ANNEXE 4
Graphique 9 : Test de normalité de
Jarque et Bera
Source : Auteur utilisant Eviews5
Graphique n°10 : Test
Cusum de stabilité ( Brown, Durbin, Ewans )
Source : Auteur utilisant Eviews5
ANNEXE 5
Graphique n°11 : Test
Cusum carré
Source : Auteur utilisant Eviews5
Graphique n°12 :
Critère de prévisions
Source : Auteur utilisant Eviews5
ANNEXE 6
Tableau 1 :
Résumé des différents tests de
stationnarité
|
Variables
|
Niveau
|
Différence première
|
Conclusion
|
|
ADF
|
CV
|
ADF
|
CF
|
|
LDTPIB
|
- 0.71
|
2.97
|
- 3.34**
|
2.97**
|
I(1)
|
|
LDSEX
|
- 1.68
|
- 2.97
|
- 6.04**
|
- 2.99**
|
I(1)
|
|
LTCH
|
- 2.18
|
- 2.97
|
- 2.54**
|
- 2.98**
|
I(1)
|
|
LMPIB
|
- 1.99
|
- 2.97
|
- 5.66**
|
- 2.98**
|
I(1)
|
|
LPOP
|
- 0.63
|
- 2.97
|
- 6.02**
|
- 2.98**
|
I(1)
|
|
LPIBH
|
- 0.96
|
- 2.97
|
- 4.56**
|
- 2.98**
|
I(1)
|
Source : Construit à partir des
résultats des différents tests sur Eviews5
** valeur critique à 5%
Tableau n°2 : Test de
cointégration de Johansen Test de cointégration
de Johansen
|
Date: 11/12/09 Time: 08:19
|
|
|
Sample (adjusted): 1982 2008
|
|
|
Included observations: 27 after adjustments
|
|
|
Trend assumption: No deterministic trend
|
|
|
Series: LDTPIB LTCH LPOP LPIBH LMPIB LDSEX
|
|
|
Lags interval (in first differences): 1 to 1
|
|
|
Unrestricted Cointegration Rank Test (Trace)
|
|
|
Hypothesized Trace 0.05
|
|
|
No. of CE(s) Eigenvalue Statistic Critical Value
|
Prob.**
|
|
None * 0.838901 126.3884 83.93712
|
0.0000
|
|
At most 1 * 0.759764 77.09341 60.06141
|
0.0010
|
|
At most 2 0.540278 38.58778 40.17493
|
0.0716
|
|
At most 3 0.360295 17.60519 24.27596
|
0.2741
|
|
At most 4 0.184623 5.543003 12.32090
|
0.4939
|
|
At most 5 0.001191 0.032189 4.129906
|
0.8834
|
|
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
|
|
|
* denotes rejection of the hypothesis at the 0.05 level
|
|
|
**MacKinnon-Haug-Michelis (1999) p-values
|
|
|
1 Cointegrating Equation(s):
|
Log likelihood
|
160.3161
|
|
|
|
Normalized cointegrating coefficients (standard error in
parentheses)
|
|
|
LDTPIB
|
LTCH
|
LPOP
|
LPIBH
|
LMPIB
|
LDSEX
|
|
1.000000
|
-6.300514
|
10.23363
|
2.617887
|
-4.744883
|
2.892603
|
|
(1.73324)
|
(2.43220)
|
(0.96770)
|
(1.17350)
|
(0.47461)
|
Source : Auteur utilisant Eviews5
ANNEXE 7
Tableau 2 (suite) : Test de Johansen
(Résultat de l'option summary)
|
Date: 11/12/09 Time: 08:18
Sample: 1980 2008 Included observations: 27
Series: LDTPIB LTCH LPOP LPIBH LMPIB LDSEX Lags
interval: 1 to 1
Selected (0.05 level*) Number of Cointegrating Relations by
Model
|
|
Data Trend:
|
None
|
None
|
Linear
|
Linear
|
Quadratic
|
|
Test Type
|
No Intercept
|
Intercept
|
Intercept
|
Intercept
|
Intercept
|
|
No Trend
|
No Trend
|
No Trend
|
Trend
|
Trend
|
|
Trace
|
2
|
3
|
3
|
3
|
3
|
|
Max-Eig
|
2
|
3
|
2
|
2
|
2
|
Source : Auteur utilisant Eviews5
Tableau 3 : Tableau de la matrice de
corrélation entre les variables
|
LDTPIB
|
LTCH
|
LMPIB
|
LPOP
|
LPIBH
|
LDSEX
|
|
LDTPIB
|
1.000000
|
0.250367
|
- 0.598625
|
- 0.429674
|
- 0.257571
|
0.503845
|
|
LTCH
|
0.250367
|
1.000000
|
0.149305
|
0.696823
|
0.808096
|
- 0.367532
|
|
LMPIB
|
- 0.598625
|
0.149305
|
1.000000
|
0.657350
|
0.449462
|
- 0.498915
|
|
LPOP
|
- 0.429674
|
0.696823
|
0.657350
|
1.000000
|
0.903146
|
- 0.632752
|
|
LPIBH
|
- 0.257571
|
0.808096
|
0.449462
|
0.903146
|
1.000000
|
- 0.600025
|
|
LDSEX
|
0.503845
|
- 0.367532
|
- 0.498915
|
- 0.632752
|
- 0.600025
|
1.000000
|
Source : Auteur utilisant Eviews5
Tableau n°4 : Test de
White
White Heteroskedasticity Test :
F-statistic 2.017654 Probability 0.260941
Obs*R-squared 25.77804 Probability 0.311456
Source : Auteur utilisant Eviews5
Tableau n°5 : Test
ARCH
ARCH Test :
F-statistic 0.513979 Probability 0.677090
Obs*R-squared 1.710075 Probability 0.634696
Source : Auteur utilisant Eviews5
| 
