Bárbara Elizabeth Mejía González
Mayo de 2019
library(haven)
hprice1 <- read_dta("F:/DESCARGAS/hprice1.dta")
head(hprice1, n=6)## # A tibble: 6 x 10
## price assess bdrms lotsize sqrft colonial lprice lassess llotsize lsqrft
## <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 300 349. 4 6126 2438 1 5.70 5.86 8.72 7.80
## 2 370 352. 3 9903 2076 1 5.91 5.86 9.20 7.64
## 3 191 218. 3 5200 1374 0 5.25 5.38 8.56 7.23
## 4 195 232. 3 4600 1448 1 5.27 5.45 8.43 7.28
## 5 373 319. 4 6095 2514 1 5.92 5.77 8.72 7.83
## 6 466. 414. 5 8566 2754 1 6.14 6.03 9.06 7.92library(stargazer)mod_est<- lm(price~assess+bdrms+lotsize+colonial+llotsize,data = hprice1)
stargazer(mod_est,type = "text",tixtle = "modelo estimado")##
## ===============================================
## Dependent variable:
## ---------------------------
## price
## -----------------------------------------------
## assess 0.940***
## (0.072)
##
## bdrms 8.620
## (6.791)
##
## lotsize 0.001
## (0.001)
##
## colonial 10.031
## (10.580)
##
## llotsize -13.357
## (17.813)
##
## Constant 68.090
## (146.133)
##
## -----------------------------------------------
## Observations 88
## R2 0.832
## Adjusted R2 0.822
## Residual Std. Error 43.364 (df = 82)
## F Statistic 81.224*** (df = 5; 82)
## ===============================================
## Note: *p<0.1; **p<0.05; ***p<0.01
##
## ===============
## modelo estimado
## ---------------X_mat<-model.matrix(mod_est)
stargazer(head(X_mat, n=6), type="text")##
## =====================================================
## (Intercept) assess bdrms lotsize colonial llotsize
## -----------------------------------------------------
## 1 1 349.100 4 6,126 1 8.720
## 2 1 351.500 3 9,903 1 9.201
## 3 1 217.700 3 5,200 0 8.556
## 4 1 231.800 3 4,600 1 8.434
## 5 1 319.100 4 6,095 1 8.715
## 6 1 414.500 5 8,566 1 9.056
## -----------------------------------------------------XX_mat<-t(X_mat)%*%X_mat
stargazer(XX_mat, type="html")##
## <table style="text-align:center"><tr><td colspan="7" style="border-bottom: 1px solid black"></td></tr><tr><td style="text-align:left"></td><td>(Intercept)</td><td>assess</td><td>bdrms</td><td>lotsize</td><td>colonial</td><td>llotsize</td></tr>
## <tr><td colspan="7" style="border-bottom: 1px solid black"></td></tr><tr><td style="text-align:left">(Intercept)</td><td>88</td><td>27,784.800</td><td>314</td><td>793,748</td><td>61</td><td>783.649</td></tr>
## <tr><td style="text-align:left">assess</td><td>27,784.800</td><td>9,563,053.000</td><td>102,507.500</td><td>278,300,049.000</td><td>19,578.900</td><td>250,005.600</td></tr>
## <tr><td style="text-align:left">bdrms</td><td>314</td><td>102,507.500</td><td>1,182</td><td>2,933,767</td><td>228</td><td>2,802.953</td></tr>
## <tr><td style="text-align:left">lotsize</td><td>793,748</td><td>278,300,049.000</td><td>2,933,767</td><td>16,165,159,010</td><td>555,967</td><td>7,457,452.000</td></tr>
## <tr><td style="text-align:left">colonial</td><td>61</td><td>19,578.900</td><td>228</td><td>555,967</td><td>61</td><td>544.060</td></tr>
## <tr><td style="text-align:left">llotsize</td><td>783.649</td><td>250,005.600</td><td>2,802.953</td><td>7,457,452.000</td><td>544.060</td><td>7,004.230</td></tr>
## <tr><td colspan="7" style="border-bottom: 1px solid black"></td></tr></table>options(scipen = 999)
Sn<-solve(diag(sqrt(diag(XX_mat))))
stargazer(Sn,type="text")##
## ======================================
## 0.107 0 0 0 0 0
## 0 0.0003 0 0 0 0
## 0 0 0.029 0 0 0
## 0 0 0 0.00001 0 0
## 0 0 0 0 0.128 0
## 0 0 0 0 0 0.012
## --------------------------------------\([X^{t}X]\) Normalizada:
XX_norm<-(Sn%*%XX_mat)%*%Sn
stargazer(XX_norm,type="text",digits = 4)##
## =========================================
## 1 0.9578 0.9736 0.6655 0.8326 0.9982
## 0.9578 1 0.9642 0.7078 0.8106 0.9660
## 0.9736 0.9642 1 0.6712 0.8491 0.9742
## 0.6655 0.7078 0.6712 1 0.5599 0.7008
## 0.8326 0.8106 0.8491 0.5599 1 0.8323
## 0.9982 0.9660 0.9742 0.7008 0.8323 1
## -----------------------------------------Autovalores de \([X^{t}X]\) Normalizada:
lambdas<-eigen(XX_norm,symmetric = TRUE)
stargazer(lambdas$values, type="text")##
## ====================================
## 5.193 0.492 0.237 0.049 0.028 0.0005
## ------------------------------------Cálculo de \(K(x)=\sqrt\frac{\lambda_{max}}{\lambda_{min}}\)
K<-sqrt(max(lambdas$values)/min(lambdas$value))
print(K)## [1] 106.4903library(mctest)
eigprop(x=X_mat[,-1])##
## Call:
## eigprop(x = X_mat[, -1])
##
## Eigenvalues CI Intercept assess bdrms lotsize colonial llotsize
## 1 5.1934 1.0000 0.0000 0.0014 0.0012 0.0037 0.0079 0.0000
## 2 0.4923 3.2479 0.0000 0.0001 0.0015 0.2963 0.0615 0.0000
## 3 0.2365 4.6860 0.0003 0.0113 0.0041 0.0322 0.8545 0.0002
## 4 0.0491 10.2888 0.0048 0.4576 0.0148 0.0101 0.0021 0.0027
## 5 0.0283 13.5505 0.0012 0.2138 0.9074 0.0093 0.0696 0.0017
## 6 0.0005 106.4903 0.9936 0.3158 0.0711 0.6484 0.0044 0.9954
##
## ===============================
## Row 5==> bdrms, proportion 0.907364 >= 0.50
## Row 6==> lotsize, proportion 0.648440 >= 0.50
## Row 3==> colonial, proportion 0.854491 >= 0.50
## Row 6==> llotsize, proportion 0.995427 >= 0.50Calculo de \(|R|\).
Zn<-scale(X_mat[,-1])
stargazer(head(Zn,n=6),type = "text")##
## =========================================
## assess bdrms lotsize colonial llotsize
## -----------------------------------------
## 1 0.350 0.513 -0.284 0.662 -0.340
## 2 0.375 -0.675 0.087 0.662 0.543
## 3 -1.029 -0.675 -0.375 -1.495 -0.641
## 4 -0.881 -0.675 -0.434 0.662 -0.866
## 5 0.035 0.513 -0.287 0.662 -0.349
## 6 1.036 1.702 -0.045 0.662 0.277
## -----------------------------------------Calcular la matriz R.
n<-nrow(Zn)
R<-(t(Zn)%*%Zn)*(1/(n-1))
stargazer(R,type = "text",digits = 4)##
## ================================================
## assess bdrms lotsize colonial llotsize
## ------------------------------------------------
## assess 1 0.4825 0.3281 0.0829 0.5717
## bdrms 0.4825 1 0.1363 0.3046 0.1695
## lotsize 0.3281 0.1363 1 0.0140 0.8079
## colonial 0.0829 0.3046 0.0140 1 0.0386
## llotsize 0.5717 0.1695 0.8079 0.0386 1
## ------------------------------------------------Calcular \(|R|\).
determinante_R<-det(R)
print(determinante_R)## [1] 0.1419755Estadístico \(X^{2}_{FG}\)
m<-ncol(X_mat[,-1])
n<-nrow(X_mat[,-1])
chi_FG<--(n-1-(2*m+5)/6)*log(determinante_R)
print(chi_FG)## [1] 164.9525Valor crítico.
gl<-m*(m-1)/2
VC<-qchisq(p = 0.95,df = gl)
print(VC)## [1] 18.30704Como \(X^{2}_{FG}\geq\)V.C. se rechaza \(H_{0}\), por lo tanto hay evidencia de colinealidad en los regresores.
library(psych)
FG_test<-cortest.bartlett(X_mat[,-1])## R was not square, finding R from dataprint(FG_test)## $chisq
## [1] 164.9525
##
## $p.value
## [1] 0.000000000000000000000000000003072151
##
## $df
## [1] 10Matriz de Correlación de los regresores del modelo (Como se obtuvo con anterioridad):
print(R)## assess bdrms lotsize colonial llotsize
## assess 1.00000000 0.4824739 0.32814633 0.08293582 0.5716654
## bdrms 0.48247394 1.0000000 0.13632563 0.30457549 0.1694902
## lotsize 0.32814633 0.1363256 1.00000000 0.01401865 0.8078552
## colonial 0.08293582 0.3045755 0.01401865 1.00000000 0.0386421
## llotsize 0.57166539 0.1694902 0.80785523 0.03864210 1.0000000inversa_R<-solve(R)
print(inversa_R)## assess bdrms lotsize colonial llotsize
## assess 2.1535576 -0.9010888 0.8347216 0.1520968 -1.7586001
## bdrms -0.9010888 1.5104833 -0.3640744 -0.4021983 0.5687703
## lotsize 0.8347216 -0.3640744 3.2049651 0.1130042 -3.0089889
## colonial 0.1520968 -0.4021983 0.1130042 1.1142184 -0.1531266
## llotsize -1.7586001 0.5687703 -3.0089889 -0.1531266 4.3456744VIFs<-diag(inversa_R)
print(VIFs)## assess bdrms lotsize colonial llotsize
## 2.153558 1.510483 3.204965 1.114218 4.345674Obtención de los VIF’s, a través de la librería “car”.
library(car)## Loading required package: carData##
## Attaching package: 'car'## The following object is masked from 'package:psych':
##
## logitVIFs_car<-vif(mod_est)
print(VIFs_car)## assess bdrms lotsize colonial llotsize
## 2.153558 1.510483 3.204965 1.114218 4.345674Obtención de los VIF’s, a través de la librería “mctest”.
mc.plot(x = X_mat[,-1],y = hprice1$price,vif = 2,)