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    Alexandre Dete
    The document contains 12 tables presenting the results of unit root tests for various time series variables including the budget balance, exchange rate, government spending, and GDP. The tests indicate that some variables contain a unit root at levels but not in first differences, suggesting the variables are integrated of order one.

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    APÊNDICES

    Uploaded by

    Alexandre Dete
    7 views13 pages
    The document contains 12 tables presenting the results of unit root tests for various time series variables including the budget balance, exchange rate, government spending, and GDP. The tests indicate that some variables contain a unit root at levels but not in first differences, suggesting the variables are integrated of order one.

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    The document contains 12 tables presenting the results of unit root tests for various time series variables including the budget balance, exchange rate, government spending, and GDP. The tests indicate that some variables contain a unit root at levels but not in first differences, suggesting the variables are integrated of order one.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    7 views13 pages

    APÊNDICES

    Uploaded by

    Alexandre Dete
    The document contains 12 tables presenting the results of unit root tests for various time series variables including the budget balance, exchange rate, government spending, and GDP. The tests indicate that some variables contain a unit root at levels but not in first differences, suggesting the variables are integrated of order one.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 13

    APÊNDICES

    Apêndice A: Base de Dados

    Tabela 1: Base de Dados

    Apêndice B: Equação de estimação

    Tabela 2: Equação de estimação

    Dependent Variable: SO
    Method: Least Squares
    Date: 05/07/24 Time: 08:36
    Sample: 1 36
    Included observations: 36

    Variable CoefficientStd. Error t-Statistic Prob.

    PIB 0.499853 0.456436 1.095121 0.0016


    G -38.37052 84.75655 0.452714 0.0038
    TC -0.395727 0.135662 -2.917009 0.0064
    C -0.782884 9.237976 -0.084746 0.9330

    R-squared 0.259599 Mean dependent var 2.745615


    Adjusted R-squared 0.190186 S.D. dependent var 2.768999
    S.E. of regression 2.491813 Akaike info criterion 4.768337
    Sum squared resid 198.6922 Schwarz criterion 4.944284
    Log likelihood -81.83007 Hannan-Quinn criter. 4.829747
    F-statistic 3.739935 Durbin-Watson stat 1.411156
    Prob(F-statistic) 0.020696

    Fonte: Output do Eviews 10, 2023

    1
    Apêndice C: Testes de Raiz Unitária

    Tabela 3: Teste ADF no nível para saldo orçamental

    Null Hypothesis: SO has a unit root


    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -3.690952 0.0086


    Test critical values: 1% level -3.632900
    5% level -2.948404
    10% level -2.612874

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(SO)
    Method: Least Squares
    Date: 05/07/24 Time: 09:10
    Sample (adjusted): 2 36
    Included observations: 35 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    SO(-1) -0.583102 0.157981 -3.690952 0.0008


    C 1.727596 0.600747 2.875747 0.0070

    R-squared 0.292197 Mean dependent var 0.177504


    Adjusted R-squared 0.270748 S.D. dependent var 2.975901
    S.E. of regression 2.541308 Akaike info criterion 4.758680
    Sum squared resid 213.1221 Schwarz criterion 4.847557
    Log likelihood -81.27690 Hannan-Quinn criter. 4.789360
    F-statistic 13.62313 Durbin-Watson stat 1.737460

    2
    Prob(F-statistic) 0.000801

    Fonte: Output do Eviews 10, 2024

    Tabela 4: Teste ADF na primeira diferença para SO

    Null Hypothesis: D(SO) has a unit root


    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -6.077498 0.0000


    Test critical values: 1% level -3.639407
    5% level -2.951125
    10% level -2.614300

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(SO,2)
    Method: Least Squares
    Date: 05/07/24 Time: 09:14
    Sample (adjusted): 3 36
    Included observations: 34 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    D(SO(-1)) -1.078897 0.177523 -6.077498 0.0000


    C 0.160597 0.524923 0.305944 0.7616

    R-squared 0.535801 Mean dependent var -0.107004


    Adjusted R-squared 0.521295 S.D. dependent var 4.408267
    3
    S.E. of regression 3.050014 Akaike info criterion 5.125192
    Sum squared resid 297.6828 Schwarz criterion 5.214978
    Log likelihood -85.12826 Hannan-Quinn criter. 5.155812
    F-statistic 36.93599 Durbin-Watson stat 1.901988
    Prob(F-statistic) 0.000001

    Fonte: Output do Eviews 10, 2024

    Tabela 6: Teste ADF Teste ADF no nível para Taxa de cambio

    Null Hypothesis: TC has a unit root


    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -3.219839 0.0272


    Test critical values: 1% level -3.632900
    5% level -2.948404
    10% level -2.612874

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(TC)
    Method: Least Squares
    Date: 05/07/24 Time: 09:16
    Sample (adjusted): 2 36
    Included observations: 35 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    4
    TC(-1) -0.479481 0.148915 -3.219839 0.0029
    C 1.670911 0.701598 2.381580 0.0232

    R-squared 0.239059 Mean dependent var -0.007146


    Adjusted R-squared 0.216000 S.D. dependent var 3.138400
    S.E. of regression 2.778857 Akaike info criterion 4.937402
    Sum squared resid 254.8276 Schwarz criterion 5.026279
    Log likelihood -84.40454 Hannan-Quinn criter. 4.968082
    F-statistic 10.36736 Durbin-Watson stat 2.131847
    Prob(F-statistic) 0.002878

    Fonte: Output do Eviews 10, 2024

    Tabela 7: Teste ADF na primeira diferença para Taxa de cambio

    Null Hypothesis: D(TC) has a unit root


    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -8.134155 0.0000


    Test critical values: 1% level -3.639407
    5% level -2.951125
    10% level -2.614300

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(TC,2)
    Method: Least Squares
    Date: 05/07/24 Time: 09:18
    Sample (adjusted): 3 36
    Included observations: 34 after adjustments

    5
    Variable CoefficientStd. Error t-Statistic Prob.

    D(TC(-1)) -1.349476 0.165902 -8.134155 0.0000


    C 0.015992 0.518228 0.030858 0.9756

    R-squared 0.674017 Mean dependent var 0.096182


    Adjusted R-squared 0.663830 S.D. dependent var 5.210768
    S.E. of regression 3.021214 Akaike info criterion 5.106217
    Sum squared resid 292.0875 Schwarz criterion 5.196003
    Log likelihood -84.80569 Hannan-Quinn criter. 5.136837
    F-statistic 66.16448 Durbin-Watson stat 2.137345
    Prob(F-statistic) 0.000000

    Fonte: Output do Eviews 10, 2024

    Tabela 9: Teste ADF no nível para G

    Null Hypothesis: G has a unit root


    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -3.000049 0.0447


    Test critical values: 1% level -3.632900
    5% level -2.948404
    10% level -2.612874

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(G)
    Method: Least Squares

    6
    Date: 05/07/24 Time: 09:20
    Sample (adjusted): 2 36
    Included observations: 35 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    G(-1) -0.441000 0.146998 -3.000049 0.0051


    C 0.047021 0.015725 2.990212 0.0052

    R-squared 0.214291 Mean dependent var -0.000103


    Adjusted R-squared 0.190482 S.D. dependent var 0.004838
    S.E. of regression 0.004353 Akaike info criterion -7.980319
    Sum squared resid 0.000625 Schwarz criterion -7.891442
    Log likelihood 141.6556 Hannan-Quinn criter. -7.949638
    F-statistic 9.000296 Durbin-Watson stat 2.280587
    Prob(F-statistic) 0.005106

    Tabela 10: Teste ADF na primeira diferença para G

    Null Hypothesis: D(G) has a unit root


    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -8.957001 0.0000


    Test critical values: 1% level -3.639407
    5% level -2.951125
    10% level -2.614300

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(G,2)

    7
    Method: Least Squares
    Date: 05/07/24 Time: 09:22
    Sample (adjusted): 3 36
    Included observations: 34 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    D(G(-1)) -1.430341 0.159690 -8.957001 0.0000


    C -0.000180 0.000772 -0.232467 0.8177

    R-squared 0.714866 Mean dependent var 1.59E-05


    Adjusted R-squared 0.705955 S.D. dependent var 0.008301
    S.E. of regression 0.004501 Akaike info criterion -7.911799
    Sum squared resid 0.000648 Schwarz criterion -7.822013
    Log likelihood 136.5006 Hannan-Quinn criter. -7.881179
    F-statistic 80.22787 Durbin-Watson stat 2.232950
    Prob(F-statistic) 0.000000

    Fonte: Output do Eviews 10, 2024

    Tabela 12: Teste ADF no nível para rendimento

    Null Hypothesis: PIB has a unit root


    Exogenous: Constant
    Lag Length: 1 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -1.743310 0.0000


    Test critical values: 1% level -3.639407
    5% level -2.951125
    10% level -2.614300

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

    8
    Augmented Dickey-Fuller Test Equation
    Dependent Variable: D(PIB)
    Method: Least Squares
    Date: 05/07/24 Time: 09:24
    Sample (adjusted): 3 36
    Included observations: 34 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    PIB(-1) -1.312643 0.228552 -5.743310 0.0000


    D(PIB(-1)) 0.381720 0.165855 2.301531 0.0282
    C 2.071547 0.393233 5.267995 0.0000

    R-squared 0.552046 Mean dependent var -0.002659


    Adjusted R-squared 0.523145 S.D. dependent var 1.313518
    S.E. of regression 0.907045 Akaike info criterion 2.726848
    Sum squared resid 25.50466 Schwarz criterion 2.861527
    Log likelihood -43.35642 Hannan-Quinn criter. 2.772778
    F-statistic 19.10175 Durbin-Watson stat 1.879937
    Prob(F-statistic) 0.000004

    Fonte: Output do Eviews 10, 2024

    Tabela 13: Teste ADF na primeira diferença para Y

    Null Hypothesis: D(PIB) has a unit root


    Exogenous: Constant
    Lag Length: 2 (Automatic - based on SIC, maxlag=9)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -7.314768 0.0000


    Test critical values: 1% level -3.653730

    9
    5% level -2.957110
    10% level -2.617434

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(PIB,2)
    Method: Least Squares
    Date: 05/07/24 Time: 09:25
    Sample (adjusted): 5 36
    Included observations: 32 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    D(PIB(-1)) -2.956045 0.404120 -7.314768 0.0000


    D(PIB(-1),2) 1.248332 0.277080 4.505319 0.0001
    D(PIB(-2),2) 0.456200 0.168165 2.712807 0.0113
    C -0.002566 0.173731 -0.014771 0.9883

    R-squared 0.813668 Mean dependent var 0.001159


    Adjusted R-squared 0.793703 S.D. dependent var 2.163742
    S.E. of regression 0.982769 Akaike info criterion 2.919583
    Sum squared resid 27.04338 Schwarz criterion 3.102800
    Log likelihood -42.71333 Hannan-Quinn criter. 2.980315
    F-statistic 40.75637 Durbin-Watson stat 1.950564
    Prob(F-statistic) 0.000000

    Fonte: Output do Eviews 10, 2024

    Tabela 15: Teste ADF no nível para Resid

    Null Hypothesis: D(RESID) has a unit root

    10
    Exogenous: Constant
    Lag Length: 0 (Automatic - based on SIC, maxlag=7)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -9.158742 0.0000


    Test critical values: 1% level -3.670170
    5% level -2.963972
    10% level -2.621007

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(RESID,2)
    Method: Least Squares
    Date: 05/07/24 Time: 09:28
    Sample (adjusted): 7 36
    Included observations: 30 after adjustments

    Variable CoefficientStd. Error t-Statistic Prob.

    D(RESID(-1)) -1.499474 0.163720 -9.158742 0.0000


    C 0.001216 0.217096 0.005601 0.9956

    R-squared 0.749738 Mean dependent var 0.000128


    Adjusted R-squared 0.740800 S.D. dependent var 2.335579
    S.E. of regression 1.189083 Akaike info criterion 3.248583
    Sum squared resid 39.58974 Schwarz criterion 3.341996
    Log likelihood -46.72874 Hannan-Quinn criter. 3.278467
    F-statistic 83.88255 Durbin-Watson stat 2.285063
    Prob(F-statistic) 0.000000

    Fonte: Output do Eviews 10, 2024

    11
    Apêndice D: Testes de Heteroscedasticidade

    Tabela 16: Teste White de Heteroscedasticidade

    Heteroskedasticity Test: White

    F-statistic 1.076928 Prob. F(9,26) 0.4116


    Obs*R-squared 9.775896 Prob. Chi-Square(9) 0.3689
    Scaled explained SS 4.854256 Prob. Chi-Square(9) 0.8468

    Test Equation:
    Dependent Variable: RESID^2
    Method: Least Squares
    Date: 05/07/24 Time: 09:34
    Sample: 1 36
    Included observations: 36

    Variable CoefficientStd. Error t-Statistic Prob.

    C -1159.201 873.1649 -1.327586 0.1959


    PIB^2 -0.968143 1.048895 -0.923013 0.3645
    PIB*G 130.5893 296.1500 0.440957 0.6629
    PIB*TC 0.197677 0.488636 0.404549 0.6891
    PIB -9.866787 31.32940 -0.314937 0.7553
    G^2 -105629.0 77166.36 -1.368847 0.1828
    G*TC 0.704571 72.08717 0.009774 0.9923
    G 22214.91 16432.98 1.351849 0.1881
    TC^2 0.207071 0.163912 1.263304 0.2177
    TC -2.716739 8.172319 -0.332432 0.7422

    R-squared 0.271553 Mean dependent var 5.519228


    Adjusted R-squared 0.019398 S.D. dependent var 6.275468
    S.E. of regression 6.214305 Akaike info criterion 6.721718
    Sum squared resid 1004.057 Schwarz criterion 7.161584
    Log likelihood -110.9909 Hannan-Quinn criter. 6.875243
    F-statistic 1.076928 Durbin-Watson stat 2.211486

    12
    Prob(F-statistic) 0.411578

    Fonte: Output do Eviews 10, 2024

    13

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