exemplo_aula 01b

Prévia do material em texto

1 
 
 Tendência, Sazonalidade, Autocorrelação 
Inflação Consumidor Brasil (IPCA) e Desemprego São Paulo (DIEESE) (2005m1-2015m12) 
 
PACF (log)IPCA 
 
 
PACF ipca 
 
 
 
 
 
13 0.6911 -0.0440 1216.7 0.0000 
12 0.7138 -0.1516 1148.5 0.0000 
11 0.7362 -0.0476 1076.4 0.0000 
10 0.7584 -0.1579 1000.4 0.0000 
9 0.7808 -0.0758 920.46 0.0000 
8 0.8035 0.2846 836.42 0.0000 
7 0.8263 0.1208 748.18 0.0000 
6 0.8493 0.1135 655.66 0.0000 
5 0.8730 0.2389 558.72 0.0000 
4 0.8972 0.1020 457.14 0.0000 
3 0.9222 0.1159 350.74 0.0000 
2 0.9479 -0.6138 239.21 0.0000 
1 0.9738 1.0056 122.35 0.0000 
 
 LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
 -1 0 1 -1 0 1
13 0.2519 -0.1987 151.43 0.0000 
12 0.3801 0.0805 142.38 0.0000 
11 0.3177 0.2075 121.94 0.0000 
10 0.1697 0.1179 107.79 0.0000 
9 0.0360 0.2466 103.78 0.0000 
8 -0.1678 0.1862 103.6 0.0000 
7 -0.2778 -0.1957 99.755 0.0000 
6 -0.2088 -0.0532 89.294 0.0000 
5 -0.1599 -0.0626 83.432 0.0000 
4 -0.0355 -0.1978 80.024 0.0000 
3 0.1881 -0.0541 79.857 0.0000 
2 0.3857 -0.0818 75.216 0.0000 
1 0.6580 0.6664 55.866 0.0000 
 
 LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
 -1 0 1 -1 0 1
 
 _cons .0046628 .0008497 5.49 0.000 .002976 .0063495
 time .0000144 5.55e-06 2.60 0.011 3.40e-06 .0000255
 _Imes_12 -.0007788 .0008453 -0.92 0.359 -.0024569 .0008993
 _Imes_11 -.0013931 .0008449 -1.65 0.102 -.0030704 .0002843
 _Imes_10 -.0014343 .0008446 -1.70 0.093 -.0031109 .0002424
 _Imes_9 -.0028688 .0008442 -3.40 0.001 -.0045448 -.0011928
 _Imes_8 -.0039179 .000844 -4.64 0.000 -.0055934 -.0022424
 _Imes_7 -.0040147 .0008437 -4.76 0.000 -.0056897 -.0023397
 _Imes_6 -.0044902 .0008435 -5.32 0.000 -.0061648 -.0028156
 _Imes_5 -.0021253 .0008434 -2.52 0.013 -.0037996 -.000451
 _Imes_4 -.000862 .0008432 -1.02 0.309 -.0025361 .000812
 _Imes_3 -.0017424 .0008431 -2.07 0.042 -.0034162 -.0000685
 _Imes_2 -.000589 .0008431 -0.70 0.487 -.0022627 .0010848
 
 infl Coef. Std. Err. t P>|t| [95% Conf. Interval]
 
 Total .000540125 107 5.0479e-06 Root MSE = .00179
 Adj R-squared = 0.3664
 Residual .000303855 95 3.1985e-06 R-squared = 0.4374
 Model .00023627 12 .000019689 Prob > F = 0.0000
 F( 12, 95) = 6.16
 Source SS df MS Number of obs = 108
2 
 
 
 
 
 
-.0
05
0
.0
05
.0
1
.0
15
2004m1 2006m1 2008m1 2010m1 2012m1 2014m1 2016m1
Data
infl infl_ST
infl_C
-.0
05
0
.0
05
.0
1
.0
15
2004m1 2006m1 2008m1 2010m1 2012m1 2014m1 2016m1
Data
infl infl_C
infl_ST infl_ar1
-.0
05
0
.0
05
.0
1
2004m1 2006m1 2008m1 2010m1 2012m1 2014m1 2016m1
Data
infl_ST_e infl_ar1_e
3 
 
 
 
 
 
 
 
 
 
 
8
10
12
14
16
18
2005m1 2010m1 2015m1
Data
U_SP u_ST
u_C
13 0.6730 -0.1370 1016.5 0.0000 
12 0.7082 -0.2174 953.6 0.0000 
11 0.7196 -0.2521 884.62 0.0000 
10 0.7181 0.4097 814.06 0.0000 
9 0.7121 0.2408 744.4 0.0000 
8 0.7109 0.0923 676.51 0.0000 
7 0.7154 0.2437 609.44 0.0000 
6 0.7312 0.2195 542.11 0.0000 
5 0.7584 -0.0543 472.39 0.0000 
4 0.8005 0.4302 398.01 0.0000 
3 0.8535 0.0110 315.85 0.0000 
2 0.9160 -0.4963 223.24 0.0000 
1 0.9692 0.9696 117.45 0.0000 
 
 LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
 -1 0 1 -1 0 1
13 0.2228 0.2037 481.24 0.0000 
12 0.2359 0.1569 473.92 0.0000 
11 0.2657 -0.0224 465.76 0.0000 
10 0.2991 0.1193 455.51 0.0000 
9 0.3340 -0.2494 442.63 0.0000 
8 0.3698 -0.0702 426.7 0.0000 
7 0.4165 0.0870 407.32 0.0000 
6 0.4753 -0.1085 382.94 0.0000 
5 0.5400 -0.0412 351.46 0.0000 
4 0.6134 0.3498 311.13 0.0000 
3 0.6922 -0.2054 259.51 0.0000 
2 0.7948 -0.1422 194.29 0.0000 
1 0.9017 1.0568 108.97 0.0000 
 
 LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
 -1 0 1 -1 0 1
4 
 
 
 Source | SS df MS Number of obs = 120 
-------------+------------------------------ F( 13, 106) = 517.77 
 Model | 708.787926 13 54.5221482 Prob > F = 0.0000 
 Residual | 11.1619778 106 .105301678 R-squared = 0.9845 
-------------+------------------------------ Adj R-squared= 0.9826 
 Total | 719.949904 119 6.04999919 Root MSE = .3245 
 
------------------------------------------------------------------------------ 
 u_sp | Coef. Std. Err. t P>|t| [95% Conf. Interval] 
-------------+---------------------------------------------------------------- 
 _Imes_2 | .391576 .1454587 2.69 0.008 .10319 .679962 
 _Imes_3 | .6043004 .1494285 4.04 0.000 .3080438 .9005571 
 _Imes_4 | .0570427 .1606282 0.36 0.723 -.2614184 .3755037 
 _Imes_5 | -.2730506 .1645136 -1.66 0.100 -.5992149 .0531137 
 _Imes_6 | -.2420664 .16198 -1.49 0.138 -.5632074 .0790746 
 _Imes_7 | -.1388553 .1603065 -0.87 0.388 -.4566785 .178968 
 _Imes_8 | -.3725235 .1606229 -2.32 0.022 -.690974 -.0540731 
 _Imes_9 | -.455158 .1570068 -2.90 0.005 -.7664392 -.1438767 
 _Imes_10 | -.6556333 .1529231 -4.29 0.000 -.9588182 -.3524484 
 _Imes_11 | -.4782923 .1480525 -3.23 0.002 -.7718209 -.1847638 
 _Imes_12 | -.504543 .1464208 -3.45 0.001 -.7948365 -.2142495 
 time | -.0021151 .0028914 -0.73 0.466 -.0078475 .0036173 
 u_sp L1. | .9443466 .0417416 22.62 0.000 .8615899 1.027103 
 _cons | 1.096105 .8417906 1.30 0.196 -.5728268 2.765037 
 
 
 
13 -0.1035 0.0418 50.163 0.0000 
12 -0.0835 -0.1743 48.583 0.0000 
11 -0.1364 -0.1235 47.561 0.0000 
10 0.0541 0.0395 44.862 0.0000 
9 0.0204 -0.1570 44.44 0.0000 
8 0.1744 0.2530 44.381 0.0000 
7 0.1295 0.1279 40.072 0.0000 
6 0.1382 -0.0199 37.714 0.0000 
5 0.0941 0.1873 35.05 0.0000 
4 0.1377 0.1509 33.827 0.0000 
3 -0.0355 -0.2499 31.224 0.0000 
2 0.3567 0.3103 31.053 0.0000 
1 0.3217 0.3250 13.87 0.0002 
 
 LAG AC PAC Q Prob>Q [Autocorrelation] [Partial Autocor]
 -1 0 1 -1 0 1
8
10
12
14
16
18
2005m1 2010m1 2015m1
Data
U_SP u_ST
u_ar1