Estimativa de Modelos VAR com STATA: Análise de Taxa de Juros e Vendas de Automóveis

Estimando Modelos VAR no STATA Prof Wagner M Lamounier Taxa de juros Overnight Selic Vendas automóveis nacionais montados e desmontados qde Antes de se estimar um VARp devese verificar a estacionaridade das séries Estimando o VAR Para a série de Vendas de Veículos vv cons 1215526 4634682 262 0010 2992813 2131771 L1 0912079 0358051 255 0012 1619922 0204236 vv Dvv Coef Std Err t Pt 95 Conf Interval pvalue for Zt 00060 Zt 2547 2353 1656 1288 Statistic Value Value Value Test 1 Critical 5 Critical 10 Critical Zt has tdistribution DickeyFuller test for unit root Number of obs 143 dfuller vv drift regress lags0 Para a série de Taxa de Juros txj cons 1424413 0491877 290 0004 0452005 2396821 L1 1188059 0368895 322 0002 1917339 0458779 txj Dtxj Coef Std Err t Pt 95 Conf Interval pvalue for Zt 00008 Zt 3221 2353 1656 1288 Statistic Value Value Value Test 1 Critical 5 Critical 10 Critical Zt has tdistribution DickeyFuller test for unit root Number of obs 143 dfuller txj drift regress lags0 var Vector autoregression models Dependent variables vv txj Coef Std Err Pz 95 Conf Interval cons 4918668 1259898 390 0000 2449313 7388022 L2 1412312 0830789 170 0089 0216004 3040629 L1 6219643 0848134 733 0000 4557332 7881954 txj L2 126e06 846e07 149 0135 394e07 292e06 L1 291e06 835e07 348 0000 454e06 127e06 vv txj cons 5058166 1301197 389 0000 2507867 7608465 L2 1395043 8580219 163 0104 2866493 3076735 L1 3193527 8759349 365 0000 4910328 1476727 txj L2 0015785 0874045 002 0986 1697312 1728881 L1 7811232 0862078 906 0000 6121591 9500873 vv vv Coef Std Err z Pz 95 Conf Interval txj 5 158709 08334 7101394 00000 vv 5 163912 08441 7687376 00000 Equation Parms RMSE Rsq chi2 Pchi2 DetSigmaml 5671779 SBIC 2157577 FPE 6529994 HQIC 214522 Log likelihood 15071 AIC 2136761 Sample 1999m3 2010m12 No of obs 142 Vector autoregression var vv txj lags12 Qual o Nº adequado de defasagens para o VAR Use currently active VAR or SVAR results Usando o MAIC Exogenous cons Endogenous vv txj 2 15071 83665 4 0079 65e06 213676 214522 215758 1 151128 42718 4 0000 65e06 213702 214209 214951 0 172487 13e08 243222 243391 243638 lag LL LR df p FPE AIC HQIC SBIC Sample 1999m3 2010m12 Number of obs 142 Selectionorder criteria varsoc Aplicando o Teste de Causalidade de Granger no Stata Obs H0 Não Há Causalidade Use active var or svar results A estatística de teste Qui é significativa nas duas equações do teste logo rejeitase H0 em favor da hipótese de Causalidade BiDirecional no Sentido de Granger TSJ VV txj ALL 17134 2 0000 txj vv 17134 2 0000 vv ALL 1754 2 0000 vv txj 1754 2 0000 Equation Excluded chi2 df Prob chi2 Granger causality Wald tests vargranger Gerando o Gráfico das Funções de Resposta a Impulsos Impulseresponse functions irf Statistics to graph leave empty for all Resposta da Taxa de Juros à Taxa de Juros 0 5 1 0 10 20 30 varbasic txj txj 95 CI impulse response function irf step Graphs by irfname impulse variable and response variable IRF combinations leave empty for all Resposta das Vendas à Taxa de Juros 60000 40000 20000 0 0 10 20 30 varbasic txj vv 95 CI impulse response function irf step Graphs by irfname impulse variable and response variable IRF result sets leave empty for all Resposta das Vendas às Vendas 0 5 1 0 10 20 30 varbasic vv vv 95 CI impulse response function irf step Graphs by irfname impulse variable and response variable Impulse variables leave empty for all Resposta da Taxa de Juros às Vendas 6000e06 4000e06 2000e06 0 0 10 20 30 varbasic vv txj 95 CI impulse response function irf step Graphs by irfname impulse variable and response variable Response variables leave empty for all Gerando Tabelas com os Valores das Respostas a Impulsos no Tempo Graph confidence bands 95 Confidence level 0 First step 10 Maximum step 24 129717 033325 29276 12e06 27e06 28e07 23 137857 02902 304734 13e06 28e06 24e07 22 146516 024081 317112 14e06 29e06 20e07 21 155731 018447 329909 14e06 30e06 14e07 20 165544 012055 343144 15e06 31e06 83e08 19 176003 004835 35684 16e06 33e06 16e08 18 18716 003291 371029 17e06 34e06 59e08 17 19908 01241 38575 18e06 35e06 14e07 16 21184 022622 401057 19e06 36e06 23e07 15 225534 034044 417023 21e06 38e06 33e07 14 240281 046817 433746 22e06 39e06 44e07 13 256236 061114 451358 23e06 41e06 56e07 12 273601 077159 470043 24e06 42e06 69e07 11 29265 095248 490051 26e06 43e06 82e07 10 313756 115784 511728 27e06 45e06 96e07 9 33743 139328 535532 29e06 46e06 11e06 8 364415 16671 562119 30e06 47e06 12e06 7 395663 199095 592231 31e06 48e06 14e06 6 432829 238389 627269 32e06 49e06 15e06 5 477319 286962 667676 33e06 49e06 16e06 4 534183 349724 718642 33e06 49e06 17e06 3 600957 427521 774394 32e06 47e06 17e06 2 704597 541412 867782 28e06 42e06 14e06 1 781123 612159 950087 29e06 45e06 13e06 0 1 1 1 0 0 0 step irf Lower Upper irf Lower Upper 1 1 1 2 2 2 Results from varbasic irf table irf individual OK 4 irfname varbasic impulse txj and response txj 3 irfname varbasic impulse txj and response vv 2 irfname varbasic impulse vv and response txj 1 irfname varbasic impulse vv and response vv 95 lower and upper bounds reported 24 131172 287367 25023 121442 020429 263312 23 13936 298891 201707 129056 015737 273849 22 148052 310771 146668 137154 010415 284723 21 157275 323011 846075 145768 004408 295944 20 167057 335615 150143 154936 002344 307529 19 177424 348586 62616 164699 009904 319495 18 188401 361926 148766 175104 018342 331866 17 20001 375632 243871 186203 027733 344673 16 212263 389698 348289 198061 038164 357959 15 225167 404109 46225 210754 049729 371779 14 238708 418837 585793 224375 062542 386208 13 252851 433835 718672 239043 076737 401349 12 267523 449024 860224 254911 092482 417339 11 282599 464278 100921 272178 10999 434366 10 29787 479391 116349 29112 129548 452692 9 313024 494051 131996 312091 151533 472649 8 327537 507735 147339 335649 176513 494785 7 340771 519707 161836 362362 205184 519539 6 351302 528518 174086 393702 238939 548464 5 358539 53281 184267 429624 278566 580682 4 356801 527386 186216 476873 329727 62402 3 35307 516355 189786 523388 383001 663776 2 308576 461578 155573 620936 490178 751693 1 319353 491033 147673 621964 455733 788195 0 0 0 0 1 1 1 step irf Lower Upper irf Lower Upper 3 3 3 4 4 4 Cancel Submit CUserswagnerDesktop StataMP 110 CUserswagnerDesktopAnálise e Previsão de Séries TemporaisAulas e Material Definitivovenda autos e tx juros brdta Results Main Options Statistics to tabulate leave empty for all irf IRF combinations IRF result sets leave empty for all Impulse variables leave empty for all Response variables leave empty for all Make an individual table for each result set Overall table title Set active IRF file Refresh IRF selections any time the active IRF file is set or changed while this dialog is open Submit OK Cancel