II.- TEST DE RACINE UNITAIRE
PIBT M2 CSP CBC OUV DP
Variable à expliquer :
PIBT
|
ADF Test Statistic
|
-5.208810
|
1% Critical Value*
|
-3.7497
|
|
|
5% Critical Value
|
-2.9969
|
|
|
10% Critical Value
|
-2.6381
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root.
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(PIBT,2)
|
|
Method: Least Squares
|
|
Date: 11/20/08 Time: 12:00
|
|
Sample(adjusted): 1985 2007
|
|
Included observations: 23 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(PIBT(-1))
|
-1.797095
|
0.345011
|
-5.208810
|
0.0000
|
|
D(PIBT(-1),2)
|
0.312198
|
0.206073
|
1.514988
|
0.1454
|
|
C
|
2.610762
|
3.130053
|
0.834095
|
0.4141
|
|
R-squared
|
0.716657
|
Mean dependent var
|
0.086957
|
|
Adjusted R-squared
|
0.688323
|
S.D. dependent var
|
26.41782
|
|
S.E. of regression
|
14.74855
|
Akaike info criterion
|
8.341274
|
|
Sum squared resid
|
4350.394
|
Schwarz criterion
|
8.489382
|
|
Log likelihood
|
-92.92465
|
F-statistic
|
25.29296
|
|
Durbin-Watson stat
|
1.788243
|
Prob(F-statistic)
|
0.000003
|
Variable explicative 1 :
M2
|
ADF Test Statistic
|
-4.427752
|
1% Critical Value*
|
-3.7497
|
|
|
5% Critical Value
|
-2.9969
|
|
|
10% Critical Value
|
-2.6381
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root.
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(M2,2)
|
|
Method: Least Squares
|
|
Date: 11/20/08 Time: 12:08
|
|
Sample(adjusted): 1985 2007
|
|
Included observations: 23 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(M2(-1))
|
-1.290116
|
0.291371
|
-4.427752
|
0.0003
|
|
D(M2(-1),2)
|
0.324636
|
0.208390
|
1.557832
|
0.1350
|
|
C
|
-0.090777
|
0.449754
|
-0.201838
|
0.8421
|
|
R-squared
|
0.547723
|
Mean dependent var
|
-0.073913
|
|
Adjusted R-squared
|
0.502495
|
S.D. dependent var
|
3.057775
|
|
S.E. of regression
|
2.156772
|
Akaike info criterion
|
4.496210
|
|
Sum squared resid
|
93.03328
|
Schwarz criterion
|
4.644318
|
|
Log likelihood
|
-48.70641
|
F-statistic
|
12.11034
|
|
Durbin-Watson stat
|
2.026008
|
Prob(F-statistic)
|
0.000358
|
Variable explicative 2 :
CSP
|
ADF Test Statistic
|
-4.331436
|
1% Critical Value*
|
-3.7497
|
|
|
5% Critical Value
|
-2.9969
|
|
|
10% Critical Value
|
-2.6381
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root.
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(CSP,2)
|
|
Method: Least Squares
|
|
Date: 11/20/08 Time: 12:10
|
|
Sample(adjusted): 1985 2007
|
|
Included observations: 23 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(CSP(-1))
|
-1.234682
|
0.285051
|
-4.331436
|
0.0003
|
|
D(CSP(-1),2)
|
0.335950
|
0.209387
|
1.604449
|
0.1243
|
|
C
|
-0.398005
|
0.669965
|
-0.594069
|
0.5591
|
|
R-squared
|
0.525176
|
Mean dependent var
|
-0.052609
|
|
Adjusted R-squared
|
0.477693
|
S.D. dependent var
|
4.412684
|
|
S.E. of regression
|
3.189082
|
Akaike info criterion
|
5.278451
|
|
Sum squared resid
|
203.4049
|
Schwarz criterion
|
5.426559
|
|
Log likelihood
|
-57.70218
|
F-statistic
|
11.06042
|
|
Durbin-Watson stat
|
2.040002
|
Prob(F-statistic)
|
0.000583
|
Variable explicative 3 :
CBC
|
ADF Test Statistic
|
-2.838932
|
1% Critical Value*
|
-3.7343
|
|
|
5% Critical Value
|
-2.9907
|
|
|
10% Critical Value
|
-2.6348
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root.
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(CBC)
|
|
Method: Least Squares
|
|
Date: 11/20/08 Time: 12:13
|
|
Sample(adjusted): 1985 2007
|
|
Included observations: 23 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
CBC(-1)
|
-0.414885
|
0.146141
|
-2.838932
|
0.0098
|
|
D(CBC(-1))
|
0.462169
|
0.191926
|
2.408066
|
0.0253
|
|
C
|
5.359495
|
1.952095
|
2.745509
|
0.0121
|
|
R-squared
|
0.325895
|
Mean dependent var
|
-0.087500
|
|
Adjusted R-squared
|
0.261694
|
S.D. dependent var
|
2.451041
|
|
S.E. of regression
|
2.106050
|
Akaike info criterion
|
4.443974
|
|
Sum squared resid
|
93.14437
|
Schwarz criterion
|
4.591231
|
|
Log likelihood
|
-50.32769
|
F-statistic
|
5.076207
|
|
Durbin-Watson stat
|
1.609676
|
Prob(F-statistic)
|
0.015909
|
Variable explicative 4 :
OUV
|
ADF Test Statistic
|
-3.828599
|
1% Critical Value*
|
-3.7497
|
|
|
5% Critical Value
|
-2.9969
|
|
|
10% Critical Value
|
-2.6381
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root.
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(OUV,2)
|
|
Method: Least Squares
|
|
Date: 11/20/08 Time: 12:18
|
|
Sample(adjusted): 1985 2007
|
|
Included observations: 23 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(OUV(-1))
|
-1.006487
|
0.262886
|
-3.828599
|
0.0011
|
|
D(OUV(-1),2)
|
0.202561
|
0.182531
|
1.109737
|
0.2803
|
|
C
|
1.417305
|
1.331564
|
1.064391
|
0.2998
|
|
R-squared
|
0.451055
|
Mean dependent var
|
-0.152174
|
|
Adjusted R-squared
|
0.396161
|
S.D. dependent var
|
7.679422
|
|
S.E. of regression
|
5.967456
|
Akaike info criterion
|
6.531626
|
|
Sum squared resid
|
712.2107
|
Schwarz criterion
|
6.679734
|
|
Log likelihood
|
-72.11370
|
F-statistic
|
8.216764
|
|
Durbin-Watson stat
|
1.953561
|
Prob(F-statistic)
|
0.002485
|
Variable explicative 5 :
DP
|
ADF Test Statistic
|
-2.919148
|
1% Critical Value*
|
-3.7497
|
|
|
5% Critical Value
|
-2.9969
|
|
|
10% Critical Value
|
-2.6381
|
|
*MacKinnon critical values for rejection of hypothesis of a unit
root.
|
|
Augmented Dickey-Fuller Test Equation
|
|
Dependent Variable: D(DP,2)
|
|
Method: Least Squares
|
|
Date: 11/20/08 Time: 12:20
|
|
Sample(adjusted): 1985 2007
|
|
Included observations: 23 after adjusting endpoints
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
D(DP(-1))
|
-0.826711
|
0.283203
|
-2.919148
|
0.0085
|
|
D(DP(-1),2)
|
-0.184508
|
0.202923
|
-0.909252
|
0.3740
|
|
C
|
-0.115475
|
0.408459
|
-0.282709
|
0.7803
|
|
R-squared
|
0.557147
|
Mean dependent var
|
-0.151304
|
|
Adjusted R-squared
|
0.512862
|
S.D. dependent var
|
2.802532
|
|
S.E. of regression
|
1.956034
|
Akaike info criterion
|
4.300823
|
|
Sum squared resid
|
76.52140
|
Schwarz criterion
|
4.448931
|
|
Log likelihood
|
-46.45946
|
F-statistic
|
12.58088
|
|
Durbin-Watson stat
|
2.070556
|
Prob(F-statistic)
|
0.000290
|
| 
