ANNEXE 7: TEST DE STABILITE DES COEFFICIENTS DU
MODELE
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|
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6 4 2 0 -2
-4
|
|
800
400
0
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-800 -100
|
150 100 50 0
-50
|
|
80
40
0
-80
|
|
20,000
10,000
0
-20,000
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|
|
|
94 96 98 00 02 04 06 08 10
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94 96 98 00 02 04 06 08 10 94
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96 98 00 02 04 06 08 10 94 96 98 00 02 04 06 08 10
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94
96 98 00 02 04 06 08 10
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|
|
Recursive C(1) Estimates
#177; 2 S.E.
|
-400
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Recursive C(2) Estimates
#177; 2 S.E.
|
|
Recursive C(3) Estimates
#177; 2 S.E.
|
-40
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Recursive C(4) Estimates
#177; 2 S.E.
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-10,000
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Recursive C(5) Estimates
#177; 2 S.E.
|
|
|
|
60
|
80
|
120
|
|
30
|
10,000
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|
|
|
|
40
20
|
|
40
|
|
80
40
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|
20
10
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5,000
0
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0 -20 -40 -60
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|
0
-40
-80
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0 -40 -80 -120
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0
-10
-20
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-5,000
-10,000
-15,000
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|
|
94
96 98 00 02 04 06 08
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10 94
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96 98 00 02 04 06 08
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10 94
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96 98 00 02 04 06 08
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10 94
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96 98 00 02 04 06 08
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10 94
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96 98 00 02 04 06 08
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10
|
|
|
Recursive C(6) Estimates
#177; 2 S.E.
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Recursive C(7) Estimates
#177; 2 S.E.
|
|
Recursive C(8) Estimates
#177; 2 S.E.
|
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Recursive C(9) Estimates
#177; 2 S.E.
|
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Recursive C(10) Estimates
#177; 2 S.E.
|
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1
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4
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1,200
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200
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150
|
|
|
|
|
0
-1
-2
-3
|
|
2
0
-2
|
|
800
400
0
-800
-1,200
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100 0 -100 -200
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100 50 0 -50
-100 -150
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|
|
|
|
94
96 98 00 02 04 06 08
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10 94
|
96 98 00 02 04 06 08
|
10 94
|
96 98 00 02 04 06 08
|
10 94
|
96 98 00 02 04 06 08
|
10 94
|
96 98 00 02 04 06 08
|
10
|
|
|
Recursive C(11) Estimates
#177; 2 S.E.
|
|
Recursive C(12) Estimates
#177; 2 S.E.
|
-400
|
Recursive C(13) Estimates
#177; 2 S.E.
|
|
Recursive C(14) Estimates
#177; 2 S.E.
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Recursive C(15) Estimates
#177; 2 S.E.
|
|
|
|
|
100
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-4
|
120
|
|
80
|
|
60
|
|
|
|
|
3,000
2,000
1,000
0
-1,000
-2,000
|
|
50
-50
-100
|
|
80
40
-40
80
|
|
40 0 -40 -80
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40 20 0 -20 -40
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|
|
|
|
94 96
|
98 00 02 04 06 08
|
10 94 96
|
98 00 02 04 06 08 10 94 96
|
0
98 00 02 04 06 08 10 94 96
|
0
98 00 02 04 06 08
|
10 94 96
|
98 00 02 04 06 08
|
10
|
|
|
Recursive C(16) Estimates
#177; 2 S.E.
|
|
Recursive C(17) Estimates
#177; 2 S.E.
|
|
Recursive C(18) Estimates
#177; 2 S.E.
|
|
Recursive C(19) Estimates
#177; 2 S.E.
|
|
Recursive C(20) Estimates
#177; 2 S.E.
|
|
|
|
-120
|
|
|
|
xiv
ANNEXE 8: TESTS DE RACINE UNITAIRE
Null Hypothesis: D(LAPD) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.702715 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: D(LEMMICO2) has a unit root Exogenous:
Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.316791 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: D(LCREDIPRIV) has a unit root Exogenous:
Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.222887 0.0019
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: D(LGCONS) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.404131 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: D(LPRIX) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.069383 0.0000
xv
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: D(TINV) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.617920 0.0006
Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932
Null Hypothesis: D(LPACTIV) has a unit root Exogenous:
Constant
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.987380 0.0038
Test critical values: 1% level -3.621023
5% level -2.943427
10% level -2.610263
Null Hypothesis: D(LPIBRHBT) has a unit root Exogenous:
Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.876313 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: D(LTCER) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.735458 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: D(LTERAGRI) has a unit root Exogenous:
Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
xvi
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.540613 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
Null Hypothesis: TPIB has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.655999 0.0000
Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836
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