ANNEXES
Statistiques descriptives des variables en niveau
|
|
IPC
|
TXCHANGE
|
PP
|
|
Mean
|
114.7000
|
950.9964
|
78.40636
|
|
Median
|
126.5300
|
927.1800
|
77.38000
|
|
Maximum
|
137.5800
|
1615.530
|
109.4500
|
|
Minimum
|
77.43000
|
507.9000
|
40.68000
|
|
Std. Dev.
|
20.66697
|
290.2120
|
25.47453
|
|
Skewness
|
-0.579934
|
0.846462
|
-0.114744
|
|
Kurtosis
|
1.846801
|
3.928613
|
1.488254
|
|
|
|
|
|
|
Jarque-Bera
|
1.226116
|
1.708810
|
1.071602
|
|
Probability
|
0.541692
|
0.425536
|
0.585200
|
|
|
|
|
|
|
Sum
|
1261.700
|
10460.96
|
862.4700
|
|
Sum Sq. Dev.
|
4271.235
|
842229.8
|
6489.519
|
|
|
|
|
|
|
Observations
|
11
|
11
|
11
|
Statistiques descriptives des variables en logarithme
|
|
LOG(IPC)
|
LOG(TXCHANGE)
|
LOG(PP)
|
|
Mean
|
4.726084
|
6.816271
|
4.308579
|
|
Median
|
4.840479
|
6.832148
|
4.348728
|
|
Maximum
|
4.924206
|
7.387418
|
4.695468
|
|
Minimum
|
4.349374
|
6.230285
|
3.705737
|
|
Std. Dev.
|
0.193620
|
0.303041
|
0.351976
|
|
Skewness
|
-0.734767
|
-0.151662
|
-0.382105
|
|
Kurtosis
|
2.143602
|
3.337072
|
1.734425
|
|
|
|
|
|
|
Jarque-Bera
|
1.325935
|
0.094244
|
1.001778
|
|
Probability
|
0.515320
|
0.953971
|
0.605992
|
|
|
|
|
|
|
Sum
|
51.98693
|
74.97898
|
47.39437
|
|
Sum Sq. Dev.
|
0.374887
|
0.918341
|
1.238869
|
|
|
|
|
|
|
Observations
|
11
|
11
|
11
|
|
Null Hypothesis: LOG(IPC) has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 1 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-0.736451
|
0.9292
|
|
Test critical values:
|
1% level
|
|
-5.521860
|
|
|
5% level
|
|
-4.107833
|
|
|
10% level
|
|
-3.515047
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Warning: Probabilities and critical values calculated for 20
observations
|
|
and may not be
accurate for a sample size of 9
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LOG(IPC))
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/12/18 Time: 16:42
|
|
|
|
Sample (adjusted): 2009 2017
|
|
|
|
Included observations: 9 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LOG(IPC(-1))
|
-0.250173
|
0.339701
|
-0.736451
|
0.4945
|
|
D(LOG(IPC(-1)))
|
0.073709
|
0.413902
|
0.178083
|
0.8656
|
|
C
|
1.190966
|
1.485198
|
0.801890
|
0.4590
|
|
@TREND(2007)
|
0.006332
|
0.021594
|
0.293220
|
0.7811
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.294802
|
Mean dependent var
|
0.046135
|
|
Adjusted R-squared
|
-0.128316
|
S.D. dependent var
|
0.046193
|
|
S.E. of regression
|
0.049067
|
Akaike info criterion
|
-2.890155
|
|
Sum squared resid
|
0.012038
|
Schwarz criterion
|
-2.802499
|
|
Log likelihood
|
17.00570
|
Hannan-Quinn criter.
|
-3.079315
|
|
F-statistic
|
0.696737
|
Durbin-Watson stat
|
1.205241
|
|
Prob(F-statistic)
|
0.592814
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(LOG(IPC)) has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 1 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-4.943606
|
0.0246
|
|
Test critical values:
|
1% level
|
|
-5.835186
|
|
|
5% level
|
|
-4.246503
|
|
|
10% level
|
|
-3.590496
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Warning: Probabilities and critical values calculated for 20
observations
|
|
and may not be
accurate for a sample size of 8
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LOG(IPC),2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/12/18 Time: 16:50
|
|
|
|
Sample (adjusted): 2010 2017
|
|
|
|
Included observations: 8 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LOG(IPC(-1)))
|
-1.477216
|
0.298814
|
-4.943606
|
0.0078
|
|
D(LOG(IPC(-1)),2)
|
0.647765
|
0.196004
|
3.304858
|
0.0298
|
|
C
|
0.226696
|
0.049236
|
4.604273
|
0.0100
|
|
@TREND(2007)
|
-0.022229
|
0.005374
|
-4.136354
|
0.0144
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.865143
|
Mean dependent var
|
-1.18E-05
|
|
Adjusted R-squared
|
0.764001
|
S.D. dependent var
|
0.049705
|
|
S.E. of regression
|
0.024146
|
Akaike info criterion
|
-4.302503
|
|
Sum squared resid
|
0.002332
|
Schwarz criterion
|
-4.262782
|
|
Log likelihood
|
21.21001
|
Hannan-Quinn criter.
|
-4.570403
|
|
F-statistic
|
8.553704
|
Durbin-Watson stat
|
1.799629
|
|
Prob(F-statistic)
|
0.032526
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: LOG(TXCHANGE) has a unit root
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 2 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-0.324506
|
0.9617
|
|
Test critical values:
|
1% level
|
|
-5.835186
|
|
|
5% level
|
|
-4.246503
|
|
|
10% level
|
|
-3.590496
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Warning: Probabilities and critical values calculated for 20
observations
|
|
and may not be
accurate for a sample size of 8
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LOG(TXCHANGE))
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/12/18 Time: 16:52
|
|
|
|
Sample (adjusted): 2010 2017
|
|
|
|
Included observations: 8 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LOG(TXCHANGE(-1))
|
-0.274298
|
0.845278
|
-0.324506
|
0.7669
|
|
D(LOG(TXCHANGE(-1)))
|
0.345770
|
0.422741
|
0.817924
|
0.4733
|
|
D(LOG(TXCHANGE(-2)))
|
0.129197
|
0.447555
|
0.288672
|
0.7916
|
|
C
|
1.567437
|
5.550871
|
0.282377
|
0.7960
|
|
@TREND(2007)
|
0.053458
|
0.040811
|
1.309908
|
0.2815
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.650137
|
Mean dependent var
|
0.071582
|
|
Adjusted R-squared
|
0.183654
|
S.D. dependent var
|
0.126567
|
|
S.E. of regression
|
0.114355
|
Akaike info criterion
|
-1.229843
|
|
Sum squared resid
|
0.039231
|
Schwarz criterion
|
-1.180192
|
|
Log likelihood
|
9.919371
|
Hannan-Quinn criter.
|
-1.564718
|
|
F-statistic
|
1.393699
|
Durbin-Watson stat
|
2.148132
|
|
Prob(F-statistic)
|
0.408751
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(LOG(TXCHANGE)) has a unit root
|
|
Exogenous: None
|
|
|
|
Lag Length: 1 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-2.206902
|
0.0342
|
|
Test critical values:
|
1% level
|
|
-2.886101
|
|
|
5% level
|
|
-1.995865
|
|
|
10% level
|
|
-1.599088
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Warning: Probabilities and critical values calculated for 20
observations
|
|
and may not be
accurate for a sample size of 8
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LOG(TXCHANGE),2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/12/18 Time: 16:54
|
|
|
|
Sample (adjusted): 2010 2017
|
|
|
|
Included observations: 8 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LOG(TXCHANGE(-1)))
|
-0.808302
|
0.366261
|
-2.206902
|
0.0694
|
|
D(LOG(TXCHANGE(-1)),2)
|
0.234665
|
0.348813
|
0.672753
|
0.5262
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.479399
|
Mean dependent var
|
-0.015742
|
|
Adjusted R-squared
|
0.392633
|
S.D. dependent var
|
0.179013
|
|
S.E. of regression
|
0.139511
|
Akaike info criterion
|
-0.889025
|
|
Sum squared resid
|
0.116780
|
Schwarz criterion
|
-0.869165
|
|
Log likelihood
|
5.556100
|
Hannan-Quinn criter.
|
-1.022975
|
|
Durbin-Watson stat
|
1.127643
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: LOG(PP) has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 1 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-1.418605
|
0.7792
|
|
Test critical values:
|
1% level
|
|
-5.521860
|
|
|
5% level
|
|
-4.107833
|
|
|
10% level
|
|
-3.515047
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Warning: Probabilities and critical values calculated for 20
observations
|
|
and may not be
accurate for a sample size of 9
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LOG(PP))
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/12/18 Time: 16:54
|
|
|
|
Sample (adjusted): 2009 2017
|
|
|
|
Included observations: 9 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LOG(PP(-1))
|
-0.654579
|
0.461425
|
-1.418605
|
0.2152
|
|
D(LOG(PP(-1)))
|
0.313732
|
0.523210
|
0.599629
|
0.5749
|
|
C
|
2.988793
|
2.101560
|
1.422178
|
0.2142
|
|
@TREND(2007)
|
-0.030783
|
0.052671
|
-0.584431
|
0.5843
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.302301
|
Mean dependent var
|
-0.066223
|
|
Adjusted R-squared
|
-0.116318
|
S.D. dependent var
|
0.329146
|
|
S.E. of regression
|
0.347762
|
Akaike info criterion
|
1.026508
|
|
Sum squared resid
|
0.604693
|
Schwarz criterion
|
1.114163
|
|
Log likelihood
|
-0.619285
|
Hannan-Quinn criter.
|
0.837348
|
|
F-statistic
|
0.722139
|
Durbin-Watson stat
|
1.468046
|
|
Prob(F-statistic)
|
0.580554
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis: D(LOG(PP)) has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 1 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-2.185193
|
0.0356
|
|
Test critical values:
|
1% level
|
|
-2.886101
|
|
|
5% level
|
|
-1.995865
|
|
|
10% level
|
|
-1.599088
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Warning: Probabilities and critical values calculated for 20
observations
|
|
and may not be
accurate for a sample size of 8
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LOG(PP),2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/12/18 Time: 16:55
|
|
|
|
Sample (adjusted): 2010 2017
|
|
|
|
Included observations: 8 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LOG(PP(-1)))
|
-1.062936
|
0.486426
|
-2.185193
|
0.0715
|
|
D(LOG(PP(-1)),2)
|
0.226034
|
0.346564
|
0.652214
|
0.5384
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.478884
|
Mean dependent var
|
0.084800
|
|
Adjusted R-squared
|
0.392032
|
S.D. dependent var
|
0.422303
|
|
S.E. of regression
|
0.329280
|
Akaike info criterion
|
0.828499
|
|
Sum squared resid
|
0.650551
|
Schwarz criterion
|
0.848360
|
|
Log likelihood
|
-1.313997
|
Hannan-Quinn criter.
|
0.694549
|
|
Durbin-Watson stat
|
1.174886
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Base des données
|
Année
|
IPC
|
TxChange
|
PIP(en USD/baril)
|
|
2007
|
77.43
|
507.9
|
69.04
|
|
2008
|
90.83
|
621.67
|
94.1
|
|
2009
|
93.37
|
911.2
|
60.86
|
|
2010
|
100
|
925.1
|
77.38
|
|
2011
|
115.32
|
899.21
|
107.46
|
|
2012
|
126.53
|
927.18
|
109.45
|
|
2013
|
127.55
|
937.7
|
105.87
|
|
2014
|
129.14
|
931.73
|
96.29
|
|
2015
|
130.1
|
933.61
|
49.49
|
|
2016
|
133.85
|
1250.13
|
40.68
|
|
2017
|
137.58
|
1615.53
|
51.85
|
| 
