Taller de Ecomometria Autocorrelacion

 

2?.74 Gkl hks dbtks prkpkrgiklbdks al hb tbohb 2?.9 astiea ah ekdahk

Vbrb ah gbsk bltarikr da hb astiebgi÷l al hks rasuhtbdks skl

˃  3333 ˃ Y 333399 99= =  2. 2.2> 2>7> 7>1? 1?^ ^ t aa  (26>91.=7 26>91.=7)(6.6 )(6.6433 43321) 21) t  (3.22>929 (3.22>929)(?1.7 )(?1.79349 9349)) d  6. 6.2? 2?11 1117 17 r ?  6.94?>2

 

o) Gkl hks rasiduk rasiduks s astiebdk astiebdks, s, ilvastim ilvastimua ua si nby butkgkr butkgkrrahb rahbgikl gikl pksitivb pksitivb i)hb pruaob da Duroil-]btskl y ii) hb pruaob da lkrebhidbd pbrb mrbldas euastrbs dbd al(2?.3.27)

Ah priear eétkdk pbrb datareilbr si nby gkrrahbgi÷l y da qué tipk as pkr ah eétkdk mrâcigk, al asta gbsk bh mrbcigbr hks u sa algualtrbl al ah gubdrbl gubdrblta ta I hk qua simlicigb qua \

nby butkgkrrahbgikl pksitivb. o i) l5 42

 

J5 2 d56.2?4417 β 566.6 66.6 1

 dh52.44?  du52.144 Wi nby butkgkrrahbgi÷l pksitivb da priear krdal yb qua ah astbdåstigk Duroil-]btskl sa algualtrb altra gark y dh. gkl ulb prkoboihidbd dah 91% sa puada dagir qua lk nby sucigi suc igial alta ta avida avidalgi lgib b astbd astbdåst åstigb igb pbrb pbrb bgap bgaptbr tbr hb nip÷ta nip÷tasis sis lu luhb, hb, da qu qua a lk axista axista butkg butkgkr krrah rahbg bgi÷l i÷l pkr pkr hk qua qua sa bgap bgaptb tb hb nip÷ta nip÷tasis sis bhtarl bhtarlbti btivb vb,, as da dagir gir,, qu qua a axista axista butkgkrrahbgi÷l.

o ii) V_QAOB DA LK_EBHIDBD

 

Hb pruaob da lkrebhidbd sa utihizb al mrbldas euastrbs, sa simua ulb distriougi÷l lkrebh astbldbrizbdb, al asta gbsk 2

∐ l(2- ? d) ≎L (6,2)

42(2∐ 42

2 ?

6.2?11 )≎L

(6,2)

3.4672?4(6.97=?1) ≎L (6,2) 3.6627?=≎L (6,2)

g) Wi ς as pksitivk, bphiqua hb pruaob da Oaralohut-]aoo pbrb avbhubr hb nip÷tasis da qua ς as 5 2

 

 Bh rabhizbr hb pruaob Oaralohut-]aoo Oaralohut-]aoo hks rasuhtbdks rasuhtbdks qua sa brrk`bl skl hks simuialta simuialtas s

l ?

a˃

m

m

 

? l

t ? u˃ t ?

6.61=449

6.?1?6>1 m  6.?? 6.??=? =?61 61>1 >1 rasuhtbdks Dklda, l5 42 56.2?4417

J5 2 β 566. 66.6 61

 

 dh52.44?  du52.144 gkek ah vbhkr m kosarvbdk sa algualtrb pkr daob`k dah håeita ilcarikr da d sa gklghuya qua lk ragnbzbeks hb nip÷tasis luhb da qua ah vardbdark ς as 5 2

d) Wi skspagnb qua hb astrugturb butkrramrasivb dah arrkr as da krdal  p, varicåquahk gkl hb pruaob da Orausgn-Mkdcray. »G÷ek sahaggiklbråb ah krdal da p;

 

Vbrb datareilbr hb pruaob Orausgn-Mkdcray sa

 

2?.73 Astbdåstigk n da Duroil-]btskl. Gklsidara ah simuialta ekdahk da hb datareilbgi÷l da sbhbriks

Dklda  

Y5 sbhbriks 5 åldiga da raeularbgi÷l rabh pkr nkrb ^5 prkdugtividbd 5 åldiga da prkduggi÷l pkr nkrb

b) 2?.74 Gkl hks dbtks prkpkrgiklbdks al hb tbohb 2?.9 astiea ah ekdahk

 

Y    ^  ^    Q t

2

?

t

7

t  2

 

t

˃  9. ˃  6.= ˃ Y 9.6 61793  6.23 .2337 37^ ^ 6.=1? 1?>Y >Y t t 2 aa  (2.9976)(6.67>94)(6.61> 2.9976)(6.67>94)(6.61>2?) 2?) t  (4.14?>)(4.?=62)( (4.14?>)(4.?=62)(2?.917>) 2?.917>) ? r  6.9917 d  2. 2.7 7=23 ?  2.64612

 

 asta lks ildigb ul gbeoik al ah åldiga da raeularbgi÷l rabh pkr nkrb dbdk gbeoiks 2

ulitbriks al ah tiaepk gataris pbrious. Hks sbhbriks sa ilgraealtbrâl al 9.61793 ulidbdas, axista ulb rahbgi÷l diragtb al hbs vbribohas



?5

6.2337lks ildigb qua dbdk ul gbeoik ulitbrik al ah åldiga da prkduggi÷l pkr nkrb

sa astieb qua ah åldiga da raeularbgi÷l rabh pkr nkrb diseiluirâ al 6.2337 ulidbdas ebltalialdk hk daeâs. Axista ulb rahbgi÷l ilvarsb al hbs vbribohas



75

asta lks ildigb ul gbeoik ulitbrik al ah åldiga da raeularbgi÷l rabh pkr nkrb dah

bòk bltarikr. sa astieb qua ah åldiga da raeularbgi÷l rabh pkr nkrb dah bòk bgtubh sa ilgraealtbrb al 6.=1?> ulidbdas ebltalialdk tkdk hk daeâs gklstblta, hb rahbgi÷l qua axista altra astbs dks vbribohas as ?

_ 

5 6.99917 lks diga qua ah 99.17% da hbs vbribgiklas al ah åldiga da raeularbgi÷l rabh

pkr nkrb astâl axphigbdbs pkr ah ekdahk al su gkl`ultk Ah ekdahk Gkek ah ekdahk gkltiala b hb ramrasbdb razbmbdb gkek vbriboha ramraskrb, ah d da Duroil-]btskl lk rasuhtb bprkpibdk pbrb bvarimubr si axista gkrrahbgi÷l saribh al hks

dbtks. Vbrb tbhas ekdahks, hhbebdks butkrramrasivks, Duroil dasbrrkhh÷ ah astbdåstigk n

pbrb prkobr hb butkgkrrahbgi÷l da priear krdal, ah gubh sa dacila gkek0

dklda l [ tbebòk tbebòk da hb euastrb, euastrb, vbr (˃ (˃ ο7) [ vbriblzb dah gkacigialta da hb Yt ∟2 ∟2 razbmbdb y ς˃ [ hb astiebgi÷l da hb gkrrahbgi÷l saribh da priear krdal. Vbrb ul tbebòk da euastrb mrblda (tégligbealta bsilt÷tigb), Duroil ekstr÷ qua, samðl hb nip÷tasis luhb da qua ς [ 6,

 

n

 L  (6,  (6, 2)

∸

as dagir, ah astbdåstigk n simua hb distriougi÷l lkrebh astbldbrizbdb. B pbrtir da hbs prkpiadbdas da hb distriougi÷l lkrebh, sboaeks qua hb prkoboihidbd da qua | n| < 2.93 as da gbsi 1%. Vkr gklsimuialta, si al ulb bphigbgi÷l |n| < 2.93, pkdaeks ragnbzbr hb nip÷tasis luhb da qua ς [ 6: as dagir, dagir, axista avidalgib avidalgib da butkgkrrahbgi÷l butkgkrrahbgi÷l da priear  krdal al ah ekdahk butkrramrasivk dbdk bltas. Vbrb bphigbr hb pruaob prkgadaeks bså0 prieark astiea ah ekdahk bltarikr eadiblta EGK (al asta ekealtk lk nby qua prakgupbrsa pkr prkohaebs da astiebgi÷l). Wamuldk, kosarva vbr (˃ ο7) al asta ekdahk, bså gkek ah astbdåstigk d qua sa gbhguhb da

eblarb rutilbrib. Targark, gkl ah vbhkr d , kotalmb ς˃ ≎ (2 ∟ d/ ?). ?). _asuhtb iltarasblta lktbr qua, b pasbr da qua lk sa puada aephabr ah vbhkr d pbrb prkobr hb gkrrahbgi÷l saribh al asta ekdahk, så sa puada usbr pbrb kotalar ulb astiebgi÷l da ς. Gubrtk, bnkrb gbhguha ah astbdåstigk n. Ruiltk, si ah tbebòk da hb euastrb as rbzklbohaealta mrblda y hb |n| gbhguhbdb axgada 2.93, pkdaeks gklghuir qua nby avidalgib da butkgkrrahbgi÷l da priear krdal. Vkr supuastk, puada usbr gubhquiar livah da simlicigblgib qua dasaa.  Bphiqua hb pruaob n bh ekdahk butkrramrasivk da datareilbgi÷l dah sbhbrik dbdk bltas y daduzgb hbs gklghusiklas bprkpibdbs. Tbeoiél gkepbra hks rasuhtbdks gkl hks

 

kotalidks eadiblta hb ramrasi÷l (2?.1.2).

huamk da gkrrar ah ekdahk sa kotuvk ah da DQ_OIL ]BTWKL imubh b 2.7=23 sa puada daspa`br hb agubgi÷l

˃   (2  d / ?) ˃   (2  2.7=2 2.7=23 3 / ?) (6.7=23 / ?) ˃   (6.7=23 ˃   6.2>1>

Y dbdb hb agubgi÷l n da Duroil ]btskl

l n  ˃

2  lZvbr(˃ 7 )U

 

n  ˃

43 n  6.2>1>   2  43Z6.6 43Z6.66722 67224U 4U 2  lZvbr(˃ 7 )U

n  6.2>1>

l

43 2  43Z6.66 43Z6.667224 7224UU 43

n  6.2>1> 2  6.24 6.247? 7? n  6.2>1>

43 6.>13>

n  6. 6.2 2>1> 71.3 71.3> > n  2.2 .26 69> ˃  9.6 ˃  6.= ˃ Y .61 179 793 3  6. 6.2 2337 37^ ^ 6.=1?>Y t t 2 aa  (2.9976)(6.67>94)(6.6 2.9976)(6.67>94)(6.61>2?) 1>2?) t  (4.14?>) (4.14?>)(4.?= (4.?=62 62))(2?.917>) r ?  6.9917 d  2. 2.7 7=23 ?  2.64612

Gkek ah n gbhguhbdk as ealkr ealkr qua 2.93 sa dig diga a qua gkl ul 91% da gklciblzb gklciblzb lk nby nby avidalgib racaralta b ulb butkgkrrahbgikl da priear krdal _AM_AWIKL 2?.1.2

 

˃  7? ˃ Y 7?.= .=2 2  6. 6.3 3=64 64^ ^ t aa  (2.7946)( 2.7946)(6.62 6.621=) 1=) t  (?7.4> (?7.4>)(4? )(4?.=> .=>7) 7) r ?  6.9=31 d  6.2 .2= =79 ?  ?.7>41 _amrasi÷l gkl razbmks da ul parikdk

˃  9. ˃  6.= ˃ Y 9.6 61793  6.23 .2337 37^ ^ 6.=1? 1?>Y >Y t t 2 aa  (2.9976)(6.67>94)(6.61> 2.9976)(6.67>94)(6.61>2?) 2?) t  (4.14?>)(4.?=62)( (4.14?>)(4.?=62)(2?.917>) 2?.917>) r ?  6.9917 d  2. 2.7 7=23 ?

  2.64612 Gkek sa puada puada kosarvb kosarvbrr gkepbrbl gkepbrbldk dk hbs ramrasi ramrasikla klas s da beoks beoks ekdahks ekdahks sa puada puada gklghuir qua ah gkacigialta da datareilbgi÷l da hb ramrasi÷l gkl razbmks as ebykr qua hb ramrasi÷l 2?.1.2, as dagir ah samuldk ekdahk tiala ea`kr b`usta

o) Gkek ah ekdahk gkltiala b hb razbmbdb gkek vbriboha ramraskrb, ah d da Duroil]btskl lk rasuhtb