701.535
19.29899
19.78767
33.52080
0.000000

e) Obtenga el componente cclico de la variable.

60000
50000
40000
30000
20000
10000
0
-10000
2006

2007

CICLO_IRRE

2008

2009

TENDENCIA

2010
HIPOTECSA

1000
800
600
400
200
0
-200
-400
-600
2006

2007

2008

2009

2010

CICLO