DATOS DE PANEL: DETERMINANTES DEL AHORRO PRIVADO A

NIVEL INTERNACIONAL

El objetivo de este ejercicio consiste en analizar la influencia de un amplio

conjunto de indicadores sobre el ahorro privado internacional. Para ello se utilizan datos
sobre un conjunto de pases industrializados (21) y en vas de desarrollo (40), para los
cuales se dispone de informacin para el perodo 1971-1993 en el caso de los pases
desarrollados y 1982-1993 para los pases en vas de desarrollo.
El modelo propuesto es el siguiente:
PSAVit = 1 + 2 SURit + 3GCURit + 4 GI it + 5 RS it + 6 INFit + 7 GRit +
+ 8Wit + 9YPit + 10YPit2 + 11 PCTTit + 12 BCAG it + 13 DEPit + eit

donde PSAV es el ahorro privado (en proporcin del PIB), SUR el supervit o dficit de
las administraciones pblicas (en proporcin del PIB), GCUR el gasto corriente de las
administraciones pblicas (en proporcin del PIB), GI la inversin corriente de las
administraciones pblicas (en proporcin del PIB), RS el tipo de inters real a corto
plazo, INF la inflacin, GR el porcentaje anual de crecimiento real del PIB, W la riqueza
privada (en proporcin del PIB), YP la renta per capita (relativa a la de Estados Unidos),
PCTT el porcentaje anual de crecimiento del comercio, BCAG el ahorro procedente del
exterior (en proporcin del PIB) y DEP el ratio de dependencia (definido como la
proporcin de personas menores de 19 aos y mayores de 65 aos sobre la poblacin
entre 20 y 64 aos).
1) Comparar el modelo plano con el modelo de efectos fijos a travs de un
contraste F de significacin de las variables ficticias.
2) Comparar el modelo plano con el modelo de efectos aleatorios a travs del
contraste de Breusch-Pagan de multiplicadores de Lagrange.
3) Comparar el modelo de efectos fijos frente al de efectos aleatorios a partir
del test de especificacin de Hausman.
4) Comentar los resultados obtenidos (tanto desde el punto de vista estadstico
como econmico) con el modelo elegido.

****************************
RESULTADOS (PROGRAMA LIMDEP)
****************************
REGRESS;Lhs=PSAV;Rhs=ONE,SUR,GCUR,GI,RS,INF,GR,W,YP,YP2,PCTT,BCAG,DEP;Panel
;Str=CTY$
+-----------------------------------------------------------------------+
| OLS Without Group Dummy Variables
|
| Ordinary
least squares regression
Weighting variable = none
|
| Dep. var. = PSAV
Mean=
19.35663967
, S.D.=
7.242106113
|
| Model size: Observations =
963, Parameters = 13, Deg.Fr.=
950 |
| Residuals: Sum of squares= 27166.98256
, Std.Dev.=
5.34760 |
| Fit:
R-squared= .461561, Adjusted R-squared =
.45476 |
| Model test: F[ 12,
950] =
67.86,
Prob value =
.00000 |
| Diagnostic: Log-L = -2974.5054, Restricted(b=0) Log-L =
-3272.5929 |
|
LogAmemiyaPrCrt.=
3.367, Akaike Info. Crt.=
6.205 |
| Panel Data Analysis of PSAV
[ONE way]
|
|
Unconditional ANOVA (No regressors)
|
| Source
Variation
Deg. Free.
Mean Square
|
| Between
39173.9
60.
652.899
|
| Residual
11281.1
902.
12.5068
|
| Total
50455.1
962.
52.4481
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
SUR
-.4081921205
.46924610E-01
-8.699
.0000
-4.0312523
GCUR
-.5704111210E-01 .21648738E-01
-2.635
.0084
27.617416
GI
-.5425158834E-01 .52527222E-01
-1.033
.3017
6.0976895
RS
-.6968126800E-01 .27917425E-01
-2.496
.0126
.85899169
INF
-.5604594295E-02 .19798186E-01
-.283
.7771
11.200297
GR
.3537641777
.48605429E-01
7.278
.0000
3.1772887
W
.2745318947E-01 .29137603E-02
9.422
.0000
223.68032
YP
.4708563155E-03 .36846301E-01
.013
.9898
42.142018
YP2
-.9571270600E-03 .30772327E-03
-3.110
.0019
2681.1996
PCTT
.8225177799E-02 .14774149E-01
.557
.5777
-.47090135
BCAG
.2784971281
.52335361E-01
5.321
.0000
-1.5026469
DEP
-.1254540708
.11524974E-01 -10.885
.0000
98.106216
Constant
27.75171736
1.8495763
15.004
.0000
(Note: E+nn or E-nn means multiply by 10 to + or -nn power.)
+-----------------------------------------------------------------------+
| Least Squares with Group Dummy Variables
|
| Ordinary
least squares regression
Weighting variable = none
|
| Dep. var. = PSAV
Mean=
19.35663967
, S.D.=
7.242106113
|
| Model size: Observations =
963, Parameters = 73, Deg.Fr.=
890 |
| Residuals: Sum of squares= 7970.443368
, Std.Dev.=
2.99258 |
| Fit:
R-squared= .842029, Adjusted R-squared =
.82925 |
| Model test: F[ 72,
890] =
65.89,
Prob value =
.00000 |
| Diagnostic: Log-L = -2384.0601, Restricted(b=0) Log-L =
-3272.5929 |
|
LogAmemiyaPrCrt.=
2.265, Akaike Info. Crt.=
5.103 |
| Estd. Autocorrelation of e(i,t)
.597839
|
+-----------------------------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
SUR
-.6007201281
.45932787E-01 -13.078
.0000
-4.0312523
GCUR
-.3193146321
.31387611E-01 -10.173
.0000
27.617416
GI
-.2416236031
.63519277E-01
-3.804
.0001
6.0976895
RS
.2869324726E-01 .26392348E-01
1.087
.2770
.85899169
INF
.2953206406E-02 .23510817E-01
.126
.9000
11.200297
GR
.1082526354
.30723432E-01
3.523
.0004
3.1772887
W
.1156784304E-01 .38704838E-02
2.989
.0028
223.68032
YP
.5124601746
.11173552
4.586
.0000
42.142018
YP2
-.4123367572E-02 .87564087E-03
-4.709
.0000
2681.1996
PCTT
.1067995099E-01 .84520069E-02
1.264
.2064
-.47090135
BCAG
.4412877521
.35651724E-01
12.378
.0000
-1.5026469
DEP
-.1409189106
.21134028E-01
-6.668
.0000
98.106216
(Note: E+nn or E-nn means multiply by 10 to + or -nn power.)
+------------------------------------------------------------------------+
|
Test Statistics for the Classical Model
|
|
|
|
Model
Log-Likelihood
Sum of Squares
R-squared |
| (1) Constant term only
-3272.59287
.5045507311D+05
.0000000 |

| (2) Group effects only

-2551.32983
.1128114863D+05
.7764120 |
| (3) X - variables only
-2974.50539
.2716698256D+05
.4615609 |
| (4) X and group effects
-2384.06013
.7970443368D+04
.8420289 |
|
|
|
Hypothesis Tests
|
|
Likelihood Ratio Test
F Tests
|
|
Chi-squared
d.f. Prob.
F
num. denom. Prob value |
| (2) vs (1) 1442.526
60
.00000
52.203
60
902
.00000 |
| (3) vs (1)
596.175
12
.00000
67.863
12
950
.00000 |
| (4) vs (1) 1777.065
72
.00000
65.888
72
890
.00000 |
| (4) vs (2)
334.539
12
.00000
30.807
12
890
.00000 |
| (4) vs (3) 1180.891
60
.00000
35.726
60
890
.00000 |
+------------------------------------------------------------------------+
+--------------------------------------------------+
| Random Effects Model: v(i,t) = e(i,t) + u(i)
|
| Estimates: Var[e]
=
.895555D+01 |
|
Var[u]
=
.196413D+02 |
|
Corr[v(i,t),v(i,s)] =
.686834
|
| Lagrange Multiplier Test vs. Model (3) = 2039.82 |
| ( 1 df, prob value = .000000)
|
| (High values of LM favor FEM/REM over CR model.) |
| Fixed vs. Random Effects (Hausman)
=
55.03 |
| (12 df, prob value = .000000)
|
| (High (low) values of H favor FEM (REM).)
|
| Reestimated using GLS coefficients:
|
| Estimates: Var[e]
=
.907385D+01 |
|
Var[u]
=
.376203D+02 |
|
Sum of Squares
.321676D+05 |
+--------------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
SUR
-.5297792799
.43104704E-01 -12.291
.0000
-4.0312523
GCUR
-.2541659161
.28023097E-01
-9.070
.0000
27.617416
GI
-.1326672602
.57363774E-01
-2.313
.0207
6.0976895
RS
.1523197442E-01 .25014838E-01
.609
.5426
.85899169
INF
-.5899619117E-02 .21902021E-01
-.269
.7876
11.200297
GR
.1230367016
.30448142E-01
4.041
.0001
3.1772887
W
.1428188747E-01 .35100705E-02
4.069
.0000
223.68032
YP
.2433696837
.60700549E-01
4.009
.0001
42.142018
YP2
-.2531247308E-02 .55701340E-03
-4.544
.0000
2681.1996
PCTT
.1030698379E-01 .84413515E-02
1.221
.2221
-.47090135
BCAG
.4281246105
.35244450E-01
12.147
.0000
-1.5026469
DEP
-.1245137951
.17913110E-01
-6.951
.0000
98.106216
Constant
31.10999641
2.9619086
10.503
.0000
(Note: E+nn or E-nn means multiply by 10 to + or -nn power.)