Banks <- read.delim("~/Dropbox/Teaching/Econometrics/Banks for R.txt")
reg <- lm(Banks$Gastos ~ Banks$Activos + Banks$Agencias, data=Banks)
Banks$residsq = (resid(reg))^2
Banks$Activossq = Banks$Activos^2
Banks$Agenciassq = Banks$Agencias^2
Banks$AA = Banks$Activos*Banks$Agencias
Banks## Banco Gastos Activos Agencias residsq Activossq Agenciassq
## 1 G&T 48.8 831.5 30 53.5328971 691392.25 900
## 2 INDUSTRIAL 43.2 1204.0 18 0.3587672 1449616.00 324
## 3 OCCIDENTE 39.4 1153.5 20 18.7635539 1330562.25 400
## 4 CAFE 29.8 499.6 25 0.5653431 249600.16 625
## 5 AGRO 26.2 466.6 30 27.5117820 217715.56 900
## 6 BAM 24.8 522.3 12 13.8391394 272797.29 144
## 7 INTERNAC. 24.0 376.6 12 48.0004093 141827.56 144
## 8 INMOB 21.5 431.3 20 5.5900786 186019.69 400
## 9 CONSTRUC. 18.3 282.2 10 26.4924181 79636.84 100
## 10 EJERCITO 15.6 311.8 13 0.1225887 97219.24 169
## 11 LLOYDS 14.3 284.5 7 9.4048393 80940.25 49
## 12 METRO 12.9 339.0 8 0.2435533 114921.00 64
## 13 BANEX 12.5 462.8 3 0.9886580 214183.84 9
## 14 QUETZAL 8.8 205.0 12 12.6105806 42025.00 144
## 15 PROMOTOR 6.0 162.4 3 0.5921909 26373.76 9
## 16 CITIBANK 5.9 45.8 1 27.0305994 2097.64 1
## 17 CONTI. 3.6 113.7 4 0.9057766 12927.69 16
## 18 REFORMADOR 1.7 237.3 7 67.8122736 56311.29 49
## 19 UNO 1.0 170.8 5 33.4487551 29172.64 25
## AA
## 1 24945.0
## 2 21672.0
## 3 23070.0
## 4 12490.0
## 5 13998.0
## 6 6267.6
## 7 4519.2
## 8 8626.0
## 9 2822.0
## 10 4053.4
## 11 1991.5
## 12 2712.0
## 13 1388.4
## 14 2460.0
## 15 487.2
## 16 45.8
## 17 454.8
## 18 1661.1
## 19 854.0# Regresion auxiliar en p. 61
regaux <- lm(Banks$residsq ~ Banks$Activos + Banks$Activossq + Banks$Agencias + Banks$Agenciassq + Banks$AA, data=Banks)
summary(regaux)##
## Call:
## lm(formula = Banks$residsq ~ Banks$Activos + Banks$Activossq +
## Banks$Agencias + Banks$Agenciassq + Banks$AA, data = Banks)
##
## Residuals:
## Min 1Q Median 3Q Max
## -21.330 -14.991 -1.961 6.415 49.753
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 2.675e+01 1.741e+01 1.537 0.148
## Banks$Activos -2.536e-02 8.569e-02 -0.296 0.772
## Banks$Activossq -8.487e-05 8.264e-05 -1.027 0.323
## Banks$Agencias -1.094e+00 2.645e+00 -0.413 0.686
## Banks$Agenciassq -6.643e-02 1.011e-01 -0.657 0.523
## Banks$AA 7.835e-03 5.096e-03 1.538 0.148
##
## Residual standard error: 21.38 on 13 degrees of freedom
## Multiple R-squared: 0.211, Adjusted R-squared: -0.09243
## F-statistic: 0.6954 on 5 and 13 DF, p-value: 0.6362\(R_a^2 * n = 4.0094\)
Grados de libertad = 5
Error = 5 %
Valor critico = 11.7
Ya que 4.0094 < 11.7, no existe heteroscedasticidad.