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    Var 3

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    Livia Piola
    This document presents the results of a vector autoregression (VAR) estimates analysis. The VAR model analyzed the relationship between 4 Brazilian economic indicators: industrial production (IBC), inflation (IPCA), exchange rate (CAMBIO), and interest rate (JUROS) from 2009 to 2019. The results show that the indicators are interrelated and past values of each indicator impact current values of the other indicators up to 3 periods prior based on the t-statistics and coefficients. However, the models fit the data with varying degrees of accuracy based on the different R-squared and F-statistic values reported for each equation.

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    Var 3

    Uploaded by

    Livia Piola
    5 views2 pages
    This document presents the results of a vector autoregression (VAR) estimates analysis. The VAR model analyzed the relationship between 4 Brazilian economic indicators: industrial production (IBC), inflation (IPCA), exchange rate (CAMBIO), and interest rate (JUROS) from 2009 to 2019. The results show that the indicators are interrelated and past values of each indicator impact current values of the other indicators up to 3 periods prior based on the t-statistics and coefficients. However, the models fit the data with varying degrees of accuracy based on the different R-squared and F-statistic values reported for each equation.

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    This document presents the results of a vector autoregression (VAR) estimates analysis. The VAR model analyzed the relationship between 4 Brazilian economic indicators: industrial production (IBC), inflation (IPCA), exchange rate (CAMBIO), and interest rate (JUROS) from 2009 to 2019. The results show that the indicators are interrelated and past values of each indicator impact current values of the other indicators up to 3 periods prior based on the t-statistics and coefficients. However, the models fit the data with varying degrees of accuracy based on the different R-squared and F-statistic values reported for each equation.

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    © All Rights Reserved
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    5 views2 pages

    Var 3

    Uploaded by

    Livia Piola
    This document presents the results of a vector autoregression (VAR) estimates analysis. The VAR model analyzed the relationship between 4 Brazilian economic indicators: industrial production (IBC), inflation (IPCA), exchange rate (CAMBIO), and interest rate (JUROS) from 2009 to 2019. The results show that the indicators are interrelated and past values of each indicator impact current values of the other indicators up to 3 periods prior based on the t-statistics and coefficients. However, the models fit the data with varying degrees of accuracy based on the different R-squared and F-statistic values reported for each equation.

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    Vector Autoregression Estimates

    Vector Autoregression Estimates


    Date: 11/12/23 Time: 19:19
    Sample: 2009M06 2019M12
    Included observations: 127
    Standard errors in ( ) & t-statistics in [ ]

    DL_IBC DL_IPCA DL_CAMBIO DL_JUROS

    DL_IBC(-1) -0.056186 -0.056525 -0.613278 0.325943


    (0.09134) (0.02888) (0.54245) (1.01615)
    [-0.61511] [-1.95702] [-1.13058] [ 0.32076]

    DL_IBC(-2) 0.085307 0.042780 -0.151150 0.126889


    (0.09226) (0.02917) (0.54791) (1.02638)
    [ 0.92461] [ 1.46637] [-0.27587] [ 0.12363]

    DL_IBC(-3) 0.032624 0.030870 -0.644884 -0.190678


    (0.09207) (0.02911) (0.54676) (1.02424)
    [ 0.35434] [ 1.06033] [-1.17946] [-0.18617]

    DL_IPCA(-1) -0.573012 0.709400 -0.279308 1.119569


    (0.30061) (0.09506) (1.78521) (3.34419)
    [-1.90614] [ 7.46297] [-0.15646] [ 0.33478]

    DL_IPCA(-2) 0.428226 -0.185106 0.600850 2.866661


    (0.36312) (0.11482) (2.15639) (4.03951)
    [ 1.17930] [-1.61214] [ 0.27864] [ 0.70966]

    DL_IPCA(-3) -0.611374 0.108115 -2.353217 6.274910


    (0.30233) (0.09560) (1.79542) (3.36332)
    [-2.02218] [ 1.13092] [-1.31068] [ 1.86569]

    DL_CAMBIO(-1) -0.007603 0.003801 -0.103027 -0.034939


    (0.01519) (0.00480) (0.09021) (0.16899)
    [-0.50052] [ 0.79124] [-1.14206] [-0.20675]

    DL_CAMBIO(-2) 0.008674 0.004068 -0.014454 0.127741


    (0.01516) (0.00479) (0.09003) (0.16865)
    [ 0.57214] [ 0.84857] [-0.16055] [ 0.75742]

    DL_CAMBIO(-3) -0.010890 0.003758 0.119452 -0.198761


    (0.01511) (0.00478) (0.08974) (0.16810)
    [-0.72069] [ 0.78652] [ 1.33114] [-1.18239]

    DL_JUROS(-1) -0.003840 -0.002008 0.043855 -0.560038


    (0.00770) (0.00244) (0.04574) (0.08569)
    [-0.49855] [-0.82451] [ 0.95873] [-6.53579]

    DL_JUROS(-2) 0.001514 0.002413 0.054899 -0.005409


    (0.00912) (0.00289) (0.05419) (0.10151)
    [ 0.16597] [ 0.83630] [ 1.01315] [-0.05329]

    DL_JUROS(-3) 0.013611 -0.002387 -0.006493 0.349288


    (0.00789) (0.00250) (0.04688) (0.08781)
    [ 1.72422] [-0.95631] [-0.13852] [ 3.97756]

    C 0.004363 0.001647 0.016951 -0.054280


    (0.00157) (0.00050) (0.00934) (0.01750)
    [ 2.77253] [ 3.31024] [ 1.81403] [-3.10088]

    R-squared 0.125690 0.453703 0.078939 0.434963


    Adj. R-squared 0.033657 0.396198 -0.018015 0.375485
    Sum sq. resids 0.006563 0.000656 0.231444 0.812175
    S.E. equation 0.007587 0.002399 0.045058 0.084406
    F-statistic 1.365705 7.889815 0.814189 7.313045
    Log likelihood 446.5736 592.7964 220.3276 140.6112
    Akaike AIC -6.827930 -9.130652 -3.265002 -2.009625
    Schwarz SC -6.536793 -8.839515 -2.973864 -1.718487
    Mean dependent 0.000866 0.004626 0.005625 -0.005771
    Vector Autoregression Estimates

    S.D. dependent 0.007718 0.003088 0.044657 0.106807

    Determinant resid covariance (dof adj.) 4.62E-15


    Determinant resid covariance 3.00E-15
    Log likelihood 1402.624
    Akaike information criterion -21.26967
    Schwarz criterion -20.10512
    Number of coefficients 52

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