Trabalho de econometria.

Dados estimados no eviews.

Mariana Holanda
2012

Introduo
Este trabalho tem com objetivo uma anlise da raiz unitria e seus
resultados, o mtodo usado para estimar os dados foi Eviews. Os dados usados nesta
pesquisa foi do perodo 1995 2004.Os dados utilizados foram inflao e taxa de
juros,os mesmo coletados do IPEADATA.
Metodologia
Foram utilizados os grficos para realizar o teste de raiz unitria.A partir do grfico foi
verificado que inflao possui intercepto,mas no possui tendncia.A hiptese nula foi
rejeitada.O mesmo teste de raiz unitria foi realizado para taxa de juros onde a hiptese
nula tambm foi rejeitada.
Grfico para Inflao.
.2

.1

.0

-.1

-.2
95

96

97

98

99

00
I

Grficos para taxa de juros

01

02

03

0.8

0.4

0.0

-0.4

-0.8

-1.2
95

96

97

98

99

00

01

02

03

Se no possui tendncia o processo estacionria. Como processo

estacionrio,no necessrio realizar o teste de raiz unitaria,o teste foi realizados s
para mostrar que a hiptese nula foi rejeitada.
Os testes usados para estimar a raiz unitria so Dickey Fueller, Dickey
Fueller Aumentado e Philips-Perron. Contudo no utilizados, pois no necessrio
realizar o teste de raiz unitrio.
Ao analisar o Var, utilizando o critrio Schwarz, que determina o
quantidade tima de lag,nesta trabalho nmero de lag 1(uma defasagem).No
necessrio realizar cointegrao,pois as variveis no so integradas de mesma
ordem.Foi aceita a hiptese nula de que no h causalidade de Granger.
A funo impulso resposta, a decomposio de varincia e os testes de
causalidades de Granger so ferramentas usadas como vetores autorregressivo. A
funo impulso resposta apresentou choques quase nulos.

Teste para raiz unitria para Inflao(rejeita a hiptese nula*

Null Hypothesis: I has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=26)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-49.87268
-3.432966
-2.862582
-2.567370

0.0001

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(I)
Method: Least Squares
Date: 06/19/12 Time: 14:57
Sample (adjusted): 2/02/1995 1/01/2004
Included observations: 2326 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

I(-1)
C

-1.033717
0.000467

0.020727
0.001018

-49.87268
0.459181

0.0000
0.6461

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

0.516969
0.516761
0.049089
5.600123
3711.412
1.999525

Mean dependent var

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

4.75E-05
0.070615
-3.189520
-3.184574
2487.284
0.000000

Teste de raiz unitria rejeita a hiptese nula para tx de juro

Null Hypothesis: R has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=26)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-48.80068
-3.432966
-2.862582
-2.567370

0.0001

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(R)
Method: Least Squares
Date: 06/19/12 Time: 15:00
Sample (adjusted): 2/02/1995 1/01/2004
Included observations: 2326 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

R(-1)
C

-1.012470
0.101822

0.020747
0.003523

-48.80068
28.89987

0.0000
0.0000

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

0.506110
0.505898
0.136891
43.54993
1325.960
1.999141

Mean dependent var

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

-4.25E-05
0.194745
-1.138400
-1.133455
2381.506
0.000000

Vector Autoregression Estimates

Date: 06/19/12 Time: 15:10
Sample (adjusted): 2/03/1995 1/01/2004
Included observations: 2325 after adjustments
Standard errors in ( ) & t-statistics in [ ]
I

I(-1)

-0.043610
(0.02232)
[-1.95361]

0.030015
(0.06231)
[ 0.48172]

I(-2)

0.004891
(0.02233)
[ 0.21908]

-0.023397
(0.06232)
[-0.37543]

R(-1)

0.008580
(0.00800)
[ 1.07194]

-0.016327
(0.02234)
[-0.73078]

R(-2)

0.004709
(0.00801)
[ 0.58819]

0.016801
(0.02235)
[ 0.75182]

-0.000825
(0.00153)
[-0.53775]

0.100561
(0.00428)
[ 23.4863]

0.001951
0.000231
5.586492
0.049071
1.134056
3712.149
-3.188946
-3.176577
0.000495
0.049077

0.000519
-0.001204
43.52410
0.136969
0.301036
1325.579
-1.135982
-1.123614
0.100611
0.136886

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

3.90E-05
3.89E-05
5207.149
-4.470665
-4.445928

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Criterios s 1 defasagem
VAR Lag Order Selection Criteria
Endogenous variables: I R
Exogenous variables: C
Date: 06/19/12 Time: 15:12
Sample: 2/01/1995 1/01/2004
Included observations: 2319
Lag

LogL

LR

FPE

AIC

SC

HQ

0
1
2
3
4
5
6
7
8

5188.009
5191.065
5191.567
5194.267
5197.693
5199.775
5201.022
5202.493
5204.193

NA*
6.103593
1.001538
5.384711
6.825501
4.144508
2.479147
2.922440
3.375440

3.91e-05*
3.92e-05
3.93e-05
3.93e-05
3.94e-05
3.94e-05
3.95e-05
3.96e-05
3.97e-05

-4.472625*
-4.471811
-4.468794
-4.467673
-4.467178
-4.465524
-4.463149
-4.460968
-4.458985

-4.467667*
-4.456937
-4.444004
-4.432967
-4.422556
-4.410985
-4.398694
-4.386597
-4.374697

-4.470818*
-4.466390
-4.459759
-4.455025
-4.450916
-4.445648
-4.439660
-4.433865
-4.428267

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

DE ACORDO COM CRITERIOS 1 DEFASAGENS

Vector Autoregression Estimates
Date: 06/19/12 Time: 15:27
Sample (adjusted): 2/02/1995 1/01/2004
Included observations: 2326 after adjustments
Standard errors in ( ) & t-statistics in [ ]
I

I(-1)

-0.042464
(0.02229)
[-1.90466]

0.032844
(0.06218)
[ 0.52817]

R(-1)

0.008522
(0.00800)
[ 1.06485]

-0.016814
(0.02232)
[-0.75330]

-0.000386
(0.00130)
[-0.29823]

0.102246
(0.00361)
[ 28.2919]

0.001625
0.000765
5.597391
0.049087
1.890136
3711.979
-3.189148
-3.181730
0.000454
0.049106

0.000275
-0.000585
43.54470
0.136912
0.320067
1326.099
-1.137661
-1.130242
0.100568
0.136872

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

3.90E-05
3.89E-05
5207.910
-4.472838
-4.458001

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Pairwise Granger Causality Tests

Date: 06/19/12 Time: 15:50
Sample: 2/01/1995 1/01/2004
Lags: 1
Null Hypothesis:

Obs

F-Statistic

Probability

R does not Granger Cause I

I does not Granger Cause R

2326

1.13391
0.27896

0.28705
0.59743

VAR Granger Causality/Block Exogeneity Wald Tests

Date: 06/19/12 Time: 16:54
Sample: 2/01/1995 1/01/2004
Included observations: 2326

Dependent variable: I
Excluded

Chi-sq

df

Prob.

1.133915

0.2869

All

1.133915

0.2869

Dependent variable: R
Excluded

Chi-sq

df

Prob.

0.278963

0.5974

All

0.278963

0.5974

Response to Cholesky One S.D. Innovations 2 S.E.

Response of I to I

Response of I to R

.06

.06

.05

.05

.04

.04

.03

.03

.02

.02

.01

.01

.00

.00

-.01

-.01
1

10

Response of R to I

.12

.08

.08

.04

.04

.00

.00

10

10

Response of R to R

.12

10