ANNEXE2: ESTIMATION DU MODELE
RENTABILITE ECONOMIQUE(ROA) Dependent Variable: X1
Method: Generalized Method of Moments
Date: 06/30/18 Time: 10:19
Sample (adjusted): 2010M02 2016M12
Included observations: 83 after adjustments
Linear estimation with 1 weight update
Estimation weighting matrix: HAC (Bartlett kernel, Newey-West
fixed
bandwidth = 4.0000)
Standard errors & covariance computed using estimation
weighting matrix
Instrument specification: C X3 X4 X5 X6 X7
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C
|
-0.024116
|
0.016638 -1.449488
|
0.1513
|
|
X3
|
-3.198643
|
1.518356 -2.106649
|
0.0384
|
|
X4
|
0.249023
|
0.122034 2.040593
|
0.0447
|
|
X5
|
0.063865
|
0.020855 3.062322
|
0.0030
|
|
X6
|
-4.44E+11
|
3.50E+10 -12.68302
|
0.0000
|
|
X7
|
-0.225203
|
0.056537 -3.983292
|
0.0002
|
|
R-squared
|
0.714753
|
Mean dependent var
|
-0.011065
|
|
Adjusted R-squared
|
0.696231
|
S.D. dependent var
|
0.241892
|
|
S.E. of regression
|
0.133319
|
Sum squared resid
|
1.368604
|
|
Durbin-Watson stat
|
2.070541
|
J-statistic
|
0.000000
|
|
Instrument rank
|
6
|
|
|
RENTABILITE FINANCIERE
Dependent Variable: X2
Method: Generalized Method of Moments Date: 06/29/18 Time:
15:00
Sample (adjusted): 2010M02 2016M12 Included observations: 83
after adjustments Linear estimation with 1 weight update
X1 = -0.0241160506597 - 3.19864336935*X3 + 0.249022535126*X4 +
0.0638652072015*X5 - 443881292326*X6 - 0.225203429327*X7
xiv
Estimation weighting matrix: HAC (Bartlett kernel, Newey-West
fixed bandwidth = 4.0000)
Standard errors & covariance computed using estimation
weighting matrix Instrument specification: C X3 X4 X5 X6 X7
|
Variable
|
Coefficient
|
Std. Error t-Statistic
|
Prob.
|
|
C
|
-0.101683
|
0.070151 -1.449488
|
0.1513
|
|
X3
|
-11.84588
|
6.402007 -1.850339
|
0.0681
|
|
X4
|
1.246352
|
0.514546 2.422234
|
0.0178
|
|
X5
|
0.236175
|
0.087934 2.685824
|
0.0089
|
|
X6
|
-1.78E+12
|
1.48E+11 -12.05984
|
0.0000
|
|
X7
|
-1.044383
|
0.238383 -4.381114
|
0.0000
|
|
R-squared
|
0.735729
|
Mean dependent var
|
-0.093444
|
|
Adjusted R-squared
|
0.718568
|
S.D. dependent var
|
1.059618
|
|
S.E. of regression
|
0.562129
|
Sum squared resid
|
24.33115
|
|
Durbin-Watson stat
|
2.070541
|
J-statistic
|
0.000000
|
|
Instrument rank
|
6
|
|
|
ANNEXE3: LES EQUATIONS DU MODELE
EQUATION D'ESTIMATION DU MODELE ROA Estimation Command:
GMM(INSTWGT=HAC, GMMITER=1) X1 C X3 X4 X5 X6 X7 @ C X3 X4 X5 X6
X7
|
Estimation Equation:
|
|
|
|
|
X1 = C (1) + C (2)*X3 + C (3)*X4
|
+ C (4)*X5
|
+ C (5)*X6
|
+ C (6)*X7
|
|
Forecasting Equation:
|
|
|
|
|
X1 = C (1) + C (2)*X3 + C (3)*X4
|
+ C (4)*X5
|
+ C (5)*X6
|
+ C (6)*X7
|
|
Substituted Coefficients:
|
|
|
|
xv
EQUATION D'ESTIMATION DU MODELE POUR LA ROE Estimation
Command:
GMM (INSTWGT=HAC, GMMITER=1) X2 C X3 X4 X5 X6 X7 @ C X3 X4 X5 X6
X7 Estimation Equation:
X2 = C(1) + C(2)*X3 + C(3)*X4 + C(4)*X5 + C(5)*X6 + C(6)*X7
Forecasting Equation:
X2 = C (1) + C (2)*X3 + C (3)*X4 + C (4)*X5 + C (5)*X6 + C (6)*X7
Substituted Coefficients:
X2 = -0.101683053504 - 11.8458796779*X3 + 1.24635173472*X4 +
0.236174739259*X5 - 1.7796234489e+12*X6 - 1.04438301342*X7
| 
